The fund will generally invest in large capitalization companies it believes show business improvement using a proprietary multi-factor model that combines fundamental measures of a stock’s value and growth potential with sustainability (environmental, social, and governance) characteristics.
To measure value, the portfolio managers may use ratios of stock price-to-earnings and stock price-to-cash flow. To measure growth, the managers may use the rate of growth of a company’s earnings and cash flow and changes in its earnings estimates. The model also considers price momentum. The team evaluates multiple sustainability characteristics utilizing internal data and research, as well as third-party commercial data sources. To the extent such information is available, portfolio managers will consider, among others, a company’s carbon emission profile, energy and water usage, or waste generation (environmental), a company’s employee turnover rates, digital privacy, or worker safety (social), and a company’s corporate leadership, including board chair independence and the independence of audit and compensation committees or shareholder rights such as say on pay (governance). If sustainability characteristics are unavailable or incomplete, a security may still be selected for the portfolio if the portfolio managers believe they can evaluate the security qualitatively, or if the financial metrics and/or remaining sustainability characteristics merit investment. Qualitative review of portfolio securities may include examination of registration statements and other information provided by the company as well as engagement with company management.
Each security is evaluated on a sector-specific basis, and the fund seeks to hold securities with the strongest attributes in their respective sectors. Using this process, the portfolio managers attempt to build a portfolio of stocks that provides better returns without taking on significant additional risk and maintains a stronger sustainability profile than the S&P 500® Index.
Under normal market conditions, the fund will invest at least 80% of its assets in equity securities of large capitalization companies. For purposes of this 80% test, the fund defines large capitalization companies as those that are in the capitalization range of the S&P 500® Index. Though market capitalization may change from time to time, as of September 30, 2025, the total market capitalization range of the S&P 500® Index was approximately $6.6 billion to $4.5 trillion.
When deciding whether to buy or sell a security, and how and when to implement a trade, the portfolio managers may consider, among other things, a security’s price, whether a security’s risk parameters outweigh its return opportunities, and general market
conditions. Portfolio managers may also consider the expected implementation costs and tax consequences of the trade in an attempt to gain trading efficiencies, avoid unnecessary risk, minimize tax impact, and/or enhance fund performance.
The fund is an actively managed, nontransparent exchange-traded fund (ETF) that does not seek to replicate the performance of a specified index. In lieu of publishing its portfolio contents (Actual Portfolio) daily, the fund publishes a proxy portfolio (Proxy Portfolio) each day and on its website. There is no minimum overlap required between the Actual Portfolio and the Proxy Portfolio.
