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) 3.60 3.37 2.37 3.07
Fund with Sales Charge (%) (POP) 3.60 3.37 2.37 3.07
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) 0.92 3.02 2.38 3.14
Fund with Sales Charge (%) (POP) 0.92 3.02 2.38 3.14
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 3.04 2.99 2.10
Fund without Sales Charge (%) (NAV) After Shares Sold 2.49 2.50 1.76
Fund with Sales Charge (%) (POP) Before Shares Sold 3.04 2.99 2.10
Fund with Sales Charge (%) (POP) After Shares Sold 2.49 2.50 1.76
Quarter EndAs of 09/30/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 0.38 2.64 2.12
Fund without Sales Charge (%) (NAV) After Shares Sold 0.90 2.23 1.78
Fund with Sales Charge (%) (POP) Before Shares Sold 0.38 2.64 2.12
Fund with Sales Charge (%) (POP) After Shares Sold 0.90 2.23 1.78

Calendar Year Returns

2018 2017 2016 2015 2014
Fund without Sales Charge (%) (NAV) -2.53 6.16 1.52 -0.76 4.63
Fund with Sales Charge (%) (POP) -2.53 6.16 1.52 -0.76 4.63
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) -0.95 5.64 3.60 10.45 12.40 20.07
Fund with Sales Charge (%) (POP) -0.95 5.64 3.60 10.45 12.40 20.07
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) -0.35 5.82 0.92 9.32 12.50 20.28
Fund with Sales Charge (%) (POP) -0.35 5.82 0.92 9.32 12.50 20.28
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) 3.36 3.89
Standard Deviation (S&P 500 Index) 11.90 11.82 12.46
Alpha -1.56 -1.30
Beta 0.26 0.27
Sharpe Ratio 0.54 0.35
R-Squared 0.82 0.69

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

3 YR 5 YR 10 YR
Correlation Coefficient 0.90 0.83
Beta Bull 0.25 0.21
Beta Bear 0.28 0.26
Upside Capture Ratio 24.18 27.84
Downside Capture Ratio 25.64 33.31
% of Positive Months 72.22 68.33
% of Negative Months 27.78 31.67
Maximum Drawdown
Reporting Period
4.63 (08/18 - 11/18) 6.83 (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 24.45 1.28 -0.05 -0.05 -0.05
Event Driven 19.78 0.80 -0.04 -0.04 -0.04

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 0.78%
Gross Expense Ratio 3.04%
Net Expense Ratio [further-information] 2.84%
Max Initial Sales Charge 0.00%
CDSC

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

Beta 0.26
Alpha -1.56
Sharpe Ratio 0.54
Correlation 0.90
R-Squared 0.82
Standard Deviation 3.36

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