JRFOX Performance — Multi-Index Income Preservation Portfolio, Class 1
Data updated: 2023-07-27
JRFOX returned −1.51% over one year to May 2023. The annualised 3-year return is +0.31%. The fund trailed its Target-Date category average: $100 invested three years ago grew to $101, against $119 for the category, and to $98 over one year, against $100. Volatility over the past three years was 6.55% a year. In the 12 months to May 2023 the fund lost a net $60.1M, and assets reached $450.39M.
JRFOX Growth of $100
What $100 invested in Multi-Index Income Preservation Portfolio grew to, compounded from monthly returns reported on SEC Form N-PORT, against the Target-Date category average over the same months.
| Period | JRFOX | Category average |
|---|---|---|
| 1 year (Jun 2022 – May 2023) | $98 | $100 |
| 3 years (Jun 2020 – May 2023) | $101 | $119 |
| Since data start (Sep 2019 – May 2023) | $103 | $121 |
JRFOX Trailing Returns
Total returns to May 2023, from SEC N-PORT.
| Period | Total return |
|---|---|
| 1 year | −1.51% |
| 3 years (annualised) | +0.31% |
JRFOX Annual Returns
Calendar-year total returns of Multi-Index Income Preservation Portfolio, compounded from monthly SEC N-PORT returns. Partial years show the months covered.
| Year | Total return |
|---|---|
| 2023 (Jan–May) | +2.21% |
| 2022 | −10.28% |
| 2021 | +2.84% |
| 2020 | +7.88% |
| 2019 (Sep–Dec) | +1.11% |
JRFOX Monthly Returns
Monthly total returns as reported on SEC Form N-PORT.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | +3.1% | −2.2% | +2.1% | +0.8% | −1.5% | — | — | — | — | — | — | — |
| 2022 | −2.0% | −1.1% | −1.3% | −3.3% | +0.7% | −3.1% | +3.1% | −2.5% | −4.4% | +0.9% | +3.6% | −1.1% |
| 2021 | −0.6% | −0.3% | 0.0% | +1.3% | +0.6% | +0.7% | +0.9% | +0.2% | −1.1% | +0.7% | −0.5% | +0.9% |
| 2020 | +0.9% | −0.5% | −5.8% | +4.4% | +2.2% | +1.1% | +2.2% | +0.8% | −0.9% | −0.5% | +2.9% | +1.2% |
| 2019 | — | — | — | — | — | — | — | — | −0.1% | +0.4% | +0.2% | +0.6% |
JRFOX Risk
Risk measures from monthly returns over Jun 2020 – May 2023.
- 3-year volatility (annualised): 6.55%
- 3-year Sharpe ratio: -0.64 (vs 4.5% risk-free rate)
- Best month: +3.63% (Nov 2022)
- Worst month: −4.38% (Sep 2022)
JRFOX Fund Flows
Monthly money in and out of Multi-Index Income Preservation Portfolio, from SEC Form N-PORT.
- 12-month net flow: −$60.1M
- 12-month gross sales (incl. reinvestments): $45.5M
- Sales ÷ redemptions: 0.43×
| Month | Sales | Redemptions | Net flow |
|---|---|---|---|
| May 2023 | $1.0M | $11.7M | −$10.7M |
| Apr 2023 | $824K | $6.8M | −$5.9M |
| Mar 2023 | $1.9M | $7.7M | −$5.8M |
| Feb 2023 | $657K | $8.3M | −$7.6M |
| Jan 2023 | $4.2M | $6.0M | −$1.7M |
| Dec 2022 | $30.8M | $11.1M | $19.8M |
| Nov 2022 | $306K | $10.7M | −$10.4M |
| Oct 2022 | $810K | $9.3M | −$8.5M |
| Sep 2022 | $2.1M | $8.4M | −$6.3M |
| Aug 2022 | $829K | $6.8M | −$6.0M |
| Jul 2022 | $645K | $10.2M | −$9.6M |
| Jun 2022 | $1.3M | $8.7M | −$7.4M |
JRFOX Assets Under Management
Net assets of Multi-Index Income Preservation Portfolio by report date, from SEC N-PORT filings.
| Report date | Net assets |
|---|---|
| 2023-05-31 | $450.39M |
| 2023-02-28 | $466.31M |
| 2022-11-30 | $486.99M |
| 2022-08-31 | $513.03M |
| 2022-05-31 | $549.83M |
| 2022-02-28 | $587.06M |
| 2021-11-30 | $633.21M |
| 2021-08-31 | $670.23M |
| 2021-05-31 | $722.84M |
| 2021-02-28 | $744.22M |
| 2020-11-30 | $789.54M |
| 2020-08-31 | $301.83M |
For information only. Not investment advice: figures are as reported in SEC filings and may contain errors or be out of date. Past performance does not guarantee future results.