DELISTED - The Fund is designed for investors who seek total return with an emphasis on income generated through (i) premiums received from selling put options based on the SPDR® S&P 500® ETF Trust (“SPY”), an exchange-traded fund that seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of the S&P 500® Index (“S&P 500”) and (ii) investing such premium income in an actively-managed portfolio of investment grade debt securities. When SPY (and thus the S&P 500) is flat or rising in value, the Fund’s strategy is intended to provide income from (i) and (ii), but Fund returns will not necessarily increase in the same amount SPY (and thus the S&P 500) rises in value. When SPY (and thus the S&P 500) is declining in value, the Fund will lose value because the put options sold by the Fund may be exercised (thus requiring the Fund to buy SPY at the option’s strike price, which is then higher than SPY’s current market price). However, the Fund’s income received from (i) and (ii) would offset at least some portion of the Fund’s losses from the decline in SPY’s (and thus the S&P 500’s) value. Accordingly, the Fund is intended for investors who seek income when the investor believes SPY (and thus the S&P 500) will remain flat or rise in value in a manner intended to provide at least some downside protection when SPY (and thus the S&P 500) declines in value. Since the Fund will not produce gains that correspond to the amount SPY (and thus the S&P 500) rises in value, the Fund should not be confused with a fund that is designed to track the performance of the S&P 500. If SPY (and thus the S&P 500) declines in value, thereby permitting the put options the Fund has sold to be exercised, Fund losses will likely outweigh the income attributable to (i) and (ii), and Fund losses may be substantial. The value of the Fund’s debt securities may also decline in value or fail to produce interest income, which would detract from the Fund’s returns when SPY (and thus the S&P 500) is flat or rising in value and may exacerbate Fund losses when SPY (and thus the S&P 500) is declining in value. Please refer to the Fund’s prospectus for further information, including a table showing the effect of various hypothetical changes in the value of SPY (and thus the S&P 500) on the Fund’s options positions. Description of Principal Investment Strategies The Fund seeks to achieve its investment objective by (i) selling listed one-month put options on SPY and (ii) investing the premium income received from selling such options in a portfolio of investment grade debt securities. SPY is an exchange-traded fund that seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of the S&P 500. SPY holds a portfolio of the common stocks that are included in the S&P 500, with the weight of each stock in SPY’s portfolio substantially corresponding to the weight of such stock in the S&P 500. By selling an option, the Fund will receive premiums from the buyer of the option, which will increase the Fund’s return if the option is not exercised and thus expires worthless. However, if the option’s underlying stock (in this case, shares of SPY) declines below the strike price at any time prior to expiration, the option is “in-the-money” and the Fund will be required, if the option is exercised by the option buyer, to buy SPY at the strike price, effectively paying the buyer the difference between the strike price and the closing price. Therefore, by writing a put option, the Fund is exposed to the risk of losing the amount by which the price of SPY underlying the option is less than the strike price at any time prior to the option’s expiration. Accordingly, the potential return to the Fund is limited to the amount of option premiums it receives, while the Fund can potentially lose up to the entire strike price of each option it sells. Further, if the value of SPY and/or the S&P 500 underlying the option increases, the Fund’s returns will not increase accordingly. The Fund may also sell listed one-month put options directly on the S&P 500 under certain circumstances (such as if such options have more liquidity and narrower spreads than options on SPY). Each listed put option sold by the Fund is an “American-style” option (i.e., an option which can be exercised at the strike price at any time prior to its expiration). If a listed put option sold by the Fund is exercised prior to expiration, the Fund will buy the SPY underlying the option at the time of exercise and at the strike price, and will hold SPY until the market close on the day the option expires. The Fund may, with respect to no more than 20% of its assets, engage in certain opportunistic “put spread” and “call spread” strategies. Specifically, when the Sub-Adviser believes the S&P 500 (and thus SPY) will rise or not decline in value, the Fund may engage in “put spreads” whereby the Fund will buy back certain of the written put options which are out of the money (i.e., the strike price of the put option is lower than the market price of the underlying SPY) prior to expiration in order to sell new put options which are less out of the money. Similarly, the Fund may buy back certain of its written put options prior to expiration in order to sell new longer-dated options that will remain open past the one-month period of the original option. These put spread strategies are intended to provide the Fund additional premium income, but will increase risk in a falling S&P 500 (and thus SPY) market. Conversely, when the Sub-Adviser believes the S&P 500 will decline in value, the Fund may engage in “call spreads” whereby the Fund will sell call options which are in-the-money (i.e., the strike price of the call option is lower than the market price of the underlying SPY) and buy back less in-the-money call options, thereby providing the Fund additional premium income while providing some risk protection from a declining S&P 500 (and thus SPY). The Sub-Adviser may employ a version of this call spread strategy whereby the Fund buys more calls than it sells (as long as the Fund receives a net premium on such transactions). This may enable the Fund to perform better when the S&P 500 (and thus SPY) experiences gains well above the strike price of the calls bought by the Fund. However, even if the Fund engages in such call spreads, a declining S&P 500 (and thus SPY) will significantly detract from Fund performance (given the Fund’s principal strategy of selling put options on SPY). In addition to selling listed put options on SPY, the Fund will invest the option premiums (and cash for orders to purchase Shares in large aggregations known as “Creation Units,” as further defined herein) the Fund receives in an actively-managed portfolio of investment grade debt securities at least equal in value to the Fund’s maximum liability under its written options (i.e., the strike price of each option). Investment grade debt securities are those rated “Baa” equivalent or higher by a nationally recognized statistical rating organization (“NRSROs”), or are unrated securities that the Sub-Adviser believes are of comparable quality. Such investment grade debt securities will include Treasury bills (short-term U.S. government debt securities), corporate bonds (debt securities issued by corporate entities), commercial paper (unsecured, short-term corporate debt instruments), mortgage-backed securities (securities backed by a group of mortgages) (“MBS”), asset-backed securities (securities backed by loans, leases or other receivables other than mortgages) (“ABS”) and notes issued or guaranteed by federal agencies and/or U.S. government sponsored instrumentalities, such as the Government National Mortgage Administration (“Ginnie Mae”), the Federal Housing Administration (“FHA”), the Federal National Mortgage Association (“Fannie Mae”) and the Federal Home Loan Mortgage Corporation (“Freddie Mac”). The average duration of such securities will not exceed six months and the maximum maturity of any single security will not exceed one year. The Fund seeks incremental return from its investments in investment grade debt securities in excess of the return on short-term Treasury bills, but there is no assurance that the Fund’s investment grade debt securities will achieve this excess return. Every month, the options sold by the Fund are settled by delivery at expiration or expire with no value and new option positions are established while the Fund sells any units of SPY it owns as a result of such settlements or of the Fund’s prior option positions having been exercised. This monthly cycle likely will cause the Fund to have frequent and substantial turnover in its option positions. If the Fund receives additional inflows (and issues more Shares accordingly in large numbers known as “Creation Units,” as further defined herein) during a one-month period, the Fund will sell additional listed put options which will be exercised or expire at the end of such one-month period. Conversely, if the Fund redeems Shares in Creation Unit size during a monthly period, the Fund will terminate the appropriate portion of the options it has sold accordingly.
