FSNFX — FS Market Neutral Fund

FSNFX Fund Overview

FSNFX — FS Market Neutral Fund is a US mutual fund managed by FS Series Trust, categorised as Money Market. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.

• Type: US mutual fund
• Manager: FS Series Trust
• Category: Money Market
• Assets under management: $1.80M
• Ticker: FSNFX
• SEC CIK: 0001691167
• SEC series ID: S000063705
• Share class ID: C000206503

FSNFX Investment Objective and Strategy

FS Market Neutral Fund describes its objective and strategy as follows, from its latest prospectus filed with the SEC by FS Series Trust.

Investment objective

FS Market Neutral Fund (the Fund) seeks to provide capital appreciation.

Principal investment strategy

The Fund seeks to achieve its investment objective by employing a quantitative approach to predict outperforming and underperforming stocks. The Fund will typically use a systematic, rules-based approach to identify and select securities. The approach may employ pattern recognition techniques commonly referred to as machine learning, which employs algorithms to spot complex patterns in investment data, to generate trading signals. Non-traditional datasets commonly referred to as big data may also be used to generate trading signals. Big data refers to extremely large data sets that may be processed through professional techniques and technology and analyzed computationally to reveal patterns, trends and associations. The Fund seeks to provide investors with returns from the potential gains from its long and short equity positions.

The Fund is designed to be market- or beta-neutral, which means that the Fund seeks to achieve returns that are not closely correlated with the returns of the equity markets in which the Fund invests. Accordingly, the Adviser, on average, intends to target a low portfolio beta over a normal business cycle. Achieving zero portfolio beta would result in returns with no correlation to the equity markets in which the Fund invests over a normal business cycle. Equity market neutral strategies purchase certain equity securities and simultaneously sell short other equity securities in an attempt to isolate risk to the relative value or attractiveness of one security or basket of securities as compared to another security or basket of securities and eliminate general market risk. Generally, investment decisions are based on fundamental analysis to establish the relative values or attractiveness of the securities in the Funds portfolio.

FS Fund Advisor, LLC (FS or the Adviser) typically will manage all or a portion of the Funds assets by purchasing and selling equity shares directly, or through the use of Equity Derivative Instruments (described below). The Fund may also allocate up to 100% of the assets of the Fund among one or more alternative beta providers (Alternative Beta Providers) that offer the Fund exposure to the returns of particular investment strategies (Alternative Beta Strategies). An Alternative Beta Provider is a financial institution that serves as a counterparty to the Fund in a total return swap (or similar instruments or other arrangements) that offers exposure to the returns of a specified underlying asset. In a typical total return swap (or similar instrument) transaction with an Alternative Beta Provider, the Fund agrees to pay a fixed or variable interest rate to the Alternative Beta Provider in exchange for return earned on a specified underlying asset.

Alternative Beta Providers are swap (or similar instrument) counterparties, not sub-advisers. Alternative Beta Providers in particular may offer cost advantages over traditional alternative asset managers. The strategies employed by the use of Alternative Beta Providers are referred to in this Prospectus as Alternative Investment Strategies. In general, Alternative Beta Strategies seek to identify and capitalize upon market inefficiencies and market behavioral biases (or risk premia). Alternative Beta Strategies typically have less correlation to traditional equity markets than traditional investment strategies. The Fund generally seeks to obtain exposure to Alternative Investment Strategies in a cost-efficient manner, particularly as compared to private investment vehicles that have historically been used to access alternative investment strategies.

Alternative Beta Strategies may include historical trend (seeking to benefit from the historical tendency of securities with certain characteristics to outperform others), carry and curve, low beta, value and volatility premium and momentum strategies (which emphasize investing in securities that have better recent performance compared to other securities). The Adviser may also manage all or a portion of the Funds assets directly. Under normal market conditions, the Fund pursues its investment objective by investing a portion of its net assets (including borrowings for investment purposes) in equity instruments and equity related and/or derivative instruments. Equity instruments include common stock, preferred stock, and depositary receipts (Equity Instruments). Equity related and/or derivative instruments are investments that provide exposure to the performance of Equity Instruments, including equity swaps (both single-name and index swaps), equity index futures, exchange-traded funds (ETFs) and exchange-traded notes (ETNs) and similar pooled investment vehicles (collectively, Equity Derivative Instruments and together with Equity Instruments, Instruments).

The Fund may also invest in structured investments, including structured notes. In managing the Fund, the Adviser takes long positions in those Instruments that, based on proprietary quantitative models, the Adviser forecasts to increase in price, and takes short positions in those Instruments that the Adviser forecasts to decrease in price. The Fund may invest in or have exposure to companies of any size. The Fund will generally invest in Instruments of companies located in global developed markets, including the United States. As of the date of this prospectus, the Adviser considers global developed markets to be those countries included in the MSCI World Index . The Fund does not limit its investments to any one country, and may invest in any one country without limit. The Adviser may take long or short positions in sectors, industries and companies that it believes are attractive or unattractive.

The Fund may, but is not required to, hedge exposure to foreign currencies using foreign currency forwards or futures. The Fund, when taking a long equity position, will purchase a security that will benefit from an increase in the price of that security. When taking a short equity position, the Fund borrows the security from a third party and sells it at the then current market price. A short equity position will benefit from a decrease in price of the security and will lose value if the price of the security increases. Similarly, the Fund may also take long and short positions in an Equity Derivative Instrument. A long position in an Equity Derivative Instrument will benefit from an increase in the price of the underlying instrument. A short position in an Equity Derivative Instrument will benefit from a decrease in price of the underlying instrument and will lose value if the price of the underlying instrument increases.

Simultaneously engaging in long investing and short selling is designed to reduce the net exposure of the overall portfolio to general market movements. The Fund may use Equity Derivative Instruments and foreign currency forwards as a substitute for investing in conventional securities and for investment purposes to increase its economic exposure to a particular security, index or currency in a cost-effective manner. At times, the Fund may gain all equity or currency exposure through the use of Equity Derivative Instruments and currency derivative instruments, and may invest in such instruments without limitation. The Funds use of Equity Derivative Instruments and currency derivative instruments will have the economic effect of financial leverage. Financial leverage magnifies exposure to the swings in prices of an asset underlying an Equity Derivative Instrument or currency derivative instrument and results in increased volatility , which means the Fund will have the potential for greater gains, as well as the potential for greater losses, than if the Fund does not use Equity Derivative Instruments and currency derivative instruments that have a leveraging effect.

Volatility is a statistical measurement of the dispersion of returns of a security or fund or index, as measured by the annualized standard deviation of its returns. The Adviser, on average, will target an annualized volatility level for the Fund of 6%. The Adviser expects that the Funds targeted annualized forecasted volatility will typically range between 4% and 9%; however, the actual or realized volatility level for longer or shorter periods may be materially higher or lower depending on market conditions. Higher volatility generally indicates higher risk. Actual or realized volatility can and will differ from the forecasted or target volatility described above . Leveraging tends to magnify, sometimes significantly, the effect of any increase or decrease in the Funds exposure to an asset and may cause the Funds NAV to experience greater volatility .

For example, if the Adviser seeks to gain enhanced exposure to a specific asset through an Equity Derivative Instrument providing leveraged exposure to the asset and that Equity Derivative Instrument increases in value, the gain to the Fund will be magnified; however, if that investment decreases in value, the loss to the Fund will be magnified. A significant portion of the Funds assets (up to 100%) may be held in cash or cash equivalents including, but not limited to, money market instruments, U.S. treasury bills, interests in short-term investment funds or shares of money market or short-term bond funds. These cash or cash equivalent holdings serve as collateral for the positions the Fund takes and also earn income for the Fund. When taking into account derivative instruments and instruments with a maturity of one year or less at the time of acquisition, the Fund is expected to have annual turnover of approximately 200% to 400%, although actual portfolio turnover may be higher or lower and will be affected by market conditions.

This estimated annual portfolio turnover rate is based on the expected regular turnover resulting from the Funds implementation of its investment strategy, and does not take into account turnover that may occur as a result of purchases and redemptions into and out of the Funds portfolio. Although the Fund intends to normally invest in Alternative Investment Strategies, it retains the flexibility to allocate as little as none or as much as all of its capital to particular Alternative Beta Providers. The Fund is considered non-diversified, which means that the percentage of its assets that may be invested in the securities of a single issuer is not limited by the 1940 Act.

FSNFX Costs and Fees

FSNFX costs about $145 per $10,000 invested per year in fund expenses.

• Net expense ratio: 1.45%
• Gross expense ratio: 2.82%
• Brokerage commissions: 0.00 bps of average net assets (SEC N-CEN)

FSNFX Cashflows

Over the 12 months to 2020-03, FS Market Neutral Fund had net inflows of $304, from monthly SEC N-PORT filings.

FSNFX Debt Constituents

No individual debt constituents are reported in FS Market Neutral Fund's latest SEC N-PORT filing.

FSNFX Prospectus and SEC Filings

Official FS Market Neutral Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

• Prospectus (485BPOS) — filed 2019-05-21
• Prospectus (485BPOS) — filed 2019-01-09
• Portfolio holdings (N-PORT) — filed 2020-05-29
• Portfolio holdings (N-PORT) — filed 2020-02-10
• Portfolio holdings (N-PORT) — filed 2019-11-27
• Annual census (N-CEN) — filed 2020-03-13
• Annual census (N-CEN) — filed 2019-03-15

Related Funds

Other Money Market funds tracked on ABC INVEST:

• Emerald Growth Fund (HSPCX)
• Barings Active Short Duration Bond Fund (BXDIX)
• IVA Worldwide Fund (IVWAX)
• Stadion Tactical Growth Fund (ETFDX)
• BBH Partner Fund - Select Short Term Assets (BBSTX)

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.