The Approach

A quantitively-driven strategy emphasizing low beta stocks. Stocks are first screened to remove those that score poorly on financial and growth measures. Those stocks that remain are then ranked according to their beta. In 1972, Fischer Black published an academic paper describing how the security market line (the line equating stock performance to systematic risk) was too flat relative to what existing theory (Capital Asset Pricing Model, or CAPM) had proposed. Stocks with low betas performed better than what was predicted by the CAPM and stocks with high betas did not perform well enough to justify their additional risks.

The Features

The investment objective of the fund is capital appreciation. Our research, as well as a large body of academic research, has found that the low beta factor has been associated with superior long-term risk-adjusted performance.

Data as of 05/21/2020

PERFORMANCE

MONTH END AS OF: TBD
1 Month 3 Month 6 Month YTD Since Inception 1 Year 3 Years 5 Years
Fund NAV TBD TBD TBD TBD TBD TBD TBD TBD
Market Price TBD TBD TBD TBD TBD TBD TBD TBD
QUARTER END AS OF: TBD
1 Month 3 Month 6 Month YTD Since Inception 1 Year 3 Years 5 Years
Fund NAV TBD TBD TBD TBD TBD TBD TBD TBD
Market Price TBD TBD TBD TBD TBD TBD TBD TBD

The performance quoted represents past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor's shares, when sold or redeemed, may be worth more or less than the original cost. Shares are bought and sold at market price (not NAV) and are not individually redeemed from the fund. Current performance may be lower or higher than the performance quoted.

SIXL Holdings as of 05/21/2020

COMPANY NAME TICKER CUSIP SHARES MARKET VALUE % OF NET ASSET VALUES
UNITED NATURAL FOODS INC UNFI 911163103 22140 386,121.60 0.674%
LHC GROUP INC LHCG 50187A107 1921 314,909.53 0.550%
BJ'S WHOLESALE CLUB HOLDINGS BJ 05550J101 8640 304,560.00 0.532%
AMERICAN PUBLIC EDUCATION APEI 02913V103 9270 303,777.90 0.530%
AMC NETWORKS INC-A AMCX 00164V103 9690 297,579.90 0.519%
PERDOCEO EDUCATION CORP PRDO 71363P106 17910 290,858.40 0.508%
DMC GLOBAL INC BOOM 23291C103 10440 283,759.20 0.495%
CORCEPT THERAPEUTICS INC CORT 218352102 18090 276,415.20 0.483%
REPLIGEN CORP RGEN 759916109 1910 267,992.10 0.468%
OWENS & MINOR INC OMI 690732102 33390 267,120.00 0.466%
GLOBUS MEDICAL INC GMED 379577208 4890 266,945.10 0.466%
RENAISSANCERE HOLDINGS LTD RNR G7496G103 1558 266,651.70 0.465%
ENCOMPASS HEALTH CORP EHC 29261A100 3600 263,592.00 0.460%
CHEMED CORP CHE 16359R103 551 262,942.71 0.459%
INVESTORS REAL ESTATE TRUST IRET 461730509 3960 262,785.60 0.459%
MSC INDUSTRIAL DIRECT CO-A MSM 553530106 3980 259,774.60 0.453%
DORMAN PRODUCTS INC DORM 258278100 3911 259,651.29 0.453%
CIENA CORP CIEN 171779309 5013 259,272.36 0.453%
SPARTANNASH CO SPTN 847215100 14580 258,940.80 0.452%
ADDUS HOMECARE CORP ADUS 006739106 2815 258,895.55 0.452%
MERCURY GENERAL CORP MCY 589400100 6570 257,872.50 0.450%
ABBVIE INC ABBV 00287Y109 2766 257,293.32 0.449%
BALCHEM CORP BCPC 057665200 2747 256,652.21 0.448%
NATIONAL BEVERAGE CORP FIZZ 635017106 4659 255,965.46 0.447%
HCI GROUP INC HCI 40416E103 5580 255,117.60 0.445%
STURM RUGER & CO INC RGR 864159108 4250 254,405.00 0.444%
NEW YORK TIMES CO-A NYT 650111107 6660 254,278.80 0.444%
LANDSTAR SYSTEM INC LSTR 515098101 2268 254,220.12 0.444%
C H ROBINSON WORLDWIDE INC CHRW 12541W209 3240 252,396.00 0.441%
TORO CO TTC 891092108 3712 252,044.80 0.440%
POOL CORP POOL 73278L105 1057 251,935.95 0.440%
AMN HEALTHCARE SERVICES INC AMN 001744101 5520 251,822.40 0.440%
GRAND CANYON EDUCATION INC LOPE 38526M106 2649 251,787.45 0.440%
DSP GROUP INC DSPG 23332B106 14310 250,997.40 0.438%
NETGEAR INC NTGR 64111Q104 10218 250,954.08 0.438%
WD-40 CO WDFC 929236107 1356 250,873.56 0.438%
CALAVO GROWERS INC CVGW 128246105 4198 250,830.50 0.438%
TAKE-TWO INTERACTIVE SOFTWRE TTWO 874054109 1814 250,676.66 0.438%
B&G FOODS INC BGS 05508R106 11340 250,500.60 0.437%
ALTRIA GROUP INC MO 02209S103 6660 250,016.40 0.436%
AAON INC AAON 000360206 4809 249,058.11 0.435%
WEST PHARMACEUTICAL SERVICES INC WST 955306105 1180 249,003.60 0.435%
BOSTON BEER COMPANY INC-A SAM 100557107 484 248,645.32 0.434%
AMERICAN STATES WATER CO AWR 029899101 3150 248,629.50 0.434%
HENRY SCHEIN INC HSIC 806407102 4339 248,104.02 0.433%
GLU MOBILE INC GLUU 379890106 26100 247,950.00 0.433%
FLOWERS FOODS INC FLO 343498101 10857 247,756.74 0.432%
MCCORMICK & CO-NON VTG SHRS MKC 579780206 1452 247,653.12 0.432%
PC CONNECTION INC CNXN 69318J100 6030 246,988.80 0.431%
WERNER ENTERPRISES INC WERN 950755108 5706 246,898.62 0.431%
DOLLAR TREE DLTR 256746108 3038 246,746.36 0.431%
OLYMPIC STEEL INC ZEUS 68162K106 26280 246,243.60 0.430%
QUEST DIAGNOSTICS INC DGX 74834L100 2176 245,866.24 0.429%
MURPHY USA INC MUSA 626755102 2121 245,739.06 0.429%
TYLER TECHNOLOGIES INC TYL 902252105 692 245,265.56 0.428%
UNITED PARCEL SERVICE-CL B UPS 911312106 2520 245,221.20 0.428%
TRUEBLUE INC TBI 89785X101 16200 244,944.00 0.428%
OGE ENERGY CORP OGE 670837103 7978 244,765.04 0.427%
EXPONENT INC EXPO 30214U102 3563 244,706.84 0.427%
LIFE STORAGE INC LSI 53223X107 2743 244,648.17 0.427%
PRESTIGE CONSUMER HEALTHCARE PBH 74112D101 5906 244,626.52 0.427%
UNITED THERAPEUTICS CORP UTHR 91307C102 2087 244,596.40 0.427%
MAXIMUS INC MMS 577933104 3510 244,471.50 0.427%
BROWN & BROWN INC BRO 115236101 6300 243,999.00 0.426%
AON PLC AON G0403H108 1260 243,595.80 0.425%
FGL HOLDINGS FG G3402M102 22860 243,459.00 0.425%
TARGET CORP TGT 87612E106 2051 243,412.68 0.425%
ALEXION PHARMACEUTICALS INC ALXN 015351109 2403 243,039.42 0.424%
MASIMO CORPORATION MASI 574795100 1001 242,862.62 0.424%
NATIONAL PRESTO INDS INC NPK 637215104 2922 242,613.66 0.424%
WILEY (JOHN) & SONS-CLASS A JW/A 968223206 6364 242,468.40 0.423%
SUPERNUS PHARMACEUTICALS INC SUPN 868459108 9990 242,157.60 0.423%
TYSON FOODS INC-CL A TSN 902494103 4081 241,799.25 0.422%
HEARTLAND EXPRESS INC HTLD 422347104 11970 241,794.00 0.422%
WATSCO INC WSO 942622200 1459 241,770.89 0.422%
ABIOMED INC ABMD 003654100 1231 241,669.92 0.422%
KNIGHT-SWIFT TRANSPORTATION HOLDINGS INC KNX 499049104 6263 241,501.28 0.422%
TRACTOR SUPPLY COMPANY TSCO 892356106 2215 241,324.25 0.421%
DOLLAR GENERAL CORP DG 256677105 1350 240,853.50 0.420%
DAKTRONICS INC DAKT 234264109 55980 240,434.10 0.420%
EMPLOYERS HOLDINGS INC EIG 292218104 8010 240,300.00 0.419%
HAWAIIAN ELECTRIC INDS HE 419870100 6390 239,880.60 0.419%
INCYTE CORP INCY 45337C102 2430 239,792.40 0.419%
EBAY INC EBAY 278642103 5644 239,700.68 0.418%
HAEMONETICS CORP/MASS HAE 405024100 2250 239,512.50 0.418%
WALMART INC WMT 931142103 1915 239,355.85 0.418%
NATIONAL FUEL GAS CO NFG 636180101 5727 239,216.79 0.418%
LANCASTER COLONY CORP LANC 513847103 1669 239,134.32 0.417%
NEWMARKET CORP NEU 651587107 560 239,131.20 0.417%
CASEY'S GENERAL STORES INC CASY 147528103 1590 239,024.70 0.417%
WORLD WRESTLING ENTERTAINMENT-A WWE 98156Q108 5336 238,892.72 0.417%
OSI SYSTEMS INC OSIS 671044105 3306 238,792.38 0.417%
DOMINOS PIZZA INC DPZ 25754A201 636 238,652.64 0.417%
HEIDRICK & STRUGGLES INTL HSII 422819102 10980 238,595.40 0.417%
GENERAL MILLS INC GIS 370334104 3978 238,481.10 0.416%
GENTEX CORP GNTX 371901109 9417 238,250.10 0.416%
SERVICE CORP INTERNATIONAL SCI 817565104 6185 238,184.35 0.416%
COLGATE-PALMOLIVE CO CL 194162103 3390 238,181.40 0.416%
PROGRESS SOFTWARE CORP PRGS 743312100 6120 237,945.60 0.415%
LANNETT CO INC LCI 516012101 30870 237,699.00 0.415%
EZCORP INC-CL A EZPW 302301106 45000 237,600.00 0.415%
WEC ENERGY GROUP INC WEC 92939U106 2741 237,589.88 0.415%
AMAZON.COM INC AMZN 023135106 97 237,333.78 0.414%
COCA-COLA CONSOLIDATED INC COKE 191098102 1011 237,322.14 0.414%
CNX RESOURCES CORP CNX 12653C108 23220 237,308.40 0.414%
MESA LABORATORIES INC MLAB 59064R109 969 236,959.26 0.414%
COCA-COLA CO/THE KO 191216100 5242 236,781.14 0.413%
MERCK & CO. INC. MRK 58933Y105 3090 236,539.50 0.413%
NORTHROP GRUMMAN CORP NOC 666807102 720 236,239.20 0.412%
SPROUTS FARMERS MARKET INC SFM 85208M102 9630 236,031.30 0.412%
HAIN CELESTIAL GROUP INC HAIN 405217100 8100 235,953.00 0.412%
PILGRIM'S PRIDE CORP PPC 72147K108 11340 235,872.00 0.412%
JACK HENRY & ASSOCIATES INC JKHY 426281101 1271 235,770.50 0.412%
KNOWLES CORP KN 49926D109 16380 235,708.20 0.411%
HEALTHSTREAM INC HSTM 42222N103 10260 235,364.40 0.411%
TEGNA INC TGNA 87901J105 21420 235,191.60 0.411%
KIMBERLY-CLARK KMB 494368103 1710 235,056.60 0.410%
ROYAL GOLD INC RGLD 780287108 1719 235,038.87 0.410%
JUNIPER NETWORKS INC JNPR 48203R104 10080 234,964.80 0.410%
SENSIENT TECHNOLOGIES CORP SXT 81725T100 5090 234,954.40 0.410%
PFIZER INC PFE 717081103 6300 234,738.00 0.410%
ELECTRONIC ARTS INC EA 285512109 2000 234,720.00 0.410%
CHARTER COMMUNICATIONS INC CHTR 16119P108 454 234,699.84 0.410%
CORESITE REALTY CORP COR 21870Q105 1939 234,444.49 0.409%
CMS ENERGY CORP CMS 125896100 4281 234,341.94 0.409%
CBOE GLOBAL MARKETS INC CBOE 12503M108 2391 234,270.18 0.409%
VECTOR GROUP LTD VGR 92240M108 21420 234,120.60 0.409%
CINCINNATI BELL INC CBB 171871502 15840 233,798.40 0.408%
AKAMAI TECHNOLOGIES INC AKAM 00971T101 2314 233,714.00 0.408%
CERNER CORP CERN 156782104 3482 233,711.84 0.408%
BIO-TECHNE CORP TECH 09073M104 876 233,673.00 0.408%
KEMET CORP KEM 488360207 8640 233,625.60 0.408%
TREEHOUSE FOODS INC THS 89469A104 4635 233,557.65 0.408%
PROGRESSIVE CORP-OHIO PGR 743315103 3113 233,537.26 0.408%
CALIFORNIA WATER SERVICE GRP CWT 130788102 5177 233,482.70 0.408%
ANIXTER INTERNATIONAL INC AXE 035290105 2484 233,371.80 0.407%
PERKINELMER INC PKI 714046109 2520 233,100.00 0.407%
CENTRAL GARDEN & PET CO CENT 153527106 6806 233,037.44 0.407%
PS BUSINESS PARKS INC/CA PSB 69360J107 1929 233,003.91 0.407%
ELI LILLY & CO LLY 532457108 1530 232,988.40 0.407%
BIO-RAD LABORATORIES INC BIO 090572207 499 232,928.21 0.407%
EAGLE PHARMACEUTICALS INC EGRX 269796108 4377 232,900.17 0.407%
LEGG MASON INC LM 524901105 4680 232,876.80 0.407%
REPUBLIC SERVICES INC RSG 760759100 2880 232,732.80 0.406%
PUBLIC STORAGE PSA 74460D109 1273 232,666.21 0.406%
PROCTER & GAMBLE CO PG 742718109 2084 232,616.08 0.406%
EL PASO ELECTRIC CO EE 283677854 3420 232,560.00 0.406%
SPIRE INC SR 84857L101 3294 232,523.46 0.406%
UNIVERSAL CORP/VA UVV 913456109 5426 232,341.32 0.406%
CORE-MARK HOLDING CO INC CORE 218681104 9041 232,263.29 0.405%
LOGMEIN INC LOGM 54142L109 2735 232,228.85 0.405%
APTARGROUP INC ATR 038336103 2209 232,143.81 0.405%
ALLIANT ENERGY CORP LNT 018802108 5040 231,991.20 0.405%
ACTIVISION BLIZZARD INC ATVI 00507V109 3193 231,396.71 0.404%
JOHNSON & JOHNSON JNJ 478160104 1577 231,361.67 0.404%
ARCBEST CORP ARCB 03937C105 11250 230,962.50 0.403%
CSG SYSTEMS INTL INC CSGS 126349109 5040 230,932.80 0.403%
POST HOLDINGS INC POST 737446104 2700 230,796.00 0.403%
HMS HOLDINGS CORP HMSY 40425J101 8550 230,764.50 0.403%
HORMEL FOODS CORP HRL 440452100 5011 230,556.11 0.402%
SMITH (A.O.) CORP AOS 831865209 5400 230,472.00 0.402%
TIFFANY & CO TIF 886547108 1822 230,227.92 0.402%
EXTRA SPACE STORAGE INC EXR 30225T102 2647 230,103.71 0.402%
PARAMETRIC TECHNOLOGY CORP PTC 69370C100 3292 230,077.88 0.402%
QUALYS INC QLYS 74758T303 2098 229,940.80 0.401%
AMERICAN ELECTRIC POWER AEP 025537101 2970 229,788.90 0.401%
KROGER CO KR 501044101 7152 229,722.24 0.401%
COSTCO WHOLESALE CORP COST 22160K105 760 229,497.20 0.401%
REGENERON PHARMACEUTICALS REGN 75886F107 409 229,440.82 0.401%
DAVITA INC DVA 23918K108 2913 229,340.49 0.400%
SHUTTERSTOCK INC SSTK 825690100 6390 229,081.50 0.400%
WALGREENS BOOTS ALLIANCE INC WBA 931427108 5760 228,960.00 0.400%
HARMONIC INC HLIT 413160102 42210 228,778.20 0.399%
KELLOGG CO K 487836108 3726 228,664.62 0.399%
THERMO FISHER SCIENTIFIC INC TMO 883556102 681 228,645.75 0.399%
VALMONT INDUSTRIES VMI 920253101 2135 228,551.75 0.399%
CHURCH & DWIGHT CO INC CHD 171340102 3220 228,523.40 0.399%
BAXTER INTL. BAX 071813109 2640 228,518.40 0.399%
CLOROX CO/DE CLX 189054109 1146 228,512.40 0.399%
FIRST SOLAR INC FSLR 336433107 5220 228,427.20 0.399%
CARDIOVASCULAR SYSTEMS INC CSII 141619106 6090 228,253.20 0.398%
MICROSTRATEGY INC-CL A MSTR 594972408 1890 228,160.80 0.398%
NETFLIX INC NFLX 64110L106 523 228,158.75 0.398%
HUB GROUP INC-CL A HUBG 443320106 5287 228,134.05 0.398%
IDACORP INC IDA 451107106 2628 227,952.72 0.398%
HERSHEY FOODS CORP HSY 427866108 1780 227,893.40 0.398%
EXELIXIS INC EXEL 30161Q104 9238 227,439.56 0.397%
EXPEDITORS INTL WASH INC EXPD 302130109 3150 227,398.50 0.397%
WASTE MANAGEMENT INC WM 94106L109 2298 227,341.14 0.397%
INTEGRA LIFESCIENCES HOLDING IART 457985208 4561 227,137.80 0.397%
BALL CORP BLL 058498106 3545 227,021.80 0.396%
INGREDION INC INGR 457187102 2880 226,972.80 0.396%
VERIZON COMMUNICATIONS INC VZ 92343V104 4199 226,620.03 0.396%
CONAGRA BRANDS, INC CAG 205887102 7020 226,395.00 0.395%
TOOTSIE ROLL INDS TR 890516107 6612 226,328.76 0.395%
NIC INC EGOV 62914B100 9900 226,116.00 0.395%
AMGEN INC AMGN 031162100 1001 225,004.78 0.393%
JOHN B. SANFILIPPO & SON INC JBSS 800422107 2659 225,004.58 0.393%
MGP INGREDIENTS INC MGPI 55303J106 6365 224,939.10 0.393%
WESTAMERICA BANCORPORATION WABC 957090103 4019 224,863.05 0.393%
F5 NETWORKS INC FFIV 315616102 1637 224,498.18 0.392%
SILGAN HOLDINGS INC SLGN 827048109 6930 224,393.40 0.392%
ADTALEM GLOBAL EDUCATION INC ATGE 00737L103 6840 223,804.80 0.391%
DANAHER CORP DHR 235851102 1419 223,719.54 0.391%
COGENT COMMUNICATIONS HOLDIN CCOI 19239V302 2970 223,492.50 0.390%
PENUMBRA INC PEN 70975L107 1268 223,307.48 0.390%
NORTONLIFELOCK INC NLOK 668771108 11037 223,278.51 0.390%
SPOK HOLDINGS INC SPOK 84863T106 21330 222,685.20 0.389%
J2 GLOBAL INC JCOM 48123V102 2948 222,338.16 0.388%
FRESH DEL MONTE PRODUCE INC FDP G36738105 9630 222,164.10 0.388%
AVISTA CORP AVA 05379B107 5823 221,972.76 0.387%
PRICESMART INC PSMT 741511109 4165 221,869.55 0.387%
ALARM.COM HOLDINGS INC ALRM 011642105 4904 221,611.76 0.387%
NEW YORK COMMUNITY BANCORP NYCB 649445103 23580 221,416.20 0.387%
SANDERSON FARMS INC SAFM 800013104 1631 221,130.98 0.386%
GILEAD SCIENCES INC GILD 375558103 3008 221,088.00 0.386%
JM SMUCKER CO/THE SJM 832696405 2048 220,979.20 0.386%
CONSOLIDATED EDISON INC ED 209115104 3150 220,248.00 0.384%
HILL-ROM HOLDINGS INC HRC 431475102 2220 219,957.60 0.384%
CAMPBELL SOUP CO CPB 134429109 4647 219,245.46 0.383%
CABOT OIL & GAS A COG 127097103 11700 217,971.00 0.381%
NORTHWEST BANCSHARES INC NWBI 667340103 22590 217,767.60 0.380%
FTI CONSULTING INC FCN 302941109 1890 217,765.80 0.380%
BECTON DICKINSON AND CO BDX 075887109 911 217,674.34 0.380%
MYLAN NV MYL N59465109 13500 215,932.50 0.377%
PETMED EXPRESS INC PETS 716382106 6210 215,797.50 0.377%
ROLLINS INC ROL 775711104 5580 215,611.20 0.376%
TECH DATA CORP TECD 878237106 1668 213,120.36 0.372%
CITRIX SYSTEMS INC CTXS 177376100 1549 211,794.77 0.370%
PARK AEROSPACE CORP PKE 70014A104 18270 210,470.40 0.367%
MERIDIAN BIOSCIENCE INC VIVO 589584101 14310 209,927.70 0.366%
INOGEN INC INGN 45780L104 5670 207,351.90 0.362%
OMNICELL INC OMCL 68213N109 3195 206,173.35 0.360%
ORASURE TECHNOLOGIES INC OSUR 68554V108 14220 204,625.80 0.357%
TAUBMAN CENTERS INC TCO 876664103 5310 203,744.70 0.356%
TERADATA CORP TDC 88076W103 9863 202,980.54 0.354%
ICU MEDICAL INC ICUI 44930G107 1063 202,639.69 0.354%
FOSSIL GROUP INC FOSL 34988V106 68490 199,305.90 0.348%
COMMVAULT SYSTEMS INC CVLT 204166102 5400 192,402.00 0.336%
LUMINEX CORP LMNX 55027E102 6030 188,739.00 0.329%

Fund holdings and sector allocations are subject to change and are not a recommendation to buy or sell any security. Holdings are reflective of trading and creation/redemption activity as of the date indicated.

DISTRIBUTIONS

Month Notice Date Ex Date Record Date Pay Date Dividend Long Term Capital Gains Short Term Capital Gains Ordinary Income
TBD TBD TBD TBD TBD TBD TBD TBD TBD

There is no guarantee distributions will be paid.

PREMIUM DISCOUNT TABLE

Second Quarter 2020
Days traded at nav 0
Days traded at premium 5
Days traded at discount 4

PREMIUM AND DISCOUNT GRAPH

Carefully consider the Funds’ investment objectives, risk factors, charges and expenses before investing. This and additional information can be found in the Funds’ prospectus or summary prospectuses, which may be obtained by visiting https://6meridianfunds.com/investor-materials. Investors should read it carefully before investing or sending money.

The Funds are distributed by SEI Investments Distribution Co. which is not affiliated with Exchange Traded Concepts, LLC or any of its affiliates.

Investing involves risk, including possible loss of principal.

The funds are non-diversified.

The funds are actively managed and there is no guarantee the securities selected or the strategies employed will achieve the intended results. The funds rely heavily on quantitative models as well as data and information supplied by third parties that are utilized by the models. To the extent the models do not perform as designed or as intended, the Funds’ strategies may not be successfully implemented and the Funds may lose value. If the models or data are incorrect or incomplete, any decisions made in reliance thereon may lead to the inclusion or exclusion of securities that would have been excluded or included had the models or data been correct and complete.

Small cap risk for SIXH, SIXL, SIXS: Investments in smaller companies typically exhibit higher volatility.

REIT risk for SIXL, SIXS: In addition to the normal risks associated with investing, narrowly focused investments typically exhibit higher volatility. REIT investments are subject to changes in economic conditions, credit risk and interest rate fluctuations.

SIXH-specific risk: By writing covered call options in return for the receipt of premiums, the Fund will give up the opportunity to benefit from potential increases in the value of the reference index above the exercise prices of such options, but will continue to bear the risk of declines in the value of the reference index. The premiums received from the options may not be sufficient to offset any losses sustained from the volatility of the underlying stocks over time. In addition, the Fund’s ability to sell the securities underlying the options will be limited while the options are in effect unless the Fund cancels out the option positions through the purchase of offsetting identical options prior to the expiration of the written options.

An inverse ETF is designed to lose value as the underlying benchmark increases in value, a result that is opposite from traditional mutual funds, and shareholders of inverse ETFs will lose money when the value of the underlying benchmark rises.

Definition of index call option copied from the prospectus: As the seller of an index call option, the Fund receives a premium from the purchaser. The purchaser of the index call option has the right to any appreciation in the value of the index over the exercise price upon the exercise of the call option or the expiration date. If, at expiration, the purchaser exercises the index option sold by the Fund, the Fund will pay the purchaser the difference between the cash value of the index and the exercise price of the index option. The premium, the exercise price and the market value of the index determine the gain or loss realized by the Fund as the seller of the index call option.

A covered call refers to transaction in the financial market in which the investor selling call options owns the equivalent amount of the underlying security. To execute this an investor holding a long position in an asset then writes (sells) call options on that same asset to generate an income stream.

Beta is a measure of the volatility, or systematic risk, of a security or portfolio, in comparison to the market as a whole.