BELMONT THETA INCOME FUND INSTITUTIONAL CLASS SHARES (BTIFX) Exchange: NMFQS

The Fund seeks to achieve its investment objective through the collection of option premiums through a strategy of selling (writing) put and call option spreads on the S&P 500® Index (SPX) and through investments in short-term fixed income instruments.   The Fund utilizes an option premium collection strategy that implements a put spread and a call spread on the S&P 500® Index (SPX) to create a number of defined-risk trades. A defined risk trade is essentially where a series of financial instruments (such as options) are entered into where the terms and conditions of the financial instruments are, in combination, designed to limit the overall risk. In implementing its option premium collection strategy, the Fund will sell (write) a put option (this creates a short position) while simultaneously purchasing another put option at a different strike price (this creates a long position) – the combination of these two put option positions creates a defined-risk trade. Additionally, the Fund will sell (write) a call option (this creates another short position) while simultaneously purchasing another call option at a different strike price (this creates another long position) – the combination of these two call options positions creates another defined-risk trade for the Fund. The difference between the strike price of the short and long options is referred to as the spread. The Fund’s put spreads and call spreads each contain the following characteristics: (i) the long and short options of each spread have the same number of contracts, (ii) the long option of each spread will have a further out-of-the-money strike price than the short option; (iii) the long option of each spread will have at least the same or longer expiration date than the short option. At expiration, if the short options of each spread are out-of-the-money, they expire worthless and the Fund will retain the cash collected (i.e., the premium) when the positions were originally established, net of any cash (premium) paid to purchase the long options. The net amount of premium collected by the Fund represents the maximum profit for each spread. The Fund’s put and call spreads are generally initiated simultaneously establishing a market neutral trade, meaning there is no inherent bullish or bearish bias. However, the Fund may decide to initiate and/or adjust its option spread positions with a slight bullish or bearish bias in cases when the underlying reference asset has experienced recent extreme price velocity. The Fund generally utilizes weekly and monthly SPX options with expirations of 90 days or less. SPX options are European-style options, which means that they can be exercised only at expiration (this is differentiated from American-style options, which can be exercised at any time prior to the option’s expiration). This strategy may be referred to as an index spread writing strategy. Based on the Adviser’s assessment of market conditions, the Adviser may close one or more sides of a spread at any time.   The Adviser monitors all SPX option strikes for the optimal sale of put spreads and call spreads. Once the Fund has entered into a position, the Adviser attempts to realize as much of the net premium as possible. The Fund may decide to close its option spread positions prior to expiration, which may result in realizing less than the net option premium initially collected. Positions are generally re-set on a monthly basis, but the Adviser may determine to close and/or adjust option spreads prior to expiration for purposes of risk management. The Adviser’s risk/reward analysis for option position entry, closing, and risk management adjustments will consider such factors as: option implied volatility (a measure of expected future volatility that is implied by options prices), net option premiums, option delta (the sensitivity of an option’s price to a change in the price of the underlying security), option duration, S&P 500 Index valuations, and perceived market risks. The Adviser may at times determine to take a temporary defensive position and not implement its option spread writing investment strategy.   The option premium collection strategy may result in the generation of positive returns for the Fund; however, the loss potential if the strategy is not effective may be greater than the profit potential. The Fund may lose significantly more than the premium it receives in highly volatile market conditions.   The Fund is required to pledge collateral for the option trades and it will hold cash, money market instruments, or treasury bills as collateral for all such options trades. The Fund’s custodian will segregate such collateral for the benefit of the counterparty. Therefore, the Fund must typically maintain a large percentage of cash and cash equivalents within the Fund. The Fund’s option spread positions will effectively lever the portfolio and will target a notional exposure of three times the pledged collateral value.   The Fund’s investments in short-term fixed income instruments consist of cash, money market instruments, and treasury bills. The Fund’s short-term fixed income instruments are intended to provide liquidity and preserve capital. When the Fund invests in options, the short-term fixed income instruments serve as margin or collateral in a manner that satisfies contractual undertakings and regulatory requirements. Because investing in options does not require the Fund to deposit the full notional amount of the investment, the Fund will invest a significant amount of its total assets in short-term fixed income instruments.