| Market Neutral (SA Only) | 1 year gross return | 1 year net return |
|---|---|---|
| JPM US Research Market Neutral-Composite | 9.34 | 8.54 |
| Q3 Bull Cipher | 6.72 | 4.36 |
| SSI Convertible Income | 4.32 | 3.31 |
| Constantia Merger-Arbitrage | -0.32 | -0.85 |
| DCM Merger Arbitrage | -0.64 | -1.13 |
| PSI Managed Volatility | -3.67 | -4.62 |
| Invesco US Market Neutral Equity | -6.79 | -6.79 |
| Convergence Market Neutral | -8.41 | -9.35 |
| Martingale Equity Market Neutral | -10.04 | -10.96 |
| PIMCO RAE Fundamental Advantage PLUS | -11.24 | -12.02 |
Source: Morningstar Separate Account/CIT Fund Database; data populated as of August 17, 2020
| Market Neutral (SA Only) | 5 year gross return | 5 year net return |
|---|---|---|
| SSI Convertible Income | 4.67 | 3.65 |
| Constantia Merger-Arbitrage | 4.49 | 3.92 |
| JPM US Research Market Neutral-Composite | 3.63 | 2.76 |
| DCM Merger Arbitrage | 3.35 | 2.83 |
| Convergence Market Neutral | 2.07 | 1.02 |
| PSI Managed Volatility | 0.26 | -0.74 |
| Invesco US Market Neutral Equity | -0.42 | -0.42 |
| PIMCO RAE Fundamental Advantage PLUS | -2.07 | -2.94 |
| Martingale Equity Market Neutral | -3.79 | -4.76 |
| PVG Loss Averse Equity Income | -4.00 | -5.34 |
