Strategy. The Fund generally will invest at least 90% of its total assets in the securities that comprise the Underlying Index. Strictly in accordance with its guidelines and mandated procedures, S&P Dow Jones Indices LLC (S&P DJI or the Index Provider) compiles, maintains and calculates the Underlying Index, which is designed to measure the performance of 90% of the securities within the S&P 500 Index (the Parent Index) after excluding those with the lowest quality, value and momentum multi-factor scores. The Underlying Index is composed of securities with multi-factor scores representing the top 90% of the Parent Index, as determined by the Index Provider. To construct the Underlying Index, each security in the Parent Index is assigned three separate style scores … Show more… The Fund generally will invest at least 90% of its total assets in the securities that comprise the Underlying Index. Strictly in accordance with its guidelines and mandated procedures, S&P Dow Jones Indices LLC (S&P DJI or the Index Provider) compiles, maintains and calculates the Underlying Index, which is designed to measure the performance of 90% of the securities within the S&P 500 Index (the Parent Index) after excluding those with the lowest quality, value and momentum multi-factor scores. The Underlying Index is composed of securities with multi-factor scores representing the top 90% of the Parent Index, as determined by the Index Provider. To construct the Underlying Index, each security in the Parent Index is assigned three separate style scores for each of the three factors (i.e., quality, value and momentum), based on the characteristics of the issuer: ? The Quality score of each stock is based on the following three fundamental measures: (i) return on equity, (ii) accruals ratio, and (iii) financial leverage ratio (the Quality score of companies in the Financials or Real Estate sectors according to the Global Industry Classification Standard (GICS ) is based only on the return on equity and financial leverage ratio measures). ? The Value score of each stock is based on the following three fundamental measures: (i) book value-to-price ratio, (ii) earnings-to-price ratio, and (iii) sales-to-price ratio. ? The Momentum score of each stock is based on the risk-adjusted price performance during the specified prior measurement period. Next, a combined multi-factor score is generated for each security in the Parent Index by calculating the average of such securitys underlying quality, value and momentum scores. Securities whose multi-factor score ranks within the top 90% of securities in the Parent Index (i.e., the 450 securities with the highest multi-factor scores) are generally selected for inclusion in the Underlying Index. Securities in the Underlying Index are weighted based on their float-adjusted market capitalization. As of October 31, 2025, the Underlying Index was comprised of 450 constituents with market capitalizations ranging from $6.8 billion to $4.9 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. As of August 31, 2025, the Fund had significant exposure to the information technology sector. The Fund's portfolio holdings, and the extent to which it concentrates its investments, are likely to change over time. Show less