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 09/08/2015
Fund without Sales Charge (%) (NAV) 4.73 3.54 4.40
Fund with Sales Charge (%) (POP) 4.73 3.54 4.40
HFRX Fixed Income - Credit Index (%) 3.86 2.07 1.36 2.39 1.86
ICE BofAML US 3-Month Treasury Bill Index (%) 2.18 1.73 1.13 0.61 1.26
Quarter EndAs of 12/31/2019 1 Yr 3 Yr 5 Yr 10 Yr Since InceptionInception 09/08/2015
Fund without Sales Charge (%) (NAV) 4.97 3.44 4.22
Fund with Sales Charge (%) (POP) 4.97 3.44 4.22
HFRX Fixed Income - Credit Index (%) 6.21 2.44 1.54 2.58 1.88
ICE BofAML US 3-Month Treasury Bill Index (%) 2.28 1.67 1.07 0.58 1.24

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 3.64 2.27
Fund without Sales Charge (%) (NAV) After Shares Sold 2.79 2.19
Fund with Sales Charge (%) (POP) Before Shares Sold 3.64 2.27
Fund with Sales Charge (%) (POP) After Shares Sold 2.79 2.19
Quarter EndAs of 12/31/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 3.88 2.18
Fund without Sales Charge (%) (NAV) After Shares Sold 2.94 2.12
Fund with Sales Charge (%) (POP) Before Shares Sold 3.88 2.18
Fund with Sales Charge (%) (POP) After Shares Sold 2.94 2.12

Calendar Year Returns

2019 2018 2017 2016
Fund without Sales Charge (%) (NAV) 4.97 0.91 4.50 7.79
Fund with Sales Charge (%) (POP) 4.97 0.91 4.50 7.79
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 02/29/2020

Month EndAs of 02/29/2020 3 Month YTD 1 Yr 3 Yr 5 Yr 10 Yr Since Inception since 09/08/2015
Fund without Sales Charge (%) (NAV) 2.33 1.46 4.73 11.00 21.23
Fund with Sales Charge (%) (POP) 2.33 1.46 4.73 11.00 21.23
HFRX Fixed Income - Credit Index (%) 1.62 0.22 3.86 6.33 6.97 26.60 8.60
ICE BofAML US 3-Month Treasury Bill Index (%) 0.42 0.28 2.18 5.30 5.78 6.25 5.77
Quarter EndAs of 12/31/2019 3 Month YTD 1 Yr 3 Yr 5 Yr 10 Yr Since Inception since 09/08/2015
Fund without Sales Charge (%) (NAV) 0.96 4.97 4.97 10.69 19.49
Fund with Sales Charge (%) (POP) 0.96 4.97 4.97 10.69 19.49
HFRX Fixed Income - Credit Index (%) 2.54 6.21 6.21 7.50 7.93 29.04 8.35
ICE BofAML US 3-Month Treasury Bill Index (%) 0.46 2.28 2.28 5.09 5.49 5.97 5.48

MODERN PORTFOLIO THEORY (MPT) STATISTICSAs of 02/29/2020 (updated monthly)

3 YR 5 YR 10 YR
Standard Deviation (Fund) 1.20
Standard Deviation (Bloomberg Barclays Global Aggregate Index) 3.54 4.45 4.61
Alpha 1.72
Beta 0.04
Sharpe Ratio 1.54
R-Squared 0.01

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

3 YR 5 YR 10 YR
Beta Bull 0.00
Beta Bear 0.13
Bull Bear Capture Ratio -0.71
% of Positive Months 80.56
Maximum Drawdown
Reporting Period
0.73 (08/18 - 11/18)

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


Value at Risk (Fund) -1.18%

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
Structured Credit 45.48 0.83 0.15 0.15 0.15
Credit Long Short 37.09 0.75 0.28 0.28 0.28
Emerging Market Fixed Income 17.42 0.19 0.06 0.06 0.06

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 1.03%
Gross Expense Ratio 3.25%
Net Expense Ratio [further-information] 2.79%
Max Initial Sales Charge 0.00%
CDSC

Volatility Measures [further-information] As of 02/29/2020 Updated Monthly, based on a 1-year period

Beta 0.04
Alpha 1.72
Sharpe Ratio 1.54
R-Squared 0.01
Standard Deviation 1.20

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