Glossary

30-Day Median Bid/Ask Spread: The midpoint of the differences between the “bid” price (what investors are willing to pay) and the “ask” price (at which they are willing to sell Fund shares) on the listing exchange over the last 30 calendar days.

Correlation: Correlation is a measure of how two assets perform in relation to each other. Assets that are strongly correlated (with a measure near 1) tend to move together, while uncorrelated assets (with a measure near -1) tend to move in opposite directions.

Premium/Discount: The negative or positive difference between the market price and NAV at the time as of which the NAV is calculated, expressed as a percentage of NAV. The table shows the number of days the Fund traded at a premium, at a discount, or at NAV during various periods. The line graph shows the discount (negative) and the premium (positive) amount on the vertical axis and the date on which the premium/discount occurred on the horizontal axis.

Dispersion: Dispersion is a statistical measure of variation among values.

Expense Ratio (%): The Fund’s total annual operating expenses as a percentage of your investment. You may pay other fees, such as brokerage commissions and other fees to financial intermediaries, which are not reflected in the expense ratio.

Inflation: A general rise in prices throughout the U.S. economy, which the Fund measures using the non-seasonally adjusted U.S. City Average All Items Consumer Price Index for All Urban Consumers (the “CPI-U”).

Inflation Swap: Swaps are derivative contracts where one party “swaps” one type of cash flow for a different type of cash flow. In an inflation swap, one party agrees to pay to the other party the percentage increase in CPI-U during the term of the swap, while the other party agrees to pay back a fixed rate. The inflation swaps held by the Fund will typically increase in value if inflation increases and decrease in value if inflation decreases.

Long/Short: The value of a long position in an asset moves in the same direction as its market price. The value of a short position in an asset moves in the opposite direction as its market price.

Market Price: The price at which Fund shares are bought and sold, which may be below, at, or above NAV. The Market Price Returns are calculated based on the Fund’s official closing price on the listing exchange.

NAV: The dollar value of a single share of the Fund, calculated using the value of the underlying assets of the Fund minus its liabilities, divided by the number of shares outstanding. Calculated at the end of each business day.

Swaption: A swaption is an option on a swap agreement that gives the buyer the right, but not the obligation, to enter into a swap on a future date in exchange for paying a market-based “premium.” The Fund expects to focus on so-called “payer swaptions,” which give the Fund the right to pay fixed-rate payments and, in exchange, receive floating rate payments. Swaptions held by the Fund will typically increase in value if interest rates rise, and decrease in value if interest rates fall.

TIPS: U.S. Treasury Inflation-Protected Securities (“TIPS”) are marketable securities issued by the U.S. Treasury whose principal is adjusted based on changes in the CPI-U. With inflation, the principal increases, and with deflation (a decrease in the CPI-U), the principal decreases. The relationship between TIPS and inflation affects both the principal amount paid when a TIPS instrument matures and the amount of interest that a TIPS instrument pays semi-annually.

Trend-Following Strategy: A systematic, rules-based investment strategy that can generally go long or short futures contracts across equities, fixed income, commodities, and foreign-exchange markets.