Average Annual Total Returns [further-information] As of 07/31/2020

Month EndAs of 07/31/2020 1 Yr 3 Yr 5 Yr 10 Yr Since InceptionInception 09/08/2015
Fund without Sales Charge (%) (NAV) 0.23 1.91 3.08
Fund with Sales Charge (%) (POP) -0.75 1.91 3.08
Quarter EndAs of 06/30/2020 1 Yr 3 Yr 5 Yr 10 Yr Since InceptionInception 09/08/2015
Fund without Sales Charge (%) (NAV) -0.07 1.84 2.99
Fund with Sales Charge (%) (POP) -1.05 1.84 2.99
HFRX Fixed Income - Credit Index (%) 4.98 2.20 1.65 2.38 2.03
ICE BofA US 3-Month Treasury Bill Index (%) 1.63 1.77 1.19 0.64 1.24

After-Tax Average Annual Total Returns [further-information] As of 07/31/2020

Month EndAs of 07/31/2020 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold -0.57 0.86
Fund without Sales Charge (%) (NAV) After Shares Sold 0.14 1.04
Fund with Sales Charge (%) (POP) Before Shares Sold -1.55 0.86
Fund with Sales Charge (%) (POP) After Shares Sold -0.44 1.04
Quarter EndAs of 06/30/2020 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold -0.87 0.79
Fund without Sales Charge (%) (NAV) After Shares Sold -0.04 0.99
Fund with Sales Charge (%) (POP) Before Shares Sold -1.85 0.79
Fund with Sales Charge (%) (POP) After Shares Sold -0.62 0.99

Calendar Year Returns

2019 2018 2017 2016
Fund without Sales Charge (%) (NAV) 4.56 0.30 3.91 7.15
Fund with Sales Charge (%) (POP) 3.56 -0.67 2.91 6.15
HFRX Fixed Income - Credit Index (%) 6.21 -2.55 3.87 4.97
ICE BofA US 3-Month Treasury Bill Index (%) 2.28 1.87 0.86 0.33

Cumulative Total Returns [further-information] As of 07/31/2020

Month EndAs of 07/31/2020 3 Month YTD 1 Yr 3 Yr 5 Yr 10 Yr Since Inception since 09/08/2015
Fund without Sales Charge (%) (NAV) 7.85 -0.68 0.23 5.84 16.04
Fund with Sales Charge (%) (POP) 6.85 -1.68 -0.75 5.84 16.04
Quarter EndAs of 06/30/2020 3 Month YTD 1 Yr 3 Yr 5 Yr 10 Yr Since Inception since 09/08/2015
Fund without Sales Charge (%) (NAV) 8.72 -1.37 -0.07 5.61 15.24
Fund with Sales Charge (%) (POP) 7.72 -2.35 -1.05 5.61 15.24
HFRX Fixed Income - Credit Index (%) 8.61 1.67 4.98 6.75 8.51 26.51 10.17
ICE BofA US 3-Month Treasury Bill Index (%) 0.02 0.60 1.63 5.40 6.11 6.54 6.10

MODERN PORTFOLIO THEORY (MPT) STATISTICSAs of 07/31/2020 (updated monthly)

3 YR 5 YR 10 YR
Standard Deviation (Fund) 6.88
Standard Deviation (Bloomberg Barclays Global Aggregate Index) 4.14 4.69 4.64
Alpha -1.31
Beta 0.69
Sharpe Ratio 0.04
R-Squared 0.16

ADDITIONAL RISK STATISTICSAs of 07/31/2020 (updated monthly)

3 YR 5 YR 10 YR
Beta Bull -0.02
Beta Bear 3.68
Bull Bear Capture Ratio 0.80

VALUE AT RISKAs of 06/30/2020 (updated monthly)


Value at Risk (Fund) -1.40%

Performance Contribution By Strategy(%) [further-information] As of 06/30/2020 (updated monthly)

Ending Weight (% of Invested Capital) YTD 1 Month 3 Months 1 Year
Structured Credit 53.33 -2.96 3.82 3.82 3.82
Credit Long Short 31.37 2.61 0.49 0.49 0.49
Emerging Market Fixed Income 15.30 0.35 0.27 0.27 0.27

SALES CHARGE, EXPENSES & FEES As of 03/01/2020 (updated annually)

Management Fee 1.60%
Dividend Expense and Borrowing Fees for Securities Sold Short 0.62%
Additional Expenses 1.53%
Gross Expense Ratio 3.75%
Net Expense Ratio [further-information] 3.29%
Max Initial Sales Charge 0.00%
CDSC 1.00%

Volatility Measures [further-information] As of 07/31/2020 Updated Monthly, based on a 1-year period

Beta 0.69
Alpha -1.31
Sharpe Ratio 0.04
R-Squared 0.16
Standard Deviation 6.88

Benchmarks

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

  • HFRX Fixed Income - Credit Index
  • ICE BofA US 3-Month Treasury Bill Index