The Fund is an actively managed exchange-traded fund (“ETF”) that seeks current income while providing direct and indirect inverse exposure to the share price of a group of equity securities, subject to participation in a portion of potential investment gains. The Fund’s strategy involves: (i) constructing a short portfolio of U.S.-listed equity securities (each, an “Underlying Security”) or derivatives that provide short exposure to those Underlying Securities (the “Equity Strategy”) and (2) generating options premiums through an options portfolio (the “Options Strategies”), which involve using options contracts on Underlying Securities. The Fund may also maintain an allocation to cash or U.S. Treasuries.

Equity Strategy

The Fund’s investment adviser, selects the Underlying Securities to which the Fund will gain short exposure. The Underlying Securities primarily include U.S.-listed equity securities of operating companies and shares of ETFs. Additionally, they may include other types of U.S. listed exchange-traded products (e.g., closed-end funds and commodity pools).

The Adviser selects the Underlying Securities by analyzing, among other things, the levels of implied volatility (a measure of the market’s expectation for future price fluctuations) of the Underlying Security’s listed options prices. Implied volatility is integral to the Fund’s strategy, as it indicates the expected price fluctuations of a security, guiding the Adviser’s selection of suitable Underlying Securities. Generally, the Adviser will seek to gain short exposure to Underlying Securities with higher implied volatility relative to the broad market, industry or sector peers, or the historical averages for the Underlying Security. Higher implied volatility typically correlates with increased options premiums, allowing the Fund to generate options premiums from its portfolio of Options Strategies. The Adviser also analyzes significant upcoming events related to, where applicable, the issuers of the Underlying Securities (e.g., earnings releases), as well as the trading volumes of such securities and their related options contracts. The Fund is generally unconstrained and therefore, the Underlying Securities can be of any market capitalization size and represent any industry sector.

The Adviser selects Underlying Securities based on a frequent and quantitative screening process. This method evaluates various factors such as the implied volatility of the Underlying Security and the trading volume and liquidity of both the Underlying Security and options on the Underlying Security. Furthermore, the Adviser’s screening process also identifies the industry sectors of potential Underlying Securities as part of its risk management process as described below.

The Fund’s allocation to particular Underlying Securities is primarily driven by implied volatility levels. The Adviser strategically identifies Underlying Securities in periods of likely higher volatility (e.g., ahead of significant events, like earnings releases). The Adviser will typically select between fifteen and thirty Underlying Securities to which the Fund will gain short exposure and will implement the Options Strategies on the Underlying Securities. However, when the Adviser deems it appropriate, it may choose as few as five Underlying Securities. The Fund may also allocate up to 50% of its net assets in lower-volatility, large-cap equities to seek to provide greater net asset value stability. The Fund will also hold short-term U.S. Treasury securities.

As part of its risk management process, to seek to lower risk and enhance returns, where possible, the Fund will gain short exposure to Underlying Securities, including ETFs and exchange-traded products (ETPs), across various sectors and industries, reducing the impact of sector-specific events. While the Fund intends to have exposure to multiple sectors, it may gain short exposure to Underlying Securities attributable to a particular sector in amounts greater than 25% of the Fund’s total assets when the Adviser’s selection process indicates that such sector exposure would be appropriate for the Fund. The Fund does not currently intend to invest in any particular sector. The Fund will not invest more than 25% of its net assets in any particular “industry” as that term is used in the 1940 Act.

The Fund may gain short exposure to Underlying Securities directly or “synthetically.” To invest synthetically, the Fund will use options contracts on Underlying Securities (considered indirect or synthetic short holdings of the Underlying Securities) to gain exposure to the inverse (opposite) share price performance of the Underlying Securities. The allocation between direct and indirect (synthetic) short holdings varies based on strategic decisions and market conditions as assessed by the Adviser.

Options Strategies – Seeking Premiums & Growth

The Fund seeks to generate options premiums and growth by using Options Strategies on the shorted Underlying Securities. In particular, the Fund will receive options premiums when it writes (sells) an option. By selling options, the Fund earns premiums from buyers who pay for the right to buy or sell the underlying asset at a predetermined price. The amount of premium the Fund receives is influenced by market volatility, as higher volatility (larger price swings) generally results in higher premiums. Therefore, the Adviser analyzes market conditions to determine the timing and type of Options Strategies to employ. By strategically entering and exiting options positions, the Adviser seeks to enhance the Fund’s potential to generate options premiums. Depending on the Adviser’s outlook, the Adviser will select one Options Strategy or a combination of Options Strategies that it believes will best generate premiums while generally also attempting to benefit from downside participation, meaning the opportunity for the Fund to gain if the value of the shorted assets decline. In some instances, the aim is to generate additional gains if the Underlying Security decreases in value, while, in other cases, the aim is to limit losses if the Underlying Security increases in value.

The Adviser considers both market conditions and the performance of the Underlying Securities when selecting Options Strategies. In some instances, the aim is to generate additional gains if the Underlying Security decreases in value, while, in other cases, the aim is to limit losses if the Underlying Security increases in value. The Adviser may implement the selected strategy by increasing the Fund’s short exposure to an Underlying Security to seek increased gains or by using hedging techniques to seek to limit the Fund’s potential losses.

Further, depending on the Adviser’s assessment of one or more of the Underlying Securities’ options contracts (e.g., they are insufficiently liquid or too costly), the Fund may employ Options Strategies using an ETF, instead of options on the Underlying Securities themselves. Each such ETF would otherwise qualify as an Underlying Security. The Fund’s use of Options Strategies with Underlying Securities and ETFs will always be covered (e.g., the Fund may do call or put spreads). The Fund’s Options Strategies are applied consistently, whether the Underlying Security is held directly or through synthetic exposure, and regardless of whether the Underlying Security is an equity security, an ETF, or another type of ETP.

The Fund’s outcomes may vary depending on the Options Strategies used and the purpose for which they are employed, including seeking additional exposure (leverage) or providing upside protection (hedging). For example:

These Options Strategies impact the risk-return profile of the Fund, potentially affecting volatility, options premiums generation, downside capture (opportunity to profit from declining asset values), capital preservation (protecting value), and the degree of leverage or hedging embedded in the Fund’s portfolio. See the prospectus section titled “Additional Information About the Fund” for examples of the options strategies that the Fund may utilize, together with a description of each options strategy.

Distributions may include a significant portion classified as return of capital (“ROC”). ROC generally represents a return of a shareholder’s invested capital rather than traditional income such as dividends or interest. See the prospectus section titled “Additional Information About the Fund” for more information about option premiums and ROC.

US Treasuries

In addition, the Fund may hold cash or short-term U.S. Treasury securities. These securities serve a dual purpose: (1) providing collateral for the Options Strategies and for the short positions, and (2) contributing to the Fund’s income generation.

Why invest in the Fund?

Fund Distributions

The Fund seeks to provide weekly distributions. The Fund seeks to generate such distributions in the following ways:

The Fund is classified as “non-diversified” under the 1940 Act. The Fund’s investment strategy is expected to result in high portfolio turnover on an annual basis.

The Fund will employ its investment strategy regardless of whether there are periods of adverse market, economic, or other conditions and will not take temporary defensive positions during such periods.

There is no guarantee that the Fund’s investment strategy will be properly implemented, and an investor may lose some or all of its investment.