ELEMENTS U.S. SMALL CAP PORTFOLIO CLASS Y (EYSMX) Exchange: NMFQS

The Portfolio seeks to capture the equity risk premium by investing in a broad group of securities of U.S. small capitalization companies. The “equity risk premium” is positive if investment returns for equity securities exceed the risk-free rate, on average and over time. The “risk-free rate” is the rate of return that can be earned on high quality, short-term government debt securities. There can be no assurance that the equity risk premium will be positive for the Portfolio’s investments at any time or on average and over time. The Portfolio is constructed from a market capitalization-weighted portfolio of U.S. operating companies (i.e., companies tied economically to the United States) listed on the NYSE, NYSE MKT LLC, Nasdaq Global Market®, Nasdaq Capital Market® and such other U.S. national securities exchanges deemed appropriate by the Adviser (collectively, “major U.S. markets”), that the Adviser determines to be small capitalization companies as defined below. This market capitalization-weighted portfolio is referred to as the “Universe of U.S. Small Cap Companies.” Market capitalization weighting means that, in general, the higher the relative market capitalization (number of outstanding shares multiplied by the market price per share) of a particular U.S. company, the greater its representation in the Universe of U.S. Small Cap Companies. The representation of an eligible company in the Universe of U.S. Small Cap Companies may also be adjusted by the Adviser for free float. Adjustment for free float modifies market capitalization weighting to exclude, in whole or in part, the share capital of a company that is not freely available for trading in the public equity markets, such as, for example, shares held by certain strategic investors (e.g., governments, controlling shareholders and management), treasury shares or shares subject to foreign ownership restrictions. After determining the Universe of U.S. Small Cap Companies, the Adviser adjusts the allocation of the Portfolio to increase the Portfolio’s exposure to companies that exhibit certain properties, generally referred to as “factors,” that the Adviser believes may contribute to a positive equity risk premium. These factors currently include small size, value, momentum or quality. The Adviser may also adjust the representation of an eligible company in the Portfolio, or exclude a company, after considering such other factors as the Adviser determines to be appropriate from time to time, and may in the future cease to make such adjustments for any or all of small size, value, momentum or quality. Under normal circumstances, the Portfolio invests at least 80% of the value of its net assets (plus the amount of any borrowings for investment purposes) in securities of small capitalization companies tied economically to the United States, either directly or indirectly (e.g., through derivatives). See “Investment Objectives, Strategies and Risks — More Information Regarding Investment Policies — Name Policies” below. The Adviser currently considers small capitalization companies to include those companies that, at the time of purchase, are (a) generally in the lowest 10% of total market capitalizations of companies listed on the major U.S. markets, (b) smaller than the 1,000th largest company by market capitalization listed on the major U.S. markets, or (c) constituents of a recognized third-party securities market index that the Adviser deems to be a small-cap index. As of August 31, 2020, the largest company that is within the Adviser’s definition of small capitalization companies had a market capitalization of $7.4 billion. This amount will fluctuate over time. A company is “tied economically” to the United States if, at the time of purchase, it is included in a broad U.S. market index published by FTSE Russell, MSCI Inc., Standard &Poor’s Financial Services LLC or Wilshire Associates or any other widely-recognized provider of broad U.S. market indices or, for companies not included in any widely-recognized index, if the Adviser determines that it would be classified as a U.S. company based on the company’s geographic exposure. The Portfolio invests significantly in common stocks, either directly or indirectly, including through derivative instruments such as equity index futures contracts or options on equity index futures contracts, equity swaps or equity index swaps, or equity options or equity index options. The Portfolio also uses derivatives for hedging purposes, to maintain liquidity or to earn an enhanced return. In addition, the Portfolio enters into securities lending transactions with its portfolio securities to generate additional income. The Portfolio may invest in small companies that are considered “mid-cap,” “small-cap” or “micro-cap” companies. A portion of the Portfolio’s assets may be held in cash or cash-equivalent investments, including, but not limited to, money market funds. The Portfolio may also invest in the securities of other investment companies, including exchange-traded funds. The Adviser may consider the tax consequences of the Portfolio’s investment strategy, but there is no assurance that the Portfolio will be successfully managed in a tax-advantaged manner.