Correspondence 0001193125-24-039740 from AMG Funds I (CIK 0000882443)
AMG Funds I (CIK 0000882443)
Date: Feb. 20, 2024 · CIK: 0000882443 · Accession: 0001193125-24-039740
AI Filing Summary & Sentiment
File numbers found in text: 811-06520
Letter
VIA EDGAR Securities and Exchange Commission Division of Investment Management 100 F Street, N.E. Washington, D.C. 20549 Re: AMG Funds I (Registration Nos. 033-44909 and 811-06520)
Dear Mr. Brodsky:
I am writing on behalf of AMG Funds I (the “Trust”) to respond to the comments of the staff (the “Staff”) of the Securities and Exchange Commission (“SEC”) to Post-Effective Amendment No. 120 under the Securities Act of 1933, as amended (the “1933 Act”), to the Trust’s Registration Statement on Form N-1A filed on December 8, 2023, relating to AMG Systematica Managed Futures Strategy Fund (the “Fund”). The Trust appreciates this opportunity to respond to the Staff’s comments. The Staff’s comments and the Trust’s responses are set forth below. Certain defined terms used herein have the meaning set forth in the Fund’s prospectus (the “Prospectus”).
1. Comment: The Staff notes that the Fund’s investment objective uses the phrase “absolute returns.” Please disclose how the Fund defines that term.
Response: The Trust has included additional disclosure regarding the definition of “absolute returns” in the principal investment strategies disclosure as reflected in Appendix A.
2. Comment: The Staff notes that the Fund’s principal investment strategies disclosure indicates using multiple entities to provide subadvisory services, including foreign entities. Please supplementally explain if any entities that are not U.S. registered investment advisers are providing advisory services to the Fund and explain how that is in compliance with the Advisers Act of 1940, as amended. Please explain if the Fund is relying on any no action relief for these arrangements.
Response: The Trust confirms that each of the Fund’s investment adviser, subadviser and sub-subadvisers is registered with the SEC as an investment adviser under the Advisers Act of 1940, as amended.
3. Comment: The Staff notes that the Fund’s principal investment strategies disclosure states that “[t]he Fund seeks to execute its investment strategy over different markets across various major asset classes….” Please disclose all markets and assets that the Fund intends to principally invest in and clarify in the disclosure how the Fund defines investments in markets versus investments in assets.
Response: The Trust has revised the principal investment strategies disclosure as reflected in Appendix A.
4. Comment: Please consider disclosing if the Fund will be more weighted in certain markets and asset classes and, if so, under what circumstances.
Response: The Trust notes that the Fund is actively managed and, as disclosed in the principal investment strategies disclosure, seeks to algorithmically identify and capture movement in markets relating to momentum or trends. Disclosure in the section of the Prospectus titled “Additional Information About the Fund – Additional Information About the Fund’s Principal Investment Strategies” states that while the Fund seeks to execute its strategy over different markets across various major asset classes and geographic regions, “the Fund may not have exposure to all such asset classes at any given time.” The Trust believes that this disclosure accurately and adequately reflects the Fund’s strategy. Nonetheless, in response to the Staff’s comment, the Trust has revised the Fund’s principal investment strategies disclosure as reflected in Appendix A to also state that the Fund’s exposure to markets within an asset class, and the extent of its exposure to a particular asset class, will vary based on its trend following strategy.
5. Comment: The Staff notes that the Fund’s principal investment strategies disclosure states that “[t]he Fund seeks to execute its strategy over different markets across various major asset classes, such as fixed income, equities, currencies and commodities, and geographic regions.” Please clarify what “geographic regions” means in this context as this appears to be a list of asset classes. Please disclose if the Fund will invest in foreign and emerging markets, as appropriate.
Response: The Trust has revised the Fund’s principal investment strategies disclosure as reflected in Appendix A.
6. Comment: The Staff notes that the Fund’s principal investment strategies disclosure states that the Fund generally gains exposure to asset classes by investing in futures contracts and forwards. If that is the case, please revise the disclosure in the second paragraph of the Fund’s principal investment strategies so that it does not imply the Fund will be investing directly in underlying assets like fixed income or equities.
Response: The Trust respectfully submits that the existing disclosure appropriately describes the Fund’s principal investment strategies. That is, the Fund generally gains exposure to asset classes by investing in futures contracts and forwards and may take either a long or a short position in a given market. Nonetheless, in response to the Staff’s comment, the Trust has clarified that the Fund generally seeks to gain exposure to the asset classes by investing in derivative instruments as reflected in Appendix A.
7. Comment: The Staff notes the sentence in the principal investment strategies disclosure that “[t]he Fund attempts to identify trends over multiple time horizons for each market traded.” Please disclose how the Fund defines “trends” and “trends over multiple time horizons.”
Response: The Trust has revised the Fund’s principal investment strategies disclosure as reflected in Appendix A to describe “trends.” With respect to “trends over multiple time horizons,” the Trust respectfully submits that the existing disclosure, as modified, describes the applicable time horizons (emphasis added):
The Fund attempts to identify trends over multiple time horizons for each market traded. These The time horizons used by the Fund to identify trends typically range from a few days to a few months, and are combined to produce an aggregate forecast for each applicable market.
8. Comment: The Staff notes the sentence in the principal investment strategies disclosure that “[t]hese time horizons typically range from a few days to a few months, and are combined to produce an aggregate forecast for each market. In each case, the model used to manage the Fund forecasts the position for that market based on the model’s volatility and other parameters.” Please disclose how the Fund defines “aggregate forecast” and “other parameters” in this context.
Response: The Trust has revised the Fund’s principal investment strategies disclosure as reflected in Appendix A.
9. Comment: Please disclose what factors are considered as part of the Fund’s quantitative analysis.
Response: The Trust respectively submits that the Fund’s principal investment strategies disclosure accurately describes the Fund’s quantitative investment process. Nonetheless, in response to the Staff’s comment, the Fund has clarified that position decisions are made on a systematic basis using quantitative analysis based on algorithms overseen by the Systematica Group.
10. Comment: The Staff notes that the last paragraph of the Fund’s principal investment strategies disclosure indicates that it will be making investments directly and through a wholly-owned subsidiary. Please address the following comments with respect to the Subsidiary:
a. Please disclose that the Subsidiary includes entities that engage in investment activities in securities or other assets that are primarily controlled by the Fund.
b. Please disclose that the Fund complies with the provisions of the 1940 Act governing investment policies (Section 8) on an aggregate basis with the Subsidiary.
c. Please disclose that the Fund complies with the provisions of the 1940 Act governing capital structure and leverage on an aggregate basis with the Subsidiary so the Fund treats the Subsidiary’s debt as its own for purposes of Section 18.
d. Please disclose that any investment adviser to the Subsidiary complies with the provisions of the 1940 Act relating to investment advisory contracts as if were an investment adviser to the Fund under Section 2(a)(20) of the 1940 Act. Any advisory contract between an investment adviser and the Subsidiary is a material contract that should be included as an exhibit to the Fund’s registration statement. If the same person is the adviser to the Fund and the Subsidiary, for purposes of complying with Section 15(c) of the 1940 Act, the review of the Fund’s and the Subsidiary’s advisory agreements may be combined.
e. Please disclose that the Subsidiary complies with the provisions of the 1940 Act with respect to affiliated transactions and custody. Please identity the custodian of the Subsidiary, if any.
f. Please disclose any of the Subsidiary’s principal investment strategies or principal risks that constitute principal investment strategies or principal risks of the Fund. The principal investment strategies and principal risks of a fund that invests in a subsidiary should reflect the aggregate operations of the fund and the subsidiary.
g. Please explain in correspondence whether the financial statements of the Subsidiary will be consolidated with those of the Fund. If not, please explain why not.
h. Please confirm in correspondence that the Subsidiary and its board of directors will agree to inspection by the Staff of the Subsidiary’s books and records, which will be maintained in accordance with Section 31 of the 1940 Act and the rules thereunder.
i. Please confirm in correspondence that the Subsidiary and its board of directors will designate an agent for service of process in the United States.
j. Please confirm that the Subsidiary’s management fee, including any performance fee (if any), will be included in the Management Fees line item in the Fund’s fee table and the Subsidiary’s expenses will be included in the Other Expenses line item in the Fund’s fee table.
Response: The Trust respectfully declines to make the proposed change referenced under Comment 10.a. The Trust notes that the Fund’s principal investment strategies disclosure already specifies that the Subsidiary is wholly-owned and controlled by the Fund, and therefore believes the requested language is unnecessary.
The Trust confirms that the Fund and the Subsidiary comply, on an aggregate basis, with the provisions of the 1940 Act governing investment policies (Section 8), capital structure and leverage (Section 18), affiliated transactions and custody (Section 17) and that the Subsidiary’s assets are held by eligible custodians under Section 17 of the 1940 Act (currently, The Bank of New York Mellon). The Trust notes that disclosure in the Statement of Additional Information under “Additional Investment Policies – Subsidiary Investment” has been updated as follows (additions underlined):
The Fund’s assets may be invested in the Subsidiary. Investment in the Subsidiary is expected to provide the Fund with exposure to the commodity markets within the limitations of Subchapter M of the Code and Internal Revenue Service (“IRS”) guidance. The Subsidiary is a company organized under the laws of the Cayman Islands and is overseen by its own board of directors. The Fund is the sole shareholder of the Subsidiary, and it is not currently expected that shares of the Subsidiary will be sold or offered to other investors. The Fund looks through the Subsidiary for the purposes of compliance with its investment policies and the applicable provisions of the 1940 Act relating to the capital structure, affiliated transactions, and custody. Each Subsidiary has an eligible custodian under Section 17 of the 1940 Act.
Although the Subsidiary is not an investment company subject to 1940 Act, the Fund confirms the Subsidiary has voluntarily entered into advisory, subadvisory and sub-subadvisory agreements pursuant to the requirements of Section 15 of the 1940 Act, and that such agreements will be filed as exhibits to the Registration Statement.
The Trust confirms that the principal investment strategies and principal risk disclosures of the Fund reflect the aggregate operations of the Fund and the Subsidiary. The Trust confirms that the Fund’s and Subsidiary’s financial statements will be presented on a consolidated basis. The Subsidiary and its board of directors will agree to inspection of the Subsidiary’s books and records by the Staff and will designate an agent for service of process in the United States. The Trust confirms that the Subsidiary’s management fee is included in the “Management Fee” line item of the Fund’s fee table, as disclosed in footnote 1 to the table. The Trust also confirms that the Subsidiary’s expenses are included in the “Other Expenses” line item in the Fund’s fee table.
11. Comment: The Staff notes that the disclosure under “Analytical Model Risk” states that “[t]he Fund’s investment strategy depends upon the reliability, accuracy and analyses of analytical models.” Please disclose how the Fund is defining its analytical model as used in the principal investment strategies disclosure.
Response: The Trust respectfully submits that “Analytical Model Risk” relates to the systematic trading models that are described throughout the Fund’s Item 4 and Item 9 investment strategy disclosure. The Trust has clarified the risk disclosure as follows (emphasis added):
“[t]he Fund’s investment strategy depends upon the reliability, accuracy and analyses of systematic trading models, which are analytical models.”
12. Comment: The Staff notes that the disclosure under “Analytical Model Risk” states that “[f]rom time to time the Systematica Group may exercise discretion over trading orders.” Please briefly disclose here or in the Fund’s disclosure in response to Item 9 of Form N-1A the general circumstances under which the Systematica Group might exercise such discretion.
Response: The Trust has revised the “Analytical Model Risk” in the Fund’s disclosure in response to Item 9 of Form N-1A as below:
While the models are predominantly algorithmic and mechanical, from time to time the Systematica Group may exercise discretion over trading orders to deviate from trading in a manner indicated by the models. This discretion to deviate from trading as indicated by the models is expected to be used in rare circumstances where a market event arises that causes significant concern to the Systematica Group that suggests the need to alter trading of a particular market or instrument, for example in response to rare or extreme events. No assurance can be given that such use of discretion to not trade based on the output of models will be exercised at all or that the use of such discretion will enable the Fund to avoid losses and in fact such. The use of such discretion may cause the Fund to forego profits which it may have otherwise earned had such discretion not the models been usedfollowed.
13. Comment: The Staff notes that the disclosure under “Leverage Risk” references swaps but that the Fund’s principal investment strategies disclosure does not. Please remove swaps from the Fund’s “Leverage Risk” disclosure or add swaps to the Fund’s principal investment strategies disclosure, as appropriate.
Response: The Trust confirms that “Leverage Risk” has been updated to remove the reference to swaps.
14. Comment: The Staff notes that “Emerging Markets Risk” is disclosed as a principal risk of the Fund. If emerging markets are a part of the Fund’s principal investment strategies, please add to the principal investment strategies disclosure.
Response: The Trust has revised the Fund’s principal investment strategies disclosure to include a reference to emerging markets as reflected in
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CORRESP 1 filename1.htm AMG FUNDS I ROPES & GRAY LLP PRUDENTIAL TOWER 800 BOYLSTON STREET BOSTON, MA 02199-3600 WWW.ROPESGRAY.COM Lisa Mikhail Henry T +1 617 951 7780 lisa.henry@ropesgray.com February 20, 2024 VIA EDGAR Mr. Aaron Brodsky, Esq. Securities and Exchange Commission Division of Investment Management 100 F Street, N.E. Washington, D.C. 20549 Re: AMG Funds I (Registration Nos. 033-44909 and 811-06520) Dear Mr. Brodsky: I am writing on behalf of AMG Funds I (the “Trust”) to respond to the comments of the staff (the “Staff”) of the Securities and Exchange Commission (“SEC”) to Post-Effective Amendment No. 120 under the Securities Act of 1933, as amended (the “1933 Act”), to the Trust’s Registration Statement on Form N-1A filed on December 8, 2023, relating to AMG Systematica Managed Futures Strategy Fund (the “Fund”). The Trust appreciates this opportunity to respond to the Staff’s comments. The Staff’s comments and the Trust’s responses are set forth below. Certain defined terms used herein have the meaning set forth in the Fund’s prospectus (the “Prospectus”). 1. Comment: The Staff notes that the Fund’s investment objective uses the phrase “absolute returns.” Please disclose how the Fund defines that term. Response: The Trust has included additional disclosure regarding the definition of “absolute returns” in the principal investment strategies disclosure as reflected in Appendix A. 2. Comment: The Staff notes that the Fund’s principal investment strategies disclosure indicates using multiple entities to provide subadvisory services, including foreign entities. Please supplementally explain if any entities that are not U.S. registered investment advisers are providing advisory services to the Fund and explain how that is in compliance with the Advisers Act of 1940, as amended. Please explain if the Fund is relying on any no action relief for these arrangements. Response: The Trust confirms that each of the Fund’s investment adviser, subadviser and sub-subadvisers is registered with the SEC as an investment adviser under the Advisers Act of 1940, as amended. 3. Comment: The Staff notes that the Fund’s principal investment strategies disclosure states that “[t]he Fund seeks to execute its investment strategy over different markets across various major asset classes….” Please disclose all markets and assets that the Fund intends to principally invest in and clarify in the disclosure how the Fund defines investments in markets versus investments in assets. Response: The Trust has revised the principal investment strategies disclosure as reflected in Appendix A. 4. Comment: Please consider disclosing if the Fund will be more weighted in certain markets and asset classes and, if so, under what circumstances. Response: The Trust notes that the Fund is actively managed and, as disclosed in the principal investment strategies disclosure, seeks to algorithmically identify and capture movement in markets relating to momentum or trends. Disclosure in the section of the Prospectus titled “Additional Information About the Fund – Additional Information About the Fund’s Principal Investment Strategies” states that while the Fund seeks to execute its strategy over different markets across various major asset classes and geographic regions, “the Fund may not have exposure to all such asset classes at any given time.” The Trust believes that this disclosure accurately and adequately reflects the Fund’s strategy. Nonetheless, in response to the Staff’s comment, the Trust has revised the Fund’s principal investment strategies disclosure as reflected in Appendix A to also state that the Fund’s exposure to markets within an asset class, and the extent of its exposure to a particular asset class, will vary based on its trend following strategy. 5. Comment: The Staff notes that the Fund’s principal investment strategies disclosure states that “[t]he Fund seeks to execute its strategy over different markets across various major asset classes, such as fixed income, equities, currencies and commodities, and geographic regions.” Please clarify what “geographic regions” means in this context as this appears to be a list of asset classes. Please disclose if the Fund will invest in foreign and emerging markets, as appropriate. Response: The Trust has revised the Fund’s principal investment strategies disclosure as reflected in Appendix A. 6. Comment: The Staff notes that the Fund’s principal investment strategies disclosure states that the Fund generally gains exposure to asset classes by investing in futures contracts and forwards. If that is the case, please revise the disclosure in the second paragraph of the Fund’s principal investment strategies so that it does not imply the Fund will be investing directly in underlying assets like fixed income or equities. Response: The Trust respectfully submits that the existing disclosure appropriately describes the Fund’s principal investment strategies. That is, the Fund generally gains exposure to asset classes by investing in futures contracts and forwards and may take either a long or a short position in a given market. Nonetheless, in response to the Staff’s comment, the Trust has clarified that the Fund generally seeks to gain exposure to the asset classes by investing in derivative instruments as reflected in Appendix A. 7. Comment: The Staff notes the sentence in the principal investment strategies disclosure that “[t]he Fund attempts to identify trends over multiple time horizons for each market traded.” Please disclose how the Fund defines “trends” and “trends over multiple time horizons.” Response: The Trust has revised the Fund’s principal investment strategies disclosure as reflected in Appendix A to describe “trends.” With respect to “trends over multiple time horizons,” the Trust respectfully submits that the existing disclosure, as modified, describes the applicable time horizons (emphasis added): The Fund attempts to identify trends over multiple time horizons for each market traded. These The time horizons used by the Fund to identify trends typically range from a few days to a few months, and are combined to produce an aggregate forecast for each applicable market. 8. Comment: The Staff notes the sentence in the principal investment strategies disclosure that “[t]hese time horizons typically range from a few days to a few months, and are combined to produce an aggregate forecast for each market. In each case, the model used to manage the Fund forecasts the position for that market based on the model’s volatility and other parameters.” Please disclose how the Fund defines “aggregate forecast” and “other parameters” in this context. Response: The Trust has revised the Fund’s principal investment strategies disclosure as reflected in Appendix A. 9. Comment: Please disclose what factors are considered as part of the Fund’s quantitative analysis. Response: The Trust respectively submits that the Fund’s principal investment strategies disclosure accurately describes the Fund’s quantitative investment process. Nonetheless, in response to the Staff’s comment, the Fund has clarified that position decisions are made on a systematic basis using quantitative analysis based on algorithms overseen by the Systematica Group. 10. Comment: The Staff notes that the last paragraph of the Fund’s principal investment strategies disclosure indicates that it will be making investments directly and through a wholly-owned subsidiary. Please address the following comments with respect to the Subsidiary: a. Please disclose that the Subsidiary includes entities that engage in investment activities in securities or other assets that are primarily controlled by the Fund. b. Please disclose that the Fund complies with the provisions of the 1940 Act governing investment policies (Section 8) on an aggregate basis with the Subsidiary. c. Please disclose that the Fund complies with the provisions of the 1940 Act governing capital structure and leverage on an aggregate basis with the Subsidiary so the Fund treats the Subsidiary’s debt as its own for purposes of Section 18. d. Please disclose that any investment adviser to the Subsidiary complies with the provisions of the 1940 Act relating to investment advisory contracts as if were an investment adviser to the Fund under Section 2(a)(20) of the 1940 Act. Any advisory contract between an investment adviser and the Subsidiary is a material contract that should be included as an exhibit to the Fund’s registration statement. If the same person is the adviser to the Fund and the Subsidiary, for purposes of complying with Section 15(c) of the 1940 Act, the review of the Fund’s and the Subsidiary’s advisory agreements may be combined. e. Please disclose that the Subsidiary complies with the provisions of the 1940 Act with respect to affiliated transactions and custody. Please identity the custodian of the Subsidiary, if any. f. Please disclose any of the Subsidiary’s principal investment strategies or principal risks that constitute principal investment strategies or principal risks of the Fund. The principal investment strategies and principal risks of a fund that invests in a subsidiary should reflect the aggregate operations of the fund and the subsidiary. g. Please explain in correspondence whether the financial statements of the Subsidiary will be consolidated with those of the Fund. If not, please explain why not. h. Please confirm in correspondence that the Subsidiary and its board of directors will agree to inspection by the Staff of the Subsidiary’s books and records, which will be maintained in accordance with Section 31 of the 1940 Act and the rules thereunder. i. Please confirm in correspondence that the Subsidiary and its board of directors will designate an agent for service of process in the United States. j. Please confirm that the Subsidiary’s management fee, including any performance fee (if any), will be included in the Management Fees line item in the Fund’s fee table and the Subsidiary’s expenses will be included in the Other Expenses line item in the Fund’s fee table. Response: The Trust respectfully declines to make the proposed change referenced under Comment 10.a. The Trust notes that the Fund’s principal investment strategies disclosure already specifies that the Subsidiary is wholly-owned and controlled by the Fund, and therefore believes the requested language is unnecessary. The Trust confirms that the Fund and the Subsidiary comply, on an aggregate basis, with the provisions of the 1940 Act governing investment policies (Section 8), capital structure and leverage (Section 18), affiliated transactions and custody (Section 17) and that the Subsidiary’s assets are held by eligible custodians under Section 17 of the 1940 Act (currently, The Bank of New York Mellon). The Trust notes that disclosure in the Statement of Additional Information under “Additional Investment Policies – Subsidiary Investment” has been updated as follows (additions underlined): The Fund’s assets may be invested in the Subsidiary. Investment in the Subsidiary is expected to provide the Fund with exposure to the commodity markets within the limitations of Subchapter M of the Code and Internal Revenue Service (“IRS”) guidance. The Subsidiary is a company organized under the laws of the Cayman Islands and is overseen by its own board of directors. The Fund is the sole shareholder of the Subsidiary, and it is not currently expected that shares of the Subsidiary will be sold or offered to other investors. The Fund looks through the Subsidiary for the purposes of compliance with its investment policies and the applicable provisions of the 1940 Act relating to the capital structure, affiliated transactions, and custody. Each Subsidiary has an eligible custodian under Section 17 of the 1940 Act. Although the Subsidiary is not an investment company subject to 1940 Act, the Fund confirms the Subsidiary has voluntarily entered into advisory, subadvisory and sub-subadvisory agreements pursuant to the requirements of Section 15 of the 1940 Act, and that such agreements will be filed as exhibits to the Registration Statement. The Trust confirms that the principal investment strategies and principal risk disclosures of the Fund reflect the aggregate operations of the Fund and the Subsidiary. The Trust confirms that the Fund’s and Subsidiary’s financial statements will be presented on a consolidated basis. The Subsidiary and its board of directors will agree to inspection of the Subsidiary’s books and records by the Staff and will designate an agent for service of process in the United States. The Trust confirms that the Subsidiary’s management fee is included in the “Management Fee” line item of the Fund’s fee table, as disclosed in footnote 1 to the table. The Trust also confirms that the Subsidiary’s expenses are included in the “Other Expenses” line item in the Fund’s fee table. 11. Comment: The Staff notes that the disclosure under “Analytical Model Risk” states that “[t]he Fund’s investment strategy depends upon the reliability, accuracy and analyses of analytical models.” Please disclose how the Fund is defining its analytical model as used in the principal investment strategies disclosure. Response: The Trust respectfully submits that “Analytical Model Risk” relates to the systematic trading models that are described throughout the Fund’s Item 4 and Item 9 investment strategy disclosure. The Trust has clarified the risk disclosure as follows (emphasis added): “[t]he Fund’s investment strategy depends upon the reliability, accuracy and analyses of systematic trading models, which are analytical models.” 12. Comment: The Staff notes that the disclosure under “Analytical Model Risk” states that “[f]rom time to time the Systematica Group may exercise discretion over trading orders.” Please briefly disclose here or in the Fund’s disclosure in response to Item 9 of Form N-1A the general circumstances under which the Systematica Group might exercise such discretion. Response: The Trust has revised the “Analytical Model Risk” in the Fund’s disclosure in response to Item 9 of Form N-1A as below: While the models are predominantly algorithmic and mechanical, from time to time the Systematica Group may exercise discretion over trading orders to deviate from trading in a manner indicated by the models. This discretion to deviate from trading as indicated by the models is expected to be used in rare circumstances where a market event arises that causes significant concern to the Systematica Group that suggests the need to alter trading of a particular market or instrument, for example in response to rare or extreme events. No assurance can be given that such use of discretion to not trade based on the output of models will be exercised at all or that the use of such discretion will enable the Fund to avoid losses and in fact such. The use of such discretion may cause the Fund to forego profits which it may have otherwise earned had such discretion not the models been usedfollowed. 13. Comment: The Staff notes that the disclosure under “Leverage Risk” references swaps but that the Fund’s principal investment strategies disclosure does not. Please remove swaps from the Fund’s “Leverage Risk” disclosure or add swaps to the Fund’s principal investment strategies disclosure, as appropriate. Response: The Trust confirms that “Leverage Risk” has been updated to remove the reference to swaps. 14. Comment: The Staff notes that “Emerging Markets Risk” is disclosed as a principal risk of the Fund. If emerging markets are a part of the Fund’s principal investment strategies, please add to the principal investment strategies disclosure. Response: The Trust has revised the Fund’s principal investment strategies disclosure to include a reference to emerging markets as reflected in