Strategy. The Fund is an actively managed exchange-traded fund (ETF) that employs a dual-strategy approach that seeks to enhance total return by combining a long volatility strategy with leveraged short exposure to the S&P 500 Index (the Index). This means the Fund uses two distinct strategies: one that aims to generate returns from market volatility, and another that seeks returns when the S&P 500 declines in value. Long Volatility Strategy The Funds long volatility strategy seeks to generate returns during periods of market turmoil or declines by taking long positions in short-term futures contracts on the Cboe Volatility Index (VIX), which measures the markets expectations for near-term volatility of Index option prices. Often referred to as the fear gauge, the VIX … Show more… The Fund is an actively managed exchange-traded fund (ETF) that employs a dual-strategy approach that seeks to enhance total return by combining a long volatility strategy with leveraged short exposure to the S&P 500 Index (the Index). This means the Fund uses two distinct strategies: one that aims to generate returns from market volatility, and another that seeks returns when the S&P 500 declines in value. Long Volatility Strategy The Funds long volatility strategy seeks to generate returns during periods of market turmoil or declines by taking long positions in short-term futures contracts on the Cboe Volatility Index (VIX), which measures the markets expectations for near-term volatility of Index option prices. Often referred to as the fear gauge, the VIX tends to rise during periods of market stress and decline during calmer conditions. The Fund seeks exposure equal to approximately 0.75x to 1x the performance of those futures contracts. This means that for every 1% change in the value of VIX futures, the Fund is designed to move in the same direction by about 0.75% to 1%. This level of exposure reflects a more aggressive approach relative to lower-exposure strategies. While it increases the Funds potential to generate performance during periods of rising or persistently high volatility, it also increases the Funds sensitivity to losses during periods of declining or flat volatility. For more information about VIX futures contracts, please see the section in the Funds Prospectus titled Additional Information About the Funds. VIX futures contracts typically decline in value over time during periods of stable or decreasing market volatility. This tendency is driven by a structural market condition known as contango, in which longer-dated futures trade at a premium to the markets expected near-term volatility. As these contracts approach expiration, their prices tend to converge downward toward the spot level (the current, real-time value of the VIX), resulting in a natural erosion of value. Therefore, the Funds long volatility strategy may lose value during most time periods. Leveraged Short Equity Market Strategy In addition to its long volatility strategy and to enhance its total return potential during periods of market declines, the Fund maintains a leveraged short exposure to the Index, generally targeting between 1.5x and 2x the daily performance of the Index. The Fund may obtain this leveraged exposure through a variety of instruments, including: ? Total return swaps referencing the Index; ? Exchange-traded funds (including inverse and leveraged inverse ETFs) that track the inverse of the Index; ? Options strategies, such as deep in-the-money call options (i.e., call options with strike prices significantly below the current market price of the underlying security) or long call/short put combinations; and ? Equity index futures contracts. The Funds leveraged short equity strategy is designed to give the Fund the opportunity to benefit when the broader U.S. stock market declines . Heightened Downside Risk in Sustained Bull Markets The combination of the Funds long volatility exposure and leveraged short exposure to the Index results in a risk profile that is particularly sensitive to prolonged periods of market calm and rising equity prices. Historically, strong bull markets in the Index have often been accompanied by suppressed volatility, as measured by the VIX. During such periods, the Funds long positions in VIX futures may experience persistent losses at the same time its short equity positions rise in value. This dual sensitivity can lead to compounding losses and heightened downside risk. Moreover, because equity markets can theoretically rise without limit, the Funds leveraged short exposure to the Index is subject to potentially unlimited losses during strong and sustained market rallies. The magnified nature of the Funds short equity strategy further increases its vulnerability in such conditions, particularly if gains in the Index are rapid or steep. As a result, the Funds strategy may underperform significantly during extended bull markets or during periods of low volatility, and investors should be prepared for the potential of substantial losses in such conditions. Collateral Holdings The Fund will generally hold between 60% to 80% of its net assets in cash or short-term U.S. Treasury securities. These securities serve a dual purpose: providing collateral for the Funds Long Volatility and Leveraged Short Equity Market strategies and generate income. Cayman Subsidiary : The Fund intends to gain exposure to its strategies either directly or indirectly by investing through a wholly-owned Cayman Islands subsidiary (the Subsidiary). The Fund may invest up to 25% of its total assets in the Subsidiary, tested at the end of each fiscal quarter. The Subsidiary will generally invest in investments (e.g., VIX futures contracts and swaps) that may not generate qualifying income under the source of income test required to qualify as a regulated investment company (RIC) under Subchapter M of the Internal Revenue Code of 1986, as amended (the Code). Unlike the Fund, the Subsidiary may invest without limitation in such investments; however, the Subsidiary will comply with the same Investment Company Act of 1940, as amended (the 1940 Act), requirements that are applicable to the Funds transactions in derivatives. In addition, the Subsidiary will be subject to the same fundamental investment restrictions as the Fund and will comply with them on an aggregate basis with the Fund, and will follow the same compliance policies and procedures as the Fund. Unlike the Fund, the Subsidiary will not seek to qualify as a RIC under the Code. The Fund is the sole investor in the Subsidiary and does not expect the shares of the Subsidiary to be offered or sold to other investors. Because the value of the Subsidiary must not exceed 25% of the Funds value at the close of any quarter, the Subsidiary may need to sell assets as a quarter end approaches and pay a dividend to the Fund. This dividend will constitute qualifying income for RIC purposes. Except as otherwise noted, for purposes of this Prospectus, references to the Funds investments include the Funds indirect investments through the Subsidiary. Reverse Repurchase Agreements The Fund may invest in reverse repurchase agreements, which are a form of borrowing where the Fund sells portfolio securities to financial institutions and agrees to repurchase them at a later date for a higher price. This arrangement allows the Fund to use the proceeds from the initial sale for other investment purposes. However, since the Fund repurchases the securities at a higher price, it incurs a loss on these transactions. To qualify for treatment as a regulated investment company (RIC) under the Internal Revenue Code, the Fund may use reverse repurchase agreements to ensure that its investment in the Subsidiary does not exceed 25% of the Funds total assets at the end of each fiscal quarter (the Asset Diversification Test). During other times of the year, the Funds investments in the Subsidiary may exceed 25% of its total assets. Fund Attributes The Fund is classified as a non-diversified investment company under the 1940 Act and, therefore, may invest a greater percentage of its assets in a particular issuer than a diversified fund. The Funds investment strategies may include active and frequent trading, which are expected to result in high portfolio turnover on an annual basis. The Fund has adopted a policy to have, under normal circumstances, at least 80% of its investment exposure to financial instruments (i.e., futures contracts, options contracts, and swap agreements) that provide exposure to U.S. equity market volatility and/or provide enhanced ( i.e. , leveraged) short exposure to the U.S. equity markets. The Fund is expected to allocate between 60% and 80% of its assets as collateral. Show less