Strategy. The Fund employs a passive management or indexing investment approach designed to track the total return performance, before fees and expenses, of the Index. The Index is based on proprietary ASYMmetric Risk Management Technology developed and maintained by ASYMmetric Investment Solutions, LLC (the Index Provider), an affiliate of ASYMmetric ETFs, LLC, the Funds investment adviser (the Adviser). The Index seeks to deliver a return that is asymmetric to the S&P 500 Index. It is an asymmetric version of the S&P 500 Index. Asymmetric returns are defined as the ability to generate positive returns in bear markets and to capture the majority of the upside in a bull market. The Index is a rules-based, quantitative long/short hedging strategy that seeks to … Show more… The Fund employs a passive management or indexing investment approach designed to track the total return performance, before fees and expenses, of the Index. The Index is based on proprietary ASYMmetric Risk Management Technology developed and maintained by ASYMmetric Investment Solutions, LLC (the Index Provider), an affiliate of ASYMmetric ETFs, LLC, the Funds investment adviser (the Adviser). The Index seeks to deliver a return that is asymmetric to the S&P 500 Index. It is an asymmetric version of the S&P 500 Index. Asymmetric returns are defined as the ability to generate positive returns in bear markets and to capture the majority of the upside in a bull market. The Index is a rules-based, quantitative long/short hedging strategy that seeks to provide protection against bear market losses, by being net short, and to capture the majority of bull market gains, by being net long, with respect to the S&P 500 Index. The Index is powered by the Index Providers ASYMmetric Risk Management Technology, which relies on mathematical formulas to dynamically manage the Indexs net exposure in three market risk environments: ? Risk-On : Market prices are trending up and have low volatility as determined by actual price fluctuations over a prior period (realized volatility), which is termed a Risk-On market environment; ? Risk-Elevated : Market prices are trending down and have low realized volatility, which is termed a Risk-Elevated market environment; and ? Risk-Off : Market prices are trending down and have high realized volatility, which is termed a Risk-Off market environment. The ASYMmetric Risk Management Technology is designed to dynamically manage, as of each monthly Index rebalancing and reconstitution date, the Indexs net exposure to its market to: ? Capture the majority of the upside of the market in a bull market, by being net long; ? Protect capital by paring back net exposure during periods of heightened market uncertainty, by being market neutral; and ? Profit in bear markets, by being net short. The Index achieves its long exposure through investment in securities in the S&P 500 Index that have low volatility relative to the index as a whole (the Long Book). These securities are sorted according to Global Industry Classification Standard (GICS) sector and ranked from lowest to highest volatility within each sector. The weights of each sector in the Long Book match the sector weights of the S&P 500 Index. The weightings of each Long Book sector multiplied by the Indexs target of 50 Index components equals the number of securities within each sector of the Long Book (rounded to the nearest whole number). Thus, a fixed number of securities from each sector will compose the Long Book. Each Long Book sectors fixed number of securities is drawn from those with the lowest realized volatility in the corresponding GICS sector. These securities are then equal weighted within each sector of the Long Book. While the Long Book is initially targeted to have 50 component equity securities, rounding effects in the weighting process will cause the actual number of Index components to range from approximately 48 to 52 component securities. In order to effect its short exposure to the market, the Index utilizes cash-settled short selling of shares of the SPDR S&P 500 ETF Trust (SPY) (the Short Book). Hypothetical proceeds from the Indexs short sales are maintained in cash. The Indexs net exposure to its market ranges between 75% long and -25% short where net exposure is the difference between the Indexs Long Book and its Short Book. The Index always maintains a Long Book. Using the Index Providers ASYMmetric Risk Management Technology, the Indexs Short Book and resulting cash position are increased or decreased in accordance with the congruency of two indicators of market risk environment as described below. The Indexs cash position represents proceeds from hypothetical short sales plus the cash portion of the Long Book, if any, when the Long Book securities weight is less than 100%. Price Indicator Determination of Market Risk Environments. Market risk environments are quantitatively determined by the congruence of two proprietary price-based indicators that measure, monitor and quantify market risk. These indicators are called the Price Momentum Indicator and the Price Volatility Indicator. The Price Momentum Indicator is driven by the 200-business day moving average of the S&P 500 Index. The Price Momentum Indicator is designed to identify historical market price trends (up or down). The Price Volatility Indicator is driven by the Index Providers PriceVol proprietary measure of the realized ( i.e. , historical as opposed to anticipated) volatility of the Indexs market. PriceVol measures the dispersion of prices of the securities comprising the S&P 500 Index. PriceVol is engineered to measure market risk (high or low) based on actual market price movements and not expected price movements. In contrast to PriceVol, the Cboe Volatility Index (VIX Index) is an example of a measure of expected, as opposed to realized, volatility where the VIX Index reflects price movements of options with a 30-day average maturity on the performance of the S&P 500 Total Return Index (S&P 500 Index). The congruence of the output of the Price Momentum and Price Volatility Indicators is used to classify monthly the Indexs market condition as either Risk-On, Risk-Elevated, or Risk-Off market environments, as outlined in the table below. The market is in a Risk-On environment when the market is trending up - above its 200-business day moving average - and realized volatility is low. The market is in a Risk-Elevated environment when the market is below its 200-business day moving average, but realized volatility has not spiked. The market is in a Risk-Off environment when the market is trending down, below its 200-business day moving average, and realized volatility has spiked. Price Momentum Indicator Price Volatility Indicator Indicated Market Risk Environment Market Trending Up Realized Volatility Low Risk-On (Bull Market) Market Trending Down Realized Volatility Low Risk-Elevated (Uncertain Market) Market Trending Down Realized Volatility High Risk-Off (Bear Market) Index Net Exposure Determination. The market risk environment classification systematically determines the targeted net exposure of the Index. In the Risk-On environment, the targeted net exposure of the Index is 75%. In the Risk-Elevated environment, the targeted net exposure of the index is 0%. In the Risk-Off environment, the targeted net exposure of the Index is -25%. Weightings of Index Components. The weighting of the Indexs Long Book, Short Book, and cash component are formulaically determined based on the table below, which indicates the various weighting outcomes in each of the three potential market risk environments. The cash component of the Index, which is a neutral risk exposure, is equal to the hypothetical short sale proceeds of the Short Book plus the cash portion of the Long Book in a Risk-Elevated or a Risk-Off environment. Weighting of Index Components Risk Environment Long Book Weight (Long Book Securities Component) Short Book Weight Cash Weight (Long Book Cash Component and Short Sale Proceeds) Targeted Net Exposure Risk-On 100% 0% to 25% 0% to 25% 75% Risk-Elevated 35% 0% to 35% 65% to 100% 0% Risk-Off 20% 0% to 45% 80% to 125% -25% The precise weightings of the Long Book securities and the Short Book to gain the targeted net exposure shown in the table above is determined utilizing a calculation of the net beta-adjusted exposure of the Indexs Long Book securities where the Long Book exposure is multiplied by a fraction that represents the volatility correlation or beta of the Long Book to the full Index market. Then the targeted net exposure of the Index is subtracted from the net beta-adjusted Long Book exposure to establish the actual Short Book weight. Under normal market conditions, the Fund will invest at least 80% of its total assets in securities and cash included in the Indexs Long Book. In tracking the Index, the Fund will generally hold its assets in Long Book securities and, when indicated, a Long Book cash component. To replicate the Indexs Short Book, the Fund will invest in cash-settled futures on SPY or on the S&P 500 Index and, to a lesser extent, in cash-settled cleared swaps, options and short sales. The Fund will replicate the Indexs Long Book cash component by holding cash, which may be invested in U.S. Treasury bills or notes having less than three months to maturity or money market funds invested in such U.S. Treasuries (cash equivalents). The Fund will not be replicating the Indexs cash position representing proceeds from hypothetical short sale transactions unless the Fund invests in cash-settled short sales. The Index was developed by the Index Provider, an affiliate of the Adviser. The Index Calculation Agent is Solactive AG, which is not affiliated with the Index Provider, the Fund, the Adviser or the Funds sub-adviser, Toroso Investments, LLC (the Subadviser). The Index Calculation Agent provides information to the Fund about the constituents of the Index and does not provide investment advice with respect to the desirability of investing in, purchasing or selling securities. Show less