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 Managed Futures 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 Managed Future sector. Additionally, the Fund may benefit from its comparatively lower operating expenses versus the relatively high fees and expenses charged by hedge funds. ? Managed Futures Hedge … 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 Managed Futures 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 Managed Future sector. Additionally, the Fund may benefit from its comparatively lower operating expenses versus the relatively high fees and expenses charged by hedge funds. ? Managed Futures Hedge funds managed within this sector seek to implement strategies that invest in futures contracts. A futures contract is an agreement traded on an exchange to buy or sell assets, like commodities or equity securities, at a fixed price but to be paid for later. The Sub-Adviser obtains publicly reported returns and fee data for the hedge fund industrys Managed Futures sector from various sources. The Sub-Adviser then seeks to create an investment portfolio with similar return characteristics (return and correlation with other asset classes) as the Managed Futures sector by taking long and short positions in 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 Managed Futures 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 futures contracts which best match the Managed Futures sectors most recent gross of fees returns, while approximately doubling its volatility, by using a proprietary algorithm. 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., bonds, credit, commodities, currencies, stock sectors, company factors, country indexes). The proprietary technology analyzes the historical pattern of the returns and volatility patterns of the Managed Futures sector compared with those factors over several time frames to determine the portfolio that best matches the recent Managed Futures 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 Managed Futures sectors gross of fees returns, but with higher volatility by taking directionally similar positions as the Managed Futures 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 futures contracts. The Fund may also invest in swap agreements. The Fund may also take long and short positions in broad-based ETFs (Underlying ETFs). 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 exchange-listed futures contracts. To seek to achieve the Funds target volatility level, which is approximately twice the volatility of the Managed Futures sector, the Fund will use futures contracts and, to a lesser extent, swaps. The Funds portfolio will primarily hold futures contracts to express the target long and short exposures. 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. The Fund is expected to outperform the hedge fund industrys Managed Futures sector during periods when returns of that sector exceed cash returns and underperform in periods when the returns from that sector underperform cash. Please see the section in the Funds Prospectus titled Additional Information about the Funds for a description of futures contracts and swap agreements. The futures contracts held by the Fund may include futures contracts on the following asset classes: commodities such as oil and gold, currencies, exchange rates, fixed income securities and equity securities. In addition, the Fund may take long and short positions in Underlying ETFs to achieve the target exposures. In that case, the Funds initial universe of Underlying ETF investments will include a broad range of primarily passively-managed ETFs. The initial universe may include, among others: ? Commodity ETFs that invest in commodities like oil and gold. ? Currency ETFs that invest in exchange rates such as the U.S. dollar index and euro. ? Fixed Income ETFs that invest in fixed income categories, such as treasuries, corporate bonds, municipal bonds, and high-yield bonds. ? 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. To achieve an appropriate risk/return profile for the Funds portfolio the Fund may also short the securities of Underlying ETFs. Please see the section in the Funds Prospectus titled Additional Information about the Funds , for a description of short sales. 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. Under normal market conditions, the Fund will invest at least 80% of its net assets, plus any borrowings for investment purposes, in a portfolio of futures contracts and Underlying ETFs that the Sub-Adviser believes have similar return characteristics as the hedge fund industrys Managed Futures sector. 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. Cayman Subsidiary The Fund intends to gain exposure to futures contracts and swap agreements either directly or indirectly by investing through a wholly-owned Cayman Islands subsidiary (the Subsidiary) that is advised by the Adviser. The Fund may invest up to 25% of its total assets in the Subsidiary. The Subsidiary will comply with the same 1940 Act requirements that are applicable to the Funds transactions in derivatives. In addition, the Subsidiary will be subject to the same fundamental investment restrictions and will follow the same compliance policies and procedures as the Fund. Unlike the Fund, the Subsidiary will not seek to qualify as a regulated investment company (RIC) under Subchapter M of the Internal Revenue Code of 1986, as amended (the Code). The Fund is the sole investor in the Subsidiary. The Adviser selects the Subsidiarys investments. Show less