Correspondence 0001592900-24-002052 from EA Series Trust (CIK 0001592900)
EA Series Trust (CIK 0001592900)
Date: Oct. 23, 2024 · CIK: 0001592900 · Accession: 0001592900-24-002052
AI Filing Summary & Sentiment
File numbers found in text: 333-195493, 811-22961
Letter
Post-Effective Amendment No. 364 to the Registration Statement on Form N-1A (the “Amendment”) File Nos.: 333-195493 and 811-22961 Alpha Architect US Anti-Dividend ETF, Alpha Architect International Anti-Dividend ETF, Alpha Architect 1-3 Year Box ETF, Alpha Architect Intermediate-Term Treasury Bond ETF, Alpha Architect Long-Term Treasury Bond ETF, Alpha Architect Aggregate Bond ETF, Alpha Architect Inflation-Protected Securities ETF, and Alpha Architect Real Estate ETF
RE: EA Series Trust (the “Trust”)
Dear Mr. Be:
This correspondence responds to comments to the Trust received by the undersigned from the staff of the U.S. Securities and Exchange Commission (the “Staff” of the “Commission”) with respect to the Amendment relating to the Alpha Architect US Anti-Dividend ETF, Alpha Architect International Anti-Dividend ETF, Alpha Architect 1-3 Year Box ETF, Alpha Architect Intermediate-Term Treasury Bond ETF, Alpha Architect Long-Term Treasury Bond ETF, Alpha Architect Aggregate Bond ETF, Alpha Architect Inflation-Protected Securities ETF, and Alpha Architect Real Estate ETF (the “Funds”), each a proposed new series of the Trust. For your convenience, the comments have been reproduced with responses following each comment. As it relates to comments that impact more than one Fund, the Registrant confirms that each Fund impacted by a comment will be updated as indicated by our responses included herein. Capitalized terms not otherwise defined have the same meaning as in the Amendment.
General
1. Comment: With respect to the tickers for the Alpha Architect Intermediate-Term Treasury Bond ETF, Alpha Architect Long-Term Treasury Bond ETF, Alpha Architect Aggregate Bond ETF, Alpha Architect Inflation-Protected Securities ETF, and Alpha Architect Real Estate ETF. These funds use BOX in their ticker symbol even though it appears they will use the BOX spread strategy only to a minimal extent. Please explain why you believe such ticker symbol would not be materially misleading to investors.
Response: In the experience of the Trust and the Adviser, investors do not use the ticker symbol to infer material facts about a fund’s strategy or risks. The Trust and the Adviser believe that this understanding is shared by other advisers, investors, and industry participants. The Adviser and the Trust are unaware of any precedent for investor confusion being caused solely by the use of a particular ticker symbol and further note that the Fund’s registration statement speaks clearly to each Fund’s investment objective, principal investment strategies, and principal risks, including the role of box spreads in each Fund’s strategy.
Given that ticker symbols are limited to four characters, the Trust does not believe that investors infer, nor should they infer, any material information about a Fund’s strategy or risks from its ticker symbol. As a result, the Trust does not believe that the use of “BOX” in a Fund’s ticker symbol renders the registration statement with respect to a Fund misleading.
11300 Tomahawk Creek Pkwy, Suite 310 ● Leawood, KS 66211
Practus, LLP ● Practus.com
Alpha Architect US Anti-Dividend ETF and Alpha Architect International Anti-Dividend ETF
2. Comment: Supplementally explain how the reference to “anti-dividend” in each Fund’s name affects the funds 80% policy. In your explanation, please address possible misinterpretation by investors of the name. Address why the term anti-dividend in the name might not confuse investors to believe that each Fund invests in companies that don’t pay dividends.
Response: The Trust does not believe the term “anti-dividend” affects the Funds’ 80% investment policy. The term “anti-dividend” is designed to inform investors that these Funds are being managed to generally avoid income that would necessitate a Fund making an income distribution to shareholders, and the Trust does not believe the term communicates to investors a particular investment focus. The Trust further notes that the current description of each Fund’s investment strategy clearly indicates that the Funds are seeking broad diversification across their respective investment universe (e.g., broad sector and capitalization exposure) while attempting to avoid the receipt of dividend payments from its portfolio holdings. The Funds may hold securities that provide the desired broad market exposure that do not pay dividends, that do pay dividends but will be disposed of prior to such distributions’ ex-date, or may hold securities that will pay a de minimis amount of income to the Funds. Again, the focus of each Fund’s strategy is to provide broad diversification to its respective investment universe while attempting to avoid dividend income that would necessitate a Fund making an income distribution to shareholders.
3. Comment: It is unclear what types of equity securities each Fund will invest in given the Fund’s strategy. Will a Fund be replicating any market cap weighted index, or is it using some other criteria to create and reevaluate this investment universe. For example, will it focus on companies that historically pay dividends to maximize its strategy or will it hold a mix of dividend and non-dividend paying stocks?
Response: The Trust believes each Fund has defined its investment universe in the principal investment strategies discussion. However, as it relates to Alpha Architect US Anti-Dividend ETF, the Trust has further updated its disclosure to specify the types of equity securities it will typically invest in. See the italicized text below:
The Fund’s investment universe typically starts with publicly traded U.S. equity securities, including common and preferred stocks, that have a market capitalization of $1 billion or greater at the time of purchase, excluding business development companies, real estate investment trusts, limited partnerships, and special purpose acquisition companies (SPACs).
The Funds are not designed to replicate an index but instead are looking to provide investors with broad diversification to either U.S. equity securities or the equity securities of non-U.S. companies, respectively. As currently disclosed in the Amendment, the Funds are structured similarly to a market capitalization weighted index fund. The Funds do not focus their investments solely on companies that pay dividends so it is possible that the Funds will own securities of companies that do not pay dividends. Each Fund seeks to provide broad diversification to its investment universe while attempting to avoid dividend payments from its portfolio holdings that would necessitate a Fund making an income distribution to shareholders.
Each Fund’s investment universe will be reevaluated at least annually. The annual reevaluation will involve the addition or removal of companies that no longer satisfy the Funds’ U.S. or non-U.S. investment criteria, respectively. In addition, each Fund will screen companies to ensure they satisfy a Fund’s market capitalization criteria.
4. Comment: Both Funds seek to outperform either the broad U.S. market or the broad international market, respectively, while each having a secondary effect of potentially reducing year-end distributions. Clarify how each of these Funds will be outperforming the respective broad market by foregoing dividend payments. For example, do the Funds believe that the price of the securities prior
to the dividend exceeds the sum of the price of the security after the dividend, including the amount of the dividend and any trading costs. In addition, how will such turnover affect each Fund’s realization of short term capital gains as compared to reducing its investment income by foregoing the dividends.
Response: Each Fund’s investment strategy is based on research that suggests that stocks scheduled to pay a dividend should be avoided just prior to the dividend distribution and for at least 30 days after the dividend distribution. This research indicates that the demand for dividend paying stocks prior to the dividend distribution is too high (thus driving stock prices above a company’s fundamentals) and the demand for dividend paying stocks after distribution is too low (thus driving stock prices below a company’s fundamentals). (See the work of Samuel M. Hartzmark and David H. Solomon, both Professors at Boston College - Carroll School of Management.) Both Funds are designed to be tax-efficient where possible, transacting in-kind with their authorized participants, in the same manner as most equity ETFs seek to operate. The Trust believes the current description of each Fund’s investment strategy provides investors with sufficient information on the basis of the strategy and the in-kind component of each Fund’s operations is dealt with similarly to other in-kind ETFs.
5. Comment: Each Fund states that, while it will seek investments across a broad array of sectors and companies, from time to time, based on market conditions and portfolio positioning, the Fund’s investment strategy may emphasize exposure to particular sectors [and/or countries and regions as it relates to Alpha Architect International Anti-Dividend ETF]. Do either of the Fund’s anticipate being focused on any particular sector [country and/or region] with its initial portfolio?
Response: Based on each Fund’s projected initial portfolio, the Funds do not anticipate emphasizing exposure to a particular sector at their inception. In addition, as it relates to the Alpha Architect International Anti-Dividend ETF, the Fund does not anticipate emphasizing any country and/or region at its inception.
6. Comment: The disclosure indicates that each Fund will reconstitute its investment universe at least annually. Clarify what the sentence means because it is unclear what each Fund’s investment universe is. What would be the criteria for “reevaluating a Fund’s investment universe”?
Response: Please see Response 3.
7. Comment: To the extent known, discuss the anticipated impact on a Fund’s returns given that foregoing dividends will also reduce returns.
Response: Each Fund’s investment strategy is based on research that indicates that the demand for dividend paying stocks prior to the dividend distribution is too high (thus driving stock prices above a company’s fundamentals) and the demand for dividend paying stocks after distribution is too low (thus driving stock prices below a company’s fundamentals). The Funds investment strategies are designed to take advantage of this mismatch in supply and demand in the marketplace. As with all investment strategies, there is no guarantee the Funds’ strategies will be successful and achieve their investment objectives.
8. Comment: Each Fund’s use of in-kind redemptions needs to be addressed in the principal strategy section. It appears that this would be a key component of each Fund’s strategy.
Response: The Trust is respectfully declining to make any changes to address this comment. The Funds are being managed like other ETFs that expect to transact (i.e., creations and redemptions) predominantly in-kind with their authorized participants. The Trust is not aware of other in-kind ETFs that include discussion of the creation and redemption process as part of their principal investment strategies discussion. The Trust acknowledges the importance of the in-kind creation and redemption process but believes its approach to disclosing the Funds principal investment strategies is consistent with industry practice as it relates to in-kind ETFs.
1-3 Year Box ETF
9. Comment: Supplementally advise as to the likelihood that the Fund may receive an unfavorable ruling from the IRS or a court on the tax treatment of its distributions. Depending on the response, the Fund should consider disclosing this risk more prominently. For example, this risk may need to be moved to the beginning of the Fund’s principal risk discussion or, possibly, disclosed on the front cover of the prospectus similar to how daily leveraged funds disclose the risks of their strategy. Please be prepared to file a BXT for this filing until this matter is resolved.
Response: The Trust is not in a position to opine on the likelihood the Fund may receive an unfavorable ruling from the IRS or a court on the tax treatment of its distributions. At this time, the Trust is not aware of any actions being taken or contemplated by the IRS as it relates to the Fund’s handling of these distributions. In addition, the Trust is not aware of any court proceedings involving this matter.
The Trust confirms that it has spent considerable time and money researching the tax treatment of the Fund’s anticipated distributions, which includes comprehensive discussions with tax professionals. Based on the results of the discussions, Trust management has concluded that its approach to the handling of the anticipated distributions is reasonable. The Trust, again in consultation with tax professionals, has developed what it believes to be comprehensive and accurate tax disclosure as it relates to the operation of the Fund. Investors are provided with an explanation of the potential risks associated with an investment in the Fund and instructed to check with their own tax professionals.
Regarding the placement of Tax Risk in the principal risks section of the prospectus, the Fund has moved the Tax Risk to be higher in the list of principal investment risks.
10. Comment: The Fund indicates that it seeks investment results that exceed the total return performance of an investment that tracks the 1-3 year sector of the United States Treasury bill and note market. Is there a specific index that the Fund is measuring itself against? If not, how will you determine if the Fund is achieving its objective.
Response: The Fund has added disclosure to the investment strategies discussion indicating that it will look to exceed the performance of the Solactive US 1-3 Year Treasury Bond Index. See the italicized text for the new disclosure.
The Fund is an actively managed exchange-traded fund (“ETF”) that seeks investment results that, before fees and expenses, exceed the total return performance of an investment that tracks the 1-3 year sector of the United States Treasury Bill and Note market, as measured by the Solactive US 1-3 Year Treasury Bond Index.
11. Comment: In the principal investment strategy discussion, clarify how much of the Fund’s potential “out performance” is anticipated to be attributable to investment decisions (e.g., duration management) vs. anticipated tax efficiencies.
Response: The Fund’s “out performance” (if any) would not be based on the anticipated tax efficiencies of the strategy but instead would be based on the Sub-Advisers’ ability to structure a series of Box Spreads that generate a total return in excess of the Solactive US 1-3 Year Treasury Bond Index. The Sub-Advisers’ management of the Fund’s box spread investments will dictate the success of the Fund’s strategy. As noted in the prospectus, the Sub-Advisers will consider several factors when establishing the Fund’s box spreads – for example, the Sub-Advisers will consider the Fund’s asset size, their view of future interest rates, and the effective yield for various box spread expiration dates available in the marketplace when selecting box spread investments.
12. Comment: In the principal investment strategy discussion, state what types of investments will be used as the reference asset for Box spreads.
Response: The Trust notes that the Amendment currently states that “Options contracts on ETFs are expected to be the preferred investments for substantially all of the Fund’s holdings.” The Trust has added an example of such an ETF to the disclosure.
13. Comment: In the principal investment strategy discussion, the Fund s
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CORRESP 1 filename1.htm Document October 23, 2024 Mr. Raymond Be U.S. Securities and Exchange Commission 100 F Street, NE Washington, DC 20549 RE: EA Series Trust (the “Trust”) Post-Effective Amendment No. 364 to the Registration Statement on Form N-1A (the “Amendment”) File Nos.: 333-195493 and 811-22961 Alpha Architect US Anti-Dividend ETF, Alpha Architect International Anti-Dividend ETF, Alpha Architect 1-3 Year Box ETF, Alpha Architect Intermediate-Term Treasury Bond ETF, Alpha Architect Long-Term Treasury Bond ETF, Alpha Architect Aggregate Bond ETF, Alpha Architect Inflation-Protected Securities ETF, and Alpha Architect Real Estate ETF Dear Mr. Be: This correspondence responds to comments to the Trust received by the undersigned from the staff of the U.S. Securities and Exchange Commission (the “Staff” of the “Commission”) with respect to the Amendment relating to the Alpha Architect US Anti-Dividend ETF, Alpha Architect International Anti-Dividend ETF, Alpha Architect 1-3 Year Box ETF, Alpha Architect Intermediate-Term Treasury Bond ETF, Alpha Architect Long-Term Treasury Bond ETF, Alpha Architect Aggregate Bond ETF, Alpha Architect Inflation-Protected Securities ETF, and Alpha Architect Real Estate ETF (the “Funds”), each a proposed new series of the Trust. For your convenience, the comments have been reproduced with responses following each comment. As it relates to comments that impact more than one Fund, the Registrant confirms that each Fund impacted by a comment will be updated as indicated by our responses included herein. Capitalized terms not otherwise defined have the same meaning as in the Amendment. General 1. Comment: With respect to the tickers for the Alpha Architect Intermediate-Term Treasury Bond ETF, Alpha Architect Long-Term Treasury Bond ETF, Alpha Architect Aggregate Bond ETF, Alpha Architect Inflation-Protected Securities ETF, and Alpha Architect Real Estate ETF. These funds use BOX in their ticker symbol even though it appears they will use the BOX spread strategy only to a minimal extent. Please explain why you believe such ticker symbol would not be materially misleading to investors. Response: In the experience of the Trust and the Adviser, investors do not use the ticker symbol to infer material facts about a fund’s strategy or risks. The Trust and the Adviser believe that this understanding is shared by other advisers, investors, and industry participants. The Adviser and the Trust are unaware of any precedent for investor confusion being caused solely by the use of a particular ticker symbol and further note that the Fund’s registration statement speaks clearly to each Fund’s investment objective, principal investment strategies, and principal risks, including the role of box spreads in each Fund’s strategy. Given that ticker symbols are limited to four characters, the Trust does not believe that investors infer, nor should they infer, any material information about a Fund’s strategy or risks from its ticker symbol. As a result, the Trust does not believe that the use of “BOX” in a Fund’s ticker symbol renders the registration statement with respect to a Fund misleading. 11300 Tomahawk Creek Pkwy, Suite 310 ● Leawood, KS 66211 Practus, LLP ● Practus.com Alpha Architect US Anti-Dividend ETF and Alpha Architect International Anti-Dividend ETF 2. Comment: Supplementally explain how the reference to “anti-dividend” in each Fund’s name affects the funds 80% policy. In your explanation, please address possible misinterpretation by investors of the name. Address why the term anti-dividend in the name might not confuse investors to believe that each Fund invests in companies that don’t pay dividends. Response: The Trust does not believe the term “anti-dividend” affects the Funds’ 80% investment policy. The term “anti-dividend” is designed to inform investors that these Funds are being managed to generally avoid income that would necessitate a Fund making an income distribution to shareholders, and the Trust does not believe the term communicates to investors a particular investment focus. The Trust further notes that the current description of each Fund’s investment strategy clearly indicates that the Funds are seeking broad diversification across their respective investment universe (e.g., broad sector and capitalization exposure) while attempting to avoid the receipt of dividend payments from its portfolio holdings. The Funds may hold securities that provide the desired broad market exposure that do not pay dividends, that do pay dividends but will be disposed of prior to such distributions’ ex-date, or may hold securities that will pay a de minimis amount of income to the Funds. Again, the focus of each Fund’s strategy is to provide broad diversification to its respective investment universe while attempting to avoid dividend income that would necessitate a Fund making an income distribution to shareholders. 3. Comment: It is unclear what types of equity securities each Fund will invest in given the Fund’s strategy. Will a Fund be replicating any market cap weighted index, or is it using some other criteria to create and reevaluate this investment universe. For example, will it focus on companies that historically pay dividends to maximize its strategy or will it hold a mix of dividend and non-dividend paying stocks? Response: The Trust believes each Fund has defined its investment universe in the principal investment strategies discussion. However, as it relates to Alpha Architect US Anti-Dividend ETF, the Trust has further updated its disclosure to specify the types of equity securities it will typically invest in. See the italicized text below: The Fund’s investment universe typically starts with publicly traded U.S. equity securities, including common and preferred stocks, that have a market capitalization of $1 billion or greater at the time of purchase, excluding business development companies, real estate investment trusts, limited partnerships, and special purpose acquisition companies (SPACs). The Funds are not designed to replicate an index but instead are looking to provide investors with broad diversification to either U.S. equity securities or the equity securities of non-U.S. companies, respectively. As currently disclosed in the Amendment, the Funds are structured similarly to a market capitalization weighted index fund. The Funds do not focus their investments solely on companies that pay dividends so it is possible that the Funds will own securities of companies that do not pay dividends. Each Fund seeks to provide broad diversification to its investment universe while attempting to avoid dividend payments from its portfolio holdings that would necessitate a Fund making an income distribution to shareholders. Each Fund’s investment universe will be reevaluated at least annually. The annual reevaluation will involve the addition or removal of companies that no longer satisfy the Funds’ U.S. or non-U.S. investment criteria, respectively. In addition, each Fund will screen companies to ensure they satisfy a Fund’s market capitalization criteria. 4. Comment: Both Funds seek to outperform either the broad U.S. market or the broad international market, respectively, while each having a secondary effect of potentially reducing year-end distributions. Clarify how each of these Funds will be outperforming the respective broad market by foregoing dividend payments. For example, do the Funds believe that the price of the securities prior 2 to the dividend exceeds the sum of the price of the security after the dividend, including the amount of the dividend and any trading costs. In addition, how will such turnover affect each Fund’s realization of short term capital gains as compared to reducing its investment income by foregoing the dividends. Response: Each Fund’s investment strategy is based on research that suggests that stocks scheduled to pay a dividend should be avoided just prior to the dividend distribution and for at least 30 days after the dividend distribution. This research indicates that the demand for dividend paying stocks prior to the dividend distribution is too high (thus driving stock prices above a company’s fundamentals) and the demand for dividend paying stocks after distribution is too low (thus driving stock prices below a company’s fundamentals). (See the work of Samuel M. Hartzmark and David H. Solomon, both Professors at Boston College - Carroll School of Management.) Both Funds are designed to be tax-efficient where possible, transacting in-kind with their authorized participants, in the same manner as most equity ETFs seek to operate. The Trust believes the current description of each Fund’s investment strategy provides investors with sufficient information on the basis of the strategy and the in-kind component of each Fund’s operations is dealt with similarly to other in-kind ETFs. 5. Comment: Each Fund states that, while it will seek investments across a broad array of sectors and companies, from time to time, based on market conditions and portfolio positioning, the Fund’s investment strategy may emphasize exposure to particular sectors [and/or countries and regions as it relates to Alpha Architect International Anti-Dividend ETF]. Do either of the Fund’s anticipate being focused on any particular sector [country and/or region] with its initial portfolio? Response: Based on each Fund’s projected initial portfolio, the Funds do not anticipate emphasizing exposure to a particular sector at their inception. In addition, as it relates to the Alpha Architect International Anti-Dividend ETF, the Fund does not anticipate emphasizing any country and/or region at its inception. 6. Comment: The disclosure indicates that each Fund will reconstitute its investment universe at least annually. Clarify what the sentence means because it is unclear what each Fund’s investment universe is. What would be the criteria for “reevaluating a Fund’s investment universe”? Response: Please see Response 3. 7. Comment: To the extent known, discuss the anticipated impact on a Fund’s returns given that foregoing dividends will also reduce returns. Response: Each Fund’s investment strategy is based on research that indicates that the demand for dividend paying stocks prior to the dividend distribution is too high (thus driving stock prices above a company’s fundamentals) and the demand for dividend paying stocks after distribution is too low (thus driving stock prices below a company’s fundamentals). The Funds investment strategies are designed to take advantage of this mismatch in supply and demand in the marketplace. As with all investment strategies, there is no guarantee the Funds’ strategies will be successful and achieve their investment objectives. 8. Comment: Each Fund’s use of in-kind redemptions needs to be addressed in the principal strategy section. It appears that this would be a key component of each Fund’s strategy. Response: The Trust is respectfully declining to make any changes to address this comment. The Funds are being managed like other ETFs that expect to transact (i.e., creations and redemptions) predominantly in-kind with their authorized participants. The Trust is not aware of other in-kind ETFs that include discussion of the creation and redemption process as part of their principal investment strategies discussion. The Trust acknowledges the importance of the in-kind creation and redemption process but believes its approach to disclosing the Funds principal investment strategies is consistent with industry practice as it relates to in-kind ETFs. 3 1-3 Year Box ETF 9. Comment: Supplementally advise as to the likelihood that the Fund may receive an unfavorable ruling from the IRS or a court on the tax treatment of its distributions. Depending on the response, the Fund should consider disclosing this risk more prominently. For example, this risk may need to be moved to the beginning of the Fund’s principal risk discussion or, possibly, disclosed on the front cover of the prospectus similar to how daily leveraged funds disclose the risks of their strategy. Please be prepared to file a BXT for this filing until this matter is resolved. Response: The Trust is not in a position to opine on the likelihood the Fund may receive an unfavorable ruling from the IRS or a court on the tax treatment of its distributions. At this time, the Trust is not aware of any actions being taken or contemplated by the IRS as it relates to the Fund’s handling of these distributions. In addition, the Trust is not aware of any court proceedings involving this matter. The Trust confirms that it has spent considerable time and money researching the tax treatment of the Fund’s anticipated distributions, which includes comprehensive discussions with tax professionals. Based on the results of the discussions, Trust management has concluded that its approach to the handling of the anticipated distributions is reasonable. The Trust, again in consultation with tax professionals, has developed what it believes to be comprehensive and accurate tax disclosure as it relates to the operation of the Fund. Investors are provided with an explanation of the potential risks associated with an investment in the Fund and instructed to check with their own tax professionals. Regarding the placement of Tax Risk in the principal risks section of the prospectus, the Fund has moved the Tax Risk to be higher in the list of principal investment risks. 10. Comment: The Fund indicates that it seeks investment results that exceed the total return performance of an investment that tracks the 1-3 year sector of the United States Treasury bill and note market. Is there a specific index that the Fund is measuring itself against? If not, how will you determine if the Fund is achieving its objective. Response: The Fund has added disclosure to the investment strategies discussion indicating that it will look to exceed the performance of the Solactive US 1-3 Year Treasury Bond Index. See the italicized text for the new disclosure. The Fund is an actively managed exchange-traded fund (“ETF”) that seeks investment results that, before fees and expenses, exceed the total return performance of an investment that tracks the 1-3 year sector of the United States Treasury Bill and Note market, as measured by the Solactive US 1-3 Year Treasury Bond Index. 11. Comment: In the principal investment strategy discussion, clarify how much of the Fund’s potential “out performance” is anticipated to be attributable to investment decisions (e.g., duration management) vs. anticipated tax efficiencies. Response: The Fund’s “out performance” (if any) would not be based on the anticipated tax efficiencies of the strategy but instead would be based on the Sub-Advisers’ ability to structure a series of Box Spreads that generate a total return in excess of the Solactive US 1-3 Year Treasury Bond Index. The Sub-Advisers’ management of the Fund’s box spread investments will dictate the success of the Fund’s strategy. As noted in the prospectus, the Sub-Advisers will consider several factors when establishing the Fund’s box spreads – for example, the Sub-Advisers will consider the Fund’s asset size, their view of future interest rates, and the effective yield for various box spread expiration dates available in the marketplace when selecting box spread investments. 4 12. Comment: In the principal investment strategy discussion, state what types of investments will be used as the reference asset for Box spreads. Response: The Trust notes that the Amendment currently states that “Options contracts on ETFs are expected to be the preferred investments for substantially all of the Fund’s holdings.” The Trust has added an example of such an ETF to the disclosure. 13. Comment: In the principal investment strategy discussion, the Fund s