ETF Terms,
Defined.

A 2x daily ETF seeks a daily return equal to two times (200%) the daily return of a reference index, security, or stock, before fees and financing costs. The 2x objective is measured over a single trading day and reset each day; over multiple days, compounding causes actual returns to depend on the path of daily returns, not only the reference's total move. These funds are designed for short-term, actively monitored positions.

The average interest rate paid by the bonds in the fund, weighted by how much of each bond the fund holds.

Authorized Participants, or APs, are typically large financial institutions, often broker-dealers, that have agreements allowing them to create and redeem ETF shares directly with the fund in large blocks. APs participate in the ETF creation and redemption process and may help reduce differences between an ETF’s market price and its net asset value, or NAV.

Assets Under Management, or AUM, refers to the total value of the assets held by a fund. It is commonly used as a measure of fund size. AUM does not by itself determine an ETF’s trading liquidity.

Average Daily Volume, or ADV, is the average number of shares traded per day over a specified period. ADV reflects historical secondary-market trading activity. An ETF’s overall liquidity may also be influenced by the liquidity of its underlying holdings.

A basis point, abbreviated as bps, is equal to 0.01%, or one one-hundredth of one percentage point. Basis points are commonly used in finance to describe changes in interest rates, bond yields, expense ratios, and other metrics expressed as percentages. For example, a change from 0.20% to 0.45% is a change of 25 basis points.

The bid is the highest price a buyer is willing to pay for shares, and the ask is the lowest price a seller is willing to accept. The difference between those two prices is the bid-ask spread. Wider spreads generally indicate higher transaction costs. Spreads may change based on market conditions, trading volume, and the liquidity of the ETF’s underlying holdings.

A buffer is a feature of certain defined outcome ETFs that is designed to reduce the effect of losses in a reference asset over a stated outcome period, up to a specified percentage. For example, a 15% buffer is generally designed to absorb the first 15% of losses of the reference asset during the outcome period, before losses are borne by the fund. A buffer is generally achieved through the use of options and is typically accompanied by a limit on upside returns.

Credit quality shows the mix of credit ratings across the fund's bonds, reflecting the average ability of issuers to repay their debt.

Credit ratings measure an issuer's ability to repay its debt, from highest to lowest: AAA, AA, A, BBB (investment grade), then BB, B, CCC, CC, C, and D (below investment grade). U.S. Treasury obligations are backed by the U.S. government.

Compounding applies naturally to all investments: returns earned in one period are reinvested and become the base for future returns. In products that reset their exposure daily — such as leveraged or inverse ETFs — compounding can cause multi-period returns to differ materially from what investors might expect by simply multiplying the stated daily return. In volatile markets, this divergence can be significant. Understanding compounding is essential before holding any daily-reset product for more than one trading session.

A Creation Unit is a large block of ETF shares that can be created or redeemed directly with the fund’s issuer by eligible institutional counterparties, typically Authorized Participants. The creation-unit mechanism is central to how ETFs maintain pricing discipline — it allows APs to arbitrage away premiums and discounts by assembling or disassembling the underlying basket in exchange for ETF shares at NAV.

In the creation and redemption process, an Authorized Participant delivers a specified basket of securities, cash, or both to the fund in exchange for a block of ETF shares, or returns a block of ETF shares to the fund in exchange for a basket of securities, cash, or both. This process generally takes place in large blocks called Creation Units. Many ETFs use in-kind transactions for creations and redemptions.

If the S&P 500 returns 30% but the cap is 15%, the fund returns 15%. The cap exists because the fund sells call options to finance put options (which create the buffer). Higher buffers = lower caps, all else equal. Cap rates reset each outcome period and vary with options pricing and market volatility.

Capital expenditure, or CapEx, refers to funds a company spends to acquire, upgrade, or maintain physical assets — including buildings, equipment, data centers, and specialized hardware.

Price as of date’s close.

The fund's net asset value per share on the date the distribution was declared.

Income from the interest and dividends earned by the fund's holdings and paid out to shareholders.

A discount occurs when an ETF’s market price is below its NAV. Discounts may occur for a variety of reasons, including market volatility, trading conditions, or differences between the trading hours of the ETF and its underlying holdings.

Duration estimates how much the value of a bond or bond fund may change in response to changes in interest rates. In general, higher duration indicates greater sensitivity to interest rate changes. For example, a duration of 5 years generally indicates that the value of the portfolio may change by approximately 5% for a 1% change in interest rates, all else equal. Duration is different from maturity.

A daily-reset strategy is designed to deliver its stated multiple or inverse result relative to the reference asset for one trading day at a time. At the end of each day, exposure is reset to match the stated leverage ratio going into the next session. Over periods longer than one day, returns can diverge substantially from simply multiplying the cumulative return of the reference asset — particularly in volatile or directionless markets. These products are designed for sophisticated investors with short holding horizons.

Distribution yield is generally calculated by annualizing distributions paid by a fund over a stated period, often the prior 12 months, and dividing that amount by the fund’s current NAV or market price, depending on the methodology used. Distribution yield reflects past distributions and may include amounts that do not represent net investment income, such as return of capital.

Downside before buffer indicates how far the reference asset needs to fall from the start of the outcome period before the buffer protection begins to apply. When the reference asset return is positive during the outcome period, this value is generally 0% because the reference asset has not entered negative territory. When the reference asset is negative but within the buffer range, this value reflects how much further it would need to fall before losses pass through to the fund.

Amount of time until the option structure expires.

A deep buffer is a type of defined outcome strategy in which the downside protection does not start at zero. Instead, the investor bears the first portion of losses, and the buffer absorbs losses within a specified range beyond that point. For example, a 30% deep buffer on SPY may be designed to absorb losses between -5% and -35% over the outcome period, meaning the investor is exposed to the first 5% of downside and any losses beyond -35%. Deep buffers generally offer a wider range of protection than standard buffers, but at the cost of absorbing some initial loss.

A derivative is a kind of financial contract between two or more parties, the value of which fluctuates based on the price of one or more underlying assets. Traders can purchase these agreements and utilize them to hedge against risk, speculate on the asset’s movement, or leverage a position.

Effective duration is a measure of how sensitive the fund's price is to changes in interest rates. A duration of 2 years means the price would be expected to move about 2% for every 1% change in rates.

The expected average time until the fund's bonds are repaid, adjusted for features like early redemption or prepayment.

The expense ratio is the annual rate of a fund’s operating expenses, expressed as a percentage of average net assets. Fund expenses are reflected in the fund’s NAV.

The MSCI Emerging Markets Index that we will set the structured outcomes on. This is the price that the buffer starts on.

The MSCI EAFE Index that we will set the structured outcomes on. This is the price that the buffer starts on.

Extreme ultraviolet (EUV) lithography is a manufacturing step that uses 13.5-nanometer light to print the finest circuit patterns on leading-edge semiconductor wafers. It is a critical bottleneck in producing advanced logic and memory chips, and the equipment and supply chain around it are highly concentrated. It is included here as the investment theme of the Corgi Lithography & Semiconductor Photonics ETF (EUV).

FLEX Options are exchange-listed options contracts with flexible terms, including customizable expiration dates, strike prices, and exercise styles. Unlike standard listed options, they can be tailored more precisely to match a fund’s specific outcome-period requirements. They are frequently used in buffer and defined-outcome ETF structures because they allow portfolio managers to engineer specific combinations of downside protection and upside participation that would be difficult to replicate with standard-term options.

FTSE (administered by FTSE Fixed Income LLC) is a provider of market indexes, including the U.S. Treasury, Treasury Bill, investment-grade corporate, and high-yield bond indexes tracked by certain funds. A fund is not sponsored, endorsed, sold, or promoted by FTSE Fixed Income LLC or its affiliates, and FTSE Fixed Income LLC makes no representation regarding the advisability of investing in the fund or the ability of an index to track general market performance. An investment cannot be made directly in an index or average. All indexes and averages are unmanaged.

Shows the breakdown of the fund's bonds by the country where each issuer is based.

A corporate bond rated below investment grade (BB+ or lower) that pays a higher coupon to compensate for greater credit risk.

Shows how the fund's corporate bonds are divided across different business sectors.

A corporate bond rated BBB- / Baa3 or higher, indicating relatively low credit risk and a strong likelihood of repayment.

Intraday NAV, sometimes referred to as iNAV or intraday indicative value, is an estimate of a fund’s value during the trading day based on available market information. Official NAV is generally calculated once each business day after market close. For ETFs that hold securities trading in markets that are closed during U.S. trading hours, intraday estimates may be less reflective of current portfolio value.

The iShares MSCI EAFE ETF (EFA) seeks to track the investment results of the MSCI EAFE Index, which measures the equity market performance of developed markets outside of the U.S. and Canada. The Fund is not affiliated with, sponsored, endorsed, sold or promoted by iShares® or its affiliates. An investment cannot be made directly in an index or average. All indexes and averages are unmanaged.

The iShares MSCI Emerging Markets ETF (EEM) seeks to track the investment results of the MSCI Emerging Markets Index, which measures equity market performance in global emerging markets. The Fund is not affiliated with, sponsored, endorsed, sold or promoted by iShares® or its affiliates. An investment cannot be made directly in an index or average. All indexes and averages are unmanaged.

The iShares Russell 2000 ETF (IWM) seeks to track the investment results of the Russell 2000® Index, which measures the performance of the small-cap segment of the U.S. equity market. The Fund is not affiliated with, sponsored, endorsed, sold or promoted by iShares® or its affiliates. An investment cannot be made directly in an index or average. All indexes and averages are unmanaged.

The Russell 2000 Index that we will set the structured outcomes on. This is the price that the buffer starts on.

Long-term capital gains are profits from selling investments held for more than one year, passed on to shareholders.

ETF liquidity has two layers: secondary market liquidity (how actively the ETF itself trades, reflected in bid-ask spread) and underlying liquidity (how liquid the holdings are). An ETF can appear liquid on the surface but face challenges if its holdings trade infrequently — this matters in stress scenarios when APs need to create or redeem large blocks.

A Lead Market Maker is the designated trading firm responsible for maintaining active two-sided quotes for an ETF on an exchange. Unlike general market makers who may quote many securities opportunistically, an LMM has a formal arrangement with the exchange or fund issuer to help ensure orderly trading. The LMM plays a key role in supporting liquidity, especially during the early life of a fund or in times of market stress, and can help maintain tighter spreads and more continuous price discovery.

A leveraged ETF uses derivatives — commonly total-return swaps — to seek a daily return that is a fixed multiple (for example, 2x) of the daily return of a reference index, security, or asset. The stated multiple applies to a single trading day; because exposure is reset daily, returns over periods longer than one day can differ substantially from the multiple times the reference's return over the same period, particularly in volatile or trending markets. Leveraged ETFs are intended for short holding periods and active monitoring.

Shows how the fund's bonds are spread across different ranges of time remaining until they come due.

The median bid-ask spread is the midpoint value of quoted bid-ask spreads observed over a stated period, often 30 calendar days. It is intended to provide a standardized measure of an ETF’s typical trading spread over that period.

Market makers provide two-sided quotes — a price at which they are willing to buy and a price at which they are willing to sell — throughout the trading day. By doing so, they help ensure that investors can generally buy or sell shares at any time without needing a specific counterparty. Competition among market makers tends to narrow bid-ask spreads and improve price discovery over time.

Unlike mutual funds, which transact at NAV calculated after market close, ETFs trade continuously on exchanges. The market price is set by the interaction of buyers and sellers and can be slightly above or below NAV depending on supply, demand, and trading conditions. For liquid ETFs, market price typically stays very close to NAV, with any meaningful deviation usually corrected quickly through the arbitrage actions of Authorized Participants and market makers.

The Nasdaq-100° is a stock market index tracking the stock performance of 100 of the largest domestic and international non-financial companies listed on The Nasdaq Stock. The Nasdaq-100° Price Return Index (QQQ™) is an exchange-traded unit investment trust that invests in as many of the stocks in the Nasdaq-100° Index as is practicable. The Fund is not affiliated with sponsored, endorsed, sold or promoted by Invesco QQQ Trust (QQQ), Nasdaq™ or their affiliates. An investment cannot be made directly in an index or average. All indexes and averages are unmanaged.

Net Asset Value, or NAV, is calculated by subtracting a fund’s liabilities from its total assets and dividing that amount by the number of shares outstanding. NAV is typically calculated once each business day. Because ETFs trade on an exchange throughout the trading day, market price may differ from NAV.

Buffer ETFs are structured around a specific outcome period — typically one year — during which the buffer and cap are fixed. Investors who buy mid-period receive a different effective buffer and cap based on elapsed time and market movement. At period end, the fund resets with new parameters set by the options market.

A premium occurs when an ETF’s market price is above its NAV. Premiums may occur for a variety of reasons, including market volatility, trading conditions, or differences between the trading hours of the ETF and its underlying holdings.

Premium/discount history shows how an ETF’s market price has compared to its NAV over time. It is typically presented using end-of-day data and may help illustrate how closely market price has tracked NAV.

In structured and defined-outcome strategies, a participation rate defines how much of the reference asset’s upside the investor captures. A 100% participation rate means the investor receives the full positive return (up to any applicable cap). A rate below 100% means only a portion of gains is captured. Participation rates are typically set at the start of an outcome period and are influenced by current options pricing, the size of any buffer, and market conditions.

For most buy-and-hold investments, the path of prices matters less than the beginning and ending values. But for products with daily leverage resets, options overlays, or other dynamic features, the sequence and magnitude of intermediate price moves can have a significant impact on outcomes. In volatile, range-bound markets, path dependency can substantially reduce returns even when the reference asset ends near where it started. Understanding this concept is important for any investor using daily-reset or options-based strategies.

Will be 0 as it is always at the start of the period.

Photonics is the science and technology of generating, guiding, and detecting light (photons), with applications spanning semiconductor manufacturing, optical networking, sensing, and displays. In semiconductors it underpins lithography and advanced packaging. It is included here as part of the theme of the Corgi Lithography & Semiconductor Photonics ETF (EUV).

The Nasdaq-100 Index that we will set the structured outcomes on. This is the price that the buffer starts on.

Quantum computing uses quantum-mechanical effects such as superposition and entanglement to perform certain classes of computation that are impractical for classical computers. It is an early-stage, research-intensive field spanning hardware, error correction, and software, and companies pursuing it vary widely in maturity. It is included here as the investment theme of the Corgi Quantum Computing ETF (CQTM).

Indices reconstitute on scheduled dates — adding securities, removing others, adjusting weights. The ETF must then trade to match, generating transaction costs and potential capital gains. How an ETF manages rebalancing efficiency is a measure of its operational quality.

Reconstitution is distinct from rebalancing: while rebalancing adjusts the weights of existing holdings, reconstitution changes the composition of the index itself — adding newly eligible securities and removing those that no longer qualify. Reconstitution events can generate significant trading activity as funds tracking the index must buy new entrants and sell removals. This creates predictable demand signals that can temporarily affect the prices of securities flowing in and out of major indices.

The underlying market index that the ETF tracks.

Remaining buffer reflects how much of the fund’s stated buffer is still available to absorb future losses in the reference asset. If the reference asset has not declined during the outcome period, the remaining buffer is generally equal to the starting buffer. As the reference asset declines and the buffer absorbs losses, the remaining buffer decreases. An investor purchasing mid-period should evaluate remaining buffer to understand the protection available for the rest of the current outcome period.

Remaining cap represents the upside potential still available within the current outcome period. As the fund’s return increases toward the starting cap, the remaining cap decreases. An investor purchasing mid-period should evaluate remaining cap to understand the maximum upside available for the remainder of the outcome period. Once the fund’s return reaches the starting cap, remaining cap is effectively zero.

How long until the option structure expires.

Short-term capital gains are profits from selling investments held for one year or less, passed on to shareholders.

The 30-Day SEC Yield is a standardized yield measure calculated under SEC rules. It is based on a fund’s net investment income over the prior 30 days, annualized, and net of expenses. Because the calculation is standardized, it can be used to compare funds on a consistent basis.

The S&P 500 Index is a stock market index tracking the stock performance of 500 of the largest companies listed on stock exchanges in the United States.

How far the S&P 500 would need to fall from its current level before the downside buffer ends. A value of N/A is shown if the S&P 500 Price Index falls below the buffer. Note that this is not a reflection of how much of the buffer has been used, only how far the S&P is away from the lowest level of the buffer. To understand how much buffer remains, look at “Remaining Buffer”.

The SPDR® S&P 500* ETF Trust (SPY) gives investors cost-efficient, highly liquid exposure to the S&P 500® Index—providing access to 500 of the largest publicly traded US firms. The Fund is not affiliated with sponsored, endorsed, sold or promoted by SPDR®. An investment cannot be made directly in an index or average. All indexes and averages are unmanaged.

The S&P 500 Price Index that we will set the structured outcomes on. This is the price that the buffer starts on.

The S&P 500 Index that we will set the structured outcomes on. This is the price that the buffer starts on.

The Sharpe Ratio compares an investment’s return above a risk-free rate to its standard deviation (volatility). In general, a higher ratio suggests more return per unit of risk taken. It is most useful as a comparative tool when evaluating strategies with similar investment objectives over the same time period. A high Sharpe Ratio in one market environment may not persist — it should always be considered alongside other risk and return metrics.

A Special Purpose Vehicle, or SPV, is a legally separate entity created for a narrow, defined purpose. In the ETF context, SPVs can be used to warehouse illiquid or hard-to-hold assets — such as shares of a private company, direct lending positions, or bespoke derivatives — that don’t fit neatly into a standard fund wrapper, allowing the ETF to gain exposure without directly holding the underlying on its balance sheet.

A single-stock leveraged ETF seeks a daily return equal to a multiple (for example, 2x) of the daily return of one underlying company's stock, typically through a total-return swap on that stock. Unlike a diversified fund, its performance is tied to a single issuer, so company-specific events are not diversified away. As with any daily-reset leveraged product, returns compound daily and can diverge from the stated multiple over holding periods longer than one day.

The total amount paid per share on this date, combining income and any capital gains.

Tracking error measures the variability of the difference between an ETF’s returns and the returns of its benchmark index over time. It is commonly expressed as the standard deviation of return differences. Tracking difference refers to the difference between the ETF’s return and the benchmark’s return over a stated period.

Total return measures performance by taking into account changes in share price or NAV, together with the effect of distributions, assuming reinvestment unless otherwise stated.

A derivative contract in which one party pays the total return of a reference asset to a counterparty in exchange for a financing rate, used by leveraged ETFs to achieve daily magnified exposure.

Tracking difference is the total return of the ETF minus the total return of its reference index over a specified period. It captures the net effect of fees, trading costs, cash drag, securities lending income, tax treatment, and portfolio management decisions. Unlike tracking error — which measures consistency — tracking difference measures magnitude. A fund can have low tracking error but still meaningfully underperform its index over time. Both metrics are worth examining when evaluating an index fund or ETF.

A short-term U.S. government debt security that matures in one year or less, sold at a discount and redeemed at face value.

A U.S. government debt security that pays a fixed coupon and matures in more than one year, backed by the full faith and credit of the U.S. Treasury.

A thematic ETF holds companies selected for their exposure to a particular structural trend — such as semiconductors, quantum computing, or robotics — rather than tracking a broad, market-cap-weighted index. Holdings are concentrated around the theme, which can mean higher concentration and sector-specific risk than a diversified market fund. Thematic funds are commonly used to express a view on where an industry or technology is heading.

In buffer and defined-outcome strategies, an upside cap limits the gain an investor receives if the underlying asset appreciates significantly. If the reference asset rises by more than the cap, the investor receives the cap return, not the full gain. The cap exists because the strategy sells call options to fund the purchase of put options that provide downside protection. Caps are determined at the start of each outcome period and fluctuate based on options pricing, volatility, and the size of the buffer.

US small-cap stocks are shares of companies with market capitalizations generally ranging from roughly $300 million to $2 billion. The Russell 2000® Index is the most widely used benchmark for the U.S. small-cap segment, comprising the smallest 2,000 companies in the Russell 3000® Index. Small-cap companies tend to be more domestically focused, earlier in their growth trajectory, and more sensitive to U.S. economic conditions than their large-cap counterparts. While small-cap equities have historically offered higher long-term return potential, they also exhibit greater volatility, lower liquidity, and wider bid-ask spreads. Sector composition differs meaningfully from large-cap indexes, with greater weight in financials, industrials, and healthcare relative to the technology-heavy S&P 500.

Annualized volatility — the standard deviation of daily returns scaled to a year — quantifies return variability. Higher volatility = larger swings in both directions. Volatility is neither inherently good nor bad; what matters is volatility relative to expected return (see: Sharpe ratio) and to the investor’s time horizon.

Volatility decay describes how a daily-reset leveraged or inverse fund can lose value over time when its reference asset moves up and down without a sustained trend. Because leverage is reset each day, a gain and an equal-percentage loss do not offset to breakeven, so a volatile but flat reference can still produce negative fund returns over multiple days. The effect grows with the reference's volatility and with the holding period.

WAM is not the same as duration — duration accounts for coupon payments and time value; WAM does not. Two funds with the same WAM can have very different interest rate sensitivity depending on their coupon structures.

Yield to maturity is the total yearly return expected if the fund's bonds are held until they mature and all scheduled payments are made.

Yield to worst, or YTW, is the lowest yield a bond or bond portfolio can produce assuming the issuer exercises any available call, prepayment, or similar option at the earliest permitted date, without defaulting. It is commonly used as a conservative yield measure for callable fixed-income securities.