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) 0.66 2.41 3.62
Fund with Sales Charge (%) (POP) 0.66 2.41 3.62
HFRX Fixed Income - Credit Index (%) 7.24 2.84 2.21 2.48 2.55
ICE BofA US 3-Month Treasury Bill Index (%) 1.46 1.74 1.20 0.64 1.22
Quarter EndAs of 06/30/2020 1 Yr 3 Yr 5 Yr 10 Yr Since InceptionInception 09/08/2015
Fund without Sales Charge (%) (NAV) 0.36 2.34 3.54
Fund with Sales Charge (%) (POP) 0.36 2.34 3.54
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 -0.39 1.16
Fund without Sales Charge (%) (NAV) After Shares Sold 0.39 1.34
Fund with Sales Charge (%) (POP) Before Shares Sold -0.39 1.16
Fund with Sales Charge (%) (POP) After Shares Sold 0.39 1.34
Quarter EndAs of 06/30/2020 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold -0.69 1.09
Fund without Sales Charge (%) (NAV) After Shares Sold 0.22 1.29
Fund with Sales Charge (%) (POP) Before Shares Sold -0.69 1.09
Fund with Sales Charge (%) (POP) After Shares Sold 0.22 1.29

Calendar Year Returns

2019 2018 2017 2016
Fund without Sales Charge (%) (NAV) 4.97 0.91 4.50 7.79
Fund with Sales Charge (%) (POP) 4.97 0.91 4.50 7.79
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) 7.89 -0.39 0.66 7.42 19.03
Fund with Sales Charge (%) (POP) 7.89 -0.39 0.66 7.42 19.03
HFRX Fixed Income - Credit Index (%) 7.44 4.38 7.24 8.77 11.55 27.81 13.10
ICE BofA US 3-Month Treasury Bill Index (%) 0.03 0.62 1.46 5.33 6.14 6.55 6.13
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) 8.76 -1.07 0.36 7.20 18.21
Fund with Sales Charge (%) (POP) 8.76 -1.07 0.36 7.20 18.21
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) 6.85
Standard Deviation (Bloomberg Barclays Global Aggregate Index) 4.14 4.69 4.64
Alpha -0.81
Beta 0.68
Sharpe Ratio 0.12
R-Squared 0.16

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

3 YR 5 YR 10 YR
Beta Bull -0.03
Beta Bear 3.70
Bull Bear Capture Ratio 0.92
% of Positive Months 77.78
Maximum Drawdown
Reporting Period
10.34 (01/20 - 02/20)

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 1.03%
Gross Expense Ratio 3.25%
Net Expense Ratio [further-information] 2.79%
Max Initial Sales Charge 0.00%
CDSC

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

Beta 0.68
Alpha -0.81
Sharpe Ratio 0.12
R-Squared 0.16
Standard Deviation 6.85

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