Strategy. The Fund is an actively-managed exchange-traded fund (ETF) that seeks capital appreciation. The Fund seeks to create an investment portfolio with similar return characteristics to the gross of fees returns of the hedge fund industrys Equity Long/Short sector (see the section of the Funds Prospectus titled Additional Information about the Funds ), while also targeting a volatility level approximately twice that of the sector. By incorporating higher volatility, the Funds sub-adviser, Unlimited Funds, Inc. (Unlimited or the Sub-Adviser), believes that the Funds net of fees returns may outperform those of the Equity Long/Short sector. Additionally, the Fund may benefit from its comparatively lower operating expenses versus the relatively high fees and expenses charged by hedge funds. ? Equity Long Short … Show more… The Fund is an actively-managed exchange-traded fund (ETF) that seeks capital appreciation. The Fund seeks to create an investment portfolio with similar return characteristics to the gross of fees returns of the hedge fund industrys Equity Long/Short sector (see the section of the Funds Prospectus titled Additional Information about the Funds ), while also targeting a volatility level approximately twice that of the sector. By incorporating higher volatility, the Funds sub-adviser, Unlimited Funds, Inc. (Unlimited or the Sub-Adviser), believes that the Funds net of fees returns may outperform those of the Equity Long/Short sector. Additionally, the Fund may benefit from its comparatively lower operating expenses versus the relatively high fees and expenses charged by hedge funds. ? Equity Long Short Hedge funds managed within this sector generally implement strategies take long positions in stocks that are expected to appreciate and short positions in stocks that are expected to decline. An equity long-short strategy generally seeks to minimize market exposure while profiting from stock gains in the long positions, along with price declines in the short positions. The Sub-Adviser obtains publicly reported returns and fee data for the hedge fund industrys Equity Long/Short sector from various sources. The Sub-Adviser then seeks to create an investment portfolio with similar return characteristics (including return and correlation with other asset classes) as the Equity Long/Short sectors gross of fees returns, while also targeting higher volatility. This is primarily achieved by taking long and short positions in broad-based ETFs (Underlying ETFs) and futures contracts. In addition, if at any time the Sub-Adviser is unable to construct an investment portfolio for the Fund which the Sub-Adviser believes will achieve the desired return and volatility characteristics by using currently available Underlying ETFs, the Fund may invest in long or short positions of equity securities and swap agreements in addition to Underlying ETFs and futures contracts. A long position means the Fund will buy a security with the expectation that it will rise in value. In contrast, the Fund will short a security with the expectation that it will fall in value. The Investment Process The Sub-Adviser determines the recent daily and monthly gross of fees returns and volatility metrics of the hedge fund industrys Equity Long/Short sector by reviewing publicly reported returns and fee information for the sector. The Sub-Adviser determines an investment portfolio of long and short positions in Underlying ETFs and futures contracts which best match the Equity Long/Short sectors most recent gross of fees returns, while approximately doubling its volatility, by using a proprietary algorithm. As noted above, if the Sub-Adviser is unable to construct the Funds target portfolio by investing only in Underlying ETFs, the Fund may invest in long or short positions of equity securities and swap agreements that align with the desired return and volatility characteristics. The selection of potential Fund investments used as algorithm inputs is determined by the Sub-Advisers portfolio managers based upon their belief of which return factors best capture recent positioning (e.g., sectors, company factors, country indexes). The proprietary technology analyzes the historical pattern of the returns and volatility patterns of the Equity Long/Short sector compared with these factors over several time frames to determine the portfolio that best matches recent Equity Long/Short sectors gross of fees returns while maintaining approximately twice the volatility. Over time, through the use of this proprietary process, the Sub-Adviser expects the Fund to have similar return characteristics as the hedge fund industry Equity Long/Short sectors gross of fees returns, but with higher volatility by taking directionally similar positions as the hedge fund industry Equity Long/Short sector with larger notional exposure. The Sub-Adviser performs the foregoing analyses on an ongoing basis because hedge fund data for different hedge fund indices (the Indices) is available at different times. The Sub-Adviser will frequently trade all or a significant portion of the holdings in the Funds investment portfolio as a result. What the Fund invests in : The Funds portfolio will generally consist of long and short positions in 10-30 Underlying ETFs and futures contracts. The Fund may also invest in individual equity securities and swap agreements. Please see the heading titled Portfolio Construction , below, for more information about the Funds portfolio holdings. What the Fund will NOT do : The Fund is not a hedge fund, nor will it invest in hedge fund strategies or positions. For the avoidance of doubt: ? The Fund will not invest in hedge funds. ? The Fund will not seek to replicate the direct underlying holdings of hedge funds. ? The Fund will not engage in certain types of investment activities that are permissible for hedge funds. For example, hedge funds may use more leverage than the Fund, and hedge funds may invest a greater percentage of their assets in illiquid investments as compared to the Fund. Portfolio Construction The Fund invests primarily in Underlying ETFs and exchange-listed futures contracts. The Funds initial universe of Underlying ETF investments includes a broad range of primarily passively-managed ETFs. The initial universe may include, among others: ? Sector ETFs that invest primarily in one of several economic sectors, such as information technology and consumer discretionary. ? Factor ETFs that invest primarily based on one of several investment factor categories, such as value and momentum. ? Domestic, Global, and Foreign ETFs that invest in the U.S., developed markets, and/or emerging markets, as well as country specific ETFs. If there are several potential candidates for inclusion in the Funds portfolio, the Sub-Advisers selection criteria favor lower cost Underlying ETFs. If the Fund invests in baskets of individual equity securities instead of Underlying ETFs, the overall baskets will have characteristics similar to those reflected in the initial universe of Underlying ETFs described above. To seek to achieve the Funds target volatility level, the Fund will use futures contracts and, to a lesser extent, swaps. To achieve an appropriate risk/return profile for the Funds portfolio, which includes targeting approximately twice the volatility of the Equity Long/Short sector, the Fund will also short the securities of Underlying ETFs. Please see the section of the Funds Prospectus titled Additional Information about the Funds for a description of short sales. In addition, the Funds portfolio will hold futures contracts to express long and short exposures if futures contracts are either lower cost or more accurately reflect the Sub-Advisers desired positioning for the Funds overall portfolio than investments in Underlying ETFs. The use of futures contracts will allow the Fund to take the larger notional economic exposure needed to achieve the higher target volatility. The Fund can also invest in swap agreements for similar purposes. Please see the section of the Funds prospectus titled Additional Information about the Funds for a description of futures contracts and swap agreements. If the Fund invests in long or short positions of individual equity securities, the Sub-Adviser will select particular securities that will allow the Fund, in the aggregate, to have an investment portfolio with similar return characteristics as the hedge fund industrys Equity Long/Short sector, but with higher volatility. The Fund is expected to outperform the hedge fund industrys Equity Long/Short sector during periods when returns of that sector exceed cash returns and underperform in periods when the returns from that sector underperform cash. The Sub-Adviser adjusts the Funds portfolio on a frequent basis in light of its ongoing analysis of the Indices. As a result, the Fund will frequently trade all or a significant portion of the holdings in the Funds investment portfolio. The Fund is deemed to be non-diversified under the 1940 Act, which means that it may invest a greater percentage of its assets in the securities of a single issuer or a smaller number of issuers than if it was a diversified fund. Under normal market conditions, the Fund will invest at least 80% of its net assets, plus any borrowings for investment purposes, in equity securities, including Underlying ETFs that invest primarily in equity securities, and futures contracts based on equity indices or equity investments. Show less