Average Annual Total Returns [further-information] As of 10/31/2019

Month EndAs of 10/31/2019 1 Yr 3 Yr 5 Yr 10 Yr Since Inception Inception 10/11/2013
Fund without Sales Charge (%) (NAV) 3.88 3.65 2.71 3.39
Fund with Sales Charge (%) (POP) -1.86 1.72 1.56 2.43
HFRX Global Hedge Fund Index (%) 3.53 2.23 0.65 1.11 0.82
ICE BofAML US 3-Month Treasury Bill Index (%) 2.40 1.60 1.02 0.56 0.86
Quarter EndAs of 09/30/2019 1 Yr 3 Yr 5 Yr 10 Yr Since Inception Inception 10/11/2013
Fund without Sales Charge (%) (NAV) 1.28 3.29 2.71 3.47
Fund with Sales Charge (%) (POP) -4.26 1.36 1.56 2.49
HFRX Global Hedge Fund Index (%) 0.01 1.93 0.32 1.07 0.78
ICE BofAML US 3-Month Treasury Bill Index (%) 2.39 1.54 0.98 0.54 0.84

After-Tax Average Annual Total Returns [further-information] As of 10/31/2019

Month EndAs of 10/31/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 3.32 3.23 2.31
Fund without Sales Charge (%) (NAV) After Shares Sold 2.66 2.70 1.97
Fund with Sales Charge (%) (POP) Before Shares Sold -2.40 1.31 1.16
Fund with Sales Charge (%) (POP) After Shares Sold -0.76 1.22 1.08
Quarter EndAs of 09/30/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 0.73 2.88 2.30
Fund without Sales Charge (%) (NAV) After Shares Sold 1.11 2.42 1.97
Fund with Sales Charge (%) (POP) Before Shares Sold -4.78 0.96 1.16
Fund with Sales Charge (%) (POP) After Shares Sold -2.19 0.94 1.08

Calendar Year Returns

2018 2017 2016 2015 2014
Fund without Sales Charge (%) (NAV) -2.36 6.57 1.68 -0.12 4.88
Fund with Sales Charge (%) (POP) -7.74 0.41 -4.18 -5.86 -1.12
HFRX Global Hedge Fund Index (%) -6.72 5.99 2.50 -3.64 -0.58
ICE BofAML US 3-Month Treasury Bill Index (%) 1.87 0.86 0.33 0.05 0.04

Cumulative Total Returns [further-information] As of 10/31/2019

Month EndAs of 10/31/2019 3 Month YTD 1 Yr 3 Yr 5 Yr 10 Yr Since Inception since 10/11/2013
Fund without Sales Charge (%) (NAV) -0.87 5.93 3.88 11.34 14.32 22.34
Fund with Sales Charge (%) (POP) -6.31 0.09 -1.86 5.24 8.03 15.63
HFRX Global Hedge Fund Index (%) 1.14 6.22 3.53 6.85 3.29 11.64 5.07
ICE BofAML US 3-Month Treasury Bill Index (%) 0.57 2.01 2.40 4.87 5.21 5.70 5.30
Quarter EndAs of 09/30/2019 3 Month YTD 1 Yr 3 Yr 5 Yr 10 Yr Since Inception since 10/11/2013
Fund without Sales Charge (%) (NAV) -0.26 6.11 1.28 10.20 14.30 22.55
Fund with Sales Charge (%) (POP) -5.76 0.26 -4.26 4.14 8.03 15.84
HFRX Global Hedge Fund Index (%) 1.61 5.90 0.01 5.91 1.62 11.24 4.74
ICE BofAML US 3-Month Treasury Bill Index (%) 0.56 1.81 2.39 4.70 5.01 5.52 5.10

MODERN PORTFOLIO THEORY (MPT) STATISTICSAs of 10/31/2019 (updated monthly)

3 YR 5 YR 10 YR
Standard Deviation (Fund) 3.39 3.81
Standard Deviation (S&P 500 Index) 11.90 11.82 12.46
Alpha -1.32 -0.95
Beta 0.26 0.27
Sharpe Ratio 0.61 0.45
R-Squared 0.82 0.71

ADDITIONAL RISK STATISTICSAs of 10/31/2019 (updated monthly)

3 YR 5 YR 10 YR
Correlation Coefficient 0.91 0.84
Beta Bull 0.26 0.22
Beta Bear 0.28 0.27
Upside Capture Ratio 25.18 28.45
Downside Capture Ratio 25.40 31.42
% of Positive Months 72.22 68.33
% of Negative Months 27.78 31.67
Maximum Drawdown
Reporting Period
4.55 (08/18 - 11/18) 5.99 (08/18 - 11/18)

VALUE AT RISKAs of 10/31/2019 (updated monthly)


Value at Risk (Fund) -1.96%

Performance Contribution By Strategy(%) [further-information] As of 10/31/2019 (updated monthly)

Ending Weight (% of Invested Capital) YTD 1 Month 3 Months 1 Year
Long Short Equity 30.49 4.83 0.39 0.39 0.39
Global Macro 25.27 1.30 0.06 0.06 0.06
Relative Value 20.31 1.28 -0.05 -0.05 -0.05
Event Driven 19.78 0.80 -0.04 -0.04 -0.04
Structured Credit 4.14 0.02 0.02 0.02 0.02

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 0.53%
Gross Expense Ratio 2.79%
Net Expense Ratio [further-information] 2.59%
Max Initial Sales Charge 5.50%
CDSC 0.00%

Volatility Measures [further-information] As of 10/31/2019 Updated Monthly, based on a 3-year period

Beta 0.26
Alpha -1.32
Sharpe Ratio 0.61
Correlation 0.91
R-Squared 0.82
Standard Deviation 3.39

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