Average Annual Total Returns [further-information] As of 01/31/2020

Month EndAs of 01/31/2020 1 Yr 3 Yr 5 Yr 10 Yr Since InceptionInception 10/11/2013
Fund without Sales Charge (%) (NAV) 4.56 3.22 2.48 3.44
Fund with Sales Charge (%) (POP) -1.15 1.31 1.33 2.52
HFRX Global Hedge Fund Index (%) 6.80 2.38 1.33 1.15 1.21
ICE BofAML US 3-Month Treasury Bill Index (%) 2.22 1.70 1.10 0.59 0.89
Quarter EndAs of 12/31/2019 1 Yr 3 Yr 5 Yr 10 Yr Since InceptionInception 10/11/2013
Fund without Sales Charge (%) (NAV) 7.18 3.70 2.52 3.49
Fund with Sales Charge (%) (POP) 1.27 1.75 1.37 2.56
HFRX Global Hedge Fund Index (%) 8.62 2.41 1.19 1.11 1.16
ICE BofAML US 3-Month Treasury Bill Index (%) 2.28 1.67 1.07 0.58 0.88

After-Tax Average Annual Total Returns [further-information] As of 01/31/2020

Month EndAs of 01/31/2020 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 4.34 2.80 2.07
Fund without Sales Charge (%) (NAV) After Shares Sold 2.76 2.38 1.80
Fund with Sales Charge (%) (POP) Before Shares Sold -1.36 0.89 0.93
Fund with Sales Charge (%) (POP) After Shares Sold -0.63 0.91 0.90
Quarter EndAs of 12/31/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 6.95 3.27 2.11
Fund without Sales Charge (%) (NAV) After Shares Sold 4.31 2.75 1.82
Fund with Sales Charge (%) (POP) Before Shares Sold 1.06 1.33 0.96
Fund with Sales Charge (%) (POP) After Shares Sold 0.81 1.25 0.93

Calendar Year Returns

2019 2018 2017 2016 2015 2014
Fund without Sales Charge (%) (NAV) 7.18 -2.36 6.57 1.68 -0.12 4.88
Fund with Sales Charge (%) (POP) 1.27 -7.74 0.41 -4.18 -5.86 -1.12
HFRX Global Hedge Fund Index (%) 8.62 -6.72 5.99 2.50 -3.64 -0.58
ICE BofAML US 3-Month Treasury Bill Index (%) 2.28 1.87 0.86 0.33 0.05 0.04

Cumulative Total Returns [further-information] As of 01/31/2020

Month EndAs of 01/31/2020 3 Month YTD 1 Yr 3 Yr 5 Yr 10 Yr Since Inception since 10/11/2013
Fund without Sales Charge (%) (NAV) 1.18 0.00 4.56 9.99 13.05 23.78
Fund with Sales Charge (%) (POP) -4.42 -5.51 -1.15 3.98 6.84 17.00
HFRX Global Hedge Fund Index (%) 2.68 0.41 6.80 7.30 6.82 12.16 7.88
ICE BofAML US 3-Month Treasury Bill Index (%) 0.40 0.13 2.22 5.18 5.63 6.10 5.72
Quarter EndAs of 12/31/2019 3 Month YTD 1 Yr 3 Yr 5 Yr 10 Yr Since Inception since 10/11/2013
Fund without Sales Charge (%) (NAV) 1.00 7.18 7.18 11.52 13.26 23.78
Fund with Sales Charge (%) (POP) -4.58 1.27 1.27 5.35 7.03 17.00
HFRX Global Hedge Fund Index (%) 2.57 8.62 8.62 7.39 6.07 11.68 7.44
ICE BofAML US 3-Month Treasury Bill Index (%) 0.46 2.28 2.28 5.09 5.49 5.97 5.58

MODERN PORTFOLIO THEORY (MPT) STATISTICSAs of 01/31/2020 (updated monthly)

3 YR 5 YR 10 YR
Standard Deviation (Fund) 3.34 3.68
Standard Deviation (S&P 500 Index) 11.95 11.75 12.32
Alpha -1.68 -1.60
Beta 0.26 0.27
Sharpe Ratio 0.47 0.39
R-Squared 0.85 0.75

ADDITIONAL RISK STATISTICSAs of 01/31/2020 (updated monthly)

3 YR 5 YR 10 YR
Correlation Coefficient 0.92 0.87
Beta Bull 0.27 0.21
Beta Bear 0.27 0.27
Upside Capture Ratio 23.81 26.33
Downside Capture Ratio 25.30 33.15
% of Positive Months 72.22 70.00
% of Negative Months 27.78 30.00
Maximum Drawdown
Reporting Period
4.55 (08/18 - 11/18) 5.99 (08/18 - 11/18)

VALUE AT RISKAs of 01/31/2020 (updated monthly)


Value at Risk (Fund) -1.93%

Performance Contribution By Strategy(%) [further-information] As of 01/31/2020 (updated monthly)

Ending Weight (% of Invested Capital) YTD 1 Month 3 Months 1 Year
Long Short Equity 28.48 -0.01 -0.01 -0.01 -0.01
Relative Value 28.27 0.25 0.25 0.25 0.25
Global Macro 25.90 -0.17 -0.17 -0.17 -0.17
Event Driven 17.35 0.19 0.19 0.19 0.19

SALES CHARGE, EXPENSES & FEES As of 10/01/2019 (updated annually)

Management Fee 1.90%
Dividend Expense and Borrowing Fees for Securities Sold Short 0.36%
Additional Expenses 0.53%
Gross Expense Ratio 2.79%
Net Expense Ratio [further-information] 2.59%
Max Initial Sales Charge 5.50%
CDSC 0.00%

Volatility Measures [further-information] As of 01/31/2020 Updated Monthly, based on a 3-year period

Beta 0.26
Alpha -1.68
Sharpe Ratio 0.47
Correlation 0.92
R-Squared 0.85
Standard Deviation 3.34

Benchmarks

A benchmark is a comparable broad-based index that can be used to evaluate a fund's performance.

  • HFRX Global Hedge Fund Index
  • ICE BofAML US 3-Month Treasury Bill Index