Average Annual Total Returns [further-information] As of 12/31/2019

Month EndAs of 12/31/2019 1 Yr 3 Yr 5 Yr 10 Yr Since InceptionInception 10/11/2013
Fund without Sales Charge (%) (NAV) 7.49 4.01 2.87 3.83
Fund with Sales Charge (%) (POP) 7.49 4.01 2.87 3.83
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
Quarter EndAs of 12/31/2019 1 Yr 3 Yr 5 Yr 10 Yr Since InceptionInception 10/11/2013
Fund without Sales Charge (%) (NAV) 7.49 4.01 2.87 3.83
Fund with Sales Charge (%) (POP) 7.49 4.01 2.87 3.83
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 12/31/2019

Month EndAs of 12/31/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 7.16 3.50 2.36
Fund without Sales Charge (%) (NAV) After Shares Sold 4.52 2.96 2.05
Fund with Sales Charge (%) (POP) Before Shares Sold 7.16 3.50 2.36
Fund with Sales Charge (%) (POP) After Shares Sold 4.52 2.96 2.05
Quarter EndAs of 12/31/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 7.16 3.50 2.36
Fund without Sales Charge (%) (NAV) After Shares Sold 4.52 2.96 2.05
Fund with Sales Charge (%) (POP) Before Shares Sold 7.16 3.50 2.36
Fund with Sales Charge (%) (POP) After Shares Sold 4.52 2.96 2.05

Calendar Year Returns

2019 2018 2017 2016 2015 2014
Fund without Sales Charge (%) (NAV) 7.49 -2.01 6.83 2.10 0.24 5.25
Fund with Sales Charge (%) (POP) 7.49 -2.01 6.83 2.10 0.24 5.25
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 12/31/2019

Month 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) 1.07 7.49 7.49 12.53 15.17 26.32
Fund with Sales Charge (%) (POP) 1.07 7.49 7.49 12.53 15.17 26.32
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
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) 1.07 7.49 7.49 12.53 15.17 26.32
Fund with Sales Charge (%) (POP) 1.07 7.49 7.49 12.53 15.17 26.32
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 12/31/2019 (updated monthly)

3 YR 5 YR 10 YR
Standard Deviation (Fund) 3.41 3.66
Standard Deviation (S&P 500 Index) 11.93 11.88 12.40
Alpha -1.11 -0.99
Beta 0.26 0.26
Sharpe Ratio 0.70 0.50
R-Squared 0.83 0.74

ADDITIONAL RISK STATISTICSAs of 12/31/2019 (updated monthly)

3 YR 5 YR 10 YR
Correlation Coefficient 0.91 0.86
Beta Bull 0.25 0.21
Beta Bear 0.28 0.28
Upside Capture Ratio 26.25 27.31
Downside Capture Ratio 25.31 29.96
% of Positive Months 75.00 71.67
% of Negative Months 25.00 28.33
Maximum Drawdown
Reporting Period
4.54 (08/18 - 11/18) 5.47 (08/18 - 11/18)

VALUE AT RISKAs of 12/31/2019 (updated monthly)


Value at Risk (Fund) -4.45%

Performance Contribution By Strategy(%) [further-information] As of 12/31/2019 (updated monthly)

Ending Weight (% of Invested Capital) YTD 1 Month 3 Months 1 Year
Long Short Equity 31.01 6.49 0.62 0.62 0.62
Relative Value 25.87 1.61 0.25 0.25 0.25
Global Macro 24.97 1.58 0.13 0.13 0.13
Event Driven 18.15 1.10 0.15 0.15 0.15

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 0.21%
Gross Expense Ratio 2.47%
Net Expense Ratio [further-information] 2.26%
Max Initial Sales Charge 0.00%
CDSC

Volatility Measures [further-information] As of 12/31/2019 Updated Monthly, based on a 3-year period

Beta 0.26
Alpha -1.11
Sharpe Ratio 0.70
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