Strategy. The Fund is an actively-managed exchange-traded fund (ETF) that seeks to achieve its investment objective by investing primarily in the equity securities of Sustainable Development Companies, which are defined as companies that adhere to one or more of the seventeen United Nations Sustainable Development Goals (each, a Sustainable Development Goal, and collectively, the Sustainable Development Goals) (described in the section titled Additional Information about the Fund below). Under normal market conditions, the Fund will invest at least 80% of its net assets, plus any borrowings for investment purposes, in the equity securities of Sustainable Development Companies. The Funds sub-adviser, Newday Funds, Inc., doing business as Newday Impact (Newday or the Sub-Adviser), determines whether a company qualifies as a Sustainable Development … Show more… The Fund is an actively-managed exchange-traded fund (ETF) that seeks to achieve its investment objective by investing primarily in the equity securities of Sustainable Development Companies, which are defined as companies that adhere to one or more of the seventeen United Nations Sustainable Development Goals (each, a Sustainable Development Goal, and collectively, the Sustainable Development Goals) (described in the section titled Additional Information about the Fund below). Under normal market conditions, the Fund will invest at least 80% of its net assets, plus any borrowings for investment purposes, in the equity securities of Sustainable Development Companies. The Funds sub-adviser, Newday Funds, Inc., doing business as Newday Impact (Newday or the Sub-Adviser), determines whether a company qualifies as a Sustainable Development Company based on a proprietary analysis of the companys alignment with one or more Sustainable Development Goals principles. The Sub-Adviser also evaluates impact considerations, which refers to companies that, based on the Sub-Advisers assessment, are having a positive, measurable impact in forwarding one or more of the Sustainable Development Goals. In particular, the Sub-Adviser assesses whether the company has tangible Sustainable Development Goal alignment through its products or services, and whether the company has appropriate structures in place to properly implement materially-impactful behaviors related to the Sustainable Development Goals within its scope of influence. Each Sustainable Development Goal published by the UN is broken down into several goals and targets, addressing specific indicators of progress within a Sustainable Development Goal. Sustainable Development Criteria In order to identify investment candidates for the Fund, the Sub-Adviser analyzes the Funds investable universe utilizing a proprietary, mathematically-driven screening methodology. The Sub-Adviser begins its analysis by screening an initial universe of: (i) U.S.-listed companies whose securities comprise approximately ninety-five percent of the market capitalization of securities listed on U.S. stock exchanges; and (ii) companies whose securities are listed on foreign stock exchanges and that are domiciled in one of the 22 developed markets or 24 emerging markets listed in the section titled Additional Information about the Fund that, in aggregate, represent approximately 85% of the global equity opportunity set outside of the U.S. The Fund may invest in the securities of foreign companies either directly (via securities listed on foreign stock exchanges) or indirectly via American Depositary Receipts (ADRs), which are listed on U.S. exchanges. To determine a companys Sustainable Development Goal alignment, the Sub-Adviser considers specific key performance indicators (KPIs), which are indicators of corporate alignment with the Sustainable Development Goals. A companys alignment with a KPI is indicated by a specific KPI provided by a third-party data analysis platform (described more in the section titled, Additional Information About the Fund below). Additionally, the Sub-Adviser reviews company data for Sustainable Development Goal alignment indicators via the companys corporate structure and behavior. To assess whether a company has appropriate corporate structures to meaningfully implement Sustainable Development Goal-aligned behaviors, programs and policies, the Sub-Adviser reviews company reporting. In particular, the Sub-Advisor reviews company data for the presence and quality of Corporate Social Responsibility/ESG reports including whether the company complies with the Global Reporting Initiative (an international independent standards organization that helps businesses, governments and other organizations understand and communicate their impacts on issues such as climate change, human rights, and corruption). In the Sub-Advisers review, it considers whether an external auditor was involved in the production or review of the reports. The Sub-Adviser also reviews company data to determine whether it adheres to other relevant initiatives, such as the UN Principles for Responsible Investment (a UN-supported international network of investors working together to implement its six aspirational principles), or whether the company is a UN Global Compact signatory (which would commit the company to meet responsibilities in four areas: human rights, labor, environment, and anti-corruption). The Sub-Adviser utilizes publicly available information sourced from a third-party data analysis platform to consider specific KPIs when applying its Sustainable Development Goal alignment criteria. The third-party data analysis platform assembles data from sources such as company websites, annual reports, and corporate social responsibility reports, which are produced by either the companies themselves or are contributed by third-party firms. Each KPI has a set of properties that determine who it is scored and weighted by the Sub-Adviser based on the following: Peer Group: Each KPI is assigned a peer group of either a specific Sector or the entire Universe, which determines which group of companies will be evaluated against each other with respect to a particular KPI. A Sector peer group is one of eleven market sectors: Energy, Materials, Industrials, Consumer Discretionary, Consumer Staples, Health Care, Financials, Information Technology, Real Estate, Communication Services, and Utilities. The Universe peer group includes all eleven market sectors and addresses each company in the screened universe after applying the exclusion criteria discussed below. Sorting KPIs into appropriate peer groups ensures the Sub-Advisers analysis takes place within proper context. Along with Polarity and Data Type (each described below), this property defines how each KPIs raw value is pre-processed for scoring. Data type: The data type of a KPI is boolean or float. Boolean KPIs are typically survey responses regarding policies or internal structures, and will take the form of true/false or yes/no. Float KPIs are numeric values, such as emissions data, resource use, or financial values. Polarity: The polarity of a KPI is positive or negative. A positive polarity KPI reflects a desirable trait, and will result in a higher subscore for a true value or a high numeric value. Conversely, a negative polarity KPI reflects a negative indication, such as a controversy or a pollutant quantity, and will result in a higher subscore for a false value or a low numeric value. Category: Each KPI is sorted into thematic categories (Categories), representing distinct subtopics within a theme. The Categories in the Sustainable Development model are Diversity, Equity and Inclusion, Animal Welfare, Climate Action, Clean Water, Ocean Health, Stakeholder Capitalism, and Sustainable Agriculture. This piece of the model was added to increase the stability of the scoring output. One of the challenges typically present in ESG databases is that companies do not always supply data for every field, which can cause issues in a scoring model if not treated with care. To address that problem, in the Sub-Advisers model, each Category has a calculated target weight. To improve the results of the scoring model, if a company has missing KPI values, the weight assigned to the missing KPI values is redistributed proportionally between the other KPIs in a Category group. Intensity: The Intensity of each KPI reflects its relevance to the impact thesis for the Funds portfolio. Within the Sub-Advisers database of ESG data, there are often several KPIs that are centrally relevant to the impact thesis, as well as many that are not quite as important, but still indicate alignment with a theme. Simply put, the Sub-Adviser gives more relevant KPIs more weight in the model. Upon completion of this analysis, each company will be assigned a Sustainable Development Impact Score by the Sub-Adviser reflecting its relative alignment with the Category considered by the Sub-Advisers models. The Sub-Advisers internal ESG scoring model produces a numerical Sustainable Development Impact Score with a range of 0-100%, where higher scoring companies are determined to be more thematically aligned, and therefore favorable candidates for inclusion in the Funds portfolio. Generally, there will not be companies close to a 0% or 100% score. For example, in order to score 100%, a company would have to register a positive response to every surveyed KPI, as well as being the top ranked company in its peer group on every numerical data point, and in practice this is extremely unlikely to happen. Excluded Companies There are certain products and services the Sub-Adviser considers fundamentally incompatible with sustainable development. While the factors considered may not directly impact sustainable development, the Sub-Adviser believes that companies with significant involvement in the listed business categories are generally not strong candidates for inclusion from an ESG perspective. The Sub-Adviser will exclude any companies with meaningful exposure (e.g., 5% revenue where such data is available) in any of the listed business categories. The Sub-Adviser will not make exclusions based on a lack of available data. Generally, the 5% revenue threshold is designed so that the Sub-Advisers model excludes the primary manufacturers or sellers of such products, rather than resellers with marginal exposure. For example, major online retailers would be screened out for sale of alcohol, firearms, etc. if the Sub-Adviser did not set a revenue threshold. Additionally, the Sub-Adviser screens out companies involved in severe ESG controversies, the occurrence of which typically indicates a company has a significant lack of proper ESG policy implementation, which may be due to a significant structural deficit in operations or oversight, unethical leadership, or some other cause. Examples of ESG controversies that may cause the Sub-Adviser to exclude a company from the Funds investable universe include controversies concerning: environmental matters; wages & working conditions; bribery; corruption & fraud; anti-competitive behavior; insider dealings; and child labor. The Sub-Adviser will exclude any companies with meaningful exposure (as defined above) in any of the following business categories: Armaments - Companies that produce vehicles, planes, armaments or any combat materials used by the military. Cluster Bombs - Companies that produce cluster bombs. Anti-Personnel Landmines - Companies that produce anti-personnel landmines. Firearms - Companies that produce, or retail, firearms or small arms ammunition intended for civilian use. Gambling - Companies that generate revenues from gambling. Tobacco - Companies that generate revenues from tobacco production. Alcohol - Companies that generate revenues from alcohol production. Child Labor Controversies - Companies that have controversies regarding the use of child labor. Fossil Fuels - Companies that are included in the following Global Industry Classification Standards (GICS) sub-industries: Oil & Gas Drilling, Oil & Gas Equipment & Services, Integrated Oil & Gas, Oil & Gas Exploration & Production, Oil & Gas Refining & Marketing, Oil & Gas Storage & Transportation, and/or Coal & Consumable Fuels. Portfolio Selection Once a universe of Sustainable Development Companies is established based on the Sustainable Development Impact Scores, the Sub-Adviser selects securities for the Funds portfolio using a bottom-up approach that takes into consideration seven fundamental factors: earnings expectations, earnings quality, profitability, operating efficiency, valuation, governance and risk. The Sub-Adviser uses two key models to select companies for the Funds portfolio, a buy/sell model and a macro model. The buy/sell model identifies companies most at risk of underperforming the market and the macro model identifies companies expected to outperform or underperform in any given state of the economic/business cycle. Based on the output of these models, the Sub-Adviser then selects its highest conviction securities and determines weightings for inclusion in the Funds portfolio. The Sub-Adviser may invest in companies of any market capitalization, region, or sector allowing it to construct a portfolio that focuses on the most attractive security opportunities regardless of the companys size, location or its sector orientation. The Funds portfolio will include approximately 40-60 companies. The Fund is actively managed by the Sub-Adviser and the weightings are adjusted regularly with a focus on each companys Sustainable Development Impact Score and investment fundamentals. The Fund is considered to be non-diversified, which means that it may invest a greater percentage of its assets in the securities of a single issuer or a smaller number of issuers than if it were a diversified fund. However, the Fund has a policy that it will reduce its holding in a security if the position makes up more than 7.5% of the Funds portfolio. Show less