To help give investors a better understanding of the Fund’s currency allocations, please consider the allocation chart below. To allow us to communicate the Fund’s currency allocations in as timely a manner as possible, we depict approximate currency exposure bands. This chart was most recently updated on February 1, 2012. For the most recent month end allocation, please click here.

Please note that currency exposure bands shown above are as of February 1, 2012 and may change without notice.

Model Explained

The discussion below is intended for those interested in details on how the Fund's investment process is implemented. For a more general discussion, please see the Adviser's process and prospectus.

The quantitative factors employed are grouped into different sub-strategies that we call Absolute Valuation; Absolute Momentum; Absolute Carry; and Absolute Resources. Below is a discussion of how these groups, as well as the Macro Overlay, influence the Fund’s currency allocation as of February 1, 2012:

Absolute Valuation is an analysis of purchasing power differentials across regions. Currencies favored (long positions) include: Swedish krona; disfavored currencies (short positions) include: British pound, euro, Japanese yen

Absolute Momentum is based on a trend following methodology. Currencies favored (long positions) include: Australian dollar, New Zealand dollar; disfavored currencies (short positions) include: U.S. dollar

Absolute Carry is based on an analysis of interest rate differentials. Currencies favored (long positions) include: Swedish krona; disfavored currencies (short positions) include: U.S. dollar

Absolute Resources is based on an analysis of commodities and natural resources, as well as world trade and their impact on currencies. Currencies favored (long positions) include: Japanese yen, Swiss franc; disfavored currencies (short positions) include: U.S. dollar

Macro Overlay is based on an analysis of qualitative factors, such as monetary policies pursued by central banks, economic environments and a proprietary analysis on the outlook of a country’s currency. Currencies favored (long positions) include: Australian dollar, Canadian dollar, New Zealand dollar; disfavored currencies (short positions) include: euro, Japanese yen

Note that different models may offset currency exposures; as an example, a disfavored (short) currency exposure generated by the Merk Absolute Momentum model may be more than offset by a positive (long) currency exposure generated by the Merk Absolute Carry model, or the Macro Overlay. Also note that the above discussion may not list all currencies that are favored (long) or disfavored (short). Currency exposure may change without notice.

Below is a discussion of the Fund’s key currency exposures for the month of December 2011.^†

The Fund’s largest long position during the month of December was the Japanese yen (JPY). The Absolute Momentum and Macro Overlay both favored the currency. The JPY was the best performing G10 currency during December, and the only to appreciate during the month, returning 0.92%. Hence, the long position contributed positively to overall Fund performance.

The Fund also held long positions in the Canadian dollar (CAD) and Swedish krona (SEK) during the month of December. The Macro Overlay favored a long CAD position, while the Absolute Valuation and Macro Overlay favored the SEK. Both these positions detracted from overall Fund performance, as the CAD declined 0.38% and the SEK declined 1.80% during the month

The Fund held a large short position in the Swiss franc (CHF) during the month. This position contributed to overall Fund performance, as the CHF declined 2.65% during December. The Absolute Valuation and Absolute Momentum strategies disfavored the currency, as did the Macro Overlay.

The Fund also held short positions in the British pound (GBP) and Norwegian krone (NOK) during the month of December. The Absolute Valuation and Absolute Momentum strategies disfavored both currencies, while the Macro Overlay also disfavored the GBP. Both these positions contributed positively to overall Fund performance, as the GBP declined 1.03% and the NOK declined 3.42% during the month.

For an updated general discussion of the Fund’s currency exposures, please see the Currency Allocation section.

The Fund publishes its net open forward contracts on a monthly basis. Net open forward contracts as of December 30, 2011 are shown below²:

Currency	Settlement	Percent
AUD	01/18/12	20.0%
CAD	01/18/12	-6.6%
CHF	01/18/12	-17.1%
EUR	01/18/12	-49.2%
GBP	01/18/12	-15.2%
JPY	01/18/12	-8.5%
NOK	01/18/12	-3.1%
NZD	01/18/12	4.8%
SEK	01/18/12	35.8%

The Fund publishes its security holdings on a monthly basis. Security holdings as of December 30, 2011 are shown below:

Holding	Currency	Maturity	Percent
U.S. T-Bill	USD	01/26/12	12.5%
U.S. T-Bill	USD	08/23/12	9.0%
U.S. T-Bill	USD	09/20/12	26.9%
U.S. T-Bill	USD	10/18/12	19.7%
U.S. T-Bill	USD	11/15/12	14.3%
U.S. T-Bill	USD	12/13/12	14.3%

The Fund accepts investments in the following minimum amounts:

	Minimum Initial Investment	Minimum Additional Investment
Standard Accounts	$2,500	$100
Traditional and Roth IRA Accounts	$1,000	$100

To allow investors to understand the currency contribution to overall Fund performance, please consider the performance attribution chart. The chart was most recently updated on December 07, 2011. It depicts individual currency contribution to performance for each currency invested in, along with a description of the average allocation to individual currencies (long, short, or neutral) during each specified time period. Currencies are listed in descending order, from greatest contributor to largest detractor.

 

Blue shaded currencies contributed to performance; grey shaded currencies detracted from performance; white shaded currencies neither contributed nor detracted.