ETFS Russell 2000 US Small Cap GO UCITS ETF FUND SUPPLEMENT No.3 A sub-fund of GO UCITS ETF Solutions Plc, an umbrella investment company with variable capital and segregated liability between its Funds incorporated with limited liability in Ireland under registration number 459936. The Company and the Directors, whose names appear on page 11 of the Prospectus, are the persons responsible for the information contained in this Fund Supplement and accept responsibility accordingly. To the best of the knowledge and belief of the Company and the Directors (who have taken all reasonable care to ensure that such is the case), the information contained in this document is in accordance with the facts and does not omit anything likely to affect the import of the information. This Fund Supplement contains information relating to the ETFS Russell 2000 US Small Cap GO UCITS ETF(the Fund ) which is a separate Fund of GO UCITS ETF Solutions Plc (the Company ), an umbrella fund with segregated liability between its Funds. This Fund Supplement forms part of and should be read in the context of, and together with, the Company s Prospectus dated 25 March 2015 and any other applicable addenda. Investors should also refer to the Company s latest published annual report and audited financial statements (if any) and, if published after such report, a copy of the latest semi-annual report and unaudited financial statements. Capitalised expressions used and not defined in this Fund Supplement shall bear the meanings as set out in the Prospectus. If you are in any doubt about the action to be taken or the contents of this Fund Supplement, please consult your stockbroker, bank manager, lawyer, accountant or other independent professional adviser who, if such advice is taken in the United Kingdom, is an organisation or firm authorised or exempted pursuant to the FSMA. Investors should note that this Fund will pursue its investment policy principally through investment in FDIs. Potential investors should consider the risk factors set out in the Prospectus and in this Fund Supplement before investing in this Fund. An investment in the Fund involves certain risks and may only be suitable for persons who are able to assume the risk of losing their entire investment. The Prospectus sets forth information on investment risk, management and administration of the Fund, valuation, subscription, redemption and transfer procedures and details of fees and expenses payable by the Fund and should be read subject to the information herein. The date of this Fund Supplement is 25 March 2015.
INVESTMENT OBJECTIVE The investment objective of the ETFS Russell 2000 US Small Cap GO UCITS ETF (the Fund ) is to track the performance of the Russell 2000 Index (the Index ). INVESTMENT POLICY In order to achieve this investment objective, the Fund will seek to gain exposure to all of the component securities of the Index in substantially the same weighting as the Index. This will be done primarily through the use of OTC Swaps using the following model: Unfunded swaps: The Investment Manager enters into an OTC Swap with a counterparty which will provide exposure to the performance of the Index. Under the terms of the unfunded OTC Swap, cash received from the subscription of Shares is retained by the Fund. As a result, the Fund holds substantially all of its Net Asset Value in cash. For the purposes of efficient portfolio management, the Investment Manager shall seek to employ an effective cash management policy by managing such cash (and any cash collateral received from the counterparty) through investments in money market funds and/or entering into reverse repurchase agreements. The Investment Manager may also, where it deems appropriate or necessary, gain exposure to the Index through direct acquisition of the components of the Index. TRACKING ERROR The estimated anticipated tracking error for the Fund in normal market conditions is 0.0020% (annualised). INDEX DESCRIPTION The Index measures the performance of the small-capitalisation segment of the U.S. equity universe. The Index is a subset of the Russell 3000 Index representing approximately 8% of the total market capitalisation of that index. It includes approximately 2000 of the smallest securities based on a combination of their market capitalisation and current index membership.the Index is constructed to provide a comprehensive and unbiased small-capitalisation barometer and is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-cap opportunity set. U.S. incorporated companies are eligible for inclusion in the Russell U.S. indices. Rebalancing frequency Annual reconstitution is the process by which all Russell Indexes are completely rebuilt. Reconstitution is a vital part of the creation of a benchmark that accurately represents a particular market segment. Companies may get bigger or smaller over time, or periodically undergo changes in their style characteristics. Reconstitution ensures that companies continue to be correctly represented in the appropriate Russell Indexes. On the last trading day in May each year, all eligible securities are ranked by their total market capitalisation. Reconstitution occurs on the last Friday in June. However, at times this date is too proximal to exchange closures and abbreviated exchange trading schedules when market liquidity is exceptionally low. In order to ensure proper liquidity in the markets, when the last Friday in June falls on the 29 th or 30 th, reconstitution will occur on the preceding Friday. A full calendar for reconstitution is made available each spring. 2
Further Information The index rules contain further details relating to the index rebalancing and reweighting including the circumstances under which extraordinary adjustments may be made. This is a summary of the principal features of the Index and does not purport to be an exhaustive description. Further information on the composition of the Index, including the rules and calculation methodology governing the Index, can be found in the Russell U.S. Equity Indexes: Construction and Methodology and other informational materials which are available at http://www.russell.com/indexes/ (as of the date of this Prospectus). ISIN Bloomberg Reuters Index Russell 2000 Index N/A RU20N30U.RUTNU PROFILE OF A TYPICAL INVESTOR Only Authorised Participants may invest for ETF Shares in the Fund directly with the Company. All other investors may acquire or purchase ETF Shares only through the secondary market. It is expected that investors in the Fund will be informed investors who have taken professional advice, understand the risks associated with an investment in the Fund, are able to bear the risk of losing their investment and who can accept the levels of volatility associated with the relevant equity markets (or sectors thereof) to which the Fund has exposure. Use of Relative value-at-risk ( VaR ) RISK MANAGEMENT The Investment Manager uses a risk management technique known as relative value-at-risk ( VaR ) to assess the market risk of the Fund. Relative VaR is the VaR of a Fund divided by the VaR of the Index tracked or replicated by it, allowing the global exposure of a Fund to be compared, and limited by reference to, the global exposure of the Index. The Central Bank requires that the VaR of a Fund must not exceed twice the VaR of its benchmark Index. It is not expected that the relative VaR of the portfolio of the Fund shall exceed the VaR of the Index. The one-tailed confidence level of the Fund shall be 99% and the holding period shall be one day. The historical observation period will not be less than one year, however, a shorter observation period may be used when appropriate, (e.g. as a result of significant recent changes in price volatility). The Central Bank requires that UCITS using VaR approaches to risk management disclose the expected level to which the Fund will be leveraged and, where relevant, the possibility that higher leverage levels may apply. For the purpose of this disclosure, it is important to note that the Central Bank requires that leverage be calculated as the full sum of the notionals of all derivatives held by the Fund. Leverage calculated in this manner is therefore a reflection of the sum of all notional market exposures achieved through the use of derivative instruments (primarily OTC Swaps) held by the Fund as a percentage of the Fund s Net Asset Value. For the Fund, the notional market exposure takes into account not only the notional value of the relevant derivative instrument, but also the current mark-to-market value of the derivative instrument which reflects the current mark-to-market value of the underlying reference asset (i.e. the index). On an intramonth basis, the TER and other expenses paid out of the assets of the Fund will steadily reduce the Net Asset Value of the Fund versus the value of the derivative instrument until the derivative instrument is next reset against the Net Asset Value of the Fund (this is done monthly). Nonetheless, and on the basis that the 3
expected level of leverage is calculated to the nearest percentile, it is not expected that the levels of leverage for the Fund (calculated based upon the full sum of notionals as described above) will exceed 100% of the Fund s Net Asset Value or that higher levels of leverage will apply. RISK FACTORS Investors are specifically referred both to the section headed Risk Factors and to Schedule II in the Prospectus and should consider the following risk factors prior to investing in the Fund. 1. An investment in the Fund exposes an investor to the market risks associated with fluctuations in the Index and the value of securities comprised in the Index. The value of the Index can increase as well as decrease and the value of an investment will fluctuate accordingly. Investors can lose all of the capital invested in the Fund. 2. There is no guarantee that the Fund s investment objective will be achieved. No asset or financial instrument will allow automatic and continuous replication of the Index. In addition, any re-weighting of the Index may result in transaction and/or other costs. Likewise, the Fund may not be able to replicate perfectly the performance of the Index, because of the temporary unavailability of certain stocks comprising the Index or because of exceptional circumstances triggering distortions in the weightings of the Index, especially if trading in stocks comprising the Index is suspended or interrupted temporarily. THE SHARES As at the date of this Fund Supplement, the Fund only has a single class of Shares which are ETF Shares as detailed in the table below. Additional classes of Shares may be added in the future in accordance with the requirements of the Central Bank. Shares are freely transferable subject to and in accordance with the provisions of the Articles and as set out in the Prospectus. The Directors have resolved that Shares in the Fund will be issued in uncertificated form. Shares will be in registered form and no temporary documents of title will be issued. Shares in the Fund will be issued in Dematerialised Form in one or more Recognised Clearing and Settlement Systems subject to the issue of a global certificate where required by a clearing system in which Shares are held. The Company will not issue Share certificates and the Company will not issue fractions of Shares. In order for an investor to be a Shareholder in the Fund, it must be registered in the Company s register of Shareholders. All subscriptions are dealt on a forward pricing basis (i.e. by reference to the subscription price for Shares calculated as at the Valuation Point for the relevant Dealing Day). Share Class Share Class Minimum Subscription / TER* Dividend Type Redemption Amount policy USD Accumulating ETF ETF Shares USD 1,000,000 0.45% N/A *Expressed as a % per annum of the Net Asset Value of the Share class. 4
STOCK EXCHANGE LISTINGS As at the date of this Fund Supplement, the following classes of ETF Shares have been admitted to trading on the stock exchanges listed below. Applications for the admission to additional stock exchanges of existing and new classes of ETF Shares may be made from time to time. Share Class USD Accumulating ETF Share Class Type ETF Shares Listing Exchange Listing Currency ISIN Bloomberg code Reuters code London Stock USD IE00B3CNHJ55 RTWO LN RTWO.L Exchange London Stock GBP IE00B3CNHJ55 RTWP LN RTWP.L Exchange Borsa Italiana EUR IE00B3CNHJ55 RTWO IM RTWO.MI Deutsche Börse EUR DE000A0Q8NE4 ETLZ GY ETLZ.DE NYSE Euronext EUR IE00B3CNHJ55 RTWO NA RTWO.AS DEALING PROCEDURES The procedures for subscribing for and redeeming of Shares are outlined in the Prospectus. Subscriptions and redemptions in the Fund may be in cash or, where agreed with the Manager or its delegate, on an in specie basis. Shares may be subscribed for in the manner set out in the Prospectus under the heading Subscriptions, beginning on page 53. Shares in the Fund may be redeemed as described in the Prospectus under the heading Redemptions beginning on page 60. DEALING INFORMATION Base Currency Dealing Currency Business Day Dealing Day Dealing Deadline USD The dealing currency for each class of Shares is the currency of denomination of the relevant class of Shares. A day on which banks and markets and exchanges are open for business in the United Kingdom. An Index Publication Day and a day on which no Significant Markets are closed for business or such Business Day(s) as the Directors may from time to time determine (and notify in advance to Shareholders) for dealings in the Fund provided always that there shall be at least one Dealing Day each fortnight. The Promoter maintains an online Dealing Day Calendar at: http://www.etfsecurities.com, where advance notice of all expected Dealing Days for the Fund is published on an ongoing basis. The Dealing Day Calendar is also available on request from the Manager and from the Promoter. The cut-off time in respect of any Dealing Day for receipt of applications for subscriptions and redemptions in the Fund as shall be set out on 5
Minimum Amount Minimum Amount Subscription Redemption http://www.etfsecurities.com, which information shall be kept up to date. Please refer to the table contained in the section above entitled The Shares. Please refer to the table contained in the section above entitled The Shares. Settlement Time Valuation TER Settlement of subscriptions and redemptions must generally occur within two Business Days after the relevant Dealing Day (unless otherwise agreed with the Manager or its delegate). The Valuation Point is the time at which the value of the Index is determined. The Fund gains exposure to the Index through the use of OTC Swaps which are valued in accordance with the relevant provisions of the Prospectus. Please refer to the table contained in the section above entitled The Shares for the TER applicable to each Share class. Brokerage and extraordinary expenses are excluded from the TER see section entitled Fees and Expenses on page 70 of the Prospectus. Fees and expenses relating to establishment of the Fund are borne by the Manager. TAXATION A description of the taxation applicable to the Company and its Shareholders is outlined under the heading Taxation in the Prospectus. INDEX DISCLAIMER The Fund is not sponsored, endorsed, sold or promoted by WNA Global Indexes, LLC; J-NET Global Indexes, LLC; S-Network Global Indexes, LLC; or Frank Russell Company (each individually the Index Company ). The Index Company makes no representation or warranty, express or implied, to the Shareholders of the Company or any member of the public regarding the advisability of investing in securities generally or in the Fund particularly or regarding the ability of the Index (the Index ) to track the performance of the securities market. The Index Company s only relationship to the Company is the licensing of certain service marks and trade names of the Index Company and of the Index to its Promoter which service marks and trade names are determined, composed and calculated by the Index Company without regard to the Company or the Fund. The Index Company has no obligation to take the needs of the Fund or its Shareholders into consideration in determining, composing or calculating the Index. The Index Company is not responsible for and has not participated in the determination of the prices at which Shares of the Fund are issued. The Index Company has no obligation or liability in connection with the administration, marketing or trading of the Fund. THE INDEX COMPANY DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN AND THE INDEX COMPANY SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN. THE INDEX COMPANY 6
MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE FUND, ITS SHAREHOLDERS, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN. THE INDEX COMPANY MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE INDEX COMPANY HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES. 7