Fact sheet: Pru JP Morgan Div Alt Beta Pn

Fund information
Fund name
Pru JP Morgan Diversified Alternative Beta Pn S3
Fund manager company
Prudential Pensions Ltd
Fund type
Pension Fund
Fund managers
  • Katherine Santiagosince 27/06/2013
  • Yazann Romahisince 27/06/2013
  • Wei Lisince 30/06/2014
Underlying fund
JPM Life Divfd Alternative Beta
Fund objective
The investment strategy of the fund is to purchase units in the JPMorgan Life Diversified Alternative Beta Fund. That fund is a pooled life fund which normally invests primarily in the 'JPMorgan Funds – Systematic Alpha Fund GBP Hedged Share Class', a subfund of an investment company organised under Luxembourg law as a SICAV.The Systematic Alpha Fund aims to provide an alternative diversified multistrategy approach to absolute return investing by capturing the systematic components of hedge fund returns (“alternative beta”) through a blend of lowly correlated strategies including Global Equity Long/Short (market-neutral), Global Macro, Merger Arbitrage and Convertible Arbitrage. The Fund may invest in funds which use derivatives for investment purposes. The Fund may also use derivatives for efficient portfolio management or the reduction of investment risk.The fund seeks to provide a total return in excess of its cash benchmark by exploiting behavioural patterns in the financial markets, primarily through the use of financial derivative instruments.
Benchmark
  • ICE 1 Month EUR LIBOR
Investment style
Multi Strategy
Investment method
Mixed
Quick stats
1 Year return
2.9%
1 Year rank in sector
362/514
Sector
PN Specialist
Yield
-
Fund size
£0m (£0m last year)
Offer price
105.3
Top in this sector
Fund name1 Year
OMW Neptune Rus + Grtr Rus48.9%
ReAssure AL NptRu&GtrRus Pn48.8%
L&G Nep Russia&Gtr Russia Pn48.2%
OMW InvescoPerpetualEmgEurpn44.4%
Scot Eq JPM Emg Eur Eq Pn43.8%
...more in PN Specialist

Performance snapshot

Holdings snapshot

  • USA91.3%
    UK7.2%
    Canada0.9%
    Europe ex UK0.4%
    Australia0.2%
  • Financials2.5%
    Health Care2.1%
    Information Technology1.6%
    Materials1.6%
    Consumer Staples1.4%
  • No data available.

Performance vs Sector

Cumulative performance
 1 mth3 mth6 mth1 yr3 yr5 yr
Fund1.7%2.4%4.5%2.9%--
Sector-0%-0.1%6.8%9.4%21.6%42.3%
Rank within sector52 / 54688 / 545286 / 531362 / 514--
Quartile1st1st3rd3rd
Calendar performance
 YTD - 20162015201420132012
Fund3.4%----
Sector9.3%2%7.2%11%7.7%
Rank within sector342 / 514----
Quartile3rd
Risk statistics
Alpha
?Alpha is a measure of a fund's over- or under-performance by comparison to its benchmark. If the Alpha is 5, the fund has outperformed its benchmark by 5%; so the greater the Alpha, the greater the outperformance.
-
Beta
?Beta estimates a fund's volatility by comparison to that of its benchmark. A fund with a beta close to 1 means that the fund will move generally in line with the benchmark. Higher than 1 and the fund is more volatile than the benchmark and vice versa.
-
Sharpe
?This commonly-used measure calculates the level of return over and above the return of a notional risk-free investment, such as cash. The difference in returns is then divided by the fund's volatility. The resulting ratio is an indication of the amount of excess return generated per unit of risk.
-
Volatility
?Volatility (or standard deviation), when applied to an investment fund, expresses its risk. It shows how widely a range of returns varied from the fund's average return over a particular period. For example, if a fund had an average return of 5%, and its volatility was 15, this would mean that the range of its returns over the period had swung between +20% and -10%.
-
Tracking error
?This measures the standard deviation of a fund's excess returns over the returns of an index or benchmark portfolio. As such, it can be an indication of 'riskiness' in the manager's investment style. A Tracking Error below 2 suggests a passive approach. At 3 and above the the manager will be deploying a more active investment style.
-
Information ratio
?This is a useful risk-adjusted measure of actively managed fund performance. It is calculated by deducting the returns of the fund's benchmark from the fund's overall returns, then dividing the result by its tracking error. The higher the Information Ratio the better. It is generally considered that a figure of 0.5 reflects a good performance, 0.75 very good, and 1.00 outstanding.
-
R-Squared
?An indication of how closely correlated a fund is to an index or a benchmark. Values for R-Squared range between 0 and 1, with 0 indicating no correlation at all and 1 showing a perfect match. Values upwards of 0.7 suggest that the fund's behaviour is increasingly linked to its benchmark.
-
Price movement
52 week high105.2
52 week low100.5
Current bid price-
Current offer price105.3
Current mid price-
Region
1USA91.3%
2UK7.2%
3Canada0.9%
4Europe ex UK0.4%
5Australia0.2%
Industry sector
1Financials2.5%
2Health Care2.1%
3Information Technology1.6%
4Materials1.6%
5Consumer Staples1.4%
6Energy1.1%
7Utilities0.9%
8Industrials0.3%
9Telecommunications Utilities-
Asset type
No data available.
Individual holdings
1COMMODITIES COMMODITIES SPGSCIROLLWEIGHTSELECT20.9%
2BOND BOND US 10YR NOTE (CBT) 21SEP16 TYU612.4%
3FX G10 CAD5.2%
4FX EM COP0.8%
5FX EM ZAR0.8%
6FX G10 CHF-3.8%
7BOND BOND CAN 10YR BOND (MSE) 21SEP16 CNU6-12.3%
8COMMODITIES COMMODITIES S&P GSCI EQUALWGTSELCT-21.1%
Management
Fund manager group
Prudential
Fund manager company
Prudential Pensions Ltd
Fund type
Pension Fund
Fund objective
The investment strategy of the fund is to purchase units in the JPMorgan Life Diversified Alternative Beta Fund. That fund is a pooled life fund which normally invests primarily in the 'JPMorgan Funds – Systematic Alpha Fund GBP Hedged Share Class', a subfund of an investment company organised under Luxembourg law as a SICAV.The Systematic Alpha Fund aims to provide an alternative diversified multistrategy approach to absolute return investing by capturing the systematic components of hedge fund returns (“alternative beta”) through a blend of lowly correlated strategies including Global Equity Long/Short (market-neutral), Global Macro, Merger Arbitrage and Convertible Arbitrage. The Fund may invest in funds which use derivatives for investment purposes. The Fund may also use derivatives for efficient portfolio management or the reduction of investment risk.The fund seeks to provide a total return in excess of its cash benchmark by exploiting behavioural patterns in the financial markets, primarily through the use of financial derivative instruments.
Benchmark
  • ICE 1 Month EUR LIBOR
Investment style
Multi Strategy
Investment method
Mixed
Fund managers
NameSinceBiography
Katherine Santiago27/06/2013Katherine Santiago is a portfolio manager on the Multi-Asset Solutions team within the Global Multi-Asset Research group based in London. An employee since 2005, Katherine currently focuses on alternative beta, tactical asset allocation and strategic portfolio construction across multi-asset class accounts and retirement research. She holds a B.A. in Mathematics from Bowdoin College, a M.S. in Mathematics in Finance from New York University and is a CFA charterholder.
Yazann Romahi27/06/2013Yazann Romahi, managing director, is the head of Global Multi-Asset Research in the Multi-Asset Solutions team, responsible for the quantitative models that help establish the broad asset allocation reflected across the Multi-Asset Solutions team’s portfolios globally. The team is also responsible for the design and portfolio management of the Alternative Beta suite of products. An employee since 2003, Yazann previously worked as a research analyst at the Centre for Financial Research at the University of Cambridge, holds a Ph.D. in Applied Mathematics from the University of Cambridge and is a CFA charterholder.
Wei Li30/06/2014Wei (Victor) Li, Vice President, is a portfolio manager for the alternative beta suite of products within the Quantitative Strategies group in the Investment Management Solutions – Global Multi-Asset Group ("IMS-GMAG"), based in London. An employee since 2010, his primary responsibilities include quantitative research, model development and portfolio management for quantitative strategies. Victor holds a PhD in Communications and Signal Processing from Imperial College London, where he was also employed as a full time research assistant. Prior to that, Victor obtained an MSc with Distinction in Communications Engineering from the University of Manchester. He is a CFA charterholder.
Compliance
No data available.
Domicile
No data available.
Fund for sale in
United Kingdom
Pru JP Morgan Diversified Alternative Beta Pn S3
Initial charge-
Annual charge-
Min single investment£0
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price105.3
Mid price-
CurrencyGBX
Price updated07/12/2016
TypeAccumulation
Institutional or retail classRetail
Domicile-
Citi codeM9ZL
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