The Portfolio invests primarily in equity securities, principally common stocks, of small capitalization US companies. The Investment Manager considers “small cap companies” to be those companies that, at the time of initial purchase by the Portfolio, have market capitalizations within the range of companies included in the Russell 2000 Index (ranging from approximately $2.6 million to $7.9 billion as of March 31, 2023). The Portfolio typically invests in 300 to 500 companies.

Under normal circumstances, the Portfolio invests at least 80% of its assets in equity securities of small cap US companies. Equity securities also may include depositary receipts, including American Depositary Receipts (“ADRs”), Global Depositary Receipts and European Depositary Receipts. The Portfolio may invest up to 20% of its assets in other securities which need not be equity securities of small cap US companies, including investments in larger US companies and in non-US companies, including securities of emerging markets companies traded on a US exchange.

The Investment Manager will manage the Portfolio using its proprietary investment strategy that creates and applies what the Investment Manager refers to as “Insights” and employs its “Insight-driven” process to identify investments with fundamental traits the Investment Manager believes are undervalued by the market. The Investment Manager’s strategy combines fundamental and quantitative techniques into a fully systematic process—that is, the Investment Manager converts subjective criteria used to evaluate potential investments into quantitative formulas based on, among other things, market observations and testing of resulting hypotheses. The Investment Manager considers an “Insight” to be a fundamental opportunity that the Investment Manager believes can be quantified, validated and implemented systematically by the Investment Manager:

·a fundamental opportunity is a recurring market inefficiency where the Investment Manager believes that investors are not fully incorporating the impact of a company’s changing operating fundamentals and/or attractive valuations;

·the Investment Manager converts its market observation into quantified conditions utilizing proprietary process knowledge and techniques;

·a potential Insight is validated through extensive proprietary testing that includes historical data, minimum targeted return objectives and persistence hurdles;

·through each Insight, a number of securities are identified; and

·the securities selection process is implemented systematically into automated daily operations.

The Investment Manager selects investments for the Portfolio by applying its securities selection process to an investable universe of all publicly-traded equity securities, with a focus on small cap companies. However, Insights, which may change over time, may be related to the broad market or specific to a particular sector or industry. In addition, the selection process described above is not sequential, and certain criteria may be given more importance than others. Target position sizes are determined at the time of investment based on one or more Insights and subsequently monitored on an ongoing basis. To improve tax efficiency, the Portfolio may limit investments that have undesirable tax characteristics and may employ other tax-management techniques, such as adjusting the timing of trades, by relying in part on fundamental research and analytical judgements of the Investment Manager.