MMSQX — MProved Systematic Multi-Strategy Fund

MMSQX Fund Overview

MMSQX — MProved Systematic Multi-Strategy Fund is a US mutual fund managed by Series Portfolios Trust, categorised as Balanced Allocation. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.

• Type: US mutual fund
• Manager: Series Portfolios Trust
• Category: Balanced Allocation
• Assets under management: $14.34M
• Ticker: MMSQX
• SEC CIK: 0001650149
• SEC series ID: S000060159
• Share class ID: C000196899

MMSQX Investment Objective and Strategy

MProved Systematic Multi-Strategy Fund describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Series Portfolios Trust.

Investment objective

The MProved Systematic Multi-Strategy Fund (the Fund) seeks to achieve positive absolute returns.

Principal investment strategy

Under normal conditions, the Adviser pursues the Funds investment objective by seeking to provide exposure to a number of strategies often referred to as alternative or absolute return strategies that are more traditionally offered through hedge funds. The Fund implements these strategies by investing globally (including in emerging markets) in a broad range of instruments, including, but not limited to, equities, bonds, convertible securities (including contingent convertible securities), futures (including commodity futures, index futures, equity futures, bond futures and interest rate futures), currency and commodity forwards, options and swaps (including commodity swaps, swaps on commodity futures, equity swaps, swaps on index futures, total return swaps, interest rate swaps, and credit default swaps (CDS)).

When the Fund sells a CDS, the Fund will cover such transactions to the full notional value. The Fund may take both long and short positions in all of its investments. In a short sale transaction, the Fund will borrow a security and sell it at the current market price in the anticipation of buying the security at a lower price prior to the time the Fund is obligated to return the security to the owner. The Fund may trade in derivatives both for hedging and investment purposes. The Fund currently expects the derivatives that it trades to be primarily total return swaps; however, this may change over time. There is no limit on the amount of exposure the Fund may have to any specific asset class, market sector, or instrument. The Fund may invest in the securities of issuers of any market capitalization.

The securities in which the Fund invests may be restricted and/or Rule 144A securities. The Fund has no limits with respect to the credit rating, maturity or duration of the debt securities in which it may invest, and may invest in debt securities of any credit rating, maturity or duration, which may include high-yield or junk bonds or distressed securities. The Fund may engage in securities lending. Utilizing the range of investments and instruments described above, the Fund seeks to provide exposure to several absolute return strategies through one fund offering. The strategies the Fund intends to use include the following: Relative Value Strategies. Relative value strategies seek to profit from the relative mispricing of related assets. For example, convertible bonds and the common stock underlying the conversion option; other options and futures and their reference assets; debt instruments and/or their derivatives of the same issuer or of different issuers with different maturities or yields; and the common stock of different issuers in the same sectors.

These strategies may be highly quantitative and based on theoretical or historical pricing relationships. Because they focus on capturing value from the relative mispricing of related assets, relative value strategies may, under certain circumstances, generate returns independent of overall movements in the global level of debt or equity prices. Because the mispricing that these strategies exploit tends to be small in absolute terms, these strategies often use leverage, which will vary according to market conditions and could be substantial, in an attempt to increase returns, but which could also magnify losses. The Adviser may implement various relative value strategies on behalf of the Fund, including convertible-securities arbitrage and volatility arbitrage. The convertible-securities arbitrage strategy seeks to buy long a convertible security and sell short a portion of the underlying stock into which the convertible security may be converted in anticipation of profiting from a relative mispricing between them ( i.e.

, when the Adviser believes the convertible security is undervalued relative to the underlying stock). Although the strategy will generally be effected by investing initially in what the Adviser believes are undervalued convertibles that fit the strategys investment universe, the Adviser may also take short positions in convertibles under certain circumstances. In determining the investible universe, the Adviser will consider among other things, the size of the issue, liquidity in the underlying common stock, the theoretical equity delta of the convertible ( i.e., the sensitivity of the convertible bonds price to changes in the price of the underlying stock), and the cost of borrowing shares. Inputs will change in real time and thus the convertibles theoretical value will also change in real time.

The strategy will invest in convertible bonds and mandatory convertibles. In evaluating such investments, the Adviser will consider, among other things, credit spreads, expected equity volatility, stock prices, stock borrow costs and interest rates. Convertibles are less liquid than common stocks generally and the decision to add new positions or close existing positions will be influenced by expected transaction costs. As such the portfolio may hold convertibles whose prices have exceeded theoretical values while the Adviser waits for an attractive exit opportunity. The Fund is likely to buy new issues if they are expected to be trading above issue price even if their issue price exceeds theoretical value. Holding periods of new issues may vary depending on the level of theoretical cheapness of the bond once it begins trading in the marketplace.

Convertible-securities arbitrage strategy returns will be affected by, among other things, conditions in general corporate credit markets, volatility in equity markets, behavior of other advisers employing a similar strategy, and general market conditions. The number of convertibles in the portfolio will change based on the availability of what the Adviser believes are attractive convertibles. The volatility arbitrage strategy seeks to identify and exploit relative mispricings in general volatility levels across global markets. The Adviser evaluates volatility through the use of statistical models, as well as analysis of capital structure, event catalysts, the structured products markets, and macro factors. Event-driven Strategies. Event-driven strategies include investing in companies that are experiencing a material change in their ownership or in their capital structure.

Examples of event-driven strategies include merger arbitrage (discussed below) and investing in companies experiencing spin-offs, divestitures or stock or bond repurchases, among other things. Within the universe of event-driven strategies implemented by the Fund, the Fund expects initially to make a relatively large allocation to merger arbitrage, but that will change over time depending on the Advisers judgment on how best to allocate the Funds capital. Merger arbitrage involves investing in equity securities (including common, preferred stock, securities convertible into common stock, rights and warrants or securities or other instruments whose price is linked to the value of common stock) of a company that is involved in a significant corporate event, including, but not limited to merger or acquisition transactions, spin-offs, divestitures or stock or bond repurchases.

Merger arbitrage is a highly specialized investment strategy generally designed to profit from the successful completion of such transactions. Although the Fund may employ a variety of strategies depending upon the nature of the transaction selected for investment, generally, the Funds merger arbitrage strategy will involve purchasing the shares of an announced acquisition target company (i.e. a target company) at a discount to their expected value upon completion of the transaction. The size of this discount, referred to as the spread, represents the potential profit on such an investment. The higher the probability of completion of the transaction, the closer the target company stock trades to the value offered by the acquirer. Typically, in an announced cash-for-stock or stock-for-stock transactions, the Fund will buy shares of the target, and in the case of a stock-for-stock transaction, the Fund will also sell short the shares of the acquirer.

In either case the Fund will seek to capture that difference, or spread, with the expectation of realizing the price differentials if and when the transaction closes. Returns in merger arbitrage transactions can be affected by a variety of other factors, however, including: (1) the risk free rate of return at the time of investment (i.e. the interest an investor would expect from an absolutely risk-free investment over a specified period of time); (2) the likelihood that a transaction will be completed or not, and the gains or losses resulting from each outcome; (3) market risk; (4) the possibility that the transaction will fail to complete due to market factors; and (5) a risk premium paid to merger arbitrage investors. A merger arbitrage strategy requires quantitative skills to value complex merger offers and to measure and manage portfolio downside risk.

In addition, performance for the strategy is cyclical and varies with market conditions. Sourcing for such investments depends upon there being transactions in the marketplace. The general characteristics of announced mergers vary over time, making the available universe of transactions more attractive at certain times than others. These characteristics include, among other things, the nature of the buyer, the conditions for closing as described in merger agreements, financing requirements, current regulatory climate and other factors. The Advisers merger arbitrage strategy is a predominantly process-driven risk arbitrage strategy, i.e. one in which the Fund invests in a broad number of targets of merger transactions meeting certain criteria with the intention of systematically capturing risk arbitrage-specific premium.

The Adviser believes that the imposition of various transaction selection filters and position sizing and leverage parameters may improve the ability of an investor such as the Fund to capture and enhance the risk arbitrage-specific premium. Selection filters include, without limitation, market capitalization, such as restrictions on investments in securities of issuers with market capitalizations less than $100 million. Position sizing may be measured both in terms of absolute value of a transaction as well as the expected potential lost on any particular position. The transaction selection filters and parameters that the Adviser utilizes in pursuing the strategy have elements that may change over time. The Fund may invest in companies that are announced as targets of merger transactions, or that are publicly known to be under consideration for such transactions both friendly as well as hostile.

Quantitative Strategies. Quantitative Strategies often take the form of statistical arbitrage whereby one buys long a security (or basket of securities) and sells short a related security, option, or futures contract (or basket of securities, options, or futures) when the relative prices of such securities, options, or futures deviate from their historical relationship in anticipation of profiting from a reversion in the prices of such securities, options, or futures to their historical relationship or anticipated future forecasted relationship (mean reversion). In implementing the equity mean reversion strategy, the Adviser may incorporate various constraints on the securities available for inclusion in the portfolio including minimum average daily trading volume, minimum market cap, and minimum price.

Any such constraints may evolve over time and are subject to change. Other quantitative strategies look for trends to persist in a single stock, group of stocks, single futures contract, or group of futures contracts. These strategies tend to take long positions in securities or instruments that have been rising in price and are sometimes described as momentum strategies.

MMSQX Costs and Fees

MMSQX costs about $285 per $10,000 invested per year in fund expenses.

• Net expense ratio: 2.85%
• Gross expense ratio: 5.29%
• Portfolio turnover: 109%
• Brokerage commissions: 1.69 bps of average net assets (SEC N-CEN)

MMSQX Cashflows

Over the 12 months to 2020-06, MProved Systematic Multi-Strategy Fund had net inflows of $0, from monthly SEC N-PORT filings.

MMSQX Debt Constituents

No individual debt constituents are reported in MProved Systematic Multi-Strategy Fund's latest SEC N-PORT filing.

MMSQX Prospectus and SEC Filings

Official MProved Systematic Multi-Strategy Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

• Prospectus (485BPOS) — filed 2020-05-19
• Prospectus (485BPOS) — filed 2019-05-21
• Prospectus (485BPOS) — filed 2018-01-17
• Portfolio holdings (N-PORT) — filed 2020-08-26
• Portfolio holdings (N-PORT) — filed 2020-06-01
• Annual census (N-CEN) — filed 2020-03-13
• Annual census (N-CEN) — filed 2019-03-12

Related Funds

Other Balanced Allocation funds tracked on ABC INVEST:

• American Balanced Fund (ABALX)
• Vanguard Wellington Fund (VWELX)
• Franklin Income Fund (FKINX)
• T. Rowe Price Capital Appreciation Fund, Inc. (PRWCX)
• Vanguard Balanced Index Fund (VBINX)

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.