Alpha Architect Merlyn.AI Bull-Rider Bear-Fighter ETF (WIZ) Exchange: NASDAQ

The Fund employs a “passive management” (or indexing) investment approach designed to track the performance, before fees and expenses, of the Index. The Index is based on a proprietary methodology developed by SumGrowth Strategies, LLC, licensed to Merlyn.AI Corporation, the Fund’s sponsor, and sublicensed to Empowered Funds, LLC, the Fund’s investment adviser (the “Adviser”).   The Index   The Index uses a proprietary market risk indicator (the Bull/Bear Indicator) that seeks to determine whether U.S. equity markets appear to be in an advancing market (a “Bull” indicator) or appear to have an elevated risk of market decline (a “Bear” indicator). The Bull/Bear Indicator is an algorithm that assesses U.S. equity markets across four key metrics: price-trend, market momentum, value sentiment, and market volatility. In addition, when in a Bear market, the Bull/Bear Indicator assesses whether a particularly sharp rebound follows a recent market decline, in which case the Bull indicator is triggered. Price-trend indicates the degree to which U.S. market securities prices are trending higher or lower. Market momentum indicates the volume-adjusted, price-trend of U.S. equity market securities to assess investor conviction. Value sentiment indicates the recent proportion of U.S. equity market securities making 52-week highs against those making 52-week lows. Higher market volatility is believed by the Index Provider to be correlated with a higher probability of a declining market and potentially helps assess the possible onset of extreme market declines.   When any one of the price-trend, market momentum, or value sentiment metrics is negative and that metric is declining further at month-end, the “Bear” indicator is triggered and the Index is constructed via the “Bear” methodology. When one or more of these three metrics is positive in value and the remaining metrics are increasing, the “Bull” indicator is triggered and the Index is constructed via the Bull methodology. The Index generally shifts between a “Bull” indicator and a “Bear” indicator, as appropriate, at month-end, however, market volatility may trigger the “Bear” indicator at any time during a month. Additionally, the Index’s construction may shift from “Bear” to “Bull” during a month if, as noted above, the “Bull” indicator is triggered due to a particularly sharp rebound following a recent market decline. The Index remains constructed using a “Bull” or “Bear” methodology until a subsequent event triggers a change.   When the Bull/Bear Indicator signals a “Bull” market, the Index identifies a portfolio of up to eight exchange-traded funds that principally trade on a U.S. exchange (“ETFs”). The Index selects one ETF from each of eight underlying categories as described below (however, due to permissible duplication, the Index may identify as few as six ETFs). For each category, the Index identifies the ETF having the highest expected subsequent monthly return performance relative to other ETFs in the category (the “Momentum Leader”).   In contrast, when the Bull/Bear Indicator signals a “Bear” market, the Index identifies a portfolio of four or more ETFs, each a Momentum Leader, selected from a generally more conservative Bear Universe, as described below.   “Bull” Indicator - Portfolio Construction   When the Bull/Bear Indicator signals a “Bull” market, the Index identifies a portfolio of eight ETFs, one selected from each of the eight the ETF categories tabulated below. The Index’s Bull portfolio will generally reflect a classic growth portfolio having approximately 80/20 stocks/bonds allocation weights.   MAI Bull-Rider Bear-Fighter Index Category Weights – “Bull Scenario” Sectors – Selection 1 20%   Factors 10% Sectors – Selection 2 15% Style Mix 10% Countries 15% Bonds – Selection 1 10% Global/Regions 10% Bonds – Selection 2 10%   Note: The non-duplication process (described below), will generally cause duplicative categories (that is, Sectors and Bonds) to select different ETFs.   “Bull” market Index construction includes the following four steps:   Step 1: In the first step of Index construction, the Index Provider selects a set of broad investment categories (listed below) having generally divergent investment objectives, but which may overlap one another. The categories are viewed as general guidelines and the scope of each category is interpreted broadly.   The Index Provider then divides each category into a set of broad sub-categories. In addition, for some categories, the Index Provider also includes “broad U.S. equity markets” as a sub-category, which seek to provide a momentum performance floor. Like categories, sub-categories are viewed as general guidelines and the scope of each sub-category is interpreted broadly and may overlap. As a result, a single ETF may be included in several different categories and sub-categories.     ● The “Sectors” category includes ETFs that invest primarily in one of several economic sector sub-categories, such as healthcare, energy, technology, and finance. The Sector’s sub-categories also include a broad U.S. equity market sub-category (seeking to provide a momentum performance floor).     ● The “Global/Regions” category includes ETFs that invest primarily in one of several broad geo-political region sub-categories, such as global, Europe, Asia Pacific, and emerging markets. The Global/Region’s sub-categories also include a broad U.S. equity market sub-category (seeking to provide a momentum performance floor).     ● The “Countries” category includes ETFs that invest primarily in a single country, which can be any country in the World. The Country’s sub-categories also include a broad U.S. sub-category (seeking to provide a momentum performance floor).     ● The “Factors” category includes ETFs that invest primarily based on one of several investment factor sub-categories, such as value, growth, dividends, earnings, size, and momentum.     ● The “Style Mix” category includes ETFs that invest primarily based on one of several investment style sub-categories, such as large-cap, large-cap growth, large-cap value, mid-cap, mid-cap growth, mid-cap value, small-cap value, equal weight, growth, and value.     ● The “Bonds” category includes ETFs that primarily invest in of several bond sub-categories, such as mid-duration treasuries, aggregate bonds, corporate bonds, mortgage bonds, municipal bonds, and high-yield bonds.   The Bull Universe excludes, among others: (1) certain small ETFs (based on assets under management); (2) currency ETFs; (3) leveraged ETFs; (4) inverse ETFs; (5) utility ETFs; (6) commodity ETFs; (7) global/foreign fixed income ETFs; (8) global/foreign sector ETFs (9) inflation protected treasury ETFs; (10) long-term treasury ETFs; (11) short-term treasury ETFs; (12) short-term bond ETFs; and (13) ETFs with less than one year of operating of history. Each of the foregoing exclusions is based only on the relevant ETF’s name and investment objective; and as a result, the Fund’s underlying ETFs may, from time to time, hold the foregoing types of securities in their portfolios.   Step 2: In the second step of Index construction, the Index Provider determines the Bull Universe of ETFs for each category and sub-category. The Index Provider initially screens ETFs based on information provided by the ETF’s name and investment objectives to identify candidates for membership in a particular category and sub-category. The Index Provider then further screens each candidate by conducting a correlation test with other sub-category members or candidates to confirm that the candidate being evaluated is sufficiently of similar character to become a member of the sub-category’s universe of ETFs. A single ETF may be a member of several categories and sub-categories.   Step 3: In the third step of Index construction, the Index seeks to improve each category’s Bull Universe of ETFs. The Index develops twelve separate models for each category. Each model is comprised of a different mix of ETF candidates, and each model includes an ETF from each sub-category. The Index then measures the recent return performance of each model’s ETF universe. To more efficiently and effectively analyze the ETF universes, the Index uses a form of artificial intelligence that seeks to evolve and improve the twelve models each month by incrementally attempting to improve their mix of candidate ETFs. The Index then uses a proprietary momentum algorithm to identify the Momentum Leader of each of the twelve models. Finally, the Index evaluates the Momentum Leaders of the twelve models and selects the category’s overall Momentum Leader.   Step 4: In the final step of Index construction, if any duplicate ETFs have been selected, the Index performs an analysis that attempts to find suitable alternatives. If a suitable alternative cannot be found, duplicate ETF selections are permitted. The Index will be comprised of at least six unique ETFs.   “Bear” Indicator - Portfolio Construction   “Bear” market Index construction includes the following three steps:   Step 1: The Index identifies a portfolio of four or more ETFs from the Bear Universe, which includes ETFs in the following categories: (1) medium- and long-term treasury, (2) aggregate bond, (3) long-term bond, (4) corporate bond, (5) high-yield bond, (6) gold, and (7) broad-based U.S. equity market. The categories are viewed as general guidelines and the scope of each category is interpreted broadly. As a result, a single ETF may be included in more than one category.   The Bear Universe excludes, among others: (1) leveraged ETFs; (2) inverse ETFs; (3) currency ETFs; (4) short-term treasury and money market ETFs; (5) inflation protected treasury ETFs; (6) global/foreign fixed income ETFs; (7) commodity ETFs (except gold); (8) equity ETFs (except broad-based U.S. equity market index ETFs); (9) certain small ETFs (based on assets under management); and (10) ETFs with less than one year of operating of history. Each of the foregoing exclusions is based only on the relevant ETF’s name and investment objective; and as a result, the Fund’s underlying ETFs may, from time to time, hold the foregoing types of securities in their portfolios.   Step 2: The Index creates two models each including a different mix of Bear Universe ETFs, one that will typically select, in the Index Provider’s view, more conservative ETFs from the Bear Universe (the “Conservative Model”) and one that will select, in the Index Provider’s view, more aggressive ETFs from the Bear Universe (the “Aggressive Model”). The Index uses the Conservative Model to seek to select up to two ETFs (each, a Momentum Leader), one ETF will have a 20% allocation of the overall Fund portfolio, the other ETF will have a 15% allocation of the overall Fund portfolio. The Index uses the Aggressive Model to select up to six ETFs (each, a Momentum Leader), one ETF will have a 15% allocation of the overall Fund portfolio, and each of the other five ETFs will have a 10% allocation of the overall Fund portfolio. Because the Index may select duplicate ETFs, a particular ETF may be selected for both the Conservative Model and the Aggressive Model. Likewise, a particular ETF may be selected for both Conservative Model ETFs and multiple Aggressive Model ETFs. The Index will, at a minimum, select four ETFs. Notwithstanding the foregoing, the Bear Index may select ETFs that may generally be considered aggressive, such as high-yield bond ETFs and ETFs invested according to a broad U.S. equity market.   Step 3: In the final stage of the Bear Index construction, the Index seeks to minimize the selection of duplicate ETFs by the bear market models. The Index attempts to identify suitable substitutes. If it is unable to identify a suitable substitute, duplicate ETF selections are permitted. Due to a more limited Bear universe of potential substitutes, the Index’s final portfolio may be comprised of only four or more ETFs.   Index Reconstitution   Following the close of U.S. markets on the last trading day of each month, the Index is reconstituted. In addition, if the Bull/Bear Indicator’s signal changes from Bear to Bull, the Index will be reconstituted the following business day (which may occur other than month-end).   The Fund’s Investment Strategy   Under normal circumstances, at least 80% of the Fund’s total assets (exclusive of collateral held from securities lending) will be invested in the component securities of the Index. The Adviser expects that, over time, the correlation between the Fund’s performance and that of the Index, before fees and expenses, will be 95% or better.   The Fund will generally use a “replication” strategy to seek to achieve its investment objective, meaning the Fund will invest in all of the component securities of the Index in the same approximate proportions as in the Index, but may, when the Adviser believes it is in the best interests of the Fund, use a “representative sampling” strategy, meaning the Fund may invest in a sample of the securities in the Index whose risk, return and other characteristics closely resemble the risk, return and other characteristics of the Index as a whole.   Up to 20% of the Fund’s assets may be held in cash and cash equivalents (including U.S. treasury bills), or in other ETFs not included in the Index but which the Adviser believes will help the Fund track the Index or as may be necessary for the Fund to comply with regulatory constraints (such as potential limitations on investments in certain underlying ETFs).   The Fund will be considered to be non-diversified, which means that it may invest more of its assets in the securities of a single issuer or a smaller number of issuers than if it were a diversified fund.   As of September 30, 2020, the Index was weighted as follows: 20% in the ARK Innovation ETF; 15% in the ARK Next Generation Internet ETF; 15% in the Vanguard S&P 500 Growth ETF; 10% in the iShares Broad USD Investment Grade Corporate Bond ETF; 10% in the iShares iBoxx Inv Grade Corporate Bond ETF; 10% in the Vanguard Mega Cap Growth ETF; 10% in the iShares Russell Top 200 Growth ETF; and 10% in the Invesco QQQ ETF.