The Fund does not purchase all
of the securities in the Underlying Index; instead, the Fund utilizes a “sampling” methodology to seek to achieve its investment objective.
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. As of August 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.
Fixed-Income Securities Risk. Fixed-income securities are subject to interest rate risk and credit risk. Interest rate risk refers to fluctuations
in the value of a fixed-income security resulting from changes in the general level of interest rates. When
the general level of interest rates goes up, the prices of most fixed-income securities go down. When the general level of interest rates goes down, the prices of most fixed-income securities go up. Fixed-income securities with longer maturities
typically are more sensitive to changes in interest rates, making them more volatile than securities with
shorter maturities. Credit risk refers to the possibility that the issuer of a security will be unable
and/or unwilling to make timely interest payments and/or repay the principal on its debt. Debt instruments are subject to varying degrees of credit risk, which may be reflected in credit ratings. There is a possibility that the credit rating
of a fixed-income security may be downgraded after purchase, which may occur quickly and without advance
warning following sudden market downturns or unexpected developments involving an issuer, and which may
adversely affect the liquidity and value of the security.
Changing Fixed-Income Market Conditions Risk. Increases in the federal funds and equivalent foreign interest rates or other changes to monetary policy or regulatory actions may expose
fixed-income markets to heightened volatility and reduced liquidity for certain fixed-income investments,
particularly those with longer maturities. It is difficult to predict the impact of interest rate changes
on various markets. In addition, decreases in fixed-income dealer market-making capacity may also potentially lead to heightened volatility and reduced liquidity in the fixed-income markets. As a result, the value of the Fund's
investments and share price may decline. Changes in central bank policies could also result in higher than normal redemptions by APs (as defined herein), which could potentially increase the Fund’s portfolio turnover rate and
transaction costs.
Industry Concentration Risk. In following its methodology, the Underlying Index from time to time may be concentrated to a significant degree in
securities of issuers operating in a single industry or industry group. To the
extent that the Underlying Index concentrates in
the securities of issuers in a particular industry or industry group, the Fund will also concentrate its
investments to approximately the same extent. By concentrating its investments in an industry or industry
group, the Fund may face more risks than if it were diversified broadly over numerous industries or industry
groups. Such industry-based risks, any of which may adversely affect the companies in which the Fund
invests, may include, but are not limited to, the following: general economic conditions or cyclical market patterns that could negatively affect supply and demand in a particular industry; competition for resources; adverse labor relations;
political or world events; obsolescence of technologies; and increased competition or new product
introductions that may affect the profitability or viability of companies in an industry. In addition, at
times, such industry or industry group may be out of favor and underperform other industries or the market as a whole.
Financials Sector Risk. The Fund may be susceptible to adverse economic or regulatory occurrences affecting the financials sector. Financial services companies are subject to extensive government regulation and, as a result, their profitability may be
affected by new regulations or regulatory interpretations. Changes in interest rates can have a
disproportionate effect on the financials sector and financial services companies whose securities the Fund may purchase may themselves have concentrated portfolios, which makes them vulnerable to economic conditions that affect that sector.
Financial services companies have also been affected by increased competition, which could adversely affect
the profitability or viability of such companies.
Rule 144A Securities
Risk. The Fund may invest in securities that are normally purchased or resold pursuant to Rule 144A under
the Securities Act. Rule 144A securities are restricted securities that are not publicly traded. As such,
Rule 144A securities may be subject to legal restrictions on resale. Rule 144A securities are generally not traded on established markets and may be illiquid, difficult to value and subject to wide fluctuations in value. Delay or difficulty in selling such
securities may result in a loss to the Fund.
Call Risk. If interest rates fall, it is possible that issuers of callable securities with high interest coupons will “call” (or prepay) their bonds before their maturity date. If an
issuer exercises such a call during a period of declining interest rates, the Fund may have to replace such called security with a lower yielding security. If that were to happen, the Fund’s net investment income could
fall.
Reinvestment Risk. Reinvestment risk is the risk that the Fund will not be able to reinvest income or principal at the same return it is
currently earning. Reinvestment risk is greater during periods of declining interest rates, as prepayments
often occur faster. It is related to call risk, since issuers of callable securities with high interest coupons may call their bonds before their maturity date. This may require the Fund to reinvest the proceeds at an earlier date, and it may be able to
do so only at lower yields, thereby reducing its return.
Liquidity Risk. Liquidity risk exists when a particular investment is difficult to purchase or sell. If the Fund invests in illiquid securities or current portfolio securities become
illiquid, it may reduce the returns of the Fund because the Fund may be unable to sell the illiquid securities at an advantageous time or price.
Issuer-Specific Changes Risk. The value of an individual security or particular type of security may be more volatile than the market as a whole and may perform differently from the value
of the market as a whole.
Sampling Risk. The Fund's use of a representative sampling methodology may result in it holding a smaller number of securities than
are in the Underlying Index. As a result, an adverse development with respect to an issuer of securities
held by the Fund could result in a greater decline in NAV than would be the case if the Fund held all of the securities in the Underlying Index. To the extent the assets in the Fund are smaller, these risks will be greater.
Non-Correlation Risk. The Fund's return may not match the return of the Underlying Index for a number of reasons. For example, the Fund
incurs