TRNIX — Altegris GSA Trend Strategy Fund
Data updated: 2020-02-20
TRNIX — Altegris GSA Trend Strategy Fund. Money Market · $26.00M AUM · 1.60% expense ratio. Holdings, fees, performance and SEC filings.
TRNIX Fund Overview
TRNIX — Altegris GSA Trend Strategy Fund is a US mutual fund managed by Northern Lights Fund 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: Northern Lights Fund Trust
- Category: Money Market
- Assets under management: $26.00M
- Ticker: TRNIX
- SEC CIK: 0001314414
- SEC series ID: S000055979
- Share class ID: C000176280
TRNIX Investment Objective and Strategy
Altegris GSA Trend 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 Funds investment objective is to seek long-term capital appreciation through utilization of an absolute return strategy.
Principal investment strategy
The Fund seeks to achieve its investment objective by allocating its assets between a Trend strategy and a Fixed Income strategy. Trend Strategy: The Trend strategy seeks to deliver absolute returns for the Fund through a range of quantitative algorithms designed to exploit directional trends in global financial markets. In doing so, the strategy employs a range of statistical signals and filters that seek to capture medium-term trends in global futures and forwards markets, and to capitalize on them through a systematic investment process in a variety of financial instruments across multiple asset classes. This is accomplished by parsing and filtering voluminous, real-time market data (through computers applying statistical and mathematical algorithms and programs to the data) to isolate and identify specific price trends and patterns.
Each individually identified trend or pattern in each type of asset class is a signal, and signals for each asset class are then combined to culminate in the identification of a trend (such as detecting momentum of prices in an upward or downward direction). Each of the many individual trends identified within the universe of asset classes upon which futures contracts are traded acts as a potential predictor of future returns of the asset class. These signals are adjusted to account for volatility in global markets over time. Based on the signals, the Funds Trend strategy portfolio is constructed and trades are executed (with further adjustments made to trade allocations in order to address portfolio risk, diversification and expected returns in each asset class). In pursuing the Trend strategy, the Fund trades more than 100 types of futures contracts and 17 various forwards contracts across four primary asset classes: equities, commodities, fixed income and currencies.
The number of contracts may increase or decrease from time to time. Specific sub-sets of these asset classes will encompass equity securities, 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 and in turn trade signals generated by the Trend strategy, will generate high trading and turnover levels within the Trend strategy portfolio at times. The Funds Adviser delegates management of the Funds Trend strategy portfolio to a sub-adviser, GSA Capital Partners LLP (GSA). The Fund will execute a portion of the Trend 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 Trend 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 Subsidiarys commodities and commodity futures positions.
The Fund will also execute a portion of the Trend 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 is managed by the Adviser and sub-advised by GSA and 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. Fixed Income Strategy: With respect to assets of the Fund not allocated to investments pursuant to the Trend strategy, the Fund will invest pursuant to a Fixed Income strategy comprised of: cash, cash equivalents, investment grade corporate bonds and other corporate debt securities, securities issued by the U.S.
government and its agencies and instrumentalities (normally with one year or less term to maturity), money market securities and other interest-bearing instruments. The Fund will generally invest in investment grade fixed income securities rated in the four highest categories by Standard & Poors (S&P), Fitch Ratings (Fitch) or Moodys Investors Service, Inc. (Moodys). The Fund may also invest in money market funds or other investment companies (such as exchange traded funds) whose assets are comprised primarily of fixed income securities or that seek to track the composition and/or performance of specific fixed income indexes. The Funds Adviser manages the Fixed Income strategy on behalf of the Fund. Allocations Among Trend and Fixed Income Strategies . Based upon its analysis of historical returns and volatility among trend-following commodity traders and strategies generally, and specifically upon its analysis of the prior performance and anticipated future performance of the Trend strategy, in consultation with GSA, the Adviser anticipates that the Fund will allocate approximately up to 30% of its assets to the Trend strategy and the majority of its assets not actively invested in the Trend strategy allocated to investments in fixed income securities pursuant to the Fixed Income strategy.
In pursuing its investment objective, the Fund may engage in frequent trading. Consequently, the Funds portfolio turnover and brokerage commission expenses may exceed those of most investment entities of comparable size. 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 buy or selling investments based on the assessment of these trade signals as determined before a trade is made. Volatility is a statistical measurement of the variation of returns of a financial asset, as measured by the annualized standard deviation of its returns. Standard Deviation is a measure that is used to quantify the amount of dispersion of a set of data values.
A low standard deviation indicates that the data points tend to be close to the expected values of the set, whereas a high standard deviation indicates that the data points are spread out over a wider range of values. Correlation is a statistical measure of the degree to which the movements in the price of two assets are related to each other. When the value of one asset class versus another moves in the same direction within similar time frames, the asset classes are considered to be correlated, and when they move in opposite directions, they are considered to be non-correlated. Value at Risk (VaR) is an estimation of how much a single investment, or group of investments, might lose under normal market conditions and over a defined time period. Non-Diversified Fund . The Fund is non-diversified for purposes of the Investment Company Act of 1940, as amended (1940 Act), which means that the Fund may invest in fewer securities at any one time than a diversified fund.
Also, the Fund must set aside liquid assets, or engage in other measures, as required by the 1940 Act and regulations thereunder, to cover open positions with respect to certain kinds of derivatives and other financial instruments. The Fixed Income strategy investments may be used to help cover the Funds derivatives and other positions in financial instruments for which coverage is required by the 1940 Act. Commodity Pool Regulation : The Fund and the Subsidiary are each a commodity pool under the U.S. Commodity Exchange Act and the Adviser and Sub-Adviser are each a commodity pool operator registered with and regulated by the Commodity Futures Trading Commission (CFTC). As a result, additional CFTC-mandated disclosure, reporting and recordkeeping obligations apply with respect to the Fund and the Subsidiary under CFTC and SEC harmonized regulations.
TRNIX Holdings
Top 10 holdings of Altegris GSA Trend Strategy Fund by percentage of net assets, from the fund's latest SEC N-PORT filing.
| Holding | % of net assets |
|---|---|
| United States Treasury Bills | 39.37% |
| New York Mercantile Exchange | 0.46% |
| New York Mercantile Exchange | 0.42% |
| Ice Futures U.s. | 0.20% |
| Commodities Exchange Center | 0.18% |
| London Metal Exchange | 0.17% |
| London Metal Exchange | 0.15% |
| Asx - Trade24 | 0.14% |
| Cme Globex | 0.13% |
| Cme Globex | 0.12% |
TRNIX Portfolio Allocation
Asset-class allocation of Altegris GSA Trend Strategy Fund by percentage of net assets, from the latest SEC N-PORT filing.
| Asset class | Allocation |
|---|---|
| Fixed Income | 39.4% |
| Derivatives | 1.5% |
TRNIX Costs and Fees
TRNIX costs about $160 per $10,000 invested per year in fund expenses.
- Net expense ratio: 1.60%
- Gross expense ratio: 2.20%
- Portfolio turnover: 0%
- Brokerage commissions: 0.00 bps of average net assets (SEC N-CEN)
TRNIX Cashflows
Over the 12 months to 2019-12, Altegris GSA Trend Strategy Fund had net inflows of $12.72M, from monthly SEC N-PORT filings.
| Month | Net flow |
|---|---|
| 2019-12 | $7.12M |
| 2019-11 | $1.14M |
| 2019-10 | $1.21M |
| 2019-09 | $954.17K |
| 2019-08 | $1.05M |
| 2019-07 | $1.24M |
TRNIX Debt Constituents
Largest debt holdings of Altegris GSA Trend Strategy Fund by percentage of net assets, from the latest SEC N-PORT filing.
| Debt holding | % of net assets |
|---|---|
| United States Treasury Bills | 39.37% |
TRNIX Prospectus and SEC Filings
Official Altegris GSA Trend Strategy Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.
Related Funds
Other Money Market 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.