30-Day Median Bid/Ask Spread: The midpoint of the differences between the “bid” price (what investors are willing to pay) and the “ask” price (at which they are willing to sell Fund shares) on the listing exchange over the last 30 calendar days.
Carry: Positive carry refers to an expected return that exceeds the cost of making the investment, while negative carry means an investment is expected to cost more to own than the income it will earn.
Correlation: A measure of the interdependence or strength of the relationship between two investments. A correlation of 1 means that the two investments are perfectly synchronized, while a correlation of -1 implies that they move in symmetrically opposite directions.
Dislocation Premium: The extra return or compensation that investors demand for holding assets that tend to perform poorly or face severe mispricing during periods when market prices are disconnected from their economic fundamentals.
Dispersion: Dispersion is a statistical measure of variation among values.
Effective Duration: The market value weighted-average effective duration of the fixed-income holdings in the Fund. Effective duration measures the price sensitivity of a fixed-income security with embedded options, such as callable or puttable bonds, to changes in interest rates. It estimates the percentage price change for a 1% shift in the benchmark yield curve and accounts for fluctuations in expected cash flows due to changing interest rates.
Expense Ratio (%): The Fund’s total annual operating expenses as a percentage of your investment. You may pay other fees, such as brokerage commissions and other fees to financial intermediaries, which are not reflected in the expense ratio.
Inflation: A general rise in prices throughout the U.S. economy, which the Fund measures using the non-seasonally adjusted U.S. City Average All Items Consumer Price Index for All Urban Consumers (the “CPI-U”).
Inflation Swap: Swaps are derivative contracts where one party “swaps” one type of cash flow for a different type of cash flow. In an inflation swap, one party agrees to pay to the other party the percentage increase in CPI-U during the term of the swap, while the other party agrees to pay back a fixed rate. The inflation swaps held by the Fund will typically increase in value if inflation increases and decrease in value if inflation decreases.
Long/Short: The value of a long position in an asset moves in the same direction as its market price. The value of a short position in an asset moves in the opposite direction as its market price.
Market Price: The price at which Fund shares are bought and sold, which may be below, at, or above NAV. The Market Price Returns are calculated based on the Fund’s official closing price on the listing exchange.
Option-Adjusted Spread: The market value weighted-average of the option-adjusted spreads for the fixed-income holdings in the Fund. Option-adjusted spread is the yield difference between a bond and a risk-free benchmark rate after factoring in the value and risk of any embedded options, such as the ability to call or prepay the bond.
SEC 30-Day Yield: A yield measure standardized by the SEC. It reflects investment income net of the Fund’s expenses during the 30-day period divided by the Fund’s maximum offering price on the last day of the period.
Swaption: A swaption is an option on a swap agreement that gives the buyer the right, but not the obligation, to enter into a swap on a future date in exchange for paying a market-based “premium.” The Fund expects to focus on so-called “payer swaptions,” which give the Fund the right to pay fixed-rate payments and, in exchange, receive floating rate payments. Swaptions held by the Fund will typically increase in value if interest rates rise, and decrease in value if interest rates fall.
TIPS: U.S. Treasury Inflation-Protected Securities (“TIPS”) are marketable securities issued by the U.S. Treasury whose principal is adjusted based on changes in the CPI-U. With inflation, the principal increases, and with deflation (a decrease in the CPI-U), the principal decreases. The relationship between TIPS and inflation affects both the principal amount paid when a TIPS instrument matures and the amount of interest that a TIPS instrument pays semi-annually.
Trend-Following Strategy: A systematic, rules-based investment strategy that can generally go long or short futures contracts across equities, fixed income, commodities, and foreign-exchange markets.
Value at Risk (VaR): A measure of the potential loss in value of a portfolio over a defined period for a given confidence interval. A one-day VaR at the 95% confidence level represents that there is a 5% probability that the mark-to-market loss on the portfolio over a one day horizon will exceed this value (assuming normal markets and no trading in the portfolio).
Weighted Average Bond Price: The market value weighted-average price of fixed-income holdings in the Fund as of the end of the reporting period.
Weighted Average Coupon: The market value weighted-average of gross coupon rates of fixed-income holdings in the Fund as of the end of the reporting period.
Yield to Maturity (YTM): The market value weighted-average gross annual return expected to be received if the Fund holds the fixed-income holdings in the portfolio from the reporting period to maturity, receives all coupon and principal payments on schedule, and reinvests all coupon payments at the rate of each holding’s respective yield to maturity. The Fund’s fees and expenses are not deducted from YTM, and YTM doesn’t reflect other aspects of total return, such as capital losses, so the Fund’s performance may be lower than the YTM.
Yield to Worst (YTW): The market value weighted-average of the yield to worst of fixed-income holdings in the Fund as of the end of the reporting period. Yield to Worst is the lowest potential return an investor can expect to receive on a bond without the issuer defaulting.