The Fund seeks to track the investment results of the Russell US Small Cap Factors Blend Style Index (the Underlying Index), which is an objective, rules-based equity index provided by FTSE Russell (the Index Provider or Russell). The Underlying Index is designed to select equity securities from the Russell 2000 Index (the Parent Index), with exposure to five equity style factors (momentum, quality, value, size and low volatility) while maintaining a level of risk similar to that of the Parent Index. The Parent Index, which measures the performance of the small-capitalization segment of the U.S. equity market, is a float-adjusted capitalization-weighted index consisting of approximately 2000 of the smallest issuers in the Russell 3000 Index. Russell, in selecting equity securities from the Parent Index, assigns a weighted composite score for a security using a proprietary model based on five commonly-used equity style factors (momentum, quality, value, size and low volatility). The value score is calculated from the following value factor metrics: 12-month trailing book-to-price, dividend yield, earnings yield and cash flow yield (i.e., cash flow divided by the full market capitalization). The momentum score is calculated from three momentum factor metrics: price momentum, earnings momentum and earnings announcement drift (i.e., the difference between a stock's performance on and immediately following an earnings announcement date).