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Amounts in the table are rounded to the nearest basis point, which in some cases may be “0.00.” The investment advisory agreement between BlackRock ETF Trust (the “Trust”) and BlackRock Fund Advisors (“BFA”) (the “Investment Advisory Agreement”) provides that BFA will pay all operating expenses of the Fund, except: (i) the management fees, (ii) interest expenses, (iii) taxes, (iv) expenses incurred with respect to the acquisition and disposition of portfolio securities and the execution of portfolio transactions, including brokerage commissions, (v) distribution fees or expenses, and (vi) litigation expenses and any extraordinary expenses. The Fund may incur “Acquired Fund Fees and Expenses.” Acquired Fund Fees and Expenses reflect the Fund’s pro rata share of the fees and expenses incurred indirectly by the Fund as a result of investing in other investment companies. The impact of Acquired Fund Fees and Expenses is included in the total returns of the Fund.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial; font-weight: bold;">You may pay other fees, such as brokerage commissions and other fees to financial intermediaries, which are not reflected in the table and Example below.</div> Annual Fund Operating Expenses(ongoing expenses that you pay each year as apercentage of the value of your investments) 0.0099 0 0.0000 0.0099 0.0000 0.0099 June 30, 2028 Other Expenses are based on estimated amounts for the Fund’s current fiscal year. Example. This Example is intended to help you compare the cost of owning shares of the Fund with the cost of investing in other funds. The Example assumes that you invest $10,000 in the Fund for the time periods indicated and then sell all of your shares at the end of those periods. The Example also assumes that your investment has a 5% return each year and that the Fund’s operating expenses remain the same.Although your actual costs may be higher or lower, based on these assumptions, your costs would be: 101 315 Portfolio Turnover <div style="margin-top: 4pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">The Fund may pay transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when Fund shares are held in a taxable account. These costs, which are not reflected in the Annual Fund Operating Expenses or in the Example, affect the Fund’s performance. From inception (December 9, 2025) to April 30, 2026, the Fund’s portfolio turnover rate was 181% of the average value of its portfolio.</div> 1.81 Principal Investment Strategies <div style="margin-top: 4pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">The Fund seeks to achieve its investment objective by investing in a range of global asset classes and a diversified set of alternative (or non‑traditional) strategies that seek to provide total return in both periods of strong returns and periods of market stress. The Fund intends to allocate its investments across multiple investment strategies, certain of which will use both long and short positions. Such strategies look to identify overvalued, undervalued or mispriced asset classes and securities and/or opportunities to earn attractive income through proprietary ranking techniques and quantitative model-based approaches. Securities and other instruments analyzed include a broad universe of equity, fixed income, commodity, currency, cryptocurrency and other instruments and span developed and emerging markets and market sectors.</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">Both asset allocation strategies (<span style="font-style: italic;">i.e.</span>, seeking active returns by investing across sectors, asset classes and geographies) and security selection strategies (<span style="font-style: italic;">i.e.</span>, seeking active returns by evaluating and identifying securities within allocations in terms of expected excess return and risk) may be considered. The Fund’s investment process is a systematic, model-driven implementation based on fundamental drivers of expected returns, risk and transaction costs.</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">The Fund may invest in both U.S. and non‑U.S. securities, including securities of companies located in emerging markets without limit. The Fund may also invest in foreign issuers in the form of depositary receipts. The Fund may invest in non‑U.S. dollar denominated investments, including investments denominated in European and Asian currencies and in other non‑U.S. and emerging market currencies. The Fund may have significant exposure to foreign currencies. The Fund’s investments in non‑U.S. dollar based assets may be made on a currency‑hedged or unhedged basis. The Fund may invest in companies of any market capitalization.</div><div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">The Fund’s investment in debt securities may include U.S. Government and agency securities, foreign government and supranational debt securities, corporate bonds, mortgage-related securities and asset-backed securities, mortgage to‑be‑announced (“TBA”) securities, emerging market debt securities, preferred securities, structured products, credit- linked notes, mezzanine securities, senior secured floating rate and fixed rate loans or debt, second lien or other subordinated or unsecured floating rate and fixed rate loans or debt, convertible debt securities, and derivatives with similar economic characteristics. The Fund may invest in fixed, variable and floating rate instruments, including participations and assignments, of any duration or maturity.</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">The Fund may invest in debt securities of any credit quality, as determined by Fund management, which may include investment grade securities and high yield securities, including unrated securities (commonly called “junk bonds”).</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">The Fund’s investment in equity securities may include common stock, preferred stock, securities convertible into common stock, including contingent convertible bonds which are securities convertible into equity if a pre‑specified trigger event occurs, and non‑convertible preferred stock. Contingent convertible bonds, sometimes referred to as “CoCos,” are a form of hybrid debt security. CoCos are generally issued by European banking institutions that need to meet certain capital requirements. CoCos pay a fixed rate of interest but have characteristics of both debt and equity. Unlike traditional convertible bonds, CoCos are mandatorily convertible into common shares by the issuing bank under certain adverse circumstances (e.g., if the bank falls below a certain level of capital). The Fund may gain exposure to equity securities through derivatives.</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">The Fund may invest directly in securities or instruments, through derivatives or by investing in other investment companies, including exchange traded funds (“ETFs”) and exchange-traded products (“ETPs”). The Fund will not invest more than 10% of its assets in other registered investment companies.</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">The Fund may invest in derivatives, including but not limited to, swaps, including total return (some of which may be referred to as contracts for difference), credit default, index and interest rate swaps; options; forward contracts; futures; options on futures and swaps; and foreign exchange transactions, for hedging purposes, as well as to enhance returns. There is no limit to the Fund’s ability to invest in</div><div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">derivatives, except as may be limited by the requirements of the Investment Company Act of 1940, as amended (the “Investment Company Act”), and at times the Fund may utilize derivatives to a significant extent. The Fund may utilize derivative instruments to maintain a portion of its portfolio long and short positions. The Fund may also invest in repurchase agreements, reverse repurchase agreements and dollar rolls. The Fund may also invest in indexed and inverse securities.</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">The Fund may purchase and sell securities on a when-issued, delayed delivery or forward commitment basis.</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">The Fund may engage in short sales for hedging purposes or to enhance total return. The Fund also may make short sales “against the box” without limitation. In this type of short sale, at the time of the sale, the Fund owns or has the immediate and unconditional right to acquire the identical security at no additional cost.</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">The Fund may seek to provide exposure to the investment returns of real assets that trade in the commodity markets through investment in commodity-linked derivative instruments and investment vehicles such as exchange-traded funds and exchange-traded products that invest exclusively in commodities and are designed to provide this exposure without direct investment in physical commodities.</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">The Fund may also seek to gain investment exposure to cryptocurrency through (i) relative value strategies such as basis and carry trades (which involve taking offsetting long and short positions referencing the same cryptocurrency) and (ii) directional exposure. The Fund intends to cap its net notional exposure across different cryptocurrencies to an amount equivalent to 5% of the Fund’s net assets. The Fund intends to gain exposure to cryptocurrency such as bitcoin and ether indirectly through cryptocurrency derivative instruments, such as bitcoin futures and ether futures traded on futures exchanges registered with the Commodity Futures Trading Commission, or indirectly through investment vehicles such as ETPs. The Fund expects to gain exposure to these cryptocurrency investments primarily by investing through its Cayman Subsidiary, as described below.</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">The Fund may also gain exposure to commodity markets and cryptocurrency by investing up to 25% of its total assets, inclusive of leverage, in iShares Systematic Alternatives Active ETF Cayman, Ltd. (the “Cayman Subsidiary”), a wholly owned subsidiary of</div><div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">the Fund formed in the Cayman Islands, which invests primarily in commodity-related instruments and cryptocurrencies. The Cayman Subsidiary may also hold cash and invest in other instruments, including fixed income securities, either as investments or to serve as margin or collateral for the Cayman Subsidiary’s derivative positions. The Cayman Subsidiary (unlike the Fund) may invest without limitation in commodity-related instruments and cryptocurrencies. However, the Cayman Subsidiary is otherwise subject to the same fundamental, non‑fundamental and certain other investment restrictions as the Fund. The Fund will limit its investments in the Cayman Subsidiary to 25% of its total assets, inclusive of leverage.</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">The Fund may engage in active and frequent trading of portfolio securities to achieve its primary investment strategies.</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">The Fund is classified as diversified.</div> As with any investment, you could lose all or part of your investment in the Fund, and the Fund’s performance could trail that of other investments. <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Equity Securities Risk</span></span>. Stock markets are volatile. The price of equity securities fluctuates based on changes in a company’s financial condition and overall market and economic conditions.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Debt Securities Risk</span></span>. Debt securities, such as bonds, involve risks, such as credit risk, interest rate risk, extension risk, and prepayment risk, each of which are described in further detail below:</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-style: italic;">Credit Risk</span>. Credit risk refers to the possibility that the issuer of a debt security (<span style="font-style: italic;">i.e.</span>, the borrower) will not be able to make payments of interest and principal when due. Changes in an issuer’s credit rating or the market’s perception of an issuer’s creditworthiness may also affect the value of the Fund’s investment in</div><div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">that issuer. The degree of credit risk depends on both the financial condition of the issuer and the terms of the obligation.</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-style: italic;">Interest Rate Risk</span>. The market value of bonds and other fixed-income securities changes in response to interest rate changes and other factors. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise.<span style="font-style: italic;"> </span></div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">The Fund may be subject to a greater risk of rising interest rates during a period of low interest rates. For example, if interest rates increase by 1%, assuming a current portfolio duration of ten years, and all other factors being equal, the value of the Fund’s investments would be expected to decrease by 10%. (Duration is a measure of the price sensitivity of a debt security or portfolio of debt securities to relative changes in interest rates.) The magnitude of these fluctuations in the market price of bonds and other fixed-income securities is generally greater for those securities with longer maturities. Fluctuations in the market price of the Fund’s investments will not affect interest income derived from instruments already owned by the Fund, but will be reflected in the Fund’s net asset value. The Fund may lose money if short-term or long-term interest rates rise sharply in a manner not anticipated by Fund management.</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">Moreover, because rates on certain floating rate debt securities typically reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the net asset value of the Fund to the extent that it invests in floating rate debt securities.</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">These basic principles of bond prices also apply to U.S. Government securities. A security backed by the “full faith and credit” of the U.S. Government is guaranteed only as to its stated interest rate and face value at maturity, not its current market price. Just like other fixed-income securities, government-guaranteed securities will fluctuate in value when interest rates change.</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">A general rise in interest rates has the potential to cause investors to move out of fixed-income securities on a large scale, which may increase redemptions from funds that hold large amounts of fixed-income securities. Heavy redemptions could cause the Fund to sell assets at inopportune times or at a loss or depressed value and could hurt the Fund’s performance.</div><div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-style: italic;">Extension Risk</span>. When interest rates rise, certain obligations will be paid off by the obligor more slowly than anticipated, causing the value of these obligations to fall.<span style="font-style: italic;"> </span></div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-style: italic;">Prepayment Risk</span>. When interest rates fall, certain obligations will be paid off by the obligor more quickly than originally anticipated, and the Fund may have to invest the proceeds in securities with lower yields.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Derivatives Risk</span></span>. The Fund’s use of derivatives may increase its costs, reduce the Fund’s returns and/or increase volatility. Derivatives involve significant risks, including:</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-style: italic;">Leverage Risk</span>. The Fund’s use of derivatives can magnify the Fund’s gains and losses. Relatively small market movements may result in large changes in the value of a derivatives position and can result in losses that greatly exceed the amount originally invested.</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-style: italic;">Market Risk</span>. Some derivatives are more sensitive to interest rate changes and market price fluctuations than other securities. The Fund could also suffer losses related to its derivatives positions as a result of unanticipated market movements, which losses are potentially unlimited. Finally, BFA may not be able to predict correctly the direction of securities prices, interest rates and other economic factors, which could cause the Fund’s derivatives positions to lose value.</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-style: italic;">Counterparty Risk</span>. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will be unable or unwilling to fulfill its contractual obligation, and the related risks of having concentrated exposure to such a counterparty.</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-style: italic;">Illiquidity Risk</span>. The possible lack of a liquid secondary market for derivatives and the resulting inability of the Fund to sell or otherwise close a derivatives position could expose the Fund to losses and could make derivatives more difficult for the Fund to value accurately.</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-style: italic;">Operational Risk</span>. The use of derivatives includes the risk of potential operational issues, including documentation issues, settlement issues, systems failures, inadequate controls and human error.</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-style: italic;">Legal Risk</span>. The risk of insufficient documentation, insufficient capacity or authority of counterparty, or legality or enforceability of a contract.</div><div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-style: italic;">Volatility and Correlation Risk</span>. Volatility is defined as the characteristic of a security, an index or a market to fluctuate significantly in price within a short time period. A risk of the Fund’s use of derivatives is that the fluctuations in their values may not correlate with the overall securities markets.</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-style: italic;">Valuation Risk</span>. Valuation for derivatives may not be readily available in the market. Valuation may be more difficult in times of market turmoil since many investors and market makers may be reluctant to purchase complex instruments or quote prices for them.</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-style: italic;">Hedging Risk</span>. Hedges are sometimes subject to imperfect matching between the derivative and the underlying security, and there can be no assurance that the Fund’s hedging transactions will be effective. The use of hedging may result in certain adverse tax consequences.</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-style: italic;">Tax Risk</span>. Certain aspects of the tax treatment of derivative instruments, including swap agreements and commodity-linked derivative instruments, are currently unclear and may be affected by changes in legislation, regulations or other legally binding authority. Such treatment may be less favorable than that given to a direct investment in an underlying asset and may adversely affect the timing, character and amount of income the Fund realizes from its investments.</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">To the extent derivatives are utilized to implement the Fund’s investment strategies, the transactions may involve the risks described herein with respect to investments in equity securities and short sales of securities.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Commodities Related Investments Risk</span></span>. Exposure to the commodities markets may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative investments may be affected by changes in overall market movements, commodity index volatility, changes in inflation, interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, embargoes, tariffs and international economic, political and regulatory developments.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Model Risk</span></span>. The Fund seeks to pursue its investment objective by using proprietary models that incorporate quantitative analysis. Investments selected using these models may perform differently than as forecasted due to the factors incorporated into the models and the weighting of each factor, changes</div><div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">from historical trends, and issues in the construction and implementation of the models (including, but not limited to, software issues, issues related to the use of artificial intelligence and machine learning (“AI”), and other technological issues). There is no guarantee that BFA’s use of these models will result in effective investment decisions for the Fund.</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">The information and data used in the models may be supplied by third parties. Inaccurate or incomplete data may limit the effectiveness of the models. In addition, some of the data that BFA uses may be historical data, which may not accurately predict future market movement. There is a risk that the models will not be successful in selecting investments or in determining the weighting of investment positions that will enable the Fund to achieve its investment objective.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Assets Under Management (AUM) Risk</span></span>. From time to time, an Authorized Participant (as defined in the Creations and Redemptions section of the Prospectus), a third-party investor, the Fund’s adviser, an affiliate of the Fund’s adviser, or another fund may invest in the Fund and hold its investment for a specific period of time to allow the Fund to achieve size or scale. There can be no assurance that any such entity would not redeem its investment or that the size of the Fund would be maintained at such levels, which could negatively impact the Fund.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Authorized Participant Concentration Risk</span></span>. Only an Authorized Participant may engage in creation or redemption transactions directly with the Fund. There are a limited number of institutions that may act as Authorized Participants for the Fund, including on an agency basis on behalf of other market participants. No Authorized Participant is obligated to engage in creation or redemption transactions. To the extent that Authorized Participants exit the business or do not place creation or redemption orders for the Fund and no other Authorized Participant places orders, Fund shares are more likely to trade at a premium or discount to NAV and possibly face trading halts or delisting.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Contingent Convertible Bonds (“CoCos”) Risk</span></span>. CoCos contain loss absorption characteristics built into the terms of the security for the benefit of the issuer, for example, an automatic write-down of principal or a mandatory conversion into common stock of the issuer under certain circumstances, such as the issuer’s capital ratio falling below a certain level. CoCos may be subject to an automatic write-down (<span style="font-style: italic;">i.e.</span>, the automatic write-down of the principal</div><div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">amount or value of the securities, potentially to zero, and the cancellation of the securities) under certain circumstances, which would likely result in the Fund losing a portion or all of its investment in such securities. In addition, the Fund may not have any rights with respect to repayment of the principal amount of the securities that has not become due or the payment of interest or dividends on such securities for any period from (and including) the interest or dividend payment date falling immediately prior to the occurrence of such automatic write-down. An automatic write-down could also result in a reduced income rate if the dividend or interest payment is based on the security’s par value. If a CoCo provides for mandatory conversion of the security into common stock of the issuer under certain circumstances, such as an adverse event, the Fund could experience a reduced income rate, potentially to zero, as a result of the issuer’s common stock not paying a dividend. In addition, a conversion event would likely be the result of or related to the deterioration of the issuer’s financial condition (e.g., such as a decrease in the issuer’s capital ratio) and status as a going concern, so the market price of the issuer’s common stock received by the Fund may have declined, perhaps substantially, and may continue to decline, which may adversely affect the Fund’s NAV. Further, the issuer’s common stock would be subordinate to the issuer’s other security classes and therefore worsen the Fund’s standing in a bankruptcy proceeding. In addition, most CoCos are considered to be high yield or “junk” securities and are therefore subject to the risks of investing in below investment grade securities. Finally, CoCo issuers can, at their discretion, suspend dividend distributions on their CoCo securities and are more likely to do so in response to negative economic conditions and/or government regulation. Omitted distributions are typically non-cumulative and will not be paid on a future date. Any omitted distribution may negatively impact the returns or distribution rate of the Fund.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Convertible Securities Risk</span></span>. The market value of a convertible security performs like that of a regular debt security; that is, if market interest rates rise, the value of a convertible security usually falls. In addition, convertible securities are subject to the risk that the issuer will not be able to pay interest, principal or dividends when due, and their market value may change based on changes in the issuer’s credit rating or the market’s perception of the issuer’s creditworthiness. Since it derives a portion of its value from the common stock into which it may be converted, a convertible security is also subject to the same types of market and issuer risks that apply to the underlying common stock, including the potential</div><div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">for increased volatility in the price of the convertible security.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Corporate Loans Risk</span></span>. Commercial banks and other financial institutions or institutional investors make corporate loans to companies that need capital to grow or restructure. Borrowers generally pay interest on corporate loans at rates that change in response to changes in market interest rates such as the Secured Overnight Financing Rate or the prime rates of U.S. banks. As a result, the value of corporate loan investments is generally less exposed to the adverse effects of shifts in market interest rates than investments that pay a fixed rate of interest. The market for corporate loans may be subject to irregular trading activity and wide bid/ask spreads. In addition, transactions in corporate loans may settle on a delayed basis. As a result, the proceeds from the sale of corporate loans may not be readily available to make additional investments or to meet the Fund’s redemption obligations. To the extent the extended settlement process gives rise to short-term liquidity needs, the Fund may hold additional cash, sell investments or temporarily borrow from banks and other lenders.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Cryptocurrency Risk</span></span><span style="font-style: italic;">. </span>Cryptocurrencies, such as bitcoin and ether, are digital assets created and transmitted through the operations of peer-to-peer networks of computers, known as nodes, that operate on cryptographic computer-code based logic, called a protocol. Cryptocurrencies are part of a new and rapidly changing industry, and the further development of cryptocurrencies and digital asset networks is subject to a variety of factors that are difficult to evaluate. Cryptocurrencies are relatively new assets with limited histories.</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">The trading prices of many cryptocurrencies, including bitcoin and ether, have experienced extreme volatility in recent periods and may continue to do so. Extreme volatility in the future, including further declines in the trading prices of cryptocurrencies, such as bitcoin and ether, could have a material adverse effect on the value of the Fund’s cryptocurrency investments. The value of digital assets is subject to a number of factors relating to their fundamental investment characteristics, including the fact that digital assets are bearer instruments and loss, theft, destruction, or compromise of the associated private keys could result in permanent loss of the asset, and the capabilities and development of blockchain technologies such as the bitcoin or Ethereum blockchain. Cryptocurrency is a new technological innovation with a limited history; it is a highly speculative asset, and the Fund’s exposure to</div><div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">cryptocurrency and cryptocurrency-linked assets could result in substantial losses to the Fund.</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">The value of cryptocurrencies is subject to a number of factors relating to the capabilities and development of blockchain technologies, such as the recentness of their development, their dependence on the internet and other technologies, their dependence on the role played by users, developers, miners and validators and the potential for malicious activity. Given the recentness of the development of digital asset networks, cryptocurrencies may not function as intended and parties may be unwilling to use cryptocurrencies, which would dampen the growth, if any, of cryptocurrencies.</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">The opaque nature of the digital asset market poses asset verification challenges for market participants, regulators and auditors and gives rise to an increased risk of manipulation and fraud, including the potential for Ponzi schemes, bucket shops and pump and dump schemes. Cryptocurrencies have in the past been used to facilitate illicit activities. If a cryptocurrency was used to facilitate illicit activities, businesses that facilitate transactions in such cryptocurrencies could be at increased risk of potential criminal or civil liability or lawsuits, or of having banking or other services cut off, and such cryptocurrency could be removed from digital asset platforms. In addition, cryptocurrency exchanges are also subject to the risk of cybersecurity threats and have been breached, resulting in the theft and/or loss of cryptocurrencies. A cyber or other security breach or a business failure of a cryptocurrency exchange or custodian may affect the price of a particular cryptocurrency or cryptocurrencies generally.</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">A risk also exists with respect to malicious actors or previously unknown vulnerabilities, which may adversely affect the value of a digital currency. In the past, bugs, defects, and flaws in the source code for digital assets have been exposed and exploited, including flaws that disrupted some functionality for users, exposed users’ personal information and/or resulted in the theft of users’ digital assets. The cryptographic algorithms securing cryptocurrency networks could prove vulnerable to advances in computing technology, particularly quantum computing. Quantum computing technology is an emerging phenomenon which, because it is still developing, makes it difficult to predict its ultimate effect on the future value of digital assets, including bitcoin and ether. However, if quantum computing technology is able to advance and significantly increase its capacity relative to the capacity of today’s leading quantum computers, it could potentially</div><div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">undermine the cryptographic algorithms used for cryptocurrencies, like bitcoin and ether, and result in losses.</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">The Fund may invest directly or indirectly in cryptocurrencies. The value of the Fund’s investments in cryptocurrency-linked assets (including derivative instruments and exchange-traded products (“ETPs”) that may invest directly in cryptocurrencies or seek to reflect generally the performance of the price of one or more cryptocurrencies or cryptocurrency futures, such as bitcoin futures and ether futures) is subject to fluctuations in the value of the cryptocurrency, which have been and may in the future be highly volatile, and the risk that the value of the investments do not track closely the performance of the underlying or linked cryptocurrency.</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">The market for cryptocurrency futures such as bitcoin futures and ether futures may be less developed, and potentially less liquid and more volatile, than more established futures markets. Market conditions and expectations, regulatory limitations or limitations imposed by the listing exchanges or futures commission merchants (“FCMs”) (e.g., margin requirements, position limits, and accountability levels), collateral requirements, availability of counterparties, and other factors each can impact the supply of and demand for cryptocurrency futures contracts. Investing in derivatives like cryptocurrency futures may be considered speculative and may expose the Fund to significant risks. Transaction costs (including the costs associated with futures investing), position limits, the availability of counterparties and other factors may impact the cost of cryptocurrency futures contracts and decrease the correlation between the performance of the futures contracts and reference cryptocurrency, over short or even long-term periods. Price differences between a cryptocurrency and related futures will expose the Fund to risks different from, and possibly greater than, the risks associated with investing directly in such cryptocurrency, including larger losses or smaller gains.</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">Any of the aforementioned occurrences could adversely affect the Fund’s investments in cryptocurrencies.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Depositary Receipts Risk</span></span>. Depositary receipts are generally subject to the same risks as the foreign securities that they evidence or into which they may be converted. In addition to investment risks associated with the underlying issuer, depositary receipts expose the Fund to additional risks associated with the non‑uniform terms that apply to</div><div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">depositary receipt programs, credit exposure to the depository bank and to the sponsors and other parties with whom the depository bank establishes the programs, currency risk and the risk of an illiquid market for depositary receipts. The issuers of unsponsored depositary receipts are not obligated to disclose information that is, in the United States, considered material. Therefore, there may be less information available regarding these issuers and there may not be a correlation between such information and the market value of the depositary receipts. While depositary receipts provide an alternative to directly purchasing underlying foreign securities in their respective markets and currencies, they continue to be subject to many of the risks associated with investing directly in foreign securities, including political, economic, and currency risk.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Dollar Rolls Risk</span></span>. Dollar rolls involve the risk that the market value of the securities that the Fund is committed to buy may decline below the price of the securities the Fund has sold. These transactions may involve leverage.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Emerging Markets Risk</span></span>. Emerging markets are riskier than more developed markets because they tend to develop unevenly and may never fully develop. Investments in emerging markets may be considered speculative. Emerging markets are more likely to experience hyperinflation and currency devaluations, which adversely affect returns to U.S. investors. In addition, many emerging financial markets have far lower trading volumes and less liquidity than developed markets.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Foreign Currency Transactions Risk</span></span>. The Fund may invest in forward foreign currency exchange contracts. Forward foreign currency exchange contracts do not eliminate movements in the value of non‑U.S. currencies and securities but rather allow the Fund to establish a fixed rate of exchange for a future point in time. This strategy can have the effect of reducing returns and minimizing opportunities for gain.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Foreign Securities Risk</span></span>. Foreign investments often involve special risks not present in U.S. investments that can increase the chances that the Fund will lose money. These risks include:</div> <table cellpadding="0" cellspacing="0" style="border-collapse: collapse; font-family: arial; font-size: 10pt; border-spacing: 0px; width: 100%;"> <tr style="page-break-inside: avoid;"> <td style="width: 20.25pt;"> </td> <td style="width: 19.5pt; vertical-align: top; text-align: left;">•</td> <td style="width: 0.75pt; vertical-align: top;"> </td> <td style="vertical-align: top; text-align: left;">The Fund generally holds its foreign securities and cash in foreign banks and securities depositories, which may be recently organized or new to the foreign custody business and may be subject to only limited or no regulatory oversight.</td> </tr> </table> <table cellpadding="0" cellspacing="0" style="border-collapse: collapse; font-family: arial; font-size: 10pt; border-spacing: 0px; width: 100%;"> <tr style="page-break-inside: avoid;"> <td style="width: 20.25pt;"> </td> <td style="width: 19.5pt; vertical-align: top; text-align: left;">•</td> <td style="width: 0.75pt; vertical-align: top;"> </td> <td style="vertical-align: top; text-align: left;">Changes in foreign currency exchange rates can affect the value of the Fund’s portfolio.</td> </tr> </table> <table cellpadding="0" cellspacing="0" style="border-collapse: collapse; font-family: arial; font-size: 10pt; border-spacing: 0px; width: 100%;"> <tr style="page-break-inside: avoid;"> <td style="width: 20.25pt;"> </td> <td style="width: 19.5pt; vertical-align: top; text-align: left;">•</td> <td style="width: 0.75pt; vertical-align: top;"> </td> <td style="vertical-align: top; text-align: left;">The economies of certain foreign markets may not compare favorably with the economy of the United States with respect to such issues as growth of gross national product, reinvestment of capital, resources and balance of payments position.</td> </tr> </table> <table cellpadding="0" cellspacing="0" style="border-collapse: collapse; font-family: arial; font-size: 10pt; border-spacing: 0px; width: 100%;"> <tr style="page-break-inside: avoid;"> <td style="width: 20.25pt;"> </td> <td style="width: 19.5pt; vertical-align: top; text-align: left;">•</td> <td style="width: 0.75pt; vertical-align: top;"> </td> <td style="vertical-align: top; text-align: left;">The governments of certain countries, or the U.S. Government with respect to certain countries, may prohibit or impose substantial restrictions through capital controls and/or sanctions on foreign investments in the capital markets or certain industries in those countries, which may prohibit or restrict the ability to own or transfer currency, securities, derivatives or other assets.</td> </tr> </table> <table cellpadding="0" cellspacing="0" style="border-collapse: collapse; font-family: arial; font-size: 10pt; border-spacing: 0px; width: 100%;"> <tr style="page-break-inside: avoid;"> <td style="width: 20.25pt;"> </td> <td style="width: 19.5pt; vertical-align: top; text-align: left;">•</td> <td style="width: 0.75pt; vertical-align: top;"> </td> <td style="vertical-align: top; text-align: left;">Many foreign governments do not supervise and regulate stock exchanges, brokers and the sale of securities to the same extent as does the United States and may not have laws to protect investors that are comparable to U.S. securities laws.</td> </tr> </table> <table cellpadding="0" cellspacing="0" style="border-collapse: collapse; font-family: arial; font-size: 10pt; border-spacing: 0px; width: 100%;"> <tr style="page-break-inside: avoid;"> <td style="width: 20.25pt;"> </td> <td style="width: 19.5pt; vertical-align: top; text-align: left;">•</td> <td style="width: 0.75pt; vertical-align: top;"> </td> <td style="vertical-align: top; text-align: left;">Settlement and clearance procedures in certain foreign markets may result in delays in payment for or delivery of securities not typically associated with settlement and clearance of U.S. investments.</td> </tr> </table><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">The Fund’s claims to recover foreign withholding taxes may not be successful, and if the likelihood of recovery of foreign withholding taxes materially decreases, due to, for example, a change in tax regulation or approach in the foreign country, accruals in the Fund’s net asset value for such refunds may be written down partially or in full, which will adversely affect the Fund’s net asset value.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">High Portfolio Turnover Risk. </span></span>The Fund may engage in active and frequent trading of its portfolio securities. High portfolio turnover (more than 100%) may result in increased transaction costs to the Fund, including brokerage commissions, dealer mark-ups and other transaction costs on the sale of the securities and on reinvestment in other securities. The sale of Fund portfolio securities may result in the realization and/or distribution to shareholders of higher capital gains or losses as compared to a fund with less active trading policies, such as index ETFs. These effects of higher than normal portfolio turnover may adversely affect Fund performance.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">High Yield Bonds Risk</span></span>. Although junk bonds generally pay higher rates of interest than investment</div><div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">grade bonds, junk bonds are high risk investments that are considered speculative and may cause income and principal losses for the Fund.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Indexed and Inverse Securities Risk</span></span>. Indexed and inverse securities provide a potential return based on a particular index of value or interest rates. The Fund’s return on these securities will be subject to risk with respect to the value of the particular index. These securities are subject to leverage risk and correlation risk. Certain indexed and inverse securities have greater sensitivity to changes in interest rates or index levels than other securities, and the Fund’s investment in such instruments may decline significantly in value if interest rates or index levels move in a way Fund management does not anticipate.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Investment in Other Investment Companies Risk</span></span>. As with other investments, investments in other investment companies, including ETFs, are subject to market and selection risk. In addition, if the Fund acquires shares of investment companies, including ones affiliated with the Fund, shareholders bear both their proportionate share of expenses in the Fund (including management and advisory fees) and, indirectly, the expenses of the investment companies (to the extent not offset by BFA through waivers). To the extent the Fund is held by an affiliated fund, the ability of the Fund itself to hold other investment companies may be limited.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Issuer Risk</span></span>. Fund performance depends on the performance of individual securities to which the Fund has exposure. Changes in the financial condition or credit rating of an issuer of those securities may cause the value of the securities to decline.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Large-Capitalization Companies Risk</span></span>. Large-capitalization companies may be less able than smaller-capitalization companies to adapt to changing market conditions and competitive challenges. Large-capitalization companies may be more mature and subject to more limited growth potential compared with smaller-capitalization companies. The performance of large-capitalization companies could trail the overall performance of the broader securities markets.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Large Shareholder and Large-Scale Redemption Risk</span></span>. Certain shareholders, including an Authorized Participant, a third-party investor, the Fund’s adviser or an affiliate of the Fund’s adviser, a market maker, or another entity, may from time to time own or manage a substantial amount of Fund shares, or may invest in the Fund and hold their investment for a limited period of time. There can be no assurance that</div><div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">any large shareholder or large group of shareholders would not redeem their investment.</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">Redemptions of a large number of Fund shares could require the Fund to dispose of assets to meet the redemption requests, which can accelerate the realization of taxable income and/or capital gains and cause the Fund to make taxable distributions to its shareholders earlier than the Fund otherwise would have. In addition, under certain circumstances, non‑redeeming shareholders may be treated as receiving a disproportionately large taxable distribution during or with respect to such tax year. In some circumstances, the Fund may hold a relatively large proportion of its assets in cash in anticipation of large redemptions, diluting its investment returns. These large redemptions may also force the Fund to sell portfolio securities when it might not otherwise do so, which may negatively impact the Fund’s NAV, increase the Fund’s brokerage costs and/or have a material effect on the market price of the Fund shares.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Leverage Risk</span></span>. Some transactions may give rise to a form of economic leverage. These transactions may include, among others, derivatives, and may expose the Fund to greater risk and increase its costs. The use of leverage may cause the Fund to liquidate portfolio positions when it may not be advantageous to do so to satisfy its obligations or to meet the applicable requirements of the Investment Company Act. Increases and decreases in the value of the Fund’s portfolio will be magnified when the Fund uses leverage.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Market Risk and Selection Risk</span></span>. Market risk is the risk that one or more markets in which the Fund invests will go down in value, including the possibility that the markets will go down sharply and unpredictably. An investor could lose money over short periods due to fluctuation in the Fund’s net asset value in response to short-term market movements and over longer periods during market downturns. Securities or other investments held by the Fund may underperform the markets, the relevant indices or benchmarks, or the securities selected by other funds with similar investment objectives and investment strategies, or may otherwise fail to perform as intended. The value of a security or other asset may decline due to changes in general market conditions, economic trends or events that are not specifically related to the issuer of the security or other asset, or factors that affect a particular issuer or issuers, exchange, country, group of countries, region, market, industry, group of industries, sector or asset class. The success of the Fund’s activities could be affected by interest rates, availability of credit,</div><div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">inflation rates, economic uncertainty, changes in laws, tariffs and trade barriers, supply chain disruptions, economic sanctions, currency exchange controls, and local, regional or global events such as war, acts of terrorism, natural and environmental disasters, the spread of infectious illness or other public health issues, recessions, or other events. The Fund seeks to pursue its investment objective by using proprietary models that incorporate quantitative analysis and is subject to “Model Risk” as described above.</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">Recent policy initiatives undertaken by the U.S. government have the potential to impact international relations, trade agreements and the overall regulatory environment in ways that could create uncertainty and instability in domestic and global markets, and could adversely affect the investment performance of the Fund. In particular, actions taken by the U.S. government in respect of international trade relations could lead to trade wars, increased costs for imported goods, disruptions in supply chains, reduced foreign investment, and instability in regions where the Fund invests.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Market Trading Risk</span></span><span style="font-weight: bold;"><span style="font-style: italic;">. </span></span>The Fund faces numerous market trading risks, including the potential lack of an active market for Fund shares (including through a trading halt), losses from trading in secondary markets, periods of high volatility, and disruptions in the process of creating and redeeming Fund shares. Any of these factors, among others, may lead to the Fund’s shares trading in the secondary market at a premium or discount to NAV or to the intraday value of the Fund’s portfolio holdings. If you buy Fund shares at a time when the market price is at a premium to NAV or sell Fund shares at a time when the market price is at a discount to NAV, you may pay significantly more or receive significantly less than the underlying value of the Fund shares.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Mezzanine Securities Risk</span></span>. Mezzanine securities carry the risk that the issuer will not be able to meet its obligations and that the equity securities purchased with the mezzanine investments may lose value.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">New Fund Risk</span></span>. The Fund is new and has limited or no performance history as of the date of this prospectus. Like other new funds, large inflows and outflows may impact the Fund’s market exposure, and in turn, the Fund’s returns for limited periods of time. While the Fund is new, it may temporarily not be fully invested consistent with the principal investment strategies disclosed in its prospectus.</div> <div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Operational and Technology Risks</span></span>. The Fund is directly and indirectly susceptible to operational and technology risks, including those related to human errors, processing errors, communication errors, systems failures, cybersecurity incidents, and the use of AI, which may result in losses for the Fund and its shareholders or may impair the Fund’s operations. While the Fund’s service providers are required to have appropriate operational, information security and cybersecurity risk management policies and procedures, their methods of risk management may differ from those of the Fund. Operational and technology risks for the issuers in which the Fund invests could also result in material adverse consequences for such issuers and may cause the Fund’s investments in such issuers to lose value.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Preferred Securities Risk</span></span>. Preferred securities may pay fixed or adjustable rates of return. Preferred securities are subject to issuer-specific and market risks applicable generally to equity securities. In addition, a company’s preferred securities generally pay dividends only after the company makes required payments to holders of its bonds and other debt. For this reason, the value of preferred securities will usually react more strongly than bonds and other debt to actual or perceived changes in the company’s financial condition or prospects. Preferred securities of smaller companies may be more vulnerable to adverse developments than preferred securities of larger companies.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Repurchase Agreements and Purchase and Sale Contracts Risk</span></span>. If the other party to a repurchase agreement or purchase and sale contract defaults on its obligation under the agreement, the Fund may suffer delays and incur costs or lose money in exercising its rights under the agreement. If the seller fails to repurchase the security in either situation and the market value of the security declines, the Fund may lose money.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Reverse Repurchase Agreements Risk</span></span>. Reverse repurchase agreements involve the sale of securities held by the Fund with an agreement to repurchase the securities at an agreed-upon price, date and interest payment. Reverse repurchase agreements involve the risk that the other party may fail to return the securities in a timely manner or at all. The Fund could lose money if it is unable to recover the securities and the value of the collateral held by the Fund, including the value of the investments made with cash collateral, is less than the value of the securities. These events could also trigger adverse tax consequences for the Fund. In addition, reverse</div><div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">repurchase agreements involve the risk that the interest income earned in the investment of the proceeds will be less than the interest expense.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Risk of Investing in the United States</span></span>. Certain changes in the U.S. economy, such as when the U.S. economy weakens or when its financial markets decline, may have an adverse effect on the securities to which the Fund has exposure.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Second Lien Loans Risk</span></span>. Second lien loans generally are subject to similar risks as those associated with investments in senior loans. Because second lien loans are subordinated or unsecured and thus lower in priority of payment to senior loans, they are subject to the additional risk that the cash flow of the borrower and property securing the loan or debt, if any, may be insufficient to meet scheduled payments after giving effect to the senior secured obligations of the borrower.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Short Sales and Short Position Risk</span></span>. Because making short sales or taking short positions in securities that it does not own would expose the Fund to the risks associated with those securities, such short sales or positions involve speculative exposure risk. In such situations, the Fund will incur a loss as a result of a short sale or position if the price of the reference instrument increases after the Fund entered into the short sale or position. The Fund may engage in short sales and gain short exposure through certain derivative instruments, such as futures, options or swaps. The Fund may lose more money than the actual cost of a short sale or position and the potential losses are theoretically unlimited on a short sale or position.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Small and Mid-Capitalization Company Risk</span></span>. Companies with small or mid-size market capitalizations will normally have more limited product lines, markets and financial resources and will be dependent upon a more limited management group than larger capitalized companies. In addition, it is more difficult to get information on smaller companies, which tend to be less well known, have shorter operating histories, do not have significant ownership by large investors and are followed by relatively few securities analysts.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Small Fund Risk</span></span>. When the Fund’s size is small, the Fund may experience low trading volume and wide bid/ask spreads. The Fund’s performance near its inception date may not represent how the Fund will perform in the future or with a larger asset base. The Fund may buy smaller‑sized bonds known as “odd lots,” which may be purchased or sold at a discount to</div><div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">similar “round lot” bonds. The prices used by the Fund may differ from the value that would be realized if these securities were sold, and the impact of such pricing differences on the Fund’s performance may be heightened when the Fund’s size is small. In addition, the Fund may face the risk of being delisted if it does not meet certain requirements set by the listing exchange. Any resulting liquidation of the Fund could lead to elevated transaction costs for the Fund and negative tax consequences for its shareholders.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Structured Securities Risk</span></span>. Because structured securities of the type in which the Fund may invest typically involve no credit enhancement, their credit risk generally will be equivalent to that of the underlying instruments, index or reference obligation and will also be subject to counterparty risk. The Fund may have the right to receive payments only from the structured security, and generally does not have direct rights against the issuer or the entity that sold the assets to be securitized. In addition to the general risks associated with debt securities discussed herein, structured securities carry additional risks, including, but not limited to: the possibility that distributions from collateral securities will not be adequate to make interest or other payments; the quality of the collateral may decline in value or default; and the possibility that the structured securities are subordinate to other classes. The Fund is permitted to invest in a class of structured securities that is either subordinated or unsubordinated to the right of payment of another class. Subordinated structured securities typically have higher yields and present greater risks than unsubordinated structured securities. Structured securities are typically sold in private placement transactions, and there currently is no active trading market for structured securities. Structured securities are based upon the movement of one or more factors, including currency exchange rates, interest rates, reference bonds and stock indices, and changes in interest rates and impact of these factors may cause significant price fluctuations. Additionally, changes in the reference instrument or security may cause the interest rate on the structured security to be reduced to zero. Certain issuers of such structured securities may be deemed to be “investment companies” as defined in the Investment Company Act. As a result, the Fund’s investment in such securities may be limited by certain investment restrictions contained in the Investment Company Act.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Subsidiary Risk</span></span>. By investing in the Cayman Subsidiary, the Fund is indirectly exposed to the risks associated with the Cayman Subsidiary’s investments. The commodity-related instruments held by the Cayman Subsidiary are generally similar to those that</div><div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">are permitted to be held by the Fund and are subject to the same risks that apply to similar investments if held directly by the Fund (see “Commodities Related Investments Risk” above). There can be no assurance that the investment objective of the Cayman Subsidiary will be achieved. The Cayman Subsidiary is not registered under the Investment Company Act and, unless otherwise noted in this prospectus, is not subject to all the investor protections of the Investment Company Act. However, the Fund wholly owns and controls the Cayman Subsidiary, and the Fund and the Cayman Subsidiary are both managed by BFA, making it unlikely that the Cayman Subsidiary will take action contrary to the interests of the Fund and its shareholders. The Board has oversight responsibility for the investment activities of the Fund, including its investment in the Cayman Subsidiary, and the Fund’s role as sole shareholder of the Cayman Subsidiary. The Cayman Subsidiary is subject to the same investment restrictions and limitations, and follows the same compliance policies and procedures, as the Fund, except that the Cayman Subsidiary may invest without limitation in commodity-related instruments. Changes in the laws of the United States and/or the Cayman Islands could result in the inability of the Fund and/or the Cayman Subsidiary to operate as described in this prospectus and the Statement of Additional Information and could adversely affect the Fund.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Tax Risk — Straddle Rules</span></span><span style="font-style: italic;">. </span>The Fund intends to elect and to qualify each year to be treated as a regulated investment company (“RIC”) under Subchapter M of the U.S. Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”). As a RIC, the Fund will not be subject to U.S. federal income tax on the portion of its net investment income and net capital gain that it distributes to shareholders, provided that it satisfies certain requirements of the Internal Revenue Code. However, the federal income tax treatment of certain aspects of the proposed operations of the Fund is not entirely clear. This includes the tax aspects of the Fund’s relative value strategy and the possible application of the “straddle” rules.</div><div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">The Fund’s investments in offsetting positions in connection with the relative value strategy are expected to be subject to the Internal Revenue Code’s “straddle” rules, which can affect the timing and character of income and gains generated by the Fund. If the straddle rules apply, the Fund may not be able to recognize all (or a portion) of any loss sustained on positions of the straddle until a later taxable year, which could increase the Fund’s investment company taxable income and/or net capital gains and cause the Fund to make taxable</div><div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">distributions to its shareholders earlier than the Fund otherwise would have. Additionally, the holding period of a straddle position that has not already been held for the long-term holding period would be terminated and begin anew once the position was no longer part of a straddle, which may cause the Fund to realize greater amounts of short-term capital gain (taxable to individual shareholders as ordinary income when distributed by the Fund) than it would have realized absent the straddle. As a result, shareholders may pay more in taxes and/or pay taxes sooner than they would have had the Fund not engaged in transactions constituting a straddle.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">U.S. Government Obligations Risk</span></span>. Certain securities in which the Fund may invest, including securities issued by certain U.S. Government agencies and U.S. Government sponsored enterprises, are not guaranteed by the U.S. Government or supported by the full faith and credit of the United States. In addition, circumstances could arise that could prevent the timely payment of interest or principal on U.S. Government obligations, such as reaching the legislative “debt ceiling.” Such non‑payment could result in losses to the Fund and substantial negative consequences for the U.S. economy and the global financial system.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">Variable and Floating Rate Instrument Risk</span></span>. Variable and floating rate securities provide for periodic adjustment in the interest rate paid on the securities. Securities with floating or variable interest rates can be less sensitive to interest rate changes than securities with fixed interest rates, but may decline in value if their coupon rates do not reset as high, or as quickly, as comparable market interest rates, and generally carry lower yields than fixed securities of the same maturity. These securities will not generally increase in value if interest rates decline. A decline in interest rates may result in a reduction in income received from variable and floating rate securities held by the Fund and may adversely affect the value of the Fund’s shares. These securities may be subject to greater illiquidity risk than other fixed income securities, meaning the absence of an active market for these securities could make it difficult for the Fund to dispose of them at any given time. Floating rate securities generally are subject to legal or contractual restrictions on resale, may trade infrequently, and their value may be impaired when the Fund needs to liquidate such loans. Benchmark interest rates may not accurately track market interest rates. Although floating rate securities are less sensitive to interest rate risk than fixed-rate securities, they are subject to credit risk and default risk, which could impair their value.</div> <div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-weight: bold;"><span style="font-style: italic;">When-Issued and Delayed Settlement Transactions Risk</span></span>. When-issued and delayed delivery securities involve the risk that the security the Fund buys will lose value prior to its delivery. There also is the risk that the security will not be issued or that the other party to the transaction will not meet its obligation. If this occurs, the Fund may lose both the investment opportunity for the assets it set aside to pay for the security and any gain in the security’s price.</div> Performance Information <div style="margin-top: 4pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">As of the date of this prospectus (the “Prospectus”), the Fund does not have a full calendar year of performance information to report. The Fund’s benchmark is the ICE BofA 3-Month U.S. Treasury Bill Index. The Bloomberg U.S. Aggregate Bond Index is relevant to the Fund because it has characteristics similar to the Fund’s investment strategy.</div> As of the date of this prospectus (the “Prospectus”), the Fund does not have a full calendar year of performance information to report. As described in the “Management” section of the Fund’s prospectus beginning on page 24, BFA has contractually agreed to waive a portion of its management fees in an amount equal to the aggregate Acquired Fund Fees and Expenses, if any, attributable to investments by the Fund in other equity and fixed-income mutual funds and exchange-traded funds (“ETFs”) advised by BFA or its affiliates, through June 30, 2028. As described in the “Management” section of the Fund’s prospectus beginning on page 24, BFA has contractually agreed to waive a portion of its management fees in an amount equal to the aggregate Acquired Fund Fees and Expenses, if any, attributable to investments by the Fund in money market funds managed by BFA or its affiliates through June 30, 2028. The agreement (with respect to either waiver) may be terminated upon 90 days’ notice by a majority of the non‑interested trustees of the Trust or by a vote of a majority of the outstanding voting securities of the Fund. Other Expenses are based on estimated amounts for the Fund’s current fiscal year.