The Fund seeks to achieve its investment objective by investing at least 80 percent of its net assets plus borrowings for investment purposes in the constituents of the CP High Yield Trend Index, or economic equivalents thereto, including total return swaps on the returns of the Index. Any total return swap in which the Fund invests will match the value as if the Fund had directly purchased the securities in the Index. The rules-based Index is comprised of constituents that are a blend of allocations to two asset classes: unaffiliated U.S. high yield corporate bond (or junk bond) exchange-traded funds (ETFs) and unaffiliated U.S. 3–7-year Treasury ETFs. The Index also includes a stop loss mechanism on the U.S. 3–7-year Treasury ETFs that allows the Index to invest in U.S. T-bill ETFs.