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The Market Momentum Index (renamed Equity Index Enhancement Strategy in this Fund) is a synthetic investment designed to diversify portfolios of traditional assets by capturing broad market trends. This Index was developed in response to clients' requests for alternative investments with equity-like returns, uncorrelated to the traditional stock and bond markets. The Index replicates an investment in a broad range of diversified global markets using a systematic, objective and the disciplined set of decision rules.

The Index is historically uncorrelated to all major equity and bond indices and has performed well in periods of equity downturn. On a risk-adjusted basis, the Index outperforms most trading-based alternative investments.

The Index is a basket index of long and short positions in bonds, currencies and real assets. The real assets include metals, petroleum and agricultural products. The Index follows the trend in each component market. Each component is weighted so that each exerts an equal volatility-adjusted influence on the Index.

There is a tendency for markets to follow long term trends, a phenomenon frequently discussed in both academic and business publications. Essentially, as long as currency, bond and real asset markets show more of a propensity to trend than a strict "random walk" model would suggest, the Index will generate excellent returns. The Index is designed to reflect the returns to trend-following in a diverse group of markets. The Index's 18 components are selected from a broad universe of available markets in the fixed-income, currency and real-asset market categories. About 40% of the Index components are currency and fixed income securities, with the balance made up of real assets.