Strategy. The Fund generally will invest at least 80% of its total assets in the securities that comprise the Underlying Index. Strictly in accordance with its guidelines and mandated procedures, Bloomberg Index Services Limited (the Index Provider) compiles, maintains and calculates the Underlying Index, which is designed to track the performance of securities of U.S. large- and mid-capitalization companies that, in the view of the Index Provider, have historically maintained stable profit margins. The Underlying Index focuses on companies that have the smallest deviations among their annual gross profit margins over the last five years. In order to be eligible for inclusion in the Underlying Index, a security must be part of the Index Providers U.S. large- or mid-capitalization universe and … Show more… The Fund generally will invest at least 80% of its total assets in the securities that comprise the Underlying Index. Strictly in accordance with its guidelines and mandated procedures, Bloomberg Index Services Limited (the Index Provider) compiles, maintains and calculates the Underlying Index, which is designed to track the performance of securities of U.S. large- and mid-capitalization companies that, in the view of the Index Provider, have historically maintained stable profit margins. The Underlying Index focuses on companies that have the smallest deviations among their annual gross profit margins over the last five years. In order to be eligible for inclusion in the Underlying Index, a security must be part of the Index Providers U.S. large- or mid-capitalization universe and must have a minimum 90-day average daily value traded of $10 million. Securities that satisfy this eligibility criteria are then screened for inclusion in the Underlying Index based upon four factors, in the order and as described below. Eligible securities must satisfy all four factors to be included in the Underlying Index. (i) Profitability history Eligible securities must have positive net profit margin for the previous five years from the selection date; (ii) Market cap sector ranking Eligible securities are grouped by the Bloomberg Industry Classification System (BICS) sector classification, with the top 50 securities by market capitalization within each sector selected. If fewer than 50 securities are in any BICS sector, all securities in such sector are eligible; (iii) Debt-to-market capitalization ratio Of the eligible securities that remain, the worst 10% of securities within each BICS sector by their debt-to-market capitalization ratio, as calculated and defined by the Index Provider, are removed; and (iv) Gross margin stability Of the remaining eligible securities, the 50 securities with the most stable profit margin (measured by the lowest standard deviation of trailing 12-month gross profit margin for the previous five years) are included in the Underlying Index. Upon completion of the screening process, the Underlying Index components are equally weighted. As of October 31, 2025, the Underlying Index was comprised of 50 constituents with market capitalizations ranging from $11.9 billion to $3.8 trillion. The Fund employs a full replication methodology in seeking to track the Underlying Index, meaning that the Fund generally invests in all of the securities comprising the Underlying Index in proportion to their weightings in the Underlying Index. Concentration Policy. The Fund will concentrate its investments (i.e., invest more than 25% of the value of its net assets) in securities of issuers in any one industry or group of industries only to the extent that the Underlying Index reflects a concentration in that industry or group of industries. The Fund will not otherwise concentrate its investments in securities of issuers in any one industry or group of industries. Show less