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Investment Objective
<div><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">Parametric Equity Premium Income ETF (the “Fund”)</span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;"> seeks to provide consistent monthly income while maintaining prospects for </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">capital appreciation.</span></div>
Fees and Expenses
<div><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">The table below describes the fees and expenses that you may pay if you buy, hold and sell shares of the Fund. </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;"><b>You may pay fees </b></span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;"><b>other than the fees and expenses of the Fund, such as brokerage commissions and other fees charged by financial </b></span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;"><b>intermediaries, which are not reflected in the tables and examples below.</b></span></div>
0.0029
Other Expenses have been estimated for the current fiscal year.
Example
<div><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">The example below is intended to help you compare the cost of investing in the Fund with the cost of investing in other funds. The </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">example</span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;"> does not take into account brokerage commissions that you pay when purchasing or selling shares of the Fund.</span></div><div><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">The example assumes that you invest $10,000 in the Fund for the time periods indicated and then sell your shares at the end of those </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">periods. The example also assumes your investment has a 5% return each year and the Fund’s operating expenses remain the same. </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">Although your actual costs may be higher or lower, based on these assumptions your costs would be:</span></div>
30
93
Portfolio Turnover
<div><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">The Fund pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when Fund shares are held in a taxable </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">account. These costs, which are not reflected in Total Annual Fund Operating Expenses or in the Example, affect the Fund’s </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">performance. Because the Fund had not commenced operations as of the most recent fiscal year end, no portfolio turnover rate is </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">available for the Fund.</span></div>
Principal Investment Strategies
<div><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">The Fund is an actively managed exchange-traded fund (“ETF”). The investment objective of the Fund is to seek to provide </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">consistent monthly income while maintaining prospects for capital appreciation. The Adviser and Parametric Portfolio Associates </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">LLC (the “Sub-Adviser”) seek to fulfill the Fund’s objective by using two principal strategies (1) creating an actively-managed </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">portfolio of dividend-paying equity securities that primarily include common stocks of U.S. companies selected from the Russell </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">3000® Index (the “long equity portfolio”); and (2) selling (writing) option contracts on the SPDR S&P 500® ETF Trust (the </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">“Underlying ETF”) or on the S&P 500® Index to generate additional yield.</span></div><div><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">Under normal circumstances, the Fund invests at least 80% of its net assets (plus any borrowings for investment purposes) in equity </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">securities.</span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt"> This policy may be changed without shareholder approval; however, shareholders would be notified upon 60 days’ notice </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">in writing of any changes. Equity securities in which the Fund may invest include common stocks.</span></div><div><span style="font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">The
Fund seeks to employ a top-down, disciplined, and systematic investment process that emphasizes
a diversified portfolio of quality companies that over
the prior 12 months have</span> <span style="font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">demonstrated
high current income and lower levels of risk on a sector relative basis. Such companies may
be referred to as durable dividend payers. This rules-based strategy applies a series of
durability rankings to a broad universe of U.S. equity securities (i.e.,
equity securities of companies included in the Russell 3000® Index).</span><span style="font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">
To achieve broad diversification, each economic sector generally receives an equal weight.
The top-ranked securities within each sector based on the Sub-Adviser’s yield and
risk screening are also generally weighted equally. The investment process is periodically
re-evaluated and may be adjusted to ensure that the process is consistent with the Fund’s
investment objective and strategies. The portfolio is rebalanced periodically to maintain
diversification and is reconstituted on an annual basis. The portfolio managers seek to manage
portfolio risk by using a quantitative model to construct a diversified portfolio of durable
dividend paying companies.</span></div><div><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">The Fund will systemically sell (write) out-of-the-money call option contracts, which have an expiration date of approximately two </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">weeks, with an objective of generating incremental income. The Fund will sell such call option contracts on the Underlying ETF or </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">on the S&P 500® Index. Flexible Exchange Options (“FLEX Options”) that reference the Underlying ETF may be utilized.</span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt"> The </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">Fund’s derivative instruments are generally limited to its call option writing strategy.</span></div><div><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">In general, an option contract is an agreement between a buyer and a seller that gives the purchaser of the option the right to </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">purchase (in the case of a call option) or sell (in the case of a put option) the underlying asset (or deliver cash equal to the value of an </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">underlying index) at a specified price (“strike price”) within a specified time period or at a specified future date. Selling a call option </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">entitles the seller to a premium equal to the value of the option at the time of the trade. In the event the underlying asset declines in </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">value, the value of a call option will generally decrease (and may end up worthless). Conversely, in the event the underlying asset </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">appreciates in value, the value of a call option will generally increase. FLEX Options are customizable exchange-traded option </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">contracts guaranteed for settlement by the Options Clearing Corporation (the “OCC”). Option terms that can be customized </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">include exercise price, exercise styles, and expiration dates.</span></div><div><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">A call option is considered “out-of-the-money” when the strike price of the option at expiration exceeds the current price of the </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">underlying asset. By selling call options, the Fund will receive premiums but will give up the opportunity to benefit from potential </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">increases in the value of the Underlying ETF or the S&P 500® Index above the exercise prices of such options.</span></div><div><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">As a result of writing call options, the Fund may forgo performance in market environments with significant equity market </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">appreciation in which the Underlying ETF or S&P 500® Index exceeds the strike price of the written call option. However, the Sub-</span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">Adviser will seek to “ladder” the Fund’s written call option positions to mitigate this risk. “Laddering” is an investment technique </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">that utilizes multiple option positions over multiple expiration dates to reduce the concentration risk of a concentrated exposure to a </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">single option expiration and to create more opportunities to roll option positions </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">(i.e., one option position expires and a new option </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">position is opened in the same underlying security) </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">during extended periods of market appreciation. In this regard, the Sub-Adviser </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">expects to write more frequent, short-dated call options with two-week expirations in tranches with such expirations being staggered </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">approximately every three to four trading days. The Sub-Adviser believes that this may provide the opportunity for a more diversified </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">options portfolio with more consistent greater upside appreciation profile compared to a written call option portfolio with a single </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">position.</span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt"> Additionally, the Sub-Adviser believes that the laddering of short-dated call options may provide a more stable option </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">premium income for the portfolio, as each call option in the portfolio is expected to be a short-dated call option with a two-week </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">expiration (either expiring worthless or with a liability) and, upon expiration, is expected to be replaced with a new short-dated call </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">option with a two-week expiration.</span></div><div><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">The Fund may incorporate tax loss harvesting within the long equity portfolio to maximize realization of losses. Realized losses in the </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">long equity portfolio may be used to offset realized gains in the written option portfolio</span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt"> and long equity portfolio</span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">.</span></div>
Principal Risks
<span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">There is no assurance that the Fund will achieve its investment objective, and you can lose money investing in this Fund.</span>
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<div style="font-size:10pt;font-family:Arial, Helvetica, sans-serif;"><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:8.52pt;;"><b>Equity Securities.</b></span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;"> In general, prices of equity securities are more volatile than those of fixed-income securities. The prices of equity </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">securities fluctuate, and sometimes widely fluctuate, in response to activities specific to the issuer of the security as well as factors </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">unrelated to the fundamental condition of the issuer, including general market, economic, political conditions and public health </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">conditions. During periods when equity securities experience heightened volatility, such as during periods of market, economic or </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">financial uncertainty or distress, the Fund’s investments in equity securities may be subject to heightened risks.</span></div>
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<div style="font-size:12pt;font-family:Arial, Helvetica, sans-serif;">•</div>
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<div style="font-size:10pt;font-family:Arial, Helvetica, sans-serif;"><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:8.52pt;;"><b>Income Risk.</b></span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;"> The Fund’s ability to distribute income to shareholders will depend on the yield available on the common stocks held </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">by the Fund and the premiums received by the Fund with respect to its written call options. Changes in the dividend policies of </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">companies held by the Fund could make it </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">more </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">difficult for the Fund to provide a </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">consistent monthly</span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;"> income.</span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt"> </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">For example, if </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">the stocks held by the Fund reduce or stop paying dividends, the Fund’s ability to generate income may be adversely affected. In </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">addition, the premiums received by the Fund with respect to its written call options will vary over time and based on market </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">conditions.</span></div>
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<div style="font-size:10pt;font-family:Arial, Helvetica, sans-serif;"><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">The Fund seeks to provide consistent monthly income while maintaining prospects for capital appreciation. However, there is no </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">guarantee that the Fund will make monthly income payments to its shareholders or, if made, that the Fund’s monthly income </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">payments to shareholders will remain consistent. </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">For example, in the event the value of the asset underlying a written call option </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">exceeds the strike price plus the premium received by the Fund with respect to the option, the Fund’s ability to provide consistent </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">monthly income may be adversely impacted. </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">The amount of the Fund’s distributions for any period may exceed the amount of </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">the Fund’s income and gains for that period. In that case, some or all of the Fund’s distributions may constitute a return of capital </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">to shareholders.</span></div>
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<div style="font-size:10pt;font-family:Arial, Helvetica, sans-serif;"><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 8.52pt"><b>Liquidity</b></span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">. The Fund may make investments that are illiquid or restricted or that may become illiquid or less liquid in response to </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">overall economic conditions or adverse investor perceptions, and which may entail greater risk than investments in other types of </span></div>
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<div style="font-size:10pt;font-family:Arial, Helvetica, sans-serif;"><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">securities. These investments may be more difficult to value or sell, particularly in times of market turmoil, and there may be little </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">trading in the secondary market available for particular securities. If the Fund is forced to sell an illiquid or restricted security to </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">fund redemptions or for other cash needs, it may be forced to sell the security at a loss or for less than its fair value.</span></div>
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<div style="font-size:10pt;font-family:Arial, Helvetica, sans-serif;"><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">In the event that trading in the underlying FLEX Options is limited or absent, the value of the Fund’s FLEX Options may </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">decrease. There is no guarantee that a liquid secondary trading market will exist for the FLEX Options. The trading in FLEX </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">Options may be less deep and liquid than the market for certain other securities, including certain non-customized option </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">contracts. In a less liquid market for the FLEX Options, terminating the FLEX Options may require the payment of a premium </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">or acceptance of a discounted price and may take longer to complete. Additionally, the liquidation of a large number of FLEX </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">Options may more significantly impact the price in a less liquid market. Further, the Fund requires a sufficient number of </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">participants to facilitate the purchase and sale of options on an exchange to provide liquidity to the Fund for its FLEX Option </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">positions. A less liquid trading market may adversely impact the value of the FLEX Options and the value of your investment.</span></div>
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<div style="font-size:10pt;font-family:Arial, Helvetica, sans-serif;"><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 8.52pt"><b>Market and Geopolitical Risk.</b></span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt"> The value of your investment in the Fund is based on the values of the Fund’s investments, which </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">may change due to economic and other events that affect markets generally, as well as those that affect particular regions, </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">countries, industries, companies or governments. These events may be sudden and unexpected, and could adversely affect the </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">liquidity of the Fund’s investments, which may in turn impact valuation, the Fund’s ability to sell securities and/or its ability to </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">meet redemptions. The risks associated with these developments may be magnified if certain social, political, economic and other </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">conditions and events (such as war, natural disasters, epidemics and pandemics, terrorism, conflicts, social unrest, recessions, </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">inflation, rapid interest rate changes and supply chain disruptions) adversely interrupt the global economy and financial markets. </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">It is difficult to predict when events affecting the U.S. or global financial markets may occur, the effects that such events may have </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">and the duration of those effects (which may last for extended periods). These events may negatively impact broad segments of </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">businesses and populations and have a significant and rapid negative impact on the performance of the Fund’s investments, </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">adversely affect and increase the volatility of the Fund’s share price and exacerbate pre-existing risks to the Fund.</span></div>
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<div style="font-size:10pt;font-family:Arial, Helvetica, sans-serif;"><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 8.52pt"><b>Derivatives.</b></span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt"> Derivatives and other similar instruments that create synthetic exposure often are subject to risks similar to those of </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">the underlying asset or instrument, including market risk, and may be subject to additional risks, including imperfect correlation </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">between the value of the derivative and the underlying asset, risks of default by the counterparty to certain transactions, </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">magnification of losses incurred due to changes in the market value of the securities, instruments, indices or interest rates to which </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">the derivative instrument relates, risks that the transactions may not be liquid, risks arising from margin and payment </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">requirements, risks arising from mispricing or valuation complexity and operational and legal risks. Certain derivative transactions </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">may give rise to a form of leverage. Leverage magnifies the potential for gain and the risk of loss.</span></div>
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<div style="font-size:10pt;font-family:Arial, Helvetica, sans-serif;"><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:8.52pt;;"><b>Call Option Writing Risk.</b></span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;"> Writing call options involves the risk that the Fund may be required to sell the underlying security or </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">instrument (or settle in cash an amount of equal value) at a disadvantageous price or below the market price of such underlying </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">security or instrument, at the time the option is exercised. As the writer of a call option, the Fund forgoes, during the option’s life, </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">the opportunity to profit from increases in the market value of the underlying security or instrument covering the option above </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">the sum of the premium and the exercise price, but retains the risk of loss should the price of the underlying security or </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">instrument decline. Additionally, the Fund’s call option writing strategy may not fully protect it against declines in the value of </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">the market.</span></div>
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<div style="font-size:10pt;font-family:Arial, Helvetica, sans-serif;"><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">During periods in which equity markets are generally unchanged or falling, or in a modestly rising market where the income from </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">premiums exceeds the aggregate appreciation of the underlying security or instrument over its exercise price, a diversified portfolio </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">receiving premiums from its call option writing strategy may outperform the same portfolio without such an options strategy. </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">However, in rising markets where the aggregate appreciation of the underlying security or instrument over its exercise price </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">exceeds the income from premiums, a portfolio with a call writing strategy could significantly underperform the same portfolio </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">without such an options writing strategy.</span></div>
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<div style="font-size:10pt;font-family:Arial, Helvetica, sans-serif;"><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">The Fund will also incur a form of economic leverage through its use of call options, which could increase the volatility of the </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">Fund’s returns and may increase the risk of loss to the Fund.</span></div>
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<div style="font-size:10pt;font-family:Arial, Helvetica, sans-serif;"><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">There are special risks associated with uncovered option writing which expose the Fund to potentially significant loss. As the seller </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">of an uncovered call option, the Fund bears unlimited risk of loss should the price of the underlying security increase above the </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">exercise price until the Fund covers its exposure.</span></div>
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<div style="font-size:10pt;font-family:Arial, Helvetica, sans-serif;"><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:8.52pt;;"><b>FLEX Options.</b></span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;"> The Fund utilizes FLEX Options guaranteed for settlement by the OCC. The </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">FLEX Options traded by the Fund </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">are listed on the Chicago Board Options Exchange. Options positions are marked to market daily. Although guaranteed for </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">settlement by the OCC, FLEX Options are still subject to counterparty risk with the OCC and may be less liquid than more </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">traditional exchange-traded option contracts. The Fund</span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;"> bears the risk that the OCC will be unable or unwilling to perform its </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">obligations under the FLEX Options contracts. In the unlikely event that the OCC becomes insolvent or is otherwise unable to </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">meet its settlement obligations, the Fund could suffer significant losses. FLEX Options are subject to the risk that they may be less </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">liquid than certain other securities, such as standardized options. In less liquid markets, termination of FLEX Options may require </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">the payment of a premium or acceptance of a discounted price and may take longer to complete and/or the liquidation of a large </span></div>
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<div style="font-size:10pt;font-family:Arial, Helvetica, sans-serif;"><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">number of options may significantly impact the price of the options and may adversely impact the value of your investment. </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">Additionally, in connection with the creation and redemption of Fund shares, to the extent market participants are not willing or </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">able to enter into FLEX Option transactions with the Fund at prices that reflect the market price of Fund shares, the Fund’s NAV </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">and, in turn the share price of the Fund, could be negatively impacted.</span></div>
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<div style="font-size:10pt;font-family:Arial, Helvetica, sans-serif;"><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">As an in-the-money FLEX Option approaches its expiration date, its value typically will increasingly move with the value of the </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">Underlying ETF. However, the value of the FLEX Options prior to the expiration date may vary because of related factors other </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">than the value of the Underlying ETF. The value of the FLEX Options will be determined based upon market quotations or using </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">other recognized pricing methods. Factors that may influence the value of the FLEX Options generally include interest rate </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">changes, dividends, the actual and implied volatility levels of the Underlying ETF’s share price, and the remaining time until the </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">FLEX Options expire, among others. The value of the FLEX Options held by the Fund typically do not increase or decrease at the </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">same rate as the Underlying ETF’s share price on a day-to-day basis due to these factors (although they generally move in the same </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">direction), and, as a result, the Fund’s NAV may not increase or decrease at the same rate as the Underlying ETF’s share price. </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">The Fund may experience losses from certain FLEX Option positions and certain FLEX Option positions may expire with little to </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">no value.</span></div>
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<div style="font-size:10pt;font-family:Arial, Helvetica, sans-serif;"><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.22pt"><b>ETF Structure Risks.</b></span></div>
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<div style="font-size:10pt;font-family:Arial, Helvetica, sans-serif;"><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt; margin-left: 12pt; margin-left: 0pt"><i>Authorized Participant Concentration Risk.</i></span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt"> Only an authorized participant may engage in creation or redemption transactions </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">directly with the Fund. The Fund has a limited number of intermediaries that act as authorized participants and none of these </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">authorized participants is or will be obligated to engage in creation or redemption transactions. There can be no assurance that an </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">active trading market for the Fund’s shares will develop or be maintained. To the extent that these intermediaries exit the business </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">or are unable to or choose not to proceed with creation and/or redemption orders with respect to the Fund, such as during periods </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">of market stress, and no other authorized participant creates or redeems, shares may trade at a discount to net asset value (“NAV”) </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">and possibly face trading halts and/or delisting.</span></div>
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<div style="font-size:10pt;font-family:Arial, Helvetica, sans-serif;"><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt; margin-left: 12pt; margin-left: 0pt"><i>Trading Risk.</i></span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt"> The market prices of shares are expected to fluctuate, in some cases materially, in response to changes in the Fund’s </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">NAV, the intra-day value of the Fund’s holdings, and supply and demand for shares. The Adviser and/or Sub-Adviser cannot </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">predict whether shares will trade above, below or at their NAV. Disruptions to creations and redemptions, the existence of </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">significant market volatility or potential lack of an active trading market for the shares (including through a trading halt), as well </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">as other factors, may result in the shares trading significantly above (at a premium) or below (at a discount) to NAV or to the </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">intraday value of the Fund’s holdings. You may pay significantly more or receive significantly less than NAV during periods when </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">there is a significant premium or discount. Buying or selling shares in the secondary market may require paying brokerage </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">commissions or other charges imposed by brokers as determined by that broker. Brokerage commissions are often a fixed amount </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">and may be a significant proportional cost when seeking to buy or sell relatively small amounts of shares. In addition, the market </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">price of shares, like the price of any exchange-traded security, includes a “bid-ask spread” charged by the market makers or other </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">participants that trade the particular security. The spread of the Fund’s shares varies over time based on the Fund’s trading volume </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">and market liquidity and may increase if the Fund’s trading volume, the spread of the Fund’s underlying securities, or market </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">liquidity decrease.</span></div>
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<div style="font-size:10pt;font-family:Arial, Helvetica, sans-serif;"><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:8.52pt;;"><b>Active Management Risk.</b></span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;"> In pursuing the Fund’s investment objective, the Adviser and/or Sub-Adviser has considerable leeway in </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">deciding which investments to buy, hold or sell on a day-to-day basis, and which trading strategies to use. For example, the </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">Adviser or Sub-Adviser, in its discretion, may determine to use some permitted trading strategies while not using others. The </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">success or failure of such decisions will affect the Fund’s performance. The Sub-Adviser uses proprietary investment techniques </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">and analyses in making investment decisions for the Fund, seeking to achieve its investment objective while minimizing exposure </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">to security-specific risk. The strategy seeks to take advantage of certain quantitative and behavioral market characteristics </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">identified by the Sub-Adviser, utilizing a rules-based process and systematic rebalancing. A systematic investment process is </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">dependent on the Sub-Adviser’s skill in developing and maintaining that process. The Fund’s strategy has not been independently </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">tested or validated, and there can be no assurance that it will achieve the desired results. In addition, in implementing this rule-</span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">based management process, the Fund may not necessarily sell or otherwise close a position as a result of fundamental investment </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">analysis or adverse changes in a company’s financial position or outlook.</span></div>
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<div style="font-size:10pt;font-family:Arial, Helvetica, sans-serif;"><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:8.52pt;;"><b>Investment Objective Risk.</b></span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;"> There is no guarantee that the Adviser and/or Sub-Adviser will be successful in managing the Fund to provide consistent (monthly) distributable
income combined with capital appreciation through equity market exposure. The Fund may underperform its benchmark, particularly in rising markets. In addition, </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">the Fund does not guarantee that distributions will always be paid or will be paid at a relatively stable level.</span></div>
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<div style="font-size:10pt;font-family:Arial, Helvetica, sans-serif;"><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 8.52pt"><b>New Fund Risk.</b></span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt"> A new fund’s performance may not represent how the fund is expected to or may perform in the long term. In </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">addition, new funds have limited operating histories for investors to evaluate and new funds may not attract sufficient assets to </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">achieve investment and trading efficiencies.</span></div>
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<div style="font-size:10pt;font-family:Arial, Helvetica, sans-serif;"><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:8.52pt;;"><b>Correlation.</b></span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;"> As an in-the-money FLEX Option approaches its expiration date, its value typically will increasingly move with the </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">value of the Underlying ETF. However, the value of the FLEX Options may vary prior to the expiration date because of related </span></div>
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<div style="font-size:10pt;font-family:Arial, Helvetica, sans-serif;"><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">factors other than the value of the Underlying ETF. The value of the FLEX Options will be determined based upon market </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">quotations or using other recognized pricing methods. Factors that may influence the value of the FLEX Options include interest </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">rate changes and implied volatility levels of the Underlying ETF, among others. The value of the FLEX Options held by the Fund </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">typically do not increase or decrease at the same level as the Underlying ETF’s share price on a day-to-day basis due to these </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">factors (although they generally move in the same direction).</span></div>
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<div style="font-size:10pt;font-family:Arial, Helvetica, sans-serif;"><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:8.52pt;;"><b>Clearing Member</b></span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 8.52pt"><b> Risk</b></span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:8.52pt;;"><b>.</b></span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;"> Transactions in some types of derivatives, including FLEX Options, are required to be centrally cleared </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">(“cleared derivatives”). In a transaction involving cleared derivatives, the Fund’s counterparty is a clearing house, such as the </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">OCC, rather than a bank or broker. Since the Fund is not a member of clearing houses and only members of a clearing house </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">(“clearing members”) can participate directly in the clearing house, the Fund will hold cleared derivatives through accounts at </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">clearing members. In cleared derivatives positions, the Fund will make payments to and receive payments from a clearing house </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">through their accounts at clearing members. The Fund is also subject to the risk that a limited number of clearing members are </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">willing to transact on the Fund’s behalf, which heightens the risks associated with a clearing member’s default. If a clearing </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">member defaults, the Fund could lose some or all of the benefits of a transaction entered into by the Fund with the clearing </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">member. </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">The loss of a clearing member for the Fund to transact with could result in increased transaction costs and other </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">operational issues that could impede the Fund’s ability to implement its investment strategy. </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">If the Fund cannot find a clearing </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">member to transact with on the Fund’s behalf, the Fund may be unable to effectively implement its investment strategy.</span></div>
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<div style="font-size:10pt;font-family:Arial, Helvetica, sans-serif;"><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:8.52pt;;"><b>Counterparty</b></span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">. Counterparty risk generally refers to the risk that a counterparty on a derivatives transaction may not be willing or </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">able to perform its obligations under the derivatives contract, and the related risks of having concentrated exposure to such a </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">counterparty. The OCC acts as guarantor and central counterparty with respect to FLEX Options. As a result, the ability of the </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">Fund to meet its objective depends on the OCC being able to meet its obligations. In the event an OCC clearing member that is a </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">counterparty of the Fund were to become insolvent, the Fund may have some or all of its FLEX Options closed without its </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">consent or may experience delays or other difficulties in attempting to close or exercise its affected FLEX Options positions, both </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">of which would impair the Fund’s ability to deliver on its investment strategy. The OCC’s rules and procedures are designed to </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">facilitate the prompt settlement of options transactions and exercises, including for clearing member insolvencies. However, there </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">is the risk that the OCC and its backup system will fail if clearing member insolvencies are substantial or widespread. In the </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">unlikely event that the OCC becomes insolvent or is otherwise unable to meet its settlement obligations, the Fund could suffer </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">significant losses.</span></div>
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<div style="font-size:10pt;font-family:Arial, Helvetica, sans-serif;"><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 8.52pt"><b>Tax Risk.</b></span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt"> The Fund intends to limit the overlap between its stock holdings and the stock holdings of the Underlying ETF or Underlying Index to less </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">than 70% on an ongoing basis in an effort to avoid being subject to the “straddle rules” under federal income tax law. In general, </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">investment positions will be offsetting if there is a substantial diminution in the risk of loss from holding one position by reason of </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">holding one or more other positions. The Fund expects that the option contracts it writes will not be considered straddles because </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">its stock holdings will be sufficiently dissimilar from the stock holdings of the Underlying ETF or Underlying Index under applicable guidance </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">established by the IRS. Under certain circumstances, however, the Fund may enter into options transactions or certain other </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">investments that may constitute positions in a straddle. The straddle rules may affect the character of gains (or losses) realized by </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">the Fund, and losses realized by the Fund on positions that are part of a straddle may be deferred under the straddle rules, rather </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">than being taken into account in calculating taxable income for the taxable year in which the losses are realized. In addition, </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">certain carrying charges (including interest expense) associated with positions in a straddle may be required to be capitalized rather </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">than deducted currently. Certain elections that the Fund may make with respect to its straddle positions may also affect the </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">amount, character and timing of the recognition of gains or losses from the affected positions and may decrease the amount of the </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">Fund’s dividends that may be reported as qualified dividend income. The tax consequences of such straddle transactions to the </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">Fund are not entirely clear in all situations under currently available authority. The straddle rules may increase the amount of </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">short-term capital gain realized by the Fund, which is taxed as ordinary income when distributed to U.S. shareholders in a non- </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">liquidating distribution. Because application of the straddle rules may affect the character of gains or losses, defer losses and/or </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">accelerate the recognition of gains or losses from the affected straddle positions, the amount which must be distributed to U.S. </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">shareholders as ordinary income may be increased or decreased substantially as compared to a fund that did not engage in such </span><span style="clear: both; font-family: Arial, Helvetica, sans-serif; font-size: 10.02pt">transactions.</span></div>
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<span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">Shares of the Fund are not bank deposits and are not guaranteed or insured by the Federal Deposit Insurance Corporation or any </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">other government agency.</span>
Performance Information
<div><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">As of the date hereof, the Fund has not yet completed a full calendar year of investment operations. Upon the completion of a full </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">calendar year of investment operations by the Fund, this section will include charts that provide some indication of the risks of an </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">investment in the Fund, by showing the difference in annual total returns, highest and lowest quarterly returns and average annual </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">total returns (before and after taxes) compared to the benchmark index selected for the Fund. Performance information for the Fund </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">will be available online at </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">www.eatonvance.com</span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;"> or by calling toll-free </span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">800-836-2414</span><span style="clear:both;font-family:Arial, Helvetica, sans-serif;font-size:10.02pt;;">.</span></div>
www.eatonvance.com
800-836-2414
1The Fund’s management agreement provides that the Fund’s “Adviser,” Morgan Stanley Investment Management Inc., will pay substantially all expenses of the Fund (including expenses of Morgan Stanley ETF Trust (the “Trust”) relating to the Fund), except for the distribution fees, if any, brokerage expenses, acquired fund fees and expenses, taxes, interest, litigation expenses, and other extraordinary expenses, including the costs of proxies, not incurred in the ordinary course of the Fund’s business.
2Other Expenses have been estimated for the current fiscal year.