Natixis Funds Trust II

0001193125-21-140692.txt : 20210429 0001193125-21-140692.hdr.sgml : 20210429 20210429164911 ACCESSION NUMBER: 0001193125-21-140692 CONFORMED SUBMISSION TYPE: 485BPOS PUBLIC DOCUMENT COUNT: 62 FILED AS OF DATE: 20210429 DATE AS OF CHANGE: 20210429 EFFECTIVENESS DATE: 20210501 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Natixis Funds Trust II CENTRAL INDEX KEY: 0000052136 IRS NUMBER: 041990692 STATE OF INCORPORATION: MA FILING VALUES: FORM TYPE: 485BPOS SEC ACT: 1940 Act SEC FILE NUMBER: 811-00242 FILM NUMBER: 21871555 BUSINESS ADDRESS: STREET 1: 888 BOYLSTON STREET STREET 2: 8TH FLOOR CITY: BOSTON STATE: MA ZIP: 02199 BUSINESS PHONE: 800-283-1155 MAIL ADDRESS: STREET 1: 888 BOYLSTON STREET STREET 2: 8TH FLOOR CITY: BOSTON STATE: MA ZIP: 02199 FORMER COMPANY: FORMER CONFORMED NAME: IXIS Advisor Funds Trust II DATE OF NAME CHANGE: 20050502 FORMER COMPANY: FORMER CONFORMED NAME: CDC NVEST FUNDS TRUST II DATE OF NAME CHANGE: 20010503 FORMER COMPANY: FORMER CONFORMED NAME: NVEST FUNDS TRUST II DATE OF NAME CHANGE: 20000202 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Natixis Funds Trust II CENTRAL INDEX KEY: 0000052136 IRS NUMBER: 041990692 STATE OF INCORPORATION: MA FILING VALUES: FORM TYPE: 485BPOS SEC ACT: 1933 Act SEC FILE NUMBER: 002-11101 FILM NUMBER: 21871554 BUSINESS ADDRESS: STREET 1: 888 BOYLSTON STREET STREET 2: 8TH FLOOR CITY: BOSTON STATE: MA ZIP: 02199 BUSINESS PHONE: 800-283-1155 MAIL ADDRESS: STREET 1: 888 BOYLSTON STREET STREET 2: 8TH FLOOR CITY: BOSTON STATE: MA ZIP: 02199 FORMER COMPANY: FORMER CONFORMED NAME: IXIS Advisor Funds Trust II DATE OF NAME CHANGE: 20050502 FORMER COMPANY: FORMER CONFORMED NAME: CDC NVEST FUNDS TRUST II DATE OF NAME CHANGE: 20010503 FORMER COMPANY: FORMER CONFORMED NAME: NVEST FUNDS TRUST II DATE OF NAME CHANGE: 20000202

0000052136 S000008033 Natixis Oakmark Fund

C000021802 Class A NEFOX

C000021804 Class C NECOX

C000021805 Class Y NEOYX

C000188564 Class T NOKTX

C000190720 Class N NOANX

0000052136 S000023548 AlphaSimplex Global Alternatives Fund

C000069269 Class A GAFAX

C000069270 Class C GAFCX

C000069271 Class Y GAFYX

C000128763 Class N GAFNX

C000188565 Class T GAFTX

0000052136 S000023783 Vaughan Nelson Mid Cap Fund

C000069913 Class A VNVAX

C000069914 Class C VNVCX

C000069915 Class Y VNVYX

C000128764 Class N VNVNX

C000188566 Class T VNVTX

0000052136 S000029564 AlphaSimplex Managed Futures Strategy Fund

C000090725 Class A AMFAX

C000090726 Class C ASFCX

C000090727 Class Y ASFYX

C000188567 Class T MFSTX

C000190721 Class N AMFNX

0000052136 S000030600 Loomis Sayles Strategic Alpha Fund

C000094853 Class A LABAX

C000094854 Class C LABCX

C000094855 Class Y LASYX

C000188568 Class T LSATX

C000190722 Class N LASNX

0000052136 S000039535 Loomis Sayles Intermediate Municipal Bond Fund

C000121922 Class A MIMAX

C000121923 Class C MIMCX

C000121924 Class Y MIMYX

C000188569 Class T MIMTX

485BPOS 1 d129450d485bpos.htm NATIXIS FUNDS TRUST II Natixis Funds Trust II

Registration Nos.

002-11101

811-00242

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM

N-1A

REGISTRATION STATEMENT

UNDER


		THE SECURITIES ACT OF 1933		☐
		Pre-Effective Amendment No.		☐
		Post-Effective Amendment No. 234		☒

and/or

REGISTRATION STATEMENT

UNDER


		THE INVESTMENT COMPANY ACT OF 1940		☐
		Amendment No. 162		☒

(Check appropriate box or boxes.)

NATIXIS FUNDS TRUST II

(Exact Name of Registrant as Specified in Charter)


888 Boylston Street, Boston, Massachusetts		02199
(Address of principal executive offices)		(Zip Code)

(617)

449-2822

Registrant’s Telephone Number, including Area Code

Russell Kane, Esq.

Natixis Distribution, L.P.

888 Boylston Street

Boston, Massachusetts 02199

(Name and Address of Agent for Service)

Copy to:

John M. Loder, Esq.

Ropes & Gray

800 Boylston Street

Boston, Massachusetts 02199

Approximate Date of Public Offering

It is proposed that this filing will become effective (check appropriate box):

☐	Immediately upon filing pursuant to paragraph (b)

☒	On May 1, 2021 pursuant to paragraph (b)

☐	60 days after filing pursuant to paragraph (a)(1)

☐	On (date) pursuant to paragraph (a)(1)

☐	75 days after filing pursuant to paragraph (a)(2)

☐	On (date) pursuant to paragraph (a)(2) of Rule 485.

If appropriate, check the following box:

☐	This post-effective amendment designates a new effective date for a previously filed post-effective amendment.

Prospectus

May 1, 2021


	Class A	Class C	Class N	Class T *	Class Y
AlphaSimplex Global Alternatives Fund	GAFAX	GAFCX	GAFNX	GAFTX	GAFYX
AlphaSimplex Managed Futures Strategy Fund	AMFAX	ASFCX	AMFNX	MFSTX	ASFYX
Gateway Equity Call Premium Fund	GCPAX	GCPCX	GCPNX	GCPTX	GCPYX
Gateway Fund	GATEX	GTECX	GTENX	GATTX	GTEYX
Mirova Global Green Bond Fund	MGGAX		MGGNX		MGGYX
Mirova Global Sustainable Equity Fund	ESGMX	ESGCX	ESGNX	ETSGX	ESGYX
Mirova International Sustainable Equity Fund	MRVAX		MRVNX		MRVYX
Mirova U.S. Sustainable Equity Fund	MUSAX	MUSCX		MUSNX	MUSYX
Vaughan Nelson Mid Cap Fund (formerly, Vaughan Nelson Value Opportunity Fund)	VNVAX	VNVCX	VNVNX	VNVTX	VNVYX
Vaughan Nelson Small Cap Value Fund	NEFJX	NEJCX	VSCNX	NEJTX	NEJYX

*	Class T shares of the Funds are not currently available for purchase.

The Securities and Exchange Commission (“SEC”) and the Commodity Futures Trading Commission have not approved or disapproved any Fund’s shares

or determined whether this Prospectus is truthful or complete. Any representation to the contrary is a crime.

Table of Contents


Fund Summary	1
AlphaSimplex Global Alternatives Fund	1
AlphaSimplex Managed Futures Strategy Fund	9
Gateway Equity Call Premium Fund	16
Gateway Fund	22
Mirova Global Green Bond Fund	28
Mirova Global Sustainable Equity Fund	34
Mirova International Sustainable Equity Fund	40
Mirova U.S. Sustainable Equity Fund	45
Vaughan Nelson Mid Cap Fund	50
Vaughan Nelson Small Cap Value Fund	56
Investment Goals, Strategies and Risks	62
More About Goals and Strategies	62
AlphaSimplex Global Alternatives Fund	62
AlphaSimplex Managed Futures Strategy Fund	63
Gateway Equity Call Premium Fund	64
Gateway Fund	65
Mirova Global Green Bond Fund	66
Mirova Global Sustainable Equity Fund	67
Mirova International Sustainable Equity Fund	68
Mirova U.S. Sustainable Equity Fund	69
Vaughan Nelson Mid Cap Fund	70
Vaughan Nelson Small Cap Value Fund	70
All Funds	71
More About Risks	72
Management Team	79
Meet the Funds' Investment Advisers and Subadvisers	79
Meet the Funds' Portfolio Managers	81
Additional Information	83
Fund Services	83
Investing in the Funds	83
How Sales Charges Are Calculated	84
Compensation to Securities Dealers	87
How to Purchase Shares	88
How to Redeem Shares	89
Exchanging or Converting Shares	91
Restrictions on Buying, Selling and Exchanging Shares	92
Self-Servicing Your Account	93
Restructuring and Liquidations	94
How Fund Shares are Priced	94
Dividends and Distributions	95
Tax Consequences	96
Additional Investor Services	97
Prior Related Performance Information	99
Financial Performance	100


Appendix A - Intermediary Specific Information	A-1
Appendix B - Financial Intermediary Specific Commissions & Investment Minimum Waivers	B-1
Appendix C - Additional Index Information	C-1

Fund shares are not bank deposits and are not guaranteed, endorsed or insured by the Federal Deposit Insurance Corporation or any other government

agency, and are subject to investment risks, including possible loss of the principal invested.

Fund Summary

AlphaSimplex Global Alternatives Fund

Investment Goal

The Fund pursues an absolute return strategy that seeks to provide capital appreciation consistent with the risk-return characteristics of a diversified portfolio

of hedge funds. The secondary goal of the Fund is to achieve these returns with less volatility than major equity indices.

Fund Fees & Expenses

The following table describes the fees and expenses that you may pay if you buy, hold, and sell shares of the Fund. You may pay other fees, such as brokerage commissions and other fees to financial intermediaries, which are not reflected in this table.

You may qualify for sales charge discounts if you and

your family invest, or agree to invest in the future, at least $50,000 in the Natixis Funds Complex.

More information about these and other discounts is

available from your financial professional and in the section “How Sales Charges Are Calculated” on page

84 of the Prospectus

, in Appendix A to the

Prospectus and on page

128 in the section “Reduced Sales Charges” of the Statement of Additional Information (“SAI”).

Shareholder Fees


(fees paid directly from your investment)	Class A	Class C	Class N	Class T	Class Y
Maximum sales charge (load) imposed on purchases (as a percentage of offering price)	5.75%	None	None	2.50%	None
Maximum deferred sales charge (load) (as a percentage of original purchase price or redemption proceeds, as applicable)	None *	1.00%	None	None	None
Redemption fees	None	None	None	None	None

*	A 1.00% contingent deferred sales charge (“CDSC”) may apply to certain purchases of Class A shares of $1,000,000 or more that are redeemed within eighteen months of the date of purchase.

Annual Fund Operating Expenses


(expenses that you pay each year as a percentage of the value of your investment)	Class A	Class C	Class N	Class T	Class Y
Management fees 1	1.10%	1.10%	1.10%	1.10%	1.10%
Distribution and/or service (12b-1) fees	0.25%	1.00%	0.00%	0.25%	0.00%
Other expenses 2	0.21%	0.21%	0.57%	0.21% 3	0.21%
Total annual fund operating expenses 4	1.56%	2.31%	1.67%	1.56%	1.31%
Fee waiver and/or expense reimbursement 5 , 6	0.05%	0.05%	0.46%	0.05%	0.05%
Total annual fund operating expenses after fee waiver and/or expense reimbursement	1.51%	2.26%	1.21%	1.51%	1.26%

The Fund’s operating expenses have been restated to reflect a reduction in management fees, effective as of July 1, 2020, as if such reduction had been in effect during the

entire fiscal year ended December 31, 2020. The information has been restated to better reflect anticipated expenses of the Fund.

2	Other expenses includes interest expense of 0.01% not disclosed in the Fund’s financial highlights table.

3	Other expenses for Class T shares are estimated for the current fiscal year.

The expense information shown in the table above includes acquired fund fees and expenses of less than 0.01%; the ratios differ from the expense information disclosed in the

Fund’s financial highlights table because the financial highlights table reflects the operating expenses of the Fund and does not include acquired fund fees and expenses.

AlphaSimplex Group, LLC (“AlphaSimplex” or the “Adviser”) has given a binding contractual undertaking to the Fund to limit the amount of the Fund’s total annual fund

operating expenses to 1.49%, 2.24%, 1.19%, 1.49% and 1.24% of the Fund’s average daily net assets for Class A, Class C, Class N, Class T and Class Y shares, respectively,

exclusive of brokerage expenses, interest expense, substitute dividend expenses on securities sold short, taxes, acquired fund fees and expenses, organizational and

extraordinary expenses, such as litigation and indemnification expenses. This undertaking is in effect through April 30, 2022 and may be terminated before then only with the

consent of the Fund’s Board of Trustees. The Adviser will be permitted to recover, on a class by class basis, management fees waived and/or expenses reimbursed to the

extent that expenses in later periods fall below the applicable expense limitations for Class A, Class C, Class N, Class T and Class Y shares. The Fund will not be obligated to

repay any such waived/reimbursed fees and expenses more than one year after the end of the fiscal year in which the fee/expense was waived/reimbursed.

Natixis Advisors, L.P. (“Natixis Advisors”) has given a binding contractual undertaking to the Fund to reimburse any and all transfer agency expenses for Class N shares. This

undertaking is in effect through April 30, 2022 and may be terminated before then only with the consent of the Fund’s Board of Trustees.

Example

This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that

you invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods (except where indicated).

The

example also assumes that your investment has a 5% return each year and that the Fund’s operating expenses remain the same, except that the example is

based on the Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement assuming that such waiver and/or reimbursement will

only be in place through the date noted above and on the Total Annual Fund Operating Expenses for the remaining periods. The example for Class C shares for

the ten-year period reflects the conversion to Class A shares after eight years. The example does not take into account brokerage commissions and other fees

Back To Table of Contents

Fund Summary

to financial intermediaries that you may pay on your purchases and sales of shares of the Fund. Although your actual costs may be higher or lower, based on

these assumptions your costs would be:


If shares are redeemed:	1 year		3 years		5 years		10 years
Class A	$	720	$	1,035	$	1,372	$	2,321
Class C	$	329	$	717	$	1,231	$	2,454
Class N	$	123	$	482	$	864	$	1,938
Class T	$	400	$	726	$	1,074	$	2,056
Class Y	$	128	$	410	$	713	$	1,575


If shares are not redeemed:	1 year		3 years		5 years		10 years
Class C	$	229	$	717	$	1,231	$	2,454

Portfolio Turnover

The Fund pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover rate may

indicate higher transaction costs and may result in higher taxes for you if your Fund shares are held in a taxable account. These costs, which are not reflected

in annual fund operating expenses or in the example, affect the Fund’s performance. During its most recently ended fiscal year, the Fund’s portfolio turnover

rate was

232% of the average value of its portfolio.

Investments, Risks and Performance

Principal Investment Strategies

The Fund seeks to achieve long and short exposure to global equity, bond,

currency

and commodity markets through a wide range of derivative instruments

and direct investments. Under normal market conditions, the Adviser typically will make extensive use of derivative instruments, in particular futures, forward

contracts and swaps on global equity and fixed-income securities, securities indices (including both broad- and narrow-based securities indices), currencies,

commodities and other instruments. These investments are intended to provide the Fund with risk and return characteristics similar to those of a diversified

portfolio of hedge funds. The Fund may also make direct long and short investments in equity and fixed-income securities.

The Fund seeks to generate absolute returns over time rather than track the performance of any particular index of hedge fund returns. In selecting

investments for the Fund, the Adviser uses quantitative models to estimate the market exposures that drive the aggregate returns of a diverse set of hedge

funds. The Adviser seeks to capture these market exposures in the aggregate while adding value through dynamic allocation among market exposures and

volatility management. These market exposures may include, for example, exposures to the returns of stocks, fixed-income securities (including U.S. and non-

U.S. government securities, as well as corporate debt securities), currencies and commodities. In estimating these market exposures, the Adviser may use

various approaches, including analyses of the returns of hedge funds included in one or more commercially available databases selected by the Adviser (for

example, the Lipper TASS hedge fund database) and regulatory filings. The Fund may also directly employ various strategies commonly used by hedge funds

that seek to profit from underlying risk factors, such as merger arbitrage and trend-following strategies. In a merger arbitrage strategy, the Adviser buys

shares of target companies in corporate reorganizations and establishes short positions in shares of the acquiring companies. Trend-following strategies

analyze markets over various time horizons to invest either long or short in assets whose values are rising or falling, respectively.

The Adviser will have great flexibility to allocate the Fund’s exposure among various securities, indices, currencies, commodities and other instruments; the

amount of the Fund’s assets that may be allocated to various strategies and among investments is expected to vary over time. When buying and selling

securities and other instruments for the Fund, the Adviser also may consider other factors, such as: (i) the Fund’s obligations under its various derivative

positions; (ii) portfolio rebalancing; (iii) redemption requests; (iv) yield management; (v) credit management; and (vi) volatility management. The Fund will not

invest directly in hedge funds. The Fund may invest in non-U.S. securities and instruments and securities and instruments traded outside the United States,

and expects to engage in non-U.S. currency transactions.

The Adviser currently targets an annualized volatility level of 9% or less (as measured by the standard deviation of the Fund’s returns). The Fund’s actual or

realized volatility during certain periods or over time may materially exceed its target volatility for various reasons, including changes in market levels of

volatility and because the Fund’s portfolio may include instruments that are inherently volatile. This would increase the risk of investing in the Fund.

Under normal market conditions, it is expected that no more than 25% of the Fund’s total assets will be dedicated to initial and variation margin payments

relating to the Fund’s derivative transactions. The gross notional value of the Fund’s derivative investments, however, will generally exceed 25% of the Fund’s

assets, and may significantly exceed the total value of the Fund’s assets. The Adviser will invest a portion of the Fund’s assets, which may vary over time, in

short-term, high-quality securities. Such investments will be used primarily to finance the Fund’s investments in derivatives and, secondarily, to provide the

Fund with incremental income and liquidity, and may include: (i) short-term obligations issued or guaranteed by the United States government, its agencies or

instrumentalities; (ii) securities issued by foreign governments, their political subdivisions or agencies or instrumentalities; (iii) certificates of deposit, time

deposits and bankers’ acceptances issued by domestic banks, foreign branches of domestic banks, foreign subsidiaries of domestic banks, and domestic and

foreign branches of foreign banks; (iv) variable amount master demand notes; (v) participation interests in loans extended by banks to companies; (vi)

Back To Table of Contents

Fund Summary

commercial paper or similar debt obligations; and (vii) repurchase agreements. The Adviser will select such investments based on various factors, including

the security’s maturity and credit rating.

Although the Fund does not intend to invest in physical commodities directly, the Fund expects to obtain investment exposure to commodities and commodity-

related derivatives through a wholly-owned subsidiary organized under the laws of the Cayman Islands that will make commodity-related investments (the

“Commodity Subsidiary”). Under normal market conditions, no more than 10% of the Fund’s total assets will be dedicated to initial and variation margin

payments relating to these transactions.

The Fund will concentrate its investments in the financial services industry, which means it will normally invest at least 25% of its total assets in securities

and other obligations (for example, bank certificates of deposit) of issuers in such industry. The Fund may engage in active and frequent trading of securities

and other instruments. Effects of frequent trading may include high transaction costs, which may lower the Fund’s return, and realization of greater short-term

capital gains, distributions of which are taxable as ordinary income to taxable shareholders. Trading costs and tax effects associated with frequent trading

may adversely affect the Fund’s performance. The Fund’s trading in derivatives is active and frequent. Active and frequent trading of derivatives, like active

and frequent trading of securities, will result in transaction costs which reduce fund returns.

The percentage limitations set forth herein are not investment restrictions and the Fund may exceed these limits from time to time.

Principal Investment Risks

The principal risks of investing in the Fund are summarized below. The Fund does not represent a complete investment program.

You may lose money

by investing in the Fund.

The significance of any specific risk to an investment in the Fund will vary over time, depending on the composition of the Fund’s portfolio, market conditions,

and other factors. You should read all of the risk information presented below carefully, because any one or more of these risks may result in losses to the

Fund.

Leverage Risk:

Taking short positions in securities results in a form of leverage. Leverage is the risk associated with securities or investment practices (e.g.,

borrowing and the use of certain derivatives) that multiply small index, market or asset-price movements into larger changes in value. The use of leverage

increases the impact of gains and losses on the Fund’s returns, and may lead to significant losses if investments are not successful.

Derivatives Risk:

Derivative instruments (such as those in which the Fund may invest, including futures, swaps, forward contracts, and other foreign

currency transactions and commodity-linked derivatives) are subject to changes in the value of the underlying assets or indices on which such instruments are

based. There is no guarantee that the use of derivatives will be effective or that suitable transactions will be available. Even a small investment in derivatives

may give rise to leverage risk and can have a significant impact on the Fund’s exposure to commodities markets, securities markets values, interest rates or

currency exchange rates. It is possible that the Fund’s liquid assets may be insufficient to support its obligations under its derivatives positions. The use of

derivatives for other than hedging purposes may be considered a speculative activity, and involves greater risks than are involved in hedging. The use of

derivatives may cause the Fund to incur losses greater than those that would have occurred had derivatives not been used. The Fund’s use of derivatives,

such as futures, swaps, forward contracts, and other foreign currency transactions and commodity-linked derivatives involves other risks, such as the credit

risk relating to the other party to a derivative contract (which is greater for forward contracts, uncleared swaps and other OTC derivatives), the risk of

difficulties in pricing and valuation, the risk that changes in the value of a derivative may not correlate as expected with changes in the value of relevant

assets, rates or indices, liquidity risk, allocation risk and the risk of losing more than the initial margin (if any) required to initiate derivatives positions. There

is also the risk that the Fund may be unable to terminate or sell a derivatives position at an advantageous time or price. The Fund’s derivative counterparties

may experience financial difficulties or otherwise be unwilling or unable to honor their obligations, possibly resulting in losses to the Fund. There is a risk that

the Adviser’s use of derivatives, such as futures and forward contracts, to manage the Fund’s volatility may be ineffective or may exacerbate losses, for

example, if the derivative or the underlying assets decrease in value over time.

Equity Securities Risk:

The value of the Fund’s investments in equity securities could be subject to unpredictable declines in the value of individual

securities and periods of below-average performance in individual securities or in the equity market as a whole.

In the event an issuer is liquidated or

declares bankruptcy, the claims of owners of the issuer’s bonds generally take precedence over the claims of those who own preferred stock or common

stock.

Short Exposure Risk:

A short exposure through a derivative or short sale may present various risks, including credit/counterparty risk and leverage risk. If

the value of the asset, asset class or index on which the Fund has obtained a short investment exposure increases, the Fund will incur a loss. Unlike a direct

cash investment such as a stock, bond or exchange-traded fund (“ETF”), where the potential loss is limited to the purchase price, the potential risk of loss

from a short exposure is theoretically unlimited. The Fund may be unable to borrow securities in connection with a short sale or to enter into a short position

at an advantageous time or price, which could limit its ability to obtain the desired short exposure. Moreover, there can be no assurance that securities

necessary to cover (repurchase in order to close) a short position will be available for purchase.

Models and Data Risk:

The Adviser utilizes various proprietary quantitative models to identify investment opportunities. There is a possibility that one or all

of the quantitative models may fail to identify profitable opportunities at any time. Furthermore, the models may incorrectly identify opportunities and these

misidentified opportunities may lead to substantial losses for the Fund. Models may be predictive in nature and such models may result in an incorrect

assessment of future events. Data used in the construction of models may prove to be inaccurate or stale, which may result in losses for the Fund.

Back To Table of Contents

Fund Summary

Allocation Risk:

This is the risk that the Adviser’s judgments about, and allocations between, asset classes and market exposures may adversely affect the

Fund’s performance. The allocation, as set forth above, may not be optimal in every market condition. You could lose money on your investment in the Fund as

a result of this allocation. This risk can be increased by the use of derivatives to increase allocations to various market exposures. This is because derivatives

can create investment leverage, which will magnify the impact to the Fund of its investment in any underperforming market exposure.

Commodity Risk:

This is the risk that exposure to the commodities markets may subject the Fund to greater volatility than investments in traditional

securities. The value of physical commodities or commodity-linked derivative instruments may be affected by changes in overall market movements,

commodity price volatility, changes in interest rates, currency fluctuations, or factors affecting a particular industry or commodity, such as drought, floods,

weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments.

Commodity Subsidiary Risk:

Investing in the Commodity Subsidiary will indirectly expose the Fund to the risks associated with the Commodity Subsidiary’s

investments, such as commodity risk. The Commodity Subsidiary is not registered under the Investment Company Act of 1940 (the “1940 Act”) and is not

subject to all of the investor protections of the 1940 Act. Changes in the laws of the United States and/or the Cayman Islands, under which the Fund and the

Commodity Subsidiary, respectively, are organized, could negatively affect the Fund and its shareholders.

Concentrated Investment Risk:

The Fund is particularly vulnerable to events affecting companies in the financial services industry because the Fund

concentrates its investments in securities and other obligations of issuers in such industry. Examples of risks affecting the financial services industry include

changes in governmental regulation, issues relating to the availability and cost of capital, changes in interest rates and/or monetary policy and price

competition. In addition, financial services companies are often more highly leveraged than other companies, making them inherently riskier. As a result, the

Fund’s shares may rise and fall in value more rapidly and to a greater extent than shares of a fund that does not concentrate or focus in a particular industry

or economic sector.

Credit/Counterparty Risk:

Credit/counterparty risk is the risk that the issuer or guarantor of a fixed-income security, or the counterparty to a derivative or

other transaction, will be unable or unwilling to make timely payments of interest or principal or to otherwise honor its obligations. As a result, the Fund may

sustain losses or be unable or delayed in its ability to realize gains. The Fund will be subject to credit/counterparty risk with respect to the counterparties to

its derivative transactions. This risk will be heightened to the extent the Fund enters into derivative transactions with a single counterparty (or affiliated

counterparties that are part of the same organization), causing the Fund to have significant exposure to such counterparty. Many of the protections afforded

to participants on organized exchanges and clearing houses, such as the performance guarantee given by a central clearing house, are not available in

connection with over-the-counter (“OTC”) derivatives transactions, such as foreign currency transactions. For centrally cleared derivatives, such as cleared

swaps, futures and many options, the primary credit/counterparty risk is the creditworthiness of the Fund’s clearing broker and the central clearing house

itself.

This risk will be heightened to the extent the Fund enters into derivative transactions with a single counterparty (or affiliated counterparties that are

part of the same organization), causing the Fund to have significant exposure to such counterparty.

Currency Risk:

Fluctuations in the exchange rates between different currencies may negatively affect an investment.

The Fund may be subject to currency

risk because it may invest a significant portion of its assets in currency-related instruments and may invest in securities or other instruments denominated in,

or that generate income denominated in, foreign currencies. The Fund may elect not to hedge currency risk, or may hedge such risk imperfectly, which may

cause the Fund to incur losses that would not have been incurred had the risk been hedged.

Cybersecurity and Technology Risk:

The Fund, its service providers, and other market participants increasingly depend on complex information

technology and communications systems, which are subject to a number of different threats and risks that could adversely affect the Fund and its

shareholders. Cybersecurity and other operational and technology issues may result in financial losses to the Fund and its shareholders.

Foreign Securities Risk:

Investments in foreign securities may be subject to greater political, economic, environmental, credit

and information risks.

The

Fund’s investments in foreign securities also are subject to foreign currency fluctuations and other foreign currency-related risks. Foreign securities may be

subject to higher volatility than U.S. securities, varying degrees of regulation and limited liquidity.

Hedge Fund Risk:

Hedge funds are typically unregulated private investment pools available only to sophisticated investors. They are often illiquid and highly

leveraged. Although the Fund will not invest directly in hedge funds, because the Fund’s investments are intended to provide exposure to the factors that

drive hedge fund returns, an investment in the Fund will be subject to many of the same risks associated with an investment in a diversified portfolio of hedge

funds. Therefore, the Fund’s performance may be lower than the returns of the broader stock market and the Fund’s net asset value may fluctuate

substantially over time.

Index/Tracking Error Risk:

Although the Fund does not seek to track any particular index, the Fund seeks to analyze the factors that drive hedge fund

returns, as determined by reference to one or more indices. These indices may not provide an accurate representation of hedge fund returns generally, and

the Adviser’s strategy may not successfully identify or be able to replicate factors that drive returns. There is a risk that hedge fund return data provided by

third party hedge fund index providers may be inaccurate or may not accurately reflect hedge fund returns due to survivorship bias, self-reporting bias or other

biases.

Interest Rate Risk:

Interest rate risk is the risk that the value of the Fund’s investments will fall if interest rates rise.

Generally, the value of fixed-income

securities rises when prevailing interest rates fall and falls when interest rates rise. Interest rate risk generally is greater for funds that invest in fixed-income

securities with relatively longer durations than for funds that invest in fixed-income securities with shorter durations.

In addition, an economic downturn or

period of rising interest rates could adversely affect the market for these securities and reduce the Fund’s ability to sell them, negatively impacting the

performance of the Fund. Potential future changes in government monetary policy may affect the level of interest rates.

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Fund Summary

Investments in Other Investment Companies Risk:

The Fund will indirectly bear the management, service and other fees of any other investment

companies, including ETFs, in which it invests in addition to its own expenses.

Large Investor Risk:

Ownership of shares of the Fund may be concentrated in one or a few large investors. Such investors may redeem shares in large

quantities or on a frequent basis. Redemptions by a large investor can affect the performance of the Fund, may increase realized capital gains, including

short-term capital gains taxable as ordinary income, may accelerate the realization of taxable income to shareholders and may increase transaction costs.

These transactions potentially limit the use of any capital loss carryforwards and certain other losses to offset future realized capital gains (if any). Such

transactions may also increase the Fund’s expenses.

LIBOR Risk:

LIBOR risk is the risk that the transition away from the London Interbank Offered Rate (“LIBOR”) may lead to increased volatility and illiquidity in

markets that are tied to LIBOR. LIBOR is a benchmark interest rate that is used extensively as a “reference rate” for financial instruments, including many

corporate and municipal bonds, bank loans, asset-backed and mortgage-related securities, interest rate swaps and other derivatives. Additionally, the Fund

may borrow money at rates that are based on LIBOR. In July 2017, the head of the United Kingdom Financial Conduct Authority (“FCA”), the agency that

oversees LIBOR, announced a desire to phase out the use of LIBOR by the end of 2021. The FCA and LIBOR’s administrator, ICE Benchmark Administration,

have announced that most LIBOR rates will no longer be published after the end of 2021 and a majority of U.S. dollar LIBOR rates will no longer be published

after June 30, 2023. The transition away from LIBOR poses a number of other risks, including changed values of LIBOR-related investments and reduced

effectiveness of hedging strategies, each of which may adversely affect the Fund’s performance.

Liquidity Risk:

Liquidity risk is the risk that the Fund may be unable to find a buyer for its investments when it seeks to sell them or to receive the price it

expects.

Decreases in the number of financial institutions willing to make markets in the Fund’s investments or in their capacity or willingness to transact may

increase the Fund’s exposure to this risk. Events that may lead to increased redemptions, such as market disruptions or increases in interest rates, may also

negatively impact the liquidity of the Fund’s investments when it needs to dispose of them. If the Fund is forced to sell its investments at an unfavorable time

and/or under adverse conditions in order to meet redemption requests, such sales could negatively affect the Fund. Derivatives, and particularly OTC

derivatives, are generally subject to liquidity risk as well. Liquidity issues may also make it difficult to value the Fund’s investments.

Management Risk:

A strategy used by the Fund’s

portfolio managers may fail to produce the intended result.

Market/Issuer Risk:

The market value of the Fund’s investments will move up and down, sometimes rapidly and unpredictably, based upon overall market

and economic conditions, as well as a number of reasons that directly relate to the issuers of the Fund’s investments, such as management performance,

financial condition and demand for the issuers’ goods and services.

The Adviser will attempt to reduce this risk by implementing various volatility

management strategies and techniques. However, there is no guarantee that such strategies and techniques will produce the intended result.

Portfolio Turnover Rate Risk:

The Fund may engage in active and frequent trading of portfolio securities to pursue its principal investment strategy. A high

rate of portfolio turnover may involve correspondingly greater expenses, which must be borne by the Fund and its shareholders, and also may result in short-

term capital gains or losses to shareholders.

U.S. Government Securities Risk:

Investments in certain U.S. government securities may not be supported by the full faith and credit of the U.S.

government. Accordingly, no assurance can be given that the U.S. government will provide financial support to U.S. government agencies, instrumentalities or

sponsored enterprises if it is not obligated to do so by law. The maximum potential liability of the issuers of some U.S. government securities held by the Fund

may greatly exceed their current resources, and it is possible that these issuers will not have the funds to meet their payment obligations in the future. In

such a case, the Fund would have to look principally to the agency, instrumentality or sponsored enterprise issuing or guaranteeing the security for ultimate

repayment, and the Fund may not be able to assert a claim against the U.S. government itself in the event the agency, instrumentality or sponsored enterprise

does not meet its commitment. Concerns about the capacity of the U.S. government to meet its obligations may raise the interest rates payable on its

securities, negatively impacting the price of such securities already held by the Fund.

Valuation Risk:

This is the risk that the Fund has valued certain securities or positions at a higher price than the price at which they can be sold. This risk

may be especially pronounced for investments, such as derivatives, that may be illiquid or may become illiquid.

Risk/Return Bar Chart and Table

The bar chart and table shown below provide some indication of the risks of investing in the Fund by showing changes in the Fund’s performance from year-

to-year and by showing how the Fund’s average annual returns for the

one-year, five-year, ten-year and life-of-class periods (as applicable) compare to those

a broad measure of market performance.

The Barclay Fund of Funds Index is a measure of the average return of all funds of funds in the Barclay database. Class C shares will automatically convert to Class A shares after eight years.

The Fund’s past performance (before and after taxes) does not necessarily

indicate how the Fund will perform in the future.

Updated performance information is available online at im.natixis.com and/or by calling the Fund toll-free at

800-225-5478.

The chart does not reflect any sales charge that you may b

required to pay when you buy or redeem the Fund’s shares. A sales charge will reduce your

return.

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Fund Summary

Total Returns for Class Y Shares


	Highest Quarterly Return: First Quarter 2015, 5.96% Lowest Quarterly Return: First Quarter 2020, -9.51%


Average Annual Total Returns
(for the periods ended December 31, 2020)	Past 1 Year	Past 5 Years	Past 10 Years	Life of Class N (5/1/13)
Class Y - Return Before Taxes	-2.12%	1.54%	2.47%	-
Return After Taxes on Distributions	-3.03%	1.10%	1.66%	-
Return After Taxes on Distributions and Sale of Fund Shares	-1.17%	1.01%	1.65%	-
Class A - Return Before Taxes	-7.98%	0.10%	1.61%	-
Class C - Return Before Taxes	-4.12%	0.53%	1.59%	-
Class N - Return Before Taxes	-2.06%	1.59%	-	2.22%
Class T - Return Before Taxes	-4.85%	0.78%	1.95%	-
Barclay Fund of Funds Index	7.46%	2.91%	2.40%	2.84%

The Fund did not have Class T shares outstanding during the periods shown above. The returns of Class T shares would have been substantially similar to the

returns of the Fund’s other share classes because they would have been invested in the same portfolio of securities and would only differ to the extent the

other share classes did not have the same expenses. Performance of Class T shares shown above is that of Class A shares, which have the same expenses as

Class T shares, restated to reflect the different sales load applicable to Class T shares.

After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.

Actual after-tax returns depend on an investor’s tax situation and may differ from those shown. After-tax returns shown are not relevant to investors who

hold their shares through tax-advantaged arrangements, such as 401(k) plans, qualified plans, education savings accounts, such as 529 plans, or individual

retirement accounts.

The Return After Taxes on Distributions and Sale of Fund Shares for the 1-year period exceeds the Return Before Taxes due to an assumed tax benefit from losses on a sale of Fund shares at the end of the measurement period.

The after-tax returns are shown for only one class of the

Fund.

After-tax returns for the other classes of the Fund will vary. Index performance reflects no deduction for the Fund’s fees, expenses or taxes, but does

reflect the management fees and other expenses of both the funds of funds in the index and the hedge funds in which those funds of funds invest.

Management

Investment Adviser

AlphaSimplex Group, LLC

Portfolio Managers

Alexander D. Healy, Chief Investment Officer of the Adviser, has served as co-portfolio manager of the Fund since 2014.

Kathryn M. Kaminski, Chief Research Strategist of the Adviser, has served as co-portfolio manager of the Fund since 2020.

Timothy J. Kang, Research Scientist of the Adviser, has served as co-portfolio manager of the Fund since 2020.

Peter A. Lee, Senior Research Scientist of the Adviser, has served as co-portfolio manager of the Fund since 2010.

Philippe P. Lüdi, CFA

, Senior Research Scientist of the Adviser, has served as co-portfolio manager of the Fund since 2014.

Robert S. Rickard, Portfolio Manager of the Adviser, has served as co-portfolio manager of the Fund since 2008.

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Fund Summary

Purchase and Sale of Fund Shares

Class A and C Shares

The following chart shows the investment minimums for various types of accounts:


Type of Account	Minimum Initial Purchase		Minimum Subsequent Purchase
Any account other than those listed below	$	2,500	$	50
For shareholders participating in Natixis Funds’ Investment Builder Program	$	1,000	$	50
For Traditional IRA, Roth IRA, Rollover IRA, SEP-IRA and Keogh plans using the Natixis Funds’ prototype document (direct accounts, not held through intermediary)	$	1,000	$	50
Coverdell Education Savings Accounts using the Natixis Funds’ prototype document (direct accounts, not held through intermediary)	$	500	$	50

There is no initial or subsequent investment minimum for:

•	Fee Based Programs (such as wrap accounts) where an advisory fee is paid to the broker-dealer or other financial intermediary. Please consult your financial representative to determine if your fee based program is subject to additional or different conditions or fees.

•	Certain Retirement Plans. Please consult your retirement plan administrator to determine if your retirement plan is subject to additional or different conditions or fees imposed by the plan administrator.

•	Clients of a Registered Investment Adviser where the Registered Investment Adviser receives an advisory, management or consulting fee.

The minimum investment requirements for Class A shares may be waived or lowered for investments effected through certain financial intermediaries that

have entered into special arrangements with Natixis Distribution, L.P. (the “Distributor”). Consult your financial intermediary for additional information

regarding the minimum investment requirement applicable to your investment.

Class N Shares

Class N shares of the Fund are subject to a $1,000,000 initial investment minimum. This minimum applies to Fee Based Programs and accounts (such as wrap

accounts) where an advisory fee is paid to the broker-dealer or other financial intermediary, accounts established via a transfer, or any other transaction in

which a new account is established. There is no subsequent investment minimum for these shares. There is no initial investment minimum for:

•	Certain Retirement Plans. Please consult your retirement plan administrator to determine if your retirement plan is subject to additional or different conditions or fees imposed by the plan administrator.

•	Sub-accounts held within an omnibus account, where the omnibus account has at least $1,000,000.

•	Funds of funds that are distributed by the Distributor.

In its sole discretion, the Distributor may waive the investment minimum requirement for accounts as to which the Distributor reasonably believes will have

enough assets to exceed the investment minimum requirement within a relatively short period of time following the establishment date of such accounts in

Class N. If, after two years, an account’s value does not exceed the investment minimum requirement, the Distributor and the Fund reserve the right to

redeem such account.

Class T Shares

Class T shares of the Fund are not currently available for purchase.

Class T shares of the Fund may only be purchased by investors who are investing through an authorized third party, such as a broker-dealer or other financial

intermediary, that has entered into a selling agreement with the Distributor. Investors may not hold Class T shares directly with the Fund. Class T shares are

subject to a minimum initial investment of $2,500 and a minimum subsequent investment of $50. Not all financial intermediaries make Class T shares

available to their clients.

Class Y Shares

Class Y shares of the Fund are generally subject to a minimum initial investment of $100,000 and a minimum subsequent investment of $50, except there is

no minimum initial or subsequent investment for:

•	Fee Based Programs (such as wrap accounts) where an advisory fee is paid to the broker-dealer or other financial intermediary. Please consult your financial representative to determine if your fee based program is subject to additional or different conditions or fees.

•	Certain Retirement Plans. Please consult your retirement plan administrator to determine if your retirement plan is subject to additional or different conditions or fees imposed by the plan administrator.

•	Certain Individual Retirement Accounts if the amounts invested represent rollover distributions from investments by any of the retirement plans invested in the Fund.

•	Clients of a Registered Investment Adviser where the Registered Investment Adviser receives an advisory, management or consulting fee.

•	Fund Trustees, former Fund trustees, employees of affiliates of the Natixis Funds and other individuals who are affiliated with any Natixis Fund (this also

Back To Table of Contents

Fund Summary

applies to any spouse, parents, children, siblings, grandparents, grandchildren and in-laws of those mentioned) and Natixis affiliate employee benefit

plans.

At the discretion of Natixis Advisors, L.P., clients of Natixis Advisors, L.P. and its affiliates may purchase Class Y shares of the Fund below the stated

minimums.

Due to operational limitations at your financial intermediary, certain fee based programs, retirement plans, individual retirement accounts and accounts of

registered investment advisers may be subject to the investment minimums described above.

The Fund’s shares are available for purchase and are redeemable on any business day through your investment dealer, directly from the Fund by writing to the

Fund at Natixis Funds, P.O. Box 219579, Kansas City, MO 64121-9579, by exchange, by wire, by internet at im.natixis.com (certain restrictions may apply),

through the Automated Clearing House system, or, in the case of redemptions, by telephone at 800-225-5478 or by the Systematic Withdrawal Plan.

Tax Information

Fund distributions are generally taxable to you as ordinary income or capital gains, except for distributions to retirement plans and other investors that qualify

for tax-advantaged treatment under U.S. federal income tax law generally. Investments in such tax-advantaged plans will generally be taxed only upon

withdrawal of monies from the tax-advantaged arrangement.

Payments to Broker-Dealers and Other Financial Intermediaries

If you purchase shares of the Fund through a broker-dealer or other financial intermediary (such as a bank), the Fund and its related companies may pay the

intermediary for the sale of the Fund shares and related services. These payments may create a conflict of interest by influencing the broker-dealer or other

intermediary and your salesperson to recommend the Fund over another investment. Ask your salesperson or visit your financial intermediary’s website for

more information.

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Fund Summary

AlphaSimplex Managed Futures Strategy

Fund

Investment Goal

The Fund pursues an absolute return strategy that seeks to provide capital appreciation.

Fund Fees & Expenses

You may qualify for sales charge discounts if you and

your family invest, or agree to invest in the future, at least $50,000 in the Natixis Funds Complex.

More information about these and other discounts is

available from your financial professional and in the section “How Sales Charges Are Calculated” on page

84 of the Prospectus

, in Appendix A to the

Prospectus and on page

128 in the section “Reduced Sales Charges” of the Statement of Additional Information (“SAI”)

Shareholder Fees


(fees paid directly from your investment)	Class A	Class C	Class N	Class T	Class Y
Maximum sales charge (load) imposed on purchases (as a percentage of offering price)	5.75%	None	None	2.50%	None
Maximum deferred sales charge (load) (as a percentage of original purchase price or redemption proceeds, as applicable)	None *	1.00%	None	None	None
Redemption fees	None	None	None	None	None

*	A 1.00% contingent deferred sales charge (“CDSC”) may apply to certain purchases of Class A shares of $1,000,000 or more that are redeemed within eighteen months of the date of purchase.

Annual Fund Operating Expenses


(expenses that you pay each year as a percentage of the value of your investment)	Class A	Class C	Class N	Class T	Class Y
Management fees	1.25%	1.25%	1.25%	1.25%	1.25%
Distribution and/or service (12b-1) fees	0.25%	1.00%	0.00%	0.25%	0.00%
Other expenses 1	0.31%	0.30%	0.11%	0.31% 2	0.30%
Total annual fund operating expenses	1.81%	2.55%	1.36%	1.81%	1.55%
Fee waiver and/or expense reimbursement 3	0.10%	0.09%	0.00%	0.10%	0.09%
Total annual fund operating expenses after fee waiver and/or expense reimbursement	1.71%	2.46%	1.36%	1.71%	1.46%

1	Other expenses includes interest expense of 0.01% not disclosed in the Fund’s financial highlights table.

2	Other expenses for Class T shares are estimated for the current fiscal year.

AlphaSimplex Group, LLC (“AlphaSimplex” or the “Adviser”) has given a binding contractual undertaking to the Fund to limit the amount of the Fund’s total annual fund

operating expenses to 1.70%, 2.45%, 1.40%, 1.70% and 1.45% of the Fund’s average daily net assets for Class A, Class C, Class N, Class T and Class Y shares, respectively,

exclusive of brokerage expenses, interest expense, taxes, acquired fund fees and expenses, organizational and extraordinary expenses, such as litigation and indemnification

expenses. This undertaking is in effect throughApril 30, 2022 and may be terminated before then only with the consent of the Fund’s Board of Trustees. The Adviser will be

permitted to recover, on a class by class basis, management fees waived and/or expenses reimbursed to the extent that expenses in later periods fall below the applicable

expense limitations for Class A, Class C, Class N, Class T and Class Y shares, respectively. The Fund will not be obligated to repay any such waived/reimbursed fees and

expenses more than one year after the end of the fiscal year in which the fee/expense was waived/reimbursed.

Example

This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that

you invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods (except where indicated).

The

example also assumes that your investment has a 5% return each year and that the Fund’s operating expenses remain the same, except that the examples for

Class A, Class C, Class T, and Class Y are based on the Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement assuming

that such waiver and/or reimbursement will only be in place through the date noted above and on the Total Annual Fund Operating Expenses for the

remaining periods. The example for Class C shares for the ten-year period reflects the conversion to Class A shares after eight years. The example does not

take into account brokerage commissions and other fees to financial intermediaries that you may pay on your purchases and sales of shares of the Fund.

Although your actual costs may be higher or lower, based on these assumptions your costs would be:

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Fund Summary


If shares are redeemed:	1 year		3 years		5 years		10 years
Class A	$	739	$	1,103	$	1,490	$	2,572
Class C	$	349	$	785	$	1,347	$	2,698
Class N	$	138	$	431	$	745	$	1,635
Class T	$	419	$	796	$	1,196	$	2,315
Class Y	$	149	$	481	$	836	$	1,838


If shares are not redeemed:	1 year		3 years		5 years		10 years
Class C	$	249	$	785	$	1,347	$	2,698

Portfolio Turnover

The Fund pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover rate may

indicate higher transaction costs and may result in higher taxes for you if your Fund shares are held in a taxable account. These costs, which are not reflected

in annual fund operating expenses or in the example, affect the Fund’s performance. Due to the short-term nature of the Fund’s investment

portfolio

, the Fund

does not calculate a portfolio turnover rate.

Investments, Risks and Performance

Principal Investment Strategies

The Fund seeks to generate positive absolute returns over time. Under normal market conditions, the Adviser typically will make extensive use of a variety of

derivative instruments, including futures and forward contracts, to capture the exposures suggested by its absolute return strategy while also seeking to add

value through volatility management. These market exposures, which are expected to change over time, may include, for example, exposures to the returns of

U.S. and non-U.S. equity and fixed-income securities indices (including both broad- and narrow-based securities indices), currencies and commodities. The

Adviser will have great flexibility to allocate the Fund’s derivatives exposure among various securities, indices, currencies, commodities and other

instruments; the amount of the Fund’s assets that may be allocated to derivative strategies and among these various instruments is expected to vary over

time. The Adviser uses proprietary quantitative models to identify price trends in equity, fixed-income, currency and commodity instruments across time

periods of various lengths. The Adviser believes that asset prices may show persistent trending behavior due to a number of behavioral biases among

market participants as well as certain risk-management policies that will identify assets to purchase in upward-trending markets and identify assets to sell in

downward-trending markets. The Adviser believes that following trends across a widely diversified set of assets, combined with active risk management,

may allow it to earn a positive expected return over time. The Fund may have both “short” and “long” exposures within an asset class based upon the

Adviser’s analysis of multiple time horizons to identify trends in a particular asset class. A “short” exposure will benefit when the underlying asset class

decreases in price. A “long” exposure will benefit when the underlying asset class increases in price. The Adviser will scale the notional exposure of the

Fund’s futures and currency forward positions with the objective of targeting a relatively stable level of annualized volatility for the Fund’s overall portfolio.

The Adviser currently targets an annualized volatility level of 17% or less (as measured by the standard deviation of the Fund’s returns). The Fund’s actual or

realized volatility during certain periods or over time may materially exceed its target volatility for various reasons, including changes in market levels of

volatility and because the Fund’s portfolio may include instruments that are inherently volatile. This would increase the risk of investing in the Fund.

Under normal market conditions, it is expected that no more than 25% of the Fund’s total assets will be dedicated to initial and variation margin payments

relating to the Fund’s derivative transactions. The gross notional value of the Fund’s derivative investments, however, will generally exceed 25% of the Fund’s

total assets, and may significantly exceed the total value of the Fund’s assets. The Fund expects that under normal market conditions it will invest at least

75% of its total assets in money market and other short-term, high-quality securities (such as bankers’ acceptances, certificates of deposit, commercial paper,

loan participations, repurchase agreements and time deposits) (the “Money Market Portion”), although the Fund may invest less than this percentage. The

Adviser will determine the percentage of the Fund’s assets that will be invested in the Money Market Portion at any time. The assets allocated to the Money

Market Portion will be used primarily to support the Fund’s investments in derivatives and, secondarily, to provide the Fund with incremental income and

liquidity. Although the Fund will invest a significant portion of its assets in money market instruments, the Fund is not a “money market” fund and the value of

the Money Market Portion as well as the value of the Fund’s shares may decrease. The Fund is not subject to the portfolio quality, maturity and net asset

value requirements applicable to money market funds, and the Fund will not seek to maintain a stable net asset value. The Fund will concentrate its

investments in the financial services industry, which means it will normally invest at least 25% of its total assets in securities and other obligations (for

example, bank certificates of deposit, repurchase agreements and time deposits) of issuers in such industry.

The Adviser will only invest the assets of the Money Market Portion in high-quality securities which are denominated in U.S. dollars, and will select securities

for investment based on various factors, including the security’s maturity and rating. The Adviser will invest primarily in: (i) short-term obligations issued or

guaranteed by the United States government, its agencies or instrumentalities (“U.S. Government Obligations”); (ii) securities issued by foreign governments,

their political subdivisions, agencies or instrumentalities; (iii) certificates of deposit, time deposits and bankers’ acceptances issued by domestic banks,

foreign branches of domestic banks, foreign subsidiaries of domestic banks and domestic and foreign branches of foreign banks; (iv) variable amount master

Back To Table of Contents

Fund Summary

demand notes; (v) participation interests in loans extended by banks to companies; (vi) commercial paper or similar debt obligations; and (vii) repurchase

agreements.

Although the Fund does not intend to invest in physical commodities directly, the Fund expects to obtain investment exposure to commodities and commodity-

related derivatives by investing in a wholly-owned subsidiary organized under the laws of the Cayman Islands that will make commodity-related investments

(the “Commodity Subsidiary”). Under normal market conditions, no more than 10% of the Fund’s total assets will be dedicated to initial and variation margin

payments relating to these transactions.

Although the Fund seeks positive absolute returns over time, it is likely that the Fund’s investment returns may be volatile over short periods of time. The Fund

may outperform the overall securities market during periods of flat or negative market performance and may underperform during periods of strong market

performance. There can be no assurance that the Fund’s returns over time or during any period will be positive or that the Fund will outperform the overall

security markets over time or during any particular period.

The Fund may engage in active and frequent trading of securities and other instruments. Effects of frequent trading may include high transaction costs, which

may lower the Fund’s return, and realization of greater short-term capital gains, distributions of which are taxable as ordinary income to taxable shareholders.

Trading costs and tax effects associated with frequent trading may adversely affect the Fund’s performance. Due to the short-term nature of the Fund’s

investment portfolio, the Fund does not calculate a portfolio turnover rate. The Fund’s trading in derivatives is active and frequent. Active and frequent trading

of derivatives, like active and frequent trading of securities, will result in transaction costs which reduce fund returns.

The percentage limitations set forth herein are not investment restrictions and the Fund may exceed these limits from time to time.

Principal Investment Risks

The principal risks of investing in the Fund are summarized below. The Fund does not represent a complete investment program. You may lose money

by investing in the Fund.

The significance of any specific risk to an investment in the Fund will vary over time, depending on the composition of the Fund’s portfolio, market conditions,

and other factors. You should read all of the risk information presented below carefully, because any one or more of these risks may result in losses to the

Fund.

Derivatives Risk:

Derivative instruments (such as those in which the Fund may invest, including futures and forward contracts) are subject to changes in the

value of the underlying assets or indices on which such instruments are based. There is no guarantee that the use of derivatives will be effective or that

suitable transactions will be available. Even a small investment in derivatives may give rise to leverage risk and can have a significant impact on the Fund’s

exposure to securities markets values, interest rates or currency exchange rates. It is possible that the Fund’s liquid assets may be insufficient to support its

obligations under its derivatives positions. The use of derivatives for other than hedging purposes may be considered a speculative activity, and involves

greater risks than are involved in hedging. The use of derivatives may cause the Fund to incur losses greater than those that would have occurred had

derivatives not been used. The Fund’s use of derivatives, such as

futures, forward contracts, and other foreign currency transactions and commodity-linked

derivatives involves other risks, such as the credit risk relating to the other party to a derivative contract (which is greater for forward contracts and other OTC

derivatives), the risk of difficulties in pricing and valuation, the risk that changes in the value of a derivative may not correlate as expected with changes in the

value of relevant assets, rates or indices, liquidity risk, allocation risk and the risk of losing more than the initial margin (if any) required to initiate derivatives

positions. There is also the risk that the Fund may be unable to terminate or sell a derivatives position at an advantageous time or price. The Fund’s derivative

counterparties may experience financial difficulties or otherwise be unwilling or unable to honor their obligations, possibly resulting in losses to the

Fund.

There is a risk that the Adviser’s use of derivatives, such as futures and forward contracts, to manage the Fund’s volatility may be ineffective or may

exacerbate losses, for example, if the derivative or the underlying assets decrease in value over time.