Strategy. The Fund employs a passive management or indexing investment approach designed to track the performance of the Underlying Index, which has been developed by Nasdaq, Inc. (the Index Provider). The Underlying Index applies the Chaikin Power Gauge , a quantitative multi-factor model that seeks to identify securities that are expected to outperform peers, to select securities from the Nasdaq US 1500 Index (the Parent Index). The Underlying Index is an equally weighted index of small-capitalization securities. As of June 30, 2023, the market capitalization range of the Underlying Index was approximately $107 million to $12.12 billion. As of June 30, 2023, the primary sectors within the Underlying Index were financials, industrials and information technology. The composition of the Underlying Index … Show more… The Fund employs a passive management or indexing investment approach designed to track the performance of the Underlying Index, which has been developed by Nasdaq, Inc. (the Index Provider). The Underlying Index applies the Chaikin Power Gauge , a quantitative multi-factor model that seeks to identify securities that are expected to outperform peers, to select securities from the Nasdaq US 1500 Index (the Parent Index). The Underlying Index is an equally weighted index of small-capitalization securities. As of June 30, 2023, the market capitalization range of the Underlying Index was approximately $107 million to $12.12 billion. As of June 30, 2023, the primary sectors within the Underlying Index were financials, industrials and information technology. The composition of the Underlying Index may change over time. The Underlying Index uses the Chaikin Power Gauge to select securities from the Parent Index. The Chaikin Power Gauge is a multi-factor model that evaluates four primary components: Value component (35% of rating), which uses factors such as long term debt to equity ratio, price to book ratio, and free cash flow to identify companies that are priced at a discount relative to peers; ? Growth component (20% of rating), which uses factors such as earnings growth, earnings trend, and earnings consistency to identify companies with higher growth potential; ? Technical component (15% of rating), which uses factors such as price trend, price trend rate of change, and volume trend to identify stocks with strong momentum and price appreciation; and ? Sentiment component (30% of rating), which uses factors such as earnings estimate trend, short interest, and industry relative strength to identify companies that are expected to outperform peers by informed Wall Street analysts and professionals. ? The Chaikin Power Gauge seeks to identify each securitys current potential to outperform or underperform compared with peers. To be selected for inclusion in the Underlying Index, a security must rank in the least volatile two-thirds of the Parent Index based on a calculation of its volatility over the prior year period and its sensitivity to the performance of the equity market (as measured by its beta) over the previous five year period. The security types eligible for inclusion in the Underlying Index include common stocks and real estate investment trusts (REITs). The Underlying Index rebalances and reconstitutes annually and typically consists of up to 500 securities based on the Chaikin Power Gauge ranking. The Underlying Index selection criteria uses sector constraints, which seeks to maintain exposure to the different sectors typically within a range of 80% to 120% of the weight of the sector in the Parent Index. The Fund generally will invest in all of the securities that comprise its Underlying Index in proportion to their weightings in the Underlying Index. The Fund has adopted a policy to invest, under normal circumstances, at least 80% of the value of its assets (net assets plus the amount of any borrowings for investment purposes) in securities of small-capitalization U.S. issuers. The Fund may invest in one or more ETFs advised by the Advisor (Affiliated ETFs) that are not components of the index if such an investment will help the Fund track the Underlying Index. Show less