Marshall Wace North America L.P. (“MWNA”, the “Company”, the “Firm”, “we”, or “us”) is a limited partnership established in Delaware in 2004. It is registered with the SEC as an investment adviser. Following a corporate restructuring, MWNA’s indirect principal owner is MW Ltd, a Cayman Island limited company. MWNA is an affiliate of Marshall Wace LLP (“MW LLP”), a limited liability partnership based in London and authorized and regulated by the United Kingdom’s Financial Conduct Authority (“FCA”), and an affiliate of Marshall Wace Asia Limited (“MWAL”), a limited company based in Hong Kong which is licensed by the Hong Kong Securities and Futures Commission (“SFC”). MWNA, MW LLP, and MWAL are under the common control of MW Ltd.

MWNA provides discretionary investment management services in accordance with its clients’ mandates. Clients are the private collective investment vehicles and separately-managed accounts it advises and sub-advises. As of 30 June 2019, MWNA had approximately $22.3 billion in regulatory assets under management (approximately $11.7 billion in net assets under management), all of which is managed on a discretionary basis.

MWNA generally focuses on trading in common equity securities, but may also trade in other equities, debt instruments, options, futures, swaps, other derivatives, private securities, and other investments and instruments. We tailor our advisory services to the individual needs of our clients by offering bespoke investment strategies that may focus on or exclude certain instruments, differ in use of leverage or benchmarks, and other such factors as mutually agreed between MWNA and the client.

MWNA may permit separately managed account clients to impose restrictions on their accounts with respect to: (1) the specific types of investments or asset classes that we will or will not purchase for their account; (2) the nature of the issuers of investments that we will or will not purchase for their account; or (3) the risk or liquidity profile of instruments we will or will not purchase for their account. Each fund managed or sub-advised by MWNA (each, a “Fund”) is governed by the terms set forth in its respective offering documents. Interests in MWNA’s Funds are not registered under the Securities Act of 1933, as amended (the “Securities Act”), and the Funds are not registered under the Investment Company Act of 1940, as amended (the “Investment Company Act”). Accordingly, interests and shares in the Funds are offered exclusively to investors satisfying the applicable eligibility and suitability requirements either in private placement transactions within the United States or in non-United States transactions. Interests in the Funds are offered in private transactions only to qualified investors and only by means of an offering memorandum. please register to get more info

Performance Compensation and Management Fees With respect to all types of clients, MWNA and/or its affiliates generally receive a management fee based on a percentage of assets under management, and incentive income based on net capital appreciation. Where MWNA is directly appointed in its role as investment manager, it generally receives a management fee not exceeding 2% per annum and an accrued performance fee or incentive allocation (paid to an affiliate) that is variable, dependent on performance but generally does not exceed 20% above a high water mark or, in one instance, a higher percentage above an equity index benchmark. Where MWNA serves as a sub-adviser or manages the assets of clients of its affiliates, a portion of those fees or allocations received by an affiliate may be paid to MWNA to compensate it for its sub-advisory role.

In limited circumstances, MWNA may negotiate specific terms of investment for certain prospective investors in the Funds that will differ from the terms applicable to other investors. When we enter into these arrangements, a rebate may be paid by MWNA to the relevant investor.

Fees are deducted and performance allocations taken from Fund assets. Management fees are automatically deducted monthly (or on such other frequency as is agreed with the relevant Fund) from each relevant Fund's account, in arrears. Performance fees, if applicable to relevant fund shares, are charged or made as at 30 September in each year. Performance fees are also generally automatically deducted on any withdrawal of capital by, or other distribution of monies to, an investor, generally subject to a loss carry-forward mechanism. In any case, performance fees charged are in compliance with the requirements of Section 205 of the Investment Advisers Act of 1940 (the “Advisers Act”) and its applicable rules.

Expenses Investors in the Funds may also bear other fees and expenses of the Funds. Such expenses include, but are not limited to: brokerage commissions and charges; all fees and expenses of transactional, risk, market data and trade-related services; all administrative expenses; fees and charges of custodians and clearing agencies; income taxes, withholding taxes, transfer taxes and other charges and duties of governments, agencies or regulatory bodies; fees and expenses of legal advisers, administrators, net asset value calculation agents, accountants and independent auditors; directors’ fees and expenses; the costs of printing and distributing any memorandum and subscription materials and any reports and notices to shareholders or prospective investors; research, database and due diligence costs and expenses, technology and other software costs and expenses; blue sky fees; insurance costs; and consulting fees and expenses and fees of other service providers. Each Fund will also bear its organizational fees and expenses. To the extent that MWNA or an affiliate initially bears any of these expenses, the Funds will generally reimburse them. Please refer to Item 12 for additional information regarding brokerage and other transaction costs, and to the relevant Funds’ PPMs or other account offering documents for additional details on fees and compensation. Other Neither MWNA nor its officers or employees accept compensation for the sale of securities or other investment products to its clients. please register to get more info

MWNA accepts performance-based compensation from every client (other than clients that are not charged performance-based compensation because they are charged through another entity in a master-feeder or similar structure). A general description of this compensation is provided in Item 5. As a result, MWNA does not face certain conflicts of interest that may arise when an investment adviser accepts performance-based compensation from some clients, but not from other clients. As a result of the loss carryforward mechanism or varying performance fee methodologies and rates, it is possible that there will be scenarios where, even among clients that are all subject to the assessment of performance compensation, one or more clients will be effectively assessed only on a fixed management fee (until the client’s net asset value satisfies any “catch up” or similar requirement). In such a case, the variation in the potential receipt of actual performance compensation among our clients may create an incentive for us disproportionately to direct the best investment ideas to, or to allocate or sequence trades in favour of, clients that are more likely to generate performance compensation from profitable investment or trading activity.

We are committed to allocating investment opportunities on a fair and equitable basis and have established an allocation policy to address the potential conflicts of interest described above. Generally, this will mean giving consideration first to each client’s requirements before placing an order (i.e. in the intended basis of allocation) and allocating on this basis after execution of the order.

A performance compensation arrangement may create an incentive for MWNA to make investments that are riskier or more speculative than would be the case in the absence of such an arrangement, particularly when our incentive fee is payable only upon making up a loss carry-forward.

At our absolute discretion, we may allow an investor who meets certain criteria to open a separately-managed account which may have different and, possibly more favorable, terms regarding such aspects as transparency.

MWNA and/or its affiliates may receive performance-based compensation with regard to unrealized and realized gains. Net capital appreciation generally includes unrealized appreciation of client assets, which may result in our receiving more incentive income than if net capital appreciation were based solely on realized gains. For the Marshall Wace Group-managed funds, MWNA’s affiliates, MW LLP and Marshall Wace Asset Management (Ireland) Limited, have responsibility for valuation of certain illiquid assets in accordance with their duties as alternative investment fund managers for the purposes of the European Union’s Alternative Investment Fund Managers Directive (“AIFMD”). Marshall Wace LLP, Marshall Wace Asset Management (Ireland) Limited and the funds’ independent board of directors have established a valuation committee (“Valuation Committee”) which approves the valuation methodology of these assets. The Valuation Committee consists of three independent directors of the Marshall Wace Group-managed funds and one representative of the Marshall Wace Group. All other assets are valued by an independent fund administrator in accordance with the constitutional documentation of the relevant Marshall Wace funds. please register to get more info

MWNA provides advisory services to private collective investment vehicles. The minimum initial capital contribution required for investment into a Fund varies according to the Fund and the class of interests. For most Marshall Wace funds, the minimum is either US$5,000,000, US$250,000 or EUR100,000 (or currency equivalent), depending on the Fund. please register to get more info

MWNA Funds under Management For most clients, the Firm’s primary objective is to deliver consistent, absolute returns from a constantly evolving investment landscape. The Firm also advises clients for whom their objective is to deliver long term capital appreciation as opposed to absolute returns. MWNA and its affiliates MW LLP and MWAL have two distinct but complementary approaches to equity long-short fund management. The first is traditional, manager-led fundamental long/short or long-only investing. The second is a process-driven strategy based on Marshall Wace’s alpha capture system, Marshall Wace TOPS (“MW TOPS”). MW TOPS is a systematic investment process that measures and extracts the latent alpha residing in the large output of contributors within the global broker community, without replicating its manpower resource or research capability.

MWNA generally focuses on trading in common equity securities, but may also trade in other equities, debt instruments, options, futures, swaps, other derivatives, private securities, and other investments and instruments. Specific investment restrictions may be identified in each Fund’s offering documents.

MW LLP is authorised as an alternative investment fund manager (an "AIFM") pursuant to the AIFMD. As AIFM, MW LLP is responsible for oversight of portfolio management activities and risk management of the Marshall Wace funds. The risk management team examines and continuously monitors pre-trade issues, portfolio construction, post-trade analytics, and proprietary and external research related to fund investments. It uses a proprietary monitoring, alerting, and tracking engine with real-time portfolio risk profiles that have been built using multiple fundamental factor and statistical based models to ensure multi-sourced risk and return. In addition, third-party risk management models are incorporated into the platform.

It should be noted that investment in securities, irrespective of strategy and risk management approach, involves risk of loss that investors should be prepared to bear. The risks inherent to the strategies employed by MWNA, including those listed in this section of our brochure, are described in further detail in the respective Fund’s offering documents.

 The MW TOPS Funds The MW TOPS strategy developed out of our conviction that the vast resource spend by brokers on investment research creates a substantial pool of alpha. We believe this alpha is poorly delivered to clients, rarely measured, and therefore remains largely unrealized. MW TOPS seeks to capture this alpha through a web-based interface with participating idea contributors. This interface enables Marshall Wace to capture, analyze and optimize ideas submitted by contributors who are mostly generalist and specialist salespeople, strategists, and independent research providers. The MW TOPS strategy trades ideas systematically selected by optimization models developed by the Firm and its affiliates, and effects additional investment opportunities chosen by the Firm and its affiliates.

The MW TOPS strategy uses an optimization and risk management process which is integral to both the portfolio construction and order management applications. In addition to the proprietary algorithms identifying behavioral characteristics, and the persistence and success factors of contributors, a large number of conventional parameters also are monitored. These include directional market exposure, Value-at-Risk (VAR), and liquidity. The resultant MW TOPS portfolios are highly liquid, scalable and diversified. Notwithstanding the highly liquid and diversified nature of the MW TOPS portfolios, as with all investment approaches, regional, sector, and market volatility can materially impact the profitability of this strategy. Risks are closely measured and controlled using Marshall Wace’s proprietary risk management platform. Certain of the MW TOPS strategies use both long and short positions, and others, long-only positions (and/or swaps to simulate either), and investments may be made on exchanges, in over-the-counter markets, and in private transactions (as permitted by the respective Fund’s offering documents). Given the high volume of idea flow and the corresponding frequency of trading, this strategy can incur higher-than-normal brokerage and other transaction costs and taxes versus other traditional investment strategies. However, trade execution costs are closely measured and controlled, in keeping with the Firm’s fiduciary and Best Execution obligations.  Manager-Led Strategies The Firm and its affiliates MW LLP and MWAL also operate a fundamental investment process that seeks to identify companies which are substantially mispriced on an absolute or relative basis. In conducting fundamental analysis, the Firm’s analysts and/or portfolio managers may review company financials and other publicly disclosed documentation, participate in company and analyst conference calls and meetings and utilize external data (e.g., Reuters, Bloomberg and other externally provided services) to supplement or contrast our own findings.

As noted above, the MW TOPS strategy utilizes ideas and opportunities developed or employed by other Firm strategies, which include the Manager-Led strategies. As the universe of Funds participating in MW TOPS strategies does not completely overlap with those participating in a given Manager-Led strategy, at times, research, ideas, and opportunities developed or employed for a given Manager-Led strategy may benefit Funds not directly utilizing a particular strategy. Conversely, fundamental strategies may benefit from additional insight into the levels of conviction and consensus in the market on our investments via the aforementioned MW TOPS system.

Manager-Led strategies use both long and short positions, and investments may be made on exchanges, in over- the-counter markets, and in private transactions (as permitted by the respective Fund’s offering documents). In evaluating potential investments as part of this strategy, the Firm may perform quantitative and qualitative analyses. It may also perform risk analyses in order to seek to isolate corporate event exposure from systematic and macro-economic risk.

The highly liquid nature and diversification of the portfolios generally protect the strategy from significant or unusual risks. However, depending on the investment focus of a particular Fund (as defined in its offering documents), Manager-Led strategies can have more concentrated exposures to a particular sector or region, and may from time to time acquire illiquid holdings (as permitted). These exposure concentrations and/or illiquid holdings may pose a material risk to the respective Fund(s). In addition, as with all investment approaches, regional, sector, and market volatility can materially impact the profitability of this strategy. Risks are closely measured and controlled using the Firm’s proprietary risk management platform.

Other Risks The prospectuses of the Funds include the following detailed risk factors, as appropriate to each Fund:

General Risk. The Funds will be making Investments selected by MWNA in accordance with their respective investment objectives and policies. The value and income from shares relating to each Fund, will therefore be closely linked to the performance of such Investments. Investments made by MWNA will be speculative and an investment in a Fund, therefore, involves a degree of risk. There is no guarantee that the investment objective of a Fund, or its risk monitoring, will be achieved, and results may vary substantially over time. An investment in each Fund involves a high degree of risk and is only suitable for sophisticated investors. The value of Investments and the income from them, and therefore the value of and income from shares relating to each Fund, can go down as well as up and an investor may not get back the amount he invests. Changes in exchange rates between currencies or the conversion from one currency to another may also cause the value of the investments to diminish or increase. Amortisation of Organisational Costs. A Fund's financial statements are prepared in accordance with International Financial Reporting Standards (“IFRS”). IFRS restrict the amortisation of organisational costs. Notwithstanding this, the directors of the Funds may amortise the organisational costs of a Fund over a period of time and a Fund's financial statements may be qualified in this regard. Availability of Credit. Borrowings and/or the employment of other means of obtaining leverage, may be an integral part of a Fund's strategies and may include the use of margin financing arrangements, involving the provision of cash, securities or other forms of margin, in connection with, among other things, over-the-counter (“OTC”) derivatives, exchange-traded futures and options, repurchase agreements, stock loan agreements, credit lines made available by banks, brokers or other dealers (each a "Broker"), some of which may themselves include embedded leverage. There can be no assurance that a Fund will be able to maintain adequate financing arrangements under all market circumstances. The use of such arrangements result in certain additional risks to a Fund. A Fund could be subject to a "margin call", pursuant to which it must either deposit with the Broker additional collateral, in the form of cash or other assets, or risk being subject to liquidation of some or all collateral. A "margin call" may usually be made at the discretion of the relevant Broker, even if collateral previously provided has not declined in value, or the risk characteristics of the relevant positions have not changed. In the event of a large margin call, MWNA might not be able to liquidate assets quickly enough to meet the margin requirement. In such a case, the relevant Broker may be entitled to liquidate assets, or otherwise terminate positions, of a Fund, in its sole discretion, in order to satisfy such margin requirement or reduce its exposure to the Fund.

As a general matter, Brokers that provide financing to a Fund usually have wide discretion as to such matters as margin requirements, "haircuts", the provision and continued provision of financing and collateral valuation policies. Brokers could, therefore, change their approaches in these and other respects, either generally, or in respect of one or more Funds, at any time, and for any reason, including a change in market circumstances, government, regulatory or judicial action or simply a change in the risk-appetite or business priorities. Such changes of approach by Brokers could result in large margin calls, loss of financing, and forced liquidations of positions, including derivatives positions, at disadvantageous prices. Any such adverse effects may be exacerbated in the event that such limitations or restrictions are imposed suddenly and/or by multiple market participants concurrently. A failure of a Fund to comply with changed Broker requirements can, of itself, amount to a default (cross-default) under its arrangements with other Brokers, which may, in turn result in forced liquidation of positions held with or through those other Brokers.

Availability of Investment Strategies. The success of the investment activities of a Fund will depend in part on MWNA's ability to identify overvalued and undervalued investment opportunities and to exploit price discrepancies in the financial markets, as well as to assess the import of news and events that may affect the financial markets. Identification and exploitation of the investment strategies to be pursued by a Fund involves a high degree of uncertainty. No assurance can be given that MWNA will be able to locate suitable investment opportunities in which to deploy all of the assets of a Fund or to exploit such price discrepancies. A reduction in market liquidity (including money market liquidity) or the pricing inefficiency of the markets in which a Fund seeks to invest, as well as other market factors, may reduce the scope for that Fund's investment strategies.

A Fund may be adversely affected by unforeseen events involving such matters as changes in interest rates, exchange rates or the credit status of an issuer, forced redemptions of securities or acquisition proposals, break- up of planned mergers, unexpected changes in relative value, short squeezes, inability to short stock or changes in tax treatment. Brexit. On 29 March 2017, the United Kingdom triggered the procedures to withdraw from the European Union after the two year period settlement negotiation as prescribed in Article 50 of the Treaty of Lisbon. However, the process has now extended beyond the two year period. This ongoing withdrawal process could cause an extended period of uncertainty and market volatility, not just in the United Kingdom but throughout the EU, the EEA and globally. The longer term impact of the decision to leave the EU on the UK regulatory framework will depend, in part, on the relationship that the UK will seek to establish with the EU in the future. In particular, it is uncertain whether and how UK laws that incorporate EU directives may be modified in the future and whether UK firms (such as MW LLP) will continue to have the benefit of certain rights to conduct cross border business within the EU. It is not possible to ascertain the precise impact the United Kingdom's departure from the EU may have on a Fund or MWNA from an economic, financial or regulatory perspective but any such impact could have material consequences for a Fund and/or MWNA. Business Risk. There can be no assurance that a Fund will achieve its investment objective. The investment results of each Fund are reliant upon the success of MWNA. CFDs and Swaps, including Total Return Swaps and Credit Default Swaps. The risks inherent in contracts for differences (“CFD”) and equity swaps are dependent on the position that a Fund may take in the transaction: by utilising CFDs and equity swaps, a Fund may put itself in a “long” position on the underlying value, in which case the Fund will profit from any increase in the underlying stock, and suffer from any fall. The risks inherent in a “long” position are identical to the risks inherent in the purchase of the underlying stock. Conversely, a Fund may put itself in a “short” position on the underlying stock, in which case the Fund will profit from any decrease in the underlying stock, and suffer from any increase. The risks inherent in a “short” position are greater than those of a “long” position: while there is a ceiling to a maximum loss in a “long” position if the underlying stock is valued at zero, the maximum loss of a “short” position is that of the increase in the underlying stock, an increase that, in theory, is unlimited. It should be noted that a “long” or “short” CFD or equity swap position is based on MWNA’s opinion of the future direction of the underlying security. The position could have a negative impact on the Fund’s performance. However, there is an additional risk related to the counterparty when CFDs and equity swaps are utilised: the Fund runs the risk that the counterparty will not be in a position to make a payment to which it has committed. MWNA will ensure that the counterparties involved in this type of transaction are carefully selected and that the counterparty risk is limited and strictly controlled.

Whether a Fund’s use of swap agreements and options on swap agreements will be successful will depend on MWNA’s ability to correctly predict whether certain types of investments are likely to produce greater returns than other investments. Because they are two-party contracts and because they may have terms of greater than seven days, swap agreements may be considered to be illiquid investments. Moreover, a Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. The swaps market is a relatively new market and is largely unregulated. It is possible that developments in the swaps market, including potential government regulation, could adversely affect a Fund’s ability to terminate existing swap agreements or to realise amounts to be received under such agreements. Swaps used by the Funds will be consistent with the investment policy of the relevant Fund as set out in the relevant supplement to the prospectus.

Transactions in over-the-counter derivatives, such as credit derivatives, may involve additional risk as there is no exchange market on which to close out an open position.

China-Related Risks China's Economic, Political, and Social Conditions, and Government Policies. Many of the investments of a Fund may be located in or exposed to markets in the People’s Republic of China (“China”, for the purposes of this risk factor).

The economy of China differs from the economies of most developed countries in many respects, including government involvement, level of development, growth rate, control of foreign exchange and allocation of resources. The economy of China has been transitioning from a planned economy to a more market-oriented economy. Although in recent years the Chinese government has implemented measures emphasising the utilisation of market forces for economic reform, the reduction of state ownership of productive assets and the establishment of sound corporate governance in business enterprises, a substantial portion of productive assets in China is still owned by the Chinese government. In addition, the Chinese government continues to play a significant role in regulating industry development. It also exercises significant control over China's economic growth through the allocation of resources, controlling payment of foreign currency-denominated obligations, setting monetary policy and providing preferential treatment to particular industries or companies. MWNA have no control over potential state policies and decisions and may be unable to anticipate such policies and decisions which could adversely affect the value of a sub-trust, including significant loss of capital. In addition, there is a possibility of expropriation, confiscatory taxation, imposition of withholding or other taxes on income, limitations on the removal of funds or other assets of a relevant sub-trust, political or social instability or diplomatic developments that could adversely affect investments in China. Recent growth in industrial production and gross domestic product has made many developing countries, particularly China, disproportionately large users of commodities and has increased the extent to which commodity prices are dependent on the markets of such countries.

The regulatory and legal framework for capital markets and companies in China may not be as well developed as those of developed countries. In addition, China’s disclosure and regulatory standards are in many respects less stringent than and/or may deviate significantly from standards in many developed countries. There may be less publicly available information about Chinese companies than is regularly published by or about companies based in developed countries and such information as is available may be less reliable than that published by or about companies in developed countries. Chinese companies are subject to accounting standards and requirements that differ in significant respects from those applicable to companies established or listed in developed countries. As a result, the lower levels of disclosure and transparency of certain material information may impact on the value of investments made by a relevant sub-trust and may lead to such sub-trust or its service providers coming to an inaccurate conclusion about the value of its investments.

Investors should also be aware that changes in China’s taxation legislation could affect the amount of income which may be derived, and the amount of capital returned, from the investments of a sub-trust. Laws governing taxation will continue to change and may contain conflicts and ambiguities and be subject to retroactive review. In addition, a sub-trust’s operations and financial results could be adversely affected by adjustments in China’s state plans, political, economic and social conditions, changes in the policies of the Chinese government such as changes in laws and regulations (or the interpretation thereof), measures which may be introduced to control inflation, changes in the rate or method of taxation, imposition of additional restrictions on currency conversion and the imposition of additional import restrictions.

Furthermore, a portion of the economic activity in the China is export-driven and, therefore, is affected by developments in the economies of China’s principal trading partners.

Government Intervention and Suspensions of Trading. In 2015 the Chinese authorities took a significant series of steps to intervene directly and indirectly in China A shares. Such government intervention had a material impact on market liquidity and in the prices of individual stocks and of China A shares as a whole. There is a perception amongst some market participants that the Chinese government will continue to intervene in the markets, actively. In 2015 government intervention included imposing restrictions on certain shareholders selling China A shares and a crackdown on “malicious” short sellers. Whether as a result of government intervention or otherwise, a large number of China A-listed companies also suspended trading, sometimes for lengthy periods of time. Such government intervention and any restrictions on selling shares could reduce market confidence and liquidity and increase market volatility. Such interventions and restrictions are by nature unpredictable and may have a direct negative impact on a sub-trust to the extent that a sub-trust may be restricted or prevented from valuing or exiting from exposure to shares which have been suspended or from which government intervention prevents shareholders from selling shares. Suspension of Trading of Chinese Securities as a Cause for Suspension of Determination of net asset value. In recent years large numbers of Chinese stocks have been suspended from trading, sometimes for long periods and often without initially providing any explanation as to why the suspension has been effected. In circumstances where a sub-trust holds significant Chinese positions, such suspension events may make it difficult accurately to value the sub-trust’s portfolio and in such circumstances the directors of the Fund may consider suspending the determination of the net asset value of a Fund, a sub-trust or a class account. Shares may not be redeemed during any such suspension event, as more fully-described under "Net asset value—Suspension". Limited Access to Chinese Equities. Investors should be aware that investment in China A shares may only be available to a sub-trust via the following means: 1. via OTC derivatives entered into with OTC swap counterparties who have (or whose affiliates have) obtained Qualified Foreign Institutional Investor (“QFII”) status in China; and 2. via OTC derivatives entered into with OTC swap counterparties who have (or whose affiliates have) access to China A shares via the Shanghai-Hong Kong Stock Connect program (“Stock Connect”). The sub-trust may not have any other access to China A shares. Access on swap via QFII allocations and via Stock Connect each carries significant risks to a sub-trust, as further detailed below, in addition to all the risks detailed in the Risk Factors relating to OTC swap contracts including CFDs.

QFII Risks. Foreign investors can invest in China A shares through institutions that have obtained QFII status in China. The current QFII regulations impose strict restrictions (including rules on investment restrictions, minimum investment holding period as well as remittance and repatriation of principal and profits) on China A share investment. A swap counterparty may not be able to freely repatriate principal and profits from China, there may be potential lock-up periods imposed for repatriation. Under the terms of the relevant OTC swap between the sub- trust and the swap counterparty, the sub-trust may suffer losses as a consequence. The restrictions on, or the delays in, the repatriation of principal and profits may therefore have an unfavourable impact on the sub-trust. In extreme circumstances, the sub-trust may incur losses due to limited investment opportunities, or may not be able to fully implement or pursue its investment objectives or strategy, due to QFII investment restrictions, illiquidity of the China A shares market, and/or delay or disruption in execution of trades or in settlement of trades. The uncertainty and change of the laws, policies and regulations in China may adversely impact the sub-trust. The QFII policy and regulation may also be subject to change with potential retrospective effect. Such sub-trust will be exposed to any fluctuation in the exchange rate between the base currency of the relevant sub-trust and the Renminbi in respect of such investments. Renminbi is not freely convertible and is subject to policies of exchange controls and repatriation restrictions. There is no assurance that Renminbi will not be subject to devaluation or revaluation or that shortages in the availability of foreign currency or liquidity of currency hedging instruments (physical or synthetic) will not develop. The sub-trusts will be dependent on swap counterparties being willing to use portions of their QFII quotas for the purposes of facilitating access to China A shares for the sub-trusts and there can be no guarantee that a swap counterparty will continue to make facilitate such access. As QFII regulations are subject to change, a sub-trust could lose QFII access to China A shares at short or no notice.

Stock Connect. A sub-trust may invest and have access to certain eligible China A shares via OTC derivatives referencing securities traded via the Stock Connect. The Stock Connect is a securities trading and clearing linked program developed by Hong Kong Exchanges and Clearing Limited (“HKEx”), Shanghai Stock Exchange (“SSE”) and China Securities Depository and Clearing Corporation Limited (“ChinaClear”), with an aim to achieve mutual stock market access between China and Hong Kong. The Stock Connect comprises a Northbound Trading Link (for investment in China A shares) by which swap counterparties or their affiliates, for the purposes of facilitating China A shares access for a sub-trust, may be able to place orders to trade eligible shares listed on SSE. Under the Stock Connect, overseas investors (including the swap counterparties or their affiliates) may be allowed, subject to rules and regulations issued / amended from time to time, to trade China A shares listed on the SSE through the Northbound Trading Link. Further information about the Stock Connect is available online at the website: http://www.hkex.com.hk/eng/market/sec_tradinfra/chinaconnect/chinaconnect.htm. In addition to the risks associated with the Chinese market and risks related to investments in RMB, investments through the Stock Connect are subject to additional risks, namely, quota limitations, suspension risk, operational risk, restrictions on selling imposed by front-end monitoring, recalling of eligible stocks, clearing and settlement risks, nominee arrangements in holding China A shares and regulatory risk. Stock Connect Quota Limitations and Re-call of Eligible Stocks. The Stock Connect is subject to quota limitations on investments, which may restrict a sub-trust’s ability to access China A shares through the Stock Connect on a timely basis. A stock may also be recalled from the scope of eligible stocks, meaning that the stock can be sold but no longer purchased. This could have a negative impact on a sub-trust’s portfolio. Stock Connect Suspension Risk. Both the Stock Exchange of Hong Kong Limited (“SEHK”) and SSE reserve the right to suspend trading if necessary for ensuring an orderly and fair market and managing risks prudently which could adversely affect the relevant funds’ ability to access the China A shares market. Differences in trading day The Stock Connect only operates on days when both China and Hong Kong markets are open for trading and when banks in both markets are open on the corresponding settlement days. So it is possible that there are occasions when it is a normal trading day for the China market but Hong Kong investors (such as a sub-trust’s swap counterparties) cannot carry out any China A shares trading. The sub-trusts may be subject to a risk of price fluctuations in China A shares during the time when the Stock Connect is not trading as a result. Stock Connect Restrictions on Selling Imposed by Front-end Monitoring. China regulations require that before an investor sells any share, there should be sufficient shares in the account; otherwise SSE will reject the sell order concerned. SEHK will carry out pre-trade checking on China A shares sell orders of its participants (i.e., the stock brokers) to ensure there is no over-selling. This may limit a sub-trust’s ability to implement its investment decisions on a timely basis.

Stock Connect Clearing and Settlement Risks. The Hong Kong Securities Clearing Company Limited, a wholly- owned subsidiary of HKEx ("HKSCC") and ChinaClear establish the clearing links and each is a participant of each other to facilitate clearing and settlement of cross-boundary trades. As the national central counterparty of China’s securities market, ChinaClear operates a comprehensive network of clearing, settlement and stock holding infrastructure. ChinaClear has established a risk management framework and measures that are approved and supervised by the China Securities Regulatory Commission (“CSRC”). The chances of ChinaClear default are considered to be remote. Should the remote event of ChinaClear default occur and ChinaClear be declared as a defaulter, HKSCC will in good faith, seek recovery of the outstanding stocks and monies from ChinaClear through available legal channels or through ChinaClear’s liquidation. In that event, the relevant sub-trust(s), under its OTC swap terms, may suffer delay in the recovery process or may not be able to recover its losses, in whole or in part.

Stock Connect Nominee Arrangements in Holding China A shares. HKSCC is the “nominee holder” of the SSE securities acquired by overseas investors (including the relevant sub-trust(s)) through the Stock Connect. The CSRC Stock Connect rules expressly provide that investors enjoy the rights and benefits of the SSE securities acquired through the Stock Connect in accordance with applicable laws. However, the courts in China may consider that any nominee or custodian as registered holder of SSE securities would have full ownership thereof, and that even if the concept of beneficial owner is recognized under Chinese law those SSE securities would form part of the pool of assets of such entity available for distribution to creditors of such entities and/or that a beneficial owner may have no rights whatsoever in respect thereof. Consequently, the relevant swap counterparties cannot ensure that their ownership of these securities or title thereto is assured in all circumstances and under the terms of any OTC swap contract, a sub-trust may suffer losses as a result.

Stock Connect Regulatory Risk. The CSRC Stock Connect rules are departmental regulations having legal effect in China. However, the application of such rules is untested, and there is no assurance that Chinese courts will recognise such rules, e.g. in liquidation proceedings of Chinese companies. The Stock Connect is novel in nature, and is subject to regulations promulgated by regulatory authorities and implementation rules made by the stock exchanges in China and Hong Kong. Further, new regulations may be promulgated from time to time by the regulators in connection with operations and cross-border legal enforcement in connection with cross-border trades under the Stock Connect. The regulations are untested so far and there is no certainty as to how they will be applied. Moreover, the current regulations are subject to change. There can be no assurance that the Stock Connect will not be abolished. The relevant sub-trusts which may invest in the Chinese markets through Stock Connect may be adversely affected as a result of such changes. The Chinese Legal System. The Chinese legal system is based on written statutes. Prior court decisions may be cited for reference, but have limited precedential value. Since 1979, the Chinese government has promulgated laws and regulations dealing with financial and economic matters such as foreign investment, financing and provision of security, corporate organisation and governance, commerce, taxation and trade. As such, many of the laws that govern private and foreign investment, securities transactions, creditors' rights, intellectual property rights and contractual and other relationships in China are relatively new, unclear, unproven and continue to evolve, at times in an uncertain manner. As a result, the relevant sub-trust may be subject to a number of unusual risks related to laws and regulations, particularly those involving taxation, foreign investment, trade, title to property, securities, transfer of title and protection of intellectual property. Such sub-trusts may be subject to inadequate investor protection, contradictory legislation (particularly between local, regional and national laws), incomplete, unclear and changing laws, a lack of established or effective avenues for legal redress, including an underdeveloped judicial system, a lack of standard practices and confidentiality customs characteristic of developed markets and a lack of enforcement of existing regulations. Accordingly, there may be difficulty and uncertainty in such sub-trust's ability to protect and enforce its rights against Chinese state and private entities in China.

Renminbi Exchange Risk. The Renminbi ("RMB") is subject to a managed floating exchange rate based on market supply and demand with reference to a basket of foreign currencies. The daily trading price of the RMB against other major currencies in the inter-bank foreign exchange market is currently allowed to float within a narrow band around the central parity published by the People's Bank of China. As the exchange rates are based primarily on market forces, the exchange rates for RMB against other currencies, including US dollars and Hong Kong dollars, are susceptible to movements based on external factors. It should be noted that the RMB is currently not a freely convertible currency as it is subject to foreign exchange control policies of the Chinese government. The RMB has been recently devalued by the Chinese authorities, and there can be no assurance that the RMB will not be subject to significant appreciation and/or devaluation events in the future, for reasons including, but not limited to, market forces and governmental intervention. Any such event for the RMB may adversely affect the value of a sub-trust's investments. Investors whose base currency is not the RMB may be adversely affected by changes in the exchange rates of the RMB. Further, the Chinese government’s imposition of restrictions on the repatriation of RMB out of China may limit the depth of the RMB market in Hong Kong and reduce the liquidity of a sub-trust. The Chinese government’s policies on exchange control and repatriation restrictions are subject to change, and a relevant sub-trust’s position may be adversely affected.

Currency Conversion Risk. Currently, the RMB is traded in two markets: one in mainland China, and one outside mainland China (primarily in Hong Kong). The RMB traded in mainland China is not freely convertible and is subject to exchange controls and certain requirements by the government of mainland China. The RMB traded outside mainland China, on the other hand, although freely tradable, is still subject to controls, limits and availability. While the RMB is traded freely outside mainland China, the RMB spot, forward foreign exchange contracts and related instruments reflect the structural complexities of this evolving market. Accordingly, a relevant sub-trust may be exposed to greater foreign exchange risks.

Investments acquired by a sub-trust may be denominated in or have exposure to RMB and investors may be exposed to foreign exchange fluctuations between the RMB and the relevant currency of their shares and may suffer losses arising from such fluctuations. The RMB is the only official currency of China. While both onshore Renminbi (CNY) and offshore Renminbi (CNH) are the same currency, they are traded in different and separated markets. Since the two Renminbi markets operate independently where the flow between them is highly restricted, CNY and CNH are traded at different rates and their movement may not be in the same direction. There may be significant bid and offer spreads. The CNH rate may be at a premium or discount to the exchange rate for CNY rate.

Chinese Credit Rating Agencies. A sub-trust may have exposure to securities the credit ratings of which are assigned by the Chinese local credit rating agencies. However, the rating criteria and methodology used by such agencies may be different from those adopted by most of the established international credit rating agencies. Therefore, such rating system may not provide an equivalent standard for comparison with securities rated by international credit rating agencies. A sub-trust may invest in securities which are rated at or above investment grade by local credit rating agencies although the same rating may not be given using the standard rated by international credit rating agencies. As a result, if such debt securities are rated below investment grade based on the standard of international credit rating agencies, such sub-trust may be exposed to higher risks associated with below investment grade securities. Severe Acute Respiratory Syndrome and Avian Flu. In December 2002, China and certain other countries experienced an outbreak of a new and highly contagious form of atypical pneumonia now known as severe acute respiratory syndrome. In January 2004, China announced that it had a confirmed outbreak of a highly pathogenic strain of avian flu. MWNA cannot predict at this time the effect further outbreaks of these or other contagious diseases or illnesses could have on a sub-trust. Such outbreaks may severely restrict the level of economic activity in affected areas, which may also adversely affect a relevant sub-trust's operations and success. Natural Disasters. In recent years, China and other Asian countries have experienced a series of natural disasters including tsunamis, floods and earthquakes. Such natural disasters may affect the value of the assets held by a sub-trust.

Volatility. Chinese equities markets are highly volatile. In 2015 the daily volatility over any monthly period of the benchmark exceeded five times the level seen by the MSCI Daily TR Net World Index, a global developed equity markets index. Downside risk from high volatility includes large performance drawdowns, as demonstrated by the benchmark which lost in excess of 30% over 18 trading days between 12th June 2015 and 8th July 2015. Movements in equity prices are influenced by amongst other things: government trade, fiscal, monetary and exchange control programmes and policies; national and international political and economic events; fluctuations in commodity prices; and changes in interest rates. In addition, the Chinese government from time to time intervenes, directly and by regulation, in the equities markets and foreign exchange markets with the specific intention of influencing equity prices and exchange rates. A sub-trust may be exposed to adverse changes in its net asset value as a result of these factors.

Clearing House Protections. On some exchanges, the performance of a transaction by a broker (or third party with whom it is dealing on a Fund's behalf) is "guaranteed" by the exchange or clearing house or its members. However, this guarantee is unlikely in most circumstances to cover a Fund and may not protect a Fund if a broker or another party defaults on its obligations to a Fund. There is normally no clearing house for off-exchange instruments, which are not traded under the rules of a recognised or designated investment exchange, and, even where facilities are available for clearing of such instruments (OTC clearing), a Fund might not use them.

Commodity-Related Instruments. A Fund may make investments linked to commodities. The performance of a commodity, and consequently investments linked to such commodity, is dependent upon various factors, including (without limitation) supply and demand, liquidity, weather conditions and natural disasters, direct investment costs, location, changes in tax rates and changes in laws, regulations and the activities of governmental or regulatory bodies. Commodity prices tend to be more volatile than most other asset categories, making investments in commodities more risky and more complex than other investments.

The production and marketing of commodities may be affected by actions and changes in governments. In addition, commodity-related instruments may be cyclical in nature. During periods of economic or financial instability, commodity-related instruments may be subject to broad price fluctuations, reflecting volatility of energy and basic material prices and possible instability of supply of various commodities. Commodity-related instruments may also experience greater price fluctuations than the relevant commodity. In periods of rising commodity prices, such instruments may rise at a faster rate; and conversely, in times of falling commodity prices, such instruments may suffer a greater price decline. A Fund may seek to gain exposure indirectly to the commodity markets by investing in swap agreements on a commodities index, and may also invest in other derivatives giving exposure to commodities indices (for instance options on commodity indices). The value of a commodity-linked derivative investment generally is based upon the price movements of a physical commodity (such as energy, mineral or agricultural products), a commodities index futures contract or commodity index, or other economic variable based upon changes in the value of commodities or the commodity markets. The risk of loss in trading commodities can be substantial. If a Fund purchases a commodities index option, it may sustain a total loss of the premium and of all transaction costs. If a Fund purchases or sells a commodities index futures contract or sells a commodity index option, it may sustain a total loss of the initial margin funds and any additional funds that it deposits with its broker to establish or maintain its position. If the market moves against its position, the Fund may be called upon by its broker to deposit a substantial amount of additional margin funds, on short notice, in order to maintain its position. If it does not provide the requested funds within the prescribed time, its position may be liquidated at a loss, and it will be liable for any resulting deficit in its account. Concentration of Investments. A Fund may: (i) invest in a few relatively large positions (in relation to its capital); (ii) invest in many different positions that have a high degree of correlation between them; (iii) identify a limited number of investment themes; (iv) invest a large amount in an individual security issuer; and/ or (v) have exposure to a single counterparty. In the event that a Fund makes investments as set out herein or in the relevant supplement of a Fund and there is an adverse market move or a counterparty failure, a Fund may incur a material loss. Accordingly, investors should be aware of the possibility that there may be little or no diversification of risk and that the return on their investment may depend entirely on the performance or creditworthiness of any one position and/ or a single security or issuer or counterparty.

Contracts for Differences. A Fund may invest in contracts for differences ("CFDs"), which are privately negotiated contracts between two parties, buyer and seller, stipulating that the seller will pay to or receive from the buyer the difference between the nominal value of the underlying instrument at the opening of the contract and that instrument's value at the end of the contract. The underlying instrument may be a single security, stock basket or index. A CFD can be set up to take either a short or long position on the underlying instrument. The buyer and seller may both be required to post margin, which is adjusted daily. The buyer will also pay to the seller a financing rate on the notional amount of the capital employed by the seller less the margin deposit. A CFD is usually terminated at the buyer's initiative, but the seller may have a right in certain circumstances to terminate the CFD and may also have a right to restrict termination by the buyer and/or delay payment of profits and losses from the CFD. As is the case with owning any financial instrument, there is the risk of loss associated with buying a CFD. There may be liquidity risk if the underlying instrument is illiquid because the liquidity of a CFD is based on the liquidity of the underlying instrument. A further risk is that adverse movements in the underlying security will require the buyer to post additional margin. CFDs also carry counterparty risk, i.e., the risk that the counterparty to the CFD transaction may be unable or unwilling to make payments or to otherwise honour its financial obligations under the terms of the contract. If the counterparty were to do so, the value of the contract, and of the shares of the relevant Fund, may be reduced. The counterparty may also withhold payments in connection with tax, foreign exchange disruption and other issues and may seek to claw-back retrospectively tax and other liabilities incurred by it or its affiliates in hedging the CFD.

Convertible Securities. The convertible securities in which the Funds may invest consist of bonds, notes, debentures and preferred stocks which may be converted or exchanged at a stated or determinable exchange ratio into underlying shares of common stock. Convertible securities may offer higher income than the common stocks into which they are convertible. A Fund may be required to permit the issuer of a convertible security to redeem the security, convert it into the underlying common stock, or sell it to a third party. The convertible securities in which the Funds may invest may embed derivatives and/or leverage.

A Fund with convertible securities may not be able to control whether the issuer of a convertible security chooses to convert that security. If the issuer chooses to do so, this action could have an adverse effect on a Fund’s ability to achieve its investment objective because the issuer may force conversion before the Fund would otherwise choose. While some countries or companies may be regarded as favourable investments, pure fixed income opportunities may be unattractive or limited due to insufficient supply, or legal or technical restrictions. In such cases, a Fund may consider convertible securities or equity securities to gain exposure to such investments. Counterparty Risk. A Fund and each Fund will be subject to the risk of the inability of any counterparty (including, where relevant, the prime brokers and sub-custodians) to perform their financial and other obligations, including with respect to transactions, whether due to such counterparty's own insolvency or that of others, or for other reasons, which may include market illiquidity or disruption or other causes and whether resulting from systemic or other causes. Some of the markets in which a Fund may effect transactions are "over-the-counter" or "interdealer" markets. The participants in such markets are typically not subject to the same credit evaluation and regulatory oversight as are members of "exchange-based" markets. In addition, many of the protections afforded to participants on some organised exchanges, such as the performance guarantee of an exchange clearing house, might not be available in connection with such "over-the-counter" transactions. This could expose the relevant Fund to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, and such failure may cause the Fund to suffer a loss. Such "counterparty risk" is accentuated for contracts with longer maturities where there is greater opportunity for events to intervene to prevent performance of obligations, or where a Fund has concentrated its transactions with a single or small number of counterparties. Subject to the investment restrictions, none of MWNA are restricted from dealing with any particular counterparty or from concentrating any or all of the relevant Fund's transactions with one counterparty. Moreover, none of MWNA have a formal credit function, which evaluates the creditworthiness of the relevant Fund's counterparties. The ability of a Fund to transact business with any one or number of counterparties, the lack of any meaningful and independent evaluation of such counterparties' financial capabilities and the absence of a regulated market to facilitate settlement may increase the potential for losses to a Fund.

Credit Default Swaps. Each Fund may enter into credit default swaps. A credit default swap is a contract between two parties which references the credit risk of an entity (the "Reference Entity") for a defined period whereby if there is a Credit Event (defined below) then the seller of protection either (i) pays to the buyer of protection an amount equal to the difference between the face amount and the current market value of the relevant debt security of the Reference Entity or (ii) pays to the buyer of protection an amount equal to the face amount of the relevant debt security and receives delivery of any permitted relevant debt security of the Reference Entity. A "Credit Event" is commonly defined as the Reference Entity (i) failing to pay principal or interest when due, (ii) restructuring its debt, (iii) accelerating its debt or (iv) entering bankruptcy. The buyer of credit protection pays a premium to the seller of credit protection until the earlier of a Credit Event or the scheduled termination date of the credit default swap. Credit default swaps can be used to implement MWNA's view that a particular credit, or group of credits, will experience credit improvement or credit deterioration. In the case of expected credit improvement, a Fund may sell credit default protection in which it receives a premium to take on the risk. In such an instance, the obligation of a Fund to make payments upon the occurrence of a Credit Event creates leveraged exposure to the credit risk of the Reference Entity. In the case of expected credit deterioration, a Fund may buy credit default protection; in such an instance, such Fund will pay a premium. The parties to a credit default swap may have no or limited rights to terminate the swap early and it may be difficult or impossible to assign a party's interest and obligations under the swap, particularly in times of market disruption.

Cross Liabilities. Although steps have been taken to avoid the assets of a Fund becoming available to creditors of another Fund, the liabilities of which exceed its assets, there is no guarantee that such steps will prove effective. The assets of any Fund may therefore be exposed to the liabilities of other Funds. Although the articles of association require the establishment of separate class accounts for each class and the attribution of assets and liabilities to the relevant class account, if the liabilities of a class exceed its assets, creditors of a Fund may have recourse to the assets attributable to the other classes. As at the date of this document, the directors of the Funds are not aware of any such existing or contingent liability.

Currency Exposure. Noting that foreign exchange hedging techniques may not be completely effective, where the currency exposure of a Fund is not fully hedged or where MWNA operates a policy of not hedging the currency exposure of a Fund to currencies other than its base currency, the value of the assets of the Fund may be affected favourably or unfavourably by fluctuations in currency rates. To the extent that any hedging policy is successful, performance of the class is likely to move in line with the performance of the underlying assets and investors in a hedged class will not benefit if the class currency falls against the base currency of the Fund. Furthermore, prospective investors whose assets and liabilities are predominantly in other currencies should take into account the potential risk of loss arising from fluctuations in value between the relevant base currency and such other currencies. Performance of a Fund may be strongly influenced by movements in foreign exchange rates because currency positions held by a Fund may not correspond with the securities positions held. Currency Options and Futures Trading. The Funds may buy and sell foreign currency options and / or foreign currency futures and may engage in foreign currency transactions either on a spot or forward basis, subject to the limits and restrictions set down by the relevant regulator from time to time, to reduce the risks of adverse market changes in exchange rates or to increase exposure to foreign currencies or to shift exposure to foreign currency fluctuations from one country to another. A Fund may acquire and sell currency options, the value of which depend significantly upon the likelihood of favourable price movements in the underlying currency in relation to the exercise (or strike) price during the life of the option. Many of the risks applicable to trading the underlying currencies are also applicable to over-the-counter options trading. In addition, there are a number of other risks associated with the trading of options, including those arising from the leverage effect of options trading, their asymmetric risk profile and difficulties of pricing. Whereas the purchaser of an option may at worst lose his entire investment (the premium he pays), where the option expires out of the money, the seller of an option may lose many times the premium originally received, where the option expires in the money. Also, such transactions may not be successful and may eliminate any chance for a Fund to benefit from favourable fluctuations in relevant foreign currencies. A Fund may use one currency (or a basket of currencies) to hedge against adverse changes in the value of another currency (or a basket of currencies) when exchange rates between the two currencies are positively correlated.

Debt Securities. A Fund may invest in debt securities, which may be unrated by a recognised credit-rating agency or below investment grade and which are may be subject to greater risk of loss of principal and interest than rated or investment grade debt securities. Even among securities considered investment grade, differences exist in credit quality and other risk characteristics, and a position in some investment grade debt securities may be highly speculative. A security's price may be adversely affected by the market's opinion of the issuer's credit quality, even if the issuer has suffered no actual degradation in ability to honour the obligation. A Fund may invest in debt securities that rank junior to other outstanding securities and obligations of the issuer, all or a significant portion of which may be secured on substantially all of that issuer's assets. A Fund may invest in debt securities that do not include financial covenants or limitations on additional issuer indebtedness. Investments in debt securities are generally subject to credit, liquidity and interest rate risks. In addition, evaluating credit risk for debt securities involves uncertainty, partly because credit rating agencies throughout the world have different standards, making comparison across countries difficult. Also, the market for credit spreads is often inefficient and illiquid, making it difficult to accurately calculate discounting spreads for valuing debt securities.

Derivatives. A Fund may utilise both exchange-traded and over-the-counter derivatives, including, but not limited to, futures, forwards, swaps, options and contracts for differences, as part of its investment policy. These instruments can be highly volatile and expose investors to a high risk of loss. The low initial margin deposits commonly to establish a position in such instruments permit a high degree of leverage. As a result, depending on the type of instrument, a relatively small movement in the price of a contract may result in a profit or a loss that is high in proportion to the amount of funds actually placed as initial margin and may result in losses exceeding any margin deposited, and such losses may be unlimited. Both exchange-traded and over-the-counter derivatives positions may suffer from market illiquidity. In addition, with regard to exchange-traded derivatives, daily limits on price fluctuations and speculative position limits on exchanges may prevent prompt liquidation of positions resulting in potentially greater losses. Transactions in over-the-counter contracts may involve additional risk resulting from such matters as mis-matches of contractual terms between apparently off-setting transactions, from the absence of a ready market on which to close out an open position, and from the difficulties of valuation and monitoring of risk exposure due to the fragmented and relatively opaque nature of over-the-counter markets. It may be impossible to liquidate an existing position, to assess the value of a position or to assess the exposure to risk. Risk may be increased by contractual asymmetries and inefficiencies including break clauses such as net asset value decline provisions, whereby a counterparty can terminate a transaction on the basis of a certain reduction in net asset value of the Fund. Incorrect collateral calls or delays in collateral recovery also present risk. A Fund may also sell covered and uncovered options on securities and other assets. To the extent that such options are uncovered, a Fund could incur an unlimited loss. Derivatives, in particular derivatives which are negotiated "over-the-counter" are subject to legal risks including the uncertainty in the applicability of laws, or the interpretation or enforceability of contracts or an action by a court or regulatory body that could invalidate a derivative contract entered into by a Fund. The prices of derivatives may be imperfectly correlated to the prices of the underlying securities, for example, because of transaction costs and interest rate movements. The prices of exchange traded derivatives may also be subject to changes in price due to supply and demand factors.

Dependence on MWNA and Key Personnel. The success of each Fund is significantly dependent upon the ability of MWNA to develop and effectively implement a Fund's investment objective and upon the expertise of certain key personnel within MWNA. If a Fund were to lose the services of MWNA, or if MWNA were to lose its key personnel, such Fund would be adversely affected.

MWNA's ability to identify and willingness to provide acceptable compensation to attract, retain and motivate its key personnel is important to the success of a Fund. There can be no assurance that MWNA's key personnel will continue to be associated with MWNA throughout the life of the relevant Fund, and the failure to attract or retain such investment professionals could have a material adverse effect on such Fund and its investors, including, for example, by limiting MWNA's ability to pursue particular investment strategies. Competition in the financial services industry for qualified employees is intense and there is no guarantee that the talents of MWNA's key personnel could be replaced.

Furthermore, some of the contractual arrangements in place with certain counterparties may provide the relevant counterparties with rights of termination if certain key employees and officers of MWNA cease to have responsibility for managing the Fund's investments or similar provisions. The assertion of such rights to terminate contracts could result in the Fund's contractual positions being closed out on unsatisfactory terms and in a lesser number of potential counterparties in the future. The assertion of such rights may have a material adverse impact on the business and/or financial condition of the Fund. There can be no assurance that MWNA would be able to mitigate the effects of the loss of any such key individual.

Developing Markets. A Fund may invest in developing market equities, foreign exchange instruments and debt securities, which may lead to additional risks being encountered when compared with Investments in developed markets.

Investment in developing market securities typically involves a greater degree of risk than an investment in securities of issuers based in developed countries. Among other things, investments in developing market securities may carry additional risks arising from, among other things, inferior publicly available information, more volatile markets, less strict securities market regulation, less favourable or less certain tax or legal regimes, and a greater likelihood of severe inflation, currency instability, possible constraints on convertibility or transferability of currency, war, and the possibility of expropriation of personal property. In addition, the investment opportunities of a Fund in certain developing markets may be restricted by legal limits on foreign investment.

Developing markets may not be as efficient as developed markets. In some cases, a market for the security may not exist locally, and transactions may need to be made on a neighbouring exchange. Volume and liquidity levels in developing markets are generally lower than in developed countries. When seeking to sell developing market securities, little or no market may exist for the securities. In addition, issuers based in developing markets are not generally subject to uniform accounting and financial reporting standards, practices and requirements comparable to those applicable to issuers based in developed countries, and this might increase the risk of fraud or other deceptive practices. Furthermore, the quality and reliability of official data published by the government or securities exchanges in developing markets may not accurately reflect the actual circumstances being reported. Some developing markets securities may be subject to brokerage or stock transfer taxes levied by governments, which would have the effect of increasing the cost of investment and which may reduce the realised gain or increase the loss on such securities at the time of sale. The issuers of some of these securities, such as banks and other financial institutions, may be subject to less stringent regulations than would be the case for issuers in developed countries and therefore potentially carry greater risk. In a please register to get more info

We do not consider that there have been any legal or disciplinary events that are material to our advisory business or the integrity of our management. please register to get more info

10A No entities within the Marshall Wace Group nor any of its management persons are registered, or have applied to register, as a broker-dealer or a broker-dealer representative. 10B As of the time of our Form ADV filing, no entities within the Marshall Wace Group nor any of its management persons are registered, or have applied to register, as a futures commission merchant, a commodity trading adviser, or an associated person of the foregoing entities. Each of MWNA, MW LLP and MWAL has registered as a commodity pool operator with the US Commodities Futures Trading Commission.

10C MWNA has material business relations with the following entities:

MWNA is an affiliate of MW LLP, a limited liability partnership based in London and authorised and regulated as an investment manager with the FCA.

MWNA is also an affiliate of MWAL, a limited company based in Hong Kong and licensed as an investment manager by the SFC.

Both MWNA and MWAL also perform services relating to the investment management business of MW LLP and are compensated under the terms of agreements directly or indirectly with MW LLP and the respective funds under its management. The affiliated entities of the Marshall Wace Group share research and other benefits described in Item 12.

10D We do not believe that the contemporaneous management of the Funds and separately managed accounts causes a conflict. Allocations between the Funds and separate managed accounts are made in accordance with our fiduciary responsibilities, Best Execution principles, and each Fund’s investment allowances or restrictions (as set forth by its respective offering documentation). None of the Marshall Wace Group entities has an affiliated broker-dealer. However, we may have certain relationships with, and receive certain benefits from, non-affiliated broker-dealers that could pose a conflict of interest when selecting and using broker-dealers for trade execution. These relationships and benefits may include referral or recommendation of investors, personal investments by entities or affiliates of a broker-dealer in Funds that we manage, and participation in broker-dealer sponsored research and capital introduction conferences. We believe the potential for these conflicts to occur is appropriately countered by the Firm’s adherence to its fiduciary responsibilities and Best Execution principles, all of which are actively monitored. please register to get more info

Code of Ethics MWNA has in place a Code of Ethics (COE) consistent with its regulatory requirements that governs the behavior of its employees, all of whom are defined as Access Persons under SEC regulations. The COE, and related policies, reflect the Firm’s commitment to ethical conduct. All employees are trained on the COE at the start of their employment, receive annual updates, and as needed due to changes to the code or related state and/or federal laws.

In general, the COE outlines the policies of the Firm pertaining to topics such as personal trading, handling of inside information, gifts and entertainment, and overall professional conduct, all of which are covered in greater detail in the related, stand-alone policies. These policies, along with the COE, collectively comprise the Firm’s Compliance Manual.

An acknowledgement of the COE, accepting the terms and conditions therein, is obtained from each employee and kept on file. A copy of the COE is available for review by any current or prospective investor upon request.

Personal Investment Policy Employees may generally make personal investments in financial instruments with prior approval. All employees with personal trading accounts must provide the Chief Compliance Officer with statement copies no less than quarterly, irrespective of account activity.

For transactions involving securities within the Firm’s investment universe, employees may generally buy or sell securities if the Firm or its affiliates are not actively trading the name. All transactions are subject to prior written authorization. In addition, all transactions in single stocks are subject to a 90-day holding period. Irrespective of these rules, MWNA reserves the right to deny any transaction request deemed to be counter to the best interests of the Firm.

The Personal Investment Policy generally applies to any personal transaction involving equity or debt securities, or derivatives of such. However, the policy does not apply to transactions involving open-end mutual funds or other instruments in which the investor has no discretion over individual securities transactions. Employees may also invest in certain of the Marshall Wace Group funds, subject to share class restrictions and the terms and conditions of the respective fund(s).

A description of the Firm’s Personal Investment Policy is included in the COE, a copy of which is available for review by any current or prospective investor upon request.

Participation in Client Transactions and Related Conflicts of Interest MWNA does not have any proprietary trading activity. The Firm’s trading activity is limited to the transactions it effects on behalf of its Funds and separately managed accounts.

MWNA may buy or sell securities for certain funds in a manner that differs from its actions for another Fund. However, at all times, its actions are in keeping with the Firm’s fiduciary responsibilities, Best Execution principles, and each Fund’s investment allowances or restrictions (as set forth in its respective offering documentation). MWNA effects transactions on behalf of its clients in securities which its employees may buy or sell for their own accounts. These personal investments are subject to the trading restrictions set forth by the Firm’s Personal Investment Policy, irrespective of whether the employee investment preceded the client transaction or not. Employees and/or partners of MWNA may buy or sell unlisted securities, partnership interests, or other private holdings for their own accounts, which MW Group or certain of its affiliates may also transact in. These personal investments are subject to preapproval, as well as the trading restrictions and reporting requirements set forth by the Firm’s Personal Investment Policy. The Marshall Wace Group follows a policy of restricting trading activity for all of its related entities when any one entity or employee is exposed to what it knows as or believes to be material non-public information. In the course of conducting its investment business, MWNA or its affiliates may come into possession of material non-public information, either intentionally (via participation in a private transaction or a debt holding) or unintentionally (via industry contact). In the event anyone in the Marshall Wace Group is in possession of material non-public information, neither MWNA nor its affiliates will be able to use such information for the benefit of any client. Thus, MWNA’s possession of such information may cause a Fund to be frozen in a security position or unable to engage in a transaction in that position until such time that the information is made public. please register to get more info

MWNA has full investment and brokerage discretion, in accordance with the terms outlined in the offering documents of each Fund. The securities transactions of the Funds are expected to generate a substantial amount of brokerage commissions and other transaction-based compensation, all of which will be paid by the Funds. The Firm has a fundamental obligation to act in the best interests of its clients and seek best execution of clients' transactions under the circumstances of the particular transaction. Best Execution Considerations In selecting brokers and dealers, MWNA will not be required to consider any particular criteria. For the most part, the Firm will seek the best combination of brokerage expenses and execution quality. In evaluating execution quality, historical net prices (after mark-ups, markdowns, or other transaction-related compensation) on other transactions will be a principal factor, but other factors may also be relevant, including: the execution, clearance, and settlement capabilities and overall efficiency of the broker or dealer generally and in connection with securities of the type and in the amounts to be bought or sold; the broker’s or dealer’s willingness to commit capital; reliability, responsiveness and financial stability; liquidity; the size of the transaction; availability of securities to borrow for short sales; and the market for the security.

Nonetheless, as other factors are also considered in the selection process, MWNA is not required to select the broker or dealer that charges the lowest transaction cost, even if that broker provides execution quality comparable to other brokers or dealers. Specifically, the Firm may allocate commissions based on the quality of research services provided by brokers, including services provided via the MW TOPS process.

Soft Dollars As noted above, in addition to execution quality, MWNA may consider the value of various services or products, beyond execution, that a broker-dealer provides to the Funds, to the Funds’ general partners, directors or to MWNA. To the extent that the Firm enters into, or continues to utilize, any “soft dollar” arrangements with brokers, MWNA intends to structure such arrangements within the “safe harbor” parameters of Section 28(e) of the Securities Exchange Act of 1934, and limit its usage of soft dollars to payment for eligible research. In such circumstances, the Funds may pay brokerage commissions at a rate higher than the lowest available as long as (among certain other requirements) it determines that the commissions are reasonable compensation for the research acquired. For these purposes, “research” means services or products used to provide lawful and appropriate assistance to MWNA in making investment decisions for its clients. The types of “research” MWNA may acquire include: reports on or other information about particular companies or industries; trade ideas collected via the MW TOPS process; economic surveys and analyses; recommendations as to specific securities; and other products or services that may enhance the Firm’s investment decision making, provided such products or services reside within the “safe harbor” of Section 28(e) of the Securities Exchange Act of 1934.

Within MWNA’s last fiscal year, it acquired research services defined as being within the “safe harbor” of Section 28(e).

MWNA’s arrangement for rewarding participating brokers in MW TOPS with commissions based, in part, upon the aggregate performance of their trade ideas is a generally accepted industry practice that is believed to be within the safe harbor provided by Section 28(e). Under this arrangement, the Firm may pay for access to trade ideas via the TOPS process, which meet the definition of “research” under Section 28(e)(3) as interpreted by the SEC. Were the Firm to receive both eligible and ineligible research services (“mixed-use services”), it would made a good faith determination on the allocation between the eligible and ineligible services, paying for any ineligible services with cash. It could face a potential conflict of interest in making these good faith allocations. At present, the Firm does not receive any mixed-use services. As the Funds share many investments in common, they also share many of the soft-dollar benefits derived from their collective trading. However, the benefits derived by any Fund may not be in proportion to the costs incurred. Payments for Research In parallel with any soft dollar arrangements described above, MWNA and its affiliates operate a research payment account (“RPA”) funded by direct research charges to the Funds and used for the purposes of acquiring third-party research for the Funds. The RPA is operated in order to facilitate compliance with the regulatory requirements applicable to MW LLP and is administered by an independent administrator who collects the research charges from the Funds and arrange for payments to be made to third party research providers as compensation for research products or services (as defined under Section 28(e)). The research providers paid from the RPA will in some cases provide execution services to MWNA, on behalf of the Funds. The amount of compensation paid to such research providers for their research products or services will reflect the value of the research provided, as determined by MWNA.

When MWNA obtains research products or services through an RPA or soft dollar arrangements, it receives a benefit because it does not have to produce or pay for the research. The Firm may also have an incentive to select or recommend a broker-dealer based on its interest in receiving the research or other products or services, rather than on its clients’ interest in receiving the most favorable execution.

The research charges are allocated between the Funds in the manner that MWNA considers to be fair and equitable in accordance with its policies on payments for research.

Allocation among Funds under Management As a fiduciary, MWNA allocates investment opportunities among the Funds in a fair and equitable manner, taking into account strategy differences and fund-specific restrictions identified in the respective offering documents (or management agreements for separately managed accounts).

In the absence of specific segregation requirements, restrictions, or other limitations, trades are typically aggregated (“bulked”) when they are initially sent to the executing broker. The Firm then allocates the trade among the participating funds at pre-set percentages that are proportional to the Funds’ net asset values. When an order is bulked, the participating funds are identified, further ensuring accurate allocation percentages are used to divide the resultant securities. Bulk execution can provide a substantial reduction in order clearing costs, which benefits the Funds’ investors.

From time to time, MWNA may need to rebalance the Fund holdings as a result of capital flows. In such circumstances, and where permissible, a cross-trade transaction between two or more funds may be deemed to be in the best interests of those funds (due to efficiency and cost), versus multiple buy/sell transactions in the market. Where these cross trades are identified between separate legal entities, MWNA will effect these trades in the market via an unaffiliated broker-dealer at a lower commission rate than a standard buy/sell transaction. All cross trades are subject to the Firm’s rules for pricing and reporting. Neither MWNA nor any affiliate receives any compensation in connection with rebalancing transactions. For positions held on swap at the same custodian, there is no market transaction and MWNA will instruct the custodian to book the cross transaction.

Similarly, cross trades between different Funds or between strategies of the same Fund frequently occur following capital markets deal participation. Funds with New Issue eligible investors may purchase shares in an offering. Following participation, each fund manager reviews the position, including the trading behavior of the shares and other market factors, and may determine in the best interests of the Fund to hold the shares or sell some or all of the shares to take profits, avoid losses or otherwise pursue the Fund's trading objectives. Certain Funds' trading objectives result in those Funds not holding new issue shares beyond the first trading day. Portfolio managers for other Funds or strategies often seek to purchase new issue shares beyond the first trading day. Such shares are considered "seasoned" for purposes of New Issue eligibility. When one Fund is a seller of such shares, and another is a buyer, those shares will be crossed. Where the crosses are between different Funds, the Manager effects such seasoning cross trades through a broker at no commission. Where the crosses are between different strategies of the same Fund, the Manager effects such seasoning cross trades as journaling entries. All seasoning cross trades are priced at the midpoint at close. If no other portfolio manager of a Fund or strategy seeks to purchase the new issue shares beyond the first trading day, or there are some such shares remaining after such purchases are made, the new issue shares will be liquidated thereafter. Seasoning crosses do not always occur in new issue shares due to trading objectives. For example, a Fund with new issue shares may seek to take profits prior to the close on the first day of trading, or the portfolio managers for other Funds or strategies may be interested during the first trading day in purchasing more shares than those acquired by the selling Fund and therefore may elect to purchase freely trading shares in the market to meet their trading objectives irrespective of the ability to effect seasoning cross trades following the close.

Other Potential Conflicts Trading activity of MWNA and its affiliates in certain Funds could conflict with the transactions and strategies employed in managing other Funds. This may result in simultaneous orders in opposite directions for the same or similar securities, which may affect the prices and availability of the securities and other financial instruments in which Funds would invest. Competing trades could cause an affected Fund to buy a security at a higher price or sell at a lower price than it otherwise would have in the absence of the competing trades. To reduce brokerage commissions, when one Fund is a buyer and another Fund is a seller of the same securities, the securities will be crossed between the Funds. Any potential conflict of interest raised by cross-trading in these circumstances is mitigated by the facts that: (1) MWNA personnel have made personal investments across the funds; (2) the securities are crossed internally between the Funds at the mid-price of the security at the time the security is traded; and (3) the cross-trade process utilized is mechanical across the portfolios and does not involve any selections by MWNA personnel of particular securities to be crossed by MWNA. Short selling activity by a Marshall Wace Group-managed Fund within five days of a US secondary offering could prevent all other Marshall Wace Group-managed Funds from participating in the offering, subject to the conditions and exemptions of Rule 105, Regulation M of the Securities Exchange Act. please register to get more info

The Marshall Wace Group’s portfolio management and risk management teams perform daily, weekly or monthly reviews of all client accounts as they deem appropriate or as otherwise required. In addition to periodic reviews, client account reviews may be triggered by changes in market conditions, changes of security positions, changes in investment objectives or policies, capital inflows/outflows and other reasons. The requirements for frequency and content of reports to clients or investors will be set forth in the documents for each account.

Although the fund accounting team within the Marshall Wace Group generates estimated NAVs, NAV per Share and other holdings analyses, the funds’ appointed independent administrators1 are responsible for calculating final confirmed NAVs and publishing monthly investor statements, which they distribute directly to fund investors. These administrators also work with independent public accountants to produce and distribute the funds’ annual audited financial reports, as well as year-end statements and any other such documentation investors may require in completing their income tax filings.

Each month, the Firm produces and distributes written reports about the Funds2 to fund investors, and to prospective investors upon request. These reports include various financial data and information, which also may be available on the Firm’s password-protected website. Similar data may also be used in written marketing presentations and bespoke research, which are produced and distributed on an ad hoc basis. 1 The processes for separately managed accounts may differ, based on their appointed administrator’s contractual obligations. 2 The Firm does not produce monthly reports or presentations for its separately managed accounts, nor does it include this performance data on its client website. These separately managed accounts have different reporting parameters that are determined by each respective management agreement. please register to get more info

MWNA does not receive economic benefits from non-clients for providing investment advice and other advisory services. MWNA, by way of its affiliates, has entered into contractual agreements with individuals and organizations who solicit clients for certain of the Firm’s funds under management for a fee. While the specific terms of each arrangement may differ, fees generally comprise a pre-set portion (percentage or basis points) of the Firm’s management and/or performance fees earned on the assets invested by the referred client(s). Referral fees are borne by the Firm, not the referred (or any other) fund investor, although separate fees may be paid by a fund investor, with such investor’s consent, to a solicitor. please register to get more info

Other than for its separately managed accounts, MWNA is deemed to have custody of its client funds and securities. As noted in item 13, these funds have appointed independent administrators who work directly with the respective funds’ qualified custodians to verify fund assets, cash-flows and transactions and who also calculate the net asset value of the funds. This data is then used to produce, among other things, monthly investor statements, which are distributed directly to fund investors. These administrators also work with independent public accountants to produce and distribute the funds’ annual audited financial reports, as well as year-end statements and any other such documentation investors may require in completing their income tax filings. MWNA satisfies its obligations under the SEC Custody Rule by maintaining client funds and securities with qualified custodians and delivering to the fund investors annual audited financial statements within 120 days of the fiscal year end. please register to get more info

MWNA has investment discretion over the Funds. This investment discretion generally pertains to buying and selling securities and other instruments for the Funds in a manner consistent with each Fund's stated investment objectives and policies. The extent of this discretion, and any restrictions, is outlined in the investment management agreement in place for each Fund. please register to get more info

In general, MWNA has authority to cast all proxy votes on behalf of the Funds. MWNA employs an independent agent to manage proxy voting on its behalf. This agent analyzes proxy statements to recommend vote decisions, and manages the complete proxy voting process, including the receipt of proxies, reconciliation, vote execution, vote disclosure, and reporting. The service offers MWNA full transparency, with full record reporting and vote monitoring. When proxy materials arrive at the Funds’ brokers or custodians (the securities holder on record), they are forwarded to the proxy agent for review and action. The agent then votes on behalf of MWNA, in accordance with stated voting objectives. MWNA may also cast votes in the event of a conflict where the agent otherwise cannot, or if it were to disagree with the agent’s voting recommendation. The agent ensures that all proxies are voted, and maintains our proxy records in accordance with SEC requirements. It also provides the Firm with an online platform that allows the Firm to change its vote recommendations, run vote record reports, and view account information. MWNA reviews the proxy voting agent’s voting activity on a quarterly basis to ensure the service meets its needs and best serves the interests of its clients. A copy of the Firm’s Proxy Voting policy, the voting guidelines in use, and/or information on how MWNA voted client securities can be obtained by fund investors upon request. please register to get more info

MWNA is not required to include a balance sheet for its most recent fiscal year. It does not require or solicit prepayment of more than $1200, six months or more in advance. MWNA is not aware of any financial condition reasonably likely to impair its ability to meet contractual commitments to the Funds, and has not been the subject of a bankruptcy petition at any time during the past ten years. please register to get more info