Strategy. The Fund generally will invest at least 90% of its total assets in securities that comprise the Underlying Index. Strictly in accordance with its guidelines and mandated procedures, S&P Dow Jones Indices LLC (S&P DJI or the Index Provider) compiles, maintains and calculates the Underlying Index, which is designed to measure the performance of 120 stocks in the S&P SmallCap 600 Index (the Parent Index) that have relatively high value and momentum scores. In general, a value stock tends to trade at a lower price relative to its companys fundamentals and thus may be considered undervalued by investors and momentum is the tendency of an investment to exhibit persistence in its relative performance. A momentum style of investing emphasizes investing … Show more… The Fund generally will invest at least 90% of its total assets in securities that comprise the Underlying Index. Strictly in accordance with its guidelines and mandated procedures, S&P Dow Jones Indices LLC (S&P DJI or the Index Provider) compiles, maintains and calculates the Underlying Index, which is designed to measure the performance of 120 stocks in the S&P SmallCap 600 Index (the Parent Index) that have relatively high value and momentum scores. In general, a value stock tends to trade at a lower price relative to its companys fundamentals and thus may be considered undervalued by investors and momentum is the tendency of an investment to exhibit persistence in its relative performance. A momentum style of investing emphasizes investing in securities that have had better recent performance compared to other securities. In selecting constituent securities for the Underlying Index, the Index Provider first calculates the value score of each stock in the Parent Index by evaluating each stocks: (i) book value-to-price ratio, calculated using the companys latest book value per share divided by its price; (ii) earnings-to-price ratio, calculated using the companys trailing 12-month earnings per share divided by its price; and (iii) sales-to-price ratio, calculated using the companys trailing 12-month sales per share divided by its price. The Index Provider also calculates a security's momentum score by evaluating the percentage change in the stocks price over the last 12 months, excluding the most recent month, and applying an adjustment based on the securitys volatility over that period. A securitys momentum score is based on upward price movements of the security as compared to other eligible securities within the remaining constituent universe. The Index Provider selects the 240 securities with the highest-ranking value scores and then ranks them by momentum score. The Index Provider generally selects the 120 highest-ranking securities for inclusion in the Underlying Index. The component securities are weighted by value score. As of June 30, 2025, the Underlying Index was comprised of 120 constituents with market capitalizations ranging from $539.8 million to $6.5 billion. The Fund employs a full replication methodology in seeking to track the Underlying Index, meaning that the Fund generally invests in all of the securities comprising the Underlying Index in proportion to their weightings in the Underlying Index. The Fund intends to be diversified, as defined in the Investment Company Act of 1940, as amended (the 1940 Act), to the extent that the Underlying Index is diversified. The Fund may become non-diversified as defined in the 1940 Act solely as a result of a change in relative market capitalization or index weighting of one or more constituents of the Underlying Index. Should the Fund become non-diversified, it will no longer be required to meet certain diversification requirements under the 1940 Act and may invest a greater portion of its assets in securities of a small group of issuers or in any one individual issuer than can a diversified fund. Shareholder approval will not be sought when the Fund crosses from diversified to non-diversified status solely due to a change in relative market capitalization or index weighting of one or more constituents of the Underlying Index. In seeking to track the Underlying Index, the Fund was managed as diversified as of April 30, 2025. Concentration Policy. The Fund will concentrate its investments (i.e., invest 25% or more of the value of its total assets) in securities of issuers in any one industry or group of industries only to the extent that the Underlying Index reflects a concentration in that industry or group of industries. The Fund will not otherwise concentrate its investments in securities of issuers in any one industry or group of industries. As of April 30, 2025, the Fund had significant exposure to the financials sector. The Fund's portfolio holdings, and the extent to which it concentrates its investments, are likely to change over time. Show less