Glossary

30 Day SEC Yield – A standard yield calculation developed by the Securities and Exchange Commission (SEC) that allows for fairer comparisons of bond funds. It is based on the most recent 30-day period covered by the fund’s filings with the SEC. The yield figure reflects the dividends and interest earned during the period, after the deduction of the fund’s expenses. This is also referred to as the “standardized yield.”

90 Day U.S. Treasury Bill – A measure of the performance of U.S. Treasury bills currently available in the marketplace having a remaining maturity of 90 days. Treasury bills provide fixed rates of return as well as principal guarantees if held to maturity. The returns of the 90 Day T-Bill do not include the effect of sales charges (if any), fees, expenses or taxes associated with a mutual fund.

Alpha – Measures a manager’s contribution to performance due to security selection or market timing relative to the index.

Annualized Return – The annualized return is the geometric mean of the returns with respect to one year. 

Beta – the covariance of manager and benchmark divided by the variance of the benchmark. Beta is a measure of systematic risk, or the sensitivity of a manager to movements in the benchmark. A beta of 1 implies that you can expect the movement of a manager’s return series to match that of the benchmark used to measure beta. 

Bloomberg Barclays Capital U.S. Aggregate Bond Index – an unmanaged, market value weighted index of investment-grade debt issues, including government, corporate, asset-backed and mortgage backed securities, with maturities of more than 1 year. It is not possible to invest directly in an index. The returns of each index do not reflect the actual cost of investing in the instruments that comprise it.

Bloomberg Barclays Capital U.S. Government Bond Index – an unmanaged index made up of the Treasury Bond Index and the Agency Bond Index as well as the 1-3 Year Government Bond Index and the 20+ Year Treasury Index. It is not possible to invest directly in an index. The returns of each index do not reflect the actual cost of investing in the instruments that comprise it.

Bloomberg Barclays Capital 1-3 Year Government Bond Index – an unmanaged market value-weighted performance benchmark of investment grade government and corporate bonds with maturities of one to three years. It is not possible to invest directly in an index.

Bloomberg Barclays Capital 10 Year Municipal Bond Index – an unmanaged index comprised of Investment-grade, fixed rate security that includes investment grade, tax-exempt, and fixed-rate securities with maturities of at least eight years and less than twelve years. It is not possible to invest directly in an index.

Capex – capital expenditure are monies used by a company to acquire or upgrade physical assets such as property, industrial buildings or equipment.

Correlation – a statistical measure of how two securities move in relation to each other.

Credit Suisse (“CS”) Leveraged Loan (“LL”) Index – an Index designed to mirror the investable universe of the $US-denominated leveraged loan market. The index inception is January 1992. The index frequency is monthly. New loans are added to the index on their effective date if they qualify according to the following criteria: Loans must be rated “5B” or lower; only fully- funded term loans are included; the tenor must be at least one year; and the Issuers must be domiciled in developed countries (Issuers from developing countries are excluded). Fallen angels are added to the index subject to the new loan criteria. Loans are removed from the index when they are upgraded to investment grad, or when they exit the market (for example, at maturity, refinancing or bankruptcy workout). Note that issuers remain in the index following default. Total return of the index is the sum of three components: principal, interest, and reinvestment return. The cumulative return assumes that coupon payments are reinvested into the index at the beginning of each period.

Credit Rating – an assessment of the credit worthiness of individuals and corporations. It is based upon the history of borrowing and repayment, as well as the availability of assets and extent of liabilities.

Days to Reset – The average number of days until the interest rate of a loan resets.

Defaults  a position is considered defaulted if the next interest payment is not expected to be received.

Downside Capture Ratio – Calculated by taking the fund’s monthly return during the periods of negative benchmark performance and dividing it by the benchmark return.

Drawdown – the peak-to-trough decline during a specific record period of an investment, fund or commodity. A drawdown is usually quoted as the percentage between the peak and the trough. Drawdowns help determine an investment’s financial risk.

Duration – A measure of the sensitivity of the price (the value of principal) of a fixed-income investment to a change in interest rates. Duration is expressed as a number of years. Rising interest rates mean falling bond prices, while declining interest rates mean rising bond prices. 

Facilities – a specific credit investment which can have differing terms and conditions including interest rate and claim against collateral than other investments issued by the same company.
 
Floating Rate Loans – Floating rate investments are debt obligations of companies or other entities, the interest rates of which float or vary periodically based upon a benchmark indicator of prevailing interest rates. Floating rate loans are expected to be adjustable rate senior loans (“Senior Loans”) to domestic or foreign corporations, partnerships and other entities that operate in a variety of industries and geographic regions.

Leveraged Loans – Loans to companies that typically already have a high amount of debt and are often characterized by lower credit ratings or higher interest rates.

Lipper Category Average – consists of the Lipper Loan Participation open-end fund peer group, which represents open-end funds that invest primarily in participation interests in collateralized senior.

London Interbank Offered Rate (“LIBOR”) – an interest rate at which banks can borrow funds, in marketable size, from other banks in the London interbank market. The LIBOR is fixed on a daily basis by the British Bankers’ Association. The LIBOR is derived from a filtered average of the world’s most creditworthy banks’ interbank deposit rates for larger loans with maturities between overnight and one full year.

Morning Category Average – an average monthly return of all funds in the Morningstar Managed Futures Category, including the Fund. The Managed Future category includes funds that employ portfolio strategies that seek to profit from momentum across many different asset classes, using systematic, rules-based trading tactics.  

MSCI World® Index– an unmanaged free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of 23 developed markets. It is not possible to invest directly in an index. The returns of each index do not reflect the actual cost of investing in the instruments that comprise it.

MSCI EAFE Index – an unmanaged, free float-adjusted, market capitalization index that is designed to measure developed market equity performance, excluding the U.S. and Canada. It is not possible to invest directly in an index. The returns of the index do not reflect the actual cost of investing in the instruments that comprise it.

Non-U.S. Domiciled – any company or entity whose primary base of operations is not in the United States.

Russell 1000 Growth Index – measures performance of the large – cap value segment of the U.S. equity universe.

Sharpe Ratio – a measure that uses standard deviation and excess return to determine reward per unit of risk.

Standard Deviation – standard deviation of returns measures the average a return series deviates from its mean. It is often used as a measure of risk. Higher standard deviation represents higher volatility. 

S&P/LSTA Leveraged Loan Index (LLI) – The S&P/LSTA Leveraged Loan Index (LLI) is a leverage loan index which covers the U.S. Loan market. The index reflects the market-weighted performance of institutional leveraged loans in the U.S. loan market based upon real-time market weightings, spreads and interest payments. All of the index components are the institutional tranches (Term Loan A, Term Loan B and higher and Second Lien) of loans syndicated to U.S. loan investors. If a loan that consists of tranches syndicated both in the U.S. and Europe (i.e., a cross-border transaction), the US dollar portion that is syndicated in the U.S. market is tracked by the LLI and the Euro portion that is syndicated in the European market is tracked by the ELLI. The LLI series currently calculates total return daily with an inception date of 1 January 1997. Total return is the product of two components: interest income return and market value return.

S&P 500 Index – an unmanaged, market capitalization-weighted index of 500 widely held U.S. stocks recognized by investors to be representative of the stock market in general. Standard & Poor’s and S&P 500 are trademarks of the McGraw-Hill Companies, Inc. Investors cannot invest directly in an index.

R-Squared – a measure that indicates the extent to which fluctuations in portfolio returns are correlated with those of the index.

Russell 2000® Index – an unmanaged index that measures the performance of the small-cap segment of the U.S. equity universe. Investors cannot invest directly in an index.

Upside Capture Ratio – Calculated by taking the fund’s monthly return during months when the benchmark had a positive return and dividing it by the benchmark return during that same month.

Volatility 
– a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security.


Weighted Average Coupon (WAC) – The weighted-average gross interest rates of the pool of mortgages that underlie a mortgage-backed security (MBS) at the time the securities were issued. A mortgage-backed security’s current WAC can differ from its original WAC as the underlying mortgages pay down at different speeds. In the weighted-average calculation, the principal balance of each underlying mortgage is used as the weighting factor.

Weighted Average Maturity (WAM) – The weighted average of the time until all maturities on mortgages in a mortgage-backed security (MBS). The higher the weighted average to maturity, the longer the mortgages in the security have until maturity. Also known as “average effective maturity”.

Yield To Maturity (YTM) – The rate of return anticipated on a bond if it is held until the maturity date. YTM is considered a long-term bond yield expressed as an annual rate. The calculation of YTM takes into account the current market price, par value, coupon interest rate and time to maturity. It is also assumed that all coupons are reinvested at the same rate. Sometimes this is simply referred to as “yield” for short.