Important Risks

Exchange Traded Fund investing involves risk. Principal loss is possible. Investments in asset-backed and mortgage-backed securities include additional risks that investors should be aware of, including credit risk, prepayment risk, possible illiquidity, and default, as well as increased susceptibility to adverse economic developments. Investments in debt securities typically decrease when interest rates rise. This risk is usually greater for longer-term debt securities. Investments in lower-rated and non-rated securities present a greater risk of loss of principal and interest than higher-rated securities do.

The Fund is newly formed and has limited operating history. While the shares of ETFs are tradeable on secondary markets, they may not readily trade in all market conditions and may trade at significant discounts in periods of market stress. ETFs trade like stocks, are subject to investment risk, fluctuate in market value and may trade at prices above or below the ETF's net asset value. Brokerage commissions and ETF expenses will reduce returns.

Credit risk is the risk that the issuer of a security will not be able to make principal and interest payments when due.

Prepayment Risk: When interest rates fall, certain obligations may be paid off by the obligor earlier than expected by refinancing their mortgages, resulting in prepayment of the mortgage-backed securities held by the Fund which could result in a decline in the Fund’s income.

Mortgage-Backed Securities Risks: Mortgage-backed securities are dependent on real estate prices and real estate fundamentals. When real estate prices face a significant decline, the Fund’s securities may be negatively affected. The value of some mortgage-backed securities may be particularly sensitive to changes in prevailing interest rates, and although the securities are generally supported by some form of government or private insurance, there is no assurance that private guarantors or insurers will meet their obligation.

Cash Transactions Risk: The Fund may effect creations and redemptions in cash. Therefore, it may be required to sell portfolio securities and subsequently recognize gains on such sales that the Fund might not have recognized if it were to distribute portfolio securities in-kind. Investments in shares may be less tax-efficient than an investment in an ETF that distributes portfolio securities entirely in-kind.

An investment in the Fund is not a deposit of any bank and is not insured or guaranteed by any government agency. There is no guarantee that any investment strategy will achieve its objectives, generate profits, or avoid losses.

Diversification does not ensure a profit or guarantee against loss. As a result of its active trading strategy, the Fund may incur higher levels of current tax liability to shareholders in the Fund. 

Glossary / Definitions

Correlation is a statistical measure of how two securities move in relation to another. Index used for comparison is The Bloomberg US Aggregate Bond Index.

Coupon is the annual interest rate paid on a bond, expressed as a percentage of the face value and paid from the issue date until maturity.

Effective Spread Duration is a measure of a fixed income security’s sensitivity to changes in its credit spread. The credit spread is the difference between the yield of a security and the yield of a benchmark rate, such as a cash interest rate or government bond yield. 

Exchange-Traded Fund (ETF) is a type of pooled investment fund that holds multiple underlying assets - such as stocks, bonds, or commodities - and trades on stock exchanges, similar to individual stocks. 

Floating Rate Agency Residential Mortgage-Backed Securities: are issued by U.S. government-sponsored entities (such as Fannie Mae, Freddie Mac, or Ginnie Mae) where the interest rate resets periodically based on a benchmark rate, resulting in payments that adjust over time and typically lower interest rate risk compared to fixed-rate securities.

Floating Rate is an investment with interest payments that float or adjust periodically based upon a predetermined benchmark.

Interest Rate Duration is a measure used to determine a fixed income security’s sensitivity to moves in interest rates. When interest rates increase, the market values of mortgage backed securities decline. At the same time, however, mortgage refinancing and prepayments slow, which lengthens the effective duration of these securities. As a result, the negative effect of the interest rate increase on the market value of mortgage backed securities is usually more pronounced than it is for other types of fixed income securities, potentially increasing the volatility of the Fund. Conversely, when market interest rates decline, while the value of mortgage backed securities may increase, the rate of prepayment of the underlying mortgages also tends to increase, which shortens the effective duration of these securities.

SEC 30-Day Yield is the yield calculated with a standardized formula that represents net investments income earned by a fund over a 30-day period, expressed as an annual percentage rate based on the fund's share price.