Correspondence 0000894189-22-008851 from Listed Funds Trust (CIK 0001683471)
Listed Funds Trust (CIK 0001683471)
Date: Dec. 9, 2022 · CIK: 0001683471 · Accession: 0000894189-22-008851
AI Filing Summary & Sentiment
File numbers found in text: 333-215588, 811-23226
Letter
Division of Investment Management 100 F Street NE Washington, DC 20549 Re: Listed Funds Trust (the “Trust”) File Nos. 333-215588 and 811-23226 Teucrium AiLA Long-Short Agriculture ETF (S000079181) Teucrium AiLA Long-Short Base Metals ETF (S000079182) (each, a “Fund” and together, the “Funds”)
Dear Mr. Greenspan:
This correspondence responds to comments that the Trust received from the staff (the “Staff”) of the U.S. Securities and Exchange Commission with respect to Post-Effective Amendment No. 219 to the Trust’s Registration Statement on Form N-1A filed September 30, 2022 (SEC Accession No. 0000894189-22-007356) (the “Amendment”) with respect to the Funds, each a series of the Trust. For your convenience, the comments have been reproduced with a response following each comment. Capitalized terms not otherwise defined have the same meaning as in the Amendment.
Underlying Indexes - Both Funds
Comment 1.Please provide a copy of each Fund’s index methodology.
Response: A link to the AiLA Indices website containing the index methodology was provided to the Staff electronically on December 7, 2022.
Comment 2.Please revise your discussion of the asset selection and allocation methodologies in a manner sufficient to provide each Fund’s investors with a reasonable understanding of the particular policies, practices, and techniques used by each Fund and its respective Index to achieve its stated investment objective. While the specific analytical tools, indicators, factors, criteria, inputs, models, and algorithms used may be proprietary in nature and overly complex for disclosure in the Prospectus, please consider whether the disclosure could be made more reader-friendly by converting jargon to plain English where possible (e.g., target volatility, maximum drawdown thresholds, Sharpe ratio, etc.) and by describing, in layman’s terms, where practicable, the general processes and criteria the Adviser uses to value a commodity futures contract and select it for a Fund’s investment portfolio.
In particular:
a.Please elaborate in your disclosure on the details of each Index’s long-short strategy and clarify how the Index employs its long-short strategy to develop and maintain its portfolio consistent with a rules-based indexing approach.
b.Please revise to clarify what precisely is meant by the term “fully liquid.” In addition, please briefly explain in the disclosure the meaning of the terms “market neutral” and “absolute return” and how these investment strategies are specifically utilized by each Index.
c.As currently written, the description of micro- and macro-features does not provide a great deal of insight into what these features may be, nor does the discussion of methodology convey much useful information about the actual methodology employed except in the very broadest sense. Please provide a simple and brief explanation for each of the metrics used by the Index Provider to determine portfolio allocation (e.g., what it measures, how it is used).
d.In the description of the Index Provider’s micro- and macro-features analysis, please provide some illustrative examples of the kinds of features that may be considered, similar to the list of possible portfolio metrics examined to determine portfolio allocation.
Response: The Trust has revised each Fund’s “Principal Investment Strategies” section to address the above comments and has attached a redline as Appendix A hereto.
Teucrium AiLA Long-Short Agriculture ETF
Comment 3.The Staff believes that the Fund’s name must comply with Rule 35d-1 (the “Names Rule”). Please include an 80% policy with respect to investments in the particular industry or industries suggested by the Fund’s name.
Response: The Trust does not believe the Fund’s name is “likely to mislead an investor about the Fund’s investment emphasis,”1 nor do we believe that the Fund’s name requires the Fund to comply with Rule 35d-1. Rule 35d-1 requires that an “investment company with a name that suggests that the company focuses its investments in a particular type of investment (e.g., the ABC Stock Fund or XYZ Bond Fund) or in investments in a particular industry . . . invest at least 80% of its assets in the type of investment suggested by the name.”2 The Fund’s name does not suggest that it focuses its investments in a particular type of investment, such as bonds or stocks, but instead references a commodity that is not investable. In this respect, the Fund’s name is similar to various funds that include commodities in their name, but which are not able to invest at least 80% of their assets in any commodity or commodities generally and maintain their status as an investment company under the 1940 Act and a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Staff recognized, if Rule 35d-1 was deemed to apply, the practical inability of these funds to invest directly in commodities in compliance with the requirements set forth in Rule 35d-1 and agreed that the inclusion of the word “strategy” would be sufficient to remove the funds’ names from the ambit of Rule 35d-1. The Trust, therefore, has revised the Fund’s name from Teucrium AiLA Long-Short Agriculture ETF to Teucrium AiLA Long-Short Agriculture Strategy ETF.
Comment 4.Supplementally confirm that there are no reimbursement or recoupment arrangements in place for the Fund or Subsidiary.
Response: The Trust confirms that there are no reimbursement or recoupment arrangements in place for the Subsidiary. Similarly, while the Adviser has agreed to waive the management fee it receives from the Fund in an amount equal to the management fee paid to the Adviser by the Subsidiary, it does not reserve the right to recoup or be reimbursed for any such waived amounts.
Comment 5.Supplementally confirm that there are no “Other Expenses” for the Fund, including with respect to the Subsidiary.
Response: The Trust confirms that there are no estimated “Other Expenses” for the Fund, including the with respect to the Subsidiary.
1 Final Rule: Investment Company Names, Rel. No. IC-24828 (Mar. 31, 2001).
2 Final Rule: Investment Company Names, Rel. No. IC-24828 (Mar. 31, 2001).
Comment 6.Clarify the extent to which the Index constituents at any given time will reflect one or more commodities. Is there a minimum number of commodities that need to be held at one time? Please also discuss concentration.
Response: The Trust has revised the “Principal Investment Strategies” section to state that “[t]he Index’s constituents will consist of between one and nine standardized commodities futures contracts on the following commodities:...”
In addition, the Trust has consolidated the last two paragraphs of the “Principal Investment Strategies” section to state the following:
To the extent the Index concentrates (i.e., holds more than 25% of its total assets) in the securities of a particular industry or group of related industries, the Fund will concentrate its investments to approximately the same extent as the Index. As of [ ], the Index was concentrated in [ ].
The Fund is classified as a “non-diversified” investment company under the Investment Company Act of 1940 Act, as amended (the “1940 Act”) and, therefore, may invest a greater percentage of its assets in a particular issuer than a diversified fund. The Fund will not concentrate its investments (i.e., hold more than 25% of its total assets) in any industry or group of related industries. The Fund, however, may invest more than 25% of its total assets in investments that provide exposure to agricultural commodities.
Comment 7.Clarify how the Index Provider ensures exposure to the global commodity market.
Response: The Index seeks to track a portfolio that is invested in agricultural commodities futures contracts traded on the Chicago Board of Trade (“CBOT”) or Intercontinental Exchange Inc. (“ICE”). ICE and CBOT serve as the most active and liquid global trading venues for their respective commodities futures contracts. As a result, not only are the futures contracts traded by global market participants, but they serve as the global benchmarks for the pricing of the physical reference commodity. As such, they reflect the global market and provide the Fund with exposure thereto.
Comment 8.When utilizing “representative sampling,” how does the Adviser adhere to the passive management model? Disclose whether there are any constraints to inhibit the Adviser’s ability to deviate from the investment strategy.
Response: The Adviser’s decision to use a representative sampling approach, from time to time, to seek to achieve the Fund’s investment objective is not inconsistent with its “passive management” approach. The Fund’s “passive management” approach merely means that it seeks to track the total return performance, before fees and expenses, of its Index. In contrast, an active management approach seeks to outperform a particular performance benchmark or index. The references to active and passive do not refer to an adviser’s ability to make investment decisions about the management of a fund, but rather the goal of the fund’s investment strategy. As is the case with the implementation of the Fund’s investment strategies, a passive management approach does not mean that an adviser is not free to make investment decisions about how best to seek to track a fund’s index and instead must always replicate the composition of that index. To the contrary, the Adviser may determine it is in the best interest of the Fund and its shareholders to replicate the composition of the Fund’s Index under certain circumstances (e.g., there are few constituents and all are readily available with no comparable substitutes) and to invest in a representative sample of the Index’s constituents under different circumstances (e.g., there are numerous constituents, some of which are expensive to acquire in the quantity needed, and there are less expenses ETFs available that would serve as comparable substitutes). As with any investment company registered pursuant to the Investment Company Act of 1940, the Adviser is constrained from deviating from the Fund’s disclosed investment strategies without first obtaining appropriate approval by the threat of: (1) poor performance, increased tracking
error, failure to achieve the Fund’s investment objective, and ultimately, shareholder redemptions; (2) violations of the Fund’s Rule 38a-1 Compliance Program Policy and Procedures relating prospectus disclosure and the implementation of investment strategies; (3) prospectus disclosure liability, including pursuant to Section 10(b) and Rule 10b-5 under the Exchange Act of 1934; and (4) regulatory enforcement action.
Comment 9.With regards to the Cayman Subsidiary, please:
a.Disclose that the Fund complies with the provisions of the Investment Company Act of 1940 (the “Investment Company Act”) governing investment policies (Section 8) and capital structure and leverage (Section 18) on an aggregate basis with the Subsidiary.
b.Disclose that the investment adviser to the Subsidiary complies with provisions of the Investment Company Act relating to investment advisory contracts (Section 15) as if it were an investment adviser to the Fund under Section 2(a)(20) of the Investment Company Act. Any investment advisory agreement between the Subsidiary and its investment adviser is a material contract that should be included as an exhibit to the registration statement.
c.Disclose that the Subsidiary complies with provisions relating to affiliated transactions and custody (Section 17). Identify the custodian of the Subsidiary, if any.
d.Disclose, as appropriate, whether any of the Subsidiary’s principal investment strategies or principal risks constitute principal investment strategies or risks of the Fund. The principal investment strategies and principal risk disclosures of a fund that invests in a subsidiary should reflect aggregate operations of the Fund and the Subsidiary.
e.Confirm in correspondence whether the financial statements of the Subsidiary will be consolidated with those of the Fund. If not, please explain why not.
f.Confirm supplementally that: (i) the Subsidiary’s management fee (including any performance fee, if any) will be included in “Management Fees” and the Subsidiary’s expenses will be included in “Other Expenses” in the Fund’s Prospectus fee table; (ii) the Subsidiary and its board of directors will agree to designate an agent for service of process in the United States; and (iii) 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 Investment Company Act and the rules thereunder.
Response: The Trust responds as follows:
a.The Trust confirms that the Fund complies with the provisions of Section 8 of the Investment Company Act governing investment policies and the capital structure and leverage restrictions set forth in Section 18 of the Investment Company Act, in each case on an aggregate basis with the Subsidiary. The Trust believes that referencing specific Sections of the Investment Company Act is unnecessarily technical and potentially confusing for investors and, consequently, respectfully declines to add the requested disclosure.
b.The Trust confirms that the investment adviser to the Subsidiary complies with provisions of the Investment Company Act relating to investment advisory contracts (Section 15) as if it were (and it is) an investment adviser to the Fund under section 2(a)(20) of the Investment Company Act. In addition, the Trust will file the investment advisory agreement between the Subsidiary and the Adviser as an exhibit to the registration statement. However, the Trust respectfully declines to include additional requested disclosure. As discussed above, the Trust respectfully submits that referencing specific sections of the Investment Company Act is unnecessarily technical and potentially confusing for investors.
c.The Trust confirms that the Subsidiary will comply with Section 17 of the Investment Company Act. The Trust notes that U.S. Bank National Association, the Fund’s custodian, will serve as the custodian to the Subsidiary. However, the Trust respectfully declines to include additional requested disclosure. As discussed above, the Trust respectfully submits that referencing specific sections of the Investment Company Act is unnecessarily technical and potentially confusing for investors.
d.The Trust believes that the Subsidiary’s strategy to invest in agricultural futures and the Fund’s strategy to invest in the Subsidiary and collateral are adequately disclosed.
e.The Trust so confirms.
f.The Trust so confirms.
Comment 10.The Staff notes the “Principal Investment Strategies” section states that the Fund’s investment in the Subsidiary generally will be limited to 25% of the Fund’s total assets. Please describe how the remaining 75% of the Fund’s assets will be invested.
Response: In addition to its investments in Component Futures Contracts via the Subsidiary, the Fund will invest in cash, cash-like instruments and/or high-quality securities (collectively, “Collateral”) as part of its principal investment strategies. The Collateral may consist of: (i) U.S. Government securities, such as bills, notes and bonds issued by the U.S. Treasury; (ii) money market funds; and/or (iii) corporate debt securities, such as commercial paper and other short-term unsecured promissory notes issued by businesses that are rated investment grade or determined by the Adviser to be of comparable quality. Such Collateral is designed to provide l
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CORRESP 1 filename1.htm Document Listed Funds Trust c/o U.S. Bancorp Fund Services, LLC 615 East Michigan Street | Milwaukee, Wisconsin 53202 December 9, 2022 Mr. Daniel Greenspan U.S. Securities and Exchange Commission Division of Investment Management 100 F Street NE Washington, DC 20549 Re: Listed Funds Trust (the “Trust”) File Nos. 333-215588 and 811-23226 Teucrium AiLA Long-Short Agriculture ETF (S000079181) Teucrium AiLA Long-Short Base Metals ETF (S000079182) (each, a “Fund” and together, the “Funds”) Dear Mr. Greenspan: This correspondence responds to comments that the Trust received from the staff (the “Staff”) of the U.S. Securities and Exchange Commission with respect to Post-Effective Amendment No. 219 to the Trust’s Registration Statement on Form N-1A filed September 30, 2022 (SEC Accession No. 0000894189-22-007356) (the “Amendment”) with respect to the Funds, each a series of the Trust. For your convenience, the comments have been reproduced with a response following each comment. Capitalized terms not otherwise defined have the same meaning as in the Amendment. Underlying Indexes - Both Funds Comment 1.Please provide a copy of each Fund’s index methodology. Response: A link to the AiLA Indices website containing the index methodology was provided to the Staff electronically on December 7, 2022. Comment 2.Please revise your discussion of the asset selection and allocation methodologies in a manner sufficient to provide each Fund’s investors with a reasonable understanding of the particular policies, practices, and techniques used by each Fund and its respective Index to achieve its stated investment objective. While the specific analytical tools, indicators, factors, criteria, inputs, models, and algorithms used may be proprietary in nature and overly complex for disclosure in the Prospectus, please consider whether the disclosure could be made more reader-friendly by converting jargon to plain English where possible (e.g., target volatility, maximum drawdown thresholds, Sharpe ratio, etc.) and by describing, in layman’s terms, where practicable, the general processes and criteria the Adviser uses to value a commodity futures contract and select it for a Fund’s investment portfolio. In particular: a.Please elaborate in your disclosure on the details of each Index’s long-short strategy and clarify how the Index employs its long-short strategy to develop and maintain its portfolio consistent with a rules-based indexing approach. b.Please revise to clarify what precisely is meant by the term “fully liquid.” In addition, please briefly explain in the disclosure the meaning of the terms “market neutral” and “absolute return” and how these investment strategies are specifically utilized by each Index. 1 c.As currently written, the description of micro- and macro-features does not provide a great deal of insight into what these features may be, nor does the discussion of methodology convey much useful information about the actual methodology employed except in the very broadest sense. Please provide a simple and brief explanation for each of the metrics used by the Index Provider to determine portfolio allocation (e.g., what it measures, how it is used). d.In the description of the Index Provider’s micro- and macro-features analysis, please provide some illustrative examples of the kinds of features that may be considered, similar to the list of possible portfolio metrics examined to determine portfolio allocation. Response: The Trust has revised each Fund’s “Principal Investment Strategies” section to address the above comments and has attached a redline as Appendix A hereto. Teucrium AiLA Long-Short Agriculture ETF Comment 3.The Staff believes that the Fund’s name must comply with Rule 35d-1 (the “Names Rule”). Please include an 80% policy with respect to investments in the particular industry or industries suggested by the Fund’s name. Response: The Trust does not believe the Fund’s name is “likely to mislead an investor about the Fund’s investment emphasis,”1 nor do we believe that the Fund’s name requires the Fund to comply with Rule 35d-1. Rule 35d-1 requires that an “investment company with a name that suggests that the company focuses its investments in a particular type of investment (e.g., the ABC Stock Fund or XYZ Bond Fund) or in investments in a particular industry . . . invest at least 80% of its assets in the type of investment suggested by the name.”2 The Fund’s name does not suggest that it focuses its investments in a particular type of investment, such as bonds or stocks, but instead references a commodity that is not investable. In this respect, the Fund’s name is similar to various funds that include commodities in their name, but which are not able to invest at least 80% of their assets in any commodity or commodities generally and maintain their status as an investment company under the 1940 Act and a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Staff recognized, if Rule 35d-1 was deemed to apply, the practical inability of these funds to invest directly in commodities in compliance with the requirements set forth in Rule 35d-1 and agreed that the inclusion of the word “strategy” would be sufficient to remove the funds’ names from the ambit of Rule 35d-1. The Trust, therefore, has revised the Fund’s name from Teucrium AiLA Long-Short Agriculture ETF to Teucrium AiLA Long-Short Agriculture Strategy ETF. Comment 4.Supplementally confirm that there are no reimbursement or recoupment arrangements in place for the Fund or Subsidiary. Response: The Trust confirms that there are no reimbursement or recoupment arrangements in place for the Subsidiary. Similarly, while the Adviser has agreed to waive the management fee it receives from the Fund in an amount equal to the management fee paid to the Adviser by the Subsidiary, it does not reserve the right to recoup or be reimbursed for any such waived amounts. Comment 5.Supplementally confirm that there are no “Other Expenses” for the Fund, including with respect to the Subsidiary. Response: The Trust confirms that there are no estimated “Other Expenses” for the Fund, including the with respect to the Subsidiary. 1 Final Rule: Investment Company Names, Rel. No. IC-24828 (Mar. 31, 2001). 2 Final Rule: Investment Company Names, Rel. No. IC-24828 (Mar. 31, 2001). 2 Comment 6.Clarify the extent to which the Index constituents at any given time will reflect one or more commodities. Is there a minimum number of commodities that need to be held at one time? Please also discuss concentration. Response: The Trust has revised the “Principal Investment Strategies” section to state that “[t]he Index’s constituents will consist of between one and nine standardized commodities futures contracts on the following commodities:...” In addition, the Trust has consolidated the last two paragraphs of the “Principal Investment Strategies” section to state the following: To the extent the Index concentrates (i.e., holds more than 25% of its total assets) in the securities of a particular industry or group of related industries, the Fund will concentrate its investments to approximately the same extent as the Index. As of [ ], the Index was concentrated in [ ]. The Fund is classified as a “non-diversified” investment company under the Investment Company Act of 1940 Act, as amended (the “1940 Act”) and, therefore, may invest a greater percentage of its assets in a particular issuer than a diversified fund. The Fund will not concentrate its investments (i.e., hold more than 25% of its total assets) in any industry or group of related industries. The Fund, however, may invest more than 25% of its total assets in investments that provide exposure to agricultural commodities. Comment 7.Clarify how the Index Provider ensures exposure to the global commodity market. Response: The Index seeks to track a portfolio that is invested in agricultural commodities futures contracts traded on the Chicago Board of Trade (“CBOT”) or Intercontinental Exchange Inc. (“ICE”). ICE and CBOT serve as the most active and liquid global trading venues for their respective commodities futures contracts. As a result, not only are the futures contracts traded by global market participants, but they serve as the global benchmarks for the pricing of the physical reference commodity. As such, they reflect the global market and provide the Fund with exposure thereto. Comment 8.When utilizing “representative sampling,” how does the Adviser adhere to the passive management model? Disclose whether there are any constraints to inhibit the Adviser’s ability to deviate from the investment strategy. Response: The Adviser’s decision to use a representative sampling approach, from time to time, to seek to achieve the Fund’s investment objective is not inconsistent with its “passive management” approach. The Fund’s “passive management” approach merely means that it seeks to track the total return performance, before fees and expenses, of its Index. In contrast, an active management approach seeks to outperform a particular performance benchmark or index. The references to active and passive do not refer to an adviser’s ability to make investment decisions about the management of a fund, but rather the goal of the fund’s investment strategy. As is the case with the implementation of the Fund’s investment strategies, a passive management approach does not mean that an adviser is not free to make investment decisions about how best to seek to track a fund’s index and instead must always replicate the composition of that index. To the contrary, the Adviser may determine it is in the best interest of the Fund and its shareholders to replicate the composition of the Fund’s Index under certain circumstances (e.g., there are few constituents and all are readily available with no comparable substitutes) and to invest in a representative sample of the Index’s constituents under different circumstances (e.g., there are numerous constituents, some of which are expensive to acquire in the quantity needed, and there are less expenses ETFs available that would serve as comparable substitutes). As with any investment company registered pursuant to the Investment Company Act of 1940, the Adviser is constrained from deviating from the Fund’s disclosed investment strategies without first obtaining appropriate approval by the threat of: (1) poor performance, increased tracking 3 error, failure to achieve the Fund’s investment objective, and ultimately, shareholder redemptions; (2) violations of the Fund’s Rule 38a-1 Compliance Program Policy and Procedures relating prospectus disclosure and the implementation of investment strategies; (3) prospectus disclosure liability, including pursuant to Section 10(b) and Rule 10b-5 under the Exchange Act of 1934; and (4) regulatory enforcement action. Comment 9.With regards to the Cayman Subsidiary, please: a.Disclose that the Fund complies with the provisions of the Investment Company Act of 1940 (the “Investment Company Act”) governing investment policies (Section 8) and capital structure and leverage (Section 18) on an aggregate basis with the Subsidiary. b.Disclose that the investment adviser to the Subsidiary complies with provisions of the Investment Company Act relating to investment advisory contracts (Section 15) as if it were an investment adviser to the Fund under Section 2(a)(20) of the Investment Company Act. Any investment advisory agreement between the Subsidiary and its investment adviser is a material contract that should be included as an exhibit to the registration statement. c.Disclose that the Subsidiary complies with provisions relating to affiliated transactions and custody (Section 17). Identify the custodian of the Subsidiary, if any. d.Disclose, as appropriate, whether any of the Subsidiary’s principal investment strategies or principal risks constitute principal investment strategies or risks of the Fund. The principal investment strategies and principal risk disclosures of a fund that invests in a subsidiary should reflect aggregate operations of the Fund and the Subsidiary. e.Confirm in correspondence whether the financial statements of the Subsidiary will be consolidated with those of the Fund. If not, please explain why not. f.Confirm supplementally that: (i) the Subsidiary’s management fee (including any performance fee, if any) will be included in “Management Fees” and the Subsidiary’s expenses will be included in “Other Expenses” in the Fund’s Prospectus fee table; (ii) the Subsidiary and its board of directors will agree to designate an agent for service of process in the United States; and (iii) 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 Investment Company Act and the rules thereunder. Response: The Trust responds as follows: a.The Trust confirms that the Fund complies with the provisions of Section 8 of the Investment Company Act governing investment policies and the capital structure and leverage restrictions set forth in Section 18 of the Investment Company Act, in each case on an aggregate basis with the Subsidiary. The Trust believes that referencing specific Sections of the Investment Company Act is unnecessarily technical and potentially confusing for investors and, consequently, respectfully declines to add the requested disclosure. b.The Trust confirms that the investment adviser to the Subsidiary complies with provisions of the Investment Company Act relating to investment advisory contracts (Section 15) as if it were (and it is) an investment adviser to the Fund under section 2(a)(20) of the Investment Company Act. In addition, the Trust will file the investment advisory agreement between the Subsidiary and the Adviser as an exhibit to the registration statement. However, the Trust respectfully declines to include additional requested disclosure. As discussed above, the Trust respectfully submits that referencing specific sections of the Investment Company Act is unnecessarily technical and potentially confusing for investors. 4 c.The Trust confirms that the Subsidiary will comply with Section 17 of the Investment Company Act. The Trust notes that U.S. Bank National Association, the Fund’s custodian, will serve as the custodian to the Subsidiary. However, the Trust respectfully declines to include additional requested disclosure. As discussed above, the Trust respectfully submits that referencing specific sections of the Investment Company Act is unnecessarily technical and potentially confusing for investors. d.The Trust believes that the Subsidiary’s strategy to invest in agricultural futures and the Fund’s strategy to invest in the Subsidiary and collateral are adequately disclosed. e.The Trust so confirms. f.The Trust so confirms. Comment 10.The Staff notes the “Principal Investment Strategies” section states that the Fund’s investment in the Subsidiary generally will be limited to 25% of the Fund’s total assets. Please describe how the remaining 75% of the Fund’s assets will be invested. Response: In addition to its investments in Component Futures Contracts via the Subsidiary, the Fund will invest in cash, cash-like instruments and/or high-quality securities (collectively, “Collateral”) as part of its principal investment strategies. The Collateral may consist of: (i) U.S. Government securities, such as bills, notes and bonds issued by the U.S. Treasury; (ii) money market funds; and/or (iii) corporate debt securities, such as commercial paper and other short-term unsecured promissory notes issued by businesses that are rated investment grade or determined by the Adviser to be of comparable quality. Such Collateral is designed to provide l