industries. The Fund will not otherwise
concentrate its investments in securities of issuers in any one industry or group of industries. As of
October 31, 2023, the Fund had significant exposure to the financials sector. The Fund’s portfolio
holdings, and the extent to which it concentrates its investments, are likely to change over time.
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.
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.
Equity Risk. Equity risk is the risk that the value of equity securities, including common stocks, may fall due to both changes in
general economic conditions that impact the market as a whole, as well as factors that directly relate to a
specific company or its industry. Such general
economic conditions include changes in interest rates, periods of market turbulence or instability, or general and
prolonged periods of economic decline and cyclical change. It is possible that a drop in the stock market
may depress the price of most or all of the common stocks that the Fund holds. In addition, equity risk
includes the risk that investor sentiment toward one or more industries will become negative, resulting in those investors exiting their investments in those industries, which could cause a reduction in the value of companies in
those industries more broadly. The value of a company's common stock may fall solely because of factors,
such as an increase in production costs, that negatively impact other companies in the same region,
industry or sector of the market. A company's common stock also may decline significantly in price over a
short period of time due to factors specific to that company, including decisions made by its management or
lower demand for the company's products or services. For example, an adverse event, such as an unfavorable
earnings report or the failure to make anticipated dividend payments, may depress the value of common stock.
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.
European Investment Risk. The Economic and Monetary Union (the “EMU”) of the European Union (the “EU”) requires compliance with restrictions on inflation
rates, deficits, interest rates, debt levels and fiscal and monetary controls, each of which may significantly affect every country in Europe. Decreasing imports or exports, changes in governmental or EU regulations on trade, changes in
the exchange rate of the euro, the default or threat of default by an EU member country on its sovereign
debt, and recessions in an EU member country may have significant adverse effects on the economies of EU member countries. Responses to financial problems by EU countries may not produce the desired results, may limit future growth and
economic recovery, may result in social unrest, or have other unintended consequences. Further defaults or
restructurings by governments and other entities of their debt could have additional adverse effects on economies, financial markets, and asset valuations around the world. A number of countries in Eastern Europe remain relatively undeveloped
and can be particularly sensitive to political and economic developments. Separately, the EU faces issues
involving its membership, structure, procedures and policies. The exit of one or more member states from the EU, such as the departure of the UK referred to as “Brexit”, could place the departing member’s currency and
banking system under severe stress or even in jeopardy. An exit by other member states will likely result in
increased volatility, illiquidity and potentially lower economic growth in the affected markets, which will
adversely affect the Fund’s investments.
Japan Investment Risk. The Fund may invest a significant portion of its total assets in securities of issuers from Japan. The growth of Japan’s economy has recently lagged that of
its Asian neighbors and other major developed economies. The Japanese economy is heavily dependent on
international trade and has been adversely affected by trade tariffs, other protectionist measures, competition from emerging economies and the economic conditions of its trading partners. The Japanese economy has experienced the effects of the
global economic slowdown similar to the United States and Europe, and downturns in the economies of
Japan’s key trading partners, such as the United States, China and/or countries in Southeast Asia, could also have a negative impact on the Japanese economy as a whole. The Japanese economy also faces several other concerns, including a financial
system with