CONTEXT MACRO OPPORTUNITIES FUND INSTITUTIONAL SHARES (CMOTX) Exchange: NMFQS

DELISTED - In seeking to achieve the Fund’s investment objective, First Principles Capital Management, LLC (“First Principles”), the Fund’s subadviser, employs a number of arbitrage and alternative investment strategies to pursue its investment objective and may have exposure to long and short positions across all of its asset classes. In seeking to pursue these strategies, the Fund may invest in a wide range of debt securities and derivative instruments. The Fund may also invest in equity securities and equity-linked derivative instruments. The Fund seeks total returns with low correlation to broad financial markets and accordingly, the Fund does not seek to replicate the returns of any financial index.   First Principles is responsible for the day-to-day management of the Fund’s investment portfolio, subject to the general oversight of Context II.   In seeking to achieve the Fund’s investment objective, First Principles may utilize multiple alternative investment strategies to generate a return profile that is not generally correlated to broad financial markets.   First Principles’ investment strategies include but are not limited to:     ● Break-Even Inflation Trading: First Principles may take a “break-even inflation” position by trading inflation linked securities against their nominal bond equivalent. The resulting spread will generally be neutral to changes in interest rates.     ● Capital Structure Arbitrage: First Principles will enter into relative value trades in senior tranches of credit default indices positioned against subordinated tranches.     ● Hedged Mortgage-Backed Securities Trading: First Principles may seek to capture value resulting from differences in views related to prepayment characteristics.     ● Volatility Spread Trading: First Principles may seek to capture mispricing in volatility by taking offsetting positions in two or more option-related instruments.     ● Opportunistic Investing: First Principles may employ other arbitrage and alternative strategies when it believes attractive market opportunities arise.   First Principles periodically evaluates its investment strategies and investment opportunities and may implement additional strategies at its discretion. When evaluating investment opportunities, First Principles considers various factors, including broad economic and market factors, technical data specific to individual instruments and its own proprietary research and analysis. First Principles considers each prospective investment’s relative return potential in view of its expected relative risk, including potential volatility (the variability of returns from one period to the next) and drawdown risk (the risk of significant loss, measured from peak value) among other risks. The goal of this process is to identify a combination of investments and strategies with the potential to provide total return consistent with the Fund’s overall risk/return profile.   Because First Principles invests opportunistically based on its assessment of market conditions, the Fund may at times be more focused in particular instruments, asset classes and/or geographic regions. The Fund may invest in both U.S. and non-U.S. issuers, including issuers from emerging markets. The Fund may invest in securities of issuers with any market capitalization, industry or market sector.   The debt securities that the Fund may invest in include debt securities of U.S. and non-U.S. corporate and other non-governmental entities, sovereign debt, debt securities of U.S. and non-U.S. governmental entities (including government agencies and instrumentalities), municipal securities, certain mortgage-backed and asset-backed securities, exchange-traded notes and collateralized debt and loan obligations. The Fund may invest without limit in debt securities rated below investment grade (known as “junk bonds”) or, if unrated, of equivalent credit quality as determined by First Principles. The Fund’s investments in debt securities rated below investment grade may include securities that are in default. The Fund has no policy limitations with respect to the credit rating, maturity or duration of the debt securities in which it may invest, and may invest in debt securities of any credit rating, maturity or duration.   A significant portion of the Fund’s investment strategies may involve the use of derivative instruments which may be used to obtain the desired risk exposure consistent with the underlying investment strategies. The derivative instruments that the Fund may invest in include: swaps; options; forward contracts; futures contracts and options on futures contracts; caps and floors; and credit-linked notes. The Fund may use derivatives to manage the Fund’s portfolio or to seek to increase the Fund’s return as a non-hedging strategy that may be considered speculative. The Fund may also use derivatives to increase its economic exposure to a particular security, currency or index. The Fund may also enter into repurchase or reverse repurchase agreements. The Fund may incur leverage either by engaging in conventional borrowing or by using certain derivative instruments, short-sale transactions and reverse repurchase agreements. The Fund will maintain segregated collateral positions to comply with applicable laws and regulations related to debt or obligations incurred by the Fund.   The Fund may engage in short sales for hedging purposes or to attempt to increase the Fund’s return as a non-hedging strategy that may be considered speculative.   The equity securities that the Fund may invest in include common stocks, preferred stocks, stock warrants and rights, convertible securities and equity index products. Pooled investment vehicles in which the Fund may invest include exchange-traded funds (“ETFs”) and other investment companies.   The Fund actively trades portfolio investments, which may lead to higher transaction costs.   The Fund is “non-diversified” for the purposes of the Investment Company Act of 1940 (“1940 Act”) as amended, which means that the Fund may invest in fewer securities at any one time than a diversified fund.   In addition to investing in securities denominated in non-U.S. currencies, the Fund may hold non-U.S. currencies and purchase and sell forward currency exchange contracts in non-U.S. currencies.   A significant portion of the assets of the Fund may be invested in money market instruments, including cash and cash equivalents or other high grade securities, a significant portion of which may be used to serve as collateral with respect to such derivative instruments. Such high grade securities include, but are not limited to, U.S. government securities, U.S. government agency securities, short-term fixed-income securities, and overnight or fixed term repurchase agreements.