Average Annual Total Returns [further-information] As of 03/31/2020

Month EndAs of 03/31/2020 1 Yr 3 Yr 5 Yr 10 Yr Since InceptionInception 10/11/2013
Fund without Sales Charge (%) (NAV) -4.18 0.69 0.87 2.55
Fund with Sales Charge (%) (POP) -4.18 0.69 0.87 2.55
HFRX Global Hedge Fund Index (%) -1.39 -0.54 -0.65 0.23 0.01
ICE BofAML US 3-Month Treasury Bill Index (%) 2.25 1.83 1.19 0.64 0.93
Quarter EndAs of 03/31/2020 1 Yr 3 Yr 5 Yr 10 Yr Since InceptionInception 10/11/2013
Fund without Sales Charge (%) (NAV) -4.18 0.69 0.87 2.55
Fund with Sales Charge (%) (POP) -4.18 0.69 0.87 2.55
HFRX Global Hedge Fund Index (%) -1.39 -0.54 -0.65 0.23 0.01
ICE BofAML US 3-Month Treasury Bill Index (%) 2.25 1.83 1.19 0.64 0.93

After-Tax Average Annual Total Returns [further-information] As of 03/31/2020

Month EndAs of 03/31/2020 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold -4.49 0.20 0.36
Fund without Sales Charge (%) (NAV) After Shares Sold -2.38 0.43 0.53
Fund with Sales Charge (%) (POP) Before Shares Sold -4.49 0.20 0.36
Fund with Sales Charge (%) (POP) After Shares Sold -2.38 0.43 0.53
Quarter EndAs of 03/31/2020 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold -4.49 0.20 0.36
Fund without Sales Charge (%) (NAV) After Shares Sold -2.38 0.43 0.53
Fund with Sales Charge (%) (POP) Before Shares Sold -4.49 0.20 0.36
Fund with Sales Charge (%) (POP) After Shares Sold -2.38 0.43 0.53

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 03/31/2020

Month EndAs of 03/31/2020 3 Month YTD 1 Yr 3 Yr 5 Yr 10 Yr Since Inception since 10/11/2013
Fund without Sales Charge (%) (NAV) -6.84 -6.84 -4.18 2.09 4.40 17.68
Fund with Sales Charge (%) (POP) -6.84 -6.84 -4.18 2.09 4.40 17.68
HFRX Global Hedge Fund Index (%) -6.85 -6.85 -1.39 -1.60 -3.19 2.36 0.07
ICE BofAML US 3-Month Treasury Bill Index (%) 0.57 0.57 2.25 5.58 6.09 6.56 6.19
Quarter EndAs of 03/31/2020 3 Month YTD 1 Yr 3 Yr 5 Yr 10 Yr Since Inception since 10/11/2013
Fund without Sales Charge (%) (NAV) -6.84 -6.84 -4.18 2.09 4.40 17.68
Fund with Sales Charge (%) (POP) -6.84 -6.84 -4.18 2.09 4.40 17.68
HFRX Global Hedge Fund Index (%) -6.85 -6.85 -1.39 -1.60 -3.19 2.36 0.07
ICE BofAML US 3-Month Treasury Bill Index (%) 0.57 0.57 2.25 5.58 6.09 6.56 6.19

MODERN PORTFOLIO THEORY (MPT) STATISTICSAs of 03/31/2020 (updated monthly)

3 YR 5 YR 10 YR
Standard Deviation (Fund) 4.86 4.47
Standard Deviation (S&P 500 Index) 15.00 13.54 13.24
Alpha -2.18 -1.98
Beta 0.30 0.29
Sharpe Ratio -0.21 -0.05
R-Squared 0.83 0.79

ADDITIONAL RISK STATISTICSAs of 03/31/2020 (updated monthly)

3 YR 5 YR 10 YR
Correlation Coefficient 0.91 0.89
Beta Bull 0.27 0.20
Beta Bear 0.39 0.33

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 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 03/31/2020 Updated Monthly, based on a 3-year period

Beta 0.30
Alpha -2.18
Sharpe Ratio -0.21
Correlation 0.91
R-Squared 0.83
Standard Deviation 4.86

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