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Abbey Capital Futures Strategy Fund ABYAX, ABYCX, ABYIX 31 March 2021

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Abbey Capital Futures Strategy Fund ABYAX, ABYCX, ABYIX 31 March 2021 Abbey Capital Futures Strategy Fund ABYAX, ABYCX, ABYIX 31 March 2021 The Abbey Capital Futures Strategy Fund (the “Fund”), a multi-manager managed futures strategy, comprises an allocation to managed futures complemented with an actively-managed fixed income exposure, in a competitive cost structure Manager Primary Trading Style → Exposure to an asset class with Grains, fundamentally different drivers to Aspect Capital Limited Diversified Trendfollowing equities based on exploiting investor Meats & behavioural biases Energy Softs GAM Systematic LLP* Diversified Trendfollowing 9% 7% Currency → Exposure to a range of strategies 28% Eclipse Capital Management, Inc Diversified Trendfollowing including Diversified Trendfollowing and Global Macro trading styles Metals Graham Capital Management L.P. Diversified Trendfollowing 8% Revolution Capital Management Diversified Trendfollowing → Strategies executed across bond, equity, commodity and foreign Tudor Investment Corporation Diversified Trendfollowing exchange markets Welton Investment Partners LLC Diversified Trendfollowing → Quality managers selected and monitored by Abbey Capital, an Fixed Crabel Capital Management LLC Diversified Trendfollowing allocator with a 20 year record of Income successful multi-manager investing Equity Winton Capital Management Limited Diversified Trendfollowing 27% Indices P/E Global, LLC Global Macro → Segregated accounts structure to 21% legally segregate the Fund’s assets Trigon Investment Advisors, LLC Global Macro and liabilities allocated to each Manager Episteme Capital Partners UK (LLP) Value ▲Source: Abbey Capital. The target market exposure data shown above relates to the positions held by wholly-owned and controlled subsidiaries of the Fund and does not take into account any other assets held by the Fund (primarily cash and cash-equivalents). The Fund is actively managed and percentages may vary over time. In October 2018, the Fund restructured with no material change to the Fund’s target market exposure, further information on this restructure is available on the back page. Target market exposures are approximate figures and represent targets at a historical date and may not represent actual holdings on that same date. For an explanation of trading styles please see the back page. * GAM Systematic LLP was formerly known as Cantab Capital Partners LLP. Total Fund Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD $1.0 billion Assets 2014 - - - - - - 0.0% 3.6% 4.6% 0.9% 5.7% 2.6% 18.6% Total Firm $4.0 billion 2015 6.7% 0.0% 2.0% -3.0% 1.1% -3.0% 2.7% -2.7% 1.1% -1.6% 3.9% -2.6% 4.1% Assets 2016 2.4% 1.8% -3.7% -2.0% -1.3% 2.8% -0.1% -2.2% -1.6% -2.0% 0.7% 1.4% -3.8% Minimum Class A: $2,500 Class C: $2,500 2017 -2.0% 2.5% -2.0% -0.9% -0.2% -2.9% 0.7% 1.3% -1.5% 4.1% 0.3% 0.8% -0.1% Investment Class I: $1,000,000 2018 5.2% -6.9% -1.4% 0.4% -1.2% 0.5% -0.2% 1.7% -0.3% -3.7% -1.0% 0.9% -6.1% Minimum Class A: $100 2019 -1.8% 0.2% 4.0% 2.3% -0.8% 2.9% 2.7% 4.9% -3.6% -2.5% 1.5% -1.1% 8.9% Subsequent Class C: $100 Investment Class I: $1,000 2020 -0.3% 1.1% 4.3% 0.0% -1.0% -1.1% 1.4% 0.1% -1.8% -0.6% 2.4% 3.3% 7.9% Redemption None 2021 -0.4% 4.0% 1.2% - - - - - - - - - 4.8% Fees Performance None ▲ Source: Abbey Capital based on administrator data. Fees Gross Class A: 2.15% Cumulative Return Annualised Return Expense Class C: 2.90% As at 31 March 2021 As at 31 December 2020 Ratio Class I: 1.90% Inception Date QTD YTD ITD 1yr 5yr ITD Net Expense Class A: 2.04% Class C: 2.79% Ratio Class I: 1.79% Class I (ABYIX) 01 July 2014 4.75% 4.75% 37.11% 7.53% 2.02% 4.79% Class A (ABYAX)* 29 August 2014 4.71% 4.71% 34.78% 7.29% 1.75% 4.52% Class A (with max. load, ABYAX)* 29 August 2014 -1.31% -1.31% 27.03% 1.14% 0.55% 3.61% Class C (ABYCX)* 06 October 2015 4.47% 4.47% 28.20% 6.48% 0.99% 3.75% ▲*Source: Abbey Capital based on administrator data. Returns for Class A Shares prior to 29 August 2014 are pro forma (i.e. returns of Class I Shares adjusted for Class A Shares expenses). Returns for Class A Shares with Load reflect a deduction for the maximum front- Morningstar end sales charge of 5.75%. Class C Shares returns prior to 06 October 2015 are pro forma (i.e. returns of Class I Shares adjusted for Overall Rating Class C Shares expenses). The performance data quoted represents past performance. Past performance does not guarantee future results The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current returns may be lower or higher than the past performance data quoted. Visit Morningstar www.abbeycapital.com for returns updated daily. Call (US Toll Free) 1-844-261-6484 or (international callers) +1-414-203-9540 for Analyst Rating returns current to the most recent month-end. Returns would have been lower without fee waivers in effect. Annual Fund Operating Expenses after fee waiver are as of the most recent prospectus and are applicable to investors. Abbey Capital has contractually for ABYIX agreed through December 31, 2021 to waive its advisory fee and/or reimburse expenses. Overall Rating based on risk adjusted returns among 87 US managed futures funds. Derived from a weighted average of the fund’s 3-year and 5-year risk-adjusted return measures. The overall rating applies to the I Share Class of the fund. Ratings may differ per share class. Past results are not indicative of future results. Investing in managed futures is not suitable for all investors given the level of risk involved, including the risk of loss. 1 of 2 Abbey Capital Futures Strategy Fund For further information please contact [email protected] 31 March 2021 Note on Fund restructure (effective October 2018): Manager Research Group’s overall assessment, are Leveraging Risks, Foreign Investment Risks, Fixed Income • The Fund’s managed futures exposure is materially overseen by an Analyst Rating Committee, and are Securities Risks, Short Sale Risk and Portfolio Turnover unchanged. continuously monitored and reevaluated at least every 14 Risks. months. For more detailed information about Morningstar’s • Increased Fund protection through the legal Analyst Rating, including its methodology, please go to The Fund may invest in or utilize derivative segregation of the Fund’s assets and liabilities global.morningstar.com/managerdisclosures/. investments, futures contracts, and hedging strategies. allocated to each manager. A portfolio of hedge funds may increase the potential for • Potential for improved tax treatment for the Fund as The Morningstar Analyst Rating (i) should not be used losses or gains. One or more underlying managers, from a result of some financial trading being carried out as the sole basis in evaluating a fund, (ii) involves time to time, may invest a substantial portion of the assets onshore. unknown risks and uncertainties which may cause the managed in a specific industry sector. As a result, the Manager Research Group’s expectations not to occur underlying manager’s investment portfolio (as well as the Pre Restructure - The Fund invested approximately 25% of or to differ significantly from what they expected, and Fund’s) may be subject to greater risk and volatility than if its assets in the Abbey Capital Offshore Fund Limited (a (iii) should not be considered an offer or solicitation to investments had been made in the securities of a broader Cayman Island incorporated wholly-owned and controlled buy or sell the fund. range of issuers. Trading in futures is not suitable for all subsidiary of the Fund). investors given its speculative nature and the high level of The Morningstar RatingTM for funds, or “star rating”, is risk involved. Post Restructure calculated for managed products (including mutual funds, variable annuity and variable life subaccounts, exchange- There can be no assurance that the Fund’s or an Onshore segregation: traded funds, closed-end funds, and separate accounts) underlying manager’s strategy (hedging or otherwise) The Fund will invest up to 25% of its assets into a new with at least a three-year history. Exchange-traded funds will be successful or that it will employ such strategies with onshore entity, Abbey Capital Onshore Series LLC (a and open-ended mutual funds are considered a single respect to all or any portion of its portfolio. The value of the Delaware domiciled wholly-owned and controlled subsidiary population for comparative purposes. It is calculated based Fund’s portfolio investments should be expected to of the Fund) (“ACOS”). Individual managers are appointed on a Morningstar Risk-Adjusted Return measure that fluctuate. Investing in managed futures is not suitable for all to separate segregated series of ACOS and are permitted to accounts for variation in a managed product’s monthly investors given its speculative nature and the high level of trade in certain financial contracts. The ACOS structure excess performance, placing more emphasis on downward risk involved. The Fund is appropriate only for investors who achieves (i) segregation of the Fund’s assets and liabilities variations and rewarding consistent performance. The top can bear the risks associated with the product. Investors allocated to each individual manager; and (ii) segregation of 10% of products in each product category receive 5 stars, may lose some or all of their investment.
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