Average Annual Total Returns [further-information] As of 09/30/2019

Month EndAs of 09/30/2019 1 Yr 3 Yr 5 Yr 10 Yr Since Inception Inception 10/11/2013
Fund without Sales Charge (%) (NAV) 0.49 2.52 1.97 2.73
Fund with Sales Charge (%) (POP) -0.49 2.52 1.97 2.73
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) 0.49 2.52 1.97 2.73
Fund with Sales Charge (%) (POP) -0.49 2.52 1.97 2.73
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 09/30/2019

Month EndAs of 09/30/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold -0.06 2.26 1.71
Fund without Sales Charge (%) (NAV) After Shares Sold 0.65 1.89 1.45
Fund with Sales Charge (%) (POP) Before Shares Sold -1.04 2.26 1.71
Fund with Sales Charge (%) (POP) After Shares Sold 0.07 1.89 1.45
Quarter EndAs of 09/30/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold -0.06 2.26 1.71
Fund without Sales Charge (%) (NAV) After Shares Sold 0.65 1.89 1.45
Fund with Sales Charge (%) (POP) Before Shares Sold -1.04 2.26 1.71
Fund with Sales Charge (%) (POP) After Shares Sold 0.07 1.89 1.45

Calendar Year Returns

2018 2017 2016 2015 2014
Fund without Sales Charge (%) (NAV) -3.10 5.72 1.04 -0.84 4.20
Fund with Sales Charge (%) (POP) -4.04 4.72 0.04 -1.82 3.20
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 09/30/2019

Month 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) -0.44 5.46 0.49 7.74 10.25 17.43
Fund with Sales Charge (%) (POP) -1.44 4.46 -0.49 7.74 10.25 17.43
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) -0.44 5.46 0.49 7.74 10.25 17.43
Fund with Sales Charge (%) (POP) -1.44 4.46 -0.49 7.74 10.25 17.43
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) 3.37 3.82
Standard Deviation (S&P 500 Index) 11.90 11.82 12.46
Alpha -2.05 -1.69
Beta 0.26 0.27
Sharpe Ratio 0.39 0.25
R-Squared 0.83 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 0.27 0.27
Upside Capture Ratio 22.63 26.01
Downside Capture Ratio 26.67 33.43
% of Positive Months 72.22 68.33
% of Negative Months 27.78 31.67
Maximum Drawdown
Reporting Period
4.71 (08/18 - 11/18) 6.53 (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 1.28%
Gross Expense Ratio 3.54%
Net Expense Ratio [further-information] 3.34%
Max Initial Sales Charge 0.00%
CDSC 1.00%

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

Beta 0.26
Alpha -2.05
Sharpe Ratio 0.39
Correlation 0.91
R-Squared 0.83
Standard Deviation 3.37

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
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