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) 4.98 3.60 2.85 3.79
Fund with Sales Charge (%) (POP) 4.98 3.60 2.85 3.79
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) 7.49 4.01 2.87 3.83
Fund with Sales Charge (%) (POP) 7.49 4.01 2.87 3.83
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 4.64 3.09 2.33
Fund without Sales Charge (%) (NAV) After Shares Sold 3.03 2.64 2.04
Fund with Sales Charge (%) (POP) Before Shares Sold 4.64 3.09 2.33
Fund with Sales Charge (%) (POP) After Shares Sold 3.03 2.64 2.04
Quarter EndAs of 12/31/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 7.16 3.50 2.36
Fund without Sales Charge (%) (NAV) After Shares Sold 4.52 2.96 2.05
Fund with Sales Charge (%) (POP) Before Shares Sold 7.16 3.50 2.36
Fund with Sales Charge (%) (POP) After Shares Sold 4.52 2.96 2.05

Calendar Year Returns

2019 2018 2017 2016 2015 2014
Fund without Sales Charge (%) (NAV) 7.49 -2.01 6.83 2.10 0.24 5.25
Fund with Sales Charge (%) (POP) 7.49 -2.01 6.83 2.10 0.24 5.25
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) 1.24 0.09 4.98 11.19 15.06 26.43
Fund with Sales Charge (%) (POP) 1.24 0.09 4.98 11.19 15.06 26.43
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) 1.07 7.49 7.49 12.53 15.17 26.32
Fund with Sales Charge (%) (POP) 1.07 7.49 7.49 12.53 15.17 26.32
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) 3.36 3.66
Standard Deviation (S&P 500 Index) 11.95 11.75 12.32
Alpha -1.34 -1.25
Beta 0.26 0.27
Sharpe Ratio 0.58 0.49
R-Squared 0.84 0.76

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 0.28 0.28
Upside Capture Ratio 25.15 27.31
Downside Capture Ratio 24.93 31.85
% of Positive Months 75.00 71.67
% of Negative Months 25.00 28.33
Maximum Drawdown
Reporting Period
4.54 (08/18 - 11/18) 5.47 (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 0.21%
Gross Expense Ratio 2.47%
Net Expense Ratio [further-information] 2.26%
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 -1.34
Sharpe Ratio 0.58
Correlation 0.92
R-Squared 0.84
Standard Deviation 3.36

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