Concentration
Policy. The Fund will concentrate its investments (i.e., invest more than 25% of the value of its net
assets) in securities of issuers in any one industry or group of industries only to the extent that the
Underlying Index reflects a concentration in that industry or group of industries. The Fund will not
otherwise concentrate its investments in securities of issuers in any one industry or group of industries.
Principal Risks of Investing in the Fund
The following summarizes the principal risks of investing in the Fund.
The Shares will change in value, and you could lose money by investing in the Fund. The Fund may not achieve its investment objective.
Market Risk. Securities in the Underlying Index are subject to market fluctuations. You should anticipate that the value of the Shares will decline, more or less, in correlation with any
decline in value of the securities in the Underlying Index. Additionally, natural or environmental disasters,
widespread disease or other public health issues, war, military conflicts, acts of terrorism, economic
crises or other events could result in increased premiums or discounts to the Fund’s net asset value (“NAV”).
Index Risk.
Unlike many investment companies, the Fund does not utilize an investing strategy that seeks returns in excess of the Underlying Index. Therefore, the Fund would not necessarily buy or sell a security unless that security is added or removed,
respectively, from the Underlying Index, even if that security generally is underperforming. Additionally, the Fund rebalances its portfolio in accordance with the Underlying Index, and, therefore, any changes to the Underlying
Index’s rebalance schedule will result in corresponding changes to the Fund’s rebalance schedule.
Emerging Markets Investment Risk. Investments in the securities of issuers in emerging market countries involve risks often not associated with investments in the securities of issuers in developed countries. Securities in emerging markets may be subject to
greater price fluctuations than securities in more developed markets. Companies in emerging market
countries generally may be subject to less stringent regulatory, disclosure, financial reporting,
accounting, auditing and recordkeeping standards than companies in more developed countries. In addition, information about such companies may be less available and reliable. Emerging markets usually are subject to greater market volatility,
political, social and economic instability, uncertainty regarding the existence of trading markets and more
governmental limitations on foreign investment than are more developed markets. Securities law in many
emerging market countries is relatively new and unsettled. Therefore, laws regarding foreign investment in emerging market securities, securities regulation, title to securities, and shareholder rights may change quickly and
unpredictably, and the ability to bring and enforce actions, or to obtain information needed to pursue or enforce such actions, may be limited. In addition, the enforcement of systems of taxation at federal, regional and local levels in
emerging market countries may be inconsistent and subject to sudden change. Investments in emerging market
securities may be subject to additional transaction costs, delays in settlement procedures, unexpected
market closures, and lack of timely information. In addition, lack of relevant data and reliable public information, including financial information, about securities in emerging markets may contribute to incorrect weightings and data
and computational errors when the Index Provider selects securities for inclusion in the Underlying Index or
rebalances the Underlying Index.
Foreign Investment Risk. Investments in the securities of non-U.S. issuers involve risks beyond those associated with investments in U.S. securities. Foreign securities may have
relatively low market liquidity, greater market volatility, decreased publicly available information and less reliable financial information about issuers, and inconsistent and potentially less stringent accounting, auditing and financial
reporting requirements and standards of practice, including recordkeeping standards, comparable to those
applicable to domestic issuers. Foreign securities also are subject to the risks of expropriation, nationalization, political instability or other adverse political or economic developments and the difficulty of enforcing obligations in other countries. Investments in
foreign securities also may be subject to
dividend withholding or confiscatory taxes, currency blockage and/or transfer restrictions and higher transactional
costs. To the extent the Fund invests in securities denominated in foreign currencies, fluctuations in the
value of the U.S. dollar relative to the values of other currencies may adversely affect investments in
foreign securities and may negatively impact the Fund’s returns.
From time to time, certain companies in which the Fund invests may operate in, or have dealings with,
countries subject to sanctions or embargoes imposed by the U.S. government and the United Nations and/or in
countries the U.S. government identified as state sponsors of terrorism. One or more of these companies may be subject to constraints under U.S. law or regulations that could negatively affect the company’s performance. Additionally, one or more of these
companies could suffer damage to its reputation if the market identifies it as a company that invests or deals with countries that the U.S. government identifies as state sponsors of terrorism or subjects to sanctions.
Momentum Investing Risk. The momentum style of investing is subject to the risk that the securities may be more volatile than the market as a
whole, or that the returns on securities that previously have exhibited price momentum are less than the
returns on other styles of investing. Momentum can turn quickly, and stocks that previously have exhibited high momentum may not experience continued positive momentum. In addition, there may be periods when the momentum style of
investing is out of favor and therefore, the investment performance of the Fund may suffer.
Geographic Concentration Risk. The Fund may from time to time have a substantial amount of its assets invested in securities of issuers located in a single country or a limited number of
countries. Adverse economic, political or social conditions in those countries may therefore have a significant negative impact on the Fund’s investment performance. For example, a natural or other disaster could occur in a
country or geographic region in which the Fund invests, which could affect the economy or particular
business operations of companies in that specific country or geographic region and adversely impact the
Fund’s investments in the affected region.
Asia
Pacific Investment Risk. The level of development of the economies of countries in the Asia Pacific region
varies greatly. Furthermore, since the economies of the countries in the region are largely intertwined, if
an economic recession is experienced by any of these countries, it will likely adversely impact the economic
performance of other countries in the region. Certain economies in the region may be adversely affected by
increased competition, high inflation rates, undeveloped financial services sectors, currency fluctuations
or restrictions, political and social instability and increased economic volatility. Due to heavy reliance on international trade, a decrease in demand (due to recession or otherwise in the United States, Europe or Asia) would adversely affect economic
performance in the region.
India Investment Risk. Investments in companies located or operating in India involves risks such as political and legal uncertainty, greater government control over the economy,
greater risk of hyperinflation, currency fluctuations and/or currency devaluations or blockage of currency
movements or repatriation of capital invested and the risk of nationalization or expropriation of assets. In addition, religious and border disputes persist in India. Moreover, India has experienced civil unrest and hostilities with neighboring
countries, including Pakistan, and the Indian government has confronted separatist movements in several
Indian states. Additionally, governmental actions can have a significant effect on the economic conditions in India, which could adversely affect the value and liquidity of the Fund’s investments. Further, certain Indian regulatory
approvals, including approvals from the Securities and Exchange Board of India (“SEBI”), the Reserve Bank of India (RBI), the central government and the tax authorities (to the extent that tax benefits need to be utilized),
may be required before the Fund can make investments in the securities of Indian companies. Capital gains
from Indian securities may be subject to local taxation.