Definitions

MSCI EAFE Index: Free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the US & Canada.

GSCI Commodities Index: Benchmark for investment in the commodity markets and as a measure of commodity performance over time. It is a tradable index that is readily available to market participants of the Chicago Mercantile Exchange.

Barclay BTOP 50 Index: An investable index that seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure. The BTOP50 employs a top-down approach in selecting its constituents. The largest investable trading advisor programs, as measured by assets under management, are selected for inclusion in the BTOP50. In each calendar year the selected trading advisors represent, in aggregate, no less than 50% of the

investable assets of the Barclay CTA Universe.

Standard & Poor’s 500 Index (S&P 500 Index): An index of 500 stocks chosen for market size, liquidity and industry grouping, among other factors. The S&P 500 is designed to be a leading indicator of U.S. equities and is meant to reflect the risk/return characteristics of the large cap universe.

Barclay U.S. Aggregate Bond Index: Covers the USD-denominated, investment-grade, fixed-rate, taxable bond market of SEC-registered securities. The index includes bonds from the Treasury, Government-Related, Corporate, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS, and CMBS sectors. Unmanaged index returns do not reflect any fees, expenses or sales charges.

The HFRX® Equity Hedge Index seeks to replicate equity hedge strategies that maintain positions, both long and short, primarily equity and equity derivative securities. Hedge Fund Research, Inc. utilizes a UCITSIII compliant methodology to construct the HFRX Hedge Fund Indices. The methodology is based on defined and predetermined rules and objective criteria to select and rebalance components to maximize representation of the Hedge Fund Universe. Source: hedgefundresearch.com.

The Dow Jones REIT Composite Index aims to represent all publicly traded real estate investment trusts (REITs) included in the Dow Jones Indices US stock universe and covers approximately 100% of the total REIT market value. Periodic and ongoing reviews of the index composition, free float factors and shares outstanding are conducted based on the following rules:

  • All publicly traded companies in the Dow Jones Indices US stock universe that have elected to be taxed as REITs will be included in the index.
  • During the quarter, a component company’s float-adjusted shares outstanding will be adjusted whenever and at the same time a change in that company is made in the Dow Jones US Total. Stock Market IndexSM.
  • A REIT that drops its REIT status and becomes taxed as a “C” corporation will be removed from the REIT Index immediately upon completion of the change of tax status.
  • If an index component enters bankruptcy proceedings, it will be removed from the index and will remain ineligible for re-inclusion until it has emerged from bankruptcy. However, the Dow Jones Index Oversight Committee may, following a review of the bankrupt company and the issues involved in the filing, decide to keep the company in the index.
  • The Dow Jones Index Oversight Committee may, at its discretion, remove a company it has determined to be in extreme financial distress from any index to which it belongs, if the committee deems the removal necessary to protect the integrity of the index and the interests of investors in products linked to that index.
  • REITs will be added to the Index after the close of trading on the third Friday of each month. The additions include all noncomponent REITs that meet inclusion standards as of the close of trading on the second Friday of that month, whether from IPOs, conversion to REIT status or new exchange listings. Source: djindexes.com.

The U.S. Dollar Index (USDX) indicates the general international value of the US Dollar. The USDX does this by averaging the exchange rates between the USD and major world currencies. The ICE US computes this by using the rates supplied by some 500 banks.

Barclay Global Macro Index: Global Macro managers carry long and short positions in any of the world’s major capital or derivative markets. These positions reflect their views on overall market direction as influenced by major economic trends and or events. The portfolios of these funds can include stocks, bonds, currencies, and commodities in the form of cash or derivatives instruments. Most funds invest globally in both developed and emerging markets.

Long. Buying an asset/security that gives partial ownership to the buyer of the position. Long positions profit from an increase in price.

Short. Selling an asset/security that may have been borrowed from a third party with the intention of buying back at a later date. Short positions profit from a decline in price. If a short position increases in price, the potential loss of an uncovered short is unlimited.

Systematic long-term trend following: A strategy that potentially utilizes multiple entry and exit signals over multiple time frames in an attempt to produce a profit. Profitable positions are allowed to develop to their full potential and are not reduced until the trend reverses and the trailing stop is triggered. All entry and exit signals are generated by a rules-based system without any “gut feelings” being involved.

Drawdown: The peak-to-trough decline during a specific record period of an investment, fund, or commodity. A drawdown is usually quoted as the percentage between the peak and the trough.

1940 Act Fund Structure: Any fund that conforms to the legal structure of an investment company as defined by Section 3 of the Investment Company Act of 1940 and the rules under that section.