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 09/08/2015
Fund without Sales Charge (%) (NAV) 5.49 3.94 4.74
Fund with Sales Charge (%) (POP) 5.49 3.94 4.74
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
Quarter EndAs of 12/31/2019 1 Yr 3 Yr 5 Yr 10 Yr Since InceptionInception 09/08/2015
Fund without Sales Charge (%) (NAV) 5.49 3.94 4.74
Fund with Sales Charge (%) (POP) 5.49 3.94 4.74
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 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 4.21 2.50
Fund without Sales Charge (%) (NAV) After Shares Sold 3.25 2.43
Fund with Sales Charge (%) (POP) Before Shares Sold 4.21 2.50
Fund with Sales Charge (%) (POP) After Shares Sold 3.25 2.43
Quarter EndAs of 12/31/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 4.21 2.50
Fund without Sales Charge (%) (NAV) After Shares Sold 3.25 2.43
Fund with Sales Charge (%) (POP) Before Shares Sold 4.21 2.50
Fund with Sales Charge (%) (POP) After Shares Sold 3.25 2.43

Calendar Year Returns

2019 2018 2017 2016
Fund without Sales Charge (%) (NAV) 5.49 1.42 4.97 8.33
Fund with Sales Charge (%) (POP) 5.49 1.42 4.97 8.33
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 12/31/2019

Month 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) 1.10 5.49 5.49 12.31 22.11
Fund with Sales Charge (%) (POP) 1.10 5.49 5.49 12.31 22.11
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
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) 1.10 5.49 5.49 12.31 22.11
Fund with Sales Charge (%) (POP) 1.10 5.49 5.49 12.31 22.11
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 12/31/2019 (updated monthly)

3 YR 5 YR 10 YR
Standard Deviation (Fund) 1.21
Standard Deviation (Bloomberg Barclays Global Aggregate Index) 3.53 4.45 4.60
Alpha 2.20
Beta 0.04
Sharpe Ratio 1.92
R-Squared 0.01

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

3 YR 5 YR 10 YR
Beta Bull 0.03
Beta Bear 0.09
Bull Bear Capture Ratio -0.64
% of Positive Months 86.11
Maximum Drawdown
Reporting Period
0.58 (08/18 - 11/18)

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


Value at Risk (Fund) -5.93%

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
Structured Credit 44.75 2.62 0.18 0.18 0.18
Credit Long Short 37.98 4.02 0.76 0.76 0.76
Emerging Market Fixed Income 17.27 0.86 0.16 0.16 0.16

SALES CHARGE, EXPENSES & FEES As of 10/01/2019 (updated annually)

Management Fee 1.90%
Dividend Expense and Borrowing Fees for Securities Sold Short 0.62%
Additional Expenses 0.60%
Gross Expense Ratio 3.12%
Net Expense Ratio [further-information] 2.53%
Max Initial Sales Charge 0.00%
CDSC

Volatility Measures [further-information] As of 12/31/2019 Updated Monthly, based on a 1-year period

Beta 0.04
Alpha 2.20
Sharpe Ratio 1.92
R-Squared 0.01
Standard Deviation 1.21

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