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Structured Credit Value Fund

JASSX - S SHARES JSVIX - I SHARES JASVX - A SHARES JSVCX - C SHARES

Overview

AT A GLANCE
  • $57.1M

    Portfolio Assets 02-07-2020

  • $10.33 NAV 2/21/2020
  • 2.02%

    Gross Expenses1

  • 1.50%*

    Net Expenses1

  • 80343J 494

    CUSIP

  • 8-21-2018

    Inception Date

*The Fund’s investment adviser has contractually agreed to reduce its fees and/or absorb expenses until at least March 31, 2020 for I Shares to ensure that net annual operating expenses will not exceed 1.49%, subject to possible recoupment from the Fund in future years.

8.3%

That’s the average annual return of the 10-year bond for the past 36 years. Yes, bonds! 2

What happens when the party ends?

Time to Harvest

An economic slowdown or a recession. Rising interest rates.

You know what will happen to HY bonds. We believe it is time to harvest . . . and diversify.

“When we hit the impending global recession, ordinary people will end up losing their jobs as leveraged companies with weak ratings try to keep up with debt payment, but eventually there will be many defaults.”

– Forbes, Aug. 2019 3

ALL GOOD THINGS

What’s the saying? ‘All good things must come to an end.’ Indeed, and while we don’t know when, we do know that the HY bond market investors have been feasting on for years is ripe for a disappointing change. If interest rates begin to rise or the economy slows, or we enter a recession as many experts are now forecasting, investment grade bonds could get pummeled. Where then can investors turn to find competitive yields without the risk of HY bonds? The structured credit market might be just the answer.

OUR SOLUTION

The James Alpha Structured Credit Value Fund is singularly focused on seeking to provide competitive yields to the HY market but with significantly lower volatility and risk. The goal is to provide consistent positive absolute returns in all market scenarios. We aim to achieve that by concentrating on finding opportunities in quality Residential Mortgage-Back Securities (RMBS) which are generally not subject to corporate credit risk.

Strategies incorporating structured credit may help improve investor’s fixed income allocations. Here are few reasons why:

  1. Legacy mortgage sectors may provide attractive risk adjusted returns in the fixed income markets
  2. Market inefficiencies may offer the opportunity for potential excess returns through active security selection
  3. Structured Credit sectors may offer some of the highest ratios of yield-to-duration in the fixed income universe under current market conditions

WHICH TYPE OF CLIENT IS THIS FUND SUITABLE FOR?

When considering the James Alpha Structured Credit Value Fund, it may be most appropriate for investors seeking:

  • Yields competitive to High-Yield funds, but with lower volatility
  • High level of risk adjusted current income
  • Capital appreciation
  • Capital preservation

FUND OBJECTIVE

The Fund seeks to provide a high level of risk-adjusted current income and capital appreciation. Capital preservation is a secondary objective.

Performance


Daily Prices and Returns as of 2/21/2020
Ticker Share Class NAV Chg % POP YTD
JASSX S 10.39 0.10% 1.76%
JSVIX I 10.33 0.00% 1.67%
JASVX A 10.55 0.00% 11.19 1.64%
JSVCX C 10.32 0.00% 1.47%

*Shares of Class S of the Portfolios are available exclusively to investment advisers and broker-dealers that are affiliated with the Manager as a means of implementing asset allocation recommendations for their clients

Inception date for S, I, A, and C Shares was 8/21/2018. Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed may be worth more or less than their original cost. The Fund’s management has contractually waived a portion of its management fees until March 31, 2020 for I, A, C Shares and March 31, 2021 for S Shares. The performance shown reflects the waivers without which the performance would have been lower. Total annual operating expenses before the expense reduction/reimbursement are 1.88% for S Shares, 2.02% for I Shares, 2.19% for A Shares, and 3.02% for C Shares; total annual operating expenses after the expense reduction/reimbursement are 1.13% for S Shares, 1.50% for I Shares, 1.75% for A Shares, and 2.50% for C Shares. The Fund’s investment adviser has contractually agreed to reduce and/or absorb expenses until at least March 31, 2020 for I, A, C Shares and March 31, 2021 for S Shares, to ensure that net annual operating expenses will not exceed 1.12% for S Shares, 1.49% for I Shares, 1.74% for A Shares, 2.49% for C Shares, subject to possible recoupment from the Fund in future years. 5.75% is the maximum sales charge on purchases of A shares. For performance information current to the most recent month-end, please call 888.814.8180.


Performance as of 12/31/2019
Ticker Share Class 1 MO YTD 1 YR 3 YR 5 YR Since Inception
JASSX S 0.48% 7.71% 7.71% N/A N/A 6.97%
JSVIX I 0.49% 7.31% 7.31% N/A N/A 6.61%
JASVX A 0.51% 8.97% 8.97% N/A N/A 7.88%
JSVCX C 0.41% 6.52% 6.52% N/A N/A 6.13%

*Shares of Class S of the Portfolios are available exclusively to investment advisers and broker-dealers that are affiliated with the Manager as a means of implementing asset allocation recommendations for their clients

Inception date for S, I, A, and C Shares was 8/21/2018. Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed may be worth more or less than their original cost. The Fund’s management has contractually waived a portion of its management fees until March 31, 2020 for I, A, C Shares and March 31, 2021 for S Shares. The performance shown reflects the waivers without which the performance would have been lower. Total annual operating expenses before the expense reduction/reimbursement are 1.88% for S Shares, 2.02% for I Shares, 2.19% for A Shares, and 3.02% for C Shares; total annual operating expenses after the expense reduction/reimbursement are 1.13% for S Shares, 1.50% for I Shares, 1.75% for A Shares, and 2.50% for C Shares. The Fund’s investment adviser has contractually agreed to reduce and/or absorb expenses until at least March 31, 2020 for I, A, C Shares and March 31, 2021 for S Shares, to ensure that net annual operating expenses will not exceed 1.12% for S Shares, 1.49% for I Shares, 1.74% for A Shares, 2.49% for C Shares, subject to possible recoupment from the Fund in future years. 5.75% is the maximum sales charge on purchases of A shares. For performance information current to the most recent month-end, please call 888.814.8180.

DISTRIBUTION HISTORY

Dividend and Capital Gains Distributions: S Shares (JASSX)

Distribution  Date Distribution  NAV Long-Term  Capital Gain Short-Term  Capital Gain Return of  Capital Dividend  Income Distribution  Total
09/24/2019 10.41 0.0000 0.0000 0.0000 0.1067 0.1067
06/27/2019 10.41 0.0000 0.0000 0.0000 0.1084 0.1084
03/27/2019 10.26 0.0000 0.0000 0.0000 0.0730 0.0730
12/27/2018 10.11 0.0000 0.0058 0.0000 0.0909 0.0967

Dividend and Capital Gains Distributions: I Shares (JSVIX)

Distribution  Date Distribution  NAV Long-Term  Capital Gain Short-Term  Capital Gain Return of  Capital Dividend  Income Distribution  Total
09/24/2019 10.36 0.0000 0.0000 0.0000 0.1067 0.1067
06/27/2019 10.38 0.0000 0.0000 0.0000 0.1084 0.1084
03/27/2019 10.24 0.0000 0.0000 0.0000 0.0730 0.0730
12/27/2018 10.10 0.0000 0.0058 0.0000 0.0909 0.0967

 


Dividend and Capital Gains Distributions: A Shares (JASVX)

Distribution  Date Distribution  NAV Long-Term  Capital Gain Short-Term  Capital Gain Return of  Capital Dividend  Income Distribution  Total
09/24/2019 10.58 0.0000 0.0000 0.0000 0.1013 0.1013
06/27/2019 10.60 0.0000 0.0000 0.0000 0.1063 0.1063
03/27/2019 10.26 0.0000 0.0000 0.0000 0.0448 0.0448
12/27/2018 10.11 0.0000 0.0058 0.0000 0.0896 0.0954

 


Dividend and Capital Gains Distributions: C Shares (JSVCX)

Distribution  Date Distribution  NAV Long-Term  Capital Gain Short-Term  Capital Gain Return of  Capital Dividend  Income Distribution  Total
09/24/2019 10.37 0.0000 0.0000 0.0000 0.0853 0.0853
06/27/2019 10.39 0.0000 0.0000 0.0000 0.0898 0.0898
03/27/2019 10.26 0.0000 0.0000 0.0000 0.0637 0.0637
12/27/2018 10.11 0.0000 0.0058 0.0000 0.0896 0.0954
12/13/2018 10.18 0.0000 0.0022 0.0000 0.1731 0.1753

 


PORTFOLIO MANAGERs

Jay Menozzi, CFA®

Jay Menozzi, CFA®

(Orange Investment Advisors)

Mr. Menozzi serves as Chief Investment Officer and Portfolio Manager for Orange Investment Advisors. Prior to joining the Orange Investment Advisors, Mr. Menozzi held several positions over 17 years at Semper Capital LP. He joined Semper in 1999 as the Head of Mortgages, and most recently served as the firm’s Chief Investment Officer from 2010 until his departure in 2016, as well as Lead Portfolio Manager of the Semper MBS Total Return Fund from its inception through 2015. Prior to Semper, Mr. Menozzi spent 12 years at Atlantic Portfolio Analytics and Management. His experience included managing mortgage pass-throughs and mortgage derivatives, in long only and leveraged portfolios. Prior to managing portfolios, he spent four years developing analytical and operational systems, including one of the early CMO cash flow models. He began his career as an electrical engineer at Harris Corp. Mr. Menozzi holds a BS in Electrical Engineering from the Massachusetts Institute of Technology and a MBA from the Florida Institute of Technology.

Boris Peresechensky, CFA®

Boris Peresechensky, CFA®

(Orange Investment Advisors)

Mr. Peresechensky serves as Portfolio Manager for Orange Investment Advisors. Prior to joining Orange Investment Advisors, Mr. Peresechensky held several positions at Semper Capital LP, working in research and development, structured credit trading, and most recently as a Senior Portfolio Manager/Trader of structured products. He also worked as a Risk Manager at Bayview Financial Trading Group and a Risk Analyst/Junior Portfolio Manager at HSBC Securities and at Lazard Asset Management. Mr. Peresechensky holds a BA from Columbia University.

Documents

Title Release Date Download PDF
Fourth Quarter Fact Sheet December 31, 2019 Download
Third Quarter Fact Sheet September 31, 2019 Download
Prospectus March 29, 2019 Download

Risks

There is no assurance that the portfolio will achieve its investment objective.

A CLO is a trust typically collateralized by a pool of loans. A CBO is a trust which is often backed by a diversified pool of high risk, below investment grade fixed income securities. A CDO is a trust backed by other types of assets representing obligations of various parties. For CLOs, CBOs and other CDOs, the cash flows from the trust are split into two or more portions, called tranches. Each tranche has an inverse risk-return relationship and varies in risk and yield. The Portfolio may engage in frequent trading of portfolio securities resulting in higher transaction costs, a lower return and increased tax liability. Basis risk refers to, among other things, the lack of the desired or expected correlation between a hedging instrument or strategy and the underlying assets being hedged. Certain derivative and “over-the-counter” (“OTC”) instruments in which the Portfolio may invest, such as OTC swaps and options, are subject to the risk that the other party to a contract will not fulfill its contractual obligations. The issuers of fixed income instruments in which the Portfolio invests may experience financial difficulty and may be unable to meet interest and/or principal payments, thereby causing its instruments to decrease in value and lowering the issuer’s credit rating. Credit spread risk is the risk that credit spreads (i.e., the difference in yield between securities that is due to differences in their credit quality) may increase when the market believes that bonds generally have a greater risk of default. The dollar value of the Portfolio’s foreign investments will be affected by changes in the exchange rates between the dollar and the currencies in which those investments are traded.

The derivatives that the Portfolio primarily expects to use include options, futures and swaps. Derivatives may be volatile and some derivatives have the potential for loss that is greater than the Portfolio’s initial investment. The liquidity of the futures market depends on participants entering into offsetting transactions rather than making or taking delivery. Inverse variable or floating rate obligations, sometimes referred to as inverse floaters, are a type of over-the-counter derivative debt instrument with a variable or floating coupon rate that moves in the opposite direction of an underlying reference, typically short-term interest rates. OTC swap transactions are two-party transactions and are therefore often less liquid than other types of investments, and the Portfolio may be unable to sell or terminate its swap positions at a desired time or price. Certain swaps, such as total return swaps where two parties agree to “swap” payments on defined underlying assets or interest rates, can have the potential for unlimited losses. If the Portfolio sells a put option, there is risk that the Portfolio may be required to buy the underlying investment at a disadvantageous price. U.S. government securities are subject to investment and market risk, interest rate risk and credit risk. The hedging strategy employed by the Sub-Adviser is designed to reduce, but not eliminate, losses resulting from volatility and market declines.

High yield, below investment grade and unrated high risk debt securities (which also may be known as “junk bonds”) may present additional risks because these securities may be less liquid, and therefore more difficult to value accurately and sell at an advantageous price or time, present more credit risk than investment grade bonds and may be subject to greater risk of default. Interest rate risk refers to the risk that bond prices generally fall as interest rates rise; conversely, bond prices generally rise as interest rates fall. An investment in the Portfolio’s common shares is subject to investment risk, including the possible loss of the entire principal amount invested. The Portfolio concentrates its investments in mortgage- and real estate-related securities, as described in the principal investment strategies section of this prospectus, and, as a result, the Portfolio’s performance will depend on the overall condition of that group of industries and the specific underlying securities to a much greater extent than a less concentrated fund. The Portfolio may hold illiquid securities that it is unable to sell at the preferred time or price and could lose its entire investment in such securities.

There is no guarantee that the investment techniques and risk analysis used by the portfolio managers will produce the desired results. MBS and ABS have different risk characteristics than traditional debt securities. Although certain principals of the Sub-Adviser have managed U.S. registered mutual funds, the Sub-Adviser has not previously managed a U.S. registered mutual fund and has only recently registered as an investment adviser with the SEC. The Portfolio may use quantitative mathematical models that rely on patterns inferred from historical prices and other financial data in evaluating prospective investments. MBS investments are subject to real estate risk, as the underlying loans securitizing the MBS are themselves collateralized by residential or commercial real estate. Regulatory authorities in the United States or other countries may restrict the ability of the Portfolio to fully implement its strategy, either generally, or with respect to certain securities, industries, or countries. Short sales may cause the Portfolio to repurchase a security at a higher price, thereby causing the Portfolio to incur a loss. Stripped mortgage-backed securities are a type of mortgage-backed security that receive differing proportions of the interest and principal payments from the underlying assets. Subprime loans refer to loans made to borrowers with weakened credit histories or with a lower capacity to make timely payments on their loans. The Portfolio may buy or sell TBA securities, particularly in the case of agency MBS, for which there is an extremely active, liquid market. Value investing strategies involve obtaining exposure to individual investments or market sectors that are out of favor and/or undervalued in comparison to their peers or their prospects for growth. The price or yield obtained in a when-issued transaction may be less favorable than the price or yield available in the market when the securities delivery takes place.

1 The Fund’s management has contractually waived a portion of its management fees until March 31, 2020 for I, A, C Shares and March 31, 2021 for S Shares. The performance shown reflects the waivers without which the performance would have been lower. Total annual operating expenses before the expense reduction/reimbursement are 1.88% for S Shares, 2.02% for I Shares, 2.19% for A Shares, and 3.02% for C Shares; total annual operating expenses after the expense reduction/reimbursement are 1.13% for S Shares, 1.50% for I Shares, 1.75% for A Shares, and 2.50% for C Shares. The Fund’s investment adviser has contractually agreed to reduce and/or absorb expenses until at least March 31, 2020 for I, A, C Shares and March 31, 2021 for S Shares, to ensure that net annual operating expenses will not exceed 1.12% for S Shares, 1.49% for I Shares, 1.74% for A Shares, 2.49% for C Shares, subject to possible recoupment from the Fund in future years. 5.75% is the maximum sales charge on purchases of A shares. For performance information current to the most recent month-end, please call 888.814.8180.

2 Columbia Threadneedle Investments, January 18, 2019. Chart: What’s next after 40 years of bull market in bonds?

3 Forbes, August 17, 2019. Investors Face Intensifying Credit Risks with U.S. High Yield Corporate Bonds.