Strategy. The Fund seeks to track the investment results of the MSCI USA Climate Paris Aligned Benchmark Extended Select Index (the Underlying Index ), which has been developed by MSCI Inc. (the Index Provider or MSCI ). The Underlying Index is composed of U.S. large- and mid-capitalization stocks that are selected and weighted so that, in the aggregate, the portfolio is compatible with the objectives of the Paris Agreement by following a decarbonization trajectory, reducing exposure to climate-related transition and physical risks and increasing exposure to companies favorably positioned for the transition to a low-carbon economy. The Underlying Index aims to exceed the minimum standards for a Paris-Aligned Benchmark ( PAB ) under the European Unions Low Carbon Benchmark Regulation. PABs … Show more… The Fund seeks to track the investment results of the MSCI USA Climate Paris Aligned Benchmark Extended Select Index (the Underlying Index ), which has been developed by MSCI Inc. (the Index Provider or MSCI ). The Underlying Index is composed of U.S. large- and mid-capitalization stocks that are selected and weighted so that, in the aggregate, the portfolio is compatible with the objectives of the Paris Agreement by following a decarbonization trajectory, reducing exposure to climate-related transition and physical risks and increasing exposure to companies favorably positioned for the transition to a low-carbon economy. The Underlying Index aims to exceed the minimum standards for a Paris-Aligned Benchmark ( PAB ) under the European Unions Low Carbon Benchmark Regulation. PABs are designed to align with the principal objective of the Paris Agreement, which is to limit global warming in this century to well below 2 degrees Celsius, preferably to 1.5 degrees Celsius, above pre-industrial levels. The Index Provider begins with the MSCI USA Index (the Parent Index ) and excludes securities of the following issuers: Companies involved in the business of tobacco; Companies involved with controversial or nuclear weapons; Producers and retailers of civilian firearms; and Companies involved in certain climate change-related activity such as thermal coal mining or sales, a wide range of oil- and gas-related activities, certain types of power generation and the extraction of oil sands. Certain of these exclusions (e.g., controversial and nuclear weapons) are categorical, and others are based on ownership or revenue thresholds. The Index Provider also excludes companies that it determines are involved in ongoing and very severe controversies related to the environmental, social or governance ( ESG ) impact of the companys actions, products or operations. To evaluate ESG controversies, the Index Provider monitors across five categories of ESG impact environment, human rights and communities, labor rights and supply chain, customers and governance and 28 sub-categories. Companies that are involved in ongoing severe or very severe environmental controversies, as determined by the Index Provider, are also excluded. Environmental controversies can relate to, among other things, toxic emissions and waste, water stress, biodiversity and supply chain management. The Index Provider excludes companies that are not assessed by the Index Provider regarding ESG controversies or environmental harm. The Index Provider then uses an optimization process that applies certain sustainability-related constraints to refine and determine weights of the resulting portfolio, specifically addressing objectives related to transition and physical risks and transition opportunities, as well as minimum and maximum weightings relative to the Parent Index, as summarized below. In order to exceed the minimum standards for PABs, the Index Provider targets the following index-level constraints at each semi-annual rebalancing: At least a 50% reduction in greenhouse gas ( GHG ) intensity compared with the Parent Index, taking into account issuers Scope 1, 2 and 3 emissions (i.e., direct emissions from sources that an issuer owns or controls and indirect emissions from the purchase of energy and a companys value chain); At least a 10% year-over-year reduction in the GHG intensity (or decarbonization rate) of the Underlying Index itself; and A level of exposure to sectors with a high impact on climate change (i.e., those sectors that are key to the low carbon transition) that is not less than the exposure in the Parent Index, to ensure that such sectors are not underweighted in the Underlying Index. Additional sustainability-related constraints that are applied to the Underlying Index include, relative to the Parent Index: A reduction in overall potential carbon intensity; Lower overall exposure to physical risk arising from extreme weather events; Increased overall exposure to green revenue (i.e., from alternative energy, energy efficiency, sustainable water, green building, pollution prevention and sustainable agriculture); Increased overall exposure to companies setting credible emissions targets; Lower overall exposure to companies facing risks related to the low carbon transition; and Greater overall exposure to companies that may have transition-related opportunities. In addition, an index constituents weight must be at least 0.01% and is restricted to the lower of +/- 2% or 20 times its weight in the Parent Index. The sector weights of the Underlying Index may not deviate more than +/- 5% from those of the Parent Index (except for the energy sector). As of August 31, 2025, a significant portion of the Underlying Index is represented by securities of companies in the technology industry or sector. The components of the Underlying Index are likely to change over time. BFA uses an indexing approach to try to achieve the Funds investment objective. The Fund does not try to beat the index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. Indexing may eliminate the chance that the Fund will substantially outperform the Underlying Index but also may reduce some of the risks of active management, such as poor security selection. Indexing seeks to achieve lower costs and better after-tax performance by aiming to keep portfolio turnover low in comparison to actively managed investment companies. BFA uses a representative sampling indexing strategy to manage the Fund. Representative sampling is an indexing strategy that involves investing in a representative sample of securities or other instruments that collectively has an investment profile similar to that of an applicable underlying index. The instruments selected are expected to have, in the aggregate, investment characteristics (based on factors such as market capitalization and industry weightings), fundamental characteristics (such as return variability and yield) and liquidity measures similar to those of an applicable underlying index. The Fund may or may not hold all of the components of the Underlying Index. The Fund generally will invest at least 90% of its assets in the component securities of the Underlying Index and may invest up to 10% of its assets in certain futures, options and swap contracts, cash and cash equivalents, including shares of money market funds advised by BFA or its affiliates, as well as in securities not included in the Underlying Index, but which BFA believes will help the Fund track the Underlying Index. Cash and cash equivalent investments associated with a derivative position will be treated as part of that position for the purposes of calculating the percentage of investments included in the Underlying Index. The Fund seeks to track the investment results of the Underlying Index before fees and expenses of the Fund. The Fund may lend securities representing up to one-third of the value of the Fund's total assets (including the value of any collateral received). The Underlying Index is sponsored by MSCI, which is ? independent of the Fund and BFA. The Index Provider determines the composition and relative weightings of the securities in the Underlying Index and publishes information regarding the market value of the Underlying Index. Industry Concentration Policy. The Fund will concentrate its investments ( i.e. , hold 25% or more of its total assets) in a particular industry or group of industries to approximately the same extent that the Underlying Index is concentrated. For purposes of this limitation, securities of the U.S. government (including its agencies and instrumentalities) and repurchase agreements collateralized by U.S. government securities are not considered to be issued by members of any industry. Show less