| Market Neutral (SA Only) | 1 year gross return | 1 year net return |
|---|---|---|
| JPM US Research Market Neutral-Composite | 10.55 | 10.01 |
| Q3 Bull Cipher | 4.43 | 2.12 |
| Cognios Market Neutral Large Cap Value | -0.76 | -2.15 |
| SSI Convertible Income | -1.17 | -2.14 |
| DCM Merger Arbitrage | -1.88 | -2.37 |
| Convergence Market Neutral | -4.75 | -5.74 |
| Invesco US Market Neutral Equity | -6.24 | -6.24 |
| Martingale Equity Market Neutral | -7.11 | -8.04 |
| Cognios Enhanced Market Neutral | -7.69 | -7.69 |
| PSI Managed Volatility | -8.84 | -9.74 |
Source: Morningstar Separate Account/CIT Fund Database; data populated as of May 13, 2020
| Market Neutral (SA Only) | 5 year gross return | 5 year net return |
|---|---|---|
| Cognios Market Neutral Large Cap Value | 3.71 | 2.22 |
| JPM US Research Market Neutral-Composite | 3.40 | 2.53 |
| SSI Convertible Income | 3.21 | 2.21 |
| Copeland Risk Managed Dividend Growth | 1.40 | 0.37 |
| Invesco US Market Neutral Equity | 0.12 | 0.12 |
| PSI Managed Volatility | -1.65 | -2.62 |
| PIMCO RAE Fundamental Advantage PLUS | -2.20 | -3.07 |
| Martingale Equity Market Neutral | -3.15 | -4.12 |
| PVG Loss Averse Equity Income | -5.56 | -6.88 |
| Cognios Enhanced Market Neutral | n/a | n/a |
