SPYE

About SPYE

The Fund, using a “passive” or indexing investment approach, seeks investment results that correspond generally to the performance, before fees and expenses, of the Underlying Index, which is a broad-based, market capitalization weighted index that provides exposure to companies with high environmental, social and governance (“ESG”) performance relative to their sector peers, while maintaining similar overall industry group weights as the S&P 500 Index. The Underlying Index seeks to target 75% of the float market capitalization (i.e., the amount of stock which is available for trading by the general public) of each Global Industry Classification Standard Industry Group (“GICS Industry Group”) within the S&P 500 Index, using an ESG score as the defining characteristic. The Underlying Index is rebalanced annually, effective after the close of the last business day of April, and thus the Fund rebalances its portfolio in a corresponding fashion. All constituents of the S&P 500 Index are eligible for selection by the Underlying Index, with the exception of companies that: Are engaged in the production and sale of tobacco. Are engaged in the business of controversial weapons (cluster weapons, landmines (anti-personnel mines), biological or chemical weapons, depleted uranium weapons, white phosphorous weapons, nuclear weapons). Fall within the bottom 5% of the United Nations Global Compact (“UNGC”) score ranking. UNGC scores are provided by Arabesque, a global asset management firm, which implements quantitative models and data to rate a company based on the normative principles of the United Nations Global Compact – human rights, labor rights, the environment, and anti-corruption. Fall within the lowest 25% of ESG scores from each GICS Industry Group. ESG scores are assigned by RobecoSAM, an international investment company focusing on sustainability investments. For the purposes of ESG assessment, companies are assigned to industries defined by RobecoSAM and the assessment is largely specific to each industry. RobecoSAM uses the Global Industry Classification Standard (GICS®) as its starting point for determining industry classification. After excluding such companies, the Underlying Index selects from the remaining companies in the S&P 500 Index as follows: 1. For each GICS Industry Group, companies are selected in decreasing order of ESG Score, until 65% of the Universe float-adjusted market capitalization (“FMC”) is reached. 2. For each GICS Industry Group, existing companies ranked between 65% and 85% are selected to get as close as possible to the target 75% of FMC. 3. If the combined FMC of selected companies is not above the 75% FMC target, companies not already selected from the Eligible Universe may be added in decreasing order of ESG Score to get as close as possible to the 75% FMC target. This process will stop when the addition of the next eligible company would result in the total FMC of the relevant GICS Industry Group moving further away from the 75% FMC target. The Fund uses a full replication indexing strategy to seek to track the Underlying Index. As such, the Fund invests directly in the component securities of the Underlying Index in substantially the same weightings in which they are represented in the Underlying Index. If it is not possible for the Fund to acquire component securities due to limited availability or regulatory restrictions, the Fund may use a representative sampling indexing strategy to seek to track the Underlying Index instead of a full replication indexing strategy. “Representative sampling” is an indexing strategy that involves investing in a representative sample of securities that collectively has an investment profile similar to the Underlying Index. The securities selected are expected to have, in the aggregate, investment characteristics (based on factors such as market capitalization and industry weightings), fundamental characteristics (such as return variability and yield), and liquidity measures similar to those of the Underlying Index. The Fund may or may not hold all of the securities in the Underlying Index when using a representative sampling indexing strategy. The Fund will invest at least 80% of its total assets (but typically far more) in component securities of the Underlying Index. As of March 29, 2019, the Underlying Index consisted of 329 securities, with an average market capitalization of approximately $56.3 billion and a minimum market capitalization of approximately $2.5 billion. The Fund is classified as non-diversified under the Investment Company Act of 1940, as amended (the “1940 Act”). The Fund will concentrate its investments (i.e., hold 25% or more of its total assets) in a particular industry or group of industries to the extent that its Underlying Index is concentrated. As of March 29, 2019, a significant percentage of the Underlying Index was comprised of issuers in the information technology sector (25.3%).