The Fund is an actively managed exchange-traded fund (ETF). The Fund’s investment strategy is to seek to grow capital by tactically investing in other ETFs that invest in equities, bonds, commodities, currencies, and gold based on “relative sentiment” factors. In the view of the Fund’s sub-adviser (Relative Sentiment Technologies, LLC, also referred to as the Sub-Adviser), relative sentiment measures the difference in sentiment between institutional investors and retail investors. The Sub-Adviser uses both public and third-party data sources to assess investor sentiment, including how those sentiments compare among institutional and retail investors. Some of the data sources used by the Sub-Adviser will differ in how they define or otherwise classify retail and institutional investors. For example, some public data sources capture and report trading information of investors who exceed certain prescribed regulatory transaction reporting thresholds. For purposes of the Fund, the Sub-Adviser would consider investors that exceed the regulatory transaction reporting thresholds to be institutional investors and those who do not exceed the applicable thresholds would be considered retail investors. Other third-party data sources will use different criteria in classifying retail and institutional investors. The Sub-Adviser will analyze such third-party data based on the source of the information and how it was compilated.

In the Sub-Adviser’s view, when relative sentiment increases for particular asset classes (like U.S. and foreign equity securities), that suggests institutions have become more bullish on those asset classes than retail investors generally. Conversely, when relative sentiment decreases, that suggests institutions have become more bearish on those asset classes compared to retail investors generally. The Fund’s portfolio will be tactically allocated among passively-managed U.S. and foreign, developed market, equity ETFs, bond ETFs, and, in some instances, gold exchange-traded products (ETPs), commodities ETPs, and currency ETPs as described more below. That is, the Sub-Adviser will seek to allocate the Fund’s portfolio among the foregoing assets classes depending on whether they are then-currently more favored by institutional investors than by retail investors.

As noted above, the Fund’s portfolio will be comprised of ETFs that track broad equity indices, broad bond indices, and, in some instances, ETPs that invest in gold, commodities, and currencies, all based on a suite of relative sentiment indicators.

Equity Allocation Determination

In general, the Sub-Adviser determines the Fund’s equity allocation by taking the average of the following four indicators, each of which can range from 0% (extreme relative bearishness) to 100% (extreme relative bullishness):

The Sub-Adviser then runs the same analysis for European equities and compares the target equity allocations between the U.S. and Europe to determine how the overall equity allocation will be distributed across U.S. and foreign, developed markets equities. For example, if the algorithms reflect equal institutional relative sentiment between U.S. and foreign, developed markets equity securities, the Fund’s equity allocation will generally be equally allocated between U.S. equity ETFs and foreign, developed market equity ETFs. If the results reflect a greater (lesser) institutional sentiment in U.S. securities, the Fund’s equity allocation will generally reflect a corresponding higher (lower) weighting in U.S. equity market ETFs.

As noted above, each of the foregoing four indicators will result in a value that ranges from 0% to 100%. The Sub-Adviser uses the average of the four indicators to recommend the Fund’s allocation to equity securities. In general, the indicator average will increase when institutions are more relatively bullish toward risk assets than retail investors (and vice versa).

As noted above, the Sub-Adviser will recommend the Fund’s equity allocations between U.S. equity ETFs and foreign, developed market equity ETFs based on the results of the survey indicator (the second indicator described above) as applied to U.S. and foreign equity securities. The Sub-Adviser will invest the Fund’s U.S. equity allocation in the Vanguard Total Stock Market Index Fund and/or the iShares Core S&P Trust U.S. Stock Market ETF. The Sub-Adviser will invest the Fund’s allocation to foreign, developed market equity in the iShares Core MSCI EAFE ETF and/or the Vanguard Developed Markets Index Fund.

Because the market is dynamic, the Sub-Adviser believes that over time it will augment the list of indicators used above to reflect its ongoing research program into relative sentiment’s behavior and characteristics.

Bond Allocation

Once the Sub-Adviser has determined the Fund’s equity allocation, the Sub-Adviser will determine the Fund’s allocation to broad-based bond ETFs. The Sub-Adviser will allocate the Fund’s bond investments in liquid, low-cost ETFs that invest in high-quality fixed income instruments (e.g., U.S. government and investment grade bonds) and liquid, low-cost ETFs that invest in Treasury Inflation-Protected Securities (“TIPS”) based on the degree of retail macro sentiment in commodities. The retail macro sentiment in commodities is reflective of inflationary (or deflationary) pressures so as this sentiment increases (i.e., more bullish) the Sub-Adviser will increase the allocation to TIPS ETFs and vice versa.

The Sub-Adviser will invest the Fund’s bond allocation in the iShares Core US Aggregate Bond ETF and/or Vanguard Total Bond Market Index Fund. The Sub-Adviser will invest the Fund’s TIPS allocation in the Schwab U.S. TIPS ETF and/or iShares TIPS Bond ETF. The Sub-Adviser may also at times allocate to shorter (e.g., iShares 1-3 Year Treasury Bond ETF) or longer duration (e.g., iShares 7-10 Year Treasury Bond ETF, iShares 20+Year Treasury Bond ETG, and PIMCO 25+ Year Zero Coupon US Treasury Index ETF) government bonds depending on market and relative sentiment conditions.

Commodities, Currencies and Equity Sector Allocations

At times, equities and bonds may have positive correlations, such that a portfolio of broad equity and bond exposure offers little diversification. During such periods, the Sub-Adviser believes it may be beneficial to add exposure to assets (e.g., U.S. Dollar) that do offer diversification in times of systemic risk-off sentiment or during times of inflationary pressures (e.g., oil, Energy stocks). In response, the Sub-Adviser may recommend allocations to various currencies, commodities, in particular gold and/or various equity sectors. This portion of the Fund’s portfolio will be capped by the size of the broad equity portion of the Fund’s portfolio.

The Sub-Adviser will recommend that the Fund’s portfolio hold gold ETPs and/or more broad-based commodity ETPs when any of the following conditions are met:

The Sub-Adviser will generally limit gold ETP holdings and/or broad-based commodity ETP holdings to approximately 20% of the Fund’s portfolio. The Sub-Adviser will typically invest the Fund’s gold and/or broad commodity allocation in The SPDR Gold MiniShares, GraniteShares Gold Trust, iShares Silver Trust and the Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF.

When seeking equity sector exposure, the Sub-Adviser will invest in liquid, low-cost ETFs that provide exposure to the desired sector or sectors. For example, during times of inflationary pressure the Sub-Adviser may allocate a portion of the Fund’s portfolio to ETFs that provide exposure to the energy sector and/or more broadly to the materials sector. When seeking exposure to the energy sector the Sub-Adviser will typically invest in The Energy Select SPDR Fund and for exposure to the materials sector the Sub-Adviser will typically invest in The Materials Select Sector SPDR Fund. The Sub-Adviser may also seek exposure to other sectors, such as consumer discretionary, consumer staples, industrials, real estate and semiconductors. These exposures will generally be obtained by investing in The Consumer Discretionary Select Sector SPDR Fund, The Consumer Staples Select Sector SPDR Fund, The Industrials Select Sector SPDR Fund, iShares US Real Estate ETF and the VanEck Semiconductor ETF

Additionally, the Sub-Adviser will, at times, seek to further diversify the Fund’s portfolio by gaining exposure to currencies. The Sub-Adviser believes currency ETFs/ETPs offer diversification in times of systemic risk-off sentiment. For example, exposure to the US dollar can, at times, provide diversification to the portfolio when equities are declining in value. The Sub-Adviser will typically invest the Fund’s currency allocation in one or more of the following: Invesco DB US Dollar Bullish Fund, Invesco CurrencyShares Euro ETF, Invesco CurrencyShares Australian Dollar Trust and the Invesco CurrencyShares Japanese Yen Trust.

Reallocations

The Sub-Adviser recomputes each of the aforementioned indicators on a weekly basis, except the survey-based equity relative sentiment indicator (the second indicator above) is recomputed monthly because the underlying data is released monthly. To minimize portfolio turnover, the Sub-Adviser will generally reallocate the Fund’s holdings only if the results of relative sentiment indicator calculations reflect material deviations from the Fund’s then-current portfolio holdings. Throughout the investment strategies discussion, the Sub-Adviser has provided examples of the ETFs and/or ETPs that the Fund may invest in for informational purposes. At times, the Sub-Adviser may allocate the Fund’s assets to other ETFs and/or ETPs (not listed above) that provide the desired exposure.

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.