Strategy. The Fund uses a trend following strategy that seeks to algorithmically identify and profit from movements in markets relating to trends. A trend refers to the overall direction a market is moving over a period of time. The Systematica Group, which manages the Fund, believes that these trends exist because of market inefficiencies and are primarily due to investor behavior and the way in which information is disseminated across the broad investor universe. The Systematica Group consists of Systematica Investments Limited, acting as general partner of Systematica Investments LP, the subadviser to the Fund (Systematica or the Subadviser), and Systematica Investments GP Limited, Systematica Investments Singapore Pte. Ltd, and Systematica Investments UK LLP (each a sub-subadviser to the Fund and … Show more… The Fund uses a trend following strategy that seeks to algorithmically identify and profit from movements in markets relating to trends. A trend refers to the overall direction a market is moving over a period of time. The Systematica Group, which manages the Fund, believes that these trends exist because of market inefficiencies and are primarily due to investor behavior and the way in which information is disseminated across the broad investor universe. The Systematica Group consists of Systematica Investments Limited, acting as general partner of Systematica Investments LP, the subadviser to the Fund (Systematica or the Subadviser), and Systematica Investments GP Limited, Systematica Investments Singapore Pte. Ltd, and Systematica Investments UK LLP (each a sub-subadviser to the Fund and collectively with Systematica, the Systematica Group). The Fund generally seeks to gain exposure to major asset classes, such as fixed income, equities, currencies and commodities, by investing in derivative instruments. The Funds exposures to markets within an asset class, and the extent of its exposure to a particular asset class, will vary based on its trend following strategy. Exposures within an asset class may include any subset of the asset class, such as geographic region, industry, market capitalization, credit quality, or underlying asset, and any other subset of the applicable asset class. The Fund may have investment exposure to foreign securities, including emerging market securities. The Fund attempts to identify trends over multiple time horizons for each market traded. The time horizons used by the Fund to identify trends typically range from a few days to a few months, and are combined to produce an aggregate forecast for each applicable market. In each case, the model used to manage the Fund seeks to forecast returns for the applicable market in order to identify the position the Fund should take. Position decisions are made on a systematic basis using quantitative analysis based on algorithms overseen by the Systematica Group. The Fund invests in derivative instruments for investment exposure. Generally, the Fund gains exposure to asset classes by investing in futures contracts and forwards, including, but not limited to, commodity futures, currencies, currency forwards, equity index futures, bond futures and interest rate futures. Derivative instruments may be exchange-traded or over-the-counter. The Fund may take either a long or a short position in a given market, and will typically take a long position in a market that is viewed as being in an up trend and will typically take a short position in a market that is viewed as being in a down trend. The Fund may also retain amounts in cash or cash equivalents, including U.S. government securities and money market and similar funds, as collateral for the derivatives positions the Fund takes, pending reinvestment or to the extent consistent with the Funds investment objective. The Fund seeks absolute returns, meaning it seeks positive returns over time that are not intended to be correlated to the returns of a particular asset class, market index or benchmark during that time period. The Fund intends to make investments directly and through its wholly-owned and controlled subsidiary, organized under the laws of the Cayman Islands (the Managed Futures Strategy Subsidiary, and for purposes of this section, the Subsidiary), and may invest up to 25% of its total assets (measured at the time of investment) in the Subsidiary. The Fund will invest in the Subsidiary in order to gain exposure to the commodities markets within the limitations of the U.S. federal tax laws, rules and regulations that apply to registered investment companies. The Systematica Group also manages the assets of the Subsidiary. Generally, the Subsidiary will invest primarily in commodity futures. Unlike the Fund, the Subsidiary may invest without limitation in commodity-linked derivative instruments, however, the Fund and the Subsidiary will comply with Rule 18f-4 under the Investment Company Act of 1940, as amended, on a consolidated basis with respect to investments by the Subsidiary in derivatives. Show less