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 is a rules-based, quantitative strategy that seeks to generate higher income and better performance than the S&P 500 Total Return Index (S&P 500 Index) with less risk. The Index is powered by the Index Providers ASYMmetric Risk Management Technology, which relies on mathematical formulas to dynamically manage the Indexs exposure in two market risk environments: ? Risk-On : Market prices are … 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 is a rules-based, quantitative strategy that seeks to generate higher income and better performance than the S&P 500 Total Return Index (S&P 500 Index) with less risk. The Index is powered by the Index Providers ASYMmetric Risk Management Technology, which relies on mathematical formulas to dynamically manage the Indexs exposure in two market risk environments: ? Risk-On : Market prices are trending up, which is termed a Risk-On market environment; ? Risk-Off : Market prices are trending down, 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 exposure to high income producing asset classes to: ? Generate high quality income from high income producing asset classes that are in a bull market; ? Secure income and principle by allocating away from high income producing asset classes that are in a bear market; and ? Protect capital when all high income producing assets classes are in a bear market, by being invested in U.S. treasuries, if treasuries are in a bull market or in the safety of cash, if no bull markets currently exist. A bull market is typically characterized by a period of material increase in the overall U.S. stock market, and a bear market is typically characterized by a period of material decrease in the overall U.S. stock market. The Index employs a tactical allocation strategy by allocating to (i) high income equity asset classes, including Master Limited Partnerships (MLPs), Real Estate Investment Trusts (REITs), and utilities (together, the Equities), and (ii) fixed income securities. When the Index allocates to Equities, the Fund will invest principally in individual securities that provide exposure to MLPs, REITs, and utilities or directly in U.S. equity securities of those asset classes. The Fund may also invest directly in Canadian equity securities of MLPs. When the Index allocates to fixed income asset classes, the Fund may invest in U.S. Treasury securities (e.g., 30-Year U.S. Treasury bonds, 10-Year U.S. Treasury notes, or U.S. Treasury bills) or cash. The Index screens MLPs, REITs, and the utilities sector (as designated by the Global Industry Classification Standard (GICS)) to determine whether any of these asset classes are in a bull market. The Index allocates to each the three high income equity asset classes if the market risk environment for that asset class is Risk-On, as determined in accordance with the Price Momentum Indicator described below. Price Indicator Determination of Market Risk Environments. Market risk environments are quantitatively determined by a proprietary price-based indicator that measures, monitors and quantifies market risk. This indicator is called the Price Momentum Indicator. The Price Momentum Indicator is driven by the 200-business day moving average of the relevant asset class. The Price Momentum Indicator is designed to identify historical market price trends (up or down). The output of the Price Momentum Indicator is used to classify, on a monthly basis, as in either Risk-On or Risk-Off market environment, 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. The market is in a Risk-Off environment when the market is trending down, below its 200-business day moving average. Equity Price Momentum Indicator Indicated Market Risk Environment Market Trending Up Risk-On (Bull Market) Market Trending Down Risk-Off (Bear Market) Portfolio Exposure. The Index screens the MLP, REIT, and utility markets to determine their current market risk environments. If all three high income equity asset classes are in a Risk-On environment, then the Index allocates equally (33.3%) to each. If two are in a Risk-On environment, then the Index allocates equally (50%) to each. If only one is in a Risk-On environment, then the Index allocates entirely (100%) to that asset class. High Income Equity Risk Environments & Equity Exposure Asset Classes MLPs REITs Utilities Risk-On (Three) 33% 33% 33% Risk-On (Two) 50% 0% 50% Risk-On (One) 100% 0% 0% Fixed Income Matrix. If all high income equity asset classes are Risk-Off (in a bear market), the Index screens fixed income segments to determine if any are Risk-On. If any fixed income asset class is Risk-On, then the Index allocates 100% to the fixed income asset class with the highest yield, as shown in the table below. If all fixed income segments are Risk-Off (in a bear market), then the Index allocates 100% to cash or cash equivalents (which include U.S. Treasury bills or notes having less than three months to maturity or money market funds invested in such U.S. Treasuries). The Price Momentum Indicator described above uses the 200-business day moving average of yields to determine which U.S. Treasuries markets, if any, are in a Risk-On market environment. If yields are falling below the 200-business day average, then the Price Momentum Indicator indicates a Risk-On environment. Fixed Income Risk Environments & Fixed Exposure Segment 30-Year U.S. Treasury 10-Year U.S. Treasury Treasury Bills Bull Market Yes Yes Yes Yield 5% 4% 3% Highest Yield Yes No No Exposure 100% 0% 0% The output of the Price Momentum Indicator is used to classify monthly U.S. Treasuries markets as in either a Risk-On or Risk-Off market environment, as outlined in the table below. Fixed Income Price Momentum Indicator Indicated Market Risk Environment Yields Trending Down (below 200-business day average yield) Risk-On (Bull Market) Yields Trending Up (above 200-business day average yield) Risk-Off (Bear Market) Under normal market conditions, the Fund will invest at least 80% of its total assets in securities and cash included in the ASYMmetric Smart Income Index. To the extent the Index concentrates (i.e., holds more than 25% of its total assets) in the securities of a particular industry or group of related industries, the Fund will concentrate its investments to approximately the same extent as the Index. The Index was developed by the Index Provider, ASYMmetric Investment Solutions, LLC, 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. As of December 31, 2022, the Index was comprised of 65 components. Show less