XMMO

About XMMO

TheFund generally will invest at least 90% of its total assets in securities that comprise the Underlying Index.Strictlyin accordance with its guidelines and mandated procedures, S&PDow Jones Indices LLC (“S&P DJI” or the “Index Provider”) compiles, maintains and calculates the UnderlyingIndex, which is composed of constituents of the S&P MidCap 400®Index (the “Parent Index”) that have the highest “momentum score.” In general, momentum is the tendency of aninvestment to exhibit persistence in its relative performance; a “momentum style” of investing emphasizes investing in securitiesthat have had better recent performance compared to other securities. The momentum score for each security included in the UnderlyingIndex is based on upward price movements of the security as compared to other eligible securities within the Parent Index.Inselecting constituent securities for the Underlying Index, the Index Providerfirst calculates the momentum score of each stock in the Parent Index by evaluating the percentage change in the stock’s price overthe last 12 months, excluding the most recent month, and applying an adjustment based on the security’s volatility over that period.Approximately 80 of the securities with the highest momentum score are included in the Underlying Index. The Underlying Index uses a modifiedmarket capitalization-weighted strategy and weightssecurities by multiplying each security’s market capitalization and momentum score, subject to security and sector constraints.Asof June 30, 2023, the Underlying Index was comprised of 76constituents with market capitalizations ranging from $1.8 billionto $17.8 billion. TheFund employs a “full replication” methodology in seeking to track theUnderlying Index, meaning that the Fund generally invests in all of the securities comprising the Underlying Index in proportion to theirweightings in the Underlying Index.TheFund intends to be “diversified,” as defined in theInvestment Company Act of 1940, as amended (the “1940 Act”), to the extent that the Underlying Index is diversified. The Fundmay become “non-diversified” as defined in the 1940 Act solely as a result of a change in relative market capitalization orindex weighting of one or more constituents of the Underlying Index. Should the Fund become “non-diversified,” it will nolonger be required to meet certain diversification requirements under the 1940 Actand may invest a greater portion of its assets in securities ofa small group of issuers or in any one individual issuer than can a diversified fund. Shareholder approval will not be sought when theFund crosses from diversified to non-diversified status solely due to a change in relative market capitalization or index weighting ofone or more constituents of the Underlying Index. In seeking to track the Underlying Index, the Fund was managed as diversified as ofApril 30, 2023.ConcentrationPolicy. TheFund will concentrate its investments (i.e., invest 25% or more of the value of its total assets) in securities of issuers in any oneindustry or group of industries only to the extent that the Underlying Index reflects a concentration in that industry or group of industries.The Fund will not otherwise concentrate its investments in securities of issuers in any one industry or group of industries. As of April30, 2023, the Fund had significant exposure to the industrialssector. The Fund’s portfolio holdings, and the extent towhich it concentrates its investments, are likely to change over time.