Grant Park Absolute Return Fund

Grant Park Absolute Return Fund

Grant Park Absolute Return Fund

Performance as of Sep 30, 2018

 

 

Q3

1 Year

Since Inception

Standard Deviation

Sharpe Ratio

Correlation

Without Max Sales Charge

               

Class I (GPHIX)

 

-2.61%

-10.74%

0.86%    

11.03    

0.06

0.29

S&P 500 TR Index

 

7.71%

17.91%

12.60%    

9.83    

1.18

1.00

S&P Euro 350 TR

 

0.97%

0.40%

3.47%    

12.52    

0.27

0.73

With Max Sales Charge

 

 

 

 

 

 

 

Class A (GPHAX)

 

-8.23%

-16.20%

-1.11%    

NA    

NA

NA

The performance data quoted here represents past performance. For performance data current to the most recent month end, please call toll-free 855.501.4758. Current performance may be lower or higher than the performance data quoted above. Past performance is no guarantee of future results. The investment return and principal value of an investment in the Fund will fluctuate so that investors’ shares, when redeemed, may be worth more or less than their original cost. Without waivers, Class A, C, I and N share total annual operating expenses would be 3.93%, 4.71%, 5.08% and 8.80%. The Fund’s investment adviser has contractually agreed to reduce its fees and/or absorb expenses until at least January 31, 2019, to ensure that net annual, operating expenses of the Class A, C, I and N Shares will not exceed 1.89% 2.64%, 1.64% and 1.89% respectively, subject to possible recoupment from the Fund in future years. Please review the Fund’s prospectus for more information regarding the Fund’s fees and expenses, including other share classes.

Current Fund performance available at www.morningstar.com

Performance Summary

May 1, 2015 - Sep 30, 2018

Grant Park Absolute Return Fund v. S&P Indices

Performance Summary

Monthly Performance (GPHIX)

 

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Year

2018

1.44%

-13.19%

-0.51%

-1.13%

-3.11%

2.46%

0.52%

0.21%

-3.32%

 

 

 

-16.25%

2017

-2.16%

4.61%

1.92%

0.66%

5.14%

-0.98%

1.44%

-2.04%

0.63%

7.63%

-0.33%

-0.64%

16.52%

2016

0.74%

0.21%

-0.32%

0.11%

2.11%

0.21%

3.72%

2.79%

0.58%

-2.21%

-1.28%

5.20%

12.25%

2015

 

 

 

 

-0.90%

-1.21%

-3.27%

1.16%

0.31%

0.52%

-1.35%

-1.36%

-6.00%

 

 

Fund Objective

The Fund seeks to provide positive absolute returns.

  • Execute statistically-driven, model-based quantitative trading strategies to identify and capture short-term price trends across a variety of market conditions within the target equity indices.

  • Indices traded include the S&P 500, the Nasdaq 100, the FTSE 100, Dax and the Dow Jones Eurostoxx 50.

  • Expected annualized standard deviation is 10%.

  • The Fund invests on an absolute returns basis, meaning the Fund has the potential to invest profitably during rising or falling equity markets. 

  • There is no guarantee that any investment will achieve its objectives, generate positive returns, or avoid losses.

Investment Growth

April 30, 2015 - Sep 30, 2018

Investment Growth

 

Month-end Portfolio

The indices shown are for informational purposes only and are not reflective of any investment.   As it is not possible to invest in the indices, the data shown does not reflect or compare features of an actual investment, such as its objectives, costs and expenses, liquidity, safety, guarantees or insurance, fluctuation of principal or return, or tax features.  Past performance is no guarantee of future results.

Fund Overview

  • The Grant Park Absolute Return Fund invests in five key U.S. and European equity markets.

  • Employs a quantitative strategy developed to identify short-to-intermediate moves in equities.

  • Is designed to potentially provide downside protection when equity prices fall.

Attribution by Index

Equity Market Diversification 

equity market diversification

In pursuing its investment growth strategy, the Fund will buy and sell futures contracts to gain exposure to the returns of U.S. and International equity indices. The Fund executes four trading strategies to identify and capture short-term price trends across a variety of market conditions within the target indices.  The Grant Park Absolute Return Fund invests in five key U.S. and European equity markets.

     Price Trend:  Medium-term strategy that seeks to identify persistent bullish or bearish price movement
     Momentum:  Strategy designed to take advantage of short-term price movements in volatile markets
     Counter Trend:  Seeks to exploit short-term dislocations of longer-term trends; and
     Pattern Recognition:  Seeks to identify short-term dislocations in intra-day trends

In the absence of any buy or sell signals from the model, the Sub Adviser will not pursue any new or expanded trading positions.  The Sub Adviser uses active risk management in seeking to provide downside protection from sustained or sudden negative price movements.  In seeking to fulfill the Fund’s investment objective, the sub-adviser may engage in frequent trading of the Fund’s portfolio investments.

Risk-Reward

Risk-Reward 1-Year

Oct 1, 2017 - Sep 30, 2018

Risk Reward 1 Year

 

Risk-Reward Since Inception

Apr 30, 2015 - Sep 30, 2018

Risk Reward Since Inception

Past performance is no guarantee of future results.

Sub-Adviser

  • Established in 2004.

  • Specialists in creating customized quantitative investment strategies.

  • Research is driven to develop statistically rigorous programs that deliver performance profiles independent of equity and fixed income markets and designed to improve a portfolio’s risk-adjusted performance.

All charts and graphs prepared by Dearborn Capital Management, LLC.