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Alphacentric Premium Opportunity Fund Presentation 2Q2021

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Alphacentric Premium Opportunity Fund Presentation 2Q2021 AlphaCentric Premium Opportunity Fund . Downside equity risk management coupled with volatility management HMXIX . More consistent positive monthly returns than stocks and bonds HMXAX . Low correlation to equity and fixed income markets HMXCX ©2021 AlphaCentric Advisors | ACPB HMX 06302021 | 7028-NLD-07212021 Equities: The Problem of Concentration FAANGs + MSFT accounted for over 58% of the S&P 500 total returns in 2020. S&P 500 Companies Ranked by Market Cap at Year-End 2020 Market Cap: FAANG Performance Relative to S&P 500 (as of 6/30/21) (ratio scale, indexed to 0 on 12/28/12, when all FAANG issues were trading) 800 FAANG, Facebook, Apple, Amazon, Netix, and Google (Alphabet Class A & C) Apple 700 S&P 500 S&P 500 ex-FAANG 600 Alphabet (Google) Amazon Netflix Facebook 500 Microsoft 400 300 200 100 0 -100 Source: Standard & Poor’s and Yardeni Research Inc. 2013 2014 2015 2016 2017 2018 2019 2020 2021 2 | ALPHACENTRIC PREMIUM OPPORTUNITY FUND | HMXIX . HMXAX . HMXCX Federal Reserve: The Problem of Easy Money & Low Yields Correlation Between Fed Assets and S&P 500 Bond Yield/Duration: 2000 to 2021 YTD 4500 8.0M 8 7 Barclays US Aggregate Bond Yields Fed Assets 7.5M Barclays US Aggregate Bond Duration 7 S&P 500 Index 6 4000 7.0M 6 5 6.5M 3500 5 6.0M 4 4 5.5M 3 3000 3 5.0M 2 4.5M 2 2500 4.0M 1 1 3.5M 2000 0 0 Sep-19 Nov-19 Jan-20 Mar-20 May-20 Jul-20 Sep-20 Nov-20 Jan-21 Mar-21 Jun-21 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 Market growth tied to Fed liquidity measures. Bonds are riskier than ever before. Fed balance sheet expansion drove market higher during . More expensive ➡ higher prices = lower yields/less income pandemic recovery . Higher duration ➡ more risk/less protection against inflation 3 | ALPHACENTRIC PREMIUM OPPORTUNITY FUND | HMXIX . HMXAX . HMXCX Alternative Investments: Many Have Disappointed Asset Class: Representative 2012 2013 2014 2015 2016 2017 2018 2019 2020 Index Shown here are the AlphaCentric HMXIX S&P 500 REIT HMXIX MLP S&P 500 Market Neutral S&P 500 HMXIX Premium nine most recent full 22.76% 32.39% 30.38% 10.00% 18.31% 21.83% -0.74% 31.49% 27.91% Opportunity Fund HMXIX years of annual returns of some commonly REIT MLP S&P 500 REIT S&P 500 Gold Gold REIT Gold Morningstar 17.77% 27.58% 13.69% 2.52% 11.96% 12.79% -2.81% 25.84%% 20.95% Managed Futures used alternative asset Long/Short Managed Long/Short classes. S&P 500 S&P 500 REIT S&P 500 Gold S&P 500 Equity Futures Equity Alerian MLP 16.00% 1.38% 8.60% -4.38% 18.03% 18.40% 14.62% 9.24% 10.68% HMXIX views volatility Long/Short Gold HMXIX HMXIX Market Neutral Gold HMXIX REIT HMXIX as an asset class — Equity S&P 500 6.08% 14.45% 6.33% -0.12% 7.75% 5.29% -4.57% 16.53% one that has delivered 5.54% Managed Long/Short Managed relatively steady MLP Market Neutral MLP HMXIX REIT HMXIX Morningstar Futures Equity Futures 4.80% 2.71% 4.80% 5.07% Market Neutral performance. -1.13% 3.68% -5.62% 11.95% 2.62% Long/Short Long/Short Long/Short Long/Short Managed REIT Market Neutral MLP Market Neutral Equity Equity Equity Equity Futures S&P GSCI Gold 2.47% 2.42% 6.56% -2.22% 3.56% 2.80% -2.20% 2.13% -6.02% Managed Managed Long/Short Managed Market Neutral Market Neutral Gold Market Neutral REIT Morningstar Futures Futures Equity Futures Long/Short 0.42% 0.47% -10.88% 1.95% -7.57% -0.47% 2.32% -6.72% 3.89% Equity Managed Managed Gold Gold MLP MLP MLP Market Neutral MLP Futures Futures MSCI US REIT -28.65% -1.75% -32.59% -6.52% -12.42% 0.45% -28.69% -7.76% -3.75% Data shown represents past performance and is not indicative of future results. Indexes do not incur expenses and are not available for investment. Index performance is not illustrative of Fund performance. 4 | ALPHACENTRIC PREMIUM OPPORTUNITY FUND | HMXIX . HMXAX . HMXCX Expected Volatility vs Actual Volatility: Why Active Management Matters Expected Volatility vs Actual Volatility December 31, 2011 - June 30, 2021 30 20 Expected Expected > Actual = Volatility is 10 usually higher Avg 3.69 0 than Actual Actual > Expected = Volatility. -10 An active -20 "Volmaggedon" approach Feb 2018 takes -30 EXPECTED VOLATILITY Pandemic Feb-Aug 2020 advantage -40 REALIZED VOLATILITY of both ‒ scenarios. -50 = PROFITS -60 Dec-11Mar-12Jun-12Sep-12Dec-12Mar-13Jun-13Sep-13Dec-13Mar-14Jun-14Sep-14Dec-14Mar-15Jun-15Sep-15Dec-15Mar-16Jun-16Sep-16Dec-16Mar-17Jun-17Sep-17Dec-17Mar-18Jun-18Sep-18Dec-18Mar-19Jun-19Sep-19Dec-19Mar-20Jun-20Sep-20Dec-20Mar-21Jun-21 5 | ALPHACENTRIC PREMIUM OPPORTUNITY FUND | HMXIX . HMXAX . HMXCX Markets Change...Trades Change Market Environments Option-based strategies tend to fall into one of four 1 2 quadrants. ⬆ Up Market ⬇ Down Market ⬆ Rising Volatility ⬆ Rising Volatility We rotate among them based on market ~5% OF THE TIME ~25% of the time environment. Example: Long Market & Example: Long VIX Futures Long VIX Futures ⬆⬆ ⬇⬆ ⬆⬇ ⬇⬇ ⬆ Up Market ⬇ Down Market ⬇ Falling Volatility ⬇ Falling Volatility ~65% OF THE TIME ~5% OF THE TIME Example: Selling Puts & Example: Buying Puts & Buying Calls Selling Calls 3 4 6 | ALPHACENTRIC PREMIUM OPPORTUNITY FUND | HMXIX . HMXAX . HMXCX Performance in Up and Down Markets with Less Risk & Less Correlation Risk/Return: October 2016 - June 2021 The Best of Times, The Worst of Times 20% S&P 500 TR Index HMXIX S&P 500 15% 12.8% Higher Return S&P 500's 10.9% 10.9% AlphaCentric Premium Opportunity Fund 10 Best Months 10% 8.4% 8.0% vs. 7.1% 7.0% 6.7% Morningstar Long-Short Equity HMXIX During 5.7% 5.6% 5% MSCI US REIT Same Months 3.6% 3.5% 3.8% Bloomberg Barclays 2.8% 3.1% US Aggregate S&P GSCI Gold 1.4% (as of 6/30/21) 0.9% 1.2% 1.3% 0.8% 0% Morningstar Managed Futures Apr 2020 Nov 2020 Oct 2011 Oct 2015 Jan 2019 Aug 2020 Jun 2019 Mar 2016 Feb 2015 Jan 2018 Morningstar Market Neutral Alerian MLP -5% 17.4% Lower Return Source: Data provided by Zephyr StyleADVISOR® 0% 5% 10% 15% 20% 25% 30% 35% 40% S&P 500's Standard Deviation 10 Worst Months Less Risk More Risk vs. 1.3% 0.8% 0.0% 0.2% HMXIX During -1.8% -0.8% -1.0% Correlation Examples Same Months -3.3% -3.0% -5.0% -3.8% HMXIX AGG SPX -7.0% -6.8% -6.4% -6.0% -6.0% (as of 6/30/21) -9.0% -8.2% Correlation 40% 10% 100% -12.4% When S&P is Up Average Return 1.3% 0.2% 3.1% Mar 2020 Dec 2018 Feb 2020 Sep 2011 Oct 2018 May 2019 Aug 2015 May 2012 Jan 2016 Sep 2020 Correlation -34% -15% 100% When S&P is Down Data shown represents past performance and is not indicative of future results. Indexes do not incur expenses and are not Average Return 0.0% 0.3% -3.4% available for investment. Index performance is not illustrative of Fund performance. 7 | ALPHACENTRIC PREMIUM OPPORTUNITY FUND | HMXIX . HMXAX . HMXCX Fund Performance, Risk Statistics, Consistency of Returns Fund Performance as of 6/30/21 (Annualized if greater than 1 year) Inception Date: 9/1/11 QTD YTD 1 YR 3 YR 5 YR Inception Distribution of Monthly Returns as of 6/30/21 HMXIX 2.36 4.43 11.12 18.01 9.81 11.17 60 HMXIX 8.55 15.25 40.79 18.67 17.65 16.00 53 S&P 500 TR Index SPX 50 Inception Date: 9/30/16 QTD YTD 1 YR 3 YR 5 YR Inception Barclays US Agg 42 HMXAX 2.33 4.35 10.92 17.74 - 9.56 40 38 HMXCX 2.11 3.93 10.05 17.05 - 8.90 33 S&P 500 TR Index 8.55 15.25 40.79 18.67 - 17.72 30 Class A After Sales Charges -3.54 -1.64 4.53 15.43 - 8.20 20 17 18 17 Performance & Risk Statistics as of 6/30/21 15 14 14 10 11 11 10 HMXIX S&P 500 TR Index 10 8 9 6 Cumulative Return 183.43% 330.61% 4 4 5 5 2 1 2 1 1 2 1 Annualized Return 11.17% 16.00% 0 0 0 0 0 0 0 0 0 Standard Deviation 8.28% 13.49% Sortino Ratio 2.37 1.62% 0% to 1%1% to 2%2% to 3%3% to 4%4% to 5%above 5% Sharpe Ratio 1.34 1.18 below -5%-5% to -4%-4% to -3%-3% to -2%-2% to -1%-1% to 0% Risk-Adjusted Alpha (vs. S&P 500) 9.57% - Beta (vs. S&P 500) 0.10 - Past performance is no guarantee of future results. There is no assurance that the Fund will achieve its investment objective. R-squared (vs. S&P 500) 0.03 - The maximum sales charge for Class “A” Shares is 5.75%. The Fund's Total Operating Expenses are 3.19%, 3.94%, and 2.94% for Class A, C, Worst Draw-down (monthly) -12.94% -19.60% and I shares, respectively.
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