CMSAX — Altegris/Crabel Multi-Strategy Fund
Data updated: 2024-11-25
CMSAX — Altegris/Crabel Multi-Strategy Fund. Long-Short · $3.26M AUM · 2.00% expense ratio · 4.1% 1-yr return. Holdings, fees, performance and SEC filings.
CMSAX Fund Overview
CMSAX — Altegris/Crabel Multi-Strategy Fund is a US mutual fund managed by Northern Lights Fund Trust, categorised as Long-Short. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.
- Type: US mutual fund
- Manager: Northern Lights Fund Trust
- Category: Long-Short
- Assets under management: $3.26M
- 1-year return: 4.1%
- Ticker: CMSAX
- SEC CIK: 0001314414
- SEC series ID: S000079052
- Share class ID: C000239886
CMSAX Investment Objective and Strategy
Altegris/Crabel Multi-Strategy Fund describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Northern Lights Fund Trust.
Investment objective
The Fund?s investment objective is to seek long term capital appreciation.
Principal investment strategy
The Fund seeks to achieve its investment objective by allocating its assets among multiple investment strategies, as described below, with a goal of delivering an ?all weather? solution that has the potential to provide positive returns in all market environments. Tactical Futures Strategy. The Tactical Futures strategy is a long-short strategy that seeks to deliver long term capital appreciation for the Fund through trend following exposure with defensive positioning designed to provide rapid responses to declines in equity markets. The Tactical Futures strategy is implemented as a combination of two component strategies: the (i) ?Advanced Trend? and (ii) ?Contra? strategies. ? Advanced Trend is a trend-following strategy pursued through the application of systematic trading strategies designed to efficiently capture long-term trend following returns across a diverse set of global futures, forwards and foreign exchange instruments and market sectors including commodities, currencies, equities and interest rates.
? Contra implements a diverse set of short-term, systematic trading strategies designed to exhibit negative correlation to global equity markets (that is, the strategy seeks to provide returns inverse to those of global equity markets). Because Contra is designed to perform well when global equity markets are in decline (i.e. negative correlation), this component of the Tactical Futures strategy is intended to deliver positive returns in all market environments for the Fund, while remaining opportunistically geared towards volatile, equity bear market environments. In pursuing the Tactical Futures strategy, a combination of Advanced Trend and Contra, the Fund trades futures and forwards contracts across approximately 200 global contract markets. The number of global markets traded may increase or decrease from time to time.
Specific asset classes traded across global markets will encompass equities, spot currencies and forward foreign exchange contracts, government and corporate debt securities, interest rate instruments, stock indices, precious metals and traditional and base industrial commodities. Specific types of instruments that the Fund may purchase across these asset classes will include (i) forward and futures contracts (as noted above), (ii) covered and uncovered options on futures or securities, (iii) swap transactions involving equity securities or other instruments, (iv) commodity spot market contracts, (v) contracts for differences, (vi) interest rate, volatility and credit derivatives; and (vii) foreign exchange forward contracts. These instruments may be listed or unlisted and rated or unrated, and derivative instruments may be exchange-traded or bought and sold over-the-counter.
The breadth of contracts traded across varied asset classes, and the anticipated volume of identified trends or trading signals, and corresponding trading strategies implemented to capitalize on such trends or signals, may generate high trading and turnover levels within the Tactical Futures strategy portfolio at times. The Fund will execute a portion of the Tactical Futures strategy by investing up to 25% of its total assets (measured at the time of purchase) in a wholly-owned and controlled subsidiary (the ?Subsidiary?). The Subsidiary will invest the majority of its assets in non-financial commodity futures contracts, other financial instruments providing exposure to interests in physical commodities (consistent with the Tactical Futures strategy as described above), and also in fixed income securities (consistent with the Fixed Income strategy described below) that will serve as margin or collateral for the Subsidiary?s commodities and commodity futures positions.
The Fund will also execute a portion of the Tactical Futures strategy portfolio investments directly, outside of the Subsidiary, with this portion being primarily financial futures contracts and in fixed income securities (consistent with the Fixed Income strategy described below) that will serve as margin or collateral for such financial futures positions. The Subsidiary pursues the same principal investment strategies as the Fund, and is subject to the same investment risks and portfolio investment restrictions and limitations as the Fund on a consolidated basis. Investment by the Fund through its Subsidiary in non-financial commodity futures contracts, as utilized in pursuit of the Tactical Futures strategy, allows it to gain exposure to such contracts within the limitations of the federal tax requirements of Subchapter M of the Internal Revenue Code of 1986, as amended (the ?Code?).
Equity Strategy. The Fund will allocate a portion of its assets to an Equity strategy intended to provide the Fund?s portfolio with long-term, strategic exposure to U.S. and non-U.S., primarily liquid equity securities of issuers across both developed and emerging market countries, and implemented on a relatively passive, long-only, ?buy-and-hold? basis. Within the Equity strategy, the Fund may invest in all types of equity securities and equity-related instruments without regard to market capitalization. For example, equity securities and equity-related instruments include exchange-traded and over-the-counter common and preferred stocks, security futures, warrants, options, rights, convertible securities, sponsored and unsponsored depositary receipts and shares, trust certificates, participatory notes, limited partnership interests, financial futures contracts, real estate investment trusts (?REITs?) and shares of other open- and closed-end investment companies (including exchanged-traded funds (?ETFs?).
The Fund may also participate as a purchaser in initial public offerings of securities (?IPO?), a company?s first offering of stock to the public. The Fund generally considers emerging market countries to be those designated as an emerging market country as reflected by the MSCI Emerging Markets Index. Fixed Income Strategy. With respect to assets of the Fund not allocated to investments pursuant to the Tactical Futures or Equity strategies, and to generate potential additional income and capital appreciation, which may add diversification to the returns generated by the Fund?s Tactical Futures and Equity strategies, the Fund will implement an additional Fixed Income strategy comprised of long-only investments in cash, cash equivalents, securities issued by the U.S. government and its agencies and instrumentalities, money market securities and other interest-bearing instruments, or in fixed income securities of any credit quality or maturity, including but not limited to: (i) corporate bonds, (ii) corporate loans, (iii) sovereign debt, (iv) convertible bonds, (v) municipal bonds, (vi) inflation-linked bonds and (vii) credit default linked instruments.
The Fund may also invest in money market funds or other investment companies (including ETFs) whose assets are comprised primarily of any of the above-described types of fixed income securities or that seek to track the composition and/or performance of specific fixed income indexes. Multi-Strategy Exposures. The Adviser, based upon the prior performance and anticipated future performance of the Tactical Futures strategy, and in consultation with the Fund?s Sub-Adviser, anticipates that 60% to 90%, typically 75%, of the Fund?s net assets will be attributable to investments implementing the Tactical Futures strategy. Within the Tactical Futures strategy, and depending on prevailing market conditions, portfolio composition and systematic trading signals, the Fund?s portfolio managers will periodically re-allocate exposure among its two component strategies: Advanced Trend and Contra.
The Adviser anticipates that approximately 50% to 80% of Fund net assets will be allocated to Advanced Trend, and approximately 5% to 50% of the Fund?s net assets will be allocated to Contra. The Adviser anticipates that 35% to 65%, typically 50% of the Fund?s net assets will be attributable to investments made pursuant to the Equity Strategy. The remainder of Fund assets will be invested pursuant to the Fixed Income strategy. The Fund is ?non-diversified? for purposes of the Investment Company Act of 1940, as amended, (the ?1940 Act?), which means that the Fund may invest in fewer securities at any one time than a diversified fund. The Fund may not invest more than 15% of its net assets, including those assets held in the subsidiary, in illiquid investments. The Fund?s investments in certain derivative instruments involve the use of leverage.
In pursuing the Fund?s objective, the Adviser may engage in frequent trading of the Fund?s portfolio investment, resulting in a higher portfolio turnover rate. Other Investments. In addition to the investments specifically described above, the Fund in pursuing its investment objective may also engage in other types of derivative transactions and other instruments of any kind for hedging purposes or otherwise to gain, or reduce, long or short exposure to one or more asset classes or issuers. The Fund may also use derivatives transactions with the purpose or effect of creating investment leverage. For example, the Fund may use futures contracts and options on futures contracts, in order to gain efficient long or short investment exposures as an alternative to cash investments or to hedge against portfolio exposures; interest rate swaps, to gain indirect long or short exposures to interest rates, issuers, or currencies, or to hedge against portfolio exposures; and total return swaps and credit derivatives (such as credit default swaps), put and call options, and exchange-traded and structured notes, to take indirect long or short positions on indexes, securities, currencies, commodities or other indicators of value.
The Fund may invest in other investment companies, commodity pools, closed-end investment companies, ETFs, and domestic or foreign private investment vehicles. Key Strategy Terms A Trend-following strategy generally seeks to identify the general direction of one or more global market segments (either up or down) using indicators such as current market prices and moving average prices, and buying or selling investments based on the assessment of these trade signals as determined before a trade is made. Systematic trading is an investment approach that emphasizes data-driven insights, scientific testing, and disciplined portfolio construction techniques to seek varied portfolio outcomes. Negative Correlation is a relationship between two variables in which one variable increases as the other decreases ( i.e., they move in opposite directions).
CMSAX Holdings
Top 10 holdings of Altegris/Crabel Multi-Strategy Fund by percentage of net assets, from the fund's latest SEC N-PORT filing.
| Holding | % of net assets |
|---|---|
| First American Funds Inc. | 68.93% |
| Chicago Mercantile Exchange (floor) | 0.90% |
| Commodities Exchange Center | 0.51% |
| Ice Futures Europe - Agricultural Products Division | 0.47% |
| Eurex Deutschland | 0.20% |
| Hong Kong Futures Exchange Ltd. | 0.14% |
| Ice Futures U.s. | 0.14% |
| Osaka Exchange | 0.13% |
| New York Mercantile Exchange | 0.12% |
| Ice Futures Europe | 0.10% |
CMSAX Portfolio Allocation
Asset-class allocation of Altegris/Crabel Multi-Strategy Fund by percentage of net assets, from the latest SEC N-PORT filing.
| Asset class | Allocation |
|---|---|
| Cash & Equivalents | 68.9% |
| Derivatives | 3.0% |
| Real Estate | 0.1% |
CMSAX Performance
Total returns for CMSAX (as of 2026-10-01), from SEC filings.
| Period | Total return |
|---|---|
| 1 year | 4.1% |
CMSAX Risk Information
Risk metrics for CMSAX, derived from monthly returns in SEC filings.
- 1-year volatility (annualised): 11.3%
CMSAX Costs and Fees
CMSAX costs about $200 per $10,000 invested per year in fund expenses.
- Net expense ratio: 2.00%
- Gross expense ratio: 18.11%
- Portfolio turnover: 0%
- Brokerage commissions: 18.49 bps of average net assets (SEC N-CEN)
CMSAX Cashflows
Over the 12 months to 2024-09, Altegris/Crabel Multi-Strategy Fund had net inflows of $279.03K, from monthly SEC N-PORT filings.
| Month | Net flow |
|---|---|
| 2024-09 | −$6.62K |
| 2024-08 | −$341.37K |
| 2024-07 | $111.80K |
| 2024-06 | $1.77K |
| 2024-05 | $0 |
| 2024-04 | $2.62K |
CMSAX Debt Constituents
No individual debt constituents are reported in Altegris/Crabel Multi-Strategy Fund's latest SEC N-PORT filing.
CMSAX Prospectus and SEC Filings
Official Altegris/Crabel Multi-Strategy Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.
Related Funds
Other Long-Short funds tracked on ABC INVEST:
Data Sources
ABC INVEST compiles this page from public filings made to the U.S. Securities and Exchange Commission (SEC) through EDGAR: portfolio holdings and monthly cashflows from Form N-PORT, expenses and returns from fund prospectuses (Form 485BPOS) and the SEC DERA Risk/Return Summary data sets, annual data from Form N-CEN, and shareholder reports from Form N-CSR.