View as:
View as:

Commentary iMGP Alternative Strategies Fund Fourth Quarter 2023 Commentary

The iMGP Alternative Strategies Fund (Institutional Share Class) gained 3.40% in the last quarter of 2023. During the same period, the Morningstar Multistrategy Category was up 1.93%, the Bloomberg US Aggregate Bond Index (Agg) was up 6.82%, and the ICE BofA 3-Month Treasury Bill Index returned 1.37%. For the full year, the Fund was up 5.91%, compared to the category’s 6.63% return, 5.53% for the Agg, and 5.01% gain for 3-Month T-Bills.

Performance quoted represents past performance and does not guarantee future results.  The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less that their original cost.  Current performance of the fund may be lower or higher than the performance quoted.  The Advisor has contractually agreed to waive a portion of the management fee through April 30, 2024.  Performance data current to the most recent month end may be obtained by visiting

Quarterly Review

The Fund produced a very respectable 3.4% return in the fourth quarter, but trailed traditional asset classes, which rose sharply in the “everything rally” of the last two-plus months of the year, driven by cooling inflation data and dovish Fed communications. The S&P 500 rallied almost 12% and the Agg bounced almost 7% — both quarterly figures would generally be considered good returns for a full year. Despite trailing the traditional asset benchmark performance in 2023’s final quarter, the Fund participated meaningfully in the move, and still outperformed core bonds for the full year with significantly lower volatility and a maximum drawdown during the year of less than 4%, compared to the Agg’s intra-year drawdown of over 7%. (In an environment where the Agg suffered its worst losses since the early 1980s, the Fund has outperformed the index by approximately 400bps cumulatively over the trailing two years and by approximately 900bps over the trailing three years.)

In our last commentary we talked about the impact on the fund of ‘higher-for-longer,’ which had become the consensus in the late summer/early fall. However, market sentiment was changing even as we were writing, and that consensus shifted quickly to the market’s anticipation of the eventual Fed pivot, fueling the huge gains in the last two months of the year, in a phenomenon we had expected at some point in 2023. It was somewhat more dramatic than we had anticipated, and unfortunately, while we were confident in the nature of the market reaction, we had little confidence in pinpointing precisely when it would happen, which precluded us from putting more chips on our expected outcome. ‘Early’ and ‘wrong’ can be nearly indistinguishable in the investment business, and having an even higher allocation to fixed income-oriented strategies during the dark days of the Higher-for-Longer era would have been very challenging.

The delay in what we firmly believed would be strong performance for DoubleLine and Loomis Sayles was obviously frustrating (to say nothing of seeing significant pullbacks during the year), but the change in narrative during the fourth quarter finally helped produce meaningful gains from those segments of the Fund. The sizing of our overweight was conservative enough to allow us to confidently maintain the positioning and benefit when the rapid change occurred. And although these managers experienced significant positive performance in a relatively compressed timeframe, we think there is still plenty of potential return left to capture, as the blended yield-to-maturity (YTM) from DoubleLine and Loomis Sayles sleeves was 9.5% at year end, less than half a percentage point lower than what it was last quarter.

Someone in the investment industry said something to the effect of “Diversification means always having something to apologize for,” which is true in the short-term, as there’s generally always something that’s not “working.” The flip side of the recent rapid gains in the Fund’s overweighted areas is the negative short-term performance suffered by DBi’s sleeve. This segment of the Fund (which we reduced tactically to help fund the increase in DoubleLine’s allocation) had remained short bonds for the majority of the year as one of its main exposures. This positioning was very beneficial during a period of several months when several of the Fund’s other subadvisors were challenged, helping the Fund to tread water. But the rapid and dramatic reversals in the fourth quarter were, not surprisingly, a bad environment for DBi’s strategy. The Enhanced Trend strategy won’t always be negatively correlated with most of the rest of the Fund, and in fact in a sustained rate rally, it should benefit significantly. As a reminder, while we view the strategy as an important diversifier, we expect it to produce long-term returns similar to other strategies in the Fund, resulting in a better overall fund-level risk-adjusted return profile. Assuming that plays out as expected, there will be no apology necessary in the medium- to long-term. 

As mentioned previously, we still expect a lot of performance from the fixed income/credit managers, hence their significant overall allocation, but there remains a diversity of investment styles and return drivers in the portfolio, which provides valuable diversification. While most strategies are modestly less attractive than they were a year ago in our upside case, our base case return expectations for the Fund are very close to what they were a year ago. The Fund also still has a healthy level of dry powder that should allow it to remain opportunistic and take advantage of potential volatility in various parts of financial markets. We fully recognize the highly uncertain nature of projecting returns (“It is difficult to make predictions, especially about the future,” as Niels Bohr or Yogi Berra may have said), which is one of the reasons we maintain a high bar for making tactical changes. However, it can be useful for calibrating expectations and testing assumptions across different scenarios, and we mention it to underscore what we think is still an attractive opportunity set. We are pleased to report reasonable gains in the past year to our fellow shareholders, and we believe there is still considerable runway for strong performance going forward. We wish you health, happiness, and prosperity in the new year. Thank you for your trust and confidence.

iMGP Alternative Strategies Fund Risk/Return Statistics 12/31/2023

 MASFXBloomberg Barclays AggMorningstar Multistrategy CategoryRussell 1000
Annualized Return3.651.743.0214.56
Total Cumulative Return55.2323.5343.91429.02
Annualized Std. Deviation4.764.454.2014.81
Sharpe Ratio (Annualized)0.540.160.460.92
Beta (to Russell 1000)
Correlation of MASFX to…1.000.370.900.84
Worst 12-Month Return-10.04-15.68-5.71-19.13
% Positive 12-Month Periods0.760.640.740.87
Upside Capture (vs. Russell 1000)26.0710.6724.24100.00
Downside Capture (vs. Russell 1000)26.759.1527.68100.00
Upside Capture (vs. AGG)72.65100.0059.42226.45
Downside Capture (vs. AGG)21.97100.0017.5513.58
Past performance does not guarantee future results​. ​Indexes are unmanaged and cannot be invested into directly. ​As of 12/31/2023 Since inception (9/30/11)

Quarterly Portfolio Commentary      

Performance of Managers                            

For the quarter, five of six sub-advisors produced positive returns, led by the FPA Contrarian Opportunity, which gained 7.42%, DoubleLine’s Opportunistic Income strategy (+7.11%), and the Loomis Sayles Absolute Return strategy (+5.98%). The Water Island Arbitrage and Event-Driven strategy (+3.32) and Blackstone Credit’s Long-Short Credit strategy (+3.05%) were also solid contributors. The DBi Enhanced Trend strategy was the sole detractor, declining 5.29%. (All returns are net of the management fee charged to the fund.)

Key performance drivers and positioning by strategy

Blackstone Credit Systematic Group (fka DCI):

The Long-Short Systematic Credit portfolio returned over 3% in the quarter as credit selection was positive amidst a huge market rally in spreads and rates. (For the year, the portfolio delivered a greater than 7% gain on the back of strong credit selection.) Alpha performance for the quarter was positive, and positive within both sleeves, after a loss in the third quarter. Credit selection in the bond sleeve contributed more of the performance.

Rates hedging was in line, even as Treasury volatility was heightened on a pivot in market expectations around the Fed, thanks to slowing inflation and an explicitly dovish Fed meeting. Credit beta hedging cost a bit, as the market “soft-landing” rally drove the credit derivatives (that the portfolio is short to hedge market risk) a bit more strongly than the cash bonds that the portfolio owns. This effect should reverse in Q1 as cash bonds tend to “catch up” to derivatives quicker movement in big shifts. Broadly, the hedging again kept the macro footprint of the portfolio well behaved.

Security selection gains were notably positive in corporate bonds led by long consumer durables – especially housing related – REITS, technology names and energy names. Energy selection was strong, boosted by adjacencies in natural gas and mining, even as oil prices dropped notably. Consumer staples, media, transports, and utilities were negative contributors. Security selection in CDS was also positive, bouncing back after a weak Q3 and adding onto a solid first half of the year. Positive performance was somewhat concentrated in consumer goods and insurance, led by long positions in housing and housing related, as well as in consumer goods and in leisure (especially cruise lines). Negative performance was led by travel (especially airlines) and healthcare (especially hospitals).

Portfolio positioning continues to favor long consumer durables and experiences/leisure versus retail and consumer goods, long specialty finance and lending, and continues to be underweight in consumer staples and healthcare. The portfolio has moved shorter in energy on balance (though still long some names in the cash bonds) and to short transportation. The portfolio is increasingly neutral in financial institutions and insurance, and in technology. The net of the moves is to further emphasize the credit selection in the portfolio.

The portfolio continues to be underweight to high-default-probability names and tilted into stronger credit-quality. As the quarter saw notable credit differentiation, even as markets soared, the environment proved to be favorable. This differentiation is an important theme and going forward the investment team expects it to continue and for “up in quality” to be rewarded in the market. The sorting of credit into winners and losers looks likely as the surprisingly resilient economy is likely to cool down more significantly.


The Enhanced Trend strategy was down about 5.3% in the quarter. In December, global equity markets experienced gains due to the growing belief that there will be steep rate cuts in 2024. The U.S. Federal Reserve (Fed) and the European Central Bank (ECB) held rates steady in their last meetings of 2023, with the economic data showing slowing inflation and cooling job markets. The pause gives the major central banks time to determine if rates were high enough to contain inflation without negatively impacting the economy, the nearly impossible to achieve soft landing. Meanwhile, China faced deflation, which is still a worry for economists, as it typically goes hand in hand with a slowdown in economic activity.

In 2024, global equity markets face the prospect of contending with a challenging macroeconomic landscape. Economists are projecting a deceleration in the growth of both the U.S. and peer global economies. Concurrently, the potential rapid reduction of balance sheets by major central banks could have significant negative impacts on liquidity. Consumers and businesses alike continue to face steep and restrictive borrowing rates. Finally, potential instability in the global political landscape is also a concern, given the existence of the ongoing conflict in Ukraine and the seemingly expanding conflagration in the Middle East, to say nothing of the forthcoming presidential election in the United States.

The performance of the portfolio in the quarter was negatively impacted by positions across all asset classes, with the majority driven by rates. Short positions across 2-year, 10-year, and 30-year Treasury futures were detrimental; however, some of the losses were partially offset by long exposure, through SOFR, in the very front of the curve. Exposure to commodities also detracted performance, owing to the geopolitical turmoil and concerns about the oil output levels of major producers around the world. Within currencies, a major setback was the short exposure to the Japanese yen (JPY), though the dollar rallied versus other currencies, and this led to gains in the Dollar Index, partially offsetting the JPY position, as investors braced for key U.S. inflation data that could offer clues on the Federal Reserve’s next policy moves.


In the fourth quarter the portfolio’s 7.1% gain outperformed the Bloomberg US Aggregate Bond Index return of 6.8%. Financial market conditions improved during this period as U.S. inflation readings softened and expectations for easier monetary policy increased. The 2-year, 10-year, and 30-year U.S. Treasury yields rallied by 79, 69, and 67 basis points, respectively, allowing for an additional boost in equity and fixed-income credit valuations.

The portfolio’s strong outperformance was driven by both asset allocation and security selection, as its overweight positioning towards credit and security selections within the credit market were accretive to performance. Nearly every sector in the portfolio generated positive returns, with the top-performing sectors consisting of Agency RMBS, U.S. Treasuries, and non-Agency RMBS. These assets enjoyed duration-related price increases and the mortgage sectors also saw some modest spread tightening.

CLOs, emerging market debt, and domestic high-yield corporates also contributed nicely to performance. The only sector that detracted from performance was asset-backed securities (ABS), which suffered from some credit spread widening as consumer-related assets were viewed more cautiously by the market. The portfolio ended the quarter with a duration of 6.0 and a 10.7% yield.


The Contrarian Opportunity portfolio rebounded strongly, gaining 7.4% during the quarter. Top contributors to performance included a mix of companies, but with more coming from traditional value sectors, including commercial vehicles dealership group Rush Enterprises (0.9%), building supply company Holcim Ltd (0.6%), and Citigroup Inc. (0.5%). Meta Platforms (0.4%) was also a strong contributor, as FPA’s decision to hold the stock during its bleakest period paid off well this year, with the stock almost tripling during 2023. The only meaningful detractor was the basket of McDermott International securities (-1.0%), which fell sharply on a financial restructuring plan, with everything else detracting 20bps or less.

Given the extremely strong rally in risk assets in the quarter, there was more selling than buying, with cash increasing several percentage points. AIG and Groupe Bruxelles Lambert were trimmed during the quarter, along with total sales of the Gulfport Energy bonds and Naspers stock. Gross and net long exposure to equities is approximately 55%, the lowest in many quarters. The largest sector concentration is in communication services, with financials and industrials following. These three sectors comprise approximately 57% of the equity portfolio. Meanwhile, credit exposure continues to methodically increase, ending the quarter at almost 9%, the highest level in some time. FPA has historically added to credit exposure significantly during periods of market stress and is waiting for the opportunity to do that more aggressively when corporate spreads widen. As previously noted, the team has begun to slowly add to positions in areas impacted by rolling stresses in the economy, including financials and real estate, but had little opportunity to continue in the quarter given the strong rally across most markets. Cash is approximately 33%.

Loomis Sayles:

The Absolute Return strategy was up approximately 6% in the quarter. The portfolio’s allocation to investment-grade corporate bonds led positive contributions during the period, particularly within banking, basic industry, and technology. Spreads tightened and corporate yields declined to the lowest mark since May. While November’s rally was largely driven by supportive economic data, December’s rally was fueled by Federal Reserve rhetoric again supporting the soft-landing thesis in addition to expectations of future rate cuts. The portfolio’s positioning with respect to duration (and corresponding interest rate sensitivity) was additive to performance for the quarter. The Fed held rates steady in December, with the last hike taking place in July. The fed funds rate target will remain in the 5.25% to 5.50% range, with a 5.375% mid-point.

Exposure to high-yield bonds was also additive, as credit spreads tightened nearly 50 bps from +370 to +323, reaching the lowest point since April of 2022. Throughout the period, consumer cyclicals and non-cyclicals, as well as communications, contributed to excess returns. The portfolio’s positioning within securitized assets was also additive to performance for the quarter. Select exposure to ABS, CLO, and non-Agency RMBS names moderately helped excess return. After rising above 8 percent in October, the average 30-year mortgage loan remains below 7 percent, as the Fed signaled it is done raising interest rates and will begin lowering them in 2024. The portfolio ended the quarter with a duration of 3.0 and a yield of 7.4%.

Water Island:

The portfolio contributed positively, gaining approximately 3.3%, with the majority of gains coming from merger arbitrage and a small contribution from special situations.

Deal Highlights

The top contributor in the portfolio for the quarter was a position in the acquisition of VMware by Broadcom. In May 2022, VMware – a US-based software company specializing in cloud computing and virtualization technology – agreed to be acquired by Broadcom – a US-based semiconductor manufacturer focused on telecommunications and storage products – for $61.4 billion in cash and stock. The companies previously extended the termination date of this deal, as investigations from multiple global antitrust regulators caused lengthy delays in receiving clearances in several jurisdictions. Water Island maintained exposure throughout the deal given their conviction that it did not violate any competition laws. Despite the in-depth reviews, the deal ultimately received all required regulatory approvals and closed in November 2023, leading to gains for the portfolio. Other top contributors for the period included positions in Silicon Motion Technology and in the $46 billion acquisition of Seagen by Pfizer. Silicon Motion is a post-break holding from its terminated acquisition by MaxLinear, with the exposure predicated on a potential settlement related to the company pursuing an arbitration claim against MaxLinear seeking termination fees and additional damages for the wrongful termination of the deal. While arbitration is still ongoing, Silicon Motion shares traded up during Q4 based on the company’s improving fundamentals. With its acquisition of Seagen, Pfizer sought to double the scale of its oncology platform. This deal closed successfully in December.

Conversely, the top detractor for the quarter was a position in the failed merger of PNM Resources and Avangrid. In October 2020, PNM Resources – a US-based electric utility company primarily serving New Mexico and Texas – agreed to be acquired by Avangrid – a local peer serving New England and New York – for $4.0 billion in cash. The deal required several regulatory approvals at both the state and federal level – all but one of which had signed off by December 2021, when the Public Regulation Commission (“PRC”) of New Mexico rejected the merger. As there was still a path for the companies to move forward and gain PRC approval, in January 2022 Avangrid filed an appeal and extended the date of the merger agreement to 2023. The deal spread experienced volatility at various points during the course of 2023 as investors feared Avangrid would walk away as the extended termination date neared, despite public statements from Avangrid reaffirming its commitment to the transaction. Ultimately, these fears proved prescient – at the start of the new year, with no clear timing in the receipt of any decision on their appeal of the PRC denial, Avangrid capitulated and finally exercised its right to terminate the merger.

Other top detractors for the period included positions in Bayer and in the acquisition of Capri Holdings by Tapestry. Bayer – one of the largest pharmaceutical companies in the world – is actually a conglomerate of three separate, large, unrelated businesses. The company has faced calls to be broken up from investors who believe it trades at a deep discount to its sum-of-the-parts value. During Q4, the company’s shares traded off due to poor results in the Phase 3 trial of a key pipeline drug, which led to renewed calls for the company to be broken up. Water Island continues to believe the full value of Bayer will ultimately be unlocked via some combination of corporate events, whether they be spin-offs, asset sales, or divestitures. The $10 billion merger of Capri Holdings and Tapestry would combine two multinational fashion holding companies, bringing together brands such as Michael Kors, Versace, and Jimmy Choo with Kate Spade and Coach under one umbrella. The deal spread experienced volatility during Q4 amidst a softening luxury goods market and reports the FTC had initiated a second request, thus extending the deal timeline. Water Island is maintaining exposure as they continue to believe the transaction will receive all necessary approvals, with completion expected in the first half of 2024.

Water Island Market Commentary

The portfolio delivered strong gains during the fourth quarter, benefiting from favorable events in several transactions. Pfizer successfully completed its $43 billion takeover of cancer-focused biotech company Seagen and Bristol-Myers Squibb’s proposed $5.8 billion acquisition of cancer drugmaker Mirati Therapeutics received a swift antitrust approval, allowing the companies to accelerate their expected timeline for deal closure. Along with recent landmark outcomes in deals that succeeded in the face of heightened antitrust scrutiny, such as Microsoft’s acquisition of Activision Blizzard, Broadcom’s acquisition of VMWare, and Amgen’s acquisition of Horizon Therapeutics, these positive developments in the portfolio are representative of the broader theme we continued to witness in the latter half of the year: despite numerous protracted investigations from current antitrust regulators, existing case law and not politics continues to determine the outcomes of mergers and acquisitions (M&A).

In our event-driven universe, the market for newly announced M&A activity was admittedly somewhat tepid over the past 18 months. While some of this was due to higher interest rates, cloudy economic forecasts also made it difficult for companies and their boards of directors to make confident corporate action decisions. Volatile stock markets likewise contributed to a decline in activity as buyers and sellers faced wide valuation gaps. Furthermore, before the recent series of high-profile losses by the US Federal Trade Commission (FTC) and US Department of Justice (DOJ) at trial, the aggressive stance of current antitrust regulators likely had a chilling effect on consolidation. Nonetheless, although deal volume for the calendar year reached its lowest total in a decade according to Bloomberg data, M&A began to show signs of a revival in the latter half of the year. Perhaps emboldened by the courtroom successes of the likes of Microsoft, the final quarter of 2023 bore witness to the announcement of two of the year’s largest transactions, both in the energy sector – Exxon’s $68 billion acquisition of Pioneer Natural Resources and Chevron’s $59 billion acquisition of Hess – and we expect activity at this end of the market-cap spectrum to remain prevalent in the months ahead. Furthermore, the flurry of activity in the final three months of the year resulted in a strong fourth quarter – and the only quarter of 2023 to experience a year-over-year increase in M&A activity.

Looking ahead, we see several bright spots for merger arbitrage in 2024. There are motivated strategic acquirers with strong balance sheets waiting in the wings, looking to take advantage of dislocated target valuations. In the past year, the level of take-private transactions reached its highest since 2010, and private equity firms are still sitting on nearly $3 trillion in dry powder, including an estimated $1 trillion earmarked for buyouts. The calming of inflation and anticipated downward trend in interest rates should serve as a tailwind for deal flow. Lastly, the merger arbitrage landscape is currently less crowded than it was a year ago, with several participants having exited the strategy during 2023.

Yet at the same time, as is often the case, we see reason to remain cautious. Corporate boardrooms detest little more than uncertainty, and geopolitical tensions and conflicts can be a significant headwind to dealmaking. With ongoing wars between Ukraine/Russia and Israel/Hamas, and upcoming national elections in the US, European Union, India, and possibly the UK, there is potential for political upheaval and much change in 2024. During this time, certainty may be a scarce asset. Furthermore, we do not believe we’ve heard the last of the current administration’s antitrust watchdogs, who we anticipate will continue to grab headlines in an election year, despite having achieved little to date. At the very least, even if they don’t succeed in blocking transactions, their efforts are likely to extend deal timelines.

Strategy Allocations

The current allocations, reflecting the DoubleLine tactical overweight are 27% to DoubleLine, 17% each to DBi and Water Island, 15% to Loomis Sayles, 13% to Blackstone Credit Systematic Group, and 11% to FPA. (The Fund’s strategic targets are: 20% each to DBi and DoubleLine, 18% to Water Island, 15% each to Blackstone Credit Systematic Group and Loomis Sayles, and 12% to FPA.) We use the Fund’s daily cash flows to bring the manager allocations toward their targets when differences in shorter-term relative performance cause divergences.

Sub-Advisor Portfolio Composition as of December 31, 2023

Blackstone Credit Systematic Group (DCI) Long-Short Credit Strategy

Bond Portfolio Top Five Sector Exposures
Consumer Discretionary                                                           16.9%
High Tech                                                 12.9%
Energy                            12.0%
Investment Vehicles/REITs    7.8%
General                                             6.8%
CDS Portfolio Statistics
                                                                 Long  Short
Number of Issuers                                     7370
Average Credit Duration                           4.44.4
Spread                                                              129 bps120 bps
DBi Enhanced Trend Strategy
Asset Class Exposures (Notional)
DoubleLine Opportunistic Income Strategy
Sector Exposures            
Cash                                                              -3.1%
Government                                             2.0%
Agency Inverse Interest-Only                   11.5%
Agency CMO                                                 0.5%
Agency PO                                                    0.5%
Non-Agency Residential MBS          37.2%
Commercial MBS                                      16.0%
Collateralized Loan Obligations                                                17.0%
Bank Loan                                       4.1%
Emerging Markets                    7.4%
HY/ Other1.5%
TOTAL                                                       100.0%
FPA Contrarian Opportunity Strategy
Asset Class Exposures
U.S. Stocks                                        37.0%
Foreign Stocks                                           18.1%
Bonds                                                       8.9%
Limited Partnerships                                  2.2%
Cash                                                            33.2%
TOTAL                 100.0%

Loomis Sayles Absolute Return Strategy

Strategy Exposures

 Long TotalShort TotalNet Exposure
Investment-Grade Corp.18.1%0.0%18.1%
High-Yield Corporate22.7%-0.3%22.4%
Dividend Equity3.9%-0.1%3.8%
Bank Loans3.9%-0.5%3.4%
Emerging Market3.2%0.0%3.2%
Global Rates4.0%0.0%4.0%
Cash & Equivalents7.2%0.0%7.2%

Water Island Arbitrage and Event-Driven Strategy

Sub-Strategy Exposures

Merger Arbitrage – Equity85.4%-14.9%70.4%
Merger Arbitrage – Credit0.0%0.0%0.4%
Total Merger-Related85.4%-14.9%70.4%
Special Situations – Equity0.9%0.0%0.9%
Special Situations – Credit4.9%0.0%4.9%
Total Special Situations5.8%-0.1%5.7%


Stay Informed

iMGP Funds emails provide investors a way to stay in touch with us and receive information regarding the funds and investment principles in general. Topics may include updates on the funds and managers, further insights into our investment team’s processes, and commentary on various aspects of investing.


Must be preceded or accompanied by a prospectus. Read it carefully before investing.

Although the managers actively manage risk to reduce portfolio volatility, there is no guarantee that the fund will always maintain its targeted risk level, especially over shorter time periods and loss of principal is possible. The performance goals are not guaranteed, are subject to change, and should not be considered a predictor of investment return. All investments involve the risk of loss and no measure of performance is guaranteed. The fund aims to deliver its return over a full market cycle, which is likely to include periods of both up and down markets.

Though not an international fund, the fund may invest in foreign securities. Investing in foreign securities exposes investors to economic, political and market risks, and fluctuations in foreign currencies. Investments in debt securities typically decrease when interest rates rise. This risk is usually greater for longer-term debt securities. Investments in mortgage-backed securities include additional risks that investor should be aware of including credit risk, prepayment risk, possible illiquidity, and default, as well as increased susceptibility to adverse economic developments. Investments in lower-rated and non-rated securities present a greater risk of loss to principal and interest than higher-rated securities. Derivatives may involve certain costs and risks such as liquidity, interest rate, market, credit, management, and the risk that a position could not be closed when most advantageous. The fund may make short sales of securities, which involves the risk that losses may exceed the original amount invested. Multi-investment management styles may lead to higher transaction expenses compared to single investment management styles. Outcomes depend on the skill of the sub-advisors and advisor and the allocation of assets amongst them. Investing in derivatives could lose more than the amount invested. The fund may make short sales of securities, which involves the risk that losses may exceed the original amount invested. Merger arbitrage investments risk loss if a proposed reorganization in which the fund invests is renegotiated or terminated.

Dividends, if any, of net investment income are declared and paid quarterly. The Fund intends to distribute capital gains, if any, to shareholders on a quarterly basis. There is no assurance that the funds will be able to maintain a certain level of distributions. Dividend yield is the weighted average dividend yield of the securities in the portfolio (including cash). The number is not intended to demonstrate income earned or distributions made by the Fund.

Diversification does not assure a profit nor protect against loss in a declining market.

Leverage may cause the effect of an increase or decrease in the value of the portfolio securities to be magnified and the fund to be more volatile than if leverage was not used.

Alpha is an annualized return measure of how much better or worse a fund’s performance is relative to an index of funds in the same category, after allowing for differences in risk.

     An asset-backed security (ABS) is a financial security collateralized by a pool of assets such as loans, leases, credit card debt, royalties or receivables.

A basis point is a value equaling one on-hundredth of a percent (1/100 of 1%)

Beta is a measure of the volatility, or systematic risk, of a security or a portfolio in comparison to the market as a whole.

Contrarian Investing means investing in markets, asset classes or  sectors that are out-of-favor with current market sentiment.

A Call Option is a financial contract that gives the option buyer the right but not the obligation to buy a security at a certain price in a certain time period.

Correlation is a statistical measure of how two securities move in relation to each other.

Credit Default Swap (CDS) A credit default swap (CDS) is a financial derivative or contract that allows an investor to “swap” or offset their credit risk with that of another investor. For example, if a lender is worried that a borrower is going to default on a loan, the lender could use a CDS to offset or swap that risk

Credit spread is the difference in yield between a U.S. Treasury bond and another debt security of the same maturity but different credit quality.

Deal spread refers to the difference between the acquisition price of the shares and the market price at the time of investment.

Dry Powder is a slang term referring to marketable securities that are highly liquid and considered cash-like. It can also refer to cash reserves kept on hand. 

Duration is a commonly used measure of the potential volatility of the price of a debt security, or the aggregate market value of a portfolio of debt securities, prior to maturity. Securities with a longer duration generally have more volatile prices than securities of comparable quality with a shorter duration.

Collateralized Loan Obligation (CLO) is a security backed by a pool of debt, often low-rated corporate loans. Collateralized loan obligations (CLOs) are similar to collateralized mortgage obligations, except for the different type of underlying loan

A Head Fake rally is one that appears to be long lived but in actuality is short lived and typically followed by a decline.

Market capitalization (or market cap) is the total value of the issued shares of a publicly traded company; it is equal to the share price times the number of shares outstanding.

Mortgage-backed security (MBS) is a type of asset-backed security that is secured by a mortgage or collection of mortgages.  Commercial Mortgage Back Securities (CMBS) are backed by mortgages on commercial buildings.  Residential Mortgage Backed Securities (RMBS) are backed by mortgages on residential properties.

Standard deviation is a statistical measure of the historical volatility of a mutual fund or portfolio, usually computed using 36 monthly returns.

Sharpe ratio is the measure of a fund’s return relative to its risk. The Sharpe ratio uses standard deviation to measure a fund’s risk-adjusted returns. The higher a fund’s Sharpe ratio, the better a fund’s returns have been relative to the risk it has taken on. Because it uses standard deviation, the Sharpe ratio can be used to compare risk-adjusted returns across all fund categories.

A short sale is the sale of an asset or stock the seller does not own.  It is generally a transaction in which an investor sells borrowed securities in anticipation of a price decline; the seller is then required to return an equal number of shares at some point in the future. Contrastingly, a seller owns the security or stock in a long position.

Special Purpose Acquisition Companies (SPACS) are companies that are formed for the purpose of acquiring or merging with an existing company.

Total Return Investing is a strategy where investors buy assets that seek to deliver strong capital gains as well as income yield.

Upside/downside capture is a statistical measure that shows whether a given fund has outperformed–gained more or lost less than–a broad market benchmark during periods of market strength and weakness, and if so, by how much.

A Vertical Merger is the merger of two or more companies that provide different supply chain functions for a common good or service.

The BofA High-Yield Constrained Index  is a market value-weighted index of all domestic and yankee high-yield bonds, including deferred interest bonds and payment-in-kind securities.

The Bloomberg Barclays Aggregate Bond Index is a market capitalization-weighted index, meaning the securities in the index are weighted according to the market size of each bond type. Most U.S. traded investment grade bonds are represented. The index includes US Treasury Securities (non TIPS), Government agency bonds, Mortgage backed bonds, Corporate bonds, and a small amount of foreign bonds traded in U.S.

CDX Indexes track North American and emerging market credit derivative indexes.

The ICE BofA MOVE Index is a measure of U.S. interest rate volatility that tracks the movement in U.S. Treasury yield volatility implied by current prices of one-month over-the-counter options on 2-year, 5-year, 10-year and 30-year Treasuries.

The ICE BofAML U.S. T-Bill 0-3 Month Index tracks the performance of the U.S. dollar denominated U.S. Treasury Bills publicly issued in the U.S. domestic market with a remaining term to final maturity of less than 3 months.

LIBOR stands for London Interbank Offered Rate. It’s an index that is used to set the cost of various variable-rate loans.

The MSCI EAFE Index measures the performance of all the publicly traded stocks in 22 developed non-U.S. markets

The Russell 1000 Index measures the performance of the large-cap segment of the U.S. equity universe. It includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000 represents approximately 92% of the U.S. market.

The S&P 500 Index consists of 500 stocks that represent a sample of the leading companies in leading industries. This index is widely regarded as the standard for measuring large-cap U.S. stock market performance.

The VIX Index is a trademarked ticker symbol for the Chicago Board Options Exchange Market Volatility Index, a popular measure of the implied volatility of S&P 500 index options. Often referred to as the fear index or the fear gauge, it represents one measure of the market’s expectation of stock market volatility over the next 30 day period.

Each Morningstar Category Average represents a universe of Funds with similar investment objectives.

You cannot invest directly in an index.

Fund holdings and/or sector allocations are subject to change at any time and are not recommendations to buy or sell any security.

Mutual fund investing involves risk. Principal loss is possible.

iM Global Partner Fund Management, LLC. has ultimate responsibility for the performance of the IMGP Funds due to its responsibility to oversee the funds’ investment managers and recommend their hiring, termination, and replacement.

The IMGP Funds are Distributed by ALPS Distributors, Inc. LGM001364, Exp. 12/31/24