p id="xdx_A8D_err--StrategyNarrativeTextBlock_gRBSNTB-BOHD_zApkzHXD25Mf" style="font: 9pt/11.5pt Arial, sans-serif; margin: 0pt 0pt 9pt; -sec-ix-redline: true; text-transform: none; color: #000000; text-indent: 0pt; text-align: justify"span style="text-transform: none"The Fund employs a “passive management” — or indexing — investment approach designed to track the performance of the Underlying Index. The Advisor is the index provider for the Underlying Index and Candriam /spanspan style="text-transform: none"serves as the index consultant to the Advisor for the Underlying Index. In its role as index consultant, Candriam /spanspan style="text-transform: none"assists the Advisor with the development, calculation and maintenance of the Underlying Index, including the ESG security selection process for the Underlying Index. The Underlying Index is designed to deliver exposure to equity securities of companies meeting environmental, social and corporate /spanspan style="text-transform: none"governance (ESG)/span/p p style="font: 9pt/11.5pt Arial, sans-serif; margin: 0pt 0pt 9pt; text-transform: none; color: #000000; text-indent: 0pt; text-align: justify"span style="text-transform: none"criteria developed by Candriam and weighted using a market-capitalization weighting methodology. As of /spanspan style="text-transform: none"June 30/spanspan style="text-transform: none", 2024, the market capitalization range of the Underlying Index was approximately $3.97 billion to $19.90 billion. The Fund will be concentrated in an industry or group of industries to the extent the Underlying Index is concentrated in an industry or group of industries. As of June 30, 2024, the primary sectors within the Underlying Index were industrials, consumer discretionary, and /spanspan style="text-transform: none"information technology./span/p p style="font: 9pt/11.5pt Arial, sans-serif; margin: 0pt 0pt 9pt; text-transform: none; color: #000000; text-indent: 0pt; text-align: justify"span style="text-transform: none"The first step in the ESG security selection process scores companies on stakeholder criteria and an issuer’s exposure to global sustainability trends. Companies are scored relative to other companies within the same industry. The stakeholder /spanspan style="text-transform: none"criteria are:/span/p p style="font: 9pt/11.5pt Arial, sans-serif; margin: 0pt 0pt 9pt 28.8pt; text-transform: none; color: #000000; text-indent: -14.4pt; text-align: justify"span style="width: 14.39pt; text-indent: 0; display: inline-block"span style="text-transform: none"•/span/spanspan style="text-transform: none"Treatment of customers, including advertising practices, after sales service and support, and /spanspan style="text-transform: none"anti-competitive behaviors./span/p p style="font: 9pt/11.5pt Arial, sans-serif; margin: 0pt 0pt 9pt 28.8pt; text-transform: none; color: #000000; text-indent: -14.4pt; text-align: justify"span style="width: 14.39pt; text-indent: 0; display: inline-block"span style="text-transform: none"•/span/spanspan style="text-transform: none"Treatment of employees, including working conditions, employee retention, gender equality, training and /spanspan style="text-transform: none"career opportunities./span/p p style="font: 9pt/11.5pt Arial, sans-serif; margin: 0pt 0pt 9pt 28.8pt; text-transform: none; color: #000000; text-indent: -14.4pt; text-align: justify"span style="width: 14.39pt; text-indent: 0; display: inline-block"span style="text-transform: none"•/span/spanspan style="text-transform: none"Environmental initiatives and compliance with new /spanspan style="text-transform: none"environmental legislation./span/p p style="font: 9pt/11.5pt Arial, sans-serif; margin: 0pt 0pt 9pt 28.8pt; text-transform: none; color: #000000; text-indent: -14.4pt; text-align: justify"span style="width: 14.39pt; text-indent: 0; display: inline-block"span style="text-transform: none"•/span/spanspan style="text-transform: none"Supplier standards and oversight, including supplier adherence to fair /spanspan style="text-transform: none"labor standards./span/p p style="font: 9pt/11.5pt Arial, sans-serif; margin: 0pt 0pt 9pt 28.8pt; text-transform: none; color: #000000; text-indent: -14.4pt; text-align: justify"span style="width: 14.39pt; text-indent: 0; display: inline-block"span style="text-transform: none"•/span/spanspan style="text-transform: none"Corporate governance, including quality of governance and ethics, adherence to accounting standards and /spanspan style="text-transform: none"anti-bribery efforts./span/p p style="font: 9pt/11.5pt Arial, sans-serif; margin: 0pt 0pt 9pt 28.8pt; text-transform: none; color: #000000; text-indent: -14.4pt; text-align: justify"span style="width: 14.39pt; text-indent: 0; display: inline-block"span style="text-transform: none"•/span/spanspan style="text-transform: none"Societal impact and how the company is viewed by populations in the area where the /spanspan style="text-transform: none"company operates./span/p p style="font: 9pt/11.5pt Arial, sans-serif; margin: 0pt 0pt 9pt; -sec-ix-redline: true; text-transform: none; color: #000000; text-indent: 0pt; text-align: justify"span style="text-transform: none"The global sustainability /spanspan style="text-transform: none"trends /spanspan style="text-transform: none"include/spanspan style="text-transform: none":/span/p p style="font: 9pt/11.5pt Arial, sans-serif; margin: 0pt 0pt 9pt 28.8pt; text-transform: none; color: #000000; text-indent: -14.4pt; text-align: justify"span style="width: 14.39pt; text-indent: 0; display: inline-block"span style="text-transform: none"•/span/spanspan style="text-transform: none"Climate Change: Activities related to the production of renewable energy and decarbonizing /spanspan style="text-transform: none"business activities./span/p p style="font: 9pt/11.5pt Arial, sans-serif; margin: 0pt 0pt 9pt 28.8pt; text-transform: none; color: #000000; text-indent: -14.4pt; text-align: justify"span style="width: 14.39pt; text-indent: 0; display: inline-block"span style="text-transform: none"•/span/spanspan style="text-transform: none"Resources and Waste: Activities related to the efficient utilization of resources, recycling, and mitigating the impact /spanspan style="text-transform: none"on ecosystems./span/p p style="font: 9pt/11.5pt Arial, sans-serif; margin: 0pt 0pt 9pt 28.8pt; text-transform: none; color: #000000; text-indent: -14.4pt; text-align: justify"span style="width: 14.39pt; text-indent: 0; display: inline-block"span style="text-transform: none"•/span/spanspan style="text-transform: none"Digitalization and Innovation: Activities that drive higher industrial and resource efficiencies and protecting data privacy and the resilience of /spanspan style="text-transform: none"digital networks./span/p p style="font: 9pt/11.5pt Arial, sans-serif; margin: 0pt 0pt 9pt 28.8pt; text-transform: none; color: #000000; text-indent: -14.4pt; text-align: justify"span style="width: 14.39pt; text-indent: 0; display: inline-block"span style="text-transform: none"•/span/spanspan style="text-transform: none"Health and Wellness: Activities related to providing healthy products and services, improving air quality, and investing in human capital through job creation, gender equality and decent /spanspan style="text-transform: none"working conditions./span/p p style="font: 9pt/11.5pt Arial, sans-serif; margin: 0pt 0pt 9pt 28.8pt; text-transform: none; color: #000000; text-indent: -14.4pt; text-align: justify"span style="width: 14.39pt; text-indent: 0; display: inline-block"span style="text-transform: none"•/span/spanspan style="text-transform: none"Demographic Shifts: Activities related to providing products and services to aging populations in developed countries and supporting population growth in emerging countries through investment in infrastructure and the food /spanspan style="text-transform: none"supply chain./span/p p style="font: 9pt/11.5pt Arial, sans-serif; margin: 0pt 0pt 9pt 28.8pt; text-transform: none; color: #000000; text-indent: -14.4pt; text-align: justify"span style="width: 14.39pt; text-indent: 0; display: inline-block"span style="text-transform: none"•/span/spanspan style="text-transform: none"This sector-specific analysis evaluates companies within the same sector each other, using criteria specific to the particular sector. Except for the excluded activities described below, the ESG security selection process seeks to maintain exposure to all industry sectors of the economy (e.g., financials, industrials, consumer discretionary, consumer staples, materials, health care, energy, utilities and information technology). The ESG selection process analyzes securities comprising approximately 95% of the market capitalization of equity securities domiciled in the United States. The companies with an overall ranking in the top 70% of the eligible universe within each industry sector based on this ESG selection process and that are part of the Solactive GBS United States 400 Index, which seeks to track the performance of the largest 400 mid-capitalization companies listed on an exchange in the U.S., are included in the Underlying Index, unless a company is excluded as a result of the second step in the ESG security selection process. The Underlying Index identifies U.S. issuers primarily based on the location the issuer’s shares are principally traded and its location /spanspan style="text-transform: none"of incorporation./span/p p style="font: 9pt/11.5pt Arial, sans-serif; margin: 0pt 0pt 9pt; -sec-ix-redline: true; text-transform: none; color: #000000; text-indent: 0pt; text-align: justify"span style="text-transform: none"The second step in the ESG security selection process is an exclusionary screen based on any continued and significant non-compliance with the Principles of the United Nation’s Global Compact, which address human rights, labor, environmental, and anti-/spanspan style="text-transform: none"corruption/spanspan style="text-transform: none" matters, as well as the exclusion of companies engaged in certain businesses beyond minimum thresholds (e.g., companies that operate in countries with oppressive regimes, that operate in adult content, alcohol, armament, gambling, nuclear, and tobacco sectors, or that utilize animal testing or genetic modification in research and development). As a result of this /spanspan style="text-transform: none"second step, /span/pp style="font: 9pt/11.5pt Arial, sans-serif; margin: 0pt 0pt 9pt; text-transform: none; color: #000000; text-indent: 0pt; text-align: justify"span style="text-transform: none"the companies selected for inclusion in the Underlying Index represent less than 70% of the eligible universe. As of June 30, 2024, the Underlying Index consisted of 217 /spanspan style="text-transform: none"component/spanspan style="text-transform: none" securities. Under normal/spanspan style="text-transform: none" circumstances, the Fund will invest at least 80% of its assets in securities of companies that meet the ESG selection process of the /spanspan style="text-transform: none"Underlying Index./span/pp style="font: 9pt/11.5pt Arial, sans-serif; margin: 0pt 0pt 9pt; text-transform: none; color: #000000; text-indent: 0pt; text-align: justify"span style="text-transform: none"The Underlying Index is reconstituted and /spanspan style="text-transform: none"rebalanced quarterly./span/p p style="font: 9pt/11.5pt Arial, sans-serif; margin: 0pt 0pt 9pt; text-transform: none; color: #000000; text-indent: 0pt; text-align: justify"span style="text-transform: none"The Fund generally will invest in all of the securities that comprise its Underlying Index in proportion to their weightings in the Underlying Index. Under normal circumstances, the Fund will invest at least 80% of its assets in instruments that meet the Underlying Index’s environmental, social, and corporate governance (ESG) criteria. The Fund has adopted a policy to invest, under normal circumstances, at least 80% of the value of its assets (net assets plus the amount of any borrowings for investment purposes) in U.S. equity securities of /spanspan style="text-transform: none"mid-capitalization companies. /span/p