MPROVED SYSTEMATIC MULTISTRATEGY FUND INSTITUTIONAL CLASS (MMSQX) Exchange: NMFQS

Under normal conditions, the Adviser pursues the Fund’s investment objective by seeking to provide exposure to a number of strategies often referred to as “alternative” or “absolute return” strategies that are more traditionally offered through hedge funds. The Fund implements these strategies by investing globally (including in emerging markets) in a broad range of instruments, including, but not limited to, equities, bonds, convertible securities (including contingent convertible securities), futures (including commodity futures, index futures, equity futures, bond futures and interest rate futures), currency and commodity forwards, options and swaps (including commodity swaps, swaps on commodity futures, equity swaps, swaps on index futures, total return swaps, interest rate swaps, and credit default swaps (“CDS”)). When the Fund sells a CDS, the Fund will cover such transaction to the full notional value. The Fund may take both long and short positions in all of its investments. In a short sale transaction, the Fund will borrow a security and sell it at the current market price in the anticipation of buying the security at a lower price prior to the time the Fund is obligated to return the security to the owner. The Fund may trade in derivatives both for hedging and investment purposes. The Fund currently expects the derivatives that it trades to be primarily total return swaps and futures contracts; however, this may change over time. There is no limit on the amount of exposure the Fund may have to any specific asset class, market sector, or instrument. The Fund may invest in the securities of issuers of any market capitalization. The securities in which the Fund invests may be restricted and/or Rule 144A securities. The Fund has no limits 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, which may include high-yield or “junk” bonds or distressed securities. The Fund may engage in securities lending. Utilizing the range of investments and instruments described above, the Fund seeks to provide exposure to several absolute return strategies through one fund offering. The strategies the Fund intends to use include the following: Relative Value Strategies. Relative value strategies seek to profit from the relative mispricing of related assets. For example, convertible bonds and the common stock underlying the conversion option; other options and futures and their reference assets; debt instruments and/or their derivatives of the same issuer or of different issuers with different maturities or yields; and the common stock of different issuers in the same sectors. These strategies may be highly quantitative and based on theoretical or historical pricing relationships. Because they focus on capturing value from the relative mispricing of related assets, relative value strategies may, under certain circumstances, generate returns independent of overall movements in the global level of debt or equity prices. Because the mispricing that these strategies exploit tends to be small in absolute terms, these strategies often use leverage, which will vary according to market conditions and could be substantial, in an attempt to increase returns, but which could also magnify losses. The Adviser may implement various relative value strategies on behalf of the Fund, including convertible-securities arbitrage and volatility arbitrage. The convertible-securities arbitrage strategy seeks to buy “long” a convertible security and sell “short” a portion of the underlying stock into which the convertible security may be converted in anticipation of profiting from a relative mispricing between them (i.e., when the Adviser believes the convertible security is undervalued relative to the underlying stock). Although currently the strategy will generally be effected by investing in what the Adviser believes are undervalued convertibles that fit the strategy’s investment universe, the Adviser may also take short positions in convertibles under certain circumstances. In determining the investible universe, the Adviser will consider among other things, the size of the issue, liquidity in the underlying common stock, the theoretical equity delta of the convertible (i.e., the sensitivity of the convertible bond’s price to changes in the price of the underlying stock), and the cost of borrowing shares. Inputs will change in real time and thus the convertibles’ theoretical value will also change in real time. The strategy will invest in convertible bonds and mandatory convertibles. In evaluating such investments, the Adviser will consider, among other things, credit spreads, expected equity volatility, stock prices, stock borrow costs and interest rates. Convertibles are less liquid than common stocks generally and the decision to add new positions or close existing positions will be influenced by expected transaction costs. As such the portfolio may hold convertibles whose prices have exceeded theoretical values while the Adviser waits for an attractive exit opportunity. The Fund is likely to buy new issues if they are expected to be trading above issue price even if their issue price exceeds theoretical value. Holding periods of new issues may vary depending on the level of theoretical cheapness of the bond once it begins trading in the marketplace. Convertible-securities arbitrage strategy returns will be affected by, among other things, conditions in general corporate credit markets, volatility in equity markets, behavior of other advisers employing a similar strategy, and general market conditions. The number of convertibles in the portfolio will change based on the availability of what the Adviser believes are attractive convertibles. The volatility arbitrage strategy seeks to identify and exploit relative mispricings in general volatility levels across global markets. The Adviser evaluates volatility through the use of statistical models, as well as analysis of capital structure, event catalysts, the structured products markets, and macro factors. Event-driven Strategies. Event-driven strategies include investing in companies that are experiencing a material change in their ownership or in their capital structure. Examples of event-driven strategies include merger arbitrage, special purpose acquisition companies (“SPAC”) strategies (both discussed below) and investing in companies experiencing spin-offs, divestitures or stock or bond repurchases, among other things. Within the universe of event-driven strategies implemented by the Fund, the Fund currently makes a relatively large allocation to merger arbitrage, but that will change over time depending on the Adviser’s judgment on how best to allocate the Fund’s capital. Merger arbitrage involves investing in equity securities (including common, preferred stock, securities convertible into common stock, rights and warrants or securities or other instruments whose price is linked to the value of common stock) of a company that is involved in a significant corporate event, including, but not limited to merger or acquisition transactions. Merger arbitrage is a highly specialized investment strategy generally designed to profit from the successful completion of such transactions. Although the Fund may employ a variety of strategies depending upon the nature of the transaction selected for investment, generally, the Fund’s merger arbitrage strategy will involve purchasing the shares of an announced acquisition target company (i.e. a “target company”) at a discount to their expected value upon completion of the transaction. The size of this discount, referred to as the “spread”, represents the potential profit on such an investment. The higher the probability of completion of the transaction, the closer the target company stock trades to the value offered by the acquirer. Typically, in an announced cash-for-stock or stock-for-stock transactions, the Fund will buy shares of the target, and in the case of a stock-for-stock transaction, the Fund will also sell short the shares of the acquirer. In either case the Fund seeks to capture that difference, or spread, with the expectation of realizing the price differentials if and when the transaction closes. Returns in merger arbitrage transactions can be affected by a variety of factors, however, including, for example: (1) the risk-free rate of return at the time of investment (i.e. the interest an investor would expect from an absolutely risk-free investment over a specified period of time); (2) the likelihood that a transaction will be completed or not, and the gains or losses resulting from each outcome; (3) market risk; (4) the possibility that the transaction will fail to complete due to market factors; and (5) a risk premium paid to merger arbitrage investors. The Adviser’s merger arbitrage strategy is a predominantly process-driven risk arbitrage strategy, i.e. one in which the Fund invests in a broad number of targets of merger transactions meeting certain criteria with the intention of systematically capturing risk arbitrage-specific premium. The Adviser believes that the imposition of various transaction selection filters and position sizing and leverage parameters may improve the ability of an investor such as the Fund to capture and enhance the risk arbitrage-specific premium. Selection filters include, without limitation, market capitalization, such as restrictions on investments in securities of issuers with market capitalizations less than $100 million. Position sizing may be measured both in terms of absolute value of a transaction as well as the expected potential lost on any particular position. The transaction selection filters and parameters that the Adviser utilizes in pursuing the strategy have elements that may change over time. An event-driven strategy requires quantitative skills to value complex merger offers or other corporate events and to measure and manage portfolio downside risk. In addition, performance for the strategy may be cyclical and varies with market conditions. Sourcing for such investments depends upon there being transactions in the marketplace. The general characteristics of announced mergers or events vary over time, making the available universe of transactions more attractive at certain times than others. These characteristics include, among other things, the nature of the buyer, the conditions for closing as described in merger agreements, financing requirements, current regulatory climate, the nature of the event as well as its motivating conditions, and other factors.The Fund may invest in companies that are announced as targets of merger transactions or other events, or that are publicly known to be under consideration for such transactions or events – both friendly as well as hostile. A SPAC strategy involves investing in publicly traded securities, such as common stock, warrants, and occasionally rights, issued by SPACs. A SPAC is a public company, the purpose of which is to identify merger, acquisition or other transformative transactions and consummate such transactions with one or more operating businesses or assets (any such transaction, a “Transaction”). A SPAC primarily raises capital through an initial public offering (“IPO”). At the time a SPAC conducts an IPO, it has selected a management team but has not yet identified a Transaction. The typical SPAC IPO involves the sale of units consisting of one share of common stock combined with one or more warrants or fractions of warrants to purchase common stock at a fixed price upon or after consummation of a Transaction. Shortly after the SPAC’s IPO, such units typically are split into publicly-listed common stock and warrants (and rights, if applicable) which are each listed and traded separately. All of the proceeds from the IPO are placed in trust until such time that the SPAC identifies and consummates a Transaction. The initial capital contributed by the principals and sponsors of the SPAC covers the expenses of the SPAC. If the SPAC is unable to consummate a Transaction within a predetermined amount of time (typically 15 to 24 months), the SPAC is liquidated and the funds held in trust (plus any interest earned thereon, minus certain expenses) are distributed to the holders of the common stock issued in the IPO and the warrants expire worthless. SPAC investors also may elect to redeem their shares for the pro-rata trust value at a specified redemption date that occurs shortly before the deal closing date. A SPAC investor may elect this redemption right regardless of whether they vote for or against the business combination.The Adviser’s SPAC strategy is a rules-based strategy, and the Adviser expects that the Fund generally will purchase SPAC units within predetermined parameters during their IPO and in the secondary markets. These pre-determined parameters may include minimum deal size thresholds, restrictions or limitations on certain target industries, and limits on sizing of both in a deal and in the portfolio, or other parameters as determined by the Adviser. In evaluating the timing of SPAC investments, the Adviser will assess the trading environment and valuations applicable to such SPACs at various points in the life cycles of such SPACs. When a Transaction is announced with respect to a SPAC in which the Fund has invested, the Adviser may pursue various courses of action. The Adviser will use a statistical model to evaluate the Transaction to determine whether the best strategy is to redeem the common shares at the value of their pro rata portion of the assets held in trust or sell the common shares at the current market price. The Fund may also hold and/or purchase the associated warrants if the Adviser’s systematic process indicates that such warrants offer a favorable risk-return opportunity. After a Transaction has been consummated, the Fund may continue to hold warrants or common equity securities of the post-combination entity in cases where the Adviser’s systematic model indicates that holding such securities provides the Fund with an attractive investment or trading opportunity. The length of time during which the Fund will hold a particular SPAC position may vary based on a number of factors, including, but not limited to, the timing of Transactions, market conditions and the point in time in the SPAC’s life cycle at which the Fund invested in the SPAC.Quantitative Strategies. Quantitative strategies include systematic strategies that often take the form of statistical arbitrage whereby one buys “long” a financial instrument and sells “short” another financial instrument when the relative prices of such instruments deviate from their historical relationship in anticipation of prices reverting back to their historical norms. In implementing statistical arbitrage strategies, the Adviser may exclude securities from the portfolio based on daily trading volume, market capitalization, and price. Any such constraints may evolve over time and are subject to change. Systematic macro strategies use quantitative methods to discover price patterns across multiple asset classes such as equity, debt, foreign exchange and commodities. While systematic macro strategies can encompass both trend following and counter trend strategies (as described below), they may also look for relative value across different securities or take advantage of relative differences in yields between different securities.Certain quantitative strategies look for trends to persist in a single stock, group of stocks, single futures contract, or group of futures contracts. These strategies tend to take long positions in securities or instruments that have been rising in price and are sometimes described as momentum, or trend-following, strategies. Other quantitative strategies look to identify reversal points in a trend and thus take short positions in securities or instruments that are rallying. These strategies are known as counter trend. Other quantitative strategies cannot be classified purely as trend, counter trend or mean reversion, but generally are looking for historical patterns to persist. An example of this is a strategy of buying stocks with low beta or volatility and shorting stocks with high beta or volatility. Another example would be to buy stocks based on their perceived higher value or quality and short stocks who have perceived lower value or quality. The Fund may use a variety of quantitative strategies including, from time to time, the aforementioned strategies. The quantitative strategies used by the Fund may trade on a global basis and may trade a large number of equities. The quantitative strategies used by the Fund may focus on futures and other derivatives. Returns in quantitative strategies depend on either the persistence or lack thereof of historical relationships that the quantitative models have identified; the methodologies the models deploy; the transaction costs of the strategies, which generally employ high turnover; the commonality of the Adviser’s quantitative models with other quantitative models, which could lead to adverse results; and general market conditions, including volatility, correlation, overall returns of general markets, and financing costs. Systematic Long-Short Strategies. Long-short strategies typically take the form of buying “long” a security that the Adviser considers to be undervalued and selling “short” a security that the Adviser considers to be overvalued in anticipation of profiting from changes in the price differential between the respective long and short positions. The Adviser may implement a variety of long-short strategies on behalf of the Fund, including, but not limited to equity long-short and credit long-short strategies. The Adviser’s equity long-short strategies are rules-based long-short strategies, which typically involves investing in the equity securities of companies that have undergone recent market dislocations brought about by corporate actions, events, short-term liquidity demands, investor sentiment, or shifts or disruptions in balance sheet, cash flow and earnings fundamentals (referred to as “event-driven opportunities”) or other industry and market dynamics. When using these strategies, the Adviser seeks to capture the difference between the current and anticipated value of the security. The Fund seeks to profit when the price of a security changes to reflect more accurately the likelihood and potential impact of the occurrence, or non-occurrence, of such an event. While there is no guarantee of this convergence between current and anticipated value, the Adviser believes there to be a reasonable probability of such convergence based upon historical statistical analysis. Implementing equity long-short strategies requires both quantitative (e.g., statistical analysis and financial modeling) and qualitative (e.g., formulating hypotheses and setting assumptions) skills to both identify and interpret the potential impact of the aforementioned market disruptions on the anticipated value of a company’s equity. In addition to identifying and interpreting the potential impact of such disruptions, the Adviser believes it is critical to also assess their potential risks. The underlying logic behind this process is encapsulated in a set of proprietary rules and algorithms developed by the Adviser. Performance for equity long-short strategies can be cyclical and will vary with market conditions. Identifying investments for the Fund depends on the existence of event-driven opportunities, which can be driven by the flow of corporate events and transactions. The general characteristics of corporate events vary over time, making the available universe of transactions more attractive at certain times than others. These characteristics include, among other things, the nature of the event as well as its motivating conditions. Credit long-short strategies involve taking long positions in bonds or selling credit default swaps on issuers whose credit spreads are perceived by the Adviser to be attractive relative to the risk of investment. Conversely, the strategies involve taking short positions in bonds or buying credit default swaps on issuers where the Adviser believes the credit spreads are unattractive relative to the risk of investment. The Adviser seeks to identify market dislocations resulting from corporate fundamental changes, inherent market valuation imbalances, and recent market dislocations resulting from corporate actions or external events, and ultimately capture any meaningful discrepancy between the current and the expected values of the securities. In determining the investible universe for credit long-short strategies, the Adviser will consider among other things, the size of the outstanding amount of the bond, liquidity, time remaining to maturity, fixed or floating rates and agency ratings. In addition to price volatility, returns of credit long-short strategies may be affected by issuer defaults on debt obligations, the timing of such a default, the severity of the loss in a default, the relative maturities of the bonds or credit default swaps, and general market conditions. In selecting investments for the Fund pursuant to the above and other strategies, the Adviser generally applies a rules-based approach in which a variety of guidelines are imposed as soft limits, which determine portfolio composition. The Adviser may change its internal guidelines and rules from time to time, without notice. The strategies used by the Fund also have certain discretionary elements. In particular, the Adviser’s discretion is used throughout the research, creation and implementation of the models used in the strategies. In addition, decisions to adjust the sensitivity of a model to certain inputs, adjust the size of positions indicated by the strategies, determine the instruments to trade, choose the method of order entry, adjust leverage levels, adjust allocations among strategies and sub-strategies, determine deal rationale and deal break risk, determine valuations used by models, determine the time of entry and exit for a position, and determine when to engage in hedging activities require the Adviser’s discretion. The Adviser may sell a position when it determines that the position no longer fits the Adviser’s rules-based criteria or when it deems appropriate based on the Adviser’s research and interpretation of relevant data. The Fund may add additional strategies or remove existing strategies from time to time. Asset allocation among the strategies is determined at the discretion of the Adviser using various methodologies. These methodologies may include fixed asset allocation or various floating methodologies such as allocating based on the Adviser’s assessment of risk of each strategy or the investment opportunity for each strategy at any given time. Asset allocation methodologies may be subject to change in the Adviser’s discretion. The Fund currently intends to have exposure to each of the strategies described above, however, it may vary its level of allocation among the strategies depending on market conditions, including reducing the exposure to any strategy to zero. The Fund’s strategies may result in active and frequent trading of portfolio securities.