Average Annual Total Returns [further-information] As of 02/29/2020

Month EndAs of 02/29/2020 1 Yr 3 Yr 5 Yr 10 Yr Since InceptionInception 10/11/2013
Fund without Sales Charge (%) (NAV) 0.87 1.69 1.04 2.46
Fund with Sales Charge (%) (POP) -0.13 1.69 1.04 2.46
HFRX Global Hedge Fund Index (%) 4.60 1.50 0.63 0.98 0.97
ICE BofAML US 3-Month Treasury Bill Index (%) 2.18 1.73 1.13 0.61 0.90
Quarter EndAs of 12/31/2019 1 Yr 3 Yr 5 Yr 10 Yr Since InceptionInception 10/11/2013
Fund without Sales Charge (%) (NAV) 6.36 2.90 1.77 2.76
Fund with Sales Charge (%) (POP) 5.36 2.90 1.77 2.76
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 02/29/2020

Month EndAs of 02/29/2020 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 0.86 1.43 0.79
Fund without Sales Charge (%) (NAV) After Shares Sold 0.52 1.26 0.74
Fund with Sales Charge (%) (POP) Before Shares Sold -0.14 1.43 0.79
Fund with Sales Charge (%) (POP) After Shares Sold -0.07 1.26 0.74
Quarter EndAs of 12/31/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 6.35 2.64 1.53
Fund without Sales Charge (%) (NAV) After Shares Sold 3.78 2.19 1.31
Fund with Sales Charge (%) (POP) Before Shares Sold 5.35 2.64 1.53
Fund with Sales Charge (%) (POP) After Shares Sold 3.18 2.19 1.31

Calendar Year Returns

2019 2018 2017 2016 2015 2014
Fund without Sales Charge (%) (NAV) 6.36 -3.10 5.72 1.04 -0.84 4.20
Fund with Sales Charge (%) (POP) 5.36 -4.04 4.72 0.04 -1.82 3.20
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 02/29/2020

Month EndAs of 02/29/2020 3 Month YTD 1 Yr 3 Yr 5 Yr 10 Yr Since Inception since 10/11/2013
Fund without Sales Charge (%) (NAV) -0.84 -1.42 0.87 5.15 5.28 16.76
Fund with Sales Charge (%) (POP) -1.83 -2.40 -0.13 5.15 5.28 16.76
HFRX Global Hedge Fund Index (%) 0.17 -1.03 4.60 4.58 3.20 10.26 6.33
ICE BofAML US 3-Month Treasury Bill Index (%) 0.42 0.28 2.18 5.30 5.78 6.25 5.88
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) 0.86 6.36 6.36 8.97 9.18 18.44
Fund with Sales Charge (%) (POP) -0.14 5.36 5.36 8.97 9.18 18.44
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 02/29/2020 (updated monthly)

3 YR 5 YR 10 YR
Standard Deviation (Fund) 3.41 3.64
Standard Deviation (S&P 500 Index) 12.98 12.26 12.65
Alpha -2.00 -2.14
Beta 0.24 0.25
Sharpe Ratio 0.00 -0.01
R-Squared 0.83 0.74

ADDITIONAL RISK STATISTICSAs of 02/29/2020 (updated monthly)

3 YR 5 YR 10 YR
Correlation Coefficient 0.91 0.86
Beta Bull 0.26 0.19
Beta Bear 0.23 0.23
Upside Capture Ratio 21.26 23.20
Downside Capture Ratio 24.53 32.38
% of Positive Months 66.67 66.67
% of Negative Months 33.33 33.33
Maximum Drawdown
Reporting Period
4.71 (08/18 - 11/18) 6.53 (08/18 - 11/18)

VALUE AT RISKAs of 02/29/2020 (updated monthly)


Value at Risk (Fund) -2.34%

Performance Contribution By Strategy(%) [further-information] As of 02/29/2020 (updated monthly)

Ending Weight (% of Invested Capital) YTD 1 Month 3 Months 1 Year
Long Short Equity 28.29 -1.05 -1.03 -1.03 -1.03
Relative Value 27.46 0.22 -0.03 -0.03 -0.03
Global Macro 26.42 -0.45 -0.28 -0.28 -0.28
Event Driven 17.83 0.12 -0.07 -0.07 -0.07

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 02/29/2020 Updated Monthly, based on a 3-year period

Beta 0.24
Alpha -2.00
Sharpe Ratio 0.00
Correlation 0.91
R-Squared 0.83
Standard Deviation 3.41

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