Fund Description

The fund seeks to generate positive absolute returns over time. Under normal market conditions, its subadviser makes extensive use of derivatives, including futures and forward contracts, to pursue an absolute return strategy while seeking to add value through volatility management across changing exposures to U.S. and non-U.S. equity and fixed-income indices, currencies and commodities. Proprietary quantitative models identify price trends and can create long or short exposures, with notional positions scaled with the objective of targeting a relatively stable level of annualized volatility for the fund's overall portfolio, though realized volatility may exceed targets. It expects under normal market conditions to invest at least 75% of its total assets in money market and other short-term, high-quality securities (though it may invest less), and AlphaSimplex will only invest the assets of the Money Market Portion in high-quality securities denominated in U.S. dollars, used primarily to support the fund's investments in derivatives and, secondarily, to provide the fund with incremental income and liquidity. The fund concentrates in the financial services industry. Commodity exposure is expected to be gained through a wholly owned Cayman Islands subsidiary.