The Fund will normally invest at least 80% of its net assets in securities of the Index. The Index is designed to measure the performance of a portfolio of companies that have business involvement in the development or use of or investment in new energy vehicles, autonomously driven vehicles, battery technology, renewable energy, and energy storage (“Green Energy Transport and Technology Leaders”). Under normal circumstances, the Fund will invest at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in securities of Green Energy Transport and Technology Leaders.

The Index was designed by Capital Link (the “Index Provider”) using a proprietary natural language processing (“NLP”) algorithmic stock selection methodology developed by ALLINDEX (the “Methodology”). The eligible universe of Index components includes companies that: (1) are listed on major stock exchanges of developed and emerging markets countries, as defined by ALLINDEX according to the rules-based Methodology; (2) have a minimum market capitalization of $100 million and a minimum average daily traded value for the last 6 months greater than or equal to $1 million; and (3) have a minimum free float market capitalization (shares publicly available for purchase on the stock market) equivalent to 10% of shares outstanding. Shares of common stock, units, tracking stocks, American Depository Receipts (“ADRs”) and Global Depository Receipts (“GDRs”) are eligible for inclusion in the Index. Where securities of eligible companies have multiple share classes listed on major exchanges, the most liquid share class as determined by the average daily traded value for the sixth month period preceding the date companies are screened for inclusion. The Index may include China A-shares, which are shares of mainland China-based companies that trade on the Chinese stock exchanges.

From this eligible universe, companies are screened according to the Methodology for their investment in, production of materials and components for, or development of technologies for Green Energy Transport and Technology Leaders using ALLINDEX’s NLP algorithm. The algorithm identifies a relationship between certain keywords that are representative of targeted investment trends and themes, as well as investment securities whose short- and long-term values are affected by such trends and themes. The algorithm reads through a large volume of textual data on an online media platform and databases and identifies companies that are Green Energy Transport and Technology Leaders.

These companies are then grouped into the following “stakeholder” categories: (1) Battery Producers (companies that mine or produce materials, chemicals, and components that are used in the production of batteries and renewable energy); (2) Original Equipment Manufacturers (OEMs) (companies that design, manufacture or distribute new energy vehicles, autonomous vehicles, renewable energy, and energy storage); (3) Suppliers (companies that produce or distribute parts and components used for the remaining four categories, including thermal management (heating/cooling) systems and drive-train elements (other than batteries)); (4) Semiconductors & Software (companies that produce semiconductors & software used in new energy vehicles and autonomously driven vehicles, including advanced driver-assistance systems (ADAS), Light Detection & Ranging (LiDAR), and infotainment, and companies that develop software necessary for sensing, mapping and providing driving policy within new energy vehicles and autonomously driven vehicles); and (5) Renewable Energy Producers (companies that produce renewable energy, such as wind, photovoltaics, or water).

Once eligible companies are grouped into the stakeholder categories, companies are ranked within their category based on a score applied using the Methodology. In order to limit overconcentration of the Index in a stakeholder category, the following rules are applied in constructing the final Index: (1) Index components are selected based on rankings within their stakeholder category; (2) the maximum number of Index components in each stakeholder category is capped consistent with the index methodology; and (3) components chosen for inclusion in the Index are equally weighted. Index components are reconstituted in June and December and rebalanced in March and September. As of March 1, 2022, the Index comprised 69 component securities with an average market capitalization of $83 billion.

The Fund employs a “passive management” investment strategy designed to track the performance of the Index. The Adviser generally will use a replication methodology, meaning it will invest in all of the securities comprising the Index in proportion to their respective weightings in the Index. However, the Adviser may utilize a sampling methodology under various circumstances, including when it may not be possible or practicable to purchase all of the securities in the Index. The Adviser expects that over time, if the Fund has sufficient assets, the correlation between the Fund’s performance, before fees and expenses, and that of the Index will be 95% or better. A figure of 100% would indicate perfect correlation.

The Fund may invest up to 20% of its net assets in investments that are not included in the Index, but that the Adviser believes will help the Fund track the performance of the Index.

The Fund will concentrate its investments (i.e., invest more than 25% of its total assets) in a particular industry or group of industries to approximately the same extent that the Index concentrates in an industry or group of industries. As of March 1, 2022, the Index was not concentrated in any industry. In addition, in replicating the Index, the Fund may from time to time invest a significant portion of its assets in the securities of companies in one or more sectors. As of March 1, 2022, a significant portion of the Index consisted of companies in the Consumer Discretionary Sector and Information Technology Sector.

Capital Link and ALLINDEX are not affiliates of the Fund or the Adviser. The Index is calculated and administered by Solactive AG, which is not an affiliate of the Fund, the Adviser or the Index Provider.