The Adviser seeks to achieve the Fund’s investment objective primarily by investing in exchange-traded futures, including equity index futures (such as futures related to the MSCI EAFE Index) and currency futures, and exchange traded funds (“ETFs”). In addition, the Fund may invest in instruments for cash management purposes, including fixed-income securities, such as U.S. Treasury securities, money market securities, cash or cash equivalents. The Fund may also invest in other registered investment companies and forward contracts.

The Adviser employs various qualitative and quantitative investment processes that it refers to as the enhanced international equity strategy (the “Enhanced International Equity Strategy”) on behalf of the Fund. The Enhanced International Equity Strategy seeks to combine the performance of:

International Equity Index Component: The Fund seeks to capture the returns of large and mid-cap equity securities in developed markets outside of the U.S. by investing in ETFs and exchange-traded equity index futures, such as futures on the MSCI EAFE Index.

While each underlying equity index is generally denominated in U.S. Dollars, the securities that compose such index are each denominated in their home currency. Consequently, the returns of the instruments used to gain exposure to the equity indices are influenced by changes in the exchange rate between the U.S. Dollar and the various home currencies of the securities included in the index. To reduce this influence, the Adviser utilizes exchange-traded currency futures to hedge all or a portion of the exchange rate influence embedded in the indices and, as described below in the FX Component, overlays selected foreign currency exposure to target enhanced returns.

FX Component: The Fund invests in exchange-traded futures providing exposure to developed market and emerging market currencies. The Adviser’s investment process involves the use of a disciplined and dynamic quantitative model to determine positions held by the Fund. This model relies on statistical analysis to forecast returns and volatilities for currencies based on underlying fundamental factors which the Adviser believes drive exchange rates over time.

As part of the Adviser’s portfolio construction and optimization process, the Adviser seeks to minimize exposure to currencies of countries with heightened sustainability risks, through implementation of a penalty function that references environmental, social and/or governance (“ESG”) score data issued by an independent third party that is related to a particular country. The penalty function is intended to reduce the Fund’s exposures to currencies of countries with low ESG scores. ESG scores may be negatively impacted by underlying data in three general categories: (1) natural and produced capital (e.g., insufficient infrastructure), (2) human capital (e.g., poor access to clean water), and (3) institutional capital (e.g., evidence of corruption).

Under normal circumstances, the Fund will have exposure to investments that are economically tied to at least three different countries outside of the U.S. In addition, the Fund will have exposure, equal to at least 40% of its assets, to investments outside of the United States through investments in derivatives and securities.

For this purpose, a company is considered to be located outside the United States if: (i) it is organized under the laws of or maintains its principal office in a country located outside the United States; (ii) its securities are principally traded on trading markets in countries located outside the United States; (iii) it derives at least 50% of its total revenue or profits from either goods produced or services performed or sales made in countries located outside the United States; or (iv) it has at least 50% of its assets in countries located outside the United States. In addition, the Fund considers investments in currency futures to be investments outside of the United States. The Fund considers an equity index future to be an investment outside of the United States if at least 50% of the securities of the companies that comprise the index are located outside of the United States. The Fund considers an investment in a registered investment company, including an exchange-traded fund (“ETF”), to be an investment outside of the United States if such registered investment company targets exposure to an index and at least 50% of the securities of the companies that comprise such index are located outside of the United States.

The Fund is a “commodity pool” under the U.S. Commodity Exchange Act, and the Adviser is a “commodity pool operator” registered with and regulated by the Commodity Futures Trading Commission (“CFTC”).