The Fund is an actively-managed exchange-traded fund (“ETF”) that seeks capital appreciation.

The Fund seeks to create an investment portfolio with similar return characteristics to the gross of fees returns of the hedge fund industry’s Global Macro sector (see the section in the Fund’s Prospectus titled “Additional Information about the Funds”), while also targeting a volatility level approximately twice that of the sector. By incorporating higher volatility, the Fund’s sub-adviser, Unlimited Funds, Inc. (“Unlimited” or the “Sub-Adviser”), believes that the Fund’s net of fees returns may outperform those of the hedge fund industry Global Macro sector. Additionally, the Fund may benefit from its comparatively lower operating expenses versus the relatively high fees and expenses charged by hedge funds.

The Sub-Adviser obtains publicly reported returns and fee data for the hedge fund industry’s Global Macro sector from various sources. The Sub-Adviser then seeks to create an investment portfolio with similar return characteristics (including return and correlation with other asset classes) as the Global Macro sector of the hedge fund industry by taking long and short positions in broad-based ETFs (“Underlying ETFs”) and futures contracts. A long position means the Fund will buy a security with the expectation that it will rise in value. In contrast, the Fund will “short” a security with the expectation that it will fall in value.

The Investment Process

The Sub-Adviser determines the recent daily and monthly gross of fees returns and volatility metrics of the hedge fund industry’s Global Macro sector by reviewing publicly reported returns and fee information for the sector. The Sub-Adviser determines an investment portfolio of long and short positions in Underlying ETFs and futures contracts which best match the Global Macro sector’s most recent gross of fees returns, while approximately doubling its volatility, by using a proprietary algorithm.

The selection of potential investments used as algorithm inputs is determined by the Sub-Adviser’s portfolio managers based upon their belief of which return factors best capture recent positioning (e.g., bonds, credit, commodities, currencies, stock sectors, company factors, country indexes). The proprietary technology analyzes the historical pattern of the returns and volatility patterns of the Global Macro sector compared with these factors over several time frames to determine the portfolio that best matches the recent Global Macro sector’s gross of fees returns while maintaining approximately twice the volatility.

Over time, through the use of this proprietary process, the Sub-Adviser expects the Fund to have similar return characteristics as the hedge fund industry Global Macro sector’s gross of fees returns, but with higher volatility by taking directionally similar positions as the Global Macro sector with larger notional exposure. The Sub-Adviser performs the foregoing analyses on an ongoing basis because hedge fund data for different hedge fund indices (the “Indices”) is available at different times. The Sub-Adviser will frequently trade all or a significant portion of the holdings in the Fund’s investment portfolio as a result.

What the Fund invests in: The Fund’s portfolio will generally consist of long and short positions in 10-30 Underlying ETFs and futures contracts. The Fund may also invest in swap agreements. Please see the heading titled “Portfolio Construction,” below, for more information about the Fund’s portfolio holdings.

What the Fund will NOT do: The Fund is not a hedge fund, nor will it invest in hedge fund strategies or positions. For the avoidance of doubt:

Portfolio Construction

The Fund invests primarily in Underlying ETFs and exchange-listed futures contracts. The Fund’s initial universe of Underlying ETF investments includes a broad range of primarily passively-managed ETFs. The initial universe may include, among others:

If there are several potential candidates for inclusion in the Fund’s portfolio, the Sub-Adviser’s selection criteria favor lower cost Underlying ETFs. To seek to achieve the Fund’s target volatility level, the Fund will use futures contracts and, to a lesser extent, swaps.

To achieve an appropriate risk/return profile for the Fund’s portfolio, which includes targeting approximately twice the volatility of the Global Macro sector, the Fund will also “short” the securities of Underlying ETFs. Please see the section in the Fund’s Prospectus titled “Additional Information about the Funds” for a description of short sales.

In addition, the Fund’s portfolio will hold futures contracts to express long and short exposures if futures contracts are either lower cost or more accurately reflect the Sub-Adviser’s desired positioning for the Fund’s overall portfolio than investments in Underlying ETFs. The use of futures contracts will allow the Fund to take the larger notional economic exposure needed to achieve the higher target volatility. The Fund can also invest in swap agreements for similar purposes. The Fund is expected to outperform the hedge fund industry’s Global Macro sector during periods when returns of that sector exceed cash returns and underperform in periods when the returns from that sector underperform cash. Please see the section in the Fund’s Prospectus titled “Additional Information about the Funds” for a description of futures contracts and swap agreements.

The Sub-Adviser adjusts the Fund’s portfolio on a frequent basis in light of its ongoing analysis of the Indices. As a result, the Fund will frequently trade all or a significant portion of the holdings in the Fund’s investment portfolio.

The Fund is deemed to be non-diversified under the 1940 Act, 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 was a diversified fund.

Cayman Subsidiary

The Fund intends to gain exposure to futures contracts and swap agreements either directly or indirectly by investing through a wholly-owned Cayman Islands subsidiary (the “Subsidiary”) that is advised by the Adviser. The Fund may invest up to 25% of its total assets in the Subsidiary. The Subsidiary will comply with the same 1940 Act requirements that are applicable to the Fund’s transactions in derivatives. In addition, the Subsidiary will be subject to the same fundamental investment restrictions and will follow the same compliance policies and procedures as the Fund. Unlike the Fund, the Subsidiary will not seek to qualify as a regulated investment company (“RIC”) under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). The Fund is the sole investor in the Subsidiary. The Adviser selects the Subsidiary’s investments.