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) 3.73 2.46 1.73 2.70
Fund with Sales Charge (%) (POP) 2.73 2.46 1.73 2.70
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) 6.36 2.90 1.77 2.76
Fund with Sales Charge (%) (POP) 5.36 2.90 1.77 2.76
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 3.72 2.20 1.49
Fund without Sales Charge (%) (NAV) After Shares Sold 2.22 1.85 1.28
Fund with Sales Charge (%) (POP) Before Shares Sold 2.72 2.20 1.49
Fund with Sales Charge (%) (POP) After Shares Sold 1.63 1.85 1.28
Quarter EndAs of 12/31/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 6.35 2.64 1.53
Fund without Sales Charge (%) (NAV) After Shares Sold 3.78 2.19 1.31
Fund with Sales Charge (%) (POP) Before Shares Sold 5.35 2.64 1.53
Fund with Sales Charge (%) (POP) After Shares Sold 3.18 2.19 1.31

Calendar Year Returns

2019 2018 2017 2016 2015 2014
Fund without Sales Charge (%) (NAV) 6.36 -3.10 5.72 1.04 -0.84 4.20
Fund with Sales Charge (%) (POP) 5.36 -4.04 4.72 0.04 -1.82 3.20
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) 0.95 -0.09 3.73 7.56 8.98 18.33
Fund with Sales Charge (%) (POP) -0.05 -1.09 2.73 7.56 8.98 18.33
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) 0.86 6.36 6.36 8.97 9.18 18.44
Fund with Sales Charge (%) (POP) -0.14 5.36 5.36 8.97 9.18 18.44
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) 3.33 3.69
Standard Deviation (S&P 500 Index) 11.95 11.75 12.32
Alpha -2.41 -2.33
Beta 0.26 0.27
Sharpe Ratio 0.24 0.18
R-Squared 0.84 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 0.26 0.21
Beta Bear 0.27 0.27
Upside Capture Ratio 21.37 23.91
Downside Capture Ratio 26.85 35.07
% of Positive Months 69.44 68.33
% of Negative Months 30.56 31.67
Maximum Drawdown
Reporting Period
4.71 (08/18 - 11/18) 6.53 (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 1.28%
Gross Expense Ratio 3.54%
Net Expense Ratio [further-information] 3.34%
Max Initial Sales Charge 0.00%
CDSC 1.00%

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

Beta 0.26
Alpha -2.41
Sharpe Ratio 0.24
Correlation 0.92
R-Squared 0.84
Standard Deviation 3.33

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