Strategy. Generally, the Fund is managed consistent with the output of a proprietary quantitative model (the Model), which consists of a combination of macroeconomic, valuation, and technical factors. The Model attempts to predict the direction and extent of U.S. interest rate movements across different maturities and over varying timeframes. Implementation of the Models forecasts is subject to the discretion of Embassy Asset Management LP, the Funds investment advisor (the Advisor). Under normal circumstances, the Fund pursues its investment objective by investing primarily in debt securities of the U.S. government (the Core Portfolio) and interest rate futures contracts related to debt securities and other interest rate related derivative contracts, such as swaps and options (Interest Rate Derivatives). The maturity and duration of … Show more… Generally, the Fund is managed consistent with the output of a proprietary quantitative model (the Model), which consists of a combination of macroeconomic, valuation, and technical factors. The Model attempts to predict the direction and extent of U.S. interest rate movements across different maturities and over varying timeframes. Implementation of the Models forecasts is subject to the discretion of Embassy Asset Management LP, the Funds investment advisor (the Advisor). Under normal circumstances, the Fund pursues its investment objective by investing primarily in debt securities of the U.S. government (the Core Portfolio) and interest rate futures contracts related to debt securities and other interest rate related derivative contracts, such as swaps and options (Interest Rate Derivatives). The maturity and duration of both the Core Portfolio and the Interest Rate Derivatives may vary depending on market conditions, Model output and other relevant factors. Duration is a measure of the sensitivity of a fixed income securitys price to a change in interest rates. The Core Portfolio generally consists of U.S. Treasury notes and bonds with maturities of between two and ten years. The average maturity, duration and other characteristics of the Core Portfolio are informed by the Model output and adjusted at the Advisors discretion. Prices of fixed income securities generally move in the opposite direction of interest rates. Based on the Models output (i.e., its predicted interest rate moves), the Advisor uses Interest Rate Derivatives of varying maturities and timeframes to increase or decrease the Funds duration to a target level of duration consistent with the Models output. For example, if the Model predicts higher interest rates, the Fund will sell Interest Rate Derivatives to decrease the Funds duration to a level that is in line with the new Model target. In addition, the Advisor may adjust the duration of the Core Portfolio based on the Models output. The Model may be changed without notice by the Advisor. The Advisor retains discretion over the final implementation of the Funds strategy, including the Funds adjusted duration, positioning and other characteristics. These may differ from the Models output. The Fund employs limit orders on its positions in Interest Rate Derivatives to reduce downside volatility. A limit order is an order placed with a broker to buy or sell a prescribed number of bonds, contracts or shares at a specified price or better and is used to help control the Funds portfolio exposures and trading costs. The Advisor establishes and implements limits at which the Interest Rate Derivatives positions will be unwound. If these limits are exceeded, the Fund exits the Interest Rate Derivatives positions. New Interest Rate Derivatives positions will then be established based on the Models subsequent output. Because much of the trading within the Fund is in futures and other derivatives markets, the Fund maintains an appropriate cash balance surplus to meet margin and exchange requirements. The cash portfolio is invested on a short-term, highly liquid, basis so that the Fund may meet margin calls on the Interest Rate Derivatives positions. These investments may include shorter term U.S. government securities, short-term debt securities, money market instruments, cash and other cash equivalents. The Fund may trade securities actively and this may lead to high portfolio turnover. The Advisor may sell all or a portion of a position of the Funds portfolio holdings when, in the Advisors opinion, one or more of the following occurs, among other reasons: (1) the Funds portfolio requires rebalancing; (2) the Advisor identifies a more attractive investment opportunity; or (3) the Fund requires cash to meet redemption requests or other obligations. Show less