0001761055 2024-03-21 2024-03-21 0001761055 betf:S000084031Member 2024-03-21 2024-03-21 0001761055 betf:S000084031Member betf:AssetClassRiskMember 2024-03-21 2024-03-21 0001761055 betf:S000084031Member betf:AuthorizedParticipantConcentrationRiskMember 2024-03-21 2024-03-21 0001761055 betf:S000084031Member betf:C000248199Member 2024-03-21 2024-03-21 0001761055 betf:S000084031Member betf:ConcentrationRiskMember 2024-03-21 2024-03-21 0001761055 betf:S000084031Member betf:CybersecurityRiskMember 2024-03-21 2024-03-21 0001761055 betf:S000084031Member betf:DerivativesRiskMember 2024-03-21 2024-03-21 0001761055 betf:S000084031Member betf:EquitySecuritiesRiskMember 2024-03-21 2024-03-21 0001761055 betf:S000084031Member betf:ForwardForeignCurrencyExchangeContractsMember 2024-03-21 2024-03-21 0001761055 betf:S000084031Member betf:FuturesContractRiskMember 2024-03-21 2024-03-21 0001761055 betf:S000084031Member betf:HedgingRiskMember 2024-03-21 2024-03-21 0001761055 betf:S000084031Member betf:HighPortfolioTurnoverRiskMember 2024-03-21 2024-03-21 0001761055 betf:S000084031Member betf:InfectiousIllnessRiskMember 2024-03-21 2024-03-21 0001761055 betf:S000084031Member betf:LargeCapitalizationCompaniesRiskMember 2024-03-21 2024-03-21 0001761055 betf:S000084031Member betf:LargeShareholderAndLargeScalePurchaseAndRedemptionRiskMember 2024-03-21 2024-03-21 0001761055 betf:S000084031Member betf:LeverageRiskMember 2024-03-21 2024-03-21 0001761055 betf:S000084031Member betf:ManagementRiskMember 2024-03-21 2024-03-21 0001761055 betf:S000084031Member betf:MarketRiskMember 2024-03-21 2024-03-21 0001761055 betf:S000084031Member betf:MarketTradingRiskMember 2024-03-21 2024-03-21 0001761055 betf:S000084031Member betf:MidCapitalizationCompaniesRiskMember 2024-03-21 2024-03-21 0001761055 betf:S000084031Member betf:OptionsRiskMember 2024-03-21 2024-03-21 0001761055 betf:S000084031Member rr:RiskLoseMoneyMember 2024-03-21 2024-03-21 0001761055 betf:S000084031Member rr:RiskNondiversifiedStatusMember 2024-03-21 2024-03-21 0001761055 betf:S000084031Member betf:RiskOfInvestingInTheUSMember 2024-03-21 2024-03-21 0001761055 betf:S000084031Member betf:RiskOfSwapAgreementsMember 2024-03-21 2024-03-21 0001761055 betf:S000084031Member betf:SmallFundRiskMember 2024-03-21 2024-03-21 0001761055 betf:S000084031Member betf:TaxRiskMember 2024-03-21 2024-03-21 iso4217:USD pure 0001761055 false 2024-03-21 485BPOS 2024-03-21 2024-03-21 N-1A BLACKROCK ETF TRUST 2024-03-21 BLACKROCK U.S. INDUSTRY ROTATION ETF Ticker: INRO       Stock Exchange: The Nasdaq Stock Market LLC Investment Objective <div style="margin-top: 4pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">The BlackRock U.S. Industry Rotation ETF (the “Fund”) seeks long-term capital appreciation.</div> Fees and Expenses <div style="margin-top: 4pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">The following table describes the fees and expenses that you will incur if you buy, hold and sell shares of the Fund. 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;">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 a percentage of the value of your investments) 0.0042 0 0 0.0042 0.0042 June 30, 2026 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. <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">Although your actual costs may be higher or lower, based on these assumptions, your costs would be:</div> 43 135 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</div> <div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">taxable account. These costs, which are not reflected in the Annual Fund Operating Expenses or in the Example, affect the Fund’s performance. There has been no portfolio turnover because the Fund has not commenced operations as of the date of this prospectus (the “Prospectus”).</div> Principal Investment Strategies <div style="margin-top: 4pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">Under normal circumstances, the Fund seeks to invest at least 80% of its net assets plus the amount of any borrowings for investment purposes in U.S.‑listed equity securities and derivatives that have similar economic characteristics to such securities. The Fund will normally hold common stock of those companies that fall in the industries that make up the MSCI USA Index but at times may hold common stock of those companies that fall in the industries that make up the Russell 3000 Index. The Fund may also invest in other securities, including but not limited to, exchange traded funds (“ETFs”), cash and cash equivalents, including shares of money market funds advised by BFA or its affiliates.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">The Fund is managed as a rotation strategy, dynamically adjusting its exposures around its benchmark allocation. In selecting securities for the Fund, BFA takes into consideration five potential sources of return: information about the current economic cycle, valuation, quality metrics, analyst expectation data and recent trends for each industry. BFA seeks to tilt the Fund’s portfolio into what it believes to be favorable industries and away from what it believes to be unfavorable industries.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">The Fund may use derivatives, including options, futures, swaps (including, but not limited to, total return swaps, some of which may be referred to as contracts for difference) and forward contracts, both to seek to increase the return of the Fund and to hedge (or protect) the value of its assets against adverse movements in interest rates and movements in the securities markets.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">During temporary defensive periods (i.e., in response to adverse market, economic or political conditions), the Fund may depart from its principal investment strategies and may invest up to 100% of its total assets in liquid, short-term investments, including high quality, short-term securities. The Fund may not achieve its investment objectives under these circumstances. BFA’s determination that it is temporarily unable to follow the Fund’s investment strategy or that it is impractical to do so will generally occur only in situations in which a market disruption event has occurred and where trading in the securities selected through application of the Fund’s investment strategy is extremely limited or absent.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">The Fund may lend securities representing up to one‑third of the value of the Fund’s total assets (including the value of the collateral received).</div> <div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">The Fund may engage in active and frequent trading of portfolio securities to achieve its principal investment strategies.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">The Fund is classified as non-diversified under the Investment Company Act of 1940, as amended (the ”Investment Company Act”).</div> Summary of Principal Risks 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><span style="font-weight: bold;">.</span> Equity securities are subject to changes in value, and their values may be more volatile than those of other asset classes. Common stocks generally subject their holders to more risks than preferred stocks and debt securities because common stockholders’ claims are subordinated to those of holders of preferred stocks and debt securities upon the bankruptcy of the issuer.</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;">Concentration Risk</span></span><span style="font-weight: bold;">.</span> The Fund may be susceptible to an increased risk of loss, including losses due to adverse events that affect the Fund’s investments more than the market as a whole, to the extent that the Fund’s investments are concentrated in the securities and/or other assets of a particular issuer or issuers, country, group of countries, region, market, industry, group of industries, sector, market segment or asset class.</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 U.S.</span></span> The Fund has significant exposure to United States issuers. 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;">Asset Class</span></span><span style="font-weight: bold;"><span style="font-style: italic;"></span></span><span style="font-weight: bold;"><span style="font-style: italic;"> Risk</span></span><span style="font-weight: bold;">.</span> Securities and other assets in the Fund’s portfolio may underperform in comparison to the general financial markets, a particular financial market or other asset classes.</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><span style="font-weight: bold;">. </span>Only an Authorized Participant (as defined in the <span style="font-style: italic;">Creations</span></div> <div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;"><span style="font-style: italic;">and Redemptions</span> section of the Prospectus) may engage in creation or redemption transactions directly with the Fund, and none of those Authorized Participants is obligated to engage in creation and/or redemption transactions. The Fund has a limited number of institutions that may act as Authorized Participants on an agency basis (i.e., on behalf of other market participants). To the extent that Authorized Participants exit the business or are unable to proceed with creation or redemption orders with respect to the Fund and no other Authorized Participant is able to step forward to create or redeem, Fund shares may be 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;">Cybersecurity Risk</span></span><span style="font-weight: bold;">.</span> Failures or breaches of the electronic systems of the Fund, the Fund’s adviser, distributor, and other service providers, market makers, Authorized Participants or the issuers of securities in which the Fund invests have the ability to cause disruptions, negatively impact the Fund’s business operations and/or potentially result in financial losses to the Fund and its shareholders. While the Fund has established business continuity plans and risk management systems seeking to address system breaches or failures, there are inherent limitations in such plans and systems. Furthermore, the Fund cannot control the cybersecurity plans and systems of the Fund’s service providers, market makers, Authorized Participants or issuers of securities in which 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;">Derivatives Risk</span></span><span style="font-weight: bold;">. </span>The Fund may invest in certain types of derivatives contracts, including futures, options and swaps, which can be more sensitive to changes in interest rates or to sudden fluctuations in market prices than conventional securities, which can result in greater losses to 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;">Forward Foreign Currency Exchange Contracts</span></span><span style="font-weight: bold;">.</span> Forward foreign currency exchange transactions are OTC contracts to purchase or sell a specified amount of a specified currency or multinational currency unit at a price and future date set at the time of the contract. Forward foreign currency exchange contracts do not eliminate fluctuations in the value of non‑U.S. 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;">Futures Contract Risk</span></span><span style="font-weight: bold;">.</span> Futures are standardized, exchange-traded contracts that obligate a purchaser to take delivery, and a seller to make delivery, of a</div> <div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">specific amount of an asset at a specified future date at a specified price. Unlike equities, which typically entitle the holder to a continuing ownership stake in an issuer, futures contracts normally specify a certain date for settlement in cash based on the level of the reference rate. The primary risks associated with the use of futures contracts are: (i) the imperfect correlation between the change in market value of the instruments held by the Fund and the price of the futures contract; (ii) possible lack of a liquid secondary market for a futures contract and the resulting inability to close a futures contract when desired; (iii) losses caused by unanticipated market movements, which are potentially unlimited; (iv) BFA’s inability to predict correctly the direction of prices and other economic factors; and (v) the possibility that the counterparty will default in the performance of its obligations.</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;">Hedging Risk.</span></span><span style="font-style: italic;"> </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-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 (considered by the Fund to mean higher than 100% annually) 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, as well as possible increased taxable distributions.</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;">Infectious Illness Risk</span></span><span style="font-weight: bold;">.</span> A widespread outbreak of an infectious illness, such as the COVID‑19 pandemic, may result in travel restrictions, disruption of healthcare services, prolonged quarantines, cancellations, supply chain disruptions, business closures, lower consumer demand, layoffs, ratings downgrades, defaults and other significant economic, social and political impacts. Markets may experience temporary closures, extreme volatility, severe losses, reduced liquidity and increased trading costs. Such events may adversely affect the Fund and its investments and may impact the Fund’s ability to purchase or sell securities or cause elevated tracking error and increased premiums or discounts to the Fund’s NAV. Despite the development of vaccines, the duration of the COVID‑19 pandemic and its effects cannot be predicted with certainty.</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 Purchase and Redemption Risk</span></span>. The Fund is expected to be used</div> <div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">in investment model portfolios developed by asset managers, including the Fund’s adviser or its affiliates. Such model portfolios may be used by financial advisors in the management of client accounts. When an asset manager rebalances or otherwise updates the model portfolios, the price, availability and liquidity of the Fund may be impacted by purchases and redemptions in accounts that follow such model portfolios. These purchases and redemptions could be significant.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">In addition, 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. These shareholders may also pledge or loan Fund shares (to secure financing or otherwise), which may result in the shares becoming concentrated in another party. There can be no assurance that any large shareholder or large group of shareholders would not redeem their investment or that the size of the Fund would be maintained.</div> <div style="margin-top: 12pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">Redemptions of a large number of Fund shares by shareholders, including by accounts that are following a model portfolio, may adversely affect the Fund’s liquidity and net assets. To the extent the Fund permits redemptions in cash, these redemptions may force the Fund to sell portfolio securities when it might not otherwise do so, which may negatively impact the Fund’s NAV, have a material effect on the market price of the Shares and increase the Fund’s brokerage costs and/or accelerate the realization of taxable income and/or 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. The Fund also may be required to sell its more liquid Fund investments to meet a large redemption, in which case the Fund’s remaining assets may be less liquid, more volatile, and more difficult to price. To the extent these large shareholders transact in shares on the secondary market, such transactions may account for a large percentage of the trading volume for the shares of the Fund and may, therefore, have a material upward or downward effect on the market price of the Fund shares. In addition, large purchases of Fund shares may adversely affect the Fund’s performance to the extent that the Fund is delayed in investing new cash and is required to</div> <div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">maintain a larger cash position than it ordinarily would, diluting its investment returns.</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><span style="font-weight: bold;">.</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</div> <div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">advantageous to do so to satisfy its obligations or to meet the applicable requirements of the Investment Company Act, and the rules thereunder. 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;">Large-Capitalization Companies Risk. </span></span>Large-capitalization companies may be less able than smaller capitalization companies to adapt to changing market conditions. Large-capitalization companies may be more mature and subject to more limited growth potential compared with smaller capitalization companies. During different market cycles, the performance of large-capitalization companies has trailed 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;">Management Risk</span></span><span style="font-weight: bold;">.</span> The Fund is subject to management risk, which is the risk that the investment process, techniques and analyses applied by BFA will not produce the desired results, and those securities or other financial instruments selected by BFA may result in returns that are inconsistent with the Fund’s investment objective. In addition, legislative, regulatory, or tax developments may affect the investment techniques available to BFA in connection with managing the Fund and may also adversely affect the ability of 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;">Market Risk</span></span><span style="font-weight: bold;">.</span> The Fund could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns. Local, regional or global events such as war, acts of terrorism, public health issues, recessions, the prospect or occurrence of a sovereign default or other financial crisis, or other events could have a significant impact on the Fund and its investments and could result in increased premiums or discounts to the Fund’s NAV.</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> The Fund faces numerous market trading risks, including the potential lack of an active market for Fund shares, losses from trading in secondary markets, losses due to ineffective currency hedges, periods of high volatility and disruptions in the creation/redemption process.</div> <div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">Unlike some ETFs that track specific indexes, the Fund does not seek to replicate the performance of a specified index. Index-based ETFs have generally traded at prices that closely correspond to NAV per share. Given the high level of transparency of the Fund’s holdings, BFA believes that the trading experience of the Fund should be similar to that of index-based ETFs. However, ETFs that do not seek to replicate the performance of a specified index have a limited trading history and, therefore, there can be no assurance as to whether, and/or the extent to which, the Fund’s shares will trade at premiums or discounts to NAV. <span style="font-weight: bold;">ANY OF THESE FACTORS, AMONG OTHERS, MAY LEAD TO THE FUND’S SHARES TRADING AT A PREMIUM OR DISCOUNT TO NAV</span>.</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;">Mid-Capitalization Companies Risk.</span></span> Compared to large-capitalization companies, mid-capitalization companies may be less stable and more susceptible to adverse developments. In addition, the securities of mid-capitalization companies may be more volatile and less liquid than those of large-capitalization 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;">Non-Diversification Risk.</span></span> The Fund is classified as “non-diversified.” This means that, compared with other funds that are classified as “diversified,” the Fund invests a greater percentage of its assets in securities issued by or representing a small number of issuers. As a result, the Fund’s performance may depend on the performance of a small number of issuers.</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;">Options Risk</span></span><span style="font-weight: bold;">.</span> An option is an agreement that, for a premium payment or fee, gives the option holder (the purchaser) the right but not the obligation to buy (a “call option”) or sell (a “put option”) the underlying asset (or settle for cash in an amount based on an underlying asset, rate, or index) at a specified price (the “exercise price”) during a period of time or on a specified date. Investments in options are considered speculative. When the Fund purchases an option, it may lose the total premium paid for it if the price of the underlying security or other assets decreased, remained the same or failed to increase to a level at or beyond the exercise price (in the case of a call option) or increased, remained the same or failed to decrease to a level at or below the exercise price (in the case of a put option). If a put or call option purchased by the Fund were permitted to expire without being sold or exercised, its premium would represent a loss to the Fund. To the extent that the Fund writes or sells an option, if the decline or increase in the underlying asset is significantly below</div> <div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">or above the exercise price of the written option, the Fund could experience a substantial loss.</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 Swap Agreements</span></span><span style="font-weight: bold;">.</span> A swap is a two‑party contract that generally obligates each counterparty to exchange periodic payments based on a pre‑determined underlying investment or notional amount and to exchange collateral to secure the obligations of each counterparty. Swaps may be leveraged and are subject to counterparty risk, credit risk and pricing risk. Swaps may be subject to illiquidity risk, and it may not be possible for the Fund to liquidate a swap position at an advantageous time or price, which may result in significant losses. Certain standardized interest rate and credit default swaps are required to be traded on an exchange or trading platform and centrally cleared. Most other swaps are entered into a negotiated, bi‑lateral basis and traded in the over‑the‑counter market. Swaps are subject to bi‑lateral variation margin. The Fund is required by financial regulators to post initial margin in connection with trading over‑the‑counter swaps. These requirements may raise the costs for the Fund’s investment in swaps.</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><span style="font-weight: bold;">.</span> When the Fund’s size is small, the Fund may experience low trading volume and wide bid/ask spreads. In addition, the Fund may face the risk of being delisted if the Fund does not meet certain conditions of the listing exchange. Any resulting liquidation of the Fund could cause the Fund to incur 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;">Tax Risk</span></span><span style="font-weight: bold;">.</span> The Fund invests in derivatives. The federal income tax treatment of a derivative may not be as favorable as a direct investment in an underlying asset. Derivatives may produce taxable income and taxable realized gain. Derivatives may adversely affect the timing, character and amount of income the Fund realizes from its investments. As a result, a larger portion of the Fund’s distributions may be treated as ordinary income rather than as capital gains. In addition, certain derivatives are subject to mark‑to‑market or straddle provisions of the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”). If such provisions are applicable, there could be an increase (or decrease) in the amount of taxable dividends paid by the Fund. Income from swaps is generally taxable. In addition, the tax treatment of certain derivatives, such as swaps, is unsettled and may be subject to future legislation, regulation or administrative pronouncements issued by the U.S. Internal Revenue Service (“IRS”).</div> Performance Information <div style="margin-top: 4pt; margin-bottom: 0pt; font-size: 10pt; font-family: arial;">Because the Fund has not commenced operations as of the date of this Prospectus, it does not have performance information an investor would find useful in evaluating the risks of investing in the Fund. The Fund’s benchmark is the MSCI USA Index.</div> Because the Fund has not commenced operations as of the date of this Prospectus, it does not have performance information an investor would find useful in evaluating the risks of investing in the Fund. As described in the “Management” section of the Fund’s prospectus beginning on page 16, 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 funds advised by BFA or its affiliates through June 30, 2026. As described in the “Management” section of the Fund’s prospectus beginning on page 16, BFA has contractually agreed to waive its management fees by the amount of investment advisory fees the Fund pays to BFA indirectly through its investment in money market funds managed by BFA or its affiliates through June 30, 2026. 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.