# EDGAR Filing Document

**Accession Number:** 0001724826
**File Stem:** 0001193125-26-197372
**Filing Date:** 2026-4
**Character Count:** 108155
**Document Hash:** aca7debd0c1a49b04ff00e6183d0553c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-26-197372.hdr.sgml**: 20260430

**ACCESSION NUMBER**: 0001193125-26-197372

**CONFORMED SUBMISSION TYPE**: 497K

**PUBLIC DOCUMENT COUNT**: 3

**FILED AS OF DATE**: 20260430

**DATE AS OF CHANGE**: 20260430

**EFFECTIVENESS DATE**: 20260430

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Six Circles Trust
- **CENTRAL INDEX KEY:** 0001724826

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** 497K
- **SEC ACT:** 1933 Act
- **SEC FILE NUMBER:** 333-225588
- **FILM NUMBER:** 26925692

**BUSINESS ADDRESS:**
- **STREET 1:** C/O J.P. MORGAN PRIVATE INVESTMENTS INC.
- **STREET 2:** 383 MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10179
- **BUSINESS PHONE:** 212-270-6000

**MAIL ADDRESS:**
- **STREET 1:** C/O J.P. MORGAN PRIVATE INVESTMENTS INC.
- **STREET 2:** 277 PARK AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10172

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** 23Wall Trust
- **DATE OF NAME CHANGE:** 20171208

## Series and Classes Contracts Data

### Six Circles Multi-Strategy Fund (Series ID: S000086732)

| Class ID   | Class Name                      | Ticker Symbol   |
|:---|:---|:---|
| C000252360 | Six Circles Multi-Strategy Fund |  |

![](g83232imgb6643c2b1.gif)

**Summary Prospectus May 1, 2026** 

**Six Circles**<sup>®</sup> **Multi-Strategy Fund** <br> **Ticker: CALTX**<br>

**Before you invest, you may want to review the Fund's prospectus, which contains more information about the Fund and its risks. You can find the Fund's prospectus and other information about the Fund, including the Statement of Additional Information, online at www.sixcirclesfunds.com/literature. You can also get this information at no cost by calling collect at 1-212-464-2070 or by sending an e-mail request to managed.solutions.ir@jpmorgan.com. The Fund's Prospectus and Statement of Additional Information, both dated May 1, 2026, as may be supplemented from time to time are incorporated by reference into this Summary Prospectus.**

**What is the goal of the Fund?**

The Fund seeks to achieve long-term capital appreciation.

**Fees and Expenses of the Fund**

The following table describes the fees and expenses that you may pay if you buy and hold shares of the Fund.

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| | |
|:---|:---|
| **ANNUAL FUND OPERATING EXPENSES** <br> **(Expenses that you pay each year as a percentage of the value of your** <br> **investment)** | **ANNUAL FUND OPERATING EXPENSES** <br> **(Expenses that you pay each year as a percentage of the value of your** <br> **investment)** |
| **Management Fees**<sup>1,</sup><sup>2</sup> | 1.25% |
| **Distribution (Rule 12b-1) Fees** |  |
| **Other Expenses**<sup>3</sup> | 0.43% |
| **Acquired Fund Fees and Expenses**<sup>4</sup> | 0.02% |
| **Total Annual Fund Operating Expenses** | 1.70% |
| **Fee Waiver and Expense Reimbursement**<sup>1,</sup><sup>2</sup> | (0.76)% |
| **Total Annual Fund Operating Expenses After Fee** <br> **Waiver and Expense Reimbursement**<sup>1,</sup><sup>2</sup><br>| 0.94% |

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The Fund's adviser, J.P. Morgan Private Investments Inc. ("JPMPI") and/or its affiliates have contractually agreed through at least April 30, 2027 to waive any management fees that exceed the aggregate management fees the adviser is contractually required to pay the Fund's sub-advisers. Thereafter, this waiver will continue for subsequent one year terms unless terminated in accordance with its terms. JPMPI may terminate the waiver, under its terms, effective upon the end of the then-current term, by providing at least ninety (90) days prior written notice to the Six Circles Trust. The waiver may not otherwise be terminated by JPMPI without the consent of the Board of Trustees of the Six Circles Trust, which consent will not be unreasonably withheld. Such waivers are not subject to reimbursement by the Fund.

Additionally, the Fund's adviser has contractually agreed through at least April 30, 2027 to reimburse expenses to the extent Total Annual Fund Operating Expenses (excluding acquired fund fees and expenses, if any, dividend and interest expenses related to short sales, brokerage fees, interest on borrowings, taxes, expenses related to litigation and potential litigation, and extraordinary expenses) exceed 1.45% of the average daily net assets of the Fund (the "Expense Cap"). An expense reimbursement by the Fund's adviser is subject to repayment by the Fund only to the extent it can be made within thirty-six months following the date of such reimbursement by the adviser. Repayment must be limited to amounts that would not cause the Fund's operating expenses (taking into account any reimbursements by the adviser and repayments by the Fund) to exceed the Expense Cap in effect at the time of the reimbursement by the adviser or at the time of repayment by the Fund. This expense reimbursement is in effect through April 30, 2027, at which time the adviser and/or its affiliates will determine whether to renew or revise it.

"Other Expenses" are based on actual expenses incurred in the most recent fiscal year and include interest expense of 0.09%. Excluding interest expense, the Total Annual Fund Operating Expenses After Fee Waivers and Expense Reimbursement is 0.83%.

The "Total Annual Fund Operating Expenses" do not correlate to the ratios of

expenses to average net assets given in the Fund's most recent annual report, which do not include "Acquired Fund Fees and Expenses."

**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. The Example also assumes that your investment has a 5% return each year and that the Fund's operating expenses are equal to the total annual fund operating expenses after fee waivers and expense reimbursements shown in the fee table through April 30, 2027 and total annual fund operating expenses thereafter. Your actual costs may be higher or lower.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **WHETHER OR NOT YOU SELL YOUR SHARES, YOUR** <br> **COSTS WOULD BE:** | **WHETHER OR NOT YOU SELL YOUR SHARES, YOUR** <br> **COSTS WOULD BE:** | **WHETHER OR NOT YOU SELL YOUR SHARES, YOUR** <br> **COSTS WOULD BE:** | **WHETHER OR NOT YOU SELL YOUR SHARES, YOUR** <br> **COSTS WOULD BE:** | **WHETHER OR NOT YOU SELL YOUR SHARES, YOUR** <br> **COSTS WOULD BE:** |
|  | **1 Year** | **3 Years** | **5 Years** | **10 Years** |
| **SHARES ($)** | 96 | 461 | 852 | 1945 |

---

**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 when 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 the Fund's most recent fiscal year, the Fund's portfolio turnover rate was 652.39% of the average value of its portfolio.

**What are the Fund's main investment strategies?**

The Fund is designed to achieve long-term capital appreciation by allocating its assets across multiple sub-advised strategies that are intended to allow the Fund to maintain an investment portfolio with, on average, lower volatility over a market cycle than the broader equity markets. J.P. Morgan Private Investments Inc., the Fund's investment adviser ("JPMPI" or the "Adviser"), will allocate Fund assets across a variety of strategies, including, but not limited to, equity long/short, event driven, global macro, relative value, and multi-strategy, managed by one or more sub-advisers retained by the Adviser (each, a "Sub-Adviser"). Additionally, the Sub-Advisers may in turn allocate to one or more additional sub-advisers (each, a "Sub-Sub-Adviser") a portion of the assets allocated to them by the Adviser. Certain references herein to the Sub-Adviser may also include a Sub-Sub-Adviser, as the context requires. The

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Adviser dynamically allocates the Fund's assets among Sub-Advisers generally employing alternative investment strategies and may also manage a portion of the Fund's assets directly. The main strategies of the Fund include:

● **Equity Long/Short:** which employs both long and short positions in primarily equity securities and equity-related derivatives;

● **Event Driven:** which focuses on event-linked, acquisition-related, and other types of instruments, including equities, debt securities, and derivatives that are currently or may be prospectively affected by transactions or events, including mergers, restructurings, financial distress, tender offers, shareholder buybacks, debt exchanges, security issuance, other capital structure adjustments, and shareholder activism;

● **Global Macro:** which seeks to profit from movements in, or risks related to, underlying macroeconomic variables and/or risk premia factors, and the impact those variables and factors have on equity, fixed income, currency, and/or commodity markets;

● **Relative Value:** which focuses on potential valuation discrepancies in related financial instruments; and

● **Multi-Strategy:** which employs a wide variety of strategies, including some or all of those described above, with allocations among such strategies based upon analysis of fundamental, statistical, technical, or other factors.

In allocating the assets of the Fund, the Adviser will generally review quantitative and qualitative factors, including, without limitation, macroeconomic scenarios, market sentiment, diversification, strategy capacity, regulatory constraints, and the fees associated with the strategy. The Adviser will make strategic and tactical allocation decisions by directing shifts in allocations among the various investment strategies managed by the Sub-Advisers. The Adviser will periodically review and determine the allocations among the investment strategies and may make changes to these allocations when it believes it is beneficial to the Fund. The Adviser may, in its discretion, add to, delete from or modify the categories of investment strategies employed by the Fund, or add other investment strategies managed by the Sub-Advisers. In making allocations among such investment strategies and/or in changing the categories of investment strategies employed by the Fund, the Adviser expects to take into account the investment goals of the broader investment programs administered by the Adviser or its affiliates, for whose use the Fund is exclusively designed. As such, the Fund may perform differently from a similar fund that is managed without regard to such broader investment programs. The Fund will maintain a flexible design in order to support the potential introduction of additional strategies and/or managers as market opportunities arise.

Each Sub-Adviser may use both its own proprietary and external research and securities selection process to manage its allocated portion of the Fund's assets. The Adviser is responsible for determining the amount of Fund assets allocated to each Sub-Adviser. The Adviser is not required to allocate a minimum amount of Fund assets to any specific Sub-Adviser and may allocate, or re-allocate, zero Fund assets to a specific Sub-Adviser at any time. The Sub-Advisers are responsible for determining the amount of Fund assets allocated to each Sub-Sub-Adviser. The Adviser engages the

following Sub-Advisers: AHL Partners LLP ("AHL"), Pacific Investment Management Co. ("PIMCO"), T. Rowe Price Associates, Inc. ("T. Rowe Price"), Dynamic Beta Investments LLC ("DBi"), BlackRock Investment Management, LLC ("BlackRock") and Capital Fund Management S.A. ("CFM"). BlackRock currently allocates assets to BlackRock International Limited ("BIL"). The Adviser may adjust allocations to the Sub-Advisers at any time or make recommendations to the Board of Trustees of the Six Circles Trust (the "Board") with respect to the hiring, termination or replacement of a Sub-Adviser. As such, the identity of the Fund's Sub-Advisers, the investment strategies they pursue, and the portion of the Fund allocated to them may change over time. For example, due to market conditions, the Adviser may choose not to allocate Fund assets to a Sub-Adviser or may reduce the portion of the Fund allocated to a Sub-Adviser to zero. Each Sub-Adviser is responsible for deciding which securities to purchase and sell for its respective portion of the Fund and for placing orders for the Fund's transactions. However, the Adviser reserves the right to instruct Sub-Advisers as needed on certain Fund transactions and manage a portion of the Fund's portfolio directly, including, without limitation, for portfolio hedging, to temporarily adjust the Fund's overall market exposure or to temporarily manage assets as a result of a Sub-Adviser's resignation or removal. Below is a summary of each current Sub-Adviser's investment approach.

*AHL — Trend Following Strategy* 

With respect to its allocated portion of the Fund, AHL employs computerized processes to identify investment opportunities across a wide range of markets around the world. The cornerstone of AHL's investment philosophy is that financial markets exhibit persistent trends and other inefficiencies. Trends are a manifestation of serial correlation in financial markets – the phenomenon whereby past price movements influence future price behavior. Although price trends vary in their intensity, duration and frequency, they typically recur across sectors and markets. Trends are an attractive focus for active trading styles applied across a range of global markets. The strategy implements a systematic momentum strategy that seeks to profit from medium-term trends in liquid futures and forward markets. The strategy intends to invest mainly in a wide range of the most liquid futures markets, spanning equities, fixed income, commodities and foreign exchange. Investment decisions are executed via AHL's proprietary execution strategy. AHL's investment decision process is quantitative and primarily directional in nature, meaning that investment decisions are driven by mathematical models based on market trends and other historical relationships. The strategy determines trend strength and direction using multiple momentum signals which seek to capture medium term trends; positions are scaled inversely to market volatility to ensure balanced risk at market level, sector level and portfolio level. It is underpinned by risk control, ongoing research, diversification and the quest for efficiency. In line with the principle of diversification, the approach to portfolio construction and asset allocation is premised on the importance of deploying investment capital across the full range of sectors and markets. Particular attention is paid to correlation of markets and sectors, expected returns, market access costs and market liquidity. Portfolios are regularly reviewed and, when necessary, adjusted to reflect changes in these factors. The number and diversity of markets and strategies traded directly or indirectly by the strategy may change over the life of the investment. AHL's strategy is

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designed to provide an excess return with a stable level of volatility regardless of market conditions. AHL seeks to do this by using systematic algorithms (i.e., a mathematical model) to scale positions based on the net asset value ("NAV") of its allocated portion of the Fund. The algorithm measures the degree of volatility in a particular market. As volatilities increase, the algorithm will look to reduce exposure. Conversely, it will increase exposure, subject to risk limits, if the market is calm and volatility decreases. In implementing its investment program, AHL may hold significant cash and cash equivalents from time to time.

*PIMCO — Mortgage Opportunities Strategy* 

With respect to the portion of the Fund allocated to PIMCO's Mortgage Opportunities Strategy, PIMCO seeks to generate consistent absolute returns across full market cycles through active management across a wide array of mortgage-related and securitized securities. Untethered to a traditional benchmark, PIMCO has the ability to tactically allocate across various subsectors of the global mortgage-backed securities ("MBS") market, including U.S. and European markets, residential and commercial and agency and private label MBS and asset-backed securities ("ABS"). While PIMCO's strategy seeks attractive absolute returns across full market cycles, the strategy's flexibility allows for active management of its exposure to a variety of risk factors, including interest-rate risk and credit risk.

*T. Rowe Price— Floating Rate Bank Loan Strategy* 

With respect to the portion of the Fund allocated to T. Rowe Price's Floating Rate Bank Loan Strategy, T. Rowe Price will primarily invest in U.S. dollar denominated floating rate notes and debt instruments, including U.S. dollar denominated bonds or loans of foreign issuers or lenders. To add additional diversification and liquidity, the portion of the Fund allocated to T. Rowe Price may also invest in high yield bonds that present good relative value along with liquid derivatives and cash. The loans held by the portion of the Fund allocated to T. Rowe Price may be senior or subordinate obligations of the borrower, although such portion of the Fund normally invests the majority of its assets in senior floating rate loans under normal conditions. For security selection, the investment team uses a proprietary fundamental credit research approach with a preference for higher quality and lower volatility securities. Selected investments will demonstrate the potential for capital appreciation, and/or attractive current yields.

*DBi — Multi-Strategy* 

With respect to its allocated portion of the Fund, DBi will seek to approximate the returns of a composite of hedge funds which employ alternative investment strategies identified by DBi. It will do so by researching and analyzing the returns of hedge funds which employ such alternative investment strategies and will seek to approximate the returns of a model portfolio of hedge funds that employ these identified strategies (the "Composite"). In constructing the Composite, DBi shall include a selection of hedge funds that implement a range of investment strategies including (i) equity long/short strategies; (ii) global macro strategies; (iii) event driven strategies; and (iv) relative value strategies. DBi will then construct the Composite by setting a weighting to each such strategy in the Composite and selecting the hedge funds employing those strategies that will be included in the Composite. The appropriate weightings in the Composite are determined by DBi based on its analysis of the

hedge fund universe in order to allow it to construct the Composite in a manner which best replicates the returns of the overall hedge fund market. The weightings in the Composite and the hedge funds used in the Composite, may be changed by DBi over time depending on its views of market environment or its views regarding the merits of the various hedge funds. DBi will not invest directly in the hedge funds that are in the Composite. Rather, DBi will seek to approximate the returns of the Composite by investing primarily in futures contracts, with a significant percentage of its allocated portion of the Fund being kept in cash and cash equivalents. Excess cash is generally invested in U.S. treasury bills.

*BlackRock – Global Equity Market Neutral Strategy* 

With respect to the portion of the Fund allocated to BlackRock's Global Equity Market Neutral investment strategy, BlackRock will seek to produce returns that have a low correlation to the returns of the equity markets in which the Fund invests. BlackRock pursues this market-neutral strategy by taking both long and short positions primarily across a variety of developed market equity instruments. BlackRock expects to maintain long and short positions primarily through the use of swap agreements (including, but not limited to, total return swaps, some of which may be referred to as contracts for difference) and other derivative instruments, such as futures. Although BlackRock intends to maintain an overall long position in its portfolio investments, BlackRock generally expects to maintain significant short positions in equity securities and equity related instruments. In certain circumstances, these short positions may approach or reach the size of the overall long position. BlackRock looks to identify overvalued, undervalued or mispriced stocks and other equity instruments through proprietary ranking techniques. BlackRock takes long positions primarily in securities that BlackRock has identified as attractive and short positions in such securities that BlackRock has identified as overvalued or poised for underperformance. BlackRock may utilize derivative instruments as a significant part of its strategy. BlackRock's investment process leverages fundamentally informed and data-driven insights, which may use a range of factors to generate investment ideas, including macroeconomic inputs, company fundamentals, machine learning and artificial intelligence methods including large language models, sentiment analysis, factor and thematic insights, and measures of whether a security is over- or under-valued. BlackRock may engage in active and frequent trading of portfolio securities to achieve its investment strategy.

*CFM – Cumulus Strategy*

With respect to its allocated portion of the Fund, CFM will seek to achieve long-term capital appreciation through returns that aim to be uncorrelated with traditional asset classes. CFM will follow the quantitative CFM Cumulus trading program which includes futures multi-strategy, equity statistical arbitrage, and relative value components. The program may take long and short exposures through a variety of financial instruments including securities, foreign exchange, futures, forwards, swaps (including equity swaps) and other derivatives on bonds, shares, rates, currencies, commodities, credit and indices, as well as derivatives on all the foregoing. The trading of the program is generally conducted using electronic means based on a number of proprietary systematic trading models. The program employs a systematic investment process which seeks to generate, weigh and aggregate signals based on such components to build a

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diversified investment portfolio. The program includes an integrated risk management system which seeks to monitor the risk of the portfolio on an ongoing basis. The risk of the individual trading strategies is adjusted on the basis of volatility forecasts in order to target a stable portfolio risk over the medium-term. The program seeks to be diversified within the asset classes traded. The program is exposed to the financial markets on a global basis focusing on markets that provide sufficient liquidity and supporting infrastructure. Trading may be extended to new markets when liquidity and market infrastructure allow. The program is statistical and systematic in nature. The system is fed with historical price and econometric time series data. A range of systems are employed which can be both technical and market specific in nature. Trade execution is generally electronic in all asset classes and is based upon execution models that seek to take advantage of short-term market information.

As part of the Fund's investment strategies, the Fund will have investment exposure, directly or indirectly, to a broad range of instruments, markets, and asset classes economically tied to the U.S. and foreign markets (including emerging markets). Investments may include, but are not limited to, equity securities, fixed income securities, foreign exchange securities, and derivative and commodity instruments, as more fully described below. The Fund may take both long and short positions in any of its investments. The Fund has flexibility to allocate its assets across all asset classes, market sectors, and instruments. Other than limits described herein, in the Statement of Additional Information and under applicable law, 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 purchase securities or other investments throughout the world on recognized markets, in private placements, and through both initial and secondary under-written offerings (including Rule 144 and 144A securities, which are securities that may be resold without registration under the Securities Act of 1933, as amended (the "1933 Act"), pursuant to an exemption from registration under the 1933 Act). To the extent permitted by the Investment Company Act of 1940, as amended (the "Investment Company Act"), the Fund may invest a significant portion of its assets in a variety of commodities and commodity-linked derivatives. The Fund may have significant investment leverage (directly or indirectly) as a result of its use of derivatives.

The Fund may invest in the instruments described in the following paragraphs, though the Fund may not necessarily hold all of these instruments at any given time.

As part of its principal investment strategy, the Fund will invest a substantial portion of its net assets, without limitation, in derivatives, and may use such instruments for risk management purposes or as part of its investment strategies to manage duration, credit quality, and currency risk and/or as substitutes for securities and other instruments in which the Fund can invest. A derivative is an instrument that has a value based on another instrument, exchange rate or index. The Fund may use futures, swaps, forward contracts, foreign exchange instruments, options and structured notes, as well as repurchase agreements and reverse repurchase agreements, and other types of derivative instruments linked to stock indices, currencies, bonds, interest rates and commodity instruments in connection with its principal strategies. These derivatives may also be used in certain market conditions in order to hedge various investments, for risk management purposes, as a substitute for

securities and other instruments in which the Fund can invest or to increase income or gain to the Fund. The Fund may also use currency derivatives as part of its investment strategy.

As a result of the Fund's use of derivatives, the Fund may have economic leverage, which means the sum of the Fund's investment exposures through its use of derivatives may significantly exceed the amount of assets invested in the Fund, although these exposures may vary over time. The Fund may also hold cash (such as time deposits) or invest significant amounts in cash equivalents (such as U.S. Treasury and foreign government obligations) to serve as collateral for derivative positions or in the event of a decrease in market exposure.

As the Fund may purchase derivatives generally using only a fraction of the assets that would be needed to purchase the relevant securities directly, a Sub-Adviser may therefore seek to achieve greater returns by purchasing derivatives and investing the remaining assets in other types of securities described herein to add excess return. The Fund expects that, under normal market conditions, the notional value (which is the face or nominal amount of a derivatives transaction) of its derivatives exposure generally will exceed that of its net assets.

The Fund may purchase or sell securities on a when-issued, delayed delivery or forward commitment basis and may engage in short sales (which are sales by the Fund of securities it does not own with the hope of purchasing the same securities at a later date at a lower price). The Fund may take long and/or short positions (which represent sales by the Fund of securities that it does not own with the hope of purchasing the same securities at a later date at a lower price) in a wide range of asset classes, including equities, fixed income, commodities, and currencies, among others. Long positions benefit from an increase in the price of the underlying instrument or asset class, while short positions benefit from a decrease in that price. Short positions (implemented via a derivative instrument such as futures or a swap) involve more risk than long positions in stocks because the maximum sustainable loss on a stock purchased is limited to the amount paid for the stock plus the transaction costs, whereas there is no maximum loss on a short exposure. It is possible that the market value of the securities that the Fund holds in long positions will underperform at the same time that the market value of the securities for which the Fund has a short exposure outperforms, thereby increasing the Fund's potential volatility.

As part of its principal investment strategy, the Fund may invest in various types of fixed income instruments such as bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities.

Additionally, as part of its principal investment strategy, the Fund will invest in floating rate loans and floating rate debt securities. Floating rate loans represent amounts borrowed by companies or other entities from banks and other lenders. The loans in which the Fund invests may be referred to as "leveraged loans" because the borrowing companies often have significantly more debt than equity. The loans held by the Fund may be senior or subordinate obligations of the borrower, although the Fund normally invests in senior floating rate loans. In the event of bankruptcy, holders of senior floating rate loans are typically paid (to the extent assets are available) before other creditors of the borrower, such as bondholders and stockholders. Holders of subordinate loans may be paid after more senior bondholders. Loans may or may not be secured by

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collateral. Floating rate loans have interest rates that reset periodically (typically quarterly or monthly). Floating rate loans may be structured and administered by a financial institution that acts as the agent of the lenders participating in the floating rate loan. The Fund may acquire floating rate loans directly from a lender or through the agent, as an assignment from another lender who holds a floating rate loan, or as a participation interest in another lender's floating rate loan or portion thereof.

The Fund currently expects to invest a substantial portion of its net assets in below investment-grade credit instruments, including "high yield" instruments (also known as "junk bonds") and "distressed" debt instruments. These instruments generally (i) will carry a credit rating at the time of investment of BB or lower by Standard & Poor's Corporation ("S&P") and Fitch Ratings ("Fitch") or Ba or lower by Moody's Investors Service, Inc. ("Moody's") or of the equivalent quality by another nationally recognized statistical rating organization or, if such instruments are unrated, (ii) will be deemed by a Sub-Adviser (as defined below) to be of comparable quality at the time of investment. The Fund may invest in fixed income instruments with a credit rating as low as, or lower than, CCC/CCC/Caa, according to S&P, Fitch and Moody's, respectively.

Additionally, as part of its principal investment strategy, the Fund may invest in any combination of mortgage-related securities or other asset-backed securities. The Fund may also invest in mortgage- or real estate-related equity instruments.

Further, as part of its principal investment strategy, the Fund may invest in equity securities, warrants, and other investment companies such as open-end funds, closed-end funds and exchange-traded funds ("ETFs").

As part of its principal investment strategy, the Fund seeks to gain exposure to the commodity markets by investing up to 25% of its total assets in wholly-owned subsidiaries, which are organized under the laws of the Cayman Islands (each, a "Subsidiary" and together, the "Subsidiaries"). Generally, the Subsidiaries will invest primarily in commodity futures, but may also invest in financial futures and forwards and swap contracts, fixed income securities, pooled investment vehicles, including open-end investment companies, and other investments intended to serve as margin or collateral for such Subsidiary's derivative positions. The Fund invests in the Subsidiaries in order to gain exposure to the commodities markets within the limitations of the federal tax law, rules and regulations that apply to "regulated investment companies." Unlike the Fund, the Subsidiaries may invest without limitation in commodity-linked derivatives; however, the Subsidiaries and the Fund, in the aggregate, will comply with applicable requirements for derivatives transactions set forth in Rule 18f-4 under the Investment Company Act. In addition, the Fund and the Subsidiaries will comply with the same fundamental investment restrictions on an aggregate basis, and the Subsidiaries follow the same compliance policies and procedures as the Fund to the extent those restrictions, policies and procedures are applicable to the investment activities of the Subsidiaries. The Subsidiaries are treated as corporations for U.S. federal income tax purposes. Unlike the Fund, the Subsidiaries do not, and will not, seek to qualify as "regulated investment companies" under Subchapter M of Chapter 1 of Subtitle A of the Internal Revenue Code of 1986, as amended. The Fund is the sole shareholder of the Subsidiaries and does not expect shares of the Subsidiaries to

be offered or sold to other investors. The Fund does not intend to create or acquire primary control of any entity that primarily engages in investment activities, in securities or other assets, other than the entities that are wholly-owned by the Fund.

The Fund's investments are generally made without restriction as to issuer market capitalization, country, currency, or maturity. The Fund may invest in issuers in the United States as well as issuers in foreign developed countries and emerging markets.

The Fund is classified as a "non-diversified" fund under the Investment Company Act. A non-diversified fund is permitted (but is not required) to invest a higher percentage of its assets in the securities of fewer issuers. Due to the nature of the investments in which the Fund is seeking to invest, at times a significant portion of the issuers of the investments in the Fund's portfolio may be in the financial services sector.

The Fund will likely engage in active and frequent trading and may experience high levels of portfolio turnover. The frequency with which the Fund buys and sells securities or other investments will vary from year to year, depending on market conditions.

**The Fund's Main Investment Risks**

The Fund is subject to management risk and may not achieve its objective if the Adviser's and/or Sub-Advisers' expectations regarding particular instruments or markets are not met.

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An investment in this Fund or any other fund is not designed to be a complete investment program. It is intended to be part of a broader investment program administered by the Adviser or its affiliates. The performance and objectives of the Fund should be evaluated only in the context of your complete investment program. The Fund is managed to take into account the investment goals of the broader investment program and therefore changes in value of the Fund may be particularly pronounced and the Fund may underperform a similar fund managed without consideration of the broader investment program. The Fund is NOT designed to be used as a stand-alone investment.

The Fund is subject to the main risks noted below, any of which may adversely affect the Fund's performance and ability to meet its investment objective.

*General Market Risk.* Economies and financial markets throughout the world are becoming increasingly interconnected, which increases the likelihood that events or conditions in one country or region will adversely impact markets or issuers in other countries or regions. Securities in the Fund's portfolio may underperform in comparison to securities in general financial markets, a particular financial market or other asset classes due to a number of factors, including inflation (or expectations for inflation), deflation (or expectations for deflation), interest rates, global demand for particular products or resources, market instability, financial system instability, debt crises and downgrades, embargoes, tariffs, sanctions and other trade barriers, supply chain disruptions, regulatory events, other governmental trade or market control programs and related geopolitical events. In addition, the value of the Fund's investments may be negatively affected by the occurrence of global events such as war, terrorism, environmental disasters, natural

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disasters or events, country instability, and infectious disease epidemics or pandemics or the threat or potential of one or more such factors and occurrences.

*Derivatives Risk.* Derivatives, including futures, options, swaps and forward contracts, may be riskier than other types of investments and may increase the volatility of the Fund. Derivatives may be sensitive to changes in economic and market conditions and may create leverage, which could result in losses that significantly exceed the Fund's original investment. The Fund may be more volatile than if the Fund had not been leveraged because the leverage tends to exaggerate any effect on the value of the Fund's portfolio securities. Certain derivatives expose the Fund to counterparty risk, which is the risk that the derivative counterparty will not fulfill its contractual obligations (and includes credit risk associated with the counterparty). Certain derivatives are synthetic instruments that attempt to replicate the performance of certain reference assets. With regard to such derivatives, the Fund does not have a claim on the reference assets and is subject to enhanced counterparty risk. Derivatives may not perform as expected, so the Fund may not realize the intended benefits. When used for hedging, the change in value of a derivative may not correlate as expected with the security or other risk being hedged. In addition, given their complexity, derivatives expose the Fund to risks of mispricing or improper valuation. Derivatives also can expose the Fund to derivative liquidity risk, which includes the risks involving the liquidity demands that derivatives can create to make payments of margin, collateral, or settlement payments to counterparties, legal risk, which includes the risk of loss resulting from insufficient or unenforceable contractual documentation, insufficient capacity or authority of a Fund's counterparty and operational risk, which includes documentation or settlement issues, system failures, inadequate controls and human error. Derivatives also subject the Fund to liquidity risk because the liquidity of derivatives is often based on the liquidity of the underlying instruments. In addition, the possible lack of a liquid secondary market for derivatives and the resulting inability of the Fund to sell or otherwise close a derivatives position could expose the Fund to losses and could make derivatives more difficult for the Fund to value accurately.

*Geographic Focus Risk.* The Fund may focus its investments in one or more regions or small groups of countries. As a result, the Fund's performance may be subject to greater volatility than a more geographically diversified fund.

*Contracts for Difference Risk.* A contract for difference ("CFD") is a contract between two parties, typically described as "buyer" and "seller," stipulating that the seller will pay to the buyer the difference between the current value of an asset and its value in the future. (If the difference is negative, then the buyer instead pays the seller.) In effect, CFDs are financial derivatives that allow a Fund to take advantage of values moving up (long positions) or values moving down (short positions) on underlying assets. A contract for difference offers exposure to price changes in an underlying security without ownership of such security, typically by providing investors the ability to trade on margin. CFDs are over-the-counter derivative instruments that are subject to the credit risk of the counterparty. The Fund will transact in contracts for difference which may increase the Fund's financial risk to the extent that there is an imperfect correlation between the return on the Fund's obligation to its counterparty under the contract for difference and the return on related assets in its portfolio. Contracts for difference are not

registered with the Securities and Exchange Commission (the "SEC") or any U.S. regulator. The Fund's investments in CFDs are subject to the risks associated with the underlying reference obligations and derivative instruments, including, among others, liquidity risk, counterparty risk, derivatives risk and margin risk.

*Quantitative (Model) Investing Risk.* Models (including quantitative models), data, and investment programs are used to screen potential investments for the applicable portion of the Fund. The success of a Fund's quantitative investment strategy may depend in part on the effectiveness of a Sub-Adviser's quantitative tools for screening securities. Securities selected using quantitative analysis can react differently to issuer, political, market and economic developments than the market as a whole or securities selected using only fundamental analysis, which could adversely affect their value. As a result, a portfolio of securities selected using quantitative analysis may underperform the market as a whole or a portfolio of securities selected using a different investment approach, such as fundamental analysis. A Sub-Adviser's quantitative tools may use factors that may not be predictive of a security's value, and any changes over time in the factors that affect a security's value may not be reflected in the quantitative model. The quantitative tools may not react as expected to market events, resulting in losses for the Fund. Data for some companies, particularly for non-U.S. companies, may be less available and/or less current than data for other companies. When models or data prove to be incorrect or incomplete, any decisions made in reliance thereon expose the Fund to potential risks. In addition, issues in the construction and implementation of the models, including software or hardware malfunction, power loss, software bugs, malicious code, viruses, system crashes, issues related to the use of artificial intelligence and machine learning, and other technological failures or various other events or circumstances within or beyond the control of a Sub-Adviser, may adversely impact the Fund. Some of the models used by certain Sub-Advisers are predictive in nature. The use of predictive models has inherent risks. There is no assurance that the models are complete or accurate, or representative of future market cycles, nor will they always be beneficial to the Fund if they are accurate. These strategies may incorporate factors that are not predictive of a security's value.

*Risks Associated with the Use of Artificial Intelligence ("AI") Tools.* The Adviser and Sub-Advisers rely on programs and systems that utilize AI, machine learning, probabilistic modeling, and other data science technologies ("AI Tools"). AI Tools are highly complex, and may be flawed, hallucinate, reflect biases included in the data on which such tools are trained, be of poor quality, lack transparency, infringe on the intellectual property rights of others, or be otherwise harmful. The Adviser and Sub-Advisers typically incorporate human oversight including through the standards and policies that define the governance framework, to reduce the risk of acting on potentially defective outputs. The U.S. and global legal and regulatory environment relating to the use of AI Tools is uncertain and rapidly evolving, and could require changes in the Adviser's and/or Sub-Advisers' implementation of AI Tools and increase compliance costs and the risk of non-compliance. Further, the Adviser and Sub-Advisers may use AI Tools developed by third parties, and the Adviser and Sub-Advisers may have limited visibility over the accuracy and completeness of such AI Tools.

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*Foreign Currency Forward Contracts Risk.* Foreign currency forward contracts, including non-deliverable forwards ("NDFs") (which are transactions that represent agreements between a fund and a counterparty (usually a commercial bank) to buy or sell a specified amount of a particular currency at an agreed-upon foreign exchange rate on an agreed-upon future date, where there is no physical delivery of the currency on the settlement of the transaction), are derivative instruments pursuant to a contract where the parties agree to a fixed price for an agreed amount of foreign currency at an agreed date or to buy or sell a specific currency at a future date at a price set at the time of the contract and include the risks associated with fluctuations in currency. There are no limitations on daily price movements of forward contracts. There can be no assurance that any strategy used will succeed. Not all forward contracts, including NDFs, require a counterparty to post collateral, which may expose the Fund to greater losses in the event of a default by a counterparty. The use of foreign currency forward contracts may expose the Fund to additional risks, such as credit risk, liquidity risk, and counterparty risk, that it would not be subject to if it invested directly in the currencies underlying the foreign currency forward contract.

*Futures Contracts Risk.* Futures contracts are derivative instruments pursuant to a contract where the parties agree to a fixed price for an agreed amount of securities or other underlying assets at an agreed date. The use of such derivative instruments may expose the Fund to additional risks, such as credit risk, liquidity risk, and counterparty risk, that it would not be subject to if it invested directly in the securities underlying those derivatives. There can be no assurance that any strategy used will succeed. There may at times be an imperfect correlation between the movement in the prices of futures contracts and the value of their underlying instruments or indexes. There also can be no assurance that, at all times, a liquid market will exist for offsetting a futures contract that the Fund has previously bought or sold, and this may result in the inability to close a futures contract when desired. Futures contracts may experience potentially dramatic price changes, which will increase the volatility of the Fund and may involve a small investment of cash (the amount of initial and variation margin) relative to the magnitude of the risk assumed (the potential increase or decrease in the price of the futures contract). Government bond futures contracts, such as treasury futures contracts, expose the Fund to price fluctuations resulting from changes in interest rates and to potential losses if interest rates do not move as expected. Interest rate futures contracts expose the Fund to price fluctuations resulting from changes in interest rates. The Fund could suffer a loss if interest rates rise after the Fund has purchased an interest rate futures contract or fall after the Fund has sold an interest rate futures contract. Foreign currency futures contracts expose the Fund to risks associated with fluctuations in the value of foreign currencies. Foreign currency futures contracts are similar to foreign currency forward contracts, except that they are traded on exchanges (and may have margin requirements) and are standardized as to contract size and delivery date. The Fund may use foreign currency futures contracts for the same purposes as foreign currency forward contracts, subject to Commodity Futures Trading Commission ("CFTC") regulations. Futures contracts on bond and equity indices expose the Fund to volatility in an underlying index. Unlike the financial futures markets, in the commodity futures markets, there are costs of physical storage associated

with purchasing the underlying commodity. The price of the commodity futures contract will reflect the storage costs of purchasing the physical commodity, including the time value of money invested in the physical commodity. To the extent that the storage costs for an underlying commodity change while the Fund is invested in futures contracts on that commodity, the value of the futures contract may also change.

*Swap Agreements Risk.* Swap agreements or "swaps" are transactions in which the Fund and a counterparty agree to pay or receive payments at specified dates based upon or calculated by reference to changes in specified prices or rates or the performance of specified securities, indices or other assets based on a specified amount (the "notional" amount). Swaps can involve greater risks than a direct investment in an underlying asset, because swaps typically include a certain amount of embedded leverage, and as such, are subject to leverage risk. If swaps are used as a hedging strategy, the Fund is subject to the risk that the hedging strategy may not eliminate the risk that it is intended to offset, due to, among other reasons, the occurrence of unexpected price movements or the non-occurrence of expected price movements. Swaps also may be difficult to value. Swaps may be subject to liquidity risk and counterparty risk, and swaps that are traded over-the-counter are not subject to standardized clearing requirements and may involve greater liquidity and counterparty risks.

*Commodities Risk.* The value of commodities and commodity-linked derivative investments can be extremely volatile and exposure to commodities could cause the value of the Fund's shares to decline or fluctuate in a more rapid and unpredictable manner. The Fund's investments in commodity-linked derivative instruments may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, commodity price volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as changes in supply and demand, resource availability, speculation in the commodities markets, drought, floods, weather, livestock disease, pandemics, embargoes, tariffs, war, acts of terrorism and international economic, political and regulatory developments. The Fund may invest significantly in a particular sector of the commodities market (such as oil, metal or agricultural products). As a result, the Fund may be more susceptible to risks associated with those sectors. No active trading market may exist for certain commodities investments. As a result, it may not always be possible for the Fund to liquidate commodity-related investments at an advantageous time or price, which may subject the Fund to additional liquidity risk. Certain types of commodities instruments are subject to the risk that the counterparty to the transaction may not perform or be unable to perform in accordance with the terms of the instrument. The Fund's investments in commodity-related instruments may lead to losses in excess of the Fund's investment in such products, as some commodity-linked derivatives can have the potential for unlimited losses. Such losses can significantly and adversely affect the net asset value ("NAV") per share of the Fund and, consequently, a shareholder's interest in the Fund. Because a portion of the Fund's performance may be linked to the performance of potentially volatile commodities, investors should be willing to assume the risks of significant fluctuations in the value of the Fund's shares.

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*CFTC Regulation Risk.* The Fund is subject to regulation by the Commodity Futures Trading Commission ("CFTC") as a "commodity pool" and the Adviser is subject to regulation as a "commodity pool operator" with respect to the Fund. As a result, the Fund is subject to various CFTC requirements, including certain registration, disclosure and operational requirements. Compliance with these requirements may increase Fund expenses.

*Leveraging Risk.* Certain transactions may give rise to a form of leverage. Such transactions may include reverse repurchase agreements, loans of portfolio securities, and the use of when-issued, delayed delivery or forward commitment transactions, or derivative instruments, and may give rise to leverage. Leverage may result in losses that exceed the amount originally invested and may accelerate the rate of losses. Leverage tends to magnify, sometimes significantly, the effect of any increase or decrease in the Fund's exposure to an asset or class of assets and may cause the Fund's net NAV per share to be volatile. This means that leverage entails a heightened risk of loss.

*Liquidity Risk.* The Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. The liquidity of portfolio securities can deteriorate rapidly due to credit events affecting issuers or guarantors, such as a credit rating downgrade, or due to general market conditions or a lack of willing buyers. An inability to sell one or more portfolio positions, or selling such positions at an unfavorable time and/or under unfavorable conditions, can increase the volatility of the Fund's NAV per share. Liquidity risk may also refer to the risk that the Fund will not be able to pay redemption proceeds within the allowable time period because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances where investor redemptions from money market and other fixed income mutual funds may be higher than normal, potentially causing increased supply in the market due to selling activity.

*Multi-Manager Risk.* The Fund's performance depends on the skill of the Adviser in selecting, overseeing, and allocating Fund assets to the Sub-Advisers. The Sub-Advisers' investment styles may not always be complementary. The Sub-Advisers operate independently (e.g., make investment decisions independently of one another), and may make decisions that conflict with each other. For example, it is possible that a Sub-Adviser may purchase a security for the Fund at the same time that another Sub-Adviser sells the same security, resulting in higher transaction costs without accomplishing any net investment result; or that several Sub-Advisers purchase the same security at the same time, without aggregating their transactions, resulting in higher transaction costs. The Fund's Sub-Advisers may underperform the market generally, underperform other investment managers that could have been selected for the Fund and/or underperform private investment funds with similar strategies managed by the Sub-Advisers. Subject to the overall supervision of the Fund's investment program by the Fund's Adviser, each Sub-Adviser is responsible, with respect to the portion of the Fund's assets it manages, for compliance with the Fund's investment strategies and applicable law.

*Tax Risk.* To comply with its asset diversification test applicable to a regulated investment company, the Fund will limit its investments in all of the Subsidiaries (on a consolidated basis) to 25% of the Fund's total assets at the end of each quarter. The Fund intends to invest in complex derivatives for which there is not clear guidance from the Internal Revenue Service ("IRS") as to the calculation of such investments under the asset diversification test applicable to regulated investment companies. There are no assurances that the IRS will agree with the Fund's calculation under the asset diversification test which could cause the Fund to fail to qualify as a regulated investment company.

*Structured Products Risk.* Holders of structured products bear risks of the underlying investments, index, or reference obligation and are subject to counterparty credit, valuation, and liquidity risks. In addition to the general risks associated with debt securities, structured products carry additional risks, including, but not limited to, the possibility that distributions from collateral securities will not be adequate to make interest or other payments; the quality of the reference instruments may decline in value or default; the possibility that changes in the reference instrument will reduce the interest rate or principal amount payable on maturity; and the possibility that the position is subordinate to other classes. Structured products may be less liquid than other types of securities and more volatile than the reference instrument.

*Floating and Variable Rate Securities Risk.* Floating and variable rate securities provide for a periodic adjustment in the interest rate paid on the securities. The rate adjustment intervals may be regular and range from daily up to annually, or may be based on an event, such as a change in the prime rate. Floating and variable rate securities may be subject to greater liquidity risk than other debt securities, meaning that there may be limitations on the Fund's ability to sell the securities at any given time. Such securities also may lose value.

*Floating Rate Loans Risk.* Transactions involving floating rate loans may have significantly longer settlement periods than more traditional bond investments (settlement can take longer than seven days) and often involve borrowers whose financial condition is troubled or highly leveraged, which increases the risk that the Fund may not receive its proceeds in a timely manner and that the Fund may incur unexpected losses in order to pay redemption proceeds to its shareholders. Even if a loan is secured by collateral, the value of collateral securing a floating rate loan could decline, be insufficient to satisfy the loan obligation, or be difficult to liquidate. The Fund's access to the collateral could be limited by bankruptcy or by the type of loan it purchases. As a result, a collateralized senior loan may not be fully collateralized and can decline significantly in value. In addition, loans are not registered or regulated under the federal securities laws like most stocks and bonds, so investors in loans have less protection against improper practices than investors in registered securities. While a loan assignment typically transfers all legal and economic rights to the buyer, a loan participation typically allows the seller to maintain legal title to the loan, meaning the buyer of a loan participation generally has no direct rights against the borrower and is exposed to credit risk of both the borrower and seller of the participation.

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*Senior Loans Risk.* Senior loans are subject to the risk that a court could subordinate a senior loan, which typically holds the most senior position in the issuer's capital structure, to presently existing or future indebtedness or take other action detrimental to the holders of senior loans.

*Inflation Risk.* Inflation risk is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the present value of the Fund's assets and distributions may decline.

*Credit Risk*. The Fund's investments are subject to the risk that issuers and/or counterparties will fail to make payments when due or default completely. If an issuer's or counterparty's financial condition worsens, their credit quality may deteriorate. Prices of the Fund's investments may be adversely affected if any of the issuers or counterparties it is invested in are subject to an actual or perceived deterioration in their credit quality. Credit spreads may increase, which may reduce the market values of the Fund's securities. Credit spread risk is the risk that economic and market conditions or any actual or perceived credit deterioration may lead to an increase in the credit spreads (i.e., the difference in yield between two securities of similar maturity but different credit quality) and a decline in price of the issuer's securities.

*High Yield Securities and Loan Risk.* The Fund invests in instruments including junk bonds, loans and instruments that are issued by companies that are highly leveraged, less creditworthy or financially distressed. These investments are considered to be speculative and are subject to greater risk of loss, greater sensitivity to economic changes, valuation difficulties and potential illiquidity. Such investments may be subject to additional risks including subordination to other creditors, no collateral or limited rights in collateral, lack of a regular trading market, extended settlement periods, liquidity risks, prepayment risks, potentially less protection under the federal securities laws and lack of publicly available information. The Fund will not have direct recourse against the borrower when the Fund invests in a loan participation. High yield securities and loans that are deemed to be liquid at the time of purchase may become illiquid.

*Interest Rate Risk.* The Fund's investments in bonds and other debt securities will change in value based on changes in interest rates. If rates increase, the value of these investments generally declines. Securities with greater interest rate sensitivity and longer maturities generally are subject to greater fluctuations in value. The Fund may invest in variable and floating rate loans and other variable and floating rate securities. Although these instruments are generally less sensitive to interest rate changes than fixed rate instruments, the value of variable and floating rate loans and other securities may decline if their interest rates do not rise as quickly, or as much, as general interest rates. The Fund may face a heightened level of interest rate risk due to certain changes in monetary policy. It is difficult to predict the pace at which central banks or monetary authorities may change interest rates or the timing, frequency, or magnitude of such changes. Any such changes could be sudden and could expose debt markets to significant volatility and reduced liquidity for Fund investments.

*Debt Securities and Other Callable Securities Risk.* As part of its investment strategy, the Fund invests in debt securities. The issuers of these securities and other callable securities may be able to repay principal in advance, especially when interest

rates fall. Changes in prepayment rates can affect the return on investment and yield of these securities. When debt obligations are prepaid and when securities are called, the Fund may have to reinvest in securities with a lower yield. The Fund also may fail to recover additional amounts (i.e., premiums) paid for securities with higher interest rates, resulting in an unexpected capital loss.

*Distressed Securities Risk.* Any investments in distressed or defaulted securities subject the Fund to even greater credit risk than investments in other below investment-grade instruments. Investments in obligations of restructured, distressed and bankrupt issuers, including debt obligations that are already in default, generally trade significantly below par and may lack liquidity. Defaulted securities might be repaid only after lengthy bankruptcy proceedings, during which the issuer might not make any interest or other payments, and such proceedings may result in only partial recovery of principal or no recovery at all. Recovery could involve an exchange of the defaulted obligation for other debt instruments or equity securities of the issuer or its affiliates, each of which may in turn be illiquid or speculative and be valued by the Fund at significantly less than its original purchase price. In addition, investments in distressed issuers may subject the Fund to liability as a lender.

*Issuer Risk.* The value of a security may decline for a number of reasons which directly relate to the issuer, such as management performance, financial leverage and reduced demand for the issuer's goods or services, as well as the historical and prospective earnings of the issuer and the value of its assets. A change in the financial condition of a single issuer may affect securities markets as a whole.

*Bank Loan Risk.* The market for bank loans may not be highly liquid and the Fund may have difficulty selling them. In connection with purchasing loan participations, the Fund generally will have no right to enforce compliance by borrowers with loan terms nor any set-off rights, and the Fund may not benefit directly from any posted collateral. As a result, the Fund may be subject to the credit risk of both the borrower and the lender selling the participation. Bank loan transactions may take more than seven days to settle, meaning that proceeds would be unavailable to make additional investments or meet redemptions.

*Short Sales and Other Short Positions Risk.* The Fund will incur a loss as a result of a short position if the price of the instrument sold short increases in value between the date of the short sale and the date on which an offsetting position is purchased. Short positions may be considered speculative transactions and involve special risks, including greater reliance on a Sub-Adviser's ability to accurately anticipate the future value of a security or instrument. As there is potentially no limit on the amount that the security that the Fund is required to purchase may have appreciated, the Fund's losses are potentially unlimited in a short position transaction, particularly in cases where the Fund is unable to close out its short position. The Fund may invest the proceeds of a short sale and, therefore, be subject to the effect of leverage, in that short selling may amplify changes in the Fund's NAV since it may increase the exposure of the Fund to certain markets and may increase losses and the volatility of returns. There is also the risk that the third party to the short sale or other short position will not fulfill its contractual obligations, causing a loss to the Fund.

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*Loan Participations and Assignments Risk.* The Fund may invest in fixed- and floating-rate loans, which investments generally will be in the form of loan participations and assignments of all or portions of such loans. Participations and assignments involve special types of risk, including extension risk, prepayment risk, credit risk, interest rate risk, liquidity risk, and the risks of being a lender. Loans are subject to the risk that scheduled interest or principal payments will not be made in a timely manner or at all, either of which may adversely affect the value of the loan. In addition, the collateral underlying a loan may be unavailable or insufficient to satisfy a borrower's obligation, and a Fund could become part owner of any collateral if a loan is foreclosed, subjecting the Fund to costs associated with owning and disposing of the collateral. If a Fund purchases a participation, it may only be able to enforce its rights through the lender, and may assume the credit risk of the lender in addition to the borrower

*Covenant Lite Loan Risk.* The Fund may invest in, or obtain exposure to, floating rate loans that are "covenant lite." Covenants contained in loan documentation are intended to protect lenders by imposing certain restrictions and other limitations on a borrower's operations or assets and by providing certain information and consent rights to lenders. Covenant lite loans may lack financial maintenance covenants that in certain situations can allow lenders to claim a default on the loan to seek to protect the interests of the lenders. The absence of financial maintenance covenants in a covenant lite loan might result in a lower recovery in the event of a default by the borrower. Covenant lite loans have become much more prevalent in recent years.

*Impairment of Collateral Risk.* The value of collateral securing a debt instrument could decline, be insufficient to satisfy the obligation or be difficult to liquidate. The Fund's access to the collateral could be limited by bankruptcy or by the type of loan it purchases. As a result, a collateralized debt instrument may not be fully collateralized and can decline significantly in value.

*Government Securities Risk.* The Fund invests in securities issued or guaranteed by the U.S. government or its agencies and instrumentalities (such as securities issued by the Government National Mortgage Association ("Ginnie Mae"), the Federal National Mortgage Association ("Fannie Mae"), or the Federal Home Loan Mortgage Corporation ("Freddie Mac"). U.S. government securities are subject to market risk, interest rate risk and credit risk. Securities, such as those issued or guaranteed by Ginnie Mae or the U.S. Treasury, that are backed by the full faith and credit of the United States are guaranteed only as to the timely payment of interest and principal when held to maturity and the market prices for such securities will fluctuate. The income generated by investments may not keep pace with inflation. Actions by governments and central banking authorities could result in changes in interest rates. Periods of higher inflation could cause such authorities to raise interest rates, which may adversely affect the Fund and its investments. Notwithstanding that these securities are backed by the full faith and credit of the United States, circumstances could arise that would prevent the payment of interest or principal. This would result in losses to the Fund. Securities issued or guaranteed by U.S.-government-related organizations, such as Fannie Mae and Freddie Mac, are not backed by the full faith and credit of the U.S. government and no assurance can be

given that the U.S. government would provide financial support. Therefore, U.S. government-related organizations may not have the funds to meet their payment obligations in the future.

*Foreign Securities and Emerging Markets Risk.* Investments in foreign issuers and foreign securities (including depositary receipts) are subject to additional risks, including political and economic risks, unstable governments, civil conflicts and war, greater volatility, decreased market liquidity, expropriation and nationalization risks, sanctions or other measures by the United States or other governments, currency fluctuations, higher transaction costs, delayed settlement, possible foreign controls on investment, and less stringent investor protection and disclosure standards of foreign markets. In certain markets where securities and other instruments are not traded "delivery versus payment," the Fund may not receive timely payment for securities or other instruments it has delivered or receive delivery of securities paid for and may be subject to increased risk that the counterparty will fail to make payments or delivery when due or default completely. Foreign market trading hours, clearance and settlement procedures, and holiday schedules may limit the Fund's ability to buy and sell securities.

The securities markets of many foreign countries are relatively small, with a limited number of companies representing a small number of industries. If foreign securities are denominated and traded in a foreign currency, the value of the Fund's foreign holdings can be affected by currency exchange rates and exchange control regulations.

Events and evolving conditions in certain economies or markets may alter the risks associated with investments tied to countries or regions that historically were perceived as comparatively stable becoming riskier and more volatile. These risks are magnified in countries in "emerging markets." Emerging market countries typically have less-established market economies than developed countries and may face greater social, economic, regulatory and political uncertainties. In addition, emerging markets typically present greater illiquidity and price volatility concerns due to smaller or limited local capital markets and greater difficulty in determining market valuations of securities due to limited public information on issuers.

Certain emerging market countries may be subject to less stringent requirements regarding accounting, auditing, financial reporting and record keeping and therefore, material information related to an investment may not be available or reliable. Additionally, the Fund may have substantial difficulties exercising its legal rights or enforcing a counterparty's legal obligations in certain jurisdictions outside of the United States, in particular in emerging market countries, which can increase the risks of loss. From time to time, certain companies in which the Fund invests may operate in, or have dealings with, countries subject to sanctions or embargoes imposed by the U.S. government and the United Nations and/or in countries the U.S. government identified as state sponsors of terrorism. One or more of these companies may be subject to constraints under U.S. law or regulations that could negatively affect the company's performance. Additionally, one or more of these companies could suffer damage to its reputation if the market identifies it as a company that invests or deals with countries that the U.S. government identifies as state sponsors of terrorism or subjects to sanctions.

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*Sovereign Obligations Risk.* The Fund may invest in securities issued by or guaranteed by sovereign governments, which may be unable or unwilling to repay principal or interest when due. In times of economic uncertainty in the country at issue, the prices of these securities may be more volatile than those of corporate debt obligations or of other government debt obligations. These securities are also subject to *Foreign Securities and Emerging Markets Risk*.

*Income Risk.* The Fund's income may decline when interest rates fall because the Fund may hold a significant portion of short duration securities and/or securities that have floating or variable interest rates. The Fund's income may decline because the Fund invests in lower yielding bonds, as bonds in its portfolio mature, are near maturity or are called, or when the Fund needs to purchase additional bonds.

*Prepayment Risk.* The issuer of certain securities may repay principal in advance, especially when yields fall. Changes in the rate at which prepayments or redemptions occur can affect the return on investment of these securities. When debt obligations are prepaid or when securities are called, the Fund may have to reinvest in securities with a lower yield. The Fund also may fail to recover additional amounts (i.e., premiums) paid for securities with higher coupons, resulting in an unexpected capital loss.

*Counterparty Risk.* The Fund may have exposure to the credit risk of counterparties with which it deals in connection with the investment of its assets, whether engaged in exchange-traded or off-exchange transactions or through brokers, dealers, custodians and exchanges through which it engages. In addition, many protections afforded to cleared transactions, such as the security afforded by transacting through a clearinghouse, might not be available in connection with over-the-counter ("OTC") transactions. Therefore, in those instances in which the Fund enters into OTC transactions, the account will be subject to the risk that its direct counterparty will not perform its obligations under the transactions and will sustain losses.

*Asset-Backed, Mortgage-Related and Mortgage-Backed Securities Risk.* The Fund may invest in asset-backed, mortgage-related and mortgage-backed securities including so-called "sub-prime" mortgages, credit risk transfer securities and credit-linked notes issued by government-related organization that are subject to certain other risks including prepayment and call risks. When mortgages and other obligations are prepaid and when securities are called, the Fund may have to reinvest in securities with a lower yield or fail to recover additional amounts (i.e., premiums) paid for securities with higher interest rates, resulting in an unexpected capital loss and/or a decrease in the amount of dividends and yield. In periods of either rising or declining interest rates, the Fund may be subject to extension risk, and may receive principal later than expected. As a result, in periods of rising interest rates, the Fund may exhibit additional volatility. During periods of difficult or frozen credit markets, significant changes in interest rates or deteriorating economic conditions, such securities may decline in value, face valuation difficulties, become more volatile and/or become illiquid. Additionally, asset-backed, mortgage-related and mortgage-backed securities are subject to risks associated with their structure and the nature of the assets underlying the securities and the servicing of those assets. Certain asset-backed, mortgage-related and mortgage-backed securities may

face valuation difficulties and may be less liquid than other types of asset-backed, mortgage-related and mortgage-backed securities, or debt securities.

Collateralized mortgage obligations and stripped mortgage-backed securities, including those structured as interest-only and principal-only, are more volatile and may be more sensitive to the rate of prepayments than other mortgage-related securities. The risk of default, as described under "Credit Risk," for "sub-prime" mortgages is generally higher than other types of mortgage-backed securities. The structure of some of these securities may be complex and there may be less available information than other types of debt securities.

Credit risk transfer securities and credit-linked notes are general obligations issued by a government-related organization or special purpose vehicle, respectively, and are unguaranteed. Unlike mortgage-backed securities, investors in credit risk transfer securities and credit-linked notes issued by a government-related organization have no recourse to the underlying mortgage loans. In addition, some or all of the mortgage default risk associated with the underlying mortgage loans is transferred to the noteholder. There can be no assurance that losses will not occur on an investment. These investments are also subject to the risks described under *"*Prepayment Risk. *"* 

*U.S. Treasury Obligations Risk.* U.S. Treasury obligations may differ from other securities in their interest rates, maturities, times of issuance and other characteristics and may provide relatively lower returns than those of other securities. Similar to other issuers, changes to the financial condition or credit rating of the U.S. government may cause the value of the Fund's U.S. Treasury obligations to decline.

*Currency Risk*. Changes in foreign currency exchange rates will affect the value of the Fund's securities and may affect the price of the Fund's shares. Generally, when the value of the U.S. dollar rises in value relative to a foreign currency, an investment impacted by that currency loses value because that currency is worth less in U.S. dollars. Currency exchange rates may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates. Devaluation of a currency by a country's government or banking authority also will have a significant impact on the value of any investments denominated in that currency. Currency markets generally are not as regulated as securities markets, may be riskier than other types of investments and may increase the volatility of the Fund. Although the Fund may attempt to hedge some or all of its currency exposure into the U.S. dollar, it may not be successful in reducing the effects of currency fluctuations. The Fund may also hedge from one foreign currency to another. In addition, the Fund's use of currency hedging may not be successful, including due to delays in placing trades and other operational limitations, and the use of such strategies may lower the Fund's potential returns.

*Zero-Coupon Bond Risk.* The market value of a zero-coupon bond is generally more volatile than the market value of other fixed income securities with similar maturities that pay interest periodically.

*LIBOR Discontinuance Risk*. The London Interbank Offering Rate ("LIBOR") was a leading floating rate benchmark used in loans, notes, derivatives and other instruments or investments. After the global financial crisis, regulators globally determined that existing interest rate benchmarks should be reformed based on

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a number of factors, including that LIBOR and other interbank offering rates ("IBORs") may no longer be representative of the underlying markets and, as a result, publication of all LIBOR settings has ceased. New or alternative reference rates have since been used in place of LIBOR. Replacement rates that have been identified include the Secured Overnight Financing Rate ("SOFR," which is intended to replace U.S. dollar LIBOR and measures the cost of U.S dollar overnight borrowings collateralized by treasuries) and the Sterling Overnight Index Average rate ("SONIA," which is intended to replace pound sterling LIBOR and measures the overnight interest rate paid by banks in the sterling market). Markets are slowly developing in response to these new rates. As a result of the benchmark reforms, the Adviser, Sub-Advisers, and the Funds have generally transitioned to successor or alternative reference rates as necessary. Although the transition process away from IBORs for most instruments has been completed, there is no assurance that any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance, which may affect the value, volatility, liquidity, or return on certain of a Fund's loans, notes, derivatives and other instruments or investments and result in costs incurred in connection with changing reference rates used for positions, closing out positions, and entering into new trades. The transition from LIBOR to alternative reference rates may result in operational issues for a Fund or its investments. Moreover, certain aspects of the transition from IBORs will rely on the actions of third-party market participants, such as clearing houses, trustees, administrative agents, asset servicers and certain service providers; no assurances can be given as to the impact of the transition away from LIBOR on a Fund or its investments. These risks may also apply with respect to changes in connection with other IBORs (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as "benchmarks" and are the subject of recent regulatory reform.

*Restricted and Privately Placed Securities Risk.* Restricted securities are securities that cannot be offered for public resale unless registered under the applicable securities laws or that have a contractual restriction that prohibits or limits their resale. Restricted securities include private placement securities that have not been registered under the applicable securities laws, such as Rule 144A securities, and securities of U.S. and non-U.S. issuers that are issued pursuant to Regulation S. Private placements are generally subject to strict restrictions on resale. Restricted securities may not be listed on an exchange and may have no active trading market. Restricted securities may be illiquid. The Fund may be unable to sell a restricted security on short notice or may be able to sell them only at a price below current value. It may be more difficult to determine a market value for a restricted security. Also, the Fund may get only limited information about the issuer of a restricted security, so it may be less able to predict a loss. In addition, if Fund management receives material nonpublic information about the issuer, the Fund may as a result be unable to sell the securities. Certain restricted securities may involve a high degree of business and financial risk and may result in substantial losses.

*Subsidiary Risk.* By investing in a Subsidiary, the Fund is indirectly exposed to the risks associated with such Subsidiary's investments. There can be no assurance that the investment objective of the Fund or a Subsidiary will be achieved. Each Subsidiary is not registered under the Investment Company Act

of 1940, as amended (the "Investment Company Act"), and is not subject to all the investor protections of the Investment Company Act.

*Regulation S Securities Risk.* Regulation S securities may be less liquid than publicly traded securities and may not be subject to the disclosure and other investor protection requirements that would be applicable if they were publicly traded. Accordingly, Regulation S securities are considered to be speculative and are subject to greater risk of loss, greater sensitivity to economic changes, valuation difficulties and potential illiquidity.

*Repurchase Agreement Risk.* Repurchase agreements involve some risk to the Fund that the counterparty does not meet its obligation under the agreement.

*Inflation-Linked Security Risk.* Inflation-linked debt securities are subject to the effects of changes in market interest rates caused by factors other than inflation (real interest rates). In general, the price of an inflation-linked security tends to decline when real interest rates increase. Unlike conventional bonds, the principal and interest payments of inflation-linked securities, such as Treasury Inflation Protected Securities, are adjusted periodically to a specified rate of inflation (e.g., Non-Seasonally Adjusted Consumer Price Index for all Urban Consumers ("CPI-U")). There can be no assurance that the inflation index used will accurately measure the real rate of inflation. These securities may lose value in the event that the actual rate of inflation is different than the rate of the inflation index.

*Real Estate Investment Trusts Risk.* The Fund's investments in securities of real estate investment trusts ("REITs") are subject to the same risks as direct investments in real estate and mortgages, and their value will depend on the value of the underlying real estate interests. These risks include default, prepayments, changes in value resulting from changes in interest rates and demand for real and rental property, and the management skill and creditworthiness of REIT issuers. Debt securities of REITs are also subject to the risks of debt securities in general. For example, such securities are more sensitive to interest rates than equity securities of REITs.

*Hedging Risk.* If the Fund uses a hedging instrument at the wrong time or judges the market conditions incorrectly, or the hedged instrument does not correlate to the risk sought to be hedged, the hedge might be unsuccessful, reduce the Fund's return, or create a loss. In addition, hedges, even when successful in mitigating risk, may not prevent the Fund from experiencing losses on its investments. Hedging instruments may also reduce or eliminate gains that may otherwise have been available had the Fund not used the hedging instruments.

*Relative Value Strategies Risk.* Relative value strategies utilized in the Fund depend on a Sub-Advisers' ability to identify unjustified or temporary discrepancies between the value of two or more related financial instruments, and are subject to the risk that a Sub-Advisers' evaluation of the relative price differential may be incorrect or may never be realized in the market price of the securities in which the Fund invests.

*Macro Strategy Risk.* The profitability of any macro strategy depends primarily on the ability of the Sub-Adviser to predict derivative contract price movements to implement investment theses regarding macroeconomic trends. Such price movements are influenced by, among other things: changes in interest rates; governmental and economic programs, policies and events; weather and climate conditions; changing supply and demand

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relationships; changes in balances of payments and trade; rates of inflation and deflation; currency devaluations and revaluations; and changes in philosophies and emotions of market participants.

*Event-Linked Instrument Risk.* Investing in event-linked bonds, including bonds known as "catastrophe bonds," and other event-linked instruments involves unique risks. If a trigger event, such as a hurricane, earthquake, or other physical or weather-related phenomenon, causes losses exceeding a specific amount in the geographic region and time period specified in a bond, the Fund may lose a portion or all of its principal invested in the bond or suffer a reduction in credited interest. Some event-linked instruments have features that delay the return of capital upon the occurrence of a specified event; in these cases, whether or not there is loss of capital or interest, the return on the investment may be significantly lower during the extension period. In addition to specified trigger events, event-linked instruments expose the Fund to other risks, such as credit risk, adverse regulatory or jurisdictional interpretations, adverse tax consequences, and foreign exchange risk.

*Exchange-Traded Fund ("ETF") and Investment Company Risk.* The Fund may invest in shares of other investment companies and ETFs. Shareholders bear both their proportionate share of the Fund's expenses and similar expenses of the underlying investment company or ETF when the Fund invests in shares of another investment company or ETF. The Fund is subject to the risks associated with the ETF's or investment company's investments. ETFs, investment companies and other investment vehicles that invest in commodities or currencies are subject to the risks associated with direct investments in commodities or currencies. The price and movement of an ETF or closed-end fund designed to track an index may not track the index and may result in a loss. In addition, closed-end funds that trade on an exchange often trade at a price below their NAV (also known as a discount). Certain ETFs or closed-end funds traded on exchanges may be thinly-traded and experience large spreads between the "ask" price quoted by a seller and the "bid" price offered by a buyer.

*Structured Notes Risk.* Structured notes are subject to interest rate risk and credit risk. The price of structured notes may be very volatile, and such notes may have a limited trading market, making it difficult to value them or sell them at an acceptable price. The payments on a structured note may vary based on changes in one or more specified reference instruments, such as a floating interest rate compared to a fixed interest rate, the exchange rates between two currencies, one or more securities or a securities index. A structured note may be positively or negatively indexed. For example, its principal amount and/or interest rate may increase or decrease if the value of the reference instrument increases, depending upon the terms of the instrument. If the underlying investment or index does not perform as anticipated, the structured note might pay less interest than the stated coupon payment or repay less principal upon maturity.

*To-Be-Announced ("TBA") Transactions Risk.* TBA purchase commitments involve a risk of loss if the value of the securities to be purchased declines prior to the settlement date or if the counterparty does not deliver the securities as promised. Selling a TBA involves a risk of loss if the value of the securities to be sold goes up prior to settlement date. TBA transactions involve

counterparty risk. Default or bankruptcy of a counterparty to a TBA transaction would expose the Fund to potential loss and could affect the Fund's returns.

*Mortgage Dollar Roll Risk.* The Fund may enter into mortgage dollar rolls involving mortgage pass-through securities including mortgage TBAs and other mortgage-backed securities. During the period between the sale and repurchase in a mortgage dollar roll transaction, the Fund will not be entitled to receive interest and principal payments on the securities sold. Losses may arise due to changes in the value of the securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, the Fund's right to repurchase or sell securities may be limited. Short sales of mortgage TBAs and engaging in mortgage dollar rolls may be subject to leverage risks as described under "Derivatives Risk." In addition, mortgage dollar rolls may increase interest rate risk and result in an increased portfolio turnover rate which increases costs and may increase taxable gains.

*Industry and Sector Focus Risk.* At times, the Fund may increase the relative emphasis of its investments in a particular industry or sector. The prices of securities of issuers in a particular industry or sector may be more susceptible to fluctuations due to changes in economic or business conditions, government regulations, availability of basic resources or supplies, contagion risk within a particular industry or sector or to other industries or sectors, or other events that affect that industry or sector more than securities of issuers in other industries and sectors. To the extent that the Fund increases the relative emphasis of its investments in a particular industry or sector, the value of the Fund's shares may fluctuate in response to events affecting that industry or sector.

*Allocation Risk.* The Fund's ability to achieve its investment objective depends upon the Adviser's ability to select the optimum mix of underlying exposures in light of market conditions. There is a risk that the Adviser's evaluations and assumptions regarding the investment strategies may be incorrect in view of actual market conditions.

*High Portfolio Turnover Risk.* The Fund will likely engage in active and frequent trading leading to increased portfolio turnover, higher transaction costs, and the possibility that the recognition of capital gains will be accelerated, including short-term capital gains that will generally be taxable to shareholders as ordinary income.

*Management Risk.* The Fund is subject to management risk. Each Sub-Adviser and its portfolio managers will utilize a proprietary investment process, techniques and risk analyses in making investment decisions for its allocated portion of the Fund, but there can be no guarantee that these decisions will produce the desired results. In addition, legislative, regulatory or tax developments may affect the investment techniques available to each Sub-Adviser in connection with managing its allocated portions of the Fund and may also adversely affect the ability of the Fund to achieve its investment objective.

*Collateralized Loan Obligations Risk.* Collateralized loan obligations ("CLOs") are securities backed by an underlying portfolio of loan obligations. CLOs issue classes or "tranches" that vary in risk and yield and may experience substantial losses due to actual defaults, decrease in market value due to collateral defaults and removal of subordinate tranches, market anticipation of defaults and investor aversion to CLO securities as a

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class. The risks of investing in CLOs depend largely on the tranche invested in and the type of the underlying debts and loans in the tranche of the CLO in which the Fund invests. CLOs also carry risks including, but not limited to, interest rate risk, credit risk, liquidity risk, market risk and prepayment and extension risk, as well as the risk of default on the underlying asset. For example, a liquidity crisis in the credit markets could cause substantial fluctuations in prices for leveraged loans and limited liquidity for such instruments. When the Fund invests in CLOs, in addition to directly bearing the expenses associated with its own operations, it may bear a pro rata portion of the CLO's expenses.

*Equity Market Risk.* The price of equity securities may rise or fall because of changes in the broad market or changes in a company's financial condition, sometimes rapidly or unpredictably. These price movements may result from factors affecting individual companies, sectors or industries selected for the Fund's portfolio or the securities market as a whole, such as changes in economic or political conditions. When the value of the Fund's securities goes down, your investment in the Fund decreases in value.

*Equity Securities Risk.* Investments in equity securities (such as stocks) may be more volatile and carry more risks than some other forms of investment. The price of equity securities may rise or fall because of changes in the broad market or changes in a company's financial condition, sometimes rapidly or unpredictably. These price movements may result from factors affecting individual companies, sectors or industries selected for the Fund or the securities market as a whole, such as changes in economic or political conditions. If a company becomes insolvent, its equity securities are repaid only after all other debts of the company have been repaid. This can result in a potential severe reduction in, or total loss of, their value. Investing in equity securities may also expose the Fund to inflation and currency risk. Further, the investor will be exposed to the specific risks of the industry in which the company operates. For example, a computer chip manufacturer might have exposure to the availability and price of certain metals. Equity securities may or may not be registered, publicly listed or traded on an exchange, and these securities are more likely to be illiquid and therefore subject to a higher degree of liquidity risk than registered or listed securities.

*Non-Diversified Fund Risk.* Since the Fund is non-diversified, it may invest a greater percentage of its assets in a particular issuer or group of issuers than a diversified fund would. This increased investment in fewer issuers may result in the Fund's shares being more sensitive to economic results of those issuing the securities. The value of the Fund's shares may also be more volatile than the value of a fund which invests in more securities.

*Convertible Securities and Contingent Convertible Securities Risk.* The market value of a convertible security performs like that of a regular debt security; that is, if market interest rates rise, the value of a convertible security usually falls. In addition, convertible securities are subject to the risk that the issuer will not be able to pay interest or dividends when due, and their market value may change based on changes in the issuer's credit rating or the market's perception of the issuer's creditworthiness. Convertible securities may be lower-rated securities subject to greater levels of credit risk.

*Preferred Securities Risk.* Preferred securities represent an equity interest in a company that generally entitles the holder to receive, in preference to the holders of other securities such as common stocks, dividends and a fixed share of the proceeds resulting from a liquidation of the company. Preferred and other senior securities are subject to issuer-specific and market risks applicable generally to equity securities. In addition, a company's preferred and other senior securities generally pay dividends only after the company makes required payments to holders of its bonds and other debt. For this reason, the value of preferred and other senior securities will usually react more strongly than bonds and other debt to actual or perceived changes in the company's financial condition or prospects.

*Large Shareholder Risk.* To the extent a large proportion of shares are held by a small number of shareholders (or a single shareholder), including funds or accounts over which the Adviser or its affiliates have investment discretion, the Fund is subject to the risk that these shareholders will purchase or redeem shares in large amounts rapidly or unexpectedly, including as a result of an asset allocation decision made by the Adviser or its affiliates.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

Investments in the Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency.

You could lose money investing in the Fund.

**The Fund's Past Performance**

This section provides some indication of the risks of investing in the Fund. The bar chart shows how the performance of the Fund has varied from year to year since the Fund's inception (i.e., for the past calendar year). The table shows the average annual total returns for the past one year life of the Fund. The table compares that performance to the Bloomberg Global-Aggregate Total Return Index. Past performance (before and after taxes) is not necessarily an indication of how the Fund will perform in the future. *Updated performance information is available by visiting www.sixcirclesfunds.com or by calling 1-212-464-2070.* 

**YEAR-BY-YEAR RETURNS**<br>

![](g83232msf_6c.jpg)

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| | | |
|:---|:---|:---|
| **Best Quarter** | 3rd quarter, 2025 | &nbsp;&nbsp; **3.06%** |
| **Worst Quarter** | 1st quarter, 2025 | &nbsp;&nbsp; **-0.60%** |

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| The Fund's year-to-date return | through | 3/31/26 | was | 3.06% | . |

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| | | |
|:---|:---|:---|
| **AVERAGE ANNUAL TOTAL RETURNS**<br> **(For periods ended December 31, 2025)** | **AVERAGE ANNUAL TOTAL RETURNS**<br> **(For periods ended December 31, 2025)** | **AVERAGE ANNUAL TOTAL RETURNS**<br> **(For periods ended December 31, 2025)** |
|  | **Past** | **Life of** <br> **Fund** <br> **Since**<br>|
|  | **1 Year** | **9/18/24** |
| **FUND** |  |  |
| Return Before Taxes | 6.38<br> %<br>| 5.83<br> %<br>|
| Return After Taxes on Distributions | 4.22 | 3.85 |
| Return After Taxes on Distributions and Sale of <br> Fund Shares<br>| 3.82 | 3.64 |
| **BLOOMBERG GLOBAL-AGGREGATE TOTAL** <br> **RETURN INDEX VALUE UNHEDGED USD**<br> (Reflects No Deduction for Fees, Expenses or <br> Taxes)<br>| 8.17 | 2.18 |
| **HFRX GLOBAL HEDGE FUND INDEX**<br> (Reflects No Deduction for Fees, Expenses or <br> Taxes)<br>| 7.14 | 6.11 |

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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 the investor's tax situation and may differ from those shown, and the after-tax returns shown are not relevant to investors who hold their shares through tax-deferred arrangements such as 401(k) plans or individual retirement accounts.

**Management**

*Investment Adviser*

**J.P. Morgan Private Investments Inc.** 

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| | | |
|:---|:---|:---|
| **Portfolio Manager** | **Managed** <br> **Fund Since**<br>| **Primary Title with** <br> **Adviser**<br>|
| Richard Madigan | Inception | Managing Director and <br> Chief Investment Officer<br>|
| Jeffrey Gaffney | Inception | Managing Director |
| Boris Arabadjiev | Inception | Managing Director |
| Thomas Byrnes | Inception | Executive Director |
| Jeffrey Eshleman | Inception | Managing Director |
| Jesse Rosenblum | 2026 | Executive Director |

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*Sub-Advisers and Sub-Sub-Advisers*

The Adviser allocates Fund assets for each investment strategy to Sub-Advisers (BlackRock in turn allocates assets to its Sub-Sub-Adviser), which allocations may be adjusted at any time.

AHL, PIMCO, T. Rowe Price, DBi, BlackRock and CFM are the current Sub-Advisers to the Fund and BIL is the current Sub-Sub-Adviser to the Fund.

**AHL** 

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| | | |
|:---|:---|:---|
| **Portfolio Manager** | **Managed** <br> **Fund Since**<br>| **Primary Title with** <br> **Sub-Adviser**<br>|
| Russell Korgaonkar | Inception | Chief Investment Officer |
| Giuliana Bordigoni | 2025 | Director of Alpha Research |

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**PIMCO** 

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| | | |
|:---|:---|:---|
| **Portfolio Manager** | **Managed** <br> **Fund Since**<br>| **Primary Title with** <br> **Sub-Adviser**<br>|
| Daniel Hyman | Inception | Managing Director |
| Alfred Murata | Inception | Managing Director |

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**T. Rowe Price** 

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| | | |
|:---|:---|:---|
| **Portfolio Manager** | **Managed** <br> **Fund Since**<br>| **Primary Title with** <br> **Sub-Adviser**<br>|
| Paul M. Massaro | Inception | Vice President |
| Steve Finamore | Inception | Vice President |

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**DBi** 

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| | | |
|:---|:---|:---|
| **Portfolio Manager** | **Managed** <br> **Fund Since**<br>| **Primary Title with** <br> **Sub-Adviser**<br>|
| Andrew Beer | Inception | Managing Member |
| Mathias Mamou-Mani | Inception | Managing Member |

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**Blackrock and BIL** 

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| | | |
|:---|:---|:---|
| **Portfolio Manager** | **Managed** <br> **Fund Since**<br>| **Primary Title with** <br> **Sub-Adviser**<br>|
| Raffaele Savi | 2025 | Senior Managing Director |
| Kevin Franklin | 2025 | Managing Director |
| Richard Mathieson | 2025 | Managing Director |

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**CFM** 

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| | | |
|:---|:---|:---|
| **Portfolio Manager** | **Managed** <br> **Fund Since**<br>| **Primary Title with** <br> **Sub-Adviser**<br>|
| Marc Potters | 2025 | Chief Investment Officer |
| Yves Lemperiere | 2025 | Head of Predictor Research |
| Raphael Benichou | 2025 | Head of Portfolio Research |

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**Purchase and Sale of Fund Shares**

The Fund is designed exclusively for investors participating in investment advisory programs, trusts or pooled investment vehicles managed by JPMorgan Chase Bank, N.A., J.P. Morgan Private Investments Inc. or one of their affiliates (each, a "JPM Program"). Fund shares may only be purchased through a JPM Program by a JPM Program representative acting on your behalf. Fund shares may be purchased or redeemed on any business day. For purposes of this prospectus, commingled investment vehicles and other pooled investment vehicles, such as registered investment companies, advised by the Adviser or its affiliates are considered to be participating in a JPM Program and are therefore eligible to invest in the Fund.

**Tax Information**

The Fund intends to make distributions that may be taxed as ordinary income or capital gains, except when an investor's investment is in an IRA, 401(k) plan or other tax-advantaged investment plan, in which case the investor may be subject to federal income tax upon withdrawal from the tax-advantaged

investment plan.

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