Average Annual Total Returns [further-information] As of 05/31/2020

Month EndAs of 05/31/2020 1 Yr 3 Yr 5 Yr 10 Yr Since InceptionInception 09/08/2015
Fund without Sales Charge (%) (NAV) -3.66 0.50 2.15
Fund with Sales Charge (%) (POP) -4.61 0.50 2.15
HFRX Fixed Income - Credit Index (%) 3.96 1.68 1.03 2.13 1.63
ICE BofAML US 3-Month Treasury Bill Index (%) 1.84 1.79 1.19 0.64 1.26
Quarter EndAs of 03/31/2020 1 Yr 3 Yr 5 Yr 10 Yr Since InceptionInception 09/08/2015
Fund without Sales Charge (%) (NAV) -7.00 -0.77 1.29
Fund with Sales Charge (%) (POP) -7.92 -0.77 1.29
HFRX Fixed Income - Credit Index (%) -1.85 -0.18 -0.02 1.40 0.31
ICE BofAML US 3-Month Treasury Bill Index (%) 2.25 1.83 1.19 0.64 1.30

After-Tax Average Annual Total Returns [further-information] As of 05/31/2020

Month EndAs of 05/31/2020 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold -4.43 -0.52
Fund without Sales Charge (%) (NAV) After Shares Sold -2.14 0.00
Fund with Sales Charge (%) (POP) Before Shares Sold -5.38 -0.52
Fund with Sales Charge (%) (POP) After Shares Sold -2.70 0.00
Quarter EndAs of 03/31/2020 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold -7.75 -1.79
Fund without Sales Charge (%) (NAV) After Shares Sold -4.10 -0.95
Fund with Sales Charge (%) (POP) Before Shares Sold -8.66 -1.79
Fund with Sales Charge (%) (POP) After Shares Sold -4.64 -0.95

Calendar Year Returns

2019 2018 2017 2016
Fund without Sales Charge (%) (NAV) 4.56 0.30 3.91 7.15
Fund with Sales Charge (%) (POP) 3.56 -0.67 2.91 6.15
HFRX Fixed Income - Credit Index (%) 6.21 -2.55 3.87 4.97
ICE BofAML US 3-Month Treasury Bill Index (%) 2.28 1.87 0.86 0.33

Cumulative Total Returns [further-information] As of 05/31/2020

Month EndAs of 05/31/2020 3 Month YTD 1 Yr 3 Yr 5 Yr 10 Yr Since Inception since 09/08/2015
Fund without Sales Charge (%) (NAV) -6.56 -5.37 -3.66 1.52 10.56
Fund with Sales Charge (%) (POP) -7.49 -6.32 -4.61 1.52 10.56
HFRX Fixed Income - Credit Index (%) -0.60 -0.38 3.96 5.13 5.24 23.41 7.94
ICE BofAML US 3-Month Treasury Bill Index (%) 0.30 0.58 1.84 5.47 6.10 6.54 6.09
Quarter EndAs of 03/31/2020 3 Month YTD 1 Yr 3 Yr 5 Yr 10 Yr Since Inception since 09/08/2015
Fund without Sales Charge (%) (NAV) -9.28 -9.28 -7.00 -2.29 6.00
Fund with Sales Charge (%) (POP) -10.18 -10.18 -7.92 -2.29 6.00
HFRX Fixed Income - Credit Index (%) -6.39 -6.39 -1.85 -0.53 -0.08 14.92 1.43
ICE BofAML US 3-Month Treasury Bill Index (%) 0.57 0.57 2.25 5.58 6.09 6.56 6.08

MODERN PORTFOLIO THEORY (MPT) STATISTICSAs of 06/30/2020 (updated monthly)

3 YR 5 YR 10 YR
Standard Deviation (Fund) 6.88
Standard Deviation (Bloomberg Barclays Global Aggregate Index) 3.87 4.51 4.65
Alpha -1.20
Beta 0.76
Sharpe Ratio 0.03
R-Squared 0.18

ADDITIONAL RISK STATISTICSAs of 06/30/2020 (updated monthly)

3 YR 5 YR 10 YR
Beta Bull -0.09
Beta Bear 3.68
Bull Bear Capture Ratio 0.84

VALUE AT RISKAs of 05/31/2020 (updated monthly)


Value at Risk (Fund) -1.32%

Performance Contribution By Strategy(%) [further-information] As of 05/31/2020 (updated monthly)

Ending Weight (% of Invested Capital) YTD 1 Month 3 Months 1 Year
Structured Credit 51.90 -6.62 1.81 1.81 1.81
Credit Long Short 32.35 2.13 0.71 0.71 0.71
Emerging Market Fixed Income 15.75 0.10 0.30 0.30 0.30

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 1.53%
Gross Expense Ratio 3.75%
Net Expense Ratio [further-information] 3.29%
Max Initial Sales Charge 0.00%
CDSC 1.00%

Volatility Measures [further-information] As of 06/30/2020 Updated Monthly, based on a 1-year period

Beta 0.76
Alpha -1.20
Sharpe Ratio 0.03
R-Squared 0.18
Standard Deviation 6.88

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 BofAML US 3-Month Treasury Bill Index