Strategy. PanAgora Asset Management, Inc. (PanAgora or Subadviser), the subadviser to the Portfolio, pursues an investment strategy designed to generate returns from a combination of asset classes with diversified risk characteristics. PanAgora will allocate the Portfolios assets among equities, fixed-income instruments and commodities. PanAgora will allocate the Portfolios assets among these asset classes in an effort to diversify the Portfolios risk over three areas: equity risk, fixed-income risk and inflation risk. The Portfolios risk diversified strategy is managed to target an annualized volatility level of 10% as discussed below. In allocating assets among the different classes, PanAgora follows a proprietary Risk Parity approach, which seeks to balance the allocation of risk across asset classes (as measured by forecasted volatility, marginal contribution … Show more… PanAgora Asset Management, Inc. (PanAgora or Subadviser), the subadviser to the Portfolio, pursues an investment strategy designed to generate returns from a combination of asset classes with diversified risk characteristics. PanAgora will allocate the Portfolios assets among equities, fixed-income instruments and commodities. PanAgora will allocate the Portfolios assets among these asset classes in an effort to diversify the Portfolios risk over three areas: equity risk, fixed-income risk and inflation risk. The Portfolios risk diversified strategy is managed to target an annualized volatility level of 10% as discussed below. In allocating assets among the different classes, PanAgora follows a proprietary Risk Parity approach, which seeks to balance the allocation of risk across asset classes (as measured by forecasted volatility, marginal contribution to volatility, estimated potential loss, and other proprietary measures) when building the Portfolio. For example, the Portfolio will generally allocate a greater portion of its assets to a lower risk asset class, such as developed market bonds, than to a higher risk asset class, such as global equities. In its neutral position, the Portfolios assets will be allocated among the different asset classes in an attempt to diversify the Portfolios risk exposure so that the anticipated contribution of each asset class to the overall risk of the Portfolio will be approximately as follows: 40% from equity risk; 40% from fixed income risk; and 20% from inflation risk. However, there is no assurance that this targeted contribution of risk from each asset class can be achieved. Because of the difference in the amount of risk inherent in these asset classes, the percentage of the Portfolios assets allocated to each asset class is likely to be significantly different from the targeted risk expected from that asset class. PanAgora also expects to tactically vary the Portfolios allocation to the asset classes, using long and/or short positions, depending on market conditions, which will cause the Portfolio to deviate from its neutral position. The targeted overall risk level of the Portfolio may also be increased or decreased by PanAgora, depending on market conditions. Additionally, market movements are likely to change the risk levels and risk allocation of the Portfolio. Following are the instruments expected to be utilized, either through direct investment in physical securities or through derivative instruments, including primarily futures and swaps on futures, to gain exposure to the different areas of risk: Exposure to equity risk : global developed markets large-cap equities, global emerging markets equities, U.S. mid-cap equities, and U.S. small cap equities. Exposure to fixed income risk : global developed market bonds. Exposure to inflation risk : global inflation linked government bonds, including Treasury Inflation Protected Securities (TIPS), commodity futures and swaps, and emerging markets currencies, including through cash bonds and currency forwards. The Portfolio may also integrate a currency portfolio basket (comprised of US Dollar and other currencies) to offer additional diversification to the Portfolio as well as help in the management of investment risks. The Portfolio may also invest in exchange-traded funds (ETFs), exchange-traded notes, and money market instruments. PanAgora will normally target an annualized volatility level for the Portfolio of 10%; however, the actual or realized volatility for longer or shorter periods may be materially higher or lower depending on market conditions, and therefore the Portfolios risk exposure may be materially higher or lower than the level targeted by the portfolio managers. Volatility is a statistical measurement of the magnitude of up and down fluctuations in the value of a financial instrument or index over time. High volatility may result from rapid and dramatic price swings. PanAgora may also, under certain exceptional market conditions, target a lower volatility level for the Portfolio. While PanAgora attempts to manage the Portfolios volatility exposure to stabilize performance, there can be no assurance that the Portfolio will achieve the targeted volatility. The Portfolio is non-diversified, which means that it can hold securities of a smaller number of issuers and can invest a larger percentage of its assets in a single issuer than a diversified portfolio. The Portfolio has no geographic limits on where its investments may be located or where its assets may be exposed, except that its investments in (and exposure to) fixed income securities will be limited to those issued by governments or corporate entities located in developed markets. The Portfolio may invest in or have exposure to equity securities of companies of any market capitalization, including securities of small capitalization companies. The Portfolio may invest in debt securities of any credit quality, maturity or duration. As a result of the Portfolios use of derivative instruments, the Portfolio may at times have leveraged exposure to one or more asset classes. The Portfolios use of futures contracts, forward contracts, swaps and certain other derivative instruments will have the effect of economic leverage. Economic leverage magnifies exposure to the swings in prices of the asset class underlying those instruments and results in increased volatility, which means the Portfolio will have the potential for greater gains, as well as the potential for greater losses, than if the Portfolio does not use derivative instruments that have a leveraging effect. Leveraging also tends to magnify, sometimes significantly, the effect of any increase or decrease in the Portfolios exposure to an asset class and may cause the Portfolios net asset value to be volatile. There is no assurance that the Portfolios use of derivative instruments providing enhanced exposure will enable the Portfolio to achieve its investment objective. The Investment Company Act of 1940, as amended (the 1940 Act), and the rules and interpretations thereunder impose certain limitations on the Portfolios ability to use leverage. The Portfolio may allocate up to 25% of its total assets to its wholly-owned and controlled subsidiary, organized under the laws of the Cayman Islands as an exempted company (the Subsidiary), in order to gain exposure to the commodities markets within the limitations of the federal tax laws, rules and regulations that apply to regulated investment companies. PanAgora also manages the assets of the Subsidiary. Generally, the Subsidiary will invest primarily in commodity futures and swaps on commodity futures but it may also invest in other commodity-related instruments such as financial futures, option and swap contracts, equity and fixed income securities, cash and cash equivalents, pooled investment vehicles, including those that are not registered pursuant to the 1940 Act, and other investments intended to serve as margin or collateral for the Subsidiarys derivative positions. Unlike the Portfolio, the Subsidiary may invest without limitation in commodity-linked derivatives. The Portfolio and the Subsidiary will be subject to the Portfolios fundamental investment restrictions and compliance policies and procedures on a consolidated basis. The Portfolio is the sole shareholder of the Subsidiary and does not expect shares of the Subsidiary to be offered or sold to other investors. A significant portion of the assets of the Portfolio may be invested directly or indirectly in money market instruments, which may include, but are not limited to, U.S. Government securities (including U.S. Treasury bills), U.S. Government agency securities, investment grade corporate obligations, Eurodollar obligations, bankers acceptances, short-term fixed income securities, overnight and/or fixed term repurchase agreements, money market fund shares, and cash and cash equivalents with one year or less term to maturity. These cash or cash equivalent holdings serve as collateral for the derivative positions the Portfolio takes and also earn income for the Portfolio. While the Portfolio normally does not engage in borrowing, leverage will be created when the Portfolio engages in futures transactions or uses certain other derivative instruments. Show less