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) 4.31 2.98 2.15 3.12
Fund with Sales Charge (%) (POP) 4.31 2.98 2.15 3.12
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) 6.82 3.39 2.17 3.17
Fund with Sales Charge (%) (POP) 6.82 3.39 2.17 3.17
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 4.20 2.63 1.89
Fund without Sales Charge (%) (NAV) After Shares Sold 2.58 2.22 1.60
Fund with Sales Charge (%) (POP) Before Shares Sold 4.20 2.63 1.89
Fund with Sales Charge (%) (POP) After Shares Sold 2.58 2.22 1.60
Quarter EndAs of 12/31/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 6.71 3.04 1.91
Fund without Sales Charge (%) (NAV) After Shares Sold 4.07 2.54 1.62
Fund with Sales Charge (%) (POP) Before Shares Sold 6.71 3.04 1.91
Fund with Sales Charge (%) (POP) After Shares Sold 4.07 2.54 1.62

Calendar Year Returns

2019 2018 2017 2016 2015 2014
Fund without Sales Charge (%) (NAV) 6.82 -2.53 6.16 1.52 -0.76 4.63
Fund with Sales Charge (%) (POP) 6.82 -2.53 6.16 1.52 -0.76 4.63
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) 1.12 0.00 4.31 9.21 11.25 21.41
Fund with Sales Charge (%) (POP) 1.12 0.00 4.31 9.21 11.25 21.41
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) 0.94 6.82 6.82 10.53 11.35 21.41
Fund with Sales Charge (%) (POP) 0.94 6.82 6.82 10.53 11.35 21.41
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) 3.32 3.76
Standard Deviation (S&P 500 Index) 11.95 11.75 12.32
Alpha -1.88 -1.93
Beta 0.26 0.27
Sharpe Ratio 0.40 0.29
R-Squared 0.83 0.73

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

3 YR 5 YR 10 YR
Correlation Coefficient 0.91 0.85
Beta Bull 0.26 0.21
Beta Bear 0.28 0.26
Upside Capture Ratio 22.93 25.68
Downside Capture Ratio 25.54 34.87
% of Positive Months 72.22 70.00
% of Negative Months 27.78 30.00
Maximum Drawdown
Reporting Period
4.63 (08/18 - 11/18) 6.83 (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 0.78%
Gross Expense Ratio 3.04%
Net Expense Ratio [further-information] 2.84%
Max Initial Sales Charge 0.00%
CDSC

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

Beta 0.26
Alpha -1.88
Sharpe Ratio 0.40
Correlation 0.91
R-Squared 0.83
Standard Deviation 3.32

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