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Multi Asset

The Strategy dynamically allocates across a blend of alpha, income and real asset alternatives.
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Global Multi-Alternatives Fund/VA

The Strategy dynamically allocates across a blend of alpha, income and real asset alternatives.

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Cumulative Total Returns

as of 7/31/17

Since Inception 11/14/13
6%
Performance & Distributions
×

Multi Asset

Gross Expense Ratio:
      1.48%
    Net Expense Ratio:   1.44%

    Cumulative Returns

    Compare to Indices

    Global Multi-Alternatives Fund/VA
    VALUE of $10,000.00

    Income Dividend History
    • A

    No income dividends were paid during this time.
    Calendar Year Returns % (w/o sales charge)
    Data as of 8/17/17
      2013 2014 2015 2016 YTD
    • B
    Global Multi-Alternatives Fund/VA 6.02 -3.45 3.71 0.26
    Merrill Lynch T-Bill 4.94 0.05 0.33
    Capital Gains Distributions ($ per share)
    Data as of 8/18/17
      2012 2013 2014 2015 2016
    Short Term 0.2002
    Long Term 0.0115
    Total Amount of Distribution 0.2117
    Record Date 12/22/14
    Ex Div Date 12/23/14
    Pay Date 12/23/14

    There is no guarantee of the payment of any dividend or other distributions at any level.

    Average Annual Total Returns

    as of 7/31/17

    as of 6/30/17

    YTD (as of 8/17/17)
    • B
    0.26%
    1 Year 0.61%
    3 Year -0.12%
    Since Inception 1.67%
    YTD (as of 8/17/17)
    • B
    0.26%
    1 Year 0.61%
    3 Year -0.12%
    Since Inception 1.67%
    YTD (as of 8/17/17)
    • B
    0.26%
    1 Year 0.91%
    3 Year -0.59%
    Since Inception 1.65%
    YTD (as of 8/17/17)
    • B
    0.26%
    1 Year 0.91%
    3 Year -0.59%
    Since Inception 1.65%
    Gross Expense Ratio
    1.48%
    Net Expense Ratio
    1.44%
    NAV
    • C
    as of 8/17/17
    $9.81
    Top Holdings

    05/31/17

    Citibank NA; PD: US0001M Inde...
    15.9%
    Citi PB Collateral Cash
    5.6%
    Oppenheimer Institutional Gov...
    5.5%
    Currency Contract ZAR/USD 6/1...
    5.5%
    Japan Treasury Disc Bill, Ser...
    4.4%
    U.S. Treasury Bills, ZCN%, 9/...
    4.3%
    Currency Contract EUR/USD 6/1...
    4.2%
    Swedish T-Bill, Series 92D, Z...
    3.7%
    Currency Contract RUB/USD 6/1...
    3.5%
    JP Morgan PB Collateral Cash
    3.4%
    U.S. Treasury LONG BOND Futur...
    3.2%
    Currency Contract JPY/USD 6/1...
    3.1%
    STOXX Europe 600, 6/16/17
    2.9%
    Currency Contract BRL/USD 6/2...
    2.8%
    S&P500 Emini Futures, 6/16/17...
    2.7%
    BUONI ORDINARI DEL TES
    2.6%
    Mini Msci Emg Mkt, 2017-06-
    2.3%
    Currency Contract TRY/USD 6/1...
    2.2%
    Currency Contract GBP/USD 6/1...
    1.8%
    ×
    • 15.9%
      Citibank NA; PD: US0001M Index and if negative, the absolute value of the Total Return of the BKLN US Equity; RD: If positive, the Total Return of the
    COUNTRY United States
    STRATEGY Income Alts
    ×
    • 5.6%
      Citi PB Collateral Cash
    COUNTRY United States
    STRATEGY Alpha
    ×
    • 5.5%
      Oppenheimer Institutional Government Money Market Fund Cl. E
    COUNTRY United States
    STRATEGY Alpha
    ×
    • 5.5%
      Currency Contract ZAR/USD 6/14/17 L
    COUNTRY South Africa
    STRATEGY Alpha
    ×
    • 4.4%
      Japan Treasury Disc Bill, Series 684, ZCN%, 8/21/17
    STRATEGY Income Alts
    ×
    • 4.3%
      U.S. Treasury Bills, ZCN%, 9/07/17
    COUNTRY United States
    STRATEGY Income Alts
    ×
    • 4.2%
      Currency Contract EUR/USD 6/14/17 L
    STRATEGY Alpha, Hedges, Income Alts
    ×
    • 3.7%
      Swedish T-Bill, Series 92D, ZCN%, 7/19/17
    COUNTRY Sweden
    STRATEGY Income Alts
    ×
    • 3.5%
      Currency Contract RUB/USD 6/14/2017 L
    COUNTRY Russia
    STRATEGY Alpha
    ×
    • 3.4%
      JP Morgan PB Collateral Cash
    COUNTRY United States
    STRATEGY Alpha
    ×
    • 3.2%
      U.S. Treasury LONG BOND Futures, 20yr., 2017-09-
    COUNTRY United States
    STRATEGY Alpha
    ×
    • 3.1%
      Currency Contract JPY/USD 6/14/17 L
    STRATEGY Alpha, Income Alts
    ×
    • 2.9%
      STOXX Europe 600, 6/16/17
    STRATEGY Hedges
    ×
    • 2.8%
      Currency Contract BRL/USD 6/2/2017 L
    COUNTRY Brazil
    STRATEGY Alpha
    ×
    • 2.7%
      S&P500 Emini Futures, 6/16/17
    COUNTRY United States
    STRATEGY Alpha, Hedges
    ×
    • 2.6%
      BUONI ORDINARI DEL TES
    COUNTRY Italy
    STRATEGY Income Alts
    ×
    • 2.3%
      Mini Msci Emg Mkt, 2017-06-
    COUNTRY Multi
    STRATEGY Hedges
    ×
    • 2.2%
      Currency Contract TRY/USD 6/14/17 L
    COUNTRY Turkey
    STRATEGY Alpha
    ×
    • 1.8%
      Currency Contract GBP/USD 6/14/17 L
    STRATEGY Alpha
    Holdings Breakdown

    as of 05/31/17

    38.0%

    35.4%

    5.0%

    No Holding
    in
    Real Asset
    1.3%

    70.2%

    United States

    3.4%

    Bermuda

    No Holding
    in
    Bermuda
    2.6%

    Italy

    2.3%

    Multi

    1.9%

    Sweden

    1.8%

    Turkey

    1.7%

    Supranational (non-iso)

    No Holding
    in
    Supranational (non-iso)
    1.6%

    Russia

    1.6%

    Germany

    No Holding
    in
    Germany
    1.4%

    Hong Kong

    No Holding
    in
    Hong Kong
    1.3%

    Poland

    No Holding
    in
    Poland
    1.2%

    Indonesia

    No Holding
    in
    Indonesia
    1.2%

    Brazil

    1.1%

    India

    No Holding
    in
    India
    1.1%

    Cayman Islands

    No Holding
    in
    Cayman Islands
    1.1%

    Portugal

    No Holding
    in
    Portugal
    1.1%

    Netherlands

    No Holding
    in
    Netherlands
    1.0%

    New Zealand

    No Holding
    in
    New Zealand
    1.0%

    South Africa

    0.9%

    Mexico

    No Holding
    in
    Mexico
    Developed Markets 4
    Emerging Markets 4
    73.1%

    Americas

    No Holding
    in
    Americas
    1.7%

    Supranational

    No Holding
    in
    Supranational
    -0.6%

    Asia Pacific

    No Holding
    in
    Asia Pacific
    -0.9%

    Middle East

    No Holding
    in
    Middle East
    -1.4%

    Europe

    No Holding
    in
    Europe
    5.4%

    Europe

    No Holding
    in
    Europe
    2.3%

    Multi

    No Holding
    in
    Multi
    2.0%

    Americas

    No Holding
    in
    Americas
    1.0%

    Africa

    No Holding
    in
    Africa
    0.5%

    Asia Pacific

    No Holding
    in
    Asia Pacific
    0.1%

    Asia / Pacific

    No Holding
    in
    Asia / Pacific
    Risk Measurements

    as of 07/31/17

    Alpha -0.09%
    Beta 14.55
    Sharpe Ratio
    -0.10
    Standard Deviation
    3.38%
    Sortino Ratio
    -0.04
    Information Ratio
    -0.11
    Equity Style
    Total Assets (all classes)
    as of 7/31/17
    $415.1 MM
    Portfolio Statistics

    as of 7/31/17

    Turnover Ratio
    93.00%
    Duration (yrs)
    -0.4
    Dividends ($ per share)
    • A
    Est Frequency Annual
    Last Pay Date 6/20/17
    Per Share ($) 0.0957
    12-Month Distribution ($) 0.2303
    Distribution Sources
    Net Income 79.00%
    Net Profit from Sale 0.00%
    Other Capital Sources 21.00%
    Top Holdings

    05/31/17

    Citibank NA; PD...
    15.9%
    Citi PB Collate...
    5.6%
    Oppenheimer Ins...
    5.5%
    Currency Contra...
    5.5%
    Japan Treasury ...
    4.4%
    U.S. Treasury B...
    4.3%
    Currency Contra...
    4.2%
    Swedish T-Bill,...
    3.7%
    Currency Contra...
    3.5%
    JP Morgan PB Co...
    3.4%
    U.S. Treasury L...
    3.2%
    Currency Contra...
    3.1%
    STOXX Europe 60...
    2.9%
    Currency Contra...
    2.8%
    S&P500 Emini Fu...
    2.7%
    BUONI ORDINARI ...
    2.6%
    Mini Msci Emg M...
    2.3%
    Currency Contra...
    2.2%
    Currency Contra...
    1.8%
    Holdings Breakdown

    as of 05/31/17

    Reset
    38.0%

    35.4%

    5.0%

    No Holding
    in
    Real Asset
    1.3%

    70.2%

    United States

    3.4%

    Bermuda

    No Holding
    in
    Bermuda
    2.6%

    Italy

    2.3%

    Multi

    1.9%

    Sweden

    1.8%

    Turkey

    1.7%

    Supranational (non-iso)

    No Holding
    in
    Supranational (non-iso)
    1.6%

    Russia

    1.6%

    Germany

    No Holding
    in
    Germany
    1.4%

    Hong Kong

    No Holding
    in
    Hong Kong
    1.3%

    Poland

    No Holding
    in
    Poland
    1.2%

    Indonesia

    No Holding
    in
    Indonesia
    1.2%

    Brazil

    1.1%

    India

    No Holding
    in
    India
    1.1%

    Cayman Islands

    No Holding
    in
    Cayman Islands
    1.1%

    Portugal

    No Holding
    in
    Portugal
    1.1%

    Netherlands

    No Holding
    in
    Netherlands
    1.0%

    New Zealand

    No Holding
    in
    New Zealand
    1.0%

    South Africa

    0.9%

    Mexico

    No Holding
    in
    Mexico
    73.1%

    Americas

    No Holding
    in
    Americas
    1.7%

    Supranational

    No Holding
    in
    Supranational
    -0.6%

    Asia Pacific

    No Holding
    in
    Asia Pacific
    -0.9%

    Middle East

    No Holding
    in
    Middle East
    -1.4%

    Europe

    No Holding
    in
    Europe
    5.4%

    Europe

    No Holding
    in
    Europe
    2.3%

    Multi

    No Holding
    in
    Multi
    2.0%

    Americas

    No Holding
    in
    Americas
    1.0%

    Africa

    No Holding
    in
    Africa
    0.5%

    Asia Pacific

    No Holding
    in
    Asia Pacific
    0.1%

    Asia / Pacific

    No Holding
    in
    Asia / Pacific
    ×
    • 15.9%
      Citibank NA; PD: US0001M Index and if negative, the absolute value of the Total Return of the BKLN US Equity; RD: If positive, the Total Return of the
    COUNTRY United States
    STRATEGY Income Alts
    ×
    • 5.6%
      Citi PB Collateral Cash
    COUNTRY United States
    STRATEGY Alpha
    ×
    • 5.5%
      Oppenheimer Institutional Government Money Market Fund Cl. E
    COUNTRY United States
    STRATEGY Alpha
    ×
    • 5.5%
      Currency Contract ZAR/USD 6/14/17 L
    COUNTRY South Africa
    STRATEGY Alpha
    ×
    • 4.4%
      Japan Treasury Disc Bill, Series 684, ZCN%, 8/21/17
    STRATEGY Income Alts
    ×
    • 4.3%
      U.S. Treasury Bills, ZCN%, 9/07/17
    COUNTRY United States
    STRATEGY Income Alts
    ×
    • 4.2%
      Currency Contract EUR/USD 6/14/17 L
    STRATEGY Alpha, Hedges, Income Alts
    ×
    • 3.7%
      Swedish T-Bill, Series 92D, ZCN%, 7/19/17
    COUNTRY Sweden
    STRATEGY Income Alts
    ×
    • 3.5%
      Currency Contract RUB/USD 6/14/2017 L
    COUNTRY Russia
    STRATEGY Alpha
    ×
    • 3.4%
      JP Morgan PB Collateral Cash
    COUNTRY United States
    STRATEGY Alpha
    ×
    • 3.2%
      U.S. Treasury LONG BOND Futures, 20yr., 2017-09-
    COUNTRY United States
    STRATEGY Alpha
    ×
    • 3.1%
      Currency Contract JPY/USD 6/14/17 L
    STRATEGY Alpha, Income Alts
    ×
    • 2.9%
      STOXX Europe 600, 6/16/17
    STRATEGY Hedges
    ×
    • 2.8%
      Currency Contract BRL/USD 6/2/2017 L
    COUNTRY Brazil
    STRATEGY Alpha
    ×
    • 2.7%
      S&P500 Emini Futures, 6/16/17
    COUNTRY United States
    STRATEGY Alpha, Hedges
    ×
    • 2.6%
      BUONI ORDINARI DEL TES
    COUNTRY Italy
    STRATEGY Income Alts
    ×
    • 2.3%
      Mini Msci Emg Mkt, 2017-06-
    COUNTRY Multi
    STRATEGY Hedges
    ×
    • 2.2%
      Currency Contract TRY/USD 6/14/17 L
    COUNTRY Turkey
    STRATEGY Alpha
    ×
    • 1.8%
      Currency Contract GBP/USD 6/14/17 L
    STRATEGY Alpha

    Management

    Mark Hamilton

    Managed Fund since 11/13

    Dokyoung Lee, CFA

    Managed Fund since 4/14

    Ben Rockmuller, CFA

    Managed Fund since 4/14

    Alessio de Longis, CFA

    Managed Fund since 4/16

    Investment Approach

    This Strategy may help a portfolio hedge risks found in traditional asset classes. The managers seek a more attractive balance between growth, income and lower exposure to risk than any single fund can provide on its own.

    Risk Management

    Our team limits exposure to individual companies, industries and sectors, seeking to limit volatility through company quality and diversification. Risk Management Overview

    We conduct rigorous fundamental research to identify individual companies with asymmetrical risk/return opportunities. Risk Management Overview

    At the portfolio level, our experienced investment personnel closely monitor the strategy's positioning, and the active risk resulting from our security selection process and sector allocations. We evaluate factor and style exposure, as well as the ownership and liquidity profile of each security in the portfolio. Risk Management Overview

    Our team proactively manages risk by constructing diversified portfolios across sectors, industry groups and securities. We manage, monitor and limit sector weights relative to specified benchmarks and security position sizes within each portfolio. Risk Management Overview

    Our team closely monitors position size and sector weights; we have limits on active security weights against the benchmark for each strategy we manage. Risk Management Overview

    Risk is managed at the portfolio, strategy and security levels to identify diversified sources of alpha. We mainly focus on currency, interest rates and credit. Positions are sized and monitored according to established limits. Risk Management Overview

    We focus primarily on senior loans in an effort to maintain product integrity and limit duration risk. Risk Management Overview

    The team manages risk at both a strategy and individual security level to help ensure that, when combined, they act as the ballast in an investor’s overall portfolio. Risk Management Overview

    Risk is managed at the portfolio, strategy and security levels to identify diversified sources of alpha. We seek to identify primary and secondary risks of each investment. Diversification of sectors can potentially reduce volatility. Risk Management Overview

    The team manages risk by administering duration limits, limiting portfolio weighted average maturity and conducting thorough credit analysis on individual securities. Risk Management Overview

    The Rochester team has created diverse portfolios designed to mitigate the types of risks that municipal bond investors may encounter. Risk Management Overview

    The Commodities team manages risk on multiple levels, including individual commodity sector levels and overall fund level. Risk Management Overview

    The Real Estate team monitors and manages risk at the security, sector and strategy levels. Risk Management Overview

    The Global Multi-Asset Group monitors and manages risk on an ongoing basis, both at the asset class and portfolio levels. Risk Management Overview

    We emphasize capital preservation by avoiding companies that may cut distributions. We seek to build diversified portfolios comprised of energy and energy related companies with attractive risk-adjusted total return potential. Risk Management Overview

    The Alternative Strategies team evaluates risk on multiple levels, applying numerous risk analysis methods on an ongoing basis in addition to assessing risk impacts of a position prior to making investment decisions. Risk Management Overview

    Risk is monitored by quantitative risk system and managed at many levels – stock, sector, country, and style factors. We seek to diversify the portfolio across the global listed infrastructure market and adhere to an established risk framework, including constraints imposed by position limits versus a benchmark. Risk Management Overview

    We monitor and manage both security and sector weights to the underlying index to ensure that the portfolio is properly tracking its benchmark. Also, partnering with well-known index providers ensures that we hold only high quality securities that pass very stringent profitability and liquidity screens. Risk Management Overview

    ×
    1. 1. Special Risks: Alternative asset classes may be volatile and are subject to liquidity risk. Mid-sized company stock is typically more volatile than that of larger company stock. It may take a substantial period of time to realize a gain on an investment in a mid-sized company, if any gain is realized at all. Fixed income investing entails credit and interest rate risks. When interest rates rise, bond prices generally fall, and the Fund’s share prices can fall. Below-investment-grade (“high yield” or “junk”) bonds are more at risk of default and are subject to liquidity risk. Event-linked securities are fixed income securities, otherwise known as Cat Bonds, for which the return of principal and interest payment is contingent on the non-occurrence of a trigger event that leads to physical or economic loss. If the trigger event occurs prior to maturity, the Fund may lose all or a portion of its principal and additional interest. Inflation-indexed debt securities are subject to the risks associated with investments in fixed income securities. Exchange traded notes ("ETNs") are debt securities subject to credit risk. The value of an ETN is impacted by events that affect the underlying asset. The Fund may incur additional fees and expenses when investing in ETNs. Commodity-linked investments are speculative and have substantial risks, including the loss of principal. Investments in mining and metal industry companies are speculative and may be subject to volatility. Gold ETFs involve additional fees and risks. Investments in real estate companies, including REITs or similar structures, are subject to volatility and risk. Smaller real estate companies may also be subject to liquidity risk. Investing in MLPs involves additional risks as compared to the risks of investing in common stock, including risks related to cash flow, dilution and voting rights. Energy infrastructure companies are subject to risks specific to the industry such as fluctuations in commodity prices, reduced volumes of natural gas or other energy commodities, environmental hazards, changes in the macroeconomic or the regulatory environment or extreme weather. MLPs may trade less frequently than larger companies due to their smaller capitalizations which may result in erratic price movement or difficulty in buying or selling. Foreign investments may be volatile and involve additional expenses and special risks, including currency fluctuations, foreign taxes, regulatory and geopolitical risks. Emerging and developing market investments may be especially volatile. Under certain conditions, the Fund’s long positions and/or short positions may be subject to a decline in market value which may result in substantial losses. Short selling may increase volatility and risk of loss and is considered a speculative investment practice. The Fund may invest in senior floating rate loans that may be collateralized or uncollateralized. Senior loans are subject to credit, interest rate, prepayment and liquidity risk. Mortgage-related securities are subject to default risk, prepayment risk, interest rate risk, and credit risk, and may be more volatile and less liquid than other types of securities. Derivative instruments entail higher volatility and risk of loss compared to traditional stock or bond investments. Currency derivative investments may be volatile and involve significant risks. Leverage (borrowing) involves transaction and interest costs on amounts borrowed, which may reduce performance. The Fund may also invest through a wholly-owned Cayman Islands subsidiary, which involves the risk that changes to the laws of the Cayman Islands could negatively affect the Fund. Diversification does not guarantee profit or protect against loss.
    2. 2. The net expense ratio (where applicable) also takes into account contractual fee waivers and/or expense reimbursements without which performance would have been less. These undertakings may not be amended or withdrawn for one year from the date of the current prospectus, unless approved by the Board.
    3. 3. Access index definitions.
    4. 4. Holdings are subject to change, and are dollar weighted based on total net assets. Negative weightings may result from the use of leverage. Leverage involves the use of various financial instruments or borrowed capital in an attempt to increase investment return. Leverage risks include potential for higher volatility, greater decline of the fund's net asset value and fluctuations of dividends and distributions paid by the fund.
    5. A. There is no guarantee of the payment of any dividend or other distributions at any level.
    6. B. "Year to Date" returns are cumulative, not annualized, and do not reflect sales charges (if sales charges are applicable to the Fund). These returns would be lower if sales charges were taken into consideration. Short-term returns may not be indicative of longer-term performance, which should also be considered when making investment decisions.
    7. C. Daily net asset value and dollar change of the fund is as of the previous business day's closing. Fund net asset values are updated at approximately 7:00pm ET daily.
    ×
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