Here it is - You have to look for it in the boilerplate because itâs at the trust level and applies all ETFs in the trust, rather than written in every section of every ETF.
Iâll be happy to answer any more specific questions if you have any.
Page 5 of the PDF, page 3 of the document:
A Precautionary Note to Investors Regarding Dramatic
Index Movement. Each Bull Fund seeks daily exposure to its
target index equal to 300% of its net assets while each Bear Fund
seeks daily exposure to its target index equal to â300% of its net
assets. As a consequence, a Fund could theoretically lose an
amount greater than its net assets in the event of a movement of
its target index in excess of 33% in a direction adverse to the Fund
(meaning a decline in the value of the target index of a Bull Fund
and a gain in the value of the target index for a Bear Fund). In
such event, a Fundâs trading counterparties would suffer losses. As
consideration for agreeing to provide exposure to a Fund in light
of such risks, a Fund may have to accept certain limits on daily
gains in the event of a dramatic move in the Fundâs target index in
a direction favorable to the Fund. As a consequence, a Fundâs
portfoliomay not be responsive to indexmovements beneficial to
the Fund beyond a certain point. For example, if a Bull Fundâs
target indexwere to gain35%, theBull Fundmight be limited to
a daily gain of 90% rather 105%, which is 300% of the index
gain of 35%. Rafferty does not expect a Fundâs gains to be limited
unless the movement in the Fundâs target index exceeds 25%.
Rafferty cannot be assured of similarly limiting a Fundâs losses. In
the event of index movement which results in such a limit on
gains, including an intra-daymove, a Fundâs performance may be
inconsistent with its stated investment objective.
