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Name

As of 03/26/2024

Price

Aum/Mkt Cap

YIELD

Annualized forward dividend yield. Multiplies the most recent dividend payout amount by its frequency and divides by the previous close price.

Exp Ratio

Expense ratio is the fund’s total annual operating expenses, including management fees, distribution fees, and other expenses, expressed as a percentage of average net assets.

Watchlist

$7.54

$61.2 M

0.00%

3.02%

Vitals

YTD Return

2.7%

1 yr return

33.9%

3 Yr Avg Return

8.2%

5 Yr Avg Return

13.3%

Net Assets

$61.2 M

Holdings in Top 10

78.0%

52 WEEK LOW AND HIGH

$7.5
N/A
N/A

Expenses

OPERATING FEES

Expense Ratio 3.02%

SALES FEES

Front Load N/A

Deferred Load N/A

TRADING FEES

Turnover N/A

Redemption Fee N/A


Min Investment

Standard (Taxable)

$100,000

IRA

$100,000


Fund Classification

Fund Type

Open End Mutual Fund


Name

As of 03/26/2024

Price

Aum/Mkt Cap

YIELD

Annualized forward dividend yield. Multiplies the most recent dividend payout amount by its frequency and divides by the previous close price.

Exp Ratio

Expense ratio is the fund’s total annual operating expenses, including management fees, distribution fees, and other expenses, expressed as a percentage of average net assets.

Watchlist

$7.54

$61.2 M

0.00%

3.02%

ABRSX - Profile

Distributions

  • YTD Total Return 2.7%
  • 3 Yr Annualized Total Return 8.2%
  • 5 Yr Annualized Total Return 13.3%
  • Capital Gain Distribution Frequency Annually
  • Net Income Ratio -2.19%
DIVIDENDS
  • Dividend Yield 0.0%
  • Dividend Distribution Frequency Annual

Fund Details

  • Legal Name
    ABR 50/50 Volatility Fund
  • Fund Family Name
    Forum Family
  • Inception Date
    Oct 02, 2017
  • Shares Outstanding
    N/A
  • Share Class
    Instl
  • Currency
    USD
  • Domiciled Country
    US
  • Manager
    Taylor Lukof

Fund Description

Employing a proprietary investment model, the Fund’s adviser, ABR Dynamic Funds, LLC (the “Adviser”), invests the Fund’s assets primarily in securities and derivative instruments that, to varying degrees, provide for an allocation among (i) long exposure to CBOE Volatility Index (“VIX Index”) futures and VIX Index exchange-traded products (“ETPs”); (ii) short exposure to VIX Index futures and VIX Index ETPs; (iii) long exposure to S&P 500 Index futures and S&P 500 Index ETPs; (iv) long exposure to long-term U.S. Treasury securities, and (v) cash. For purposes of this policy, ETPs include exchange-traded funds and exchange-traded notes. The Fund’s holdings are rebalanced daily.

When the Fund has long exposure to any combination of VIX Index futures, VIX Index ETPs, S&P 500 Index futures, S&P 500 Index ETPs, and/or long-term U.S. Treasury securities, the Fund will profit if the price of the security or derivative instrument increases. When the Fund has short exposure to VIX Index futures or VIX Index ETPs, it has taken an opposing position to the movement of equity volatility in the market; it gains when the price of VIX Index futures or VIX Index ETPs falls while incurring losses when the price of VIX Index futures or VIX Index ETPs rises. Long and short positions may be directly related to one another or independent from each other.

The Adviser will typically manage the Fund’s assets so that fifty percent (50%) of its net assets are managed in accordance with the Adviser’s proprietary “long” volatility strategy, and the remaining fifty percent (50%) of its net assets are managed in accordance with the Adviser’s proprietary “short” volatility strategy. The actual exposure of the Fund’s assets to these two strategies may deviate from these targets based on market conditions. In addition, the Adviser may implement adjustments to the 50/50 blend under various market conditions with the goal of enhancing returns or mitigating risk. The 50/50 blend will result in significant short volatility exposure at times, which is subject to the risks discussed below.

Volatility and the VIX Index:

Volatility is a statistical measure of the magnitude of changes in security prices without regard to the direction of those changes. Higher volatility generally indicates higher risk, as often reflected by frequent (and sometimes significant) movements up and down in value. Lower volatility generally indicates lower risk because the prices of securities tend not to fluctuate as dramatically. The VIX Index measures the expected volatility of the S&P 500 Index. The S&P 500 Index is a market value-weighted index representing the performance of 500 widely held, publicly traded large capitalization companies.

The Fund does not track the performance of the VIX Index and can be expected to perform differently from the VIX Index.

Long and Short Volatility Strategies:

Long Volatility: The Adviser’s long volatility strategy is model-based and relies, in part, on a comparison of the current VIX Index level to its historical levels to assess the level of volatility in the market environment. Depending on the level of volatility in the market environment, the long volatility model’s allocation to long exposure to S&P 500 Index futures and S&P 500 Index ETPs may reach 100% and the model’s allocation to long exposure to VIX Index futures and VIX Index ETPs may approach 50%, although such maximum allocations will not be reached simultaneously. For example, in low to medium volatility environments, the long volatility model typically targets a larger long exposure to S&P 500 Index futures and S&P 500 Index ETPs and a lesser long exposure to VIX Index futures and VIX Index ETPs. In medium to high volatility environments, the model typically targets a lesser long exposure to S&P 500 Index futures and S&P 500 Index ETPs and a larger long exposure to VIX Index futures and VIX Index ETPs.

Short Volatility: The Adviser’s short volatility strategy is model-based and relies, in part, on a comparison of the current VIX Index level to its historical levels to assess the level of volatility in the market environment. Depending on the level of volatility in the market environment, the short volatility model’s allocation to short exposure to VIX Index futures and VIX Index ETPs may reach 100%; the model’s allocation to U.S. Treasuries may reach 80%; and the model’s allocation to cash may reach 100%, although such maximum allocations will not be reached simultaneously. For example, in low volatility environments, the short volatility model typically targets a larger long exposure to long-term U.S. Treasuries and a lesser short exposure to VIX Index futures and VIX Index ETPs. In medium volatility environments, the model typically targets a lesser long exposure to long-term U.S. Treasuries and a larger short exposure to VIX Index futures and VIX Index ETPs. In high volatility environments, the model typically targets a lesser long exposure to long-term U.S. Treasuries and short exposure to VIX Index futures and VIX Index ETPs, with a larger exposure to cash.

The Adviser may consider other factors when implementing its long and short volatility strategies, such as changes to the time period over which the investment model is run, changes to the relative weightings of model exposures, and changes to the choice and weighting of the instruments used to gain such exposures. Such factors may cause the Fund’s holdings to deviate from the models.

50% Long Volatility Strategy / 50% Short Volatility Strategy Approach:

In managing the Fund, the Adviser uses a 50/50 blend of Long and Short Volatility Strategies, based on the Fund’s net assets, in order to seek to capitalize on extended downtrends in the price of VIX Index futures and VIX Index ETPs, while mitigating the effect of sudden price appreciation in VIX Index futures and VIX Index ETPs.

Depending on the level of volatility in the market, the Fund, through its 50/50 approach, will emphasize different portfolio constituents in differing amounts or levels. For example, in low volatility environments, the Adviser’s approach typically creates a larger long exposure to S&P 500 Index futures and S&P 500 Index ETPs and larger exposure to long-term U.S. Treasuries and a lesser short exposure to VIX Index futures and VIX Index ETPs. In medium volatility environments, the Adviser’s approach typically creates a lesser long exposure to S&P 500 Index futures and S&P 500 Index ETPs and lesser long exposure to long-term U.S. Treasuries and a larger short exposure to VIX Index futures and VIX Index ETPs. In high volatility environments, the approach typically creates a lesser long exposure to S&P 500 Index futures and S&P 500 Index ETPs and lesser long exposure to long-term U.S. Treasuries and a larger long exposure to VIX futures and VIX Index ETPs with a larger exposure to cash.

The Fund is not designed to achieve balance among its long and short volatility exposures; rather, the potential for long volatility exposure inherent in the 50/50 strategy is intended to help mitigate the risks associated with the Fund’s short volatility exposure, which may be significant at times. The Adviser believes that the Fund’s long volatility exposure functions in a way that is complementary to the Fund’s short volatility exposure, in that long volatility exposure, at times when it is present in the Fund, may mitigate the potentially substantial losses that can be associated with short volatility exposure when there is sudden price appreciation in VIX Index futures and VIX Index ETPs.

The Fund is generally expected to engage in frequent and active trading of portfolio securities to achieve its investment objective. A higher turnover rate will involve correspondingly greater transaction costs, which will be borne directly by the Fund, may have an adverse impact on performance, and may increase the potential for more taxable distributions being paid to shareholders, including short-term capital gains that are taxed at ordinary income rates.

There are risks related to investing in the Fund, as described in greater detail below, and the Fund may not be suitable for all investors. Investors and prospective investors are encouraged to contact an investment professional to discuss investing in the Fund and the role of the Fund in an investor’s overall portfolio.

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ABRSX - Performance

Return Ranking - Trailing

Period ABRSX Return Category Return Low Category Return High Rank in Category (%)
YTD 2.7% -10.3% 17.3% 84.21%
1 Yr 33.9% -13.1% 44.0% 7.60%
3 Yr 8.2%* -21.2% 30.6% 19.87%
5 Yr 13.3%* -4.2% 25.2% 3.62%
10 Yr N/A* -4.2% 9.9% N/A

* Annualized

Return Ranking - Calendar

Period ABRSX Return Category Return Low Category Return High Rank in Category (%)
2023 38.8% -17.3% 43.8% 1.75%
2022 -34.1% -54.0% 17.4% 97.44%
2021 -6.0% -40.0% 54.1% 86.00%
2020 5.7% -47.6% 88.4% 35.42%
2019 62.6% -20.3% 62.6% 0.74%

Total Return Ranking - Trailing

Period ABRSX Return Category Return Low Category Return High Rank in Category (%)
YTD 2.7% -10.3% 17.3% 84.21%
1 Yr 33.9% -13.1% 44.0% 7.60%
3 Yr 8.2%* -21.2% 30.6% 19.87%
5 Yr 13.3%* -4.2% 25.2% 3.62%
10 Yr N/A* -4.2% 9.9% N/A

* Annualized

Total Return Ranking - Calendar

Period ABRSX Return Category Return Low Category Return High Rank in Category (%)
2023 38.8% -14.5% 43.8% 1.75%
2022 -34.1% -54.0% 50.3% 97.44%
2021 41.4% -40.0% 61.6% 4.67%
2020 5.7% -29.9% 91.0% 47.92%
2019 79.4% -17.9% 79.4% 0.74%

NAV & Total Return History


ABRSX - Holdings

Concentration Analysis

ABRSX Category Low Category High ABRSX % Rank
Net Assets 61.2 M 1.04 M 6.15 B 61.63%
Number of Holdings 9 2 1788 87.57%
Net Assets in Top 10 44.4 M 474 K 1.98 B 49.70%
Weighting of Top 10 78.04% 0.4% 101.9% 20.71%

Top 10 Holdings

  1. SP 500 E-mini Future 42.77%
  2. U.S. Treasury Bond 7.71%
  3. U.S. Treasury Bond 7.70%
  4. U.S. Treasury Bond 7.68%
  5. U.S. Treasury Bond 7.67%
  6. U.S. Treasury Bond 7.63%
  7. U.S. Treasury Bond 7.60%
  8. CBOE VIX Future -5.34%
  9. CBOE VIX Future -5.38%

Asset Allocation

Weighting Return Low Return High ABRSX % Rank
Bonds
46.00% 0.00% 95.60% 5.33%
Other
32.05% -45.12% 99.51% 5.33%
Cash
21.96% 0.00% 102.08% 52.66%
Stocks
0.00% 0.00% 102.24% 98.22%
Preferred Stocks
0.00% 0.00% 8.72% 92.31%
Convertible Bonds
0.00% -0.02% 4.48% 87.12%

Bond Sector Breakdown

Weighting Return Low Return High ABRSX % Rank
Derivative
32.05% -45.12% 99.51% 2.96%
Cash & Equivalents
0.00% 0.00% 100.00% 98.22%
Securitized
0.00% 0.00% 13.59% 88.89%
Corporate
0.00% 0.00% 99.80% 88.89%
Municipal
0.00% 0.00% 0.07% 88.89%
Government
0.00% 0.00% 58.54% 89.51%

Bond Geographic Breakdown

Weighting Return Low Return High ABRSX % Rank
US
46.00% 0.00% 95.60% 5.33%
Non US
0.00% 0.00% 12.28% 89.35%

ABRSX - Expenses

Operational Fees

ABRSX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Expense Ratio 3.02% 0.42% 8.51% 15.70%
Management Fee 2.50% 0.00% 2.50% 99.42%
12b-1 Fee N/A 0.00% 1.00% 56.86%
Administrative Fee N/A 0.03% 1.54% N/A

Sales Fees

ABRSX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Front Load N/A 2.50% 5.75% N/A
Deferred Load N/A 1.00% 4.00% N/A

Trading Fees

ABRSX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Max Redemption Fee N/A 0.50% 2.00% N/A

Related Fees

Turnover provides investors a proxy for the trading fees incurred by mutual fund managers who frequently adjust position allocations. Higher turnover means higher trading fees.

ABRSX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Turnover N/A 0.00% 479.00% 100.00%

ABRSX - Distributions

Dividend Yield Analysis

ABRSX Category Low Category High ABRSX % Rank
Dividend Yield 0.00% 0.00% 26.99% 97.08%

Dividend Distribution Analysis

ABRSX Category Low Category High Category Mod
Dividend Distribution Frequency Annual Annually Quarterly Annual

Net Income Ratio Analysis

ABRSX Category Low Category High ABRSX % Rank
Net Income Ratio -2.19% -3.33% 2.16% 94.71%

Capital Gain Distribution Analysis

ABRSX Category Low Category High Capital Mode
Capital Gain Distribution Frequency Annually Annually Annually Annually

Distributions History

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ABRSX - Fund Manager Analysis

Managers

Taylor Lukof


Start Date

Tenure

Tenure Rank

Oct 02, 2017

4.66

4.7%

Mr. Lukof is the Founder/CEO and Fund Manager. He has 16 years of investment experience. He was formerly a partner at Toro Trading LLC, where he co-managed equity derivative trading strategies. Mr. Lukof, as a market maker, was responsible for trading single name and index-related exchanged traded products. He began his career at TANSTAAFL Research & Trading, LLC, as the youngest member of the American Stock Exchange at that time. Mr. Lukof graduated from Bucknell University, Cum Laude, with a Bachelor of Science in Business Administration.

David Skordal


Start Date

Tenure

Tenure Rank

Oct 02, 2017

4.66

4.7%

Mr. Skordal is a co-Founder and Fund Manager at ABR Dynamic Funds. He has 17 years of investment experience. He was formerly a Trader at Toro Trading LLC, where he worked alongside Mr. Lukof. At Toro Trading, he developed and managed the international Exchange Traded Funds desk. Before joining Toro Trading in 2009, Mr. Skordal was a specialist on the American Stock Exchange for Susquehanna International Group. He has a 10-year working relationship with Mr. Lukof. Mr. Skordal graduated from Massachusetts Institute of Technology (MIT) with a Bachelor of Science (SB) degree in Physics.

Tenure Analysis

Category Low Category High Category Average Category Mode
0.07 23.55 6.05 7.93