ck0001591939-20210630
PROSPECTUS
October 31,
2021
WBI
BullBear Value 3000 ETF (WBIF)
WBI
BullBear Yield 3000 ETF (WBIG)
WBI
BullBear Quality 3000 ETF (WBIL)
WBI
BullBear Global Income ETF (WBII)
WBI
Power Factor® High Dividend ETF (WBIY)
WBI
BullBear Trend Switch US 1000 ETF (WBIK)
WBI
BullBear Trend Switch US 2000 ETF (WBIM)
WBI
BullBear Trend Switch US 1000 Total Return ETF (WBIQ)
WBI
BullBear Trend Switch US 2000 Total Return ETF (WBIS)
WBI
BullBear Trend Switch US 3000 Total Return ETF (WBIT)
Listed
on NYSE Arca, Inc.
NEITHER
THE U.S. SECURITIES AND EXCHANGE COMMISSION (THE “SEC”) NOR ANY STATE SECURITIES
COMMISSION HAS APPROVED OR DISAPPROVED OF THESE SECURITIES OR PASSED UPON THE
ACCURACY OR ADEQUACY OF THIS PROSPECTUS. ANY REPRESENTATION TO THE CONTRARY IS A
CRIMINAL OFFENSE.
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Not
FDIC Insured |
May
Lose Value |
No
Bank Guarantee |
Absolute
Shares Trust (the “Trust”)
is a registered investment company that consists of separate investment
portfolios (each, a “Fund”
and collectively, the “Funds”).
This Prospectus relates to the following Funds:
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Name |
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CUSIP |
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Symbol |
WBI
BullBear Value 3000 ETF |
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00400R601 |
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WBIF |
WBI
BullBear Yield 3000 ETF |
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00400R700 |
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WBIG |
WBI
BullBear Quality 3000 ETF |
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00400R809 |
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WBIL |
WBI
BullBear Global Income ETF |
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00400R874 |
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WBII |
WBI
Power Factor®
High
Dividend ETF |
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00400R858 |
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WBIY |
WBI
BullBear Trend Switch US 1000 ETF |
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00400R825 |
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WBIK |
WBI
BullBear Trend Switch US 2000 ETF |
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00400R817 |
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WBIM |
WBI
BullBear Trend Switch US 1000 Total Return ETF |
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00400R791 |
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WBIQ |
WBI
BullBear Trend Switch US 2000 Total Return ETF |
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00400R783 |
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WBIS |
WBI
BullBear Trend Switch US 3000 Total Return ETF |
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00400R841 |
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WBIT |
Each
Fund (with the exception of the WBI Power Factor® High Dividend ETF) is an
actively-managed exchange-traded fund (“ETF”).
The WBI Power Factor® High Dividend ETF is a passively-managed ETF. This means
that shares of each Fund are listed on a national securities exchange, the NYSE
Arca, Inc., and trade at market prices. The market price for each Fund’s shares
may be different from their net asset value per share (the “NAV”).
Each Fund has its own CUSIP number and exchange trading symbol, as noted
above.
The
WBI BullBear Trend Switch US 1000 ETF, WBI BullBear Trend Switch US 2000 ETF,
WBI BullBear Trend Switch US 1000 Total Return ETF, and WBI BullBear Trend
Switch US 2000 Total Return ETF had not yet commenced operations as of June 30,
2021.
TABLE
OF CONTENTS
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Page
No. |
WBI
BULLBEAR VALUE 3000 ETF |
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WBI
BULLBEAR YIELD 3000 ETF |
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WBI
BULLBEAR QUALITY 3000 ETF |
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WBI
BULLBEAR GLOBAL INCOME ETF |
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WBI
POWER FACTOR® HIGH DIVIDEND ETF |
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WBI
BULLBEAR TREND SWITCH US 1000 ETF |
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WBI
BULLBEAR TREND SWITCH US 2000 ETF |
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WBI
BULLBEAR TREND SWITCH US 1000 TOTAL RETURN ETF |
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WBI
BULLBEAR TREND SWITCH US 2000 TOTAL RETURN ETF |
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WBI
BULLBEAR TREND SWITCH US 3000 TOTAL RETURN ETF |
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SUMMARY
INFORMATION
WBI BULLBEAR
VALUE 3000 ETF
Investment
Objective
The
WBI BullBear Value 3000 ETF’s (the “Fund”)
investment objectives are to seek long-term capital appreciation and the
potential for current income, while also seeking to protect principal during
unfavorable market conditions.
Fees and
Expenses of the Fund
This
table describes the fees and expenses that you may pay if you buy, hold and sell
shares of the Fund (“Shares”).
You may pay other fees, such as brokerage commission and other fees to financial
intermediaries, which are not reflected in the table and example below.
Investors purchasing Shares on a national securities exchange, national
securities association, or over-the-counter trading system where Shares may
trade from time to time (each, a “Secondary
Market”)
may be subject to customary brokerage commissions charged by their broker that
are not reflected in the table set forth below.
Annual Fund
Operating Expenses (expenses that you pay each year as a percentage of the value
of your investment):
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Management
Fee |
0.85% |
Distribution
and/or Service (12b-1) Fees |
0.00% |
Other
Expenses |
0.51% |
Total
Annual Fund Operating Expenses |
1.36% |
Fee
Waiver Reimbursement(1) |
-0.11% |
Total
Annual Fund Operating Expenses After Fee Waiver and/or Expense
Reimbursement |
1.25% |
(1) The Fund’s investment
sub-advisor has agreed to limit the Fund’s Total Annual Fund Operating Expenses
to no
more than 1.25% of
the average daily net assets for the Fund until at least October 31,
2022.
Example.
This example is intended to help
you compare the cost of investing in the Fund with the cost of investing in
other funds. Investors may pay brokerage commissions on their purchases and
sales of exchange-traded fund shares, which are not reflected in the
example.
The example assumes that you invest $10,000
in the Fund for the time periods indicated and then redeem all of your Shares at
the end of those periods. The example also assumes that your investment has a 5%
return each year and that the Fund’s operating expenses remain at current
levels. The return of 5% and estimated expenses are for illustration purposes
only and should not be considered indicators of expected Fund expenses or
performance, which may be greater or less than the estimates.
Although your
actual costs may be higher or lower, based on these assumptions your costs would
be:
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1
Year |
3
Years |
5
Years |
10
Years |
$127 |
$420 |
$734 |
$1,626 |
Portfolio
Turnover. The Fund incurs implicit and
explicit transaction costs when it buys and sells securities (or “turns over”
its portfolio). Such costs may include, but are not limited to, market impact,
which is the effect that a market participant has when it buys or sells an
asset, and commissions. A higher portfolio turnover rate may indicate higher
transaction costs and may result
in higher taxes when Shares are held in a
taxable account. These costs, which are not reflected in annual Fund operating
expenses or in the example, affect the Fund’s performance. This rate excludes
the value of portfolio securities received or delivered as a result of any
in-kind creations or redemptions of the Fund’s Shares. For the fiscal year ended
June 30, 2021, the Fund’s portfolio turnover rate was 800% of the average value of its
portfolio.
Principal
Investment Strategies
The
Fund will seek to invest in the equity securities of small-capitalization,
mid-capitalization, and large-capitalization domestic and foreign companies that
WBI Investments, Inc., the sub-advisor (“Sub-Advisor”)
to the Fund, and an affiliate of Millington Securities, Inc., the advisor
(“Advisor”),
believes display attractive prospects for growth in a company’s intrinsic value,
and in other tactical investment opportunities.
These
securities will be selected on the basis of the Sub-Advisor’s investment process
which includes a buy and sell discipline. The Fund’s buy discipline is driven by
the Sub-Advisor’s proprietary selection process (“Selection
Process”),
as described further below. Cash and cash equivalents are some of the investment
opportunities evaluated by the Selection Process. From time to time, the Fund
may invest in and hold a significant percentage of its net assets in cash or
cash equivalents as part of the normal operation of its investment
strategy.
Large-capitalization
companies are those that have higher market capitalization than small- and
mid-capitalization companies in their primary market when ranked in order of
market capital. For publicly traded U.S. companies in the current environment,
this would include companies with market capitalizations of greater than
approximately $10 billion. Conversely, small-capitalization and
mid-capitalization companies are those that have lower market capitalization
than large-capitalization companies in their primary market. For publicly-traded
U.S. companies in the current environment, this would include companies with
market capitalizations of less than approximately $10 billion. Each of large-,
small- and mid-capitalization companies in non-U.S. markets may have
capitalizations that differ from this U.S. Dollar equivalent amount because of
the wide variation in the range of market capitalizations of companies available
for investment in those markets.
The
types of equity securities in which the Fund will generally invest include
common stocks, preferred stocks, rights, warrants, convertibles, exchange-traded
funds (“ETFs”),
real estate investment trusts (“REITs”)
and master limited partnerships (businesses organized as partnerships which
trade on public exchanges) (“MLPs”).
The types of debt securities in which the Fund will generally invest (or through
which it will seek debt exposure) include fixed, floating, and variable rate
corporate debt securities, U.S. Government securities, debt securities of
foreign issuers, sovereign debt securities, U.S. Government agency securities,
high-yield bonds (also known as “junk bonds”), ETFs, and exchange-traded notes
(“ETNs”).
An ETN is an unsecured debt security that trades on an established exchange. Its
underlying value is determined by reference to an index, commodity, interest
rate, or other objectively determined reference. The Fund expects to invest in
debt securities of all maturities, from less than one year up to thirty years,
depending on the portfolio managers’ assessment of the risks and opportunities
along the yield curve. (The yield curve refers to differences in yield among
debt assets of varying maturities).
The
Fund may invest in domestic and foreign debt securities, ETFs, ETNs, and/or in
option strategies to enhance the Fund’s returns or to mitigate risk and
volatility. Equity option strategies used by the Fund for individual securities
include writing (selling) covered calls, buying calls or puts, and using
combinations of calls and puts. The Fund may also use options on
indices.
The
Fund may invest without limitation in securities of small-capitalization,
mid-capitalization, and large-capitalization foreign issuers, and may invest up
to 50% of its net assets in the securities of issuers in emerging markets. The
Fund may invest up to 20% of its net assets in high-yield bonds. The Fund may
also invest in other investment companies, including other ETFs, up to the
limits specified in the Investment Company Act of 1940 (“1940
Act”)
or in reliance on exemptions therefrom.
Although
the Fund is limited as to the percentage of its net assets that may be directly
invested in certain asset classes, the Fund may obtain investment exposure to
such asset classes in excess of such limits by investing indirectly in such
asset classes through other investment companies, including other ETFs with
exposure to such asset classes. Consequently, investments in such pooled
investment vehicles may result in aggregate direct and indirect investment
exposure to an asset class in excess of the limit up to which the applicable
Fund may invest directly in such assets.
The
investment process used for the Fund attempts to provide consistent, attractive
returns net of expenses with potentially less volatility and risk to capital
than traditional approaches, whatever market conditions may be. This is the
Fund’s definition of an absolute return approach to investment management, and
such an approach is used (in part) to achieve the Fund’s investment
objective.
The
Sub-Advisor uses quantitative computer screening of fundamental stock
information to evaluate securities in an attempt to find companies with
attractive value characteristics for the selected universe of securities.
Dividend payments may be considered as part of the evaluation process. Once
securities are identified, an overlay of technical analysis confirms timeliness
of security purchases. The Sub-Advisor then purchases qualifying securities
using available cash.
The
Fund uses a proprietary bond model created by the Sub-Advisor to assess the
appropriate duration and credit quality of any exposure to debt securities.
Duration is a measure of a fixed income security’s expected price sensitivity to
changes in interest rates. Credit quality is a measure of a borrower’s
creditworthiness or risk of default. A portion of the Fund’s bond exposure may
also be invested to pursue perceived opportunities in varying segments of the
debt market. This systematic process of identifying, evaluating, and purchasing
securities constitutes the Sub-Advisor’s buy discipline for the
Fund.
Once
securities are purchased, the Sub-Advisor maintains a strict sell discipline
that attempts to control the effects of the volatility of each Fund asset on the
Fund’s NAV. This sell discipline, together with the Selection Process,
constitutes the Fund’s strategy to achieve its investment objective. If a Fund
asset’s price stays within a range of acceptable prices, the Fund asset will
continue to be held. If a Fund asset’s price falls below the bottom of an
acceptable price range, the Fund asset will be identified to sell. This results
in a responsive process that actively adjusts the Fund’s allocation by causing
it to become more fully invested, or by raising cash to protect capital. The
sell discipline operates independently of, and in addition to, any investment
model changes. During periods of high market volatility, a significant amount of
Fund holdings may be sold, resulting in a significant allocation to cash or cash
equivalents in the Fund.
The
Fund is an actively managed ETF. The Sub-Advisor actively manages the Fund’s
portfolio. As a result, the portfolio turnover rate for the Fund may be high.
The Sub-Advisor expects that the Fund’s investment strategy will result in a
portfolio turnover rate in excess of 100% on an annual
basis.
For additional information about the Fund’s
principal investment strategies and the investment process, see “Description of
the Principal Strategies of the Funds.”
Principal
Risks
Investors
in the Fund should be willing to accept a high degree of volatility in the price
of the Fund’s Shares and the possibility of significant losses. An investment in
the Fund involves a substantial degree of risk and the Fund does not represent a
complete investment program. As with all
investments, you may lose money in the Fund. An investment
in the Fund is not a bank deposit, is not insured or guaranteed by the FDIC or
any government agency, and may lose value. Therefore, you should
consider carefully the following risks before investing in the Fund. A more
complete discussion of Principal Risks is included under “Description of the
Principal Risks of the Funds.”
Losing
all or a portion of your investment is a risk of investing in the Fund. The
following risks could affect the value of your investment:
Cash
Position Risk - If
the Fund invests all or a substantial portion of its assets in cash or cash
equivalents for extended periods of time, including when it is investing for
temporary defensive purposes, it could reduce the Fund’s potential return and
prevent the Fund from achieving its investment objective as the limited returns
of cash or cash equivalents may lag other investment instruments.
Management
Risk - An
investment in the Fund varies with the success and failure of the Sub-Advisor’s
investment process and strategies and the Sub-Advisor’s research, analysis, and
determination of portfolio securities. If the Sub-Advisor’s investment process
and strategies, including its models, stop loss and goal-setting process, do not
produce the expected results, the market value or NAV of the Shares would
decrease.
Quantitative
Model Risk - While
the Fund’s principal investment strategy utilizes various quantitative models,
the Fund’s portfolio managers exercise discretion with respect to portfolio
transactions. To the extent various proprietary quantitative or investment
models are used, securities or other financial instruments selected may perform
differently than expected, or from the market as a whole, as a result of a
quantitative model’s component factors, the weight placed on each factor,
changes from the factors’ historical trends, and technical issues in the
construction, implementation and maintenance of the models (e.g.,
data problems, software issues, etc.). There can be no assurance that a
quantitative model will achieve its objective or that the methodology employed
by an investment strategy will eliminate exposure to downward trends and/or
volatility in the markets or provide immediate exposure to upward trends and/or
volatility in the markets.
Portfolio
Turnover Risk - A
high portfolio turnover rate (100% or more) has the potential to result in the
realization and distribution to shareholders of higher capital gains, which may
subject you to a higher tax liability. A high portfolio turnover rate also leads
to higher transaction costs, which can negatively affect the Fund’s
performance.
Model
Risk - The
Fund’s investment process includes the use of proprietary models and analysis
methods developed by the Sub-Advisor, and data provided by third parties. Third
party data and information used in models and analysis is obtained from sources
believed to be reliable, however inaccurate data could adversely affect the
effectiveness of the resulting investment implementation on the Fund’s
performance. There can be no assurance that any particular model
or
investment strategy, including those devised by the Sub-Advisor, will be
profitable for the Fund, and may result in a loss of principal.
Small-
and Medium-Sized Companies Risk - Investing
in securities of small- and medium-capitalization companies may involve greater
volatility than investing in larger and more established companies because
small- and medium-capitalization companies can be subject to more abrupt or
erratic share price changes than larger, more established
companies.
Growth
Risk - Growth
companies are companies whose earnings growth potential appears to be greater
than the market in general and whose revenue growth is expected to continue for
an extended period of time. Stocks of growth companies (or “growth securities”)
have market values that may be more volatile than those of other types of
investments. Growth securities typically do not pay a dividend, which can help
cushion stock prices in market downturns and reduce potential losses. The Fund’s
investments in stocks of growth companies may cause the share price of the Fund
to be more volatile than the prices of funds that do not invest primarily in
growth stocks. During periods when growth stocks are underperforming other types
of stocks, the Fund may also underperform funds that favor other types of
securities.
Value
Risk - Value
companies are those whose stocks appear to be priced at a material discount to
the underlying value of the issuing company. The reason for the apparent
discount may reflect an underlying business condition that is more serious or
permanent than anticipated, and stocks of value companies may remain depressed
for extended periods of time or may never realize their expected potential
value. The Fund’s investments in value stocks may cause the Fund to underperform
funds that do not invest predominantly in value stocks during periods when value
stocks underperform other types of stocks.
Foreign
and Emerging Market Securities Risk - Foreign
investments may carry risks associated with investing outside the United States,
such as currency fluctuation, economic or financial instability, lack of timely
or reliable financial information, or unfavorable political or legal
developments. Foreign securities can be more volatile than domestic (U.S.)
securities. Securities markets of other countries are generally smaller than
U.S. securities markets. Many foreign securities may also be less liquid than
U.S. securities, which could affect the Fund’s investments. Investments in
emerging markets may have more risk because the markets are less developed and
less liquid, as well as being subject to increased economic, political,
regulatory or other uncertainties. Also, as foreign and emerging markets
decline, investors tend to exit these markets in unison.
Debt
Securities Risk -
The market value of debt securities held by the Fund typically changes as
interest rates change, as demand for the instruments changes, and as actual or
perceived creditworthiness of an issuer changes. Additionally, debt securities
with longer durations are expected to experience greater price movements than
securities with shorter durations for the same change in prevailing interest
rates. During periods of rising interest rates, the market value of the debt
securities held by the Fund will generally decline. Credit risk is the risk that
an issuer will not make timely payments of principal and interest. There is also
the risk that an issuer may “call,” or repay, its high- yielding bonds before
their maturity dates. Debt securities subject to prepayment can offer less
potential for gains during a declining interest rate environment and similar or
greater potential for loss in a rising interest rate environment. Limited
trading opportunities for certain debt securities may make it more difficult to
sell or buy a security at a favorable price or
time.
High-Yield
Securities Risk - The
debt securities that are rated below investment grade (i.e.,
“junk bonds”) are subject to additional risk factors such as increased
possibility of default liquidation of the security and changes in value based on
public perception of the issuer. High-yield securities are inherently
speculative.
Fundamental
Business Risk -
Companies with apparently attractive financial conditions and prospects for
ongoing financial stability may experience adverse business conditions specific
to their industry or enterprise that cause their financial condition and
prospects to deteriorate. The Fund’s investments in companies that experience
negative developments in their financial condition may lose value relative to
the stocks of other companies, causing the Fund to underperform funds that do
not invest in companies primarily on the basis of their underlying financial
condition.
Exchange-Traded
Note Risk - The
value of an ETN may be influenced by the time remaining before its maturity,
level of supply and demand for the ETN, volatility and lack of liquidity in
underlying securities’ markets, changes in the applicable interest rates,
changes in the issuer’s credit rating, and economic, legal, political, or
geographic events that affect the referenced index. In addition, the notes
issued by ETNs and held by a fund are unsecured debt of the issuer.
Fluctuation
of Net Asset Value -
The NAV of the Shares will fluctuate with changes in market value of the Fund’s
holdings.
Equity
Securities Risk - Common
stocks are susceptible to general stock market fluctuations and to volatile
increases and decreases in value as market confidence in and perceptions of
their issuers change. If the Fund holds common stock or common stock equivalents
of any given issuer, it will generally be exposed to greater risk than if the
Fund held preferred stocks and debt obligations of such issuer. Preferred
securities are subject to issuer-specific and market risks applicable generally
to equity securities, however, unlike common stocks, participation in the growth
of an issuer may be limited. Warrants and rights do not carry with them the
right to dividends or voting rights with respect to the securities that they
entitle their holder to purchase, and they do not represent any rights in the
assets of the issuer.
Equity
Options Risk - Options
on securities may be subject to greater fluctuations in value than an investment
in the underlying securities. Purchasing and writing put and call options are
highly specialized activities and entail greater than ordinary investment risks,
including limiting potential gains, increased sensitivity to changes in interest
rates or to sudden fluctuations in market prices than conventional securities,
and transaction costs.
Dividend
Risk -
To the extent that the Fund invests in dividend-paying equities, the Fund may
underperform funds that do not invest in dividend-paying equities during periods
when dividend-paying equities underperform other types of stocks. In addition,
if stocks held by the Fund reduce or stop paying dividends, the Fund’s ability
to generate income may be affected.
REIT
Risk - Investments
in REITs will be subject to the risks associated with the direct ownership of
real estate and annual compliance with tax rules applicable to REITs. Risks
commonly associated with the direct ownership of real estate include
fluctuations in the value of underlying properties, defaults by borrowers or
tenants, changes in interest rates and risks related to general or local
economic conditions. In addition, REITs have their own expenses, and therefore
Fund shareholders will indirectly bear a proportionate share of the expenses of
REITs in which the Fund invests.
ETF
and Other Investment Companies Risk
- When the Fund invests in another ETF or other investment company (e.g., mutual
fund, closed-end fund, business development company), it will bear additional
expenses based on its pro rata share of such investment company’s operating
expenses, including the potential duplication of management fees. The risk of
owning an ETF or other investment company generally reflects the risks of owning
the underlying securities and other assets held by the ETF or other investment
company. The Fund also will incur brokerage costs when it purchases ETFs and
other exchange-listed investment companies. Additionally, the Fund will be
indirectly exposed to the risks of the portfolio assets held by an ETF or other
investment company, including but not limited to those of ETNs, equity options,
derivatives, currencies, index, leverage, and replication
management.
Liquidity
Risk
- The Fund’s investments are subject to liquidity risk, which exists when an
investment is or becomes difficult to purchase or sell. If a transaction is
particularly large or if the relevant market is or becomes illiquid, it may not
be possible to initiate a transaction or liquidate a position at an advantageous
time or price, which may cause the Fund to suffer significant losses and
difficulties in meeting redemptions. If a number of securities held by the Fund
halt trading, such as due to an exchange’s limit-up, limit-down rules, it may
have a cascading effect and cause the Fund to halt trading. Volatility in market
prices will increase the risk of the Fund being subject to a trading
halt.
Master
Limited Partnership Risk
- Investing in MLPs entails risk including fluctuations in energy prices,
decreases in supply of or demand for energy commodities, and other adverse
energy market conditions.
Active
ETF Risk - There
is no obligation by any market maker to make a market in the Fund’s shares or by
any AP to submit creation or redemption orders. Decisions by market makers or
APs to reduce or step away from the Fund in a time of market stress could
inhibit the arbitrage process by which a relationship between the Fund’s NAV per
share and the market trading prices of the shares is maintained. Thus, reduced
effectiveness of the arbitrage function could result in Fund shares trading at a
discount to NAV per share and also with greater than normal intra-day bid/ask
spreads.
Authorized
Participant Concentration Risk
- The Fund has a limited number of financial institutions that may act as
Authorized Participants (“APs”)
to create and redeem Fund Shares. To the extent that these APs exit the business
or are unable to process creation and redemption orders and no other AP is able
to step forward to create and redeem in either of these cases, there may be a
significantly diminished trading market for the Fund’s Shares and such Shares
may trade at a discount to NAV and possibly face de-listing.
Market
Risk -
Either the stock market as a whole or the value of an investment held by the
Fund may go down, resulting in a decrease in the market value or NAV of the
Shares. For example, there is the risk that sharp price declines in securities
owned by the Fund, known as flash crash risk, may trigger trading halts, which
may result in the Fund’s Shares trading in the market at an increasingly large
discount to NAV during part (or all) of a trading day. Local, regional or global
events such as war, acts of terrorism, trade and tariff disputes, epidemics,
pandemics or other public health issue, recessions, or other events could have a
significant and protracted impact on the Fund and its investments and could
result in increased premiums or discounts to the Fund’s net asset
value.
Trading
Price Risk - Although
it is expected that generally the exchange price of the Shares will approximate
the Fund’s NAV, there may be times when the market price in the Secondary Market
and the NAV vary significantly.
Shares
are Not Individually Redeemable -
Shares are only redeemable by the Fund at NAV if they are tendered in large
blocks known as “Creation Units” which are expected to be worth in excess of $1
million each. Only APs may engage in such creation and redemption transactions
directly with the Fund. Individual Shares may be sold on a stock exchange at
their current market prices, which may be less, more, or equal to their NAV.
There can be no assurance that an active trading market will be maintained for
the Shares.
Performance
Information
The following
performance information indicates some of the risks of investing in the Fund.
The bar chart shows the Fund’s performance for the calendar years ended December
31. The table illustrates how the Fund’s average annual returns for the 1-year,
5-year and since inception periods compare with those of a broad measure of
market performance. The Fund’s
past performance, before and after taxes, does not necessarily indicate how it
will perform in the future. Updated performance information is
available on www.wbietfs.com,
the Fund’s “Website,” or by calling the Fund toll-free at (855) WBI‑ETFS or
(855)
924-3837.
Calendar Year
Total Returns
For the year-to-date
period ended September 30, 2021, the
Fund’s total return was 11.71%. During the period of time
shown in the bar chart, the Fund’s highest
quarterly return was 12.27% for the quarter ended
December 31, 2016, and
the lowest
quarterly return was -10.27% for the quarter
ended December 31,
2018.
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Average
Annual Total Returns For the Period Ended December 31,
2020 |
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WBI
BullBear Value 3000 ETF |
1
Year |
5
Years |
Since
Inception (8/25/2014) |
Return
Before Taxes |
-2.63% |
4.27% |
2.00% |
Return
After Taxes on Distributions |
-2.65% |
4.09% |
1.82% |
Return
After Taxes on Distributions and Sale of Fund
Shares |
-1.54% |
3.31% |
1.53% |
Russell
3000®
Value Index
(reflects
no deduction for fees, expenses, or
taxes) |
2.87% |
9.74% |
7.42% |
Average
annual total returns are shown on a before- and after-tax basis for the Fund.
After-tax
returns are calculated using the historical highest individual federal marginal
income tax rates and do not reflect the impact of state and local
taxes. Actual
after-tax returns depend on an investor’s tax situation and may differ from
those shown. After-tax returns shown are not relevant to investors who hold
shares through tax-deferred arrangements, such as 401(k) plans or individual
retirement plans. After-tax returns may exceed the
return before taxes due to an assumed tax benefit from realizing a capital loss
on a sale of shares.
In certain cases, the figure representing
“Return After Taxes on Distributions and Sale of Fund Shares” may be higher than
the other return figures for the same period. A higher after-tax return results
when a capital loss occurs upon redemption and provides an assumed tax benefit
to the investor.
Management
Investment
Advisor.
Millington Securities, Inc. is the Fund’s investment advisor and has selected
its affiliate WBI Investments, Inc. to act as the sub-advisor to the Fund and to
be responsible for its day-to-day investment management.
Portfolio
Managers.
The portfolio managers responsible for the day-to-day management of the Fund are
as follows:
•Steven
Van Solkema, co-portfolio manager. After working for the Advisor since 2014, Mr.
Van Solkema joined the Sub-Advisor in 2019 and is its President and Chief
Investment Officer. He has been a portfolio manager of the Fund since
2019.
•Don
Schreiber, Jr., co-portfolio manager. Mr. Schreiber founded the Sub-Advisor in
1984 and is its Founder and Co-Chief Executive Officer. He has been a portfolio
manager of the Fund since 2014.
Purchase
and Sale of Shares
Unlike
conventional mutual funds, the Fund issues and redeems Shares on a continuous
basis at NAV only in Creation Units comprised of blocks of 50,000 Shares, or
whole multiples thereof. Only a broker-dealer (“Authorized
Participant”)
that enters into an appropriate agreement with the Fund’s distributor may engage
in such creation and redemption transactions directly with the Fund. The Fund’s
Creation Units generally are issued and redeemed “in-kind,” for securities in
the Fund, but may also be issued and redeemed in cash. Retail investors may
acquire Shares on the NYSE
Arca
through a broker-dealer. Shares of the Fund will trade at market price rather
than NAV. As such, Shares may trade at a price greater than NAV (premium) or
less than NAV (discount).
Tax
Information
The
Fund’s distributions are taxable and will generally be taxed as ordinary income
or capital gains.
Financial
Intermediary Compensation
If
you purchase Shares of the Fund through a broker-dealer or other financial
intermediary (such as a bank), the Sub-Advisor may pay the intermediary for the
sale of Shares and related services. These payments may create a conflict of
interest by influencing the broker-dealer or other intermediary and your
salesperson to recommend the Fund over another investment. Ask your salesperson
or visit your financial intermediary’s website for more
information.
WBI BULLBEAR
YIELD 3000 ETF
Investment
Objective
The
WBI BullBear Yield 3000 ETF’s (the “Fund”)
investment objectives are to seek long-term capital appreciation and the
potential for current income, while also seeking to protect principal during
unfavorable market conditions.
Fees and
Expenses of the Fund
This
table describes the fees and expenses that you may pay if you buy, hold and sell
shares of the Fund (“Shares”).
You may pay other fees, such as brokerage commission and other fees to financial
intermediaries, which are not reflected in the table and example below.
Investors purchasing Shares on a national securities exchange, national
securities association, or over-the-counter trading system where Shares may
trade from time to time (each, a “Secondary
Market”)
may be subject to customary brokerage commissions charged by their broker that
are not reflected in the table set forth below.
Annual Fund
Operating Expenses (expenses that you pay each year as a percentage of the value
of your investment):
|
|
|
|
|
|
Management
Fee |
0.85% |
Distribution
and/or Service (12b-1) Fees |
0.00% |
Other
Expenses |
0.42% |
Total
Annual Fund Operating Expenses |
1.27% |
Fee
Waiver Reimbursement(1) |
-0.02% |
Total
Annual Fund Operating Expenses After Fee Waiver and/or Expense
Reimbursement |
1.25% |
(1) The Fund’s investment
sub-advisor has agreed to limit the Fund’s Total Annual Fund Operating Expenses
to no
more than 1.25% of
the average daily net assets for the Fund until at least October 31,
2022.
Example.
This example is intended to help
you compare the cost of investing in the Fund with the cost of investing in
other funds. Investors may pay brokerage commissions on their purchases and
sales of exchange-traded fund shares, which are not reflected in the
example.
The example assumes that you invest $10,000
in the Fund for the time periods indicated and then redeem all of your Shares at
the end of those periods. The example also assumes that your investment has a 5%
return each year and that the Fund’s operating expenses remain at current
levels. The return of 5% and estimated expenses are for illustration purposes
only and should not be considered indicators of expected Fund expenses or
performance, which may be greater or less than the estimates.
Although your
actual costs may be higher or lower, based on these assumptions your costs would
be:
|
|
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|
|
|
|
|
|
|
|
|
1
Year |
3
Years |
5
Years |
10
Years |
$127 |
$401 |
$695 |
$1,532 |
Portfolio
Turnover. The Fund incurs implicit and
explicit transaction costs when it buys and sells securities (or “turns over”
its portfolio). Such costs may include, but are not limited to, market impact,
which is the effect that a market participant has when it buys or sells an
asset, and commissions. A higher portfolio turnover rate may indicate higher
transaction costs and may result
in higher taxes when Shares are held in a
taxable account. These costs, which are not reflected in annual Fund operating
expenses or in the example, affect the Fund’s performance. This rate excludes
the value of portfolio securities received or delivered as a result of any
in-kind creations or redemptions of the Fund’s Shares. For the fiscal year ended
June 30, 2021, the Fund’s portfolio turnover rate was 820% of the average value of its
portfolio.
Principal
Investment Strategies
The
Fund will seek to invest in the equity securities of small-capitalization,
mid-capitalization, and large-capitalization domestic and foreign companies that
WBI Investments, Inc., the sub-advisor (“Sub-Advisor”)
to the Fund, and an affiliate of Millington Securities, Inc., the advisor
(“Advisor”),
believes display attractive prospects for growth in a company’s intrinsic value,
and in other tactical investment opportunities.
These
securities will be selected on the basis of the Sub-Advisor’s investment process
which includes a buy and sell discipline. The Fund’s buy discipline is driven by
the Sub-Advisor’s proprietary selection process (“Selection
Process”),
as described further below. Cash and cash equivalents are some of the investment
opportunities evaluated by the Selection Process. From time to time, the Fund
may invest in and hold a significant percentage of its net assets in cash or
cash equivalents as part of the normal operation of its investment
strategy.
Large-capitalization
companies are those that have higher market capitalization than small- and
mid-capitalization companies in their primary market when ranked in order of
market capital. For publicly traded U.S. companies in the current environment,
this would include companies with market capitalizations of greater than
approximately $10 billion. Conversely, small-capitalization and
mid-capitalization companies are those that have lower market capitalization
than large-capitalization companies in their primary market. For publicly-traded
U.S. companies in the current environment, this would include companies with
market capitalizations of less than approximately $10 billion. Each of large-,
small- and mid-capitalization companies in non-U.S. markets may have
capitalizations that differ from this U.S. Dollar equivalent amount because of
the wide variation in the range of market capitalizations of companies available
for investment in those markets.
The
types of equity securities in which the Fund will generally invest include
common stocks, preferred stocks, rights, warrants, convertibles, exchange-traded
funds (“ETFs”),
real estate investment trusts (“REITs”)
and master limited partnerships (businesses organized as partnerships which
trade on public exchanges) (“MLPs”).
The types of debt securities in which the Fund will generally invest (or through
which it will seek debt exposure) include fixed, floating, and variable rate
corporate debt securities, U.S. Government securities, debt securities of
foreign issuers, sovereign debt securities, U.S. Government agency securities,
high-yield bonds (also known as “junk bonds”), ETFs, and exchange-traded notes
(“ETNs”).
An ETN is an unsecured debt security that trades on an established exchange. Its
underlying value is determined by reference to an index, commodity, interest
rate, or other objectively determined reference. The Fund expects to invest in
debt securities of all maturities, from less than one year up to thirty years,
depending on the portfolio managers’ assessment of the risks and opportunities
along the yield curve. (The yield curve refers to differences in yield among
debt assets of varying maturities).
The
Fund may invest in domestic and foreign debt securities, ETFs, ETNs, and/or in
option strategies to enhance the Fund’s returns or to mitigate risk and
volatility. Equity option strategies used by the Fund for individual securities
include writing (selling) covered calls, buying calls or puts, and using
combinations of calls and puts. The Fund may also use options on
indices.
The
Fund may invest without limitation in securities of small-capitalization,
mid-capitalization, and large-capitalization foreign issuers, and may invest up
to 50% of its net assets in the securities of issuers in emerging markets. The
Fund may invest up to 20% of its net assets in high-yield bonds. The Fund may
also invest in other investment companies, including other ETFs, up to the
limits specified in the Investment Company Act of 1940 (“1940
Act”)
or in reliance on exemptions therefrom.
Although
the Fund is limited as to the percentage of its net assets that may be directly
invested in certain asset classes, the Fund may obtain investment exposure to
such asset classes in excess of such limits by investing indirectly in such
asset classes through other investment companies, including other ETFs with
exposure to such asset classes. Consequently, investments in such pooled
investment vehicles may result in aggregate direct and indirect investment
exposure to an asset class in excess of the limit up to which the applicable
Fund may invest directly in such assets.
The
investment process used for the Fund attempts to provide consistent, attractive
returns net of expenses with potentially less volatility and risk to capital
than traditional approaches, whatever market conditions may be. This is the
Fund’s definition of an absolute return approach to investment management, and
such an approach is used (in part) to achieve the Fund’s investment
objective.
The
Sub-Advisor uses quantitative computer screening of fundamental stock
information to evaluate securities in an attempt to find companies with
attractive yield characteristics for the selected universe of securities. The
consistency of dividend payments is generally considered as part of the
evaluation process. Once securities are identified, an overlay of technical
analysis confirms timeliness of security purchases. The Sub-Advisor then
purchases qualifying securities using available cash.
The
Fund uses a proprietary bond model created by the Sub-Advisor to assess the
appropriate duration and credit quality of any exposure to debt securities.
Duration is a measure of a fixed income security’s expected price sensitivity to
changes in interest rates. Credit quality is a measure of a borrower’s
creditworthiness or risk of default. A portion of the Fund’s bond exposure may
also be invested to pursue perceived opportunities in varying segments of the
debt market. This systematic process of identifying, evaluating, and purchasing
securities constitutes the Sub-Advisor’s buy discipline for the
Fund.
Once
securities are purchased, the Sub-Advisor maintains a strict sell discipline
that attempts to control the effects of the volatility of each Fund asset on the
Fund’s NAV. This sell discipline, together with the Selection Process,
constitutes the Fund’s strategy to achieve its investment objective. If a Fund
asset’s price stays within a range of acceptable prices, the Fund asset will
continue to be held. If a Fund asset’s price falls below the bottom of an
acceptable price range, the Fund asset will be identified to sell. This results
in a responsive process that actively adjusts the Fund’s allocation by causing
it to become more fully invested or, by raising cash to protect capital. The
sell discipline operates independently of, and in addition to, any investment
model changes. During periods of high market volatility, a significant amount of
Fund holdings may be sold, resulting in a significant allocation to cash or cash
equivalents in the Fund.
The
Fund is an actively managed ETF. The Sub-Advisor actively manages the Fund’s
portfolio. As a result, the portfolio turnover rate for the Fund may be high.
The Sub-Advisor expects that the
Fund’s
investment strategy will result in a portfolio turnover rate in excess of 100%
on an annual basis.
For
additional information about the Fund’s principal investment strategies and the
investment process, see “Description of the Principal Strategies of the
Funds.”
Principal
Risks
Investors
in the Fund should be willing to accept a high degree of volatility in the price
of the Fund’s Shares and the possibility of significant losses. An investment in
the Fund involves a substantial degree of risk and the Fund does not represent a
complete investment program. As with all
investments, you may lose money in the Fund. An investment
in the Fund is not a bank deposit, is not insured or guaranteed by the FDIC or
any government agency, and may lose value. Therefore, you should
consider carefully the following risks before investing in the Fund. A more
complete discussion of Principal Risks is included under “Description of the
Principal Risks of the Funds.”
Losing
all or a portion of your investment is a risk of investing in the Fund. The
following risks could affect the value of your investment:
Cash
Position Risk - If
the Fund invests all or a substantial portion of its assets in cash or cash
equivalents for extended periods of time, including when it is investing for
temporary defensive purposes, it could reduce the Fund’s potential return and
prevent the Fund from achieving its investment objective as the limited returns
of cash or cash equivalents may lag other investment instruments.
Management
Risk - An
investment in the Fund varies with the success and failure of the Sub-Advisor’s
investment process and strategies and the Sub-Advisor’s research, analysis, and
determination of portfolio securities. If the Sub-Advisor’s investment process
and strategies, including its models, stop loss and goal-setting process, do not
produce the expected results, the market value or NAV of the Shares would
decrease.
Quantitative
Model Risk - While
the Fund’s principal investment strategy utilizes various quantitative models,
the Fund’s portfolio managers exercise discretion with respect to portfolio
transactions. To the extent various proprietary quantitative or investment
models are used, securities or other financial instruments selected may perform
differently than expected, or from the market as a whole, as a result of a
quantitative model’s component factors, the weight placed on each factor,
changes from the factors’ historical trends, and technical issues in the
construction, implementation and maintenance of the models (e.g.,
data problems, software issues, etc.). There can be no assurance that a
quantitative model will achieve its objective or that the methodology employed
by an investment strategy will eliminate exposure to downward trends and/or
volatility in the markets or provide immediate exposure to upward trends and/or
volatility in the markets.
Portfolio
Turnover Risk - A
high portfolio turnover rate (100% or more) has the potential to result in the
realization and distribution to shareholders of higher capital gains, which may
subject you to a higher tax liability. A high portfolio turnover rate also leads
to higher transaction costs, which can negatively affect the Fund’s
performance.
Model
Risk - The
Fund’s investment process includes the use of proprietary models and analysis
methods developed by the Sub-Advisor, and data provided by third parties. Third
party data and information used in models and analysis is obtained from sources
believed to be reliable, however
inaccurate
data could adversely affect the effectiveness of the resulting investment
implementation on the Fund’s performance. There can be no assurance that any
particular model or investment strategy, including those devised by the
Sub-Advisor, will be profitable for the Fund, and may result in a loss of
principal.
Small-
and Medium-Sized Companies Risk - Investing
in securities of small- and medium-capitalization companies may involve greater
volatility than investing in larger and more established companies because
small- and medium-capitalization companies can be subject to more abrupt or
erratic share price changes than larger, more established
companies.
Growth
Risk - Growth
companies are companies whose earnings growth potential appears to be greater
than the market in general and whose revenue growth is expected to continue for
an extended period of time. Stocks of growth companies (or “growth securities”)
have market values that may be more volatile than those of other types of
investments. Growth securities typically do not pay a dividend, which can help
cushion stock prices in market downturns and reduce potential losses. The Fund’s
investments in stocks of growth companies may cause the share price of the Fund
to be more volatile than the prices of funds that do not invest primarily in
growth stocks. During periods when growth stocks are underperforming other types
of stocks, the Fund may also underperform funds that favor other types of
securities.
Value
Risk - Value
companies are those whose stocks appear to be priced at a material discount to
the underlying value of the issuing company. The reason for the apparent
discount may reflect an underlying business condition that is more serious or
permanent than anticipated, and stocks of value companies may remain depressed
for extended periods of time or may never realize their expected potential
value. The Fund’s investments in value stocks may cause the Fund to underperform
funds that do not invest predominantly in value stocks during periods when value
stocks underperform other types of stocks.
Foreign
and Emerging Market Securities Risk - Foreign
investments may carry risks associated with investing outside the United States,
such as currency fluctuation, economic or financial instability, lack of timely
or reliable financial information, or unfavorable political or legal
developments. Foreign securities can be more volatile than domestic (U.S.)
securities. Securities markets of other countries are generally smaller than
U.S. securities markets. Many foreign securities may also be less liquid than
U.S. securities, which could affect the Fund’s investments. Investments in
emerging markets may have more risk because the markets are less developed and
less liquid, as well as being subject to increased economic, political,
regulatory or other uncertainties. Also, as foreign and emerging markets
decline, investors tend to exit these markets in unison.
Debt
Securities Risk -
The market value of debt securities held by the Fund typically changes as
interest rates change, as demand for the instruments changes, and as actual or
perceived creditworthiness of an issuer changes. Additionally, debt securities
with longer durations are expected to experience greater price movements than
securities with shorter durations for the same change in prevailing interest
rates. During periods of rising interest rates, the market value of the debt
securities held by the Fund will generally decline. Credit risk is the risk that
an issuer will not make timely payments of principal and interest. There is also
the risk that an issuer may “call,” or repay, its high- yielding bonds before
their maturity dates. Debt securities subject to prepayment can offer less
potential for gains during a declining interest rate environment and similar or
greater potential for loss in a rising interest rate environment. Limited
trading opportunities for certain debt securities may make it more difficult to
sell or buy a security at a favorable price or
time.
High-Yield
Securities Risk - The
debt securities that are rated below investment grade (i.e.,
“junk bonds”) are subject to additional risk factors such as increased
possibility of default liquidation of the security and changes in value based on
public perception of the issuer. High-yield securities are inherently
speculative.
Fundamental
Business Risk -
Companies with apparently attractive financial conditions and prospects for
ongoing financial stability may experience adverse business conditions specific
to their industry or enterprise that cause their financial condition and
prospects to deteriorate. The Fund’s investments in companies that experience
negative developments in their financial condition may lose value relative to
the stocks of other companies, causing the Fund to underperform funds that do
not invest in companies primarily on the basis of their underlying financial
condition.
Exchange-Traded
Note Risk - The
value of an ETN may be influenced by the time remaining before its maturity,
level of supply and demand for the ETN, volatility and lack of liquidity in
underlying securities’ markets, changes in the applicable interest rates,
changes in the issuer’s credit rating, and economic, legal, political, or
geographic events that affect the referenced index. In addition, the notes
issued by ETNs and held by a fund are unsecured debt of the issuer.
Fluctuation
of Net Asset Value -
The NAV of the Shares will fluctuate with changes in market value of the Fund’s
holdings.
Equity
Securities Risk - Common
stocks are susceptible to general stock market fluctuations and to volatile
increases and decreases in value as market confidence in and perceptions of
their issuers change. If the Fund holds common stock or common stock equivalents
of any given issuer, it will generally be exposed to greater risk than if the
Fund held preferred stocks and debt obligations of such issuer. Preferred
securities are subject to issuer-specific and market risks applicable generally
to equity securities, however, unlike common stocks, participation in the growth
of an issuer may be limited. Warrants and rights do not carry with them the
right to dividends or voting rights with respect to the securities that they
entitle their holder to purchase, and they do not represent any rights in the
assets of the issuer.
Equity
Options Risk - Options
on securities may be subject to greater fluctuations in value than an investment
in the underlying securities. Purchasing and writing put and call options are
highly specialized activities and entail greater than ordinary investment risks,
including limiting potential gains, increased sensitivity to changes in interest
rates or to sudden fluctuations in market prices than conventional securities,
and transaction costs.
Dividend
Risk -
To the extent that the Fund invests in dividend-paying equities, the Fund may
underperform funds that do not invest in dividend-paying equities during periods
when dividend-paying equities underperform other types of stocks. In addition,
if stocks held by the Fund reduce or stop paying dividends, the Fund’s ability
to generate income may be affected.
REIT
Risk - Investments
in REITs will be subject to the risks associated with the direct ownership of
real estate and annual compliance with tax rules applicable to REITs. Risks
commonly associated with the direct ownership of real estate include
fluctuations in the value of underlying properties, defaults by borrowers or
tenants, changes in interest rates and risks related to general or local
economic conditions. In addition, REITs have their own expenses, and therefore
Fund shareholders will indirectly bear a proportionate share of the expenses of
REITs in which the Fund invests.
ETF
and Other Investment Companies Risk
- When the Fund invests in another ETF or other investment company (e.g., mutual
fund, closed-end fund, business development company), it will bear additional
expenses based on its pro rata share of such investment company’s operating
expenses, including the potential duplication of management fees. The risk of
owning an ETF or other investment company generally reflects the risks of owning
the underlying securities and other assets held by the ETF or other investment
company. The Fund also will incur brokerage costs when it purchases ETFs and
other exchange-listed investment companies. Additionally, the Fund will be
indirectly exposed to the risks of the portfolio assets held by an ETF or other
investment company, including but not limited to those of ETNs, equity options,
derivatives, currencies, index, leverage, and replication
management.
Liquidity
Risk
- The Fund’s investments are subject to liquidity risk, which exists when an
investment is or becomes difficult to purchase or sell. If a transaction is
particularly large or if the relevant market is or becomes illiquid, it may not
be possible to initiate a transaction or liquidate a position at an advantageous
time or price, which may cause the Fund to suffer significant losses and
difficulties in meeting redemptions. If a number of securities held by the Fund
halt trading, such as due to an exchange’s limit-up, limit-down rules, it may
have a cascading effect and cause the Fund to halt trading. Volatility in market
prices will increase the risk of the Fund being subject to a trading
halt.
Master
Limited Partnership Risk
- Investing in MLPs entails risk including fluctuations in energy prices,
decreases in supply of or demand for energy commodities, and other adverse
energy market conditions.
Active
ETF Risk - There
is no obligation by any market maker to make a market in the Fund’s shares or by
any AP to submit creation or redemption orders. Decisions by market makers or
APs to reduce or step away from the Fund in a time of market stress could
inhibit the arbitrage process by which a relationship between the Fund’s NAV per
share and the market trading prices of the shares is maintained. Thus, reduced
effectiveness of the arbitrage function could result in Fund shares trading at a
discount to NAV per share and also with greater than normal intra-day bid/ask
spreads.
Authorized
Participant Concentration Risk
- The Fund has a limited number of financial institutions that may act as
Authorized Participants (“APs”)
to create and redeem Fund Shares. To the extent that these APs exit the business
or are unable to process creation and redemption orders and no other AP is able
to step forward to create and redeem in either of these cases, there may be a
significantly diminished trading market for the Fund’s Shares and such Shares
may trade at a discount to NAV and possibly face de-listing.
Market
Risk -
Either the stock market as a whole or the value of an investment held by the
Fund may go down, resulting in a decrease in the market value or NAV of the
Shares. For example, there is the risk that sharp price declines in securities
owned by the Fund, known as flash crash risk, may trigger trading halts, which
may result in the Fund’s Shares trading in the market at an increasingly large
discount to NAV during part (or all) of a trading day. Local, regional or global
events such as war, acts of terrorism, trade and tariff disputes, epidemics,
pandemics or other public health issue, recessions, or other events could have a
significant and protracted impact on the Fund and its investments and could
result in increased premiums or discounts to the Fund’s net asset
value.
Trading
Price Risk - Although
it is expected that generally the exchange price of the Shares will approximate
the Fund’s NAV, there may be times when the market price in the Secondary Market
and the NAV vary significantly.
Shares
are Not Individually Redeemable -
Shares are only redeemable by the Fund at NAV if they are tendered in large
blocks known as “Creation Units” which are expected to be worth in excess of $1
million each. Only APs may engage in such creation and redemption transactions
directly with the Fund. Individual Shares may be sold on a stock exchange at
their current market prices, which may be less, more, or equal to their NAV.
There can be no assurance that an active trading market will be maintained for
the Shares.
Performance
Information
The following
performance information indicates some of the risks of investing in the Fund.
The bar chart shows the Fund’s performance for the calendar years ended December
31. The table illustrates how the Fund’s average annual returns for the 1-year,
5-year and since inception periods compare with those of a broad measure of
market performance. The Fund’s
past performance, before and after taxes, does not necessarily indicate how it
will perform in the future. Updated performance information is
available on www.wbietfs.com,
the Fund’s “Website,” or by calling the Fund toll-free at (855) WBI‑ETFS or
(855)
924-3837.
Calendar Year
Total Returns
For the year-to-date
period ended September 30, 2021, the
Fund’s total return was 10.29%. During the period of time
shown in the bar chart, the Fund’s highest
quarterly return was 8.90% for the quarter ended
December 31, 2017, and
the lowest
quarterly return was -12.03% for the quarter
ended December 31,
2018.
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Average
Annual Total Returns For the Period Ended December 31,
2020 |
|
|
|
WBI
BullBear Yield 3000 ETF |
1
Year |
5
Years |
Since
Inception (8/25/2014) |
Return
Before Taxes |
-3.46% |
3.13% |
0.35% |
Return
After Taxes on Distributions |
-3.63% |
2.82% |
0.05% |
Return
After Taxes on Distributions and Sale of Fund
Shares |
-1.92% |
2.41% |
0.26% |
Russell
3000®
Value Index
(reflects
no deduction for fees, expenses, or
taxes) |
2.87% |
9.74% |
7.42% |
Average
annual total returns are shown on a before- and after-tax basis for the Fund.
After-tax
returns are calculated using the historical highest individual federal marginal
income tax rates and do not reflect the impact of state and local
taxes. Actual
after-tax returns depend on an investor’s tax situation and may differ from
those shown. After-tax returns shown are not relevant to investors who hold
shares through tax-deferred arrangements, such as 401(k) plans or individual
retirement plans. After-tax returns may exceed the
return before taxes due to an assumed tax benefit from realizing a capital loss
on a sale of shares.
In certain cases, the figure representing
“Return After Taxes on Distributions and Sale of Fund Shares” may be higher than
the other return figures for the same period. A higher after-tax return results
when a capital loss occurs upon redemption and provides an assumed tax benefit
to the investor.
Management
Investment
Advisor. Millington
Securities, Inc. is the Fund’s investment advisor and has selected its affiliate
WBI Investments, Inc. to act as the sub-advisor to the Fund and to be
responsible for its day-to-day investment management.
Portfolio
Managers. The
portfolio managers responsible for the day-to-day management of the Fund are as
follows:
•Steven
Van Solkema, co-portfolio manager. After working for the Advisor since 2014, Mr.
Van Solkema joined the Sub-Advisor in 2019 and is its President and Chief
Investment Officer. He has been a portfolio manager of the Fund since
2019.
•Don
Schreiber, Jr., co-portfolio manager. Mr. Schreiber founded the Sub-Advisor in
1984 and is its Founder and Co-Chief Executive Officer. He has been a portfolio
manager of the Fund since 2014.
Purchase
and Sale of Shares
Unlike
conventional mutual funds, the Fund issues and redeems Shares on a continuous
basis at NAV only in Creation Units comprised of blocks of 50,000 Shares, or
whole multiples thereof. Only a broker-dealer (“Authorized
Participant”)
that enters into an appropriate agreement with the Fund’s distributor may engage
in such creation and redemption transactions directly with the Fund. The Fund’s
Creation Units generally are issued and redeemed “in-kind,” for securities in
the Fund, but may also be issued and redeemed in cash. Retail investors may
acquire Shares on the NYSE
Arca
through a broker-dealer. Shares of the Fund will trade at market price rather
than NAV. As such, Shares may trade at a price greater than NAV (premium) or
less than NAV (discount).
Tax
Information
The
Fund’s distributions are taxable and will generally be taxed as ordinary income
or capital gains.
Financial
Intermediary Compensation
If
you purchase Shares of the Fund through a broker-dealer or other financial
intermediary (such as a bank), the Sub-Advisor may pay the intermediary for the
sale of Shares and related services. These payments may create a conflict of
interest by influencing the broker-dealer or other intermediary and your
salesperson to recommend the Fund over another investment. Ask your salesperson
or visit your financial intermediary’s website for more
information.
WBI BULLBEAR
QUALITY 3000 ETF
Investment
Objective
The
WBI BullBear Quality 3000 ETF’s (the “Fund”)
investment objectives are to seek long-term capital appreciation and the
potential for current income, while also seeking to protect principal during
unfavorable market conditions.
Fees and
Expenses of the Fund
This
table describes the fees and expenses that you may pay if you buy, hold and sell
shares of the Fund (“Shares”).
You may pay other fees, such as brokerage commission and other fees to financial
intermediaries, which are not reflected in the table and example below.
Investors purchasing Shares on a national securities exchange, national
securities association, or over-the-counter trading system where Shares may
trade from time to time (each, a “Secondary
Market”)
may be subject to customary brokerage commissions charged by their broker that
are not reflected in the table set forth below.
Annual Fund
Operating Expenses (expenses that you pay each year as a percentage of the value
of your investment):
|
|
|
|
|
|
Management
Fee |
0.85% |
Distribution
and/or Service (12b-1) Fees |
0.00% |
Other
Expenses |
0.46% |
Total
Annual Fund Operating Expenses |
1.31% |
Fee
Waiver Reimbursement(1) |
-0.06% |
Total
Annual Fund Operating Expenses After Fee Waiver and/or Expense
Reimbursement |
1.25% |
(1) The Fund’s investment
sub-advisor has agreed to limit the Fund’s Total Annual Fund Operating Expenses
to no
more than 1.25% of
the average daily net assets for the Fund until at least October 31,
2022.
Example.
This example is intended to help
you compare the cost of investing in the Fund with the cost of investing in
other funds. Investors may pay brokerage commissions on their purchases and
sales of exchange-traded fund shares, which are not reflected in the
example.
The example assumes that you invest $10,000
in the Fund for the time periods indicated and then redeem all of your Shares at
the end of those periods. The example also assumes that your investment has a 5%
return each year and that the Fund’s operating expenses remain at current
levels. The return of 5% and estimated expenses are for illustration purposes
only and should not be considered indicators of expected Fund expenses or
performance, which may be greater or less than the estimates.
Although your
actual costs may be higher or lower, based on these assumptions your costs would
be:
|
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|
|
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|
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|
|
|
1
Year |
3
Years |
5
Years |
10
Years |
$127 |
$409 |
$712 |
$1,574 |
Portfolio
Turnover. The Fund incurs implicit and
explicit transaction costs when it buys and sells securities (or “turns over”
its portfolio). Such costs may include, but are not limited to, market impact,
which is the effect that a market participant has when it buys or sells an
asset, and commissions. A higher portfolio turnover rate may indicate higher
transaction costs and may result
in higher taxes when Shares are held in a
taxable account. These costs, which are not reflected in annual Fund operating
expenses or in the example, affect the Fund’s performance. This rate excludes
the value of portfolio securities received or delivered as a result of any
in-kind creations or redemptions of the Fund’s Shares. For the fiscal year ended
June 30, 2021, the Fund’s portfolio turnover rate was 838% of the average value of its
portfolio.
Principal
Investment Strategies
The
Fund will seek to invest in the equity securities of small-capitalization,
mid-capitalization, and large-capitalization domestic and foreign companies that
WBI Investments, Inc., the sub-advisor (“Sub-Advisor”)
to the Fund, and an affiliate of Millington Securities, Inc., the advisor
(“Advisor”),
believes display attractive prospects for growth in a company’s intrinsic value,
and in other tactical investment opportunities.
These
securities will be selected on the basis of the Sub-Advisor’s investment process
which includes a buy and sell discipline. The Fund’s buy discipline is driven by
the Sub-Advisor’s proprietary selection process (“Selection
Process”),
as described further below. Cash and cash equivalents are some of the investment
opportunities evaluated by the Selection Process. From time to time, the Fund
may invest in and hold a significant percentage of its net assets in cash or
cash equivalents as part of the normal operation of its investment
strategy.
Large-capitalization
companies are those that have higher market capitalization than small- and
mid-capitalization companies in their primary market when ranked in order of
market capital. For publicly traded U.S. companies in the current environment,
this would include companies with market capitalizations of greater than
approximately $10 billion. Conversely, small-capitalization and
mid-capitalization companies are those that have lower market capitalization
than large-capitalization companies in their primary market. For publicly-traded
U.S. companies in the current environment, this would include companies with
market capitalizations of less than approximately $10 billion. Each of large-,
small- and mid-capitalization companies in non-U.S. markets may have
capitalizations that differ from this U.S. Dollar equivalent amount because of
the wide variation in the range of market capitalizations of companies available
for investment in those markets.
The
types of equity securities in which the Fund will generally invest include
common stocks, preferred stocks, rights, warrants, convertibles, exchange-traded
funds (“ETFs”),
real estate investment trusts (“REITs”)
and master limited partnerships (businesses organized as partnerships which
trade on public exchanges) (“MLPs”).
The types of debt securities in which the Fund will generally invest (or through
which it will seek debt exposure) include fixed, floating, and variable rate
corporate debt securities, U.S. Government securities, debt securities of
foreign issuers, sovereign debt securities, U.S. Government agency securities,
high-yield bonds (also known as “junk bonds”), ETFs, and exchange-traded notes
(“ETNs”).
An ETN is an unsecured debt security that trades on an established exchange. Its
underlying value is determined by reference to an index, commodity, interest
rate, or other objectively determined reference. The Fund expects to invest in
debt securities of all maturities, from less than one year up to thirty years,
depending on the portfolio managers’ assessment of the risks and opportunities
along the yield curve. (The yield curve refers to differences in yield among
debt assets of varying maturities).
The
Fund may invest in domestic and foreign debt securities, ETFs, ETNs, and/or in
option strategies to enhance the Fund’s returns or to mitigate risk and
volatility. Equity option strategies used by the Fund for individual securities
include writing (selling) covered calls, buying calls or puts, and using
combinations of calls and puts. The Fund may also use options on
indices.
The
Fund may invest without limitation in securities of small-capitalization,
mid-capitalization, and large-capitalization foreign issuers, and may invest up
to 50% of its net assets in the securities of issuers in emerging markets. The
Fund may invest up to 20% of its net assets in high-yield bonds. The Fund may
also invest in other investment companies, including other ETFs, up to the
limits specified in the Investment Company Act of 1940 (“1940
Act”)
or in reliance on exemptions therefrom.
Although
the Fund is limited as to the percentage of its net assets that may be directly
invested in certain asset classes, the Fund may obtain investment exposure to
such asset classes in excess of such limits by investing indirectly in such
asset classes through other investment companies, including other ETFs with
exposure to such asset classes. Consequently, investments in such pooled
investment vehicles may result in aggregate direct and indirect investment
exposure to an asset class in excess of the limit up to which the applicable
Fund may invest directly in such assets.
The
investment process used for the Fund attempts to provide consistent, attractive
returns net of expenses with potentially less volatility and risk to capital
than traditional approaches, whatever market conditions may be. This is the
Fund’s definition of an absolute return approach to investment management, and
such an approach is used (in part) to achieve the Fund’s investment
objective.
The
Sub-Advisor uses quantitative computer screening of fundamental stock
information to evaluate securities in an attempt to find companies with
attractive financial stability characteristics for the selected universe of
securities. Dividend payments may be considered as part of the evaluation
process. Once securities are identified, an overlay of technical analysis
confirms timeliness of security purchases. The Sub-Advisor then purchases
qualifying securities using available cash.
The
Fund uses a proprietary bond model created by the Sub-Advisor to assess the
appropriate duration and credit quality of any exposure to debt securities.
Duration is a measure of a fixed income security’s expected price sensitivity to
changes in interest rates. Credit quality is a measure of a borrower’s
creditworthiness or risk of default. A portion of the Fund’s bond exposure may
also be invested to pursue perceived opportunities in varying segments of the
debt market. This systematic process of identifying, evaluating, and purchasing
securities constitutes the Sub-Advisor’s buy discipline for the
Fund.
Once
securities are purchased, the Sub-Advisor maintains a strict sell discipline
that attempts to control the effects of the volatility of each Fund asset on the
Fund’s NAV. This sell discipline, together with the Selection Process,
constitutes the Fund’s strategy to achieve its investment objective. If a Fund
asset’s price stays within a range of acceptable prices, the Fund asset will
continue to be held. If a Fund asset’s price falls below the bottom of an
acceptable price range, the Fund asset will be identified to sell. This results
in a responsive process that actively adjusts the Fund’s allocation by causing
it to become more fully invested, or by raising cash to protect capital. The
sell discipline operates independently of, and in addition to, any investment
model changes. During periods of high market volatility, a significant amount of
Fund holdings may be sold, resulting in a significant allocation to cash or cash
equivalents in the Fund.
The
Fund is an actively managed ETF. The Sub-Advisor actively manages the Fund’s
portfolio. As a result, the portfolio turnover rate for the Fund may be high.
The Sub-Advisor expects that the
Fund’s
investment strategy will result in a portfolio turnover rate in excess of 100%
on an annual basis.
For
additional information about the Fund’s principal investment strategies and the
investment process, see “Description of the Principal Strategies of the
Funds.”
Principal
Risks
Investors
in the Fund should be willing to accept a high degree of volatility in the price
of the Fund’s Shares and the possibility of significant losses. An investment in
the Fund involves a substantial degree of risk and the Fund does not represent a
complete investment program. As with all
investments, you may lose money in the Fund. An investment
in the Fund is not a bank deposit, is not insured or guaranteed by the FDIC or
any government agency, and may lose value. Therefore, you should
consider carefully the following risks before investing in the Fund. A more
complete discussion of Principal Risks is included under “Description of the
Principal Risks of the Funds.”
Losing
all or a portion of your investment is a risk of investing in the Fund. The
following risks could affect the value of your investment:
Cash
Position Risk - If
the Fund invests all or a substantial portion of its assets in cash or cash
equivalents for extended periods of time, including when it is investing for
temporary defensive purposes, it could reduce the Fund’s potential return and
prevent the Fund from achieving its investment objective as the limited returns
of cash or cash equivalents may lag other investment instruments.
Management
Risk - An
investment in the Fund varies with the success and failure of the Sub-Advisor’s
investment process and strategies and the Sub-Advisor’s research, analysis, and
determination of portfolio securities. If the Sub-Advisor’s investment process
and strategies, including its models, stop loss and goal-setting process, do not
produce the expected results, the market value or NAV of the Shares would
decrease.
Quantitative
Model Risk - While
the Fund’s principal investment strategy utilizes various quantitative models,
the Fund’s portfolio managers exercise discretion with respect to portfolio
transactions. To the extent various proprietary quantitative or investment
models are used, securities or other financial instruments selected may perform
differently than expected, or from the market as a whole, as a result of a
quantitative model’s component factors, the weight placed on each factor,
changes from the factors’ historical trends, and technical issues in the
construction, implementation and maintenance of the models (e.g.,
data problems, software issues, etc.). There can be no assurance that a
quantitative model will achieve its objective or that the methodology employed
by an investment strategy will eliminate exposure to downward trends and/or
volatility in the markets or provide immediate exposure to upward trends and/or
volatility in the markets.
Portfolio
Turnover Risk - A
high portfolio turnover rate (100% or more) has the potential to result in the
realization and distribution to shareholders of higher capital gains, which may
subject you to a higher tax liability. A high portfolio turnover rate also leads
to higher transaction costs, which can negatively affect the Fund’s
performance.
Model
Risk - The
Fund’s investment process includes the use of proprietary models and analysis
methods developed by the Sub-Advisor, and data provided by third parties. Third
party data and information used in models and analysis is obtained from sources
believed to be reliable, however
inaccurate
data could adversely affect the effectiveness of the resulting investment
implementation on the Fund’s performance. There can be no assurance that any
particular model or investment strategy, including those devised by the
Sub-Advisor, will be profitable for the Fund, and may result in a loss of
principal.
Small-
and Medium-Sized Companies Risk - Investing
in securities of small- and medium-capitalization companies may involve greater
volatility than investing in larger and more established companies because
small- and medium-capitalization companies can be subject to more abrupt or
erratic share price changes than larger, more established
companies.
Growth
Risk - Growth
companies are companies whose earnings growth potential appears to be greater
than the market in general and whose revenue growth is expected to continue for
an extended period of time. Stocks of growth companies (or “growth securities”)
have market values that may be more volatile than those of other types of
investments. Growth securities typically do not pay a dividend, which can help
cushion stock prices in market downturns and reduce potential losses. The Fund’s
investments in stocks of growth companies may cause the share price of the Fund
to be more volatile than the prices of funds that do not invest primarily in
growth stocks. During periods when growth stocks are underperforming other types
of stocks, the Fund may also underperform funds that favor other types of
securities.
Value
Risk - Value
companies are those whose stocks appear to be priced at a material discount to
the underlying value of the issuing company. The reason for the apparent
discount may reflect an underlying business condition that is more serious or
permanent than anticipated, and stocks of value companies may remain depressed
for extended periods of time or may never realize their expected potential
value. The Fund’s investments in value stocks may cause the Fund to underperform
funds that do not invest predominantly in value stocks during periods when value
stocks underperform other types of stocks.
Foreign
and Emerging Market Securities Risk - Foreign
investments may carry risks associated with investing outside the United States,
such as currency fluctuation, economic or financial instability, lack of timely
or reliable financial information, or unfavorable political or legal
developments. Foreign securities can be more volatile than domestic (U.S.)
securities. Securities markets of other countries are generally smaller than
U.S. securities markets. Many foreign securities may also be less liquid than
U.S. securities, which could affect the Fund’s investments. Investments in
emerging markets may have more risk because the markets are less developed and
less liquid, as well as being subject to increased economic, political,
regulatory or other uncertainties. Also, as foreign and emerging markets
decline, investors tend to exit these markets in unison.
Debt
Securities Risk -
The market value of debt securities held by the Fund typically changes as
interest rates change, as demand for the instruments changes, and as actual or
perceived creditworthiness of an issuer changes. Additionally, debt securities
with longer durations are expected to experience greater price movements than
securities with shorter durations for the same change in prevailing interest
rates. During periods of rising interest rates, the market value of the debt
securities held by the Fund will generally decline. Credit risk is the risk that
an issuer will not make timely payments of principal and interest. There is also
the risk that an issuer may “call,” or repay, its high- yielding bonds before
their maturity dates. Debt securities subject to prepayment can offer less
potential for gains during a declining interest rate environment and similar or
greater potential for loss in a rising interest rate environment. Limited
trading opportunities for certain debt securities may make it more difficult to
sell or buy a security at a favorable price or
time.
High-Yield
Securities Risk - The
debt securities that are rated below investment grade (i.e.,
“junk bonds”) are subject to additional risk factors such as increased
possibility of default liquidation of the security and changes in value based on
public perception of the issuer. High-yield securities are inherently
speculative.
Fundamental
Business Risk -
Companies with apparently attractive financial conditions and prospects for
ongoing financial stability may experience adverse business conditions specific
to their industry or enterprise that cause their financial condition and
prospects to deteriorate. The Fund’s investments in companies that experience
negative developments in their financial condition may lose value relative to
the stocks of other companies, causing the Fund to underperform funds that do
not invest in companies primarily on the basis of their underlying financial
condition.
Exchange-Traded
Note Risk - The
value of an ETN may be influenced by the time remaining before its maturity,
level of supply and demand for the ETN, volatility and lack of liquidity in
underlying securities’ markets, changes in the applicable interest rates,
changes in the issuer’s credit rating, and economic, legal, political, or
geographic events that affect the referenced index. In addition, the notes
issued by ETNs and held by a fund are unsecured debt of the issuer.
Fluctuation
of Net Asset Value -
The NAV of the Shares will fluctuate with changes in market value of the Fund’s
holdings.
Equity
Securities Risk - Common
stocks are susceptible to general stock market fluctuations and to volatile
increases and decreases in value as market confidence in and perceptions of
their issuers change. If the Fund holds common stock or common stock equivalents
of any given issuer, it will generally be exposed to greater risk than if the
Fund held preferred stocks and debt obligations of such issuer. Preferred
securities are subject to issuer-specific and market risks applicable generally
to equity securities, however, unlike common stocks, participation in the growth
of an issuer may be limited. Warrants and rights do not carry with them the
right to dividends or voting rights with respect to the securities that they
entitle their holder to purchase, and they do not represent any rights in the
assets of the issuer.
Equity
Options Risk - Options
on securities may be subject to greater fluctuations in value than an investment
in the underlying securities. Purchasing and writing put and call options are
highly specialized activities and entail greater than ordinary investment risks,
including limiting potential gains, increased sensitivity to changes in interest
rates or to sudden fluctuations in market prices than conventional securities,
and transaction costs.
Dividend
Risk -
To the extent that the Fund invests in dividend-paying equities, the Fund may
underperform funds that do not invest in dividend-paying equities during periods
when dividend-paying equities underperform other types of stocks. In addition,
if stocks held by the Fund reduce or stop paying dividends, the Fund’s ability
to generate income may be affected.
REIT
Risk - Investments
in REITs will be subject to the risks associated with the direct ownership of
real estate and annual compliance with tax rules applicable to REITs. Risks
commonly associated with the direct ownership of real estate include
fluctuations in the value of underlying properties, defaults by borrowers or
tenants, changes in interest rates and risks related to general or local
economic conditions. In addition, REITs have their own expenses, and therefore
Fund shareholders will indirectly bear a proportionate share of the expenses of
REITs in which the Fund invests.
ETF
and Other Investment Companies Risk
- When the Fund invests in another ETF or other investment company (e.g., mutual
fund, closed-end fund, business development company), it will bear additional
expenses based on its pro rata share of such investment company’s operating
expenses, including the potential duplication of management fees. The risk of
owning an ETF or other investment company generally reflects the risks of owning
the underlying securities and other assets held by the ETF or other investment
company. The Fund also will incur brokerage costs when it purchases ETFs and
other exchange-listed investment companies. Additionally, the Fund will be
indirectly exposed to the risks of the portfolio assets held by an ETF or other
investment company, including but not limited to those of ETNs, equity options,
derivatives, currencies, index, leverage, and replication
management.
Liquidity
Risk
- The Fund’s investments are subject to liquidity risk, which exists when an
investment is or becomes difficult to purchase or sell. If a transaction is
particularly large or if the relevant market is or becomes illiquid, it may not
be possible to initiate a transaction or liquidate a position at an advantageous
time or price, which may cause the Fund to suffer significant losses and
difficulties in meeting redemptions. If a number of securities held by the Fund
halt trading, such as due to an exchange’s limit-up, limit-down rules, it may
have a cascading effect and cause the Fund to halt trading. Volatility in market
prices will increase the risk of the Fund being subject to a trading
halt.
Master
Limited Partnership Risk
- Investing in MLPs entails risk including fluctuations in energy prices,
decreases in supply of or demand for energy commodities, and other adverse
energy market conditions.
Active
ETF Risk - There
is no obligation by any market maker to make a market in the Fund’s shares or by
any AP to submit creation or redemption orders. Decisions by market makers or
APs to reduce or step away from the Fund in a time of market stress could
inhibit the arbitrage process by which a relationship between the Fund’s NAV per
share and the market trading prices of the shares is maintained. Thus, reduced
effectiveness of the arbitrage function could result in Fund shares trading at a
discount to NAV per share and also with greater than normal intra-day bid/ask
spreads.
Authorized
Participant Concentration Risk
- The Fund has a limited number of financial institutions that may act as
Authorized Participants (“APs”)
to create and redeem Fund Shares. To the extent that these APs exit the business
or are unable to process creation and redemption orders and no other AP is able
to step forward to create and redeem in either of these cases, there may be a
significantly diminished trading market for the Fund’s Shares and such Shares
may trade at a discount to NAV and possibly face de-listing.
Market
Risk -
Either the stock market as a whole or the value of an investment held by the
Fund may go down, resulting in a decrease in the market value or NAV of the
Shares. For example, there is the risk that sharp price declines in securities
owned by the Fund, known as flash crash risk, may trigger trading halts, which
may result in the Fund’s Shares trading in the market at an increasingly large
discount to NAV during part (or all) of a trading day. Local, regional or global
events such as war, acts of terrorism, trade and tariff disputes, epidemics,
pandemics or other public health issue, recessions, or other events could have a
significant and protracted impact on the Fund and its investments and could
result in increased premiums or discounts to the Fund’s net asset
value.
Trading
Price Risk - Although
it is expected that generally the exchange price of the Shares will approximate
the Fund’s NAV, there may be times when the market price in the Secondary Market
and the NAV vary significantly.
Shares
are Not Individually Redeemable -
Shares are only redeemable by the Fund at NAV if they are tendered in large
blocks known as “Creation Units” which are expected to be worth in excess of $1
million each. Only APs may engage in such creation and redemption transactions
directly with the Fund. Individual Shares may be sold on a stock exchange at
their current market prices, which may be less, more, or equal to their NAV.
There can be no assurance that an active trading market will be maintained for
the Shares.
Performance
Information
The following
performance information indicates some of the risks of investing in the Fund.
The bar chart shows the Fund’s performance for the calendar years ended December
31. The table illustrates how the Fund’s average annual returns for the 1-year,
5-year and since inception periods compare with those of a broad measure of
market performance. The Fund’s
past performance, before and after taxes, does not necessarily indicate how it
will perform in the future. Updated performance information is
available on www.wbietfs.com,
the Fund’s “Website,” or by calling the Fund toll-free at (855) WBI‑ETFS or
(855)
924-3837.
Calendar Year
Total Returns
For the year-to-date
period ended September 30, 2021, the
Fund’s total return was 10.15%. During the period of time
shown in the bar chart, the Fund’s highest
quarterly return was 8.80% for the quarter ended
December 31, 2016, and
the lowest
quarterly return was -12.60% for the quarter
ended December 31,
2018.
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|
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Average
Annual Total Returns For the Period Ended December 31,
2020 |
|
|
|
WBI
BullBear Quality 3000 ETF |
1
Year |
5
Year |
Since
Inception (8/25/2014) |
Return
Before Taxes |
-2.06% |
4.26% |
1.61% |
Return
After Taxes on Distributions |
-2.09% |
4.10% |
1.48% |
Return
After Taxes on Distributions and Sale of Fund
Shares |
-1.20% |
3.30% |
1.24% |
Russell
3000®
Index
(reflects
no deduction for fees, expenses, or
taxes) |
20.89% |
15.43% |
12.65% |
Average
annual total returns are shown on a before- and after-tax basis for the Fund.
After-tax
returns are calculated using the historical highest individual federal marginal
income tax rates and do not reflect the impact of state and local
taxes. Actual
after-tax returns depend on an investor’s tax situation and may differ from
those shown. After-tax returns shown are not relevant to investors who hold
shares through tax-deferred arrangements, such as 401(k) plans or individual
retirement plans. After-tax returns may exceed the
return before taxes due to an assumed tax benefit from realizing a capital loss
on a sale of shares.
In certain cases, the figure representing
“Return After Taxes on Distributions and Sale of Fund Shares” may be higher than
the other return figures for the same period. A higher after-tax return results
when a capital loss occurs upon redemption and provides an assumed tax benefit
to the investor.
Management
Investment
Advisor. Millington
Securities, Inc. is the Fund’s investment advisor and has selected its affiliate
WBI Investments, Inc. to act as the sub-advisor to the Fund and to be
responsible for its day-to-day investment management.
Portfolio
Managers. The
portfolio managers responsible for the day-to-day management of the Fund are as
follows:
•Steven
Van Solkema, co-portfolio manager. After working for the Advisor since 2014, Mr.
Van Solkema joined the Sub-Advisor in 2019 and is its President and Chief
Investment Officer. He has been a portfolio manager of the Fund since
2019.
•Don
Schreiber, Jr., co-portfolio manager. Mr. Schreiber founded the Sub-Advisor in
1984 and is its Founder and Co-Chief Executive Officer. He has been a portfolio
manager of the Fund since 2014.
Purchase
and Sale of Shares
Unlike
conventional mutual funds, the Fund issues and redeems Shares on a continuous
basis at NAV only in Creation Units comprised of blocks of 50,000 Shares, or
whole multiples thereof. Only a broker-dealer (“Authorized
Participant”)
that enters into an appropriate agreement with the Fund’s distributor may engage
in such creation and redemption transactions directly with the Fund. The Fund’s
Creation Units generally are issued and redeemed “in-kind,” for securities in
the Fund, but may also be issued and redeemed in cash. Retail investors may
acquire Shares on the NYSE
Arca
through a broker-dealer. Shares of the Fund will trade at market price rather
than NAV. As such, Shares may trade at a price greater than NAV (premium) or
less than NAV (discount).
Tax
Information
The
Fund’s distributions are taxable and will generally be taxed as ordinary income
or capital gains.
Financial
Intermediary Compensation
If
you purchase Shares of the Fund through a broker-dealer or other financial
intermediary (such as a bank), the Sub-Advisor may pay the intermediary for the
sale of Shares and related services. These payments may create a conflict of
interest by influencing the broker-dealer or other intermediary and your
salesperson to recommend the Fund over another investment. Ask your salesperson
or visit your financial intermediary’s website for more
information.
WBI BULLBEAR
GLOBAL INCOME ETF
Investment
Objective
The
WBI BullBear Global Income ETF’s (the “Fund”)
investment objectives are to seek current income with the potential for
long-term capital appreciation, while also seeking to protect principal during
unfavorable market conditions.
Fees and
Expenses of the Fund
This
table describes the fees and expenses that you may pay if you buy, hold and sell
shares of the Fund (“Shares”).
You may pay other fees, such as brokerage commission and other fees to financial
intermediaries, which are not reflected in the table and example below.
Investors purchasing Shares on a national securities exchange, national
securities association, or over-the-counter trading system where Shares may
trade from time to time (each, a “Secondary
Market”)
may be subject to customary brokerage commissions charged by their broker that
are not reflected in the table set forth below.
Annual Fund
Operating Expenses (expenses that you pay each year as a percentage of the value
of your investment):
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Management
Fee |
0.85% |
Distribution
and/or Service (12b-1) Fees |
0.00% |
Other
Expenses |
0.35% |
Acquired
Fund Fees and Expenses |
0.25% |
Total
Annual Fund Operating Expenses(1) |
1.45% |
(1)Acquired Funds Fees &
Expenses (“AFFE”) represent the Fund’s pro rata share of fees and expenses
incurred indirectly as a result of investing in other funds, including ETFs and
money market funds. The Total Annual Fund Operating Expenses in this fee table
does not correlate to the expense ratio in the Fund’s “Financial Highlights”
section of the Prospectus, which does not include Acquired Fund Fees and
Expenses.
Example.
This example is intended to help
you compare the cost of investing in the Fund with the cost of investing in
other funds. Investors may pay brokerage commissions on their purchases and
sales of exchange-traded fund shares, which are not reflected in the
example.
The example assumes that you invest $10,000
in the Fund for the time periods indicated and then redeem all of your Shares at
the end of those periods. The example also assumes that your investment has a 5%
return each year and that the Fund’s operating expenses remain at current
levels. The return of 5% and estimated expenses are for illustration purposes
only and should not be considered indicators of expected Fund expenses or
performance, which may be greater or less than the estimates.
Although your
actual costs may be higher or lower, based on these assumptions your costs would
be:
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1
Year |
3
Years |
5
Years |
10
Years |
$148 |
$459 |
$792 |
$1,735 |
Portfolio
Turnover. The Fund incurs implicit and
explicit transaction costs when it buys and sells securities (or “turns over”
its portfolio). Such costs may include, but are not limited to, market impact,
which is the effect that a market participant has when it buys or sells an
asset, and commissions. A higher portfolio turnover rate may indicate higher
transaction costs and may result in higher taxes when Shares are held in a
taxable account. These costs, which are not reflected in annual Fund operating
expenses or in the example, affect the Fund’s performance. This rate excludes
the value of portfolio securities received or delivered as a result of any
in-kind creations or redemptions of the
Fund’s Shares. For the fiscal year ended
June 30, 2021, the Fund’s portfolio turnover rate was 331% of the average value of its
portfolio.
Principal
Investment Strategies
Under
normal market conditions, the Fund will invest at least 80% of its net assets,
plus the amount of any borrowings for investment purposes, in income-producing
debt and equity securities of foreign and domestic issuers, including the
securities of foreign and domestic corporate and government entities. These
securities will be selected on the basis of the Sub-Advisor’s investment process
which includes a buy and sell discipline. The Fund’s buy discipline is driven by
the Sub-Advisor’s proprietary selection process (“Selection
Process”),
as described further below. Cash and cash equivalents are some of the investment
opportunities evaluated by the Selection Process. From time to time, the Fund
may invest in and hold a significant percentage of its net assets in cash or
cash equivalents as part of the normal operation of its investment
strategy.
Up
to 20% of the Fund’s net assets may be invested in foreign and domestic
equities, exchange-traded funds (“ETFs”),
exchange-traded notes (“ETNs”),
and/or in option strategies to enhance the Fund’s returns or to mitigate risk
and volatility, and may be selected without regard to their ability to produce
income. An ETN is an unsecured debt security that trades on an established
exchange. Its underlying value is determined by reference to an index,
commodity, interest rate, or other objectively determined reference. Equity
option strategies used by the Fund for individual securities include writing
(selling) covered calls, buying calls and puts, and using combinations of calls
and puts. The Fund may also use options on indices. The Fund may also invest in
cash or cash equivalents as part of the normal operation of its investment
process.
Although
the Fund is limited as to the percentage of its net assets that may be directly
invested in certain asset classes, the Fund may obtain investment exposure to
such asset classes in excess of such limits by investing indirectly in such
asset classes through other investment companies, including other ETFs with
exposure to such asset classes. Consequently, investments in such pooled
investment vehicles may result in aggregate direct and indirect investment
exposure to an asset class in excess of the limit up to which the applicable
Fund may invest directly in such assets.
The
types of debt securities in which the Fund will generally invest include
corporate debt securities, U.S. Government securities, debt securities of
foreign issuers, sovereign debt securities, U.S. government agency securities,
high-yield bonds (also known as “junk bonds”), mortgage-backed securities
(including sub-prime mortgages), ETFs, ETNs, and variable and floating rate
securities. The Fund expects to invest in debt securities of all maturities,
from less than one year up to thirty years, depending on the portfolio manager’s
assessment of the risks and opportunities along the yield curve. (The yield
curve refers to differences in yield among debt assets of varying maturities.)
Debt securities will be selected on the basis of the Sub-Advisor’s assessment of
the risks and opportunities available in the fixed income market using its
proprietary Selection Process described briefly below.
The
types of equity securities in which the Fund will generally invest include
common stocks, preferred stocks, rights, warrants, convertibles, real estate
investment trusts (“REITs”)
and master limited partnerships (businesses organized as partnerships which
trade on public exchanges) (“MLPs”).
The Fund may invest in companies of any size or market
capitalization.
The
Fund may invest without limitation in securities of foreign issuers, and up to
50% of its net assets in the securities of issuers located in emerging markets.
The Fund may invest up to 40% of its net assets in high-yield bonds. The Fund
may also invest in other investment companies, including other ETFs, up to the
limits specified in the Investment Company Act of 1940 (“1940
Act”)
or in reliance on exemptions therefrom. Investments in other investment
companies that invest predominantly in debt
securities
are considered debt securities and investments in other investment companies
that invest predominantly in dividend-paying equity securities are considered
dividend-paying equity securities for the purposes of the Fund’s
income-producing securities target allocation.
The
investment process used for the Fund attempts to provide consistent, attractive
returns net of expenses with potentially less volatility and risk to capital
than traditional approaches, whatever market conditions may be. This is the
Fund’s definition of an absolute return approach to investment management, and
such an approach is used (in part) to achieve the Fund’s investment
objective.
The
Fund uses a proprietary bond model created by the Sub-Advisor to assess the
appropriate duration and credit quality of any exposure to debt securities.
Duration is a measure of a fixed income security’s expected price sensitivity to
changes in interest rates. Credit quality is a measure of a borrower’s
creditworthiness or risk of default. A portion of the Fund’s bond exposure may
also be invested to pursue perceived opportunities in varying segments of the
global debt securities market.
The
Sub-Advisor uses quantitative computer screening of fundamental stock
information to evaluate domestic and foreign equity securities in an attempt to
find companies with attractive yield characteristics for the selected universe
of securities. Once securities are identified, an overlay of technical analysis
confirms timeliness of security purchases. The Sub-Advisor then adds qualifying
securities using available cash within the parameters of the Fund’s target
allocations. This systematic process of identifying, evaluating, and purchasing
securities constitutes the Sub-Advisor’s buy discipline for the
Fund.
Once
securities are purchased, the Sub-Advisor maintains a strict sell discipline
that attempts to control the effects of the volatility of the Fund asset on the
Fund’s NAV. This sell discipline, together with the Selection Process,
constitutes the Fund’s strategy to achieve its investment objective. If the Fund
asset’s price stays within a range of acceptable prices, the Fund asset will
continue to be held. If the Fund asset’s price falls below the bottom of an
acceptable price range, the Fund asset will be identified to sell. This results
in a responsive process that actively adjusts the Fund’s allocation by causing
it to become more fully invested, or by raising cash to protect capital. The
sell discipline operates independently of, and in addition to, any investment
model changes. During periods of high market volatility, a significant amount of
Fund holdings may be sold, resulting in a significant allocation to cash or cash
equivalents in the Fund.
The
Fund is an actively managed ETF. The Sub-Advisor actively manages the Fund’s
portfolio. As a result, the portfolio turnover rate for the Fund may be high.
The Sub-Advisor expects that the Fund’s investment strategy will result in a
portfolio turnover rate in excess of 100% on an annual basis.
For
additional information about the Fund’s principal investment strategies and the
investment process, see “Description of the Principal Strategies of the
Fund.”
Principal
Risks
Investors in the Fund should be
willing to accept a high degree of volatility in the price of the Fund’s Shares
and the possibility of significant losses. An investment in the Fund involves a
substantial degree of risk and the Fund does not represent a complete investment
program. As with all
investments, you may lose money in the Fund. An investment
in the Fund is not a bank deposit, is not insured or guaranteed by the FDIC or
any government agency, and may lose value. Therefore, you should
consider carefully the following risks before investing in the Fund. A more
complete discussion of Principal Risks is included under “Description of the
Principal Risks of the Fund.”
Losing
all or a portion of your investment is a risk of investing in the Fund. The
following risks could affect the value of your investment:
Cash
Position Risk - If
the Fund invests all or a substantial portion of its assets in cash or cash
equivalents for extended periods of time, including when it is investing for
temporary defensive purposes, it could reduce the Fund’s potential return and
prevent the Fund from achieving its investment objective as the limited returns
of cash or cash equivalents may lag other investment instruments.
Management
Risk - An
investment in the Fund varies with the success and failure of the Sub-Advisor’s
investment process and strategies and the Sub-Advisor’s research, analysis, and
determination of portfolio securities. If the Sub-Advisor’s investment process
and strategies, including its models, stop loss and goal-setting process, do not
produce the expected results, the market value or NAV of the Shares would
decrease.
Quantitative
Model Risk - While
the Fund’s principal investment strategy utilizes various quantitative models,
the Fund’s portfolio managers exercise discretion with respect to portfolio
transactions. To the extent various proprietary quantitative or investment
models are used, securities or other financial instruments selected may perform
differently than expected, or from the market as a whole, as a result of a
quantitative model’s component factors, the weight placed on each factor,
changes from the factors’ historical trends, and technical issues in the
construction, implementation and maintenance of the models (e.g.,
data problems, software issues, etc.). There can be no assurance that a
quantitative model will achieve its objective or that the methodology employed
by an investment strategy will eliminate exposure to downward trends and/or
volatility in the markets or provide immediate exposure to upward trends and/or
volatility in the markets.
Portfolio
Turnover Risk - A
high portfolio turnover rate (100% or more) has the potential to result in the
realization and distribution to shareholders of higher capital gains, which may
subject you to a higher tax liability. A high portfolio turnover rate also leads
to higher transaction costs, which can negatively affect the Fund’s
performance.
Model
Risk - The
Fund’s investment process includes the use of proprietary models and analysis
methods developed by the Sub-Advisor, and data provided by third parties. Third
party data and information used in models and analysis is obtained from sources
believed to be reliable, however inaccurate data could adversely affect the
effectiveness of the resulting investment implementation on the Fund’s
performance. There can be no assurance that any particular model or investment
strategy, including those devised by the Sub-Advisor, will be profitable for the
Fund, and may result in a loss of principal.
Small-
and Medium-Sized Companies Risk - Investing
in securities of small- and medium-capitalization companies may involve greater
volatility than investing in larger and more established companies because
small- and medium-capitalization companies can be subject to more abrupt or
erratic share price changes than larger, more established
companies.
Growth
Risk - Growth
companies are companies whose earnings growth potential appears to be greater
than the market in general and whose revenue growth is expected to continue for
an extended period of time. Stocks of growth companies (or “growth securities”)
have market values that may be more volatile than those of other types of
investments. Growth securities typically do not pay a dividend, which can help
cushion stock prices in market downturns and reduce potential losses. The Fund’s
investments in stocks of growth companies may cause the share price of the Fund
to be more volatile than the prices of funds that do not invest primarily in
growth stocks. During periods when growth
stocks
are underperforming other types of stocks, the Fund may also underperform funds
that favor other types of securities.
Value
Risk - Value
companies are those whose stocks appear to be priced at a material discount to
the underlying value of the issuing company. The reason for the apparent
discount may reflect an underlying business condition that is more serious or
permanent than anticipated, and stocks of value companies may remain depressed
for extended periods of time or may never realize their expected potential
value. The Fund’s investments in value stocks may cause the Fund to underperform
funds that do not invest predominantly in value stocks during periods when value
stocks underperform other types of stocks.
Foreign
and Emerging Market Securities Risk - Foreign
investments may carry risks associated with investing outside the United States,
such as currency fluctuation, economic or financial instability, lack of timely
or reliable financial information, or unfavorable political or legal
developments. Foreign securities can be more volatile than domestic (U.S.)
securities. Securities markets of other countries are generally smaller than
U.S. securities markets. Many foreign securities may also be less liquid than
U.S. securities, which could affect the Fund’s investments. Investments in
emerging markets may have more risk because the markets are less developed and
less liquid, as well as being subject to increased economic, political,
regulatory or other uncertainties. Also, as foreign and emerging markets
decline, investors tend to exit these markets in unison.
Debt
Securities Risk -
The market value of debt securities held by the Fund typically changes as
interest rates change, as demand for the instruments changes, and as actual or
perceived creditworthiness of an issuer changes. Additionally, debt securities
with longer durations are expected to experience greater price movements than
securities with shorter durations for the same change in prevailing interest
rates. During periods of rising interest rates, the market value of the debt
securities held by the Fund will generally decline. Credit risk is the risk that
an issuer will not make timely payments of principal and interest. There is also
the risk that an issuer may “call,” or repay, its high- yielding bonds before
their maturity dates. Debt securities subject to prepayment can offer less
potential for gains during a declining interest rate environment and similar or
greater potential for loss in a rising interest rate environment. Limited
trading opportunities for certain debt securities may make it more difficult to
sell or buy a security at a favorable price or time.
High-Yield
Securities Risk - The
debt securities that are rated below investment grade (i.e.,
“junk bonds”) are subject to additional risk factors such as increased
possibility of default liquidation of the security and changes in value based on
public perception of the issuer. High-yield securities are inherently
speculative.
Interest
Rate Risk - The
Fund’s performance may be adversely impacted when interest rates fall because
the Fund may be exposed, directly or indirectly, to lower-yielding bonds. This
risk may increase as bonds in the Fund’s portfolio mature. Interest rate risk is
typically greater with respect to exposure to short-term bond (or short-term
bond funds) and lower for long-term bond (or long-term bond funds).
Mortgage-Backed
Securities Risk -
In addition to the general risks associated with debt securities as described,
the structure of certain mortgage-backed securities may make their reaction to
interest rates and other factors difficult to predict, which may cause their
prices to be very volatile. In particular, the recent events related to the U.S.
housing market has had a severe negative impact on the value of some
mortgage-backed securities and resulted in an increased risk associated with
investments in these securities. Sub-prime mortgages are those issued to
borrowers who do not meet the lender’s prime credit worthiness standards.
Subprime mortgages have had significantly higher
default
rates, which may result in foreclosure on the collateral property. Mortgage
loans in default can suffer a significant decline in market value and may never
be fully repaid. Amounts recovered through foreclosure and sale of the
collateral property may not be sufficient to repay the full amount of the
loan.
Fundamental
Business Risk -
Companies with apparently attractive financial conditions and prospects for
ongoing financial stability may experience adverse business conditions specific
to their industry or enterprise that cause their financial condition and
prospects to deteriorate. The Fund’s investments in companies that experience
negative developments in their financial condition may lose value relative to
the stocks of other companies, causing the Fund to underperform funds that do
not invest in companies primarily on the basis of their underlying financial
condition.
Exchange-Traded
Note Risk - The
value of an ETN may be influenced by the time remaining before its maturity,
level of supply and demand for the ETN, volatility and lack of liquidity in
underlying securities’ markets, changes in the applicable interest rates,
changes in the issuer’s credit rating, and economic, legal, political, or
geographic events that affect the referenced index. In addition, the notes
issued by ETNs and held by a fund are unsecured debt of the issuer.
Fluctuation
of Net Asset Value -
The NAV of the Shares will fluctuate with changes in market value of the Fund’s
holdings.
Equity
Securities Risk - Common
stocks are susceptible to general stock market fluctuations and to volatile
increases and decreases in value as market confidence in and perceptions of
their issuers change. If the Fund holds common stock or common stock equivalents
of any given issuer, it will generally be exposed to greater risk than if the
Fund held preferred stocks and debt obligations of such issuer. Preferred
securities are subject to issuer-specific and market risks applicable generally
to equity securities, however, unlike common stocks, participation in the growth
of an issuer may be limited. Warrants and rights do not carry with them the
right to dividends or voting rights with respect to the securities that they
entitle their holder to purchase, and they do not represent any rights in the
assets of the issuer.
Equity
Options Risk - Options
on securities may be subject to greater fluctuations in value than an investment
in the underlying securities. Purchasing and writing put and call options are
highly specialized activities and entail greater than ordinary investment risks,
including limiting potential gains, increased sensitivity to changes in interest
rates or to sudden fluctuations in market prices than conventional securities,
and transaction costs.
Dividend
Risk -
To the extent that the Fund invests in dividend-paying equities, the Fund may
underperform funds that do not invest in dividend-paying equities during periods
when dividend-paying equities underperform other types of stocks. In addition,
if stocks held by the Fund reduce or stop paying dividends, the Fund’s ability
to generate income may be affected.
REIT
Risk - Investments
in REITs will be subject to the risks associated with the direct ownership of
real estate and annual compliance with tax rules applicable to REITs. Risks
commonly associated with the direct ownership of real estate include
fluctuations in the value of underlying properties, defaults by borrowers or
tenants, changes in interest rates and risks related to general or local
economic conditions. In addition, REITs have their own expenses, and therefore
Fund shareholders will indirectly bear a proportionate share of the expenses of
REITs in which the Fund invests.
ETF
and Other Investment Companies Risk
- When the Fund invests in another ETF or other investment company (e.g., mutual
fund, closed-end fund, business development company), it will bear additional
expenses
based on its pro rata share of such investment company’s operating expenses,
including the potential duplication of management fees. The risk of owning an
ETF or other investment company generally reflects the risks of owning the
underlying securities and other assets held by the ETF or other investment
company. The Fund also will incur brokerage costs when it purchases ETFs and
other exchange-listed investment companies. Additionally, the Fund will be
indirectly exposed to the risks of the portfolio assets held by an ETF or other
investment company, including but not limited to those of ETNs, equity options,
derivatives, currencies, index, leverage, and replication
management.
Liquidity
Risk
- The Fund’s investments are subject to liquidity risk, which exists when an
investment is or becomes difficult to purchase or sell. If a transaction is
particularly large or if the relevant market is or becomes illiquid, it may not
be possible to initiate a transaction or liquidate a position at an advantageous
time or price, which may cause the Fund to suffer significant losses and
difficulties in meeting redemptions. If a number of securities held by the Fund
halt trading, such as due to an exchange’s limit-up, limit-down rules, it may
have a cascading effect and cause the Fund to halt trading. Volatility in market
prices will increase the risk of the Fund being subject to a trading
halt.
Master
Limited Partnership Risk
- Investing in MLPs entails risk including fluctuations in energy prices,
decreases in supply of or demand for energy commodities, and various other
risks.
Active
ETF Risk - There
is no obligation by any market maker to make a market in the Fund’s shares or by
any AP to submit creation or redemption orders. Decisions by market makers or
APs to reduce or step away from the Fund in a time of market stress could
inhibit the arbitrage process by which a relationship between the Fund’s NAV per
share and the market trading prices of the shares is maintained. Thus, reduced
effectiveness of the arbitrage function could result in Fund shares trading at a
discount to NAV per share and also with greater than normal intra-day bid/ask
spreads.
Authorized
Participant Concentration Risk - The
Fund has a limited number of financial institutions that may act as Authorized
Participants (“APs”)
to create and redeem Fund Shares. To the extent that these APs exit the business
or are unable to process creation and redemption orders and no other AP is able
to step forward to create and redeem in either of these cases, there may be a
significantly diminished trading market for the Fund’s Shares and such Shares
may trade at a discount to NAV and possibly face de-listing.
Market
Risk - Either
the stock market as a whole or the value of an investment held by the Fund may
go down, resulting in a decrease in the market value or NAV of the Shares. For
example, there is the risk that sharp price declines in securities owned by the
Fund, known as flash crash risk, may trigger trading halts, which may result in
the Fund’s Shares trading in the market at an increasingly large discount to NAV
during part (or all) of a trading day. Local, regional or global events such as
war, acts of terrorism, trade and tariff disputes, epidemics, pandemics or other
public health issue, recessions, or other events could have a significant and
protracted impact on the Fund and its investments and could result in increased
premiums or discounts to the Fund’s net asset value.
Counterparty
Risk - Many
of the protections afforded to participants on some organized exchanges, such as
the performance guarantee of an exchange clearing house, are not available in
connection with the over-the-counter (“OTC”)
derivatives transactions. In those instances, another ETF holding such
derivatives (in which the Fund invests) will be subject to the risk that its
direct counterparty will not perform its obligations under the transactions and
that such ETF will sustain losses.
Trading
Price Risk - Although
it is expected that generally the exchange price of the Shares will approximate
the Fund’s NAV, there may be times when the market price in the Secondary Market
and the NAV vary significantly.
Shares
are Not Individually Redeemable - Shares
are only redeemable by the Fund at NAV if they are tendered in large blocks
known as “Creation Units” which are expected to be worth in excess of $1 million
each. Only APs may engage in such creation and redemption transactions directly
with the Fund. Individual Shares may be sold on a stock exchange at their
current market prices, which may be less, more, or equal to their NAV. There can
be no assurance that an active trading market will be maintained for the
Shares.
Performance
Information
The following
performance information indicates some of the risks of investing in the Fund.
The bar chart shows the Fund’s performance for the calendar years ended December
31. The table illustrates how the Fund’s average annual returns for the 1-year,
5-year and since inception periods compare with those of a broad measure of
market performance. The Fund’s
past performance, before and after taxes, does not necessarily indicate how it
will perform in the future. Updated performance information is
available on www.wbietfs.com
the Fund’s “Website,” or by calling the Fund toll-free at (855) WBI‑ETFS or
(855)
924-3837.
Calendar Year
Total Returns
For the year-to-date
period ended September 30, 2021, the
Fund’s total return was 1.82%. During the period of time
shown in the bar chart, the Fund’s highest
quarterly return was 4.83% for the quarter ended
December 31, 2020, and
the lowest
quarterly return was -8.79% for the quarter
ended March 31,
2020.
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Average
Annual Total Returns For the Period Ended December 31,
2020 |
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WBI
BullBear Global Income ETF |
1
Year |
5
Years |
Since
Inception (8/25/2014) |
Return
Before Taxes |
1.41% |
3.24% |
2.56% |
Return
After Taxes on Distributions |
-0.04% |
2.16% |
1.60% |
Return
After Taxes on Distributions and Sale of Fund
Shares |
0.79% |
2.07% |
1.59% |
Bloomberg
US-Aggregate Bond Index (reflects
no deduction for fees, expenses, or
taxes) |
7.51% |
4.44% |
3.79% |
Average
annual total returns are shown on a before- and after-tax basis for the Fund.
After-tax
returns are calculated using the historical highest individual federal marginal
income tax rates and do not reflect the impact of state and local
taxes. Actual
after-tax returns depend on an investor’s tax situation and may differ from
those shown. After-tax returns shown are not relevant to investors who hold
shares through tax-deferred arrangements, such as 401(k) plans or individual
retirement plans. After-tax returns may exceed the
return before taxes due to an assumed tax benefit from realizing a capital loss
on a sale of shares.
In certain cases, the figure representing
“Return After Taxes on Distributions and Sale of Fund Shares” may be higher than
the other return figures for the same period. A higher after-tax return results
when a capital loss occurs upon redemption and provides an assumed tax benefit
to the investor.
Management
Investment
Advisor.
Millington Securities, Inc. is the Fund’s investment advisor and has selected
its affiliate WBI Investments, Inc. to act as the sub-advisor to the Fund and to
be responsible for its day-to-day investment management.
Portfolio
Managers. The
portfolio managers responsible for the day-to-day management of the Fund are as
follows:
•Steven
Van Solkema, co-portfolio manager. After working for the Advisor since 2014, Mr.
Van Solkema joined the Sub-Advisor in 2019 and is its President and Chief
Investment Officer. He has been a portfolio manager of the Fund since
2019.
•Don
Schreiber, Jr., co-portfolio manager. Mr. Schreiber founded the Sub-Advisor in
1984 and is its Founder and Co-Chief Executive Officer. He has been a portfolio
manager of the Fund since 2014.
Purchase
and Sale of Shares
Unlike
conventional mutual funds, the Fund issues and redeems Shares on a continuous
basis at NAV only in Creation Units comprised of blocks of 50,000 Shares, or
whole multiples thereof. Only a broker-dealer (“Authorized
Participant”)
that enters into an appropriate agreement with the Fund’s distributor may engage
in such creation and redemption transactions directly with the Fund. The Fund’s
Creation Units generally are issued and redeemed “in-kind,” for securities in
the Fund, but may also be issued and redeemed in cash. Retail investors may
acquire Shares on the NYSE Arca through a broker-dealer. Shares of the Fund will
trade at market price rather than NAV. As such, Shares may trade at a price
greater than NAV (premium) or less than NAV (discount).
Tax
Information
The
Fund’s distributions are taxable and will generally be taxed as ordinary income
or capital gains.
Financial
Intermediary Compensation
If
you purchase Shares of the Fund through a broker-dealer or other financial
intermediary (such as a bank), the Sub-Advisor may pay the intermediary for the
sale of Shares and related services. These payments may create a conflict of
interest by influencing the broker-dealer or other intermediary and your
salesperson to recommend the Fund over another investment. Ask your salesperson
or visit your financial intermediary’s website for more
information.
WBI
POWER FACTOR®
HIGH DIVIDEND ETF
Investment
Objective
The
WBI Power Factor®
High Dividend ETF (the “Fund”)
seeks to provide investment results that correspond to the price and yield
(before fees and expenses) of its underlying index, the Solactive Power
Factor®
High Dividend Index (the “Underlying
Index”).
Fees and
Expenses of the Fund
This
table describes the fees and expenses that you may pay if you buy, hold and sell
shares of the Fund (“Shares”).
You may pay other fees, such as brokerage commission and other fees to financial
intermediaries, which are not reflected in the table and example below.
Investors purchasing Shares on a national securities exchange, national
securities association, or over-the-counter trading system where Shares may
trade from time to time (each, a “Secondary
Market”)
may be subject to customary brokerage commissions charged by their broker that
are not reflected in the table set forth below.
Annual Fund
Operating Expenses (expenses that you pay each year as a percentage of the value
of your investment):
|
|
|
|
|
|
Management
Fee |
0.55% |
Distribution
and/or Service (12b-1) Fees |
0.00% |
Other
Expenses |
0.43% |
Total
Annual Fund Operating Expenses |
0.98% |
Fee
Waiver Reimbursement(1) |
-0.28% |
Total
Annual Fund Operating Expenses After Fee Waiver and/or Expense
Reimbursement |
0.70% |
(1) The Fund’s investment
sub-advisor has agreed to limit the Fund’s Total Annual Fund Operating Expenses
to no
more than 0.70% of
the average daily net assets for the Fund until at least October 31,
2022.
Example.
This example is intended to help
you compare the cost of investing in the Fund with the cost of investing in
other funds. Investors may pay brokerage commissions on their purchases and
sales of exchange-traded fund shares, which are not reflected in the
example.
The example assumes that you invest $10,000
in the Fund for the time periods indicated and then redeem all of your Shares at
the end of those periods. The example also assumes that your investment has a 5%
return each year and that the Fund’s operating expenses remain at current
levels. The return of 5% and estimated expenses are for illustration purposes
only and should not be considered indicators of expected Fund expenses or
performance, which may be greater or less than the estimates.
Although your
actual costs may be higher or lower, based on these assumptions your costs would
be:
|
|
|
|
|
|
|
|
|
|
|
|
1
Year |
3
Years |
5
Years |
10
Years |
$72 |
$284 |
$514 |
$1,176 |
Portfolio
Turnover. The Fund incurs implicit and
explicit transaction costs when it buys and sells securities (or “turns over”
its portfolio). Such costs may include, but are not limited to, market impact,
which is the effect that a market participant has when it buys or sells an
asset, and commissions. A higher portfolio turnover rate may indicate higher
transaction costs and may result in higher taxes when Shares are held in a
taxable account. These costs, which are not reflected in annual Fund operating
expenses or in the example, affect the Fund’s performance. This rate excludes
the value of portfolio securities received or delivered as a result of any
in-kind creations or redemptions of the
Shares. For the fiscal year ended June 30,
2021, the Fund’s portfolio turnover rate was 191% of the average value of its
portfolio.
Principal
Investment Strategies
The
Fund is an exchange-traded fund (“ETF”).
The Fund seeks to achieve its investment objective by attempting to track the
investment results of the Underlying Index, which is maintained and calculated
by Solactive AG (the “Index
Provider”).
The Underlying Index is designed to select securities from the Solactive US
Broad Market Index (the “Parent
Index”)
that exhibit certain yield and fundamental value characteristics. The Parent
Index includes large, mid- and small-cap securities listed in the U.S.,
including approximately the 3,000 largest U.S. companies that are selected and
weighted according to free float market capitalization. The Parent Index is
adjusted semi-annually in May and November. Issuers undergoing initial public
offerings may be added to the Parent Index on a quarterly basis, consistent with
the Parent Index’s selection methodology.
In
particular, the Underlying Index is designed to select equity securities from
the Parent Index with an above-average forecasted dividend yield, scored on the
basis of three fundamental value characteristics (the “Power
Factors®”):
Trailing 12-month diluted earnings from continuing operations to price ratio
(E/P); Trailing 12-month free cash flow to price ratio (FCF/P); and Trailing
12-month sales to price ratio (S/P).
The
Underlying Index is constructed by scoring each ordinary dividend paying, common
stock constituent from the Parent Index both directly and relative to industry
peers using the three Power Factors®
and ranking those securities in descending order according to their dividend
indicated yield. The 50 companies with the largest dividend indicated yield,
subject to certain asset diversification and liquidity requirements, are chosen
as Underlying Index components. Dividend indicated yield is the total prior year
dividend payments of a security expressed as a percentage of the current price
adjusted for market expectations as to next year dividends indicated by related
option premiums and excluding any off-cycle dividend payments. Once a month
(five business days before the last trading day of the month) the Underlying
Index components are screened for dividend cuts or an overall negative outlook
concerning the companies’ dividend policy. If any changes need to be
implemented, the Underlying Index will be adjusted at the close of the last
trading day of the respective month. The composition of the Underlying Index is
adjusted quarterly. The Underlying Index is constructed to limit turnover and
excessive exposure to particular sectors, component weights, or other investment
style factors, such as recently announced or implemented dividend cuts. The
Underlying Index limits component turnover by permitting the retention of
securities that were previously among the top 50 highest scoring securities,
until they are no longer among the 75 highest scoring securities. The Underlying
Index restricts exposure to a particular sector to 20% of the Underlying Index.
The Underlying Index only includes long positions (i.e.,
short positions are impermissible). All component securities of the Underlying
Index are dividend-paying securities whose yields are above the median for
dividend-paying securities in the Parent Index.
The
Underlying Index is maintained and calculated by the Index Provider, which is an
organization that is independent of the Fund, Millington Securities, Inc., the
advisor for the Fund (“Advisor”)
and WBI Investments, Inc., the sub-advisor (“Sub-Advisor”)
to the Fund, and an affiliate of the Advisor. The Index Provider determines the
relative weightings of the securities in the Underlying Index and publishes
information regarding the market value of the Underlying Index.
Under
normal circumstances the Fund will invest at least 80% of its total assets in
the securities of the Underlying Index. The Fund’s 80% investment policy is
non-fundamental and requires 60 days’ prior written notice to shareholders
before it can be changed.
The
Sub-Advisor uses a “passive” or indexing approach to try to achieve the Fund’s
investment objective. Unlike many investment companies, the Fund does not try to
outperform the Underlying Index and does not seek temporary defensive positions
when markets decline or appear overvalued.
The
Fund generally will use a replication strategy. A replication strategy is an
indexing strategy that involves investing in the securities of the Underlying
Index in approximately the same proportions as in the Underlying Index. However,
the Fund may utilize a representative sampling strategy with respect to the
Underlying Index when a replication strategy might be detrimental or
disadvantageous to shareholders, such as when there are practical difficulties
or substantial costs involved in compiling a portfolio of equity securities to
replicate the Underlying Index, in instances in which a security in the
Underlying Index becomes temporarily illiquid, unavailable or less liquid, or as
a result of legal restrictions or limitations (such as tax diversification
requirements) that apply to the Fund but not the Underlying Index.
The
Advisor expects that, over time, the correlation between the Fund’s performance
and that of the Underlying Index, before fees and expenses, will exceed 95%. A
correlation percentage of 100% would indicate perfect correlation. If the Fund
uses a replication strategy, it can be expected to have greater correlation to
the Underlying Index than if it uses a representative sampling
strategy.
The
Fund concentrates its investments (i.e.,
holds 25% or more of its total assets) in a particular industry or sector or
group of industries or sectors to approximately the same extent that the
Underlying Index is concentrated.
Principal
Risks
Investors
in the Fund should be willing to accept a high degree of volatility in the price
of the Shares and the possibility of significant losses. An investment in the
Fund involves a substantial degree of risk and the Fund does not represent a
complete investment program. As with all
investments, you may lose money in the Fund. An investment
in the Fund is not a bank deposit and is not insured or guaranteed by the
Federal Deposit Insurance Corporation or any other government
agency. Therefore, you should consider carefully the following
risks before investing in the Fund. A more complete discussion of Principal
Risks is included under “Description of the Principal Risks of the
Fund.”
Management
Risk - As
the Fund may not fully replicate the Underlying Index or may, in certain
circumstances, use a representative sampling strategy, it is subject to the risk
that the Sub-Advisor’s investment strategy may not produce the intended
results.
Calculation
Methodology Risk - The
Index Provider relies on various sources of information to assess the criteria
of issuers included in the Underlying Index (or its Parent Index), including
information that may be based on assumptions and estimates. Neither the Index
Provider, the Advisor, the Sub-Advisor, nor the Fund can offer assurances that
the Index Provider’s calculation methodology or sources of information will
provide an accurate assessment of included issuers.
Index-Related
Risk - There
is no guarantee that the Fund will achieve a high degree of correlation to the
Underlying Index and therefore achieve its investment objective. Market
disruptions and regulatory restrictions could have an adverse effect on the
Fund’s ability to adjust its exposure to the required levels in order to track
the Underlying Index. Errors in index data, index computations and/or the
construction of the Underlying Index in accordance with its methodology may
occur from time to time and may not be identified and corrected by the Index
Provider for a period of time or at all, which may have an adverse impact on the
Fund and its shareholders.
Investable
Universe of Companies Risk - The
investable universe of companies in which the Fund may invest may be limited. If
a company no longer meets the Index Provider’s criteria for inclusion in the
Underlying Index, the Fund may need to reduce or eliminate its holdings in that
company. The reduction or elimination of the Fund’s holdings in the company may
have an adverse impact on the liquidity of the Fund’s overall portfolio holdings
and on Fund performance.
Portfolio
Turnover Risk - A
high portfolio turnover rate (100% or more) has the potential to result in the
realization and distribution to shareholders of higher capital gains, which may
subject the shareholders to a higher tax liability. A high portfolio turnover
rate also leads to higher transaction costs, which can negatively affect the
Fund’s performance.
Small-
and Medium-Sized Companies Risk - Investing
in securities of small- and medium-capitalization companies may involve greater
volatility than investing in larger and more established companies because
small- and medium-capitalization companies can be subject to more abrupt or
erratic share price changes than larger, more established
companies.
Passive
Investment Risk - The
Fund is not actively managed and the Sub-Advisor does not attempt to take
defensive positions in declining markets. Unlike many investment companies, the
Fund does not utilize an investing strategy that seeks returns in excess of its
Underlying Index. Therefore, it would not necessarily buy or sell a security
unless that security is added or removed, respectively, from the Underlying
Index, even if that security generally is underperforming. Maintaining
investments in securities regardless of market conditions or the performance of
individual securities could cause the Fund’s return to be lower than if the Fund
employed an active strategy.
High
Dividend Yield Stocks Risk - High
yielding stocks are often speculative, high risk investments. These companies
can be paying out more than they can support and may reduce their dividends or
stop paying dividends at any time, which could have a material adverse effect on
the stock price of these companies and the Fund’s performance. Companies with
high dividend yields are often sensitive to changes in interest rates. Interest
rates may go up resulting in a decrease in the value of the securities held by
the Fund.
Cybersecurity
Risk - Failures
or breaches of the electronic systems of the Fund, the Advisor, the Sub-Advisor,
and the Fund’s other service providers, market makers, APs or the issuers of
securities in which the Fund invests have the ability to cause disruptions and
negatively impact the Fund’s business operations, potentially resulting in
financial losses to the Fund and its shareholders. While the Fund has
established business continuity plans and risk management systems seeking to
address system breaches or failures, there are inherent limitations in such
plans and systems. Furthermore, the Fund cannot control the cybersecurity plans
and systems of the Fund’s service providers, market makers, APs or issuers of
securities in which the Fund invests.
Equity
Securities Risk - Common
stocks are susceptible to general stock market fluctuations and to volatile
increases and decreases in value as market confidence in and perceptions of
their issuers change. If the Fund holds common stock or common stock equivalents
of any given issuer, the Fund will generally be exposed to greater risk than if
the Fund held preferred stocks and debt obligations of such issuer. Preferred
securities are subject to issuer-specific and market risks applicable generally
to equity securities, however, unlike common stocks, participation in the growth
of an issuer may be limited. Warrants and rights do not carry with them the
right to dividends or voting rights with respect to the securities that they
entitle their holder to purchase, and they do not represent any rights in the
assets of the issuer.
Issuer
Risk - Fund
performance depends on the performance of individual companies in which the Fund
invests. Changes to the financial condition of any of those companies may cause
the value of their securities to decline and thus have an adverse effect on the
Fund’s performance.
Premium/Discount
Risk - Disruptions
to creations and redemptions, the existence of extreme market volatility or
potential lack of an active trading market for Shares may result in Shares
trading at a significant premium or discount to NAV. If a shareholder purchases
Shares at a time when the market price is at a premium to the NAV or sells
Shares at a time when the market price is at a discount to the NAV, the
shareholder may sustain losses.
Tracking
Error Risk - The
Fund’s return may not match the return of the Underlying Index for a number of
reasons. For example, the Fund incurs operating expenses not applicable to the
Underlying Index, and incurs costs in buying and selling securities, especially
when rebalancing the Fund’s securities holdings to reflect changes in the
composition of the Underlying Index. In addition, the performance of the Fund
and the Underlying Index may vary due to asset valuation differences and
differences between the Fund’s portfolio and the Underlying Index resulting from
legal restrictions, costs or liquidity constraints.
Valuation
Risk - The
sales price the Fund could receive for a security may differ from the Fund’s
valuation of the security and may differ from the value used by the Underlying
Index, particularly for securities that trade in low value or volatile markets
or that are valued using a fair value methodology. The value of the securities
in the Fund’s portfolio may change on days when shareholders will not be able to
purchase or sell the Fund’s Shares.
Secondary
Market Trading Risk - Investors
buying or selling Shares in the secondary market may pay brokerage commissions,
which may be a significant proportional cost for investors seeking to buy or
sell relatively small amounts of Shares. Although Shares are expected to be
listed on the Exchange, there can be no assurance that an active or liquid
trading market for them will develop or be maintained. In addition, trading in
Shares on the Exchange may be halted.
Authorized
Participant Concentration Risk - The
Fund has a limited number of financial institutions that may act as Authorized
Participants (“APs”)
to create and redeem Fund Shares. To the extent that these APs exit the business
or are unable to process creation and redemption orders and no other AP is able
to step forward to create and redeem in either of these cases, then Fund Shares
may trade at a discount to NAV and possibly face de-listing.
Concentration
Risk - The
Fund may be susceptible to an increased risk of loss, including losses due to
adverse events that affect the Fund’s investments more than the market as a
whole, to the extent that the Underlying Index (and, therefore, the Fund’s
investments) is concentrated in the securities of a particular issuer or
issuers, country, region, market, industry, group of industries, sector
(including the consumer discretionary sector) or asset class. Market conditions,
interest rates, and economic, regulatory, or financial developments could
significantly affect a single industry or a group of related industries, and the
securities of companies in that industry or group of industries could react
similarly to these or other developments. From time to time, the Fund may invest
a significant percentage of its assets in issuers in a single industry (or the
same group of industries) or sector of the economy.
Consumer
Discretionary Risk - The
consumer discretionary sector includes companies that sell nonessential goods
and services, including the retail, leisure and entertainment, media and
automotive industries. These industries are particularly sensitive to changes in
consumer spending and preferences. The consumer discretionary sector can be
significantly affected by the performance of the overall economy, interest
rates, competition and consumer confidence. In addition, companies
in
the consumer discretionary sector depend heavily on disposable household income
and consumer spending, and may be strongly affected by social trends and
marketing campaigns. Changes in demographics and consumer tastes can also affect
the demand for, and success of, consumer discretionary products. The Fund’s
performance may be affected by such susceptibilities if the Fund invests in this
sector.
Risk
of Investing in the United States - The
Fund has significant exposure to U.S. issuers. Certain changes in the U.S.
economy, such as when the U.S. economy weakens, its financial markets decline,
or interest rates increase, may have an adverse effect on the securities to
which the Fund has exposure.
Market
Risk - The
Fund could lose money over short periods due to short-term market movements and
over longer periods during more prolonged market downturns. For example, there
is the risk that sharp price declines in securities owned by the Fund, known as
flash crash risk, may trigger trading halts, which may result in the Fund’s
shares trading in the market at an increasingly large discount to NAV during
part (or all) of a trading day. Local, regional or global events such as war,
acts of terrorism, trade and tariff disputes, epidemics, pandemics or other
public health issue, recessions, or other events could have a significant and
protracted impact on the Fund and its investments and could result in increased
premiums or discounts to the Fund’s net asset value.
Share
Trading Price Risk - Although
it is expected that generally the exchange price of the Shares will approximate
the Fund’s NAV, there may be times when the market price of Shares in the
Secondary Market and the Fund’s NAV vary significantly.
Shares
are Not Individually Redeemable - Shares
are only redeemable by the Fund at NAV if they are tendered in large blocks
known as “Creation Units” which are expected to be worth in excess of $1 million
each. Only Authorized Participants (as defined below) may engage in such
creation and redemption transactions directly with the Fund. Individual Shares
may be sold on a stock exchange at their current market prices, which may be
less, more, or equal to their NAV.
Performance
Information
The following
performance information indicates some of the risks of investing in the Fund.
The bar chart shows the Fund’s performance for the calendar year ended December
31. The table illustrates how the Fund’s average annual returns for the 1-year
and since inception periods compare with those the underlying index and a broad
measure of market performance. The Fund’s
past performance, before and after taxes, does not necessarily indicate how it
will perform in the future. Updated performance information is
available on www.wbietfs.com,
the Fund’s “Website,” or by calling the Fund toll-free at (855) WBI‑ETFS or
(855)
924-3837.
Calendar Year
Total Return
For the year-to-date
period ended September 30, 2021, the
Fund’s total return was 21.51%. During the period of time
shown in the bar chart, the Fund’s highest
quarterly return was 24.53% for the quarter ended
June 30, 2020, and the
lowest
quarterly return was -41.19% for the quarter
ended March 31,
2020.
|
|
|
|
|
|
|
|
|
Average
Annual Total Returns For the Period Ended December 31,
2020 |
|
|
WBI
Power Factor®
High Dividend ETF |
1
Year |
Since
Inception (12/19/2016) |
Return
Before Taxes |
-8.78% |
3.18% |
Return
After Taxes on Distributions |
-10.08% |
1.71% |
Return
After Taxes on Distributions and Sale of Fund
Shares |
-4.58% |
2.24% |
Solactive
Power Factor®
High Dividend GTR Index (reflects
no deduction for fees, expenses, or
taxes) |
-9.70% |
4.36% |
Russell
3000®
Value Index (reflects
no deduction for fees, expenses, or taxes) |
2.87% |
7.40% |
Average
annual total returns are shown on a before- and after-tax basis for the Fund.
After-tax
returns are calculated using the historical highest individual federal marginal
income tax rates and do not reflect the impact of state and local
taxes. Actual
after-tax returns depend on an investor’s tax situation and may differ from
those shown. After-tax returns shown are not relevant to investors who hold
shares through tax-deferred arrangements, such as 401(k) plans or individual
retirement plans. After-tax returns may exceed the
return before taxes due to an assumed tax benefit from realizing a capital loss
on a sale of shares.
In certain cases, the figure representing
“Return After Taxes on Distributions and Sale of Fund Shares” may be higher than
the other return figures for the same period. A higher after-tax return results
when a capital loss occurs upon redemption and provides an assumed tax benefit
to the investor.
Management
Investment
Advisor. Millington
Securities, Inc. is the Fund’s investment advisor and has selected its affiliate
WBI Investments, Inc. to act as the sub-advisor to the Fund and to be
responsible for the Fund’s day-to-day investment management.
Portfolio
Managers. The
portfolio managers responsible for the day-to-day management of the Fund are as
follows:
•Steven
Van Solkema, co-portfolio manager. After working for the Advisor since 2014, Mr.
Van Solkema joined the Sub-Advisor in 2019 and is its President and Chief
Investment Officer. He has been a portfolio manager of the Fund since
2019.
•Don
Schreiber, Jr., co-portfolio manager. Mr. Schreiber founded the Sub-Advisor in
1984 and is its Founder and Co-Chief Executive Officer. He has been a portfolio
manager of the Fund since 2016.
Purchase
and Sale of the Shares
Unlike
conventional mutual funds, the Fund issues and redeems Shares on a continuous
basis at NAV only in Creation Units comprised of blocks of 50,000 Shares, or
whole multiples thereof. Only a broker-dealer (“Authorized
Participant”)
that enters into an appropriate agreement with the Fund’s Distributor (as
defined below) may engage in such creation and redemption transactions directly
with the Fund. The Fund’s Creation Units generally are issued and redeemed
“in-kind,” for securities in the Fund, but may also be issued and redeemed in
cash. Retail investors may only acquire Shares on the NYSE Arca through a
broker-dealer. Shares of the Fund will trade at market price rather than NAV. As
such, Shares may trade at a price greater than NAV (premium) or less than NAV
(discount).
Tax
Information
The
Fund’s distributions are taxable and will generally be taxed as ordinary income
or capital gains.
Financial
Intermediary Compensation
If
you purchase Shares of the Fund through a broker-dealer or other financial
intermediary (such as a bank), the Sub-Advisor may pay the intermediary for the
sale of Shares and related services. These payments may create a conflict of
interest by influencing the broker-dealer or other intermediary and your
salesperson to recommend the Fund over another investment. Ask your salesperson
or visit your financial intermediary’s website for more
information.
WBI BULLBEAR
TREND SWITCH US 1000 ETF
Investment
Objective
The
WBI BullBear Trend Switch US 1000 ETF’s (the “Fund”)
investment objective is to seek long-term capital appreciation, with the
potential for current income, while also seeking to protect principal during
unfavorable market conditions.
Fees and
Expenses of the Fund
This
table describes the fees and expenses that you may pay if you buy, hold and sell
shares of the Fund (“Shares”).
You may pay other fees, such as brokerage commission and other fees to financial
intermediaries, which are not reflected in the table and example below.
Investors purchasing Shares on a national securities exchange, national
securities association or over-the-counter trading system where Shares may trade
from time to time (each, a “Secondary
Market”)
may be subject to customary brokerage commissions charged by their broker that
are not reflected in the table set forth below.
Annual Fund
Operating Expenses (expenses that you pay each year as a percentage of the value
of your investment):
|
|
|
|
|
|
Management
Fee |
0.65% |
Distribution
and/or Service (12b-1) Fees |
0.00% |
Other
Expenses(1) |
0.00% |
Acquired
Fund Fees and Expenses(2) |
0.03% |
Total
Annual Fund Operating Expenses |
0.68% |
(1)Because the Fund has not
yet commenced operations, “Other Expenses” are based on the estimated expenses
for the current fiscal year.
(2)The Fund has not yet
commenced operations and Acquired Fund Fees and Expenses are based on estimated
amounts, on an annualized basis, for the current fiscal year. Acquired
Funds Fees & Expenses represent the Fund’s pro rata share of fees and
expenses incurred indirectly as a result of investing in other funds, including
ETFs and money market funds.
Example.
This example is intended to help
you compare the cost of investing in the Fund with the cost of investing in
other funds. Investors may pay brokerage commissions on their purchases
and sales of exchange-traded fund shares, which are not reflected in the
example.
The example assumes that you invest $10,000
in the Fund for the time periods indicated and then redeem all of your Shares at
the end of those periods. The example also assumes that your investment has a 5%
return each year and that the Fund’s operating expenses remain at current
levels. The return of 5% and estimated expenses are for illustration purposes
only and should not be considered indicators of expected Fund expenses or
performance, which may be greater or less than the estimates.
Although your
actual costs may be higher or lower, based on these assumptions your costs would
be:
Portfolio
Turnover. The Fund incurs implicit and
explicit transaction costs when it buys and sells securities (or “turns over”
its portfolio). Such costs may include, but are not limited to, market impact,
which is the effect that a market participant has when it buys or sells an
asset, and commissions. A higher portfolio turnover rate may indicate
higher transaction costs and may result in higher taxes when Shares are held in
a taxable account. These costs, which are not reflected in annual Fund
operating expenses or in the example,
affect the Fund’s performance. This rate excludes the value of portfolio
securities received or delivered as a result of any in-kind creations or
redemptions of the Fund’s Shares. Because the Fund is newly organized, portfolio
turnover information is not yet available.
Principal
Investment Strategies
The
Fund uses a rules-based methodology to implement a systematic strategy that
directs exposure to either (i) U.S. large-capitalization equity securities, that
WBI Investments, Inc., the sub-advisor (“Sub-Advisor”)
to the Fund and an affiliate of Millington Securities, Inc., the advisor
(“Advisor”),
believes offer the potential for a high correlation to the performance of the
broader U.S. large-capitalization equities market; or (ii) cash or cash
equivalents. The Fund’s exposure direction is driven by the Sub-Advisor’s
proprietary rules-based equity model (the “Equity
Model”)
which utilizes a systematic approach analyzing macro-economic factors and
technical market trends including, among others, those relating to monetary
policy, valuation, sentiment and change in interest rates, to assess risk and
generate their signals, and is described further below. Since cash and cash
equivalents are among the investment opportunities evaluated by the Equity
Model, the Fund may invest in and hold most, if not all, of its net assets in
cash or cash equivalents as part of the normal operation of its investment
strategy.
When
the Fund is invested in equity securities it will invest in U.S.
large-capitalization equity securities, and ETFs or ETNs with exposure to U.S.
large-capitalization equity securities. Large-capitalization companies are those
that have higher market capitalization than small- and medium-capitalization
companies in their primary market when ranked in order of market capital. For
publicly-traded U.S. companies in the current environment, this would include
companies with market capitalizations of greater than approximately $10 billion.
When the Fund is not invested in equity securities, it will invest solely in
cash and cash equivalents. Cash equivalents are short-term, highly liquid
investments with a maturity date that was three (3) months or less at the time
of purchase.
The
investment process used for the Fund attempts to provide consistent, attractive
returns net of expenses with potentially less volatility and risk to capital
than traditional approaches, whatever market conditions may be. This is the
Fund’s definition of an absolute return approach to investment management, and
such an approach is used (in part) to achieve the Fund’s investment
objective.
The
Fund uses the Equity Model, which directs exposure exclusively to either the
equity securities of U.S. large-capitalization companies or exclusively to cash
or cash equivalents. The purpose of the Equity Model is to assess conditions
likely to affect the relative performance of the large-capitalization companies’
segment of the equity market with respect to its sensitivity to the then current
level of market risk and respond to only those investment environments that are
likely to produce significant changes in market performance. The Equity Model
signals indicate whether market conditions call for the Fund to remain in either
of its possible exposure positions. The Fund may remain in a particular exposure
position for an extended period of time. The Fund will change its exposure
position based on the Equity Indicator of the Equity Model, and each change will
become effective on the business day after the indicator signals
change.
The
Equity Model is used by the Sub-Advisor to determine when the risk of investing
in the U.S. large-capitalization equity market is high or low. The Equity Model
relies on quantitative methods to assist the Sub-Advisor in forming its view of
the risk associated with investment exposure to the U.S. large-capitalization
equity market at any given time.
When
the Equity Model signals that risk is low, this indicates that the Fund should
have investment exposure to U.S. large-capitalization equities. When the Equity
Model signals that risk is high, this indicates that the Fund should have
investment exposure to cash or cash equivalents.
The
various quantitative methods and analysis utilized in the Sub-Advisor’s Equity
Model are based on numerous factors which may affect the value of a security or
a broader group of securities. Primary factors evaluated by the Equity Model
include:
•Macroeconomic
(economy and industry conditions)
•Momentum
(measurements of the rate-of-change in security prices)
•Sentiment
(perception and beliefs of individuals regarding future
expectations)
•Fundamental
(company and industry valuation conditions), and
•Technical
(indicators based upon historical security prices, volume and
liquidity)
The
Equity Model uses statistical forecasting techniques, such as regression
analysis, to examine the relationship and influence that these factors may have
on the risk associated with an investment in the U.S. large-capitalization
equity market.
The
Fund seeks to achieve its investment objective by implementing the Equity
Indicator’s recommendations and principally investing directly in the following
different types of instruments:
•U.S.
large-capitalization equities, and cash or cash equivalents (“Direct
Investments”)
which are:
◦equity
securities including common stocks, preferred stocks, rights, warrants,
convertibles, and shares of real estate investment trusts (“REITs”);
and
◦cash
and cash equivalents including money market accounts, U.S. Treasury Bills, and
commercial paper;
•Registered
fund shares (“investment company shares”) where such funds’ portfolios primarily
contain Direct Investments. Investment company shares through which the Fund
obtains indirect exposure to Direct Investments include those issued by mutual
funds and exchange-traded funds (“ETFs”);
and
•Exchange-traded
notes (“ETNs”)
and listed and over-the-counter (“OTC”)
derivatives whose performance is designed to track the performance of Direct
Investments (such derivatives together with ETNs and investment company shares
are referred to as “Indirect Investments”). Indirect Investments may include
gaining exposure to Direct Investments through listed and OTC derivatives,
including:
◦futures
contracts, swap agreements, and forward contracts; and
◦options
on securities, indices, and futures contracts.
The
Fund is an actively managed ETF. The Sub-Advisor actively manages the Fund’s
portfolio. As a result, the portfolio turnover rate for the Fund,
especially during periods of significant volatility, may be high. The
Sub-Advisor expects that the Fund’s investment strategy will result in a
portfolio turnover rate in excess of 100% on an annual basis. Since the Fund’s
principal investment strategy is expected to result in a higher annual portfolio
turnover rate than that of many other investment companies, the Fund may
experience higher portfolio transaction costs and Shares held in taxable
accounts may incur higher taxes than what may be experienced by other investment
companies and their shares.
The
Fund is considered to be diversified.
For
additional information about the Fund’s principal investment strategies and the
investment process, see “Description of the Principal Strategies of the
Funds.”
Principal
Risks
Investors
in the Fund should be willing to accept a high degree of volatility in the price
of the Fund’s Shares and the possibility of significant losses. An investment in
the Fund involves a substantial degree of risk and the Fund does not represent a
complete investment program. As with all
investments, you may lose money in the Fund. An investment
in the Fund is not a bank deposit, is not insured or guaranteed by the FDIC or
any government agency, and may lose value. Therefore, you should
consider carefully the following risks before investing in the Fund. A more
complete discussion of Principal Risks is included under “Description of the
Principal Risks of the Funds.”
Losing
all or a portion of your investment is a risk of investing in the Fund. The
following risks could affect the value of your investment. You should understand
these risks before investing.
Cash
Position Risk
- If the Fund invests all or a substantial portion of its assets in cash or cash
equivalents for extended periods of time, including when it is investing for
temporary defensive purposes, it could reduce the Fund’s potential return and
prevent the Fund from achieving its investment objective as the limited returns
of cash or cash equivalents may lag other investment instruments.
Management
Risk -
An investment in the Fund varies with the success and failure of the
Sub-Advisor’s investment process and strategies and the Sub-Advisor’s research,
analysis, and determination of portfolio securities. If the Sub-Advisor’s
investment process and strategies, including its quantitative models, do not
produce the expected results, the market value or NAV of the Shares would
decrease.
Quantitative
Model Risk - The
Sub-Advisor uses quantitative models in an effort to enhance returns and manage
risk. Any imperfections, errors or limitations in these models could limit any
benefit to the Fund from the use of the models, or could result in incorrect
outputs or in investment outcomes different from or opposite to those expected
or desired by the Sub-Advisor. There can be no assurance that the models will
behave as expected in all market conditions. In addition, computer programming
used to create quantitative models, or the data on which such models operate,
might contain one or more errors.
Portfolio
Turnover Risk - A
high portfolio turnover rate (100% or more) has the potential to result in the
realization and distribution to shareholders of higher capital gains, which may
subject the shareholders to a higher tax liability. A high portfolio turnover
rate also leads to higher transaction costs, which can negatively affect the
Fund’s performance.
Model
Risk - The
Fund’s investment process includes the use of proprietary models and analysis
methods developed by the Sub-Advisor, and data provided by third parties. Third
party data and information used in models and analysis is obtained from sources
believed to be reliable, however inaccurate data could adversely affect the
effectiveness of the resulting investment implementation on the Fund’s
performance. There can be no assurance that any particular model or investment
strategy, including those devised by the Sub-Advisor, will be profitable for the
Fund, and may result in a loss of principal.
Investment
Style Risk - The
prices of bonds in the Fund’s portfolio may fall or fail to rise over extended
periods of time for a variety of reasons, including both general financial
market conditions and factors related to a specific issuer or industry. These
risks are generally greater for small and medium-sized companies. The Fund may
invest in securities, directly or indirectly, that are susceptible to specific
investment risks.
Trend
Lag Risk -
Trend indicator signal changes pursuant to which Fund exposure and investments
are determined, are designed to become effective in the Fund the business day
following the indicator signal. As a result of this, the Fund may be exposed to
downward trends and/or market volatility and may not achieve immediate exposure
to upward trends and/or market volatility.
Fundamental
Business Risk -
Companies with apparently attractive financial conditions and prospects for
ongoing financial stability may experience adverse business conditions specific
to their industry or enterprise that cause their financial condition and
prospects to deteriorate. The Fund’s investments in companies that experience
negative developments in their financial condition may lose value relative to
the stocks of other companies, causing the Fund to underperform funds that do
not invest in companies primarily on the basis of their underlying financial
condition.
Equity
Options Risk - Options
on securities may be subject to greater fluctuations in value than an investment
in the underlying securities. Purchasing and writing put and call options are
highly specialized activities and entail greater than ordinary investment risks.
The successful use of options depends in part on the ability of the Sub-Advisor
to manage future price fluctuations and the degree of correlation between the
options and securities (or currency) markets. By writing put options on equity
securities, the Fund would give up the opportunity to benefit from potential
increases in the value of the common stocks above the strike prices of the
written put options, but continues to bear the risk of declines in the value of
its common stock portfolio. The Fund will receive a premium from writing a
covered call option that it retains whether or not the option is exercised. The
premium received from the written options may not be sufficient to offset any
losses sustained from the volatility of the underlying equity securities over
time.
Equity
Securities Risk - Common
stocks are susceptible to general stock market fluctuations and to volatile
increases and decreases in value as market confidence in and perceptions of
their issuers change. If the Fund holds common stock or common stock equivalents
of any given issuer, it will generally be exposed to greater risk than if the
Fund held preferred stocks and debt obligations of such issuer. Preferred
securities are subject to issuer-specific and market risks applicable generally
to equity securities, however, unlike common stocks, participation in the growth
of an issuer may be limited. Warrants and rights do not carry with them the
right to dividends or voting rights with respect to the securities that they
entitle their holder to purchase, and they do not represent any rights in the
assets of the issuer.
Derivatives
Risk -
A derivative is a financial contract, the value of which depends on, or is
derived from, the value of an underlying asset, such as a security, a commodity
(such as gold or silver), a currency or an index (a measure of value or rates,
such as the S&P 500® or the prime lending rate). The Fund may invest in
futures contracts, swap agreements, forward contracts and options on securities,
indices, and futures contracts. Compared to conventional securities, derivatives
can be more sensitive to changes in interest rates or to sudden fluctuations in
market prices and thus the Fund’s losses may be greater if it invests in
derivatives than if it invests only in conventional securities. Derivatives are
also subject to counterparty risk, which is the risk that the other party in the
transaction will not fulfill its contractual obligations. Derivatives generally
involve the incurrence of leverage. To address such leverage and to prevent the
Fund from being deemed to have issued senior securities as a result of an
investment
in derivatives, the Fund will segregate liquid assets equal to its obligations
under the derivatives throughout the life of the investment.
ETF
and Other Investment Companies Risk -
When the Fund invests in another ETF or other investment company (e.g.,
mutual fund, closed-end fund, business development company), it will bear
additional expenses based on its pro rata share of such investment company’s
operating expenses, including the potential duplication of management fees. The
risk of owning an ETF or other investment company generally reflects the risks
of owning the underlying securities and other assets held by the ETF or other
investment company. The Fund also will incur brokerage costs when it purchases
ETFs and other exchange-listed investment companies. Additionally, the Fund will
be indirectly exposed to the risks of the portfolio assets held by an ETF or
other investment company, including but not limited to those of ETNs, equity
options, derivatives, currencies, index, leverage, and replication
management.
Exchange-Traded
Note Risk -
The value of an ETN may be influenced by the time remaining before its maturity,
level of supply and demand for the ETN, volatility and lack of liquidity in
underlying securities’ markets, changes in the applicable interest rates,
changes in the issuer’s credit rating, and economic, legal, political, or
geographic events that affect the referenced index. In addition, the notes
issued by ETNs and held by a fund are unsecured debt of the issuer.
REIT
Risk - Investments
in REITs will be subject to the risks associated with the direct ownership of
real estate. Risks commonly associated with the direct ownership of real estate
include fluctuations in the value of underlying properties, defaults by
borrowers or tenants, changes in interest rates and risks related to general or
local economic conditions. REITs are more dependent upon specialized management
skills, have limited diversification and are, therefore, generally dependent on
their ability to generate cash flow to make distributions to shareholders. REITs
are subject to complex tax qualification and compliance rules. In addition,
REITs have their own expenses, and therefore Fund shareholders will indirectly
bear a proportionate share of the expenses of REITs in which the Fund
invests.
Counterparty
Risk - Many
of the protections afforded to participants on some organized exchanges, such as
the performance guarantee of an exchange clearing house, are not available in
connection with the over-the-counter (“OTC”)
derivatives transactions. In those instances, another ETF holding such
derivatives (in which the Fund invests) will be subject to the risk that its
direct counterparty will not perform its obligations under the transactions and
that such ETF will sustain losses.
Government
Obligations Risk -
The Fund may invest in securities issued by the U.S. government. There can be no
guarantee that the United States will be able to meet its payment obligations
with respect to such securities. Additionally, market prices and yields of
securities supported by the full faith and credit of the U.S. government may
decline or be negative for short or long periods of time.
Liquidity
Risk -
The Fund’s investments are subject to liquidity risk, which exists when an
investment is or becomes difficult to purchase or sell. If a transaction is
particularly large or if the relevant market is or becomes illiquid, it may not
be possible to initiate a transaction or liquidate a position at an advantageous
time or price, which may cause the Fund to suffer significant losses and
difficulties in meeting redemptions. If a number of securities held by the Fund
halt trading, such as due to an exchange’s limit-up, limit-down rules, it may
have a cascading effect and cause the Fund to halt trading. Volatility in market
prices will increase the risk of the Fund being subject to a trading
halt.
Authorized
Participant Concentration Risk -
The Fund has a limited number of financial institutions that may act as
Authorized Participants (“APs”)
to create and redeem Fund Shares. To the extent that these APs exit the business
or are unable to process creation and redemption orders and no other AP
is
able to step forward to create and redeem in either of these cases, there may be
a significantly diminished trading market for the Fund’s Shares and such Shares
may trade at a discount to NAV and possibly face de-listing.
Market
Risk -
Either the stock market as a whole or the value of an investment held by the
Fund may go down, resulting in a decrease in the market value or NAV of the
Shares. For example, there is the risk that sharp price declines in securities
owned by the Fund, known as flash crash risk, may trigger trading halts, which
may result in the Fund’s Shares trading in the market at an increasingly large
discount to NAV during part (or all) of a trading day. Local, regional or global
events such as war, acts of terrorism, trade and tariff disputes, epidemics,
pandemics or other public health issue, recessions, or other events could have a
significant and protracted impact on the Fund and its investments and could
result in increased premiums or discounts to the Fund’s net asset
value.
Share
Trading Price Risk - The
Shares of the Funds are listed for trading on the NYSE Arca and will be bought
and sold in the Secondary Market at market prices. Although it is expected that
generally the exchange price of the Fund’s Shares will approximate the Fund’s
NAV, there may be times when the exchange price and the NAV vary significantly.
Thus, you may pay more than NAV when you buy Shares in the Secondary Market, and
you may receive less than NAV when you sell those Shares in the Secondary
Market.
The
market price of Shares during the trading day, like the price of any
exchange-traded security, includes a “bid/ask” spread charged by the exchange
specialist, market makers, or other participants that trade the Shares. In times
of severe market disruption, the bid/ask spread can increase significantly. At
those times, Shares are most likely to be traded at a discount to NAV, and the
discount is likely to be greatest when the price of Shares is falling fastest,
which may be the time that you most want to sell your Shares. The Sub-Advisor
believes that, under normal market conditions, large market price discounts or
premiums to NAV will not be sustained because of arbitrage
opportunities.
Shares
of the Fund May Trade at Prices Other Than NAV -
There is no obligation by any market maker to make a market in the Fund’s shares
or by any AP to submit creation or redemption orders. Decisions by market makers
or APs to reduce or step away from the Fund in a time of market stress could
inhibit the arbitrage process by which a relationship between the Fund’s NAV per
share and the market trading price of the shares is maintained. Thus, reduced
effectiveness of the arbitrage function could result in Fund shares trading at a
discount to NAV per share and also with greater than normal intra-day bid/ask
spreads.
Shares
are Not Individually Redeemable -
Shares are only redeemable by the Fund at NAV if they are tendered in large
blocks known as “Creation Units” which are expected to be worth in excess of $1
million each. Only APs may engage in such creation and redemption transactions
directly with the Fund. Individual Shares may be sold on a stock exchange at
their current market prices, which may be less, more, or equal to their NAV.
There can be no assurance that an active trading market will be maintained for
the Shares.
Performance
Information
As of the date
of this Prospectus, the Fund has not yet commenced operations and therefore does
not report its performance information. When the Fund has been in operation for
one full calendar year, performance information will be shown
here. Updated performance information will be available on
www.wbietfs.com
or by calling the Fund toll-free at (855) WBI-ETFS or (855)
924-3837.
Management
Investment
Advisor.
Millington Securities, Inc. is the Fund’s investment advisor and has selected
its affiliate WBI Investments, Inc. to act as the sub-advisor to the Fund and to
be responsible for its day-to-day investment management.
Portfolio
Managers.
The portfolio managers responsible for the day-to-day management of the Fund are
as follows:
•Steven
Van Solkema, co-portfolio manager. After working for the Advisor since 2014, Mr.
Van Solkema joined the Sub-Advisor in 2019 and is its President and Chief
Investment Officer. He has been a portfolio manager of the Fund since
inception.
•Don
Schreiber, Jr., co-portfolio manager. Mr. Schreiber founded the Sub-Advisor in
1984 and is its Founder and Co-Chief Executive Officer. He has been a portfolio
manager of the Fund since inception.
Purchase
and Sale of Shares
Unlike
conventional mutual funds, the Fund issues and redeems Shares on a continuous
basis at NAV only in Creation Units comprised of blocks of 25,000 Shares, or
whole multiples thereof. Only a broker-dealer (“Authorized
Participant”)
that enters into an appropriate agreement with the Fund’s distributor may engage
in such creation and redemption transactions directly with the Fund. The
Fund’s Creation Units generally are issued and redeemed “in-kind,” for
securities in the Fund, but may also be issued and redeemed in cash. Retail
investors may acquire Shares on the NYSE Arca through a broker-dealer. Shares of
the Fund will trade at market price rather than NAV. As such, Shares may trade
at a price greater than NAV (premium) or less than NAV (discount).
Tax
Information
The
Fund’s distributions are taxable and will generally be taxed as ordinary income
or capital gains.
Financial
Intermediary Compensation
If
you purchase Shares of the Fund through a broker-dealer or other financial
intermediary (such as a bank), the Sub-Advisor may pay the intermediary for the
sale of Shares and related services. These payments may create a conflict of
interest by influencing the broker-dealer or other intermediary and your
salesperson to recommend the Fund over another investment. Ask your salesperson
or visit your financial intermediary’s website for more
information.
WBI BULLBEAR
TREND SWITCH US 2000 ETF
Investment
Objective
The
WBI BullBear Trend Switch US 2000 ETF’s (the “Fund”)
investment objective is to seek long-term capital appreciation, with the
potential for current income, while also seeking to protect principal during
unfavorable market conditions.
Fees and
Expenses of the Fund
This
table describes the fees and expenses that you may pay if you buy, hold and sell
shares of the Fund (“Shares”).
You may pay other fees, such as brokerage commission and other fees to financial
intermediaries, which are not reflected in the table and example below.
Investors purchasing Shares on a national securities exchange, national
securities association, or over-the-counter trading system where Shares may
trade from time to time (each, a “Secondary
Market”)
may be subject to customary brokerage commissions charged by their broker that
are not reflected in the table set forth below.
Annual Fund
Operating Expenses (expenses that you pay each year as a percentage of the value
of your investment):
|
|
|
|
|
|
Management
Fee |
0.65% |
Distribution
and/or Service (12b-1) Fees |
0.00% |
Other
Expenses(1) |
0.00% |
Acquired
Fund Fees and Expenses(2) |
0.03% |
Total
Annual Fund Operating Expenses |
0.68% |
(1)Because the Fund has not
yet commenced operations, “Other Expenses” are based on the estimated expenses
for the current fiscal year.
(2)The Fund has not yet
commenced operations and Acquired Fund Fees and Expenses are based on estimated
amounts, on an annualized basis, for the current fiscal year. Acquired
Funds Fees & Expenses represent the Fund’s pro rata share of fees and
expenses incurred indirectly as a result of investing in other funds, including
ETFs and money market funds.
Example.
This example is intended to help
you compare the cost of investing in the Fund with the cost of investing in
other funds. Investors may pay brokerage commissions on their purchases
and sales of exchange-traded fund shares, which are not reflected in the
example.
The example assumes that you invest $10,000
in the Fund for the time periods indicated and then redeem all of your Shares at
the end of those periods. The example also assumes that your investment has a 5%
return each year and that the Fund’s operating expenses remain at current
levels. The return of 5% and estimated expenses are for illustration purposes
only and should not be considered indicators of expected Fund expenses or
performance, which may be greater or less than the estimates.
Although your
actual costs may be higher or lower, based on these assumptions your costs would
be:
Portfolio
Turnover.
The Fund incurs implicit and
explicit transaction costs when it buys and sells securities (or “turns over”
its portfolio). Such costs may include, but are not limited to, market impact,
which is the effect that a market participant has when it buys or sells an
asset, and commissions. A higher portfolio turnover rate may indicate
higher transaction costs and may result in higher taxes when Shares are held in
a taxable account. These costs, which are not reflected in annual Fund operating
expenses or in the example, affect the Fund’s performance. This rate excludes
the value of
portfolio securities received or delivered
as a result of any in-kind creations or redemptions of the Fund’s Shares.
Because the Fund is newly organized, portfolio turnover information is not yet
available.
Principal
Investment Strategies
The
Fund uses a rules-based methodology to implement a systematic strategy that
directs exposure to either (i) U.S. small and medium-sized capitalization equity
securities, that WBI Investments, Inc., the sub-advisor (“Sub-Advisor”)
to the Fund and an affiliate of Millington Securities, Inc., the advisor
(“Advisor”),
believes offer the potential for a high correlation to the performance of the
broader U.S. small and medium-sized capitalization equities market; or (ii) cash
or cash equivalents. The Fund’s exposure direction is driven by the
Sub-Advisor’s proprietary rules-based equity model (the “Equity
Model”)
which utilizes a systematic approach analyzing macro-economic factors and
technical market trends including, among others, those relating to monetary
policy, valuation, sentiment and change in interest rates, to assess risk and
generate their signals, and is described further below. Since cash and cash
equivalents are among the investment opportunities evaluated by the Equity
Model, the Fund may invest in and hold most, if not all, of its net assets in
cash or cash equivalents as part of the normal operation of its investment
strategy.
When
the Fund is invested in equity securities it will invest in U.S. small and
medium-sized capitalization equity securities, and ETFs or ETNs with exposure to
U.S. small and medium-sized capitalization equity securities.
Small-capitalization and medium-sized capitalization companies are those that
have lower market capitalization than large-capitalization companies in their
primary market. For publicly-traded U.S. companies in the current environment,
this would include companies with market capitalizations of less than
approximately $10 billion. When the Fund is not invested in equity securities,
it will invest solely in cash and cash equivalents. Cash equivalents are
short-term, highly liquid investments with a maturity date that was three (3)
months or less at the time of purchase. The investment process used for the Fund
attempts to provide consistent, attractive returns net of expenses with
potentially less volatility and risk to capital than traditional approaches,
whatever market conditions may be. This is the Fund’s definition of an absolute
return approach to investment management, and such an approach is used (in part)
to achieve the Fund’s investment objective.
The
Fund uses the Equity Model, which directs exposure exclusively to either the
equity securities of U.S. small and medium-sized capitalization companies or
exclusively to cash or cash equivalents. The purpose of the Equity Model is to
assess conditions likely to affect the relative performance of the small and
medium-sized capitalization companies’ segment of the equity market with respect
to its sensitivity to the then current level of market risk and respond to only
those investment environments that are likely to produce significant changes in
market performance. The Equity Model signals indicate whether market conditions
call for the Fund to remain in either of its possible exposure positions. The
Fund may remain in a particular exposure position for an extended period of
time. The Fund will change its exposure position based on the Equity Indicator
of the Equity Model, and each change will become effective on the business day
after the indicator signals change.
The
Equity Model is used by the Sub-Advisor to determine when the risk of investing
in the U.S. small and medium-sized capitalization equity market is high or low.
The Equity Model relies on quantitative methods to assist the Sub-Advisor in
forming its view of the risk associated with investment exposure to the U.S.
small and medium-sized capitalization equity market at any given
time.
When
the Equity Model signals that risk is low, this indicates that the Fund should
have investment exposure to U.S. small and medium-sized capitalization equities.
When the Equity Model signals that risk is high, this indicates that the Fund
should have investment exposure to cash or cash
equivalents.
The
various quantitative methods and analysis utilized in the Sub-Advisor’s Equity
Model are based on numerous factors which may affect the value of a security or
a broader group of securities. Primary factors evaluated by the Equity Model
include:
•Macroeconomic
(economy and industry conditions)
•Momentum
(measurements of the rate-of-change in security prices)
•Sentiment
(perception and beliefs of individuals regarding future
expectations)
•Fundamental
(company and industry valuation conditions), and
•Technical
(indicators based upon historical security prices, volume and
liquidity)
The
Equity Model uses statistical forecasting techniques, such as regression
analysis, to examine the relationship and influence that these factors may have
on the risk associated with an investment in the U.S. small and medium-sized
capitalization equity market.
The
Fund seeks to achieve its investment objective by implementing the Equity
Indicator’s recommendations and principally investing directly in the following
different types of instruments:
•U.S.
small and medium-sized capitalization equities, and cash or cash equivalents
(“Direct
Investments”)
which are:
◦equity
securities including common stocks, preferred stocks, rights, warrants,
convertibles, and shares of real estate investment trusts (“REITs”);
and
◦cash
and cash equivalents including money market accounts, U.S. Treasury Bills, and
commercial paper; and
•Registered
fund shares (“investment
company shares”)
where such funds’ portfolios primarily contain Direct Investments. Investment
company shares through which the fund obtains in to Direct Investments includes
those issued by mutual funds and exchange-traded funds (“ETFs”);
and
•Exchange-traded
notes (“ETNs”)
and listed and over-the-counter (“OTC”)
derivatives whose performance is designed to track the performance of Direct
Investments (such derivatives together with ETNs and investment company shares
are referred to as “Indirect
Investments”).
Indirect Investments may include gaining exposure to Direct Investments through
listed and OTC derivatives, including:
◦futures
contracts, swap agreements, and forward contracts; and
◦options
on securities, indices, and futures contracts.
The
Fund is an actively managed ETF. The Sub-Advisor actively manages the
Fund’s portfolio. As a result, the portfolio turnover rate for the Fund,
especially during periods of significant volatility, may be high. The
Sub-Advisor expects that the Fund’s investment strategy will result in a
portfolio turnover rate in excess of 100% on an annual basis. Since the Fund’s
principal investment strategy is expected to result in a higher annual portfolio
turnover rate than that of many other investment companies, the Fund may
experience higher portfolio transaction costs and Shares held in taxable
accounts may incur higher taxes than what may be experienced by other investment
companies and their shares.
The
Fund is considered to be diversified.
For
additional information about the Fund’s principal investment strategies and the
investment process, see “Description of the Principal Strategies of the
Funds.”
Principal
Risks
Investors
in the Fund should be willing to accept a high degree of volatility in the price
of the Fund’s Shares and the possibility of significant losses. An investment in
the Fund involves a substantial degree of risk and the Fund does not represent a
complete investment program. As with all
investments, you may lose money in the Fund. An investment
in the Fund is not a bank deposit, is not insured or guaranteed by the FDIC or
any government agency, and may lose value. Therefore, you should
consider carefully the following risks before investing in the Fund. A more
complete discussion of Principal Risks is included under “Description of the
Principal Risks of the Funds.”
Losing
all or a portion of your investment is a risk of investing in the Fund. The
following risks could affect the value of your investment. You should understand
these risks before investing.
Cash
Position Risk -
If the Fund invests all or a substantial portion of its assets in cash or cash
equivalents for extended periods of time, including when it is investing for
temporary defensive purposes, it could reduce the Fund’s potential return and
prevent the Fund from achieving its investment objective as the limited returns
of cash or cash equivalents may lag other investment instruments.
Management
Risk -
An investment in the Fund varies with the success and failure of the
Sub-Advisor’s investment process and strategies and the Sub-Advisor’s research,
analysis, and determination of portfolio securities. If the Sub-Advisor’s
investment process and strategies, including its quantitative models, do not
produce the expected results, the market value or NAV of the Shares would
decrease.
Quantitative
Model Risk - The
Sub-Advisor uses quantitative models in an effort to enhance returns and manage
risk. Any imperfections, errors or limitations in these models could limit any
benefit to the Fund from the use of the models, or could result in incorrect
outputs or in investment outcomes different from or opposite to those expected
or desired by the Sub-Advisor. There can be no assurance that the models will
behave as expected in all market conditions. In addition, computer programming
used to create quantitative models, or the data on which such models operate,
might contain one or more errors.
Portfolio
Turnover Risk - A
high portfolio turnover rate (100% or more) has the potential to result in the
realization and distribution to shareholders of higher capital gains, which may
subject the shareholders to a higher tax liability. A high portfolio turnover
rate also leads to higher transaction costs, which can negatively affect the
Fund’s performance.
Model
Risk - The
Fund’s investment process includes the use of proprietary models and analysis
methods developed by the Sub-Advisor, and data provided by third parties. Third
party data and information used in models and analysis is obtained from sources
believed to be reliable, however inaccurate data could adversely affect the
effectiveness of the resulting investment implementation on the Fund’s
performance. There can be no assurance that any particular model or investment
strategy, including those devised by the Sub-Advisor, will be profitable for the
Fund, and may result in a loss of principal.
Small-
and Medium-Sized Companies Risk - Investing
in securities of small- and medium-capitalization companies may involve greater
volatility than investing in larger and more established companies because
small- and medium-capitalization companies can be subject to more abrupt or
erratic share price changes than larger, more established
companies.
Investment
Style Risk - The
prices of bonds in the Fund’s portfolio may fall or fail to rise over extended
periods of time for a variety of reasons, including both general financial
market conditions and factors related to a specific issuer or industry. These
risks are generally greater for small and medium-sized companies. The Fund may
invest in securities, directly or indirectly, that are susceptible to specific
investment risks.
Trend
Lag Risk - Trend
indicator signal changes pursuant to which Fund exposure and investments are
determined, are designed to become effective in the Fund the business day
following the indicator signal. As a result of this, the Fund may be exposed to
downward trends and/or market volatility and may not achieve immediate exposure
to upward trends and/or market volatility.
Fundamental
Business Risk -
Companies with apparently attractive financial conditions and prospects for
ongoing financial stability may experience adverse business conditions specific
to their industry or enterprise that cause their financial condition and
prospects to deteriorate. The Fund’s investments in companies that experience
negative developments in their financial condition may lose value relative to
the stocks of other companies, causing the Fund to underperform funds that do
not invest in companies primarily on the basis of their underlying financial
condition.
Equity
Options Risk - Options
on securities may be subject to greater fluctuations in value than an investment
in the underlying securities. Purchasing and writing put and call options are
highly specialized activities and entail greater than ordinary investment risks.
The successful use of options depends in part on the ability of the Sub-Advisor
to manage future price fluctuations and the degree of correlation between the
options and securities (or currency) markets. By writing put options on equity
securities, the Fund would give up the opportunity to benefit from potential
increases in the value of the common stocks above the strike prices of the
written put options, but continues to bear the risk of declines in the value of
its common stock portfolio. The Fund will receive a premium from writing a
covered call option that it retains whether or not the option is exercised. The
premium received from the written options may not be sufficient to offset any
losses sustained from the volatility of the underlying equity securities over
time.
Equity
Securities Risk - Common
stocks are susceptible to general stock market fluctuations and to volatile
increases and decreases in value as market confidence in and perceptions of
their issuers change. If the Fund holds common stock or common stock equivalents
of any given issuer, it will generally be exposed to greater risk than if the
Fund held preferred stocks and debt obligations of such issuer. Preferred
securities are subject to issuer-specific and market risks applicable generally
to equity securities, however, unlike common stocks, participation in the growth
of an issuer may be limited. Warrants and rights do not carry with them the
right to dividends or voting rights with respect to the securities that they
entitle their holder to purchase, and they do not represent any rights in the
assets of the issuer.
Derivatives
Risk -
A derivative is a financial contract, the value of which depends on, or is
derived from, the value of an underlying asset, such as a security, a commodity
(such as gold or silver), a currency or an index (a measure of value or rates,
such as the S&P 500® or the prime lending rate). The Fund may invest in
futures contracts, swap agreements, forward contracts and options on securities,
indices, and futures contracts. Compared to conventional securities, derivatives
can be more sensitive to changes in interest rates or to sudden fluctuations in
market prices and thus the Fund’s losses may be greater if it invests in
derivatives than if it invests only in conventional securities. Derivatives are
also subject to counterparty risk, which is the risk that the other party in the
transaction will not fulfill its contractual obligations. Derivatives generally
involve the incurrence of leverage. To address such leverage and to prevent the
Fund from being deemed to have issued senior securities as a result of an
investment
in derivatives, the Fund will segregate liquid assets equal to its obligations
under the derivatives throughout the life of the investment.
ETF
and Other Investment Companies Risk -
When the Fund invests in another ETF or other investment company (e.g.,
mutual fund, closed-end fund, business development company), it will bear
additional expenses based on its pro rata share of such investment company’s
operating expenses, including the potential duplication of management fees. The
risk of owning an ETF or other investment company generally reflects the risks
of owning the underlying securities and other assets held by the ETF or other
investment company. The Fund also will incur brokerage costs when it purchases
ETFs and other exchange-listed investment companies. Additionally, the Fund will
be indirectly exposed to the risks of the portfolio assets held by an ETF or
other investment company, including but not limited to those of ETNs, equity
options, derivatives, currencies, index, leverage, and replication
management.
Exchange-Traded
Note Risk -
The value of an ETN may be influenced by the time remaining before its maturity,
level of supply and demand for the ETN, volatility and lack of liquidity in
underlying securities’ markets, changes in the applicable interest rates,
changes in the issuer’s credit rating, and economic, legal, political, or
geographic events that affect the referenced index. In addition, the notes
issued by ETNs and held by a fund are unsecured debt of the issuer.
REIT
Risk - Investments
in REITs will be subject to the risks associated with the direct ownership of
real estate. Risks commonly associated with the direct ownership of real estate
include fluctuations in the value of underlying properties, defaults by
borrowers or tenants, changes in interest rates and risks related to general or
local economic conditions. REITs are more dependent upon specialized management
skills, have limited diversification and are, therefore, generally dependent on
their ability to generate cash flow to make distributions to shareholders. REITs
are subject to complex tax qualification and compliance rules. In addition,
REITs have their own expenses, and therefore Fund shareholders will indirectly
bear a proportionate share of the expenses of REITs in which the Fund
invests.
Counterparty
Risk - Many
of the protections afforded to participants on some organized exchanges, such as
the performance guarantee of an exchange clearing house, are not available in
connection with the over-the-counter (“OTC”)
derivatives transactions. In those instances, another ETF holding such
derivatives (in which the Fund invests) will be subject to the risk that its
direct counterparty will not perform its obligations under the transactions and
that such ETF will sustain losses.
Government
Obligations Risk -
The Fund may invest in securities issued by the U.S. government. There can be no
guarantee that the United States will be able to meet its payment obligations
with respect to such securities. Additionally, market prices and yields of
securities supported by the full faith and credit of the U.S. government may
decline or be negative for short or long periods of time.
Liquidity
Risk -
The Fund’s investments are subject to liquidity risk, which exists when an
investment is or becomes difficult to purchase or sell. If a transaction is
particularly large or if the relevant market is or becomes illiquid, it may not
be possible to initiate a transaction or liquidate a position at an advantageous
time or price, which may cause the Fund to suffer significant losses and
difficulties in meeting redemptions. If a number of securities held by the Fund
halt trading, such as due to an exchange’s limit-up, limit-down rules, it may
have a cascading effect and cause the Fund to halt trading. Volatility in market
prices will increase the risk of the Fund being subject to a trading
halt.
Authorized
Participant Concentration Risk -
The Fund has a limited number of financial institutions that may act as
Authorized Participants (“APs”)
to create and redeem Fund Shares. To the extent that these APs exit the business
or are unable to process creation and redemption orders and no other AP
is
able to step forward to create and redeem in either of these cases, there may be
a significantly diminished trading market for the Fund’s Shares and such Shares
may trade at a discount to NAV and possibly face de-listing.
Market
Risk -
Either the stock market as a whole or the value of an investment held by the
Fund may go down, resulting in a decrease in the market value or NAV of the
Shares. For example, there is the risk that sharp price declines in securities
owned by the Fund, known as flash crash risk, may trigger trading halts, which
may result in the Fund’s Shares trading in the market at an increasingly large
discount to NAV during part (or all) of a trading day. Local, regional or global
events such as war, acts of terrorism, trade and tariff disputes, epidemics,
pandemics or other public health issue, recessions, or other events could have a
significant and protracted impact on the Fund and its investments and could
result in increased premiums or discounts to the Fund’s net asset
value.
Share
Trading Price Risk - The
Shares of the Funds are listed for trading on the NYSE Arca and will be bought
and sold in the Secondary Market at market prices. Although it is expected that
generally the exchange price of the Fund’s Shares will approximate the Fund’s
NAV, there may be times when the exchange price and the NAV vary significantly.
Thus, you may pay more than NAV when you buy Shares in the Secondary Market, and
you may receive less than NAV when you sell those Shares in the Secondary
Market.
The
market price of Shares during the trading day, like the price of any
exchange-traded security, includes a “bid/ask” spread charged by the exchange
specialist, market makers, or other participants that trade the Shares. In times
of severe market disruption, the bid/ask spread can increase significantly. At
those times, Shares are most likely to be traded at a discount to NAV, and the
discount is likely to be greatest when the price of Shares is falling fastest,
which may be the time that you most want to sell your Shares. The Sub-Advisor
believes that, under normal market conditions, large market price discounts or
premiums to NAV will not be sustained because of arbitrage
opportunities.
Shares
of the Fund May Trade at Prices Other Than NAV -
There is no obligation by any market maker to make a market in the Fund’s shares
or by any AP to submit creation or redemption orders. Decisions by market makers
or APs to reduce or step away from the Fund in a time of market stress could
inhibit the arbitrage process by which a relationship between the Fund’s NAV per
share and the market trading price of the shares is maintained. Thus, reduced
effectiveness of the arbitrage function could result in Fund shares trading at a
discount to NAV per share and also with greater than normal intra-day bid/ask
spreads.
Shares
are Not Individually Redeemable -
Shares are only redeemable by the Fund at NAV if they are tendered in large
blocks known as “Creation Units” which are expected to be worth in excess of $1
million each. Only APs may engage in such creation and redemption transactions
directly with the Fund. Individual Shares may be sold on a stock exchange at
their current market prices, which may be less, more, or equal to their NAV.
There can be no assurance that an active trading market will be maintained for
the Shares.
Performance
Information
As of the date
of this Prospectus, the Fund has not yet commenced operations and therefore does
not report its performance information. When the Fund has been in operation for
one full calendar year, performance information will be shown
here. Updated performance information will be available on
www.wbietfs.com
or by calling the Fund toll-free at (855) WBI-ETFS or (855)
924-3837.
Management
Investment
Advisor.
Millington Securities, Inc. is the Fund’s investment advisor and has selected
its affiliate WBI Investments, Inc. to act as the sub-advisor to the Fund and to
be responsible for its day-to-day investment management.
Portfolio
Managers.
The portfolio managers responsible for the day-to-day management of the Fund are
as follows:
•Steven
Van Solkema, co-portfolio manager. After working for the Advisor since 2014, Mr.
Van Solkema joined the Sub-Advisor in 2019 and is its President and Chief
Investment Officer. He has been a portfolio manager of the Fund since
inception.
•Don
Schreiber, Jr., co-portfolio manager. Mr. Schreiber founded the Sub-Advisor in
1984 and is its Founder and Co-Chief Executive Officer. He has been a portfolio
manager of the Fund since inception.
Purchase
and Sale of Shares
Unlike
conventional mutual funds, the Fund issues and redeems Shares on a continuous
basis at NAV only in Creation Units comprised of blocks of 25,000 Shares, or
whole multiples thereof. Only a broker-dealer (“Authorized
Participant”)
that enters into an appropriate agreement with the Fund’s distributor may engage
in such creation and redemption transactions directly with the Fund. The
Fund’s Creation Units generally are issued and redeemed “in-kind,” for
securities in the Fund, but may also be issued and redeemed in cash. Retail
investors may acquire Shares on the NYSE Arca through a broker-dealer. Shares of
the Fund will trade at market price rather than NAV. As such, Shares may trade
at a price greater than NAV (premium) or less than NAV (discount).
Tax
Information
The
Fund’s distributions are taxable and will generally be taxed as ordinary income
or capital gains.
Financial
Intermediary Compensation
If
you purchase the Fund through a broker-dealer or other financial intermediary
(such as a bank), the Sub-Advisor may pay the intermediary for the sale of
Shares and related services. These payments may create a conflict of interest by
influencing the broker-dealer or other intermediary and your salesperson to
recommend the Fund over another investment. Ask your salesperson or visit your
financial intermediary’s website for more information.
WBI BULLBEAR
TREND SWITCH US 1000 TOTAL RETURN ETF
Investment
Objective
The
WBI BullBear Trend Switch 1000 Total Return ETF’s (the “Fund”)
investment objective is to seek current income with the potential for long-term
capital appreciation, while also seeking to protect principal during unfavorable
market conditions.
Fees and
Expenses of the Fund
This
table describes the fees and expenses that you may pay if you buy, hold and sell
shares of the Fund (“Shares”).
You may pay other fees, such as brokerage commission and other fees to financial
intermediaries, which are not reflected in the table and example below.
Investors purchasing Shares on a national securities exchange, national
securities association, or over-the-counter trading system where Shares may
trade from time to time (each, a “Secondary
Market”)
may be subject to customary brokerage commissions charged by their broker that
are not reflected in the table set forth below.
Annual Fund
Operating Expenses (expenses that you pay each year as a percentage of the value
of your investment):
|
|
|
|
|
|
Management
Fee |
0.65% |
Distribution
and/or Service (12b-1) Fees |
0.00% |
Other
Expenses(1) |
0.00% |
Acquired
Fund Fees and Expenses(2) |
0.03% |
Total
Annual Fund Operating Expenses |
0.68% |
(1)Because the Fund has not
yet commenced operations, “Other Expenses” are based on the estimated expenses
for the current fiscal year.
(2)The Fund has not yet
commenced operations and Acquired Fund Fees and Expenses are based on estimated
amounts, on an annualized basis, for the current fiscal year. Acquired
Funds Fees & Expenses represent the Fund’s pro rata share of fees and
expenses incurred indirectly as a result of investing in other funds, including
ETFs and money market funds.
Example.
This example is intended to help
you compare the cost of investing in the Fund with the cost of investing in
other funds. Investors may pay brokerage commissions on their purchases
and sales of exchange-traded fund shares, which are not reflected in the
example.
The example assumes that you invest $10,000
in the Fund for the time periods indicated and then redeem all of your Shares at
the end of those periods. The example also assumes that your investment has a 5%
return each year and that the Fund’s operating expenses remain at current
levels. The return of 5% and estimated expenses are for illustration purposes
only and should not be considered indicators of expected Fund expenses or
performance, which may be greater or less than the estimates.
Although your
actual costs may be higher or lower, based on these assumptions your costs would
be:
Portfolio
Turnover. The Fund incurs implicit and
explicit transaction costs when it buys and sells securities (or “turns over”
its portfolio). Such costs may include, but are not limited to, market impact,
which is the effect that a market participant has when it buys or sells an
asset, and commissions. A higher portfolio turnover rate may indicate
higher transaction costs and may result in higher taxes when Shares are held in
a taxable account. These costs, which are not reflected in annual Fund operating
expenses or in the example, affect the Fund’s performance. This rate excludes
the value of
portfolio securities received or delivered
as a result of any in-kind creations or redemptions of the Fund’s Shares.
Because the Fund is newly organized, portfolio turnover information is not yet
available.
Principal
Investment Strategies
The
Fund uses a rules-based methodology to implement a systematic strategy which
directs exposure to either (i) U.S. large-capitalization equity securities, that
WBI Investments, Inc., the sub-advisor (“Sub-Advisor”)
to the Fund and an affiliate of Millington Securities, Inc., the advisor
(“Advisor”),
believes offer the potential for a high correlation to the performance of the
broader U.S. large-capitalization equities market; or (ii) U.S. fixed income
securities that the Sub-Advisor, believes display attractive prospects for
current income with the potential for long-term capital appreciation under then
current market conditions. The Fund’s exposure direction is driven first by the
Sub-Advisor’s proprietary rules-based equity model (the “Equity
Model”),
and subsequently, if applicable, by the Sub-Advisor’s proprietary rules-based
bond model (the “Bond
Model”).
Both the Equity Model and the Bond Model (referred to together as, the
“Models”)
utilize a systematic approach analyzing macro-economic factors and technical
market trends including, among others, those relating to commodities, monetary
policy, valuation, sentiment and change in interest rates, to assess risk and
generate their signals, and are described further below. Since cash and cash
equivalents are among the investment opportunities evaluated by the Models, the
Fund may invest in and hold most, if not all, of its net assets in cash or cash
equivalents as part of the normal operation of its investment
strategy.
When
the Fund is invested in equity securities it will invest in U.S.
large-capitalization equity securities, and ETFs or ETNs with exposure to U.S.
large-capitalization equity securities. Large-capitalization companies are those
that have higher market capitalization than small and medium-capitalization
companies in their primary market when ranked in order of market capital. For
publicly-traded U.S. companies in the current environment, this would include
companies with market capitalizations of greater than approximately $10
billion.
When
the Fund is not invested in equity securities, it will invest debt securities
selected on the basis of the Sub-Advisor’s assessment of the risks in the U.S.
fixed income market using its Bond Model. The purpose of the Bond Model is to
assess conditions likely to affect the relative performance of selected segments
of the fixed income market with respect to their sensitivity to credit quality
and duration. The types of debt securities in which the Fund will invest are
U.S. treasuries, U.S. investment grade corporate bonds, and U.S. high yield
bonds (also known as “junk bonds”), and ETFs and ETNs with exposure to the debt
securities described. The Fund expects to invest in debt securities of short and
long durations, depending on the Sub-Advisor’s assessment of the risks along the
yield curve. The yield curve refers to differences in yield among debt assets of
varying maturities.
The
Funds defines a total return fund as one that seeks to maximize gains from both
income generating investments, such as bonds and dividend paying stocks, while
simultaneously aiming to invest in assets which will experience capital
appreciation, and as such these approaches are used (in part) to achieve the
Fund’s investment objective.
The
Fund uses the Equity Model, which directs exposure exclusively either to the
equity securities of U.S. large-capitalization companies or exclusively to U.S.
fixed income securities under the Bond Model. The purpose of the Equity Model is
to assess conditions likely to affect the relative performance of the
large-capitalization companies’ segment of the U.S. equity market with respect
to its sensitivity to the then current level of market risk and respond to only
those investment environments that are likely to produce significant changes in
market performance. The Equity Model signals indicate whether market conditions
call for the Fund to remain in either of its possible exposure positions. The
Fund may remain in a particular exposure position for an extended period of
time.
The Fund will change its exposure position based on the Equity Indicator of the
Equity Model, and each change will become effective on the business day after
the indicator signals change.
The
Equity Model is used by the Sub-Advisor to determine when the risk of investing
in the U.S. large-capitalization equity market is high or low. The Equity Model
relies on quantitative methods to assist the Sub-Advisor in forming its view of
the risk associated with investment exposure to the U.S. large-capitalization
equity market at any given time.
When
the Equity Model signals that risk is low, this indicates that the Fund should
have investment exposure to U.S. large-capitalization equities. When the Equity
Model signals that risk is high, this indicates that the Fund should have
investment exposure to debt securities under the Bond Model.
The
various quantitative methods and analysis utilized in the Sub-Advisor’s Equity
Model are based on numerous factors which may affect the value of a security or
a broader group of securities. Primary factors evaluated by the Equity Model
include:
•Macroeconomic
(economy and industry conditions)
•Momentum
(measurements of the rate-of-change in security prices)
•Sentiment
(perception and beliefs of individuals regarding future
expectations)
•Fundamental
(company and industry valuation conditions), and
•Technical
(indicators based upon historical security prices, volume and
liquidity)
The
Equity Model uses statistical forecasting techniques, such as regression
analysis, to examine the relationship and influence that these factors may have
on the risk associated with an investment in the U.S. large-capitalization
equity market.
When
the Equity Indicator recommends that the Fund’s exposure be to U.S. fixed income
securities, the Fund uses the Bond Model, which directs investment exposure to
debt securities (or bonds) of a particular duration and credit quality. Duration
is a measure of a debt security’s expected price sensitivity to changes in
interest rates. Debt security prices typically have an inverse relationship with
interest rates. Rising interest rates indicate that debt security prices are
likely to decline, while declining interest rates indicate that debt security
prices are likely to rise. As a general rule, for every 1% increase or decrease
in interest rates, a debt security’s price will change approximately 1% in the
opposite direction for every year of duration. For example, if a bond has a
duration of three years and interest rates increase by 1%, the bond’s price is
expected to decline by approximately 3%. Credit quality is a measure of a
borrower’s (or bond issuer’s) creditworthiness or risk of default. A company or
bond’s credit quality may also be known as its “bond rating” as determined by
private independent rating agencies such as Standard & Poor’s, Moody’s and
Fitch. Each rating agency has its own credit quality designations which
typically range from high (‘AAA’ to ‘AA’) to medium (‘A’ to ‘BBB’) to low (‘BB’,
‘B’, ‘CC’ to ‘C’).
The
Bond Model generates both a credit quality signal and a duration signal. The
combination of the Bond Model’s credit quality signal and the duration signal
indicates the recommended debt security exposure. For example, the Bond Model’s
credit quality signal may indicate that exposure to relatively lower rated debt
securities is appropriate. Simultaneously, the Bond Model’s duration signal may
indicate that exposure to relatively short duration debt securities is
appropriate. In this example, the combination of the two Bond Model signals
would indicate that exposure to lower rated debt securities with short duration
is appropriate. Market conditions may call for the Fund to remain in any of the
possible exposure positions for an extended period of time. The Fund will change
its exposure position
based
on the following signals, and each change will become effective on the business
day after the indicator signals change.
The
Sub-Advisor’s credit quality signal indicates the fixed income credit quality
that current conditions are more likely to favor among U.S. Treasuries, U.S.
investment grade bonds, or U.S. high yield bonds on the basis of credit quality
probability and credit condition momentum analysis. Credit quality probability
analysis seeks to predict which of the three possible credit quality debt
securities market segments is likely to perform best in the subsequent week.
Credit momentum analysis seeks to determine whether a change in the current
credit state will be recommended.
The
Sub-Advisor’s duration signal indicates whether current conditions are more
likely to favor bonds of short or long maturities on the basis of duration
probability and duration momentum analysis. Duration probability analysis seeks
to predict whether long or short duration exposure to the credit quality debt
securities determined by the credit quality signal is likely to perform best in
the subsequent week. Duration momentum analysis seeks to determine whether a
change in the current duration will be recommended.
The
Fund seeks to achieve its investment objective by implementing the Equity
Indicator’s recommendations, and when the Equity Indicator recommends that the
Fund’s exposure be to U.S. fixed income securities, following the Bond Model
signals, in each instance principally investing directly in the following
different types of instruments:
•U.S.
large-capitalization equities, and cash or cash equivalents (“Direct
Investments”)
which are:
•equity
securities including common stocks, preferred stocks, rights, warrants,
convertibles, and shares of real estate investment trusts (“REITs”);
and
•cash
and cash equivalents including money market accounts, U.S. Treasury Bills, and
commercial paper; and
•U.S.
Treasuries, U.S. Investment Grade Corporate Bonds, and U.S. High Yield Bonds
issued by the U.S. government and U.S. public and private companies
(“Direct
Investments”);
and
•Registered
fund shares (“investment
company shares”)
where such funds’ portfolios primarily contain Direct Investments. Investment
company shares through which the Fund obtains indirect exposure to Direct
Investments include those issued by mutual funds and exchange-traded funds
(“ETFs”)
and
•Exchange-traded
notes (“ETNs”)
and listed and over-the-counter (“OTC”)
derivatives whose performance is designed to track the performance of Direct
Investments (such derivatives together with ETNs and investment company shares
are referred to as “Indirect Investments”). Indirect Investments include gaining
exposure to Direct Investments through listed and OTC derivatives,
including:
◦futures
contracts, swap agreements, and forward contracts; and
◦options
on securities, indices, and futures contracts.
The
Fund is an actively managed ETF. The Sub-Advisor actively manages the
Fund’s portfolio. As a result, the portfolio turnover rate for the Fund,
especially during periods of significant volatility, may be high. The
Sub-Advisor expects that the Fund’s investment strategy will result in a
portfolio turnover rate in excess of 300% on an annual basis. Since the Fund’s
principal investment strategy is expected to result in a higher annual portfolio
turnover rate than that of many other investment companies, the
Fund
may experience higher portfolio transaction costs and Shares held in taxable
accounts may incur higher taxes than what may be experienced by other investment
companies and their shares.
The
Fund is considered to be diversified.
For
additional information about the Fund’s principal investment strategies and the
investment process, see “Description of the Principal Strategies of the
Funds.”
Principal
Risks
Investors
in the Fund should be willing to accept a high degree of volatility in the price
of the Fund’s Shares and the possibility of significant losses. An investment in
the Fund involves a substantial degree of risk and the Fund does not represent a
complete investment program. As with all
investments, you may lose money in the Fund. An investment
in the Fund is not a bank deposit, is not insured or guaranteed by the FDIC or
any government agency, and may lose value. Therefore, you should
consider carefully the following risks before investing in the Fund. A more
complete discussion of Principal Risks is included under “Description of the
Principal Risks of the Funds.”
Losing
all or a portion of your investment is a risk of investing in the Fund. The
following risks could affect the value of your investment. You should understand
these risks before investing.
Cash
Position Risk
- If the Fund invests all or a substantial portion of its assets in cash or cash
equivalents for extended periods of time, including when it is investing for
temporary defensive purposes, it could reduce the Fund’s potential return and
prevent the Fund from achieving its investment objective as the limited returns
of cash or cash equivalents may lag other investment instruments.
Management
Risk -
An investment in the Fund varies with the success and failure of the
Sub-Advisor’s investment process and strategies and the Sub-Advisor’s research,
analysis, and determination of portfolio securities. If the Sub-Advisor’s
investment process and strategies, including its quantitative models, do not
produce the expected results, the market value or NAV of the Shares would
decrease.
Quantitative
Model Risk - The
Sub-Advisor uses quantitative models in an effort to enhance returns and manage
risk. Any imperfections, errors or limitations in these models could limit any
benefit to the Fund from the use of the models, or could result in incorrect
outputs or in investment outcomes different from or opposite to those expected
or desired by the Sub-Advisor. There can be no assurance that the models will
behave as expected in all market conditions. In addition, computer programming
used to create quantitative models, or the data on which such models operate,
might contain one or more errors.
Portfolio
Turnover Risk - A
high portfolio turnover rate (100% or more) has the potential to result in the
realization and distribution to shareholders of higher capital gains, which may
subject the shareholders to a higher tax liability. A high portfolio turnover
rate also leads to higher transaction costs, which can negatively affect the
Fund’s performance.
Model
Risk - The
Fund’s investment process includes the use of proprietary models and analysis
methods developed by the Sub-Advisor, and data provided by third parties. Third
party data and information used in models and analysis is obtained from sources
believed to be reliable, however inaccurate data could adversely affect the
effectiveness of the resulting investment implementation on the Fund’s
performance. There can be no assurance that any particular model or investment
strategy, including those devised by the Sub-Advisor, will be profitable for the
Fund, and may result in a loss of principal.
Investment
Style Risk - The
prices of bonds in the Fund’s portfolio may fall or fail to rise over extended
periods of time for a variety of reasons, including both general financial
market conditions and factors related to a specific issuer or industry. These
risks are generally greater for small and medium-sized companies. The Fund may
invest in securities, directly or indirectly, that are susceptible to specific
investment risks.
Trend
Lag Risk -
Trend indicator signal changes pursuant to which Fund exposure and investments
are determined, are designed to become effective in the Fund the business day
following the indicator signal. As a result of this, the Fund may be exposed to
downward trends and/or market volatility and may not achieve immediate exposure
to upward trends and/or market volatility.
Fundamental
Business Risk -
Companies with apparently attractive financial conditions and prospects for
ongoing financial stability may experience adverse business conditions specific
to their industry or enterprise that cause their financial condition and
prospects to deteriorate. The Fund’s investments in companies that experience
negative developments in their financial condition may lose value relative to
the stocks of other companies, causing the Fund to underperform funds that do
not invest in companies primarily on the basis of their underlying financial
condition.
Equity
Options Risk - Options
on securities may be subject to greater fluctuations in value than an investment
in the underlying securities. Purchasing and writing put and call options are
highly specialized activities and entail greater than ordinary investment risks.
The successful use of options depends in part on the ability of the Sub-Advisor
to manage future price fluctuations and the degree of correlation between the
options and securities (or currency) markets. By writing put options on equity
securities, the Fund would give up the opportunity to benefit from potential
increases in the value of the common stocks above the strike prices of the
written put options, but continues to bear the risk of declines in the value of
its common stock portfolio. The Fund will receive a premium from writing a
covered call option that it retains whether or not the option is exercised. The
premium received from the written options may not be sufficient to offset any
losses sustained from the volatility of the underlying equity securities over
time.
Equity
Securities Risk - Common
stocks are susceptible to general stock market fluctuations and to volatile
increases and decreases in value as market confidence in and perceptions of
their issuers change. If the Fund holds common stock or common stock equivalents
of any given issuer, it will generally be exposed to greater risk than if the
Fund held preferred stocks and debt obligations of such issuer. Preferred
securities are subject to issuer-specific and market risks applicable generally
to equity securities, however, unlike common stocks, participation in the growth
of an issuer may be limited. Warrants and rights do not carry with them the
right to dividends or voting rights with respect to the securities that they
entitle their holder to purchase, and they do not represent any rights in the
assets of the issuer.
High-Yield
Securities Risk -
The debt securities that are rated below investment grade (i.e.,
“junk bonds”) are subject to additional risk factors such as increased
possibility of default liquidation of the security and changes in value based on
public perception of the issuer. High-yield securities are inherently
speculative.
Interest
Rate Risk -
The Fund’s performance may be adversely impacted when interest rates fall
because the Fund may be exposed, directly or indirectly, to lower-yielding
bonds. This risk may increase as bonds in the Fund’s portfolio mature. Interest
rate risk is typically greater with respect to exposure to long-term bonds (or
long-term bond funds) and lower for short-term bonds (or short-term bond
funds).
Debt
Securities Risk -
The market value of debt securities held by the Fund typically changes as
interest rates change, as demand for the instruments changes, and as actual or
perceived creditworthiness of an issuer changes. Additionally, debt securities
with longer durations are expected to experience greater price movements than
securities with shorter durations for the same change in prevailing interest
rates. During periods of rising interest rates, the market value of the debt
securities held by the Fund will generally decline. Credit risk is the risk that
an issuer will not make timely payments of principal and interest. There is also
the risk that an issuer may “call,” or repay, its high-yielding bonds before
their maturity dates. Debt securities subject to prepayment can offer less
potential for gains during a declining interest rate environment and similar or
greater potential for loss in a rising interest rate environment. Limited
trading opportunities for certain debt securities may make it more difficult to
sell or buy a security at a favorable price or time.
Derivatives
Risk -
A derivative is a financial contract, the value of which depends on, or is
derived from, the value of an underlying asset, such as a security, a commodity
(such as gold or silver), a currency or an index (a measure of value or rates,
such as the S&P 500® or the prime lending rate). The Fund may invest in
futures contracts, swap agreements, forward contracts and options on securities,
indices, and futures contracts. Compared to conventional securities, derivatives
can be more sensitive to changes in interest rates or to sudden fluctuations in
market prices and thus the Fund’s losses may be greater if it invests in
derivatives than if it invests only in conventional securities. Derivatives are
also subject to counterparty risk, which is the risk that the other party in the
transaction will not fulfill its contractual obligations. Derivatives generally
involve the incurrence of leverage. To address such leverage and to prevent the
Fund from being deemed to have issued senior securities as a result of an
investment in derivatives, the Fund will segregate liquid assets equal to its
obligations under the derivatives throughout the life of the
investment.
ETF
and Other Investment Companies Risk -
When the Fund invests in another ETF or other investment company (e.g.,
mutual fund, closed-end fund, business development company), it will bear
additional expenses based on its pro rata share of such investment company’s
operating expenses, including the potential duplication of management fees. The
risk of owning an ETF or other investment company generally reflects the risks
of owning the underlying securities and other assets held by the ETF or other
investment company. The Fund also will incur brokerage costs when it purchases
ETFs and other exchange-listed investment companies. Additionally, the Fund will
be indirectly exposed to the risks of the portfolio assets held by an ETF or
other investment company, including but not limited to those of ETNs, equity
options, derivatives, currencies, index, leverage, and replication
management.
Exchange-Traded
Note Risk -
The value of an ETN may be influenced by the time remaining before its maturity,
level of supply and demand for the ETN, volatility and lack of liquidity in
underlying securities’ markets, changes in the applicable interest rates,
changes in the issuer’s credit rating, and economic, legal, political, or
geographic events that affect the referenced index. In addition, the notes
issued by ETNs and held by a fund are unsecured debt of the issuer.
REIT
Risk - Investments
in REITs will be subject to the risks associated with the direct ownership of
real estate. Risks commonly associated with the direct ownership of real estate
include fluctuations in the value of underlying properties, defaults by
borrowers or tenants, changes in interest rates and risks related to general or
local economic conditions. REITs are more dependent upon specialized management
skills, have limited diversification and are, therefore, generally dependent on
their ability to generate cash flow to make distributions to shareholders. REITs
are subject to complex tax qualification and compliance rules. In addition,
REITs have their own expenses, and therefore Fund shareholders will indirectly
bear a proportionate share of the expenses of REITs in which the Fund
invests.
Counterparty
Risk - Many
of the protections afforded to participants on some organized exchanges, such as
the performance guarantee of an exchange clearing house, are not available in
connection with the over-the-counter (“OTC”)
derivatives transactions. In those instances, another ETF holding such
derivatives (in which the Fund invests) will be subject to the risk that its
direct counterparty will not perform its obligations under the transactions and
that such ETF will sustain losses.
Government
Obligations Risk -
The Fund may invest in securities issued by the U.S. government. There can be no
guarantee that the United States will be able to meet its payment obligations
with respect to such securities. Additionally, market prices and yields of
securities supported by the full faith and credit of the U.S. government may
decline or be negative for short or long periods of time.
Liquidity
Risk -
The Fund’s investments are subject to liquidity risk, which exists when an
investment is or becomes difficult to purchase or sell. If a transaction is
particularly large or if the relevant market is or becomes illiquid, it may not
be possible to initiate a transaction or liquidate a position at an advantageous
time or price, which may cause the Fund to suffer significant losses and
difficulties in meeting redemptions. If a number of securities held by the Fund
halt trading, such as due to an exchange’s limit-up, limit-down rules, it may
have a cascading effect and cause the Fund to halt trading. Volatility in market
prices will increase the risk of the Fund being subject to a trading
halt.
Authorized
Participant Concentration Risk -
The Fund has a limited number of financial institutions that may act as
Authorized Participants (“APs”)
to create and redeem Fund Shares. To the extent that these APs exit the business
or are unable to process creation and redemption orders and no other AP is able
to step forward to create and redeem in either of these cases, there may be a
significantly diminished trading market for the Fund’s Shares and such Shares
may trade at a discount to NAV and possibly face de-listing.
Market
Risk -
Either the stock market as a whole or the value of an investment held by the
Fund may go down, resulting in a decrease in the market value or NAV of the
Shares. For example, there is the risk that sharp price declines in securities
owned by the Fund, known as flash crash risk, may trigger trading halts, which
may result in the Fund’s Shares trading in the market at an increasingly large
discount to NAV during part (or all) of a trading day. Local, regional or global
events such as war, acts of terrorism, trade and tariff disputes, epidemics,
pandemics or other public health issue, recessions, or other events could have a
significant and protracted impact on the Fund and its investments and could
result in increased premiums or discounts to the Fund’s net asset
value.
Share
Trading Price Risk - The
Shares of the Funds are listed for trading on the NYSE Arca and will be bought
and sold in the Secondary Market at market prices. Although it is expected that
generally the exchange price of the Fund’s Shares will approximate the Fund’s
NAV, there may be times when the exchange price and the NAV vary significantly.
Thus, you may pay more than NAV when you buy Shares in the Secondary Market, and
you may receive less than NAV when you sell those Shares in the Secondary
Market.
The
market price of Shares during the trading day, like the price of any
exchange-traded security, includes a “bid/ask” spread charged by the exchange
specialist, market makers, or other participants that trade the Shares. In times
of severe market disruption, the bid/ask spread can increase significantly. At
those times, Shares are most likely to be traded at a discount to NAV, and the
discount is likely to be greatest when the price of Shares is falling fastest,
which may be the time that you most want to sell your Shares. The Sub-Advisor
believes that, under normal market conditions, large market price discounts or
premiums to NAV will not be sustained because of arbitrage
opportunities.
Shares
of the Fund May Trade at Prices Other Than NAV -
There is no obligation by any market maker to make a market in the Fund’s shares
or by any AP to submit creation or redemption orders. Decisions by market makers
or APs to reduce or step away from the Fund in a time of market stress could
inhibit the arbitrage process by which a relationship between the Fund’s NAV per
share and the market trading price of the shares is maintained. Thus, reduced
effectiveness of the arbitrage function could result in Fund shares trading at a
discount to NAV per share and also with greater than normal intra-day bid/ask
spreads.
Shares
are Not Individually Redeemable -
Shares are only redeemable by the Fund at NAV if they are tendered in large
blocks known as “Creation Units” which are expected to be worth in excess of $1
million each. Only APs may engage in such creation and redemption transactions
directly with the Fund. Individual Shares may be sold on a stock exchange at
their current market prices, which may be less, more, or equal to their NAV.
There can be no assurance that an active trading market will be maintained for
the Shares.
Performance
Information
As of the date
of this Prospectus, the Fund has not yet commenced operations and therefore does
not report its performance information. When the Fund has been in operation for
one full calendar year, performance information will be shown
here. Updated performance information will be available on
www.wbietfs.com
or by calling the Fund toll-free at (855) WBI-ETFS or (855)
924-3837.
Management
Investment
Advisor.
Millington Securities, Inc. is the Fund’s investment advisor and has selected
its affiliate WBI Investments, Inc. to act as the sub-advisor to the Fund and to
be responsible for its day-to-day investment management.
Portfolio
Managers.
The portfolio managers responsible for the day-to-day management of the Fund are
as follows:
•Steven
Van Solkema, co-portfolio manager. After working for the Advisor since 2014, Mr.
Van Solkema joined the Sub-Advisor in 2019 and is its President and Chief
Investment Officer. He has been a portfolio manager of the Fund since
inception.
•Don
Schreiber, Jr., co-portfolio manager. Mr. Schreiber founded the Sub-Advisor in
1984 and is its Founder and Co-Chief Executive Officer. He has been a portfolio
manager of the Fund since inception.
Purchase
and Sale of Shares
Unlike
conventional mutual funds, the Fund issues and redeems Shares on a continuous
basis at NAV only in Creation Units comprised of blocks of 25,000 Shares, or
whole multiples thereof. Only a broker-dealer (“Authorized
Participant”)
that enters into an appropriate agreement with the Fund’s distributor may engage
in such creation and redemption transactions directly with the Fund. The
Fund’s Creation Units generally are issued and redeemed “in-kind,” for
securities in the Fund, but may also be issued and redeemed in cash. Retail
investors may acquire Shares on the NYSE Arca through a broker-dealer. Shares of
the Fund will trade at market price rather than NAV. As such, Shares may trade
at a price greater than NAV (premium) or less than NAV (discount).
Tax
Information
The
Fund’s distributions are taxable and will generally be taxed as ordinary income
or capital gains.
Financial
Intermediary Compensation
If
you purchase Shares of the Fund through a broker-dealer or other financial
intermediary (such as a bank), the Sub-Advisor may pay the intermediary for the
sale of Shares and related services. These payments may create a conflict of
interest by influencing the broker-dealer or other intermediary and your
salesperson to recommend the Fund over another investment. Ask your salesperson
or visit your financial intermediary’s website for more
information.
WBI BULLBEAR
TREND SWITCH US 2000 TOTAL RETURN ETF
Investment
Objective
The
WBI BullBear Trend Switch US 2000 Total Return ETF’s (the “Fund”)
investment objective is to seek current income with the potential for long-term
capital appreciation, while also seeking to protect principal during unfavorable
market conditions.
Fees and
Expenses of the Fund
This
table describes the fees and expenses that you may pay if you buy, hold and sell
shares of the Fund (“Shares”).
You may pay other fees, such as brokerage commission and other fees to financial
intermediaries, which are not reflected in the table and example below.
Investors purchasing Shares on a national securities exchange, national
securities association, or over-the-counter trading system where Shares may
trade from time to time (each, a “Secondary
Market”)
may be subject to customary brokerage commissions charged by their broker that
are not reflected in the table set forth below.
Annual Fund
Operating Expenses (expenses that you pay each year as a percentage of the value
of your investment):
|
|
|
|
|
|
Management
Fee |
0.65% |
Distribution
and/or Service (12b-1) Fees |
0.00% |
Other
Expenses(1) |
0.00% |
Acquired
Fund Fees and Expenses(2) |
0.03% |
Total
Annual Fund Operating Expenses |
0.68% |
(1)Because the Fund has not
yet commenced operations, “Other Expenses” are based on the estimated expenses
for the current fiscal year.
(2)The Fund has not yet
commenced operations and Acquired Fund Fees and Expenses are based on estimated
amounts, on an annualized basis, for the current fiscal year. Acquired
Funds Fees & Expenses represent the Fund’s pro rata share of fees and
expenses incurred indirectly as a result of investing in other funds, including
ETFs and money market funds.
Example.
This example is intended to help
you compare the cost of investing in the Fund with the cost of investing in
other funds. Investors may pay brokerage commissions on their purchases
and sales of exchange-traded fund shares, which are not reflected in the
example.
The example assumes that you invest $10,000
in the Fund for the time periods indicated and then redeem all of your Shares at
the end of those periods. The example also assumes that your investment has a 5%
return each year and that the Fund’s operating expenses remain at current
levels. The return of 5% and estimated expenses are for illustration purposes
only and should not be considered indicators of expected Fund expenses or
performance, which may be greater or less than the estimates.
Although your
actual costs may be higher or lower, based on these assumptions your costs would
be:
Portfolio
Turnover. The Fund incurs implicit and
explicit transaction costs when it buys and sells securities (or “turns over”
its portfolio). Such costs may include, but are not limited to, market impact,
which is the effect that a market participant has when it buys or sells an
asset, and commissions. A higher portfolio turnover rate may indicate
higher transaction costs and may result in higher taxes when Shares are held in
a taxable account. These costs, which are not reflected in annual Fund operating
expenses or in the example, affect the Fund’s performance. This rate excludes
the value of
portfolio securities received or delivered
as a result of any in-kind creations or redemptions of the Fund’s Shares.
Because the Fund is newly organized, portfolio turnover information is not yet
available.
Principal
Investment Strategies
The
Fund uses a rules-based methodology to implement a systematic strategy that
directs exposure to either (i) U.S. small- and medium-sized capitalization
equity securities, that WBI Investments, Inc., the sub-advisor (“Sub-Advisor”)
to the Fund and an affiliate of Millington Securities, Inc., the advisor
(“Advisor”),
believes offer the potential for a high correlation to the performance of the
broader U.S. small and medium-sized capitalization equities market; or (ii) U.S.
fixed income securities that the Sub-Advisor, believes display attractive
prospects for current income with the potential for long-term capital
appreciation under then current market conditions. The Fund’s exposure direction
is driven first by the Sub-Advisor’s proprietary rules-based equity model (the
“Equity
Model”),
and then, if applicable, by the Sub-Advisor’s proprietary rules-based bond model
(the “Bond
Model”).
Both the Equity Model and the Bond Model (referred to together as, the
“Models”)
utilize a systematic approach analyzing macro-economic factors and technical
market trends including, among others, those relating to commodities, monetary
policy, valuation, sentiment and change in interest rates, to assess risk and
generate their signals, and are described further below. Since cash and cash
equivalents are among the investment opportunities evaluated by the Models, the
Fund may invest in and hold most, if not all, of its net assets in cash or cash
equivalents as part of the normal operation of its investment
strategy.
When
the Fund is invested in equity securities it will invest in U.S. small and
medium-sized capitalization equity securities, and ETFs or ETNs with exposure to
U.S. small and medium-sized capitalization equity securities.
Small-capitalization and medium-sized capitalization companies are those that
have lower market capitalization than large-capitalization companies in their
primary market. For publicly-traded U.S. companies in the current environment,
this would include companies with market capitalizations of less than
approximately $10 billion.
When
the Fund is not invested in equity securities, it will invest debt securities
selected on the basis of the Sub-Advisor’s assessment of the risks in the U.S.
fixed income market using its Bond Model. The purpose of the Bond Model is to
assess conditions likely to affect the relative performance of selected segments
of the fixed income market with respect to their sensitivity to credit quality
and duration. The types of debt securities in which the Fund will invest are
U.S. Treasuries, U.S. investment grade corporate bonds, and U.S. high yield
bonds (also known as “junk bonds”), and ETFs and ETNs with exposure to the debt
securities described. The Fund expects to invest in debt securities of short and
long durations, depending on the Sub-Advisor’s assessment of the risks along the
yield curve. The yield curve refers to differences in yield among debt assets of
varying maturities.
The
Fund defines a total return fund as one that seeks to maximize gains from both
income generating investments, such as bonds and dividend paying stocks, while
simultaneously aiming to invest in assets which will experience capital
appreciation, and as such these approaches are used (in part) to achieve the
Fund’s investment objective.
The
Fund uses the Equity Model, which directs exposure exclusively to either the
equity securities of U.S. small and medium-sized capitalization companies or
exclusively to U.S. fixed income securities under the Bond Model. The purpose of
the Equity Model is to assess conditions likely to affect the relative
performance of the small and medium-sized capitalization companies’ segment of
the U.S. equity market with respect to its sensitivity to the then current level
of market risk and respond to only those investment environments that are likely
to produce significant changes in market performance.
The
Equity Model signals indicate whether market conditions call for the Fund to
remain in either of its possible exposure positions. The Fund may remain in a
particular exposure position for an extended period of time. The Fund will
change its exposure position based on the Equity Indicator of the Equity Model,
and each change will become effective on the business day after the indicator
signals change. The Equity Model is used by the Sub-Advisor to determine when
the risk of investing in the U.S. small and medium-sized capitalization equity
market is high or low. The Equity Model relies on quantitative methods to assist
the Sub-Advisor in forming its view of the risk associated with investment
exposure to the U.S. small and medium-sized capitalization equity market at any
given time.
When
the Equity Model signals that risk is low, this indicates that the Fund should
have investment exposure to U.S. small and medium-sized capitalization equities.
When the Equity Model signals that risk is high, this indicates that the Fund
should have investment exposure to debt securities under the Bond
Model.
The
various quantitative methods and analysis utilized in the Sub-Advisor’s Equity
Model are based on numerous factors which may affect the value of a security or
a broader group of securities. Primary factors evaluated by the Equity Model
include:
•Macroeconomic
(economy and industry conditions)
•Momentum
(measurements of the rate-of-change in security prices)
•Sentiment
(perception and beliefs of individuals regarding future
expectations)
•Fundamental
(company and industry valuation conditions), and
•Technical
(indicators based upon historical security prices, volume and
liquidity)
The
Equity Model uses statistical forecasting techniques, such as regression
analysis, to examine the relationship and influence that these factors may have
on the risk associated with an investment in the U.S. small and medium-sized
capitalization equity market.
When
the Equity Indicator recommends that the Fund’s exposure be to U.S. fixed income
securities, the Fund uses the Bond Model, which directs investment exposure to
debt securities (or bonds) of a particular duration and credit quality. Duration
is a measure of a debt security’s expected price sensitivity to changes in
interest rates. Debt security prices typically have an inverse relationship with
interest rates. Rising interest rates indicate that debt security prices are
likely to decline, while declining interest rates indicate that debt security
prices are likely to rise. As a general rule, for every 1% increase or decrease
in interest rates, a debt security’s price will change approximately 1% in the
opposite direction for every year of duration. For example, if a bond has a
duration of three years and interest rates increase by 1%, the bond’s price is
expected to decline by approximately 3%. Credit quality is a measure of a
borrower’s (or bond issuer’s) creditworthiness or risk of default. A company or
bond’s credit quality may also be known as its “bond rating” as determined by
private independent rating agencies such as Standard & Poor’s, Moody’s and
Fitch. Each rating agency has its own credit quality designations which
typically range from high (‘AAA’ to ‘AA’) to medium (‘A’ to ‘BBB’) to low (‘BB’,
‘B’, ‘CC’ to ‘C’).
The
Bond Model generates both a credit quality signal and a duration signal. The
combination of the Bond Model’s credit quality signal and the duration signal
indicates the recommended debt security exposure. For example, the Bond Model’s
credit quality signal may indicate that exposure to relatively lower rated debt
securities is appropriate. Simultaneously, the Bond Model’s duration signal may
indicate that exposure to relatively short duration debt securities is
appropriate. In this example, the combination of the two Bond Model signals
would indicate that exposure to lower rated debt securities
with
short duration is appropriate. Market conditions may call for the Fund to remain
in any of the possible exposure positions for an extended period of time. The
Fund will change its exposure position based on the following signals, and each
change will become effective on the business day after the indicator signals
change.
The
Sub-Advisor’s credit quality signal indicates the fixed income credit quality
that current conditions are more likely to favor among U.S. treasuries, U.S.
investment grade bonds, or U.S. high yield bonds on the basis of credit quality
probability and credit condition momentum analysis. Credit quality probability
analysis seeks to predict which of the three possible credit quality debt
securities market segments is likely to perform best in the subsequent week.
Credit momentum analysis seeks to determine whether a change in the current
credit state will be recommended.
The
Sub-Advisor’s duration signal indicates whether current conditions are more
likely to favor bonds of short or long maturities on the basis of duration
probability and duration momentum analysis. Duration probability analysis seeks
to predict whether long or short duration exposure to the credit quality debt
securities determined by the credit quality signal is likely to perform best in
the subsequent week. Duration momentum analysis seeks to determine whether a
change in the current duration will be recommended.
The
Fund seeks to achieve its investment objective by implementing the Equity
Indicator’s recommendations, and when the Equity Indicator recommends that the
Fund’s exposure be to U.S. fixed income securities, following the Bond Model
signals, in each instance principally investing directly in the following
different types of instruments:
•U.S.
small- and medium-capitalization equities, and cash or cash equivalents
(“Direct
Investments”)
which are:
•equity
securities including common stocks, preferred stocks, rights, warrants,
convertibles, and shares of real estate investment trusts (“REITs”);
and
•cash
and cash equivalents including money market accounts, U.S. Treasury Bills, and
commercial paper; and
•U.S.
Treasuries, U.S. Investment Grade Corporate Bonds, and U.S. High Yield Bonds
issued by the U.S. government and U.S. public and private companies
(“Direct
Investments”);
and
•Registered
fund shares (“investment
company shares”)
where such funds’ portfolios primarily contain Direct Investments. Investment
company shares through which the Fund obtains indirect exposure to Direct
Investments include those issued by mutual funds and exchange-traded funds
(“ETFs”)
and
•Exchange-traded
notes (“ETNs”)
and listed and over-the-counter (“OTC”)
derivatives whose performance is designed to track the performance of Direct
Investments (such derivatives together with ETNs and investment company shares
are referred to as “Indirect Investments. Indirect Investments include gaining
exposure to Direct Investment through listed and OTC derivatives,
including:
◦futures
contracts, swap agreements, and forward contracts;
◦options
on securities, indices, and futures contracts.
The
Fund is an actively managed ETF. The Sub-Advisor actively manages the
Fund’s portfolio. As a result, the portfolio turnover rate for the Fund,
especially during periods of significant volatility, may be high. The
Sub-Advisor expects that the Fund’s investment strategy will result in a
portfolio turnover rate in excess of 300% on an annual basis. Since the Fund’s
principal investment strategy is expected
to
result in a higher annual portfolio turnover rate than that of many other
investment companies, the Fund may experience higher portfolio transaction costs
and Shares held in taxable accounts may incur higher taxes than what may be
experienced by other investment companies and their shares.
The
Fund is considered to be diversified.
For
additional information about the Fund’s principal investment strategies and the
investment process, see “Description of the Principal Strategies of the
Funds.”
Principal
Risks
Investors
in the Fund should be willing to accept a high degree of volatility in the price
of the Fund’s Shares and the possibility of significant losses. An investment in
the Fund involves a substantial degree of risk and the Fund does not represent a
complete investment program. As with all
investments, you may lose money in the Fund. An investment
in the Fund is not a bank deposit, is not insured or guaranteed by the FDIC or
any government agency, and may lose value. Therefore, you should
consider carefully the following risks before investing in the Fund. A more
complete discussion of Principal Risks is included under “Description of the
Principal Risks of the Funds.”
Losing
all or a portion of your investment is a risk of investing in the Fund. The
following risks could affect the value of your investment. You should understand
these risks before investing.
Cash
Position Risk
- If the Fund invests all or a substantial portion of its assets in cash or cash
equivalents for extended periods of time, including when it is investing for
temporary defensive purposes, it could reduce the Fund’s potential return and
prevent the Fund from achieving its investment objective as the limited returns
of cash or cash equivalents may lag other investment instruments.
Management
Risk -
An investment in the Fund varies with the success and failure of the
Sub-Advisor’s investment process and strategies and the Sub-Advisor’s research,
analysis, and determination of portfolio securities. If the Sub-Advisor’s
investment process and strategies, including its quantitative models, do not
produce the expected results, the market value or NAV of the Shares would
decrease.
Quantitative
Model Risk - The
Sub-Advisor uses quantitative models in an effort to enhance returns and manage
risk. Any imperfections, errors or limitations in these models could limit any
benefit to the Fund from the use of the models, or could result in incorrect
outputs or in investment outcomes different from or opposite to those expected
or desired by the Sub-Advisor. There can be no assurance that the models will
behave as expected in all market conditions. In addition, computer programming
used to create quantitative models, or the data on which such models operate,
might contain one or more errors.
Portfolio
Turnover Risk - A
high portfolio turnover rate (100% or more) has the potential to result in the
realization and distribution to shareholders of higher capital gains, which may
subject the shareholders to a higher tax liability. A high portfolio turnover
rate also leads to higher transaction costs, which can negatively affect the
Fund’s performance.
Model
Risk - The
Fund’s investment process includes the use of proprietary models and analysis
methods developed by the Sub-Advisor, and data provided by third parties. Third
party data and information used in models and analysis is obtained from sources
believed to be reliable, however inaccurate data could adversely affect the
effectiveness of the resulting investment implementation on the Fund’s
performance. There can be no assurance that any particular model or investment
strategy,
including
those devised by the Sub-Advisor, will be profitable for the Fund, and may
result in a loss of principal.
Small-
and Medium-Sized Companies Risk - Investing
in securities of small- and medium-capitalization companies may involve greater
volatility than investing in larger and more established companies because
small- and medium-capitalization companies can be subject to more abrupt or
erratic share price changes than larger, more established
companies.
Investment
Style Risk - The
prices of bonds in the Fund’s portfolio may fall or fail to rise over extended
periods of time for a variety of reasons, including both general financial
market conditions and factors related to a specific issuer or industry. These
risks are generally greater for small and medium-sized companies. The Fund may
invest in securities, directly or indirectly, that are susceptible to specific
investment risks.
Trend
Lag Risk -
Trend indicator signal changes pursuant to which Fund exposure and investments
are determined, are designed to become effective in the Fund the business day
following the indicator signal. As a result of this, the Fund may be exposed to
downward trends and/or market volatility and may not achieve immediate exposure
to upward trends and/or market volatility.
Fundamental
Business Risk -
Companies with apparently attractive financial conditions and prospects for
ongoing financial stability may experience adverse business conditions specific
to their industry or enterprise that cause their financial condition and
prospects to deteriorate. The Fund’s investments in companies that experience
negative developments in their financial condition may lose value relative to
the stocks of other companies, causing the Fund to underperform funds that do
not invest in companies primarily on the basis of their underlying financial
condition.
Equity
Options Risk - Options
on securities may be subject to greater fluctuations in value than an investment
in the underlying securities. Purchasing and writing put and call options are
highly specialized activities and entail greater than ordinary investment risks.
The successful use of options depends in part on the ability of the Sub-Advisor
to manage future price fluctuations and the degree of correlation between the
options and securities (or currency) markets. By writing put options on equity
securities, the Fund would give up the opportunity to benefit from potential
increases in the value of the common stocks above the strike prices of the
written put options, but continues to bear the risk of declines in the value of
its common stock portfolio. The Fund will receive a premium from writing a
covered call option that it retains whether or not the option is exercised. The
premium received from the written options may not be sufficient to offset any
losses sustained from the volatility of the underlying equity securities over
time.
Equity
Securities Risk - Common
stocks are susceptible to general stock market fluctuations and to volatile
increases and decreases in value as market confidence in and perceptions of
their issuers change. If the Fund holds common stock or common stock equivalents
of any given issuer, it will generally be exposed to greater risk than if the
Fund held preferred stocks and debt obligations of such issuer. Preferred
securities are subject to issuer-specific and market risks applicable generally
to equity securities, however, unlike common stocks, participation in the growth
of an issuer may be limited. Warrants and rights do not carry with them the
right to dividends or voting rights with respect to the securities that they
entitle their holder to purchase, and they do not represent any rights in the
assets of the issuer.
High-Yield
Securities Risk -
The debt securities that are rated below investment grade (i.e.,
“junk bonds”) are subject to additional risk factors such as increased
possibility of default liquidation of the
security
and changes in value based on public perception of the issuer. High-yield
securities are inherently speculative.
Interest
Rate Risk -
The Fund’s performance may be adversely impacted when interest rates fall
because the Fund may be exposed, directly or indirectly, to lower-yielding
bonds. This risk may increase as bonds in the Fund’s portfolio mature. Interest
rate risk is typically greater with respect to exposure to long-term bonds (or
long-term bond funds) and lower for short-term bonds (or short-term bond
funds).
Debt
Securities Risk -
The market value of debt securities held by the Fund typically changes as
interest rates change, as demand for the instruments changes, and as actual or
perceived creditworthiness of an issuer changes. Additionally, debt securities
with longer durations are expected to experience greater price movements than
securities with shorter durations for the same change in prevailing interest
rates. During periods of rising interest rates, the market value of the debt
securities held by the Fund will generally decline. Credit risk is the risk that
an issuer will not make timely payments of principal and interest. There is also
the risk that an issuer may “call,” or repay, its high-yielding bonds before
their maturity dates. Debt securities subject to prepayment can offer less
potential for gains during a declining interest rate environment and similar or
greater potential for loss in a rising interest rate environment. Limited
trading opportunities for certain debt securities may make it more difficult to
sell or buy a security at a favorable price or time.
Derivatives
Risk -
A derivative is a financial contract, the value of which depends on, or is
derived from, the value of an underlying asset, such as a security, a commodity
(such as gold or silver), a currency or an index (a measure of value or rates,
such as the S&P 500® or the prime lending rate). The Fund may invest in
futures contracts, swap agreements, forward contracts and options on securities,
indices, and futures contracts. Compared to conventional securities, derivatives
can be more sensitive to changes in interest rates or to sudden fluctuations in
market prices and thus the Fund’s losses may be greater if it invests in
derivatives than if it invests only in conventional securities. Derivatives are
also subject to counterparty risk, which is the risk that the other party in the
transaction will not fulfill its contractual obligations. Derivatives generally
involve the incurrence of leverage. To address such leverage and to prevent the
Fund from being deemed to have issued senior securities as a result of an
investment in derivatives, the Fund will segregate liquid assets equal to its
obligations under the derivatives throughout the life of the
investment.
ETF
and Other Investment Companies Risk -
When the Fund invests in another ETF or other investment company (e.g.,
mutual fund, closed-end fund, business development company), it will bear
additional expenses based on its pro rata share of such investment company’s
operating expenses, including the potential duplication of management fees. The
risk of owning an ETF or other investment company generally reflects the risks
of owning the underlying securities and other assets held by the ETF or other
investment company. The Fund also will incur brokerage costs when it purchases
ETFs and other exchange-listed investment companies. Additionally, the Fund will
be indirectly exposed to the risks of the portfolio assets held by an ETF or
other investment company, including but not limited to those of ETNs, equity
options, derivatives, currencies, index, leverage, and replication
management.
Exchange-Traded
Note Risk -
The value of an ETN may be influenced by the time remaining before its maturity,
level of supply and demand for the ETN, volatility and lack of liquidity in
underlying securities’ markets, changes in the applicable interest rates,
changes in the issuer’s credit rating, and economic, legal, political, or
geographic events that affect the referenced index. In addition, the notes
issued by ETNs and held by a fund are unsecured debt of the
issuer.
REIT
Risk - Investments
in REITs will be subject to the risks associated with the direct ownership of
real estate. Risks commonly associated with the direct ownership of real estate
include fluctuations in the value of underlying properties, defaults by
borrowers or tenants, changes in interest rates and risks related to general or
local economic conditions. REITs are more dependent upon specialized management
skills, have limited diversification and are, therefore, generally dependent on
their ability to generate cash flow to make distributions to shareholders. REITs
are subject to complex tax qualification and compliance rules. In addition,
REITs have their own expenses, and therefore Fund shareholders will indirectly
bear a proportionate share of the expenses of REITs in which the Fund
invests.
Counterparty
Risk - Many
of the protections afforded to participants on some organized exchanges, such as
the performance guarantee of an exchange clearing house, are not available in
connection with the over-the-counter (“OTC”)
derivatives transactions. In those instances, another ETF holding such
derivatives (in which the Fund invests) will be subject to the risk that its
direct counterparty will not perform its obligations under the transactions and
that such ETF will sustain losses.
Government
Obligations Risk -
The Fund may invest in securities issued by the U.S. government. There can be no
guarantee that the United States will be able to meet its payment obligations
with respect to such securities. Additionally, market prices and yields of
securities supported by the full faith and credit of the U.S. government may
decline or be negative for short or long periods of time.
Liquidity
Risk -
The Fund’s investments are subject to liquidity risk, which exists when an
investment is or becomes difficult to purchase or sell. If a transaction is
particularly large or if the relevant market is or becomes illiquid, it may not
be possible to initiate a transaction or liquidate a position at an advantageous
time or price, which may cause the Fund to suffer significant losses and
difficulties in meeting redemptions. If a number of securities held by the Fund
halt trading, such as due to an exchange’s limit-up, limit-down rules, it may
have a cascading effect and cause the Fund to halt trading. Volatility in market
prices will increase the risk of the Fund being subject to a trading
halt.
Authorized
Participant Concentration Risk -
The Fund has a limited number of financial institutions that may act as
Authorized Participants (“APs”)
to create and redeem Fund Shares. To the extent that these APs exit the business
or are unable to process creation and redemption orders and no other AP is able
to step forward to create and redeem in either of these cases, there may be a
significantly diminished trading market for the Fund’s Shares and such Shares
may trade at a discount to NAV and possibly face de-listing.
Market
Risk -
Either the stock market as a whole or the value of an investment held by the
Fund may go down, resulting in a decrease in the market value or NAV of the
Shares. For example, there is the risk that sharp price declines in securities
owned by the Fund, known as flash crash risk, may trigger trading halts, which
may result in the Fund’s Shares trading in the market at an increasingly large
discount to NAV during part (or all) of a trading day. Local, regional or global
events such as war, acts of terrorism, trade and tariff disputes, epidemics,
pandemics or other public health issue, recessions, or other events could have a
significant and protracted impact on the Fund and its investments and could
result in increased premiums or discounts to the Fund’s net asset
value.
Share
Trading Price Risk - The
Shares of the Funds are listed for trading on the NYSE Arca and will be bought
and sold in the Secondary Market at market prices. Although it is expected that
generally the exchange price of the Fund’s Shares will approximate the Fund’s
NAV, there may be times when the exchange price and the NAV vary significantly.
Thus, you may pay more than NAV when you buy Shares in the Secondary Market, and
you may receive less than NAV when you sell those Shares in the Secondary
Market.
The
market price of Shares during the trading day, like the price of any
exchange-traded security, includes a “bid/ask” spread charged by the exchange
specialist, market makers, or other participants that trade the Shares. In times
of severe market disruption, the bid/ask spread can increase significantly. At
those times, Shares are most likely to be traded at a discount to NAV, and the
discount is likely to be greatest when the price of Shares is falling fastest,
which may be the time that you most want to sell your Shares. The Sub-Advisor
believes that, under normal market conditions, large market price discounts or
premiums to NAV will not be sustained because of arbitrage
opportunities.
Shares
of the Fund May Trade at Prices Other Than NAV -
There is no obligation by any market maker to make a market in the Fund’s shares
or by any AP to submit creation or redemption orders. Decisions by market makers
or APs to reduce or step away from the Fund in a time of market stress could
inhibit the arbitrage process by which a relationship between the Fund’s NAV per
share and the market trading price of the shares is maintained. Thus, reduced
effectiveness of the arbitrage function could result in Fund shares trading at a
discount to NAV per share and also with greater than normal intra-day bid/ask
spreads.
Shares
are Not Individually Redeemable -
Shares are only redeemable by the Fund at NAV if they are tendered in large
blocks known as “Creation Units” which are expected to be worth in excess of $1
million each. Only APs may engage in such creation and redemption transactions
directly with the Fund. Individual Shares may be sold on a stock exchange at
their current market prices, which may be less, more, or equal to their NAV.
There can be no assurance that an active trading market will be maintained for
the Shares.
Performance
Information
As of the date
of this Prospectus, the Fund has not yet commenced operations and therefore does
not report its performance information. When the Fund has been in operation for
one full calendar year, performance information will be shown
here. Updated performance information will be available on
www.wbietfs.com
or by calling the Fund toll-free at (855) WBI-ETFS or (855)
924-3837.
Management
Investment
Advisor.
Millington Securities, Inc. is the Fund’s investment advisor and has selected
its affiliate WBI Investments, Inc. to act as the sub-advisor to the Fund and to
be responsible for its day-to-day investment management.
Portfolio
Managers.
The portfolio managers responsible for the day-to-day management of the Fund are
as follows:
•Steven
Van Solkema, co-portfolio manager. After working for the Advisor since 2014, Mr.
Van Solkema joined the Sub-Advisor in 2019 and is its President and Chief
Investment Officer. He has been a portfolio manager of the Fund since
inception.
•Don
Schreiber, Jr., co-portfolio manager. Mr. Schreiber founded the Sub-Advisor in
1984 and is its Founder and Co-Chief Executive Officer. He has been a portfolio
manager of the Fund since inception.
Purchase
and Sale of Shares
Unlike
conventional mutual funds, the Fund issues and redeems Shares on a continuous
basis at NAV only in Creation Units comprised of blocks of 25,000 Shares, or
whole multiples thereof. Only a broker-dealer (“Authorized
Participant”)
that enters into an appropriate agreement with the Fund’s distributor may engage
in such creation and redemption transactions directly with the Fund. The
Fund’s Creation Units generally are issued and redeemed “in-kind,” for
securities in the Fund, but may also be issued and redeemed in cash. Retail
investors may acquire Shares on the NYSE Arca through a broker-dealer. Shares of
the Fund will trade at market price rather than NAV. As such, Shares may trade
at a price greater than NAV (premium) or less than NAV (discount).
Tax
Information
The
Fund’s distributions are taxable and will generally be taxed as ordinary income
or capital gains.
Financial
Intermediary Compensation
If
you purchase Shares of the Fund through a broker-dealer or other financial
intermediary (such as a bank), the Sub-Advisor may pay the intermediary for the
sale of Shares and related services. These payments may create a conflict of
interest by influencing the broker-dealer or other intermediary and your
salesperson to recommend the Fund over another investment. Ask your salesperson
or visit your financial intermediary’s website for more
information.
WBI BULLBEAR
TREND SWITCH US 3000 TOTAL RETURN ETF
Investment
Objective
The
WBI BullBear Trend Switch 3000 Total Return ETF’s (the “Fund”)
investment objective is to seek current income with the potential for long-term
capital appreciation, while also seeking to protect principal during unfavorable
market conditions.
Fees and
Expenses of the Fund
This
table describes the fees and expenses that you may pay if you buy, hold and sell
shares of the Fund (“Shares”).
You may pay other fees, such as brokerage commission and other fees to financial
intermediaries, which are not reflected in the table and example below.
Investors purchasing Shares on a national securities exchange, national
securities association, or over-the-counter trading system where Shares may
trade from time to time (each, a “Secondary
Market”)
may be subject to customary brokerage commissions charged by their broker that
are not reflected in the table set forth below.
Annual Fund
Operating Expenses (expenses that you pay each year as a percentage of the value
of your investment):
|
|
|
|
|
|
Management
Fee |
0.65% |
Distribution
and/or Service (12b-1) Fees |
0.00% |
Other
Expenses |
0.07% |
Acquired
Fund Fees and Expenses(1) |
0.16% |
Total
Annual Fund Operating Expenses |
0.88% |
(1)Acquired Funds Fees &
Expenses (“AFFE”) represent the Fund’s pro rata share of fees and expenses
incurred indirectly as a result of investing in other funds, including ETFs and
money market funds. The Total Annual Fund Operating Expenses in this fee table
does not correlate to the expense ratio in the Fund’s “Financial Highlights”
section of the Prospectus, which does not include Acquired Fund Fees and
Expenses.
Example.
This example is intended to help
you compare the cost of investing in the Fund with the cost of investing in
other funds. Investors may pay brokerage commissions on their purchases
and sales of exchange-traded fund shares, which are not reflected in the
example.
The example assumes that you invest $10,000
in the Fund for the time periods indicated and then redeem all of your Shares at
the end of those periods. The example also assumes that your investment has a 5%
return each year and that the Fund’s operating expenses remain at current
levels. The return of 5% and estimated expenses are for illustration purposes
only and should not be considered indicators of expected Fund expenses or
performance, which may be greater or less than the estimates.
Although your
actual costs may be higher or lower, based on these assumptions your costs would
be:
|
|
|
|
|
|
|
|
|
|
|
|
1
Year |
3
Years |
5
Years |
10
Years |
$90 |
$281 |
$488 |
$1,084 |
Portfolio
Turnover. The Fund incurs implicit and
explicit transaction costs when it buys and sells securities (or “turns over”
its portfolio). Such costs may include, but are not limited to, market impact,
which is the effect that a market participant has when it buys or sells an
asset, and commissions. A higher portfolio turnover rate may indicate
higher transaction costs and may result in higher taxes when Shares are held in
a taxable account. These costs, which are not reflected in annual Fund operating
expenses or in the example, affect the Fund’s performance. This rate excludes
the value of portfolio securities received or delivered as a result of any
in-kind creations or redemptions of the
Fund’s Shares. For the fiscal year ended
June 30, 2021, the Fund’s portfolio turnover rate was 99% of the average value of its
portfolio.
Principal
Investment Strategies
The
Fund uses a rules-based methodology to implement a systematic strategy that
directs exposure to either (i) U.S. large, medium-sized and small-capitalization
(“All
Cap”)
equity securities, that WBI Investments, Inc., the sub-advisor (“Sub-Advisor”)
to the Fund and an affiliate of Millington Securities, Inc., the advisor
(“Advisor”),
believes offer the potential for a high correlation to the performance of the
broader U.S. All Cap equities market; or (ii) U.S. fixed income securities that
the Sub-Advisor, believes display attractive prospects for current income with
the potential for long-term capital appreciation under then current market
conditions. The Fund’s exposure direction is driven first by the Sub-Advisor’s
proprietary rules-based equity model (the “Equity
Model”),
and, if applicable, subsequently by the Sub-Advisor’s proprietary rules-based
bond model (the “Bond
Model”).
Both the Equity Model and the Bond Model (referred to together as, the
“Models”)
utilize a systematic approach analyzing macro-economic factors and technical
market trends including, among others, those relating to commodities, monetary
policy, valuation, sentiment and change in interest rates, to assess risk and
generate their signals, and are described further below. Since cash and cash
equivalents are among the investment opportunities evaluated by the Models, the
Fund may invest in and hold most, if not all, of its net assets in cash or cash
equivalents as part of the normal operation of its investment
strategy.
When
the Fund is invested in equity securities it will invest in All Cap equity
securities, and ETFs or ETNs with exposure to those equity securities.
Large-capitalization companies are those that have higher market capitalization
than small- and medium-capitalization companies in their primary market when
ranked in order of market capital. For publicly-traded U.S. companies in the
current environment, this would include companies with market capitalizations of
greater than approximately $10 billion. Small-capitalization and medium-sized
capitalization companies are those that have lower market capitalization than
large-capitalization companies in their primary market. For publicly-traded U.S.
companies in the current environment, this would include companies with market
capitalizations of less than approximately $10 billion.
When
the Fund is not invested in equity securities, it will invest debt securities
selected on the basis of the Sub-Advisor’s assessment of the risks in the U.S.
fixed income market using its Bond Model. The purpose of the Bond Model is to
assess conditions likely to affect the relative performance of selected segments
of the fixed income market with respect to their sensitivity to credit quality
and duration. The types of debt securities in which the Fund will invest are
U.S. treasuries, U.S. investment grade corporate bonds, and U.S. high yield
bonds (also known as “junk bonds”), and ETFs and ETNs with exposure to the debt
securities described. The Fund expects to invest in debt securities of short and
long durations, depending on the Sub-Advisor’s assessment of the risks along the
yield curve. The yield curve refers to differences in yield among debt assets of
varying maturities.
The
Funds defines a total return fund as one that seeks to maximize gains from both
income generating investments, such as bonds and dividend paying stocks, while
simultaneously aiming to invest in assets which will experience capital
appreciation, and as such these approaches are used (in part) to achieve the
Fund’s investment objective.
The
Fund uses the Equity Model, which directs exposure exclusively either to the
equity securities of All Cap companies or exclusively to U.S. fixed income
securities under the Bond Model. The purpose of the Equity Model is to assess
conditions likely to affect the relative performance of the All Cap equity
market with respect to its sensitivity to the then current level of market risk
and respond to only those investment environments that are likely to produce
significant changes in market performance.
The
Equity Model signals indicate whether market conditions call for the Fund to
remain in either of its possible exposure positions. The Fund may remain in a
particular exposure position for an extended period of time. The Fund will
change its exposure position based on the Equity Indicator of the Equity Model,
and each change will become effective on the business day after the indicator
signals change.
The
Equity Model is used by the Sub-Advisor to determine when the risk of investing
in the All Cap equity market is high or low. The Equity Model relies on
quantitative methods to assist the Sub-Advisor in forming its view of the risk
associated with investment exposure to the All Cap equity market at any given
time.
When
the Equity Model signals that risk is low, this indicates that the Fund should
have investment exposure to U.S. All Cap equities. When the Equity Model signals
that risk is high, this indicates that the Fund should have investment exposure
to debt securities under the Bond Model.
The
various quantitative methods and analysis utilized in the Sub-Advisor’s Equity
Model are based on numerous factors which may affect the value of a security or
a broader group of securities. Primary factors evaluated by the Equity Model
include:
•Macroeconomic
(economy and industry conditions)
•Momentum
(measurements of the rate-of-change in security prices)
•Sentiment
(perception and beliefs of individuals regarding future
expectations)
•Fundamental
(company and industry valuation conditions), and
•Technical
(indicators based upon historical security prices, volume and
liquidity)
The
Equity Model uses statistical forecasting techniques, such as regression
analysis, to examine the relationship and influence that these factors may have
on the risk associated with an investment in the All Cap equity
market.
When
the Equity Indicator recommends that the Fund’s exposure be to U.S. fixed income
securities, the Fund uses the Bond Model, which directs investment exposure to
debt securities (or bonds) of a particular duration and credit quality. Duration
is a measure of a debt security’s expected price sensitivity to changes in
interest rates. Debt security prices typically have an inverse relationship with
interest rates. Rising interest rates indicate that debt security prices are
likely to decline, while declining interest rates indicate that debt security
prices are likely to rise. As a general rule, for every 1% increase or decrease
in interest rates, a debt security’s price will change approximately 1% in the
opposite direction for every year of duration. For example, if a bond has a
duration of three years and interest rates increase by 1%, the bond’s price is
expected to decline by approximately 3%. Credit quality is a measure of a
borrower’s (or bond issuer’s) creditworthiness or risk of default. A company or
bond’s credit quality may also be known as its “bond rating” as determined by
private independent rating agencies such as Standard & Poor’s, Moody’s and
Fitch. Each rating agency has its own credit quality designations which
typically range from high (‘AAA’ to ‘AA’) to medium (‘A’ to ‘BBB’) to low (‘BB’,
‘B’, ‘CC’ to ‘C’).
The
Bond Model generates both a credit quality signal and a duration signal. The
combination of the Bond Model’s credit quality signal and the duration signal
indicates the recommended debt security exposure. For example, the Bond Model’s
credit quality signal may indicate that exposure to relatively lower rated debt
securities is appropriate. Simultaneously, the Bond Model’s duration signal may
indicate that exposure to relatively short duration debt securities is
appropriate. In this example, the combination of the two Bond Model signals
would indicate that exposure to lower rated debt securities
with
short duration is appropriate. Market conditions may call for the Fund to remain
in any of the possible exposure positions for an extended period of time. The
Fund will change its exposure position based on the following signals, and each
change will become effective on the business day after the indicator signals
change.
The
Sub-Advisor’s credit quality signal indicates the fixed income credit quality
that current conditions are more likely to favor among U.S. treasuries, U.S.
investment grade bonds, or U.S. high yield bonds on the basis of credit quality
probability and credit condition momentum analysis. Credit quality probability
analysis seeks to predict which of the three possible credit quality debt
securities market segments is likely to perform best in the subsequent week.
Credit momentum analysis seeks to determine whether a change in the current
credit state will be recommended.
The
Sub-Advisor’s duration signal indicates whether current conditions are more
likely to favor bonds of short or long maturities on the basis of duration
probability and duration momentum analysis. Duration probability analysis seeks
to predict whether long or short duration exposure to the credit quality debt
securities determined by the credit quality signal is likely to perform best in
the subsequent week. Duration momentum analysis seeks to determine whether a
change in the current duration will be recommended.
The
Fund seeks to achieve its investment objective by implementing the Equity
Indicator’s recommendations, and when the Equity Indicator recommends that the
Fund’s exposure be to U.S. fixed income securities, following the Bond Model
signals, in each instance principally investing directly in the following
different types of instruments:
•U.S.
all capitalization equities, and cash or cash equivalents (“Direct
Investments”)
which are:
•equity
securities including common stocks, preferred stocks, rights, warrants,
convertibles, and shares of real estate investment trusts (“REITs”);
and
•cash
and cash equivalents including money market accounts, U.S. Treasury Bills, and
commercial paper; and
•U.S.
Treasuries, U.S. Investment Grade Corporate Bonds, and U.S. High Yield Bonds
issued by the U.S. government and U.S. public and private companies
(“Direct
Investments”);
and
•Registered
fund shares (“investment
company shares”)
where such funds’ portfolios primarily contain Direct Investments. Investment
company shares through which the Fund obtains indirect exposure to Direct
Investments include those issued by mutual funds and exchange-traded funds
(“ETFs”)
and
•Exchange-traded
notes (“ETNs”)
and listed and over-the-counter (“OTC”)
derivatives whose performance is designed to track the performance of Direct
Investments (such derivatives together with ETNs and investment company shares
are referred to as “Indirect
Investments”).
Indirect Investments include gaining exposure to Direct Investment through
listed and OTC derivatives, including:
◦futures
contracts, swap agreements, and forward contracts; and
◦options
on securities, indices, and futures contracts.
The
Fund is an actively managed ETF. The Sub-Advisor actively manages the
Fund’s portfolio. As a result, the portfolio turnover rate for the Fund,
especially during periods of significant volatility, may be high. The
Sub-Advisor expects that the Fund’s investment strategy will result in a
portfolio turnover rate in excess of 300% on an annual basis. Since the Fund’s
principal investment strategy is expected
to
result in a higher annual portfolio turnover rate than that of many other
investment companies, the Fund may experience higher portfolio transaction costs
and Shares held in taxable accounts may incur higher taxes than what may be
experienced by other investment companies and their shares.
The
Fund is considered to be diversified.
For
additional information about the Fund’s principal investment strategies and the
investment process, see “Description of the Principal Strategies of the
Funds.”
Principal
Risks
Investors
in the Fund should be willing to accept a high degree of volatility in the price
of the Fund’s Shares and the possibility of significant losses. An investment in
the Fund involves a substantial degree of risk and the Fund does not represent a
complete investment program. As with all
investments, you may lose money in the Fund. An investment
in the Fund is not a bank deposit, is not insured or guaranteed by the FDIC or
any government agency, and may lose value. Therefore, you should
consider carefully the following risks before investing in the Fund. A more
complete discussion of Principal Risks is included under “Description of the
Principal Risks of the Funds.”
Losing
all or a portion of your investment is a risk of investing in the Fund. The
following risks could affect the value of your investment. You should understand
these risks before investing.
Cash
Position Risk
- If the Fund invests all or a substantial portion of its assets in cash or cash
equivalents for extended periods of time, including when it is investing for
temporary defensive purposes, it could reduce the Fund’s potential return and
prevent the Fund from achieving its investment objective as the limited returns
of cash or cash equivalents may lag other investment instruments.
Management
Risk -
An investment in the Fund varies with the success and failure of the
Sub-Advisor’s investment process and strategies and the Sub-Advisor’s research,
analysis, and determination of portfolio securities. If the Sub-Advisor’s
investment process and strategies, including its quantitative models, do not
produce the expected results, the market value or NAV of the Shares would
decrease.
Quantitative
Model Risk - The
Sub-Advisor uses quantitative models in an effort to enhance returns and manage
risk. Any imperfections, errors or limitations in these models could limit any
benefit to the Fund from the use of the models, or could result in incorrect
outputs or in investment outcomes different from or opposite to those expected
or desired by the Sub-Advisor. There can be no assurance that the models will
behave as expected in all market conditions. In addition, computer programming
used to create quantitative models, or the data on which such models operate,
might contain one or more errors.
Portfolio
Turnover Risk - A
high portfolio turnover rate (100% or more) has the potential to result in the
realization and distribution to shareholders of higher capital gains, which may
subject the shareholders to a higher tax liability. A high portfolio turnover
rate also leads to higher transaction costs, which can negatively affect the
Fund’s performance.
Model
Risk - The
Fund’s investment process includes the use of proprietary models and analysis
methods developed by the Sub-Advisor, and data provided by third parties. Third
party data and information used in models and analysis is obtained from sources
believed to be reliable, however inaccurate data could adversely affect the
effectiveness of the resulting investment implementation on the Fund’s
performance. There can be no assurance that any particular model or investment
strategy, including those devised by the Sub-Advisor, will be profitable for the
Fund, and may result in a loss of principal.
Small-
and Medium-Sized Companies Risk - Investing
in securities of small- and medium-capitalization companies may involve greater
volatility than investing in larger and more established companies because
small- and medium-capitalization companies can be subject to more abrupt or
erratic share price changes than larger, more established
companies.
Investment
Style Risk - The
prices of bonds in the Fund’s portfolio may fall or fail to rise over extended
periods of time for a variety of reasons, including both general financial
market conditions and factors related to a specific issuer or industry. These
risks are generally greater for small and medium-sized companies. The Fund may
invest in securities, directly or indirectly, that are susceptible to specific
investment risks.
Trend
Lag Risk -
Trend indicator signal changes pursuant to which Fund exposure and investments
are determined, are designed to become effective in the Fund the business day
following the indicator signal. As a result of this, the Fund may be exposed to
downward trends and/or market volatility and may not achieve immediate exposure
to upward trends and/or market volatility.
Fundamental
Business Risk -
Companies with apparently attractive financial conditions and prospects for
ongoing financial stability may experience adverse business conditions specific
to their industry or enterprise that cause their financial condition and
prospects to deteriorate. The Fund’s investments in companies that experience
negative developments in their financial condition may lose value relative to
the stocks of other companies, causing the Fund to underperform funds that do
not invest in companies primarily on the basis of their underlying financial
condition.
Equity
Options Risk - Options
on securities may be subject to greater fluctuations in value than an investment
in the underlying securities. Purchasing and writing put and call options are
highly specialized activities and entail greater than ordinary investment risks.
The successful use of options depends in part on the ability of the Sub-Advisor
to manage future price fluctuations and the degree of correlation between the
options and securities (or currency) markets. By writing put options on equity
securities, the Fund would give up the opportunity to benefit from potential
increases in the value of the common stocks above the strike prices of the
written put options, but continues to bear the risk of declines in the value of
its common stock portfolio. The Fund will receive a premium from writing a
covered call option that it retains whether or not the option is exercised. The
premium received from the written options may not be sufficient to offset any
losses sustained from the volatility of the underlying equity securities over
time.
Equity
Securities Risk - Common
stocks are susceptible to general stock market fluctuations and to volatile
increases and decreases in value as market confidence in and perceptions of
their issuers change. If the Fund holds common stock or common stock equivalents
of any given issuer, it will generally be exposed to greater risk than if the
Fund held preferred stocks and debt obligations of such issuer. Preferred
securities are subject to issuer-specific and market risks applicable generally
to equity securities, however, unlike common stocks, participation in the growth
of an issuer may be limited. Warrants and rights do not carry with them the
right to dividends or voting rights with respect to the securities that they
entitle their holder to purchase, and they do not represent any rights in the
assets of the issuer.
High-Yield
Securities Risk -
The debt securities that are rated below investment grade (i.e.,
“junk bonds”) are subject to additional risk factors such as increased
possibility of default liquidation of the security and changes in value based on
public perception of the issuer. High-yield securities are inherently
speculative.
Interest
Rate Risk -
The Fund’s performance may be adversely impacted when interest rates fall
because the Fund may be exposed, directly or indirectly, to lower-yielding
bonds. This risk may increase as bonds in the Fund’s portfolio mature. Interest
rate risk is typically greater with respect to exposure to long-term bonds (or
long-term bond funds) and lower for short-term bonds (or short-term bond
funds).
Debt
Securities Risk -
The market value of debt securities held by the Fund typically changes as
interest rates change, as demand for the instruments changes, and as actual or
perceived creditworthiness of an issuer changes. Additionally, debt securities
with longer durations are expected to experience greater price movements than
securities with shorter durations for the same change in prevailing interest
rates. During periods of rising interest rates, the market value of the debt
securities held by the Fund will generally decline. Credit risk is the risk that
an issuer will not make timely payments of principal and interest. There is also
the risk that an issuer may “call,” or repay, its high-yielding bonds before
their maturity dates. Debt securities subject to prepayment can offer less
potential for gains during a declining interest rate environment and similar or
greater potential for loss in a rising interest rate environment. Limited
trading opportunities for certain debt securities may make it more difficult to
sell or buy a security at a favorable price or time.
Derivatives
Risk -
A derivative is a financial contract, the value of which depends on, or is
derived from, the value of an underlying asset, such as a security, a commodity
(such as gold or silver), a currency or an index (a measure of value or rates,
such as the S&P 500® or the prime lending rate). The Fund may invest in
futures contracts, swap agreements, forward contracts and options on securities,
indices, and futures contracts. Compared to conventional securities, derivatives
can be more sensitive to changes in interest rates or to sudden fluctuations in
market prices and thus the Fund’s losses may be greater if it invests in
derivatives than if it invests only in conventional securities. Derivatives are
also subject to counterparty risk, which is the risk that the other party in the
transaction will not fulfill its contractual obligations. Derivatives generally
involve the incurrence of leverage. To address such leverage and to prevent the
Fund from being deemed to have issued senior securities as a result of an
investment in derivatives, the Fund will segregate liquid assets equal to its
obligations under the derivatives throughout the life of the
investment.
ETF
and Other Investment Companies Risk -
When the Fund invests in another ETF or other investment company (e.g.,
mutual fund, closed-end fund, business development company), it will bear
additional expenses based on its pro rata share of such investment company’s
operating expenses, including the potential duplication of management fees. The
risk of owning an ETF or other investment company generally reflects the risks
of owning the underlying securities and other assets held by the ETF or other
investment company. The Fund also will incur brokerage costs when it purchases
ETFs and other exchange-listed investment companies. Additionally, the Fund will
be indirectly exposed to the risks of the portfolio assets held by an ETF or
other investment company, including but not limited to those of ETNs, equity
options, derivatives, currencies, index, leverage, and replication
management.
Exchange-Traded
Note Risk -
The value of an ETN may be influenced by the time remaining before its maturity,
level of supply and demand for the ETN, volatility and lack of liquidity in
underlying securities’ markets, changes in the applicable interest rates,
changes in the issuer’s credit rating, and economic, legal, political, or
geographic events that affect the referenced index. In addition, the notes
issued by ETNs and held by a fund are unsecured debt of the issuer.
REIT
Risk - Investments
in REITs will be subject to the risks associated with the direct ownership of
real estate. Risks commonly associated with the direct ownership of real estate
include fluctuations in the value of underlying properties, defaults by
borrowers or tenants, changes in interest rates and risks related to general or
local economic conditions. REITs are more dependent upon specialized
management
skills, have limited diversification and are, therefore, generally dependent on
their ability to generate cash flow to make distributions to shareholders. REITs
are subject to complex tax qualification and compliance rules. In addition,
REITs have their own expenses, and therefore Fund shareholders will indirectly
bear a proportionate share of the expenses of REITs in which the Fund
invests.
Counterparty
Risk - Many
of the protections afforded to participants on some organized exchanges, such as
the performance guarantee of an exchange clearing house, are not available in
connection with the over-the-counter (“OTC”)
derivatives transactions. In those instances, another ETF holding such
derivatives (in which the Fund invests) will be subject to the risk that its
direct counterparty will not perform its obligations under the transactions and
that such ETF will sustain losses.
Government
Obligations Risk -
The Fund may invest in securities issued by the U.S. government. There can be no
guarantee that the United States will be able to meet its payment obligations
with respect to such securities. Additionally, market prices and yields of
securities supported by the full faith and credit of the U.S. government may
decline or be negative for short or long periods of time.
Liquidity
Risk -
The Fund’s investments are subject to liquidity risk, which exists when an
investment is or becomes difficult to purchase or sell. If a transaction is
particularly large or if the relevant market is or becomes illiquid, it may not
be possible to initiate a transaction or liquidate a position at an advantageous
time or price, which may cause the Fund to suffer significant losses and
difficulties in meeting redemptions. If a number of securities held by the Fund
halt trading, such as due to an exchange’s limit-up, limit-down rules, it may
have a cascading effect and cause the Fund to halt trading. Volatility in market
prices will increase the risk of the Fund being subject to a trading
halt.
Authorized
Participant Concentration Risk -
The Fund has a limited number of financial institutions that may act as
Authorized Participants (“APs”)
to create and redeem Fund Shares. To the extent that these APs exit the business
or are unable to process creation and redemption orders and no other AP is able
to step forward to create and redeem in either of these cases, there may be a
significantly diminished trading market for the Fund’s Shares and such Shares
may trade at a discount to NAV and possibly face de-listing.
Market
Risk -
Either the stock market as a whole or the value of an investment held by the
Fund may go down, resulting in a decrease in the market value or NAV of the
Shares. For example, there is the risk that sharp price declines in securities
owned by the Fund, known as flash crash risk, may trigger trading halts, which
may result in the Fund’s Shares trading in the market at an increasingly large
discount to NAV during part (or all) of a trading day. Local, regional or global
events such as war, acts of terrorism, trade and tariff disputes, epidemics,
pandemics or other public health issue, recessions, or other events could have a
significant and protracted impact on the Fund and its investments and could
result in increased premiums or discounts to the Fund’s net asset
value.
Share
Trading Price Risk - The
Shares of the Funds are listed for trading on the NYSE Arca and will be bought
and sold in the Secondary Market at market prices. Although it is expected that
generally the exchange price of the Fund’s Shares will approximate the Fund’s
NAV, there may be times when the exchange price and the NAV vary significantly.
Thus, you may pay more than NAV when you buy Shares in the Secondary Market, and
you may receive less than NAV when you sell those Shares in the Secondary
Market.
The
market price of Shares during the trading day, like the price of any
exchange-traded security, includes a “bid/ask” spread charged by the exchange
specialist, market makers, or other participants that trade the Shares. In times
of severe market disruption, the bid/ask spread can increase
significantly.
At those times, Shares are most likely to be traded at a discount to NAV, and
the discount is likely to be greatest when the price of Shares is falling
fastest, which may be the time that you most want to sell your Shares. The
Sub-Advisor believes that, under normal market conditions, large market price
discounts or premiums to NAV will not be sustained because of arbitrage
opportunities.
Shares
of the Fund May Trade at Prices Other Than NAV -
There is no obligation by any market maker to make a market in the Fund’s shares
or by any AP to submit creation or redemption orders. Decisions by market makers
or APs to reduce or step away from the Fund in a time of market stress could
inhibit the arbitrage process by which a relationship between the Fund’s NAV per
share and the market trading price of the shares is maintained. Thus, reduced
effectiveness of the arbitrage function could result in Fund shares trading at a
discount to NAV per share and also with greater than normal intra-day bid/ask
spreads.
Shares
are Not Individually Redeemable -
Shares are only redeemable by the Fund at NAV if they are tendered in large
blocks known as “Creation Units” which are expected to be worth in excess of $1
million each. Only APs may engage in such creation and redemption transactions
directly with the Fund. Individual Shares may be sold on a stock exchange at
their current market prices, which may be less, more, or equal to their NAV.
There can be no assurance that an active trading market will be maintained for
the Shares.
Performance
Information
The following
performance information indicates some of the risks of investing in the Fund.
The bar chart shows the Fund’s performance for the calendar year ended December
31. The table illustrates how the Fund’s average annual returns for the 1-year
and since inception periods compare with those the underlying index and a broad
measure of market performance. The Fund’s
past performance, before and after taxes, does not necessarily indicate how it
will perform in the future. Updated performance information is
available on www.wbietfs.com,
the Fund’s “Website,” or by calling the Fund toll-free at (855) WBI‑ETFS or
(855)
924-3837.
Calendar Year
Total Return
For the year-to-date
period ended September 30, 2021, the
Fund’s total return was 0.87%. During the period of time
shown in the bar chart, the Fund’s highest
quarterly return was 10.18% for the quarter ended
December 31, 2020, and
the lowest
quarterly return was -16.74% for the quarter
ended March 31,
2020.
|
|
|
|
|
|
|
|
|
Average
Annual Total Returns For the Period Ended December 31,
2020 |
|
|
WBI
BullBear Trend Switch US 3000 Total Return ETF |
1
Year |
Since
Inception (5/28/2019) |
Return
Before Taxes |
2.08% |
5.97% |
Return
After Taxes on Distributions |
1.02% |
4.02% |
Return
After Taxes on Distributions and Sale of Fund
Shares |
1.53% |
3.89% |
Russell
3000®
Total Return Index (reflects
no deduction for fees, expenses, or
taxes) |
20.89% |
23.63% |
Average
annual total returns are shown on a before- and after-tax basis for the Fund.
After-tax
returns are calculated using the historical highest individual federal marginal
income tax rates and do not reflect the impact of state and local
taxes. Actual
after-tax returns depend on an investor’s tax situation and may differ from
those shown. After-tax returns shown are not relevant to investors who hold
shares through tax-deferred arrangements, such as 401(k) plans or individual
retirement plans. After-tax returns may exceed the
return before taxes due to an assumed tax benefit from realizing a capital loss
on a sale of shares.
In certain cases, the figure representing
“Return After Taxes on Distributions and Sale of Fund Shares” may be higher than
the other return figures for the same period. A higher after-tax return results
when a capital loss occurs upon redemption and provides an assumed tax benefit
to the investor.
Management
Investment
Advisor.
Millington Securities, Inc. is the Fund’s investment advisor and has selected
its affiliate WBI Investments, Inc. to act as the sub-advisor to the Fund and to
be responsible for its day-to-day investment management.
Portfolio
Managers.
The portfolio managers responsible for the day-to-day management of the Fund are
as follows:
•Steven
Van Solkema, co-portfolio manager. After working for the Advisor since 2014, Mr.
Van Solkema joined the Sub-Advisor in 2019 and is its President and Chief
Investment Officer. He has been a portfolio manager of the Fund since
inception.
•Don
Schreiber, Jr., co-portfolio manager. Mr. Schreiber founded the Sub-Advisor in
1984 and is its Founder and Co-Chief Executive Officer. He has been a portfolio
manager of the Fund since inception.
Purchase
and Sale of Shares
Unlike
conventional mutual funds, the Fund issues and redeems Shares on a continuous
basis at NAV only in Creation Units comprised of blocks of 25,000 Shares, or
whole multiples thereof. Only a broker-dealer (“Authorized
Participant”)
that enters into an appropriate agreement with the Fund’s distributor may engage
in such creation and redemption transactions directly with the Fund. The
Fund’s Creation Units generally are issued and redeemed “in-kind,” for
securities in the Fund, but may also be issued and redeemed in cash. Retail
investors may acquire Shares on the NYSE Arca through a broker-dealer. Shares of
the Fund will trade at market price rather than NAV. As such, Shares may trade
at a price greater than NAV (premium) or less than NAV (discount).
Tax
Information
The
Fund’s distributions are taxable and will generally be taxed as ordinary income
or capital gains.
Financial
Intermediary Compensation
If
you purchase Shares of the Fund through a broker-dealer or other financial
intermediary (such as a bank), the Sub-Advisor may pay the intermediary for the
sale of Shares and related services. These payments may create a conflict of
interest by influencing the broker-dealer or other intermediary and your
salesperson to recommend the Fund over another investment. Ask your salesperson
or visit your financial intermediary’s website for more
information.
OVERVIEW
The
Funds are series of the Absolute Shares Trust, a Delaware statutory trust
registered as an investment company under the Investment Company Act of 1940
(the “1940
Act”),
which consists of separate series (each, a “Fund”
and collectively, the “Funds”),
each of which is an exchange-traded fund (“ETF”).
ETFs are funds whose shares are listed on a stock exchange and trade like equity
securities at market prices. ETFs, such as the Funds, allow you to buy or sell
shares that represent the collective performance of a selected group of
securities. ETFs are designed to add the flexibility, ease, and liquidity of
stock-trading to the benefits of traditional investing in actively-managed
mutual funds. Unlike shares of a mutual fund, which can be bought and redeemed
from the issuing fund by all shareholders at a price based on net asset value
(“NAV”),
shares of the Funds may be purchased or redeemed directly from the Funds at NAV
solely by Authorized Participants (“APs”).
Also unlike shares of a mutual fund, shares of the Funds are listed on a
national securities exchange and trade in the secondary market at market prices
that change throughout the day.
All
of the Funds, except the WBI Power Factor®
High Dividend ETF, are actively-managed ETFs that do not seek to replicate the
performance of a specified index.
The
WBI Power Factor®
High Dividend ETF is a passively-managed ETF that seeks to replicate the
performance of the Solactive Power Factor®
High
Dividend Index (the “Underlying
Index”).
Similar to shares of an index mutual fund, each share of the WBI Power
Factor®
High Dividend ETF represents an ownership interest in an underlying portfolio of
securities and other instruments intended to track a market index. An index is a
financial calculation, based on a grouping of financial instruments, that is not
an investment product, while the WBI Power Factor®
High Dividend ETF is an actual investment portfolio. The performance of the WBI
Power Factor®
High Dividend ETF and the Underlying Index may vary for a number of reasons,
including transaction costs, asset valuations, corporate actions (such as
mergers and spin-offs), timing variances and differences between the Fund’s
portfolio and the Underlying Index resulting from the Fund’s use of
representative sampling or from legal restrictions (such as diversification
requirements) that apply to the Fund but not to the Underlying Index. “Tracking
error” is the divergence of the performance (return) of the Fund’s portfolio
from that of the Underlying Index. WBI Investments, Inc. (the “Sub-Advisor”)
expects that, over time, the Fund’s tracking error will not exceed
5%.
This
Prospectus provides the information you need to make an informed decision about
investing in the Funds. It contains important facts about the Trust and each
Fund.
Millington
Securities, Inc. (“Advisor”),
a wholly-owned subsidiary of WBI Trading Company, Inc., is the investment
advisor to each Fund. The Advisor has selected the Sub-Advisor, an affiliate of
WBI Trading Company, Inc., to act as the sub-advisor to each Fund and to be
responsible for the day-to-day investment management of each Fund.
DESCRIPTION
OF THE PRINCIPAL STRATEGIES OF THE FUNDS
Principal
Investment Strategies For:
WBI
BullBear Value 3000 ETF
WBI
BullBear Yield 3000 ETF
WBI
BullBear Quality 3000 ETF
WBI
BullBear Global Income ETF
Unless
otherwise noted, the following Principal Investment Strategies are used by each
of the Funds listed above.
Securities
are selected for a given Fund on the basis of the Sub-Advisor’s investment
process which includes a buy and a sell discipline. The Funds’ buy discipline is
driven by the Sub-Advisor’s proprietary selection process (“Selection
Process”).
The Selection Process used for a Fund attempts to provide consistent, attractive
returns net of expenses with potentially less volatility and risk to capital
than traditional approaches, whatever market conditions may be.
The
types of equity securities in which each Fund will generally invest include
common stocks, preferred stocks, rights, warrants, convertibles, ETFs, real
estate investment trusts (“REITs”)
and master limited partnerships (businesses organized as partnerships which
trade on public exchanges) (“MLPs”).
The types of debt securities in which each Fund will generally invest include:
corporate debt securities, U.S. Government securities, foreign sovereign debt
securities, U.S. Government agency securities, high-yield bonds (also known as
“junk bonds”), ETFs and exchange-traded notes (“ETNs”),
mortgage-backed securities (including sub-prime mortgages), and variable and
floating rate securities. An ETN is an unsecured debt security that trades on an
established exchange. Its underlying value is determined by reference to an
index, commodity, interest rate or other objectively determined reference. (Such
ETFs and ETNs are referred to collectively as “exchange-traded products” or
“ETPs”).
Each Fund expects to invest in debt securities of all maturities, from less than
one year up to thirty years, depending on the portfolio managers’ assessment of
the risks and opportunities along the yield curve. (The yield curve refers to
differences in yield among debt assets of varying maturities).
Each
Fund may invest without limitation in securities of foreign issuers, and may
invest up to 50% of its net assets in the securities of issuers located in
emerging markets. Each Fund that invests primarily in equities may invest up to
20% of its net assets in high-yield bonds, except the WBI BullBear Global Income
ETF, which may invest up to 40% of its net assets in high-yield bonds. Each Fund
may also invest without limitation in other investment companies, including
other ETFs. Investments in other investment companies that invest predominantly
in equity securities are considered equity securities for the purposes of the
Fund’s equity allocation target, and investments in other investment companies
that invest predominantly in debt securities are considered debt securities for
purposes of the Fund’s debt allocation target.
Although
each Fund is limited as to the percentage of its net assets that may be directly
invested in certain asset classes, each Fund may obtain investment exposure to
such asset classes in excess of such limits by investing indirectly in such
asset classes through other investment companies, including other ETFs with
exposure to such asset classes. Consequently, investments in such pooled
investment vehicles may result in aggregate direct and indirect investment
exposure to an asset class in excess of the limit up to which the applicable
Fund may invest directly in such assets.
While
many investment managers attempt to perform well relative to a fluctuating
market index or benchmark, the risk-managed investment approach used for each
Fund by the Sub-Advisor attempts to provide consistent, attractive returns net
of expenses with potentially less volatility and risk to capital than
traditional approaches, whatever market conditions may be. This is the
Sub-Advisor’s definition of an absolute return approach to investment
management, and such an approach is used (in part) to achieve each Fund’s
investment objective.
Each
Fund uses quantitative screening of fundamental stock information to evaluate
domestic and foreign securities in an attempt to find the most attractive
opportunities. Once securities are identified, an overlay of technical analysis
confirms timeliness of security purchases. Each Fund adds qualifying securities
using available cash within the parameters of such Fund’s target allocations.
This systematic process of identifying, evaluating, and purchasing securities
constitutes the Sub-Advisor’s equity buy discipline for each Fund.
The
Sub-Advisor uses a proprietary bond model for each Fund to assess the
appropriate duration and credit quality of its debt securities exposure. Debt
positions may be periodically adjusted to reflect changes in the bond model’s
assessment of the risks and opportunities along the yield curve. A portion of
each Fund’s bond exposure may also be invested to pursue perceived opportunities
in varying segments of the debt securities market.
ETFs
may be used to provide access to various debt markets, commodities, hedging, or
other strategies. ETFs may also be used for exposure to domestic and
international equities classified by company size, growth or value
characteristics, country or region, and industry groups.
The
Sub-Advisor maintains a strict sell discipline that attempts to control the
effects of volatility of each equity asset on a Fund’s NAV. If a Fund asset’s
price stays within a range of acceptable prices, the Fund asset will continue to
be held. The acceptable price range is determined based on the volatility
profile of the particular Fund asset. The equity sell discipline operates
independently of, and in addition to, any investment model changes. During
periods of high market volatility, a significant amount of Fund assets may be
sold, resulting in a significant allocation to cash in a Fund.
Each
Fund is an actively managed ETF. The Sub-Advisor actively manages the Fund’s
portfolio. As a result, the portfolio turnover rate for the Fund may be high.
The Sub-Advisor expects that the Fund’s investment strategy will result in a
portfolio turnover rate in excess of 100% on an annual basis.
Each
Fund may use a variety of equity option strategies in an attempt to enhance
return or to mitigate risk and volatility. Each Fund may write covered calls,
which is the sale of call options on securities held by the Fund to generate
current income in exchange for the right of the option buyer to purchase the
security on or before a specified date at a predetermined price, irrespective of
the market price. If the security’s market price moves above the option’s
exercise (or “strike” price) while the option is in effect, a Fund risks
receiving less than the market price for the security if the option is
exercised. The difference between the market price and exercise price can offset
the decline in the security’s value equal to the premium it received for writing
the option. The premium received by each Fund for the sale of the option offsets
declines in the security’s price up to the amount of the premium, thereby
mitigating the risk of owning the security and the effects of a price decline in
the security on the value and volatility of Fund shares. Each Fund may also buy
call options, which give such Fund the right to pay a predetermined price for
the receipt of a security on or before a specified date, irrespective of the
market price of the security. Each Fund may also buy put options, which give
such Fund the right to receive a predetermined price for the delivery of a
security on or before a specified date, irrespective of the market price of the
security. This limits the potential loss from a decline in the price of a
security to the option’s strike price plus the cost of the option. Combinations
of writing calls and using the proceeds to buy puts can be used by a Fund to
limit (or “collar”) the risk of price declines in a held security, while
reducing or eliminating the cost of implementing the option pair strategy (“zero
cost collar”). While the premium received for the call may offset some or all of
the cost of the put, gains in the security’s price above the
call’s
exercise price are given up in exchange for protection from losses below the
exercise price of the put purchased. Buying and selling other combinations of
calls and puts with differing expiration dates and/or strike prices can be
varied and used with similar objectives as single option strategies, such as to
generate income and/or mitigate the risk of owning a security, but at particular
price ranges, time frames, total risk exposures, or implementation costs.
Options may also be used to facilitate entering into or exiting from a security
with limited trading volume relative to the size of the position held or
intended to be held, and may be purchased or sold to close out an existing
option position of each Fund. An option on a security that is not exercised
prior to its expiration becomes worthless, resulting in a gain to the option
seller equal to the amount of the option premium received and a loss to the
option buyer equal to the amount of the option premium paid. Options on indices
may be used to enhance return and/or mitigate the risk to the value of a Fund’s
share price due to market movements. Option strategies incur transaction costs,
which affect their after-cost effectiveness.
Principal
Investment Strategies For:
WBI
Power Factor® High Dividend ETF
Unless
otherwise noted, the following Principal Investment Strategies are used by the
Fund listed above.
The
Fund seeks to achieve its investment objective by investing at least 80% of its
assets (exclusive of collateral held from securities lending) in securities
included in the Underlying Index.
The
Sub-Advisor anticipates that, generally, the Fund will hold all of the
securities that comprise the Underlying Index in approximate proportion to their
respective weightings in the Underlying Index. However, under various
circumstances, it may not be possible or practicable to purchase all of those
securities in those weightings. In these circumstances, the Fund may purchase a
representative sample of securities in the Underlying Index. There also may be
instances in which the Sub-Advisor may choose to underweight or overweight a
security in the Fund’s Underlying Index, purchase securities not in the Fund’s
Underlying Index that the Sub-Advisor believes are appropriate to substitute for
certain securities in the Underlying Index or utilize various combinations of
other available investment techniques. The Fund may sell securities that are
represented in the Underlying Index in anticipation of their removal from the
Underlying Index or purchase securities not represented in the Underlying Index
in anticipation of their addition to the Underlying Index. The Fund may also, in
order to comply with the tax diversification requirements of the Internal
Revenue Code of 1986, as amended (the “Code”),
temporarily invest in securities not included in the Underlying Index that are
expected to replicate the performance of securities included in the Underlying
Index.
Given
the Fund’s investment objective of attempting to track its Underlying Index, the
Fund does not follow traditional methods of active investment management, which
may involve buying and selling securities based upon analysis of economic and
market factors. Also, unlike many investment companies, the Fund does not
attempt to outperform the Underlying Index and does not seek temporary defensive
positions when markets decline or appear overvalued.
The
Index Provider maintains and calculates the Underlying Index in accordance with
a rules-based methodology that involves selecting equity securities from the
Parent Index with an above-average forecasted dividend yield, scored on the
basis of three fundamental value characteristics or Power Factors®:
Trailing 12-month diluted earnings from continuing operations to price ratio
(E/P); Trailing 12-month free cash flow to price ratio (FCF/P); and Trailing
12-month sales to price ratio (S/P). The
Parent
Index includes large, mid- and small-cap securities listed in the U.S.,
including approximately the 3,000 largest U.S. companies that are selected and
weighted according to free float market capitalization. The Parent Index is
adjusted semi-annually in May and November. Issuers undergoing initial public
offerings may be added to the Parent Index on a quarterly basis, consistent with
the Parent Index’s selection methodology.
The
Underlying Index is constructed by scoring each ordinary dividend paying, common
stock constituent from the Parent Index both directly and relative to industry
peers using the three Power Factors®
and ranking those securities in descending order according to their dividend
indicated yield. The 50 companies with the largest dividend indicated yield,
subject to certain asset diversification and liquidity requirements, are chosen
as Underlying Index components. Dividend indicated yield is the total prior year
dividend payments of a security expressed as a percentage of the current price
adjusted for market expectations as to next year dividends indicated by related
option premiums and excluding any off-cycle dividend payments. Once a month
(five business days before the last trading day of the month) the Underlying
Index components are screened for dividend cuts or an overall negative outlook
concerning the companies’ dividend policy. If any changes need to be
implemented, the Underlying Index will be adjusted at the close of the last
trading day of the respective month. The composition of the Underlying Index is
adjusted quarterly. The Underlying Index is constructed to limit turnover and
excessive exposure to particular sectors, component weights, or other investment
style factors, such as recently announced or implemented dividend cuts. The
Underlying Index limits component turnover by permitting the retention of
securities that were previously among the top 50 highest scoring securities,
until they are no longer among the 75 highest scoring securities. The Underlying
Index restricts exposure to a particular sector to 20% of the Underlying Index.
The Underlying Index only includes long positions (i.e., short positions are
impermissible). All component securities of the Underlying Index are
dividend-paying securities whose yields are above the median for dividend-paying
securities in the Parent Index.
Principal
Investment Strategies For:
WBI
BullBear Trend Switch US 1000 ETF
WBI
BullBear Trend Switch US 2000 ETF
WBI
BullBear Trend Switch US 1000 Total Return ETF
WBI
BullBear Trend Switch US 2000 Total Return ETF
WBI
BullBear Trend Switch US 3000 Total Return ETF
Unless
otherwise noted, the following Principal Investment Strategies are used by each
of the Funds listed above. The WBI BullBear Trend Switch US 1000 ETF, WBI
BullBear Trend Switch US 2000 ETF, WBI BullBear Trend Switch US 1000 Total
Return ETF, and WBI BullBear Trend Switch US 2000 Total Return ETF had not yet
commenced operations as of June 30, 2020.
The
types of equity securities in which each Fund will generally invest include
common stocks, preferred stocks, rights, warrants, convertibles, ETFs, and real
estate investment trusts (“REITs”).
The types of debt securities in which each Fund will generally invest include:
corporate debt securities, U.S. Government securities, U.S. Government agency
securities, high-yield bonds (also known as “junk bonds”), ETFs, exchange-traded
notes (“ETNs”)
and, variable and floating rate securities. An ETN is an unsecured debt security
that trades on an established exchange. Its underlying value is determined by
reference to an index, commodity, interest rate or other objectively determined
reference. (Such ETFs and ETNs are referred to collectively as “exchange-traded
products” or “ETPs”).
Each Total Return Fund expects to invest in debt securities of both long and
short maturities, depending on the portfolio managers’ assessment of the risks
and
opportunities
along the yield curve. The yield curve refers to differences in yield among debt
assets of varying maturities. All of the other Funds will invest in cash or cash
equivalents. Cash equivalents are short-term, highly liquid investments with a
maturity date that was three (3) months or less at the time of
purchase.
During
periods of high market volatility, a significant amount of Fund assets may be
sold, resulting in a significant allocation to cash or cash equivalents in a
Fund.
Each
Fund is an actively managed ETF. The Sub-Advisor actively manages each Fund’s
portfolio. As a result, the portfolio turnover rate for the Funds, especially
during periods of significant volatility, may be high. The Sub-Advisor expects
that the Funds’ investment strategies will result in a portfolio turnover rate
in excess of 300% on an annual basis. Since the Funds’ principal investment
strategies are expected to result in a higher annual portfolio turnover rate
than that of many other investment companies, the Funds may experience higher
portfolio transaction costs and Shares held in taxable accounts may incur higher
taxes than what may be experienced by other investment companies and their
shares.
Each
Fund seeks to achieve current income or the potential for current income, with
long-term capital appreciation, or the potential for long-term capital
appreciation, while also seeking to protect principal during unfavorable market
conditions. They do so by employing various quantitative models to select
securities, including either the Sub-Advisor’s proprietary Bond Model, its
Equity Model, or a combination thereof.
Both
the Bond Model and Equity Model utilize a systematic approach, analyzing
macro-economic factors and technical market trends including, among others,
those relating to commodities, monetary policy, valuation, sentiment and change
in interest rates, to assess risk and generate their signals. The Bond Model
generates first a credit quality signal and then a duration signal. Credit
quality probability analysis seeks to predict which of the three possible credit
quality debt securities market segments is likely to perform best in the
subsequent week. Duration probability analysis seeks to predict whether long or
short duration exposure to the credit quality debt securities determined by the
credit quality signal is likely to perform best in the subsequent week. The
intersection of the credit quality signals and the duration signals provides the
recommended debt security exposure.
Alternatively,
WBI BullBear Trend Switch US 1000 ETF (“1000
ETF”)
and WBI BullBear Trend Switch US 2000 ETF (“2000
ETF”)
and together with 1000 ETF, the (“Equity
ETFs”)
will exclusively employ the Equity Model, which utilizes many of the same
factors as the Bond Model, to assess risk and generate its signals. The Equity
ETFs will direct exposure exclusively to either the equity securities of U.S.
large, mid-sized or small-capitalization companies, as appropriate for the Fund,
or exclusively to cash or cash equivalents. The Equity Model signals indicate
whether market conditions call for the Fund to remain in either of its possible
exposure positions. The Fund will change its exposure position based on the
Sub-Advisor’s Equity Indicator (“Equity
Indicator”),
which based on certain regression analysis, return forecast results and
quantitative risk assessment, indicates risk of equity markets to be high or
low, and will accordingly make a recommendation for the Fund’s exposure to cash
or cash equivalents. The Fund will change its exposure position based on the
Equity Indicator, and each change will become effective on the business day
after the indicator signals change. The Equity ETFs will invest in securities
including common stocks, preferred stocks, rights, warrants, convertibles, and
shares of real estate investment trusts (“REITs”); cash and cash equivalents
including money market accounts, U.S. Treasury Bills, and commercial paper, and
ETFs and ETNs with exposure to the equity and debt securities
described.
WBI
BullBear Trend Switch US 1000 Total Return ETF (“1000
Total Return ETF”),
WBI BullBear Trend Switch US 2000 Total Return ETF (“2000
Total Return ETF”),
and WBI BullBear Trend Switch US 3000 Total Return ETF (“3000
Total Return ETF”)
(collectively, the “Equity
Total Return ETFs”),
will seek to employ a combination of the Bond Model and the Equity Model. The
Equity Total Return ETFs will implement a systematic strategy which directs
exposure first either to the equity securities of U.S. large, mid-sized or
small-capitalization, as appropriate for the Fund, or to U.S. fixed income
securities, and ETFs and ETNs with exposure to the equity and debt securities
described. The Equity Total Return ETFs utilize the Equity Indicator, which,
based on certain regression analysis, return forecast results and quantitative
risk assessment, indicates risk of equity markets to be high or low, and will
recommend accordingly employing the Equity Model, for exposures to equity
securities, or to U.S. fixed income securities, as directed by the Bond Model,
if applicable.
The
five Funds that employ the Equity Model in their strategies are further
distinguished by the market capitalization of the equity securities that are
eligible for each such Fund. The 1000 ETF and the 1000 Total Return ETF seek
equity exposure exclusively to the equity securities of U.S.
large-capitalization companies. The 2000 ETF and 2000 Total Return ETF seek
equity exposure exclusively to the equity securities of U.S. small and
mid-capitalization companies. The 3000 Total Return ETF seeks equity exposure to
the equity securities of small, mid and large-capitalization companies. The
Sub-Advisor currently defines U.S. large-capitalization companies as having
market capitalization in excess of approximately $10 billion in their primary
market. Small- and mid-capitalization companies are those that have lower market
capitalization than large-capitalization companies in their primary
market.
ADDITIONAL
INVESTMENT STRATEGIES
The
additional investment strategies outlined below do not represent and are
distinct from the principal investment strategies of each Fund. Each of the
policies described herein, including the investment objective of a Fund,
constitutes a non-fundamental policy that may be changed by the Board of
Trustees of the Trust (the “Board”)
without shareholder approval upon 60 days’ prior written notice to shareholders.
Certain fundamental policies of each Fund are set forth in the Statement of
Additional Information (“SAI”)
under “Investment Restrictions”.
The
WBI Power Factor®
High Dividend ETF may invest in one or more financial instruments, including but
not limited to futures contracts, swap agreements and forward contracts, reverse
repurchase agreements, and options on securities, indices, and futures
contracts.
The
WBI Power Factor®
High Dividend ETF may invest up to 20% of its assets in securities and other
instruments not included in the Underlying Index but which the Sub-Advisor
believes will assist the Fund in replicating the performance of the Underlying
Index, such as, among other instruments, futures (including index futures),
swaps, other derivatives, investment companies (including ETFs), preferred
stocks, warrants and rights, cash and cash equivalents and money market
instruments.
Securities
Lending
The
Funds may lend their portfolio securities. In connection with such loans, the
Funds receive liquid collateral equal to at least 102% of the value of the
portfolio securities being lent (and at least 105% for foreign securities of the
WBI Power Factor®
High Dividend ETF). This collateral is marked to market on a daily
basis.
Temporary
or Cash Investments (not applicable to the WBI Power Factor® High Dividend ETF)
In
addition to holding cash as part of its principal investment strategy, each
applicable Fund may temporarily depart from its principal investment strategies
by making investments in cash, cash equivalents, and high-quality, short-term
debt securities, and money market instruments for temporary defensive purposes
in response to adverse market, economic, or political conditions. This may
result in a Fund not achieving its investment objectives during that
period.
Borrowing
Money
Each
Fund may borrow money from a bank as permitted by the 1940 Act or other
governing statute, by the Rules thereunder, or by the U.S. Securities and
Exchange Commission or other regulatory agency with authority over the Fund, but
only for temporary or emergency purposes.
DESCRIPTION
OF THE PRINCIPAL RISKS OF THE FUNDS
Investors
in the Funds should carefully consider the risks of investing in the Funds as
set forth in each Fund’s Summary Information section under “Principal Risks”.
Unless otherwise noted, the following risks apply to all of the
Funds.
Principal
Risks
The
principal risks of investing in the Funds that may adversely affect each Fund’s
NAV or total return were previously summarized and are discussed in more detail
below. There can be no assurance that the Funds will achieve their investment
objectives. The factors below apply to each Fund as indicated in the following
table; additional information about each such risk and how it impacts each Fund
that is subject thereto is set forth below the chart. Each of the factors below
could have a negative impact on the applicable Fund’s performance and trading
prices. The factors below are ordered alphabetically rather than by
importance.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WBI
BullBear Value 3000 ETF |
WBI
BullBear Yield 3000 ETF |
WBI
BullBear Quality 3000 ETF |
WBI
BullBear Global Income ETF |
WBI
Power Factor®
High Dividend ETF |
Active
ETF Risk |
X |
X |
X |
X |
— |
Asset
Class Risk |
— |
— |
— |
— |
X |
Authorized
Participant Concentration Risk |
X |
X |
X |
X |
X |
Calculation
Methodology Risk |
— |
— |
— |
— |
X |
Call
Risk |
√ |
√ |
√ |
√ |
— |
Cash
Position Risk |
X |
X |
X |
X |
— |
Commodities
Risk |
— |
— |
— |
— |
√ |
Concentration
Risk |
— |
— |
— |
— |
X |
Consumer
Discretionary Risk |
— |
— |
— |
— |
X |
Costs
of Buying or Selling Shares |
√ |
√ |
√ |
√ |
√ |
Counterparty
Risk |
√ |
√ |
√ |
X |
√ |
Credit
Risk |
√ |
√ |
√ |
√ |
— |
Cybersecurity
Risk |
√ |
√ |
√ |
√ |
√ |
Debt
Securities Risk |
X |
X |
X |
X |
— |
Derivatives
Risk |
— |
— |
— |
— |
√ |
Equity
Options Risk |
X |
X |
X |
X |
√ |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WBI
BullBear Value 3000 ETF |
WBI
BullBear Yield 3000 ETF |
WBI
BullBear Quality 3000 ETF |
WBI
BullBear Global Income ETF |
WBI
Power Factor®
High Dividend ETF |
Equity
Securities Risk |
X |
X |
X |
X |
X |
ETF
Risks |
— |
— |
— |
— |
√ |
ETF
and Other Investment Companies Risk |
X |
X |
X |
X |
— |
ETN
Risks |
X |
X |
X |
X |
√ |
ETP
Risks |
— |
— |
— |
— |
√ |
Fluctuation
of Net Asset Value |
X |
X |
X |
X |
— |
Foreign
and Emerging Market Securities Risk |
X |
X |
X |
X |
— |
Forward
and Futures Contract Risk |
— |
— |
— |
— |
√ |
Fundamental
Business Risk |
X |
X |
X |
X |
— |
High
Dividend Yield Stocks Risk |
— |
— |
— |
— |
X |
High-Yield
Securities Risk |
X |
X |
X |
X |
— |
Index-Related
Risk |
— |
— |
— |
— |
X |
Interest
Rate Risk |
— |
— |
— |
X |
— |
Investable
Universe of Companies Risk |
— |
— |
— |
— |
X |
Investment
Style Risk |
X |
X |
X |
X |
— |
Issuer
Risk |
√ |
√ |
√ |
√ |
X |
Liquidity
Risk |
X |
X |
X |
X |
√ |
Management
Risk |
X |
X |
X |
X |
X |
Market
Risk |
X |
X |
X |
X |
X |
Master
Limited Partnership Risk |
X |
X |
X |
X |
— |
Model
Risk |
X |
X |
X |
X |
— |
Mortgage-Backed
Securities Risk |
— |
— |
— |
X |
— |
Passive
Investment Risk |
— |
— |
— |
— |
X |
Portfolio
Turnover Risk |
X |
X |
X |
X |
X |
Premium/Discount
Risk |
— |
— |
— |
— |
X |
Quantitative
Model Risk |
X |
X |
X |
X |
— |
Reinvestment
Risk |
√ |
√ |
√ |
√ |
— |
REIT
Risk |
X |
X |
X |
X |
— |
Representative
Sampling Risk |
— |
— |
— |
— |
√ |
Risk
of Investing in the United States |
— |
— |
— |
— |
X |
Secondary
Market Trading Risk |
— |
— |
— |
— |
X |
Securities
Lending |
√ |
√ |
√ |
√ |
√ |
Share
Trading Price Risk |
X |
X |
X |
X |
X |
Shares
Are Not Individually Redeemable |
X |
X |
X |
X |
X |
Small
and Medium-Sized Companies Risk |
X |
X |
X |
X |
X |
Tax
Risk |
√ |
√ |
√ |
√ |
√ |
Tracking
Error Risk |
— |
— |
— |
— |
X |
Trading
Issues |
√ |
√ |
√ |
√ |
√ |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WBI
BullBear Value 3000 ETF |
WBI
BullBear Yield 3000 ETF |
WBI
BullBear Quality 3000 ETF |
WBI
BullBear Global Income ETF |
WBI
Power Factor®
High Dividend ETF |
Valuation
Risk |
— |
— |
— |
— |
X |
X Principal
risk
√ Non-principal
risk
— Not
applicable
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WBI
BullBear
Trend
Switch
US
1000 ETF+ |
WBI
BullBear
Trend
Switch
US
2000 ETF+ |
WBI
BullBear
Trend
Switch
US
1000
Total
Return ETF+ |
WBI
BullBear
Trend
Switch
US
2000
Total
Return ETF+ |
WBI BullBear Trend
Switch US 3000 Total Return ETF |
Authorized
Participant Concentration Risk |
X |
X |
X |
X |
X |
Call
Risk |
√ |
√ |
√ |
√ |
√ |
Cash
Position Risk |
X |
X |
X |
X |
X |
Costs
of Buying or Selling Shares |
√ |
√ |
√ |
√ |
√ |
Counterparty
Risk |
X |
X |
X |
X |
X |
Credit
Risk |
√ |
√ |
√ |
√ |
√ |
Debt
Securities Risk |
— |
— |
X |
X |
X |
Derivatives
Risk |
X |
X |
X |
X |
X |
Equity
Options Risk |
X |
X |
X |
X |
X |
Equity
Securities Risk |
X |
X |
X |
X |
X |
ETF
and Other Investment Companies Risk |
X |
X |
X |
X |
X |
ETN
Risks |
X |
X |
X |
X |
X |
Fundamental
Business Risk |
X |
X |
X |
X |
X |
Government
Obligations Risk |
X |
X |
X |
X |
X |
High-Yield
Securities Risk |
— |
— |
X |
X |
X |
Interest
Rate Risk |
— |
— |
X |
X |
X |
Investment
Style Risk |
X |
X |
X |
X |
X |
Issuer
Risk |
√ |
√ |
√ |
√ |
√ |
Liquidity
Risk |
X |
X |
X |
X |
X |
Management
Risk |
X |
X |
X |
X |
X |
Market
Risk |
X |
X |
X |
X |
X |
Model
Risk |
X |
X |
X |
X |
X |
Portfolio
Turnover Risk |
X |
X |
X |
X |
X |
Quantitative
Model Risk |
X |
X |
X |
X |
X |
Reinvestment
Risk |
√ |
√ |
√ |
√ |
√ |
REIT
Risk |
X |
X |
X |
X |
X |
Securities
Lending |
√ |
√ |
√ |
√ |
√ |
Share
Trading Price Risk |
X |
X |
X |
X |
X |
Shares
Are Not Individually Redeemable Risk |
X |
X |
X |
X |
X |
Shares
of the Fund May Trade at Prices Other Than NAV |
X |
X |
X |
X |
X |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WBI
BullBear
Trend
Switch
US
1000 ETF+ |
WBI
BullBear
Trend
Switch
US
2000 ETF+ |
WBI
BullBear
Trend
Switch
US
1000
Total
Return ETF+ |
WBI
BullBear
Trend
Switch
US
2000
Total
Return ETF+ |
WBI BullBear Trend
Switch US 3000 Total Return ETF |
Small-
and Medium-Sized Companies Risk |
— |
X |
— |
X |
X |
Tax
Risk |
√ |
√ |
√ |
√ |
√ |
Trading
Issues |
√ |
√ |
√ |
√ |
√ |
Trend
Lag Risk |
X |
X |
X |
X |
X |
X Principal
risk
√ Non-principal
risk
— Not
applicable
+ The
Fund had not yet commenced operations as of June 30, 2021.
Active
ETF Risk
– There is no obligation by any market maker to make a market in the Fund’s
shares or by any AP to submit creation or redemption orders. Decisions by market
makers or APs to reduce or step away from the Fund in a time of market stress
could inhibit the arbitrage process by which a relationship between the Fund’s
NAV per Share and the market trading prices of the shares is maintained. Thus,
reduced effectiveness of the arbitrage function could result in Fund shares
trading at a discount to NAV per share and also with greater than normal
intra-day bid/ask spreads.
Asset
Class Risk –
Securities in the Underlying Index or otherwise held in the Fund’s portfolio may
underperform in comparison to the general securities markets or other asset
classes.
Authorized
Participant Concentration Risk
– The Fund has a limited number of financial institutions that may act as APs to
create and redeem the Fund’s shares. To the extent that these APs exit the
business or are unable to process creation and redemption orders and no other AP
is able to step forward to create and redeem in either of these cases, there may
be a significantly diminished trading market for the Fund’s Shares and such
Shares may trade at a discount to NAV and possibly face de-listing.
Calculation
Methodology Risk –
The
Index Provider relies on various sources of information to assess the criteria
of issuers included in the Underlying Index (or its Parent Index), including
information that may be based on assumptions and estimates. Neither the Index
Provider, the Advisor, the Sub-Advisor, nor the Fund can offer assurances that
the Index Provider’s calculation methodology or sources of information will
provide an accurate assessment of included issuers.
Call
Risk
– The Fund may invest in callable bonds, and such issuers may “call” or repay
securities with higher coupon or interest rates before the security’s maturity
date. If interest rates fall, the Fund may have to reinvest the unanticipated
proceeds at lower interest rates, resulting in a decline in the Fund’s
income.
Cash
Position Risk
– If the Fund invests all or a substantial portion of its assets in cash or cash
equivalents for extended periods of time, including when it is investing for
temporary defensive purposes, it could reduce the Fund’s potential return and
prevent the Fund from achieving its investment objective as the limited returns
of cash or cash equivalents may lag other investment instruments.
Commodities
Risk —
The Fund may invest in commodity ETPs. Exposure to commodities may subject the
Fund to greater volatility than investments in traditional securities. The value
of commodities may be affected by changes in overall market movements, commodity
index volatility, changes in interest rates, or sectors affecting a particular
industry or commodity, such as drought, floods, weather, embargoes, tariffs and
international economic, political and regulatory developments.
Concentration
Risk –
The
Fund may be susceptible to an increased risk of loss, including losses due to
adverse events that affect the Fund’s investments more than the market as a
whole, to the extent that the Underlying Index (and, therefore, the Fund’s
investments) is concentrated in the securities of a particular issuer or
issuers, country, region, market, industry, group of industries, sector
(including the consumer discretionary sector) or asset class. Market conditions,
interest rates, and economic, regulatory, or financial developments could
significantly affect a single industry or a group of related industries, and the
securities of companies in that industry or group of industries could react
similarly to these or other developments. From time to time, the Fund may invest
a significant percentage of its assets in issuers in a single industry (or the
same group of industries) or sector of the economy.
Consumer
Discretionary Risk –
The consumer discretionary sector includes companies that sell nonessential
goods and services, including the retail, leisure and entertainment, media and
automotive industries, which are particularly sensitive to changes in consumer
spending and preferences. In addition, companies in the consumer discretionary
sector depend heavily on disposable household income and consumer spending, and
may be strongly affected by social trends and marketing campaigns. The Fund’s
performance may be affected by such susceptibilities if the Fund invests in this
sector.
Costs
of Buying or Selling Shares
– Investors buying or selling Shares in the Secondary Market will
pay
brokerage commissions or other charges imposed by brokers as determined by that
broker. Brokerage commissions are often a fixed amount and may be a significant
proportional cost for investors seeking to buy or sell relatively small amounts
of Shares. In addition, secondary market investors will also incur the cost of
the difference between the price that an investor is willing to pay for Shares
(the “bid” price) and the price at which an investor is willing to sell Shares
(the “ask” price). This difference in bid and ask prices is often referred to as
the “spread” or “bid/ask spread”. The bid/ask spread varies over time for Shares
based on trading volume and market liquidity. In addition, increased market
volatility may cause increased bid/ask spreads.
Counterparty
Risk –
Many of the protections afforded to participants on some organized exchanges,
such as the performance guarantee of an exchange clearing house, are not
available in connection with the over-the-counter (“OTC”) derivatives
transactions. In those instances, the Fund or an ETP in which the Fund invests
will be subject to the risk that its direct counterparty will not perform its
obligations under the transactions and that the Fund or such ETP will sustain
losses.
Credit
Risk
– The Fund could lose money if the issuer of a debt security is unable to meet
its principal obligations in a timely manner, or if negative perceptions of the
issuer’s ability to make such payments cause the price of the bond to
decline.
Cybersecurity
Risk –
Failures
or breaches of the electronic systems of the Fund, the Advisor, the Sub-Advisor,
and the Fund’s other service providers, market makers, APs or the issuers of
securities in which the Fund invests have the ability to cause disruptions and
negatively impact the Fund’s business operations, potentially resulting in
financial losses to the Fund and its
shareholders.
While the Fund has established business continuity plans and risk management
systems seeking to address system breaches or failures, there are inherent
limitations in such plans and systems. Furthermore, the Fund cannot control the
cybersecurity plans and systems of the Fund’s service providers, market makers,
APs or issuers of securities in which the Fund invests.
Debt
Securities Risk –
The market value of debt securities held by the Fund typically changes as
interest rates change, as demand for the instruments changes, and as actual or
perceived creditworthiness of an issuer changes. Additionally, debt securities
with longer durations are expected to experience greater price movements than
securities with shorter durations for the same change in prevailing interest
rates. During periods of rising interest rates, the market value of the debt
securities held by the Fund will generally decline. Credit risk is the risk that
an issuer will not make timely payments of principal and interest. There is also
the risk that an issuer may “call,” or repay, its high- yielding bonds before
their maturity dates. Debt securities subject to prepayment can offer less
potential for gains during a declining interest rate environment and similar or
greater potential for loss in a rising interest rate environment. Limited
trading opportunities for certain debt securities may make it more difficult to
sell or buy a security at a favorable price or time.
Derivatives
Risk –
A derivative is a financial contract, the value of which depends on, or is
derived from, the value of an underlying asset, such as a security, a commodity
(such as gold or silver), a currency or an index (a measure of value or rates,
such as the S&P 500® or the prime lending rate). The Fund may invest in
futures contracts, swap agreements, forward contracts and options on securities,
indices, and futures contracts. Compared to conventional securities, derivatives
can be more sensitive to changes in interest rates or to sudden fluctuations in
market prices and thus the Funds’ losses may be greater if it invests in
derivatives than if it invests only in conventional securities. Derivatives are
also subject to counterparty risk, which is the risk that the other party in the
transaction will not fulfill its contractual obligations. Derivatives generally
involve the incurrence of leverage. To address such leverage and to prevent the
Funds from being deemed to have issued senior securities as a result of an
investment in derivatives, the Funds will segregate liquid assets equal to its
obligations under the derivatives throughout the life of the
investment.
Equity
Options Risk
– Options on securities may be subject to greater fluctuations in value than an
investment in the underlying securities. Purchasing and writing put and call
options are highly specialized activities and entail greater than ordinary
investment risks. The successful use of options depends in part on the ability
of the Sub-Advisor to manage future price fluctuations and the degree of
correlation between the options and securities (or currency) markets. By writing
put options on equity securities, the Fund gives up the opportunity to benefit
from potential increases in the value of the common stocks above the strike
prices of the written put options, but continues to bear the risk of declines in
the value of its common stock portfolio. The Fund will receive a premium from
writing a covered call option that it retains whether or not the option is
exercised. The premium received from the written options may not be sufficient
to offset any losses sustained from the volatility of the underlying equity
securities over time.
Equity
Securities Risk
– The Funds are designed for long-term investors who can accept the risks of
investing in a portfolio with significant equity holdings. Equity holdings tend
to be more volatile than other investment choices such as bonds and money market
instruments because common stockholders, or holders of equivalent interests,
generally have inferior rights to receive payments from issuers in comparison
with the rights of preferred stockholders, bondholders, and other creditors of
such issuers. The value of each Fund’s shares will fluctuate as a result of the
movement
of the overall stock market or of the value of the individual securities held by
the Fund, sometimes rapidly or unpredictably, resulting in losses. Equity
securities may decline in value due to factors affecting equity securities
markets generally or particular industries represented in those markets. The
value of an equity security may also decline for a number of reasons which
directly relate to the issuer, such as management, performance, financial
leverage, and reduced demand for the issuer’s goods or services.
ETF
Risks —
The Fund may hold ETFs to gain exposure to certain asset classes. As a result,
the Fund may be subject to the same risks as the underlying ETFs. While the
risks of owning shares of an underlying ETF generally reflect the risks of
owning the underlying securities the ETF is designed to track, lack of liquidity
in an underlying ETF can result in its value being more volatile than the
underlying portfolio securities. Because the value of other ETF shares depends
on the demand in the market, the Sub-Advisor may not be able to liquidate the
Fund’s holdings in those shares at the most optimal time, thereby adversely
affecting the Fund’s performance. In addition, ETF shares may trade at a premium
or discount to net asset value. In addition, investments in the securities of
other ETFs, may involve duplication of advisory fees and certain other expenses.
The Fund will pay brokerage commissions in connection with the purchase and sale
of shares of ETFs, which could result in greater expenses to the Fund. By
investing in another ETF, the Fund becomes a shareholder thereof. As a result,
Fund shareholders indirectly bear the Fund’s proportionate share of the fees and
expenses indirectly paid by shareholders of the other ETF, in addition to the
fees and expenses Fund shareholders indirectly bear in connection with the
Fund’s own operations. In addition, certain of the underlying ETFs may hold
common portfolio positions, thereby reducing the diversification benefits of an
asset allocation style. If the other ETF fails to achieve its investment
objective, the value of the Fund’s investment will decline, adversely affecting
the Fund’s performance. ETFs that invest in commodities may be, or may become,
subject to regulatory trading limits that could hurt the value of their
securities and could affect the Fund’s ability to pursue its investment program
as described in this Prospectus. Additionally, some ETFs are not registered
under the 1940 Act and therefore, are not subject to the regulatory scheme and
investor protections of the 1940 Act. A complete list of each underlying ETF can
be found daily on the Trust’s website. Each investor should review the complete
description of the principal risks of each underlying ETF prior to investing in
the Fund.
ETF
and Other Investment Companies Risk –
ETFs are typically open-end investment companies that are bought and sold on a
national securities exchange. When a Fund invests in an ETF, it will bear
additional expenses based on its pro rata share of the ETF’s operating expenses,
including the potential duplication of management fees. Accordingly,
shareholders will indirectly bear fees and expenses charged by the underlying
investment companies in which the Fund invests in addition to the Fund’s direct
fees and expenses. The risk of owning an ETF generally reflects the risks of
owning the underlying securities and other portfolio assets that it holds. Many
ETFs seek to replicate a specific benchmark index. However, an ETF may not fully
replicate the performance of its benchmark index for many reasons, including the
temporary unavailability of certain index securities in the secondary market, or
discrepancies between the ETF and the index with respect to the weighting of
securities or the number of stocks held. Lack of liquidity in an ETF could
result in an ETF being more volatile than the underlying portfolio of securities
it holds. In addition, because of ETF expenses, compared to owning the
underlying securities directly, it may be more costly to own an ETF. The Fund
also will incur brokerage costs when it purchases ETFs and other exchange-listed
investment companies. Furthermore, investments in other investment companies
could affect the timing, amount, and character of distributions to shareholders,
and therefore may increase the amount of taxes payable by investors in the
Fund.
ETN
Risks
— The Fund may hold ETNs to gain exposure to certain asset classes. As a result,
the Fund may be subject to the same risks as the underlying ETNs. An ETN may
trade at a premium or discount to its net asset value. The Fund will indirectly
bear its pro rata share of the fees and expenses incurred by an ETN it invests
in, including advisory fees, and will pay brokerage commissions in connection
with the purchase and sale of shares of ETNs. ETNs that invest in commodities
may be, or may become, subject to regulatory trading limits that could hurt the
value of their securities and could affect the Fund’s ability to pursue its
investment program as described in this prospectus. The value of an ETN may also
differ from the valuation of its reference market due to changes in the issuer’s
credit rating. ETNs generally are senior, unsecured, unsubordinated debt
securities issued by a sponsor, such as an investment bank. The value of an ETN
may be influenced by time to maturity, level of supply and demand for the ETN,
volatility and lack of liquidity in the underlying market, changes in the
applicable interest rates, and economic, legal, political or geographic events
that affect the referenced market. Because ETNs are debt securities, they are
subject to credit risk. If the issuer has financial difficulties or goes
bankrupt, a portfolio may not receive the return it was promised and could lose
its entire investment. It is expected that an issuer’s credit rating will be
investment grade at the time of investment, however, the credit rating may be
revised or withdrawn at any time and there is no assurance that a credit rating
will remain in effect for any given time period. If a rating agency lowers the
issuer’s credit rating, the value of the ETN may decline and a lower credit
rating reflects a greater risk that the issuer will default on its obligation.
There may be restrictions on a portfolio’s right to redeem its investment in an
ETN, which are meant to be held until maturity. There are no periodic interest
payments for ETNs, and principal is not protected. As is the case with ETFs, an
investor could lose some of or the entire amount invested in ETNs. A portfolio’s
decision to sell its ETN holdings may be limited by the availability of a
secondary market.
ETP
Risks — The
Fund may hold ETPs to gain exposure to commodities. As a result, the Fund is
subject to the same risks as the underlying ETPs. While the risks of owning
shares of an underlying ETP generally reflect the risks of owning the underlying
commodities contracts and exposure the ETP holds, lack of liquidity in an
underlying ETP can result in its value being more volatile than the metal
itself. The Fund will pay brokerage commissions in connection with the purchase
and sale of shares of ETPs. ETPs that invest in commodities contracts and
exposure may be, or may become, subject to regulatory trading limits that could
hurt the value of their securities and could affect the Fund’s ability to pursue
its investment program as described in this prospectus. Additionally, ETPs are
not registered under the 1940 Act and therefore, are not subject to the
regulatory scheme and investor protections of the 1940 Act. Income derived from
commodities is generally not qualifying income for purposes of the regulated
investment company (“RIC”) gross income tests under the Code. Although income
derived from ETPs that are treated as foreign corporations for U.S. tax purposes
is expected to be qualifying income, future legislation or guidance may treat
this income as not so qualifying.
Fluctuation
of Net Asset Value –
The NAV of the Fund’s Shares will fluctuate with changes in market value of the
Fund’s holdings. The market prices of the Fund’s Shares will fluctuate in
accordance with changes in NAV as well as the relative supply and demand for the
Shares on the NYSE Arca. The Sub-Advisor cannot predict whether Shares will
trade below, at, or above their NAV, and an investor may sustain losses if
Shares are purchased at a time when their market price is at a premium (above)
their NAV, or sold at a time when their market price is at a discount to (below)
their NAV. Price differences may be due, in large part, to the fact that supply
and demand forces at work in the secondary trading market for the Shares will be
closely related to, but not identical to, the same forces influencing the prices
of the securities held by the Fund, whether trading individually or in the
aggregate, at any point in time. If an investor purchases Shares at a time
when
the market price is at a premium to the NAV of the Shares or sells at a time
when the market price is at a discount to the NAV of the Shares, then the
investor may sustain losses. However, given that the Shares can be purchased and
redeemed in Creation Units (unlike shares of closed-end funds, which frequently
trade at appreciable discounts from, and sometimes at premiums to, their NAV),
the Sub-Advisor believes that large discounts or premiums to the NAV of the
Shares should not be sustained.
Foreign
and Emerging Market Securities Risk
– Foreign investments may carry risks associated with investing outside the
United States, such as currency fluctuation, economic or financial instability,
lack of timely or reliable financial information, or unfavorable political or
legal developments.
Foreign
securities include American Depositary Receipts (“ADRs”) and similar
investments, including European Depositary Receipts (“EDRs”) and Global
Depositary Receipts (“GDRs”), dollar-denominated foreign securities, and
securities purchased directly on foreign exchanges. ADRs, EDRs, and GDRs are
depositary receipts for foreign company stocks which are not themselves listed
on a U.S. exchange, and are issued by a bank and held in trust at that bank, and
which entitle the owner of such depositary receipts to any capital gains or
dividends from the foreign company stocks underlying the depositary receipts.
ADRs are U.S. dollar-denominated. EDRs and GDRs are typically U.S. dollar-
denominated but may be denominated in a foreign currency. Foreign securities,
including ADRs, EDRs, and GDRs, may be subject to more risks than U.S. domestic
investments. These additional risks may potentially include greater or less
liquidity than the foreign company stocks underlying the depositary receipts,
greater price volatility and risks related to adverse political, regulatory,
market, or economic developments. Foreign companies also may be subject to
significantly higher levels of taxation than U.S. companies, including
potentially confiscatory levels of taxation, thereby reducing the earnings
potential of such foreign companies. In addition, amounts realized on sales of
foreign securities may be subject to high and potentially confiscatory levels of
foreign taxation and withholding when compared to comparable transactions in
U.S. securities. A Fund will generally not be eligible to pass through to
shareholders any U.S. federal income tax credits or deductions with respect to
foreign taxes paid, unless it meets certain requirements regarding the
percentage of its total assets invested in foreign securities. Investments in
foreign securities involve exposure to fluctuations in foreign currency exchange
rates. Such fluctuations may reduce the value of the investment. Foreign
investments are also subject to risks including potentially higher withholding
and other taxes, trade settlement, custodial, and other operational risks and
less stringent investor protection and disclosure standards in certain foreign
markets. In addition, foreign markets can and often do perform differently from
U.S. markets.
In
addition, the Fund may be exposed to the risks of investing in emerging markets.
Emerging markets are those of countries with immature economic and political
structures. Investments in securities of companies in emerging markets involve
special risks. Investing in emerging market securities imposes risks different
from, or greater than, risks in domestic securities or in foreign, developed
countries. These risks include: smaller market capitalization of securities
markets, which may suffer periods of relative illiquidity; significant price
volatility; restrictions on foreign investment; and possible repatriation of
investment income and capital. The currencies of emerging market countries may
experience significant declines against the U.S. dollar, and devaluation may
occur subsequent to investments in these currencies by the Fund. Inflation and
rapid fluctuations in inflation rates have had, and may continue to have,
negative effects on the economies and securities of certain emerging market
countries.
Forward
and Futures Contract Risk
— The primary risks associated with the use of forward and futures contracts are
(a) the imperfect correlation between the change in market value of the
instruments held by the Fund and the price of the forward or futures contract;
(b) the possible lack of a liquid secondary market for a forward or futures
contract and the resulting inability to close a forward or futures contract when
desired; (c) the possibility that the counterparty will default in the
performance of its obligations; and (d) the possibility that, if the Fund has
insufficient cash, the Fund may have to sell securities from its portfolio to
meet daily variation margin requirements, and the Fund may have to sell
securities at a time when it may be disadvantageous to do so.Leverage Risk —
Leverage, including borrowing, may cause the Fund or an ETP in which the Fund
invests to be more volatile by magnifying the Fund’s or such ETP’s gains or
losses than if the Fund or such ETP had not been leveraged. The use of leverage
may cause the Fund or an ETP to liquidate portfolio positions when it may not be
advantageous to do so to satisfy its obligations or to meet segregation
requirements.
Fundamental
Business Risk
– Companies with apparently attractive financial conditions and prospects for
ongoing financial stability may experience adverse business conditions specific
to their industry or enterprise that cause their financial condition and
prospects to deteriorate. To the extent the Fund invests in companies that
experience negative developments in their financial condition, the Fund to
underperform funds that do not invest in companies primarily on the basis of
their underlying financial condition.
Government
Obligations Risk –
The
Fund may invest in securities issued by the U.S. government. There can be no
guarantee that the United States will be able to meet its payment obligations
with respect to such securities. Additionally, market prices and yields of
securities supported by the full faith and credit of the U.S. government may
decline or be negative for short or long periods of time.
High
Dividend Yield Stocks Risk –
High
yielding stocks are often speculative, high risk investments. These companies
can be paying out more than they can support and may reduce their dividends or
stop paying dividends at any time, which could have a material adverse effect on
the stock price of these companies and the Fund’s performance. Companies with
high dividend yields are often sensitive to changes in interest rates. Interest
rates may go up resulting in a decrease in the value of the securities held by
the Fund.
High-Yield
Securities Risk
– Debt securities receiving below investment grade ratings (i.e.,“junk bonds”)
may have speculative characteristics and, compared to higher-grade securities,
may have a weakened capacity to make principal and interest payments in economic
conditions or other circumstances. High-yield securities are inherently
speculative. High-yield, high risk, and lower-rated securities are subject to
additional risk factors, such as increased possibility of default, decreased
liquidity, and fluctuations in value due to public perception of the issuer of
such securities. These bonds may be uncollateralized and subordinate to other
debt that an issuer may have outstanding. In addition, both individual
high-yield securities and the entire high-yield bond market can experience sharp
price swings due to a variety of factors, including changes in economic
forecasts, stock market activity, large sustained sales by major investors, or a
higher profile default.
Index-Related
Risk –
There
is no guarantee that the Fund will achieve a high degree of correlation to the
Underlying Index and therefore achieve its investment objective. Market
disruptions and regulatory restrictions could have an adverse effect on the
Fund’s ability to adjust its exposure to the required levels in order to track
the Underlying Index. Errors in index data, index computations
and/or
the construction of the Underlying Index in accordance with its methodology may
occur from time to time and may not be identified and corrected by the Index
Provider for a period of time or at all, which may have an adverse impact on the
Fund and its shareholders.
Interest
Rate Risk –
The
Fund’s performance may be adversely impacted when interest rates fall because
the Fund may be exposed, directly or indirectly, to lower-yielding bonds. This
risk may increase as bonds in the Fund’s portfolio mature. Interest rate risk is
typically greater with respect to exposure to short-term bond (or short-term
bond funds) and lower for long-term bond (or long-term bond funds).
Investable
Universe of Companies Risk –
The
investable universe of companies in which the Fund may invest may be limited. If
a company no longer meets the Index Provider’s criteria for inclusion in the
Underlying Index, the Fund may need to reduce or eliminate its holdings in that
company. The reduction or elimination of the Fund’s holdings in the company may
have an adverse impact on the liquidity of the Fund’s overall portfolio holdings
and on Fund performance.
Investment
Style Risk –
The prices of stocks and bonds in the Fund’s portfolio may fall or fail to rise
over extended periods of time for a variety of reasons, including both general
financial market conditions and factors related to a specific issuer or
industry. These risks are generally greater for small and medium-sized
companies. The Fund may invest in securities that are susceptible to specific
investment risks. Dividend-paying common stocks tend to go through cycles of
doing better (or worse) than the stock market in general. These periods have, in
the past, lasted for as long as several years. If stocks held by the Fund reduce
or stop paying dividends, the Fund’s ability to generate income may be affected.
Growth companies are those whose earnings growth potential appears to be greater
than that of the market in general, and whose revenue growth is expected to
continue for an extended period of time. Stocks of growth companies (or “growth
securities”) have market values that may be more volatile than those of other
types of investments. Growth companies typically do not pay a dividend, which
can help cushion stock prices in market downturns and reduce potential losses.
Value companies are those whose stocks appear to be priced at a material
discount to the underlying value of the issuing company. The reason for the
apparent discount may reflect an underlying business condition that is more
serious or permanent than anticipated, and stocks of value companies may remain
depressed for extended periods of time or may never realize their expected
potential value. Companies with an apparently attractive financial conditions
and prospects for ongoing financial stability may experience adverse business
conditions specific to their industry or enterprise that cause their financial
condition and prospects to deteriorate. To the extent the Fund invests in
dividend-paying common stocks, growth stocks, value stocks, or the stocks of
companies that experience negative developments in their financial condition,
the Fund may underperform funds that invest in other types of
securities.
Issuer
Risk –
Fund performance depends on the performance of individual companies in which the
Fund invests. Changes to the financial condition of any of those companies may
cause the value of their securities to decline. Poor performance may be caused
by poor management decisions, competitive pressures, changes in technology,
disruptions in supply, labor problems or shortages, corporate restructurings,
fraudulent disclosures or other factors. Issuers may, in times of distress or on
their own discretion, decide to reduce or eliminate dividends, which would also
cause their stock prices to decline.
Liquidity
Risk
– The Fund’s investments are subject to liquidity risk, which exists when an
investment is or becomes difficult to purchase or sell. If a transaction is
particularly large or if the relevant market is or becomes illiquid, it may not
be possible to initiate a transaction or liquidate a
position
at an advantageous time or price, which may cause the Fund to suffer significant
losses and difficulties in meeting redemptions. If a number of securities held
by a Fund halt trading, such as due to an exchange’s limit-up, limit-down rules,
it may have a cascading effect and cause the Fund to halt trading. Volatility in
market prices will increase the risk of the Fund being subject to a trading
halt.
Management
Risk
– The skill of the Sub-Advisor will play a significant role in the Fund’s
ability to achieve its investment objectives. The Fund’s ability to achieve its
investment objectives depends on the ability of the Sub-Advisor to correctly
identify economic trends, especially with regard to accurately forecasting
projected dividend and growth rates and inflationary and deflationary periods.
In addition, the Fund’s ability to achieve its investment objective depends on
the Sub-Advisor’s ability to select stocks, particularly in volatile stock
markets. The Sub-Advisor could be incorrect in its analysis of industries,
companies’ projected dividends and growth rates, the relative attractiveness of
value stocks, and other matters. In addition, the Sub-Advisor’s models, stop
loss, and goal-setting process may not perform as expected, which may negatively
impact the Fund.
Market
Risk
– Market risk arises mainly from uncertainty about future values of securities
and other financial instruments held by the Funds. The Funds could lose money if
the value of securities or other assets decline temporarily due to short-term
market movements or over a longer period due to prolonged changes in general
market conditions, economic trends or events that are not specifically related
to the issuer of the security or other asset, or factors that affect a
particular issuer, region, market, industry, sector or asset class. Sharp price
declines in securities owned by the Funds, known as flash crash risk, may
trigger trading halts, which may result in the Funds’ shares trading in the
market at an increasingly large discount to NAV during part (or all) of a
trading day. Local, regional or global events such as war, acts of terrorism,
international trade and tariff disputes, epidemics, pandemics or other public
health issues, recessions, or other events could have a significant and
protracted impact on the Funds and their investments.
Turbulence
in the financial and credit markets and reduced market liquidity may negatively
affect issuers, which could have an adverse effect on a Fund. Changes in
financial and credit market conditions and interest rates generally do not have
the same impact on all types of securities and other financial instruments, the
market value of each Fund’s shares may fluctuate as a result of the movement of
the overall stock or bond market. In addition, there is a risk that policy
changes by the U.S. Government, Federal Reserve or other government actors could
cause increased volatility in financial and credit markets and lead to higher
Fund share volatility or higher levels of Fund redemptions, which could
negatively impact a Fund and cause you to lose money.
Master
Limited Partnership Risk
– Investments in securities (units) of MLPs involve risks that differ from an
investment in common stock. Holders of the units of MLPs have more limited
control and limited rights to vote on matters affecting the partnership. There
are also certain tax risks associated with an investment in units of MLPs. In
addition, conflicts of interest may exist between common unit holders,
subordinated unit holders and the general partner of an MLP, including a
conflict arising as a result of incentive distribution payments.
Model
Risk
– The Fund’s investment process includes the use of proprietary models and
analysis methods developed by the Sub-Advisor, and data provided by third
parties. Third party data and information used in models and analysis is
obtained from sources believed to be reliable, however inaccurate data could
adversely affect the effectiveness of the resulting investment implementation on
a Fund’s performance. There can be no assurance that any particular model or
investment
strategy, including those devised by the Sub-Advisor, will be profitable for
either Fund, and may result in a loss of principal. Further, there is a risk
that the investments selected to implement the models will not accurately track
the modeled opportunity or perform as expected, resulting in tracking errors and
rebalancing risks relative to the model.
Mortgage-Backed
Securities Risk –
In addition to the general risks associated with debt securities as described,
the structure of certain mortgage-backed securities may make their reaction to
interest rates and other factors difficult to predict, which may cause their
prices to be very volatile. In particular, the recent events related to the U.S.
housing market have had a severe negative impact on the value of some
mortgage-backed securities and resulted in an increased risk associated with
investments in these securities. Sub-prime mortgages are those issued to
borrowers who do not meet the lender’s prime credit worthiness standards.
Sub-prime mortgages have had significantly higher default rates, which may
result in foreclosure on the collateral property. Mortgage loans in default can
suffer a significant decline in market value and may never be fully repaid.
Amounts recovered through foreclosure and sale of the collateral property may
not be sufficient to repay the full amount of the loan.
Passive
Investment Risk –
The Fund is not actively managed and the Sub-Advisor does not attempt to take
defensive positions in declining markets. Unlike many investment companies, the
Fund does not utilize an investing strategy that seeks returns in excess of its
Underlying Index. Therefore, it would not necessarily buy or sell a security
unless that security is added or removed, respectively, from the Underlying
Index, even if that security generally is underperforming. If a specific
security is removed from the Underlying Index, the Fund may be forced to sell
such security at an inopportune time or for a price other than the security’s
current market value. It is anticipated that the value of Fund shares will
decline, more or less, in correspondence with any decline in value of the
Underlying Index. The Underlying Index may not contain the appropriate mix of
securities for any particular economic cycle, and the timing of movements from
one type of security to another in seeking to track the Underlying Index could
have a negative effect on the Fund. Unlike an actively managed fund, the Fund
does not use techniques or defensive strategies designed to lessen the effects
of market volatility or to reduce the impact of periods of market decline. This
means that, based on market and economic conditions, the Fund’s performance
could be lower than other types of registered investment companies that may
actively shift their portfolio assets to take advantage of market opportunities
or to lessen the impact of a market decline. Maintaining investments in
securities regardless of market conditions or the performance of individual
securities could cause the Fund’s return to be lower than if the Fund employed
an active strategy.
Portfolio
Turnover Risk –
A
high portfolio turnover rate (100% or more) has the potential to result in the
realization and distribution to shareholders of higher capital gains, which may
subject you to a higher tax liability. A high portfolio turnover rate also leads
to higher transactions costs, which could negatively affect a Fund’s
performance. Distributions to shareholders of short-term capital gains are taxed
as ordinary income under federal tax laws.
Premium/Discount
Risk –
Disruptions to creations and redemptions, the existence of extreme market
volatility or potential lack of an active trading market for Shares may result
in Shares trading at a significant premium or discount to NAV. If a shareholder
purchases Shares at a time when the market price is at a premium to the NAV or
sells Shares at a time when the market price is at a discount to the NAV, the
shareholder may sustain losses.
Quantitative
Model Risk
– While the Fund’s principal investment strategy utilizes various quantitative
models, the Fund’s portfolio managers exercise discretion with respect to
portfolio transactions. To the extent various proprietary quantitative or
investment models are used, securities or other financial instruments selected
may perform differently than expected, or from the market as a whole, as a
result of a quantitative model’s component factors, the weight placed on each
factor, changes from the factors’ historical trends, and technical issues in the
construction, implementation and maintenance of the models (e.g., data problems,
software issues, etc.). There can be no assurance that a quantitative model will
achieve its objective or that the methodology employed by an investment strategy
will eliminate exposure to downward trends and/or volatility in the markets or
provide immediate exposure to upward trends and/or volatility in the
markets.
Reinvestment
Risk –
The Fund’s performance may be adversely affected when interest rates fall
because the Fund may be exposed to lower-yielding bonds as bonds in its
portfolio mature. This risk is typically greater with respect to exposure to
short-term bonds (or short-term bond funds) and lower for long-term bonds (or
long-term bond funds).
REIT
Risk –
Investments in REITs will be subject to the risks associated with the direct
ownership of real estate. Risks commonly associated with the direct ownership of
real estate include fluctuations in the value of underlying properties, defaults
by borrowers or tenants, changes in interest rates and risks related to general
or local economic conditions. REITs are more dependent upon specialized
management skills, have limited diversification and are, therefore, generally
dependent on their ability to generate cash flow to make distributions to
shareholders. REITs are subject to complex tax qualification and compliance
rules. In addition, REITs have their own expenses, and therefore Fund
shareholders will indirectly bear a proportionate share of the expenses of REITs
in which a Fund invests.
Representative
Sampling Risk — If,
under certain circumstances, the Fund elects to use a representative sampling
approach, this will result in its holding a smaller number of securities than
are in the Underlying Index. As a result, an adverse development respecting an
issuer of securities held by the Fund could result in a greater decline in NAV
than would be the case if the Fund held all of the securities in the Underlying
Index. Conversely, a positive development relating to an issuer of securities in
the Underlying Index that is not held by the Fund could cause the Fund to
underperform the Underlying Index. To the extent the assets in the Fund are
smaller, these risks will be greater.
Risk
of Investing in the United States –
The
Fund has significant exposure to U.S. issuers. Certain changes in the U.S.
economy, such as when the U.S. economy weakens, its financial markets decline,
or interest rates increase, may have an adverse effect on the securities to
which the Fund has exposure.
Secondary
Market Trading Risk –
Investors buying or selling Shares in the secondary market may pay brokerage
commissions, which may be a significant proportional cost for investors seeking
to buy or sell relatively small amounts of Shares. Although Shares are expected
to be listed on the Exchange, there can be no assurance that an active or liquid
trading market for them will develop or be maintained. In addition, trading in
Fund Shares on a stock exchange or in any market may be subject to trading halts
caused by extraordinary market volatility pursuant to “circuit breaker” rules on
the stock exchange or market. There can be no assurance that the requirements
necessary to maintain the listing or trading of Fund Shares will continue to be
met or will remain unchanged.
Securities
Lending
– Although the Fund will receive collateral in connection with all loans of its
securities holdings, the Fund would be exposed to a risk of loss should a
borrower default on its obligation to return the borrowed securities (e.g., the
loaned securities may have appreciated beyond the value of the collateral held
by the Fund). In addition, the Fund will bear the risk of loss of any cash
collateral that it invests.
Share
Trading Price Risk
– The Shares of the Fund are listed for trading on the NYSE Arca and will be
bought and sold in the Secondary Market at market prices. Although it is
expected that generally the exchange price of the Fund’s Shares will approximate
the Fund’s NAV, there may be times when the exchange price and the NAV vary
significantly. Thus, you may pay more than NAV when you buy Shares in the
Secondary Market, and you may receive less than NAV when you sell those Shares
in the Secondary Market.
The
market price of Shares during the trading day, like the price of any
exchange-traded security, includes a “bid/ask” spread charged by the exchange
specialist, market makers, or other participants that trade the Shares. In times
of severe market disruption, the bid/ask spread can increase significantly. At
those times, Shares are most likely to be traded at a discount to NAV, and the
discount is likely to be greatest when the price of Shares is falling fastest,
which may be the time that you most want to sell your Shares. The Sub-Advisor
believes that, under normal market conditions, large market price discounts or
premiums to NAV will not be sustained because of arbitrage
opportunities.
Shares
are Not Individually Redeemable
– Shares are only redeemable by the Fund at NAV if they are tendered in large
blocks known as “Creation Units” which are expected to be worth in excess of $1
million each. Only APs may engage in such creation and redemption transactions
directly with the Fund. Individual Shares may be sold on a stock exchange at
their current market prices, which may be less, more, or equal to their NAV.
There can be no assurance that an active trading market will be maintained for
the Shares.
Shares
of the Fund May Trade at Prices Other Than NAV –
There
is no obligation by any market maker to make a market in the Funds’ shares or by
any AP to submit creation or redemption orders. Decisions by market makers or
APs to reduce or step away from the Fund in a time of market stress could
inhibit the arbitrage process by which a relationship between the Funds’ NAV per
share and the market trading prices of the shares is maintained. Thus, reduced
effectiveness of the arbitrage function could result in Fund shares trading at a
discount to NAV per share and also with greater than normal intra-day bid/ask
spreads.
Small
and Medium-Sized Companies Risk
– Investing in securities of small- and medium-capitalization companies may
involve greater volatility than investing in larger and more established
companies because small- and medium-capitalization companies can be subject to
more abrupt or erratic share price changes than larger, more established
companies. Small- and medium-capitalization companies may have limited product
lines, markets, or financial resources and their management may be dependent on
a limited number of key individuals. Securities of those companies may have
limited market liquidity and their prices may be more volatile.
Tax
Risk
– The tax treatment of derivatives is unclear for purposes of determining the
Fund’s tax status. In addition, the Fund’s transactions in derivatives may
result in the Fund realizing more short-term capital gains and ordinary income
that are subject to higher ordinary income tax rates than if it did not engage
in such transactions.
Tracking
Error Risk –
The Fund’s return may not match the return of the Underlying Index for a number
of reasons. For example, the Fund incurs operating expenses not applicable to
the Underlying Index, and incurs costs in buying and selling securities,
especially when rebalancing the Fund’s securities holdings to reflect changes in
the composition of the Underlying Index. In addition, the performance of the
Fund and the Underlying Index may vary due to asset valuation differences and
differences between the Fund’s portfolio and the Underlying Index resulting from
legal restrictions, costs or liquidity constraints.
Trading
Issues
– Trading in Shares on the NYSE Arca may be halted due to market conditions or
for reasons that, in the view of the NYSE Arca, make trading in Shares
inadvisable. In addition, trading in Shares on the NYSE Arca is subject to
trading halts caused by extraordinary market volatility pursuant to the NYSE
Arca “circuit breaker” rules. There can be no assurance that the requirements of
the NYSE Arca necessary to maintain the listing of the Fund will continue to be
met or will remain unchanged.
Trading
Price Risk –
Although
it is expected that generally the exchange price of the Shares will approximate
the Fund’s NAV, there may be times when the market price in the Secondary Market
and the NAV vary significantly.
Trend
Lag Risk –
Trend
indicator signal changes pursuant to which Fund exposure and investments are
determined, are designed to become effective in the Funds the business day
following the indicator signal. As a result of this, the Funds may be exposed to
downward trends and/or market volatility and may not achieve immediate exposure
to upward trends and/or market volatility.
Valuation
Risk –
The sales price the Fund could receive for a security may differ from the Fund’s
valuation of the security and may differ from the value used by the Underlying
Index, particularly for securities that trade in low value or volatile markets
or that are valued using a fair value methodology. The value of the securities
in the Fund’s portfolio may change on days when shareholders will not be able to
purchase or sell the Fund’s Shares.
CONTINUOUS
OFFERING
The
method by which Creation Units are purchased and traded may raise certain issues
under applicable securities laws. Because new Creation Units are issued and sold
by the Funds on an ongoing basis, at any point a “distribution,” as such term is
used in the Securities Act, may occur. Broker-dealers and other persons are
cautioned that some activities on their part may, depending on the
circumstances, result in their being deemed participants in a distribution in a
manner which could render them statutory underwriters and subject them to the
prospectus delivery and liability provisions of the Securities Act. For example,
a broker-dealer firm or its client may be deemed a statutory underwriter if it
takes Creation Units after placing an order with the Distributor, breaks them
down into individual Shares, and sells such Shares directly to customers, or if
it chooses to couple the creation of a supply of new Shares with an active
selling effort involving solicitation of Secondary Market demand for Shares. A
determination of whether one is an underwriter for purposes of the Securities
Act must take into account all the facts and circumstances pertaining to the
activities of the broker-dealer or its client in the particular case, and the
examples mentioned above should not be considered a complete description of all
the activities that could lead to categorization as an underwriter.
Broker-dealer
firms should also note that dealers who are not “underwriters” but are effecting
transactions in Shares, whether or not participating in the distribution of
Shares, are generally
required
to deliver a prospectus. This is because the prospectus delivery exemption in
Section 4(a)(3) of the Securities Act is not available with respect to such
transactions as a result of Section 24(d) of the 1940 Act. As a result,
broker-dealer firms should note that dealers who are not underwriters but are
participating in a distribution (as contrasted with ordinary Secondary Market
transactions) and thus dealing with Shares that are part of an over-allotment
within the meaning of Section 4(a)(3) of the Securities Act would be unable
to take advantage of the prospectus delivery exemption provided by Section
4(a)(3) of the Securities Act. Firms that incur a prospectus delivery obligation
with respect to Shares of a Fund are reminded that under Rule 153 of the
Securities Act, a prospectus delivery obligation under Section 5(b)(2) of the
Securities Act owed to an exchange member in connection with a sale on the NYSE
Arca is satisfied by the fact that such Fund’s prospectus is available at the
NYSE Arca upon request. The prospectus delivery mechanism provided in Rule 153
is only available with respect to transactions on an exchange.
CREATION
AND REDEMPTION OF CREATION UNITS
Each
Fund issues and redeems Shares only in bundles of a specified number of Shares.
These bundles are known as “Creation Units.” The Creation Unit aggregation for
each Fund is shown below.
|
|
|
|
|
|
|
|
|
|
|
Creation
Unit Aggregation |
Fund |
|
WBI
BullBear Value 3000 ETF |
|
50,000 |
WBI
BullBear Yield 3000 ETF |
|
50,000 |
WBI
BullBear Quality 3000 ETF |
|
50,000 |
WBI
BullBear Global Income ETF |
|
50,000 |
WBI
Power Factor®
High Dividend ETF |
|
50,000 |
WBI
BullBear Trend Switch US 1000 ETF + |
|
25,000 |
WBI
BullBear Trend Switch US 2000 ETF + |
|
25,000 |
WBI
BullBear Trend Switch US 1000 Total Return ETF + |
|
25,000 |
WBI
BullBear Trend Switch US 2000 Total Return ETF + |
|
25,000 |
WBI
BullBear Trend Switch US 3000 Total Return ETF |
|
25,000 |
+
The
Fund had not yet commenced operations as of June 30, 2021.
The
number of Shares in a Creation Unit may change in the event of a share split,
reverse split or similar revaluation. The Funds may not issue fractional
Creation Units. To purchase or redeem a Creation Unit, you must be an Authorized
Participant or you must do so through a broker, dealer, bank or other entity
that is an Authorized Participant. An Authorized Participant is either (1) a
“Participating Party”, i.e.,
a broker-dealer or other participant in the clearing process of the Continuous
Net Settlement System of the NSCC (“Clearing
Process”),
or (2) a participant of DTC (a “DTC
Participant”),
and, in each case, must have executed an agreement with the Distributor with
respect to creations and redemptions of Creation Units (each a “Participation
Agreement”).
Because Creation Units are likely to cost over one million dollars each, it is
expected that only large institutional investors will purchase and redeem Shares
directly from the Funds in the form of Creation Units. In turn, it is expected
that institutional investors who purchase Creation Units will break up their
Creation Units and offer and sell individual Shares in the Secondary Market.
Although it is anticipated that most creation and redemption transactions for
each Fund will be made on an “in-kind” basis, from time to time they may be made
partially or wholly in cash.
In
determining whether a particular Fund will sell or redeem Creation Units
entirely on a cash or in-kind basis (whether for a given day or a given order)
the key consideration will be the benefit that
would
accrue to the Fund and its investors. Under certain circumstances, tax
considerations may warrant in-kind, rather than cash, redemptions.
Retail
investors may acquire Shares in the Secondary Market (not from the Funds)
through a broker or dealer. Shares are listed on the NYSE Arca and are publicly
traded. For information about acquiring Shares in the Secondary Market, please
contact your broker or dealer. If you want to sell Shares in the Secondary
Market, you must do so through your broker or dealer.
When
you buy or sell Shares in the Secondary Market, your broker or dealer may charge
you a commission, market premium or discount, or other transaction charge, and
you may pay some or all of the spread between the bid and the offered price for
each purchase or sale transaction. Unless imposed by your broker or dealer,
there is no minimum dollar amount you must invest and no minimum number of
Shares you must buy in the Secondary Market. In addition, because transactions
in the Secondary Market occur at market prices, you may pay more than NAV when
you buy Shares and receive less than NAV when you sell those
Shares.
The
creation and redemption processes discussed above are summarized, and such
summary only applies to shareholders who purchase or redeem Creation Units (that
is, they do not relate to shareholders who purchase or sell Shares in the
Secondary Market). Authorized Participants should refer to their Participant
Agreements for the precise instructions that must be followed in order to create
or redeem Creation Units.
MANAGEMENT
The
Board is responsible for the general supervision of the Funds. The Board
appoints officers who are responsible for the day-to-day operations of the
Funds.
Investment
Advisor
Millington
Securities, Inc. (“Advisor”)
is the investment advisor to the Funds and is located at 331 Newman Springs
Road, Suite 143, Red Bank, New Jersey 07701. As of June 30, 2021, the Advisor
had approximately $294.8 million in assets under management. The Advisor is an
SEC-registered investment advisory firm that is wholly owned by WBI Trading
Company, Inc. The Advisor is also a registered broker-dealer.
The
Advisor continuously reviews, supervises, and administers each Fund’s investment
program. In particular, the Advisor provides investment and operational
oversight of the Sub-Advisor. The Board supervises the Advisor and establishes
policies that the Advisor must follow in its day-to-day management
activities.
WBI
Investments, Inc. (“Sub-Advisor”),
located at 331 Newman Springs Road, Suite 143, Red Bank, New Jersey 07701, is an
affiliate of the Advisor and of WBI Trading Company, Inc. and has been appointed
by the Advisor to act as the investment sub-advisor to the Funds. The
Sub-Advisor is an SEC-registered investment advisory firm formed in 1984 and
registered with the SEC in 1985, providing investment management services to
individuals, high net worth individuals, charitable organizations, corporations,
pension and profit sharing plans, family limited partnerships, and
fraternities.
The
Sub-Advisor is responsible for the day-to-day management of the Funds in
accordance with each Fund’s investment objectives and policies. The Sub-Advisor
also furnishes the Funds with
office
space and certain administrative services and provides most of the personnel
needed to fulfill the obligations of the investment advisory
agreement.
As
compensation for its services and its assumption of certain expenses, each Fund
pays the Advisor a management fee equal to a percentage of the Fund’s average
daily net assets that is calculated daily and paid monthly, as
follows:
|
|
|
|
|
|
|
|
|
Fund
Name |
|
Management
Fee |
WBI
BullBear Value 3000 ETF |
|
0.85%* |
WBI
BullBear Yield 3000 ETF |
|
0.85%* |
WBI
BullBear Quality 3000 ETF |
|
0.85%* |
WBI
BullBear Global Income ETF |
|
0.85%* |
WBI
Power Factor®
High Dividend ETF |
|
0.55%* |
WBI
BullBear Trend Switch US 1000
+ |
|
0.65% |
WBI
BullBear Trend Switch US 2000 ETF + |
|
0.65% |
WBI
BullBear Trend Switch US 1000 Total Return ETF + |
|
0.65% |
WBI
BullBear Trend Switch US 2000 Total Return ETF + |
|
0.65% |
WBI
BullBear Trend Switch US 3000 Total Return ETF |
|
0.65% |
*Subject
to the Expense Limitation Agreement described below.
+ The
Fund had not yet commenced operations as of June 30, 2021.
The
Advisor serves as advisor to each Fund pursuant to an Investment Advisory
Agreement (“Advisory
Agreement”),
and appointed the Sub-Advisor to act as such for each Fund pursuant to a
sub-advisory agreement (“Sub-Advisory
Agreement”).
Pursuant to the Sub-Advisory Agreement, the Sub-Advisor is entitled to receive
from the Advisor a management fee equal to the amounts listed above as a
percentage of average daily net assets. The Advisor has delegated the
Sub-Advisor to receive such fee directly from the Funds. The Advisor is paid
0.04% of each Fund’s average daily net assets (calculated daily and paid
monthly) from the management fees collected by the Sub-Advisor.
Both
the Advisory Agreement and the Sub-Advisory Agreement were approved by the
Independent Trustees of the Trust at an in-person meeting of the Board. The
basis for the Independent Trustees’ approval of the Advisory Agreement as well
as the Sub-Advisory Agreement for the Funds having commenced operations prior to
June 30, 2021 is available in the Funds’ annual report to shareholders for the
period ended June 30, 2021. The basis for the Board’s approval of the Advisory
Agreement as well as Sub-Advisory agreement with respect to the Funds that have
not commenced operations as of June 30, 2021 will be available in such Fund’s
first Semi-Annual or Annual Report to Shareholders. The Sub-Advisor and its
affiliates deal, trade, and invest for their own accounts in the types of
securities in which the Funds also may invest. The Sub-Advisor does not use
inside information in making investment decisions on behalf of the
Funds.
The
Sub-Advisor provides investment management services to the Funds and also
provides management services to other accounts, including separately managed
accounts, other Funds in the Trust, and mutual funds, using analysis, research,
processes, and systems similar to those used in the management of the Funds. As
a result, securities selected for the Fund may also be appropriate for, and
owned in, other accounts under the Sub-Advisor’s management.
Expense
Limitation Agreement (not
applicable to the WBI BullBear Trend Switch US 1000 ETF, WBI BullBear Trend
Switch US 2000 ETF, WBI BullBear Trend Switch US 1000 Total Return
ETF,
WBI BullBear Trend Switch US 2000 Total Return ETF and WBI BullBear Trend Switch
US 3000 Total Return ETF)
The
Sub-Advisor has entered into an Expense Limitation Agreement with certain of the
Funds under which it has contractually agreed to waive or reduce its fees and to
assume other expenses of the applicable Fund, if necessary, in an amount that
limits “Total Annual Fund Operating Expenses” (exclusive of interest, taxes,
brokerage commissions, acquired fund fees, dividend payments on short sales,
other expenditures which are capitalized in accordance with generally accepted
accounting principles, other extraordinary expenses not incurred in the ordinary
course of a Fund’s business, and amounts, if any, payable pursuant to a plan
adopted in accordance with Rule 12b-1 under the 1940 Act) and organizational
costs (“Operating Expenses”) to not more than 1.25% of the average daily net
assets for each of the WBI BullBear Value 3000 ETF; WBI BullBear Yield 3000 ETF;
WBI BullBear Quality 3000 ETF; and WBI BullBear Global Income ETF for the fiscal
year, and 0.70% of the average daily net assets for the WBI Power
Factor®
High Dividend ETF until at least October 31, 2022.
The
Sub-Advisor currently expects that the contractual agreement will continue from
fiscal year-to-fiscal year, provided such continuance is approved by the Board
on behalf of the applicable Funds. A Fund may terminate the Expense Limitation
Agreement at any time. The Sub-Advisor may also terminate the Expense Limitation
Agreement in respect of any Fund at the end of the then-current term upon not
less than 90 days’ notice to the Fund. The terms of the Expense Limitation
Agreement may be revised upon renewal. The Sub-Advisor is permitted to recoup
from a Fund previously waived fees or reimbursed expenses for three years from
the specific time in which fees were waived or expenses reimbursed, as long as
such recoupment does not cause such Fund’s Operating Expenses to exceed the
expense cap in place either at the time of recoupment or the time such fees were
waived or expenses were reimbursed.
Unitary
Fee Arrangement (Trend Switch Funds only)
Under
the Advisory Agreement for the the WBI BullBear Trend Switch US 1000 ETF, WBI
BullBear Trend Switch US 2000 ETF, WBI BullBear Trend Switch US 1000 Total
Return ETF, WBI BullBear Trend Switch US 2000 Total Return ETF, and WBI BullBear
Trend Switch US 3000 Total Return ETF (collectively, the “Trend
Switch Funds”),
the Advisor has agreed to pay or will cause its affiliated Sub-Advisor to pay,
all of the expenses of each Fund, except for: the fee payment under the Trend
Switch Funds’ Advisory Agreement, payments under each Fund’s 12b-1 plan,
brokerage expenses, acquired fund fees and expenses, taxes, interest (including
borrowing costs and dividend expenses on securities sold short), compensation
and expenses of the independent Trustees (including independent Trustee counsel
fees), litigation expenses, and other extraordinary expenses (including
litigation to which the Trust or a Trend Switch Fund may be a party and
indemnification of the Trustees and officers with respect thereto). The
foregoing arrangement is referred to as a “unitary” fee
arrangement.
The
expenses of the Trend Switch Funds, which are subject to the unitary fee
arrangement under the Trend Switch Funds’ Advisory Agreement, include, but are
not limited to: salaries, expenses, and fees of the Trustees and officers of the
Trust who are officers, directors/trustees, partners, or employees of the
Advisor or its affiliates; any assumption of expense of the Trust by the
Advisor; the costs of preparing, setting in type, printing and mailing of
prospectuses, prospectus supplements, SAI, annual, semiannual, and periodic
reports, and notices and proxy solicitation materials required to be furnished
to shareholders of the Trust or regulatory authorities, and all tax returns; all
legal and other fees and expenses incurred in connection with the affairs of the
Trust, including those incurred with respect to registering its shares with
regulatory authorities and all fees and expenses incurred in connection with the
preparation, setting in type, printing, and filing
with
necessary regulatory authorities of any registration statement and prospectus,
and any amendments or supplements that may be made from time to time, including
registration, filing and other fees in connection with requirements of
regulatory authorities; all expenses of the transfer, receipt, safekeeping,
servicing and accounting for the Trust’s cash, securities, and other property,
including all charges of depositories, custodians, and other agents, if any; the
charges for the services and expenses of the independent accountants and legal
counsel retained by the Trust, for itself; the charges and expenses of
maintaining shareholder accounts, including all charges of transfer,
bookkeeping, and dividend disbursing agents appointed by the Trust; any
membership fees, dues or expenses incurred in connection with the Trust’s
membership in any trade association or similar organizations, as approved by the
Trustees; all insurance premiums for fidelity and other coverage, as approved by
the Trustees; all expenses incidental to holding shareholders and Trustees
meetings, including the printing of notices and proxy materials and proxy
solicitation fees and expenses; and all expenses of pricing of the net asset
value per share of each Fund, including the cost of any equipment or services to
obtain price quotations.
Portfolio
Management
Co-Portfolio
Manager: Steven Van Solkema, President and Chief Investment Officer,
WBI
Investments, Inc.
Mr.
Van Solkema has served as Chief Investment Officer of WBI Investments, Inc.
since March 2019 and as of March 2020 became the President of WBI Investments,
Inc. He previously served as Chief Operating Officer of Millington Securities,
Inc. from April 2014 through February 2019. Mr. Van Solkema is also the Chief
Quantitative Officer of CyborgTech, LLC, an affiliated company that develops and
services technology. He received an M.B.A. in Finance from New York University
Stern School of Business in 2005 and a B.B.A. in Finance and Investments from
Baruch College in 1997. Mr. Van Solkema earned the Chartered Financial Analyst
(CFA®) designation in 2003. Mr. Van Solkema has been portfolio manager to the
Funds since March 2019.
Co-Portfolio
Manager: Don Schreiber, Jr., Founder and Co-Chief Executive Officer,
WBI
Investments, Inc.
Mr.
Schreiber founded WBI Investments, Inc. in August 1984, and serves as its
Co-Chief Executive Officer. He also serves as Chief Executive Officer of
Millington Securities, Inc. and Director, Chief Executive Officer, Treasurer and
Vice President of WBI Trading Company, Inc. He served as Chief Executive Officer
(since April 2013), Director (since 2008), Treasurer (since April 2008),
President (from April 2008-April 2013) and Vice President (since 2008) of
Hartshorne Group, Inc,. an SEC-registered investment advisory firm and as
President of Advisor Toolbox, Inc., a financial services technology and business
consulting firm, since July 2005. Mr. Schreiber is also owner Chairman and Chief
Visionary Officer of CyborgTech, LLC an affiliated company that develops and
services technology. He received a B.S. degree in Business from Susquehanna
University in 1977. Mr. Schreiber has been portfolio manager to the Funds since
2014.
CFA®
is a registered trademark owned by the CFA Institute.
The
SAI provides additional information about each portfolio manager’s compensation,
other accounts managed by each portfolio manager and ownership of securities in
the Funds.
BUYING
AND SELLING SHARES IN THE SECONDARY MARKET
Most
investors will buy and sell Shares of each Fund in Secondary Market transactions
through brokers. Shares of each Fund will be listed for trading on the Secondary
Market on the NYSE Arca.
Shares
can be bought and sold throughout the trading day like other publicly-traded
shares. There is no minimum investment. Although Shares are generally purchased
and sold in “round lots” of 100 Shares, brokerage firms typically permit
investors to purchase or sell Shares in smaller “odd lots” at no per-Share price
differential. When buying or selling Shares through a broker, you will incur
customary brokerage commissions and charges, and you may pay some or all of the
spread between the bid and the offered price in the Secondary Market on each leg
of a round trip (purchase and sale) transaction.
Share
prices are reported in dollars and cents per Share. For information about buying
and selling Shares in the Secondary Market, please contact your broker or
dealer.
Book
Entry
Shares
of each Fund are held in book-entry form and no stock certificates are issued.
DTC, through its nominee Cede & Co., is the record owner of all outstanding
Shares.
Investors
owning Shares are beneficial owners as shown on the records of DTC or its
participants. DTC serves as the securities depository for all Shares.
Participants in DTC include securities brokers and dealers, banks, trust
companies, clearing corporations, and other institutions that directly or
indirectly maintain a custodial relationship with DTC. As a beneficial owner of
Shares, you are not entitled to receive physical delivery of stock certificates
or to have Shares registered in your name, and you are not considered a
registered owner of Shares. Therefore, to exercise any right as an owner of
Shares, you must rely upon the procedures of DTC and its
participants.
These
procedures are the same as those that apply to any securities that you hold in
book-entry or “street name” form for any publicly-traded company. Specifically,
in the case of a shareholder meeting of a Fund, DTC assigns applicable Cede
& Co. voting rights to its participants that have Shares credited to their
accounts on the record date, issues an omnibus proxy and forwards the omnibus
proxy to the Fund. The omnibus proxy transfers the voting authority from Cede
& Co. to the DTC participant. This gives the DTC participant through whom
you own Shares (namely, your broker, dealer, bank, trust company or other
nominee) authority to vote the shares, and, in turn, the DTC participant is
obligated to follow the voting instructions you provide.
OTHER
SERVICE PROVIDERS
Fund
Administrator, Custodian, Transfer Agent, and Securities Lending
Agent
U.S.
Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services,
615 East Michigan Street, Milwaukee, Wisconsin 53202, serves as Administrator,
Transfer Agent, and Index Receipt Agent. U.S. Bank, National Association,
located at 1555 North Rivercenter Drive, Suite 302, Milwaukee, Wisconsin 53212,
serves as the Funds’ Custodian and Securities Lending Agent.
Distributor
Foreside
Fund Services, LLC, Three Canal Plaza, Suite 100, Portland, ME 04101, serves as
the Distributor of Creation Units for the Funds on an agency basis. The
Distributor does not maintain a Secondary Market in Shares.
Compliance
Pursuant
to a Fund CCO Agreement with the Trust, Foreside Fund Officer Services, LLC
(f/k/a Foreside Compliance Services, LLC), Three Canal Plaza, Portland, ME
04101, an affiliate of the Distributor, provides a Chief Compliance Officer
(“CCO”) for the Trust.
Independent
Registered Public Accounting Firm
KPMG
LLP, 345 Park Avenue, New York, NY 10154, serves as the independent registered
public accounting firm for the Trust.
Legal
Counsel
K&L
Gates LLP, 599 Lexington Avenue, New York, NY 10022, serves as counsel to the
Trust and the Independent Trustees of the Board.
FREQUENT
TRADING
The
Board has not adopted policies and procedures with respect to frequent purchases
and redemptions of Shares by Fund shareholders (“market timing”). In determining
not to adopt market timing policies and procedures, the Board noted that the
Funds are expected to be attractive to active institutional and retail investors
interested in buying and selling Shares on a short-term basis. In addition, the
Board considered that, unlike traditional mutual funds, a Fund’s Shares can only
be purchased and redeemed directly from the Fund in Creation Units by Authorized
Participants, and that the vast majority of trading in a Fund’s Shares occurs on
the Secondary Market. Because Secondary Market trades do not involve a Fund
directly, it is unlikely those trades would cause many of the harmful effects of
market timing, including dilution, disruption of portfolio management, increases
in a Fund’s trading costs and the realization of capital gains. With respect to
trades directly with the Funds, to the extent effected “in-kind” (namely, for
securities), those trades do not cause any of the harmful effects that may
result from frequent cash trades. To the extent trades are effected in whole or
in part in cash, the Board noted that those trades could result in dilution to a
Fund and increased transaction costs (a Fund may impose higher transaction fees
to offset these increased costs), which could negatively impact the Fund’s
ability to achieve its investment objective. However, the Board noted that
direct trading on a short-term basis by Authorized Participants is critical to
ensuring that a Fund’s Shares trade at or close to NAV. Given this structure,
the Board determined that it is not necessary to adopt market timing policies
and procedures. Each Fund reserves the right to reject any purchase order at any
time and reserves the right to impose restrictions on disruptive or excessive
trading in Creation Units.
The
Board has instructed the officers of the Trust to review reports of purchases
and redemptions of Creation Units on a regular basis to determine if there is
any unusual trading in the Funds. The officers of the Trust will report to the
Board any such unusual trading in Creation Units that is disruptive to the
Funds. In such event, the Board may reconsider its decision not to adopt market
timing policies and procedures.
DISTRIBUTION
AND SERVICE PLAN
The
Board has adopted a Distribution and Service Plan pursuant to Rule 12b-1 under
the 1940 Act. In accordance with its Rule 12b-1 plan, each Fund is authorized to
pay an amount up to 0.25% of its average daily net assets each year to finance
activities primarily intended to result in the sale of Creation Units of each
Fund or the provision of investor services. No Rule 12b-1 fees are currently
paid by the Funds and there are no plans to impose these fees. However, in the
event Rule 12b-1 fees are charged in the future, they will be paid out of the
respective Fund’s assets, and over time these fees will increase the cost of
your investment and they may cost you more than certain other types of sales
charges.
The
Sub-Advisor and its affiliates may, out of their own resources, pay amounts to
third parties for distribution or marketing services on behalf of the Funds. The
making of these payments could create a conflict of interest for a financial
intermediary receiving such payments.
DETERMINATION
OF NET ASSET VALUE (NAV)
The
NAV of the Shares for a Fund is equal to the Fund’s total assets minus the
Fund’s total liabilities divided by the total number of Shares outstanding.
Interest and investment income on the Trust’s assets accrue daily and are
included in the Fund’s total assets. Expenses and fees (including investment
advisory, management, administration, and 12b-1 distribution fees, if any)
accrue daily and are included in the Fund’s total liabilities. The NAV that is
published is rounded to the nearest cent; however, for purposes of determining
the price of Creation Units, the NAV is calculated to four decimal
places.
In
calculating NAV, each Fund’s investments are valued using market quotations when
available. When market quotations are not readily available, are deemed
unreliable, or do not reflect material events occurring between the close of
local markets and the time of valuation, investments are valued using fair value
pricing as determined in good faith by the Sub-Advisor under procedures
established by and under the general supervision and responsibility of the
Board. Investments that may be valued using fair value pricing include, but are
not limited to: (1) securities that are not actively traded, including
“restricted” securities and securities received in private placements for which
there is no public market; (2) securities of an issuer that becomes bankrupt or
enters into a restructuring; (3) securities whose trading has been halted or
suspended; and (4) foreign securities traded on exchanges that close before a
Fund’s NAV is calculated.
The
frequency with which each Fund’s investments are valued using fair value pricing
is primarily a function of the types of securities and other assets in which the
respective Fund invests pursuant to its investment objective, strategies, and
limitations. If the Funds invest in other open-end management investment
companies registered under the 1940 Act, they may rely on the net asset values
of those companies to value the shares they hold of them. Those companies may
also use fair value pricing under some circumstances. If the Funds invest in
ETPs, they value shares of the ETPs based upon the closing market prices. If the
Funds invest in registered money market funds, they value shares of the money
market fund based upon the money market fund’s stable NAV.
Valuing
any of the Funds’ investments using fair value pricing results in using prices
for those investments that may differ from current market valuations. In
addition, with respect to securities that are primarily listed on foreign
exchanges, the value of a Fund’s portfolio securities may change on days when
you will not be able to purchase or sell your Shares.
The
NAV is calculated by the Administrator and determined each Business Day as of
the close of regular trading on the NYSE Arca (ordinarily 4:00 p.m. New York
time) (“Business
Day”).
“Business Day” means any day that the Exchange is open for trading. The Exchange
is open for trading Monday through Friday except for the following holidays: New
Year’s Day, Martin Luther King, Jr. Day, Presidents Day, Good Friday, Memorial
Day, Independence Day, Labor Day, Thanksgiving Day, and Christmas
Day.
PREMIUM/DISCOUNT
INFORMATION
Information
regarding the extent and frequency with which market prices of Shares have
tracked the relevant Fund’s NAV for the most recently completed calendar year
and the quarters since that year is available without charge on the Funds’
website at www.wbietfs.com.
DIVIDENDS,
DISTRIBUTIONS, AND TAXES
Net
Investment Income and Capital Gains
As
a Fund shareholder, you are entitled to your share of the Fund’s distributions
of net investment income and net realized capital gains on its
investments.
The
Funds typically earn income dividends from stocks and interest from debt
securities. These amounts, net of expenses, are typically passed along to Fund
shareholders as dividends from net investment income. The Funds realize capital
gains or losses whenever they sell securities. Net capital gains are distributed
to shareholders as “capital gain distributions”.
Capital
gains of the Funds are normally declared and paid annually. Dividends from net
investment income are normally declared and paid with the following
frequency:
|
|
|
|
|
|
Name
of Fund |
Distribution
Frequency |
WBI
BullBear Value 3000 ETF |
Quarterly |
WBI
BullBear Yield 3000 ETF |
Monthly |
WBI
BullBear Quality 3000 ETF |
Quarterly |
WBI
BullBear Global Income ETF |
Monthly |
WBI
Power Factor®
High Dividend ETF |
Quarterly |
WBI
BullBear Trend Switch US 1000 ETF + |
Quarterly |
WBI
BullBear Trend Switch US 2000 ETF + |
Quarterly |
WBI
BullBear Trend Switch US 1000 Total Return ETF + |
Quarterly |
WBI
BullBear Trend Switch US 2000 Total Return ETF + |
Quarterly |
WBI
BullBear Trend Switch US 3000 Total Return ETF |
Quarterly |
+
The
Fund had not yet commenced operations as of June 30, 2021.
The
amount of distributions may vary and there can be no guarantee that the Fund
will pay dividends of investment income in any given month or quarter, as
applicable. Dividends also may be declared and paid more frequently to comply
with the distribution requirements of the Code. In addition, the Funds may
determine to distribute at least annually amounts representing the full dividend
yield net of expenses on securities held by the Funds, as if the Funds owned the
securities for the entire dividend period, in which case some portion of each
distribution may result in a return of capital. You will be notified regarding
the portion of the distribution that represents a return of capital. A return of
capital is not taxable, but reduces a shareholder’s tax basis in its shares,
thus reducing any loss or increasing any gain on a subsequent taxable
disposition by the shareholder of its shares.
Distributions
in cash may be reinvested automatically in additional Shares of a Fund only if
the broker through which you purchased Shares makes such option
available.
Federal
Income Taxes
The
following is a summary of the material U.S. federal income tax considerations
applicable to an investment in Shares of a Fund. The summary is based on the
laws in effect on the date of this Prospectus and existing judicial and
administrative interpretations thereof, all of which are subject to change,
possibly with retroactive effect. In addition, this summary assumes that a Fund
shareholder holds Shares as capital assets within the meaning of the Code and
does not hold Shares in connection with a trade or business. This summary does
not address all potential U.S. federal income tax considerations possibly
applicable to an investment in Shares of a Fund, to Fund shareholders holding
Shares through a partnership (or other pass-through entity) or to Fund
shareholders subject to special tax rules. Prospective Fund shareholders are
urged to consult their own tax advisors with respect to the specific federal,
state, local, and foreign tax consequences of investing in Shares based on their
particular circumstances.
The
Funds have not requested and will not request an advance ruling from the
Internal Revenue Service (the “IRS”)
as to the federal income tax matters described below. The IRS could adopt
positions contrary to those discussed below and such positions could be
sustained. Prospective investors should consult their own tax advisors with
regard to the federal tax consequences of the purchase, ownership, or
disposition of Shares, as well as the tax consequences arising under the laws of
any state, foreign country, or other taxing jurisdiction.
Tax
Treatment of a Fund
Each
Fund intends to qualify and elect to be treated as a separate “regulated
investment company” under the Code. To qualify and maintain its tax status as a
regulated investment company, each Fund must meet, annually, certain income and
asset diversification requirements, and must distribute annually at least the
sum of 90% of its “investment company taxable income” (which includes dividends,
interest, and net short-term capital gains) and 90% of its net exempt interest
income.
As
a regulated investment company, a Fund generally will not have to pay
corporate-level federal income taxes on any ordinary income or capital gains
that it distributes to its shareholders. If a Fund fails to qualify as a
regulated investment company for any year, (subject to certain curative measures
allowed by the Code) the Fund will be subject to regular corporate-level income
tax in that year on all of its taxable income, regardless of whether the Fund
makes any distributions to its shareholders. In addition, distributions will be
taxable to a Fund’s shareholders generally as ordinary dividends (or qualified
dividend income for individuals shareholders if certain holding period
requirements are met) to the extent of the Fund’s current and accumulated
earnings and profits.
A
Fund may be required to recognize taxable income in advance of receiving the
related cash payment. For example, if a Fund invests in original issue discount
obligations (such as zero coupon debt instruments or debt instruments with
payment-in-kind interest), the Fund will be required to include in income each
year a portion of the original issue discount that accrues over the term of the
obligation, even if the related cash payment is not received by the Fund until a
later year. Under the “wash sale” rules, a Fund may not be able to deduct a loss
on a disposition of a portfolio security. As a result, the Fund may be required
to make an annual income distribution greater than the total cash actually
received during the year. Such distribution may be made from the cash assets of
the Fund or by selling portfolio securities. The Fund may realize gains or
losses from such sales, in which event its shareholders may receive a larger
capital gain distribution than they would in the absence of such
transactions.
A
Fund will be subject to a 4% excise tax on certain undistributed income if the
Fund does not distribute to its shareholders in each calendar year at least 98%
of its ordinary income for the calendar year plus 98.2% of its capital gain net
income for the twelve months ended October 31 of such year. Each Fund intends to
make distributions necessary to avoid the 4% excise tax.
Tax
Treatment of Fund Shareholders
Fund
Distributions. In
general, Fund distributions are subject to federal income tax when paid,
regardless of whether they consist of cash or property or are reinvested in
Shares. However, any Fund distribution declared in October, November, or
December of any calendar year and payable to shareholders of record on a
specified date during such month will be deemed to have been received by each
Fund shareholder on December 31 of such calendar year, provided such dividend is
actually paid during January of the following calendar year.
Distributions
of a Fund’s net investment income (except, as discussed below, qualifying
dividend income) and net short-term capital gains are taxable as ordinary income
to the extent of the Fund’s current or accumulated earnings and profits.
Distributions of a Fund’s net long-term capital gains in excess of net
short-term capital losses are taxable as long-term capital gain to the extent of
the Fund’s current or accumulated earnings and profits, regardless of a Fund
shareholder’s holding period in the Fund’s Shares. Distributions of qualifying
dividend income are taxable as long-term capital gain to the extent of the
Fund’s current or accumulated earnings and profits, provided that the Fund
shareholder meets certain holding period and other requirements with respect to
the distributing Fund’s Shares and the distributing Fund meets certain holding
period and other requirements with respect to its dividend-paying
stocks.
Each
Fund intends to distribute its long-term capital gains at least annually.
However, by providing written notice to its shareholders no later than 60 days
after its year-end, a Fund may elect to retain some or all of its long-term
capital gains and designate the retained amount as a “deemed distribution.” In
that event, the Fund pays income tax on the retained long-term capital gain, and
each Fund shareholder recognizes a proportionate share of the Fund’s
undistributed long-term capital gain. In addition, each Fund shareholder can
claim a refundable tax credit for the shareholder’s proportionate share of the
Fund’s income taxes paid on the undistributed long-term capital gain and
increase the tax basis of the Shares by an amount equal to shareholder’s
proportionate share of the Fund’s undistributed long-term capital gains, reduced
by the amount of the shareholder’s tax credit.
Long-term
capital gains of non-corporate Fund shareholders (i.e.,
individuals, trusts, and estates) are taxed at a maximum rate of
20%.
In
addition, high-income individuals (and certain other trusts and estates) are
subject to a 3.8% Medicare contribution tax on net investment income (which
generally includes all Fund distributions and gains from the sale of Shares) in
addition to otherwise applicable federal income tax. Please consult your tax
advisor regarding this tax.
Investors
considering buying Shares just prior to a distribution should be aware that,
although the price of the Shares purchased at such time may reflect the
forthcoming distribution, such distribution nevertheless may be taxable (as
opposed to a non-taxable return of capital).
Sales
of Shares. Any
capital gain or loss realized upon a sale of Shares is treated generally as a
long-term gain or loss if the Shares have been held for more than one year. Any
capital gain or loss
realized
upon a sale of Shares held for one year or less is generally treated as a
short-term gain or loss, except that any capital loss on the sale of Shares held
for six months or less is treated as long-term capital loss to the extent that
capital gain dividends were paid with respect to the Shares.
Creation
Unit Issues and Redemptions. On
an issue of Shares of a Fund as part of a Creation Unit where the creation is
conducted in-kind, an Authorized Participant recognizes capital gain or loss
equal to the difference between (i) the fair market value (at issue) of the
issued Shares (plus any cash received by the Authorized Participant as part of
the issue) and (ii) the Authorized Participant’s aggregate basis in the
exchanged securities (plus any cash paid by the Authorized Participant as part
of the issue). On a redemption of Shares as part of a Creation Unit where the
redemption is conducted in-kind, an Authorized Participant recognizes capital
gain or loss equal to the difference between (i) the fair market value (at
redemption) of the securities received (plus any cash received by the Authorized
Participant as part of the redemption) and (ii) the Authorized Participant’s
basis in the redeemed Shares (plus any cash paid by the Authorized Participant
as part of the redemption). However, the IRS may assert, under the “wash sale”
rules or on the basis that there has been no significant change in the
Authorized Participant’s economic position, that any loss on creation or
redemption of Creation Units cannot be deducted currently.
In
general, any capital gain or loss recognized upon the issue or redemption of
Shares (as components of a Creation Unit) is treated either as long-term capital
gain or loss if the deposited securities (in the case of an issue) or the Shares
(in the case of a redemption) have been held for more than one year, or
otherwise as short-term capital gain or loss. However, any capital loss on a
redemption of Shares held for six months or less is treated as long-term capital
loss to the extent that capital gain dividends were paid with respect to such
Shares.
Back-Up
Withholding.
A Fund may be required to report certain information on a Fund shareholder to
the IRS and withhold federal income tax (“backup withholding”) at a 24% rate
from all taxable distributions and redemption proceeds payable to the Fund
shareholder if the Fund shareholder fails to provide the Fund with a correct
taxpayer identification number (or, in the case of a U.S. individual, a social
security number) or a completed exemption certificate (e.g.,
an IRS Form W-8BEN or W-8BEN-E, as applicable, in the case of a foreign Fund
shareholder) or if the IRS notifies the Fund that the Fund shareholder is
otherwise subject to backup withholding. Backup withholding is not an additional
tax and any amount withheld may be credited against a Fund shareholder’s federal
income tax liability.
Special
Issues for Foreign Shareholders. If
a Fund shareholder is not a U.S. citizen or resident or if a Fund shareholder is
a foreign entity, the Fund’s ordinary income dividends (including distributions
of amounts that would not be subject to U.S. withholding tax if paid directly to
foreign Fund shareholders) will be subject, in general, to withholding tax at a
rate of 30% (or at a lower rate established under an applicable tax treaty).
However interest-related dividends and short-term capital gain dividends
generally will not be subject to withholding tax; provided that the foreign
shareholder furnishes the Funds with a completed IRS Form W-8BEN or W-8BEN-E, as
applicable, (or acceptable substitute documentation) establishing the Fund
shareholder’s status as foreign and the Funds do not have actual knowledge or
reason to know that the foreign Fund shareholder would be subject to withholding
tax if the foreign shareholder were to receive the related amounts directly
rather than as dividends from the Funds.
The
provisions of FATCA will subject certain foreign entities to U.S. withholding
tax of 30% on certain U.S. source investment income (including all dividends
from the Fund), unless they comply
with
or demonstrate their exemption from certain reporting requirements. Complying
with such requirements may require the shareholder to provide and certify
certain information about itself and (where applicable) its beneficial owners,
and foreign financial institutions may be required to enter in an agreement with
the U.S. Internal Revenue Service or a government agency in their own country to
provide certain information regarding such shareholder’s account holders. Please
consult your tax advisor regarding this tax.
To
claim a credit or refund for any Fund-level taxes on any undistributed long-term
capital gains (as discussed above) or any taxes collected through back-up
withholding, a foreign shareholder must obtain a U.S. taxpayer identification
number and file a federal income tax return, even if the foreign shareholder
would not otherwise be required to obtain a U.S. taxpayer identification number
or file a U.S. income tax return.
For
a more detailed tax discussion regarding an investment in the Funds, please see
the section of the SAI entitled “Taxation”.
Material
Conflicts of Interest
The
activities in the management of, or interest in, the Sub-Advisor’s own accounts
and the other accounts it manages, may give rise to conflicts of interest or the
appearance of conflicts of interest, and these activities may present conflicts
of interest that could disadvantage the Funds and their shareholders. For
example, the Sub-Advisor currently provides investment management services to
other accounts, including separately managed accounts,
other
Funds in the Trust, and in the future may service accounts of other affiliates
and their respective clients, using analysis, research, processes, and systems
similar to those used in the management of the Funds. Some of these portfolios
may have fee structures that are or have the potential to be higher than the
advisory fees paid by the Funds, which can cause potential conflicts in the
allocation of investment opportunities between any of the Funds and other
accounts. However, the compensation structure for portfolio managers does not
generally provide incentive to favor one account over another because that part
of a manager’s bonus based on performance is not based on the performance of one
account to the exclusion of others. There are many other factors considered in
determining the portfolio managers’ bonus and there is no formula that is
applied to weight the factors listed.
In
connection with allocation of trades, the Sub-Advisor faces a potential conflict
because it manages separately managed accounts (“SMA
Clients”)
and multiple registered investment companies. These conflicts may arise because
of similarities between the investment strategies. The intention of the
Sub-Advisor is to treat the various accounts fairly. The Sub-Advisor frequently
combines or aggregates orders for SMA Clients and the Funds, in an effort to
obtain best execution, to negotiate more favorable commission rates, or to
equitably allocate among the Sub-Advisor’s SMA Clients and the Funds
improvements in price and transaction fees or other transaction costs that might
not have been obtained had such orders been placed independently. If the
Sub-Advisor combines or aggregates client orders, for those client accounts
included in the combined or aggregated orders , transactions will be averaged as
to price and will be allocated among the relevant client accounts in proportion
to the purchase (or sale) orders placed for each respective client account. This
can also lead to a conflict of interest for the Sub-Advisor in allocating its
own limited resources among different clients and potential future business
ventures. Although the Sub-Advisor and its professional staff cannot and will
not devote all of its time or resources to the management of the business and
affairs of the Funds, the Sub-Advisor intends to devote, and to cause its
professional staff to devote, sufficient time and resources to properly manage
the business and affairs of the Funds.
Broker-dealers
selected for execution by the Sub-Advisor may receive a brokerage commission or
other compensation for transactions effected for a Fund. All executions of Fund
trades are subject to best execution regulations through the executing broker
and are reviewed by the Board annually and may be reviewed more frequently as
deemed necessary by the Board. The Sub-Advisor has typically determined to
execute portfolio transactions through the Advisor in its capacity as a
registered broker-dealer (the “Affiliated Broker Dealer”). Commissions and other
forms of compensation earned by broker-dealers, including the Affiliated Broker
Dealer, will negatively impact the net prices ultimately paid or received by
customers including the Funds.
CODE
OF ETHICS
The
Trust, the Advisor, the Sub-Advisor and Foreside Financial Group, LLC, on behalf
of the Distributor and Foreside Fund Officer Services, LLC, each have adopted a
code of ethics under Rule 17j-1 of the 1940 Act that is designed to prevent
affiliated persons of the Trust, the Advisor, the Sub-Advisor, the Distributor
and Foreside Fund Officer Services, LLC from engaging in deceptive,
manipulative, or fraudulent activities in connection with securities held or to
be acquired by the Funds (which may also be held by persons subject to a code).
There can be no assurance that the codes will be effective in preventing such
activities. The codes permit personnel subject to them to invest in securities,
including securities that may be held or purchased by the Funds. The codes are
on file with the SEC and are available to the public.
FUND
WEBSITE AND DISCLOSURE OF PORTFOLIO HOLDINGS
The
Sub-Advisor maintains a website for the Funds at www.wbietfs.com. The website
for the Funds contains, among other things, the following information, on a
per-Share basis, for each Fund the prior Business Day’s: (1) NAV; (2) market
price (which may be the official closing price or the national best bid and
national best offer at the time the NAV is calculated); and (3) a calculation of
the premium or discount of the market price against such NAV. The website also
contains a table and line graph that providing historical data related to the
premium or discount during the most recently completed calendar year and the
most recently completed calendar quarters since that year (or for the life of a
Fund if, shorter). In addition, on each Business Day, before the commencement of
trading in Shares on the NYSE Arca, each Fund will disclose on its website
www.wbietfs.com the identities and quantities of the portfolio securities and
other assets held by each Fund that will form the basis for the calculation of
NAV at the end of the Business Day.
A
description of each Fund’s policies and procedures with respect to the
disclosure of the Fund’s portfolio securities is available in the
SAI.
OTHER
INFORMATION
For
purposes of the 1940 Act, the Funds are registered investment companies, and the
acquisition of Shares by other registered investment companies and companies
relying on exemption from registration as investment companies under Section
3(c)(1) or 3(c)(7) of the 1940 Act is subject to the restrictions of Section
12(d)(1) of the 1940 Act, except as may be permitted by an exemptive order
granted by the SEC that permits registered investment companies to invest in the
Funds beyond those limitations.
The
SEC has granted exemptive relief to the Trust under Section 12(d)(1)(J) of the
1940 Act permitting each Fund to operate as a “fund of funds” and invest in
other investment companies without complying with the limitations set forth in
Section 12(d)(1) of the 1940 Act, subject to certain terms and limitations that
are contained in the SEC’s exemptive order. In addition, the Funds may enter
into Participation Agreements with unaffiliated investment companies to enable a
Fund to invest in unaffiliated investment companies in excess of the limits in
Section 12(d)(1) pursuant to exemptive orders granted to other fund complexes on
which the Fund is allowed to rely.
Shareholder
inquiries may be made by writing to the Trust, c/o Millington Securities, Inc.,
331 Newman Springs Road, Suite 143, Red Bank, New Jersey 07701.
FINANCIAL
HIGHLIGHTS
The
financial highlights tables that follow are intended to help you understand the
Funds’ financial performance for five years or the period of the Funds’
operations. Certain information reflects financial results for a single Fund
share. The total returns in the table represent the rate that an investor would
have earned or lost on an investment in a Fund (assuming reinvestment of all
dividends and distributions). The
financial highlights below have been derived from the Funds’ financial
statements. This information has been audited by
KPMG LLP, the Funds’ independent registered public accounting firm, whose
report, along with the Funds’ financial statements, is included in the Funds’
annual report to shareholders for the fiscal year/period ended June 30,
2021, which is available upon request.
The
WBI BullBear Trend Switch US 1000 ETF, WBI BullBear Trend Switch US 2000 ETF,
WBI BullBear Trend Switch US 1000 Total Return ETF, and WBI BullBear Trend
Switch US 2000 Total Return ETF have not yet commenced operations prior to the
date of this Prospectus and therefore do not have financial
information.
For
capital shares outstanding throughout each year
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WBI
BullBear Value 3000 ETF |
|
Year
Ended June 30, |
|
2021 |
2020 |
2019 |
2018 |
2017 |
Net
Asset Value, Beginning of Year |
$25.60 |
$27.19 |
$28.19 |
$26.20 |
$21.85 |
Income
(Loss) from Investment Operations: |
|
|
|
|
|
Net
investment income1 |
0.49 |
0.07 |
0.32 |
0.18 |
0.29 |
Net
gain (loss) on investments (realized and unrealized)3 |
6.05 |
(1.54) |
(0.99) |
2.00 |
4.35 |
Total
from investment operations |
6.54 |
(1.47) |
(0.67) |
2.18 |
4.64 |
Less
Distributions: |
|
|
|
|
|
Distributions
from net investment income |
(0.39) |
(0.12) |
(0.33) |
(0.19) |
(0.29) |
Total
Distributions |
(0.39) |
(0.12) |
(0.33) |
(0.19) |
(0.29) |
Net
asset value, end of year |
$31.75 |
$25.60 |
$27.19 |
$28.19 |
$26.20 |
Market
price, end of year |
$31.77 |
$25.61 |
$27.16 |
$28.17 |
$26.28 |
Net
Assets Total Return4 |
25.59% |
-5.40% |
-2.53% |
8.40% |
21.34% |
|
|
|
|
|
|
Supplemental
Data: |
|
|
|
|
|
Net
assets, end of year (000’s) |
$53,597 |
$43,218 |
$50,297 |
$64,843 |
$78,601 |
Ratios
to Average Net Assets: |
|
|
|
|
|
Expenses
before fees (waived)/recouped |
1.36% |
1.25% |
1.18% |
1.05% |
1.03% |
Expenses
after fees (waived)/recouped |
1.25% |
1.25% |
1.18% |
1.05% |
1.03% |
Net
investment income to average net assets |
1.71% |
0.27% |
1.11% |
0.64% |
1.19% |
Portfolio
turnover rate2 |
800% |
894% |
567% |
527% |
388% |
1Calculated
based on average shares outstanding during the period.
2Excludes
securities received or delivered as a result of processing capital share
transactions in creation units.
3The
amount for a share outstanding throughout the period may not be in accordance
with the aggregate net realized and unrealized gain (loss) on investment for the
period because of the timing of capital share transactions in relation to
fluctuating market values of the Funds’ underlying securities.
4Net
asset value total return is calculated assuming an initial investment made at
the net asset value at the beginning of the period, reinvestment of all
dividends and distributions at net asset value during the period, and the
redemption on the last day of the period. Net asset value total return includes
adjustments in accordance with the accounting principles generally accepted in
the United States of America and as such, the net asset value for financial
reporting purposes and the returns based upon those net asset values may differ
from the net asset value and returns for shareholder transactions.
For
capital share outstanding throughout each year
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WBI
BullBear Yield 3000 ETF |
|
Year
Ended June 30, |
|
2021 |
2020 |
2019 |
2018 |
2017 |
Net
Asset Value, Beginning of Year |
$22.53 |
$24.02 |
$25.87 |
$22.89 |
$20.25 |
Income
(Loss) from Investment Operations: |
|
|
|
|
|
Net
investment income1 |
0.41 |
0.21 |
0.51 |
0.25 |
0.31 |
Net
gain (loss) on investments (realized and unrealized)3 |
4.13 |
(1.46) |
(1.84) |
2.98 |
2.66 |
Total
from investment operations |
4.54 |
(1.25) |
(1.33) |
3.23 |
2.97 |
Less
Distributions: |
|
|
|
|
|
Distributions
from net investment income |
(0.40) |
(0.21) |
(0.52) |
(0.25) |
(0.33) |
Tax
return of capital to shareholders |
— |
(0.03) |
— |
— |
— |
Total
Distributions |
(0.40) |
(0.24) |
(0.52) |
(0.25) |
(0.33) |
Net
asset value, end of year |
$26.67 |
$22.53 |
$24.02 |
$25.87 |
$22.89 |
Market
price, end of year |
$26.68 |
$22.52 |
$23.96 |
$25.83 |
$22.95 |
Net
Assets Total Return4 |
20.36% |
-5.22% |
-5.22% |
14.14% |
14.82% |
|
|
|
|
|
|
Supplemental
Data: |
|
|
|
|
|
Net
assets, end of year (000’s) |
$47,477 |
$59,247 |
$74,472 |
$82,779 |
$78,982 |
Ratios
to Average Net Assets: |
|
|
|
|
|
Expenses
before fees (waived)/recouped |
1.27% |
1.14% |
1.04% |
1.04% |
1.02% |
Expenses
after fees (waived)/recouped |
1.25% |
1.14% |
1.04% |
1.04% |
1.02% |
Net
investment income to average net assets |
1.68% |
0.88% |
2.04% |
0.99% |
1.47% |
Portfolio
turnover rate2 |
820% |
895% |
610% |
491% |
352% |
1Calculated
based on average shares outstanding during the period.
2Excludes
securities received or delivered as a result of processing capital share
transactions in creation units.
3The
amount for a share outstanding throughout the period may not be in accordance
with the aggregate net realized and unrealized gain (loss) on investment for the
period because of the timing of capital share transactions in relation to
fluctuating market values of the Funds’ underlying securities.
4Net
asset value total return is calculated assuming an initial investment made at
the net asset value at the beginning of the period, reinvestment of all
dividends and distributions at net asset value during the period, and the
redemption on the last day of the period. Net asset value total return includes
adjustments in accordance with accounting principles generally accepted in the
United States of America and as such, the net asset value for financial
reporting purposes and the returns based upon those net asset values may differ
from the net asset value and returns for shareholder transactions.
For
capital share outstanding throughout each year
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WBI
BullBear Quality 3000 ETF |
|
Year
Ended June 30, |
|
2021 |
2020 |
2019 |
2018 |
2017 |
Net
Asset Value, Beginning of Year |
$26.06 |
$27.20 |
$26.07 |
$25.25 |
$21.87 |
Income
(Loss) from Investment Operations: |
|
|
|
|
|
Net
investment income1 |
0.12 |
0.07 |
0.20 |
0.23 |
0.22 |
Net
gain (loss) on investments (realized and unrealized)3 |
4.62 |
(1.10) |
1.13 |
0.81 |
3.42 |
Total
from investment operations |
4.74 |
(1.03) |
1.33 |
1.04 |
3.64 |
Less
Distributions: |
|
|
|
|
|
Distributions
from net investment income |
(0.06) |
(0.09) |
(0.20) |
(0.22) |
(0.26) |
Tax
return of capital to shareholders |
— |
(0.02) |
— |
— |
— |
Total
Distributions |
(0.06) |
(0.11) |
(0.20) |
(0.22) |
(0.26) |
Net
asset value, end of year |
$30.74 |
$26.06 |
$27.20 |
$26.07 |
$25.25 |
Market
price, end of year |
$30.75 |
$26.07 |
$27.18 |
$26.10 |
$25.32 |
Net
Assets Total Return4 |
18.21% |
-3.79% |
5.08% |
4.11% |
16.80% |
|
|
|
|
|
|
Supplemental
Data: |
|
|
|
|
|
Net
assets, end of year (000’s) |
$45,407 |
$54,134 |
$61,202 |
$59,955 |
$47,983 |
Ratios
to Average Net Assets: |
|
|
|
|
|
Expenses
before fees (waived)/recouped |
1.31% |
1.23% |
1.21% |
1.07% |
1.04% |
Expenses
after fees (waived)/recouped |
1.25% |
1.23% |
1.21% |
1.07% |
1.04% |
Net
investment income to average net assets |
0.43% |
0.27% |
0.74% |
0.86% |
0.94% |
Portfolio
turnover rate2 |
838% |
886% |
477% |
553% |
320% |
1Calculated
based on average shares outstanding during the period.
2Excludes
securities received or delivered as a result of processing capital share
transactions in creation units.
3The
amount for a share outstanding throughout the period may not be in accordance
with the aggregate net realized and unrealized gain (loss) on investment for the
period because of the timing of capital share transactions in relation to
fluctuating market values of the Funds’ underlying securities.
4Net
asset value total return is calculated assuming an initial investment made at
the net asset value at the beginning of the period, reinvestment of all
dividends and distributions at net asset value during the period, and the
redemption on the last day of the period. Net asset value total return includes
adjustments in accordance with accounting principles generally accepted in the
United States of America and as such, the net asset value for financial
reporting purposes and the returns based upon those net asset values may differ
from the net asset value and returns for shareholder transactions.
For
capital share outstanding throughout each year
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WBI
BullBear Global Income ETF |
|
Year
Ended June 30, |
|
2021 |
2020 |
2019 |
2018 |
2017 |
Net
Asset Value, Beginning of Year |
$23.54 |
$25.24 |
$23.86 |
$25.35 |
$25.18 |
Income
(Loss) from Investment Operations: |
|
|
|
|
|
Net
investment income1 |
0.84 |
1.00 |
0.87 |
0.68 |
0.38 |
Net
gain (loss) on investments (realized and unrealized)3 |
1.36 |
(1.72) |
1.40 |
(1.47) |
0.20 |
Total
from investment operations |
2.20 |
(0.72) |
2.27 |
(0.79) |
0.58 |
Less
Distributions: |
|
|
|
|
|
Distributions
from net investment income |
(0.82) |
(0.98) |
(0.89) |
(0.70) |
(0.41) |
Distributions
from net realized gain |
— |
— |
— |
— |
— |
Total
Distributions |
(0.82) |
(0.98) |
(0.89) |
(0.70) |
(0.41) |
Net
asset value, end of year |
$24.92 |
$23.54 |
$25.24 |
$23.86 |
$25.35 |
Market
price, end of year |
$24.88 |
$23.53 |
$25.20 |
$23.83 |
$25.38 |
Net
Assets Total Return4 |
9.48% |
-2.97% |
9.75% |
-3.20% |
2.36% |
|
|
|
|
|
|
Supplemental
Data: |
|
|
|
|
|
Net
assets, end of year (000’s) |
$54,833 |
$68,271 |
$136,288 |
$96,626 |
$162,243 |
Ratios
to Average Net Assets: |
|
|
|
|
|
Expenses
before fees (waived)/recouped |
1.20% |
1.03% |
0.99% |
1.02% |
1.00% |
Expenses
after fees (waived)/recouped |
1.20% |
1.03% |
0.99% |
1.02% |
1.00% |
Net
investment income to average net assets |
3.42% |
4.02% |
3.60% |
2.71% |
1.53% |
Portfolio
turnover rate2 |
331% |
1,116% |
686% |
551% |
479% |
1Calculated
based on average shares outstanding during the period.
2Excludes
securities received or delivered as a result of processing capital share
transactions in creation units.
3The
amount for a share outstanding throughout the period may not be in accordance
with the aggregate net realized and unrealized gain (loss) on investment for the
period because of the timing of capital share transactions in relation to
fluctuating market values of the Funds’ underlying securities.
4Net
asset value total return is calculated assuming an initial investment made at
the net asset value at the beginning of the period, reinvestment of all
dividends and distributions at net asset value during the period, and the
redemption on the last day of the period. Net asset value total return includes
adjustments in accordance with accounting principles generally accepted in the
United States of America and as such, the net asset value for financial
reporting purposes and the returns based upon those net asset values may differ
from the net asset value and returns for shareholder transactions.
For
capital share outstanding throughout each period/year
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WBI
Power Factor®
High Dividend ETF |
|
Year
Ended June 30, 2021 |
|
Year
Ended June 30, 2020 |
|
Year
Ended June 30, 2019 |
|
Year
Ended June 30, 2018 |
|
Period
Ended
June
30, 20171 |
Net
Asset Value, Beginning of Period/Year |
$18.76 |
|
$24.56 |
|
$26.87 |
|
$24.22 |
|
$25.00 |
|
Income
(Loss) from Investment Operations: |
|
|
|
|
|
|
|
|
|
|
Net
investment income2 |
1.10 |
|
1.12 |
|
1.12 |
|
1.21 |
|
0.53 |
|
Net
gain (loss) on investments (realized and unrealized)7 |
8.65 |
|
(5.76) |
|
(2.08) |
|
3.19 |
|
(0.94) |
|
Total
from investment operations |
9.75 |
|
(4.64) |
|
(0.96) |
|
4.40 |
|
(0.41) |
|
Less
Distributions: |
|
|
|
|
|
|
|
|
|
|
Distributions
from net investment income |
(1.08) |
|
(1.16) |
|
(1.13) |
|
(1.15) |
|
(0.37) |
|
Distributions
from net realized gain |
— |
|
— |
|
(0.22) |
|
(0.60) |
|
— |
|
Total
Distributions |
(1.08) |
|
(1.16) |
|
(1.35) |
|
(1.75) |
|
(0.37) |
|
Net
asset value, end of period/year |
$27.43 |
|
$18.76 |
|
$24.56 |
|
$26.87 |
|
$24.22 |
|
Market
price, end of period/year |
$27.48 |
|
$18.75 |
|
$24.53 |
|
$26.87 |
|
$24.34 |
|
Net
Assets Total Return8 |
53.09% |
|
-19.24% |
|
-3.25% |
|
18.51% |
|
-1.64% |
3 |
|
|
|
|
|
|
|
|
|
|
|
Supplemental
Data: |
|
|
|
|
|
|
|
|
|
|
Net
assets, end of period/year (000’s) |
$64,457 |
|
$42,202 |
|
$103,160 |
|
$52,402 |
|
$33,903 |
|
Ratios
to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
Expenses
before fees (waived)/recouped |
0.98% |
|
0.77% |
|
0.70% |
|
0.85% |
|
1.37% |
4 |
Expenses
after fees (waived)/recouped |
0.70% |
|
0.70% |
|
0.70% |
|
0.70% |
|
0.70% |
4 |
Net
investment income to average net assets |
4.73% |
|
4.83% |
|
4.46% |
|
4.73% |
|
3.81% |
4 |
Portfolio
turnover rate6 |
191% |
|
196% |
|
163% |
|
171% |
|
78% |
3 |
1Fund
commenced operations on December 19, 2016. The information presented is for the
period from December 19, 2016 to June 30, 2017.
2Calculated
based on average shares outstanding during the period.
3Not
Annualized.
4Annualized.
6 Excludes
securities received or delivered as a result of processing capital share
transactions in creation units.
7 The
amount for a share outstanding throughout the period may not be in accordance
with the aggregate net realized and unrealized gain (loss) on investment for the
period because of the timing of capital share transactions in relation to
fluctuating market values of the Funds’ underlying securities.
8 Net
asset value total return is calculated assuming an initial investment made at
the net asset value at the beginning of the period, reinvestment of all
dividends and distributions at net asset value during the period, and the
redemption on the last day of the period. Net asset value total return includes
adjustments in accordance with accounting principles generally accepted in the
United States of America and as such, the net asset value for financial
reporting purposes and the returns based upon those net asset values may differ
from the net asset value and returns for shareholder transactions.
For
capital share outstanding throughout each period/year
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WBI
BullBear Trend Switch US 3000 Total Return ETF |
|
Year
Ended June 30, 2021 |
Year
Ended June 30, 2020 |
Period
Ended
June
30, 20191 |
Net
Asset Value, Beginning of Period/Year |
$17.00 |
$20.67 |
$20.00 |
|
Income
(Loss) from Investment Operations: |
|
|
|
|
Net
investment income2 |
0.56 |
0.98 |
0.02 |
|
Net
gain (loss) on investments (realized and unrealized)7 |
3.41 |
(3.25) |
0.67 |
|
Total
from investment operations |
3.97 |
(2.27) |
0.69 |
|
Less
Distributions: |
|
|
|
|
Distributions
from net investment income |
(0.58) |
(0.95) |
(0.02) |
|
Distributions
from net realized gain |
— |
(0.45) |
— |
|
Total
Distributions |
(0.58) |
(1.40) |
(0.02) |
|
Net
asset value, end of period/year |
$20.39 |
$17.00 |
$20.67 |
|
Market
price, end of period/year |
$20.37 |
$17.04 |
$20.69 |
|
Net
Assets Total Return8 |
23.42% |
-11.65% |
3.45% |
3 |
|
|
|
|
|
Supplemental
Data: |
|
|
|
|
Net
assets, end of period/year (000’s) |
$29,054 |
$35,280 |
$47,030 |
|
Ratios
to Average Net Assets: |
|
|
|
|
Expenses
before fees (waived)/recouped |
0.72% |
0.70% |
0.66% |
5 |
Expenses
after fees (waived)/recouped |
0.72% |
0.70% |
0.66% |
5 |
Net
investment income to average net assets |
2.89% |
5.02% |
1.07% |
5 |
Portfolio
turnover rate6 |
99% |
1,393% |
126% |
3 |
1Fund
commenced operations on May 28, 2019. The information presented is for the
period from May 28, 2019 to June 30, 2019.
2Calculated
based on average shares outstanding during the period.
3Not
Annualized.
4Annualized.
5Annualized.
The ratios to average net assets shown for the WBI BullBear Trend Switch US 3000
Total Return ETF were amended to be annualized after the issuance of the June
30, 2019 annual report.
6Excludes
securities received or delivered as a result of processing capital share
transactions in creation units.
7The
amount for a share outstanding throughout the period may not be in accordance
with the aggregate net realized and unrealized gain (loss) on investment for the
period because of the timing of capital share transactions in relation to
fluctuating market values of the Funds’ underlying securities.
8Net
asset value total return is calculated assuming an initial investment made at
the net asset value at the beginning of the period, reinvestment of all
dividends and distributions at net asset value during the period, and the
redemption on the last day of the period. Net asset value total return includes
adjustments in accordance with accounting principles generally accepted in the
United States of America and as such, the net asset value for financial
reporting purposes and the returns based upon those net asset values may differ
from the net asset value and returns for shareholder transactions.
PRIVACY
POLICY
Absolute
Shares Trust is committed to respecting the privacy of personal information you
entrust to us in the course of doing business with us.
The
Funds collect non-public information about you from the following
sources:
•Information
we receive about you on applications or other forms;
•Information
you give us orally; and/or
•Information
about your transactions with us or others.
We
do not disclose any non-public personal information about our customers or
former customers without the customer’s authorization, except as permitted by
law or in response to inquiries from governmental authorities. We may share
information with affiliated and unaffiliated third parties with whom we have
contracts for servicing the Funds. We will provide unaffiliated third parties
with only the information necessary to carry out their assigned
responsibilities. We maintain physical, electronic, and procedural safeguards to
guard your non-public personal information and require third parties to treat
your personal information with the same high degree of
confidentiality.
In
the event that you hold shares of the Funds through a financial intermediary,
including, but not limited to, a broker-dealer, bank, or trust company, the
privacy policy of your financial intermediary would govern how your non-public
personal information would be shared by those entities with unaffiliated third
parties.
FREQUENTLY
USED TERMS
|
|
|
|
|
|
|
|
|
Trust |
|
Absolute
Shares Trust, a registered open-end investment company |
|
|
Funds |
|
The
investment portfolios of the Trust |
|
|
Shares |
|
Shares
of the Funds offered to investors |
|
|
Advisor |
|
Millington
Securities, Inc. |
|
|
Sub-Advisor |
|
WBI
Investments, Inc. |
|
|
Custodian |
|
U.S.
Bank National Association, the custodian of the Funds’ assets |
|
|
Distributor |
|
Foreside
Fund Services, LLC, the distributor to the Funds |
|
|
AP
or Authorized
Participant |
|
Certain
large institutional investors such as brokers, dealers, banks or other
entities that have entered into authorized participant agreements with the
Distributor |
|
|
NYSE
Arca |
|
NYSE
Arca, Inc., the primary market on which Shares are listed for
trading |
|
|
IIV |
|
The
Indicative Intra-Day Value, (also known as Indicative Optimized Portfolio
Value or IOPV), an appropriate per-Share value based on a Fund’s
portfolio |
|
|
1940
Act |
|
Investment
Company Act of 1940, as amended |
|
|
NAV |
|
Net
asset value |
|
|
SAI |
|
Statement
of Additional Information |
|
|
SEC |
|
Securities
and Exchange Commission |
|
|
Secondary
Market |
|
A
national securities exchange, national securities association, or
over-the-counter trading system where Shares may trade from time to
time |
|
|
Securities
Act |
|
Securities
Act of 1933, as amended |
FOR
MORE INFORMATION
If
you would like more information about the Trust, the Funds and the Shares, the
following documents are available free upon request:
Statement
of Additional Information
The
SAI provides additional details about the investments and techniques of the
Funds and certain other additional information. A current SAI is on file with
the SEC and is incorporated into this Prospectus by reference. This means that
the SAI is legally considered a part of this Prospectus even though it is not
physically within this Prospectus.
Annual
and Semi-Annual Reports
The
Funds’ Annual and Semi-Annual Reports (collectively, the “Shareholder
Reports”)
provide the most recent financial reports and portfolio listings. The Annual
Report contains a discussion of the market conditions and investment strategies
that affected the Funds’ performance during the Funds’ previous fiscal
year.
The
SAI and Shareholder Reports are available free of charge on the Funds’ website
at www.wbietfs.com.
You
can obtain a free copy of the SAI and Shareholder Reports, request other
information, or make general inquiries about the Funds by calling the Funds
(toll-free) at (855) WBI-ETFS or (855) 924-3837 or by writing to:
Absolute
Shares Trust
c/o
Millington Securities, Inc.
331
Newman Springs Road, Suite 143
Red
Bank, New Jersey 07701
Reports
and other information about the Funds are also available:
•Free
of charge from the SEC’s EDGAR database on the SEC’s website at
http://www.sec.gov; or
No
person is authorized to give any information or to make any representations
about the Funds and their Shares not contained in this Prospectus and you should
not rely on any other information. This Prospectus does not constitute an
offering by the Funds in any jurisdiction where such an offering is not lawful.
Read and keep the Prospectus for future reference.
The
Trust may enter into contractual arrangements with various parties, including
among others, the Funds’ investment advisor, sub-advisor, distributor,
custodian, and transfer agent who provide services to the Funds. Shareholders
are not parties to any such contractual arrangements or intended beneficiaries
of those contractual arrangements, and those contractual arrangements are not
intended to create in any shareholder any right to enforce them against the
service providers or to seek any remedy under them against the service
providers, either directly or on behalf of the Trust.
This
Prospectus provides information concerning the Funds that you should consider in
determining whether to purchase Shares. Neither this Prospectus nor the SAI is
intended, or should be read, to be or give rise to an agreement or contract
between the Trust or the Funds and any investor, or to give rise to any rights
in any shareholder or other person other than any rights under federal or state
law that may not be waived.
Dealers
effecting transactions in the Funds’ Shares, whether or not participating in
this distribution, may be generally required to deliver a Prospectus. This is in
addition to any obligation dealers have to deliver a Prospectus when acting as
underwriters.
WBI
is a registered service mark of WBI Investments, Inc.
The
Funds’ investment company registration number is 811-22917