GLOSSARY

The percentage change in the fund’s month-end net asset value from the previous month-end net asset value, after fees have been deducted. Net-of-fees returns are used to provide an indication of fund performance from the perspective of investors.

Annualized returns express a fund’s rate of return on an annual basis, or a return per year, over a given time period. This is calculated as a geometric mean of the reported monthly returns (M) for the given time period (n). The annualized performance represents the rate of return that, if compounded each year, would produce the cumulative return for the same period. It is a measure that describes the change in a fund’s net asset value as if it grew or declined at the same rate each year during the period. The annualized performance is normally measured over trailing periods greater than 12 months, such as three years, five years or 10 years. It is also commonly measured for the entire period since a fund’s inception.

The aggregate percentage increase or decrease in a fund’s net asset value over a given period of time. This is calculated by geometrically linking the reported monthly returns (M) for the given time period. The cumulative performance is typically measured over trailing periods such as the last three months, one year, three years or five years. It is also commonly measured for individual years, the current calendar year (year to date) and the entire period since a fund’s inception.

The growth of a hypothetical $1,000 investment in a fund. It can be taken as a proxy for a fund’s NAV to calculate other statistics, such as a fund’s drawdowns.

The number of months that the fund has posted a net return that is greater than or equal to zero. This is also reported as a proportion of all monthly returns.

The number of months that the fund has posted a net return that is less than zero. This represents the number of months that the fund has seen its net asset value decline. It is also reported as a proportion of all monthly returns.

The mean average of a fund’s individual monthly returns. The average positive month provides an average of all months in which a return of zero or greater has been recorded. The average negative month is an average of all months in which a loss has been recorded.

The best month represents the highest net return achieved by the fund in a single month. The worst month represents the lowest net return achieved by the fund in a single month.

The percentage loss that a fund incurs from its peak net asset value to its lowest net asset value (before recovering to its previous peak level).

A period in which the fund is considered to be in drawdown, which means the fund’s net asset value has declined from a previous peak (highest level). The drawdown period ends when the fund’s net asset value reaches its lowest point (before recovering to its previous peak). The lowest net asset value, and therefore the drawdown period, can only be determined once the fund has fully recovered to its previous peak net asset value.

The number of months between a fund’s highest net asset value and its lowest net asset value (before recovering to its previous peak level).

The number of months between a fund’s lowest net asset value and its new peak (or recovery of its previous peak) net asset value.

Measured by the annualized standard deviation of monthly returns during the specified period. An annualized figure is approximated by multiplying the standard deviation of monthly returns by the square root of 12 (for the number of periods in a year). Volatility is typically measured over trailing periods such as the last year, three years, five years or since inception. It is also available as one-, two-, three- and fiveyear rolling periods to show how the volatility of a fund’s monthly returns has changed over time.

Provides an indication of a fund’s returns relative to its level of risk. The ratio is calculated by first subtracting a predetermined risk-free rate from the annualized period return to generate the fund’s excess return. This is then divided by the fund’s volatility for the same period. According to this measure, more volatile returns are not necessarily undesirable, provided they are accompanied by a proportionally higher return. In general, the higher the Sharpe ratio, the better the risk/reward characteristics of a fund. The exception to this is a negative Sharpe ratio. In cases where the excess return (the numerator in the equation) is negative, a higher amount of risk will have a positive influence on the ratio. Therefore, negative Sharpe ratios are difficult to interpret. It should be enough to know that a Sharpe ratio is negative, without knowing its magnitude, as this indicates the fund has not generated additional returns by taking on extra risk. The Sharpe ratio is typically measured over trailing periods such as the last year, three years, five years or since inception. It is also available as one-, two-, three- and five-year rolling periods to show how the risk-return profile of a fund’s monthly returns has changed over time.

Provides an indication of a fund’s returns relative to its level of downside risk. It is similar to the Sharpe ratio but the Sharpe ratio can be negatively effected by volatility on the upside (positive returns), as well as on the downside. In contrast, the Sortino ratio assumes that investors are tolerant of volatile returns if gains are being made. A fund’s excess return (annualized return minus a pre-determined minimum acceptable return) is divided by its downside deviation below the minimum acceptable return. The Sortino ratio is typically measured over trailing periods such as the last year, three years, five years or since inception.

This is calculated by subtracting a predetermined rate of return (such as a risk-free rate, minimum acceptable return or benchmark return) from the net return of a fund over a specified period. It is used in the calculation of statistics such as the Sharpe and Sortino ratios and provides an indication of the degree to which the fund has been successful at adding value or meeting a hurdle rate.

The theoretical return of an investment with no risk. This is subtracted from a fund’s actual returns to generate the excess return. It is factored into statistics such as the Sharpe ratio to account for the assumption that any investment with a degree of risk attached should deliver greater returns than the risk-free rate.

An overview of the frequency distribution of a fund’s monthly returns. This provides an insight into the number of a fund’s monthly returns that are close to the average return and the number that are extreme values (outliers).

The skewness of a fund’s returns provides an indication of whether or not the returns are normally distributed. It is a measure of the asymmetry of a distribution about the mean return. A positively skewed distribution is characterized by many low returns or losses and a few large returns. It is said to have a long right tail. A negatively skewed distribution is characterized by many high returns and a few low returns or losses. It is said to have a long-left tail. A normal distribution is an important assumption of statistics such as the Sharpe ratio.

A measure of the peakedness or flatness of a fund’s returns distribution, relative to a normal distribution. Positive kurtosis indicates a peaked distribution, with returns close to the mean and higher frequency of outliers (in the shape of very high returns or significant losses). Negative kurtosis indicates a flatter distribution, with frequent and moderate deviations from the mean. The kurtosis measure used is adjusted to give excess kurtosis, which represents the level of kurtosis in relation to a normal distribution. A normal distribution is an important assumption of statistics such as the Sharpe ratio.

Previous Month-End Net Asset Value per Unit = 105

Recent Month-End Net Asset Value per Unit = 115

Calculation: Monthly Return (%) = (115-105)/105 * 100 = 9.52%

High Net Asset Value per unit = 110

Low Net Asset Value per unit = 95

Calculation: Drawdown Size (%) = (95-110)/110 * 100 = 13.64%

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