The Fund employs a “passive management” – or indexing – investment approach designed to track the performance of the Index. The Fund generally uses a representative sampling strategy to achieve its investment objective, meaning it generally will invest in a sample of the securities in the Index whose risk, return and other characteristics resemble the risk, return, and other characteristics of the Index as a whole. Under normal circumstances, at least 80% of the Fund’s total assets (exclusive of collateral held from securities lending) will be invested in constituent securities of the Index and investments that have economic characteristics that are substantially identical to the economic characteristics of such constituent securities.

The Index is provided by Volos Portfolio Solutions, Inc. (“Volos” or the “Index Provider”). The Index tracks the value of a cash-secured (i.e., collateralized) put option sales strategy, which consists of (1) selling (or “writing”) put options on the SPDR S&P 500® ETF Trust (“SPY”) (the “SPY Puts”) and (2) a cash collateral account that accrues interest at a theoretical three-month Treasury bill rate on a daily basis. SPY Puts are derivative instruments that typically rise in value when the price of SPY falls because SPY Puts are options to sell SPY at a designated strike price. All SPY Puts are exchange-listed standardized options. The Index’s put option sales strategy is designed to generate income when SPY exhibits neutral to positive performance with low volatility, as such performance is expected to decrease the hypothetical price of the sold SPY Puts. The Index selects SPY Puts that target a premium of 2.5% (i.e., the SPY Put costs approximately 2.5% of the official daily price of SPY). At any given time, the Index references two SPY Puts with expiration dates that are two weeks apart.

In seeking to track the price and yield performance, before fees and expenses, of the Index, the Fund sells SPY Puts and holds U.S. Treasury bills. By selling a SPY Put, the Fund receives a premium from the option buyer. The premium will increase the Fund’s return if the sold SPY Put has decreased in price on the Roll Date (as defined in the next paragraph) relative to the premium received by the Fund from writing the option. The SPY Put will decrease in price if SPY has positive performance because the put option is more valuable when SPY decreases in price and/or experiences high volatility. If, however, the price of the sold SPY Put increases compared to the price of the SPY Put when written by the Fund (e.g., in response to SPY decreasing in price and/or experiencing high volatility), the Fund pays the buyer the difference between the SPY Put price on the Roll Date and the SPY Put price when written by the Fund. The Fund’s sale of cash-secured SPY Puts serves to partially offset a decline in the price of SPY to the extent of the premiums received. However, if the price of SPY increases beyond the premiums received, Fund returns would not be expected to increase accordingly. The Fund’s potential return is limited to the amount of the option premiums it receives.

The SPY Puts bought by the Fund are selected to target a premium of 2.5% (i.e., the cash received by the Fund from the buyer of the SPY Put is approximately 2.5% of the official daily price of SPY). At any given time, the Fund holds two SPY Puts with different expiration dates two weeks apart. The Fund closes out the SPY Puts one week prior to their expiration dates, either the first Friday or third Friday of each month, and newly selected SPY Puts are sold by the Fund on the same day (the “Roll Date”) in a process known as “rolling”. Rolling refers to the practice of closing out one options position and opening another with a different expiration date and/or a different strike price. When a SPY Put is closed out by the Fund on the Roll Date, the Fund selects a new SPY Put with a target expiration date of either the first Friday or third Friday of the following month. Each new SPY Put will also have a strike price that is the higher of (i) the “at the money” strike price (i.e., a strike price that is closest to but greater than the current market price of SPY), or (ii) the strike price for a SPY Put that has a premium closest to 2.5%.

By following the Index’s put option sales strategy, as described above, the Fund expects to operate in a manner similar to, and subject to the same risks as, the Index. The number of SPY Puts sold by the Fund varies but is limited by the amount held by the Fund in Treasury bills. At each Roll Date, any settlement from the existing SPY Puts is paid from the Treasury bill investments and new SPY Puts are sold. The revenue from their sale is added to the Fund’s Treasury bill account.

The Fund is managed in a way that seeks, under normal circumstances, to provide monthly distributions at a relatively stable level.