TigerShares to delist its only ETF : TTTN

TigerShares UP Fintech China-U.S. Internet Titans ETF (TTTN)

Gives up 2 years after launch, despite a name change last year.

Expense ratio: 0.59%

Index: Nasdaq China US Internet Tiger Index 

US components: 10 largest companies in NASDAQ Internet Index

Chinese components: 10 largest companies by market capitalization whose primary business includes the provision of internet-related services, as determined by Nasdaq, Inc., the provider of the Underlying Index and that are:

 (1) incorporated or domiciled in China; and

 (2) either members of the NASDAQ Global Index or listed in the U.S. 

To be included in the Underlying Index, each component must:

 (1) have a minimum worldwide market capitalization of $500 million;

 (2) have a minimum three-month average daily dollar trading volume of $1 million;

 (3) not have entered into a definitive agreement or other arrangement which would likely result in the security not being eligible for inclusion in the Underlying Index; and

 (4) not be issued by an issuer currently in bankruptcy proceedings. One security per issuer is permitted to be included in the Underlying Index.

Delisting is here.

UP Fintech Asset Management

https://ir.itiger.com/

Two VanEck Vectors bond ETFs to list tomorrow: MIG and MBBB

UPDATE: Listed on December 2, 2020

Two VanEck Vectors bond ETFs to list Thursday, November 26, 2020
Exchange: Cboe BZX

VanEck Vectors Moody’s Analytics IG Corporate Bond ETF (MIG)
CUSIP: 92189H862

Index: MVIS® Moody’s Analytics® US Investment Grade Corporate Bond Index

As of November 19, 2020, the US IG Index included 364 bonds of 126 issuers. As of the same date, approximately 28% of the US IG Index was comprised of Rule 144A securities.

Prospectus is here.

VanEck Vectors Moody’s Analytics BBB Corporate Bond ETF (MBBB)

CUSIP: 92189H854

Index: MVIS® Moody’s Analytics® US BBB Corporate Bond Index

As of November 19, 2020, the BBB Index included 283 bonds of 94 issuers. As of the same date, approximately 31% of the BBB Index was comprised of Rule 144A securities. 

Prospectus is here.

New ETF provider registered: ASYMmetric ETFs (ASYMshares) - Long/Short ETF

New ETF provider registered today under the name of "ASYMshares"

Initial ETF proposed: ASYMshares ASYMmetric 500 ETF

Founder of ASYMshares Darren Schuringa was also founder of Exchange Traded Concepts, the white label ETF service provider.

SUMMARY

What ASPY does:

Fund tracks an index that seeks to achieve US large cap equity performance with lower volatility by selecting 50 stocks from the S&P 500 ETF (SPY). It achieves this with two mechanisms: selecting the stocks with the lowest relative volatility, and by shorting SPY.

How does it do it:

ASPY's underlying index separates out all constituents of the S&P 500 ETF (SPY) into its constituent sectors (GICS). Each security is ranked from lowest to highest volatility within its sector.

The number of stocks from each sector to be included in the final 50 is determined by multiplying 50 times the percentage weight of each sector in the S&P 500.

Furthermore, index will indicate when there is elevated risk or when to take off risk and short SPY in various amounts accordingly.

ANALYSIS

Strategy: The index methodology is too complicated to explain to intermediary clients in a timely, coherent manner, much less to a retail client. 

Pricing: Charging 0.95% for a US large cap strategy with unproven investment results will also hamper uptake.

Conclusion: ASPY may have a chance to remain viable and gather assets only if it weathers two or more economic down cycles to prove its strategy works, but until then it will have to cover its costs from sources other than management fees.

Ticker: ASPY

CUSIP: 04651A101

Expense Ratio: 0.95%

Constituents: 50

Index: ASYMmetric 500 Index

Index methodology/strategy

Rules-based, quantitative long/short hedging strategy that seeks to provide protection against bear market losses and to capture the majority of bull market gains with respect to exposure to the Index universe.

Index universe: 500 largest capitalized equity securities publicly traded in the United States.

S&P 500 ETF SPY portfolio.

Investment Adviser: ASYMmetric ETFs, LLC

Sub-adviser: Toroso

ASYMmetric ETFs are designed to deliver: 
(i) downside protection – making money in bear markets and 
(ii) upside capture – capturing the majority of the upside of a bull market.

ASYMmetric Risk Management Technology
● Risk-On: Market prices are trending up and have low realized volatility
● Risk-Elevated: Market prices are trending down and have low realized volatility
● Risk-Off: Market prices are trending down and have high realized volatility

The principle of the ASYMmetric Risk Management Technology is to dynamically manage, as of each monthly Index rebalancing and reconstitution date, the Index’s net exposure to its market to:
● Capture the majority of the upside of the market in a bull market, by being net long;
● Protect capital by paring back net exposure during periods of heightened market uncertainty, by being market neutral; and
● Profit in bear markets, by being net short.

Original registration is here.

Updated registration is here.

MORE ETF HEARSAY

 

S000070934

Investment strategy visualized

Extract from Prospectus:

Principal Investment Strategies

 

The Fund employs a passive management or indexing investment approach designed to track the total return performance, before fees and expenses, of the Index. The Index is based on proprietary ASYMmetric Risk Management Technology developed and maintained by ASYMmetric Investment Solutions, LLC (the “Index Provider”), an affiliate of ASYMmetric ETFs, LLC, the Fund’s investment adviser (the “Adviser”).

 

The Index is a rules-based, quantitative long/short hedging strategy that seeks to provide protection against bear market losses and to capture the majority of bull market gains with respect to exposure to the 500 largest capitalized equity securities publicly traded in the United States, which is referred to as the Index’s “market.” The Index is powered by the Index Provider’s ASYMmetric Risk Management Technology, which dynamically manages the Index’s net exposure in three market risk environments:

 

●

Risk-On: Market prices are trending up and have low realized volatility, which is termed a “Risk-On” market environment;

 

●

Risk-Elevated: Market prices are trending down and have low realized volatility, which is termed a “Risk-Elevated” market environment; and

 

●

Risk-Off: Market prices are trending down and have high realized volatility, which is termed a “Risk-Off” market environment.

 

The principle of the ASYMmetric Risk Management Technology is to dynamically manage, as of each monthly Index rebalancing and reconstitution date, the Index’s net exposure to its market to:

 

●

Capture the majority of the upside of the market in a bull market, by being net long;

 

●

Protect capital by paring back net exposure during periods of heightened market uncertainty, by being market neutral; and

 

●

Profit in bear markets, by being net short.

 

The Index achieves its long exposure through investment in large cap equity securities that have the lowest volatility relative to the market. These securities are sorted according to industry sector and ranked from lowest to highest volatility within each sector. The lowest volatility securities from each sector are selected and then equal weighted within each sector. The sector weightings of the Index match the weights of the 11 General Industry Classification Standard (“GICS”) sectors of the SPDR S&P 500 ETF Trust (“SPY”). In order to effect its net short exposure to the market, the Index utilizes cash-settled short selling of the shares of SPY. Hypothetical proceeds from the Index’s short sales is maintained in cash or cash equivalents represented by U.S. Treasury bills or notes having less than three months to maturity or money market funds invested in such U.S. Treasuries. The Index’s net exposure to its market ranges between 100% long and -25% short where net exposure is the difference between the Index’s long equity positions (“Long Book”) and its short sales positions (“Short Book”).

 

Price Indicator Determination of Market Risk Environments. Market risk environments are quantitatively determined by the congruence of two proprietary price-based indicators that measure, monitor and quantify market risk. These indicators are called the “Inertia Indicator” and the “Panic Indicator.”

 

 

The Inertia Indicator is driven by the 200-business day moving average of the prices of the equity securities of the 500 largest capitalized companies traded in the U.S. The Inertia Indicator is designed to identify market price trends (up or down).

 

The Panic Indicator is driven by the Index Provider’s RealVol proprietary measure of the realized volatility of the Index’s market. RealVol measures the dispersion of prices of the 500 large cap securities comprising the Index’s market. RealVol is engineered to measure market risk (high or low) based on actual market price movements and not expected price movements.

 

The congruence of the output of the Inertia and Panic Indicators is used to classify monthly the Index’s market condition as either Risk-On, Risk-Elevated, or Risk-Off market environments, as outlined in the table below. The market is in a Risk-On environment when the market is technically trending up, above its 200-business day moving average, and volatility is low. The market is in a Risk-Elevated environment when the market is below its 200-business day moving average, but volatility has not spiked. The market is in a Risk-Off environment when the market is trending down, below its 200-business day moving average, and realized volatility has spiked.

 

Market Risk Environment
Risk Environment Indicated	Inertia Indicator	Panic Indicator
Risk-On	Risk-On	Risk-On
Risk-Elevated	Risk-Off	Risk-On
Risk-Off	Risk-Off	Risk-Off

 

Index Net Beta-Adjusted Exposure Determination. The market risk environment classification systematically determines the net exposure of the Index, as referenced in the table below. In the Risk-On environment, the net beta-adjusted exposure of the Index is 75%. In the Risk-Elevated environment, the net beta-adjusted exposure of the index is 0%. In the Risk-Off environment, the net beta-adjusted exposure of the Index is -25%.

 

Index Net Exposure
Risk Environment	Net Exposure
Risk-On	75%
Risk-Elevated	0%
Risk-Off	-25%

 

Net exposure is determined utilizing a calculation of the “net beta-adjusted exposure” of the Index’s Long Book where the Long Book exposure is multiplied by a fraction that represents the volatility correlation or “beta” of the Long Book to the full Index market. Then the net exposure of the Index is subtracted from the net beta-adjusted Long Book exposure to establish the actual Short Book weight.

 

 

The following table presents an example of the calculation of the beta-adjusted exposures of the Index.

 

Beta Adjusted Exposure - Example (Risk-On)
Long Exposure	Long Book Portfolio Beta	Beta Adjusted Long Exposure	Beta Adjusted Short Exposure
100%	0.9	90%	90% - 75% = 15%

 

Weighting of Index Components. The Index is comprised of (1) a Long Book, (2) a Short Book, and (3) cash and cash equivalents. The Long Book is a proprietary rules-based low volatility version of the SPY. The Short Book is comprised of short sales of the shares of SPY. Cash and cash equivalents are held by the Index to represent the hypothetical proceeds from short selling of SPY. The weightings of these three components are formulaically determined based on the table below and are determined by the current market risk environment.

 

Weighting of Index Components
Risk Environment	Long Book Weight	Short Book Weight	Net Exposure
Risk-On	100%	0%-25%	75%
Risk-Elevated	35%	0%-35%	0%
Risk-Off	20%	0%-45%	-25%

 

Index components of the Long Book are selected from the current portfolio constituents of SPY. SPY constituents are classified by GICS sectors and ranked according to volatility. The Long Book is sector neutral, meaning the weights of each sector in the Long Book match the sector weights of SPY. The weighting of the sector multiplied by the Index’s target of 50 Index components rounded to the nearest whole number equals the number of securities within each sector of the Long Book. Constituents with the lowest volatility are selected for each sector. The Long Book constituents are equal weighted within each sector. While the Long Book is initially targeted to have 50 component equity securities, rounding effects in the weighting process will cause the actual number of Index components to range from 48 to 52 component securities.

 

In tracking the Index, the Fund will generally hold its assets in Long Book securities, Short Book short sales positions and cash and cash equivalents with same weightings as they represent in the Index.

 

New ETF filed: China onshore bond market (Exchange Traded Concepts)

Capital Link/Asia Times Financial 50 Chinese Mainland Bond ETF
Ticker: CMB
Exchange: NYSE Arca

Effective date: February 8, 2021
CUSIP: N/A
Expense ratio: N/A
Index: ATF ALLINDEX China Bond Onshore Market 50 Index

Index provider: ALLINDEX AG

Strategy summary (Index methodology)

The Index is designed to measure the performance of the Chinese onshore bond market.

CNY-denominated bonds issued in the PRC by

• Corporates (12.5%)
• State-owned enterprises (entities controlled and managed by the Chinese state) (12.5%)
• Financial institutions (39%)
• Local governments (10%)
• Policy banks (state-owned banks responsible for financing economic and trade development and state invested projects) (6%)
• PRC government (20%)

The universe of securities eligible for inclusion in the Index consists of all Chinese Bonds traded on the China Interbank Bond Market and available through China’s Bond Connect Program.

From this eligible universe, bonds are filtered based on a number of selection criteria, including:

• Rating (A- and above)
• Maturity (1 to 7 years left)
• Issue Size (depends on issuer)
• Trading Volume (depends on issuer)

Last step: Ensure only one bond per issuing entity is included, except that 10 bonds issued by PRC will be included.

Number of constituents: 50 bonds

Prospectus is here.

Extract from prospectus:

Principal Investment Strategies

The Fund will normally invest at least 80% of its total assets in securities of the Index. The Index is designed to measure the performance of the Chinese onshore bond market. The Index includes Chinese Yuan (“CNY”)-denominated bonds issued in the People’s Republic of China (“PRC”) by corporates (privately owned entities with state ownership of less than 25%), state-owned enterprises (entities controlled and managed by the Chinese state), financial institutions, local governments, policy banks (state-owned banks responsible for financing economic and trade development and state invested projects), and the PRC government (collectively, “Chinese Bonds”). The securities market of China is considered an emerging market. Under normal circumstances, the Fund will invest at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in Chinese Bonds.

The universe of securities eligible for inclusion in the Index consists of all Chinese Bonds traded on the China Interbank Bond Market (“CIBM”) and available through China’s Bond Connect Program (“Bond Connect”). From this eligible universe, bonds are filtered based on a number of selection criteria, including:

(1) rating – a bond must have a rating that is equal to or above A-;

(2) maturity – a bond must have between one to seven years left to maturity;

(3) issue size – the bond issuance must be of a certain CNY amount, which varies depending on the type of issuer of the bond as follows (in millions): corporate, 1,000 CNY; state-owned enterprises, 2,000 CNY; financial institutions, 1,000 CNY; local governments, 700 CNY; and policy banks, 1,000 CNY; and

(4) trading volume – each bond’s trading activity is analyzed to ensure a certain amount of trading took place over the prior twelve month period. The amount of trading required differs depending on the type of issuer of the bond as follows: corporate, three times per year; state-owned enterprises, three times per year; financial institutions, one time per year; local governments, one time per year; and policy banks, one time per year.

Once these filters are applied, the last step is to ensure that only one bond per issuing entity is included in the Index, with the exception that 10 bonds issued by the PRC are included. The Index includes 50 bonds, with each segment of bonds weighted as follows: corporates, 12.5% of the Index; state-owned enterprises, 12.5%; financials, 39%; local governments, 10%; policy banks, 6%; and government bonds, 20%. The Index may include Chinese Bonds of any duration. The Index is reconstituted and rebalanced on a quarterly basis.

Krane Shares expands white-label ETF business by filing for 2nd Quadratic ETF

Quadratic Deflation ETF

NYSE arca: DFL

Expense ratio: 0.99%

Index: Actively-managed

Sub-adviser: Quadratic Capital Management LLC "Innovative Alternative Asset Management" (also managed IVOL)

Prospectus is here.

Investment Objective

To profit from deflation, lower or negative long-term interest rates, and/or the inversion or flattening of the U.S. interest rate curve by investing in U.S. Treasuries and options.

As a secondary goal, the Fund seeks to adhere to ESG principles by excluding investments in issuers that are involved in and/or that derive significant revenue from, certain practices, industries or product lines and by increasing the representation of underrepresented groups in the governance of ETFs.

Strategy (see Extract from filing below for more details)

• US Treasuries: Treasuries and ETFs
• Options: Long spreads and butterflies
• ESG: SASB framework. 

Extract from the filing:

Principal Investment Strategies

The Fund is actively managed by the Fund’s investment sub-adviser, Quadratic Capital Management LLC (“Quadratic” or the “Sub-Adviser”), and seeks to achieve its investment objective primarily by investing, directly or indirectly, in a mix of U.S. Treasury securities (“Treasuries”) and option strategies (as defined below) tied to the shape of the U.S. interest rate swap curve (described below). The Fund’s strategy is designed to hedge against deflation risk and generate positive returns from the Fund’s options during periods when the U.S. interest rate curve flattens (i.e., the spread between interest rates on U.S. long-term debt instruments and U.S. shorter-term debt instruments tightens) or inverts.

 The Fund is also designed to adhere to ESG principles, as reflected in the framework published by the Sustainability Accounting Standards Board (“SASB”), by excluding investments in issuers that are involved in and/or that derive significant revenue from, certain practices, industries or product lines, including Extreme Event Controversies, Controversial Weapons, UN Global Compact Violations, Civilian Firearms, Thermal Coal Extraction and Tobacco. Further, the Fund represents an ESG “impact” investment insofar as Quadratic is a registered Small/Minority Business Enterprise and a majority woman-owned firm and, thus, an investment in the Fund advances certain ESG governance principles (such as increasing the representation of women in senior management and board positions in the U.S.).

The Fund invests in Treasuries of various maturities directly or through other exchange-traded funds (“ETFs”) that invest in Treasuries. The “option strategies” used by the Fund are options strategies that are tied to the shape of the U.S. interest rate swap curve and structured to limit the loss to the Fund and include long options, long spreads and butterflies. The U.S. interest rate swap curve is a type of interest rate curve that reflects the fixed interest rates used in interest rate swap agreements with different maturities. (“Swap rates” are a fixed interest rate exchanged for a floating interest rate in an interest rate swap). The Fund may buy options, long spreads and “butterflies”. Long spreads involve buying one call (put) option and selling another call (put) option to create a range consisting of a lower (higher) strike price and an upper (lower) strike price and the maximum loss should be limited to the premium paid. Butterflies involve buying a call (put) with a lower (higher) strike price, selling two call (put) options with an intermediate strike price, and buying one additional call (put) option with a higher (lower) strike price and the maximum loss should be limited to the premium paid.

The option strategies used by the Fund are expected to (i) appreciate in value as the curve flattens or inverts and (ii) decrease in value or become worthless as the curve steepens. The U.S. interest rate swap curve “flattens” when the spread between swap rates on longer-term debt instruments and shorter-term debt instruments narrows, “steepens” when such spread widens, and “inverts” when swap rates on longer-term debt instruments become lower than those for shorter-term debt instruments (i.e., the spread is negative).

When the Fund purchases an option, the Fund pays a cost (premium) to purchase the option. The Fund’s investments in options will be traded in the over-the counter (“OTC”) market. OTC derivative instruments generally have more flexible terms negotiated between the buyer and the seller, and the counterparties may be required to post “variation margin” as frequently as daily to reflect any gains or losses in such options contracts. If such variation margin is not required to be posted, such instruments would generally be subject to greater credit risk and counterparty risk. OTC instruments also may be subject to greater liquidity risk.

Options contracts, by their terms, have stated expirations; therefore, to maintain consistent exposure to options, the Fund will periodically migrate out of existing positions and into different positions with different strike prices and maturities — a process referred to as “rolling.” Quadratic will use its discretion to implement option strategies with a time-to-expiration of any maturity.

Under normal circumstances, the Sub-Adviser generally expects to invest less than 20% of the Fund’s assets in option premiums (as defined below) and to actively manage the Fund’s options investments to reduce the weight of such options in the Fund’s portfolio if their value increases above the desired amount. Similarly, the Sub-Adviser generally expects to sell portfolio investments and reinvest proceeds in options if the value of such options declines below the desired amount.

New ETF to list on Thursday: Ballast Small/Mid Cap ETF (MGMT)

UPDATE: Listed on December 7, 2020 (Monday)

Ballast Small/Mid Cap ETF

Ticker: MGMT
Exchange: NYSE Arca

Expense ratio: 1.10%

CUSIP: 90470L550

Index: Actively-managed

Adviser: Ballast Asset Management, LP

Strategy:

Universe: Small and mid-size US companies, $100M to $15B market cap.

Value investing based on:

1. Management experience
2. Balance sheet
3. Cash flow
4. Return on capital

Prospectus is here.

Adviser leadership team page is here.

Ballast Asset Management Manager Ragen Stienke LinkedIn page.

MGMT product page is here.

Ballast Asset Management LinkedIn page is here.

KOKU - Xtrackers ETF - Dividend payout frequency change

Xtrackers MSCI Kokusai Equity ETF (KOKU)

*Kokusai (国際）means "international" in Japanese.

Dividend payout frequency changing from annual to quarterly effective March 1, 2021.

Expense ratio: 0.09%

AUM as of November 23, 2020: $805M

Number of Securities: 1,202

Primary Listing Exchange: NYSE

Listing Date: Apr 08, 2020

CUSIP: 233051135

Index: MSCI Kokusai Index. The MSCI Kokusai Index is also known as the MSCI World ex Japan Index

Index ticker: NDDUKOK

000067508

New Semi-Transparent Actively-Managed ESG ETF filed

Stance Equity ESG Large Cap Core ETF

Semi-transparent actively-managed ETF that uses reference basket, a portfolio substitute. Will contain all actual holdings of fund but in different relative weights with 90% overlap at beginning of each trading day.

Ticker: STNC

Exchange: NYSE Arca

Expense ratio: 0.85%

Original filing date: November 23, 2020

Effective Date: March 12, 2021

Listing Date: Week of March 15, 2021

CUSIP: 74933W759

Active: Yes

Index / Benchmark: Not applicable

Investment Strategy

Universe:

Russell 2000 and S&P 500 companies, excluding those engaged in weapons, tobacco, or thermal coal.

Investment process:

1. Sustainability and governance KPI filter

2. Machine learning to identify companies which will outperform over next quarter

3. Portfolio optimized to minimize tail risk and maximize diversification.

• Quarterly rebalance.
• Target to hold at least 30 companies in fund portfolio.

Adviser: Red Gate Advisers, LLC

Sub-adviser: Stance Capital LLC and Vident Investment Advisory, LLC

Adminstrator: U.S. Bancorp Fund Services, LLC

Fund accountant: U.S. Bancorp Fund Services, LLC

Custodian: U.S. Bank, N.A.

Distributor: Vigilant Distributors, LLC (f/k/a/ Herald Investment Marketing, LLC) 

Legal counsel: Faegre Drinker Biddle & Reath LLP

External accounting: PricewaterhouseCoopers LLP

Preliminary prospectus is here.

Final prospectus is here.

MORE ETF HEARSAY

 

S000070925

The Fund is an actively managed exchange-traded fund (“ETF”) that will invest, under normal circumstances at least 80% of the value of its net assets (plus the amount of any borrowings for investment purposes) in exchange-traded equity securities of U.S. large capitalization issuers that meet environmental, social, and governance (“ESG”) standards, as determined by the Fund’s sub-adviser, Stance Capital, LLC (the “Sub-Adviser”). The Fund currently considers companies within the Russell 1000® Index and S&P 500® Index to be large capitalization issuers.

 

In identifying investments for the Fund, the Sub-Adviser utilizes three independent processes. First, the Sub-Adviser applies a rules-based ESG methodology which seeks to identify the top 50% from each industry and sub-industry in the universe of large capitalization companies. Companies who have exclusively or primarily engaged in weapons, tobacco, or thermal coal are generally excluded from consideration. The remaining universe is then quantitatively scored against industry group peers on up to 21 sustainability-related key performance indicators ("KPIs") such as energy productivity, carbon intensity, water dependence, waste profile and KPIs relating to governance, including capacity to innovate, unfunded pension fund liabilities, chief executive officer/average worker pay, safety performance, employee turnover, leadership diversity, percentage tax paid, and percent of bonus linked to sustainability performance. The securities in the top 50% may be retained. The Sub-Adviser utilizes data feeds from third parties that the Sub-Adviser considers, in its sole discretion, as trustworthy and/or have expertise in specific KPI areas. The current primary external data source is Corporate Knights Research, but such firm or firms may change in the Sub-Adviser's discretion. Corporate Knights Research is based in Toronto, and is a leading media firm in Canada focused on climate risk. For over 20 years they have published an annual ranking of the most sustainable companies in the world. Their methodology is rules-based and forms the foundation of the Sub-Adviser's approach to ESG scoring. Second, the Sub-Adviser applies a machine learning model which uses financial, risk, and other factors to identify companies that are most likely to outperform both in absolute returns and in risk adjusted returns over the next quarter. In the final process, the portfolio is optimized to minimize tail risk and maximize diversification The Sub-Adviser generally re-balances the portfolio quarterly. Positions are sold quarterly if the Sub-Adviser decides they are no longer optimal in the portfolio.

The Fund’s investment portfolio is focused, generally composed of at least 30 investment positions.

While investing in a particular sector is not a principal investment strategy of the Fund, its portfolio may be significantly invested in a sector as a result of the portfolio management decisions made pursuant to its principal investment strategy. While the Fund does not place any restrictions on its level of sector concentration, it will limit its investments in industries within any particular sector to less than 25% of the Fund’s total assets. On each rebalancing date, investments within a particular sector will also be capped at up to twice the weight of the sector within the S&P 500 Index.

The Fund intends to elect to be, and intends to qualify each year for treatment as a regulated investment company (“RIC”) under Subchapter M of Subtitle A, Chapter 1, of the Internal Revenue Code of 1986, as amended (the “Code”).

Semi-Transparent Actively-Managed ETF with Portfolio Reference Basket Structure. The Fund is an actively-managed, semi-transparent ETF. Unlike traditional ETFs, which generally publish their portfolio holdings on a daily basis, the Fund discloses a portfolio transparency substitute—the “Portfolio Reference Basket”—and certain related information about the Portfolio Reference Basket relative to the Fund’s actual portfolio (“Actual Portfolio”) holdings (the “Portfolio Reference Basket Disclosures”), which are intended to help keep the market price of the Fund’s Shares trading at or close to the underlying net asset value (“NAV”) per Share of the Fund. While the Portfolio Reference Basket includes all of the Fund’s holdings, it is not the Fund’s Actual Portfolio because the holdings will be weighted differently, subject to a minimum weightings overlap of 90% with the Fund’s Actual Portfolio at the beginning of each trading day. The Fund also discloses the maximum deviation between the weightings of the specific securities in the Portfolio Reference Basket and the weightings of those specific securities in the Actual Portfolio, as well as between the weighting of the respective cash positions (the “Guardrail Amount”). The Guardrail Amount is intended to ensure that no individual security in the Portfolio Reference Basket will be overweighted or underweighted by more than the publicly disclosed percentage when compared to the actual weighting of each security within the Actual Portfolio as of the beginning of each trading day. The Fund is actively-managed and does not seek to track an index.