The Fund is an actively-managed exchange-traded fund (“ETF”) that seeks to generate current income by:

The Fund’s net asset holdings will generally be invested as follows:

For its options contract holdings, the Fund may invest up to 100% of its net assets using a combination of options strategies, subject to the following ranges: 

Defined Risk Options Strategies

The Fund’s investment strategy is primarily driven by its options strategies. The Fund will primarily invest in options strategies involving Treasury ETFs, allocating up to 50% of its net assets to long option positions, debit spreads, calendar spreads, and diagonal spreads (each, based on the net premium). The Fund will also allocate up to 80% of its net assets to credit spreads (using Treasury securities as collateral).

ZEGA Financial, LLC (“ZEGA”), the Fund’s investment sub-adviser, tactically implements these options strategies. ZEGA assesses Treasury ETF options pricing against current market conditions, heavily weighing factors such as interest rates, the shape of the yield curve (focusing on the longer end), and bond market volatility.

The Fund adopts a defined risk management approach to its options trading, meaning all options are covered. The Fund does not engage in uncovered (“naked”) options trading. Each options position is part of a defined risk strategy, either pairing two options to set clear boundaries for potential gains and losses from the outset or using long individual options. The maximum risk level for each option spread can range from 20% to 80%, depending on the options’ time to expiration. For individual long calls or puts, the risk is limited to the premium paid.

ZEGA constructs a portfolio for the Fund designed to reduce interest rate volatility by analyzing market data to determine the timing and levels for placing options trades. The Fund’s holdings may include bullish, bearish, or neutral credit and debit spreads, as well as long put and call options. When appropriate, the Fund can maintain positions with both bullish and bearish leanings.

The following outlines the differing options strategies that the Fund will implement based on ZEGA’s analyses.

The maximum profit for the Fund is the initial net credit received, while the maximum loss is calculated by subtracting the initial credit from the difference between the strike prices.

The Fund’s maximum profit is the difference between the strike prices minus the initial debit. In contrast, the maximum loss is confined to the initial debit paid.

For more information on credit spreads, debit spreads, and options terminology, see the section of the Fund’s Prospectus titled “Additional Information About the Fund.”

ZEGA uses options spreads on Treasury ETFs, coupled with long put and call options strategies on Treasury ETFs, aiming for income generation and capital gains across different interest rate environments. The Fund seeks to earn income from favorable discrepancies between premiums at the start of options positions, and any beneficial movement of the underlying Treasury ETF prices relative to the options’ strike prices until expiration. This consolidated strategy seeks to generate income across a variety of interest rate scenarios, striving for a more stable and risk-adjusted performance.

All option positions held by the Fund are exchange-traded and collateralized with cash and cash equivalents (for example, Treasuries and money market fund shares)

Under normal market conditions, the Fund will invest at least 80% of its assets, plus borrowings for investment purposes, in Treasuries. In pursuing its options strategies, the Fund may also allocate up to 80% of its net assets to credit spreads. Concurrently, the Fund may invest up to 50% of its net assets to a combination of debit spreads, calendar spreads, diagonal spreads, and long calls and/or puts on Treasury ETFs. Collectively, the Fund’s total investment in options strategies will not exceed 100% of the Fund’s net assets.

The Fund is “non-diversified” for purposes of the 1940 Act, which means that the Fund may invest in fewer issuers at any one time than a diversified fund.