Strategy. The Fund seeks to achieve its investment objective by implementing two investment strategies, a Managed Futures Strategy and a TargetRisk Strategy. The Fund intends to allocate approximately 50% of its portfolio to each strategy. (1) Managed Futures Strategy . The sub-advisors investment philosophy is that the financial markets exhibit trends and other inefficiencies. Trends are a manifestation of serial correlation in financial markets the phenomenon whereby past price movements influence price behavior. Although price trends vary in intensity, duration, and frequency, they typically recur across sectors and markets. Trends are an attractive focus for active trading styles applied across a range of global markets. The sub-advisor implements a quantitative trading strategy and systematic investment process designed to capitalize on price … Show more… The Fund seeks to achieve its investment objective by implementing two investment strategies, a Managed Futures Strategy and a TargetRisk Strategy. The Fund intends to allocate approximately 50% of its portfolio to each strategy. (1) Managed Futures Strategy . The sub-advisors investment philosophy is that the financial markets exhibit trends and other inefficiencies. Trends are a manifestation of serial correlation in financial markets the phenomenon whereby past price movements influence price behavior. Although price trends vary in intensity, duration, and frequency, they typically recur across sectors and markets. Trends are an attractive focus for active trading styles applied across a range of global markets. The sub-advisor implements a quantitative trading strategy and systematic investment process designed to capitalize on price trends (up and/or down) in a broad range of around 120 global markets by utilizing derivative instruments to seek exposure to stock indices, bonds, currencies and interest rates. The sub-advisor employs computerized processes to identify investment opportunities across a wide range of markets around the world. Investment decisions are executed via the sub-advisors proprietary execution strategy. ?The investment decision process is quantitative and primarily directional in nature, meaning that investment decisions are driven by mathematical models based on market trends and other historical relationships. It is underpinned by risk controls, ongoing research, and diversification guidelines. As the owner of a long position in a derivative instrument, the Fund may benefit from an increase in the price of the underlying investment, and as the owner of a short position, the Fund may benefit from a decrease in the price of the underlying investment. The Managed Futures Strategy is designed to provide an excess return with a targeted level of volatility regardless of market conditions. The sub-advisor seeks to do this by using systematic algorithms (mathematical models). An algorithm measures the degree of volatility in a particular market. If the market is turbulent, and returns are volatile, the algorithm will reduce exposure. Conversely, it will increase exposure, subject to risk limits, if the market is calm and volatilities are decreasing. This technique is called volatility scaling and can be applied at various levels to achieve a balanced risk exposure through time, and across different asset classes. Volatility scaling aims to achieve a certain target level of volatility which is stable through time. The Managed Futures Strategy has set an annualized volatility target of 10% of the Funds net asset value (NAV) invested in the strategy. Volatility is defined as the annualized standard deviation of returns. It is important to note that both the short and long term realized volatility of the Fund can and will differ from the targeted volatility and can be dependent on prevailing market conditions. (2) TargetRisk Strategy. ?The sub-advisor allocates the Funds assets invested in the TargetRisk ?Strategy across equities, bonds (including inflation index-linked bonds), interest rates, corporate credit, and commodities primarily through derivative instruments utilizing a proprietary quantitative model. The TargetRisk Strategy is designed to provide an excess return with a targeted level of volatility regardless of market conditions. The sub-advisor seeks to do this using volatility scaling as described above. The TargetRisk Strategy has set an annualized volatility target of 10% of NAV invested in the strategy. In addition to volatility scaling, the TargetRisk Strategy utilizes additional systematic overlays to control downside risk. The first of these is a momentum overlay, which uses past price behavior to identify periods when a market is in a downtrend. The strategy uses this information to scale down positions depending upon the strength of that trend, thereby reducing risk in falling markets. The second overlay is a volatility switching mechanism, which reacts quickly to spikes in volatility by using a formula that is designed to minimize market transactions during periods of low volatility and increase market transactions during periods of heightened market volatility. The third overlay uses intraday data to identify dangerous environments in which fixed income assets no longer act as a hedge to equities and other assets. The combination of these overlays aims to reduce losses and improve risk-adjusted returns. The Fund invests primarily in derivatives, including futures contracts (including equity index futures, bond futures, bond index futures, government bond futures, such as treasury futures, interest rate futures, and currency futures), foreign currency forward contracts and non-deliverable forwards (NDFs), and swaps (including commodity swaps, credit default swaps, and total return swaps), but also may invest in other types of derivative instruments, including derivative instruments linked to stock indices, currencies, bonds, interest rates and commodity instruments. The Fund uses derivative instruments to enhance total return, to manage certain investment risks, to substitute for the purchase or sale of the underlying securities, and for hedging purposes. The Fund expects that, under normal market conditions, the notional value of its derivatives exposure generally will exceed that of its net assets. In order to collateralize its derivatives investments, for liquidity purposes, or to earn income, the Fund may hold significant amounts of U.S. Treasury securities; foreign developed market sovereign short-term bonds issued by countries such as France, Germany, Japan, and the United Kingdom; short-term investments, which may include a government money market fund advised by the Manager, with respect to which the Manager also receives a management fee; cash; cash equivalents; and time deposits. The Funds investments in government securities may be zero coupon securities. The Fund may invest in derivatives instruments that provide exposure to below investment grade securities, which are commonly referred to as junk bonds and to issuers in the U.S. and foreign developed and emerging markets, including sovereign debt. The Fund may invest in U.S. and non-U.S. currencies and instruments denominated in non-U.S. currencies. The Fund also may invest in government obligations. The Funds investments are generally made without restriction as to issuer market capitalization, country, currency, or maturity. The Fund may hold significant cash positions from time to time. The Fund seeks to gain exposure to the commodity futures markets by investing up to 25% of its total assets in a wholly owned subsidiary, which is organized under the laws of the Cayman Islands (the Subsidiary). Generally, the Subsidiary invests primarily in commodity futures and commodity swaps, but it may also invest in financial futures and forwards and other types of swap contracts, fixed income securities, pooled investment vehicles, including open-end investment companies, and other investments intended to serve as margin or collateral for the Subsidiarys derivative positions. The Fund invests in the Subsidiary in order to gain exposure to the commodities markets within the limitations of the federal tax law, rules and regulations that apply to regulated investment companies. Unlike the Fund, the Subsidiary may invest without limitation in commodity-linked derivatives, however, the Subsidiary and the Fund, in the aggregate, will comply with applicable requirements for derivatives transactions set forth in Rule 18f-4 under the Investment Company Act of 1940, as amended (the Investment Company Act). In addition, the Fund and the Subsidiary comply with the same fundamental investment restrictions on an aggregate basis and the Subsidiary follows the same compliance policies and procedures as the Fund to the extent those restrictions, policies and procedures are applicable to the investment activities of the Subsidiary. Unlike the Fund, the Subsidiary does not, and will not, seek to qualify as a regulated investment company under Subchapter M of Chapter 1 of Subtitle A of the Internal Revenue Code of 1986, as amended (Subchapter M). The Fund is the sole shareholder of the Subsidiary and does not expect shares of the Subsidiary to be offered or sold to other investors. The Funds holdings may be frequently adjusted to reflect the sub-advisors assessment of changing risks, which could result in high portfolio turnover. The Fund may have significant exposure to issuers located in, or with economic ties to, Europe. However, as the sector and geographic composition of the Funds portfolio changes over time, the Funds exposure to Europe may decline, and the Funds exposure to other geographic areas may increase. The Fund is non-diversified, which means that it is not limited to a percentage of assets that it may invest in any one issuer. Show less