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Form 485BPOS NEOS ETF Trust

189
SHARES
1.5k
VIEWS
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As
filed with the Securities and Exchange Commission on September
26, 2023

 

File
No. 333-253997
File No. 811-23645

 

 

UNITED
STATES

SECURITIES AND EXCHANGE COMMISSION
Washington,
D.C. 20549

 

FORM N-1A

 


       REGISTRATION STATEMENT UNDER THE SECURITIES ACT OF 1933   


       Pre-Effective Amendment No. __

☑       
Post-Effective Amendment No. 62

 

and/or

 

☑       REGISTRATION
STATEMENT UNDER THE INVESTMENT COMPANY ACT OF 1940
  


       Amendment No. 63

 

NEOS
ETF TRUST

(Exact Name of Registrant as Specified in Charter)

 

13
Riverside Ave 
Westport, CT 06880

(Address of Principal Executive Office) (Zip Code)

 

203.298.7300 
(Registrant’s Telephone Number, including Area Code)

 

The
Corporation Trust Company
  
Corporation Trust Center 
1209 Orange Street 
New Castle County 
Wilmington, DE 19801
(Name and address of agent for service)

 

Copies
of communications to:

 

Garrett
Paolella
 
NEOS Investment Management, LLC
13 Riverside Ave 
Westport, CT 06880

 

Bibb
L. Strench, Esq.

Thompson Hine LLP
1919 M Street, N.W., Suite 700
Washington, D.C. 20036

 

Approximate
date of proposed public offering: As soon as practicable after the effective date of this registration statement.

 

It
is proposed that this filing will become effective: 


Immediately upon filing pursuant to paragraph (b) 


On September 28, 2023 pursuant to paragraph
(b) 


60 days after filing pursuant to paragraph (a)(1) 


On (date) pursuant to paragraph (a)(1) 


75 days after filing pursuant to paragraph (a)(2)


On (date) pursuant to paragraph (a)(2) of Rule 485.

 

If
appropriate, check the following box: 

☐ This
post-effective amendment designates a new effective date for a previously filed post-effective amendment.

 

 

 

 

PROSPECTUS

 

September
28, 2023

 

FIS
Christian Stock Fund (PRAY)

 

Principal
U.S. Listing Exchange for the Fund: NYSE Arca, Inc.

 

The
Securities and Exchange Commission (“SEC”) has not approved or disapproved these securities or passed upon the adequacy
of this Prospectus. Any representation to the contrary is a criminal offense.

 

 

Table
of Contents

 

 

 

 

Summary
Information — FIS Christian Stock Fund

 

Investment
Objective

 

FIS
Christian Stock Fund (the “Fund”) seeks long-term growth of capital and income.

 

Fund
Fees and Expenses

 

The
table below describes the fees and expenses that you pay if you buy, hold and sell shares of the Fund (“Shares”). Future
expenses may be greater or less. You may be required to pay brokerage commissions on purchases and sales of Shares, which are not reflected
in the tables or the example below. Please contact your financial intermediary about whether such a commission may apply to your transactions.

 

Shareholder
Fees
(fees paid directly from your investment)
None

Annual
Fund Operating Expenses
(expenses that you pay each year as a percentage of the value of your investment)
 
   
Management
Fee
0.68%
Distribution
and/or Service (12b-1) Fees
None
Acquired
Fund Fees and Expenses
0.01%
Other
Expenses
0.00%
Total
Annual Fund Operating Expenses
0.69%

 

Example

 

This
example is intended to help you compare the cost of investing in the Fund with the cost of investing in other funds. This example
does not take into account brokerage commissions that you pay when purchasing or selling Shares.

 

The
example assumes that you invest $10,000 in the Fund for the time periods indicated and then redeem all of your Shares at the end
of those periods. The example also assumes that your investment has a 5% annual return and that the Fund’s operating expenses
remain the same. Although your actual costs may be higher or lower, based on these assumptions, your costs would be:

 

Year Expenses
1 $70
   
3 $221
   
5 $384
   
10 $859

 

Portfolio
Turnover

 

The
Fund pays transaction costs, such as commissions, when it purchases and sells securities (or “turns over” its portfolio).
A higher portfolio turnover rate may result in higher transaction costs and higher taxes when Shares are held in a taxable account. These
costs, which are not reflected in Annual Fund Operating Expenses table or in the Example above, may affect the Fund’s performance.
For the fiscal year ended May 31, 2023, the Fund’s portfolio turnover rate was 27%
of the average value of its portfolio.

 

Principal
Investment Strategies of the Fund

 

The
Fund is an actively managed exchange traded fund (“ETF”). Under normal circumstances, the Fund invests in equity securities,
including common stock and American Depositary Receipts (“ADRs”) and Global Depositary Receipts (“GDRs”)
of international and domestic companies. The Fund may seek to meet its investment objective by directly investing in equity securities.
To achieve its objective, the Fund seeks to outperform the MSCI World Index (the “Benchmark”).

 


 

In
determining whether a company is a non-U.S. company, Capital Insight Partners, LLC (the “Sub-Adviser”) will consider
whether the company:

 

  has a class of securities whose principal securities
market is outside the U.S.;

 

  has its principal office outside the U.S.; or

 

  is otherwise determined
to be economically tied to a country outside the U.S. by the Sub-Adviser in its discretion (e.g., using classifications assigned
by third parties, including an issuer’s “country of risk” as determined by MSCI Global Industry Classification
Standards or the classifications assigned to a company by the Fund’s benchmark index provider).

 

The
assets of the Fund are managed by the Sub-Adviser, which employs an “active management” investment strategy in seeking
to achieve the Fund’s investment objective. The Sub-Adviser first uses a quantitative screen on the investable global universe
looking for companies characterized as growth at a reasonable price (GARP). The Sub-Adviser next applies a Christian values overlay
to establish the universe of securities eligible for investment. The Sub-Adviser then combines fundamental research and qualitative
analysis, to identify companies that have above-average investment potential. The portfolio is constructed with considerations
relative to the sector and regional weights of the Benchmark to ensure broad diversification. The Fund will not buy or continue
to hold a stock issued by a company if, in the opinion of the Sub-Adviser, the company no longer passes the Christian values filter.
The Sub-Adviser also will generally sell a stock on behalf of the Fund if the stock experiences extreme price movements, if the
stock exhibits weak performance relative to its peers, or for risk management purposes. The Fund at a minimum will, under normal
market conditions, invest 80% or more of its assets (net assets plus any borrowings for investment purposes, if any) in stocks
that pass its Christian values filter. Except for its cash-type holdings, the Fund intends to invest 100% of its assets in stocks
that satisfy these Christian values under normal market conditions.

 

The
Sub-Adviser evaluates long-term economic trends that are likely to persist for the foreseeable future, identifies bullish and
bearish markets, incorporates technical analysis which include price and volume trends, geopolitical issues and relative market
valuation metrics. The Fund can purchase both domestic and foreign securities to add further flexibility for risk management.
The Sub-Adviser has the ability to raise up to 50% in cash or cash equivalents should its indicators begin to show shifts in the
macroeconomic landscape, that valuations are at extreme levels, that company fundamentals deteriorate, or if the stock markets
experience unexpected events that have a great and broad market impact. Furthermore, if a stock price falls materially from cost,
the position would be analyzed and reviewed by the Sub-Adviser’s investment committee and that committee would decide whether
to continue to hold or sell the stock.

 

The
Fund makes investment decisions in accordance with biblically responsible (Christian values). The Sub-Adviser applies a Christian
values overlay to eliminate companies whose businesses engage in activities that are not aligned with biblical teachings such
as abortion, contraception, embryonic stem cell research/human cloning, human rights violations, or who produce pornography, alcohol,
tobacco, armaments that are unguided or indiscriminate, gambling equipment or software, betting establishments, or other activities
that conflict with Christian values. The Sub-Adviser determines whether each and every company prior to its addition to the Fund’s
investment portfolio has the required Christian values by utilizing certain third-party analytical tools as well as the Sub-Adviser’s
own diligence processes.

 

The
Sub-Adviser monitors the policies and practices of the companies selected for the Fund for various issues contemplated by Christian
values. If the Sub-Adviser becomes aware that the Fund is invested in a company whose policies and practices are inconsistent
with these Christian values by running such companies through screens based on an assortment of third-party and internal factors
as well as the Sub-Adviser performing fundamental due diligence on the values of the companies. The Sub-Adviser may sell the company’s
securities or otherwise exclude future investments in such company. As a result, the Fund may have to sell a security at a time
when it would be disadvantageous to do so. The Fund may perform differently than other funds that do not invest within Christian
values guidelines.

 

The
Fund may invest in companies of any market capitalization located anywhere in the world, including companies located in emerging
markets. The Fund will generally invest in companies whose market capitalization is greater than $1 billion. The Fund typically
will invest in 60 to 80 portfolio companies. Foreign securities in which the Fund may invest may be U.S. dollar-denominated.

 

The
Fund has the ability to buy and sell call and put options on indexes which are the most correlated to the Fund’s underlying
equity holdings. The options overlay seeks to potentially provide a measure of downside protection (i.e., options strategies implemented
in an attempt to mitigate a decrease in the value of the Fund’s investment portfolio) and an additional component to the
Fund’s risk management. The options overlay will be actively managed by Faith Investor Services, LLC (the “Adviser”)
and will adapt to both changing market environments and shifts in the underlying equity holdings of the Fund.

 


 


Principal
Risks of Investing in the Fund

 

There
is no assurance that the Fund will meet its investment objective. The value of your investment in the Fund, as well as the amount
of return you receive on your investment in the Fund, may fluctuate significantly. You may lose part or all of your investment
in the Fund or your investment may not perform as well as other similar investments.
Therefore, you should consider carefully
the following risks before investing in the Fund. An investment in the Fund is not a bank deposit and is not insured or guaranteed
by the FDIC or any government agency.

 

Christian
Values Investing Risk.
The Fund considers Christian values in its investment process and may choose not to purchase, or may
sell, otherwise profitable investments in companies which have been identified as being in conflict with the Fund’s guidelines.
This means that the Fund may underperform other similar funds that do not consider Christian values when making investment decisions.

 

Absence
of Prior Active Market Risk
. While the Fund’s Shares are listed on NYSE Arca, Inc. (the “Exchange”), there
can be no assurance that an active trading market for Shares will develop or be maintained. The Fund’s distributor does
not maintain a secondary market in Shares.

 

Active
Management Risk.
The Fund is actively managed, which means that investment decisions are made based on investment views. There
is no guarantee that the investment views will produce the desired results or expected returns, which may cause the Fund to fail
to meet its investment objective or to underperform its benchmark index or funds with similar investment objectives and strategies.
Furthermore, active trading that can accompany active management may result in high portfolio turnover, which may have a negative
impact on performance. Active trading may result in higher brokerage costs or mark-up charges, which are ultimately passed on
to shareholders of the Fund. Active trading may also result in adverse tax consequences.

 

Authorized
Participants, Market Makers, and Liquidity Providers Concentration Risk. 
The Fund has a limited number of financial
institutions that may act as Authorized Participants (“APs”). In addition, there may be a limited number of market
makers and/or liquidity providers in the marketplace. To the extent either of the following events occur, Shares may trade at
a material discount to NAV and possibly face delisting: (i) APs exit the business or otherwise become unable to process creation
and/or redemption orders and no other APs step forward to perform these services, or (ii) market makers and/or liquidity
providers exit the business or significantly reduce their business activities and no other entities step forward to perform their
functions.

 

Depositary
Receipts.
The Fund will invest in stocks of foreign corporations. The Fund’s investment in such stocks will customarily
be in the form of depositary receipts including ADRs and GDRs. While the use of ADRs and GDRs, which are traded on exchanges and
represent an ownership in a foreign security, provide an alternative to directly purchasing the underlying foreign securities
in their respective markets and currencies, investments in ADRs and GDRs continue to be subject to many of the risks associated
with investing directly in foreign securities, including political, economic, and currency risk.

 

Dividend-Paying
Stock Risk.
While the Fund may hold securities of companies that have historically paid a dividend yield, those companies
may reduce or discontinue their dividends, reducing the yield of the Fund. Low priced securities in the Fund may be more susceptible
to these risks. Past dividend payments are not a guarantee of future dividend payments. Also, the market return of high dividend
yield securities, in certain market conditions, may perform worse than other investment strategies or the overall stock market.
The Fund’s emphasis on dividend-paying stocks involves the risk that such stocks may fall out of favor with investors and
underperform the market.

 

Emerging
Markets Securities Risk.
The Fund’s investments in emerging markets securities are considered speculative and subject
to heightened risks in addition to the general risks of investing in foreign securities. Unlike more established markets, emerging
markets may have governments that are less stable, markets that are less liquid and economies that are less developed. In addition,
the securities markets of emerging market countries may consist of companies with smaller market capitalizations and may suffer
periods of relative illiquidity; significant price volatility; restrictions on foreign investment; and possible restrictions on
repatriation of investment income and capital. Furthermore, foreign investors may be required to register the proceeds of sales,
and future economic or political crises could lead to price controls, forced mergers, expropriation or confiscatory taxation,
seizure, nationalization or creation of government monopolies.

 

Equity
Risk
. Since it purchases equity securities, the Fund is subject to the risk that stock prices will fall over short or extended
periods of time. Historically, the equity markets have moved in cycles, and the value of the Fund’s equity securities may
fluctuate drastically from day to day. Individual companies may report poor results or be negatively affected by industry and/or
economic trends and developments. The prices of securities issued by such companies may suffer a decline in response. These factors
contribute to price volatility, which is a principal risk of investing in the Fund.

 

 

Foreign
Currency Risk
. As a result of the Fund’s investments in securities denominated in, and/or receiving revenues in, foreign
currencies, the Fund will be subject to currency risk. Currency risk is the risk that foreign currencies will decline in value
relative to the U.S. dollar, in which case, the dollar value of an investment in the Fund would be adversely affected.

 

Foreign
Securities Risk
. Investing in foreign companies, including direct investments and investments through ADRs and GDRs,
poses additional risks since political and economic events unique to a country or region will affect those markets and their issuers.
These risks will not necessarily affect the U.S. economy or similar issuers located in the United States. Securities of foreign
companies may not be registered with the SEC and foreign companies are generally not subject to the regulatory controls imposed
on U.S. issuers and, as a consequence, there is generally less publicly available information about foreign securities than is
available about domestic securities. Income from foreign securities owned by the Fund may be reduced by a withholding tax at the
source, which tax would reduce income received from the securities comprising the Fund’s portfolio. Foreign securities may
also be more difficult to value than securities of U.S. issuers. While ADRs provide an alternative to directly purchasing the
underlying foreign securities in their respective national markets and currencies, investments in ADRs continue to be subject
to many of the risks associated with investing directly in foreign securities.

 

Geographic
Concentration Risk.
The risk that events negatively affecting the fiscal stability of a particular country or region in which
the Fund focuses its investments will cause the value of the Fund’s shares to decrease, perhaps significantly. To the extent
the Fund concentrates its assets in a particular country or region, the Fund is more vulnerable to financial, economic or other
political developments in that country or region as compared to a fund that does not concentrate holdings in a particular country
or region.

 

Issuer
Risk.
Changes in the financial condition or credit rating of an issuer or counterparty, changes in specific economic or political
conditions that affect a particular type of security or issuer, and changes in general economic or political conditions can affect
a security’s or instrument’s value. The values of securities of smaller, less well-known issuers can be more volatile
than those of larger issuers. Issuer-specific events can have a negative impact on the value of the Fund.

 

Large
Capitalization Company Risk.
Larger, more established companies may be unable to attain the high growth rates of successful,
smaller companies during periods of economic expansion.

 

Market
and Geopolitical Risk.
The increasing interconnectivity between global economies and financial markets increases the likelihood
that events or conditions in one region or financial market may adversely impact issuers in a different country, region or financial
market. Securities in the Fund’s portfolio may underperform due to inflation (or expectations for inflation), interest rates,
global demand for particular products or resources, natural disasters, climate change and climate-related events, pandemics, epidemics,
terrorism, international conflict, regulatory events and governmental or quasi-governmental actions. The occurrence of global
events similar to those in recent years may result in market volatility and may have long term effects on both the U.S. and global
financial markets.

 

Market
Trading Risk.
The Fund faces numerous market trading risks, including the potential lack of an active market for the Shares,
losses from trading in secondary markets, and disruption in the creation/redemption process of the Fund. Any of these factors
may lead to the Shares trading at a premium or discount to the Fund’s net asset value (“NAV”).

 

Options
Risk
. There are risks associated with the sale and purchase of call and put options. As a seller (writer) of a put option,
the Fund will tend to lose money if the value of the reference index or security falls below the strike price. As the seller (writer)
of a call option, the Fund will tend to lose money if the value of the reference index or security rises above the strike price.
As the buyer of a put or call option, the Fund risks losing the entire premium invested in the option if the Fund does not exercise
the option.

 

Portfolio
Turnover Risk.
Due to its investment strategy, the Fund may buy and sell securities frequently. This may result in higher
transaction costs and additional capital gains tax liabilities, which may affect the Fund’s performance.

 

Quantitative
Investing Risk.
There is no guarantee that a quantitative model or algorithm used by the Sub-Adviser, and the investments
selected based on the model or algorithm, will perform as expected or produce the desired results. The Fund may be adversely affected
by imperfections, errors or limitations in the construction and implementation of the model or algorithm and the Sub-Adviser’s
ability to properly analyze or timely adjust the metrics or update the data underlying the model or features of the algorithm.

 

Sector
Risk.
Sector risk is the possibility that securities within the same group of industries will decline in price due to sector-specific
market or economic developments. If the Fund invests more heavily in a particular sector, the value of its shares may be especially
sensitive to factors and economic risks that specifically affect that sector. As a result, the Fund’s share price may fluctuate
more widely than the value of shares of a fund that invests in a broader range of industries.

 

Shares
May Trade at Prices Other Than NAV Risk. 
As with all ETFs, Shares may be bought and sold in the secondary market at market
prices. Although it is expected that the market price of Shares will approximate the Fund’s NAV, there may be times when
the market price of Shares is more than the NAV intra-day (premium) or less than the NAV intra-day (discount) due to supply and
demand of Shares or during periods of market volatility. This risk is heightened in times of market volatility, periods of steep
market declines, and periods when there is limited trading activity for Shares in the secondary market, in which case such premiums
or discounts may be significant.

 

 

Small
and Mid-Capitalization Companies Risk.
Compared to large-capitalization companies, small and 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.

 

Underlying
Fund Risk.
Other investment companies including ETFs (“Underlying Funds”) in which the Fund invests are subject
to investment advisory and other expenses, which will be indirectly paid by the Fund.  As a result, the cost of investing
in the Fund will be higher than the cost of investing directly in the Underlying Funds and may be higher than other funds that
invest directly in stocks and bonds.

 

Performance

 

Because
the Fund does not have a full calendar year of performance as of the date of this Prospectus, no performance information for the Fund
has been provided.

 

Management

 

Investment
Adviser

 

Faith
Investor Services, LLC

 

Sub-Adviser

 

Capital
Insight Partners, LLC

 

Steven
T. Nelson, CFA, Craig J. McCrory, CFA, and Sara A. LaClair, CFA, are the primary persons responsible for the day-to-day management
of the Fund and have been portfolio managers of the Fund since the inception of the Fund.

 

Purchase
and Sale of Fund Shares

 

Authorized
Participants

 

The
Fund issues and redeems Shares at NAV only in a large, specified number of Shares each called a “Creation Unit,” or
multiples thereof, and only with authorized participants (“Authorized Participants”) which have entered into contractual
arrangements with the Fund’s distributor (“Distributor”). Creation Unit transactions are typically conducted
in exchange for a portfolio of securities closely approximating the holdings of the Fund and/or cash.

 

Investors

 

Individual
Shares of the Fund may only be purchased and sold on a national securities exchange through brokers. Shares of the Fund are listed
on the Exchange and because Shares will trade at market prices rather than NAV, Shares of the Fund may trade at a price greater
than or less than NAV.

 

Tax
Information

 

Fund
distributions are generally taxable as ordinary income, qualified dividend income, or capital gains (or a combination), unless
your investment is in an individual retirement account (“IRA”) or other tax-advantaged account. Distributions on investments
made through tax-deferred arrangements may be taxed later upon withdrawal of assets from those accounts.

 

Payments
to Broker-Dealer and Other Financial Intermediaries

 

If
you purchase Shares through a broker-dealer or other financial intermediary, the Adviser or other related companies may pay the
intermediary for the sale of Shares or related services. These payments may create a conflict of interest by influencing the broker-dealer
or other intermediary and your salesperson to recommend the Fund over another investment. Ask your salesperson or visit your financial
intermediary’s website for more information.

  

 

More
Information About the Fund

 

Investment
Objective

 

FIS
Christian Stock Fund seeks income and long-term growth of capital. The Fund’s investment objective is a nonfundamental policy
and may be changed by the Board of Trustees (“Board”) of NEOS ETF Trust (the “Trust”) without shareholder
approval upon 60 days’ written notice to shareholders.

 

Additional
Information About Investment Strategies

 

Under
normal circumstances, the Fund invests in equity securities, including common stock and ADRs and GDRs of international and domestic
companies. The Fund may invest in securities of companies with any market capitalization. The Fund may meet its investment objective
by directly investing in equity securities, or by investing in other investment companies, including ETFs, that invest primarily
in equity securities. The Fund at a minimum will, under normal market conditions, invest 80% or more of its assets (net assets
plus any borrowings for investment purposes, if any) in stocks that pass its Christian values filter. Except for its cash-type
holdings, the Fund intends to invest 100% of its assets in stocks that satisfy these Christian values under normal market conditions.

 

The
assets in the Fund are managed by the Sub-Adviser, which employs an “active management” investment strategy in seeking
to achieve the Fund’s investment objective. The Sub-Adviser first uses a quantitative screen on the investable global universe
looking for companies characterized as growth at a reasonable price (GARP). The Christian values overlay is then applied to define
the opportunity set. The Sub-Adviser combines fundamental research and qualitative analysis, along with top-down macroeconomic
views to identify companies that have above-average investment potential. The portfolio is constructed with considerations relative
to the sector and regional weights of the Fund’s benchmark to ensure broad diversification. The Sub-Adviser will generally
sell a stock on behalf of the Fund if the stock experiences extreme price movements, weak performance relative to its peers, if
the company no longer passes the Christian values filter, or for risk management purposes. The Fund has the ability to raise up
to 50% in cash if the market outlook warrants.

 

The
Fund makes investment decisions in accordance with Christian values and therefore, the Fund is designed to avoid investments in
companies that are believed to be involved with abortion, contraception, embryonic stem cell research/human cloning, human rights
violations, or who produce pornography, alcohol, tobacco, armaments that are unguided or indiscriminate, gambling equipment or
software, betting establishments, or other activities that conflict with Christian values. The Sub-Adviser monitors the policies
and practices of the companies selected for the Fund for various issues contemplated by Christian values by running such companies
through screens based on an assortment of third-party and internal factors as well as the Sub-Adviser performing fundamental due
diligence on the values of the companies. If the Sub-Adviser becomes aware that the Fund is invested in a company whose policies
and practices are inconsistent with these Christian values, the Sub-Adviser may sell the company’s securities or otherwise
exclude future investments in such company. As a result, the Fund may have to sell a security at a time when it would be disadvantageous
to do so. The Fund may perform differently than other funds that do not invest within Christian values guidelines.

 

In
determining whether a company is a non-U.S. company, the Sub-Adviser will consider whether the company:

 

  has a class of securities
whose principal securities market is outside the U.S.;

 

  has its principal
office outside the U.S.; or

 

  is otherwise determined
to be economically tied to a country outside the U.S. by the Sub-Adviser in its discretion (e.g., using classifications assigned
by third parties, including an issuer’s “country of risk” as determined by MSCI Global Industry Classification
Standards (GICS) or the classifications assigned to a company by the Fund’s benchmark index provider).

 

The
Sub-Adviser employs an “active management” investment strategy in seeking to achieve the Fund’s investment objective.
The portfolio will be reconstituted and rebalanced quarterly, if necessary. Rebalancing frequency may be modified based on periodic
and systematic portfolio review.

 

The
Fund has the ability to buy and sell call and put options on indexes which are the most correlated to the Fund’s underlying
equity holdings. The options overlay seeks to potentially provide a measure of downside protection (i.e., options strategies implemented
in an attempt to mitigate a decrease in the value of the Fund’s investment portfolio) and an additional component to the
Fund’s risk management. The options overlay will be actively managed by the Adviser and will adapt to both changing market
environments and shifts in the underlying equity holdings of the Fund.

 

 

Additional
Information About the Fund’s Principal Risks

 

The
following section provides additional information regarding certain of the principal risks identified under “Principal Risks”
in the Fund’s summary.

 

Investors
in the Fund should be willing to accept a high degree of volatility in the price of the Fund’s Shares and the possibility
of significant losses. An investment in the Fund involves a substantial degree of risk. Therefore, you should consider carefully
the following risks before investing in the Fund.

 

Christian
Values Investing Risk.
The Fund considers Christian values in its investment process and may choose not to purchase, or may
sell, otherwise profitable investments in companies which have been identified as being in conflict with the Fund’s guidelines.
This means that the Fund may underperform other similar funds that do not consider the Christian values when making investment
decisions. In addition, there can be no guarantee that the activities of the companies identified by the Fund’s investment
process will align (or be perceived to align) with the principles contained in Christian values.

 

Absence
of Prior Active Market Risk
. While the Fund’s Shares are listed on the Exchange, there can be no assurance that an active
trading market for Shares will develop or be maintained. The Fund’s distributor does not maintain a secondary market in
Shares.

 

Active
Management Risk.
The Fund is actively managed, which means that investment decisions are made based on investment views. There
is no guarantee that the investment views will produce the desired results or expected returns, which may cause the Fund to fail
to meet its investment objective or to underperform its benchmark index or funds with similar investment objectives and strategies.
Furthermore, active trading that can accompany active management may result in high portfolio turnover, which may have a negative
impact on performance. Active trading may result in higher brokerage costs or mark-up charges, which are ultimately passed on
to shareholders of the Fund. Active trading may also result in adverse tax consequences. Certain securities or other instruments
in which the Fund seeks to invest may not be available in the quantities desired. To the extent the Fund employs strategies targeting
perceived pricing inefficiencies, arbitrage strategies or similar strategies, it is subject to the risk that the pricing or valuation
of the securities and instruments involved in such strategies may change unexpectedly, which may result in reduced returns or
losses to the Fund. Additionally, legislative, regulatory, or tax restrictions, policies or developments may affect the investment
techniques available to the Sub-Adviser and each individual portfolio manager in connection with managing the Fund and may also
adversely affect the ability of the Fund to achieve its investment objective.

 

Authorized
Participants, Market Makers, and Liquidity Providers Concentration Risk. 
The Fund has a limited number of financial
institutions that may act as Authorized Participants (“APs”). In addition, there may be a limited number of market
makers and/or liquidity providers in the marketplace. To the extent either of the following events occur, Shares may trade at
a material discount to NAV and possibly face delisting: (i) APs exit the business or otherwise become unable to process creation
and/or redemption orders and no other APs step forward to perform these services, or (ii) market makers and/or liquidity
providers exit the business or significantly reduce their business activities and no other entities step forward to perform their
functions.

 

Depositary
Receipts.
The Fund will invest in stocks of foreign corporations. The Fund’s investment in such stocks will be in the
form of depositary receipts including American Depositary Receipts (“ADRs”) and Global Depositary Receipts (“GDRs”).
While the use of ADRs and GDRs, which are traded on exchanges and represent an ownership in a foreign security, provide an alternative
to directly purchasing the underlying foreign securities in their respective markets and currencies, investments in ADRs and GDRs
continue to be subject to many of the risks associated with investing directly in foreign securities, including political, economic,
and currency risk.

 

Dividend-Paying
Stock Risk.
While the Fund may hold securities of companies that have historically paid a high dividend yield, those companies
may reduce or discontinue their dividends, reducing the yield of the Fund. Low priced securities in the Fund may be more susceptible
to these risks. Past dividend payments are not a guarantee of future dividend payments. Also, the market return of high dividend
yield securities, in certain market conditions, may perform worse than other investment strategies or the overall stock market.
The Fund’s emphasis on dividend-paying stocks involves the risk that such stocks may fall out of favor with investors and
underperform the market. Also, a company may reduce or eliminate its dividend.

 

Emerging
Markets Risk
. The Fund may invest in countries with newly organized or less developed securities markets. Investments in emerging
markets typically involves greater risks than investing in more developed markets. Generally, economic structures in these countries
are less diverse and mature than those in developed countries and their political systems tend to be less stable. Emerging market
countries may have different regulatory, accounting, auditing, and financial reporting and record keeping standards and may have
material limitations on PCAOB inspection, investigation, and enforcement. Therefore, the availability and reliability of information,
particularly financial information, material to an investment decision in emerging market companies may be limited in scope and
reliability as compared to information provided by U.S. companies. Emerging market economies may be based on only a few industries. As
a result, security issuers, including governments, may be more susceptible to economic weakness and more likely to default. Emerging
market countries also may have relatively unstable governments, weaker economies, and less-developed legal systems with fewer
security holder rights. Investments in emerging markets countries may be affected by government policies that restrict foreign
investment in certain issuers or industries. The potentially smaller size of securities markets in emerging market countries and
lower trading volumes can make investments relatively illiquid and potentially more volatile than investments in developed countries,
and such securities may be subject to abrupt and severe price declines. Due to this relative lack of liquidity, the Fund may have
to accept a lower price or may not be able to sell a portfolio security at all. An inability to sell a portfolio position can
adversely affect the Fund’s value or prevent the Fund from being able to meet cash obligations or take advantage of other
investment opportunities.

 

 

Equity
Risk.
Equity risk is the risk that the value of the equity securities the Fund holds will fall due to general market and economic
conditions, perceptions regarding the industries in which the issuers of securities the Fund holds participate or factors relating
to specific companies in which the Fund invests. For example, an adverse event, such as an unfavorable earnings report, may depress
the value of equity securities the Fund holds; the price of common stock may be particularly sensitive to general movements in
the stock market; or a drop in the stock market may depress the price of most or all of the common stocks and other equity securities
the Fund holds. In addition, common stock in the Fund’s portfolio may decline in price if the issuer fails to make anticipated
dividend payments because, among other reasons, the issuer of the security experiences a decline in its financial condition. Common
stock is subordinated to preferred stocks, bonds and other debt instruments in a company’s capital structure, in terms of
priority to corporate income, and therefore will be subject to greater dividend risk than preferred stocks or debt instruments
of such issuers.

 

Foreign
Currency Risk
. Currency trading involves significant risks, including market risk, interest rate risk, country risk, and counterparty
credit risk. Market risk results from the price movement of foreign currency values in response to shifting market supply and
demand. Since exchange rate changes can readily move in one direction, a currency position carried overnight or over a number
of days may involve greater risk than one carried a few minutes or hours. Interest rate risk arises whenever a country changes
its stated interest rate target associated with its currency. Country risk arises because virtually every country has interfered
with international transactions in its currency. Interference has taken the form of regulation of the local exchange market, restrictions
on foreign investment by residents or limits on inflows of investment funds from abroad. Restrictions on the exchange market or
on international transactions are intended to affect the level or movement of the exchange rate. This risk could include the country
issuing a new currency, effectively making the “old” currency worthless.

 

Foreign
Securities Risk
. Changes in foreign economies and political climates are more likely to affect the Fund more than a fund that
invests exclusively in U.S. companies. There may also be less government supervision of foreign markets, resulting in non-uniform
accounting practices and less publicly available information. The values of foreign investments may be affected by changes in
exchange control regulations, application of foreign tax laws (including withholding tax), changes in governmental administration
or economic or monetary policy (in this country or abroad) or changed circumstances in dealings between nations. In addition,
foreign brokerage commissions, custody fees and other costs of investing in foreign securities are generally higher than in the
United States. Investments in foreign companies, particularly in less developed markets, could be affected by other factors not
present in the U.S., including expropriation, armed conflict, confiscatory taxation, and potential difficulties in enforcing contractual
obligations. As a result, the Fund may be exposed to greater risk and will be more dependent on the adviser’s ability to
assess such risk than if the Fund invested solely in the U.S. or more developed foreign markets.

 

Geographic
Concentration Risk
. The Fund may be particularly susceptible to economic, political, regulatory or other events or conditions
affecting countries within the specific geographic regions in which the Fund invests. Currency devaluations could occur in countries
that have not yet experienced currency devaluation to date or could continue to occur in countries that have already experienced
such devaluations. As a result, the Fund’s net asset value may be more volatile than a more geographically diversified fund.

 

Issuer
Risk.
Changes in the financial condition or credit rating of an issuer or counterparty, changes in specific economic or political
conditions that affect a particular type of security or issuer, and changes in general economic or political conditions can affect
a security’s or instrument’s value. The values of securities of smaller, less well-known issuers can be more volatile
than those of larger issuers. Issuer-specific events can have a negative impact on the value of the Fund.

 

Large
Capitalization Company Risk.
Larger, more established companies may be unable to attain the high growth rates of successful,
smaller companies during periods of economic expansion. Large-capitalization companies tend to compete in mature product markets
and do not typically experience the level of sustained growth of smaller companies and companies competing in less mature product
markets. Also, large-capitalization companies may be unable to respond as quickly as smaller companies to competitive challenges
or changes in business, product, financial, or other market conditions. For these and other reasons, a fund that invests in large-capitalization
companies may underperform other stock funds (such as funds that focus on the stocks of small- and medium-capitalization companies)
when stocks of large-capitalization companies are out of favor.

 

 

Market
and Geopolitical Risk.
The increasing interconnectivity between global economies and financial markets increases the likelihood
that events or conditions in one region or financial market may adversely impact issuers in a different country, region or financial
market. Securities in the Fund’s portfolio may underperform due to inflation (or expectations for inflation), interest rates,
global demand for particular products or resources, natural disasters, climate change and climate-related events, pandemics, epidemics,
terrorism, international conflicts, regulatory events and governmental or quasi-governmental actions. The occurrence of global
events similar to those in recent years, such as terrorist attacks around the world, natural disasters, social and political discord
or debt crises and downgrades, among others, may result in market volatility and may have long term effects on both the U.S. and
global financial markets. It is difficult to predict when similar events affecting the U.S. or global financial markets may occur,
the effects that such events may have and the duration of those effects. Any such event(s) could have a significant adverse impact
on the value and risk profile of the Fund’s portfolio. The novel coronavirus (COVID-19) global pandemic and the aggressive
responses taken by many governments, including closing borders, restricting international and domestic travel, and the imposition
of prolonged quarantines or similar restrictions, as well as the forced or voluntary closure of, or operational changes to, many
retail and other businesses, had negative impacts, and in many cases severe negative impacts, on markets worldwide. It is not
known how long such impacts, or any future impacts of other significant events described above, will or would last, but there
could be a prolonged period of global economic slowdown, which may impact your Fund investment. Therefore, the Fund could lose
money over short periods due to short-term market movements and over longer periods during more prolonged market downturns. During
a general market downturn, multiple asset classes may be negatively affected. Changes in market conditions and interest rates
can have the same impact on all types of securities and instruments. In times of severe market disruptions you could lose your
entire investment. The value and growth-oriented equity securities purchased by the Fund may experience large price swings and
potential for loss.

 

Market
Trading Risk.
The Fund faces numerous market trading risks, including disruptions to the creation and redemption processes
of the Fund, losses from trading in secondary markets, the existence of extreme market volatility or potential lack of an active
trading market for Shares may result in Shares trading at a significant premium or discount to NAV. The NAV of Shares will fluctuate
with changes in the market value of the Fund’s securities holdings. The market prices of Shares will fluctuate in accordance
with changes in NAV and supply and demand on the Exchange. The Fund cannot predict whether Shares will trade below, at or above
their NAV. If a shareholder purchases Shares at a time when the market price is at a premium to the NAV or sells Shares at a time
when the market price is at a discount to the NAV, the shareholder may sustain losses. Any of these factors, discussed above and
further below, may lead to Shares trading at a premium or discount to the Fund’s NAV.

 

Trading
Issues
. Trading in Shares on the Exchange may be halted due to market conditions or for reasons that, in the view of the Exchange,
make trading in Shares inadvisable. In addition, trading in Shares on the Exchange is subject to trading halts caused by extraordinary
market volatility pursuant to the Exchange’s “circuit breaker” rules. There can be no assurance that the requirements
of the Exchange necessary to maintain the listing of the Fund will continue to be met or will remain unchanged.

 

Options
Risk
. The Fund may lose the entire put option premium paid if the underlying security does not decrease in value at expiration.
 Put options may not be an effective hedge because they may have imperfect correlation to the value of the Fund’s portfolio
securities.  Purchased put options may decline in value due to changes in price of the underlying security, passage of time
and changes in volatility.  Written call and put options may limit the Fund’s participation in equity market gains
and may magnify the losses if the price of the written option instrument increases in value between the date when the Fund writes
the option and the date on which the Fund purchases an offsetting position. The Fund will incur a loss as a result of a written
options (also known as a short position) if the price of the written option instrument increases in value between the date when
the Fund writes the option and the date on which the Fund purchases an offsetting position.

 

Portfolio
Turnover Risk.
Due to its investment strategy, the Fund may buy and sell securities frequently. This may result in higher
transaction costs and additional capital gains tax liabilities, which may affect the Fund’s performance.

 

Quantitative
Investing Risk.
There is no guarantee that a quantitative model or algorithm used by the Adviser, and the investments selected
based on the model or algorithm, will perform as expected or produce the desired results. The Fund may be adversely affected by
imperfections, errors or limitations in the construction and implementation of the model or algorithm and the Adviser’s
ability to properly analyze or timely adjust the metrics or update the data underlying the model or features of the algorithm.

 

Sectors
Risk.
Sector risk is the possibility that securities within the same group of industries will decline in price due to sector-specific
market or economic developments. If the Fund invests more heavily in a particular sector, the value of its shares may be especially
sensitive to factors and economic risks that specifically affect that sector. As a result, the Fund’s share price may fluctuate
more widely than the value of shares of a fund that invests in a broader range of industries. Additionally, some sectors could
be subject to greater government regulation than other sectors. Therefore, changes in regulatory policies for those sectors may
have a material effect on the value of securities issued by companies in those sectors. The sectors in which the Fund may more
heavily invest will vary.

 

Technology
Sector Risk
. The risk that securities of technology companies may be subject to greater price volatility than securities of
companies in other sectors. These securities may fall in and out of favor with investors rapidly, which may cause sudden selling
and dramatically lower market prices. Technology securities also may be affected adversely by changes in technology, consumer
and business purchasing patterns, government regulation and/or obsolete products or services. Technology companies may also be
susceptible to heightened risk of cybersecurity breaches that may affect their security prices.

 

 

Shares
May Trade at Prices Other Than NAV. 
As with all ETFs, Shares may be bought and sold in the secondary market at market
prices. Although it is expected that the market price of Shares will approximate the Fund’s NAV, there may be times when
the market price of Shares is more than the NAV intra-day (premium) or less than the NAV intra-day (discount) due to supply and
demand of Shares or during periods of market volatility. This risk is heightened in times of market volatility, periods of steep
market declines, and periods when there is limited trading activity for Shares in the secondary market, in which case such premiums
or discounts may be significant.

 

Small
and Mid-Capitalization Companies Risk.
Compared to large-capitalization companies, small and 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.

 

Underlying
Fund Risk
. Other investment companies including ETFs (“Underlying Funds”) in which the Fund invests are subject
to investment advisory and other expenses, which will be indirectly paid by the Fund.  As a result, the cost of investing
in the Fund will be higher than the cost of investing directly in the Underlying Funds and may be higher than other funds that
invest directly in stocks and bonds.  Each of the Underlying Funds is subject to its own specific risks, but the Sub-Adviser
expects the principal investments risks of such Underlying Funds will be similar to the risks of investing in the Fund.

 

Other
Risks

 

The
following section provides information regarding certain other risks of investing in the Fund.

 

Authorized
Participant Concentration Risk.
Only an Authorized Participant (as defined in the Creations and Redemptions section of the
Fund’s prospectus (the “Prospectus”) may engage in creation or redemption transactions directly with the Fund.
The Fund has a limited number of institutions that act as Authorized Participants. To the extent that these institutions exit
the business or are unable to proceed with creation and/or redemption orders with respect to the Fund and no other Authorized
Participant is able to step forward to create or redeem Creation Units, Fund Shares may trade at a discount to NAV and possibly
face trading halts and/or delisting.

 

Costs
of Buying or Selling Shares.
Investors buying or selling Shares in the secondary market will pay brokerage commissions or
other charges imposed by brokers as determined by that broker. Brokerage commissions are often a fixed amount and may be a significant
proportional cost for investors seeking to buy or sell relatively small amounts of Shares. In addition, secondary market investors
will also incur the cost of the difference between the price that an investor is willing to pay for Shares (the “bid”
price) and the price at which an investor is willing to sell Shares (the “ask” price). This difference in bid and
ask prices is often referred to as the “spread” or “bid/ask spread.” The bid/ask spread varies over time
for Shares based on trading volume and market liquidity and is generally lower if the Fund’s Shares have more trading volume
and market liquidity and higher if the Fund’s Shares have little trading volume and market liquidity. Further, increased
market volatility may cause increased bid/ask spreads. Due to the costs of buying or selling Shares, including bid/ask spreads,
frequent trading of Shares may significantly reduce investment results and an investment in Shares may not be advisable for investors
who anticipate regularly making small investments.

 

Cybersecurity
and Disaster Recovery.
Information and technology systems relied upon by the Fund, the Adviser, the Sub-Adviser, the Fund’s
other service providers (including, but not limited to, the Fund Accountant, Custodian, Transfer Agent, Administrator, Distributor
and index providers, as applicable), market makers, Authorized Participants, financial intermediaries and/or the issuers of securities
in which the Fund invests may be vulnerable to damage or interruption from computer viruses, network failures, computer and telecommunication
failures, infiltration by unauthorized persons, security breaches, usage errors, power outages and catastrophic events such as
fires, tornadoes, floods, hurricanes and earthquakes. Although the Adviser, the Sub-Adviser and the Fund’s other service
providers have implemented measures to manage risks relating to these types of events, if these systems are compromised, become
inoperable for extended periods of time or cease to function properly, significant investment may be required to fix or replace
them. The failure of these systems and/or of disaster recovery plans could cause significant interruptions in the operations of
the Fund, the Adviser, the Sub-Adviser, the Fund’s other service providers, market makers, Authorized Participants, financial
intermediaries and/or issuers of securities in which the Fund invests and may result in a failure to maintain the security, confidentiality
or privacy of sensitive data, impact the Fund’s ability to calculate its net asset value or impede trading. Such a failure
could also harm the reputation of the Fund, the Adviser, the Sub-Adviser, the Fund’s other service providers, market makers,
Authorized Participants, financial intermediaries and/or issuers of securities in which the Fund invests, subject such entities
and their respective affiliates to legal claims or otherwise affect their business and financial performance.

 

Operations.
The Fund is exposed to operational risk arising from a number of factors, including but not limited to human error, processing
and communication errors, errors of the Fund’s service providers, counterparties or other third-parties, failed or inadequate
processes and technology or systems failures. The Fund seeks to reduce these operational risks through controls and procedures.
However, these measures do not address every possible risk and may be inadequate for those risks that they are intended to address.

 

 

Changes
in Investment Objective or Policies

 

The
Fund’s Board of Trustees (the “Board”) may change the Fund’s investment objective and/or its 80% policy,
both of which are non-fundamental, without shareholder approval upon 60 days’ written notice to shareholders. The Fund’s
other investment policies and strategies may be changed by the Board without shareholder approval unless otherwise provided in
this prospectus or in the Statement of Additional Information.

 

Temporary
Defensive Investments

 

The
Fund may take temporary defensive positions that are inconsistent with its normal investment policies and strategies—for
instance, by allocating assets to cash, cash equivalent investments or other less volatile instruments — in response to
adverse or unusual market, economic, political, or other conditions. In doing so, the Fund may succeed in avoiding losses but
may otherwise fail to achieve its investment objective.

 

Manager-of-Managers
Order

 

The
Trust and the Adviser may seek to obtain an exemptive order from the SEC that permits the Adviser, with the Board’s approval,
to enter into sub-advisory agreements with one or more sub-advisers without obtaining shareholder approval. The exemptive order
would permit the Adviser, subject to the approval of the Board, to replace sub-advisers or amend sub-advisory agreements, including
fees, without shareholder approval if the Adviser and the Board believe such action will benefit the Fund and its shareholders.
There is no guarantee that the Trust or the Adviser would receive such relief from the SEC.

 

Disclosure
of Portfolio Holdings

 

The
Fund’s portfolio holdings will be disclosed each day on its website at www.faithinvestorservices.com. A description of the
Fund’s policies and procedures with respect to the disclosure of the Fund’s portfolio securities is available in the
Statement of Additional Information (SAI).

 

Fund
Management

 

The
Adviser

 

Faith
Investor Services, LLC, located at 14785 Preston Road, Suite 1000, Dallas, TX 75254, serves as the investment adviser to the Fund.
The Adviser is a Delaware limited liability company formed in 2021 to provide investment advisory services to registered investment
companies. As of September 11, 2023, the Adviser has approximately $49,024,198 in assets under management.

 

The
Adviser is responsible for the Fund’s investment operations and its business affairs. Pursuant to a management agreement
between the Trust and the Adviser with respect to the Fund (“Management Agreement”) and subject to the general oversight
of the Board, the Adviser provides or causes to be furnished all supervisory and other services reasonably necessary for the operation
of the Fund, including audit, portfolio accounting, legal, transfer agency, custody, printing costs, certain administrative services
(provided pursuant to a separate administration agreement), certain distribution services (provided pursuant to a separate distribution
agreement), certain shareholder and distribution-related services (provided pursuant to a separate Rule 12b-1 Plan and related
agreements) under what is essentially an all-in fee structure. The Fund may bear other expenses which are not covered under the
Management Agreement that may vary and will affect the total level of expenses paid by the Fund, such as taxes and governmental
fees, brokerage fees, commissions and other transaction expenses, costs of borrowing money, including interest expenses, certain
custody expenses and extraordinary expenses (such as litigation and indemnification expenses).

 

The
Adviser is paid a monthly unitary management fee at an annual rate (stated as a percentage of the average daily net assets of
the Fund) of 0.68%. Under the unitary fee arrangement, the Adviser pays all operating expenses of the Fund, except for certain
expenses, including but not limited to, the fee paid to the Sub-Adviser, interest expenses, taxes, brokerage expenses, future
Rule 12b-1 fees (if any), acquired fund fees and expenses, and the management fee payable to the Adviser under the Management
Agreement.

 

Pursuant
to the Management Agreement, and subject to the Board’s approval, the Adviser is authorized to delegate the day-to-day management
of the Fund’s investment program. The Adviser has appointed Capital Insight Partners, LLC, as the sub-adviser to manage
the Fund’s investment program. The Adviser oversees and monitors the nature and quality of the services provided by the
Sub-Adviser, including investment performance and execution of investment strategies. The Adviser performs compliance monitoring
services to help the Fund maintain compliance with applicable laws and regulations and provides services related to, among others,
the valuation of Fund securities, risk management and oversight of trade execution and brokerage services.

 

During
the fiscal year ended May 31, 2023, the Fund paid 0.68% of its average daily net assets to the Adviser.

 

 

A
discussion regarding the Board of Trustees’ renewal of the Management Agreement with respect to the Fund is available in
the Fund’s annual report for the fiscal year ended May 31, 2023.

 

The
Sub-Adviser

 

Capital
Insight Partners, LLC, located in Scottsdale, Arizona, serves as sub-adviser to FIS Christian Stock Fund. As of September 14,
2023 the Sub-Adviser has approximately $685 million in assets under management.

 

The
Sub-Adviser provides advisory services to high net worth individuals, corporate retirement plans and serves as a Separate Account
Manager. The Sub-Adviser is responsible for the day-to-day management of the Fund’s portfolio pursuant to a sub-advisory
agreement between the Trust, the Adviser and the Sub-Adviser with respect to the Fund (“Sub-Advisory Agreement”).
As compensation for its services provided and the expenses borne pursuant to the Sub-Advisory Agreement, the Adviser will pay
to the Sub-Adviser a fee equal to 50% of the net profits earned from the advisory fees paid by the Fund to the Adviser pursuant
to the Management Agreement. Net profits are defined as management fees collected from the Fund net of Adviser’s expense
obligations pursuant to the Management Agreement.

 

A
discussion regarding the Board of Trustees’ renewal of the Sub-Advisory Agreement with respect to the Fund is available
in the Fund’s annual report for the fiscal year ended May 31, 2023.

 

Portfolio
Managers

 

The
portfolio managers listed below are jointly and primarily responsible for the day-to-day management of the Fund. Please refer
to the SAI for additional information about the portfolio managers’ compensation, other accounts managed by the portfolio
managers and their ownership of Shares of the Fund.

 

Steven
T. Nelson, CFA 

Chief
Executive Officer

 

Prior
to co-founding Capital Insight Partners, LLC, Steve was with Merrill Lynch. Before that, he served as a Principal at Lowry Hill
and was one of the team that oversaw more than $6 billion. He has over three decades of investment experience.  Steve leads
the strategic direction of the firm and has primary investment responsibility for a number of the firm’s faith-based clients. 
Steve serves on the Investment Committee.

 

Steve
earned a Bachelor of Science from St. John’s University and a Master of Business Administration from the University of St.
Thomas. He holds the Chartered Financial Analyst® designation and is a member of the Phoenix CFA Society and CFA Institute.
He is a past Trustee of the Phoenix Art Museum and a former member of the Board of Directors of the CFA Society of Minnesota and
the Catholic Community Foundation. In 2008 St. John’s University honored him with a Presidential Citation.

 

Craig
J. McCrory, CFA

Chief
Investment Officer

 

In
his role as Chief Investment Officer, Craig leads the firm’s Investment Team effort and is responsible for identifying strategic
opportunities and risks in the global capital markets. He joined Capital Insight Partners, LLC, shortly after its founding, and
before that was part of a fee-only financial planning team assisting high net worth families in La Jolla, CA. His background also
includes corporate tax audits for Fortune 500® companies.

 

Craig
is a graduate of The University of Arizona with a Bachelor of Science degree in Business Management. Craig holds the Chartered
Financial Analyst (CFA) designation and is a member of the Phoenix CFA Society and CFA Institute.

 

Sara
A. LaClair, CFA

Senior
Portfolio Manager

 

Sara
joined Capital Insight Partners, LLC, in 2018. In her role as Senior Portfolio Manager, Sara is active in managing client’s
portfolios and shares in the trading and research responsibilities of the firm. She has a leadership role on the Investment Team
and holds the Chartered Financial Analyst (CFA) designation. Sara graduated with a Bachelor of Science in Finance from WP Carey
School of Business at Arizona State University, with a minor in Economics and an International Business Certificate. Prior to
joining Capital Insight Partners, LLC, Sara was the VP of Operations and Investment Research at Rayhons Financial Solutions.

 

 

Shareholder
Information

 

Determination
of NAV

 

The
NAV per Share for the Fund is computed by dividing the value of the net assets of the Fund (i.e., the value of its total assets
less total liabilities) by the total number of Shares outstanding. Expenses and fees, including the management fee, are accrued
daily and taken into account for purposes of determining NAV. The NAV of the Fund is determined each business day as of the close
of trading (ordinarily 4:00 p.m. Eastern time) on the NYSE. Any assets or liabilities denominated in currencies other than the
U.S. dollar are converted into U.S. dollars at the current market rates on the date of valuation as quoted by one or more sources.

 

Generally,
the Fund’s investments are valued at market value or, in the absence of a market value, at fair value as determined in good
faith by the Adviser pursuant to procedures approved by or under the direction of the Board. Pursuant to those procedures, the
Adviser serves as the Fund’s Valuation Designee to perform all fair valuations of the Fund’s portfolio investments,
subject to the Board’s oversight. The Adviser considers, among other things: 1) the last sale price on the securities exchange,
if any, on which a security is primarily traded; 2) the mean between the bid and ask prices; 3) price quotations from an
approved pricing service (which use information provided by market makers or estimates of market value based on similar securities),
and 4) other factors as necessary to determine a fair value under certain circumstances. As the Valuation Designee, the Adviser
has established procedures for its fair valuation of the Fund’s portfolio investments. These procedures address, among other
things, determining when market quotations are not readily available or reliable and the methodologies to be used for determining
the fair value of investments, as well as the use and oversight of third-party pricing services for fair valuation.

 

The
values of the Fund’s portfolio securities are based on the securities’ closing prices on their local principal markets,
where available. In the absence of a last reported sales price, or if no sales were reported, and for other assets for which market
quotes are not readily available, values may be based on quotes obtained from a quotation reporting system, established market
makers or by an outside independent pricing service. Prices obtained by an outside independent pricing service use information
provided by market makers or estimates of market values obtained from data related to investments or securities with similar characteristics
and may use a computerized grid matrix of securities and its evaluations in determining what it believes is the fair value of
the portfolio securities. If a market quotation for a security is not readily available or the Adviser or Sub-Adviser believes
it does not otherwise accurately reflect the market value of the security at the time the Fund calculates its NAV, the security
will be fair valued by the Adviser or Sub-Adviser, in accordance with the Trust’s valuation policies and procedures approved
by the Board of Trustees of the Trust. The Fund may also use fair value pricing in a variety of circumstances, including but not
limited to, situations where the value of a security in the Fund’s portfolio has been materially affected by events occurring
after the close of the market on which the security is principally traded (such as a corporate action or other news that may materially
affect the price of a security) or trading in a security has been suspended or halted. Fair value pricing involves subjective
judgments and it is possible that a fair value determination for a security is materially different than the value that could
be realized upon the sale of the security. To the extent the Fund invests in securities that are primarily listed on foreign exchanges
or other markets that trade on weekends or other days when the Fund does not price its Shares, the value of the Fund’s portfolio
securities may change on days when the Fund shareholder will not be able to purchase or sell his or her Shares.

 

Buying
and Selling Exchange-Traded Shares

 

Authorized
Participants

 

The
Fund issues and redeems Shares at NAV only in Creation Units. Only APs may acquire Shares directly from the Fund, and only APs
may tender their Shares for redemption directly to the Fund, at NAV. APs must be (i) a broker-dealer or other participant in the
clearing process through the Continuous Net Settlement System of the NSCC, a clearing agency that is registered with the SEC;
or (ii) a Depository Trust Company (“DTC”) participant (as discussed below). In addition, each AP must execute a Participant
Agreement that has been agreed to by the Distributor, and that has been accepted by the Transfer Agent, with respect to purchases
and redemptions of Creation Units. Once created, Shares trade in the secondary market in quantities less than a Creation Unit.

 

An
Authorized Participant that is not a “qualified institutional buyer,” as such term is defined under Rule 144A of the
Securities Act, will not be able to receive, as part of a redemption, restricted securities eligible for resale under Rule 144A.

 

Investors

 

Individual
Fund shares may only be bought and sold in the secondary market through a broker or dealer at a market price. Shares are listed
for trading on the secondary market on the Exchange and can be bought and sold throughout the trading day like other publicly
traded securities.

 

When
buying or selling Shares through a broker, you will incur customary brokerage commissions and charges, and you may pay some or
all of the spread between the bid and the offer price in the secondary market on each leg of a round trip (purchase and sale)
transaction. Because the Fund’s shares trade at market prices rather than net asset value, shares may trade at a price greater
than net asset value (premium) or less than net asset value (discount). An investor may incur costs attributable to the difference
between the highest price a buyer is willing to pay to purchase shares of the Fund (bid) and the lowest price a seller is willing
to accept for shares of the Fund (ask) when buying or selling shares in the secondary market (the bid-ask spread). Information
on the Fund’s net asset value, market price, premiums and discounts, and bid-ask spreads, is available on the Fund’s
website (www.faithinvestorservices.com).

 

 

Book
Entry

 

Shares
are held in book-entry form, which means that no stock certificates are issued. DTC or its nominee is the record owner of all
outstanding Shares.

 

Investors
owning Shares are beneficial owners as shown on the records of DTC or its participants. DTC serves as the securities depository
for all Shares. DTC’s participants include securities brokers and dealers, banks, trust companies, clearing corporations
and other institutions that directly or indirectly maintain a custodial relationship with DTC. As a beneficial owner of Shares,
you are not entitled to receive physical delivery of stock certificates or to have Shares registered in your name, and you are
not considered a registered owner of Shares. Therefore, to exercise any right as an owner of Shares, you must rely upon the procedures
of DTC and its participants. These procedures are the same as those that apply to any other securities that you hold in book entry
or “street name” through your brokerage account.

 

Continuous
Offering

 

The
method by which Creation Units are created and traded may raise certain issues under applicable securities laws. Because new Creation
Units are issued and sold by the Trust on an ongoing basis, a “distribution,” as such term is used in the Securities
Act of 1933, as amended (“Securities Act”), may occur at any point. Broker dealers and other persons are cautioned
that some activities on their part may, depending on the circumstances, result in their being deemed participants in a distribution
in a manner which could render them statutory underwriters and subject them to the prospectus delivery and liability provisions
of the Securities Act.

 

For
example, a broker dealer firm or its client may be deemed a statutory underwriter if it takes Creation Units after placing an
order with the Transfer Agent, breaks them down into constituent Shares, and sells such Shares directly to customers, or if it
chooses to couple the creation of a supply of new Shares with an active selling effort involving solicitation of secondary market
demand for Shares. A determination of whether one is an underwriter for purposes of the Securities Act must take into account
all the facts and circumstances pertaining to the activities of the broker dealer or its client in the particular case, and the
examples mentioned above should not be considered a complete description of all the activities that could lead to a categorization
as an underwriter.

 

Broker
dealers who are not “underwriters” but are participating in a distribution (as contrasted to ordinary secondary trading
transactions), and thus dealing with Shares that are part of an “unsold allotment” within the meaning of Section 4(3)(C)
of the Securities Act, would be unable to take advantage of the prospectus delivery exemption provided by Section 4(3) of the
Securities Act. This is because the prospectus delivery exemption in Section 4(3) of the Securities Act is not available in respect
of such transactions as a result of Section 24(d) of the 1940 Act. As a result, broker dealer firms should note that dealers who
are not underwriters but are participating in a distribution (as contrasted with ordinary secondary market transactions) and thus
dealing with Shares that are part of an overallotment within the meaning of Section 4(3)(A) of the Securities Act would be unable
to take advantage of the prospectus delivery exemption provided by Section 4(3) of the Securities Act. Firms that incur a prospectus
delivery obligation with respect to Shares are reminded that, under Rule 153 of the Securities Act, a prospectus delivery obligation
under Section 5(b)(2) of the Securities Act owed to an exchange member in connection with a sale on the Exchange is satisfied
by the fact that the prospectus is available at the Exchange upon request. The prospectus delivery mechanism provided in Rule
153 is only available with respect to transactions on an exchange.

 

In
addition, certain affiliates of the Fund and the Adviser may purchase and resell Fund shares pursuant to this Prospectus.

 

For
More Information:

 

Existing
Shareholders or Prospective Investors

 

FIS
Christian Stock Fund 

c/o
Foreside Fund Services, LLC 

Three
Canal Plaza, Suite 100
 

Portland, Maine 04101

 

Dealers

 

FIS
Christian Stock Fund 

c/o
Foreside Fund Services, LLC 

Three
Canal Plaza, Suite 100
 

Portland, Maine 04101

 

 

Distribution
and Service Plan

 

The
Board has adopted a Distribution and Service Plan (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act. In accordance
with the Plan, the Fund is authorized to pay an amount up to 0.25% of its average daily net assets each year for certain distribution-related
activities and shareholder services.

 

No
Rule 12b-1 fees are currently paid by the Fund, and there are no plans to impose these fees. However, in the event Rule 12b-1
fees are charged in the future, because the fees are paid out of the Fund’s assets, over time these fees will increase the
cost of your investment and may cost you more than certain other types of sales charges.

 

Frequent
Purchases and Redemptions of Fund Shares

 

The
Board has evaluated the risks of frequent purchases and redemptions of Fund shares (“market timing”) activities by
the Fund’s shareholders. The Board noted that Shares can only be purchased and redeemed directly from the Fund in Creation
Units by APs and that the vast majority of trading in Shares occurs on the secondary market. Because the secondary market trades
do not involve the Fund directly, it is unlikely those trades would cause many of the harmful effects of market timing, including
dilution, disruption of portfolio management, increases in the Fund’s trading costs and the realization of capital gains.

 

With
respect to trades directly with the Fund, to the extent effected in-kind, those trades do not cause any of the harmful effects
(as previously noted) that may result from frequent cash trades. To the extent that the Trust allows or requires trades to be
effected in whole or in part in cash, the Board noted that those trades could result in dilution to the Fund and increased transaction
costs, which could negatively impact the Fund’s ability to achieve its investment objective. However, the Board noted that
direct trading by APs is critical to ensuring that Shares trade at or close to NAV. The Fund also employs fair valuation pricing
to minimize potential dilution from market timing. The Fund imposes transaction fees on in-kind purchases and redemptions of Shares
to cover the custodial and other costs incurred by the Fund in effecting in-kind trades, these fees increase if an investor substitutes
cash in part or in whole for securities, reflecting the fact that the Fund’s trading costs increase in those circumstances.
Given this structure, the Board determined that it is not necessary to adopt policies and procedures to detect and deter market
timing of Shares.

 

Distributions

 

Dividends
and Distributions

 

The
Fund intends to qualify each year as a regulated investment company under the Internal Revenue Code of 1986, as amended (the “Code”).
As a regulated investment company, the Fund generally pays no federal income tax on the income and gains it distributes to you.
The Fund expects to declare and distribute all of its net investment income, if any, to shareholders as dividends annually.

 

The
Fund will distribute net realized capital gains, if any, at least annually. The Fund may distribute such income dividends and
capital gains more frequently, if necessary, in order to reduce or eliminate federal excise or income taxes on the Fund. The amount
of any distribution will vary, and there is no guarantee the Fund will pay either an income dividend or a capital gains distribution.

 

Annual
Statements

 

Each
year, you will receive an annual statement (Form 1099) of your account activity to assist you in completing your federal, state
and local tax returns. Distributions declared in December to shareholders of record in such month, but paid in January, are taxable
as if they were paid in December. The Fund make every effort to search for reclassified income to reduce the number of corrected
forms mailed to you. However, when necessary, you will receive a corrected Form 1099 to reflect reclassified information.

 

Avoid
“Buying a Dividend”

 

At
the time you purchase your Shares, the price of Shares may reflect undistributed income, undistributed capital gains, or net unrealized
appreciation in value of portfolio securities held by the Fund. For taxable investors, a subsequent distribution to you of such
amounts, although constituting a return of your investment, would be taxable. Buying Shares in the Fund just before it declares
an income dividend or capital gains distribution is sometimes known as “buying a dividend.”

 

 

Dividend
Reinvestment Service

 

Brokers
may make available the Depository Trust Company book-entry dividend reinvestment service to their customers who own Fund Shares.
If this service is available and used, dividend distributions of both income and capital gains will automatically be reinvested
in additional whole Shares of the Fund purchased on the secondary market. Without this service, investors would receive their
distributions in cash. To determine whether the dividend reinvestment service is available and whether there is a commission or
other charge for using this service, consult your broker. Brokers may require Fund shareholders to adhere to specific procedures
and timetables. If this service is available and used, dividend distributions of both income and realized gains will be automatically
reinvested in additional whole Shares of the Fund purchased in the secondary market.

 

 

Tax
Information

 

Tax
Considerations

 

The
Fund expects, based on its investment objective and strategies, that its distributions, if any, will be taxable as ordinary income,
capital gains, or some combination of both. This is true whether you reinvest your distributions in additional Shares or receive
them in cash. For federal income tax purposes, Fund distributions of short-term capital gains are taxable to you as ordinary income.
Fund distributions of long-term capital gains are taxable to you as long-term capital gains no matter how long you have owned
your Shares. A portion of income dividends reported by the Fund may be qualified dividend income eligible for taxation by individual
shareholders at long-term capital gain rates provided certain holding period requirements are met.

 

As
with any investment, you should consider how your Fund investment will be taxed. The tax information in this Prospectus is provided
as general information. You should consult your own tax professional about the tax consequences of an investment in the Fund,
including the possible application of foreign, state and local taxes. Unless your investment in the Fund is through a tax-exempt
entity or tax-deferred retirement account, such as a 401(k) plan, you need to be aware of the possible tax consequences when:
(i) the Fund makes distributions, (ii) you sell Shares in the secondary market or (iii) you create or redeem Creation Units.

 

Taxes
on Distributions

 

The
Fund intends to distribute, at least annually, substantially all of its net investment income and net capital gains. For federal
income tax purposes, distributions of investment income are generally taxable as ordinary income or qualified dividend income.
Taxes on distributions of capital gains (if any) are determined by how long the Fund owned the investments that generated them,
rather than how long a shareholder has owned his or her Shares. Sales of assets held by the Fund for more than one year generally
result in long-term capital gains and losses, and sales of assets held by the Fund for one year or less generally result in short-term
capital gains and losses. Distributions of the Fund’s net capital gain (the excess of net long-term capital gains over net
short-term capital losses) that are reported by the Fund as capital gain dividends (“Capital Gain Dividends”) will
be taxable as long-term capital gains, which for non-corporate shareholders are subject to tax at reduced rates of up to 20% (lower
rates apply to individuals in lower tax brackets). Distributions of short-term capital gain will generally be taxable as ordinary
income. Dividends and distributions are generally taxable to you whether you receive them in cash or reinvest them in additional
Shares.

 

Distributions
reported by the Fund as “qualified dividend income” are generally taxed to noncorporate shareholders at rates applicable
to long-term capital gains, provided holding period and other requirements are met. “Qualified dividend income” generally
is income derived from dividends paid by U.S. corporations or certain foreign corporations that are either incorporated in a U.S.
possession or eligible for tax benefits under certain U.S. income tax treaties. In addition, dividends that the Fund received
in respect of stock of certain foreign corporations may be qualified dividend income if that stock is readily tradable on an established
U.S. securities market.

 

U.S.
individuals with income exceeding specified thresholds are subject to a 3.8% Medicare contribution tax on all or a portion of
their “net investment income,” which includes interest, dividends, and certain capital gains (generally including
capital gains distributions and capital gains realized on the sale of Shares). This 3.8% tax also applies to all or a portion
of the undistributed net investment income of certain shareholders, such as estates and trusts, whose gross income as adjusted
or modified for tax purposes exceeds certain threshold amounts.

 

In
general, your distributions are subject to federal income tax for the year in which they are paid. Certain distributions paid
in January, however, may be treated as paid on December 31 of the prior year. Distributions are generally taxable even if they
are paid from income or gains earned by the Fund before your investment (and thus were included in the Shares’ NAV when
you purchased your Shares).

 

You
may wish to avoid investing in the Fund shortly before a dividend or other distribution, because such a distribution will generally
be taxable even though it may economically represent a return of a portion of your investment. Distributions in excess of the
Fund’s current and accumulated earnings and profits are treated as a tax-free return of your investment to the extent of
your basis in the Shares, and generally as capital gain thereafter. A return of capital, which for tax purposes is treated as
a return of your investment, reduces your basis in Shares, thus reducing any loss or increasing any gain on a subsequent taxable
disposition of Shares. A distribution will reduce the Fund’s NAV per Share and may be taxable to you as ordinary income
or capital gain even though, from an economic standpoint, the distribution may constitute a return of capital.

 

Dividends,
interest and gains from non-U.S. investments of the Fund may give rise to withholding and other taxes imposed by foreign countries.
Tax conventions between certain countries and the United States may, in some cases, reduce or eliminate such taxes.

 

If
you are neither a resident nor a citizen of the United States or if you are a foreign entity, distributions (other than Capital
Gain Dividends) paid to you by the Fund will generally be subject to a U.S. withholding tax at the rate of 30% unless a lower
treaty rate applies. The Fund may, under certain circumstances, report all or a portion of a dividend as an “interest-related
dividend” or a “short-term capital gain dividend,” which would generally be exempt from this 30% U.S. withholding
tax, provided certain other requirements are met.

 

 

The
Fund (or a financial intermediary, such as a broker, through which a shareholder owns Shares) generally is required to withhold
and remit to the U.S. Treasury a percentage of the taxable distributions and sale or redemption proceeds paid to any shareholder
who fails to properly furnish a correct taxpayer identification number, who has underreported dividend or interest income, or
who fails to certify that he, she or it is not subject to such withholding.

 

Shortly
after the close of each calendar year, you will be informed of the character of any distributions received from the Fund.

 

Taxes
When Shares are Sold on the Exchange

 

Any
capital gain or loss realized upon a sale of Shares generally is treated as a long-term capital gain or loss if Shares have been
held for more than one year and as a short-term capital gain or loss if Shares have been held for one year or less. However, any
capital loss on a sale of Shares held for six months or less is treated as long-term capital loss to the extent of Capital Gain
Dividends paid with respect to such Shares. The ability to deduct capital losses may be limited.

 

Taxes
on Purchases and Redemptions of Creation Units

 

An
Authorized Participant having the U.S. dollar as its functional currency for U.S. federal income tax purposes who exchanges securities
for Creation Units generally recognizes a gain or a loss. The gain or loss will be equal to the difference between the value of
the Creation Units at the time of the exchange and the exchanging Authorized Participant’s aggregate basis in the securities
delivered plus the amount of any cash paid for the Creation Units. An Authorized Participant who exchanges Creation Units for
securities will generally recognize a gain or loss equal to the difference between the exchanging Authorized Participant’s
basis in the Creation Units and the aggregate U.S. dollar market value of the securities received, plus any cash received for
such Creation Units. The Internal Revenue Service may assert, however, that a loss that is realized upon an exchange of securities
for Creation Units may not be currently deducted under the rules governing “wash sales” (for an Authorized Participant
who does not mark-to-market their holdings), or on the basis that there has been no significant change in economic position. Persons
exchanging securities should consult their own tax advisor with respect to whether wash sale rules apply and when a loss might
be deductible.

 

Any
capital gain or loss realized upon redemption of Creation Units is generally treated as long-term capital gain or loss if Shares
have been held for more than one year and as a short-term capital gain or loss if Shares have been held for one year or less.

 

The
information in this section “Tax Information” is not intended or written to be used as tax advice. Because everyone’s
tax situation is unique, you should consult your tax professional about federal, state, local or foreign tax consequences before
making an investment in the Fund.

 

 

Financial
Highlights

 

The
financial highlights tables are intended to help you understand the financial performance of the Fund since its inception. Certain
information reflects financial results for a single Fund share. The total returns in the table represent the rate that an investor
would have earned (or lost) on an investment in the Fund (assuming reinvestment of all dividends and distributions). The information
for the year ended May 31, 2023 has been audited by the Fund’s independent registered public accounting firm, Cohen &
Company, Ltd., whose report, along with the Fund’s financial statements, are included in the Fund’s annual report
dated May 31, 2023, which is available upon request. The Fund’s financial statements for the period ended May 31, 2022,
were audited by the Fund’s former Independent Registered Public Accounting Firm. The annual report for that period is available
upon request.

 

Financial Highlights

FIS Christian Stock Fund

(formerly known as FIS Biblically
Responsible Risk Managed ETF)

 

For a share outstanding throughout the periods presented

 

    For the
Year Ended
May 31, 2023
    For the
Period Ended
May 31, 2022(a)
 
                 
Net asset value, beginning of year or period   $23.29     $25.00  
                 
INCOME FROM INVESTMENT OPERATIONS:                
Net investment income(b)     0.26       0.16  
Net realized and unrealized gain (loss)     (0.80 )     (1.88 )
Total from investment operations     (0.54 )     (1.72 )
                 
LESS DISTRIBUTIONS:                
From net investment income     (0.26 )      
Total distributions     (0.26 )      
                 
CAPITAL SHARE TRANSACTIONS:                
Variable ETF transaction fees (b)           0.01  
Total capital share transactions           0.01  
                 
Net asset value, end of year or period   $22.49     $23.29  
                 
TOTAL RETURNS:                
Net Asset Value(c)     -2.29 %+     -6.82 %*
Market Value(d)     -2.08 %+     -6.82 %*
                 
RATIOS/SUPPLEMENTAL DATA:                
                 
Net assets, end of year or period (millions)   $22.7     $24.5  
Ratio to average net assets of:               
Expenses     0.68 %+     0.68 %+
Net investment income     1.18 %+     2.14 %+
                 
Portfolio turnover rate(e)     27 %+     14 %*

 

(a)The
Fund commenced investment operations on February 8, 2022.

 

(b)Calculated
using average shares outstanding, during the year or period.

 

(c)Net
asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period,
reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period
at net asset value.

 

(d)Market
value total return is calculated assuming an initial investment made at market value at the beginning of the period, reinvestment
of all dividends and distributions at market value during the period and redemption on the last day of the period at market value.
The market value is based upon the official closing price at 4:00 p.m. from the NYSE Arca, Inc. Exchange. Market value returns
may vary from net asset value returns.

 

(e)Portfolio
turnover rate excludes in-kind transactions.

 

*Not
Annualized.

 

+Annualized.

 

 

Premium/Discount
Information

 

Information
regarding how often Shares of the Fund traded on the Exchange at a price above (i.e., at a premium) or below (i.e., at a discount)
the NAV of the Fund during the past four calendar quarters, or since inception, as applicable, can be found at the Fund’s
website at www.faithinvestorservices.com.

 

Investment
Adviser
Sub-Adviser

Faith
Investor Services, LLC

14785
Preston Road, Suite 10000 

Dallas,
TX 75254 

Capital
Insight Partners, LLC

7328
East Deer Valley Road, Suite 105 

Scottsdale,
AZ 85255 

   
Custodian Transfer
Agent

U.S.
Bank, N.A. 

1555
N. Rivercenter Drive, Suite 302

Milwaukee,
WI 53212 

U.S.
Bancorp Fund Services, LLC

615
East Michigan Street 

Milwaukee,
WI 53202 

   
Distributor Independent
Registered Public Accounting Firm

Foreside
Fund Services, LLC 

Three
Canal Plaza, Suite 100 

Portland, Maine 04101 

Cohen
& Company, Ltd. 

1835
Market Street, Suite 310

Philadelphia,
PA 19103  

   
Legal
Counsel
 

Thompson
Hine LLP 

1919
M Street, N.W., Suite 700 

Washington,
D.C. 20036 

 

 

Disclaimers

 

Shares
of the Trust are not sponsored, endorsed, or promoted by the Exchange. The Exchange makes no representation or warranty, express
or implied, to the owners of the Shares of the Fund. The Exchange is not responsible for, nor has it participated in, the determination
of the timing of, prices of, or quantities of the Shares of the Fund to be issued, or in the determination or calculation of the
equation by which the Shares are redeemable. The Exchange has no obligation or liability to owners of the Shares of the Fund in
connection with the administration, marketing, or trading of the Shares of the Fund. Without limiting any of the foregoing, in
no event shall the Exchange have any liability for any lost profits or indirect, punitive, special, or consequential damages even
if notified of the possibility thereof.

 

Additional
Information

 

This
Prospectus does not contain all the information included in the Registration Statement filed with the SEC with respect to the
Fund’s Shares. Information about the Fund can be reviewed on the EDGAR database at the SEC’s website (http://www.sec.gov),
and copies may be obtained, after paying a duplicating fee, by electronic request at the following email address: [email protected].
The SAI for the Fund, which has been filed with the SEC, provides more information about the Fund. The SAI is incorporated herein
by reference and is legally part of this Prospectus. Additional information about the Fund’s investments is available in
the Fund’s annual and semi-annual reports to shareholders. In the Fund’s annual report, you will find a discussion
of the market conditions and investment strategies that significantly affected the Fund’s performance during its last fiscal
year. You can also obtain information about the Fund by calling at no cost 833-833-1311.

 

Reports
and other information about the Fund are available on the EDGAR Database on the SEC’s website at http://www.sec.gov.
Copies of the information may be obtained, after paying a duplicating fee, by electronic request at the following e-mail address:
[email protected].

 

Investment
Company Act File No. 811-23376.

 

 

NEOS
ETF Trust

 

STATEMENT
OF ADDITIONAL INFORMATION

 

Dated
September 28, 2023

 

This
Statement of Additional Information (“SAI”) is not a prospectus, and should be read in conjunction with the Prospectus
of NEOS ETF Trust (the “Trust”) dated September 28, 2023, as amended (“Prospectus”) for the following series
of the Trust, as it may be supplemented from time to time:

 

Fund   Ticker
Symbol
  Listing
Exchange
FIS Christian Stock
Fund
  PRAY   NYSE
Arca, Inc.

 

Capitalized
terms used herein that are not defined have the same meaning as in the Prospectus, unless otherwise noted. The Fund’s Prospectus
is hereby incorporated by reference, which means it is legally part of this document. A copy of FIS Christian Stock Fund’s
(the “Fund”) Prospectus, SAI, Annual Report, and Semi-Annual Report may be obtained without charge by writing to the
Trust or the Trust’s Distributor, Foreside Fund Services, LLC, at Three Canal Plaza, Suite 100, Portland, Maine 04101,
or by calling 833-833-1311 (9 a.m. to 6 p.m. Eastern Time).

 

References
to the Investment Company Act of 1940, as amended, or other applicable law, will include any rules promulgated thereunder and
any guidance, interpretations or modifications by the Securities and Exchange Commission (“SEC”), SEC staff or other
authority with appropriate jurisdiction, including court interpretations, and exemptive, no action or other relief or permission
from the SEC, SEC staff or other authority.

 

 

TABLE
OF CONTENTS

 

 

GENERAL
DESCRIPTION OF THE TRUST

 

The
Trust is an open-end management investment company. The Trust consists of various separate investment portfolios, including the
Fund. The Fund is a diversified management investment company under the Investment Company Act of 1940, as amended (together with
the rules and regulations adopted thereunder, as amended, the “1940 Act”). The Fund is actively managed. The Trust
was organized as a Delaware statutory trust on February 1, 2021. The Trust is governed by its Board of Trustees (the “Board”).
The offering of the Fund’s shares (“Shares”) is registered under the Securities Act of 1933, as amended (the
“Securities Act”). Faith Investor Services, LLC (the “Adviser”) acts as investment adviser to the Fund.
Capital Insight Partners, LLC (the “Sub-Adviser”) acts as sub-adviser to the Fund.

 

The
Fund offers and issues Shares at their net asset value (“NAV”) only in aggregations of a specified number of Shares
(each, a “Creation Unit”). The Fund generally offers and issues Shares in exchange for the deposit or delivery of
cash (“Deposit Cash”). The Trust reserves the right to, in certain circumstances, permit or require the exchange of
Creation Units partially or solely for securities in the Fund’s portfolio (“Deposit Securities”). Shares are
listed on NYSE Arca, Inc. (the “Exchange”) and trade on the Exchange at market prices that may differ from the Shares’
NAV. Shares are also redeemable only in Creation Unit aggregations, primarily for a basket of Deposit Securities together with
a Cash Component. As a practical matter, only institutions or large investors purchase or redeem Creation Units. Except when aggregated
in Creation Units, Shares are not redeemable securities.

 

Shares
may be issued in advance of receipt of Deposit Securities subject to various conditions, including a requirement to maintain on
deposit with the Trust cash at least equal to a specified percentage of the value of the missing Deposit Securities or Deposit
Cash (collectively, the “Fund Deposit”), as set forth in the Participant Agreement (as defined below). The Trust may
impose a transaction fee for each creation or redemption. In all cases, such fees will be limited in accordance with the requirements
of the Securities and Exchange Commission (“SEC”) applicable to management investment companies offering redeemable
securities. As in the case of other publicly traded securities, brokers’ commissions on transactions in the secondary market
will be based on negotiated commission rates at customary levels.

 

INVESTMENT
POLICIES AND RISKS

 

A
discussion of the risks associated with an investment in the Fund is contained in the Prospectus under the headings “Summary
Information—Principal Investment Strategies of the Fund” with respect to the Fund, “Summary Information—Principal
Risks of Investing in the Fund” with respect to the Fund and “Additional Information About the Fund’s Investment
Strategies and Risks.” The discussion below supplements, and should be read in conjunction with, such sections of the Prospectus.

 

General
Considerations and Risks

 

An
investment in the Fund should be made with an understanding that the value of the Fund’s portfolio securities may fluctuate
in accordance with changes in the financial condition of the issuers of the portfolio securities, the value of securities generally
and other factors.

 

The
existence of a liquid trading market for certain securities may depend on whether dealers will make a market in such securities.
There can be no assurance that a market will be made or maintained or that any such market will be or remain liquid. The price
at which securities may be sold and the value of the Fund’s Shares will be adversely affected if trading markets for the
Fund’s portfolio securities are limited or absent or if bid/ask spreads are wide.

 

The
Adviser, on behalf of the Fund, has filed with the National Futures Association (“NFA”) a notice claiming an exclusion
from the definition of the term “commodity pool operator” (“CPO”) under the Commodity Exchange Act, as
amended (“CEA”), and the rules of the Commodity Futures Trading Commission (“CFTC”) promulgated thereunder,
with respect to the Fund’s operations. Therefore, the Fund, the Adviser (as defined below), and Sub-Adviser (as defined
below) (both with respect to the Fund) are not subject to registration or regulation as a commodity pool or CPO under the CEA.
If the Fund becomes subject to these requirements, as well as related NFA rules, the Fund may incur additional compliance and
other expenses.

 

Active
Management Risk

The
Fund is actively managed, which means that investment decisions are made based on investment views. There is no guarantee that
the investment views will produce the desired results or expected returns, which may cause the Fund to fail to meet its investment
objective or to underperform its benchmark index or funds with similar investment objectives and strategies. Furthermore, active
trading that can accompany active management may result in high portfolio turnover, which may have a negative impact on performance.
Active trading may result in higher brokerage costs or mark-up charges, which are ultimately passed on to shareholders of the
Fund. Active trading may also result in adverse tax consequences.

 

 

Asset-Backed
Securities

 

The
Fund may invest in asset-backed securities (“ABSs”), which are bonds backed by pools of loans or other receivables.
ABSs are created from many types of assets, including auto loans, credit card receivables, home equity loans, and student loans.
ABSs are issued through special purpose vehicles that are bankruptcy remote from the issuer of the collateral. The credit quality
of an ABS transaction depends on the performance of the underlying assets. To protect ABS investors from the possibility that
some borrowers could miss payments or even default on their loans, ABSs include various forms of credit enhancement. Some ABSs,
particularly home equity loan transactions, are subject to interest-rate risk and prepayment risk. A change in interest rates
can affect the pace of payments on the underlying loans, which in turn, affects total return on the securities. ABSs also carry
credit or default risk. If many borrowers on the underlying loans default, losses could exceed the credit enhancement level and
result in losses to investors in an ABS transaction. Finally, ABSs have structure risk due to a unique characteristic known as
early amortization, or early payout, risk. Built into the structure of most ABSs are triggers for early payout, designed to protect
investors from losses. These triggers are unique to each transaction and can include a big rise in defaults on the underlying
loans, a sharp drop in the credit enhancement level, or even the bankruptcy of the originator. Once early amortization begins,
all incoming loan payments (after expenses are paid) are used to pay investors as quickly as possible based upon a predetermined
priority of payment. Consistent with the Fund’s investment objectives and policies, the Adviser also may invest in other
types of ABSs.

 

Authorized
Participant Concentration

 

Only
an Authorized Participant (as defined in the Creations and Redemptions section of the Fund’s prospectus (the “Prospectus”))
may engage in creation or redemption transactions directly with the Fund. The Fund has a limited number of institutions that act
as Authorized Participants. To the extent that these institutions exit the business or are unable to proceed with creation and/or
redemption orders with respect to the Fund and no other Authorized Participant is able to step forward to create or redeem Creation
Units, Fund shares may trade at a discount to NAV and possibly face trading halts and/or delisting.

 

Borrowing

 

The
Fund may borrow money to the extent permitted under the 1940 Act, as interpreted or modified by regulation from time to time.
This means that, in general, the Fund may borrow money from banks for any purpose in an amount up to 1/3 of the Fund’s total
assets. The Fund also may borrow money for temporary administrative purposes in an amount not to exceed 5% of the Fund’s
total assets.

 

Specifically,
provisions of the 1940 Act require the Fund to maintain continuous asset coverage (that is, total assets including borrowings,
less liabilities exclusive of borrowings) of 300% of the amount borrowed, with an exception for borrowings not in excess of 5%
of the Fund’s total assets made for temporary purposes. Any borrowings for temporary purposes in excess of 5% of the Fund’s
total assets must maintain continuous asset coverage. If the 300% asset coverage should decline as a result of market fluctuations
or other reasons, the Fund may be required to sell some of its portfolio holdings within three (3) days (not including Sundays
and holidays) to reduce the debt and restore the 300% asset coverage, even though it may be disadvantageous from an investment
standpoint to sell securities at that time.

 

The
Fund also may enter into certain transactions that can be viewed as constituting a form of borrowing or financing transaction
by such Fund. Borrowing will tend to exaggerate the effect on the Fund’s NAV of any increase or decrease in the market value
of the Fund’s portfolio. Money borrowed will be subject to interest costs that may or may not be recovered by appreciation
of the securities purchased. In addition, the Fund may be required to maintain minimum average balances in connection with such
borrowing or to pay a commitment or other fee to maintain a line of credit; either of these requirements would increase the cost
of borrowing over the stated interest rate.

 

Costs
of Buying or Selling Shares Risk

 

Investors
buying or selling Shares in the secondary market will pay brokerage commissions or other charges imposed by brokers as determined
by that broker. Brokerage commissions are often a fixed amount and may be a significant proportional cost for investors seeking
to buy or sell relatively small amounts of Shares. In addition, secondary market investors will also incur the cost of the difference
between the price that an investor is willing to pay for Shares (the “bid” price) and the price at which an investor
is willing to sell Shares (the “ask” price). This difference in bid and ask prices is often referred to as the “spread”
or “bid/ask spread.” The bid/ask spread varies over time for Shares based on trading volume and market liquidity,
and is generally lower if the Fund’s Shares have more trading volume and market liquidity and higher if the Fund’s
Shares have little trading volume and market liquidity. Further, increased market volatility may cause increased bid/ask spreads.
Due to the costs of buying or selling Shares, including bid/ask spreads, frequent trading of Shares may significantly reduce investment
results and an investment in Shares may not be advisable for investors who anticipate regularly making small investments.

 

 

Cybersecurity
and Disaster Recovery Risks

 

In
connection with the increased use of technologies such as the Internet and the dependence on computer systems to perform necessary
business functions, the Fund is susceptible to operational, information security, and related risks due to the possibility of
cyber-attacks or other incidents. Cyber incidents may result from deliberate attacks or unintentional events. Cyber-attacks include,
but are not limited to, infection by computer viruses or other malicious software code, gaining unauthorized access to systems,
networks, or devices that are used to service the Fund’s operations through hacking or other means for the purpose of misappropriating
assets or sensitive information, corrupting data, or causing operational disruption. Cyber-attacks may also be carried out in
a manner that does not require gaining unauthorized access, such as causing denial-of-service attacks (which can make a website
unavailable) on the Fund’s website. In addition, authorized persons could inadvertently or intentionally release confidential
or proprietary information stored on the Fund’s systems.

 

Cybersecurity
failures or breaches by the Fund’s third party service providers (including, but not limited to, the adviser, the sub-adviser,
distributor, custodian, transfer agent, and financial intermediaries) may cause disruptions and impact the service providers’
and the Fund’s business operations, potentially resulting in financial losses, the inability of Fund shareholders to transact
business and the mutual funds to process transactions, inability to calculate the Fund’s net asset value, violations of
applicable privacy and other laws, regulatory fines, penalties, reputational damage, reimbursement or other compensation costs,
and/or additional compliance costs. The Fund and its shareholders could be negatively impacted as a result of successful cyber-attacks
against, or security breakdowns of, the Fund or its third-party service providers.

 

The
Fund may incur substantial costs to prevent or address cyber incidents in the future. In addition, there is a possibility that
certain risks have not been adequately identified or prepared for. Furthermore, the Fund cannot directly control any cybersecurity
plans and systems put in place by third party service providers. Cybersecurity risks are also present for issuers of securities
in which the Fund invests, which could result in material adverse consequences for such issuers, and may cause the Fund’s
investment in such securities to lose value.

 

Collateralized
Bond Obligations, Collateralized Loan Obligations and Other Collateralized Debt Obligations

The
Fund may invest in each of collateralized bond obligations (“CBOs”), collateralized loan obligations (“CLOs”),
other collateralized debt obligations (“CDOs”) and other similarly structured securities. CBOs, CLOs and other CDOs
are types of asset-backed securities. A CBO is a trust which is often backed by a diversified pool of high risk, below investment-grade
fixed income securities. The collateral can be from many different types of fixed income securities such as high yield debt, residential
privately issued mortgage-related securities, commercial privately issued mortgage-related securities, trust preferred securities
and emerging market debt. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic
and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below
investment-grade or equivalent unrated loans. Other CDOs are trusts backed by other types of assets representing obligations of
various parties. CBOs, CLOs and other CDOs may charge management fees and administrative expenses.

 

For
CBOs, CLOs and other CDOs, the cash flows from the trust are split into two or more portions, called tranches, varying in risk
and yield. The riskiest portion is the “equity” tranche which bears the bulk of defaults from the bonds or loans in
the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since they
are partially protected from defaults, senior tranches from a CBO trust, CLO trust or trust of another CDO typically have higher
ratings and lower yields than their underlying securities, and can be rated investment-grade. Despite the protection from the
equity tranche, CBO, CLO or other CDO tranches can experience substantial losses due to actual defaults, increased sensitivity
to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults, as well as aversion
to CBO, CLO or other CDO securities as a class.

 

The
risks of an investment in a CBO, CLO or other CDO depend largely on the type of the collateral securities and the class of the
instrument in which the Fund invests. Normally, CBOs, CLOs and other CDOs are privately offered and sold, and thus, are not registered
under the securities laws. As a result, investments in CBOs, CLOs and other CDOs may be characterized by the Fund as illiquid
securities, however, an active dealer market may exist for CBOs, CLOs and other CDOs allowing them to qualify for Rule 144A transactions.
In addition to the normal risks associated with fixed income securities discussed elsewhere in this SAI and the Fund’s Prospectus
(e.g., fixed income risk and credit risk), CBOs, CLOs and other CDOs carry additional risks including, but are not limited to,
(i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments, (ii)
the quality of the collateral may decline in value or default, (iii) the risk that the Fund may invest in CBOs, CLOs or other
CDOs that are subordinate to other classes, and (iv) the possibility that the complex structure of the security may not be fully
understood at the time of investment and may produce disputes with the issuer or unexpected investment results.

 

Counterparty
Risk

 

The
Fund may invest in financial instruments involving counterparties for the purpose of attempting to gain exposure to a particular
group of securities, index or asset class without actually purchasing those securities or investments, or to hedge a position.
Such financial instruments may include, among others, total return, index, interest rate, and credit default swap agreements.
The use of swap agreements and similar instruments exposes the Fund to risks that are different than those associated with ordinary
portfolio securities transactions. For example, the Fund bears the risk of loss of the amount expected to be received under a
swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. If a counterparty defaults on its payment
obligations to the Fund, this default will cause the value of your investment in the Fund to decrease. In addition, the Fund may
enter into swap agreements with a limited number of counterparties, which may increase the Fund’s exposure to counterparty
credit risk. Similarly, if the credit quality of an issuer or guarantor of a debt instrument improves, this change may adversely
affect the value of the Fund’s investment.

 

 

Credit
Risk

Credit
risk is the risk that the Fund could lose money if an issuer or guarantor of a debt instrument becomes unwilling or unable to
make timely principal and/or interest payments, or to otherwise meet its obligations. The Fund is also subject to the risk that
its investment in a debt instrument could decline because of concerns about the issuer’s credit quality or perceived financial
condition. Fixed income securities are subject to varying degrees of credit risk, which are sometimes reflected in credit ratings.

 

Dividend-Paying
Stock Risk

 

While
the Fund may hold securities of companies that have historically paid a high dividend yield, those companies may reduce or discontinue
their dividends, reducing the yield of the Fund. Low priced securities in the Fund may be more susceptible to these risks. Past
dividend payments are not a guarantee of future dividend payments. Also, the market return of high dividend yield securities,
in certain market conditions, may perform worse than other investment strategies or the overall stock market. The Fund’s
emphasis on dividend-paying stocks involves the risk that such stocks may fall out of favor with investors and underperform the
market. Also, a company may reduce or eliminate its dividend.

 

Foreign
Currency Transactions

 

Foreign
Currencies

 

The
Fund may invest directly and indirectly in foreign currencies. The Fund may conduct foreign currency transactions on a spot (i.e.,
cash) or forward basis (i.e., by entering into forward contracts to purchase or sell foreign currencies). Currency transactions
made on a spot basis are for cash at the spot rate prevailing in the currency exchange market for buying or selling currency.
Although foreign exchange dealers generally do not charge a fee for such conversions, they do realize a profit based on the difference
between the prices at which they are buying and selling various currencies. Thus, a dealer may offer to sell a foreign currency
at one rate, while offering a lesser rate of exchange should the counterparty desire to resell that currency to the dealer. When
used for hedging purposes, forward currency contracts tend to limit any potential gain that may be realized if the value of the
Fund’s foreign holdings increases because of currency fluctuations.

 

Investments
in foreign currencies are subject to numerous risks, not the least of which is the fluctuation of foreign currency exchange rates
with respect to the U.S. dollar. Exchange rates fluctuate for a number of reasons.

 

  Inflation.
Exchange rates change to reflect changes in a currency’s buying power. Different countries experience different inflation
rates due to different monetary and fiscal policies, different product and labor market conditions, and a host of other factors.
  Trade
Deficits
. Countries with trade deficits tend to experience a depreciating currency. Inflation may be the cause of a trade
deficit, making a country’s goods more expensive and less competitive and so reducing demand for its currency.
  Interest
Rates
. High interest rates may raise currency values in the short term by making such currencies more attractive to investors.
However, since high interest rates are often the result of high inflation, long-term results may be the opposite.
  Budget
Deficits and Low Savings Rates
. Countries that run large budget deficits and save little of their national income tend
to suffer a depreciating currency because they are forced to borrow abroad to finance their deficits. Payments of interest
on this debt can inundate the currency markets with the currency of the debtor nation. Budget deficits also can indirectly
contribute to currency depreciation if a government chooses inflationary measures to cope with its deficits and debts.
  Political
Factors
. Political instability in a country can cause a currency to depreciate. Demand for a certain currency may fall
if a country appears a less desirable place in which to invest and do business.
  Government
Control
. Through their own buying and selling of currencies, the world’s central banks sometimes manipulate exchange
rate movements. In addition, governments occasionally issue statements to influence people’s expectations about the
direction of exchange rates, or they may instigate policies with an exchange rate target as the goal. The value of the Fund’s
investments is calculated in U.S. dollars each day that the New York Stock Exchange (“NYSE”) is open for business.
As a result, to the extent that the Fund’s assets are invested in instruments denominated in foreign currencies and
the currencies appreciate relative to the U.S. dollar, the Fund’s NAV as expressed in U.S. dollars (and, therefore,
the value of your investment) should increase. If the U.S. dollar appreciates relative to the other currencies, the opposite
should occur. The currency-related gains and losses experienced by the Fund will be based on changes in the value of portfolio
securities attributable to currency fluctuations only in relation to the original purchase price of such securities as stated
in U.S. dollars. Gains or losses on shares of the Fund will be based on changes attributable to fluctuations in the NAV of
such shares, expressed in U.S. dollars, in relation to the original U.S. dollar purchase price of the shares. The amount of
appreciation or depreciation in the Fund’s assets also will be affected by the net investment income generated by the
money market instruments in which the Fund invests and by changes in the value of the securities that are unrelated to changes
in currency exchange rates.

 

 

The
Fund may incur currency exchange costs when it sells instruments denominated in one currency and buys instruments denominated
in another.

 

Currency-Related
Derivatives and Other Financial Instruments

 

The
Fund may use currency transactions in order to hedge the value of portfolio holdings denominated in particular currencies against
fluctuations in relative value. Currency transactions include forward currency contracts, exchange-listed currency futures and
options thereon, exchange-listed and over-the-counter (“OTC”) options on currencies, and currency swaps. A forward
currency contract involves a privately negotiated obligation to purchase or sell (with delivery generally required) a specific
currency at a future date, which may be any fixed number of days from the date of the contract agreed upon by the parties, at
a price set at the time of the contract. These contracts are traded in the interbank market conducted directly between currency
traders (usually large, commercial banks) and their customers. A forward foreign currency contract generally has no deposit requirement,
and no commissions are charged at any stage for trades. A currency swap is an agreement to exchange cash flows based on the notional
difference among two or more currencies and operates similarly to an interest rate swap, which is described below. The Fund may
enter into currency transactions with counterparties which have received (or the guarantors of the obligations of which have received)
a short-term credit rating of A-1 or P-1 by S&P or Moody’s, respectively, or that have an equivalent rating from a Nationally
Recognized Statistical Rating Organization (“NRSRO”) or (except for OTC currency options) are determined to be of
equivalent credit quality by the Adviser.

 

The
Fund’s dealings in forward currency contracts and other currency transactions such as futures, options on futures, options
on currencies and swaps will be limited to hedging involving either specific transactions (“Transaction Hedging”)
or portfolio positions (“Position Hedging”). Transaction Hedging is entering into a currency transaction with respect
to specific assets or liabilities of the Fund or an underlying fund, which will generally arise in connection with the purchase
or sale of its portfolio securities or the receipt of income therefrom. The Fund may be able to protect itself against possible
losses resulting from changes in the relationship between the U.S. dollar and foreign currencies during the period between the
date the security is purchased or sold and the date on which payment is made or received by entering into a forward contract for
the purchase or sale, for a fixed amount of dollars, of the amount of the foreign currency involved in the underlying security
transactions.

 

Position
Hedging is entering into a currency transaction with respect to portfolio security positions denominated or generally quoted in
that currency. The Fund may enter into a forward foreign currency contract to sell, for a fixed amount of dollars, the amount
of foreign currency approximating the value of some or all of its portfolio securities denominated in such foreign currency. The
precise matching of the forward foreign currency contract amount and the value of the portfolio securities involved may not have
a perfect correlation since the future value of the securities hedged will change as a consequence of the market between the date
the forward contract is entered into and the date it matures. The projection of short-term currency market movement is difficult,
and the successful execution of this short-term hedging strategy is uncertain.

 

The
Fund will not enter into a transaction to hedge currency exposure to an extent greater, after netting all transactions intended
wholly or partially to offset other transactions, than the aggregate market value (at the time of entering into the transaction)
of the securities held in its portfolio that are denominated or generally quoted in or currently convertible into such currency.

 

The
Fund in which it invests may also cross-hedge currencies by entering into transactions to purchase or sell one or more currencies
that are expected to decline in value relative to other currencies to which that Fund has or in which that Fund expects to have
portfolio exposure.

 

Currency
hedging involves some of the same risks and considerations as other transactions with similar instruments. Currency transactions
can result in losses to the Fund if the currency being hedged fluctuates in value to a degree or in a direction that is not anticipated.
If the Fund enters into a currency hedging transaction, the Fund will “cover” its position so as not to create a “senior
security” as defined in Section 18 of the 1940 Act.

 

Currency
transactions are subject to risks different from those of other portfolio transactions. Because currency control is of great importance
to the issuing governments and influences economic planning and policy, purchase and sales of currency and related instruments
can be negatively affected by government exchange controls, blockages, and manipulations or exchange restrictions imposed by governments.
These actions can result in losses to the Fund if it is unable to deliver or receive currency or funds in settlement of obligations
and could also cause hedges it has entered into to be rendered useless, resulting in full currency exposure as well as incurring
transaction costs. Buyers and sellers of currency futures are subject to the same risks that apply to the use of futures generally.
Furthermore, settlement of a currency futures contract for the purchase of most currencies must occur at a bank based in the issuing
nation. Trading options on currency futures is relatively new, and the ability to establish and close out positions on such options
is subject to the maintenance of a liquid market, which may not always be available. Currency exchange rates may fluctuate based
on factors extrinsic to that country’s economy. Although forward foreign currency contracts and currency futures tend to
minimize the risk of loss due to a decline in the value of the hedged currency, at the same time they tend to limit any potential
gain which might result should the value of such currency increase.

 

 

The
Fund is not required to enter into forward currency contracts for hedging purposes and it is possible that the Fund may not be
able to hedge against a currency devaluation that is so generally anticipated that the Fund is unable to contract to sell the
currency at a price above the devaluation level it anticipates. It also is possible that, under certain circumstances, the Fund
may have to limit its currency transactions to qualify as a “regulated investment company” under the U.S. Internal
Revenue Code of 1986, as amended (the “Code”).

 

Custody
Risk

 

Less
developed markets are more likely to experience problems with the clearing and settling of trades, as well as the holding of securities
by local banks, agents and depositories.

 

Derivatives
Risk

 

Derivatives
are financial instruments whose values are based on the value of one or more indicators, such as a security, asset, currency,
interest rate, or index. The use of derivatives involves risks different from, and possibly greater than, the risks associated
with investing directly in securities and other more traditional investments. Moreover, although the value of a derivative is
based on an underlying indicator, a derivative does not carry the same rights as would be the case if invested directly in the
underlying securities.

 

The
SEC adopted new regulations governing the use of derivatives by registered investment companies (“Rule 18f-4”). If
applicable to the Fund, Rule 18f-4 imposes limits on the amount of derivatives the Fund can enter into, treats derivatives as
senior securities and if the Fund’s use of derivatives is more than a limited specified exposure amount, requires the Fund
to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager.

 

Equity
Securities

 

An
investment in the Fund should also be made with an understanding of the risks inherent in an investment in equity securities,
including the risk that the financial condition of issuers may become impaired or that the general condition of the securities
market may deteriorate (either of which may cause a decrease in the value of the portfolio securities and thus in the value of
Shares). Common stocks are susceptible to general stock market fluctuations and to volatile increases and decreases in value as
market confidence in and perceptions of their issuers change. These investor perceptions are based on various and unpredictable
factors, including expectations regarding government, economic, monetary and fiscal policies, inflation and interest rates, economic
expansion or contraction, and global or regional political, economic and banking crises.

 

Holders
of common stocks incur more risk than holders of preferred stocks and debt obligations because common stockholders, as owners
of the issuer, have generally inferior rights to receive payments from the issuer in comparison with the rights of creditors of,
or holders of debt obligations or preferred stocks issued by, the issuer. Further, unlike debt securities, which typically have
a stated principal amount payable at maturity (whose value, however, will be subject to market fluctuations prior thereto), or
preferred stocks, which typically have a liquidation preference and which may have stated optional or mandatory redemption provisions,
common stocks have neither a fixed principal amount nor a maturity. Common stock values are subject to market fluctuations as
long as the common stock remains outstanding.

 

The
Fund may purchase equity securities traded in the U.S. on registered exchanges or the over-the-counter market. The Fund may invest
in the types of equity securities described below.

 

Common
Stock

 

Common
stock represents an equity or ownership interest in an issuer. In the event an issuer is liquidated or declares bankruptcy, the
claims of owners of bonds and preferred stock take precedence over the claims of those who own common stock.

 

 

Preferred
Stock

 

Preferred
stock represents an equity or ownership interest in an issuer that pays dividends at a specified rate and that has precedence
over common stock in the payment of dividends. In the event an issuer is liquidated or declares bankruptcy, the claims of owners
of bonds take precedence over the claims of those who own preferred and common stock.

 

Warrants

 

Warrants
are instruments that entitle the holder to buy an equity security at a specific price for a specific period of time. Changes in
the value of a warrant do not necessarily correspond to changes in the value of its underlying security. The price of a warrant
may be more volatile than the price of its underlying security, and a warrant may offer greater potential for capital appreciation
as well as capital loss. Warrants do not entitle a holder to dividends or voting rights with respect to the underlying security
and do not represent any rights in the assets of the issuing company. A warrant ceases to have value if it is not exercised prior
to its expiration date. These factors can make warrants more speculative than other types of investments.

 

Convertible
Securities

 

Convertible
securities are bonds, debentures, notes, preferred stocks or other securities that may be converted or exchanged (by the holder
or by the issuer) into shares of the underlying common stock (or cash or securities of equivalent value) at a stated exchange
ratio. A convertible security may also be called for redemption or conversion by the issuer after a particular date and under
certain circumstances (including a specified price) established upon issue. If a convertible security held by the Fund is called
for redemption or conversion, the Fund could be required to tender it for redemption, convert it into the underlying common stock,
or sell it to a third-party.

 

Convertible
securities generally have less potential for gain or loss than common stocks. Convertible securities generally provide yields
higher than the underlying common stocks, but generally lower than comparable non-convertible securities. Because of this higher
yield, convertible securities generally sell at a price above their “conversion value,” which is the current market
value of the stock to be received upon conversion. The difference between this conversion value and the price of convertible securities
will vary over time depending on changes in the value of the underlying common stocks and interest rates. When the underlying
common stocks decline in value, convertible securities will tend not to decline to the same extent because of the interest or
dividend payments and the repayment of principal at maturity for certain types of convertible securities. However, securities
that are convertible other than at the option of the holder generally do not limit the potential for loss to the same extent as
securities convertible at the option of the holder. When the underlying common stocks rise in value, the value of convertible
securities may also be expected to increase. At the same time, however, the difference between the market value of convertible
securities and their conversion value will narrow, which means that the value of convertible securities will generally not increase
to the same extent as the value of the underlying common stocks. Because convertible securities may also be interest-rate sensitive,
their value may increase as interest rates fall and decrease as interest rates rise. Convertible securities are also subject to
credit risk, and are often lower-quality securities.

 

Small
and Medium Capitalization Issuers

 

Investing
in equity securities of small and medium capitalization companies often involves greater risk than is customarily associated with
investments in larger capitalization companies. This increased risk may be due to the greater business risks of smaller size,
limited markets and financial resources, narrow product lines and frequent lack of depth of management. The securities of smaller
companies are often traded in the over-the-counter market and even if listed on a national securities exchange may not be traded
in volumes typical for that exchange. Consequently, the securities of smaller companies are less likely to be liquid, may have
limited market stability, and may be subject to more abrupt or erratic market movements than securities of larger, more established
growth companies or the market averages in general.

 

Master
Limited Partnerships (“MLPs”)

 

MLPs
are limited partnerships in which the ownership units are publicly traded. MLP units are registered with the SEC and are freely
traded on a securities exchange or in the over-the-counter market. MLPs often own several properties or businesses (or own interests)
that are related to real estate development and oil and gas industries, but they also may finance motion pictures, research and
development and other projects. Generally, an MLP is operated under the supervision of one or more managing general partners.
Limited partners are not involved in the day-to-day management of the partnership.

 

The
risks of investing in an MLP are generally those involved in investing in a partnership as opposed to a corporation. For example,
state law governing partnerships is often less restrictive than state law governing corporations. Accordingly, there may be fewer
protections afforded investors in an MLP than investors in a corporation. Additional risks involved with investing in an MLP are
risks associated with the specific industry or industries in which the partnership invests, such as the risks of investing in
real estate, or the oil and gas industries.

 

 

Rights

 

A
right is a privilege granted to existing shareholders of a corporation to subscribe to shares of a new issue of common stock before
it is issued. Rights normally have a short life of usually two to four weeks, are freely transferable and entitle the holder to
buy the new common stock at a lower price than the public offering price. An investment in rights may entail greater risks than
certain other types of investments. Generally, rights do not carry the right to receive dividends or exercise voting rights with
respect to the underlying securities, and they do not represent any rights in the assets of the issuer. In addition, their value
does not necessarily change with the value of the underlying securities, and they cease to have value if they are not exercised
on or before their expiration date. Investing in rights increases the potential profit or loss to be realized from the investment
as compared with investing the same amount in the underlying securities.

 

Exchange-Traded
Product Risk

 

The
Fund may invest in certain ETPs. Through its positions in ETPs, the Fund generally will be subject to the risks associated with
such vehicle’s investments, or reference assets/benchmark components in the case of ETNs, including the possibility that
the value of the securities or instruments held by or linked to an ETP could decrease. Certain of the ETPs may hold common portfolio
positions, thereby reducing any diversification benefits. The ETPs in which the Fund invests are pooled investment vehicles that
are not registered pursuant to the 1940 Act and, therefore, are not subject to the regulatory scheme of the 1940 Act including
the investor protections afforded by the 1940 Act. Under normal market conditions, the Fund will purchase shares of or interest
in ETPs in the secondary market. When the Fund invests in an ETP (except an ETN), in addition to directly bearing the expenses
associated with its own operations, it also will bear a pro rata portion of the ETP’s expenses (including operating costs
and management fees). Because ETNs are debt securities and not pools of securities, the Fund pays a specific investor fee for
its investments in ETNs. Consequently, an investment in the Fund entails more direct and indirect expenses than a direct investment
in an ETP.

 

Fixed
Income Securities

 

The
Fund and certain of the underlying ETPs may invest in fixed income securities. The market value of fixed income investments will
change in response to interest rate changes and other factors. During periods of falling interest rates, the values of outstanding
fixed income securities generally rise. Conversely, during periods of rising interest rates, the values of such securities generally
decline. Moreover, while securities with longer maturities tend to produce higher yields, the prices of longer maturity securities
are also subject to greater market fluctuations as a result of changes in interest rates. Changes by recognized agencies in the
rating of any fixed income security and in the ability of an issuer to make payments of interest and principal also affect the
value of these investments. Changes in the value of these securities will not necessarily affect cash income derived from these
securities but will affect an investing Fund’s NAV. Additional information regarding fixed income securities is described
below.

 

Duration

 

Duration
is a measure of the expected change in value of a fixed income security for a given change in interest rates. For example, if
interest rates changed by one percent, the value of a security having an effective duration of two years generally would vary
by two percent. Duration takes the length of the time intervals between the present time and time that the interest and principal
payments are scheduled, or in the case of a callable bond, expected to be received, and weighs them by the present values of the
cash to be received at each future point in time.

 

Creditor
Liability and Participation on Creditors’ Committees

 

Generally,
when a fund holds bonds or other similar fixed income securities of an issuer, the fund becomes a creditor of the issuer. If the
Fund is a creditor of an issuer it, may be subject to challenges related to the securities that it holds, either in connection
with the bankruptcy of the issuer or in connection with another action brought by other creditors of the issuer, shareholders
of the issuer or the issuer itself. The Fund may from time to time participate on committees formed by creditors to negotiate
with the management of financially troubled issuers of securities held by the Fund. Such participation may subject the Fund to
expenses such as legal fees and may make the Fund an “insider” of the issuer for purposes of the federal securities
laws, and therefore may restrict the Fund’s ability to trade in or acquire additional positions in a particular security
when it might otherwise desire to do so. Participation by the Fund on such committees also may expose the Fund to potential liabilities
under the federal bankruptcy laws or other laws governing the rights of creditors and debtors. The Fund will participate on such
committees only when its Adviser believes that such participation is necessary or desirable to enforce the Fund’s rights
as a creditor or to protect the value of securities held by the Fund. Further, the Adviser or Sub-Adviser has the authority to
represent the Trust, or its Fund, on creditors committees or similar committees and generally with respect to challenges related
to the securities held by the Fund relating to the bankruptcy of an issuer or in connection with another action brought by other
creditors of the issuer, shareholders of the issuer or the issuer itself.

 

 

Variable
and Floating Rate Securities

 

Variable
and floating rate instruments involve certain obligations that may carry variable or floating rates of interest, and may involve
a conditional or unconditional demand feature. Such instruments bear interest at rates which are not fixed, but which vary with
changes in specified market rates or indices. The interest rates on these securities may be reset daily, weekly, quarterly, or
some other reset period, and may have a set floor or ceiling on interest rate changes. There is a risk that the current interest
rate on such obligations may not accurately reflect existing market interest rates. A demand instrument with a demand notice exceeding
seven days may be considered illiquid if there is no secondary market for such security.

 

Bank
Obligations

 

Bank
obligations may include certificates of deposit, bankers’ acceptances, and fixed time deposits. Certificates of deposit
are negotiable certificates issued against funds deposited in a commercial bank for a definite period of time and earning a specified
return. Bankers’ acceptances are negotiable drafts or bills of exchange, normally drawn by an importer or exporter to pay
for specific merchandise, which are “accepted” by a bank, meaning, in effect, that the bank unconditionally agrees
to pay the face value of the instrument on maturity. Fixed time deposits are bank obligations payable at a stated maturity date
and bearing interest at a fixed rate. Fixed time deposits may be withdrawn on demand by the investor, but may be subject to early
withdrawal penalties which vary depending upon market conditions and the remaining maturity of the obligation. There are no contractual
restrictions on the right to transfer a beneficial interest in a fixed time deposit to a third-party, although there is no market
for such deposits. The Fund will not invest in fixed time deposits which (1) are not subject to prepayment or (2) provide for
withdrawal penalties upon prepayment (other than overnight deposits) if, in the aggregate, more than 15% of its net assets would
be invested in such deposits, repurchase agreements with remaining maturities of more than seven days and other illiquid assets.
Subject to the Trust’s limitation on concentration, as described in the “Investment Restrictions” section below,
there is no limitation on the amount of the Fund’s assets which may be invested in obligations of foreign banks which meet
the conditions set forth herein.

 

Obligations
of foreign banks involve somewhat different investment risks than those affecting obligations of U.S. banks, including the possibilities
that their liquidity could be impaired because of future political and economic developments, that their obligations may be less
marketable than comparable obligations of U.S. banks, that a foreign jurisdiction might impose withholding taxes on interest income
payable on those obligations, that foreign deposits may be seized or nationalized, that foreign governmental restrictions such
as exchange controls may be adopted which might adversely affect the payment of principal and interest on those obligations and
that the selection of those obligations may be more difficult because there may be less publicly available information concerning
foreign banks or the accounting, auditing and financial reporting standards, practices and requirements applicable to foreign
banks may differ from those applicable to United States banks. Foreign banks are not generally subject to examination by any United
States Government agency or instrumentality.

 

Debt
Securities

 

Fixed
income securities are debt securities. A debt security is a security consisting of a certificate or other evidence of a debt (secured
or unsecured) on which the issuing company or governmental body promises to pay the holder thereof a fixed, variable, or floating
rate of interest for a specified length of time, and to repay the debt on the specified maturity date, as discussed above. Some
debt securities, such as zero coupon bonds, do not make regular interest payments but are issued at a discount to their principal
or maturity value. Debt securities include a variety of fixed income obligations, including, but not limited to, corporate debt
securities, government securities, municipal securities, convertible securities, and mortgage-backed securities. Debt securities
include investment-grade securities, non-investment-grade securities, and unrated securities. Debt securities are subject to a
variety of risks, such as interest rate risk, income risk, call/prepayment risk, inflation risk, credit risk, and currency risk.

 

Corporate
Debt Securities

 

The
Fund and certain of the underlying ETPs may invest in corporate debt securities representative of one or more high yield bond
or credit derivative indices, which may change from time to time. Selection will generally be dependent on independent credit
analysis or fundamental analysis performed by the Adviser. The Fund may invest in all grades of corporate debt securities, including
below investment-grade securities, as discussed below. See Appendix A for a description of corporate bond ratings. The Fund also
may invest in unrated securities.

 

Corporate
debt securities are typically fixed-income securities issued by businesses to finance their operations. Notes, bonds, debentures
and commercial paper are the most common types of corporate debt securities. The primary differences between the different types
of corporate debt securities are their maturities and secured or unsecured status. Commercial paper has the shortest term and
is usually unsecured. The broad category of corporate debt securities includes debt issued by domestic or foreign companies of
all kinds, including those with small-, mid- and large-capitalizations. Corporate debt may be rated investment-grade or below
investment-grade and may carry variable or floating rates of interest.

 

 

Because
of the wide range of types, and maturities, of corporate debt securities, as well as the range of creditworthiness of its issuers,
corporate debt securities have widely varying potentials for return and risk profiles. For example, commercial paper issued by
a large established domestic corporation that is rated investment-grade may have a modest return on principal, but carries relatively
limited risk. On the other hand, a long-term corporate note issued by a small foreign corporation from an emerging market country
that has not been rated may have the potential for relatively large returns on principal, but carries a relatively high degree
of risk.

 

Corporate
debt securities carry both credit risk and interest rate risk. Credit risk is the risk that a fund could lose money if the issuer
of a corporate debt security is unable to pay interest or repay principal when it is due. Some corporate debt securities that
are rated below investment-grade are generally considered speculative because they present a greater risk of loss, including default,
than higher quality debt securities. The credit risk of a particular issuer’s debt security may vary based on its priority
for repayment. For example, higher ranking (senior) debt securities have a higher priority than lower-ranking (subordinated) securities.
This means that the issuer might not make payments on subordinated securities while continuing to make payments on senior securities.
In addition, in the event of bankruptcy, holders of higher-ranking senior securities may receive amounts otherwise payable to
the holders of more junior securities. Interest rate risk is the risk that the value of certain corporate debt securities will
tend to fall when interest rates rise. In general, corporate debt securities with longer terms tend to fall more in value when
interest rates rise than corporate debt securities with shorter terms.

 

Below
Investment-Grade Debt Securities

 

The
Fund and certain of the underlying ETPs may invest in below investment-grade securities. Below investment-grade securities, also
referred to as “high yield securities” or “junk bonds,” are debt securities that are rated lower than
the four highest rating categories by a nationally recognized statistical rating organization (for example, lower than Baa3 by
Moody’s Investors Service, Inc. or (“Moody’s”) lower than BBB- by Standard & Poor’s (“S&P”))
or are determined to be of comparable quality by the Adviser. These securities are generally considered to be, on balance, predominantly
speculative with respect to capacity to pay interest and repay principal in accordance with the terms of the obligation, and will
generally involve more credit risk than securities in the investment-grade categories. Investment in these securities generally
provides greater income and increased opportunity for capital appreciation than investments in higher quality securities, but
they also typically entail greater price volatility and principal and income risk.

 

Analysis
of the creditworthiness of issuers of high yield securities may be more complex than for issuers of investment-grade securities.
Thus, reliance on credit ratings in making investment decisions entails greater risks for high yield securities than for investment-grade
debt securities. The success of a fund’s adviser in managing high yield securities is more dependent upon its own credit
analysis than is the case with investment-grade securities.

 

Some
high yield securities are issued by smaller, less-seasoned companies, while others are issued as part of a corporate restructuring,
such as an acquisition, merger, or leveraged buyout. Companies that issue high yield securities are often highly leveraged and
may not have available to them more traditional methods of financing. Therefore, the risk associated with acquiring the securities
of such issuers generally is greater than is the case with investment-grade securities. Some high yield securities were once rated
as investment-grade but have been downgraded to junk bond status because of financial difficulties experienced by their issuers.

 

The
market values of high yield securities tend to reflect individual issuer developments to a greater extent than do investment-grade
securities, which in general react to fluctuations in the general level of interest rates. High yield securities also tend to
be more sensitive to economic conditions than are investment-grade securities. A projection of an economic downturn or of a period
of rising interest rates, for example, could cause a decline in junk bond prices because the advent of a recession could lessen
the ability of a highly leveraged company to make principal and interest payments on its debt securities. If an issuer of high
yield securities defaults, in addition to risking payment of all or a portion of interest and principal, a fund investing in such
securities may incur additional expenses to seek recovery.

 

The
secondary market on which high yield securities are traded may be less liquid than the market for investment-grade securities.
Less liquidity in the secondary trading market could adversely affect the ability of a fund to sell a high yield security or the
price at which a fund could sell a high yield security, and could adversely affect the daily NAV of fund shares. When secondary
markets for high yield securities are less liquid than the market for investment-grade securities, it may be more difficult to
value the securities because such valuation may require more research, and elements of judgment may play a greater role in the
valuation because there is less reliable, objective data available.

 

The
Fund will not necessarily dispose of a security if a credit-rating agency downgrades the rating of the security below its rating
at the time of purchase. However, its Adviser will monitor the investment to determine whether continued investment in the security
is in the best interest of shareholders.

 

 

Unrated
Debt Securities

 

The
Fund may invest in unrated debt securities. Unrated debt, while not necessarily lower in quality than rated securities, may not
have as broad a market. Because of the size and perceived demand for the issue, among other factors, certain issuers may decide
not to pay the cost of getting a rating for their bonds. The creditworthiness of the issuer, as well as any financial institution
or other party responsible for payments on the security, will be analyzed to determine whether to purchase unrated bonds.

 

Commercial
Paper

 

The
Fund may invest in commercial paper. Commercial paper is a short-term obligation with a maturity ranging from one to 270 days
issued by banks, corporations and other borrowers. Such investments are unsecured and usually discounted. The Fund may invest
in commercial paper rated A-1 or A-2 by S&P or Prime-1 or Prime-2 by Moody’s.

 

Inflation-Indexed
Bonds

 

The
Fund may invest in inflation-indexed bonds, which are fixed income securities whose principal value is periodically adjusted according
to the rate of inflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that accrues inflation
into the principal value of the bond. Most other issuers pay out the Consumer Price Index (“CPI”) accruals as part
of a semiannual coupon.

 

Inflation-indexed
securities issued by the U.S. Treasury have maturities of five, ten or thirty years, although it is possible that securities with
other maturities will be issued in the future. U.S. Treasury securities pay interest on a semi-annual basis, equal to a fixed
percentage of the inflation-adjusted principal amount. For example, if the Fund purchased an inflation-indexed bond with a par
value of $1,000 and a 3% real rate of return coupon (payable 1.5% semi-annually), and inflation over the first six months was
1%, the mid-year par value of the bond would be $1,010 and the first semi-annual interest payment would be $15.15 ($1,010 times
1.5%). If inflation during the second half of the year resulted in the whole years’ inflation equaling 3%, the end-of-year
par value of the bond would be $1,030 and the second semi-annual interest payment would be $15.45 ($1,030 times 1.5%).

 

If
the periodic adjustment rate measuring inflation falls, the principal value of inflation-indexed bonds will be adjusted downward,
and consequently the interest payable on these securities (calculated with respect to a smaller principal amount) will be reduced.
Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury
inflation-indexed bonds, even during a period of deflation. However, the current market value of the bonds is not guaranteed,
and will fluctuate. The Fund also may invest in other inflation related bonds which may or may not provide a similar guarantee.
If a guarantee of principal is not provided, the adjusted principal value of the bond repaid at maturity may be less than the
original principal.

 

The
value of inflation-indexed bonds is expected to change in response to changes in real interest rates. Real interest rates are
tied to the relationship between nominal interest rates and the rate of inflation. Therefore, if inflation were to rise at a faster
rate than nominal interest rates, real interest rates might decline, leading to an increase in value of inflation-indexed bonds.
In contrast, if nominal interest rates increased at a faster rate than inflation, real interest rates might rise, leading to a
decrease in value of inflation-indexed bonds.

 

While
these securities are expected to be protected from long-term inflationary trends, short-term increases in inflation may lead to
a decline in value. If interest rates rise due to reasons other than inflation (for example, due to changes in currency exchange
rates), investors in these securities may not be protected to the extent that the increase is not reflected in the bond’s
inflation measure.

 

The
periodic adjustment of U.S. inflation-indexed bonds is tied to the Consumer Price Index for All Urban Consumers (“CPI-U”),
which is calculated monthly by the U.S. Bureau of Labor Statistics. The CPI-U is a measurement of changes in the cost of living,
made up of components such as housing, food, transportation and energy. Inflation-indexed bonds issued by a foreign government
are generally adjusted to reflect a comparable inflation index, calculated by that government. There can be no assurance that
the CPI-U or any foreign inflation index will accurately measure the real rate of inflation in the prices of goods and services.
Moreover, there can be no assurance that the rate of inflation in a foreign country will be correlated to the rate of inflation
in the United States.

 

Any
increase in the principal amount of an inflation-indexed bond will be considered taxable ordinary income, even though investors
do not receive their principal until maturity.

 

Floating
Rate Loans

Floating
rate loans (or bank loans) are usually rated below investment grade. The market for floating rate loans may be subject to irregular
trading activity, wide bid/ask spreads, and extended trade settlement periods. In addition, a significant portion of floating
rate loans may be “covenant lite” loans that may contain fewer or less restrictive covenants on the borrower or may
contain other borrower-friendly characteristics. The Fund’s investment in loans may take the form of a participation or
an assignment. Loan participations typically represent direct participation in a loan to a borrower, and generally are offered
by financial institutions or lending syndicates. The Fund may participate in such syndications, or can buy part of a loan, becoming
a part lender. When purchasing loan participations, the Fund assumes the credit risk associated with the borrower and may assume
the credit risk associated with an interposed financial intermediary. If the lead lender in a typical lending syndicate becomes
insolvent, enters Federal Deposit Insurance Corporation (“FDIC”) receivership or, if not FDIC insured, enters into
bankruptcy, the Fund may incur certain costs and delays in receiving payment or may suffer a loss of principal and/or interest.
When the Fund is a purchaser of an assignment, it succeeds to all the rights and obligations under the loan agreement of the assigning
bank or other financial intermediary and becomes a lender under the loan agreement with the same rights and obligations as the
assigning bank or other financial intermediary. For example, if a loan is foreclosed, the Fund could become part owner of any
collateral, and would bear the costs and liabilities associated with owning and disposing of the collateral.

 

 

Prepayment/Extension
Risk

 

Floating
rate loans are also subject to prepayment risk (also called extension risk). Borrowers may pay off their loans sooner than expected
particularly when interest rates are falling. The Fund investing in such securities will be forced to reinvest this money at lower
yields, which can reduce the Fund’s returns. Similarly, debt obligations with call features have the risk that an issuer
will exercise the right to pay an obligation (such as a mortgage-backed security) earlier than expected. Pre-payment and call
risk typically occur when interest rates are declining. Conversely, when interest rates are rising, the duration of such securities
tends to extend, making them more sensitive to changes in interest rates.

 

Collateral
Risk

 

A
loan may not be fully collateralized and can decline significantly in value. In addition, the Fund’s access to collateral
may be limited by bankruptcy or other insolvency laws. Further, loans held by the Fund may not be considered securities and, therefore,
purchasers, such as the Fund, may not be entitled to rely on the anti-fraud protections of the federal securities laws.

 

Other
Floating Rate Loan Risks

 

Floating
rate loans generally are subject to restrictions on transfer, and the Fund may be unable to sell its bank loans at a time when
it may otherwise be desirable to do so or may be able to sell them only at prices that are less than their fair market value.
The Fund may find it difficult to establish a fair value for loans it holds. Further, the trading market for floating rate loans
could be impacted by regulatory action or reforms around the manner in which floating interest rates are determined. If a published
rate is unavailable, the rate of interest on a floating rate loan could effectively become fixed, which would in turn adversely
affect the value of the floating rate loan. In addition, floating rate loans generally are subject to extended settlement periods
in excess of seven days, which may impair the Fund’s ability to sell or realize the full value of its loans in the event
of a need to liquidate such loans. The Fund has established a line of credit facility to assist with cash flow management and
liquidity.

 

If
the Fund acquires a participation in a loan, the Fund may not be able to control the exercise of remedies that the lender would
have under the loan and likely would not have any rights against the borrower directly. A loan participation agreement involves
the purchase of a share of a loan made by a bank to a company in return for a corresponding share of borrower’s principal
and interest payments. The principal credit risk associated with acquiring loan participation interests is the credit risk associated
with the underlying corporate borrower. There is also a risk that there may not be a readily available market for loan participation
interests and, in some cases, this could result in the Fund disposing of such securities at a substantial discount from face value
or holding such securities until maturity.

 

Loans
made to finance highly leveraged corporate acquisitions may be especially vulnerable to adverse changes in economic or market
conditions. A loan may also be in the form of a bridge loan, which are designed to provide temporary or “bridge” financing
to a borrower, pending the sale of identified assets or the arrangement of longer-term loans or the issuance and sale of debt
obligations. A borrower’s use of a bridge loan involves a risk that the borrower may be unable to locate permanent financing
to replace the bridge loan, which may impair the borrower’s perceived creditworthiness.

 

Floating
rate loans, like other debt securities, may be paid off early if the issuer of a security can repay principal prior to the maturity
date. If interest rates are falling, the Fund may have to reinvest the unanticipated proceeds at lower interest rates, resulting
in a decline in the Fund’s income.

 

A
loan may be a senior loan or a junior loan. Senior loans typically provide lenders with a first right to cash flows or proceeds
from the sale of a borrower’s collateral if the borrower becomes insolvent (subject to certain limitations of bankruptcy
law). However, there can be no assurance that liquidation of such collateral would satisfy the borrower’s obligation in
the event of a default or that such collateral could be readily liquidated. In addition, senior loans are subject to the risk
that a court could subordinate such senior loans to presently existing or future indebtedness of the borrower, or take other action
detrimental to the holders of senior loans including, in certain circumstances, invalidating such senior loans or causing interest
previously paid to be refunded to the borrower. Any such actions could negatively affect the Fund’s performance. To the
extent the Fund invests in junior loans, these loans involve a higher degree of overall risk than senior loans of the same borrower
because of their lower place in the borrower’s capital structure and possible unsecured status.

 

 

The
loans in which the Fund will invest will generally be secured and senior to other indebtedness of the borrower. Each loan generally
will be secured by collateral such as accounts receivable, inventory, equipment, real estate, intangible assets such as trademarks,
copyrights and patents, and securities of subsidiaries or affiliates. Collateral also may include guarantees or other credit support
by affiliates of the borrower. The value of the collateral generally will be determined by reference to financial statements of
the borrower, by an independent appraisal, by obtaining the market value of such collateral, in the case of cash or securities
if readily ascertainable, or by other customary valuation techniques considered appropriate by the Adviser or Sub-Adviser. The
value of collateral may decline after the Fund’s investment, and collateral may be difficult to sell in the event of default.
Consequently, the Fund may not receive all the payments to which it is entitled. The loan agreement may or may not require the
borrower to pledge additional collateral to secure the senior loan if the value of the initial collateral declines. In certain
circumstances, the loan agreement may authorize the agent to liquidate the collateral and to distribute the liquidation proceeds
pro rata among the lenders. By virtue of their senior position and collateral, senior loans typically provide lenders with the
first right to cash flows or proceeds from the sale of a borrower’s collateral if the borrower becomes insolvent (subject
to the limitations of bankruptcy law, which may provide higher priority to certain claims such as employee salaries, employee
pensions, and taxes). This means senior loans generally are repaid before unsecured bank loans, corporate bonds, subordinated
debt, trade creditors, and preferred or common stockholders. To the extent that the Fund invests in unsecured loans, if the borrower
defaults on such loan, there is no specific collateral on which the lender can foreclose. If the borrower defaults on a subordinated
loan, the collateral may not be sufficient to cover both the senior and subordinated loans. In addition, if the loan is foreclosed,
the Fund could become part owner of any collateral and could bear the costs and liabilities of owning and disposing of the collateral.

 

Senior
loans generally are arranged through private negotiations between a borrower and several financial institutions represented by
an agent who is usually one of the originating lenders. In larger transactions, it is common to have several agents; however,
generally only one such agent has primary responsibility for ongoing administration of a senior loan. Agents typically are paid
fees by the borrower for their services.

 

The
agent is responsible primarily for negotiating the loan agreement which establishes the terms and conditions of the senior loan
and the rights of the borrower and the lenders. The agent is paid a fee by the borrower for its services. The agent generally
is required to administer and manage the senior loan on behalf of other lenders. The agent also is responsible for monitoring
collateral and for exercising remedies available to the lenders such as foreclosure upon collateral. The agent may rely on independent
appraisals of specific collateral. The agent need not, however, obtain an independent appraisal of assets pledged as collateral
in all cases. The agent generally also is responsible for determining that the lenders have obtained a perfected security interest
in the collateral securing a senior loan. The Fund normally relies on the agent to collect principal of and interest on a senior
loan. The Fund also relies in part on the agent to monitor compliance by the borrower with the restrictive covenants in the loan
agreement and to notify the Fund (or the lender from whom the Fund has purchased a participation) of any adverse change in the
borrower’s financial condition. Insolvency of the agent or other persons positioned between the Fund and the borrower could
result in losses for the Fund.

 

Loan
agreements may provide for the termination of the agent’s agency status in the event that it fails to act as required under
the relevant loan agreement, becomes insolvent, enters FDIC receivership or, if not FDIC insured, enters into bankruptcy. Should
such an agent, lender or assignor, with respect to an assignment interpositioned between the Fund and the borrower, become insolvent
or enter FDIC receivership or bankruptcy, any interest in the senior loan of such person and any loan payment held by such person
for the benefit of the Fund should not be included in such person’s or entity’s bankruptcy estate. If, however, any
such amount was included in such person’s or entity’s bankruptcy estate, the Fund would incur certain costs and delays
in realizing payment or could suffer a loss of principal or interest. In this event, the Fund could experience a decrease in its
NAV.

 

Most
borrowers pay their debts from cash flow generated by their businesses. If a borrower’s cash flow is insufficient to pay
its debts, it may attempt to restructure its debts rather than sell collateral. Borrowers may try to restructure their debts by
filing for protection under the federal bankruptcy laws or negotiating a work-out. If a borrower becomes involved in a bankruptcy
proceeding, access to collateral may be limited by bankruptcy and other laws. If a court decides that access to collateral is
limited or void, the Fund may not recover the full amount of principal and interest that is due.

 

A
borrower must comply with certain restrictive covenants contained in the loan agreement. In addition to requiring the scheduled
payment of principal and interest, these covenants may include restrictions on the payment of dividends and other distributions
to the borrower’s shareholders, provisions requiring compliance with specific financial ratios, and limits on total indebtedness.
The agreement also may require the prepayment of the loans from excess cash flow. A breach of a covenant that is not waived by
the agent (or lenders directly) is normally an event of default, which provides the agent and lenders the right to call for repayment
of the outstanding loan.

 

In
the process of buying, selling and holding senior loans, The Fund may receive and/or pay certain fees. These fees are in addition
to interest payments received and may include facility fees, commitment fees, commissions and prepayment penalty fees. Facility
fees are paid to lenders when a senior loan is originated. Commitment fees are paid to lenders on an ongoing basis based on the
unused portion of a senior loan commitment. Lenders may receive prepayment penalties when a borrower prepays a senior loan. Whether
the Fund receives a facility fee in the case of an assignment, or any fees in the case of a participation, depends on negotiations
between the Fund and the lender selling such interests. When the Fund buys an assignment, it may be required to pay a fee to the
lender selling the assignment, or to forgo a portion of interest and fees payable to the Fund. Occasionally, the assignor pays
a fee to the assignee. A person selling a participation to the Fund may deduct a portion of the interest and any fees payable
to the Fund as an administrative fee.

 

 

Notwithstanding
its intention in certain situations not to receive material, non-public information with respect to its management of investments
in loans, the Adviser or the Sub-Adviser may from time to time come into possession of material, non-public information about
the issuers of loans that may be held in the Fund’s portfolio. Possession of such information may in some instances occur
despite the Adviser’s or the Sub-Adviser’s efforts to avoid such possession, but in other instances the Adviser or
the Sub-Adviser may choose to receive such information (for example, in connection with participation in a creditors’ committee
with respect to a financially distressed issuer). The Adviser’s or the Sub-Adviser’s ability to trade in these loans
for the account of the Fund could potentially be limited by its possession of such information. Such limitations on the Adviser’s
or the Sub-Adviser’s ability to trade could have an adverse effect on the Fund by, for example, preventing the Fund from
selling a loan that is experiencing a material decline in value. In some instances, these trading restrictions could continue
in effect for a substantial period of time.

 

Although
the overall size and number of participants in the market for floating rate loans (or bank loans) has grown over the past decade,
floating rate loans continue to trade in an unregulated inter-dealer or inter-bank secondary market. Purchases and sales of floating
rate loans are generally subject to contractual restrictions that must be satisfied before a floating rate loan can be bought
or sold. These restrictions may impede the Fund’s ability to buy or sell floating rate loans, negatively impact the transaction
price, and impede the Fund’s ability to timely vote or otherwise act with respect to floating rate loans. As a result, it
may take longer than seven days for transactions in floating rate loans to settle, which make it more difficult for the Fund to
raise cash to pay investors when they redeem their shares in the Fund. The Fund may be adversely affected by having to sell other
investments at an unfavorable time and/or under unfavorable conditions, hold cash, temporarily borrow from banks or other lenders
or take other actions to meet short-term liquidity needs in order to satisfy redemption requests from Fund shareholders. These
actions may impact the Fund’s performance (in the case of holding cash or selling securities) or increase the Fund’s
expenses (in the case of borrowing).

 

It
is also unclear whether the U.S. federal securities laws, which afford certain protections against fraud and misrepresentation
in connection with the offering or sale of a security, as well as against manipulation of trading markets for securities, would
be available to the Fund’s investments in a loan. This is because a loan may not be deemed to be a security in certain circumstances.
In these instances, the Fund may need to rely on contractual provisions in the loan documents for some protections and also avail
itself of common law fraud protections under applicable state law, which could increase the risk and expense to the Fund of investing
in loans. In addition, holders of such loans may from time to time receive confidential information about the borrower. In certain
circumstances, this confidential information may be considered material non-public information. Because U.S. laws and regulations
generally prohibit trading in securities of issuers while in possession of material, non-public information, the Fund that receives
confidential information about a borrower for loan investments might be unable to trade securities or other instruments issued
by the borrower when it would otherwise be advantageous to do so and, as such, could incur a loss. For this reason, the Fund or
the Adviser or Sub-Adviser may determine not to receive confidential information about a borrower for loan investments, which
may disadvantage the Fund relative to other investors who do receive such information.

 

Some
covenant lite loans may be in the market from time to time which tend to have fewer or no financial maintenance covenants and
restrictions. A covenant lite loan typically contains fewer clauses which allow an investor to proactively enforce financial covenants
or prevent undesired actions by the borrower/issuer. Covenant lite loans also generally provide fewer investor protections if
certain criteria are breached. The Fund may experience losses or delays in enforcing its rights on its holdings of covenant lite
loans.

 

Fluctuation
of Net Asset Value

 

The
net asset value (“NAV”) of the Fund’s Shares will generally fluctuate with changes in the market value of the
Fund’s holdings. The market prices of the Shares will generally fluctuate in accordance with changes in NAV as well as the
relative supply and demand for Shares on the Exchange. The Adviser cannot predict whether the Shares will trade below, at or above
the NAV of the Shares of the Fund. Price differences may be due, in large part, to the fact that supply and demand forces at work
in the secondary trading market for the Shares will be closely related to, but not identify to, the same forces influencing the
prices of the stocks of the Fund’s Index trading individually or in the aggregate at any point in time.

 

Foreign
Securities

 

An
investment in the Fund involves risks similar to those of investing in portfolios of equity securities traded on non-U.S. exchanges.
These risks include market fluctuations caused by such factors as economic and political developments and changes in interest
rates and perceived trends in stock prices. Investing in securities issued by issuers domiciled in countries other than the domicile
of the investor and denominated in currencies other than an investor’s local currency entails certain considerations and
risks not typically encountered by the investor in making investments in its home country and in that country’s currency.
These considerations include favorable or unfavorable changes in interest rates, currency exchange rates, exchange control regulations
and the costs that may be incurred in connection with conversions between various currencies. Investing in the Fund also involves
certain risks and considerations not typically associated with investing in the Fund whose portfolio contains exclusively securities
of U.S. issuers. These risks include generally less liquid and less efficient securities markets; generally greater price volatility;
less publicly available information about issuers; the imposition of withholding or other taxes; the imposition of restrictions
on the expatriation of funds or other assets of the Fund; higher transaction and custody costs; delays and risks attendant in
settlement procedures; difficulties in enforcing contractual obligations; lower liquidity and significantly smaller market capitalization;
different accounting and disclosure standards; lower levels of regulation of the securities markets; more substantial government
interference with the economy; higher rates of inflation; greater social, economic, and political uncertainty; the risk of nationalization
or expropriation of assets; and the risk of war.

 

 

ADRs,
GDRs and EDRs

 

The
Fund may purchase equity securities of non-U.S. issuers. To the extent the Fund invests in equity securities of non-U.S. issuers,
certain of the Fund’s investments in such securities may be in the form of American Depositary Receipts (“ADRs”),
Global Depositary Receipts (“GDRs”) and European Depositary Receipts (“EDRs”) (collectively, “Depositary
Receipts”). Depositary Receipts are receipts, typically issued by a bank or trust issuer, which evidence ownership of underlying
securities issued by a non-U.S. issuer. For ADRs, the depository is typically a U.S. financial institution and the underlying
securities are issued by a non-U.S. issuer. For other forms of Depositary Receipts, the depository may be a non-U.S. or a U.S.
entity, and the underlying securities may be issued by a non-U.S. or a U.S. issuer. Depositary Receipts are not necessarily denominated
in the same currency as their underlying securities. Generally, ADRs, issued in registered form, are designed for use in the U.S.
securities markets, and EDRs, issued in bearer form, are designed for use in European securities markets. GDRs are tradable both
in the United States and in Europe and are designed for use throughout the world.

 

The
Fund will not invest in any unlisted Depositary Receipt or any Depositary Receipt that the Adviser deems illiquid at the time
of purchase or for which pricing information is not readily available. In general, Depositary Receipts must be sponsored, but
the Fund may invest in unsponsored Depositary Receipts under certain limited circumstances. The issuers of unsponsored Depositary
Receipts are not obligated to disclose material information in the United States. Therefore, there may be less information available
regarding such issuers and there may be no correlation between available information and the market value of the Depositary Receipts.

 

Emerging
Markets

 

Investments
in emerging market countries may be subject to greater risks than investments in developed countries. These risks include: (i)
less social, political, and economic stability; (ii) greater illiquidity and price volatility due to smaller or limited local
capital markets for such securities, or low or non-existent trading volumes; (iii) foreign exchanges and broker-dealers may be
subject to less scrutiny and regulation by local authorities; (iv) local governments may decide to seize or confiscate securities
held by foreign investors and/or local governments may decide to suspend or limit an issuer’s ability to make dividend or
interest payments; (v) local governments may limit or entirely restrict repatriation of invested capital, profits, and dividends;
(vi) capital gains may be subject to local taxation, including on a retroactive basis; (vii) issuers facing restrictions on dollar
or euro payments imposed by local governments may attempt to make dividend or interest payments to foreign investors in the local
currency; (viii) investors may experience difficulty in enforcing legal claims related to the securities and/or local judges may
favor the interests of the issuer over those of foreign investors; (ix) bankruptcy judgments may only be permitted to be paid
in the local currency; (x) limited public information regarding the issuer may result in greater difficulty in determining market
valuations of the securities, and (xi) lax financial reporting on a regular basis, substandard disclosure and differences in accounting
standards may make it difficult to ascertain the financial health of an issuer.

 

Emerging
market securities markets are typically marked by a high concentration of market capitalization and trading volume in a small
number of issuers representing a limited number of industries, as well as a high concentration of ownership of such securities
by a limited number of investors. In addition, brokerage and other costs associated with transactions in emerging market securities
markets can be higher, sometimes significantly, than similar costs incurred in securities markets in developed countries. Although
some emerging markets have become more established and tend to issue securities of higher credit quality, the markets for securities
in other emerging market countries are in the earliest stages of their development, and these countries issue securities across
the credit spectrum. Even the markets for relatively widely traded securities in emerging market countries may not be able to
absorb, without price disruptions, a significant increase in trading volume or trades of a size customarily undertaken by institutional
investors in the securities markets of developed countries. The limited size of many of these securities markets can cause prices
to be erratic for reasons apart from factors that affect the soundness and competitiveness of the securities issuers. For example,
prices may be unduly influenced by traders who control large positions in these markets. Additionally, market making and arbitrage
activities are generally less extensive in such markets, which may contribute to increased volatility and reduced liquidity of
such markets. The limited liquidity of emerging market securities may also affect the Fund’s ability to accurately value
its portfolio securities or to acquire or dispose of securities at the price and time it wishes to do so or in order to meet redemption
requests.

 

 

Many
emerging market countries suffer from uncertainty and corruption in their legal frameworks. Legislation may be difficult to interpret
and laws may be too new to provide any precedential value. Laws regarding foreign investment and private property may be weak
or non-existent. Sudden changes in governments may result in policies that are less favorable to investors such as policies designed
to expropriate or nationalize “sovereign” assets. Certain emerging market countries in the past have expropriated
large amounts of private property, in many cases with little or no compensation, and there can be no assurance that such expropriation
will not occur in the future.

 

Investment
in the securities markets of certain emerging market countries is restricted or controlled to varying degrees. These restrictions
may limit the Fund’s investment in certain emerging market countries and may increase the expenses of the Fund. Certain
emerging market countries require governmental approval prior to investments by foreign persons or limit investment by foreign
persons to only a specified percentage of an issuer’s outstanding securities or a specific class of securities which may
have less advantageous terms (including price) than securities of the company available for purchase by nationals.

 

Many
emerging market countries lack the social, political, and economic stability characteristic of the United States. Political and
social instability among emerging market countries can be common and may be caused by an uneven distribution of wealth, social
unrest, labor strikes, civil wars, and religious oppression. Economic instability in emerging market countries may take the form
of: (i) high interest rates; (ii) high levels of inflation, including hyperinflation; (iii) high levels of unemployment or underemployment;
(iv) changes in government economic and tax policies, including confiscatory taxation; and (v) imposition of trade barriers.

 

The
Fund’s income and, in some cases, capital gains from foreign securities will be subject to applicable taxation in certain
of the emerging market countries in which it invests, and treaties between the United States and such countries may not be available
in some cases to reduce the otherwise applicable tax rates.

 

Emerging
markets also have different clearance and settlement procedures, and in certain of these emerging markets there have been times
when settlements have been unable to keep pace with the volume of securities transactions, making it difficult to conduct such
transactions.

 

In
the past, certain governments in emerging market countries have become overly reliant on the international capital markets and
other forms of foreign credit to finance large public spending programs, which in the past have caused huge budget deficits. Often,
interest payments have become too overwhelming for a government to meet, representing a large percentage of total GDP. These foreign
obligations have become the subject of political debate and served as fuel for political parties of the opposition, which pressure
the government not to make payments to foreign creditors, but instead to use these funds for, among other things, social programs.
Either due to an inability to pay or submission to political pressure, foreign governments have been forced to seek a restructuring
of their loan and/or bond obligations, have declared a temporary suspension of interest payments or have defaulted. These events
have adversely affected the values of securities issued by foreign governments and corporations domiciled in those countries and
have negatively affected not only their cost of borrowing, but their ability to borrow in the future as well.

 

Futures
and Options

 

Futures
contracts and options may from time to time be used by the Fund to facilitate trading or to reduce transaction costs. The Fund
may enter into futures contracts and options that are traded on a U.S. or non-U.S. exchange. The Fund will not use futures or
options for speculative purposes.

 

Risk
of Futures and Options

 

There
are several risks accompanying the utilization of futures contracts and options on futures contracts. A position in futures contracts
and options on futures contracts may be closed only on the exchange on which the contract was made (or a linked exchange). While
the Fund plans to utilize futures contracts only if an active market exists for such contracts, there is no guarantee that a liquid
market will exist for the contract at a specified time. In the event of adverse price movements, the Fund would continue to be
required to make daily cash payments to maintain its required margin. In such situations, if the Fund has insufficient cash, it
may have to sell portfolio securities to meet daily margin requirements at a time when it may be disadvantageous to do so. In
addition, the Fund may be required to deliver the instruments underlying the futures contracts it has sold.

 

The
risk of loss in trading futures contracts or uncovered call options in some strategies (e.g., selling uncovered stock index
futures contracts) is potentially unlimited. The Fund does not plan to use futures and options contracts in this way. The risk
of a futures position may still be large as traditionally measured due to the low margin deposits required. In many cases, a relatively
small price movement in a futures contract may result in immediate and substantial loss or gain to the investor relative to the
size of a required margin deposit. The Fund, however, intend to utilize futures and options contracts in a manner designed to
limit their risk exposure to levels comparable to a direct investment in the types of stocks in which they invest.

 

 

There
is a risk of loss by the Fund of the initial and variation margin deposits in the event of bankruptcy of the FCM with which the
Fund has an open position in a futures contract. The assets of the Fund may not be fully protected in the event of the bankruptcy
of the FCM or central counterparty because the Fund might be limited to recovering only a pro rata share of all available funds
and margin segregated on behalf of an FCM’s customers. If the FCM does not provide accurate reporting, the Fund is also
subject to the risk that the FCM could use the Fund’s assets, which are held in an omnibus account with assets belonging
to the FCM’s other customers, to satisfy its own financial obligations or the payment obligations of another customer to
the central counterparty.

 

There
is also the risk of loss of margin deposits in the event of bankruptcy of a broker with whom the Fund has an open position in
the futures contract or option. The purchase of put or call options will be based upon predictions by the Adviser as to anticipated
trends, which predictions could prove to be incorrect.

 

Because
the futures market generally imposes less burdensome margin requirements than the securities market, an increased amount of participation
by speculators in the futures market could result in price fluctuations. Certain financial futures exchanges limit the amount
of fluctuation permitted in futures contract prices during a single trading day. The daily limit establishes the maximum amount
by which the price of a futures contract may vary either up or down from the previous day’s settlement price at the end
of a trading session. Once the daily limit has been reached in a particular type of contract, no trades may be made on that day
at a price beyond that limit. It is possible that futures contract prices could move to the daily limit for several consecutive
trading days with little or no trading, thereby preventing prompt liquidation of futures positions and subjecting the Fund to
substantial losses. In the event of adverse price movements, the Fund would be required to make daily cash payments of variation
margin.

 

Futures

Futures
contracts provide for the future sale by one party and purchase by another party of a specified amount of a specific asset, currency,
rate or index at a specified future time and at a specified price. Stock index futures are based on investments that reflect the
market value of common stock of the firms included in an underlying index. The Fund may enter into futures contracts to purchase
securities indexes when the Adviser anticipates purchasing the underlying securities and believes prices will rise before the
purchase will be made. To the extent required by law, liquid assets committed to futures contracts will be maintained.

 

Futures
contracts may be bought and sold on U.S. and non-U.S. exchanges. Futures contracts in the U.S. have been designed by exchanges
that have been designated “contract markets” by the CFTC and must be executed through a futures commission merchant
(“FCM”), which is a brokerage firm that is a member of the relevant contract market. Each exchange guarantees performance
of the contracts as between the clearing members of the exchange, thereby reducing the risk of counterparty default. Futures contracts
may also be entered into on certain exempt markets, including exempt boards of trade and electronic trading facilities, available
to certain market participants. Because all transactions in the futures market are made, offset or fulfilled by an FCM through
a clearinghouse associated with the exchange on which the contracts are traded, the Fund will incur brokerage fees when it buys
or sells futures contracts.

 

Upon
entering into a futures contract, the Fund will be required to deliver to an account controlled by the FCM an amount of cash or
cash equivalents known as “initial margin,” which is in the nature of a performance bond or good faith deposit on
the contract and is returned to the Fund upon termination of the futures contract, assuming all contractual obligations have been
satisfied. Subsequent payments, known as “variation margin,” to and from the FCM will be made daily as the price of
the instrument or index underlying the futures contract fluctuates, making the long and short positions in the futures contract
more or less valuable, a process known as “marking-to-market.”

 

At
any time prior to the expiration of a futures contract, the Fund may elect to close the position by taking an opposite position,
which will operate to terminate the Fund’s existing position in the contract. This transaction, which is effected through
a member of an exchange, cancels the obligation to make or take delivery of the underlying instrument or asset. Although some
futures contracts by their terms require the actual delivery or acquisition of the underlying instrument or asset, some require
cash settlement.

 

A
call option gives a holder the right to purchase a specific security at a specified price (“exercise price”) within
a specified period of time. A put option gives a holder the right to sell a specific security at a specified exercise price within
a specified period of time. The initial purchaser of a call option pays the “writer” a premium, which is paid at the
time of purchase and is retained by the writer whether or not such option is exercised. The Fund may purchase put options to hedge
its portfolio against the risk of a decline in the market value of securities held and may purchase call options to hedge against
an increase in the price of securities it is committed to purchase. The Fund may write put and call options along with a long
position in options to increase its ability to hedge against a change in the market value of the securities it holds or is committed
to purchase. Investments in futures contracts and other investments that contain leverage may require the Fund to maintain liquid
assets. Generally, the Fund maintains an amount of liquid assets equal to its obligations relative to the position involved, adjusted
daily on a marked-to-market basis. With respect to futures contracts that are contractually required to “cash-settle,”
the Fund maintains liquid assets in an amount at least equal to the Fund’s daily marked-to-market obligation (i.e.,
the Fund’s daily net liability, if any), rather than the contracts’ notional value (i.e., the value of the
underlying asset). By maintaining assets equal to its net obligation under cash-settled futures contracts, the Fund may employ
leverage to a greater extent than if the Fund set aside assets equal to the futures contracts’ full notional value.

 

 

Options

An
option on a futures contract, as contrasted with the direct investment in such a contract, gives the purchaser the right, but
not the obligation, in return for the premium paid, to assume a position in the underlying futures contract at a specified exercise
price at any time prior to the expiration date of the option. The writer of the option becomes contractually obligated to take
the opposite futures position specified in the option.

 

Upon
exercise of an option on a futures contract, the delivery of the futures position by the writer of the option to the holder of
the option will be accompanied by delivery of the accumulated balance in the writer’s futures margin account that represents
the amount by which the market price of the futures contract exceeds (in the case of a call) or is less than (in the case of a
put) the exercise price of the option on the futures contract. The potential for loss related to the purchase of an option on
a futures contract is limited to the premium paid for the option plus transaction costs. Because the value of the option is fixed
at the point of sale, there are no daily cash payments by the purchaser to reflect changes in the value of the underlying contract;
however, the value of the option changes daily and that change would be reflected in the net asset value per Share (“NAV”)
of the Fund.

 

The
Fund may purchase and write put and call options on futures contracts that are traded on an exchange as a hedge against changes
in value of its portfolio securities, or in anticipation of the purchase of securities, and may enter into closing transactions
with respect to such options to terminate existing positions. There is no guarantee that such closing transactions can be effected.

 

The
Fund’s use of options on futures contracts is subject to the risks related to derivative instruments generally. In addition,
the amount of risk the Fund assumes when it purchases an option on a futures contract is the premium paid for the option plus
related transaction costs. The purchase of an option also entails the risk that changes in the value of the underlying futures
contract will not be fully reflected in the value of the option purchased. The writer of an option on a futures contract is subject
to the risk of having to take a possibly adverse futures position if the purchaser of the option exercises its rights. If the
writer were required to take such a position, it could bear substantial losses. The potential for loss related to writing call
options is unlimited. The potential for loss related to writing put options is limited to the agreed upon price per share, also
known as the “strike price,” less the premium received from writing the put.

 

U.S.
Federal Tax Treatment of Futures Contracts

 

The
Fund may be required for federal income tax purposes to mark-to-market and recognize as income for each taxable year its net unrealized
gains and losses on certain futures contracts or options contracts as of the end of the year as well as those actually realized
during the year. Gain or loss from futures contracts or options contracts on broad-based indexes required to be marked-to-market
will be 60% long-term and 40% short-term capital gain or loss. Application of this rule may alter the timing and character of
distributions to shareholders. The Fund may be required to defer the recognition of losses on futures contracts or options contracts
to the extent of any unrecognized gains on related positions held by the Fund.

 

In
order for the Fund to continue to qualify for U.S. federal income tax treatment as a “regulated investment company”
under Section 851 of the Code, at least 90% of the Fund’s gross income for a taxable year must be derived from qualifying
sources, including, dividends, interest, income derived from loans of securities, gains from the sale of securities or of foreign
currencies or other income derived with respect to the Fund’s business of investing in securities. It is anticipated that
any net gain realized from the closing out of futures contracts or options contracts will be considered gain from the sale of
securities and, therefore, will be qualifying income for purposes of the 90% requirement.

 

The
Fund intends to distribute to shareholders annually any net capital gains that have been recognized for U.S. federal income tax
purposes (including unrealized gains at the end of the Fund’s fiscal year) on futures transactions and certain options contracts.
Such distributions are combined with distributions of capital gains realized on the Fund’s other investments, and shareholders
are advised on the nature of the distributions.

 

Geographic
Concentration Risk

 

The
Fund may be particularly susceptible to economic, political, regulatory or other events or conditions affecting countries within
the specific geographic regions in which the Fund invests. Currency devaluations could occur in countries that have not yet experienced
currency devaluation to date or could continue to occur in countries that have already experienced such devaluations. As a result,
the Fund’s net asset value may be more volatile than a more geographically diversified fund.

 

High
Yield Securities Risk

 

Securities
rated “BB” or below by S&P or “Ba” or below by Moody’s are known as high yield securities and
are commonly referred to as “junk bonds.” Such securities entail greater price volatility and credit and interest
rate risk than investment-grade securities. Analysis of the creditworthiness of high yield issuers is more complex than for higher-rated
securities, making it more difficult for the Sub-Adviser to accurately predict risk. There is a greater risk with high yield fixed
income securities that an issuer will not be able to make principal and interest payments when due. If the Fund pursues missed
payments, there is a risk that Fund expenses could increase. In addition, lower-rated securities may not trade as often and may
be less liquid than higher-rated securities, especially during periods of economic uncertainty or change. As a result of all of
these factors, these securities are generally considered to be speculative.

 

 

Income
Risk

 

The
market value of fixed income investments changes in response to interest rate changes and other factors. The Fund’s income
could decline due to falling market interest rates. This is because, in a falling interest rate environment, a fund generally
will have to invest the proceeds from sales of fund shares, as well as the proceeds from maturing portfolio securities in lower-yielding
securities. During periods of falling interest rates, the values of outstanding fixed income securities generally rise. Moreover,
while securities with longer maturities tend to produce higher yields, the prices of longer maturity securities are also subject
to greater market fluctuations as a result of changes in interest rates. During periods of falling interest rates, certain debt
obligations with high interest rates may be prepaid (or “called”) by the issuer prior to maturity.

 

Interest
Rate Risk

 

The
values of fixed rate debt securities usually rise and fall in response to changes in interest rates. Declining interest rates
generally increase the value of existing debt instruments, and rising interest rates generally decrease the value of existing
debt instruments. Changes in a debt instrument’s value usually will not affect the amount of interest income paid to the
Fund, but will affect the value of the Fund’s shares. Interest rate risk is generally greater for investments with longer
maturities. Certain securities pay interest at variable or floating rates. Variable rate securities reset at specified intervals,
while floating rate securities reset whenever there is a change in a specified index rate. In most cases, these reset provisions
reduce the effect of changes in market interest rates on the value of the security. However, some securities do not track the
underlying index directly, but reset based on formulas that can produce an effect similar to leveraging; others may also provide
for interest payments that vary inversely with market rates. The market prices of these securities may fluctuate significantly
when interest rates change.

 

Some
investments give the issuer the option to call or redeem an investment before its maturity date. If an issuer calls or redeems
an investment during a time of declining interest rates, the Fund might have to reinvest the proceeds in an investment offering
a lower yield, and therefore it might not benefit from any increase in value as a result of declining interest rates.

 

Investment
Companies

 

The
Fund may invest in the securities of other investment companies, subject to applicable limitations under Section 12(d)(1) of the
1940 Act. Section 12(d)(1) of the 1940 Act provides that the Fund may not (1) purchase more than 3% of a registered investment
company’s outstanding shares (the “3% Limit”), (2) invest more than 5% of the Fund’s assets in any single
such investment company (the “5% Limit”), or (3) invest more than 10% of the Fund’s assets in investment companies
overall (the “10% Limit”), unless: (i) the underlying investment company and/or the Fund relies on Rule 12d1-4 or
has received an order for exemptive relief from such limitations from the SEC; and (ii) the underlying investment company and
the Fund take appropriate steps to comply with Rule 12d1-4 or any conditions in an exemptive order, as the case may be.

 

Statutory
Exemption from 5% and 10% Limits.
Section 12(d)(1)(F) of the 1940 Act provides that the provisions of Section 12(d)(1) do
not apply to securities purchased or otherwise acquired by the Fund if (i) immediately after such purchase or acquisition not
more than 3% of the total outstanding stock of such registered investment company is owned by the Fund and all affiliated persons
of the Fund and (ii) the Fund has not, and is not proposing to, offer or sell any security issued by the Fund through a principal
underwriter or otherwise at a public or offering price that includes a sales load of more than 1½% ( “Sales Load
Limit”). Section 12(d)(1)(F) also requires that an investment company that issues shares to the Fund pursuant to Section
12(d)(1)(F) shall not be required to redeem its shares in an amount exceeding 1% of such investment company’s total outstanding
shares in any period of less than thirty days. Finally, Section 12(d)(1)(F) requires that the Fund (or the Adviser, acting on
behalf of the Fund) comply with the following voting restrictions: when the Fund exercises voting rights, by proxy or otherwise,
with respect to investment companies owned by the Fund, the Fund will either seek instruction from the Fund’s shareholders
with regard to the voting of all proxies and vote in accordance with such instructions, or vote the shares held by the Fund in
the same proportion as the vote of all other holders of such security.

 

Regulatory
Exemption from Sales Load Limit.
Further, the Fund may rely on Rule 12d1-3, which allows the Fund to exceed the Sales Load
Limit and still rely on the exemption provided by Section 12(d)(1)(F), provided the aggregate sales loads any investor pays (i.e.,
the combined distribution expenses of both the acquiring fund (the Fund) and the acquired funds) does not exceed the limits on
sales loads established by the Financial Industry Regulatory Authority (“FINRA”) for funds-of-funds.

 

 

Purchases
by “Affiliated Persons” of the Fund.
The 3% Limit applies to purchases in aggregate by the Fund and any “affiliated
persons” (as defined in the 1940 Act). Accordingly, when affiliated persons hold shares of any of the Underlying Funds,
the Fund’s ability to invest fully in shares of those Underlying Funds is restricted, and the Adviser must then, in some
instances, select alternative investments that would not have been its first preference. The 1940 Act also provides that an Underlying
Fund whose shares are purchased by the Fund will be obligated to redeem shares held by the Fund only in an amount up to 1% of
the Underlying Fund’s outstanding securities during any period of less than 30 days. Shares held by the Fund in excess of
1% of an Underlying Fund’s outstanding securities, therefore, will be considered not readily marketable securities, which,
together with other such securities, may not exceed 15% of the Fund’s total assets.

 

Issuer
Risk

 

Fund
performance depends on the performance of individual securities to which the Fund has exposure. Changes in the financial condition
or credit rating of an issuer of those securities may cause the value of the securities to decline.

 

 

Leverage
Risk

 

Leverage
is investment exposure that exceeds the initial amount invested. The loss on a leveraged investment may far exceed the Fund’s
principal amount invested. Leverage can magnify the Fund’s gains and losses and, therefore, increase its volatility. There
is no guarantee that the Fund’s leveraging strategy will be successful. The Fund cannot guarantee that the use of leverage
will produce a high return on an investment. The Sub-Adviser will segregate liquid assets or otherwise cover transactions that
may give rise to leverage risk to the extent of the financial exposure to the Fund. This requirement limits the amount of leverage
the Fund may have at any one time, but it does not eliminate leverage risk. The use of leverage may result in the Fund having
to liquidate holdings when it may not be advantageous to do so in order to satisfy its obligation or to meet segregation requirements.

 

Liquidity
Risk

 

In
certain circumstances, it may be difficult for the Fund to purchase and sell particular portfolio investments due to infrequent
trading in such investments. The prices of such securities may experience significant volatility, make it more difficult for the
Fund to transact significant amounts of such securities without an unfavorable impact on prevailing market prices, or make it
difficult for the Sub-Adviser to dispose of such securities at a fair price at the time the Sub-Adviser believes it is desirable
to do so. In addition, the Fund’s investments in ETNs and certain other ETPs may be subject to restrictions on the amount
and timing of any redemptions. The Fund’s investments in such securities may restrict the Fund’s ability to take advantage
of other market opportunities and adversely affect the value of the Fund’s portfolio holdings. The Fund’s investments
in certain ETPs also may be subject to trading halts caused by extraordinary market volatility pursuant to “circuit breaker”
rules.

 

Management
Risk

 

The
Adviser’s judgment about the attractiveness, value and potential appreciation of a particular investment may prove to be
incorrect and may not produce the desired results.

 

Market
Risk

 

An
investment in the Fund involves risks similar to those of investing in any fund of equity securities, such as market fluctuations
caused by such factors as economic and political developments, changes in interest rates and perceived trends in securities prices.
The values of equity securities could decline generally or could underperform other investments. Different types of equity securities
tend to go through cycles of out-performance and under-performance in comparison to the general securities markets. In addition,
securities may decline in value due to factors affecting the securities markets generally or a specific issuer or market. The
Fund may not fully replicate its Index and may hold securities not included in its Index. As a result, the Fund is subject to
the risk that the Adviser’s investment strategy, the implementation of which is subject to a number of constraints, may
not produce the intended results. Market risk refers to the possibility that the market values of securities or other investments
that the Fund holds will fall, sometimes rapidly or unpredictably, or fail to rise. Security values may fall or fail to rise because
of a variety of actual or perceived factors affecting an issuer (e.g., an unfavorable earnings report), the industry or sector
in which it operates, or the market as a whole, which may reduce the value of an investment in the Fund. Accordingly, an investment
in the Fund could lose money over short or long periods. The market values of the securities the Fund holds can be affected by
changes or perceived changes in U.S. or foreign economies and financial markets, and the liquidity of these securities, among
other factors. Although equity securities generally tend to have greater price volatility than debt securities, under certain
market conditions, debt securities may have comparable or greater price volatility. In addition, stock prices may be sensitive
to rising interest rates, as the cost of capital rises and borrowing costs increase.

 

Market
Trading Risk

 

The
Fund faces numerous market trading risks, including disruptions to the creation and redemption processes of the Fund, losses from
trading in secondary markets, the existence of extreme market volatility or potential lack of an active trading market for Shares
may result in Shares trading at a significant premium or discount to NAV. The NAV of Shares will fluctuate with changes in the
market value of the Fund’s securities holdings. The market prices of Shares will fluctuate in accordance with changes in
NAV and supply and demand on the Exchange. The Adviser cannot predict whether Shares will trade below, at or above their NAV.
Price differences may be due, in large part, to the fact that supply and demand forces at work in the secondary trading market
for Shares will be closely related to, but not identical to, the same forces influencing the prices of the securities of the Index
trading individually or in the aggregate at any point in time. If a shareholder purchases Shares at a time when the market price
is at a premium to the NAV or sells Shares at a time when the market price is at a discount to the NAV, the shareholder may sustain
losses. Any of these factors, discussed above and further below, may lead to Shares trading at a premium or discount to the Fund’s
NAV.

 

Absence
of Prior Active Market

 

While
the Fund’s Shares are listed on the Exchange, there can be no assurance that an active trading market for Shares will develop
or be maintained. The Distributor does not maintain a secondary market in Shares.

 

 

Trading
Issues

 

Trading
in Shares on the Exchange may be halted due to market conditions or for reasons that, in the view of the Exchange, make trading
in Shares inadvisable. In addition, trading in Shares on the Exchange is subject to trading halts caused by extraordinary market
volatility pursuant to the Exchange’s “circuit breaker” rules. There can be no assurance that the requirements
of the Exchange necessary to maintain the listing of the Fund will continue to be met or will remain unchanged.

 

Mortgage-Related
Securities

 

The
Fund may invest in mortgage-related and asset backed securities. Mortgage-related securities are interests in pools of residential
or commercial mortgage loans, including mortgage loans made by savings and loan institutions, mortgage bankers, commercial banks
and others. Pools of mortgage loans are assembled as securities for sale to investors by various governmental, government-related
and private organizations. See “Mortgage Pass-Through Securities.” The Fund also may invest in debt securities which
are secured with collateral consisting of mortgage-related securities (see “Collateralized Mortgage Obligations”).

 

The
2008 financial downturn, particularly the increase in delinquencies and defaults on residential mortgages, falling home prices,
and unemployment, adversely affected the market for mortgage-related securities. In addition, various market and governmental
actions may impair the ability to foreclose on or exercise other remedies against underlying mortgage holders, or may reduce the
amount received upon foreclosure. These factors have caused certain mortgage-related securities to experience lower valuations
and reduced liquidity. There is also no assurance that the U.S. government will take action to support the mortgage-related securities
industry, as it has in the past, should the economy experience another downturn. Further, future government actions may significantly
alter the manner in which the mortgage-related securities market functions. Each of these factors could ultimately increase the
risk that the Fund could realize losses on mortgage-related securities.

 

Mortgage
Pass-Through Securities

 

The
Fund may invest in mortgage pass-through securities. Interests in pools of mortgage-related securities differ from other forms
of debt securities, which normally provide for periodic payment of interest in fixed amounts with principal payments at maturity
or specified call dates. Instead, these securities provide a monthly payment which consists of both interest and principal payments.
In effect, these payments are a “pass-through” of the monthly payments made by the individual borrowers on their residential
or commercial mortgage loans, net of any fees paid to the issuer or guarantor of such securities. Additional payments are caused
by repayments of principal resulting from the sale of the underlying property, refinancing or foreclosure, net of fees or costs
which may be incurred. Some mortgage-related securities (such as securities issued by the Government National Mortgage Association
(“Ginnie Mae”)) are described as “modified pass-through.” These securities entitle the holder to receive
all interest and principal payments owed on the mortgage pool, net of certain fees, at the scheduled payment dates regardless
of whether or not the mortgagor actually makes the payment.

 

The
rate of pre-payments on underlying mortgages will affect the price and volatility of a mortgage-related security, and may have
the effect of shortening or extending the effective duration of the security relative to what was anticipated at the time of purchase.
To the extent that unanticipated rates of pre-payment on underlying mortgages increase the effective duration of a mortgage-related
security, the volatility of such security can be expected to increase. The residential mortgage market in the United States recently
has experienced difficulties that may adversely affect the performance and market value of certain of the Fund’s mortgage-related
investments. Delinquencies and losses on residential mortgage loans (especially subprime and second-lien mortgage loans) generally
have increased recently and may continue to increase, and a decline in or flattening of housing values (as has recently been experienced
and may continue to be experienced in many housing markets) may exacerbate such delinquencies and losses. Borrowers with adjustable
rate mortgage loans are more sensitive to changes in interest rates, which affect their monthly mortgage payments, and may be
unable to secure replacement mortgages at comparably low interest rates. Also, a number of residential mortgage loan originators
have experienced serious financial difficulties or bankruptcy. Owing largely to the foregoing, reduced investor demand for mortgage
loans and mortgage-related securities and increased investor yield requirements have caused limited liquidity in the secondary
market for certain mortgage-related securities, which can adversely affect the market value of mortgage-related securities. It
is possible that such limited liquidity in such secondary markets could continue or worsen.

 

Agency
Mortgage-Related Securities

 

The
Fund may invest in agency mortgage-related securities. The principal governmental guarantor of mortgage-related securities is
Ginnie Mae. Ginnie Mae is a wholly owned United States government corporation within the Department of Housing and Urban Development.
Ginnie Mae is authorized to guarantee, with the full faith and credit of the United States government, the timely payment of principal
and interest on securities issued by institutions approved by Ginnie Mae (such as savings and loan institutions, commercial banks
and mortgage bankers) and backed by pools of mortgages insured by the Federal Housing Administration (the “FHA”),
or guaranteed by the Department of Veterans Affairs (the “VA”).

 

 

Government-related
guarantors (i.e., not backed by the full faith and credit of the United States government) include the Federal National Mortgage
Association (“Fannie Mae”) and Federal Home Loan Mortgage Corporation (“Freddie Mac”). Fannie Mae is a
government-sponsored corporation. Fannie Mae purchases conventional (i.e., not insured or guaranteed by any government agency)
residential mortgages from a list of approved seller/servicers which include state and federally chartered savings and loan associations,
mutual savings banks, commercial banks and credit unions and mortgage bankers. Pass-through securities issued by Fannie Mae are
guaranteed as to timely payment of principal and interest by Fannie Mae, but are not backed by the full faith and credit of the
United States government. Freddie Mac was created by Congress in 1970 for the purpose of increasing the availability of mortgage
credit for residential housing. It is a government-sponsored corporation that issues Participation Certificates (“PCs”),
which are pass-through securities, each representing an undivided interest in a pool of residential mortgages. Freddie Mac guarantees
the timely payment of interest and ultimate collection of principal, but PCs are not backed by the full faith and credit of the
United States government.

 

On
September 6, 2008, the Federal Housing Finance Agency (“FHFA”) placed Fannie Mae and Freddie Mac into conservatorship.
As the conservator, FHFA succeeded to all rights, titles, powers and privileges of Fannie Mae and Freddie Mac and of any stockholder,
officer or director of Fannie Mae and Freddie Mac with respect to Fannie Mae and Freddie Mac and the assets of Fannie Mae and
Freddie Mac. FHFA selected a new chief executive officer and chairman of the board of directors for each of Fannie Mae and Freddie
Mac.

 

In
connection with the conservatorship, the U.S. Treasury entered into a Senior Preferred Stock Purchase Agreement with each of Fannie
Mae and Freddie Mac pursuant to which the U.S. Treasury will purchase a limited amount of each of Fannie Mae and Freddie Mac to
maintain a positive net worth in each enterprise. The SPAs contain various covenants that severely limit each enterprise’s
operations. In exchange for entering into these agreements, the U.S. Treasury received $1 billion of each enterprise’s senior
preferred stock and warrants to purchase 79.9% of each enterprise’s common stock. Please see “U.S. Government Securities”
for additional information on these agreements.

 

Fannie
Mae and Freddie Mac are continuing to operate as going concerns while in conservatorship and each remain liable for all of its
obligations, including its guaranty obligations, associated with its mortgage-backed securities. The FHFA has indicated that the
conservatorship of each enterprise will end when the director of FHFA determines that FHFA’s plan to restore the enterprise
to a safe and solvent condition has been completed.

 

Under
the Federal Housing Finance Regulatory Reform Act of 2008 (the “Reform Act”), which was included as part of the Housing
and Economic Recovery Act of 2008, FHFA, as conservator or receiver, has the power to repudiate any contract entered into by Fannie
Mae or Freddie Mac prior to FHFA’s appointment as conservator or receiver, as applicable, if FHFA determines, in its sole
discretion, that performance of the contract is burdensome and that repudiation of the contract promotes the orderly administration
of Fannie Mae’s or Freddie Mac’s affairs. The Reform Act requires FHFA to exercise its right to repudiate any contract
within a reasonable period of time after its appointment as conservator or receiver.

 

FHFA,
in its capacity as conservator, has indicated that it has no intention to repudiate the guaranty obligations of Fannie Mae or
Freddie Mac because FHFA views repudiation as incompatible with the goals of the conservatorship. However, in the event that FHFA,
as conservator or if it is later appointed as receiver for Fannie Mae or Freddie Mac, were to repudiate any such guaranty obligation,
the conservatorship or receivership estate, as applicable, would be liable for actual direct compensatory damages in accordance
with the provisions of the Reform Act. Any such liability could be satisfied only to the extent of Fannie Mae’s or Freddie
Mac’s assets available therefor.

 

In
the event of repudiation, the payments of interest to holders of Fannie Mae or Freddie Mac mortgage-backed securities would be
reduced if payments on the mortgage loans represented in the mortgage loan groups related to such mortgage-backed securities are
not made by the borrowers or advanced by the servicer. Any actual direct compensatory damages for repudiating these guaranty obligations
may not be sufficient to offset any shortfalls experienced by such mortgage-backed security holders.

 

Further,
in its capacity as conservator or receiver, FHFA has the right to transfer or sell any asset or liability of Fannie Mae or Freddie
Mac without any approval, assignment or consent. Although FHFA has stated that it has no present intention to do so, if FHFA,
as conservator or receiver, were to transfer any such guaranty obligation to another party, holders of Fannie Mae or Freddie Mac
mortgage-backed securities would have to rely on that party for satisfaction of the guaranty obligation and would be exposed to
the credit risk of that party.

 

In
addition, certain rights provided to holders of mortgage-backed securities issued by Fannie Mae and Freddie Mac under the operative
documents related to such securities may not be enforced against FHFA, or enforcement of such rights may be delayed, during the
conservatorship or any future receivership. The operative documents for Fannie Mae and Freddie Mac mortgage-backed securities
may provide (or with respect to securities issued prior to the date of the appointment of the conservator may have provided) that
upon the occurrence of an event of default on the part of Fannie Mae or Freddie Mac, in its capacity as guarantor, which includes
the appointment of a conservator or receiver, holders of such mortgage-backed securities have the right to replace Fannie Mae
or Freddie Mac as trustee if the requisite percentage of mortgage-backed securities holders consent. The Reform Act prevents mortgage-backed
security holders from enforcing such rights if the event of default arises solely because a conservator or receiver has been appointed.
The Reform Act also provides that no person may exercise any right or power to terminate, accelerate or declare an event of default
under certain contracts to which Fannie Mae or Freddie Mac is a party, or obtain possession of or exercise control over any property
of Fannie Mae or Freddie Mac, or affect any contractual rights of Fannie Mae or Freddie Mac, without the approval of FHFA, as
conservator or receiver, for a period of 45 or 90 days following the appointment of FHFA as conservator or receiver, respectively.

 

 

In
addition, in a February 2011 report to Congress from the Treasury Department and the Department of Housing and Urban Development,
the Obama administration provided a plan to reform America’s housing finance market. The plan would reduce the role of and
eventually eliminate Fannie Mae and Freddie Mac. Notably, the plan does not propose similar significant changes to Ginnie Mae,
which guarantees payments on mortgage-related securities backed by federally insured or guaranteed loans such as those issued
by the Federal Housing Association or guaranteed by the Department of Veterans Affairs. The report also identified three proposals
for Congress and the administration to consider for the long-term structure of the housing finance markets after the elimination
of Fannie Mae and Freddie Mac, including implementing (i) a privatized system of housing finance that limits government insurance
to very limited groups of creditworthy low- and moderate-income borrowers, (ii) a privatized system with a government backstop
mechanism that would allow the government to insure a larger share of the housing finance market during a future housing crisis,
and (iii) a privatized system where the government would offer reinsurance to holders of certain highly-rated mortgage-related
securities insured by private insurers and would pay out under the reinsurance arrangements only if the private mortgage insurers
were insolvent.

 

Collateralized
Mortgage Obligations (“CMOs”)

 

The
Fund may invest in CMOs, which are debt obligations of a legal entity that are collateralized by mortgages and divided into classes.
Similar to a bond, interest and prepaid principal is paid, in most cases, on a monthly basis. CMOs may be collateralized by whole
mortgage loans or private mortgage bonds, but are more typically collateralized by portfolios of mortgage pass-through securities
guaranteed by Ginnie Mae, Freddie Mac, or Fannie Mae, and their income streams.

 

CMOs
are structured into multiple classes, often referred to as “tranches,” with each class bearing a different stated
maturity and entitled to a different schedule for payments of principal and interest, including pre-payments. Actual maturity
and average life will depend upon the pre-payment experience of the collateral. In the case of certain CMOs (known as “sequential
pay” CMOs), payments of principal received from the pool of underlying mortgages, including pre-payments, are applied to
the classes of CMOs in the order of their respective final distribution dates. Thus, no payment of principal will be made to any
class of sequential pay CMOs until all other classes having an earlier final distribution date have been paid in full.

 

In
a typical CMO transaction, a corporation (“issuer”) issues multiple series (e.g., A, B, C, Z) of CMO bonds (“Bonds”).
Proceeds of the Bond offering are used to purchase mortgages or mortgage pass-through certificates (“Collateral”).
The Collateral is pledged to a third-party trustee as security for the Bonds. Principal and interest payments from the Collateral
are used to pay principal on the Bonds in the order A, B, C, Z. The Series A, B, and C Bonds all bear current interest. Interest
on the Series Z Bond is accrued and added to principal and a like amount is paid as principal on the Series A, B, or C Bond currently
being paid off. When the Series A, B, and C Bonds are paid in full, interest and principal on the Series Z Bond begins to be paid
currently. CMOs may be less liquid and may exhibit greater price volatility than other types of mortgage- or asset-backed securities.

 

As
CMOs have evolved, some classes of CMO bonds have become more common. For example, the Fund may invest in parallel-pay and planned
amortization class (“PAC”) CMOs and multi-class pass-through certificates. Parallel-pay CMOs and multi-class pass-through
certificates are structured to provide payments of principal on each payment date to more than one class. These simultaneous payments
are taken into account in calculating the stated maturity date or final distribution date of each class, which, as with other
CMO and multi-class pass-through structures, must be retired by its stated maturity date or final distribution date but may be
retired earlier. PACs generally require payments of a specified amount of principal on each payment date. PACs are parallel-pay
CMOs with the required principal amount on such securities having the highest priority after interest has been paid to all classes.
Any CMO or multi-class pass-through structure that includes PAC securities must also have support tranches-known as support bonds,
companion bonds or non-PAC bonds which lend or absorb principal cash flows to allow the PAC securities to maintain their stated
maturities and final distribution dates within a range of actual prepayment experience. These support tranches are subject to
a higher level of maturity risk compared to other mortgage-related securities, and usually provide a higher yield to compensate
investors. If principal cash flows are received in amounts outside a pre-determined range such that the support bonds cannot lend
or absorb sufficient cash flows to the PAC securities as intended, the PAC securities are subject to heightened maturity risk.
Consistent with the Fund’s investment objectives and policies, its Adviser may invest in various tranches of CMO bonds,
including support bonds.

 

Commercial
Mortgage-Backed Securities

 

The
Fund may invest in commercial mortgage-backed securities, which include securities that reflect an interest in, and are secured
by, mortgage loans on commercial real property. Many of the risks of investing in commercial mortgage-backed securities reflect
the risks of investing in the real estate securing the underlying mortgage loans. These risks reflect the effects of local and
other economic conditions on real estate markets, the ability of tenants to make loan payments, and the ability of a property
to attract and retain tenants. Commercial mortgage-backed securities may be less liquid and exhibit greater price volatility than
other types of mortgage-or asset-backed securities.

 

 

Other
Mortgage-Related Securities

 

The
Fund may invest in other mortgage-related securities, which include securities other than those described above that directly
or indirectly represent a participation in, or are secured by and payable from, mortgage loans on real property, including mortgage
dollar rolls, CMO residuals or stripped mortgage-backed securities (“SMBS”). Other mortgage-related securities may
be equity or debt securities issued by agencies or instrumentalities of the U.S. government or by private originators of, or investors
in, mortgage loans, including savings and loan associations, homebuilders, mortgage banks, commercial banks, investment banks,
partnerships, trusts and special purpose entities of the foregoing.

 

CMO
Residuals

 

The
Fund may invest in CMO residuals, which are mortgage securities issued by agencies or instrumentalities of the U.S. government
or by private originators of, or investors in, mortgage loans, including savings and loan associations, homebuilders, mortgage
banks, commercial banks, investment banks and special purpose entities of the foregoing.

 

The
cash flow generated by the mortgage assets underlying a series of CMOs is applied first to make required payments of principal
and interest on the CMOs and second to pay the related administrative expenses and any management fee of the issuer. The residual
in a CMO structure generally represents the interest in any excess cash flow remaining after making the foregoing payments. Each
payment of such excess cash flow to a holder of the related CMO residual represents income and/or a return of capital. The amount
of residual cash flow resulting from a CMO will depend on, among other things, the characteristics of the mortgage assets, the
coupon rate of each class of CMO, prevailing interest rates, the amount of administrative expenses and the pre-payment experience
on the mortgage assets. In particular, the yield to maturity on CMO residuals is extremely sensitive to pre-payments on the related
underlying mortgage assets, in the same manner as an interest-only (“IO”) class of stripped mortgage-backed securities.
See “Other Mortgage-Related Securities – Stripped Mortgage-Backed Securities.” In addition, if a series of a
CMO includes a class that bears interest at an adjustable rate, the yield to maturity on the related CMO residual will also be
extremely sensitive to changes in the level of the index upon which interest rate adjustments are based. As described below with
respect to stripped mortgage-backed securities, in certain circumstances the Fund may fail to recoup fully its initial investment
in a CMO residual.

 

CMO
residuals are generally purchased and sold by institutional investors through several investment banking firms acting as brokers
or dealers. Transactions in CMO residuals are generally completed only after careful review of the characteristics of the securities
in question. In addition, CMO residuals may, or pursuant to an exemption therefrom, may not have been registered under the Securities
Act. CMO residuals, whether or not registered under the Securities Act, may be subject to certain restrictions on transferability,
and may be deemed “illiquid” and subject to the Fund’s limitations on investment in illiquid securities.

 

Adjustable
Rate Mortgage-Backed Securities (“ARMBSs”)

 

The
Fund may invest in ARMBSs, which have interest rates that reset at periodic intervals. Acquiring ARMBSs permits the Fund to participate
in increases in prevailing current interest rates through periodic adjustments in the coupons of mortgages underlying the pool
on which ARMBSs are based. Such ARMBSs generally have higher current yield and lower price fluctuations than is the case with
more traditional fixed income debt securities of comparable rating and maturity. In addition, when prepayments of principal are
made on the underlying mortgages during periods of rising interest rates, the Fund can reinvest the proceeds of such prepayments
at rates higher than those at which they were previously invested. Mortgages underlying most ARMBSs, however, have limits on the
allowable annual or lifetime increases that can be made in the interest rate that the mortgagor pays. Therefore, if current interest
rates rise above such limits over the period of the limitation, the Fund, when holding an ARMBS, does not benefit from further
increases in interest rates. Moreover, when interest rates are in excess of coupon rates (i.e., the rates being paid by mortgagors)
of the mortgages, ARMBSs behave more like fixed income securities and less like adjustable rate securities and are subject to
the risks associated with fixed income securities. In addition, during periods of rising interest rates, increases in the coupon
rate of adjustable rate mortgages generally lag current market interest rates slightly, thereby creating the potential for capital
depreciation on such securities.

 

Stripped
Mortgage-Backed Securities (“SMBSs”)

 

The
Fund may invest in SMBS, which are derivative multi-class mortgage securities. SMBSs may be issued by agencies or instrumentalities
of the U.S. government, or by private originators of, or investors in, mortgage loans, including savings and loan associations,
mortgage banks, commercial banks, investment banks and special purpose entities of the foregoing.

 

 

SMBSs
are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool
of mortgage assets. A common type of SMBS will have one class receiving some of the interest and most of the principal from the
mortgage assets, while the other class will receive most of the interest and the remainder of the principal. In the most extreme
case, one class will receive all of the interest (the “IO” class), while the other class will receive all of the principal
(the principal-only or “PO” class). The yield to maturity on an IO class is extremely sensitive to the rate of principal
payments (including pre-payments) on the related underlying mortgage assets, and a rapid rate of principal payments may have a
material adverse effect on the Fund’s yield to maturity from these securities. If the underlying mortgage assets experience
greater than anticipated pre-payments of principal, the Fund may fail to recoup some or all of its initial investment in these
securities even if the security is in one of the highest rating categories.

 

National
Closed Market Trading Risk

 

To
the extent that the underlying securities held by the Fund trade on foreign exchanges that may be closed when the securities exchange
on which the Fund’s shares trade is open, there are likely to be deviations between the current price of such an underlying
security and the last quoted price for the underlying security (i.e., the Fund’s quote from the closed foreign market).
These deviations could result in premiums or discounts to the Fund’s NAV that may be greater than those experienced by other
ETFs.

 

Operational
Risk

 

The
Fund is exposed to operational risk arising from a number of factors, including but not limited to human error, processing and
communication errors, errors of the Fund’s service providers, counterparties or other third-parties, failed or inadequate
processes and technology or systems failures. The Fund seeks to reduce these operational risks through controls and procedures.
However, these measures do not address every possible risk and may be inadequate for those risks that they are intended to address.

 

Prepayment
Risk

 

The
Fund invests in floating rate loans and may invest in mortgage related securities, each of which, like other debt securities,
may be paid off early if the issuer of a security can repay principal prior to the maturity date. If interest rates are falling,
the Fund may have to reinvest the unanticipated proceeds at lower interest rates, resulting in a decline in the Fund’s income.
If interest rates are rising, the duration of fixed rate mortgage-related securities may be extended, making them more sensitive
to changes in interest rates. As a result, in a period of rising interest rates, if the Fund holds mortgage-related securities,
it may exhibit additional volatility. This is known as extension risk.

 

Quantitative
Investing Risk

 

There
is no guarantee that a quantitative model or algorithm used by the Adviser, and the investments selected based on the model or
algorithm, will perform as expected or produce the desired results. The Fund may be adversely affected by imperfections, errors
or limitations in the construction and implementation of the model or algorithm and the Adviser’s ability to properly analyze
or timely adjust the metrics or update the data underlying the model or features of the algorithm.

 

Real
Estate Investment Trusts

 

The
Fund may invest in shares of real estate investment trusts (“REITs”). REITs are pooled investment vehicles which invest
primarily in real estate or real estate related loans. REITs are generally classified as equity REITs, mortgage REITs or a combination
of equity and mortgage REITs. Equity REITs invest the majority of their assets directly in real property and derive income primarily
from the collection of rents. Equity REITs can also realize capital gains by selling properties that have appreciated in value.
Mortgage REITs invest the majority of their assets in real estate mortgages and derive income from the collection of interest
payments. Like regulated investment companies such as the Fund, REITs are not taxed on income distributed to shareholders provided
they comply with certain requirements under the Internal Revenue Code. The Fund will indirectly bear its proportionate share of
any expenses paid by REITs in which it invests in addition to the expenses paid by the Fund. Investing in REITs involves certain
unique risks. Equity REITs may be affected by changes in the value of the underlying property owned by such REITs, while mortgage
REITs may be affected by the quality of any credit extended. REITs are dependent upon management skills, are not diversified (except
to the extent the Internal Revenue Code requires), and are subject to the risks of financing projects. REITs are subject to heavy
cash flow dependency, default by borrowers, self-liquidation, and the possibilities of failing to qualify for the exemption from
tax for distributed income under the Internal Revenue Code and failing to maintain their exemptions from registration under the
1940 Act. REITs (especially mortgage REITs) are also subject to interest rate risks.

 

Investing
in foreign real estate companies makes the Fund more susceptible to risks associated with the ownership of real estate and with
the real estate industry in general. In addition, foreign real estate companies depend upon specialized management skills, may
not be diversified, may have less trading volume, and may be subject to more abrupt or erratic price movements than the overall
securities markets. Foreign real estate companies have their own expenses, and the Fund will bear a proportionate share of those
expenses.

 

 

Repurchase
Agreements

 

A
repurchase agreement is an instrument under which the purchaser (i.e., the Fund) acquires the security and the seller agrees,
at the time of the sale, to repurchase the security at a mutually agreed upon time and price, thereby determining the yield during
the purchaser’s holding period. Repurchase agreements may be construed to be collateralized loans by the purchaser to the
seller secured by the securities transferred to the purchaser. If a repurchase agreement is construed to be a collateralized loan,
the underlying securities will not be considered to be owned by the Fund but only to constitute collateral for the seller’s
obligation to pay the repurchase price, and, in the event of a default by the seller, the Fund may suffer time delays and incur
costs or losses in connection with the disposition of the collateral.

 

In
any repurchase transaction, the collateral for a repurchase agreement may include: (i) cash items; (ii) obligations issued by
the U.S. government or its agencies or instrumentalities; or (iii) obligations that, at the time the repurchase agreement is entered
into, are rated in the highest rating category generally by at least two nationally recognized statistical rating organizations
(“NRSROs”), or, if unrated, determined to be of comparable quality by the Adviser. Collateral, however, is not limited
to the foregoing and may include, for example, obligations rated below the highest category by NRSROs. Collateral for a repurchase
agreement may also include securities that the Fund could not hold directly without the repurchase obligation.

 

Irrespective
of the type of collateral underlying the repurchase agreement, in the case of a repurchase agreement entered into by a non-money
market fund, the repurchase obligation of a seller must be of comparable credit quality to securities that are rated in the highest
two short-term credit rating categories by at least one NRSRO or, if unrated, deemed by the Adviser to be of equivalent quality.

 

Repurchase
agreements pose certain risks for the Fund if it utilizes them. Such risks are not unique to the Fund, but are inherent in repurchase
agreements. The Fund seeks to minimize such risks, but because of the inherent legal uncertainties involved in repurchase agreements,
such risks cannot be eliminated. Lower quality collateral and collateral with longer maturities may be subject to greater price
fluctuations than higher quality collateral and collateral with shorter maturities. If the repurchase agreement counterparty were
to default, lower quality collateral may be more difficult to liquidate than higher quality collateral. Should the counterparty
default and the amount of collateral not be sufficient to cover the counterparty’s repurchase obligation, the Fund would
retain the status of an unsecured creditor of the counterparty (i.e., the position the Fund would normally be in if it
were to hold, pursuant to its investment policies, other unsecured debt securities of the defaulting counterparty) with respect
to the amount of the shortfall. As an unsecured creditor, the Fund would be at risk of losing some or all of the principal and
income involved in the transaction.

 

Reverse
Repurchase Agreements

 

Reverse
repurchase agreements involve the sale of securities with an agreement to repurchase the securities at an agreed-upon price, date
and interest payment and have the characteristics of borrowing. Generally, the effect of such transactions is that the Fund can
recover all or most of the cash invested in the portfolio securities involved during the term of the reverse repurchase agreement,
while in many cases the Fund is able to keep some of the interest income associated with those securities. Such transactions are
advantageous only if the Fund has an opportunity to earn a rate of interest on the cash derived from these transactions that is
greater than the interest cost of obtaining the same amount of cash. Opportunities to realize earnings from the use of the proceeds
equal to or greater than the interest required to be paid may not always be available and the Fund intends to use the reverse
repurchase technique only when the Adviser believes it will be advantageous to the Fund. The use of reverse repurchase agreements
may exaggerate any increase or decrease in the value of the Fund’s assets. The Fund’s exposure to reverse repurchase
agreements will be covered by liquid assets having a value equal to or greater than such commitments. The use of reverse repurchase
agreements is a form of leverage because the proceeds derived from reverse repurchase agreements may be invested in additional
securities.

 

Sector
Risk

 

Sector
risk is the chance that significant problems will affect a particular sector, or that returns from that sector will trail returns
from the overall stock market. Daily fluctuations in specific market sectors are often more extreme or volatile than fluctuations
in the overall market.

 

Securities
Lending

 

The
Fund may lend portfolio securities to certain borrowers. The borrowers provide collateral that is maintained in an amount at least
equal to the current market value of the securities loaned. The Fund may terminate a loan at any time and obtain the return of
the securities loaned. The Fund receives the value of any interest or cash or non-cash distributions paid on the loaned securities.
Distributions received on loaned securities in lieu of dividend payments (i.e., substitute payments) would not be considered
qualified dividend income.

 

With
respect to loans that are collateralized by cash, the borrower will be entitled to receive a fee based on the amount of cash collateral.
The Fund is compensated by the difference between the amount earned on the reinvestment of cash collateral and the fee paid to
the borrower. In the case of collateral other than cash, the Fund is compensated by a fee paid by the borrower equal to a percentage
of the market value of the loaned securities. Any cash collateral may be reinvested in certain short-term instruments either directly
on behalf of each lending Fund or through one or more joint accounts or money market funds, which may include those managed by
the Adviser.

 

 

The
Fund may pay a portion of the interest or fees earned from securities lending to a borrower as described above, and to one or
more securities lending agents approved by the Board of Trustees of the Trust (the “Board”) who administer the lending
program for the Fund in accordance with guidelines approved by the Board. In such capacity, the lending agent causes the delivery
of loaned securities from the Fund to borrowers, arranges for the return of loaned securities to the Fund at the termination of
a loan, requests deposit of collateral, monitors the daily value of the loaned securities and collateral, requests that borrowers
add to the collateral when required by the loan agreements, and provides recordkeeping and accounting services necessary for the
operation of the program.

 

Securities
lending involves exposure to certain risks, including operational risk (i.e., the risk of losses resulting from problems
in the settlement and accounting process), “gap” risk (i.e., the risk of a mismatch between the return on cash
collateral reinvestments and the fees the Fund has agreed to pay a borrower), and credit, legal, counterparty and market risk.
In the event a borrower does not return the Fund’s securities as agreed, the Fund may experience losses if the proceeds
received from liquidating the collateral do not at least equal the value of the loaned security at the time the collateral is
liquidated plus the transaction costs incurred in purchasing replacement securities.

 

Investing
cash collateral subjects the Fund to greater market risk, including losses on the collateral and, should the Fund need to look
to the collateral in the event of the borrower’s default, losses on the loan secured by that collateral.

 

Short
Sales

 

The
Fund may engage regularly in short sales transactions in which the Fund sells a security it does not own. To complete such a transaction,
the Fund must borrow or otherwise obtain the security to make delivery to the buyer. The Fund then is obligated to replace the
security borrowed by purchasing the security at the market price at the time of replacement. The price at such time may be more
or less than the price at which the security was sold by the Fund. Until the security is replaced, the Fund is required to pay
to the lender amounts equal to any dividends or interest, which accrue during the period of the loan. To borrow the security,
the Fund also may be required to pay a premium, which would increase the cost of the security sold. The Fund may also use repurchase
agreements to satisfy delivery obligations in short sales transactions. The proceeds of the short sale will be retained by the
broker, to the extent necessary to meet the margin requirements, until the short position is closed out.

 

Until
the Fund closes its short position or replaces the borrowed security, the Fund will (a) maintain an account containing cash or
liquid securities at such a level that (i) the amount deposited in the account plus the amount deposited with the broker as collateral
will equal the current value of the security sold short and (ii) the amount deposited in the segregated account plus the amount
deposited with the broker as collateral will not be less than the market value of the security at the time the security was sold
short or (b) otherwise cover the Fund’s short position. The Fund may use up to 100% of its portfolio to engage in short
sales transactions and collateralize its open short positions

 

Short-Term
Instruments

 

The
Fund may invest in short-term instruments, including money market instruments, on an ongoing basis to provide liquidity for cash
equitization, funding, or under abnormal market conditions. Money market instruments are generally short-term investments that
may include but are not limited to: (i) shares of money market funds; (ii) obligations issued or guaranteed by the U.S. government,
its agencies or instrumentalities (including government-sponsored enterprises); (iii) negotiable certificates of deposit (“CDs”),
bankers’ acceptances, fixed time deposits and other obligations of U.S. and foreign banks (including foreign branches) and
similar institutions; (iv) commercial paper rated at the date of purchase “Prime-1” by Moody’s or “A-1”
by Standard & Poor’s Financial Services LLC, or if unrated, of comparable quality as determined by the Adviser; (v)
non-convertible corporate debt securities (e.g., bonds and debentures) with remaining maturities at the date of purchase
of not more than 397 days and that satisfy the rating requirements set forth in Rule 2a-7 under the 1940 Act; and (vi) short-term
U.S. dollar-denominated obligations of foreign banks (including U.S. branches) that, in the opinion of the Adviser, are of comparable
quality to obligations of U.S. banks which may be purchased by the Fund. Any of these instruments may be purchased on a current
or a forward-settled basis. Time deposits are non-negotiable deposits maintained in banking institutions for specified periods
of time at stated interest rates. Bankers’ acceptances are time drafts drawn on commercial banks by borrowers, usually in
connection with international transactions.

 

Structured
Notes

 

A
structured note is a derivative security for which the amount of principal repayment and/or interest payments is based on the
movement of one or more “factors.” These factors include, but are not limited to, currency exchange rates, interest
rates (such as the prime lending rate or the London Interbank Offered Rate (“LIBOR”)), referenced bonds and stock
indices. Some of these factors may or may not correlate to the total rate of return on one or more underlying instruments referenced
in such notes. Investments in structured notes involve risks including interest rate risk, credit risk and market risk. Depending
on the factor(s) used and the use of multipliers or deflators, changes in interest rates and movement of such factor(s) may cause
significant price fluctuations. Structured notes may be less liquid than other types of securities and more volatile than the
reference factor underlying the note.

 

 

Swaps

 

OTC
swap agreements are contracts between parties in which one party agrees to make payments to the other party based on the change
in market value or level of a specified index or asset. In return, the other party agrees to make payments to the first party
based on the return of a different specified index or asset. Although OTC swap agreements entail the risk that a party will default
on its payment obligations thereunder, the Fund seeks to reduce this risk by entering into agreements that involve payments no
less frequently than quarterly. The net amount of the excess, if any, of the Fund’s obligations over its entitlements with
respect to each swap is accrued on a daily basis and an amount of cash or highly liquid securities having an aggregate value at
least equal to the accrued excess is maintained in an account at the Trust’s custodian bank.

 

The
use of such swap agreements involves certain risks. For example, if the counterparty, under a swap agreement, defaults on its
obligation to make payments due from it as a result of its bankruptcy or otherwise, the Fund may lose such payments altogether
or collect only a portion thereof, which collection could involve costs or delays.

 

The
Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) and related regulatory developments
require the eventual clearing and exchange-trading of many standardized OTC derivative instruments that the CFTC and Securities
and Exchange Commission (“SEC”) recently defined as “swaps” and “security-based swaps,” respectively.
Mandatory exchange-trading and clearing is occurring on a phased-in basis based on the type of market participant and CFTC approval
of contracts for central clearing and exchange trading. In a cleared swap, the Fund’s ultimate counterparty is a central
clearinghouse rather than a brokerage firm, bank or other financial institution. The Fund initially will enter into cleared swaps
through an executing broker. Such transactions will then be submitted for clearing and, if cleared, will be held at regulated
futures commission merchants (“FCMs”) that are members of the clearinghouse that serves as the central counterparty.
When the Fund enters into a cleared swap, it must deliver to the central counterparty (via an FCM) an amount referred to as “initial
margin.” Initial margin requirements are determined by the central counterparty, but an FCM may require additional initial
margin above the amount required by the central counterparty. During the term of the swap agreement, a “variation margin”
amount may also be required to be paid by the Fund or may be received by the Fund in accordance with margin controls set for such
accounts, depending upon changes in the price of the underlying reference asset subject to the swap agreement. At the conclusion
of the term of the swap agreement, if the Fund has a loss equal to or greater than the margin amount, the margin amount is paid
to the FCM along with any loss in excess of the margin amount. If the Fund has a loss of less than the margin amount, the excess
margin is returned to the Fund. If the Fund has a gain, the full margin amount and the amount of the gain is paid to the Fund.

 

Central
clearing is designed to reduce counterparty credit risk compared to uncleared swaps because central clearing interposes the central
clearinghouse as the counterparty to each participant’s swap, but it does not eliminate those risks completely. There is
also a risk of loss by the Fund of the initial and variation margin deposits in the event of bankruptcy of the FCM with which
the Fund has an open position in a swap contract. The assets of the Fund may not be fully protected in the event of the bankruptcy
of the FCM or central counterparty because the Fund might be limited to recovering only a pro rata share of all available funds
and margin segregated on behalf of an FCM’s customers. If the FCM does not provide accurate reporting, the Fund is also
subject to the risk that the FCM could use the Fund’s assets, which are held in an omnibus account with assets belonging
to the FCM’s other customers, to satisfy its own financial obligations or the payment obligations of another customer to
the central counterparty. Exchange-trading is expected to increase liquidity of swaps trading.

 

In
addition, with respect to cleared swaps, the Fund may not be able to obtain as favorable terms as it would be able to negotiate
for an uncleared swap. In addition, an FCM may unilaterally impose position limits or additional margin requirements for certain
types of swaps in which the Fund may invest. Central counterparties and FCMs generally can require termination of existing cleared
swap transactions at any time, and can also require increases in margin above the margin that is required at the initiation of
the swap agreement. Margin requirements for cleared swaps vary on a number of factors, and the margin required under the rules
of the clearinghouse and FCM may be in excess of the collateral required to be posted by the Fund to support its obligations under
a similar uncleared swap. However, regulators are expected to adopt rules imposing certain margin requirements, including minimums,
on uncleared swaps in the near future, which could change this comparison.

 

The
Fund is also subject to the risk that, after entering into a cleared swap with an executing broker, no FCM or central counterparty
is willing or able to clear the transaction. In such an event, the central counterparty would void the trade. Before the Fund
can enter into a new trade, market conditions may become less favorable to the Fund.

 

The
Adviser will continue to monitor developments regarding trading and execution of cleared swaps on exchanges, particularly to the
extent regulatory changes affect the Fund’s ability to enter into swap agreements and the costs and risks associated with
such investments.

 

 

Tax
Risks

 

As
with any investment, you should consider how your investment in Shares will be taxed. The tax information in the Prospectus and
this SAI is provided as general information. You should consult your own tax professional about the tax consequences of an investment
in Shares.

 

Unless
your investment in Shares is made through a tax-exempt entity or tax-deferred retirement account, such as an individual retirement
account, you need to be aware of the possible tax consequences when the Fund makes distributions or you sell Shares.

 

Time
Deposits and Eurodollar Time Deposits

 

The
Fund may invest in time deposits, and specifically eurodollar time deposits. Time deposits are non-negotiable deposits, such as
savings accounts or certificates of deposit, held by a financial institution for a fixed term with the understanding that the
depositor can withdraw its money only by giving notice to the institution. However, there may be early withdrawal penalties depending
upon market conditions and the remaining maturity of the obligation. Eurodollars are deposits denominated in dollars at banks
outside of the United States and Canada and thus, are not under the jurisdiction of the Federal Reserve. Because Eurodollar time
deposits are held by financial institutions outside of the United States and Canada, they may be subject to less regulation and
therefore, may pose more risk to the Fund than investments in their U.S. or Canadian counterparts.

 

U.S.
Government Securities

 

The
Fund may invest in U.S. government securities. Securities issued or guaranteed by the U.S. government or its agencies or instrumentalities
include U.S. Treasury securities, which are backed by the full faith and credit of the U.S. Treasury and which differ only in
their interest rates, maturities, and times of issuance. U.S. Treasury bills have initial maturities of one-year or less; U.S.
Treasury notes have initial maturities of one to ten years; and U.S. Treasury bonds generally have initial maturities of greater
than ten years. Certain U.S. government securities are issued or guaranteed by agencies or instrumentalities of the U.S. government
including, but not limited to, obligations of U.S. government agencies or instrumentalities such as the Federal National Mortgage
Association (“Fannie Mae”), the Government National Mortgage Association (“Ginnie Mae”), the Small Business
Administration, the Federal Farm Credit Administration, the Federal Home Loan Banks, Banks for Cooperatives (including the Central
Bank for Cooperatives), the Federal Land Banks, the Federal Intermediate Credit Banks, the Tennessee Valley Authority, the Export-Import
Bank of the United States, the Commodity Credit Corporation, the Federal Financing Bank, the Student Loan Marketing Association,
the National Credit Union Administration and the Federal Agricultural Mortgage Corporation (Farmer Mac).

 

Some
obligations issued or guaranteed by U.S. government agencies and instrumentalities, including, for example, Ginnie Mae pass-through
certificates, are supported by the full faith and credit of the U.S. Treasury. Other obligations issued by or guaranteed by federal
agencies, such as those securities issued by Fannie Mae, are supported by the discretionary authority of the U.S. government to
purchase certain obligations of the federal agency, while other obligations issued by or guaranteed by federal agencies, such
as those of the Federal Home Loan Banks, are supported by the right of the issuer to borrow from the U.S. Treasury, while the
U.S. government provides financial support to such U.S. government-sponsored federal agencies, no assurance can be given that
the U.S. government will always do so, since the U.S. government is not so obligated by law. U.S. Treasury notes and bonds typically
pay coupon interest semi-annually and repay the principal at maturity.

 

On
September 7, 2008, the U.S. Treasury announced a federal takeover of Fannie Mae and the Federal Home Loan Mortgage Corporation
(“Freddie Mac”), placing the two federal instrumentalities in conservatorship. Under the takeover, the U.S. Treasury
agreed to acquire $1 billion of senior preferred stock of each instrumentality and obtained warrants for the purchase of common
stock of each instrumentality (the “Senior Preferred Stock Purchase Agreement” or “Agreement”). Under
the Agreement, the U.S. Treasury pledged to provide up to $200 billion per instrumentality as needed, including the contribution
of cash capital to the instrumentalities in the event their liabilities exceed their assets. This was intended to ensure that
the instrumentalities maintain a positive net worth and meet their financial obligations, preventing mandatory triggering of receivership.
On December 24, 2009, the U.S. Treasury announced that it was amending the Agreement to allow the $200 billion cap on the U.S.
Treasury’s funding commitment to increase as necessary to accommodate any cumulative reduction in net worth over the next
three years. As a result of this Agreement, the investments of holders, including the Fund, of mortgage-backed securities and
other obligations issued by Fannie Mae and Freddie Mac are protected.

 

The
total public debt of the United States as a percentage of gross domestic product has grown rapidly since the beginning of the
2008-2009 financial downturn. Although high debt levels do not necessarily indicate or cause economic problems, they may create
certain systemic risks if sound debt management practices are not implemented. A high national debt can raise concerns that the
U.S. government will not be able to make principal or interest payments when they are due. This increase has also necessitated
the need for the U.S. Congress to negotiate adjustments to the statutory debt limit to increase the cap on the amount the U.S.
government is permitted to borrow to meet its existing obligations and finance current budget deficits. In August 2011, S&P
lowered its long-term sovereign credit rating on the U.S. In explaining the downgrade at that time, S&P cited, among other
reasons, controversy over raising the statutory debt limit and growth in public spending. On September 8, 2017, following passage
by Congress, the President of the United States signed the Continuing Appropriations Act, 2018 and Supplemental Appropriations
for Disaster Relief Requirements Act, 2017, which suspends the statutory debt limit through December 8, 2017. On January 22, 2018,
Congress passed a short-term funding measure to allow legislators until February 8, 2018 to negotiate a longer-term solution.
Any controversy or ongoing uncertainty regarding the statutory debt limit negotiations may impact the U.S. long-term sovereign
credit rating and may cause market uncertainty. As a result, market prices and yields of securities supported by the full faith
and credit of the U.S. government may be adversely affected.

 

 

Valuation
Risk

 

The
sale price the Fund could receive for a security may differ from the Fund’s valuation of the security, particularly for
securities or assets that trade low volume or volatile markets or that are valued using a fair value methodology. In addition,
the value of the securities or assets in the Fund’s portfolio may change on days when shareholders will not be able to purchase
or sell the Fund’s shares.

 

Warrants
and Subscription Rights

 

Warrants
are equity securities in the form of options issued by a corporation which give the holder the right to purchase stock, usually
at a price that is higher than the market price at the time the warrant is issued. A purchaser takes the risk that the warrant
may expire worthless because the market price of the common stock fails to rise above the price set by the warrant.

 

When-Issued
Securities, Delayed-Delivery and Forward Commitment Securities

 

A
when-issued, delayed-delivery or forward commitment security is one whose terms are available and for which a market exists, but
which have not been issued. If the Fund engages in when-issued, delayed-delivery or forward commitment transactions, it relies
on the other party to consummate the sale. If the other party fails to complete the sale, the Fund may miss the opportunity to
obtain the security at a favorable price or yield.

 

When
purchasing a security on a when-issued, delayed-delivery or forward commitment basis, the Fund assumes the rights and risks of
ownership of the security, including the risk of price and yield changes. At the time of settlement, the market value of the security
may be more or less than the purchase price. The yield available in the market when the delivery takes place also may be higher
than those obtained in the transaction itself. Because the Fund does not pay for the security until the delivery date, these risks
are in addition to the risks associated with its other investments.

 

Decisions
to enter into when-issued, delayed-delivery or forward commitment transactions will be considered on a case-by-case basis when
necessary to maintain continuity in a company’s index membership. The Fund will segregate cash or liquid securities equal
in value to commitments for the when-issued transactions. The Fund will segregate additional liquid assets daily so that the value
of such assets is equal to the amount of the commitments.

 

Zero
Coupon Bonds

 

The
Fund may invest in U.S. Treasury zero-coupon bonds. These securities are U.S. Treasury bonds which have been stripped of their
un-matured interest coupons, the coupons themselves, and receipts or certificates representing interests in such stripped debt
obligations and coupons. Interest is not paid in cash during the term of these securities, but is accrued and paid at maturity.
Such obligations have greater price volatility than coupon obligations and other normal interest-paying securities, and the value
of zero coupon securities reacts more quickly to changes in interest rates than do coupon bonds. Because dividend income is accrued
throughout the term of the zero coupon obligation, but is not actually received until maturity, the Fund may have to sell other
securities to pay said accrued dividends prior to maturity of the zero coupon obligation. Unlike regular U.S. Treasury bonds,
which pay semi-annual interest, U.S. Treasury zero coupon bonds do not generate semi-annual coupon payments. Instead, zero coupon
bonds are purchased at a substantial discount from the maturity value of such securities, the discount reflecting the current
value of the deferred interest; this discount is amortized as interest income over the life of the security, and is taxable even
though there is no cash return until maturity. Zero coupon U.S. Treasury issues originally were created by government bond dealers
who bought U.S. Treasury bonds and issued receipts representing an ownership interest in the interest coupons or in the principal
portion of the bonds. Subsequently, the U.S. Treasury began directly issuing zero coupon bonds with the introduction of STRIPS.
While zero coupon bonds eliminate the reinvestment risk of regular coupon issues, that is, the risk of subsequently investing
the periodic interest payments at a lower rate than that of the security held, zero coupon bonds fluctuate much more sharply than
regular coupon-bearing bonds. Thus, when interest rates rise, the value of zero coupon bonds will decrease to a greater extent
than will the value of regular bonds having the same interest rate.

 

 

INVESTMENT
RESTRICTIONS AND POLICIES

 

The
Trust has adopted the following investment restrictions as fundamental policies with respect to the Fund. These restrictions cannot
be changed without the approval of the holders of a majority of the Fund’s outstanding voting securities. For purposes of
the 1940 Act, a majority of the outstanding voting securities of the Fund means the vote, at an annual or a special meeting of
the security holders of the Trust, of the lesser of (1) 67% or more of the voting securities of the Fund present at such meeting,
if the holders of more than 50% of the outstanding voting securities of the Fund are present or represented by proxy, or (2) more
than 50% of the outstanding voting securities of the Fund. Under these restrictions:

 

  1. The
Fund may not make loans, except that the Fund may: (i) lend portfolio securities; (ii) enter into repurchase agreements; (iii)
purchase all or a portion of an issue of debt securities, bank loan or participation interests, bank certificates of deposit,
bankers’ acceptances, debentures or other securities, whether or not the purchase is made upon the original issuance
of the securities; and (iv) participate in an interfund lending program with other registered investment companies;

 

  2. The
Fund may not borrow money, except as permitted under the 1940 Act, and as interpreted or modified by regulation from time
to time;

 

  3. The
Fund may not issue senior securities, except as permitted under the 1940 Act, and as interpreted or modified by regulation
from time to time;

 

  4. The
Fund may not purchase or sell real estate, except that the Fund may: (i) invest in securities of issuers that invest in real
estate or interests therein; (ii) invest in mortgage-related securities and other securities that are secured by real estate
or interests therein; and (iii) hold and sell real estate acquired by the Fund as a result of the ownership of securities;

 

  5. The
Fund may not engage in the business of underwriting securities issued by others, except to the extent that the Fund may be
considered an underwriter within the meaning of the Securities Act of 1933, as amended (“Securities Act”), in
the disposition of restricted securities or in connection with its investments in other investment companies;

 

  6. The
Fund may not purchase or sell commodities, unless acquired as a result of owning securities or other instruments, but it may
purchase, sell or enter into financial options and futures, forward and spot currency contracts, swap transactions and other
financial contracts or derivative instruments and may invest in securities or other instruments backed by commodities; and

 

  7. The
Fund may not purchase any security if, as a result of that purchase, more than 25% of the Fund’s net assets would be
invested in securities of issuers having their principal business activities in the same industry or group of industries.
This limit does not apply to securities issued or guaranteed by the U.S. Government, its agencies or instrumentalities.

 

If
a percentage limitation is adhered to at the time of investment or contract, a later increase or decrease in percentage resulting
from any change in value or total or net assets will not result in a violation of such restriction, except that the percentage
limitations with respect to the borrowing of money will be continuously complied with.

 

The
Fund’s investment objective and its 80% investment policy are non-fundamental policies and may be changed by the Board of
Trustees of the Trust without shareholder approval upon 60 days’ written notice to shareholders.

 

BOARD
OF TRUSTEES OF THE TRUST

 

The
Board of the Trust consists of six Trustees, four of whom are not “interested persons” (as defined in the 1940 Act),
of the Trust (“Independent Trustees”). The Board is responsible for overseeing the management and operations of the
Trust, including the general oversight of the duties and responsibilities performed by the Adviser and other service providers
to the Trust. The Adviser is responsible for the day-to-day administration, operation and business affairs of the Trust.

 

The
Board believes that each Trustee’s experience, qualifications, attributes or skills on an individual basis and in combination
with those of the other Trustees lead to the conclusion that the Board possesses the requisite skills and attributes to carry
out its oversight responsibilities with respect to the Trust. The Board believes that the Trustees’ ability to review, critically
evaluate, question and discuss information provided to them, to interact effectively with the Adviser, the Trust’s other
service providers, counsel and independent auditors, and to exercise effective business judgment in the performance of their duties,
support this conclusion. In reaching its conclusion, the Board also has considered the (i) experience, qualifications, attributes
and/or skills, among others, of its members, (ii) each member’s character and integrity, (iii) the length of service as
a board member of the Trust, (iv) each person’s willingness to serve and ability to commit the time necessary to perform
the duties of a Trustee, and (v) as to each Independent Trustee, such Trustee’s status as not being an “interested
person” (as defined in the 1940 Act) of the Trust. In addition, the following specific experience, qualifications, attributes
and/or skills apply as to each Trustee.

 

 

References
to the experience, qualifications, attributes, and skills of Trustees are pursuant to requirements of the SEC, do not constitute
the holding out of the Board or any Trustee as having any special expertise or experience, and shall not impose any greater responsibility
or liability on any such person or on the Board by reason thereof.

 

The
Trustees of the Trust, their addresses, positions with the Trust, ages, term of office and length of time served, principal occupations
during the past five years, the number of portfolios in the Fund Complex overseen by each Trustee and other directorships, if
any, held by the Trustees, are set forth below.

 

The
Board is also responsible for overseeing the nature, extent, and quality of the services provided to the Fund by the Adviser and
Sub-Adviser and receives information about those services at its regular meetings. In addition, on an annual basis (following
the initial two-year period), in connection with its consideration of whether to renew the Management Agreement with the Adviser
or Sub-Advisory Agreement with the Sub-Adviser, the Board or its designee may meet with the Adviser, as appropriate, to review
such services. Among other things, the Board regularly considers the Adviser’s adherence to the Fund’s investment
restrictions and compliance with various Fund policies and procedures and with applicable securities regulations. The Board also
reviews information about the Fund’s performance and the Fund’s investments, including, for example, portfolio holdings
schedules.

 

The
Trust’s Chief Compliance Officer reports regularly to the Board to review and discuss compliance issues and Fund or Adviser
risk assessments. At least annually, the Trust’s Chief Compliance Officer provides the Board with a report reviewing the
adequacy and effectiveness of the Trust’s policies and procedures and those of its service providers, including the Adviser.
The report addresses the operation of the policies and procedures of the Trust and each service provider since the date of the
last report; any material changes to the policies and procedures since the date of the last report; any recommendations for material
changes to the policies and procedures; and any material compliance matters since the date of the last report.

 

The
Board receives reports from the Fund’s service providers regarding operational risks and risks related to the valuation
and liquidity of portfolio securities. Annually, the Fund’s independent registered public accounting firm reviews with the
Audit Committee its audit of the Fund’s financial statements, focusing on major areas of risk encountered by the Fund and
noting any significant deficiencies or material weaknesses in the Fund’s internal controls. Additionally, in connection
with its oversight function, the Board oversees Fund management’s implementation of disclosure controls and procedures,
which are designed to ensure that information required to be disclosed by the Trust in its periodic reports with the SEC are recorded,
processed, summarized, and reported within the required time periods. The Board also oversees the Trust’s internal controls
over financial reporting, which comprise policies and procedures designed to provide reasonable assurance regarding the reliability
of the Trust’s financial reporting and the preparation of the Trust’s financial statements.

 

From
their review of these reports and discussions with the Adviser, the Chief Compliance Officer, the independent registered public
accounting firm and other service providers, the Board and the Audit Committee learn in detail about the material risks of the
Fund, thereby facilitating a dialogue about how management and service providers identify and mitigate those risks.

 

The
Board recognizes that not all risks that may affect the Fund can be identified and/or quantified, that it may not be practical
or cost-effective to eliminate or mitigate certain risks, that it may be necessary to bear certain risks (such as investment-related
risks) to achieve the Fund’s goals, and that the processes, procedures and controls employed to address certain risks may
be limited in their effectiveness. Moreover, reports received by the Board as to risk management matters are typically summaries
of the relevant information. Most of the Fund’s investment management and business affairs are carried out by or through
the Adviser and other service providers, each of which has an independent interest in risk management but whose policies and the
methods by which one or more risk management functions are carried out may differ from the Fund’s and each other’s
in the setting of priorities, the resources available or the effectiveness of relevant controls. As a result of the foregoing
and other factors, the Board’s ability to monitor and manage risk, as a practical matter, is subject to limitations.

 

 

Independent
Trustees

 

The
address of each trustee is c/o 13 Riverside Ave, Westport, CT 06880. Each trustee serves for the life of the Trust, subject to
their earlier death, incapacitation, resignation, retirement or removal as more specifically provided in the Trust’s organizational
documents.

 

Name,
Year of Birth,

and Position(s) held
with the Trust

Length
of

Time

Served 

Principal
Occupation(s)

During Past Five Years
Number
of

Portfolios in the
Fund Complex
Overseen**

Other

Directorships

Held
by Trustee

During
Past Five Years 

Sharon
Cheever,  

1955,  

Trustee   

Since
2021

 

Retired
(December 2020 – Present); Senior Vice President and General Counsel, Pacific Global Asset Management LLC (August 2012
– December 2020); Senior Vice President and General Counsel, Cadence Capital management LLC (July 2016 – August
2016); Senior Vice President and General Counsel, Pacific Life Fund Advisors LLC (January 2008 – October 2015); Senior
Vice President and General Counsel, Pacific Private Fund Advisors LLC (August 2013 – March 2015).

2

 

Pacific
Global ETF Trust (from 2019 to 2022)

 

Richard
Keary,  

1962  

Trustee   

Since
2021
Principal/Founder,
Global ETF Advisors, LLC (March 2009 – present).
2 Tema
ETF Trust (since 2023)

John
Jacobs,  

1959  

Trustee   

Since
2021

Alerian
(Chairman, June 2018 to Present); Georgetown University (Academic Staff, 2015 – present);   

Nasdaq
(Executive Vice President and Senior Advisor, 2013-2016).  

2 The
Lift Fund  (since 2017); Procure ETF Trust II ETFs (since 2018); and Tema ETF Trust (since 2023)

Robert
Sherry,  

1963  

Trustee  

Since
2021
COO,
Digital Prime Technologies, a fintech firm (December 2021 – present); Head of US Prime Brokerage, Maybank Kim Eng Securities
USA, Inc. (September 2020 – December 2021); Consultant, Maybank Kim Eng Securities USA, Inc. (February 2020 –
September 2020); Chief Operating Officer, Cantor Fitzgerald & CF Secured (September 2009 – April 2018).
2 Tema
ETF Trust (since 2023)

 

 

Interested
Trustees

 

The
address of each trustee is c/o NEOS ETF Trust, 13 Riverside Ave, Westport, CT 06880. Each trustee serves an indefinite term or
until their successors are elected and qualified.

 

Name,
Year of Birth, and

Position(s) held with the
Trust
Length
of Time

Served
Principal
Occupation(s) During

Past Five Years
Number
of

Portfolios in the
Fund Complex
Overseen
Other
Directorships

Held By Trustee
During Past Five
Years

Garrett
Paolella,*   

1986   

Trustee,
Chairman and President  

Since
2021
Managing
Partner, Intersect Capital Management (January 2021 – Present); Partner, Slate Hill Partners (October 2020 – Present);
Managing Director and Portfolio Manager, Harvest Volatility Management (June 2018 – Present); Managing Director, Horizons
ETFs USA (October 2016 – June 2018); Managing Partner, Recon Capital Partners (January 2012 – December 2017).
2 Horizons
ETF Series Trust (from 2016 to 2018) and Tema ETF Trust (since 2023)

Troy
M. Cates, *

(1976)  

Trustee
and Vice Chairman 

Since
2023
Co-Founder
& Managing Partner, NEOS Investments (March 2022 – Present); Managing Director and Portfolio Manager, Harvest Volatility
Management (June 2018 – July 2023); Managing Director, Horizons ETFs USA (October 2016 – June 2018).
2 None

*Indicates
an “interested person” of the Trust, as that term is defined in Section 2(a)(19) of the 1940 Act. Messrs. Paolella
and Cates are deemed to be interested persons due to their respective senior leadership positions with NEOS Investment Management,
LLC, which serves as the investment adviser or sub-adviser to several series in the Trust.

**
The term “Fund Complex” applies to the Fund and FIS Knights of Columbus Global Belief ETF. The Fund and the FIS Knights
of Columbus Global Belief ETF do not hold themselves out as related to each other for investment purposes but they do share the
same investment adviser.

 

Officer
Information

 

The
Officers of the Trust, their addresses, positions with the Trust, ages and principal occupations during the past five years are
set forth below.

 

The
address for each officer is c/o NEOS ETF Trust, 13 Riverside Ave, Westport, CT 06880. Each officer serves an indefinite term or
until their successors are elected and qualified.

 

Officer’s
Name,

and Year of Birth
  Position(s)
Held

with the Trust
  Length
of Time

Served
  Principal
Occupation(s) During The Past Five Years

Josh
Hunter, 

1981   

  Treasurer   Since
2021
  Senior
Principal Consultant and Fund Principal Financial Officer, Foreside Fund Officer Services, LLC (July 2015 – Present). 

Robert
Shea, 

1966  

 

  Secretary   Since
2023
  Chief
Financial Officer/Chief Operating Officer, Intersect Capital Management (March 2021-Present); Chief Financial Officer Slate
Hill Partners (April 2021-Present);Chief Marketing Officer (January 2018- February 2021), Chief Operating Officer (2013-2018),
Mirae Asset Global Investments USA.

Jack
Huntington, 

1970  

  Chief
Compliance Officer
  Since
2023
  Senior
Principal Consultant and Fund Chief Compliance Officer at Foreside Fund Officer Services, LLC (October 2015 to present).

 

Board
Committees

 

The
Board has an Audit Committee consisting of the four Trustees who are Independent Trustees. Mr. Jacobs currently serves as a member
of the Audit Committee and has been designated as an “audit committee financial expert” as defined under Item 407
of Regulation S-K of the Securities Exchange Act of 1934, as amended (“Exchange Act”). Mr. Jacobs, an Independent
Trustee, is the Chairman of the Audit Committee. The Audit Committee has the responsibility, among other things, to: (i) oversee
the accounting and financial reporting processes of the Trust and its internal control over financial reporting; (ii) oversee
the quality and integrity of the Trust’s financial statements and the independent audit thereof; (iii) oversee or, as appropriate,
assist the Board’s oversight of the Trust’s compliance with legal and regulatory requirements that relate to the Trust’s
accounting and financial reporting, internal control over financial reporting and independent audit; (iv) approve prior to appointment
the engagement of the Trust’s independent registered public accounting firm and, in connection therewith, to review and
evaluate the qualifications, independence and performance of the Trust’s independent registered public accounting firm;
and (v) act as a liaison between the Trust’s independent registered public accounting firm and the full Board.

 

 

The
Board also has a Nominating Committee consisting of the four Trustees who are Independent Trustees. Mr. Keary, an Independent
Trustee, is the Chairman of the Nominating Committee. The Nominating Committee is responsible for recommending qualified candidates
to the Board in the event that a position is vacated or created. The Nominating Committee would consider recommendations by shareholders
if a vacancy were to exist. Shareholders may recommend candidates for Board positions by forwarding their correspondence to the
Secretary of the Trust at the Trust’s address and the shareholder communication will be forwarded to the Committee Chairperson
for evaluation In considering Trustee nominee candidates, the Nominating Committee takes into account a wide variety of factors,
including the overall diversity of the Board’s composition. The Nominating Committee believes the Board generally benefits
from diversity of background, experience and views among its members, and considers this a factor in evaluating the composition
of the Board, but has not adopted any specific policy in this regard.

 

The
Board has determined that its leadership structure is appropriate given the business and nature of the Trust. In connection with
its determination, the Board considered that the Chairman of the Board is an interested person by virtue of his interest in NEOS
Investment Management, LLC. The Chairman of the Board can play an important role in setting the agenda of the Board and also serves
as a key point person for dealings between management and Independent Trustees. The Independent Trustees believe that the Chairman’s
background and experience in the investment management industry puts him in a position to keep the Independent Trustees informed
of issues requiring their attention, and facilitates meaningful dialogue between the Adviser and the Independent Trustees. The
Board also considered that the Chairman of the Audit Committee is an Independent Trustee, which yields similar benefits with respect
to the functions and activities of the various Board committees. The Independent Trustees also regularly meet outside the presence
of management. The Board has determined that its committees help ensure that the Trust has effective and independent governance
and oversight. The Board also believes that its leadership structure facilitates the orderly and efficient flow of information
to the Independent Trustees from management of the Trust, including the Adviser. The Board reviews its structure on an annual
basis.

 

As
an integral part of its responsibility for oversight of the Trust in the interests of shareholders, the Board, as a general matter,
oversees risk management of the Trust’s investment programs and business affairs. The function of the Board with respect
to risk management is one of oversight and not active involvement in, or coordination of, day-to-day risk management activities
for the Trust. The Board recognizes that (i) not all risks that may affect the Trust can be identified, (ii) it may not be practical
or cost-effective to eliminate or mitigate certain risks, (iii) it may be necessary to bear certain risks (such as investment-related
risks) to achieve the Trust’s goals, and (iv) the processes, procedures and controls employed to address certain risks may
be limited in their effectiveness. Moreover, reports received by the Trustees that may relate to risk management matters are typically
summaries of the relevant information.

 

The
Board exercises oversight of the risk management process primarily through the Audit Committee, and through oversight by the Board
itself. The Trust faces a number of risks, such as investment-related and compliance risks. The Adviser’s personnel seek
to identify and address risks, i.e., events or circumstances that could have material adverse effects on the business, operations,
shareholder services, investment performance or reputation of the Trust. Under the overall supervision of the Board or the applicable
Committee of the Board, the Trust, Adviser employ a variety of processes, procedures and controls to identify such possible events
or circumstances, to lessen the probability of their occurrence and/or to mitigate the effects of such events or circumstances
if they do occur. Different processes, procedures and controls are employed with respect to different types of risks. Various
personnel, including the Trust’s Chief Compliance Officer, as well as various personnel of the Adviser and other service
providers such as the Trust’s independent accountants, may report to the Audit Committee and/or to the Board with respect
to various aspects of risk management, as well as events and circumstances that have arisen and responses thereto.

 

As
of the date of this SAI, the officers and Trustees of the Trust, in the aggregate, do not own any shares of the Fund.

 

 

For
each Trustee, the dollar range of equity securities beneficially owned by the Trustee in the Trust and in all registered investment
companies advised by the Adviser (“Family of Investment Companies”) that are overseen by the Trustee is shown below. 

 

Name
of Trustee
Dollar
Range of Equity Securities

in the Trust (as of December 31, 2022)
Aggregate
Dollar Range of Equity Securities in all

Registered Investment Companies Overseen By
Trustee In Family of Investment Companies (as of
December 31, 2022)
Troy
Cates
$10,001-$50,000
None
     
Garrett
Paolella
$10,001-$50,000
None
     
Sharon
Cheever
None None
     
John
Jacobs
None None
     
Richard
Keary
None None
     
Robert
Sherry
None None

 

As
to each Independent Trustee and his immediate family members, no person owned beneficially or of record securities in the Adviser
or Foreside Fund Services, LLC (“Distributor”), or a person (other than a registered investment company) directly
or indirectly controlling, controlled by or under common control with the Adviser or the Distributor.

 

Shareholder
Communications to the Board

 

Shareholders
may send communications to the Board by addressing the communications directly to the Board (or individual Board members) and/or
otherwise clearly indicating in the salutation that the communication is for the Board (or individual Board members). The shareholder
may send the communication to either the Trust’s office or directly to such Board members at the address specified for each
Trustee. Other shareholder communications received by the Trust not directly addressed and sent to the Board will be reviewed
and generally responded to by management. Such communications will be forwarded to the Board at management’s discretion
based on the matters contained therein.

 

Remuneration
of Trustees

 

The
table below details the amount of compensation the Independent Trustees received from the Fund and Fund Complex during the fiscal
year ended May 31, 2023.

 

Name FIS
Christian Stock Fund
Pension
or Retirement Benefits Accrued as Part of Fund Expenses
Estimated
Annual

Benefits Upon
Retirement
Total
Compensation From
the Fund and Fund
Complex* Paid to
Trustees
Sharon
Cheever
$2,000 $0 $0 $4,000
Richard
Keary
$2,000 $0 $0 $4,000
John
Jacobs
$2,000 $0 $0 $4,000
Robert
Sherry
$2,000 $0 $0 $4,000

*There
are currently numerous series comprising the Trust. The term “Fund Complex” refers only to the funds that are series
of the Trust and managed by the Adviser and not to any other series of the Trust. For the fiscal year ended May 31, 2023, the
aggregate independent Trustees’ fees paid by the entire Trust were $40,000.

 

Independent
Trustee fees are paid from the unitary fee paid to the Adviser by the Fund and the other series of the Trust. The Trust does not
have a bonus, profit sharing, pension or retirement plan. Annual Trustee fees may be reviewed periodically and changed by the
Board.

 

 

Limitation
of Trustees’ Liability

 

The
Declaration of Trust provides that a Trustee shall be liable only for his or her own willful misfeasance, bad faith, gross negligence
or reckless disregard of the duties involved in the conduct of the office of Trustee, and shall not be liable for errors of judgment
or mistakes of fact or law. The Trustees shall not be responsible or liable in any event for any neglect or wrong-doing of any
officer, agent, employee, adviser or principal underwriter of the Trust, nor shall any Trustee be responsible for the act or omission
of any other Trustee. The Declaration of Trust also provides that the Trust shall indemnify each person who is, or has been, a
Trustee, officer, employee or agent of the Trust, any person who is serving or has served at the Trust’s request as a Trustee,
officer, trustee, employee or agent of another organization in which the Trust has any interest as a shareholder, creditor or
otherwise to the extent and in the manner provided in the Amended and Restated By-laws. However, nothing in the Declaration of
Trust shall protect or indemnify a Trustee against any liability for his or her willful misfeasance, bad faith, gross negligence
or reckless disregard of the duties involved in the conduct of the office of Trustee. Nothing contained in this section attempts
to disclaim a Trustee’s individual liability in any manner inconsistent with the federal securities laws.

 

MANAGEMENT
AND OTHER SERVICE PROVIDERS

 

The
following information supplements and should be read in conjunction with the section in the Prospectus entitled “Management
of the Fund.”

 

Investment
Adviser

 

Faith
Investor Services, LLC acts as investment adviser to the Fund pursuant to an investment advisory agreement between the Trust and
the Adviser with respect to the Fund (“Management Agreement”) and, pursuant to the Management Agreement, is responsible
for the day-to-day investment management of the Fund.

 

Subject
to the general oversight of the Board, the Adviser provides or causes to be furnished all supervisory and other services reasonably
necessary for the operation of the Fund, including overseeing the Sub-Adviser, audit, portfolio accounting, legal, transfer agency,
custody, printing costs, certain administrative services (provided pursuant to a separate administration agreement), certain distribution
services (provided pursuant to a separate distribution agreement), certain shareholder and distribution-related services (provided
pursuant to a separate Rule 12b-1 Plan and related agreements) and investment management and investment advisory services (provided
pursuant to the Management Agreement) under what is essentially an all-in fee structure. The Fund bears other expenses which are
not covered under the Management Agreement that may vary and will affect the total level of expenses paid by the Fund, such as
taxes and governmental fees, brokerage fees, commissions and other transaction expenses, costs of borrowing money, including interest
expenses, certain custody expenses and extraordinary expenses (such as litigation and indemnification expenses).

 

The
Fund pays the Adviser a unified fee (“Management Fee”) under the Management Agreement in return for providing investment
management, investment advisory and supervisory services and for being obligated to pay certain Fund expenses discussed above.
The Adviser is paid a monthly Management Fee at an annual rate of 0.68% of the average daily net assets of the Fund. Under a unitary
fee structure, the Adviser is responsible for paying substantially all the expenses of the Fund, excluding payments under the
Fund’s 12b-1 plan (if any), interest expenses, taxes, acquired fund fees and expenses, brokerage fees, costs of holding
shareholder meetings, litigation, indemnification and extraordinary expenses. The Adviser may from time to time waive all or a
portion of its Management Fee. Fee waivers and subsidies will increase the Fund’s total return. These voluntary waivers
may be terminated at any time without notice. To the extent that the Adviser agrees to waive its fee, it may enter into a relationship
agreement with the Sub-Adviser to share the economic impact of the fee waiver or expense subsidy.

 

For
the fiscal year ended May 31, 2023, the Fund paid the Adviser $148,706 in advisory fees. For the fiscal period from February 8,
2022 (commencement of operations) through May 31, 2022, the Fund paid the Adviser $42,210 in advisory fees.

 

Pursuant
to the Management Agreement, and subject to the Board’s approval, the Adviser is authorized to delegate the day-to-day management
of the Fund’s investment program. The Adviser has appointed Capital Insight Partners, LLC as the sub-adviser to manage the
Fund’s investment program. The Adviser oversees and monitors the nature and quality of the services provided by the Sub-Adviser,
including investment performance and execution of investment strategies. The Adviser performs compliance monitoring services to
help the Fund maintain compliance with applicable laws and regulations and provides services related to, among others, the valuation
of Fund securities, risk management and oversight of trade execution and brokerage services.

 

Pursuant
to the Management Agreement, the Fund has agreed to indemnify the Adviser for certain liabilities, including certain liabilities
arising under the federal securities laws, unless such loss or liability results from willful misfeasance, bad faith or gross
negligence in the performance of its duties or the reckless disregard of its obligations and duties. The Management Agreement
is terminable upon 60 days’ notice by the Adviser and will terminate automatically in the event of its assignment (as defined
in the 1940 Act).

 

 

SubAdviser

 

Capital
Insight Partners, LLC, located at 7328 East Deer Valley Road, Suite 105, Scottsdale, AZ 85255, serves as sub-adviser to the Fund.
As of September 14, 2023, the Sub-Adviser had approximately $685 million in assets under management.

 

The
Sub-Adviser provides advisory services to high net worth individuals, corporate retirement plans and serves as a Separate Account
Manager. The Sub-Adviser is responsible for the day-to-day management of the Fund’s portfolio pursuant to a sub-advisory
agreement between the Trust, the Adviser and the Sub-Adviser with respect to the Fund (“Sub-Advisory Agreement”).
As compensation for its services provided and the expenses borne pursuant to the Sub-Advisory Agreement, the Adviser will pay
to the Sub-Adviser a fee equal to 50% of the net profits earned from the advisory fees paid by the Fund to the Adviser pursuant
to the Management Agreement. Net profits are defined as management fees collected from the Fund net of Adviser’s expense
obligations pursuant to the Management Agreement.

 

The
Sub-Advisory Agreement provides that the Sub-Adviser will furnish investment advisory services in connection with the management
of the Fund. In that regard, the Sub-Adviser is obligated to keep certain books and records of the Fund. Under the Sub-Advisory
Agreement, the Sub-Adviser, subject to the supervision of the Adviser, is responsible for managing the assets of the Fund in accordance
with the Fund’s investment objectives, policies and restrictions. The Sub-Adviser determines what securities and other instruments
are purchased and sold for the Fund and is responsible for obtaining and evaluating financial data relevant to the Fund. The Adviser
continues to have responsibility for all investment advisory services provided to the Fund pursuant to the Management Agreement
and supervises the Sub-Adviser’s performance of such services.

 

The
Sub-Advisory Agreement may be terminated by the Fund, the Adviser or the Sub-Adviser upon 60 days written notice. The Sub-Advisory
Agreement will continue in effect for a period of not more than two years from its execution only so long as such continuance
is specifically approved at least annually in accordance with the requirements of the 1940 Act.

 

Other
Accounts Managed by the Portfolio Managers

 

Name
of Portfolio

Manager

Other
Accounts Managed 

(As
of May 31, 2023) 
 

Accounts
with respect to which the

advisory fee is based on the
performance of the account
Category
of Account
Number
of

Accounts in
Category
Total
Assets in

Accounts in
Category
Number
of

Accounts in
Category
Total
Assets in

Accounts in
Category
Steven
T. Nelson
Registered
investment companies
0 $0 0 $0
Other
pooled investment vehicles
0 $0 0 $0
Other
accounts
56 $160 0 $0

Craig
J. McCrory

 

Registered
investment companies
0 $0 0 $0
Other
pooled investment vehicles
5 $2 0 $0
Other
accounts
113 $143 0 $0

Sara
A. LaClair

 

Registered
investment companies
0 $0 0 $0
Other
pooled investment vehicles
4 $10 0 $0
Other
accounts
146 $116 0 $0

 

Portfolio
Manager Compensation

 

The
portfolio managers are compensated by the Sub-Adviser. Each portfolio manager’s compensation consists of a fixed annual
base salary and a share of the firm’s profits. Compensation of the portfolio managers is not tied directly to the Fund’s
performance or assets under management.

 

Portfolio
Manager Share Ownership

 

As
of May 31, 2023, the Portfolio Managers owned shares of the Fund in the following ranges:

 

Portfolio
Manager
Dollar
Range of Fund Shares
Steven
T. Nelson
Over
$1,000,000
Craig
J. McCrory
$1
– $10,000
Sara
A. LaClair
$10,001
– $50,000

 

 

Conflicts
of Interest

 

A
conflict of interest may arise as a result of the Portfolio Managers being responsible for multiple accounts, including the Fund
that may have different investment guidelines and objectives. In addition to the Fund, these accounts may include other mutual
funds managed on an advisory or sub-advisory basis, separate accounts and collective trust accounts. An investment opportunity
may be suitable for the Fund as well as for any of the other managed accounts. However, the investment may not be available in
sufficient quantity for all of the accounts to participate fully. In addition, there may be limited opportunity to sell an investment
held by the Fund or the other account. The other accounts may have similar investment objectives or strategies as the Fund, may
track the same benchmarks or indices as the Fund tracks, and may sell securities that are eligible to be held, sold or purchased
by the Fund. The Portfolio Managers may be responsible for accounts that have different advisory fee schedules, such as performance-based
fees, which may create an incentive for the Portfolio Managers to favor one account over another in terms of access to investment
opportunities or the allocation of the Portfolio Managers’ time and resources. The Portfolio Managers may also manage accounts
whose investment objectives and policies differ from those of the Fund, which may cause the Portfolio Managers to effect trading
in one account that may have an adverse effect on the value of the holdings within another account, including the Fund.

 

To
address and manage these potential conflicts of interest, the Sub-Adviser has adopted compliance policies and procedures to allocate
investment opportunities and to ensure that each of their clients is treated on a fair and equitable basis. Such policies and
procedures include, but are not limited to, trade allocation and trade aggregation policies and oversight by investment management
and the Compliance team.

 

Custodian

 

U.S.
Bank, N.A. (the “Custodian”), located at 1555 N. Rivercenter Drive, Suite 302, Milwaukee, WI 53212, serves as custodian
for the Fund pursuant to a custody agreement between the Trust, on behalf of the Fund, and the Custodian. In that capacity, the
Custodian holds the Fund’s assets.

 

Transfer
Agent and Administrator

 

U.S.
Bancorp Fund Services, LLC (the “Administrator”), located at 615 East Michigan Street, Milwaukee, WI 53202, serves
as the Fund’s transfer agent pursuant to a transfer agent servicing agreement. In addition, the Administrator provides various
accounting services to the Fund pursuant to the fund accounting servicing agreement. The Trust and the Administrator have entered
into the fund administration servicing agreement (“Administration Agreement”). Under the Administration Agreement,
the Administrator provides the Trust with administrative services, including providing certain operational, clerical, recordkeeping
and/or bookkeeping services. The Administration Agreement provides that the Administrator shall not be liable for any error of
judgment or mistake of law or for any loss suffered by the Trust in connection with the matters to which the Administration Agreement
relates, except a loss resulting from the Administrator’s refusal or failure to comply with the terms of the Administration
Agreement or from the Administrator’s bad faith, negligence, or willful misconduct in the performance of its duties under
the Administration Agreement.

 

Distributor

 

Foreside
Fund Services, LLC (the “Distributor”), located at Three Canal Plaza, Suite 100, Portland, Maine 04101 serves
as the distributor of Creation Units for the Trust on an agency basis. The Trust has entered into a Distribution Agreement with
the Distributor (“Distribution Agreement”), under which the Distributor, as agent, reviews and approves orders by
Authorized Participants to create and redeem shares in Creation Units. The Distributor is a broker-dealer registered under the
1934 Act and a member of the Financial Industry Regulatory Authority, Inc. (“FINRA”). Shares will be continuously
offered for sale only in Creation Units. The Distributor will deliver a prospectus to Authorized Participants purchasing Shares
in Creation Units and will maintain records of confirmations of acceptance furnished by it to Authorized Participants. The Distributor
has no role in determining the investment policies of the Fund or which securities are to be purchased or sold by the Fund. No
compensation is payable by the Trust to the Distributor for such distribution services. However, the Adviser has entered into
an agreement with the Distributor under which it makes payments to the Distributor in consideration for its services under the
Distribution Agreement. The payments made by the Adviser to the Distributor do not represent an additional expense to the Trust,
the Fund or its shareholders.

 

The
Distributor may also enter into agreements with securities dealers (“Dealers”) who will assist in the distribution
of Shares. The Distributor will only enter into agreements with firms wishing to purchase Creation Units if the firm qualifies
as an Authorized Participant (as discussed in “Procedures for Purchase of Creation Units” below) or DTC participants
(as defined below).

 

The
Distribution Agreement will continue for two years from its effective date and is renewable thereafter. The continuance of the
Distribution Agreement must be specifically approved at least annually (i) by the vote of the Trustees or by a vote of the shareholders
of the Fund and (ii) by the vote of a majority of the Trustees who are not “interested persons” of the Trust and have
no direct or indirect financial interest in the operations of the Distribution Agreement or any related agreement, cast in person
at a meeting called for the purpose of voting on such approval. The Distribution Agreement is terminable without penalty by the
Trust on 60 days’ written notice when authorized either by majority vote of its outstanding voting Shares or by a vote of
a majority of its Board (including a majority of the Independent Trustees), or by the Distributor on 60 days written notice, and
will automatically terminate in the event of its assignment. The Distribution Agreement provides that in the absence of willful
misfeasance, bad faith or gross negligence on the part of the Distributor, or reckless disregard by it of its obligations thereunder,
the Distributor shall not be liable for any action or failure to act in accordance with its duties thereunder.

 

 

The
Adviser or its affiliates, out of its own resources and not out of Fund assets (i.e., without additional cost to the Fund or its
shareholders), may pay certain broker dealers, banks and other financial intermediaries (“Intermediaries”) for certain
activities related to the Fund, including participation in activities that are designed to make Intermediaries more knowledgeable
about exchange traded products, including the Fund, or for other activities, such as marketing and educational training or support.
These arrangements are not financed by the Fund and, thus, do not result in increased Fund expenses. They are not reflected in
the fees and expenses listed in the fees and expenses sections of the Fund’s Prospectus and they do not change the price
paid by investors for the purchase of Shares or the amount received by a shareholder as proceeds from the redemption of Shares.
Such compensation may be paid to Intermediaries that provide services to the Fund, including marketing and education support (such
as through conferences, webinars and printed communications). The Adviser periodically assesses the advisability of continuing
to make these payments. Payments to an Intermediary may be significant to the Intermediary, and amounts that Intermediaries pay
to your adviser, broker or other investment professional, if any, may also be significant to such adviser, broker or investment
professional. Because an Intermediary may make decisions about what investment options it will make available or recommend, and
what services to provide in connection with various products, based on payments it receives or is eligible to receive, such payments
create conflicts of interest between the Intermediary and its clients. For example, these financial incentives may cause the Intermediary
to recommend the Fund over other investments. The same conflict of interest exists with respect to your financial adviser, broker
or investment professional if he or she receives similar payments from his or her Intermediary firm.

 

Intermediary
information is current only as of the date of this SAI. Please contact your adviser, broker or other investment professional for
more information regarding any payments his or her Intermediary firm may receive.

 

Any
payments made by the Adviser or its affiliates to an Intermediary may create the incentive for an Intermediary to encourage customers
to buy Shares.

 

Distribution
and Service Plan
. The Trust has adopted a Distribution and Service Plan (the “Plan”) in accordance
with the provisions of Rule 12b-1 under the 1940 Act, which regulates circumstances under which an investment company may directly
or indirectly bear expenses relating to the distribution of its shares. No payments pursuant to the Plan will be made during the
twelve (12) month period from the date of this SAI. Thereafter, 12b-1 fees may only be imposed after approval by the Board.

 

Continuance
of the Plan must be approved annually by a majority of the Trustees of the Trust and by a majority of the Trustees who are not
interested persons (as defined in the 1940 Act) of the Trust and have no direct or indirect financial interest in the Plan or
in any agreements related to the Plan (“Qualified Trustees”). The Plan requires that quarterly written reports of
amounts spent under the Plan and the purposes of such expenditures be furnished to and reviewed by the Trustees. The Plan may
not be amended to increase materially the amount that may be spent thereunder without approval by a majority of the outstanding
shares of any class of the Fund that is affected by such increase. All material amendments of the Plan will require approval by
a majority of the Trustees of the Trust and of the Qualified Trustees.

 

The
Plan provides that the Fund pays the Distributor an annual fee of up to a maximum of 0.25% of the average daily net assets of
the shares of the Fund. Under the Plan, the Distributor may make payments pursuant to written agreements to financial institutions
and intermediaries such as banks, savings and loan associations and insurance companies including, without limit, investment counselors,
broker-dealers and the Distributor’s affiliates and subsidiaries (collectively, “Agents”) as compensation for
services and reimbursement of expenses incurred in connection with distribution assistance. The Plan is characterized as a compensation
plan since the distribution fee will be paid to the Distributor without regard to the distribution expenses incurred by the Distributor
or the amount of payments made to other financial institutions and intermediaries. The Trust would operate the Plan in accordance
with its terms and with the Financial Industry Regulatory Authority (“FINRA”) rules concerning sales charges.

 

Under
the Plan, subject to the limitations of applicable law and regulations, the Fund is authorized to compensate the Distributor up
to the maximum amount to finance any activity primarily intended to result in the sale of Creation Units of the Fund or for providing
or arranging for others to provide shareholder services and for the maintenance of shareholder accounts. Such activities may include,
but are not limited to: (i) delivering copies of the Fund’s then current reports, prospectuses, notices, and similar materials,
to prospective purchasers of Creation Units; (ii) marketing and promotional services, including advertising; (iii) paying the
costs of and compensating others, including Authorized Participants with whom the Distributor has entered into written Authorized
Participant Agreements, for performing shareholder servicing on behalf of the Fund; (iv) compensating certain Authorized Participants
for providing assistance in distributing the Creation Units of the Fund, including the travel and communication expenses and salaries
and/or commissions of sales personnel in connection with the distribution of the Creation Units of the Fund; (v) payments to financial
institutions and intermediaries such as banks, savings and loan associations, insurance companies and investment counselors, broker-dealers,
mutual fund supermarkets and the affiliates and subsidiaries of the Trust’s service providers as compensation for services
or reimbursement of expenses incurred in connection with distribution assistance; (vi) facilitating communications with beneficial
owners of shares of the Fund, including the cost of providing (or paying others to provide) services to beneficial owners of shares
of the Fund, including, but not limited to, assistance in answering inquiries related to shareholder accounts, and (vii) such
other services and obligations as are set forth in the Distribution Agreement.

 

 

Counsel

 

Thompson
Hine LLP is counsel to the Trust, including the Fund and the Trustees that are not interested persons of the Trust, as that term
is defined in the 1940 Act.

 

Independent
Registered Public Accounting Firm

 

Effective
March 9, 2023, BBD, LLP (“BBD”) ceased to serve as the independent registered public accounting firm of the Fund. The
Audit Committee of the Board of Trustees approved the replacement of BBD as a result of Cohen & Company, Ltd.’s
(“Cohen”) acquisition of BBD’s investment management group.

 

The
report of BBD on the financial statements of the Fund as of and for the fiscal year ended May 31, 2022 did not contain
an adverse opinion or a disclaimer of opinion, and was not qualified or modified as to uncertainties, audit scope or
accounting principles. During the fiscal year ended May 31, 2022, and during the subsequent interim period through March 9,
2023: (i) there were no disagreements between the registrant and BBD on any matter of accounting principles or practices, financial
statement disclosure, or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of BBD, would have
caused it to make reference to the subject matter of the disagreements in its report on the financial statements of the Fund for
such years or interim period; and (ii) there were no “reportable events,” as defined in Item 304(a)(1)(v) of Regulation
S-K under the Securities Exchange Act of 1934, as amended.

 

The
Trust requested that BBD furnish it with a letter addressed to the U.S. Securities and Exchange Commission stating that it agrees
with the above statements.

 

On
March 16, 2023, the Audit Committee of the Board of Trustees also recommended and the Board approved the appointment
of Cohen as the Fund’s independent registered public accounting firm for the fiscal year ended May 31, 2023. On May 24,
2023, upon the recommendation of the Board’s Audit Committee, the Board approved the engagement of Cohen as the independent
registered public accounting firm for the Fund for the fiscal year ended May 31, 2024.

 

During
the fiscal year ended May 31, 2022, and during the subsequent interim period through March 16, 2023, neither the Trust, nor anyone
acting on its behalf, consulted with Cohen on behalf of the Fund regarding the application of accounting principles to a specified
transaction (either completed or proposed), the type of audit opinion that might be rendered on the Fund’s financial statements,
or any matter that was either: (i) the subject of a “disagreement,” as defined in Item 304(a)(1)(iv) of Regulation
S-K and the instructions thereto; or (ii) “reportable events,” as defined in Item 304(a)(1)(v) of Regulation S-K.

 

For
the Fund’s previous fiscal years in which the Fund’s financial statements were audited by BBD, there were no disagreements
between the Fund and BBD on any matter of accounting principles or practices, financial statement disclosure, or auditing scope
or procedure, which disagreements, if not resolved to the satisfaction of BBD, would have caused it to make reference to the subject
matter of the disagreements in its report on the financial statements of the Fund for such periods. The reports of BBD on the
Fund’s financial statements for the previous fiscal years did not contain an adverse opinion or disclaimer of opinion and
were not qualified or modified as to uncertainty, audit scope, or accounting principles.

 

PORTFOLIO
HOLDINGS DISCLOSURE

 

The
Board has adopted a policy regarding the disclosure of information about the Fund’s portfolio securities. Under the policy,
portfolio holdings of the Fund, which will form the basis for the calculation of NAV, are publicly disseminated each day the Fund
is open for business through financial reporting and news services, including publicly accessible Internet web sites. In addition,
a basket composition file, which includes the security names and share quantities to deliver in exchange for Creation Units,
together with estimates and actual Cash Amounts is publicly disseminated daily prior to the opening of the Exchange via the National
Securities Clearing Corporation (“NSCC”), a clearing agency that is registered with the SEC. The basket represents
one Creation Unit of the Fund. The Trust, the Adviser, Administrator, Custodian and Distributor will not disseminate non-public
information concerning the Trust.

 

 

QUARTERLY
PORTFOLIO SCHEDULE

 

The
Trust is required to disclose, after its first and third fiscal quarters, the complete schedule of the Fund’s portfolio
holdings with the SEC on Form N-PORT. Form N-PORT for the Fund is available on the SEC’s website at http://www.sec.gov.

 

CODE
OF ETHICS

 

The
Trust, the Adviser, and the Sub-Adviser have each adopted codes of ethics pursuant to Rule 17j-1 of the 1940 Act. These codes
of ethics are designed to prevent affiliated persons of the Trust and the Adviser from engaging in deceptive, manipulative or
fraudulent activities in connection with securities held or to be acquired by the Fund (which may also be held by persons subject
to the codes of ethics). Each Code of Ethics permits personnel subject to that Code of Ethics to invest in securities for their
personal investment accounts, subject to certain limitations, including limitations related to securities that may be purchased
or held by the Fund. The Distributor (as defined below) relies on the principal underwriters exception under Rule 17j-1(c)(3),
specifically where the Distributor is not affiliated with the Trust and the Adviser, and no officer, director, or general partner
of the Distributor serves as an officer, director, or general partner of the Trust or the Adviser.

 

There
can be no assurance that the codes of ethics will be effective in preventing such activities. Each code of ethics may be examined
at the SEC’s website at http://www.sec.gov.

 

PROXY
VOTING POLICIES AND PROCEDURES

 

Information
regarding how the Fund voted proxies related to portfolio securities during the most recent 12-month period ended June 30 is available,
without charge, upon request, by calling 833-833-1311 or on the Fund’s website, www.faithinvestorservices.com and
on the SEC’s website at http://www.sec.gov. Proxies for the Fund’s portfolio securities are voted in accordance
with the Sub-Adviser’s proxy voting policies and procedures, which are set forth in Appendix A to this SAI. When voting
proxies on behalf of the Fund, if applicable, the Sub-Adviser will consider how biblically responsible the proposal will be as
one of the factors in determining how it will vote on such proposal.

 

The
Trust is required to disclose annually the Fund’s complete proxy voting record on Form N-PX covering the period July 1 through
June 30 and file it with the SEC no later than August 31. Form N-PX for the Fund is available by writing to the Trust, c/o Foreside
Fund Services, LLC at Three Canal Plaza, Suite 100, PortlandMaine 04101. The Fund’s Form N-PX is available
on the SEC’s website at www.sec.gov.

 

 

BROKERAGE
TRANSACTIONS

 

The
policy of the Trust regarding purchases and sales of securities for the Fund is that primary consideration will be given to obtaining
the most favorable prices and efficient executions of transactions. Consistent with this policy, when securities transactions
are effected on a stock exchange, the Trust’s policy is to pay commissions that are considered fair and reasonable without
necessarily determining that the lowest possible commissions are paid in all circumstances. The Trust believes that a requirement
always to seek the lowest possible commission cost could impede effective portfolio management and preclude the Fund and the Sub-Adviser
from obtaining a high quality of brokerage and research services. In seeking to determine the reasonableness of brokerage commissions
paid in any transaction, the Sub-Adviser will rely upon its experience and knowledge regarding commissions generally charged by
various brokers and on its judgment in evaluating the brokerage services received from the broker effecting the transaction. Such
determinations are necessarily subjective and imprecise, as in most cases, an exact dollar value for those services is not ascertainable.
Money market securities and other debt securities are usually bought and sold directly from the issuer or an underwriter or market
maker for the securities. Generally, the Fund will not pay brokerage commissions for such purchases. When a debt security is bought
from an underwriter, the purchase price will usually include an underwriting commission or concession. The purchase price for
securities bought from dealers serving as market makers will similarly include the dealer’s mark up or reflect a dealer’s
mark down. When the Fund executes transactions in the over-the-counter market, it will generally deal with primary market makers
unless prices that are more favorable are otherwise obtainable. The Trust has adopted policies and procedures that prohibit the
consideration of sales of Shares as a factor in the selection of a broker or dealer to execute its portfolio transactions.

 

The
Sub-Adviser owes a fiduciary duty to its clients to seek to provide best execution on trades effected. In selecting a broker/dealer
for each specific transaction, the Sub-Adviser chooses the broker/dealer deemed most capable of providing the services necessary
to obtain the most favorable execution. “Best execution” is generally understood to mean the most favorable cost or
net proceeds reasonably obtainable under the circumstances. The full range of brokerage services applicable to a particular transaction
may be considered when making this judgment, which may include, but is not limited to: liquidity, price, commission, timing, aggregated
trades, capable floor brokers or traders, competent block trading coverage, ability to position, capital strength and stability,
reliable and accurate communications and settlement processing, use of automation, knowledge of other buyers or sellers, arbitrage
skills, administrative ability, underwriting and provision of information on a particular security or market in which the transaction
is to occur. The specific criteria will vary depending upon the nature of the transaction, the market in which it is executed,
and the extent to which it is possible to select from among multiple broker/dealers. The Sub-Adviser will also use electronic
crossing networks (“ECNs”) when appropriate.

 

Subject
to the foregoing policies, brokers or dealers selected to execute the Fund’s portfolio transactions may include the Fund’s
Authorized Participants (as discussed in “Procedures for Purchase of Creation Units” below) or their affiliates. An
Authorized Participant or its affiliates may be selected to execute the Fund’s portfolio transactions in conjunction with
an all-cash creation unit order or an order including “cash-in-lieu” (as described below under “Purchase and
Redemption of Shares in Creation Units”), so long as such selection is in keeping with the foregoing policies. As described
below under “Purchase and Redemption of Shares in Creation Units—Creation Transaction Fee” and “—Redemption
Transaction Fee”, the Fund may determine to not charge a variable fee on certain orders when the Sub-Adviser has determined
that doing so is in the best interests of Fund shareholders, e.g., for creation orders that facilitate the rebalance of the Fund’s
portfolio in a more tax efficient manner than could be achieved without such order, even if the decision to not charge a variable
fee could be viewed as benefiting the Authorized Participant or its affiliate selected to executed the Fund’s portfolio
transactions in connection with such orders.

 

The
Fund may deal with affiliates in principal transactions to the extent permitted by exemptive order or applicable rule or regulation.

 

The
Sub-Adviser is responsible, subject to oversight by the Board, for placing orders on behalf of the Fund for the purchase or sale
of portfolio securities. If purchases or sales of portfolio securities of the Fund and one or more other investment companies
or clients supervised by the Sub-Adviser are considered at or about the same time, transactions in such securities are allocated
among the several investment companies and clients in a manner deemed equitable and consistent with its fiduciary obligations
to all by the Sub-Adviser. In some cases, this procedure could have a detrimental effect on the price or volume of the security
so far as the Fund is concerned. However, in other cases, it is possible that the ability to participate in volume transactions
and to negotiate lower brokerage commissions will be beneficial to the Fund. The primary consideration is prompt execution of
orders at the most favorable net price.

 

In
certain instances, the Sub-Adviser may find it efficient for purposes of seeking to obtain best execution, to aggregate or “bunch”
certain contemporaneous purchases or sale orders of its advisory accounts and advisory accounts of affiliates. In general, all
contemporaneous trades for client accounts under management by the same portfolio manager or investment team will be bunched in
a single order if the trader believes the bunched trade would provide each client with an opportunity to achieve a more favorable
execution at a potentially lower execution cost. The costs associated with a bunched order will be shared pro rata among
the clients in the bunched order. Generally, if an order for a particular portfolio manager or management team is filled at several
different prices through multiple trades, all accounts participating in the order will receive the average price (except in the
case of certain international markets where average pricing is not permitted). While in some cases this practice could have a
detrimental effect upon the price or value of the security as far as the Fund are concerned, in other cases it could be beneficial
to the Fund. Transactions effected by Sub-Adviser or the other affiliates on behalf of more than one of its clients during the
same period may increase the demand for securities being purchased or the supply of securities being sold, causing an adverse
effect on price. The trader will give the bunched order to the broker-dealer that the trader has identified as being able to provide
the best execution of the order. Orders for purchase or sale of securities will be placed within a reasonable amount of time of
the order receipt and bunched orders will be kept bunched only long enough to execute the order.

 

 

The
Fund’s purchase and sale orders for securities may be combined with those of other investment companies, clients or accounts
that the Sub-Adviser manages or advises. If purchases or sales of portfolio securities of the Fund and one or more other accounts
managed or advised by the Sub-Adviser are considered at or about the same time, transactions in such securities are allocated
among the Fund and the other accounts in a manner deemed equitable to all by Sub-Adviser. In some cases, this procedure could
have a detrimental effect on the price or volume of the security as far as the Fund is concerned. However, in other cases, it
is possible that the ability to participate in volume transactions and to negotiate lower transaction costs will be beneficial
to the Fund. The Sub-Adviser may deal, trade and invest for its own account in the types of securities in which the Fund may invest.
Under these provisions, any commissions paid to affiliated brokers or dealers must be reasonable and fair compared to the commissions
charged by other brokers or dealers in comparable transactions. The Fund will not deal with affiliates in principal transactions
unless permitted by applicable SEC rules or regulations, or by SEC exemptive order.

 

Portfolio
turnover may vary from year to year, as well as within a year.  High turnover rates may result in comparatively greater brokerage
expenses. For the fiscal year ended May 31, 2023, the Fund’s portfolio turnover rate was 27% of the average value of its
portfolio. For the period February 28, 2022 through May 31, 2022, the Fund’s portfolio turnover rate was 14% of the average
value of its portfolio.

 

As
permitted by Section 28(e) of the 1934 Act, the Adviser may cause the Fund to pay a broker-dealer which provides “brokerage
and research services” (as defined in the 1934 Act) to the Adviser an amount of disclosed commission or spread (sometimes
called “soft dollars”) for effecting a securities transaction for the Trust in excess of the commission or spread
which another broker-dealer would have charged for effecting that transaction, if the Adviser determines in good faith that the
commission is reasonable given the brokerage and/or research services provided by the broker-dealer.

 

In
selecting broker-dealers that provide research or brokerage services that are paid for with soft dollars, potential conflicts
of interest may arise between the Adviser and the Trust because the Adviser does not produce or pay for these research or brokerage
services, but rather uses brokerage commissions generated by Fund transactions to pay for them. In addition, the Adviser may have
an incentive to select a broker-dealer based upon the broker-dealer’s research or brokerage services instead of the broker-dealer’s
ability to achieve best execution.

 

For
the fiscal year ended May 31, 2023, the Fund paid $1,832 in aggregate brokerage commissions on portfolio transactions. For the fiscal
period from February 8, 2022 (commencement of operations) through May 31, 2022, the Fund paid $1,059.98 in aggregate brokerage commissions
on portfolio transactions.

 

EXCHANGE
LISTING AND TRADING

 

A
discussion of exchange listing and trading matters associated with an investment in the Fund is contained in the Prospectus under
the headings “Summary Information—Principal Risks of Investing in the Fund” with respect to the Fund, “Additional
Information About the Fund’s Investment Strategies and Risks—Risks of Investing in the Fund,” “Shareholder
Information—Determination of NAV” and “Shareholder Information—Buying and Selling Exchange-Traded Shares.”
The discussion below supplements, and should be read in conjunction with, such sections of the Prospectus.

 

The
Shares of the Fund are listed on the Exchange and will trade in the secondary market at prices that may differ to some degree
from its NAV. The Exchange may but is not required to remove the Shares of the Fund from listing if: (1) following the initial
twelve (12) month period beginning upon the commencement of trading of the Fund, there are fewer than 50 beneficial holders of
the Shares for 30 or more consecutive trading days, or (2) such other event shall occur or condition exists that, in the opinion
of the Exchange, makes further dealings on the Exchange inadvisable. In addition, the Exchange will remove the Shares from listing
and trading upon termination of the Trust. There can be no assurance that the requirements of the Exchange necessary to maintain
the listing of Shares of the Fund will continue to be met.

 

As
in the case of other securities traded on the Exchange, brokers’ commissions on transactions are based on negotiated commission
rates at customary levels.

 

The
Fund is required by the Exchange to comply with certain listing standards (which includes certain investment parameters) in order
to maintain its listing on the Exchange. Compliance with these listing standards may compel the Fund to sell securities at an
inopportune time or for a price other than the security’s then-current market value. The sale of securities in such circumstances
could limit the Fund’s profit or require the Fund to incur a loss, and as a result, the Fund’s performance could be
impacted.

 

 

BOOK
ENTRY ONLY SYSTEM

 

The
following information supplements and should be read in conjunction with the section in the Prospectus entitled “Shareholder
Information—Buying and Selling Exchange-Traded Shares.”

 

The
Depository Trust Company (“DTC”) acts as securities depositary for the Shares. Shares of the Fund are represented
by securities registered in the name of DTC or its nominee and deposited with, or on behalf of, DTC. Certificates will not be
issued for Shares.

 

DTC,
a limited-purpose trust company, was created to hold securities of its participants (“DTC Participants”) and to facilitate
the clearance and settlement of securities transactions among the DTC Participants in such securities through electronic book-entry
changes in accounts of the DTC Participants, thereby eliminating the need for physical movement of securities certificates. DTC
Participants include securities brokers and dealers, banks, trust companies, clearing corporations and certain other organizations,
some of whom (and/or their representatives) own DTC. More specifically, DTC is owned by a number of its DTC Participants and by
the NYSE and FINRA. Access to the DTC system is also available to others such as banks, brokers, dealers and trust companies that
clear through or maintain a custodial relationship with a DTC Participant, either directly or indirectly (“Indirect Participants”).

 

Beneficial
ownership of Shares is limited to DTC Participants, Indirect Participants and persons holding interests through DTC Participants
and Indirect Participants. Ownership of beneficial interests in Shares (owners of such beneficial interests are referred to herein
as “Beneficial Owners”) is shown on, and the transfer of ownership is effected only through, records maintained by
DTC (with respect to DTC Participants) and on the records of DTC Participants (with respect to Indirect Participants and Beneficial
Owners that are not DTC Participants). Beneficial Owners will receive from or through the DTC Participant a written confirmation
relating to their purchase of Shares.

 

Conveyance
of all notices, statements and other communications to Beneficial Owners is effected as follows. Pursuant to the Depositary Agreement
between the Trust and DTC, DTC is required to make available to the Trust upon request and for a fee to be charged to the Trust
a listing of the Shares holdings of each DTC Participant. The Trust shall inquire of each such DTC Participant as to the number
of Beneficial Owners holding Shares, directly or indirectly, through such DTC Participant. The Trust shall provide each such DTC
Participant with copies of such notice, statement or other communication, in such form, number and at such place as such DTC Participant
may reasonably request, in order that such notice, statement or communication may be transmitted by such DTC Participant, directly
or indirectly, to such Beneficial Owners. In addition, the Trust shall pay to each such DTC Participant a fair and reasonable
amount as reimbursement for the expenses attendant to such transmittal, all subject to applicable statutory and regulatory requirements.

 

Share
distributions shall be made to DTC or its nominee, Cede & Co., as the registered holder of all Shares. DTC or its nominee,
upon receipt of any such distributions, shall credit immediately DTC Participants’ accounts with payments in amounts proportionate
to their respective beneficial interests in Shares as shown on the records of DTC or its nominee. Payments by DTC Participants
to Indirect Participants and Beneficial Owners of Shares held through such DTC Participants will be governed by standing instructions
and customary practices, as is now the case with securities held for the accounts of customers in bearer form or registered in
a “street name,” and will be the responsibility of such DTC Participants.

 

The
Trust has no responsibility or liability for any aspects of the records relating to or notices to Beneficial Owners, or payments
made on account of beneficial ownership interests in such Shares, or for maintaining, supervising or reviewing any records relating
to such beneficial ownership interests or for any other aspect of the relationship between DTC and the DTC Participants or the
relationship between such DTC Participants and the Indirect Participants and Beneficial Owners owning through such DTC Participants.

 

DTC
may determine to discontinue providing its service with respect to the Shares at any time by giving reasonable notice to the Trust
and discharging its responsibilities with respect thereto under applicable law. Under such circumstances, the Trust shall take
action either to find a replacement for DTC to perform its functions at a comparable cost or, if such a replacement is unavailable,
to issue and deliver printed certificates representing ownership of Shares, unless the Trust makes other arrangements with respect
thereto satisfactory to the Exchange.

 

CREATION
AND REDEMPTION OF CREATION UNITS

 

General

 

The
Fund will issue and sell Shares only in Creation Units (typically 10,000 Shares) on a continuous basis, without an initial sales
load, at their NAV next determined after receipt, on any Business Day (as defined herein), of an order in proper form. An Authorized
Participant (defined below) that is not “qualified institutional buyer,” as such term is defined under Rule 144A of
the Securities Act, will not be able to receive, as part of a redemption, restricted securities eligible for resale under Rule
144A.

 

 

A
“Business Day” with respect to the Fund is any day on which the NYSE is open for business. As of the date of the Prospectus,
the NYSE observes the following holidays: New Year’s Day, Martin Luther King, Jr. Day, President’s Day (Washington’s
Birthday), Good Friday, Memorial Day (observed), Independence Day, Juneteenth, Labor Day, Thanksgiving Day and Christmas Day.

 

Fund
Deposit

 

The
consideration for purchase of a Creation Unit of the Fund generally consists of Deposit Cash. The Fund may permit or require the
in-kind deposit of Deposit Securities per each Creation Unit, constituting all or a portion of the Fund Deposit, computed as described
below. Notwithstanding the foregoing, the Trust reserves the right to permit or require the substitution of a “cash in lieu”
amount (included in the term “Deposit Cash”) to be added to the Cash Component to replace any Deposit Security. When
accepting purchases of Creation Units for all or a portion of Deposit Cash, the Fund may incur additional costs associated with
the acquisition of Deposit Securities that would otherwise be provided by an in-kind purchaser.

 

Together,
the Deposit Securities or Deposit Cash, as applicable, and the Cash Component constitute the Fund Deposit, which represents the
minimum initial and subsequent investment amount for a Creation Unit of the Fund. The “Cash Component” is an amount
equal to the difference between the NAV of Shares (per Creation Unit) and the value of the Deposit Securities or Deposit Cash,
as applicable. If the Cash Component is a positive number (i.e., the NAV per Creation Unit exceeds the value of the Deposit Securities
or Deposit Cash, as applicable), the Cash Component shall be such positive amount. If the Cash Component is a negative number
(i.e., the NAV per Creation Unit is less than the value of the Deposit Securities or Deposit Cash, as applicable), the Cash Component
shall be such negative amount and the creator will be entitled to receive cash in an amount equal to the Cash Component. The Cash
Component serves the function of compensating for any differences between the NAV per Creation Unit and the value of the Deposit
Securities or Deposit Cash, as applicable. Computation of the Cash Component excludes any stamp duty or other similar fees and
expenses payable upon transfer of beneficial ownership of the Deposit Securities, if applicable, which shall be the sole responsibility
of the Authorized Participant.

 

The
Fund, through NSCC, makes available on each Business Day, prior to the opening of business on the Exchange (currently 9:30 a.m.,
Eastern Time), the list of the names and the required number of shares of each Deposit Security or the required amount of Deposit
Cash, as applicable, to be included in the current Fund Deposit (based on information at the end of the previous Business Day)
for the Fund. Such Fund Deposit is subject to any applicable adjustments as described below, to effect purchases of Creation Units
of the Fund until such time as the next-announced composition of the Deposit Securities or the required amount of Deposit Cash,
as applicable, is made available.

 

The
identity and number of Shares of the Deposit Securities or the amount of Deposit Cash, as applicable, required for the Fund Deposit
for the Fund changes as rebalancing adjustments and corporate action events are reflected from time to time by the Adviser with
a view to the investment objective of the Fund.

 

The
Trust reserves the right to permit or require the substitution of Deposit Cash to replace any Deposit Security, which shall be
added to the Cash Component, including, without limitation, in situations where the Deposit Security: (i) may not be available
in sufficient quantity for delivery; (ii) may not be eligible for transfer through the systems of DTC for corporate securities
and municipal securities; (iii) may not be eligible for trading by an Authorized Participant or the investor for which it is acting;
(iv) would be restricted under the securities laws or where the delivery of the Deposit Security to the Authorized Participant
would result in the disposition of the Deposit Security by the Authorized Participant becoming restricted under the securities
laws; or (v) in certain other situations (collectively, “custom orders”).The adjustments described above will reflect
changes, known to the Adviser on the date of announcement to be in effect by the time of delivery of the Fund Deposit, resulting
from certain corporate actions.

 

Procedures
for Purchase of Creation Units

 

To
be eligible to place orders with the Transfer Agent to purchase a Creation Unit of the Fund, an entity must be (i) a “Participating
Party” (i.e., a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System
of the NSCC (the “Clearing Process”)), a clearing agency that is registered with the SEC; or (ii) a DTC Participant
(see “Book Entry Only System”). In addition, each Participating Party or DTC Participant (each, an “Authorized
Participant”) must execute a Participant Agreement that has been agreed to by the Distributor, and that has been accepted
by the Transfer Agent, with respect to purchases and redemptions of Creation Units. Each Authorized Participant will agree, pursuant
to the terms of a Participant Agreement, on behalf of itself or any investor on whose behalf it will act, to certain conditions,
including that it will pay to the Trust, an amount of cash sufficient to pay the Cash Component together with the creation transaction
fee (described below), if applicable, and any other applicable fees and taxes.

 

All
orders to purchase Shares directly from the Fund must be placed for one or more Creation Units and in the manner and by the time
set forth in the Participant Agreement and/or applicable order form. The order cut-off time for the Fund for orders to purchase
Creation Units is expected to be 4:00 p.m. Eastern Time, which time may be modified by the Fund from time-to-time by amendment
to the Participant Agreement and/or applicable order form. In the case of custom orders, the order must be received by the Transfer
Agent no later than 3:00 p.m. Eastern Time or such earlier time as may be designated by the Fund and disclosed to Authorized
Participants. The date on which an order to purchase Creation Units (or an order to redeem Creation Units, as set forth below)
is received and accepted is referred to as the “Order Placement Date.” In all circumstances, any early cut-off time
will be after: (1) the NAV is calculated for the day prior to the Order Placement Date and (2) the portfolio holdings or basket
information is published on the Order Placement Date.

 

 

An
Authorized Participant may require an investor to make certain representations or enter into agreements with respect to the order
(e.g., to provide for payments of cash, when required). Investors should be aware that their particular broker may not have executed
a Participant Agreement and that, therefore, orders to purchase Shares directly from the Fund in Creation Units have to be placed
by the investor’s broker through an Authorized Participant that has executed a Participant Agreement. In such cases there
may be additional charges to such investor. At any given time, there may be only a limited number of broker-dealers that have
executed a Participant Agreement and only a small number of such Authorized Participants may have international capabilities.

 

On
days when the Exchange closes earlier than normal, the Fund may require orders to create Creation Units to be placed earlier in
the day. In addition, if a market or markets on which the Fund’s investments are primarily traded is closed, the Fund will
also generally not accept orders on such day(s). Orders must be transmitted by an Authorized Participant by telephone or other
transmission method acceptable to the Transfer Agent pursuant to procedures set forth in the Participant Agreement and in accordance
with the applicable order form. On behalf of the Fund, the Transfer Agent will notify the Custodian of such order. The Custodian
will then provide such information to the appropriate local sub-custodian(s). Those placing orders through an Authorized Participant
should allow sufficient time to permit proper submission of the purchase order to the Transfer Agent by the cut-off time on such
Business Day. Economic or market disruptions or changes, or telephone or other communication failure may impede the ability to
reach the Transfer Agent or an Authorized Participant.

 

Fund
Deposits must be delivered by an Authorized Participant through the Federal Reserve System (for cash) or through DTC (for corporate
securities), through a sub-custody agent (for foreign securities) and/or through such other arrangements allowed by the Trust
or its agents. With respect to foreign Deposit Securities, the Custodian shall cause the sub-custodian of the Fund to maintain
an account into which the Authorized Participant shall deliver, on behalf of itself or the party on whose behalf it is acting,
such Deposit Securities (or Deposit Cash for all or a part of such securities, as permitted or required), with any appropriate
adjustments as advised by the Trust. Foreign Deposit Securities must be delivered to an account maintained at the applicable local
sub-custodian. The Fund Deposit transfer must be ordered by the Authorized Participant in a timely fashion so as to ensure the
delivery of the requisite number of Deposit Securities or Deposit Cash, as applicable, to the account of the Fund or its agents
by no later than 12:00 p.m. Eastern Time (or such other time as specified by the Trust) on the Settlement Date. If the Fund or
its agents do not receive all of the Deposit Securities, or the required Deposit Cash in lieu thereof, by such time, then the
order may be deemed rejected and the Authorized Participant shall be liable to the Fund for losses, if any, resulting therefrom.
The “Settlement Date” for the Fund is generally the second Business Day after the Order Placement Date. All questions
as to the number of Deposit Securities or Deposit Cash to be delivered, as applicable, and the validity, form and eligibility
(including time of receipt) for the deposit of any tendered securities or cash, as applicable, will be determined by the Trust,
whose determination shall be final and binding. The amount of cash represented by the Cash Component must be transferred directly
to the Custodian through the Federal Reserve Bank wire transfer system in a timely manner so as to be received by the Custodian
no later than the Settlement Date. If the Cash Component and the Deposit Securities or Deposit Cash, as applicable, are not received
by the Custodian in a timely manner by the Settlement Date, the creation order may be cancelled. Upon written notice to the Transfer
Agent, such canceled order may be resubmitted the following Business Day using the Fund Deposit as newly constituted to reflect
the then current NAV of the Fund.

 

The
order shall be deemed to be received on the Business Day on which the order is placed provided that the order is placed in proper
form prior to the applicable cut-off time and the federal funds in the appropriate amount are deposited by 2:00 p.m. or 3:00 p.m.,
Eastern Time (as set forth on the applicable order form), with the Custodian on the Settlement Date. If the order is not placed
in proper form as required, or federal funds in the appropriate amount are not received by 2:00 p.m. or 3:00 p.m., Eastern Time
(as set forth on the applicable order form) on the Settlement Date, then the order may be deemed to be rejected and the Authorized
Participant shall be liable to the Fund for losses, if any, resulting therefrom. A creation request is considered to be in “proper
form” if all procedures set forth in the Participant Agreement, order form and this SAI are properly followed.

 

Issuance
of a Creation Unit

 

Except
as provided in this SAI, Creation Units will not be issued until the transfer of good title to the Trust of the Deposit Securities
or payment of Deposit Cash, as applicable, and the payment of the Cash Component have been completed. When the sub-custodian has
confirmed to the Custodian that the required Deposit Securities (or the cash value thereof) have been delivered to the account
of the relevant sub-custodian or sub-custodians, the Transfer Agent and the Adviser shall be notified of such delivery, and the
Trust will issue and cause the delivery of the Creation Units. The delivery of Creation Units so created generally will occur
no later than the second Business Day following the day on which the purchase order is deemed received by the Transfer Agent.
The Authorized Participant shall be liable to the Fund for losses, if any, resulting from unsettled orders.

 

 

Creation
Units may be purchased in advance of receipt by the Trust of all or a portion of the applicable Fund Deposit as described below.
In these circumstances, the initial deposit will have a value greater than the NAV of Shares on the date the order is placed in
proper form since, in addition to available Deposit Securities, cash must be deposited in an amount equal to the sum of (i) the
Cash Component, plus (ii) an additional amount of cash equal to a percentage of the value as set forth in the Participant Agreement,
of the undelivered Deposit Securities (the “Additional Cash Deposit”), which shall be maintained in a separate non-interest
bearing collateral account. The Authorized Participant must deposit with the Custodian the Additional Cash Deposit, as applicable,
by 12:00 p.m. Eastern Time (or such other time as specified by the Trust) on the Settlement Date. If the Fund or its agents do
not receive the Additional Cash Deposit in the appropriate amount, by such time, then the order may be deemed rejected and the
Authorized Participant shall be liable to the Fund for losses, if any, resulting therefrom. An additional amount of cash shall
be required to be deposited with the Trust, pending delivery of the missing Deposit Securities to the extent necessary to maintain
the Additional Cash Deposit with the Trust in an amount at least equal to the applicable percentage, as set forth in the Participant
Agreement, of the daily market value of the missing Deposit Securities. The Participant Agreement will permit the Trust to buy
the missing Deposit Securities at any time. Authorized Participants will be liable to the Trust for the costs incurred by the
Trust in connection with any such purchases. These costs will be deemed to include the amount by which the actual purchase price
of the Deposit Securities exceeds the value of such Deposit Securities on the day the purchase order was deemed received by the
Transfer Agent plus the brokerage and related transaction costs associated with such purchases.

 

The
Trust will return any unused portion of the Additional Cash Deposit once all of the missing Deposit Securities have been properly
received by the Custodian or purchased by the Trust and deposited into the Trust. In addition, a transaction fee, as described
below under “Creation Transaction Fee,” may be charged. The delivery of Creation Units so created generally will occur
no later than the Settlement Date.

 

Acceptance
of Orders of Creation Units

 

The
Trust reserves the right to reject an order for Creation Units transmitted to it by the Transfer Agent with respect to the Fund
including, but not limited to, if (a) the order is not in proper form; (b) the Deposit Securities or Deposit Cash, as applicable,
delivered by the Participant are not as disseminated through the facilities of the NSCC for that date by the Custodian; (c) the
investor(s), upon obtaining Shares ordered, would own 80% or more of the currently outstanding Shares; (d) the acceptance of the
Fund Deposit would, in the opinion of counsel, be unlawful; (e) the acceptance or receipt of the order for a Creation Unit would,
in the opinion of counsel to the Trust, be unlawful; or (f) in the event that circumstances outside the control of the Trust,
the Custodian, the Transfer Agent and/or the Adviser make it for all practical purposes not feasible to process orders for Creation
Units.

 

Examples
of such circumstances include acts of God or public service or utility problems such as fires, floods, extreme weather conditions
and power outages resulting in telephone, telecopy and computer failures; market conditions or activities causing trading halts;
systems failures involving computer or other information systems affecting the Trust, the Distributor, the Custodian, a sub-custodian,
the Transfer Agent, DTC, NSCC, Federal Reserve System, or any other participant in the creation process, and other extraordinary
events. The Transfer Agent shall notify a prospective creator of a Creation Unit and/or the Authorized Participant acting on behalf
of the creator of a Creation Unit of its rejection of the order of such person. The Trust, the Transfer Agent, the Custodian,
any sub-custodian and the Distributor are under no duty, however, to give notification of any defects or irregularities in the
delivery of Fund Deposits nor shall either of them incur any liability for the failure to give any such notification. The Trust,
the Transfer Agent, the Custodian and the Distributor shall not be liable for the rejection of any purchase order for Creation
Units.

 

All
questions as to the number of Shares of each security in the Deposit Securities and the validity, form, eligibility and acceptance
for deposit of any securities to be delivered shall be determined by the Trust, and the Trust’s determination shall be final
and binding.

 

Creation
Transaction Fee

 

A
fixed purchase (i.e., creation) transaction fee, payable to the Fund’s custodian, may be imposed for the transfer and other
transaction costs associated with the purchase of Creation Units (“Creation Order Costs”). The standard fixed creation
transaction fee for the Fund is $500 regardless of the number of Creation Units created in the transaction. The Fund may adjust
the standard fixed creation transaction fee from time to time. The fixed creation fee may be waived on certain orders if the Fund’s
custodian has determined to waive some or all of the Creation Order Costs associated with the order or another party, such as
the Adviser, has agreed to pay such fee.

 

Additionally,
a variable transaction fee may be charged by the Fund of up to a maximum of 2% of the value of the Creation Units (inclusive of
any transaction fees charged), for each creation. Variable transaction fees are imposed to compensate the Fund for the transaction
costs associated with creation transactions.

 

Investors
who use the services of a broker or other such intermediary may be charged a fee for such services. Investors are responsible
for the fixed costs of transferring the Fund Securities from the Trust to their account or on their order.

 

 

Risks
of Purchasing Creation Units

 

There
are certain legal risks unique to investors purchasing Creation Units directly from the Fund. Because Shares may be issued on
an ongoing basis, a “distribution” of Shares could be occurring at any time. Certain activities that a shareholder
performs as a dealer could, depending on the circumstances, result in the shareholder being deemed a participant in the distribution
in a manner that could render the shareholder a statutory underwriter and subject to the prospectus delivery and liability provisions
of the Securities Act. For example, a shareholder could be deemed a statutory underwriter if it purchases Creation Units from
the Fund, breaks them down into the constituent Shares, and sells those Shares directly to customers, or if a shareholder chooses
to couple the creation of a supply of new Shares with an active selling effort involving solicitation of secondary-market demand
for Shares. Whether a person is an underwriter depends upon all of the facts and circumstances pertaining to that person’s
activities, and the examples mentioned here should not be considered a complete description of all the activities that could cause
you to be deemed an underwriter.

 

Dealers
who are not “underwriters” but are participating in a distribution (as opposed to engaging in ordinary secondary-market
transactions), and thus dealing with Shares as part of an “unsold allotment” within the meaning of Section 4(a)(3)(C)
of the Securities Act, will be unable to take advantage of the prospectus delivery exemption provided by Section 4(a)(3) of the
Securities Act.

 

Redemption.
Shares may be redeemed only in Creation Units at their NAV next determined after receipt of a redemption request in proper
form by the Fund through the Transfer Agent and only on a Business Day. Except upon liquidation of the Fund, the Trust will not
redeem shares in amounts less than Creation Units. Investors must accumulate enough Shares in the secondary market to constitute
a Creation Unit to have such Shares redeemed by the Trust. There can be no assurance, however, that there will be sufficient liquidity
in the public trading market at any time to permit assembly of a Creation Unit. Investors should expect to incur brokerage and
other costs in connection with assembling a sufficient number of Shares to constitute a redeemable Creation Unit.

 

With
respect to the Fund, the Custodian, through the NSCC, makes available prior to the opening of business on the Exchange (currently
9:30 a.m., Eastern Time) on each Business Day, the list of the names and Share quantities of the Fund’s portfolio securities
that will be applicable (subject to possible amendment or correction) to redemption requests received in proper form (as defined
below) on that day (“Fund Securities”). Fund Securities received on redemption may not be identical to Deposit Securities.

 

Redemption
proceeds for a Creation Unit are paid either in-kind or in cash, or combination thereof, as determined by the Trust. With respect
to in-kind redemptions of the Fund, redemption proceeds for a Creation Unit will consist of Fund Securities – as announced by
the Custodian on the Business Day of the request for redemption received in proper form plus cash in an amount equal to the difference
between the NAV of Shares being redeemed, as next determined after a receipt of a request in proper form, and the value of the
Fund Securities (the “Cash Redemption Amount”), less a fixed redemption transaction fee, as applicable, as set forth
below. In the event that the Fund Securities have a value greater than the NAV of Shares, a compensating cash payment equal to
the differential is required to be made by or through an Authorized Participant by the redeeming shareholder. Notwithstanding
the foregoing, at the Trust’s discretion, an Authorized Participant may receive the corresponding cash value of the securities
in lieu of the in-kind securities value representing one or more Fund Securities.

 

Redemption
Transaction Fee

 

A
fixed redemption transaction fee, payable to the Fund’s custodian, may be imposed for the transfer and other transaction
costs associated with the redemption of Creation Units (“Redemption Order Costs”). The standard fixed redemption transaction
fee for the Fund is $500 regardless of the number of Creation Units redeemed in the transaction. The Fund may adjust the redemption
transaction fee from time to time. The fixed redemption fee may be waived on certain orders if the Fund’s custodian has
determined to waive some or all of the Redemption Order Costs associated with the order or another party, such as the Adviser,
has agreed to pay such fee.

 

Additionally,
a variable transaction fee may be charged by the Fund of up to a maximum of 2% of the value of the Creation Units (inclusive of
any transaction fees charged), for each redemption. Variable transaction fees are imposed to compensate the Fund for the transaction
costs associated with redemption transactions.

 

Investors
who use the services of a broker or other such intermediary may be charged a fee for such services. Investors are responsible
for the fixed costs of transferring the Fund Securities from the Trust to their account or on their order.

 

Procedures
for Redemption of Creation Units

Orders
to redeem Creation Units must be submitted in proper form to the Transfer Agent prior to 4:00 p.m. Eastern Time. A redemption
request is considered to be in “proper form” if (i) an Authorized Participant has transferred or caused to be transferred
to the Trust’s Transfer Agent the Creation Unit(s) being redeemed through the book-entry system of DTC so as to be effective
by the time as set forth in the Participant Agreement and (ii) a request in form satisfactory to the Trust is received by the
Transfer Agent from the Authorized Participant on behalf of itself or another redeeming investor within the time periods specified
in the Participant Agreement. If the Transfer Agent does not receive the investor’s shares through DTC’s facilities
by the times and pursuant to the other terms and conditions set forth in the Participant Agreement, the redemption request shall
be rejected.

 

 

The
Authorized Participant must transmit the request for redemption, in the form required by the Trust, to the Transfer Agent in accordance
with procedures set forth in the Authorized Participant Agreement. Investors should be aware that their particular broker may
not have executed an Authorized Participant Agreement, and that, therefore, requests to redeem Creation Units may have to be placed
by the investor’s broker through an Authorized Participant who has executed an Authorized Participant Agreement. Investors
making a redemption request should be aware that such request must be in the form specified by such Authorized Participant. Investors
making a request to redeem Creation Units should allow sufficient time to permit proper submission of the request by an Authorized
Participant and transfer of the shares to the Trust’s Transfer Agent; such investors should allow for the additional time
that may be required to effect redemptions through their banks, brokers or other financial intermediaries if such intermediaries
are not Authorized Participants.

 

Additional
Redemption Procedures

 

In
connection with taking delivery of Shares of Fund Securities upon redemption of Creation Units, a redeeming shareholder or Authorized
Participant acting on behalf of such shareholder must maintain appropriate custody arrangements with a qualified broker-dealer,
bank or other custody providers in each jurisdiction in which any of the Fund Securities are customarily traded, to which account
such Fund Securities will be delivered. Deliveries of redemption proceeds generally will be made within two business days of the
trade date.

 

The
Trust may in its discretion exercise its option to redeem such Shares in cash, and the redeeming investor will be required to
receive its redemption proceeds in cash. In addition, an investor may request a redemption in cash that the Fund may, in its sole
discretion, permit. In either case, the investor will receive a cash payment equal to the NAV of its Shares based on the NAV of
Shares next determined after the redemption request is received in proper form (minus a redemption transaction fee, if applicable,
and additional charge for requested cash redemptions specified above, to offset the Trust’s brokerage and other transaction
costs associated with the disposition of Fund Securities). The Fund may also, in its sole discretion, upon request of a shareholder,
provide such redeemer a portfolio of securities that differs from the exact composition of the Fund Securities but does not differ
in NAV.

 

Redemptions
of Shares for Fund Securities will be subject to compliance with applicable federal and state securities laws and the Fund (whether
or not it otherwise permits cash redemptions) reserves the right to redeem Creation Units for cash to the extent that the Trust
could not lawfully deliver specific Fund Securities upon redemptions or could not do so without first registering the Fund Securities
under such laws. An Authorized Participant or an investor for which it is acting subject to a legal restriction with respect to
a particular security included in the Fund Securities applicable to the redemption of Creation Units may be paid an equivalent
amount of cash. The Authorized Participant may request the redeeming investor of Shares to complete an order form or to enter
into agreements with respect to such matters as compensating cash payment. Further, an Authorized Participant that is not a “qualified
institutional buyer,” (“QIB”) as such term is defined under Rule 144A of the Securities Act, will not be able
to receive Fund Securities that are restricted securities eligible for resale under Rule 144A. An Authorized Participant may be
required by the Trust to provide a written confirmation with respect to QIB status to receive Fund Securities.

 

The
right of redemption may be suspended or the date of payment postponed with respect to the Fund (1) for any period during which
the Exchange is closed (other than customary weekend and holiday closings); (2) for any period during which trading on the Exchange
is suspended or restricted; (3) for any period during which an emergency exists as a result of which disposal of Shares or determination
of the NAV of Shares is not reasonably practicable; or (4) in such other circumstance as is permitted by the SEC.

 

For
every occurrence of one or more intervening holidays in the applicable foreign market that are not holidays observed in the U.S.
equity market, the redemption settlement cycle will be extended by the number of such intervening holidays. In addition to holidays,
other unforeseeable closings in a foreign market due to emergencies may also prevent the Trust from delivering securities within
normal settlement period.

 

The
securities delivery cycles currently practicable for transferring portfolio securities to redeeming investors, coupled with foreign
market holiday schedules, will require, in certain circumstances, a delivery process longer than seven calendar days for the Fund.
Although certain holidays may occur on different dates in subsequent years, the number of days required to deliver redemption
proceeds in any given year is not expected to exceed the maximum number of days listed below for the Fund. The proclamation of
new holidays, the treatment by market participants of certain days as “informal holidays” (e.g., days on which no
or limited securities transactions occur, as a result of substantially shortened trading hours), the elimination of existing holidays,
or changes in local securities delivery practices, could affect the information set forth herein at some time in the future.

 

DETERMINATION
OF NET ASSET VALUE

 

NAV
for the Fund is computed by dividing the value of the net assets of the Fund (i.e., the value of its total assets less
total liabilities) by the total number of Shares outstanding, rounded to the nearest cent. Expenses and fees, including the management
fees, are accrued daily and taken into account for purposes of determining net asset value. The net asset value of the Fund is
calculated by the Custodian and determined at the close of the regular trading session on the NYSE (ordinarily 4:00 p.m. Eastern
time) on each day that such exchange is open, provided that fixed-income assets may be valued as of the announced closing time
for trading in fixed-income instruments on any day that the Securities Industry and Financial Markets Association (“SIFMA”)
announces an early closing time.

 

Generally,
the Fund’s investments are valued at market value or, in the absence of a market value, at fair value as determined in good
faith by the Adviser pursuant to procedures approved by or under the direction of the Board. Pursuant to those procedures, the
Adviser serves as the Fund’s Valuation Designee to perform all fair valuations of the Fund’s portfolio investments,
subject to the Board’s oversight. The Adviser considers, among other things: 1) the last sale price on the securities exchange,
if any, on which a security is primarily traded; 2) the mean between the bid and ask prices; 3) price quotations from an
approved pricing service (which use information provided by market makers or estimates of market value based on similar securities),
and 4) other factors as necessary to determine a fair value under certain circumstances. As the Valuation Designee, the Adviser
has established procedures for its fair valuation of the Fund’s portfolio investments. These procedures address, among other
things, determining when market quotations are not readily available or reliable and the methodologies to be used for determining
the fair value of investments, as well as the use and oversight of third-party pricing services for fair valuation.

 

In
calculating the Fund’s net asset value per Share, the Fund’s investments are generally valued using market valuations.
A market valuation generally means a valuation (i) obtained from an exchange, a pricing service, or a major market maker (or dealer),
(ii) based on a price quotation or other equivalent indication of value supplied by an exchange, a pricing service, or a major
market maker (or dealer) or (iii) based on amortized cost. In the case of shares of other funds that are not traded on an exchange,
a market valuation means such fund’s published net asset value per share. The Adviser may use various pricing services,
or discontinue the use of any pricing service, as approved by the Board from time to time. A price obtained from a pricing service
based on such pricing service’s valuation matrix may be considered a market valuation. Any assets or liabilities denominated
in currencies other than the U.S. dollar are converted into U.S. dollars at the current market rates on the date of valuation
as quoted by one or more sources.

 

When
reliable market quotations are not readily available, securities are priced at their fair value as determined in good faith by
the Adviser in accordance with the Trust’s valuation guidelines. Pursuant to Rule 2a-5 under the 1940 Act, the Fund has
designated the Adviser as its “Valuation Designee” to perform all of the fair value determinations as well as to perform
all of the responsibilities that may be performed by the Valuation Designee in accordance with Rule 2a-5. The Valuation Designee
is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market
quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing
services are unreliable. The Fund may use fair value pricing in a variety of circumstances, including but not limited to, situations
when the value of a security has been materially affected by events occurring after the close of the market on which such security
is principally traded (such as a corporate action or other news that may materially affect the price of such security) or trading
in such security has been suspended or halted. Fair value pricing involves subjective judgments and it is possible that the fair
value determination for a security is materially different than the value that could be realized upon the sale of the security.
With respect to securities that are primarily listed on foreign exchanges, the value of the Fund’s portfolio securities
may change on days when you will not be able to purchase or sell your Shares.

 

DIVIDENDS
AND DISTRIBUTIONS

 

The
following information supplements and should be read in conjunction with the section in the Prospectus entitled “Shareholder
Information—Distributions.”

 

General
Policies

 

The
Fund expects to declare and distribute all of its net investment income, if any, to shareholders as dividends at least annually.
The Fund may distribute such income dividends and capital gains more frequently, if necessary, in order to reduce or eliminate
federal excise or income taxes on the Fund.

 

Dividend
Distributions

 

Dividends
and other distributions on Shares are distributed, as described below, on a pro rata basis to Beneficial Owners of such Shares.
Dividend payments are made through DTC Participants and Indirect Participants to Beneficial Owners then of record with proceeds
received from the Trust.

 

 

Dividend
Reinvestment Service

 

The
Trust will not make the DTC book-entry dividend reinvestment service available for use by Beneficial Owners for reinvestment of
their cash proceeds, but certain individual broker-dealers may make available the DTC book-entry Dividend Reinvestment Service
for use by Beneficial Owners of the Fund through DTC Participants for reinvestment of their dividend distributions. Investors
should contact their brokers to ascertain the availability and description of these services. Beneficial Owners should be aware
that each broker may require investors to adhere to specific procedures and timetables in order to participate in the dividend
reinvestment service and investors should ascertain from their brokers such necessary details. If this service is available and
used, dividend distributions of both income and realized gains will be automatically reinvested in additional whole Shares issued
by the Trust of the same Fund at NAV per Share. Distributions reinvested in additional Shares of the Fund will nevertheless be
taxable to Beneficial Owners acquiring such additional Shares to the same extent as if such distributions had been received in
cash.

 

CONTROL
PERSONS AND PRINCIPAL SHAREHOLDERS

 

Although
the Trust does not have information concerning the beneficial ownership of shares of the Fund held in the names of DTC Participants,
as of May 31, 2023, the Fund’s Sub-Adviser, Capital Insight Partners, LLC, located at 7328 East Deer Valley Road, Suite
105, Scottsdale, AZ 85255, held an ownership interest representing 80.2% of the shares outstanding. Shareholders having more than
25% beneficial ownership of the Fund’s outstanding shares may be in control of the Fund and be able to affect the outcome
of certain matters presented for a vote of shareholders.

 

TAXES

 

The
following is a summary of certain additional tax considerations generally affecting the Fund and its shareholders that are not
described in the Prospectus. No attempt is made to present a detailed explanation of the tax treatment of the Fund or its shareholders,
and the discussion here and in the Prospectus is not intended as a substitute for careful tax planning.

 

This
“Taxes” section is based on the Code and applicable regulations in effect on the date of this SAI. Future legislative,
regulatory or administrative changes, including provisions of current law that sunset and thereafter no longer apply, or court
decisions may significantly change the tax rules applicable to the Fund and its shareholders. Any of these changes or court decisions
may have a retroactive effect.

 

This
is for general information only and not tax advice. All investors should consult their own tax advisors as to the federal, state,
local and foreign tax provisions applicable to them.

 

Taxation
of the Fund

 

The
Fund will elect and intends to qualify each year to be treated as a separate RIC under the Code. As such, the Fund should not
be subject to federal income taxes on its net investment income and capital gains, if any, to the extent that it timely distributes
such income and capital gains to its shareholders. To qualify for treatment as a RIC, the Fund must distribute annually to its
shareholders at least the sum of 90% of its net investment income (generally including the excess of net short-term capital gains
over net long-term capital losses) and 90% of its net tax-exempt interest income, if any (the “Distribution Requirement”)
and also must meet several additional requirements. Among these requirements are the following: (i) at least 90% of the Fund’s
gross income each taxable year must be derived from dividends, interest, payments with respect to certain securities loans, gains
from the sale or other disposition of stock, securities or foreign currencies, or other income derived with respect to its business
of investing in such stock, securities or foreign currencies and net income derived from interests in qualified publicly traded
partnerships (the “Qualifying Income Requirement”); and (ii) at the end of each quarter of the Fund’s taxable
year, the Fund’s assets must be diversified so that (a) at least 50% of the value of the Fund’s total assets is represented
by cash and cash items, U.S. government securities, securities of other RICs, and other securities, with such other securities
limited, in respect to any one issuer, to an amount not greater in value than 5% of the value of the Fund’s total assets
and to not more than 10% of the outstanding voting securities of such issuer, including the equity securities of a qualified publicly
traded partnership, and (b) not more than 25% of the value of its total assets is invested, including through corporations in
which the Fund owns a 20% or more voting stock interest, in the securities (other than U.S. government securities or securities
of other RICs) of any one issuer, the securities (other than securities of other RICs) of two or more issuers which the Fund controls
and which are engaged in the same, similar, or related trades or businesses, or the securities of one or more qualified publicly
traded partnerships (the “Diversification Requirement”).

 

It
may not be possible for the Fund to fully implement a replication strategy or a representative sampling strategy while satisfying
the Diversification Requirement. The Fund’s efforts to satisfy the Diversification Requirement may affect the Fund’s
execution of its investment strategy and may cause the Fund’s return to deviate from that of the Index, and the Fund’s
efforts to represent the Index using a sampling strategy, if such a strategy is used at any point, may cause it inadvertently
to fail to satisfy the Diversification Requirement.

 

 

To
the extent the Fund makes investments that may generate income that is not qualifying income, including certain derivatives, the
Fund will seek to restrict the resulting income from such investments so that the Fund’s non-qualifying income does not
exceed 10% of its gross income.

 

Although
the Fund intends to distribute substantially all of its net investment income and may distribute its capital gains for any taxable
year, the Fund will be subject to federal income taxation to the extent any such income or gains are not distributed. The Fund
is treated as a separate corporation for federal income tax purposes. The Fund therefore is considered to be a separate entity
in determining its treatment under the rules for RICs described herein. The requirements (other than certain organizational requirements)
for qualifying RIC status are determined at the Fund level rather than at the Trust level.

 

If
the Fund fails to satisfy the Qualifying Income Requirement or the Diversification Requirement in any taxable year, the Fund may
be eligible for relief provisions if the failures are due to reasonable cause and not willful neglect, and if a penalty tax is
paid with respect to each failure to satisfy the applicable requirements. Additionally, relief is provided for certain de minimis
failures of the Diversification Requirement where the Fund corrects the failure within a specified period of time. To be eligible
for the relief provisions with respect to a failure to meet the Diversification Requirement, the Fund may be required to dispose
of certain assets. If these relief provisions were not available to the Fund and it were to fail to qualify for treatment as a
RIC for a taxable year, all of its taxable income would be subject to tax at regular corporate rates without any deduction for
distributions to shareholders, and its distributions (including capital gains distributions) generally would be taxable to the
shareholders of the Fund as ordinary income dividends, subject to the dividends received deduction for corporate shareholders
and the lower tax rates on qualified dividend income received by non-corporate shareholders, subject to certain limitations. To
requalify for treatment as a RIC in a subsequent taxable year, the Fund would be required to satisfy the RIC qualification requirements
for that year and to distribute any earnings and profits from any year in which the Fund failed to qualify for tax treatment as
a RIC. If the Fund failed to qualify as a RIC for a period greater than two taxable years, it would generally be required to pay
a fund-level tax on certain net built in gains recognized with respect to certain of its assets upon disposition of such assets
within five years of qualifying as a RIC in a subsequent year. The Board reserves the right not to maintain the qualification
of the Fund for treatment as a RIC if it determines such course of action to be beneficial to shareholders. If the Fund determines
that it will not qualify as a RIC, the Fund will establish procedures to reflect the anticipated tax liability in the Fund’s
NAV.

 

The
Fund may elect to treat part or all of any “qualified late year loss” as if it had been incurred in the succeeding
taxable year in determining the Fund’s taxable income, net capital gain, net short-term capital gain, and earnings and profits.
The effect of this election is to treat any such “qualified late year loss” as if it had been incurred in the succeeding
taxable year in characterizing Fund distributions for any calendar year. A “qualified late year loss” generally includes
net capital loss, net long-term capital loss, or net short-term capital loss incurred after October 31 of the current taxable
year (commonly referred to as “post-October losses”) and certain other late-year losses. The Fund did not have any
late year nor post October losses for the fiscal year ended May 31, 2023.

 

Capital
losses in excess of capital gains (“net capital losses”) are not permitted to be deducted against a RIC’s net
investment income. Instead, for U.S. federal income tax purposes, potentially subject to certain limitations, the Fund may carry
a net capital loss from any taxable year forward indefinitely to offset its capital gains, if any, in years following the year
of the loss. To the extent subsequent capital gains are offset by such losses, they will not result in U.S. federal income tax
liability to the Fund and may not be distributed as capital gains to its shareholders. Generally, the Fund may not carry forward
any losses other than net capital losses. The carryover of capital losses may be limited under the general loss limitation rules
if the Fund experiences an ownership change as defined in the Code.

 

At
the fiscal year ended May 31, 2023, the following capital loss carry forwards were available:

 

Indefinite
Short-Term
Indefinite
Long Term
$1,675,090 $954,102

 

The
Fund will be subject to a nondeductible 4% federal excise tax on certain undistributed income if it does not distribute to its
shareholders in each calendar year an amount at least equal to 98% of its ordinary income for the calendar year plus 98.2% of
its capital gain net income for the one-year period ending on October 31 of that year, subject to an increase for any shortfall
in the prior year’s distribution. In order to qualify as a regulated investment company, and avoid being subject to federal
income or excise taxes at the fund level, the Fund intends to distribute substantially all of its net investment income and net
realized capital gains within each calendar year as well as on a fiscal year basis (if the fiscal year is other than the calendar
year), and intends to comply with other tax rules applicable to regulated investment companies.

 

If
the Fund meets the Distribution Requirement but retains some or all of its income or gains, it will be subject to federal income
tax to the extent any such income or gains are not distributed. The Fund may designate certain amounts retained as undistributed
net capital gain in a notice to its shareholders, who (i) will be required to include in income for U.S. federal income tax purposes,
as long-term capital gain, their proportionate shares of the undistributed amount so designated, (ii) will be entitled to credit
their proportionate shares of the income tax paid by the Fund on that undistributed amount against their federal income tax liabilities
and to claim refunds to the extent such credits exceed their tax liabilities, and (iii) will be entitled to increase their tax
basis, for federal income tax purposes, in their Shares by an amount equal to the excess of the amount of undistributed net capital
gain included in their respective income over their respective income tax credits.

 

 

Taxation
of Shareholders – Distributions

 

The
Fund intends to distribute annually to its shareholders substantially all of its investment company taxable income (computed without
regard to the deduction for dividends paid), its net tax-exempt income, if any, and any net capital gain (net recognized long-term
capital gains in excess of net recognized short-term capital losses, taking into account any capital loss carryforwards). The
distribution of investment company taxable income (as so computed) and net capital gain will be taxable to Fund shareholders regardless
of whether the shareholder receives these distributions in cash or reinvests them in additional Shares.

 

The
Fund (or your broker) will report to shareholders annually the amounts of dividends paid from ordinary income, the amount of distributions
of net capital gain, the portion of dividends which may qualify for the dividends received deduction for corporations, and the
portion of dividends which may qualify for treatment as qualified dividend income, which is taxable to non-corporate shareholders
at rates of up to 20%.

 

Distributions
from the Fund’s net capital gain will be taxable to shareholders at long-term capital gains rates, regardless of how long
shareholders have held their Shares.

 

Qualified
dividend income includes, in general and subject to certain holding period and other requirements, dividend income from taxable
domestic corporations and certain foreign corporations. Subject to certain limitations, eligible foreign corporations include
those incorporated in possessions of the United States, those incorporated in certain countries with comprehensive tax treaties
with the United States, and other foreign corporations if the stock with respect to which the dividends are paid is readily tradable
on an established securities market in the United States. Dividends received by the Fund from an ETF or an underlying fund taxable
as a RIC or a REIT may be treated as qualified dividend income generally only to the extent so reported by such ETF, underlying
fund or REIT. If 95% or more of the Fund’s gross income (calculated without taking into account net capital gain derived
from sales or other dispositions of stock or securities) consists of qualified dividend income, the Fund may report all distributions
of such income as qualified dividend income.

 

Fund
dividends will not be treated as qualified dividend income if the Fund does not meet holding period and other requirements with
respect to dividend paying stocks in its portfolio, and the shareholder does not meet holding period and other requirements with
respect to the Shares on which the dividends were paid. Distributions by the Fund of its net short-term capital gains will be
taxable as ordinary income. Distributions from the Fund’s net capital gain will be taxable to shareholders at long-term
capital gains rates, regardless of how long shareholders have held their Shares. Distributions may be subject to state and local
taxes.

 

In
the case of corporate shareholders, certain dividends received by the Fund from U.S. corporations (generally, dividends received
by the Fund in respect of any share of stock (1) with a tax holding period of at least 46 days during the 91-day period beginning
on the date that is 45 days before the date on which the stock becomes ex-dividend as to that dividend and (2) that is held in
an unleveraged position) and distributed and appropriately so reported by the Fund may be eligible for the 70% dividends-received
deduction. Certain preferred stock must have a holding period of at least 91 days during the 181-day period beginning on the date
that is 90 days before the date on which the stock becomes ex-dividend as to that dividend in order to be eligible. Capital gain
dividends distributed to the Fund from other RICs are not eligible for the dividends-received deduction. In order to qualify for
the deduction, corporate shareholders must meet the minimum holding period requirement stated above with respect to their Shares,
taking into account any holding period reductions from certain hedging or other transactions or positions that diminish their
risk of loss with respect to their Shares, and, if they borrow to acquire or otherwise incur debt attributable to Shares, they
may be denied a portion of the dividends-received deduction with respect to those Shares.

 

Although
dividends generally will be treated as distributed when paid, any dividend declared by the Fund in October, November or December
and payable to shareholders of record in such a month that is paid during the following January will be treated for U.S. federal
income tax purposes as received by shareholders on December 31 of the calendar year in which it was declared.

 

U.S.
individuals with adjusted gross income (subject to certain adjustments) exceeding certain threshold amounts ($250,000 if married
filing jointly or if considered a “surviving spouse” for federal income tax purposes, $125,000 if married filing separately,
and $200,000 in other cases) are subject to a 3.8% Medicare contribution tax on all or a portion of their “net investment
income,” which includes taxable interest, dividends, and certain capital gains (generally including capital gain distributions
and capital gains realized on the sale of Shares). This 3.8% tax also applies to all or a portion of the undistributed net investment
income of certain shareholders that are estates and trusts.

 

 

Shareholders
who have not held Shares for a full year should be aware that the Fund may report and distribute, as ordinary dividends or capital
gain dividends, a percentage of income that is not equal to the percentage of the Fund’s ordinary income or net capital
gain, respectively, actually earned during the applicable shareholder’s period of investment in the Fund. A taxable shareholder
may wish to avoid investing in the Fund shortly before a dividend or other distribution, because the distribution will generally
be taxable even though it may economically represent a return of a portion of the shareholder’s investment.

 

To
the extent that the Fund makes a distribution of income received by the Fund in lieu of dividends (a “substitute payment”)
with respect to securities on loan pursuant to a securities lending transaction, such income will not constitute qualified dividend
income to individual shareholders and will not be eligible for the dividends received deduction for corporate shareholders.

 

If
the Fund’s distributions exceed its earnings and profits, all or a portion of the distributions made for a taxable year
may be recharacterized as a return of capital to shareholders. A return of capital distribution will generally not be taxable,
but will reduce each shareholder’s cost basis in the Fund and result in a higher capital gain or lower capital loss when
Shares on which the distribution was received are sold. After a shareholder’s basis in Shares has been reduced to zero,
distributions in excess of earnings and profits will be treated as gain from the sale of the shareholder’s Shares.

 

Taxation
of Shareholders – Sale of Shares

A
sale, redemption, or exchange of Shares may give rise to a gain or loss. In general, any gain or loss realized upon a taxable
disposition of Shares will be treated as long-term capital gain or loss if Shares have been held for more than 12 months. Otherwise,
the gain or loss on the taxable disposition of Shares will generally be treated as short-term capital gain or loss. Any loss realized
upon a taxable disposition of Shares held for six months or less will be treated as long-term capital loss, rather than short-term
capital loss, to the extent of any amounts treated as distributions to the shareholder of long-term capital gain (including any
amounts credited to the shareholder as undistributed capital gains). All or a portion of any loss realized upon a taxable disposition
of Shares may be disallowed if substantially identical Shares are acquired (through the reinvestment of dividends or otherwise)
within a 61-day period beginning 30 days before and ending 30 days after the disposition. In such a case, the basis of the newly
acquired Shares will be adjusted to reflect the disallowed loss.

 

The
cost basis of Shares acquired by purchase will generally be based on the amount paid for Shares and then may be subsequently adjusted
for other applicable transactions as required by the Code. The difference between the selling price and the cost basis of Shares
generally determines the amount of the capital gain or loss realized on the sale or exchange of Shares. Contact the broker through
whom you purchased your Shares to obtain information with respect to the available cost basis reporting methods and elections
for your account. An Authorized Participant who exchanges securities for Creation Units generally will recognize a gain or a loss.
The gain or loss will be equal to the difference between the market value of the Creation Units at the time and the sum of the
exchanger’s aggregate basis in the securities surrendered plus the amount of cash paid for such Creation Units. A person
who redeems Creation Units will generally recognize a gain or loss equal to the difference between the exchanger’s basis
in the Creation Units and the sum of the aggregate market value of any securities received plus the amount of any cash received
for such Creation Units. The Internal Revenue Service (the “IRS”), however, may assert that a loss realized upon an
exchange of securities for Creation Units cannot currently be deducted under the rules governing “wash sales” (for
a person who does not mark-to-market its portfolio) or on the basis that there has been no significant change in economic position.

 

Any
capital gain or loss realized upon the creation of Creation Units will generally be treated as long-term capital gain or loss
if the securities exchanged for such Creation Units have been held for more than one year. Any capital gain or loss realized upon
the redemption of Creation Units will generally be treated as long-term capital gain or loss if Shares comprising the Creation
Units have been held for more than one year. Otherwise, such capital gains or losses will generally be treated as short-term capital
gains or losses. Any loss upon a redemption of Creation Units held for six months or less may be treated as long-term capital
loss to the extent of any amounts treated as distributions to the applicable Authorized Participant of long-term capital gain
with respect to the Creation Units (including any amounts credited to the Authorized Participant as undistributed capital gains).

 

The
Trust, on behalf of the Fund, has the right to reject an order for Creation Units if the purchaser (or a group of purchasers)
would, upon obtaining the Creation Units so ordered, own 80% or more of the outstanding Shares and if, pursuant to Section 351
of the Code, the Fund would have a basis in the deposit securities different from the market value of such securities on the date
of deposit. The Trust also has the right to require the provision of information necessary to determine beneficial Share ownership
for purposes of the 80% determination. If the Fund does issue Creation Units to a purchaser (or a group of purchasers) that would,
upon obtaining the Creation Units so ordered, own 80% or more of the outstanding Shares, the purchaser (or a group of purchasers)
will not recognize gain or loss upon the exchange of securities for Creation Units.

 

Persons
purchasing or redeeming Creation Units should consult their own tax advisers with respect to the tax treatment of any creation
or redemption transaction and whether the wash sales rule applies and when a loss may be deductible.

 

 

Taxation
of Fund Investments

 

Certain
of the Fund’s investments may be subject to complex provisions of the Code (including provisions relating to hedging transactions,
straddles, integrated transactions, foreign currency contracts, forward foreign currency contracts, and notional principal contracts)
that, among other things, may affect the Fund’s ability to qualify as a RIC, affect the character of gains and losses realized
by the Fund (e.g., may affect whether gains or losses are ordinary or capital), accelerate recognition of income to the Fund and
defer losses. These rules could therefore affect the character, amount and timing of distributions to shareholders. These provisions
also may require the Fund to mark to market certain types of positions in its portfolio (i.e., treat them as if they were closed
out) which may cause the Fund to recognize income without the Fund receiving cash with which to make distributions in amounts
sufficient to enable the Fund to satisfy the RIC distribution requirements for avoiding income and excise taxes. The Fund intends
to monitor its transactions, intends to make appropriate tax elections, and intends to make appropriate entries in its books and
records in order to mitigate the effect of these rules and preserve the Fund’s qualification for treatment as a RIC. To
the extent the Fund invests in an underlying fund that is taxable as a RIC, the rules applicable to the tax treatment of complex
securities will also apply to the underlying funds that also invest in such complex securities and investments.

 

Backup
Withholding

 

The
Fund will be required in certain cases to withhold (as “backup withholding”) on amounts payable to any shareholder
who (1) fails to provide a correct taxpayer identification number certified under penalty of perjury; (2) is subject to backup
withholding by the IRS for failure to properly report all payments of interest or dividends; (3) fails to provide a certified
statement that he or she is not subject to “backup withholding”; or (4) fails to provide a certified statement that
he or she is a U.S. person (including a U.S. resident alien). The backup withholding rate is 24%. Backup withholding is not an
additional tax and any amounts withheld may be credited against the shareholder’s ultimate U.S. tax liability. Backup withholding
will not be applied to payments that have been subject to the 30% withholding tax on shareholders who are neither citizens nor
permanent residents of the United States.

 

Foreign
Shareholders

 

Any
non-U.S. investors in the Fund may be subject to U.S. withholding and estate tax and shareholders are encouraged to consult their
tax advisors prior to investing in the Fund. Foreign shareholders (i.e., nonresident alien individuals and foreign corporations,
partnerships, trusts and estates) are generally subject to U.S. withholding tax at the rate of 30% (or a lower tax treaty rate)
on distributions derived from taxable ordinary income. The Fund may, under certain circumstances, report all or a portion of a
dividend as an “interest-related dividend” or a “short-term capital gain dividend,” which would generally
be exempt from this 30% U.S. withholding tax, provided certain other requirements are met. Short-term capital gain dividends received
by a nonresident alien individual who is present in the U.S. for a period or periods aggregating 183 days or more during the taxable
year are not exempt from this 30% withholding tax. Gains realized by foreign shareholders from the sale or other disposition of
Shares generally are not subject to U.S. taxation, unless the recipient is an individual who is physically present in the U.S.
for 183 days or more per year. Foreign shareholders who fail to provide an applicable IRS form may be subject to backup withholding
on certain payments from the Fund. Backup withholding will not be applied to payments that are subject to the 30% (or lower applicable
treaty rate) withholding tax described in this paragraph. Different tax consequences may result if the foreign shareholder is
engaged in a trade or business within the United States. In addition, the tax consequences to a foreign shareholder entitled to
claim the benefits of a tax treaty may be different than those described above.

 

Unless
certain non-U.S. entities that hold Shares comply with IRS requirements that will generally require them to report information
regarding U.S. persons investing in, or holding accounts with, such entities, a 30% withholding tax may apply to Fund distributions
payable to such entities and with respect to redemptions and certain capital gain dividends payable to such entities after December
31, 2018. A non-U.S. shareholder may be exempt from the withholding described in this paragraph under an applicable intergovernmental
agreement between the U.S. and a foreign government, provided that the shareholder and the applicable foreign government comply
with the terms of the agreement.

 

For
foreign shareholders to qualify for an exemption from backup withholding, described above, the foreign shareholder must comply
with special certification and filing requirements. Foreign shareholders in the Fund should consult their tax advisors in this
regard.

 

Tax-Exempt
Shareholders

 

Certain
tax-exempt shareholders, including qualified pension plans, individual retirement accounts, salary deferral arrangements, 401(k)
plans, and other tax-exempt entities, generally are exempt from federal income taxation except with respect to their unrelated
business taxable income (“UBTI”). Under current law, the Fund generally serves to block UBTI from being realized by
its tax-exempt shareholders with respect to their shares of Fund income. However, notwithstanding the foregoing, tax-exempt shareholders
could realize UBTI by virtue of their investment in the Fund if, for example, (i) the Fund invests in residual interests of Real
Estate Mortgage Investment Conduits (“REMICs”), (ii) the Fund invests in a REIT that is a taxable mortgage pool (“TMP”)
or that has a subsidiary that is a TMP or that invests in the residual interest of a REMIC, or (iii) Shares constitute debt-financed
property in the hands of the tax-exempt shareholders within the meaning of section 514(b) of the Code. Charitable remainder trusts
are subject to special rules and should consult their tax advisers. The IRS has issued guidance with respect to these issues and
prospective shareholders, especially charitable remainder trusts, are strongly encouraged to consult with their tax advisers regarding
these issues.

 

 

Certain
Potential Tax Reporting Requirements

 

Under
U.S. Treasury regulations, if a shareholder recognizes a loss on disposition of Shares of $2 million or more for an individual
shareholder or $10 million or more for a corporate shareholder (or certain greater amounts over a combination of years), the shareholder
must file with the IRS a disclosure statement on IRS Form 8886. Direct shareholders of portfolio securities are in many cases
excepted from this reporting requirement, but under current guidance, shareholders of a RIC are not excepted. Significant penalties
may be imposed for the failure to comply with the reporting requirements. The fact that a loss is reportable under these regulations
does not affect the legal determination of whether the taxpayer’s treatment of the loss is proper. Shareholders should consult
their tax advisers to determine the applicability of these regulations in light of their individual circumstances.

 

State
Tax

 

In
those states that have income tax laws, the tax treatment of the Fund and of Fund shareholders with respect to distributions by
the Fund may differ from federal tax treatment.

 

Tax
Treatment of Portfolio Transactions

 

Set
forth below is a general description of the tax treatment of certain types of securities, investment techniques and transactions
that may apply to the Fund and, in turn, affect the amount, character and timing of dividends and distributions payable by the
fund to its shareholders. This section should be read in conjunction with the discussion above under “Description of Permitted
Investments” for a detailed description of the various types of securities and investment techniques that apply to the Fund.

 

In
General
. In general, gain or loss recognized by the Fund on the sale or other disposition of portfolio investments will be
a capital gain or loss. Such capital gain and loss may be long-term or short-term depending, in general, upon the length of time
a particular investment position is maintained and, in some cases, upon the nature of the transaction. Property held for more
than one year generally will be eligible for long-term capital gain or loss treatment. The application of certain rules described
below may serve to alter the manner in which the holding period for a security is determined or may otherwise affect the characterization
as long-term or short-term, and also the timing of the realization and/or character, of certain gains or losses.

 

Options,
Futures, Forward Contracts and Hedging Transactions
. In general, option premiums received by the Fund are not immediately
included in the income of the fund. Instead, the premiums are recognized when the option contract expires, the option is exercised
by the holder, or the fund transfers or otherwise terminates the option (e.g., through a closing transaction). If an option written
by the Fund is exercised and the fund sells or delivers the underlying stock, the fund generally will recognize capital gain or
loss equal to (a) the sum of the strike price and the option premium received by the fund minus (b) the fund’s basis in
the stock. Such gain or loss generally will be short-term or long-term depending upon the holding period of the underlying stock.
If securities are purchased by the Fund pursuant to the exercise of a put option written by it, the fund generally will subtract
the premium received from its cost basis in the securities purchased. The gain or loss with respect to any termination of the
Fund’s obligation under an option other than through the exercise of the option and related sale or delivery of the underlying
stock generally will be short-term gain or loss depending on whether the premium income received by the fund is greater or less
than the amount paid by the fund (if any) in terminating the transaction. Thus, for example, if an option written by the Fund
expires unexercised, the fund generally will recognize short-term gain equal to the premium received.

 

The
tax treatment of certain futures contracts entered into by the Fund as well as listed non-equity options written or purchased
by the Fund on U.S. exchanges (including options on futures contracts, broad-based equity indices and debt securities) may be
governed by section 1256 of the Code (“section 1256 contracts”). Gains or losses on section 1256 contracts generally
are considered 60% long-term and 40% short-term capital gains or losses (“60/40”), although certain foreign currency
gains and losses from such contracts may be treated as ordinary in character. Also, any section 1256 contracts held by the Fund
at the end of each taxable year (and, for purposes of the 4% excise tax, on certain other dates as prescribed under the Code)
are “marked to market” with the result that unrealized gains or losses are treated as though they were realized and
the resulting gain or loss is treated as ordinary or 60/40 gain or loss, as applicable.

 

In
addition to the special rules described above in respect of options and futures transactions, the Fund’s transactions in
other derivative instruments (including options and forward contracts) as well as its other hedging, short sale, or similar transactions,
may be subject to one or more special tax rules (including the constructive sale, notional principal contract, straddle, wash
sale and short sale rules). These rules may affect whether gains and losses recognized by the Fund are treated as ordinary or
capital or as short-term or long-term, accelerate the recognition of income or gains to the fund, defer losses to the fund, and
cause adjustments in the holding periods of the fund’s securities. These rules, therefore, could affect the amount, timing
and/or character of distributions to shareholders. Moreover, because the tax rules applicable to derivative financial instruments
are in some cases uncertain under current law, an adverse determination or future guidance by the IRS with respect to these rules
(which determination or guidance could be retroactive) may affect whether the Fund has made sufficient distributions, and otherwise
satisfied the relevant requirements, to maintain its qualification as a regulated investment company and avoid the Fund-level
tax.

 

 

Certain
of the Fund’s investments in derivatives and foreign currency-denominated instruments, and the Fund’s transactions
in foreign currencies and hedging activities, may produce a difference between its book income and its taxable income. If the
Fund’s book income is less than the sum of its taxable income and net tax-exempt income (if any), the fund could be required
to make distributions exceeding book income to qualify as a regulated investment company. If the Fund’s book income exceeds
the sum of its taxable income and net tax-exempt income (if any), the distribution of any such excess will be treated as (i) a
dividend to the extent of the fund’s remaining earnings and profits (including current earnings and profits arising from
tax-exempt income, reduced by related deductions), (ii) thereafter, as a return of capital to the extent of the recipient’s
basis in the Shares, and (iii) thereafter, as gain from the sale or exchange of a capital asset.

 

Foreign
Currency Transactions
. The Fund’s transactions in foreign currencies, foreign currency-denominated debt obligations
and certain foreign currency options, futures contracts and forward contracts (and similar instruments) may give rise to ordinary
income or loss to the extent such income or loss results from fluctuations in the value of the foreign currency concerned. This
treatment could increase or decrease the Fund’s ordinary income distributions to you, and may cause some or all of the fund’s
previously distributed income to be classified as a return of capital. In certain cases, the Fund may make an election to treat
such gain or loss as capital.

 

PFIC
Investments
. The Fund may invest in securities of foreign companies that may be classified under the Code as PFICs. In general,
a foreign company is classified as a PFIC if at least one-half of its assets constitute investment-type assets or 75% or more
of its gross income is investment-type income. When investing in PFIC securities, the Fund intends to mark-to-market these securities
under certain provisions of the Code and recognize any unrealized gains as ordinary income at the end of the fund’s fiscal
and excise tax years. Deductions for losses are allowable only to the extent of any current or previously recognized gains. These
gains (reduced by allowable losses) are treated as ordinary income that the Fund is required to distribute, even though it has
not sold or received dividends from these securities. You should also be aware that the designation of a foreign security as a
PFIC security will cause its income dividends to fall outside of the definition of qualified foreign corporation dividends. These
dividends generally will not qualify for the reduced rate of taxation on qualified dividends when distributed to you by the Fund.
Foreign companies are not required to identify themselves as PFICs. Due to various complexities in identifying PFICs, the Fund
can give no assurances that it will be able to identify portfolio securities in foreign corporations that are PFICs in time for
the fund to make a mark-to-market election. If the Fund is unable to identify an investment as a PFIC and thus does not make a
mark-to-market election, the fund may be subject to U.S. federal income tax on a portion of any “excess distribution”
or gain from the disposition of such shares even if such income is distributed as a taxable dividend by the fund to its shareholders.
Additional charges in the nature of interest may be imposed on the Fund in respect of deferred taxes arising from such distributions
or gains.

 

Securities
Lending
. While securities are loaned out by the Fund, the Fund generally will receive from the borrower amounts equal to any
dividends or interest paid on the borrowed securities. For federal income tax purposes, payments made “in lieu of”
dividends are not considered dividend income. These distributions will neither qualify for the reduced rate of taxation for individuals
on qualified dividends nor the 70% dividends received deduction for corporations. Also, any foreign tax withheld on payments made
“in lieu of” dividends or interest will not qualify for the pass-through of foreign tax credits to shareholders.

 

Investments
in Securities of Uncertain Tax Character
. The Fund may invest in securities the U.S. federal income tax treatment of
which may not be clear or may be subject to recharacterization by the IRS. To the extent the tax treatment of such securities
or the income from such securities differs from the tax treatment expected by the Fund, it could affect the timing or character
of income recognized by the fund, requiring the fund to purchase or sell securities, or otherwise change its portfolio, in order
to comply with the tax rules applicable to regulated investment companies under the Code.

 

Investment
in Certain ETPs and Certain Direct Fund Investments

 

The
Fund may invest in ETPs that are taxable as RICs under the Internal Revenue Code. Any income the Fund receives from such ETPs
should be qualifying income for purposes of the 90% Test. The Fund may also invest in one or more ETPs that are not taxable as
RICs under the Internal Revenue Code and that may generate non-qualifying income for purposes of the 90% Test. Similarly, the
Fund may make certain direct investments that may produce non-qualifying income for purposes of the 90% Test. Each Fund’s
Sub-Adviser and Adviser anticipate monitoring investments that may produce non-qualifying income to ensure that the Fund satisfies
the 90% Test. Nevertheless, non-qualifying income of the Fund may be more than anticipated, the Fund may be unable to generate
qualifying income at levels sufficient to ensure it satisfies the 90% Test, or the Fund might not be able to determine the percentage
of qualifying income it derives for a taxable year until after year-end. In any such case, the Fund could fail the 90% Test and,
if the relief provisions discussed above are unavailable, fail to qualify as a RIC.

 

The
Fund may invest in ETPs that are structured in a manner that causes income, gains, losses, credits and deductions of the ETPs
to be taken into account for U.S. federal income tax purposes by those Funds whether or not any distributions are made from the
ETPs to those Funds. Thus, the Fund may be required to take into account income or gains in a taxable year without receiving any
cash and may have to sell assets to distribute such income or gains. Those sales will generally result in additional taxable gain
or loss and may occur at a time when the Fund’s Sub-Adviser or Adviser would not otherwise have chosen to sell such securities.

 

 

Options,
Swaps and Other Complex Securities.
The Fund and certain of the ETPs in which the Fund invest may invest in complex securities
such as equity options, index options, repurchase agreements, foreign currency contracts, hedges and swaps, transactions treated
as straddles for U.S. federal income tax purposes, and futures contracts. These investments may be subject to numerous special
and complex tax rules. These rules could affect the Fund’s (and certain ETPs’) ability to qualify as a RIC, affect
whether gains and losses recognized by the Fund or ETPs are treated as ordinary income or long-term or short-term capital gain,
accelerate the recognition of income to the Fund or ETPs and/or defer the Fund’s or ETPs’ ability to recognize losses.
In turn, those rules may affect the amount, timing or character of the income distributed by the Fund.

 

Certain
derivative investment by the Fund, such as exchange-traded products and over-the-counter derivatives may not produce qualifying
income for purposes of the “90% Test” described above, which must be met in order for the Fund to maintain its status
as a RIC under the Internal Revenue Code. In addition, the determination of the value and the identity of the issuer of such derivative
investments are often unclear for purposes of the “Asset Test” described above. The Fund intends to carefully monitor
such investments to ensure that any non-qualifying income does not exceed permissible limits and to ensure that they are adequately
diversified under the Asset Test. The Fund, however, may not be able to accurately predict the non-qualifying income from these
investments and there are no assurances that the IRS will agree with the Fund’s determination of the “Asset Test”
with respect to such derivatives.

 

With
respect to any investments in STRIPS, Treasury Receipts, other zero coupon, payment-in-kind, and similar securities which are
sold at original issue discount and thus do not make periodic cash interest payments, the Fund or an ETP will generally be required
to include as part of its current income the imputed interest on such obligations even though the Fund or ETP has not received
any interest payments on such obligations during that period.

 

Because
the Fund intends to distribute all of its net investment income to its shareholders, the Fund may have to sell Fund securities
to distribute such imputed income which may occur at a time when the Adviser would not have chosen to sell such securities and
which may result in taxable gain or loss and may affect the amount and timing of distributions from the Fund.

 

Any
market discount recognized on a bond is taxable as ordinary income. A market discount bond is a bond acquired in the secondary
market at a price below redemption value or adjusted issue price if issued with original issue discount. Absent an election by
the Fund to include the market discount in income as it accrues, gain on the Fund’s disposition of such an obligation will
be treated as ordinary income rather than capital gain to the extent of the accrued market discount.

 

The
Fund and certain ETPs may be required for federal income tax purposes to mark-to-market and recognize as income and loss for each
taxable year their net unrealized gains and losses on certain futures contracts and options as of the end of the year as well
as those actually realized during the year. Options on “broad based” securities indices are classified as “non-equity
options” under the Internal Revenue Code. Gains and losses resulting from the expiration, exercise, or closing of such non-equity
options, as well as gains and losses resulting from futures contract transactions, will be treated as 60% long-term capital gain
or loss and 40% short-term capital gain or loss (hereinafter, “blended gain or loss”). In addition, any non-equity
option and futures contract held by the Fund on the last day of a fiscal year will be treated as sold for market value on that
date, and gain or loss recognized as a result of such deemed sale will be blended gain or loss. The Fund may be required to defer
the recognition of losses on futures contracts, options contracts and swaps to the extent of any unrecognized gains on offsetting
positions held by the Fund. These provisions may also require the Fund to mark-to-market certain types of positions in their portfolios
(i.e., treat them as if they were closed out), which may cause the Fund to recognize income without receiving cash with which
to make distributions in amounts necessary to satisfy the Distribution Requirement and for avoiding the excise tax discussed above.
Accordingly, in order to avoid certain income and excise taxes, the Fund may be required to liquidate as investments at a time
when the investment adviser might not otherwise have chosen to do so.

 

In
general, for purposes of the 90% Test described above, income derived from a partnership will be treated as qualifying income
only to the extent such income is attributable to items of income of the partnership that would be qualifying income if realized
directly by the Fund. However, 100% of the net income derived from an interest in a “qualified publicly traded partnership”
(generally, a partnership (i) interests in which are traded on an established securities market or are readily tradable on a secondary
market or the substantial equivalent thereof, (ii) that derives at least 90% of its income from the passive income sources specified
in Internal Revenue Code section 7704(d), and (iii) that derives less than 90% of its income from the qualifying income described
in (i) of the prior paragraph) will be treated as qualifying income. In addition, although in general the passive loss rules of
the Internal Revenue Code do not apply to RICs, such rules do apply to a RIC with respect to items attributable to an interest
in a qualified publicly traded partnership.

 

The
Fund may invest in certain MLPs which may be treated as “qualified publicly traded partnerships.” Income from qualified
publicly traded partnerships is qualifying income for purposes of the Qualifying Income Test, but the Fund’s investment
in one or more of such “qualified publicly traded partnerships” is limited under the Asset Test to no more than 25%
of the value of the Fund’s assets. The Fund will monitor its investments in such qualified publicly traded partnerships
in order to ensure compliance with the Qualifying Income and Asset Tests. MLPs and other partnerships that the Fund may invest
in will deliver Form K-1s to the Fund to report its share of income, gains, losses, deductions and credits of the MLP or other
partnership. These Form K-1s may be delayed and may not be received until after the time that the Fund issues its tax reporting
statements. As a result, the Fund may at times find it necessary to reclassify the amount and character of its distributions to
you after it issues you your tax reporting statement.

 

 

The
Fund may invest in REITs. Investments in REIT equity securities may require the Fund to accrue and distribute income not yet received.
To generate sufficient cash to make the requisite distributions, the Fund may be required to sell securities in its portfolio
(including when it is not advantageous to do so) that it otherwise would have continued to hold. The Fund’s investments
in REIT equity securities may at other times result in the Fund’s receipt of cash in excess of the REIT’s earnings;
if the Fund distributes these amounts, these distributions could constitute a return of capital to such Fund’s shareholders
for federal income tax purposes. Dividends paid by a REIT, other than capital gain distributions, will be taxable as ordinary
income up to the amount of the REIT’s current and accumulated earnings and profits. Capital gain dividends paid by a REIT
to the Fund will be treated as long-term capital gains by the Fund and, in turn, may be distributed by the Fund to its shareholders
as a capital gain distribution. Dividends received by the Fund from a REIT generally will not constitute qualified dividend income
or qualify for the dividends received deduction. If a REIT is operated in a manner such that it fails to qualify as a REIT, an
investment in the REIT would become subject to double taxation, meaning the taxable income of the REIT would be subject to federal
income tax at regular corporate rates without any deduction for dividends paid to shareholders and the dividends would be taxable
to shareholders as ordinary income (or possibly as qualified dividend income) to the extent of the REIT’s current and accumulated
earnings and profits.

 

REITs
in which the Fund invests often do not provide complete and final tax information to the Fund until after the time that the Fund
issues a tax reporting statement. As a result, the Fund may at times find it necessary to reclassify the amount and character
of its distributions to you after it issues your tax reporting statement. When such reclassification is necessary, the Fund (or
its administrative agent) will send you a corrected, final Form 1099-DIV to reflect the reclassified information. If you receive
a corrected Form 1099-DIV, use the information on this corrected form, and not the information on the previously issued tax reporting
statement, in completing your tax returns.

 

Any
transactions in foreign currencies and forward foreign currency contracts will be subject to provisions of the Internal Revenue
Code that, among other things, may affect the character of gains and losses realized by the Fund or an ETP (i.e., may affect whether
gains or losses are ordinary or capital), may accelerate recognition of income by the Fund or an ETP and may defer Fund losses.
These rules could therefore affect the character, amount and timing of distributions to the Fund’s shareholders. These provisions
also may require the Fund or an ETP to mark-to-market certain types of positions in its portfolio (i.e., treat them as if they
were closed out), which may cause the Fund or ETP to recognize income without receiving cash with which to make distributions
in amounts necessary to facilitate satisfaction of the distribution requirements for avoiding the income and excise taxes.

 

The
U.S. Treasury Department has authority to issue regulations that would exclude foreign currency gains from the 90% Test described
above if such gains are not directly related to the Fund’s business of investing in stock or securities (or options and
futures with respect to stock or securities). Accordingly, regulations may be issued in the future that could treat some or all
of the Fund’s non-U.S. currency gains as non-qualifying income, thereby potentially jeopardizing the Fund’s status
as a RIC for all years to which the regulations are applicable.

 

If
the Fund owns shares in certain foreign investment entities, referred to as “passive foreign investment companies”
or “PFICs,” the Fund will generally be subject to one or more of the following special tax regimes: (i) the Fund may
be liable for U.S. federal income tax, and an additional interest charge, on a portion of any “excess distribution”
from such foreign entity or any gain from the disposition of such shares, even if the entire distribution or gain is paid out
by the Fund as a dividend to its shareholders, (ii) if the Fund were able and elected to treat a PFIC as a “qualified electing
fund” or “QEF,” the Fund would be required each year to include in income, and distribute to shareholders in
accordance with the distribution requirements set forth above, the Fund’s pro rata share of the ordinary earnings and net
capital gains of the passive foreign investment company, whether or not such earnings or gains are distributed to the Fund, or
(iii) the Fund may be entitled to mark-to-market annually shares of the PFIC, whether or not any distributions are made to the
Fund, and in such event would be required to distribute to shareholders any such mark-to-market gains in accordance with the distribution
requirements set forth above. The Fund may have to distribute to its shareholders certain “phantom” income and gains
such Fund accrues with respect to its investment in a PFIC in order to satisfy the Distribution Requirement and to avoid imposition
of the excise tax. Such Fund intends to make the appropriate tax elections, if possible, and take any additional steps that are
necessary to mitigate the effect of these rules.

 

Short
Sales

 

In
general, gain or loss on a short sale is recognized when the Fund closes the sale by delivering the borrowed property to the lender,
not when the borrowed property is sold. Gain or loss from a short sale by the Fund is generally considered as capital gain or
loss to the extent that the property used to close the short sale constitutes a capital asset in the Fund’s hands. Except
with respect to certain situations where the property used by the Fund to close a short sale has a long-term holding period on
the date of the short sale, the gains on short sales are generally treated as short-term capital gains. These rules may also affect
the holding period of “substantially identical property” held by the Fund. Moreover, the Fund’s loss on a short
sale will be treated as a long-term capital loss if, on the date of the short sale, “substantially identical property”
has been held by the Fund for more than one year. In general, the Fund will not be permitted to deduct payments made to reimburse
the lender of securities for dividends paid on borrowed stock if the short sale is closed on or before the 45th day after the
short sale is entered into.

 

 

CAPITAL
STOCK

 

The
Fund is one of a number of series currently offered by the Trust. The Trust issues Shares of beneficial interest with no par value.
The Board may designate additional series of the Trust.

 

Each
Share issued by the Trust has a pro rata interest in the assets of the corresponding Fund. Shares have no pre-emptive, exchange,
subscription or conversion rights and are freely transferable. Each Share is entitled to participate equally in dividends and
distributions declared by the Board with respect to the relevant Fund, and in the net distributable assets of such Fund on liquidation.

 

Each
Share has one vote with respect to matters upon which a shareholder vote is required consistent with the requirements of the 1940
Act and the rules promulgated thereunder and each fractional Share has a proportional fractional vote. Shares of all Fund vote
together as a single class except that if the matter being voted on affects only a particular fund it will be voted on only by
that fund, and if a matter affects a particular fund differently from other Fund, that fund will vote separately on such matter.
Under Delaware law, the Trust is not required to hold an annual meeting of shareholders unless required to do so under the 1940
Act. The policy of the Trust is not to hold an annual meeting of shareholders unless required to do so under the 1940 Act. All
Shares of the Trust have noncumulative voting rights for the election of Trustees. Under Delaware law, Trustees of the Trust may
be removed by vote of the shareholders.

 

Under
Delaware law, shareholders of a statutory trust may have similar limitations on liability as shareholders of a corporation.

 

SHAREHOLDER
REPORTS

 

The
Trust will issue through DTC Participants to its shareholders semi-annual reports containing unaudited financial statements and
annual reports containing financial statements audited by an independent auditor approved by the Trust’s Trustees and by
the shareholders when meetings are held and such other information as may be required by applicable laws, rules and regulations.
Beneficial Owners also receive annually notification as to the tax status of the Trust’s distributions.

 

Shareholder
inquiries may be made by writing to the Trust at c/o Foreside Fund Services, LLC, Three Canal Plaza, Suite 100, Portland, Maine 04101.

 

FINANCIAL
STATEMENTS

 

The
Fund’s audited financial statements for the fiscal year ended May 31, 2023, including the notes thereto and the
report of Cohen & Company, Ltd., the Fund’s independent registered public accounting firm, are incorporated by reference
into this SAI. You can obtain copies of the Annual Report without charge by calling the Fund at (833) 833-1311.

 

DISCLAIMERS

 

Shares
of the Trust are not sponsored, endorsed, or promoted by NYSE Arca, Inc. NYSE Arca, Inc. makes no representation or warranty,
express or implied, to the owners of the Shares of the Fund. NYSE Arca, Inc. is not responsible for, nor has it participated in,
the determination of the timing of, prices of, or quantities of the Shares of the Fund to be issued, or in the determination or
calculation of the equation by which the Shares are redeemable. NYSE Arca, Inc. has no obligation or liability to owners of the
Shares of the Fund in connection with the administration, marketing, or trading of the Shares of the Fund. Without limiting any
of the foregoing, in no event shall NYSE Arca, Inc. have any liability for any lost profits or indirect, punitive, special, or
consequential damages even if notified of the possibility thereof.

 

 

APPENDIX
A: Capital Insight Partners, LLC

 

proxy
voting policy

 

Background

 

Proxy
voting is an important right of shareholders and reasonable care and diligence must be undertaken to ensure that such rights are
properly and timely exercised.

 

Investment
advisers registered with the SEC that exercise voting authority with respect to client securities are required by Rule 206(4)-6
of the Advisers Act to:

 

  Adopt and implement
written policies and procedures that are reasonably designed to ensure that client securities are voted in the best interests
of clients, which must include how an adviser addresses material conflicts that may arise between an adviser’s interests
and those of its clients.
  Disclose to clients
how they may obtain information from the adviser with respect to the voting of proxies for their securities.
  Describe to clients
a summary of its proxy voting policies and procedures and, upon request, furnish a copy to its clients.
  Maintain certain
records relating to the adviser’s proxy voting activities when the adviser does have proxy voting authority.

 

Policy

 

Capital
Insight as a matter of policy accepts proxy voting responsibility. When a new client enters into a Financial Services Agreement
the client is required to decide whether they will be responsible for voting proxies or if they assign the responsibility to the
Firm. The Firm’s Policies and Procedures relating to voting the proxies to which it has been assigned the responsibility
by clients are reasonably designed to ensure that proxies are voted in the best interests of those clients. This Policy does not
apply to those situations where the client has retained voting discretion. In those situations, the Firm will cooperate with the
client, on request, to help ensure proxies are voted as directed by the client. In addition, the Firm will take into consideration
requests by clients who have assigned the responsibility for voting proxies to the Firm for a specific vote on certain policy
issues. Such requests will be evaluated on a case-by-case basis; however, the Firm will ultimately bear the responsibility for
the vote.

 

Capital
Insight has engaged ProxyEdge, a Broadridge Financial Solutions product (“Broadridge”), to vote proxies in accordance
with the Shareholder Value Template (“Template”) developed by ProxyEdge (Attached as Exhibit IV). For the proxy issues
covered by the Template, the Firm’s voting position will generally be in accordance with the Template, unless a portfolio
manager of the Firm believes that voting a particular proxy in accordance with the Template would not be in the best interests
of a client account, in which case that person shall bring the matter to the attention of the Designated Voter who will refer
the matter to the Investment Committee.

 

The
policy for proxy voting on behalf of the FIS Christian Stock Fund (“PRAY”) for which Capital Insight is the subadviser
and has proxy voting responsibilities is that the Template shall not be used, and the proxies shall be voted in accordance with
Christian Value Investing principles.

 

The
CCO shall resolve any material conflicts of interest related to proxy voting. A conflict of interest may exist, for example, if
Capital Insight has a business relationship with (or is actively soliciting business from) either the company soliciting the proxy
or a third party that has a material interest in the outcome of a proxy vote or that is actively lobbying for a particular outcome
of a proxy vote. Any Capital Insight supervised person with knowledge of a potential personal conflict of interest (e.g., familial
relationship with company management) relating to a particular proposal shall disclose that potential conflict to the Chief Compliance
Officer and remove himself or herself from the proxy voting process. It generally will be the case that voting proxies in accordance
with the recommendations of ProxyEdge will significantly mitigate the risk of a conflict of interest. Where, however, proxies
are voted by Capital Insight contrary to the recommendations of ProxyEdge or where a potential or actual conflict of interest
or perceived conflict of interest has been brought to the attention of or been identified by the CCO, the CCO will assess and
address such conflict of interest. Some examples in which potential conflicts may exist include instances where Capital Insight
or its affiliates also manage the issuer’s pension plan or if a supervised person or a close relative of a supervised person
has a significant personal or business relationship with an issuer or an individual director (or directorship candidate), officer
(or candidate for corporate office) or proxy contest participant.

 

The
firm shall periodically evaluate the proxy services provided by ProxyEdge which will consider the services, recommendations made
by the ProxyEdge and how ProxyEdge voted, as applicable. When conducting oversight of ProxyEdge the firm will review the following:

 

  whether ProxyEdge
has the capacity and competency to adequately analyze the matters for which the investment adviser is responsible for voting
including the adequacy and quality of the ProxyEdge’s staffing, personnel, and/or technology;

 

 

  the adequacy of
disclosures ProxyEdge has provided regarding its methodologies in formulating voting recommendations, such that the firm can
understand the factors underlying the proxy advisory firm’s voting recommendations

 

  the effectiveness
of the ProxyEdge’s policies and procedures for obtaining current and accurate information relevant to matters included
in its research and on which it makes voting recommendations;

 

  the firm’s
access to ProxyEdge’s sources of information and methodologies used in formulating voting recommendations or executing
voting instructions;

 

  the nature of any
third-party information sources that ProxyEdge uses as a basis for its voting recommendations;

 

  whether ProxyEdge
has adequate policies and procedures to identify, disclose, and address actual and potential conflicts of interest.

 

In
the event securities held in the accounts of clients become subject to class action lawsuits Capital Insight has no obligation
to determine if securities held by the client(s) are subject to a pending or resolved class action lawsuit. It also has no duty
to evaluate a client’s eligibility or to submit a claim to participate in the proceeds of a securities class action settlement
or verdict. Furthermore, the firm has no obligation or responsibility to initiate litigation to recover damages on behalf of clients
who may have been injured because of actions, misconduct, or negligence by corporate management of issuers whose securities are
held by clients.

 

Where
the firm receives written or electronic notice of a class action lawsuit, settlement, or verdict directly relating to a client
account, it will forward all notices, proof of claim forms, and other materials, to the client. Electronic mail is acceptable
where appropriate if the client has authorized contact in this manner.

 

Responsibility

 

The
CCO is responsible for implementing and monitoring the proxy voting policy, procedures, disclosures, and record keeping.

 

Procedure

 

Capital
Insight has adopted the following procedures to implement the proxy voting policy and conducts reviews to ensure the policy is
observed, implemented properly and amended or updated, as appropriate:

 

  The CCO shall be
the appointed Designated Voter with ProxyEdge and responsible for:
  Reviewing any physical
proxies sent to the Firm for securities held by a client account for which the Firm votes proxies to verify that they have
been voted in ProxyEdge;
  Using ProxyEdge
to manually vote any proxies if they have not been voted by ProxyEdge;
  Using ProxyEdge
to manually vote proxies on behalf of the FIS Christian Stock Fund (“PRAY”) in accordance with Christian Value
Investing principles;
  Submitting proxies
that are not addressed in the Template to the Investment Committee resolution.
  The following records
shall be retained:
  Proxy statements
received regarding client securities;
  Records of votes
cast on behalf of clients (Reports from ProxyEdge);
  Records of client
requests for proxy voting information;
  Any documents that
were material to making a decision how to vote or that memorialized the basis for the decision;
  For each proxy vote
of each security:
  Name of the issuer
of the portfolio security;
  Exchange ticker
symbol of the portfolio security;
  CUSIP for the portfolio
security (if available);
  Shareholder meeting
date;
  Brief identification
of matter voted on;
  Whether the matter
is proposed by issuer or a security holder;
  Whether the Firm
voted clients’ proxies on the matter;
  How the Firm voted
clients’ proxies (for/against/abstain);
  Whether the Firm
voted clients’ proxies for or against the management position on the issue.
  The Designated Voter
shall document the reasoning for any votes that are contradiction to the Template;
  The Designated Voter
shall summarize and present to the Investment Committee for resolution any proxy votes not addressed by the Template;
  The CCO shall monitor
the proxy voting records in ProxyEdge and ensure that all proxies were voted in accordance with the Template with the exception
of the FIS Christian Stock Fund (“PRAY”) for which proxies shall be voted in accordance with Christian Value Investing
principles, or the Investment Committee determined that a vote in contradiction to the Template was in the client(s) best
interest and documented accordingly;

 

 

  The CCO shall document
any votes that presented a potential or actual conflict of interest.
  For each proxy vote
The CCO or designee shall provide RIC Clients’ Trust Administrators the following information for the annual filing
of Form N-PX:
  1. The name of the
issuer of the portfolio security;
  2. The exchange ticker
symbol of the portfolio security;
  3. The Council on Uniform
Securities Identification Procedures (“CUSIP”) number for the portfolio security;
  4.  The shareholder
meeting date; 
  5.  A brief identification
of the matter voted on;
  6.  Whether the matter
was proposed by the issuer or by a security holder;
  7.  Whether the registrant
cast its vote on the matter;
  8.  How the registrant
cast its vote (e.g., for or against proposal, or abstain; for or withhold regarding election of directors); and
  9.  Whether the registrant
cast its vote for or against management.

 

 

PART
C: OTHER INFORMATION

 

Item
28. Exhibits

     
(a) (1) Certificate
of Trust dated February 1, 2021, as filed with the State of Delaware on February 1, 2021, for NEOS ETF Trust (the “Registrant”
or “Trust”)1
     
  (2) Agreement and Declaration of Trust of the Registrant9
     
(b) (1) By-Laws of the Registrant9
     
(c) Not applicable.
   
(d) (1) Investment
Advisory Agreement between the Registrant and Faith Investor Services LLC3
     
  (2) Investment
Sub-Advisory Agreement between the Adviser and Knights of Columbus Asset Advisors LLC3
  (3) Investment
Sub-Advisory Agreement between the Adviser and Capital Insight Partners, LLC4
 
     
  (4) First
Amendment to Investment Advisory Agreement between the Registrant and Faith Investor Services LLC4
     
  (5) Investment
Advisory Agreement between the Registrant and Neos Investment Management LLC5
     
  (6) Investment
Advisory Agreement between the Registrant and Kurv Investment Management LLC6
     
  (7) Investment
Sub-Advisory Agreement between Kurv Investment Management LLC and Neos Investment Management LLC6
     
  (8)   Investment Advisory Agreement between
the Registrant and NEOS Investment Management, LLC (with respect to NEOS Bitcoin High Income ETF and NEOS Bitcoin Momentum
ETF)10
  (9) Amended and Restated Schedule A
to the Investment Advisory Agreement between Registrant and Kurv Investment Management LLC10
  (10) Amended and Restated Schedule A
to the Investment Sub-Advisory Agreement between Kurv Investment Management LLC and NEOS Investment Management LLC10
  (11)

Investment
Advisory Agreement between the Registrant and NEOS Investment Management LLC (with respect to the Master Global Battery Recycling
ETF10

     
(e) Distribution
Agreement between the Registrant and Foreside Fund Services, LLC3
 
   
(f)    Not applicable.
   
(g) Custody
Agreement between Registrant and U.S. Bank, N.A.3
   
(h)  (1) ETF
Fund Accounting Servicing Agreement between Registrant and U.S. Bancorp Fund Services, LLC
3
     
  (2) Fund
Administration Servicing Agreement between Registrant and U.S. Bancorp Fund Services, LLC
3
     
  (3) Transfer
Agent Servicing Agreement between Registrant and U.S. Bancorp Fund Services, LLC3

 

 

Other
Exhibits: Powers of Attorney7

 

1 Incorporated
herein by reference to the corresponding exhibit of the Registrant’s Registration Statement, SEC File Nos. 333-253997,
811-23645 filed March 8, 2021, accession number 0001387131-21-003336.
   
2 Incorporated herein
by reference to the corresponding exhibit of the Registrant’s Registration Statement, SEC File Nos. 333-253997, 811-23645
filed June 1, 2021, accession number 0001387131-21-006250.
   
3 Incorporated herein
by reference to the corresponding exhibit of the Registrant’s Registration Statement, SEC File Nos. 333-253997, 811-23645
filed June 30, 2021, accession number 0001387131-21-007027.
   
4 Incorporated herein by reference to the corresponding
exhibit of the Registrant’s Registration Statement, SEC File Nos. 333-253997, 811-23645 filed February 1, 2022, accession
number 0001387131-22-001181.
   
5 Incorporated herein by reference to the corresponding
exhibit of the Registrant’s Registration Statement, SEC File Nos. 333-253997, 811-23645 filed August 23, 2022, accession
number 0001387131-22-008992.
   
6 Incorporated herein
by reference to the corresponding exhibit of the Registrant’s Registration Statement, SEC File Nos. 333-253997, 811-23645
filed March 24, 2023, accession number 0001839882-23-007394.
   
7 Incorporated herein
by reference to the corresponding exhibit of the Registrant’s Registration Statement, SEC File Nos. 333-253997, 811-23645
filed May 24, 2022, accession number 0001839882-22-011065.
   
8 Incorporated herein
by reference to the corresponding exhibit of the Registrant’s Registration Statement, SEC File Nos. 333-253997, 811-23645
filed April 25, 2023, accession number 0001387131-23-005120.
   
9 Filed herewith.  
   
10 To be filed by subsequent
amendment.

 

Item
29. Persons Controlled by or Under Common Control with the Fund

 

Not
applicable.

 

Item
30. Indemnification

 

 Pursuant
to Article VI of the Agreement and Declaration of Trust (the “Declaration”), every person who is, or has been, a Trustee,
officer, or employee of the Trust, including persons who serve at the request of the Trust as directors, trustees, officers, employees
or agents of another organization in which the Trust has an interest as a shareholder, creditor or otherwise (“Covered Person”),
shall be indemnified by the Trust to the fullest extent permitted by law against liability and against all expenses reasonably
incurred or paid by him in connection with any claim, action, suit or proceeding in which he becomes involved as a party or otherwise
by virtue of his being or having been such a Trustee, director, officer, employee or agent and against amounts paid or incurred
by him in settlement thereof. No indemnification shall be provided under the Declaration to a Covered Person to the extent such
indemnification is prohibited by applicable federal law.

 

Item
31. Business and Other Connections of the Investment Adviser

 

See
“Management” in the Statement of Additional Information. Information as to the directors and officers of the Adviser
is included in its Form ADV filed with the SEC and is incorporated herein by reference thereto.

 

Item
32. Principal Underwriters

 

(a) Foreside
Fund Services, LLC (the “Distributor”) serves as principal underwriter for the following investment companies
registered under the Investment Company Act of 1940, as amended:

 

Item
32(a)
Foreside
Fund Services, LLC (the “Distributor”) serves as principal underwriter for
the following investment companies registered under the Investment Company Act of 1940,
as amended:

 

1.             
AB Active ETFs, Inc.

 

2.             
ABS Long/Short Strategies Fund

 

3.             
Absolute Shares Trust

 

4.             
ActivePassive Core Bond ETF, Series of Trust for Professional Managers

 

5.             
ActivePassive Intermediate Municipal Bond ETF, Series of Trust for Professional Managers

 

6.             
ActivePassive International Equity ETF, Series of Trust for Professional Managers

 

7.             
ActivePassive U.S. Equity ETF, Series of Trust for Professional Managers

 

8.             
Adaptive Core ETF, Series of Collaborative Investment Series Trust

 

9.             
AdvisorShares Trust

 

10.           
AFA Multi-Manager Credit Fund

 

 

11.          
AGF Investments Trust

 

12.          
AIM ETF Products Trust

 

13.          
Alexis Practical Tactical ETF, Series of Listed Funds Trust

 

14.          
AlphaCentric Prime Meridian Income Fund

 

15.          
American Century ETF Trust

 

16.          
Amplify ETF Trust

 

17.          
Applied Finance Core Fund, Series of World Funds Trust

 

18.          
Applied Finance Explorer Fund, Series of World Funds Trust

 

19.          
Applied Finance Select Fund, Series of World Funds Trust

 

20.          
ARK ETF Trust

 

21.          
ARK Venture Fund

 

22.          
ASYMmetric ETFs Trust

 

23.          
B.A.D. ETF, Series of Listed Funds Trust

 

24.          
Bitwise Funds Trust

 

25.          
Bluestone Community Development Fund

 

26.          
BondBloxx ETF Trust

 

27.          
Bramshill Multi-Strategy Income Fund, Series of Investment Managers Series Trust

 

28.          
Bridgeway Funds, Inc.

 

29.          
Brinker Capital Destinations Trust

 

30.          
Brookfield Real Assets Income Fund Inc.

 

31.          
Build Funds Trust

 

32.          
Calamos Convertible and High Income Fund

 

33.          
Calamos Convertible Opportunities and Income Fund

 

34.          
Calamos Dynamic Convertible and Income Fund

 

35.          
Calamos ETF Trust

 

36.          
Calamos Global Dynamic Income Fund

 

37.          
Calamos Global Total Return Fund

 

38.          
Calamos Strategic Total Return Fund

 

 

39.          
Carlyle Tactical Private Credit Fund

 

40.          
Cboe Vest Bitcoin Strategy Managed Volatility Fund, Series of World Funds Trust

 

41.          
Cboe Vest S&P 500® Dividend Aristocrats Target Income Fund, Series of World Funds Trust

 

42.          
Cboe Vest US Large Cap 10% Buffer Strategies Fund, Series of World Funds Trust

 

43.          
Cboe Vest US Large Cap 10% Buffer VI Fund, Series of World Funds Trust

 

44.          
Cboe Vest US Large Cap 20% Buffer Strategies Fund, Series of World Funds Trust

 

45.          
Cboe Vest US Large Cap 20% Buffer VI Fund, Series of World Funds Trust

 

46.          
Center Coast Brookfield MLP & Energy Infrastructure Fund

 

47.          
Clifford Capital Focused Small Cap Value Fund, Series of World Funds Trust