Strategy. The Fund is an actively-managed exchange-traded fund (ETF) that seeks to achieve its investment objective through a portfolio of investments comprised of two primary components: (i) Equity Strategy: A portfolio of equity securities; and (ii) Derivatives Strategies: A portfolio of futures contracts and futures-related instruments, such as forwards, and foreign currency spot contracts in global markets. These instruments provide exposure across a wide range of asset classes, including equities, fixed income, currencies and commodities. Together, the Equity Strategy and Derivatives Strategies seek to deliver excess or comparable returns, with lower volatility, as compared to public equity markets, represented by the Russell 2500 Index, by emulating certain investment themes of traditional private equity (PE) funds focused on leveraged buyouts (PE funds). … Show more… The Fund is an actively-managed exchange-traded fund (ETF) that seeks to achieve its investment objective through a portfolio of investments comprised of two primary components: (i) Equity Strategy: A portfolio of equity securities; and (ii) Derivatives Strategies: A portfolio of futures contracts and futures-related instruments, such as forwards, and foreign currency spot contracts in global markets. These instruments provide exposure across a wide range of asset classes, including equities, fixed income, currencies and commodities. Together, the Equity Strategy and Derivatives Strategies seek to deliver excess or comparable returns, with lower volatility, as compared to public equity markets, represented by the Russell 2500 Index, by emulating certain investment themes of traditional private equity (PE) funds focused on leveraged buyouts (PE funds). PE refers to a type of investment in companies that are not publicly traded on a stock exchange or otherwise available for public purchase (e.g., shares in a privately held company). The PE themes that the Fund will emulate include (i) investing in equity of public companies in select industries and with specific characteristics similar to those selected by PE funds (Equity Strategy), (ii) increasing equity exposure, which PE funds typically achieve through traditional leverage, through the use of equity index futures (Derivatives Strategies), and (iii) seeking to reduce downside volatility of performance as compared to public markets, which is also a characteristic of PE funds (Derivatives Strategies). The Fund does not invest in PE investments and investors seeking direct exposure to such investments should consider an investment other than the Fund. The Fund also invests in cash, short-term U.S. Treasury securities, money market funds, and cash equivalents to support the Derivatives Strategies. Under normal circumstances, the Fund will invest at least 80% of its net assets, which include borrowings for investment purposes, in (a) the Equity Strategy and (b) the Derivatives Strategies. Under normal circumstances, at the time of each portfolio rebalance, between 70% and 80% of the Funds assets will be allocated to the Equity Strategy, and between 20% and 30% will be allocated to the Derivatives Strategies. However, the Funds allocations may drift outside of these ranges between portfolio rebalances. PEO Partners, LLC (PEO) and AlphaQuest LLC (AlphaQuest) (each a Sub-Adviser, together the Sub-Advisers) serve as the sub-advisers to the Fund and are responsible for day-to-day management of the Funds portfolio. PEO manages the Funds Equity Strategy, while AlphaQuest manages the Funds Derivatives Strategies. The Fund is normally comprised of between 250 and 350 securities and financial instruments, which the Fund invests in directly or indirectly via the Subsidiary (described below). The Funds strategy may result in a high annual portfolio turnover rate. Equity Strategy For the Funds Equity Strategy, PEO focuses on investing in publicly traded stocks of companies that mirror the industries and company characteristics typically targeted by PE funds. Unlike traditional PE investments, which generally involve taking significant stakes or control of privately held companies and financing these acquisitions with leverage, the Funds Equity Strategy invests only in publicly traded securities. PEO selects these securities based on specific characteristics (discussed below) that PE funds generally target. Stocks in which the Fund invests are selected by PEO based on its analysis of PE data and its proprietary models, and are principally common stocks of U.S. exchange listed companies. PE data refers to data on investment holdings of U.S. based PE funds. PEO sources this data from a leading private markets investment consulting and asset management firm. This data is updated quarterly on a lagged basis and is generally available between three and five months following a quarter end. The Equity Strategy holdings are expected to provide dividend income in accordance with the Funds secondary objective of current income. Industry Selection. PEO believes, based on independent academic research as well as on its own research using PE data, that mirroring the industry profile of PE (i.e., creating a portfolio of equity investments that seeks to replicate the industry weightings of PE funds) is a source of potential outperformance relative to U.S. public equity markets, represented by the Russell 2500 Index. The industry profile of PE is quite distinct from that of the public markets and will often overweight and underweight certain industries relative to the broader market, sometimes by a significant amount. It is also noteworthy that these PE industry weights change over time, so the portfolio will be rebalanced regularly to reflect these changes. The Fund will not concentrate (i.e., invest 25% or more of its assets) in any industry, but as of the date of this Prospectus the Fund expects to be significantly overweight in the software and services industry. The Russell 2500 Index measures the performance of the small to mid-cap segment of the US equity universe. Quality and Value Factors. PEO believes that buying the stocks of public companies that have certain characteristics similar to the characteristics of investments targeted by PE funds is an additional source of potential outperformance. A typical public-to-private leveraged buyout deal involves financing the transaction with about three quarters costly debt (leveraged loans and high yield bonds), which means that the companies that are attractive candidates for PE firms must be able, post-buyout, to generate enough cash to handle the significant interest payments due on the debt. PEO believes that companies selected by PE firms, in the great majority of cases, tend to have certain characteristics relative to companies in their industries: (1) are profitable as measured by accounting profit divided by the book value of assets in order to generate the cash required to service the debt, (2) have a high payout ratio as measured by dividends and net repurchases as a percentage of book value (i.e., companies that are profitable but reinvest the profits), (3) are relatively inexpensive as measured by market to book value, and (4) exhibit relatively low risk as measured by the stocks beta (or sensitivity to market moves). Additionally, these companies will tend to be smaller in market capitalization (including micro-capitalization companies) than the value-weighted average of listed companies because most PE deals are private-to-private and there are very few private companies that would qualify as large cap. However, the Fund may have exposure to companies of any market capitalization. PEO uses a proprietary model based on these company characteristics to select the individual publicly traded stocks within each industry to form the portfolio. Identification of companies with these characteristics is achieved through the use of publicly available information. The Fund will purchase publicly traded stocks of companies, at different price points than achieved by PE funds when they invest. PE funds often invest in private companies at negotiated values that may include premiums to comparable public market values. The Sub-Adviser believes that investing in companies with these characteristics may provide the potential for outperformance versus the Russell 2500 Index. Liquidity. Unlike PE investments, which by their nature are illiquid, the Fund invests in publicly traded securities of companies based on PEOs systematic methodology of mirroring the industry and company characteristics of PE funds. The methodology involves assigning a market weight to each stock selected within each industry to avoid putting too much capital into any stock, which is also important for the liquidity of the Fund. Derivatives Strategies The Funds Derivatives Strategies are designed to achieve two primary goals: (1) increasing equity exposure, akin to the leverage typically employed by PE funds, and (2) reducing downside volatility in the Funds performance relative to public equity markets, consistent with the characteristics of PE fund investing. Increasing Equity Exposure : The Derivatives Strategies will utilize equity index futures to provide the Fund with broad U.S. market exposure, seeking to emulate the increased equity exposure that PE funds typically achieve using leverage. Unlike PE funds that use bank borrowings to realize leverage, the Fund achieves leverage through the use of the equity index futures contracts. AlphaQuest will determine the amount of the equity exposure with input from PEO, and AlphaQuest will manage the Funds use of equity index futures. Downside Volatility Protection : AlphaQuest manages the Downside Volatility Protection portion of the Derivatives Strategies using a proprietary systematic trading program that generates trades on the basis of price movement indicators. This portion of the Derivatives Strategies is designed to seek long-term protection from the movements of the S&P 500 Index (referred to as negative beta), meaning it seeks performance that is uncorrelated with the performance of the S&P 500 Index. The strategy does this by using trend-based investments, which are financial strategies that track the general direction of the market. These investments have historically shown a weak or negative correlation with the S&P 500 Index over the medium term, meaning they tend to move independently of the S&P 500 Index. The goal is to preserve capital (protect the value of the Fund) by reducing the volatility of the Funds investment returns, which is a characteristic of PE funds, in accordance with the Funds investment objective. Through the Downside Volatility Protection portion of the Derivatives Strategies, the Fund will invest, on a long and/or short basis, in exchange traded futures contracts and spot and forward foreign currency contracts. These derivatives holdings provide exposure to global equity indices, fixed-income (interest rates and bonds), currencies, and commodities (e.g., agricultural products, energies, precious and industrial metals). Cash Strategy The Fund also invests in various cash holdings, which will principally be used for margin and collateral purposes for the Funds derivatives transactions. The Fund may invest in short-term U.S. Treasury securities, money market funds, cash, and cash equivalents. Cayman Subsidiary The Fund intends to gain exposure to futures contracts and other derivative instruments, such as futures contracts and forward foreign currency contracts, either directly or indirectly through a wholly-owned Cayman Islands subsidiary (the Subsidiary) that is advised by the Adviser and sub-advised by AlphaQuest. The Fund may invest up to 25% of its total assets in the Subsidiary, tested at the end of each fiscal quarter. The Subsidiary will generally invest in futures contracts and other derivative instruments that do not generate qualifying income under the source of income test required to qualify as a regulated investment company (RIC) under Subchapter M of the Internal Revenue Code of 1986, as amended (the Code). Unlike the Fund, the Subsidiary may invest without limitation in futures contracts and other derivative instruments; however, the Subsidiary will comply with the same Investment Company Act of 1940, as amended (the 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 as the Fund and will comply with them on an aggregate basis with the Fund, and will follow the same compliance policies and procedures as the Fund. Unlike the Fund, the Subsidiary will not seek to qualify as a RIC under the Code. The Fund is the sole investor in the Subsidiary and does not expect the shares of the Subsidiary to be offered or sold to other investors. Because the value of the Subsidiary must not exceed 25% of the Funds value at the close of any quarter, the Subsidiary may need to sell assets as a quarter end approaches and pay a dividend to the Fund. This dividend will constitute qualifying income for RIC purposes. Except as otherwise noted, for purposes of this Prospectus, references to the Funds investments include the Funds indirect investments through the Subsidiary. Reverse Repurchase Agreements The Fund may invest in reverse repurchase agreements, which are a form of borrowing where the Fund sells portfolio securities to financial institutions and agrees to repurchase them at a later date for a higher price. This arrangement allows the Fund to use the proceeds from the initial sale for other investment purposes. However, since the Fund repurchases the securities at a higher price, it incurs a loss on these transactions. To qualify for treatment as a regulated investment company (RIC) under the Internal Revenue Code, the Fund may use reverse repurchase agreements to ensure that its investment in the Subsidiary does not exceed 25% of the Funds total assets at the end of each fiscal quarter (the Asset Diversification Test). During other times of the year, the Funds investments in the Subsidiary may exceed 25% of its total assets. Show less