Fund Description

The fund invests at least 80% of total assets (net assets plus any investment borrowings, measured at purchase) in equities, mainly common stocks. Although it may invest across market caps and countries, it invests primarily in large U.S. companies. It uses proprietary, research-based quantitative models focused on fundamental factors such as valuation, momentum, profitability, and earnings and sales growth, with dynamic factor weights by industry, to construct a portfolio that strives to maximize returns while maintaining a risk profile similar to the fund's benchmark index. It may adjust models over time, consider financially material ESG factors, use derivatives including total return swaps that may be used to seek to enhance potential returns as well as for hedging, and put options for hedging and volatility management, and lend securities up to one-third of total assets.