As filed with the Securities and Exchange Commission on August 14, 2026

1933 Act Registration No. 333-263619

1940 Act Registration No. 811-23785

United States

Securities and Exchange Commission

Washington, D.C. 20549

Form N-1A

and

Volatility Shares Trust

(Exact name of registrant as specified in charter)

2000 PGA Blvd

Suite 4440

Palm Beach Gardens, Florida 33408

(Address of Principal Executive Offices) (Zip Code)

Registrant’s Telephone Number, including Area Code: (866) 261-0273

Corporation Service Company

251 Little Falls Drive

Wilmington, New Castle County, Delaware 19808

(Name and Address of Agent for Service)

Copy to:

It is proposed that this filing will become effective (check appropriate box):

If appropriate, check the following box:

Contents of Post-Effective Amendment No. 1008

This Registration Statement comprises the following papers and contents:

The Facing Sheet

Part A – Prospectus for Anaheim Ducks^® ETF, Boston Bruins^® ETF, Buffalo Sabres^® ETF, Calgary Flames^® ETF, Carolina Hurricanes^® ETF, Chicago Blackhawks^® ETF, Colorado Avalanche^® ETF, Columbus Blue Jackets^® ETF, Dallas Stars^® ETF, Detroit Red Wings^® ETF, Edmonton Oilers^® ETF, Florida Panthers^® ETF, Los Angeles Kings^® ETF, Minnesota Wild^® ETF, Montreal Canadiens^® ETF, Nashville Predators^® ETF, New Jersey Devils^® ETF, New York Islanders^® ETF, New York Rangers^® ETF, Ottawa Senators^® ETF, Philadelphia Flyers^® ETF, Pittsburgh Penguins^® ETF, San Jose Sharks^® ETF, Seattle Kraken^® ETF, St. Louis Blues^® ETF, Tampa Bay Lightning^® ETF, Toronto Maple Leafs^® ETF, Utah Mammoth^® ETF, Vancouver Canucks^® ETF, Vegas Golden Knights^® ETF, Washington Capitals^® ETF, and Winnipeg Jets^® ETF (each, a “Fund” and collectively, the “Funds”)

Part B – Statement of Additional Information for Anaheim Ducks^® ETF, Boston Bruins^® ETF, Buffalo Sabres^® ETF, Calgary Flames^® ETF, Carolina Hurricanes^® ETF, Chicago Blackhawks^® ETF, Colorado Avalanche^® ETF, Columbus Blue Jackets^® ETF, Dallas Stars^® ETF, Detroit Red Wings^® ETF, Edmonton Oilers^® ETF, Florida Panthers^® ETF, Los Angeles Kings^® ETF, Minnesota Wild^® ETF, Montreal Canadiens^® ETF, Nashville Predators^® ETF, New Jersey Devils^® ETF, New York Islanders^® ETF, New York Rangers^® ETF, Ottawa Senators^® ETF, Philadelphia Flyers^® ETF, Pittsburgh Penguins^® ETF, San Jose Sharks^® ETF, Seattle Kraken^® ETF, St. Louis Blues^® ETF, Tampa Bay Lightning^® ETF, Toronto Maple Leafs^® ETF, Utah Mammoth^® ETF, Vancouver Canucks^® ETF, Vegas Golden Knights^® ETF, Washington Capitals^® ETF, and Winnipeg Jets^® ETF

Part C – Other Information

Signatures

The information in this Prospectus is not complete and may be changed. We may not sell these securities until the registration statement filed with the Securities and Exchange Commission is effective. This Prospectus is not an offer to sell these securities and it is not soliciting an offer to buy these securities in any state where the offer of sale is not permitted.

Subject to Completion
Dated August 14, 2026

PROSPECTUS

[___], 2026

Each of the Funds set forth above (each, a “Fund,” and together, the “Funds”) is a series of Volatility Shares Trust (the “Trust”) and an exchange-traded fund (“ETF”). Each Fund intends to list and principally trade its shares on the [____] (“[___]” or an “Exchange”).

Neither the U.S. Securities and Exchange Commission (the “SEC”) nor the Commodity Futures Trading Commission (the “CFTC”) has approved or disapproved these securities or passed upon the accuracy or adequacy of this prospectus. Any representation to the contrary is a criminal offense.

Table of Contents

Summary Information

Anaheim Ducks ETF

Investment Objective

The Anaheim Ducks ETF (the “Fund” or “[__]”) seeks to provide investment results, before fees and expenses, that correspond to the performance of futures contracts on the CME FSPI NHL Anaheim Ducks Index.

Fees and Expenses of the Fund

This table describes the fees and expenses that you may pay if you buy, hold and sell Shares. Investors may pay other fees, such as brokerage commissions and other fees to financial intermediaries, which are not reflected in the table and example set forth below.

Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment)

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 assumes that you invest $10,000 in the Fund for the time periods indicated and then sell all of your Shares at the end of those periods. The example also assumes that your investment has a 5% return each year and that the Fund’s operating expenses remain at current levels. This example does not include the brokerage commissions that investors may pay to buy and sell Shares.

Although your actual costs may be higher or lower, your costs, based on these assumptions, would be:

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 will cause the Fund to incur additional transaction costs and may result in higher taxes when Shares are held in a taxable account. These costs, which are not reflected in Total Annual Fund Operating Expenses or in the example, may affect the Fund’s performance. Because the Fund is new, portfolio turnover information is unavailable at this time.

Principal Investment Strategies 

The Fund is an exchange-traded fund (“ETF”) that seeks to achieve its investment objective primarily through investments in futures contracts on the CME FSPI NHL Anaheim Ducks Index, which is a non-investable index (the “Ducks Index”). The Ducks Index is designed to systemically measure the cumulative team performance of the Anaheim Ducks only during games played over the regular and post-season. The Ducks Index is a transparent, rules-based system using official league statistics, where positive actions add points and negative actions subtract points. The Ducks Index is based on fifty-five statistical measures of performance and results of team games (wins, losses and ties) that results in continuous, live statistical values that underpin the value of the Ducks Index which is calculated into a trackable and tradable number. The Ducks Index is based solely on these statistical factors, and the performance of other professional hockey teams in the National Hockey League^® (the “NHL”), or events outside of on-ice performance by the Anaheim Ducks, will not impact the value of the Ducks Index.

The Ducks Index has an initial standardized base value of 7,500 before the season and moves up or down based on officially reported statistics from each game, including real-time movement during regular season and postseason play. At the conclusion of the postseason, the Ducks Index value resets to 7,500.

The Ducks Index is maintained and calculated by FutureSports (the “Index Provider”). The Ducks Index methodology is designed to align with the International Organization of Securities Commissions (“IOSCO”) Principles for Financial Benchmarks and supported by published governance, oversight and methodology change procedures. The NHL serves as the official data source for the Ducks Index but does not participate in index determination or governance.

The Fund obtains exposure to the Ducks Index by investments in futures contracts that reference the Ducks Index and that trade on an exchange registered with the Commodity Futures Trading Commission (“Ducks Index Futures Contracts”), and cash, cash-like instruments or high quality securities that serve as collateral to the Fund’s investments in Ducks Index Futures Contracts (“Collateral Investments”).

Under normal circumstances, the Fund will invest at least 80% of the value of its net assets (plus borrowings for investment purposes) in Ducks Index-Linked Instruments. For purposes of this policy, “Ducks Index-Linked Instruments” means (i) Ducks Index Futures Contracts; (ii) shares of other investment companies registered under the Investment Company Act of 1940 (the “1940 Act”) that invest in similar assets to those in which the Fund may invest (“Other Investment Companies”); (iii) exchange traded options on the Ducks Index or shares of Other Investment Companies; and (iv) swap agreement transactions that reference Ducks Index Futures Contracts, Other Investment Companies, or the Ducks Index. Certain Ducks Index-Linked Instruments, such as Other Investment Companies or options thereon, are currently unavailable for investment, though are expected to become available in the future.

The Fund expects to gain investment exposure to the Ducks Index by investing a portion of its assets in a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands (the “Subsidiary”).

The Fund does not invest directly in prediction markets, event contracts or other instruments that provide exposure to individual sporting event or season-long outcomes or to investments that provide exposure to the financial performance of individual sports teams or leagues. Instead, the Fund seeks to benefit from increases in the price of Ducks Index Futures Contracts.

The investment adviser to the Fund and the Subsidiary is Volatility Shares LLC (the “Adviser” or “Volatility Shares”). The Adviser oversees the Fund and implements the day-to-day portfolio management responsibilities for the Fund. In serving as investment adviser to the Fund, the Adviser does not conduct conventional investment research or analysis or forecast market movement or trends.

The Fund is classified as a “non-diversified company” under the 1940 Act. The Fund will not concentrate its investments in securities of issuers in any industry or group of industries, as the term “concentrate” is used in the 1940 Act, except that the Fund may invest more than 25% of its total assets in Ducks Index-Linked Instruments.

The Anaheim Ducks

The Anaheim Ducks are a professional ice hockey team based in Anaheim, California, competing in the Pacific Division of the NHL’s Western Conference. During the 2025–2026 season, the Ducks finished third in the Pacific Division, ranking 15th in standings points, 10th in goals for, 29th in goals against, and 21st in goal differential. The Ducks were founded in 1993 by the Walt Disney Company. The Ducks are currently owned by Henry and Susan Samueli, with Henry Samueli serving as Chairman since 2005. The team has won one Stanley Cup championship, capturing the title in 2007. Neither the Fund, the Trust, nor the Adviser is affiliated with the Anaheim Ducks.

Ducks Index Futures Contracts

The Fund intends to typically enter into cash-settled Ducks Index Futures Contracts as the “buyer,” except as detailed below.

In simplest terms, in a cash-settled futures market the counterparty pays cash to the buyer if the price of a futures contract goes up, and buyer pays cash to the counterparty if the price of the futures contract goes down. In order to maintain its exposure to the Ducks Index, the Fund intends to exit its futures contracts as they near expiration and replace them with new futures contracts with a later expiration date. Futures contracts with a longer term to expiration may be priced higher than futures contracts with a shorter term to expiration, a relationship called “contango”. When rolling futures contracts that are in contango the Fund will close its long position by selling the shorter-term contract at a relatively lower price and buying a longer-dated contract at a relatively higher price. The presence of contango will adversely affect the performance of the Fund. Conversely, futures contracts with a longer term to expiration may be priced lower than futures contracts with a shorter term to expiration, a relationship called “backwardation”. When rolling long futures contracts that are in backwardation, the Fund will close its long position by selling the shorter-term contract at a relatively higher price and buying a longer-dated contract at a relatively lower price. The presence of backwardation may positively affect the performance of the Fund. Further, the returns of the Ducks Index Futures Contracts may differ from that of the Ducks Index due to the divergence in prices or the costs associated with investing in futures contracts, which may negatively impact the Fund’s returns.

The Fund invests in Ducks Index Futures Contracts indirectly via the Subsidiary. The Subsidiary and the Fund will have the same investment adviser and investment objective. The Subsidiary will also follow the same general investment policies and restrictions as the Fund. Except as noted herein, for purposes of this Prospectus, references to the Fund’s investment strategies and risks include those of the Subsidiary. The Fund complies with the provisions of the 1940 Act governing investment policies and capital structure and leverage on an aggregate basis with the Subsidiary. Furthermore, the Adviser, as the investment adviser to the Subsidiary, complies with the provisions of the 1940 Act relating to investment advisory contracts as it relates to its advisory agreement with the Subsidiary. The Subsidiary also complies with the provisions of the 1940 Act relating to affiliated transactions and custody. Because the Fund intends to qualify for treatment as a regulated investment company (a “RIC”) under the Internal Revenue Code of 1986 (the “Code”), the size of the Fund’s investment in the Subsidiary will not exceed 25% of the Fund’s total assets at or around each quarter end of the Fund’s fiscal year. In order to qualify as a RIC, the Fund will have to reduce its exposure to its Subsidiary on or around the end of each of the Fund’s fiscal quarter ends. The Fund expects to reduce its exposure to its Subsidiary during these periods by investing in certain other investments as described below. During these periods, the Fund may not achieve its investment objective. At other times of the year, the Fund’s investments in the Subsidiary will significantly exceed 25% of the Fund’s total assets. The Subsidiary’s custodian is U.S. Bank, N.A.

If circumstances occur where market prices for Ducks Index Futures Contracts were not readily available, the Fund would fair value its Ducks Index Futures Contracts in accordance with its pricing and valuation policy and procedures for fair value determinations. Pursuant to those policies and procedures, the Adviser would consider various factors, such as pricing history; market levels prior to price limits or halts; and supply, demand, and open interest in Ducks Index Futures Contracts, among other factors. The Adviser would document its proposed pricing and methodology, detailing the factors that entered into the valuation.

Collateral Investments

The Fund will also invest its assets in Collateral Investments. The Collateral Investments may consist of high-quality securities, which include: (1) U.S. Government securities, such as bills, notes and bonds issued by the U.S. Treasury; (2) investment companies registered under the 1940 Act that invest in high-quality securities; and/or (3) corporate debt securities, such as commercial paper and other short-term unsecured promissory notes issued by businesses that are rated investment grade or determined by the Adviser to be of comparable quality. For these purposes, “investment grade” is defined as investments with a rating at the time of purchase in one of the four highest categories of at least one nationally recognized statistical rating organization (e.g., BBB- or higher from S&P Global Ratings or Baa3 or higher from Moody’s Investors Service, Inc.).

The Collateral Investments are designed to provide liquidity, serve as margin, or otherwise collateralize the Subsidiary’s investments in Ducks Index-Linked Instruments. The Fund expects that it will primarily invest its assets, and that the Subsidiary will primarily invest its assets, in Collateral Investments that are “securities,” as such term is defined under the 1940 Act.

Other Investments

In order to help the Fund maintain exposure to the Ducks Index, maintain its tax status as a RIC on days in and around quarter-end, help the Fund maintain its desired exposure to Ducks Index Futures Contracts when it is approaching or has exceeded position limits or accountability levels, or because of liquidity or other constraints, the Fund may invest in the following:

Reverse Repurchase Agreements

The Fund may invest in reverse repurchase agreements which are a form of borrowing in which the Fund sells portfolio securities to financial institutions and agrees to repurchase them at a mutually agreed-upon date and price that is higher than the original sale price, and use the proceeds for investment purchases. 

As a result of the Fund repurchasing the securities at a higher price, the Fund will lose money by engaging in reverse repurchase agreement transactions.

As noted above, because the Fund intends to qualify for treatment as a RIC under the Code, the size of the Fund’s investment in the Subsidiary will not exceed 25% of the Fund’s total assets at or around each quarter end of the Fund’s fiscal year (the “Asset Diversification Test”). At other times of the year, the Fund’s investments in the Subsidiary will significantly exceed 25% of the Fund’s total (or gross) assets.

When the Fund seeks to reduce its total assets exposure to the Subsidiary, it may use the short-term Treasury Bills it owns (and purchase additional Treasury Bills as needed) to transact in reverse repurchase agreement transactions, which are ostensibly loans to the Fund. Those loans will increase the gross assets of the Fund, which the Adviser expects will allow the Fund to meet the Asset Diversification Test. When the Fund enters into a reverse repurchase agreement, it will either (i) be consistent with Section 18 of the 1940 Act and maintain asset coverage of at least 300% of the value of the reverse repurchase agreement; or (ii) treat the reverse repurchase agreement transactions as derivative transactions for purposes of Rule 18f-4 under the 1940 Act (“Rule 18f-4”), including as applicable, the value-at-risk based limit on leverage risk.

Other Investment Companies

The Fund may invest in shares of Other Investment Companies, that is, shares of investment companies registered under the 1940 Act that invest in similar assets to those in which the Fund may invest.

Exchange-traded option contracts on shares of Other Investment Companies.

The Fund may invest in exchange-listed option contracts on shares of Other Investment Companies, which invest in similar assets to those in which the Fund may invest. An option is a contract that gives the purchaser of the option, in return for the premium paid, the right to buy shares of an investment company, from the writer of the option (in the case of a call option), or to sell shares of the investment company to the writer of the option (in the case of a put option) at a designated price during the term of the option. The premium paid by the buyer of an option will reflect, among other things, the relationship of the exercise price to the market price and the volatility of the shares of the investment company, the remaining term of the option, supply, demand, interest rates and/or currency exchange rates. The Fund may utilize “American” style options or “European” style options. American style options are exercisable on any date prior to the expiration date of the option contract. In contrast, European style options are exercisable only on the expiration date of the option contract.

Swaps that reference Ducks Index Futures Contracts, Other Investment Companies, or the Ducks Index.

Swap contracts are transactions entered into primarily with major global financial institutions for a specified period ranging from a day to more than one year. In a swap transaction, the Fund and a counterparty will agree to exchange or “swap” payments based on the change in value of an underlying asset or benchmark. For example, the two parties may agree to exchange the return (or differentials in rates of returns) earned or realized on a particular investment or instrument. In the case of the Fund, the reference asset can be Ducks Index Futures Contracts, Other Investment Companies or the Ducks Index.

Principal Risks

As with all investments, there are certain risks of investing in the Fund. Shares will change in value, and you could lose money by investing in the Fund. The Fund may not achieve its investment objective. An investment in the Fund does not represent a complete investment program. An investment in the Fund is not a bank deposit and it is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency, the Adviser or any of their affiliates. You should consider carefully the following risks before investing in the Fund.

Each risk noted below is considered a principal risk of investing in the Fund, regardless of the order in which it appears. The significance of each risk factor below may change over time and you should review each risk factor carefully.

Risks Specific to the Fund’s Investments

Investment Strategy Risk. The Fund, through the Subsidiary, invests primarily in Ducks Index Futures Contracts. The Fund does not invest directly in prediction markets, event contracts or other instruments that provide exposure to individual sporting event or season-long outcomes or to investments that provide exposure to the financial performance of individual sports teams or leagues. Instead, the Fund seeks to benefit from increases in the price of Ducks Index Futures Contracts. The price of Ducks Index Futures Contracts may not be an accurate measure of the Ducks Index. Consequently, the Fund may perform differently from the performance of the Ducks Index. There can be no guarantee that the performance of Ducks Index Futures Contracts will be highly correlated to the performance of the Ducks Index. Transaction costs (including the costs associated with futures investing), position limits, the availability of counterparties and other factors may impact the cost and pricing of Ducks Index Futures Contracts and decrease the correlation between the performance of Ducks Index Futures Contracts and the Ducks Index, over short- or long-term periods. In addition, the performance of back-month Ducks Index Futures Contracts is likely to differ more significantly from the performance of the Ducks Index. To the extent the Fund is invested in back-month Ducks Index Futures Contracts, the performance of the Fund should be expected to deviate more significantly from the performance of the Ducks Index. Moreover, because the Ducks Index is uninvestable, the Fund can only gain exposure through futures contracts and other derivatives, and differences between the prices of those instruments and the levels of the Ducks Index may result in the Fund experiencing larger losses or smaller gains than would be implied by changes in the Ducks Index alone.

Sports Performance Risk. The Fund’s investment strategy is inherently speculative. The value of Ducks Index Futures Contracts is derived from the statistical performance of a single professional sports team as measured by the Ducks Index. Successfully investing in Ducks Index Futures Contracts requires that the team tracked by the index performs well statistically over the course of a season, an outcome that is inherently uncertain and subject to numerous unpredictable variables, including player health, competitive dynamics, coaching decisions, and random variation in athletic performance. The Ducks Index may decline in value, and there can be no assurance that the team tracked by the index will perform at or above the levels implied by the prices of Ducks Index Futures Contracts at the time the Fund obtains exposure.

On-Ice Performance and Competitive Results Risk. The Fund’s investment performance is linked to the on-ice statistical performance of a single NHL team during the regular season and, if applicable, the playoffs. The prices of Ducks Index Futures Contracts are expected to rise when the team performs well statistically and to fall when the team performs poorly. Competitive results in professional hockey are inherently unpredictable and can be influenced by factors entirely outside the team’s control, including the performance of opposing teams, referee calls, random puck bounces, weather affecting travel, and in-game injuries. A team may enter a season with high expectations based on roster strength, coaching hires, or offseason acquisitions, only to underperform due to chemistry issues, unexpected injuries to key players, player slumps, or tactical mismatches against divisional opponents. The NHL season extends over several months and includes 82 regular season games per team, during which even a strong team may experience prolonged losing streaks that cause material declines in the Ducks Index. If the team fails to make the playoffs, the Fund will not benefit from any potential uplift in index value that could accompany postseason success. Conversely, early playoff elimination could cause sharp declines in futures prices if the market had priced in deeper postseason performance. Because the Fund is concentrated in a single NHL team, there is no opportunity to offset poor on-ice performance by gaining exposure to a stronger team or a different sport.

Ducks Index Investing Risk. The Fund is indirectly exposed to the risks of the Ducks Index through its investments in Ducks Index Futures Contracts and other Ducks Index-Linked Instruments. The Fund does not invest in the Ducks Index, which is an uninvestable index. The performance of the Ducks Index will be very different from a portfolio of Ducks Index Futures Contracts.

The Ducks Index moves up or down based on officially reported statistics from every game, match, or event throughout the regular season and postseason. Positive statistical actions (e.g., goals scored, points earned) add value to the index, while negative actions (e.g., opponent scoring, penalties or setbacks) subtract value. Poor statistical performance by the Anaheim Ducks could have a significant negative impact on the level of the Ducks Index and therefore the value of the Fund. In addition, unlike instruments that are based on tradable reference assets, the Ducks Index Futures Contracts and Ducks Index-Linked Instruments are tied to an index that is not directly investable and, thus, have settlement prices based on the calculation of that index, not the price of a tradable asset.

Concentrated Single-Team Exposure Risk. The Fund’s investment strategy results in concentrated exposure to a single professional sports team’s statistical performance (i.e., the Anaheim Ducks) as measured by an index. Unlike diversified funds that spread risk across multiple asset classes, sectors, or issuers, the Fund’s performance is primarily driven by the statistical output of one team over the course of a season. As a result, the Fund is more susceptible to risks affecting that team, including player injuries, suspensions, trades, retirements, coaching changes, front-office turnover, league sanctions, labor disputes, lockouts, or other events that directly or indirectly influence the team’s on-ice statistical performance. This degree of concentration will likely increase volatility in the Fund’s NAV, heighten the likelihood of significant losses over short periods, and cause the Fund’s returns to diverge substantially from those of more diversified investments. Additionally, because the Fund is concentrated in a single team, it is inherently concentrated in a single professional sports league. This subjects the Fund to league-specific risks, including league-wide labor disputes, broad scandal, changes to the structure or rules of the league, or events that cause the cancellation or suspension of games. The Fund has no ability to rotate exposure into a different team, sport, or league in response to adverse developments affecting the team to which it has exposure.

Insider Trading and Information Asymmetry Risk. Unlike securities markets, which are governed by well-established insider trading prohibitions under the Securities Exchange Act of 1934, the legal framework governing trading on the basis of material, non-public information in the context of commodity futures is less developed. While the CFTC has broad anti-manipulation and anti-fraud authority under the Commodity Exchange Act (“CEA”), specific rules and judicial precedent addressing what constitutes improper trading on non-public information in the context of sports-linked futures remain nascent. Certain individuals may possess material, non-public information that could affect the statistical performance of the Ducks Index and, consequently, the prices of Ducks Index Futures Contracts. Such individuals may include, without limitation, team coaches, players, trainers, team medical staff, front office personnel, referees, officials, league personnel, or sports data providers. For example, undisclosed injuries to key players or undisclosed lineup changes could materially affect the level of the Ducks Index. Such persons could trade Ducks Index Futures Contracts or Fund Shares to profit from their informational advantage prior to public disclosure. There is no guarantee that exchanges, the CME, or the CFTC will successfully detect and prevent such trading, and the Fund has no means of preventing such individuals from purchasing or selling Fund Shares. The participation of informed insiders in the market for Ducks Index Futures Contracts can create adverse selection for other market participants and distort market prices. Because the Fund is concentrated in a single team, the impact of insider trading on the Fund may be more pronounced than in markets with broader diversification.

League Credibility and Sports Integrity Risk. The Ducks Index is calculated based on official league statistics derived from the games of a single professional sports team, and the integrity of those games is fundamental to the reliability of the index. Efforts to interfere with the team’s games, including match-fixing, point-shaving, or referee manipulation, could materially affect the statistical data upon which the Ducks Index is based, create significant uncertainty regarding index levels, and cause pronounced price volatility in Ducks Index Futures Contracts. Confirmed or suspected game interference may also prompt legislative or regulatory responses, including restrictions on sports-linked financial products or emergency rulemaking by the CFTC, that could restrict the listing or trading of Ducks Index Futures Contracts. Even widely publicized allegations of interference, absent actual misconduct, could undermine market confidence in the Ducks Index and the futures contracts that reference it.

Gaming and State Regulatory Litigation Risk. Exchanges that list sports-linked financial instruments, including Ducks Index Futures Contracts, may be subject to legal challenges brought by state attorneys general, state gaming commissions, and other state-level actors asserting that such instruments constitute regulated gambling or gaming activity under state law, notwithstanding that such contracts are listed on a CFTC-regulated exchange. Such proceedings may assert that the listing of sports-linked contracts violates state gaming statutes, requires state gaming or sports wagering licenses, or constitutes an illegal gambling enterprise. These exchanges, and the CFTC in certain court filings, have asserted that the CEA and the CFTC’s exclusive jurisdiction over CFTC-regulated exchanges preempts state gaming regulations. There is no assurance that federal courts will rule in favor of federal preemption, and resolution may require years of litigation and potentially appellate review. An adverse ruling could result in the suspension or cessation of trading in Ducks Index Futures Contracts, material operational restrictions, significant financial penalties, or the effective loss of the ability to list sports-linked futures. Any of these outcomes could materially and adversely affect the Fund’s ability to achieve its investment objective and could result in significant losses.

Platform and Distribution Restriction Risk. Broker-dealers, registered investment adviser platforms, wirehouses, and other financial intermediaries may refuse to list, recommend, or permit purchases of Fund Shares through their platforms due to the Fund’s association with sports performance outcomes and the perception that such products are akin to sports wagering, regardless of the Fund’s legal status as a registered investment company under the 1940 Act. Certain intermediaries may permit only unsolicited purchases, prohibit financial advisers from recommending the Fund, or exclude the Fund from model portfolios entirely. These restrictions could limit the Fund’s accessible investor base, constrain assets under management, reduce secondary market liquidity, widen bid-ask spreads, and increase the likelihood that Fund Shares will trade at significant premiums or discounts to net asset value. Even if an intermediary initially permits distribution, it may subsequently restrict access in response to adverse regulatory developments, reputational concerns, or changes in compliance policies. If a significant number of intermediaries refuse to distribute Fund Shares, the Fund may be unable to achieve sufficient scale, which could increase the Fund’s expense ratio, reduce trading volume, and impair the Fund’s ability to operate effectively.

Novel Market Risk. Ducks Index Futures Contracts are a novel asset class with limited trading history. The market may not develop the depth, liquidity, or trading efficiency associated with more established futures markets, and its pricing may be influenced by factors unrelated to fundamental assessments of team performance, including speculative activity, behavioral biases, regulatory headlines, or concentrated participation by a limited number of traders. There is limited historical data on which to base expectations regarding future price behavior, volatility patterns, or the costs associated with maintaining exposure, and traditional risk metrics may not accurately capture the risks of investing in this market. There can be no assurance that the market for Ducks Index Futures Contracts will achieve or sustain the level of participation, liquidity, and price discovery necessary for the Fund to effectively pursue its investment objective.

Limited Price Discovery and Market Depth Risk. Because Ducks Index Futures Contracts are a newly created instrument class, the market may lack the depth, breadth, and participation necessary for reliable price discovery. Traditional commodity futures markets benefit from decades of participation by commercial hedgers, speculators, and arbitrageurs whose activities contribute to efficient pricing. The market for Ducks Index Futures Contracts is expected to have few, if any, natural commercial hedgers, and may be dominated by retail speculators, algorithmic traders, or a small number of institutional participants. This concentrated participation could result in prices that do not accurately reflect fair value, wider bid-ask spreads, and elevated intraday price volatility. In thin markets, even modest order flow from the Fund could move prices against the Fund, increasing transaction costs and reducing returns. There can be no assurance that the market for Ducks Index Futures Contracts will develop sufficient liquidity over time, and the Fund may be unable to establish or exit positions at prices the Fund considers favorable.

Seasonality and Offseason Risk. The Ducks Index resets to a standardized base value prior to the start of each sports season and has a defined life cycle that ends following the postseason. Because the Fund tracks a single team in a single sport, the Fund is tied to that sport’s competitive calendar and has no ability to diversify across sports or rotate into a sport that is in-season when the team’s sport is not. During the playing season, the Ducks Index moves in real-time based on officially reported game statistics, and the prices of Ducks Index Futures Contracts are expected to reflect both the current index level and market expectations regarding future team performance. During the offseason, however, the Ducks Index will not move because no games are being played, and the Fund’s exposure to Ducks Index Futures Contracts will behave differently than during the playing season. The Fund anticipates maintaining exposure to Ducks Index Futures Contracts during the offseason. Although the underlying index will be static during this period, the prices of Ducks Index Futures Contracts may still fluctuate based on market expectations regarding the team’s prospects for the upcoming season, including coaching changes, player trades, draft picks, free agent signings, injury recovery timelines, training camp developments, and other factors that affect the market’s assessment of the team’s likely statistical performance. However, because the index itself is not moving during the offseason, the magnitude of futures price movements may be reduced relative to the playing season, and the relationship between futures prices and the underlying index level may be less predictable. There can be no assurance that the Fund’s offseason futures holdings will appreciate in value, and the Fund may experience losses during the offseason if market sentiment regarding the team’s upcoming season deteriorates. In addition, there can be no assurance that Ducks Index Futures Contracts will be available in sufficient volume or at favorable pricing during the offseason or at the start of a new season.

League Discontinuation, Lockout, or Strike Risk. The Fund’s ability to invest in Ducks Index Futures Contracts depends on the continued operation of the NHL and the playing of scheduled games. Labor disputes between the NHL and its players’ union could result in a lockout or strike that suspends or cancels all or a significant portion of a season. The NHL has previously experienced work stoppages, including a full-season cancellation in 2004-2005. During any such period, no games would be played, the Ducks Index would not generate data, and trading in Ducks Index Futures Contracts could be suspended or severely impaired. The Fund would be unable to pursue its investment strategy during such a period, may be forced to liquidate positions at disadvantageous prices, and could experience substantial losses. Even after a labor dispute is resolved, the shortened or restructured season could materially change the statistical patterns underlying the index methodology. In addition, force majeure events such as a pandemic, natural disaster, or other circumstances beyond the control of the league could cause widespread game cancellations or delays. There can be no assurance that the league will not experience a work stoppage or other extended interruption during the Fund’s investment period, or that the Fund will be able to recover any losses incurred as a result of such events.

Index Provider and Data Dependency Risk. The Ducks Index is maintained and calculated by a single Index Provider, FutureSports. If the Index Provider were to experience operational failures, cease operations, lose its data feed from the applicable sports league, experience a cybersecurity breach, or otherwise become unable to calculate the Ducks Index, Ducks Index Futures Contracts may have no reliable reference value, which could materially and adversely affect the value of the Fund. In addition, the Ducks Index is calculated solely on the basis of officially reported statistics from a single sports league. The league serves as the data source but does not participate in index determination or governance. If the league were to report incorrect statistics, issue post-game corrections, change how it reports or categorizes statistics, delay reporting, or discontinue the provision of data to the Index Provider, the settlement prices of Ducks Index Futures Contracts could be based on erroneous or incomplete data. Furthermore, the Index Provider controls the methodology by which official statistics are translated into index points. If the Index Provider amends or discontinues its methodology, the behavior of the Ducks Index could change materially and the futures market may not immediately price in such changes. The Ducks Index is calculated in real-time while games are being played, which introduces latency, data-feed, and computational risks that differ from those associated with traditional financial indexes.

Trading Hours and Sporting Event Timing Risk. NHL games may occur during evening hours, on weekends, and on holidays when the Exchange is closed and when the market for Ducks Index Futures Contracts may have limited or no trading activity. Because the Ducks Index moves in real-time while games are being played, material index movements may occur during periods when investors are unable to buy or sell Shares or when Ducks Index Futures Contracts are not actively trading. As a result, the opening price of Shares and the prices of Ducks Index Futures Contracts on the next trading session may differ significantly from the prior session’s closing prices, potentially resulting in large gaps at the open. Shareholders may not be able to sell their Shares until after such a gap has been fully realized, resulting in an inability to mitigate losses in a declining market.

Futures Contracts Risk. Risks of futures contracts include: (i) an imperfect correlation between the value of the futures contract and the underlying asset; (ii) possible lack of a liquid secondary market; (iii) the inability to close a futures contract when desired; (iv) losses caused by unanticipated market movements, which may be unlimited; (v) an obligation for the Fund to make daily cash payments to maintain its required margin, particularly at times when the Fund may have insufficient cash; and (vi) unfavorable execution prices from rapid selling. Unlike equities, which typically entitle the holder to a continuing stake in a corporation, futures contracts normally specify a certain date for settlement in cash based on the reference asset. As the futures contracts approach expiration, they may be replaced by similar contracts that have a later expiration. This process is referred to as “rolling.” If the market for these contracts is in “contango,” meaning that the prices of futures contracts in the nearer months are lower than the price of contracts in the distant months, the sale of the near-term month contract would be at a lower price than the longer-term contract, resulting in a cost to “roll” the futures contract. The actual realization of a potential roll cost will be dependent upon the difference in price of the near and distant contract. Because the margin requirement for futures contracts is less than the value of the assets underlying the futures contract, futures trading involves a degree of leverage. As a result, a relatively small price movement in a futures contract may result in immediate and substantial loss, as well as gain, to the investor. For example, if at the time of purchase, 40% of the value of the futures contract is deposited as margin, a subsequent 20% decrease in the value of the futures contract would result in a loss of half of the margin deposit, before any deduction for the transaction costs, if the account were then closed out. A decrease in excess of 40% would result in a loss exceeding the original margin deposit, if the futures contract were closed out. Thus, a purchase or sale of a futures contract may result in losses in excess of the amount initially invested in the futures contract. However, the Fund would presumably have sustained comparable losses if, instead of investing in the futures contract, it had invested in the underlying financial instrument and sold it after the decline. Further, if the market for Ducks Index Futures Contracts is in a period of contango, if the performance of the Ducks Index and the price of Ducks Index Futures Contracts were to decline, the Fund would experience the negative impact of contango. The impact of backwardation or contango may lead to the returns of the Fund to vary significantly from the total return of other price references. Additionally, in the event of a prolonged period of contango, and absent the impact of rising or falling pricing in the Ducks Index, this could have a significant negative impact on the Fund’s NAV and total return.

Position Limits and Price Limits

The CFTC and various exchanges on which Ducks Index Futures Contracts trade have established position limits and price limits for Ducks Index Futures Contracts. Position limit regulation and price limit regulation serve distinct purposes and are regulated differently.

Position limits are designed to prevent excessive speculation that could cause sudden or unreasonable fluctuations in the price of a commodity. They limit the maximum number of contracts a person or entity can hold in a particular commodity.

Price limits are mechanisms to maintain orderly markets by restricting the price range within which futures contracts can trade during a trading session. They prevent extreme price movements that could disrupt market stability. Price limits are typically set as a percentage of the previous day's settlement price. When price limits are hit, trading may be halted or expanded depending on the product and regulatory rules. Unlike position limits, price limits do not restrict the number of contracts a trader can hold but rather the price at which those contracts can be traded. When a price limit is hit, the market for Ducks Index Futures Contracts may temporarily halt until price limits can be expanded or trading may be stopped for the day.

If the Fund is unable to buy or sell Ducks Index Futures Contracts as a result of position limits being hit or price limits that result in a halted or closed market—or for other reasons including limited liquidity in the market for Ducks Index Futures Contracts, a disruption to the market for Ducks Index Futures Contracts, or as a result of margin requirements, accountability levels, or other limitations imposed by the Fund’s futures commission merchants (“FCMs”), the listing exchanges, or the CFTC—the Adviser would take such action as it believes appropriate and in the best interest of the Fund in consideration of the facts and circumstances at such time, including: (i) investing in Ducks Index-Linked Instruments that are not Ducks Index Futures Contracts; (ii) requiring that authorized participants purchase and redeem in large blocks of shares called “Creation Units” through an exchange for related position (EFRP) method rather than in cash; (iii) applying increased authorized participant variable transaction fees for purchases or redemptions of Creation Units made in cash; or (iv) de-levering the Fund, relative to its investment objective, by an amount reflecting prevailing price limits. In addition, the Fund generally may suspend the issuance of Creation Units only for a limited time and only due to extraordinary circumstances, such as when the markets on which the ETF’s portfolio holdings are traded are closed for a limited period of time; that is to say, when the Fund is unable to increase its exposure to underlying assets.

Cost of Futures Investment Risk. When a Ducks Index Futures Contract is nearing expiration, the Fund will generally sell it and use the proceeds to buy a Ducks Index Futures Contract with a later expiration date. This is commonly referred to as “rolling”.

If the Fund rolls Ducks Index Futures Contracts that are in contango, the Fund would sell a lower priced, expiring contract and purchase a higher priced, longer-dated contract. The price difference between the expiring contract and longer-dated contract associated with rolling Ducks Index Futures Contracts is typically substantially higher than the price difference associated with rolling other futures contracts. Contango in the market for Ducks Index Futures Contracts may have a significant adverse impact on the performance of the Fund and may cause Ducks Index Futures Contracts and the Fund to underperform the Ducks Index. Both contango and backwardation would reduce the Fund’s correlation to the Ducks Index and may limit or prevent the Fund from achieving its investment objective. The impact of both contango and backwardation may also be greater to the extent the Fund invests in back-month Ducks Index Futures Contracts. 

Investment Capacity Risk. If the Fund’s ability to obtain exposure to Ducks Index Futures Contracts consistent with its investment objective is disrupted for any reason, including but not limited to, limited liquidity in the market for Ducks Index Futures Contracts, a disruption to the market for Ducks Index Futures Contracts, or as a result of margin requirements or position limits imposed by the Fund’s FCMs, the CME, or the CFTC, and the Fund could not otherwise meet its investment objective through the use of other investments discussed above, the Fund would not be able to achieve its investment objective and may experience significant losses.

Liquidity Risk. The market for the Ducks Index Futures Contracts may be subject to periods of illiquidity. During such times it may be difficult or impossible to buy or sell a position at the desired price. Market disruptions or volatility can also make it difficult to find a counterparty willing to transact at a reasonable price and sufficient size. Illiquid markets may cause losses, which could be significant. Large positions also increase the risk of illiquidity, which may make the Fund’s positions more difficult to liquidate, and increase the losses incurred while trying to do so.

Derivatives Risk. In addition to Ducks Index Futures Contracts, the Fund may obtain exposure through the following other derivatives: (1) exchange traded options on Other Investment Companies and/or (2) swap agreement transactions that reference Ducks Index Futures Contracts, Other Investment Companies, or the Ducks Index.

Investing in derivatives may be considered aggressive and may expose the Fund to risks different from, or possibly greater than, the risks associated with investing directly in the reference asset(s) underlying the derivative (e.g., the securities or commodities contained in the Fund). The use of derivatives may result in larger losses or smaller gains than directly investing in securities or commodities. The risks of using derivatives include: (1) the risk that there may be imperfect correlation between the price of the financial instruments and movements in the prices of the reference asset(s); (2) the risk that an instrument is mispriced; (3) credit or counterparty risk on the amount a Fund expects to receive from a counterparty; (4) the risk that securities prices, interest rates and currency markets will move adversely and a Fund will incur significant losses; (5) the risk that the cost of holding a financial instrument might exceed its total return; and (6) the possible absence of a liquid secondary market for a particular instrument and possible exchange imposed price fluctuation limits, either of which may make it difficult or impossible to adjust a Fund’s position in a particular instrument when desired. Each of these factors may prevent a Fund from achieving its investment objective and may increase the volatility (i.e., fluctuations) of the Fund’s returns. Because derivatives often require limited initial investment, the use of derivatives also may expose a Fund to losses in excess of those amounts initially invested.

The performance of any Ducks Index-Linked Instrument may not track the performance of its underlying benchmark due to embedded costs and other factors. Thus, to the extent the Fund invests in swaps that use a Ducks Index-Linked Instrument as the reference asset, the Fund may be subject to greater correlation risk and may not achieve as high a degree of correlation with its investment objective than if the Fund only used Ducks Index Futures Contracts.

Swap Agreements Risk. The Fund may enter into cash-settled swaps and other derivatives to gain exposure to an underlying asset without actually purchasing such asset. Swaps are two-party contracts entered into primarily by institutional investors for periods ranging from a day to more than one year. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on a particular pre-determined interest rate, commodity, security, indexes, or other assets or measurable indicators. The primary risks associated with the use of swaps are mispricing or improper valuation, imperfect correlation between movements in the notional amount and the price of the underlying investments, and the failure of a counterparty to perform. If a counterparty’s creditworthiness for an over-the-counter swap declines, the value of the swap would likely decline. Moreover, there is no guarantee that the Fund could eliminate its exposure under an outstanding swap by entering into an offsetting swap with the same or another party. In addition, the Fund may use a combination of swaps on an underlying index.

Options Risk. The Fund may purchase exchange-traded options that reference shares of Other Investment Companies. Transactions in options generally require less capital than equivalent stock transactions. They may return smaller dollar figures but a potentially greater percentage of the investment than equivalent stock transactions. The potential profit is limited to the premium received for the contract. The potential loss can be unlimited. While leverage means the percentage returns can be significant, the amount of cash required is smaller than equivalent stock transactions. It is possible to lose the entire principal invested, and sometimes more. As an options holder, a Fund risks the entire amount of the premium it pays. But as an options writer, it takes on a much higher level of risk. For example, if the Fund writes an uncovered call, it faces unlimited potential loss, since there is no cap on how high a stock price can rise. When buying options, a Fund risks losing the premium paid, plus commissions and fees.

Reverse Repurchase Agreements Risk. The Fund may invest in reverse repurchase agreements. Reverse repurchase agreements are transactions in which the Fund sells portfolio securities to financial institutions such as banks and broker-dealers, and agrees to repurchase them at a mutually agreed-upon date and price which is higher than the original sale price. Reverse repurchase agreements are a form of leverage and the use of reverse repurchase agreements by the Fund may increase the Fund’s volatility. The Fund incurs costs, including interest expenses, in connection with the opening and closing of reverse repurchase agreements that will be borne by the shareholders.

Reverse repurchase agreements are also subject to the risk that the other party to the reverse repurchase agreement will be unable or unwilling to complete the transaction as scheduled, which may result in losses to the Fund. In situations where the Fund is required to post collateral with a counterparty, the counterparty may fail to segregate the collateral or may commingle the collateral with the counterparty’s own assets. As a result, in the event of the counterparty’s bankruptcy or insolvency, the Fund’s collateral may be subject to the conflicting claims of the counterparty’s creditors, and the Fund may be exposed to the risk of a court treating the Fund as a general unsecured creditor of the counterparty, rather than as the owner of the collateral. There can be no assurance that a counterparty will not default and that the Fund will not sustain a loss on a transaction as a result.

Reverse repurchase agreements also involve the risk that the market value of the securities sold by the Fund may decline below the price at which it is obligated to repurchase the securities. In addition, when the Fund invests the proceeds it receives in a reverse repurchase transaction, there is a risk that those investments may decline in value. In this circumstance, the Fund could be required to sell other investments in order to meet its obligations to repurchase the securities.

Risks Related to Investing in Other Investment Companies. The Fund may invest in long or short positions in Other Investment Companies (i.e., investment companies registered under the 1940 Act that invest in similar assets to those in which the Fund may invest). Investing in Other Investment Companies may involve duplication of advisory or management fees and certain other expenses. By investing in Other Investment Companies, the Fund becomes a shareholder of that Other Investment Company. As a result, Fund shareholders indirectly bear the Fund’s proportionate share of the fees and expenses paid by shareholders of the Other Investment Company, in addition to the fees and expenses Fund shareholders bear in connection with the Fund’s own operations. As a shareholder, the Fund must rely on the Other Investment Company to achieve its investment objective. The Fund’s performance may be magnified positively or negatively by virtue of its investment in the Other Investment Company. If the Other Investment Company fails to achieve its investment objective, the value of the Fund’s investment could decline, thus affecting the Fund’s performance. In addition, because certain Other Investment Company shares are listed on national stock exchanges and are traded like stocks on an exchange, their shares potentially may trade at a discount or a premium. Investments in such shares may be subject to brokerage and other trading costs, which could result in greater expenses to the Fund. Finally, because the value of certain Other Investment Company shares may depend on the demand in the market, the Adviser may not be able to liquidate the Fund’s holdings in those shares at the most optimal time, adversely affecting the Fund’s performance.

Collateral Investments Risk. The Fund’s use of Collateral Investments may include obligations issued or guaranteed by the U.S. Government, its agencies and instrumentalities, including bills, notes and bonds issued by the U.S. Treasury, investment companies registered under the 1940 Act that invest in high-quality securities and corporate debt securities, such as commercial paper.

Some securities issued or guaranteed by federal agencies and U.S. Government-sponsored instrumentalities may not be backed by the full faith and credit of the United States, in which case the investor must look principally to the agency or instrumentality issuing or guaranteeing the security for ultimate repayment, and may not be able to assert a claim against the United States itself in the event that the agency or instrumentality does not meet its commitment. The U.S. Government, its agencies and instrumentalities do not guarantee the market value of their securities, and consequently, the value of such securities may fluctuate. Although the Fund may hold securities that carry U.S. Government guarantees, these guarantees do not extend to the Shares.

Investment companies that invest in high-quality securities are subject to management fees and other expenses. Therefore, investments in these funds will cause the Fund to bear indirectly a proportional share of the fees and costs of the funds in which it invests. At the same time, the Fund will continue to pay its own management fees and expenses with respect to all of its assets, including any portion invested in the shares of such fund. It is possible to lose money by investing in investment companies that invest in high-quality securities.

Corporate debt securities such as commercial paper generally are short-term unsecured promissory notes issued by businesses. Corporate debt may carry variable or floating rates of interest. Corporate debt securities carry both credit risk and interest rate risk. Credit risk is the risk that the Fund could lose money if the issuer of a corporate debt security is unable to pay interest or repay principal when it is due.

Asset Concentration Risk. Since the Fund may take concentrated positions in Ducks Index Futures Contracts, the Fund’s performance may be hurt disproportionately and significantly by the poor performance of those positions to which it has significant exposure. Asset concentration makes the Fund more susceptible to any single occurrence affecting the underlying positions and may subject the Fund to greater market risk than more diversified funds.

Counterparty Risk. The Fund will be subject to credit risk (i.e., the risk that a counterparty is unwilling or unable to make timely payments or otherwise meet its contractual obligations) with respect to the amount the Fund expects to receive from counterparties to: Ducks Index Futures Contracts; reverse repurchase agreements; swaps on Ducks Index Futures Contracts, Other Investment Companies, or the Ducks Index.

The Fund may be negatively impacted if a counterparty becomes bankrupt or otherwise fails to perform its obligations under such an agreement. The Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding and the Fund may obtain only limited recovery or may obtain no recovery in such circumstances. In order to attempt to mitigate potential counterparty credit risk, the Fund typically enters into transactions with major financial institutions.

The counterparty to an exchange-traded futures contract is subject to the credit risk of the clearing house and the FCM through which it holds its position. Specifically, the FCM or the clearing house could fail to perform its obligations, causing significant losses to the Fund. For example, the Fund could lose margin payments it has deposited with an FCM as well as any gains owed but not paid to the Fund, if the FCM or clearing house becomes insolvent or otherwise fails to perform its obligations. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. Under current CFTC regulations, a FCM maintains customers’ assets in a bulk segregated account. If a FCM fails to do so, or is unable to satisfy a substantial deficit in a customer account, its other customers may be subject to risk of loss of their funds in the event of that FCM’s bankruptcy. In that event, in the case of futures, the FCM’s customers are entitled to recover, even in respect of property specifically traceable to them, only a proportional share of all property available for distribution to all of that FCM’s customers. In addition, if the FCM does not comply with the applicable regulations, or in the event of a fraud or misappropriation of customer assets by the FCM, the Fund could have only an unsecured creditor claim in an insolvency of the FCM with respect to the margin held by the FCM. FCMs are also required to transfer to the clearing house the amount of margin required by the clearing house, which amount is generally held in an omnibus account at the clearing house for all customers of the FCM. In addition, the Fund may enter into futures contracts and repurchase agreements with a limited number of counterparties, which may increase the Fund’s exposure to counterparty credit risk. The Fund does not specifically limit its counterparty risk with respect to any single counterparty.

Further, there is a risk that no suitable counterparties are willing to enter into reverse repurchase agreements with the Fund, or continue to enter into, reverse repurchase agreement transactions with the Fund and, as a result, the Fund may not be able to achieve its investment objective. There is also the risk that the Fund may not be able to engage in reverse repurchase agreement transactions because suitable counterparties refuse to enter into transactions with the Fund. Contractual provisions and applicable law may prevent or delay the Fund from exercising its rights to terminate an investment or transaction with a financial institution experiencing financial difficulties, or to realize on collateral, and another institution may be substituted for that financial institution without the consent of the Fund. If the credit rating of a counterparty to a futures contract and/or repurchase agreement declines, the Fund may nonetheless choose or be required to keep existing transactions in place with the counterparty, in which event the Fund would be subject to any increased credit risk associated with those transactions. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the possibility exists that the Fund’s ability to exercise remedies, such as the termination of transactions, netting of obligations and realization on collateral, could be stayed or eliminated under special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide government authorities with broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, the regulatory authorities could reduce, eliminate, or convert to equity the liabilities to the Fund of a counterparty who is subject to such proceedings in the European Union (sometimes referred to as a “bail in”).

Credit Risk. An issuer or other obligated party of a debt security may be unable or unwilling to make dividend, interest and/or principal payments when due. In addition, the value of a debt security may decline because of concerns about the issuer’s ability or unwillingness to make such payments.

Debt Securities Risk. Investments in debt securities subject the holder to the credit risk of the issuer. Credit risk refers to the possibility that the issuer or other obligor of a security will not be able or willing to make payments of interest and principal when due. Generally, the value of debt securities will change inversely with changes in interest rates. To the extent that interest rates rise, certain underlying obligations may be paid off substantially slower than originally anticipated and the value of those securities may fall sharply. During periods of falling interest rates, the income received by the Fund may decline. If the principal on a debt security is prepaid before expected, the prepayments of principal may have to be reinvested in obligations paying interest at lower rates. Debt securities generally do not trade on a securities exchange making them generally less liquid and more difficult to value than common stock.

Interest Rate Risk. Interest rate risk is the risk that the value of the debt securities in the Fund’s portfolio will decline because of rising market interest rates. Interest rate risk is generally lower for shorter term debt securities and higher for longer-term debt securities. Duration is a reasonably accurate measure of a debt security’s price sensitivity to changes in interest rates and a common measure of interest rate risk. Duration measures a debt security’s expected life on a present value basis, taking into account the debt security’s yield, interest payments and final maturity. In general, duration represents the expected percentage change in the value of a security for an immediate 1% change in interest rates. For example, the price of a debt security with a three-year duration would be expected to drop by approximately 3% in response to a 1% increase in interest rates. Therefore, prices of debt securities with shorter durations tend to be less sensitive to interest rate changes than debt securities with longer durations. As the value of a debt security changes over time, so will its duration.

Clearing Broker Risk. The Fund’s investments in exchange-traded futures contracts expose it to the risks of a clearing broker (or a FCM). Under current regulations, a clearing broker or FCM maintains customers’ assets in a bulk segregated account. There is a risk that Fund assets deposited with the clearing broker to serve as margin may be used to satisfy the broker’s own obligations or the losses of the broker’s other clients. In the event of default, the Fund could experience lengthy delays in recovering some or all of its assets and may not see any recovery at all. Furthermore, the Fund is subject to the risk that no FCM is willing or able to clear the Fund’s transactions or maintain the Fund’s assets. If the Fund’s FCMs are unable or unwilling to clear the Fund’s transactions, or if the FCM refuses to maintain the Fund’s assets, the Fund will be unable to have its orders for Ducks Index Futures Contracts fulfilled or assets custodied. In such a circumstance, the performance of the Fund will likely deviate from the performance of changes in the Ducks Index and may result in the proportion of Ducks Index Futures Contracts in the Fund’s portfolio relative to the total assets of the Fund to decrease.

Non-Diversification Risk. The Fund is classified as a “non-diversified company” under the 1940 Act. As a result, the Fund is only limited as to the percentage of its assets which may be invested in the securities of any one issuer by the diversification requirements imposed by the Code. The Fund may invest a relatively high percentage of its assets in a limited number of issuers. As a result, the Fund may be more susceptible to a single adverse economic or regulatory occurrence affecting one or more of these issuers, experience increased volatility and be highly invested in certain issuers.

Risks Related to the Management of the Fund

Active Management Risk. The Fund is actively managed, and its performance reflects investment decisions that the Adviser makes for the Fund. Such judgments about the Fund’s investments may prove to be incorrect. If the investments selected and the strategies employed by the Fund fail to produce the intended results, the Fund could underperform as compared to other funds with similar investment objectives and/or strategies, or could have negative returns.

Frequent Trading Risk. The Fund regularly purchases and subsequently sells (i.e., “rolls”) individual futures contracts throughout the year so as to maintain a fully invested position. As the contracts near their expiration dates, the Fund rolls them over into new contracts. This frequent trading of contracts may increase the amount of commissions or mark-ups to broker-dealers that the Fund pays when it buys and sells contracts, which may detract from the Fund’s performance. High portfolio turnover may result in the Fund paying higher levels of transaction costs and may generate greater tax liabilities for shareholders. Frequent trading risk may cause the Fund’s performance to be less than expected.

Rebalancing Risk. If for any reason the Fund is unable to rebalance all or a portion of its portfolio, or if all or a portion of the portfolio is rebalanced incorrectly, the Fund may be over- or under-exposed to the returns of the Ducks Index. Additionally, because the market for Ducks Index Futures Contracts is nascent and may be thinly traded, the Fund’s own trading activity, including purchases, sales, and rolling of contracts, could materially influence the prices of Ducks Index Futures Contracts. If the Fund represents a significant portion of the open interest or trading volume, its activity could move prices against it, resulting in higher costs and reduced returns. If other market participants anticipate the Fund’s trading patterns, they may engage in front-running or other anticipatory trading strategies that further increase the Fund’s transaction costs. The trading activity associated with such transactions will contribute to the existing trading volume on the underlying futures contracts and may adversely affect the market price of such underlying futures contracts.

Operational Risk. The Fund is exposed to operational risks 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 and the Adviser seek to reduce these operational risks through controls and procedures. However, these measures do not address every possible risk and may be inadequate to address these risks.

Valuation Risk. The Fund or the Subsidiary may hold securities or other assets that may be valued on the basis of factors other than market quotations. This may occur because the asset or security does not trade on a centralized exchange, or in times of market turmoil or reduced liquidity. There are multiple methods that can be used to value a portfolio holding when market quotations are not readily available. The value established for any portfolio holding at a point in time might differ from what would be produced using a different methodology or if it had been priced using market quotations. Portfolio holdings that are valued using techniques other than market quotations, including “fair valued” assets or securities, may be subject to greater fluctuation in their valuations from one day to the next than if market quotations were used. In addition, there is no assurance that the Fund or the Subsidiary could sell or close out a portfolio position for the value established for it at any time, and it is possible that the Fund or the Subsidiary would incur a loss because a portfolio position is sold or closed out at a discount to the valuation established by the Fund or the Subsidiary at that time. The Fund’s ability to value investments may be impacted by technological issues or errors by pricing services or other third-party service providers.

New Fund Risk. As of the date of this prospectus, the Fund has no operating history and currently has fewer assets than larger funds. Like other new funds, large inflows and outflows may impact the Fund’s market exposure for limited periods of time. This impact may be positive or negative, depending on the direction of market movement during the period effected.

Risks Related to Trading of Shares

Trading Issues Risk. 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. The Fund may have difficulty maintaining its listing on the Exchange in the event the Fund’s assets are small, the Fund does not have enough shareholders, or if the Fund is unable to proceed with creation and/or redemption orders.

Authorized Participant Concentration Risk. Only an “authorized participant” or “AP” (i.e., broker-dealers and large institutional investors that have entered into participation agreement with the Fund) may engage in creation or redemption transactions directly with the Fund. The Fund has a limited number of institutions that act as APs on an agency basis (i.e. on behalf of other market 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 AP is able to step forward to create or redeem, in either of these cases, Shares may trade at a discount to the Fund’s net asset value and possibly face delisting.

Market Maker Risk. If the Fund has lower average daily trading volumes, it may rely on a small number of third-party market makers to provide a market for the purchase and sale of Shares. Any trading halt or other problem relating to the trading activity of these market makers could result in a dramatic change in the spread between the Fund’s net asset value and the price at which the Shares are trading on the Exchange, which could result in a decrease in value of the Shares. In addition, decisions by market makers or APs to reduce their role or step away from these activities in times of market stress could inhibit the effectiveness of the arbitrage process in maintaining the relationship between the underlying values of the Fund’s portfolio securities and the Fund’s market price. This reduced effectiveness could result in Shares trading at a discount to net asset value and also in greater than normal intra-day bid-ask spreads for Shares.

Premium/Discount Risk. The market price of the Fund’s Shares will generally fluctuate in accordance with changes in the Fund’s net asset value as well as the relative supply of and demand for Shares on the Exchange. The Fund’s market price may deviate from the value of the Fund’s underlying portfolio holdings, particularly in time of market stress, with the result that investors may pay more or receive less than the underlying value of the Shares bought or sold. The Adviser cannot predict whether Shares will trade below, at, or above their net asset value because the Shares trade on the Exchange at market prices and not at net asset value. 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, but not identical, to the same forces influencing the prices of the holdings of the Fund trading individually or in the aggregate at any point in time. However, given that Shares can only be purchased and redeemed in Creation Units, and only to and from broker-dealers and large institutional investors that have entered into participation agreements (unlike shares of closed-end funds, which frequently trade at appreciable discounts from, and sometimes at premiums to, their net asset value), the Adviser believes that large discounts or premiums to the net asset value of Shares should not be sustained. In addition, because the Fund provides exposure to the statistical performance of a single professional sports team, demand for Shares may be influenced by fan loyalty, emotional attachment, and team-related sentiment rather than by rational assessments of the Fund’s expected risk-adjusted returns. These demand patterns could increase intraday volatility in Fund Shares, widen bid-ask spreads, and result in investors purchasing or selling Shares at prices that do not reflect the Fund’s underlying NAV. During stressed market conditions, the market for the Fund’s Shares may become less liquid in response to deteriorating liquidity in the market for the Fund’s underlying portfolio holdings, which could in turn lead to differences between the market price of the Fund’s Shares and their net asset value. This can be reflected as a spread between the bid and ask prices for the Fund quoted during the day or a premium or discount in the closing price from the Fund’s NAV.

Active Market Risk. Although the Shares are listed for trading on the Exchange, there can be no assurance that an active trading market for the Shares will develop or be maintained. Shares trade on the Exchange at market prices that may be below, at or above the Fund’s net asset value. Securities, including the Shares, are subject to market fluctuations and liquidity constraints that may be caused by such factors as economic, political, or regulatory developments, changes in interest rates, and/or perceived trends in securities prices. Shares of the Fund could decline in value or underperform other investments.

Cash Transaction Risk. Most ETFs generally make in-kind redemptions to avoid being taxed at the fund level on gains on the distributed portfolio securities. However, unlike most ETFs, the Fund currently intends to effect some or all redemptions for cash, rather than in-kind, because of the nature of the Fund’s investments. The Fund may be required to sell portfolio securities to obtain the cash needed to distribute redemption proceeds, which involves transaction costs that the Fund may not have incurred had it effected redemptions entirely in kind. These costs may include brokerage costs and/or taxable gains or losses, which may be imposed on the Fund and decrease the Fund’s NAV to the extent such costs are not offset by a transaction fee payable to an AP. If the Fund recognizes gain on these sales, this generally will cause the Fund to recognize gain it might not otherwise have recognized if it were to distribute portfolio securities in-kind, or to recognize such gain sooner than would otherwise be required. This may decrease the tax efficiency of the Fund compared to ETFs that utilize an in-kind redemption process, and there may be a substantial difference in the after-tax rate of return between the Fund and other ETFs.

Risks Related to Regulation, External Factors, and Federal Income Tax Consequences

Tax Risk. The Fund intends to elect and to qualify each year to be treated as a RIC under Subchapter M of the Code. As a RIC, the Fund will not be subject to U.S. federal income tax on the portion of its net investment income and net capital gain that it distributes to shareholders, provided that it satisfies certain requirements of the Code. If the Fund does not qualify as a RIC for any taxable year and certain relief provisions are not available, the Fund’s taxable income will be subject to tax at the Fund level and to a further tax at the shareholder level when such income is distributed. Additionally, buying securities shortly before the record date for a taxable dividend or capital gain distribution is commonly known as “buying the dividend.” In the event a shareholder purchases Shares shortly before such a distribution, the entire distribution may be taxable to the shareholder even though a portion of the distribution effectively represents a return of the purchase price. To comply with the asset diversification test applicable to a RIC, the Fund will limit its investments in the Subsidiary to 25% of the Fund’s total assets at the end of each tax quarter. The investment strategy of the Fund will cause the Fund to hold substantially more than 25% of the Fund’s total assets in investments in the Subsidiary the majority of the time. The Fund intends to manage the exposure to the Subsidiary so that the Fund’s investments in the Subsidiary do not exceed 25% of the total assets at the end of any tax quarter. If the Fund’s investments in the Subsidiary were to exceed 25% of the Fund’s total assets at the end of a tax quarter, the Fund, generally, has a grace period to cure such lack of compliance. If the Fund fails to timely cure, it may no longer be eligible to be treated as a RIC.

Because Ducks Index Futures Contracts produce non-qualifying income for purposes of qualifying as a RIC, the Fund makes its investments in Ducks Index Futures Contracts through the Subsidiary. The Fund intends to treat any income it may derive from the futures contracts received by the Subsidiary as “qualifying income” under the provisions of the Code applicable to RICs. The IRS has issued PLRs provided to third parties not associated with the Fund or its affiliates (which only those parties may rely on as precedent) concluding that similar arrangements resulted in qualifying income. Many of such PLRs have now been revoked by the IRS. In March of 2019, the Internal Revenue Service published Regulations that concluded that income from a corporation similar to the Subsidiary would be qualifying income, if the income is related to the Fund’s business of investing in stocks or securities. Although the Regulations do not require distributions from the Subsidiary, the Fund intends to cause the Subsidiary to make distributions that would allow the Fund to make timely distributions to its shareholders. The Fund generally will be required to include in its own taxable income the income of the Subsidiary for a tax year, regardless of whether the Fund receives a distribution of the Subsidiary’s income in that tax year, and this income would nevertheless be subject to the distribution requirement for qualification as a RIC and would be taken into account for purposes of the 4% excise tax.

If, in any year, the Fund were to fail to qualify for the special tax treatment accorded a RIC and its shareholders, and were ineligible to or were not to cure such failure, the Fund would be taxed in the same manner as an ordinary corporation subject to U.S. federal income tax on all its income at the fund level. The resulting taxes could substantially reduce the Fund’s net assets and the amount of income available for distribution. In addition, in order to requalify for taxation as a RIC, the Fund could be required to recognize unrealized gains, pay substantial taxes and interest, and make certain distributions.

Subsidiary Regulatory Investment Risk. Changes in the laws of the United States and/or the Cayman Islands, under which the Fund and the Subsidiary are organized, respectively, could result in the inability of the Fund to operate as intended and could negatively affect the Fund and its shareholders. The Subsidiary is not registered under the 1940 Act and is not subject to all the investor protections of the 1940 Act. However, as the Subsidiary is wholly-owned by the Fund, and the investors of the Fund will have the investor protections of the 1940 Act, the Fund as a whole—including the Subsidiary—will provide investors with 1940 Act protections.

Commodity Regulatory Risk. The Fund’s use of commodity futures subject to regulation by the CFTC has caused the Fund to be classified as a “commodity pool” and this designation requires that the Fund comply with CFTC rules, which may impose additional regulatory requirements and compliance obligations. The Fund’s investment decisions may need to be modified, and commodity contract positions held by the Fund may have to be liquidated at disadvantageous times or prices, to avoid exceeding any applicable position limits established by the CFTC, potentially subjecting the Fund to substantial losses. The regulation of commodity transactions in the United States is subject to ongoing modification by government, self-regulatory and judicial action. The effect of any future regulatory change with respect to any aspect of the Fund is impossible to predict, but could be substantial and adverse to the Fund.

Regulatory Risk. The regulatory framework governing sports-linked financial instruments is evolving and subject to significant uncertainty. Ducks Index Futures Contracts are a novel instrument class for which there is limited regulatory precedent. The CFTC has broad discretionary authority to determine whether particular contracts are consistent with the public interest, including authority to disapprove or direct an exchange to delist contracts that the CFTC determines involve gaming, are unlawful, or otherwise run contrary to the purposes of the CEA. The CFTC has recently proposed amendments to its rules concerning event contracts, commonly referred to as prediction markets, to specify which contracts may be determined contrary to the public interest and therefore may not be listed for trading or accepted for clearing on or through a CFTC-regulated entity. The CFTC or the listing exchange could, at any time and without advance notice, impose new conditions, margin or position-limit requirements, reporting obligations, trading halts, settlement adjustments, or delisting actions. Any such changes could, among other things; (i) impair the Fund’s ability to establish, maintain, or close positions; (ii) require the Fund to liquidate positions at disadvantageous prices; (iii) alter the economic characteristics on which the Fund relies; or (iv) render the Fund’s principal investment strategy impractical. In addition, future legislative, judicial, or administrative developments could retroactively affect the permissibility, settlement mechanics, or availability of Ducks Index Futures Contracts. These developments may occur abruptly and may not provide mechanisms for investor recourse or for the orderly unwind of positions. There can be no assurance that the regulatory environment for sports-linked financial instruments will remain stable or favorable.

Cyber Security Risk. The Fund is susceptible to operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional events that may cause the Fund to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause the Fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. Cyber security breaches may involve unauthorized access to the Fund’s digital information systems through “hacking” or malicious software coding, but may also result from outside attacks such as denial-of-service attacks through efforts to make network services unavailable to intended users. In addition, cyber security breaches of the Fund’s third-party service providers, such as its administrator, transfer agent, or custodian, as applicable, or issuers in which the Fund invests, can also subject the Fund to many of the same risks associated with direct cyber security breaches. While the Fund has established business continuity plans and risk management systems designed to reduce the risks associated with cyber security, there are inherent limitations in such plans and systems. Additionally, there is no guarantee that such efforts will succeed, especially because the Fund does not directly control the cyber security systems of issuers or third-party service providers.

Natural Disaster/Epidemic Risk. Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks, and result in significant breakdowns, delays, shutdowns, social isolation, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Fund and its investments. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy of financial projections. Under these circumstances, the Fund may have difficulty achieving its investment objectives which may adversely impact Fund performance. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Fund’s investment advisor, third party service providers, and counterparties), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Fund’s investments. These factors can cause substantial market volatility, exchange trading suspensions and closures, changes in the availability of and the margin requirements for certain instruments, and can impact the ability of the Fund to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market. A widespread crisis would also affect the global economy in ways that cannot necessarily be foreseen. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these could have a significant impact on the Fund’s performance, resulting in losses to your investment.

Performance

As of the date of this prospectus, the Fund has not yet commenced operations and therefore does not have a performance history. Once available, the Fund’s performance information will be accessible on the Fund’s website at www.volatilityshares.com and will provide some indication of the risks of investing in the Fund.

Management

Investment Adviser

Volatility Shares LLC 

Portfolio Managers

The following persons serve as portfolio managers of the Fund. 

Each of the portfolio managers is primarily and jointly responsible for the day-to-day management of the Fund. Each of the Fund’s portfolio managers have served in such capacity since the Fund’s inception.

Purchase and Sale of Shares

The Fund issues and redeems Shares on a continuous basis, at NAV, only in large blocks of shares called “Creation Units.” Individual Shares may only be purchased and sold on the secondary market through a broker-dealer at a market price. Since Shares trade on securities exchanges in the secondary market at their market price rather than their NAV, the Shares may trade at a price greater than (premium) or less than (discount) the Fund’s NAV. An investor may incur costs attributable to the difference between the highest price a buyer is willing to pay to purchase Shares (bid) and the lowest price a seller is willing to accept for Shares (ask) when buying or selling Shares in the secondary market (the “bid-ask spread”). Recent information, including the Fund’s NAV, market price, premiums and discounts, and bid-ask spreads, is available online at www.volatilityshares.com.

Tax Information

The Fund’s distributions will generally be taxable as ordinary income, returns of capital or capital gains. A sale of Shares may result in capital gain or loss.

Payments to Broker-Dealers and Other Financial Intermediaries

If you purchase Shares through a broker-dealer or other financial intermediary (such as a bank), the Adviser and Foreside Fund Services, LLC, the Fund’s distributor (the “Distributor”), may pay the intermediary for the sale of Shares and 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.

Boston Bruins ETF

Investment Objective

The Boston Bruins ETF (the “Fund” or “[__]”) seeks to provide investment results, before fees and expenses, that correspond to the performance of futures contracts on the CME FSPI NHL Boston Bruins Index.

Fees and Expenses of the Fund

This table describes the fees and expenses that you may pay if you buy, hold and sell Shares. Investors may pay other fees, such as brokerage commissions and other fees to financial intermediaries, which are not reflected in the table and example set forth below.

Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment)

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 assumes that you invest $10,000 in the Fund for the time periods indicated and then sell all of your Shares at the end of those periods. The example also assumes that your investment has a 5% return each year and that the Fund’s operating expenses remain at current levels. This example does not include the brokerage commissions that investors may pay to buy and sell Shares.

Although your actual costs may be higher or lower, your costs, based on these assumptions, would be:

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 will cause the Fund to incur additional transaction costs and may result in higher taxes when Shares are held in a taxable account. These costs, which are not reflected in Total Annual Fund Operating Expenses or in the example, may affect the Fund’s performance. Because the Fund is new, portfolio turnover information is unavailable at this time.

Principal Investment Strategies 

The Fund is an exchange-traded fund (“ETF”) that seeks to achieve its investment objective primarily through investments in futures contracts on the CME FSPI NHL Boston Bruins Index, which is a non-investable index (the “Bruins Index”). The Bruins Index is designed to systemically measure the cumulative team performance of the Boston Bruins only during games played over the regular and post-season. The Bruins Index is a transparent, rules-based system using official league statistics, where positive actions add points and negative actions subtract points. The Bruins Index is based on fifty-five statistical measures of performance and results of team games (wins, losses and ties) that results in continuous, live statistical values that underpin the value of the Bruins Index which is calculated into a trackable and tradable number. The Bruins Index is based solely on these statistical factors, and the performance of other professional hockey teams in the National Hockey League^® (the “NHL”), or events outside of on-ice performance by the Boston Bruins, will not impact the value of the Bruins Index.

The Bruins Index has an initial standardized base value of 7,500 before the season and moves up or down based on officially reported statistics from each game, including real-time movement during regular season and postseason play. At the conclusion of the postseason, the Bruins Index value resets to 7,500.

The Bruins Index is maintained and calculated by FutureSports (the “Index Provider”). The Bruins Index methodology is designed to align with the International Organization of Securities Commissions (“IOSCO”) Principles for Financial Benchmarks and supported by published governance, oversight and methodology change procedures. The NHL serves as the official data source for the Bruins Index but does not participate in index determination or governance.

The Fund obtains exposure to the Bruins Index by investments in futures contracts that reference the Bruins Index and that trade on an exchange registered with the Commodity Futures Trading Commission (“Bruins Index Futures Contracts”), and cash, cash-like instruments or high quality securities that serve as collateral to the Fund’s investments in Bruins Index Futures Contracts (“Collateral Investments”).

Under normal circumstances, the Fund will invest at least 80% of the value of its net assets (plus borrowings for investment purposes) in Bruins Index-Linked Instruments. For purposes of this policy, “Bruins Index-Linked Instruments” means (i) Bruins Index Futures Contracts; (ii) shares of other investment companies registered under the Investment Company Act of 1940 (the “1940 Act”) that invest in similar assets to those in which the Fund may invest (“Other Investment Companies”); (iii) exchange traded options on the Bruins Index or shares of Other Investment Companies; and (iv) swap agreement transactions that reference Bruins Index Futures Contracts, Other Investment Companies, or the Bruins Index. Certain Bruins Index-Linked Instruments, such as Other Investment Companies or options thereon, are currently unavailable for investment, though are expected to become available in the future.

The Fund expects to gain investment exposure to the Bruins Index by investing a portion of its assets in a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands (the “Subsidiary”).

The Fund does not invest directly in prediction markets, event contracts or other instruments that provide exposure to individual sporting event or season-long outcomes or to investments that provide exposure to the financial performance of individual sports teams or leagues. Instead, the Fund seeks to benefit from increases in the price of Bruins Index Futures Contracts.

The investment adviser to the Fund and the Subsidiary is Volatility Shares LLC (the “Adviser” or “Volatility Shares”). The Adviser oversees the Fund and implements the day-to-day portfolio management responsibilities for the Fund. In serving as investment adviser to the Fund, the Adviser does not conduct conventional investment research or analysis or forecast market movement or trends.

The Fund is classified as a “non-diversified company” under the 1940 Act. The Fund will not concentrate its investments in securities of issuers in any industry or group of industries, as the term “concentrate” is used in the 1940 Act, except that the Fund may invest more than 25% of its total assets in Bruins Index-Linked Instruments.

The Boston Bruins

The Boston Bruins are a professional ice hockey team based in Boston, Massachusetts, competing in the Atlantic Division of the NHL’s Eastern Conference. During the 2025–2026 season, the Bruins finished fourth in the Atlantic Division, ranking 8th in standings points, 12th in goals for, 13th in goals against, and 31th in goal differential. The Bruins were founded in 1924 by grocery store magnate Charles Adams. The Bruins are currently owned by the Jacobs family, with Jeremy Jacobs serving as Chairman since 1975. The team has won six Stanley Cup championships, capturing titles in 1929, 1939, 1941, 1970, 1972, and 2011. Neither the Fund, the Trust, nor the Adviser is affiliated with the Boston Bruins.

Bruins Index Futures Contracts

The Fund intends to typically enter into cash-settled Bruins Index Futures Contracts as the “buyer,” except as detailed below.

In simplest terms, in a cash-settled futures market the counterparty pays cash to the buyer if the price of a futures contract goes up, and buyer pays cash to the counterparty if the price of the futures contract goes down. In order to maintain its exposure to the Bruins Index, the Fund intends to exit its futures contracts as they near expiration and replace them with new futures contracts with a later expiration date. Futures contracts with a longer term to expiration may be priced higher than futures contracts with a shorter term to expiration, a relationship called “contango”. When rolling futures contracts that are in contango the Fund will close its long position by selling the shorter-term contract at a relatively lower price and buying a longer-dated contract at a relatively higher price. The presence of contango will adversely affect the performance of the Fund. Conversely, futures contracts with a longer term to expiration may be priced lower than futures contracts with a shorter term to expiration, a relationship called “backwardation”. When rolling long futures contracts that are in backwardation, the Fund will close its long position by selling the shorter-term contract at a relatively higher price and buying a longer-dated contract at a relatively lower price. The presence of backwardation may positively affect the performance of the Fund. Further, the returns of the Bruins Index Futures Contracts may differ from that of the Bruins Index due to the divergence in prices or the costs associated with investing in futures contracts, which may negatively impact the Fund’s returns.

The Fund invests in Bruins Index Futures Contracts indirectly via the Subsidiary. The Subsidiary and the Fund will have the same investment adviser and investment objective. The Subsidiary will also follow the same general investment policies and restrictions as the Fund. Except as noted herein, for purposes of this Prospectus, references to the Fund’s investment strategies and risks include those of the Subsidiary. The Fund complies with the provisions of the 1940 Act governing investment policies and capital structure and leverage on an aggregate basis with the Subsidiary. Furthermore, the Adviser, as the investment adviser to the Subsidiary, complies with the provisions of the 1940 Act relating to investment advisory contracts as it relates to its advisory agreement with the Subsidiary. The Subsidiary also complies with the provisions of the 1940 Act relating to affiliated transactions and custody. Because the Fund intends to qualify for treatment as a regulated investment company (a “RIC”) under the Internal Revenue Code of 1986 (the “Code”), the size of the Fund’s investment in the Subsidiary will not exceed 25% of the Fund’s total assets at or around each quarter end of the Fund’s fiscal year. In order to qualify as a RIC, the Fund will have to reduce its exposure to its Subsidiary on or around the end of each of the Fund’s fiscal quarter ends. The Fund expects to reduce its exposure to its Subsidiary during these periods by investing in certain other investments as described below. During these periods, the Fund may not achieve its investment objective. At other times of the year, the Fund’s investments in the Subsidiary will significantly exceed 25% of the Fund’s total assets. The Subsidiary’s custodian is U.S. Bank, N.A.

If circumstances occur where market prices for Bruins Index Futures Contracts were not readily available, the Fund would fair value its Bruins Index Futures Contracts in accordance with its pricing and valuation policy and procedures for fair value determinations. Pursuant to those policies and procedures, the Adviser would consider various factors, such as pricing history; market levels prior to price limits or halts; and supply, demand, and open interest in Bruins Index Futures Contracts, among other factors. The Adviser would document its proposed pricing and methodology, detailing the factors that entered into the valuation.

Collateral Investments

The Fund will also invest its assets in Collateral Investments. The Collateral Investments may consist of high-quality securities, which include: (1) U.S. Government securities, such as bills, notes and bonds issued by the U.S. Treasury; (2) investment companies registered under the 1940 Act that invest in high-quality securities; and/or (3) corporate debt securities, such as commercial paper and other short-term unsecured promissory notes issued by businesses that are rated investment grade or determined by the Adviser to be of comparable quality. For these purposes, “investment grade” is defined as investments with a rating at the time of purchase in one of the four highest categories of at least one nationally recognized statistical rating organization (e.g., BBB- or higher from S&P Global Ratings or Baa3 or higher from Moody’s Investors Service, Inc.).

The Collateral Investments are designed to provide liquidity, serve as margin, or otherwise collateralize the Subsidiary’s investments in Bruins Index-Linked Instruments. The Fund expects that it will primarily invest its assets, and that the Subsidiary will primarily invest its assets, in Collateral Investments that are “securities,” as such term is defined under the 1940 Act.

Other Investments

In order to help the Fund maintain exposure to the Bruins Index, maintain its tax status as a RIC on days in and around quarter-end, help the Fund maintain its desired exposure to Bruins Index Futures Contracts when it is approaching or has exceeded position limits or accountability levels, or because of liquidity or other constraints, the Fund may invest in the following:

Reverse Repurchase Agreements

The Fund may invest in reverse repurchase agreements which are a form of borrowing in which the Fund sells portfolio securities to financial institutions and agrees to repurchase them at a mutually agreed-upon date and price that is higher than the original sale price, and use the proceeds for investment purchases.

As a result of the Fund repurchasing the securities at a higher price, the Fund will lose money by engaging in reverse repurchase agreement transactions.

As noted above, because the Fund intends to qualify for treatment as a RIC under the Code, the size of the Fund’s investment in the Subsidiary will not exceed 25% of the Fund’s total assets at or around each quarter end of the Fund’s fiscal year (the “Asset Diversification Test”). At other times of the year, the Fund’s investments in the Subsidiary will significantly exceed 25% of the Fund’s total (or gross) assets.

When the Fund seeks to reduce its total assets exposure to the Subsidiary, it may use the short-term Treasury Bills it owns (and purchase additional Treasury Bills as needed) to transact in reverse repurchase agreement transactions, which are ostensibly loans to the Fund. Those loans will increase the gross assets of the Fund, which the Adviser expects will allow the Fund to meet the Asset Diversification Test. When the Fund enters into a reverse repurchase agreement, it will either (i) be consistent with Section 18 of the 1940 Act and maintain asset coverage of at least 300% of the value of the reverse repurchase agreement; or (ii) treat the reverse repurchase agreement transactions as derivative transactions for purposes of Rule 18f-4 under the 1940 Act (“Rule 18f-4”), including as applicable, the value-at-risk based limit on leverage risk.

Other Investment Companies

The Fund may invest in shares of Other Investment Companies, that is, shares of investment companies registered under the 1940 Act that invest in similar assets to those in which the Fund may invest.

Exchange-traded option contracts on shares of Other Investment Companies.

The Fund may invest in exchange-listed option contracts on shares of Other Investment Companies, which invest in similar assets to those in which the Fund may invest. An option is a contract that gives the purchaser of the option, in return for the premium paid, the right to buy shares of an investment company, from the writer of the option (in the case of a call option), or to sell shares of the investment company to the writer of the option (in the case of a put option) at a designated price during the term of the option. The premium paid by the buyer of an option will reflect, among other things, the relationship of the exercise price to the market price and the volatility of the shares of the investment company, the remaining term of the option, supply, demand, interest rates and/or currency exchange rates. The Fund may utilize “American” style options or “European” style options. American style options are exercisable on any date prior to the expiration date of the option contract. In contrast, European style options are exercisable only on the expiration date of the option contract.

Swaps that reference Bruins Index Futures Contracts, Other Investment Companies, or the Bruins Index.

Swap contracts are transactions entered into primarily with major global financial institutions for a specified period ranging from a day to more than one year. In a swap transaction, the Fund and a counterparty will agree to exchange or “swap” payments based on the change in value of an underlying asset or benchmark. For example, the two parties may agree to exchange the return (or differentials in rates of returns) earned or realized on a particular investment or instrument. In the case of the Fund, the reference asset can be Bruins Index Futures Contracts, Other Investment Companies or the Bruins Index.

Principal Risks

As with all investments, there are certain risks of investing in the Fund. Shares will change in value, and you could lose money by investing in the Fund. The Fund may not achieve its investment objective. An investment in the Fund does not represent a complete investment program. An investment in the Fund is not a bank deposit and it is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency, the Adviser or any of their affiliates. You should consider carefully the following risks before investing in the Fund.

Each risk noted below is considered a principal risk of investing in the Fund, regardless of the order in which it appears. The significance of each risk factor below may change over time and you should review each risk factor carefully.

Risks Specific to the Fund’s Investments

Investment Strategy Risk. The Fund, through the Subsidiary, invests primarily in Bruins Index Futures Contracts. The Fund does not invest directly in prediction markets, event contracts or other instruments that provide exposure to individual sporting event or season-long outcomes or to investments that provide exposure to the financial performance of individual sports teams or leagues. Instead, the Fund seeks to benefit from increases in the price of Bruins Index Futures Contracts. The price of Bruins Index Futures Contracts may not be an accurate measure of the Bruins Index. Consequently, the Fund may perform differently from the performance of the Bruins Index. There can be no guarantee that the performance of Bruins Index Futures Contracts will be highly correlated to the performance of the Bruins Index. Transaction costs (including the costs associated with futures investing), position limits, the availability of counterparties and other factors may impact the cost and pricing of Bruins Index Futures Contracts and decrease the correlation between the performance of Bruins Index Futures Contracts and the Bruins Index, over short- or long-term periods. In addition, the performance of back-month Bruins Index Futures Contracts is likely to differ more significantly from the performance of the Bruins Index. To the extent the Fund is invested in back-month Bruins Index Futures Contracts, the performance of the Fund should be expected to deviate more significantly from the performance of the Bruins Index. Moreover, because the Bruins Index is uninvestable, the Fund can only gain exposure through futures contracts and other derivatives, and differences between the prices of those instruments and the levels of the Bruins Index may result in the Fund experiencing larger losses or smaller gains than would be implied by changes in the Bruins Index alone.

Sports Performance Risk. The Fund’s investment strategy is inherently speculative. The value of Bruins Index Futures Contracts is derived from the statistical performance of a single professional sports team as measured by the Bruins Index. Successfully investing in Bruins Index Futures Contracts requires that the team tracked by the index performs well statistically over the course of a season, an outcome that is inherently uncertain and subject to numerous unpredictable variables, including player health, competitive dynamics, coaching decisions, and random variation in athletic performance. The Bruins Index may decline in value, and there can be no assurance that the team tracked by the index will perform at or above the levels implied by the prices of Bruins Index Futures Contracts at the time the Fund obtains exposure.

On-Ice Performance and Competitive Results Risk. The Fund’s investment performance is linked to the on-ice statistical performance of a single NHL team during the regular season and, if applicable, the playoffs. The prices of Bruins Index Futures Contracts are expected to rise when the team performs well statistically and to fall when the team performs poorly. Competitive results in professional hockey are inherently unpredictable and can be influenced by factors entirely outside the team’s control, including the performance of opposing teams, referee calls, random puck bounces, weather affecting travel, and in-game injuries. A team may enter a season with high expectations based on roster strength, coaching hires, or offseason acquisitions, only to underperform due to chemistry issues, unexpected injuries to key players, player slumps, or tactical mismatches against divisional opponents. The NHL season extends over several months and includes 82 regular season games per team, during which even a strong team may experience prolonged losing streaks that cause material declines in the Bruins Index. If the team fails to make the playoffs, the Fund will not benefit from any potential uplift in index value that could accompany postseason success. Conversely, early playoff elimination could cause sharp declines in futures prices if the market had priced in deeper postseason performance. Because the Fund is concentrated in a single NHL team, there is no opportunity to offset poor on-ice performance by gaining exposure to a stronger team or a different sport.

Bruins Index Investing Risk. The Fund is indirectly exposed to the risks of the Bruins Index through its investments in Bruins Index Futures Contracts and other Bruins Index-Linked Instruments. The Fund does not invest in the Bruins Index, which is an uninvestable index. The performance of the Bruins Index will be very different from a portfolio of Bruins Index Futures Contracts.

The Bruins Index moves up or down based on officially reported statistics from every game, match, or event throughout the regular season and postseason. Positive statistical actions (e.g., goals scored, points earned) add value to the index, while negative actions (e.g., opponent scoring, penalties or setbacks) subtract value. Poor statistical performance by the Boston Bruins could have a significant negative impact on the level of the Bruins Index and therefore the value of the Fund. In addition, unlike instruments that are based on tradable reference assets, the Bruins Index Futures Contracts and Bruins Index-Linked Instruments are tied to an index that is not directly investable and, thus, have settlement prices based on the calculation of that index, not the price of a tradable asset.

Concentrated Single-Team Exposure Risk. The Fund’s investment strategy results in concentrated exposure to a single professional sports team’s statistical performance (i.e., the Boston Bruins) as measured by an index. Unlike diversified funds that spread risk across multiple asset classes, sectors, or issuers, the Fund’s performance is primarily driven by the statistical output of one team over the course of a season. As a result, the Fund is more susceptible to risks affecting that team, including player injuries, suspensions, trades, retirements, coaching changes, front-office turnover, league sanctions, labor disputes, lockouts, or other events that directly or indirectly influence the team’s on-ice statistical performance. This degree of concentration will likely increase volatility in the Fund’s NAV, heighten the likelihood of significant losses over short periods, and cause the Fund’s returns to diverge substantially from those of more diversified investments. Additionally, because the Fund is concentrated in a single team, it is inherently concentrated in a single professional sports league. This subjects the Fund to league-specific risks, including league-wide labor disputes, broad scandal, changes to the structure or rules of the league, or events that cause the cancellation or suspension of games. The Fund has no ability to rotate exposure into a different team, sport, or league in response to adverse developments affecting the team to which it has exposure.

Insider Trading and Information Asymmetry Risk. Unlike securities markets, which are governed by well-established insider trading prohibitions under the Securities Exchange Act of 1934, the legal framework governing trading on the basis of material, non-public information in the context of commodity futures is less developed. While the CFTC has broad anti-manipulation and anti-fraud authority under the Commodity Exchange Act (“CEA”), specific rules and judicial precedent addressing what constitutes improper trading on non-public information in the context of sports-linked futures remain nascent. Certain individuals may possess material, non-public information that could affect the statistical performance of the Bruins Index and, consequently, the prices of Bruins Index Futures Contracts. Such individuals may include, without limitation, team coaches, players, trainers, team medical staff, front office personnel, referees, officials, league personnel, or sports data providers. For example, undisclosed injuries to key players or undisclosed lineup changes could materially affect the level of the Bruins Index. Such persons could trade Bruins Index Futures Contracts or Fund Shares to profit from their informational advantage prior to public disclosure. There is no guarantee that exchanges, the CME, or the CFTC will successfully detect and prevent such trading, and the Fund has no means of preventing such individuals from purchasing or selling Fund Shares. The participation of informed insiders in the market for Bruins Index Futures Contracts can create adverse selection for other market participants and distort market prices. Because the Fund is concentrated in a single team, the impact of insider trading on the Fund may be more pronounced than in markets with broader diversification.

League Credibility and Sports Integrity Risk. The Bruins Index is calculated based on official league statistics derived from the games of a single professional sports team, and the integrity of those games is fundamental to the reliability of the index. Efforts to interfere with the team’s games, including match-fixing, point-shaving, or referee manipulation, could materially affect the statistical data upon which the Bruins Index is based, create significant uncertainty regarding index levels, and cause pronounced price volatility in Bruins Index Futures Contracts. Confirmed or suspected game interference may also prompt legislative or regulatory responses, including restrictions on sports-linked financial products or emergency rulemaking by the CFTC, that could restrict the listing or trading of Bruins Index Futures Contracts. Even widely publicized allegations of interference, absent actual misconduct, could undermine market confidence in the Bruins Index and the futures contracts that reference it.

Gaming and State Regulatory Litigation Risk. Exchanges that list sports-linked financial instruments, including Bruins Index Futures Contracts, may be subject to legal challenges brought by state attorneys general, state gaming commissions, and other state-level actors asserting that such instruments constitute regulated gambling or gaming activity under state law, notwithstanding that such contracts are listed on a CFTC-regulated exchange. Such proceedings may assert that the listing of sports-linked contracts violates state gaming statutes, requires state gaming or sports wagering licenses, or constitutes an illegal gambling enterprise. These exchanges, and the CFTC in certain court filings, have asserted that the CEA and the CFTC’s exclusive jurisdiction over CFTC-regulated exchanges preempts state gaming regulations. There is no assurance that federal courts will rule in favor of federal preemption, and resolution may require years of litigation and potentially appellate review. An adverse ruling could result in the suspension or cessation of trading in Bruins Index Futures Contracts, material operational restrictions, significant financial penalties, or the effective loss of the ability to list sports-linked futures. Any of these outcomes could materially and adversely affect the Fund’s ability to achieve its investment objective and could result in significant losses.

Platform and Distribution Restriction Risk. Broker-dealers, registered investment adviser platforms, wirehouses, and other financial intermediaries may refuse to list, recommend, or permit purchases of Fund Shares through their platforms due to the Fund’s association with sports performance outcomes and the perception that such products are akin to sports wagering, regardless of the Fund’s legal status as a registered investment company under the 1940 Act. Certain intermediaries may permit only unsolicited purchases, prohibit financial advisers from recommending the Fund, or exclude the Fund from model portfolios entirely. These restrictions could limit the Fund’s accessible investor base, constrain assets under management, reduce secondary market liquidity, widen bid-ask spreads, and increase the likelihood that Fund Shares will trade at significant premiums or discounts to net asset value. Even if an intermediary initially permits distribution, it may subsequently restrict access in response to adverse regulatory developments, reputational concerns, or changes in compliance policies. If a significant number of intermediaries refuse to distribute Fund Shares, the Fund may be unable to achieve sufficient scale, which could increase the Fund’s expense ratio, reduce trading volume, and impair the Fund’s ability to operate effectively.

Novel Market Risk. Bruins Index Futures Contracts are a novel asset class with limited trading history. The market may not develop the depth, liquidity, or trading efficiency associated with more established futures markets, and its pricing may be influenced by factors unrelated to fundamental assessments of team performance, including speculative activity, behavioral biases, regulatory headlines, or concentrated participation by a limited number of traders. There is limited historical data on which to base expectations regarding future price behavior, volatility patterns, or the costs associated with maintaining exposure, and traditional risk metrics may not accurately capture the risks of investing in this market. There can be no assurance that the market for Bruins Index Futures Contracts will achieve or sustain the level of participation, liquidity, and price discovery necessary for the Fund to effectively pursue its investment objective.

Limited Price Discovery and Market Depth Risk. Because Bruins Index Futures Contracts are a newly created instrument class, the market may lack the depth, breadth, and participation necessary for reliable price discovery. Traditional commodity futures markets benefit from decades of participation by commercial hedgers, speculators, and arbitrageurs whose activities contribute to efficient pricing. The market for Bruins Index Futures Contracts is expected to have few, if any, natural commercial hedgers, and may be dominated by retail speculators, algorithmic traders, or a small number of institutional participants. This concentrated participation could result in prices that do not accurately reflect fair value, wider bid-ask spreads, and elevated intraday price volatility. In thin markets, even modest order flow from the Fund could move prices against the Fund, increasing transaction costs and reducing returns. There can be no assurance that the market for Bruins Index Futures Contracts will develop sufficient liquidity over time, and the Fund may be unable to establish or exit positions at prices the Fund considers favorable.

Seasonality and Offseason Risk. The Bruins Index resets to a standardized base value prior to the start of each sports season and has a defined life cycle that ends following the postseason. Because the Fund tracks a single team in a single sport, the Fund is tied to that sport’s competitive calendar and has no ability to diversify across sports or rotate into a sport that is in-season when the team’s sport is not. During the playing season, the Bruins Index moves in real-time based on officially reported game statistics, and the prices of Bruins Index Futures Contracts are expected to reflect both the current index level and market expectations regarding future team performance. During the offseason, however, the Bruins Index will not move because no games are being played, and the Fund’s exposure to Bruins Index Futures Contracts will behave differently than during the playing season. The Fund anticipates maintaining exposure to Bruins Index Futures Contracts during the offseason. Although the underlying index will be static during this period, the prices of Bruins Index Futures Contracts may still fluctuate based on market expectations regarding the team’s prospects for the upcoming season, including coaching changes, player trades, draft picks, free agent signings, injury recovery timelines, training camp developments, and other factors that affect the market’s assessment of the team’s likely statistical performance. However, because the index itself is not moving during the offseason, the magnitude of futures price movements may be reduced relative to the playing season, and the relationship between futures prices and the underlying index level may be less predictable. There can be no assurance that the Fund’s offseason futures holdings will appreciate in value, and the Fund may experience losses during the offseason if market sentiment regarding the team’s upcoming season deteriorates. In addition, there can be no assurance that Bruins Index Futures Contracts will be available in sufficient volume or at favorable pricing during the offseason or at the start of a new season.

League Discontinuation, Lockout, or Strike Risk. The Fund’s ability to invest in Bruins Index Futures Contracts depends on the continued operation of the NHL and the playing of scheduled games. Labor disputes between the NHL and its players’ union could result in a lockout or strike that suspends or cancels all or a significant portion of a season. The NHL has previously experienced work stoppages, including a full-season cancellation in 2004-2005. During any such period, no games would be played, the Bruins Index would not generate data, and trading in Bruins Index Futures Contracts could be suspended or severely impaired. The Fund would be unable to pursue its investment strategy during such a period, may be forced to liquidate positions at disadvantageous prices, and could experience substantial losses. Even after a labor dispute is resolved, the shortened or restructured season could materially change the statistical patterns underlying the index methodology. In addition, force majeure events such as a pandemic, natural disaster, or other circumstances beyond the control of the league could cause widespread game cancellations or delays. There can be no assurance that the league will not experience a work stoppage or other extended interruption during the Fund’s investment period, or that the Fund will be able to recover any losses incurred as a result of such events.

Index Provider and Data Dependency Risk. The Bruins Index is maintained and calculated by a single Index Provider, FutureSports. If the Index Provider were to experience operational failures, cease operations, lose its data feed from the applicable sports league, experience a cybersecurity breach, or otherwise become unable to calculate the Bruins Index, Bruins Index Futures Contracts may have no reliable reference value, which could materially and adversely affect the value of the Fund. In addition, the Bruins Index is calculated solely on the basis of officially reported statistics from a single sports league. The league serves as the data source but does not participate in index determination or governance. If the league were to report incorrect statistics, issue post-game corrections, change how it reports or categorizes statistics, delay reporting, or discontinue the provision of data to the Index Provider, the settlement prices of Bruins Index Futures Contracts could be based on erroneous or incomplete data. Furthermore, the Index Provider controls the methodology by which official statistics are translated into index points. If the Index Provider amends or discontinues its methodology, the behavior of the Bruins Index could change materially and the futures market may not immediately price in such changes. The Bruins Index is calculated in real-time while games are being played, which introduces latency, data-feed, and computational risks that differ from those associated with traditional financial indexes.

Trading Hours and Sporting Event Timing Risk. NHL games may occur during evening hours, on weekends, and on holidays when the Exchange is closed and when the market for Bruins Index Futures Contracts may have limited or no trading activity. Because the Bruins Index moves in real-time while games are being played, material index movements may occur during periods when investors are unable to buy or sell Shares or when Bruins Index Futures Contracts are not actively trading. As a result, the opening price of Shares and the prices of Bruins Index Futures Contracts on the next trading session may differ significantly from the prior session’s closing prices, potentially resulting in large gaps at the open. Shareholders may not be able to sell their Shares until after such a gap has been fully realized, resulting in an inability to mitigate losses in a declining market.

Futures Contracts Risk. Risks of futures contracts include: (i) an imperfect correlation between the value of the futures contract and the underlying asset; (ii) possible lack of a liquid secondary market; (iii) the inability to close a futures contract when desired; (iv) losses caused by unanticipated market movements, which may be unlimited; (v) an obligation for the Fund to make daily cash payments to maintain its required margin, particularly at times when the Fund may have insufficient cash; and (vi) unfavorable execution prices from rapid selling. Unlike equities, which typically entitle the holder to a continuing stake in a corporation, futures contracts normally specify a certain date for settlement in cash based on the reference asset. As the futures contracts approach expiration, they may be replaced by similar contracts that have a later expiration. This process is referred to as “rolling.” If the market for these contracts is in “contango,” meaning that the prices of futures contracts in the nearer months are lower than the price of contracts in the distant months, the sale of the near-term month contract would be at a lower price than the longer-term contract, resulting in a cost to “roll” the futures contract. The actual realization of a potential roll cost will be dependent upon the difference in price of the near and distant contract. Because the margin requirement for futures contracts is less than the value of the assets underlying the futures contract, futures trading involves a degree of leverage. As a result, a relatively small price movement in a futures contract may result in immediate and substantial loss, as well as gain, to the investor. For example, if at the time of purchase, 40% of the value of the futures contract is deposited as margin, a subsequent 20% decrease in the value of the futures contract would result in a loss of half of the margin deposit, before any deduction for the transaction costs, if the account were then closed out. A decrease in excess of 40% would result in a loss exceeding the original margin deposit, if the futures contract were closed out. Thus, a purchase or sale of a futures contract may result in losses in excess of the amount initially invested in the futures contract. However, the Fund would presumably have sustained comparable losses if, instead of investing in the futures contract, it had invested in the underlying financial instrument and sold it after the decline. Further, if the market for Bruins Index Futures Contracts is in a period of contango, if the performance of the Bruins Index and the price of Bruins Index Futures Contracts were to decline, the Fund would experience the negative impact of contango. The impact of backwardation or contango may lead to the returns of the Fund to vary significantly from the total return of other price references. Additionally, in the event of a prolonged period of contango, and absent the impact of rising or falling pricing in the Bruins Index, this could have a significant negative impact on the Fund’s NAV and total return.

Position Limits and Price Limits

The CFTC and various exchanges on which Bruins Index Futures Contracts trade have established position limits and price limits for Bruins Index Futures Contracts. Position limit regulation and price limit regulation serve distinct purposes and are regulated differently.

Position limits are designed to prevent excessive speculation that could cause sudden or unreasonable fluctuations in the price of a commodity. They limit the maximum number of contracts a person or entity can hold in a particular commodity.

Price limits are mechanisms to maintain orderly markets by restricting the price range within which futures contracts can trade during a trading session. They prevent extreme price movements that could disrupt market stability. Price limits are typically set as a percentage of the previous day's settlement price. When price limits are hit, trading may be halted or expanded depending on the product and regulatory rules. Unlike position limits, price limits do not restrict the number of contracts a trader can hold but rather the price at which those contracts can be traded. When a price limit is hit, the market for Bruins Index Futures Contracts may temporarily halt until price limits can be expanded or trading may be stopped for the day.

If the Fund is unable to buy or sell Bruins Index Futures Contracts as a result of position limits being hit or price limits that result in a halted or closed market—or for other reasons including limited liquidity in the market for Bruins Index Futures Contracts, a disruption to the market for Bruins Index Futures Contracts, or as a result of margin requirements, accountability levels, or other limitations imposed by the Fund’s futures commission merchants (“FCMs”), the listing exchanges, or the CFTC—the Adviser would take such action as it believes appropriate and in the best interest of the Fund in consideration of the facts and circumstances at such time, including: (i) investing in Bruins Index-Linked Instruments that are not Bruins Index Futures Contracts; (ii) requiring that authorized participants purchase and redeem in large blocks of shares called “Creation Units” through an exchange for related position (EFRP) method rather than in cash; (iii) applying increased authorized participant variable transaction fees for purchases or redemptions of Creation Units made in cash; or (iv) de-levering the Fund, relative to its investment objective, by an amount reflecting prevailing price limits. In addition, the Fund generally may suspend the issuance of Creation Units only for a limited time and only due to extraordinary circumstances, such as when the markets on which the ETF’s portfolio holdings are traded are closed for a limited period of time; that is to say, when the Fund is unable to increase its exposure to underlying assets.

Cost of Futures Investment Risk. When a Bruins Index Futures Contract is nearing expiration, the Fund will generally sell it and use the proceeds to buy a Bruins Index Futures Contract with a later expiration date. This is commonly referred to as “rolling”.

If the Fund rolls Bruins Index Futures Contracts that are in contango, the Fund would sell a lower priced, expiring contract and purchase a higher priced, longer-dated contract. The price difference between the expiring contract and longer-dated contract associated with rolling Bruins Index Futures Contracts is typically substantially higher than the price difference associated with rolling other futures contracts. Contango in the market for Bruins Index Futures Contracts may have a significant adverse impact on the performance of the Fund and may cause Bruins Index Futures Contracts and the Fund to underperform the Bruins Index. Both contango and backwardation would reduce the Fund’s correlation to the Bruins Index and may limit or prevent the Fund from achieving its investment objective. The impact of both contango and backwardation may also be greater to the extent the Fund invests in back-month Bruins Index Futures Contracts. 

Investment Capacity Risk. If the Fund’s ability to obtain exposure to Bruins Index Futures Contracts consistent with its investment objective is disrupted for any reason, including but not limited to, limited liquidity in the market for Bruins Index Futures Contracts, a disruption to the market for Bruins Index Futures Contracts, or as a result of margin requirements or position limits imposed by the Fund’s FCMs, the CME, or the CFTC, and the Fund could not otherwise meet its investment objective through the use of other investments discussed above, the Fund would not be able to achieve its investment objective and may experience significant losses.

Liquidity Risk. The market for the Bruins Index Futures Contracts may be subject to periods of illiquidity. During such times it may be difficult or impossible to buy or sell a position at the desired price. Market disruptions or volatility can also make it difficult to find a counterparty willing to transact at a reasonable price and sufficient size. Illiquid markets may cause losses, which could be significant. Large positions also increase the risk of illiquidity, which may make the Fund’s positions more difficult to liquidate, and increase the losses incurred while trying to do so.

Derivatives Risk. In addition to Bruins Index Futures Contracts, the Fund may obtain exposure through the following other derivatives: (1) exchange traded options on Other Investment Companies and/or (2) swap agreement transactions that reference Bruins Index Futures Contracts, Other Investment Companies, or the Bruins Index.

Investing in derivatives may be considered aggressive and may expose the Fund to risks different from, or possibly greater than, the risks associated with investing directly in the reference asset(s) underlying the derivative (e.g., the securities or commodities contained in the Fund). The use of derivatives may result in larger losses or smaller gains than directly investing in securities or commodities. The risks of using derivatives include: (1) the risk that there may be imperfect correlation between the price of the financial instruments and movements in the prices of the reference asset(s); (2) the risk that an instrument is mispriced; (3) credit or counterparty risk on the amount a Fund expects to receive from a counterparty; (4) the risk that securities prices, interest rates and currency markets will move adversely and a Fund will incur significant losses; (5) the risk that the cost of holding a financial instrument might exceed its total return; and (6) the possible absence of a liquid secondary market for a particular instrument and possible exchange imposed price fluctuation limits, either of which may make it difficult or impossible to adjust a Fund’s position in a particular instrument when desired. Each of these factors may prevent a Fund from achieving its investment objective and may increase the volatility (i.e., fluctuations) of the Fund’s returns. Because derivatives often require limited initial investment, the use of derivatives also may expose a Fund to losses in excess of those amounts initially invested.

The performance of any Bruins Index-Linked Instrument may not track the performance of its underlying benchmark due to embedded costs and other factors. Thus, to the extent the Fund invests in swaps that use a Bruins Index-Linked Instrument as the reference asset, the Fund may be subject to greater correlation risk and may not achieve as high a degree of correlation with its investment objective than if the Fund only used Bruins Index Futures Contracts.

Swap Agreements Risk. The Fund may enter into cash-settled swaps and other derivatives to gain exposure to an underlying asset without actually purchasing such asset. Swaps are two-party contracts entered into primarily by institutional investors for periods ranging from a day to more than one year. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on a particular pre-determined interest rate, commodity, security, indexes, or other assets or measurable indicators. The primary risks associated with the use of swaps are mispricing or improper valuation, imperfect correlation between movements in the notional amount and the price of the underlying investments, and the failure of a counterparty to perform. If a counterparty’s creditworthiness for an over-the-counter swap declines, the value of the swap would likely decline. Moreover, there is no guarantee that the Fund could eliminate its exposure under an outstanding swap by entering into an offsetting swap with the same or another party. In addition, the Fund may use a combination of swaps on an underlying index.

Options Risk. The Fund may purchase exchange-traded options that reference shares of Other Investment Companies. Transactions in options generally require less capital than equivalent stock transactions. They may return smaller dollar figures but a potentially greater percentage of the investment than equivalent stock transactions. The potential profit is limited to the premium received for the contract. The potential loss can be unlimited. While leverage means the percentage returns can be significant, the amount of cash required is smaller than equivalent stock transactions. It is possible to lose the entire principal invested, and sometimes more. As an options holder, a Fund risks the entire amount of the premium it pays. But as an options writer, it takes on a much higher level of risk. For example, if the Fund writes an uncovered call, it faces unlimited potential loss, since there is no cap on how high a stock price can rise. When buying options, a Fund risks losing the premium paid, plus commissions and fees.

Reverse Repurchase Agreements Risk. The Fund may invest in reverse repurchase agreements. Reverse repurchase agreements are transactions in which the Fund sells portfolio securities to financial institutions such as banks and broker-dealers, and agrees to repurchase them at a mutually agreed-upon date and price which is higher than the original sale price. Reverse repurchase agreements are a form of leverage and the use of reverse repurchase agreements by the Fund may increase the Fund’s volatility. The Fund incurs costs, including interest expenses, in connection with the opening and closing of reverse repurchase agreements that will be borne by the shareholders.

Reverse repurchase agreements are also subject to the risk that the other party to the reverse repurchase agreement will be unable or unwilling to complete the transaction as scheduled, which may result in losses to the Fund. In situations where the Fund is required to post collateral with a counterparty, the counterparty may fail to segregate the collateral or may commingle the collateral with the counterparty’s own assets. As a result, in the event of the counterparty’s bankruptcy or insolvency, the Fund’s collateral may be subject to the conflicting claims of the counterparty’s creditors, and the Fund may be exposed to the risk of a court treating the Fund as a general unsecured creditor of the counterparty, rather than as the owner of the collateral. There can be no assurance that a counterparty will not default and that the Fund will not sustain a loss on a transaction as a result.

Reverse repurchase agreements also involve the risk that the market value of the securities sold by the Fund may decline below the price at which it is obligated to repurchase the securities. In addition, when the Fund invests the proceeds it receives in a reverse repurchase transaction, there is a risk that those investments may decline in value. In this circumstance, the Fund could be required to sell other investments in order to meet its obligations to repurchase the securities.

Risks Related to Investing in Other Investment Companies. The Fund may invest in long or short positions in Other Investment Companies (i.e., investment companies registered under the 1940 Act that invest in similar assets to those in which the Fund may invest). Investing in Other Investment Companies may involve duplication of advisory or management fees and certain other expenses. By investing in Other Investment Companies, the Fund becomes a shareholder of that Other Investment Company. As a result, Fund shareholders indirectly bear the Fund’s proportionate share of the fees and expenses paid by shareholders of the Other Investment Company, in addition to the fees and expenses Fund shareholders bear in connection with the Fund’s own operations. As a shareholder, the Fund must rely on the Other Investment Company to achieve its investment objective. The Fund’s performance may be magnified positively or negatively by virtue of its investment in the Other Investment Company. If the Other Investment Company fails to achieve its investment objective, the value of the Fund’s investment could decline, thus affecting the Fund’s performance. In addition, because certain Other Investment Company shares are listed on national stock exchanges and are traded like stocks on an exchange, their shares potentially may trade at a discount or a premium. Investments in such shares may be subject to brokerage and other trading costs, which could result in greater expenses to the Fund. Finally, because the value of certain Other Investment Company shares may depend on the demand in the market, the Adviser may not be able to liquidate the Fund’s holdings in those shares at the most optimal time, adversely affecting the Fund’s performance.

Collateral Investments Risk. The Fund’s use of Collateral Investments may include obligations issued or guaranteed by the U.S. Government, its agencies and instrumentalities, including bills, notes and bonds issued by the U.S. Treasury, investment companies registered under the 1940 Act that invest in high-quality securities and corporate debt securities, such as commercial paper.

Some securities issued or guaranteed by federal agencies and U.S. Government-sponsored instrumentalities may not be backed by the full faith and credit of the United States, in which case the investor must look principally to the agency or instrumentality issuing or guaranteeing the security for ultimate repayment, and may not be able to assert a claim against the United States itself in the event that the agency or instrumentality does not meet its commitment. The U.S. Government, its agencies and instrumentalities do not guarantee the market value of their securities, and consequently, the value of such securities may fluctuate. Although the Fund may hold securities that carry U.S. Government guarantees, these guarantees do not extend to the Shares.

Investment companies that invest in high-quality securities are subject to management fees and other expenses. Therefore, investments in these funds will cause the Fund to bear indirectly a proportional share of the fees and costs of the funds in which it invests. At the same time, the Fund will continue to pay its own management fees and expenses with respect to all of its assets, including any portion invested in the shares of such fund. It is possible to lose money by investing in investment companies that invest in high-quality securities.

Corporate debt securities such as commercial paper generally are short-term unsecured promissory notes issued by businesses. Corporate debt may carry variable or floating rates of interest. Corporate debt securities carry both credit risk and interest rate risk. Credit risk is the risk that the Fund could lose money if the issuer of a corporate debt security is unable to pay interest or repay principal when it is due.

Asset Concentration Risk. Since the Fund may take concentrated positions in Bruins Index Futures Contracts, the Fund’s performance may be hurt disproportionately and significantly by the poor performance of those positions to which it has significant exposure. Asset concentration makes the Fund more susceptible to any single occurrence affecting the underlying positions and may subject the Fund to greater market risk than more diversified funds.

Counterparty Risk. The Fund will be subject to credit risk (i.e., the risk that a counterparty is unwilling or unable to make timely payments or otherwise meet its contractual obligations) with respect to the amount the Fund expects to receive from counterparties to: Bruins Index Futures Contracts; reverse repurchase agreements; swaps on Bruins Index Futures Contracts, Other Investment Companies, or the Bruins Index.

The Fund may be negatively impacted if a counterparty becomes bankrupt or otherwise fails to perform its obligations under such an agreement. The Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding and the Fund may obtain only limited recovery or may obtain no recovery in such circumstances. In order to attempt to mitigate potential counterparty credit risk, the Fund typically enters into transactions with major financial institutions.

The counterparty to an exchange-traded futures contract is subject to the credit risk of the clearing house and the FCM through which it holds its position. Specifically, the FCM or the clearing house could fail to perform its obligations, causing significant losses to the Fund. For example, the Fund could lose margin payments it has deposited with an FCM as well as any gains owed but not paid to the Fund, if the FCM or clearing house becomes insolvent or otherwise fails to perform its obligations. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. Under current CFTC regulations, a FCM maintains customers’ assets in a bulk segregated account. If a FCM fails to do so, or is unable to satisfy a substantial deficit in a customer account, its other customers may be subject to risk of loss of their funds in the event of that FCM’s bankruptcy. In that event, in the case of futures, the FCM’s customers are entitled to recover, even in respect of property specifically traceable to them, only a proportional share of all property available for distribution to all of that FCM’s customers. In addition, if the FCM does not comply with the applicable regulations, or in the event of a fraud or misappropriation of customer assets by the FCM, the Fund could have only an unsecured creditor claim in an insolvency of the FCM with respect to the margin held by the FCM. FCMs are also required to transfer to the clearing house the amount of margin required by the clearing house, which amount is generally held in an omnibus account at the clearing house for all customers of the FCM. In addition, the Fund may enter into futures contracts and repurchase agreements with a limited number of counterparties, which may increase the Fund’s exposure to counterparty credit risk. The Fund does not specifically limit its counterparty risk with respect to any single counterparty.

Further, there is a risk that no suitable counterparties are willing to enter into reverse repurchase agreements with the Fund, or continue to enter into, reverse repurchase agreement transactions with the Fund and, as a result, the Fund may not be able to achieve its investment objective. There is also the risk that the Fund may not be able to engage in reverse repurchase agreement transactions because suitable counterparties refuse to enter into transactions with the Fund. Contractual provisions and applicable law may prevent or delay the Fund from exercising its rights to terminate an investment or transaction with a financial institution experiencing financial difficulties, or to realize on collateral, and another institution may be substituted for that financial institution without the consent of the Fund. If the credit rating of a counterparty to a futures contract and/or repurchase agreement declines, the Fund may nonetheless choose or be required to keep existing transactions in place with the counterparty, in which event the Fund would be subject to any increased credit risk associated with those transactions. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the possibility exists that the Fund’s ability to exercise remedies, such as the termination of transactions, netting of obligations and realization on collateral, could be stayed or eliminated under special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide government authorities with broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, the regulatory authorities could reduce, eliminate, or convert to equity the liabilities to the Fund of a counterparty who is subject to such proceedings in the European Union (sometimes referred to as a “bail in”).

Credit Risk. An issuer or other obligated party of a debt security may be unable or unwilling to make dividend, interest and/or principal payments when due. In addition, the value of a debt security may decline because of concerns about the issuer’s ability or unwillingness to make such payments.

Debt Securities Risk. Investments in debt securities subject the holder to the credit risk of the issuer. Credit risk refers to the possibility that the issuer or other obligor of a security will not be able or willing to make payments of interest and principal when due. Generally, the value of debt securities will change inversely with changes in interest rates. To the extent that interest rates rise, certain underlying obligations may be paid off substantially slower than originally anticipated and the value of those securities may fall sharply. During periods of falling interest rates, the income received by the Fund may decline. If the principal on a debt security is prepaid before expected, the prepayments of principal may have to be reinvested in obligations paying interest at lower rates. Debt securities generally do not trade on a securities exchange making them generally less liquid and more difficult to value than common stock.

Interest Rate Risk. Interest rate risk is the risk that the value of the debt securities in the Fund’s portfolio will decline because of rising market interest rates. Interest rate risk is generally lower for shorter term debt securities and higher for longer-term debt securities. Duration is a reasonably accurate measure of a debt security’s price sensitivity to changes in interest rates and a common measure of interest rate risk. Duration measures a debt security’s expected life on a present value basis, taking into account the debt security’s yield, interest payments and final maturity. In general, duration represents the expected percentage change in the value of a security for an immediate 1% change in interest rates. For example, the price of a debt security with a three-year duration would be expected to drop by approximately 3% in response to a 1% increase in interest rates. Therefore, prices of debt securities with shorter durations tend to be less sensitive to interest rate changes than debt securities with longer durations. As the value of a debt security changes over time, so will its duration.

Clearing Broker Risk. The Fund’s investments in exchange-traded futures contracts expose it to the risks of a clearing broker (or a FCM). Under current regulations, a clearing broker or FCM maintains customers’ assets in a bulk segregated account. There is a risk that Fund assets deposited with the clearing broker to serve as margin may be used to satisfy the broker’s own obligations or the losses of the broker’s other clients. In the event of default, the Fund could experience lengthy delays in recovering some or all of its assets and may not see any recovery at all. Furthermore, the Fund is subject to the risk that no FCM is willing or able to clear the Fund’s transactions or maintain the Fund’s assets. If the Fund’s FCMs are unable or unwilling to clear the Fund’s transactions, or if the FCM refuses to maintain the Fund’s assets, the Fund will be unable to have its orders for Bruins Index Futures Contracts fulfilled or assets custodied. In such a circumstance, the performance of the Fund will likely deviate from the performance of changes in the Bruins Index and may result in the proportion of Bruins Index Futures Contracts in the Fund’s portfolio relative to the total assets of the Fund to decrease.

Non-Diversification Risk. The Fund is classified as a “non-diversified company” under the 1940 Act. As a result, the Fund is only limited as to the percentage of its assets which may be invested in the securities of any one issuer by the diversification requirements imposed by the Code. The Fund may invest a relatively high percentage of its assets in a limited number of issuers. As a result, the Fund may be more susceptible to a single adverse economic or regulatory occurrence affecting one or more of these issuers, experience increased volatility and be highly invested in certain issuers.

Risks Related to the Management of the Fund

Active Management Risk. The Fund is actively managed, and its performance reflects investment decisions that the Adviser makes for the Fund. Such judgments about the Fund’s investments may prove to be incorrect. If the investments selected and the strategies employed by the Fund fail to produce the intended results, the Fund could underperform as compared to other funds with similar investment objectives and/or strategies, or could have negative returns.

Frequent Trading Risk. The Fund regularly purchases and subsequently sells (i.e., “rolls”) individual futures contracts throughout the year so as to maintain a fully invested position. As the contracts near their expiration dates, the Fund rolls them over into new contracts. This frequent trading of contracts may increase the amount of commissions or mark-ups to broker-dealers that the Fund pays when it buys and sells contracts, which may detract from the Fund’s performance. High portfolio turnover may result in the Fund paying higher levels of transaction costs and may generate greater tax liabilities for shareholders. Frequent trading risk may cause the Fund’s performance to be less than expected.

Rebalancing Risk. If for any reason the Fund is unable to rebalance all or a portion of its portfolio, or if all or a portion of the portfolio is rebalanced incorrectly, the Fund may be over- or under-exposed to the returns of the Bruins Index. Additionally, because the market for Bruins Index Futures Contracts is nascent and may be thinly traded, the Fund’s own trading activity, including purchases, sales, and rolling of contracts, could materially influence the prices of Bruins Index Futures Contracts. If the Fund represents a significant portion of the open interest or trading volume, its activity could move prices against it, resulting in higher costs and reduced returns. If other market participants anticipate the Fund’s trading patterns, they may engage in front-running or other anticipatory trading strategies that further increase the Fund’s transaction costs. The trading activity associated with such transactions will contribute to the existing trading volume on the underlying futures contracts and may adversely affect the market price of such underlying futures contracts.

Operational Risk. The Fund is exposed to operational risks 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 and the Adviser seek to reduce these operational risks through controls and procedures. However, these measures do not address every possible risk and may be inadequate to address these risks.

Valuation Risk. The Fund or the Subsidiary may hold securities or other assets that may be valued on the basis of factors other than market quotations. This may occur because the asset or security does not trade on a centralized exchange, or in times of market turmoil or reduced liquidity. There are multiple methods that can be used to value a portfolio holding when market quotations are not readily available. The value established for any portfolio holding at a point in time might differ from what would be produced using a different methodology or if it had been priced using market quotations. Portfolio holdings that are valued using techniques other than market quotations, including “fair valued” assets or securities, may be subject to greater fluctuation in their valuations from one day to the next than if market quotations were used. In addition, there is no assurance that the Fund or the Subsidiary could sell or close out a portfolio position for the value established for it at any time, and it is possible that the Fund or the Subsidiary would incur a loss because a portfolio position is sold or closed out at a discount to the valuation established by the Fund or the Subsidiary at that time. The Fund’s ability to value investments may be impacted by technological issues or errors by pricing services or other third-party service providers.

New Fund Risk. As of the date of this prospectus, the Fund has no operating history and currently has fewer assets than larger funds. Like other new funds, large inflows and outflows may impact the Fund’s market exposure for limited periods of time. This impact may be positive or negative, depending on the direction of market movement during the period effected.

Risks Related to Trading of Shares

Trading Issues Risk. 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. The Fund may have difficulty maintaining its listing on the Exchange in the event the Fund’s assets are small, the Fund does not have enough shareholders, or if the Fund is unable to proceed with creation and/or redemption orders.

Authorized Participant Concentration Risk. Only an “authorized participant” or “AP” (i.e., broker-dealers and large institutional investors that have entered into participation agreement with the Fund) may engage in creation or redemption transactions directly with the Fund. The Fund has a limited number of institutions that act as APs on an agency basis (i.e. on behalf of other market 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 AP is able to step forward to create or redeem, in either of these cases, Shares may trade at a discount to the Fund’s net asset value and possibly face delisting.

Market Maker Risk. If the Fund has lower average daily trading volumes, it may rely on a small number of third-party market makers to provide a market for the purchase and sale of Shares. Any trading halt or other problem relating to the trading activity of these market makers could result in a dramatic change in the spread between the Fund’s net asset value and the price at which the Shares are trading on the Exchange, which could result in a decrease in value of the Shares. In addition, decisions by market makers or APs to reduce their role or step away from these activities in times of market stress could inhibit the effectiveness of the arbitrage process in maintaining the relationship between the underlying values of the Fund’s portfolio securities and the Fund’s market price. This reduced effectiveness could result in Shares trading at a discount to net asset value and also in greater than normal intra-day bid-ask spreads for Shares.

Premium/Discount Risk. The market price of the Fund’s Shares will generally fluctuate in accordance with changes in the Fund’s net asset value as well as the relative supply of and demand for Shares on the Exchange. The Fund’s market price may deviate from the value of the Fund’s underlying portfolio holdings, particularly in time of market stress, with the result that investors may pay more or receive less than the underlying value of the Shares bought or sold. The Adviser cannot predict whether Shares will trade below, at, or above their net asset value because the Shares trade on the Exchange at market prices and not at net asset value. 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, but not identical, to the same forces influencing the prices of the holdings of the Fund trading individually or in the aggregate at any point in time. However, given that Shares can only be purchased and redeemed in Creation Units, and only to and from broker-dealers and large institutional investors that have entered into participation agreements (unlike shares of closed-end funds, which frequently trade at appreciable discounts from, and sometimes at premiums to, their net asset value), the Adviser believes that large discounts or premiums to the net asset value of Shares should not be sustained. In addition, because the Fund provides exposure to the statistical performance of a single professional sports team, demand for Shares may be influenced by fan loyalty, emotional attachment, and team-related sentiment rather than by rational assessments of the Fund’s expected risk-adjusted returns. These demand patterns could increase intraday volatility in Fund Shares, widen bid-ask spreads, and result in investors purchasing or selling Shares at prices that do not reflect the Fund’s underlying NAV. During stressed market conditions, the market for the Fund’s Shares may become less liquid in response to deteriorating liquidity in the market for the Fund’s underlying portfolio holdings, which could in turn lead to differences between the market price of the Fund’s Shares and their net asset value. This can be reflected as a spread between the bid and ask prices for the Fund quoted during the day or a premium or discount in the closing price from the Fund’s NAV.

Active Market Risk. Although the Shares are listed for trading on the Exchange, there can be no assurance that an active trading market for the Shares will develop or be maintained. Shares trade on the Exchange at market prices that may be below, at or above the Fund’s net asset value. Securities, including the Shares, are subject to market fluctuations and liquidity constraints that may be caused by such factors as economic, political, or regulatory developments, changes in interest rates, and/or perceived trends in securities prices. Shares of the Fund could decline in value or underperform other investments.

Cash Transaction Risk. Most ETFs generally make in-kind redemptions to avoid being taxed at the fund level on gains on the distributed portfolio securities. However, unlike most ETFs, the Fund currently intends to effect some or all redemptions for cash, rather than in-kind, because of the nature of the Fund’s investments. The Fund may be required to sell portfolio securities to obtain the cash needed to distribute redemption proceeds, which involves transaction costs that the Fund may not have incurred had it effected redemptions entirely in kind. These costs may include brokerage costs and/or taxable gains or losses, which may be imposed on the Fund and decrease the Fund’s NAV to the extent such costs are not offset by a transaction fee payable to an AP. If the Fund recognizes gain on these sales, this generally will cause the Fund to recognize gain it might not otherwise have recognized if it were to distribute portfolio securities in-kind, or to recognize such gain sooner than would otherwise be required. This may decrease the tax efficiency of the Fund compared to ETFs that utilize an in-kind redemption process, and there may be a substantial difference in the after-tax rate of return between the Fund and other ETFs.

Risks Related to Regulation, External Factors, and Federal Income Tax Consequences

Tax Risk. The Fund intends to elect and to qualify each year to be treated as a RIC under Subchapter M of the Code. As a RIC, the Fund will not be subject to U.S. federal income tax on the portion of its net investment income and net capital gain that it distributes to shareholders, provided that it satisfies certain requirements of the Code. If the Fund does not qualify as a RIC for any taxable year and certain relief provisions are not available, the Fund’s taxable income will be subject to tax at the Fund level and to a further tax at the shareholder level when such income is distributed. Additionally, buying securities shortly before the record date for a taxable dividend or capital gain distribution is commonly known as “buying the dividend.” In the event a shareholder purchases Shares shortly before such a distribution, the entire distribution may be taxable to the shareholder even though a portion of the distribution effectively represents a return of the purchase price. To comply with the asset diversification test applicable to a RIC, the Fund will limit its investments in the Subsidiary to 25% of the Fund’s total assets at the end of each tax quarter. The investment strategy of the Fund will cause the Fund to hold substantially more than 25% of the Fund’s total assets in investments in the Subsidiary the majority of the time. The Fund intends to manage the exposure to the Subsidiary so that the Fund’s investments in the Subsidiary do not exceed 25% of the total assets at the end of any tax quarter. If the Fund’s investments in the Subsidiary were to exceed 25% of the Fund’s total assets at the end of a tax quarter, the Fund, generally, has a grace period to cure such lack of compliance. If the Fund fails to timely cure, it may no longer be eligible to be treated as a RIC.

Because Bruins Index Futures Contracts produce non-qualifying income for purposes of qualifying as a RIC, the Fund makes its investments in Bruins Index Futures Contracts through the Subsidiary. The Fund intends to treat any income it may derive from the futures contracts received by the Subsidiary as “qualifying income” under the provisions of the Code applicable to RICs. The IRS has issued PLRs provided to third parties not associated with the Fund or its affiliates (which only those parties may rely on as precedent) concluding that similar arrangements resulted in qualifying income. Many of such PLRs have now been revoked by the IRS. In March of 2019, the Internal Revenue Service published Regulations that concluded that income from a corporation similar to the Subsidiary would be qualifying income, if the income is related to the Fund’s business of investing in stocks or securities. Although the Regulations do not require distributions from the Subsidiary, the Fund intends to cause the Subsidiary to make distributions that would allow the Fund to make timely distributions to its shareholders. The Fund generally will be required to include in its own taxable income the income of the Subsidiary for a tax year, regardless of whether the Fund receives a distribution of the Subsidiary’s income in that tax year, and this income would nevertheless be subject to the distribution requirement for qualification as a RIC and would be taken into account for purposes of the 4% excise tax.

If, in any year, the Fund were to fail to qualify for the special tax treatment accorded a RIC and its shareholders, and were ineligible to or were not to cure such failure, the Fund would be taxed in the same manner as an ordinary corporation subject to U.S. federal income tax on all its income at the fund level. The resulting taxes could substantially reduce the Fund’s net assets and the amount of income available for distribution. In addition, in order to requalify for taxation as a RIC, the Fund could be required to recognize unrealized gains, pay substantial taxes and interest, and make certain distributions.

Subsidiary Regulatory Investment Risk. Changes in the laws of the United States and/or the Cayman Islands, under which the Fund and the Subsidiary are organized, respectively, could result in the inability of the Fund to operate as intended and could negatively affect the Fund and its shareholders. The Subsidiary is not registered under the 1940 Act and is not subject to all the investor protections of the 1940 Act. However, as the Subsidiary is wholly-owned by the Fund, and the investors of the Fund will have the investor protections of the 1940 Act, the Fund as a whole—including the Subsidiary—will provide investors with 1940 Act protections.

Commodity Regulatory Risk. The Fund’s use of commodity futures subject to regulation by the CFTC has caused the Fund to be classified as a “commodity pool” and this designation requires that the Fund comply with CFTC rules, which may impose additional regulatory requirements and compliance obligations. The Fund’s investment decisions may need to be modified, and commodity contract positions held by the Fund may have to be liquidated at disadvantageous times or prices, to avoid exceeding any applicable position limits established by the CFTC, potentially subjecting the Fund to substantial losses. The regulation of commodity transactions in the United States is subject to ongoing modification by government, self-regulatory and judicial action. The effect of any future regulatory change with respect to any aspect of the Fund is impossible to predict, but could be substantial and adverse to the Fund.

Regulatory Risk. The regulatory framework governing sports-linked financial instruments is evolving and subject to significant uncertainty. Bruins Index Futures Contracts are a novel instrument class for which there is limited regulatory precedent. The CFTC has broad discretionary authority to determine whether particular contracts are consistent with the public interest, including authority to disapprove or direct an exchange to delist contracts that the CFTC determines involve gaming, are unlawful, or otherwise run contrary to the purposes of the CEA. The CFTC has recently proposed amendments to its rules concerning event contracts, commonly referred to as prediction markets, to specify which contracts may be determined contrary to the public interest and therefore may not be listed for trading or accepted for clearing on or through a CFTC-regulated entity. The CFTC or the listing exchange could, at any time and without advance notice, impose new conditions, margin or position-limit requirements, reporting obligations, trading halts, settlement adjustments, or delisting actions. Any such changes could, among other things; (i) impair the Fund’s ability to establish, maintain, or close positions; (ii) require the Fund to liquidate positions at disadvantageous prices; (iii) alter the economic characteristics on which the Fund relies; or (iv) render the Fund’s principal investment strategy impractical. In addition, future legislative, judicial, or administrative developments could retroactively affect the permissibility, settlement mechanics, or availability of Bruins Index Futures Contracts. These developments may occur abruptly and may not provide mechanisms for investor recourse or for the orderly unwind of positions. There can be no assurance that the regulatory environment for sports-linked financial instruments will remain stable or favorable.

Cyber Security Risk. The Fund is susceptible to operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional events that may cause the Fund to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause the Fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. Cyber security breaches may involve unauthorized access to the Fund’s digital information systems through “hacking” or malicious software coding, but may also result from outside attacks such as denial-of-service attacks through efforts to make network services unavailable to intended users. In addition, cyber security breaches of the Fund’s third-party service providers, such as its administrator, transfer agent, or custodian, as applicable, or issuers in which the Fund invests, can also subject the Fund to many of the same risks associated with direct cyber security breaches. While the Fund has established business continuity plans and risk management systems designed to reduce the risks associated with cyber security, there are inherent limitations in such plans and systems. Additionally, there is no guarantee that such efforts will succeed, especially because the Fund does not directly control the cyber security systems of issuers or third-party service providers.

Natural Disaster/Epidemic Risk. Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks, and result in significant breakdowns, delays, shutdowns, social isolation, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Fund and its investments. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy of financial projections. Under these circumstances, the Fund may have difficulty achieving its investment objectives which may adversely impact Fund performance. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Fund’s investment advisor, third party service providers, and counterparties), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Fund’s investments. These factors can cause substantial market volatility, exchange trading suspensions and closures, changes in the availability of and the margin requirements for certain instruments, and can impact the ability of the Fund to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market. A widespread crisis would also affect the global economy in ways that cannot necessarily be foreseen. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these could have a significant impact on the Fund’s performance, resulting in losses to your investment.

Performance

As of the date of this prospectus, the Fund has not yet commenced operations and therefore does not have a performance history. Once available, the Fund’s performance information will be accessible on the Fund’s website at www.volatilityshares.com and will provide some indication of the risks of investing in the Fund.

Management

Investment Adviser

Volatility Shares LLC 

Portfolio Managers

The following persons serve as portfolio managers of the Fund. 

Each of the portfolio managers is primarily and jointly responsible for the day-to-day management of the Fund. Each of the Fund’s portfolio managers have served in such capacity since the Fund’s inception.

Purchase and Sale of Shares

The Fund issues and redeems Shares on a continuous basis, at NAV, only in large blocks of shares called “Creation Units.” Individual Shares may only be purchased and sold on the secondary market through a broker-dealer at a market price. Since Shares trade on securities exchanges in the secondary market at their market price rather than their NAV, the Shares may trade at a price greater than (premium) or less than (discount) the Fund’s NAV. An investor may incur costs attributable to the difference between the highest price a buyer is willing to pay to purchase Shares (bid) and the lowest price a seller is willing to accept for Shares (ask) when buying or selling Shares in the secondary market (the “bid-ask spread”). Recent information, including the Fund’s NAV, market price, premiums and discounts, and bid-ask spreads, is available online at www.volatilityshares.com.

Tax Information

The Fund’s distributions will generally be taxable as ordinary income, returns of capital or capital gains. A sale of Shares may result in capital gain or loss.

Payments to Broker-Dealers and Other Financial Intermediaries

If you purchase Shares through a broker-dealer or other financial intermediary (such as a bank), the Adviser and Foreside Fund Services, LLC, the Fund’s distributor (the “Distributor”), may pay the intermediary for the sale of Shares and 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.

Buffalo Sabres ETF

Investment Objective

The Buffalo Sabres ETF (the “Fund” or “[__]”) seeks to provide investment results, before fees and expenses, that correspond to the performance of futures contracts on the CME FSPI NHL Buffalo Sabres Index.

Fees and Expenses of the Fund

This table describes the fees and expenses that you may pay if you buy, hold and sell Shares. Investors may pay other fees, such as brokerage commissions and other fees to financial intermediaries, which are not reflected in the table and example set forth below.

Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment)

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 assumes that you invest $10,000 in the Fund for the time periods indicated and then sell all of your Shares at the end of those periods. The example also assumes that your investment has a 5% return each year and that the Fund’s operating expenses remain at current levels. This example does not include the brokerage commissions that investors may pay to buy and sell Shares.

Although your actual costs may be higher or lower, your costs, based on these assumptions, would be:

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 will cause the Fund to incur additional transaction costs and may result in higher taxes when Shares are held in a taxable account. These costs, which are not reflected in Total Annual Fund Operating Expenses or in the example, may affect the Fund’s performance. Because the Fund is new, portfolio turnover information is unavailable at this time.

Principal Investment Strategies 

The Fund is an exchange-traded fund (“ETF”) that seeks to achieve its investment objective primarily through investments in futures contracts on the CME FSPI NHL Buffalo Sabres Index, which is a non-investable index (the “Sabres Index”). The Sabres Index is designed to systemically measure the cumulative team performance of the Buffalo Sabres only during games played over the regular and post-season. The Sabres Index is a transparent, rules-based system using official league statistics, where positive actions add points and negative actions subtract points. The Sabres Index is based on fifty-five statistical measures of performance and results of team games (wins, losses and ties) that results in continuous, live statistical values that underpin the value of the Sabres Index which is calculated into a trackable and tradable number. The Sabres Index is based solely on these statistical factors, and the performance of other professional hockey teams in the National Hockey League^® (the “NHL”), or events outside of on-ice performance by the Buffalo Sabres, will not impact the value of the Sabres Index.

The Sabres Index has an initial standardized base value of 7,500 before the season and moves up or down based on officially reported statistics from each game, including real-time movement during regular season and postseason play. At the conclusion of the postseason, the Sabres Index value resets to 7,500.

The Sabres Index is maintained and calculated by FutureSports (the “Index Provider”). The Sabres Index methodology is designed to align with the International Organization of Securities Commissions (“IOSCO”) Principles for Financial Benchmarks and supported by published governance, oversight and methodology change procedures. The NHL serves as the official data source for the Sabres Index but does not participate in index determination or governance.

The Fund obtains exposure to the Sabres Index by investments in futures contracts that reference the Sabres Index and that trade on an exchange registered with the Commodity Futures Trading Commission (“Sabres Index Futures Contracts”), and cash, cash-like instruments or high quality securities that serve as collateral to the Fund’s investments in Sabres Index Futures Contracts (“Collateral Investments”).

Under normal circumstances, the Fund will invest at least 80% of the value of its net assets (plus borrowings for investment purposes) in Sabres Index-Linked Instruments. For purposes of this policy, “Sabres Index-Linked Instruments” means (i) Sabres Index Futures Contracts; (ii) shares of other investment companies registered under the Investment Company Act of 1940 (the “1940 Act”) that invest in similar assets to those in which the Fund may invest (“Other Investment Companies”); (iii) exchange traded options on the Sabres Index or shares of Other Investment Companies; and (iv) swap agreement transactions that reference Sabres Index Futures Contracts, Other Investment Companies, or the Sabres Index. Certain Sabres Index-Linked Instruments, such as Other Investment Companies or options thereon, are currently unavailable for investment, though are expected to become available in the future.

The Fund expects to gain investment exposure to the Sabres Index by investing a portion of its assets in a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands (the “Subsidiary”).

The Fund does not invest directly in prediction markets, event contracts or other instruments that provide exposure to individual sporting event or season-long outcomes or to investments that provide exposure to the financial performance of individual sports teams or leagues. Instead, the Fund seeks to benefit from increases in the price of Sabres Index Futures Contracts.

The investment adviser to the Fund and the Subsidiary is Volatility Shares LLC (the “Adviser” or “Volatility Shares”). The Adviser oversees the Fund and implements the day-to-day portfolio management responsibilities for the Fund. In serving as investment adviser to the Fund, the Adviser does not conduct conventional investment research or analysis or forecast market movement or trends.

The Fund is classified as a “non-diversified company” under the 1940 Act. The Fund will not concentrate its investments in securities of issuers in any industry or group of industries, as the term “concentrate” is used in the 1940 Act, except that the Fund may invest more than 25% of its total assets in Sabres Index-Linked Instruments.

The Buffalo Sabres

The Buffalo Sabres are a professional ice hockey team based in Buffalo, New York, competing in the Atlantic Division of the NHL’s Eastern Conference. During the 2025–2026 season, the Sabres finished first in the Atlantic Division, ranking 4th in standings points, 5th in goals for, 7th in goals against, and 5th in goal differential. The Sabres were founded in 1970 by brothers Seymour Knox III and Northrup Knox. The Sabres are currently owned by Terry and Kim Pegula, with Terry Pegula serving as Owner and President since 2011. The team has never won a Stanley Cup championship. Neither the Fund, the Trust, nor the Adviser is affiliated with the Buffalo Sabres.

Sabres Index Futures Contracts

The Fund intends to typically enter into cash-settled Sabres Index Futures Contracts as the “buyer,” except as detailed below.

In simplest terms, in a cash-settled futures market the counterparty pays cash to the buyer if the price of a futures contract goes up, and buyer pays cash to the counterparty if the price of the futures contract goes down. In order to maintain its exposure to the Sabres Index, the Fund intends to exit its futures contracts as they near expiration and replace them with new futures contracts with a later expiration date. Futures contracts with a longer term to expiration may be priced higher than futures contracts with a shorter term to expiration, a relationship called “contango”. When rolling futures contracts that are in contango the Fund will close its long position by selling the shorter-term contract at a relatively lower price and buying a longer-dated contract at a relatively higher price. The presence of contango will adversely affect the performance of the Fund. Conversely, futures contracts with a longer term to expiration may be priced lower than futures contracts with a shorter term to expiration, a relationship called “backwardation”. When rolling long futures contracts that are in backwardation, the Fund will close its long position by selling the shorter-term contract at a relatively higher price and buying a longer-dated contract at a relatively lower price. The presence of backwardation may positively affect the performance of the Fund. Further, the returns of the Sabres Index Futures Contracts may differ from that of the Sabres Index due to the divergence in prices or the costs associated with investing in futures contracts, which may negatively impact the Fund’s returns.

The Fund invests in Sabres Index Futures Contracts indirectly via the Subsidiary. The Subsidiary and the Fund will have the same investment adviser and investment objective. The Subsidiary will also follow the same general investment policies and restrictions as the Fund. Except as noted herein, for purposes of this Prospectus, references to the Fund’s investment strategies and risks include those of the Subsidiary. The Fund complies with the provisions of the 1940 Act governing investment policies and capital structure and leverage on an aggregate basis with the Subsidiary. Furthermore, the Adviser, as the investment adviser to the Subsidiary, complies with the provisions of the 1940 Act relating to investment advisory contracts as it relates to its advisory agreement with the Subsidiary. The Subsidiary also complies with the provisions of the 1940 Act relating to affiliated transactions and custody. Because the Fund intends to qualify for treatment as a regulated investment company (a “RIC”) under the Internal Revenue Code of 1986 (the “Code”), the size of the Fund’s investment in the Subsidiary will not exceed 25% of the Fund’s total assets at or around each quarter end of the Fund’s fiscal year. In order to qualify as a RIC, the Fund will have to reduce its exposure to its Subsidiary on or around the end of each of the Fund’s fiscal quarter ends. The Fund expects to reduce its exposure to its Subsidiary during these periods by investing in certain other investments as described below. During these periods, the Fund may not achieve its investment objective. At other times of the year, the Fund’s investments in the Subsidiary will significantly exceed 25% of the Fund’s total assets. The Subsidiary’s custodian is U.S. Bank, N.A.

If circumstances occur where market prices for Sabres Index Futures Contracts were not readily available, the Fund would fair value its Sabres Index Futures Contracts in accordance with its pricing and valuation policy and procedures for fair value determinations. Pursuant to those policies and procedures, the Adviser would consider various factors, such as pricing history; market levels prior to price limits or halts; and supply, demand, and open interest in Sabres Index Futures Contracts, among other factors. The Adviser would document its proposed pricing and methodology, detailing the factors that entered into the valuation.

Collateral Investments

The Fund will also invest its assets in Collateral Investments. The Collateral Investments may consist of high-quality securities, which include: (1) U.S. Government securities, such as bills, notes and bonds issued by the U.S. Treasury; (2) investment companies registered under the 1940 Act that invest in high-quality securities; and/or (3) corporate debt securities, such as commercial paper and other short-term unsecured promissory notes issued by businesses that are rated investment grade or determined by the Adviser to be of comparable quality. For these purposes, “investment grade” is defined as investments with a rating at the time of purchase in one of the four highest categories of at least one nationally recognized statistical rating organization (e.g., BBB- or higher from S&P Global Ratings or Baa3 or higher from Moody’s Investors Service, Inc.).

The Collateral Investments are designed to provide liquidity, serve as margin, or otherwise collateralize the Subsidiary’s investments in Sabres Index-Linked Instruments. The Fund expects that it will primarily invest its assets, and that the Subsidiary will primarily invest its assets, in Collateral Investments that are “securities,” as such term is defined under the 1940 Act.

Other Investments

In order to help the Fund maintain exposure to the Sabres Index, maintain its tax status as a RIC on days in and around quarter-end, help the Fund maintain its desired exposure to Sabres Index Futures Contracts when it is approaching or has exceeded position limits or accountability levels, or because of liquidity or other constraints, the Fund may invest in the following:

Reverse Repurchase Agreements

The Fund may invest in reverse repurchase agreements which are a form of borrowing in which the Fund sells portfolio securities to financial institutions and agrees to repurchase them at a mutually agreed-upon date and price that is higher than the original sale price, and use the proceeds for investment purchases. 

As a result of the Fund repurchasing the securities at a higher price, the Fund will lose money by engaging in reverse repurchase agreement transactions.

As noted above, because the Fund intends to qualify for treatment as a RIC under the Code, the size of the Fund’s investment in the Subsidiary will not exceed 25% of the Fund’s total assets at or around each quarter end of the Fund’s fiscal year (the “Asset Diversification Test”). At other times of the year, the Fund’s investments in the Subsidiary will significantly exceed 25% of the Fund’s total (or gross) assets.

When the Fund seeks to reduce its total assets exposure to the Subsidiary, it may use the short-term Treasury Bills it owns (and purchase additional Treasury Bills as needed) to transact in reverse repurchase agreement transactions, which are ostensibly loans to the Fund. Those loans will increase the gross assets of the Fund, which the Adviser expects will allow the Fund to meet the Asset Diversification Test. When the Fund enters into a reverse repurchase agreement, it will either (i) be consistent with Section 18 of the 1940 Act and maintain asset coverage of at least 300% of the value of the reverse repurchase agreement; or (ii) treat the reverse repurchase agreement transactions as derivative transactions for purposes of Rule 18f-4 under the 1940 Act (“Rule 18f-4”), including as applicable, the value-at-risk based limit on leverage risk.

Other Investment Companies

The Fund may invest in shares of Other Investment Companies, that is, shares of investment companies registered under the 1940 Act that invest in similar assets to those in which the Fund may invest.

Exchange-traded option contracts on shares of Other Investment Companies.

The Fund may invest in exchange-listed option contracts on shares of Other Investment Companies, which invest in similar assets to those in which the Fund may invest. An option is a contract that gives the purchaser of the option, in return for the premium paid, the right to buy shares of an investment company, from the writer of the option (in the case of a call option), or to sell shares of the investment company to the writer of the option (in the case of a put option) at a designated price during the term of the option. The premium paid by the buyer of an option will reflect, among other things, the relationship of the exercise price to the market price and the volatility of the shares of the investment company, the remaining term of the option, supply, demand, interest rates and/or currency exchange rates. The Fund may utilize “American” style options or “European” style options. American style options are exercisable on any date prior to the expiration date of the option contract. In contrast, European style options are exercisable only on the expiration date of the option contract.

Swaps that reference Sabres Index Futures Contracts, Other Investment Companies, or the Sabres Index.

Swap contracts are transactions entered into primarily with major global financial institutions for a specified period ranging from a day to more than one year. In a swap transaction, the Fund and a counterparty will agree to exchange or “swap” payments based on the change in value of an underlying asset or benchmark. For example, the two parties may agree to exchange the return (or differentials in rates of returns) earned or realized on a particular investment or instrument. In the case of the Fund, the reference asset can be Sabres Index Futures Contracts, Other Investment Companies or the Sabres Index.

Principal Risks

As with all investments, there are certain risks of investing in the Fund. Shares will change in value, and you could lose money by investing in the Fund. The Fund may not achieve its investment objective. An investment in the Fund does not represent a complete investment program. An investment in the Fund is not a bank deposit and it is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency, the Adviser or any of their affiliates. You should consider carefully the following risks before investing in the Fund.

Each risk noted below is considered a principal risk of investing in the Fund, regardless of the order in which it appears. The significance of each risk factor below may change over time and you should review each risk factor carefully.

Risks Specific to the Fund’s Investments

Investment Strategy Risk. The Fund, through the Subsidiary, invests primarily in Sabres Index Futures Contracts. The Fund does not invest directly in prediction markets, event contracts or other instruments that provide exposure to individual sporting event or season-long outcomes or to investments that provide exposure to the financial performance of individual sports teams or leagues. Instead, the Fund seeks to benefit from increases in the price of Sabres Index Futures Contracts. The price of Sabres Index Futures Contracts may not be an accurate measure of the Sabres Index. Consequently, the Fund may perform differently from the performance of the Sabres Index. There can be no guarantee that the performance of Sabres Index Futures Contracts will be highly correlated to the performance of the Sabres Index. Transaction costs (including the costs associated with futures investing), position limits, the availability of counterparties and other factors may impact the cost and pricing of Sabres Index Futures Contracts and decrease the correlation between the performance of Sabres Index Futures Contracts and the Sabres Index, over short- or long-term periods. In addition, the performance of back-month Sabres Index Futures Contracts is likely to differ more significantly from the performance of the Sabres Index. To the extent the Fund is invested in back-month Sabres Index Futures Contracts, the performance of the Fund should be expected to deviate more significantly from the performance of the Sabres Index. Moreover, because the Sabres Index is uninvestable, the Fund can only gain exposure through futures contracts and other derivatives, and differences between the prices of those instruments and the levels of the Sabres Index may result in the Fund experiencing larger losses or smaller gains than would be implied by changes in the Sabres Index alone.

Sports Performance Risk. The Fund’s investment strategy is inherently speculative. The value of Sabres Index Futures Contracts is derived from the statistical performance of a single professional sports team as measured by the Sabres Index. Successfully investing in Sabres Index Futures Contracts requires that the team tracked by the index performs well statistically over the course of a season, an outcome that is inherently uncertain and subject to numerous unpredictable variables, including player health, competitive dynamics, coaching decisions, and random variation in athletic performance. The Sabres Index may decline in value, and there can be no assurance that the team tracked by the index will perform at or above the levels implied by the prices of Sabres Index Futures Contracts at the time the Fund obtains exposure.

On-Ice Performance and Competitive Results Risk. The Fund’s investment performance is linked to the on-ice statistical performance of a single NHL team during the regular season and, if applicable, the playoffs. The prices of Sabres Index Futures Contracts are expected to rise when the team performs well statistically and to fall when the team performs poorly. Competitive results in professional hockey are inherently unpredictable and can be influenced by factors entirely outside the team’s control, including the performance of opposing teams, referee calls, random puck bounces, weather affecting travel, and in-game injuries. A team may enter a season with high expectations based on roster strength, coaching hires, or offseason acquisitions, only to underperform due to chemistry issues, unexpected injuries to key players, player slumps, or tactical mismatches against divisional opponents. The NHL season extends over several months and includes 82 regular season games per team, during which even a strong team may experience prolonged losing streaks that cause material declines in the Sabres Index. If the team fails to make the playoffs, the Fund will not benefit from any potential uplift in index value that could accompany postseason success. Conversely, early playoff elimination could cause sharp declines in futures prices if the market had priced in deeper postseason performance. Because the Fund is concentrated in a single NHL team, there is no opportunity to offset poor on-ice performance by gaining exposure to a stronger team or a different sport.

Sabres Index Investing Risk. The Fund is indirectly exposed to the risks of the Sabres Index through its investments in Sabres Index Futures Contracts and other Sabres Index-Linked Instruments. The Fund does not invest in the Sabres Index, which is an uninvestable index. The performance of the Sabres Index will be very different from a portfolio of Sabres Index Futures Contracts.

The Sabres Index moves up or down based on officially reported statistics from every game, match, or event throughout the regular season and postseason. Positive statistical actions (e.g., goals scored, points earned) add value to the index, while negative actions (e.g., opponent scoring, penalties or setbacks) subtract value. Poor statistical performance by the Buffalo Sabres could have a significant negative impact on the level of the Sabres Index and therefore the value of the Fund. In addition, unlike instruments that are based on tradable reference assets, the Sabres Index Futures Contracts and Sabres Index-Linked Instruments are tied to an index that is not directly investable and, thus, have settlement prices based on the calculation of that index, not the price of a tradable asset.

Concentrated Single-Team Exposure Risk. The Fund’s investment strategy results in concentrated exposure to a single professional sports team’s statistical performance (i.e., the Buffalo Sabres) as measured by an index. Unlike diversified funds that spread risk across multiple asset classes, sectors, or issuers, the Fund’s performance is primarily driven by the statistical output of one team over the course of a season. As a result, the Fund is more susceptible to risks affecting that team, including player injuries, suspensions, trades, retirements, coaching changes, front-office turnover, league sanctions, labor disputes, lockouts, or other events that directly or indirectly influence the team’s on-ice statistical performance. This degree of concentration will likely increase volatility in the Fund’s NAV, heighten the likelihood of significant losses over short periods, and cause the Fund’s returns to diverge substantially from those of more diversified investments. Additionally, because the Fund is concentrated in a single team, it is inherently concentrated in a single professional sports league. This subjects the Fund to league-specific risks, including league-wide labor disputes, broad scandal, changes to the structure or rules of the league, or events that cause the cancellation or suspension of games. The Fund has no ability to rotate exposure into a different team, sport, or league in response to adverse developments affecting the team to which it has exposure.

Insider Trading and Information Asymmetry Risk. Unlike securities markets, which are governed by well-established insider trading prohibitions under the Securities Exchange Act of 1934, the legal framework governing trading on the basis of material, non-public information in the context of commodity futures is less developed. While the CFTC has broad anti-manipulation and anti-fraud authority under the Commodity Exchange Act (“CEA”), specific rules and judicial precedent addressing what constitutes improper trading on non-public information in the context of sports-linked futures remain nascent. Certain individuals may possess material, non-public information that could affect the statistical performance of the Sabres Index and, consequently, the prices of Sabres Index Futures Contracts. Such individuals may include, without limitation, team coaches, players, trainers, team medical staff, front office personnel, referees, officials, league personnel, or sports data providers. For example, undisclosed injuries to key players or undisclosed lineup changes could materially affect the level of the Sabres Index. Such persons could trade Sabres Index Futures Contracts or Fund Shares to profit from their informational advantage prior to public disclosure. There is no guarantee that exchanges, the CME, or the CFTC will successfully detect and prevent such trading, and the Fund has no means of preventing such individuals from purchasing or selling Fund Shares. The participation of informed insiders in the market for Sabres Index Futures Contracts can create adverse selection for other market participants and distort market prices. Because the Fund is concentrated in a single team, the impact of insider trading on the Fund may be more pronounced than in markets with broader diversification.

League Credibility and Sports Integrity Risk. The Sabres Index is calculated based on official league statistics derived from the games of a single professional sports team, and the integrity of those games is fundamental to the reliability of the index. Efforts to interfere with the team’s games, including match-fixing, point-shaving, or referee manipulation, could materially affect the statistical data upon which the Sabres Index is based, create significant uncertainty regarding index levels, and cause pronounced price volatility in Sabres Index Futures Contracts. Confirmed or suspected game interference may also prompt legislative or regulatory responses, including restrictions on sports-linked financial products or emergency rulemaking by the CFTC, that could restrict the listing or trading of Sabres Index Futures Contracts. Even widely publicized allegations of interference, absent actual misconduct, could undermine market confidence in the Sabres Index and the futures contracts that reference it.

Gaming and State Regulatory Litigation Risk. Exchanges that list sports-linked financial instruments, including Sabres Index Futures Contracts, may be subject to legal challenges brought by state attorneys general, state gaming commissions, and other state-level actors asserting that such instruments constitute regulated gambling or gaming activity under state law, notwithstanding that such contracts are listed on a CFTC-regulated exchange. Such proceedings may assert that the listing of sports-linked contracts violates state gaming statutes, requires state gaming or sports wagering licenses, or constitutes an illegal gambling enterprise. These exchanges, and the CFTC in certain court filings, have asserted that the CEA and the CFTC’s exclusive jurisdiction over CFTC-regulated exchanges preempts state gaming regulations. There is no assurance that federal courts will rule in favor of federal preemption, and resolution may require years of litigation and potentially appellate review. An adverse ruling could result in the suspension or cessation of trading in Sabres Index Futures Contracts, material operational restrictions, significant financial penalties, or the effective loss of the ability to list sports-linked futures. Any of these outcomes could materially and adversely affect the Fund’s ability to achieve its investment objective and could result in significant losses.

Platform and Distribution Restriction Risk. Broker-dealers, registered investment adviser platforms, wirehouses, and other financial intermediaries may refuse to list, recommend, or permit purchases of Fund Shares through their platforms due to the Fund’s association with sports performance outcomes and the perception that such products are akin to sports wagering, regardless of the Fund’s legal status as a registered investment company under the 1940 Act. Certain intermediaries may permit only unsolicited purchases, prohibit financial advisers from recommending the Fund, or exclude the Fund from model portfolios entirely. These restrictions could limit the Fund’s accessible investor base, constrain assets under management, reduce secondary market liquidity, widen bid-ask spreads, and increase the likelihood that Fund Shares will trade at significant premiums or discounts to net asset value. Even if an intermediary initially permits distribution, it may subsequently restrict access in response to adverse regulatory developments, reputational concerns, or changes in compliance policies. If a significant number of intermediaries refuse to distribute Fund Shares, the Fund may be unable to achieve sufficient scale, which could increase the Fund’s expense ratio, reduce trading volume, and impair the Fund’s ability to operate effectively.

Novel Market Risk. Sabres Index Futures Contracts are a novel asset class with limited trading history. The market may not develop the depth, liquidity, or trading efficiency associated with more established futures markets, and its pricing may be influenced by factors unrelated to fundamental assessments of team performance, including speculative activity, behavioral biases, regulatory headlines, or concentrated participation by a limited number of traders. There is limited historical data on which to base expectations regarding future price behavior, volatility patterns, or the costs associated with maintaining exposure, and traditional risk metrics may not accurately capture the risks of investing in this market. There can be no assurance that the market for Sabres Index Futures Contracts will achieve or sustain the level of participation, liquidity, and price discovery necessary for the Fund to effectively pursue its investment objective.

Limited Price Discovery and Market Depth Risk. Because Sabres Index Futures Contracts are a newly created instrument class, the market may lack the depth, breadth, and participation necessary for reliable price discovery. Traditional commodity futures markets benefit from decades of participation by commercial hedgers, speculators, and arbitrageurs whose activities contribute to efficient pricing. The market for Sabres Index Futures Contracts is expected to have few, if any, natural commercial hedgers, and may be dominated by retail speculators, algorithmic traders, or a small number of institutional participants. This concentrated participation could result in prices that do not accurately reflect fair value, wider bid-ask spreads, and elevated intraday price volatility. In thin markets, even modest order flow from the Fund could move prices against the Fund, increasing transaction costs and reducing returns. There can be no assurance that the market for Sabres Index Futures Contracts will develop sufficient liquidity over time, and the Fund may be unable to establish or exit positions at prices the Fund considers favorable.

Seasonality and Offseason Risk. The Sabres Index resets to a standardized base value prior to the start of each sports season and has a defined life cycle that ends following the postseason. Because the Fund tracks a single team in a single sport, the Fund is tied to that sport’s competitive calendar and has no ability to diversify across sports or rotate into a sport that is in-season when the team’s sport is not. During the playing season, the Sabres Index moves in real-time based on officially reported game statistics, and the prices of Sabres Index Futures Contracts are expected to reflect both the current index level and market expectations regarding future team performance. During the offseason, however, the Sabres Index will not move because no games are being played, and the Fund’s exposure to Sabres Index Futures Contracts will behave differently than during the playing season. The Fund anticipates maintaining exposure to Sabres Index Futures Contracts during the offseason. Although the underlying index will be static during this period, the prices of Sabres Index Futures Contracts may still fluctuate based on market expectations regarding the team’s prospects for the upcoming season, including coaching changes, player trades, draft picks, free agent signings, injury recovery timelines, training camp developments, and other factors that affect the market’s assessment of the team’s likely statistical performance. However, because the index itself is not moving during the offseason, the magnitude of futures price movements may be reduced relative to the playing season, and the relationship between futures prices and the underlying index level may be less predictable. There can be no assurance that the Fund’s offseason futures holdings will appreciate in value, and the Fund may experience losses during the offseason if market sentiment regarding the team’s upcoming season deteriorates. In addition, there can be no assurance that Sabres Index Futures Contracts will be available in sufficient volume or at favorable pricing during the offseason or at the start of a new season.

League Discontinuation, Lockout, or Strike Risk. The Fund’s ability to invest in Sabres Index Futures Contracts depends on the continued operation of the NHL and the playing of scheduled games. Labor disputes between the NHL and its players’ union could result in a lockout or strike that suspends or cancels all or a significant portion of a season. The NHL has previously experienced work stoppages, including a full-season cancellation in 2004-2005. During any such period, no games would be played, the Sabres Index would not generate data, and trading in Sabres Index Futures Contracts could be suspended or severely impaired. The Fund would be unable to pursue its investment strategy during such a period, may be forced to liquidate positions at disadvantageous prices, and could experience substantial losses. Even after a labor dispute is resolved, the shortened or restructured season could materially change the statistical patterns underlying the index methodology. In addition, force majeure events such as a pandemic, natural disaster, or other circumstances beyond the control of the league could cause widespread game cancellations or delays. There can be no assurance that the league will not experience a work stoppage or other extended interruption during the Fund’s investment period, or that the Fund will be able to recover any losses incurred as a result of such events.

Index Provider and Data Dependency Risk. The Sabres Index is maintained and calculated by a single Index Provider, FutureSports. If the Index Provider were to experience operational failures, cease operations, lose its data feed from the applicable sports league, experience a cybersecurity breach, or otherwise become unable to calculate the Sabres Index, Sabres Index Futures Contracts may have no reliable reference value, which could materially and adversely affect the value of the Fund. In addition, the Sabres Index is calculated solely on the basis of officially reported statistics from a single sports league. The league serves as the data source but does not participate in index determination or governance. If the league were to report incorrect statistics, issue post-game corrections, change how it reports or categorizes statistics, delay reporting, or discontinue the provision of data to the Index Provider, the settlement prices of Sabres Index Futures Contracts could be based on erroneous or incomplete data. Furthermore, the Index Provider controls the methodology by which official statistics are translated into index points. If the Index Provider amends or discontinues its methodology, the behavior of the Sabres Index could change materially and the futures market may not immediately price in such changes. The Sabres Index is calculated in real-time while games are being played, which introduces latency, data-feed, and computational risks that differ from those associated with traditional financial indexes.

Trading Hours and Sporting Event Timing Risk. NHL games may occur during evening hours, on weekends, and on holidays when the Exchange is closed and when the market for Sabres Index Futures Contracts may have limited or no trading activity. Because the Sabres Index moves in real-time while games are being played, material index movements may occur during periods when investors are unable to buy or sell Shares or when Sabres Index Futures Contracts are not actively trading. As a result, the opening price of Shares and the prices of Sabres Index Futures Contracts on the next trading session may differ significantly from the prior session’s closing prices, potentially resulting in large gaps at the open. Shareholders may not be able to sell their Shares until after such a gap has been fully realized, resulting in an inability to mitigate losses in a declining market.

Futures Contracts Risk. Risks of futures contracts include: (i) an imperfect correlation between the value of the futures contract and the underlying asset; (ii) possible lack of a liquid secondary market; (iii) the inability to close a futures contract when desired; (iv) losses caused by unanticipated market movements, which may be unlimited; (v) an obligation for the Fund to make daily cash payments to maintain its required margin, particularly at times when the Fund may have insufficient cash; and (vi) unfavorable execution prices from rapid selling. Unlike equities, which typically entitle the holder to a continuing stake in a corporation, futures contracts normally specify a certain date for settlement in cash based on the reference asset. As the futures contracts approach expiration, they may be replaced by similar contracts that have a later expiration. This process is referred to as “rolling.” If the market for these contracts is in “contango,” meaning that the prices of futures contracts in the nearer months are lower than the price of contracts in the distant months, the sale of the near-term month contract would be at a lower price than the longer-term contract, resulting in a cost to “roll” the futures contract. The actual realization of a potential roll cost will be dependent upon the difference in price of the near and distant contract. Because the margin requirement for futures contracts is less than the value of the assets underlying the futures contract, futures trading involves a degree of leverage. As a result, a relatively small price movement in a futures contract may result in immediate and substantial loss, as well as gain, to the investor. For example, if at the time of purchase, 40% of the value of the futures contract is deposited as margin, a subsequent 20% decrease in the value of the futures contract would result in a loss of half of the margin deposit, before any deduction for the transaction costs, if the account were then closed out. A decrease in excess of 40% would result in a loss exceeding the original margin deposit, if the futures contract were closed out. Thus, a purchase or sale of a futures contract may result in losses in excess of the amount initially invested in the futures contract. However, the Fund would presumably have sustained comparable losses if, instead of investing in the futures contract, it had invested in the underlying financial instrument and sold it after the decline. Further, if the market for Sabres Index Futures Contracts is in a period of contango, if the performance of the Sabres Index and the price of Sabres Index Futures Contracts were to decline, the Fund would experience the negative impact of contango. The impact of backwardation or contango may lead to the returns of the Fund to vary significantly from the total return of other price references. Additionally, in the event of a prolonged period of contango, and absent the impact of rising or falling pricing in the Sabres Index, this could have a significant negative impact on the Fund’s NAV and total return.

Position Limits and Price Limits

The CFTC and various exchanges on which Sabres Index Futures Contracts trade have established position limits and price limits for Sabres Index Futures Contracts. Position limit regulation and price limit regulation serve distinct purposes and are regulated differently.

Position limits are designed to prevent excessive speculation that could cause sudden or unreasonable fluctuations in the price of a commodity. They limit the maximum number of contracts a person or entity can hold in a particular commodity.

Price limits are mechanisms to maintain orderly markets by restricting the price range within which futures contracts can trade during a trading session. They prevent extreme price movements that could disrupt market stability. Price limits are typically set as a percentage of the previous day's settlement price. When price limits are hit, trading may be halted or expanded depending on the product and regulatory rules. Unlike position limits, price limits do not restrict the number of contracts a trader can hold but rather the price at which those contracts can be traded. When a price limit is hit, the market for Sabres Index Futures Contracts may temporarily halt until price limits can be expanded or trading may be stopped for the day.

If the Fund is unable to buy or sell Sabres Index Futures Contracts as a result of position limits being hit or price limits that result in a halted or closed market—or for other reasons including limited liquidity in the market for Sabres Index Futures Contracts, a disruption to the market for Sabres Index Futures Contracts, or as a result of margin requirements, accountability levels, or other limitations imposed by the Fund’s futures commission merchants (“FCMs”), the listing exchanges, or the CFTC—the Adviser would take such action as it believes appropriate and in the best interest of the Fund in consideration of the facts and circumstances at such time, including: (i) investing in Sabres Index-Linked Instruments that are not Sabres Index Futures Contracts; (ii) requiring that authorized participants purchase and redeem in large blocks of shares called “Creation Units” through an exchange for related position (EFRP) method rather than in cash; (iii) applying increased authorized participant variable transaction fees for purchases or redemptions of Creation Units made in cash; or (iv) de-levering the Fund, relative to its investment objective, by an amount reflecting prevailing price limits. In addition, the Fund generally may suspend the issuance of Creation Units only for a limited time and only due to extraordinary circumstances, such as when the markets on which the ETF’s portfolio holdings are traded are closed for a limited period of time; that is to say, when the Fund is unable to increase its exposure to underlying assets.

Cost of Futures Investment Risk. When a Sabres Index Futures Contract is nearing expiration, the Fund will generally sell it and use the proceeds to buy a Sabres Index Futures Contract with a later expiration date. This is commonly referred to as “rolling”.

If the Fund rolls Sabres Index Futures Contracts that are in contango, the Fund would sell a lower priced, expiring contract and purchase a higher priced, longer-dated contract. The price difference between the expiring contract and longer-dated contract associated with rolling Sabres Index Futures Contracts is typically substantially higher than the price difference associated with rolling other futures contracts. Contango in the market for Sabres Index Futures Contracts may have a significant adverse impact on the performance of the Fund and may cause Sabres Index Futures Contracts and the Fund to underperform the Sabres Index. Both contango and backwardation would reduce the Fund’s correlation to the Sabres Index and may limit or prevent the Fund from achieving its investment objective. The impact of both contango and backwardation may also be greater to the extent the Fund invests in back-month Sabres Index Futures Contracts. 

Investment Capacity Risk. If the Fund’s ability to obtain exposure to Sabres Index Futures Contracts consistent with its investment objective is disrupted for any reason, including but not limited to, limited liquidity in the market for Sabres Index Futures Contracts, a disruption to the market for Sabres Index Futures Contracts, or as a result of margin requirements or position limits imposed by the Fund’s FCMs, the CME, or the CFTC, and the Fund could not otherwise meet its investment objective through the use of other investments discussed above, the Fund would not be able to achieve its investment objective and may experience significant losses.

Liquidity Risk. The market for the Sabres Index Futures Contracts may be subject to periods of illiquidity. During such times it may be difficult or impossible to buy or sell a position at the desired price. Market disruptions or volatility can also make it difficult to find a counterparty willing to transact at a reasonable price and sufficient size. Illiquid markets may cause losses, which could be significant. Large positions also increase the risk of illiquidity, which may make the Fund’s positions more difficult to liquidate, and increase the losses incurred while trying to do so.

Derivatives Risk. In addition to Sabres Index Futures Contracts, the Fund may obtain exposure through the following other derivatives: (1) exchange traded options on Other Investment Companies and/or (2) swap agreement transactions that reference Sabres Index Futures Contracts, Other Investment Companies, or the Sabres Index.

Investing in derivatives may be considered aggressive and may expose the Fund to risks different from, or possibly greater than, the risks associated with investing directly in the reference asset(s) underlying the derivative (e.g., the securities or commodities contained in the Fund). The use of derivatives may result in larger losses or smaller gains than directly investing in securities or commodities. The risks of using derivatives include: (1) the risk that there may be imperfect correlation between the price of the financial instruments and movements in the prices of the reference asset(s); (2) the risk that an instrument is mispriced; (3) credit or counterparty risk on the amount a Fund expects to receive from a counterparty; (4) the risk that securities prices, interest rates and currency markets will move adversely and a Fund will incur significant losses; (5) the risk that the cost of holding a financial instrument might exceed its total return; and (6) the possible absence of a liquid secondary market for a particular instrument and possible exchange imposed price fluctuation limits, either of which may make it difficult or impossible to adjust a Fund’s position in a particular instrument when desired. Each of these factors may prevent a Fund from achieving its investment objective and may increase the volatility (i.e., fluctuations) of the Fund’s returns. Because derivatives often require limited initial investment, the use of derivatives also may expose a Fund to losses in excess of those amounts initially invested.

The performance of any Sabres Index-Linked Instrument may not track the performance of its underlying benchmark due to embedded costs and other factors. Thus, to the extent the Fund invests in swaps that use a Sabres Index-Linked Instrument as the reference asset, the Fund may be subject to greater correlation risk and may not achieve as high a degree of correlation with its investment objective than if the Fund only used Sabres Index Futures Contracts.

Swap Agreements Risk. The Fund may enter into cash-settled swaps and other derivatives to gain exposure to an underlying asset without actually purchasing such asset. Swaps are two-party contracts entered into primarily by institutional investors for periods ranging from a day to more than one year. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on a particular pre-determined interest rate, commodity, security, indexes, or other assets or measurable indicators. The primary risks associated with the use of swaps are mispricing or improper valuation, imperfect correlation between movements in the notional amount and the price of the underlying investments, and the failure of a counterparty to perform. If a counterparty’s creditworthiness for an over-the-counter swap declines, the value of the swap would likely decline. Moreover, there is no guarantee that the Fund could eliminate its exposure under an outstanding swap by entering into an offsetting swap with the same or another party. In addition, the Fund may use a combination of swaps on an underlying index.

Options Risk. The Fund may purchase exchange-traded options that reference shares of Other Investment Companies. Transactions in options generally require less capital than equivalent stock transactions. They may return smaller dollar figures but a potentially greater percentage of the investment than equivalent stock transactions. The potential profit is limited to the premium received for the contract. The potential loss can be unlimited. While leverage means the percentage returns can be significant, the amount of cash required is smaller than equivalent stock transactions. It is possible to lose the entire principal invested, and sometimes more. As an options holder, a Fund risks the entire amount of the premium it pays. But as an options writer, it takes on a much higher level of risk. For example, if the Fund writes an uncovered call, it faces unlimited potential loss, since there is no cap on how high a stock price can rise. When buying options, a Fund risks losing the premium paid, plus commissions and fees.

Reverse Repurchase Agreements Risk. The Fund may invest in reverse repurchase agreements. Reverse repurchase agreements are transactions in which the Fund sells portfolio securities to financial institutions such as banks and broker-dealers, and agrees to repurchase them at a mutually agreed-upon date and price which is higher than the original sale price. Reverse repurchase agreements are a form of leverage and the use of reverse repurchase agreements by the Fund may increase the Fund’s volatility. The Fund incurs costs, including interest expenses, in connection with the opening and closing of reverse repurchase agreements that will be borne by the shareholders.

Reverse repurchase agreements are also subject to the risk that the other party to the reverse repurchase agreement will be unable or unwilling to complete the transaction as scheduled, which may result in losses to the Fund. In situations where the Fund is required to post collateral with a counterparty, the counterparty may fail to segregate the collateral or may commingle the collateral with the counterparty’s own assets. As a result, in the event of the counterparty’s bankruptcy or insolvency, the Fund’s collateral may be subject to the conflicting claims of the counterparty’s creditors, and the Fund may be exposed to the risk of a court treating the Fund as a general unsecured creditor of the counterparty, rather than as the owner of the collateral. There can be no assurance that a counterparty will not default and that the Fund will not sustain a loss on a transaction as a result.

Reverse repurchase agreements also involve the risk that the market value of the securities sold by the Fund may decline below the price at which it is obligated to repurchase the securities. In addition, when the Fund invests the proceeds it receives in a reverse repurchase transaction, there is a risk that those investments may decline in value. In this circumstance, the Fund could be required to sell other investments in order to meet its obligations to repurchase the securities.

Risks Related to Investing in Other Investment Companies. The Fund may invest in long or short positions in Other Investment Companies (i.e., investment companies registered under the 1940 Act that invest in similar assets to those in which the Fund may invest). Investing in Other Investment Companies may involve duplication of advisory or management fees and certain other expenses. By investing in Other Investment Companies, the Fund becomes a shareholder of that Other Investment Company. As a result, Fund shareholders indirectly bear the Fund’s proportionate share of the fees and expenses paid by shareholders of the Other Investment Company, in addition to the fees and expenses Fund shareholders bear in connection with the Fund’s own operations. As a shareholder, the Fund must rely on the Other Investment Company to achieve its investment objective. The Fund’s performance may be magnified positively or negatively by virtue of its investment in the Other Investment Company. If the Other Investment Company fails to achieve its investment objective, the value of the Fund’s investment could decline, thus affecting the Fund’s performance. In addition, because certain Other Investment Company shares are listed on national stock exchanges and are traded like stocks on an exchange, their shares potentially may trade at a discount or a premium. Investments in such shares may be subject to brokerage and other trading costs, which could result in greater expenses to the Fund. Finally, because the value of certain Other Investment Company shares may depend on the demand in the market, the Adviser may not be able to liquidate the Fund’s holdings in those shares at the most optimal time, adversely affecting the Fund’s performance.

Collateral Investments Risk. The Fund’s use of Collateral Investments may include obligations issued or guaranteed by the U.S. Government, its agencies and instrumentalities, including bills, notes and bonds issued by the U.S. Treasury, investment companies registered under the 1940 Act that invest in high-quality securities and corporate debt securities, such as commercial paper.

Some securities issued or guaranteed by federal agencies and U.S. Government-sponsored instrumentalities may not be backed by the full faith and credit of the United States, in which case the investor must look principally to the agency or instrumentality issuing or guaranteeing the security for ultimate repayment, and may not be able to assert a claim against the United States itself in the event that the agency or instrumentality does not meet its commitment. The U.S. Government, its agencies and instrumentalities do not guarantee the market value of their securities, and consequently, the value of such securities may fluctuate. Although the Fund may hold securities that carry U.S. Government guarantees, these guarantees do not extend to the Shares.

Investment companies that invest in high-quality securities are subject to management fees and other expenses. Therefore, investments in these funds will cause the Fund to bear indirectly a proportional share of the fees and costs of the funds in which it invests. At the same time, the Fund will continue to pay its own management fees and expenses with respect to all of its assets, including any portion invested in the shares of such fund. It is possible to lose money by investing in investment companies that invest in high-quality securities.

Corporate debt securities such as commercial paper generally are short-term unsecured promissory notes issued by businesses. Corporate debt may carry variable or floating rates of interest. Corporate debt securities carry both credit risk and interest rate risk. Credit risk is the risk that the Fund could lose money if the issuer of a corporate debt security is unable to pay interest or repay principal when it is due.

Asset Concentration Risk. Since the Fund may take concentrated positions in Sabres Index Futures Contracts, the Fund’s performance may be hurt disproportionately and significantly by the poor performance of those positions to which it has significant exposure. Asset concentration makes the Fund more susceptible to any single occurrence affecting the underlying positions and may subject the Fund to greater market risk than more diversified funds.

Counterparty Risk. The Fund will be subject to credit risk (i.e., the risk that a counterparty is unwilling or unable to make timely payments or otherwise meet its contractual obligations) with respect to the amount the Fund expects to receive from counterparties to: Sabres Index Futures Contracts; reverse repurchase agreements; swaps on Sabres Index Futures Contracts, Other Investment Companies, or the Sabres Index.

The Fund may be negatively impacted if a counterparty becomes bankrupt or otherwise fails to perform its obligations under such an agreement. The Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding and the Fund may obtain only limited recovery or may obtain no recovery in such circumstances. In order to attempt to mitigate potential counterparty credit risk, the Fund typically enters into transactions with major financial institutions.

The counterparty to an exchange-traded futures contract is subject to the credit risk of the clearing house and the FCM through which it holds its position. Specifically, the FCM or the clearing house could fail to perform its obligations, causing significant losses to the Fund. For example, the Fund could lose margin payments it has deposited with an FCM as well as any gains owed but not paid to the Fund, if the FCM or clearing house becomes insolvent or otherwise fails to perform its obligations. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. Under current CFTC regulations, a FCM maintains customers’ assets in a bulk segregated account. If a FCM fails to do so, or is unable to satisfy a substantial deficit in a customer account, its other customers may be subject to risk of loss of their funds in the event of that FCM’s bankruptcy. In that event, in the case of futures, the FCM’s customers are entitled to recover, even in respect of property specifically traceable to them, only a proportional share of all property available for distribution to all of that FCM’s customers. In addition, if the FCM does not comply with the applicable regulations, or in the event of a fraud or misappropriation of customer assets by the FCM, the Fund could have only an unsecured creditor claim in an insolvency of the FCM with respect to the margin held by the FCM. FCMs are also required to transfer to the clearing house the amount of margin required by the clearing house, which amount is generally held in an omnibus account at the clearing house for all customers of the FCM. In addition, the Fund may enter into futures contracts and repurchase agreements with a limited number of counterparties, which may increase the Fund’s exposure to counterparty credit risk. The Fund does not specifically limit its counterparty risk with respect to any single counterparty.

Further, there is a risk that no suitable counterparties are willing to enter into reverse repurchase agreements with the Fund, or continue to enter into, reverse repurchase agreement transactions with the Fund and, as a result, the Fund may not be able to achieve its investment objective. There is also the risk that the Fund may not be able to engage in reverse repurchase agreement transactions because suitable counterparties refuse to enter into transactions with the Fund. Contractual provisions and applicable law may prevent or delay the Fund from exercising its rights to terminate an investment or transaction with a financial institution experiencing financial difficulties, or to realize on collateral, and another institution may be substituted for that financial institution without the consent of the Fund. If the credit rating of a counterparty to a futures contract and/or repurchase agreement declines, the Fund may nonetheless choose or be required to keep existing transactions in place with the counterparty, in which event the Fund would be subject to any increased credit risk associated with those transactions. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the possibility exists that the Fund’s ability to exercise remedies, such as the termination of transactions, netting of obligations and realization on collateral, could be stayed or eliminated under special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide government authorities with broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, the regulatory authorities could reduce, eliminate, or convert to equity the liabilities to the Fund of a counterparty who is subject to such proceedings in the European Union (sometimes referred to as a “bail in”).

Credit Risk. An issuer or other obligated party of a debt security may be unable or unwilling to make dividend, interest and/or principal payments when due. In addition, the value of a debt security may decline because of concerns about the issuer’s ability or unwillingness to make such payments.

Debt Securities Risk. Investments in debt securities subject the holder to the credit risk of the issuer. Credit risk refers to the possibility that the issuer or other obligor of a security will not be able or willing to make payments of interest and principal when due. Generally, the value of debt securities will change inversely with changes in interest rates. To the extent that interest rates rise, certain underlying obligations may be paid off substantially slower than originally anticipated and the value of those securities may fall sharply. During periods of falling interest rates, the income received by the Fund may decline. If the principal on a debt security is prepaid before expected, the prepayments of principal may have to be reinvested in obligations paying interest at lower rates. Debt securities generally do not trade on a securities exchange making them generally less liquid and more difficult to value than common stock.

Interest Rate Risk. Interest rate risk is the risk that the value of the debt securities in the Fund’s portfolio will decline because of rising market interest rates. Interest rate risk is generally lower for shorter term debt securities and higher for longer-term debt securities. Duration is a reasonably accurate measure of a debt security’s price sensitivity to changes in interest rates and a common measure of interest rate risk. Duration measures a debt security’s expected life on a present value basis, taking into account the debt security’s yield, interest payments and final maturity. In general, duration represents the expected percentage change in the value of a security for an immediate 1% change in interest rates. For example, the price of a debt security with a three-year duration would be expected to drop by approximately 3% in response to a 1% increase in interest rates. Therefore, prices of debt securities with shorter durations tend to be less sensitive to interest rate changes than debt securities with longer durations. As the value of a debt security changes over time, so will its duration.

Clearing Broker Risk. The Fund’s investments in exchange-traded futures contracts expose it to the risks of a clearing broker (or a FCM). Under current regulations, a clearing broker or FCM maintains customers’ assets in a bulk segregated account. There is a risk that Fund assets deposited with the clearing broker to serve as margin may be used to satisfy the broker’s own obligations or the losses of the broker’s other clients. In the event of default, the Fund could experience lengthy delays in recovering some or all of its assets and may not see any recovery at all. Furthermore, the Fund is subject to the risk that no FCM is willing or able to clear the Fund’s transactions or maintain the Fund’s assets. If the Fund’s FCMs are unable or unwilling to clear the Fund’s transactions, or if the FCM refuses to maintain the Fund’s assets, the Fund will be unable to have its orders for Sabres Index Futures Contracts fulfilled or assets custodied. In such a circumstance, the performance of the Fund will likely deviate from the performance of changes in the Sabres Index and may result in the proportion of Sabres Index Futures Contracts in the Fund’s portfolio relative to the total assets of the Fund to decrease.

Non-Diversification Risk. The Fund is classified as a “non-diversified company” under the 1940 Act. As a result, the Fund is only limited as to the percentage of its assets which may be invested in the securities of any one issuer by the diversification requirements imposed by the Code. The Fund may invest a relatively high percentage of its assets in a limited number of issuers. As a result, the Fund may be more susceptible to a single adverse economic or regulatory occurrence affecting one or more of these issuers, experience increased volatility and be highly invested in certain issuers.

Risks Related to the Management of the Fund

Active Management Risk. The Fund is actively managed, and its performance reflects investment decisions that the Adviser makes for the Fund. Such judgments about the Fund’s investments may prove to be incorrect. If the investments selected and the strategies employed by the Fund fail to produce the intended results, the Fund could underperform as compared to other funds with similar investment objectives and/or strategies, or could have negative returns.

Frequent Trading Risk. The Fund regularly purchases and subsequently sells (i.e., “rolls”) individual futures contracts throughout the year so as to maintain a fully invested position. As the contracts near their expiration dates, the Fund rolls them over into new contracts. This frequent trading of contracts may increase the amount of commissions or mark-ups to broker-dealers that the Fund pays when it buys and sells contracts, which may detract from the Fund’s performance. High portfolio turnover may result in the Fund paying higher levels of transaction costs and may generate greater tax liabilities for shareholders. Frequent trading risk may cause the Fund’s performance to be less than expected.

Rebalancing Risk. If for any reason the Fund is unable to rebalance all or a portion of its portfolio, or if all or a portion of the portfolio is rebalanced incorrectly, the Fund may be over- or under-exposed to the returns of the Sabres Index. Additionally, because the market for Sabres Index Futures Contracts is nascent and may be thinly traded, the Fund’s own trading activity, including purchases, sales, and rolling of contracts, could materially influence the prices of Sabres Index Futures Contracts. If the Fund represents a significant portion of the open interest or trading volume, its activity could move prices against it, resulting in higher costs and reduced returns. If other market participants anticipate the Fund’s trading patterns, they may engage in front-running or other anticipatory trading strategies that further increase the Fund’s transaction costs. The trading activity associated with such transactions will contribute to the existing trading volume on the underlying futures contracts and may adversely affect the market price of such underlying futures contracts.

Operational Risk. The Fund is exposed to operational risks 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 and the Adviser seek to reduce these operational risks through controls and procedures. However, these measures do not address every possible risk and may be inadequate to address these risks.

Valuation Risk. The Fund or the Subsidiary may hold securities or other assets that may be valued on the basis of factors other than market quotations. This may occur because the asset or security does not trade on a centralized exchange, or in times of market turmoil or reduced liquidity. There are multiple methods that can be used to value a portfolio holding when market quotations are not readily available. The value established for any portfolio holding at a point in time might differ from what would be produced using a different methodology or if it had been priced using market quotations. Portfolio holdings that are valued using techniques other than market quotations, including “fair valued” assets or securities, may be subject to greater fluctuation in their valuations from one day to the next than if market quotations were used. In addition, there is no assurance that the Fund or the Subsidiary could sell or close out a portfolio position for the value established for it at any time, and it is possible that the Fund or the Subsidiary would incur a loss because a portfolio position is sold or closed out at a discount to the valuation established by the Fund or the Subsidiary at that time. The Fund’s ability to value investments may be impacted by technological issues or errors by pricing services or other third-party service providers.

New Fund Risk. As of the date of this prospectus, the Fund has no operating history and currently has fewer assets than larger funds. Like other new funds, large inflows and outflows may impact the Fund’s market exposure for limited periods of time. This impact may be positive or negative, depending on the direction of market movement during the period effected.

Risks Related to Trading of Shares

Trading Issues Risk. 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. The Fund may have difficulty maintaining its listing on the Exchange in the event the Fund’s assets are small, the Fund does not have enough shareholders, or if the Fund is unable to proceed with creation and/or redemption orders.

Authorized Participant Concentration Risk. Only an “authorized participant” or “AP” (i.e., broker-dealers and large institutional investors that have entered into participation agreement with the Fund) may engage in creation or redemption transactions directly with the Fund. The Fund has a limited number of institutions that act as APs on an agency basis (i.e. on behalf of other market 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 AP is able to step forward to create or redeem, in either of these cases, Shares may trade at a discount to the Fund’s net asset value and possibly face delisting.

Market Maker Risk. If the Fund has lower average daily trading volumes, it may rely on a small number of third-party market makers to provide a market for the purchase and sale of Shares. Any trading halt or other problem relating to the trading activity of these market makers could result in a dramatic change in the spread between the Fund’s net asset value and the price at which the Shares are trading on the Exchange, which could result in a decrease in value of the Shares. In addition, decisions by market makers or APs to reduce their role or step away from these activities in times of market stress could inhibit the effectiveness of the arbitrage process in maintaining the relationship between the underlying values of the Fund’s portfolio securities and the Fund’s market price. This reduced effectiveness could result in Shares trading at a discount to net asset value and also in greater than normal intra-day bid-ask spreads for Shares.

Premium/Discount Risk. The market price of the Fund’s Shares will generally fluctuate in accordance with changes in the Fund’s net asset value as well as the relative supply of and demand for Shares on the Exchange. The Fund’s market price may deviate from the value of the Fund’s underlying portfolio holdings, particularly in time of market stress, with the result that investors may pay more or receive less than the underlying value of the Shares bought or sold. The Adviser cannot predict whether Shares will trade below, at, or above their net asset value because the Shares trade on the Exchange at market prices and not at net asset value. 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, but not identical, to the same forces influencing the prices of the holdings of the Fund trading individually or in the aggregate at any point in time. However, given that Shares can only be purchased and redeemed in Creation Units, and only to and from broker-dealers and large institutional investors that have entered into participation agreements (unlike shares of closed-end funds, which frequently trade at appreciable discounts from, and sometimes at premiums to, their net asset value), the Adviser believes that large discounts or premiums to the net asset value of Shares should not be sustained. In addition, because the Fund provides exposure to the statistical performance of a single professional sports team, demand for Shares may be influenced by fan loyalty, emotional attachment, and team-related sentiment rather than by rational assessments of the Fund’s expected risk-adjusted returns. These demand patterns could increase intraday volatility in Fund Shares, widen bid-ask spreads, and result in investors purchasing or selling Shares at prices that do not reflect the Fund’s underlying NAV. During stressed market conditions, the market for the Fund’s Shares may become less liquid in response to deteriorating liquidity in the market for the Fund’s underlying portfolio holdings, which could in turn lead to differences between the market price of the Fund’s Shares and their net asset value. This can be reflected as a spread between the bid and ask prices for the Fund quoted during the day or a premium or discount in the closing price from the Fund’s NAV.

Active Market Risk. Although the Shares are listed for trading on the Exchange, there can be no assurance that an active trading market for the Shares will develop or be maintained. Shares trade on the Exchange at market prices that may be below, at or above the Fund’s net asset value. Securities, including the Shares, are subject to market fluctuations and liquidity constraints that may be caused by such factors as economic, political, or regulatory developments, changes in interest rates, and/or perceived trends in securities prices. Shares of the Fund could decline in value or underperform other investments.

Cash Transaction Risk. Most ETFs generally make in-kind redemptions to avoid being taxed at the fund level on gains on the distributed portfolio securities. However, unlike most ETFs, the Fund currently intends to effect some or all redemptions for cash, rather than in-kind, because of the nature of the Fund’s investments. The Fund may be required to sell portfolio securities to obtain the cash needed to distribute redemption proceeds, which involves transaction costs that the Fund may not have incurred had it effected redemptions entirely in kind. These costs may include brokerage costs and/or taxable gains or losses, which may be imposed on the Fund and decrease the Fund’s NAV to the extent such costs are not offset by a transaction fee payable to an AP. If the Fund recognizes gain on these sales, this generally will cause the Fund to recognize gain it might not otherwise have recognized if it were to distribute portfolio securities in-kind, or to recognize such gain sooner than would otherwise be required. This may decrease the tax efficiency of the Fund compared to ETFs that utilize an in-kind redemption process, and there may be a substantial difference in the after-tax rate of return between the Fund and other ETFs.

Risks Related to Regulation, External Factors, and Federal Income Tax Consequences

Tax Risk. The Fund intends to elect and to qualify each year to be treated as a RIC under Subchapter M of the Code. As a RIC, the Fund will not be subject to U.S. federal income tax on the portion of its net investment income and net capital gain that it distributes to shareholders, provided that it satisfies certain requirements of the Code. If the Fund does not qualify as a RIC for any taxable year and certain relief provisions are not available, the Fund’s taxable income will be subject to tax at the Fund level and to a further tax at the shareholder level when such income is distributed. Additionally, buying securities shortly before the record date for a taxable dividend or capital gain distribution is commonly known as “buying the dividend.” In the event a shareholder purchases Shares shortly before such a distribution, the entire distribution may be taxable to the shareholder even though a portion of the distribution effectively represents a return of the purchase price. To comply with the asset diversification test applicable to a RIC, the Fund will limit its investments in the Subsidiary to 25% of the Fund’s total assets at the end of each tax quarter. The investment strategy of the Fund will cause the Fund to hold substantially more than 25% of the Fund’s total assets in investments in the Subsidiary the majority of the time. The Fund intends to manage the exposure to the Subsidiary so that the Fund’s investments in the Subsidiary do not exceed 25% of the total assets at the end of any tax quarter. If the Fund’s investments in the Subsidiary were to exceed 25% of the Fund’s total assets at the end of a tax quarter, the Fund, generally, has a grace period to cure such lack of compliance. If the Fund fails to timely cure, it may no longer be eligible to be treated as a RIC.

Because Sabres Index Futures Contracts produce non-qualifying income for purposes of qualifying as a RIC, the Fund makes its investments in Sabres Index Futures Contracts through the Subsidiary. The Fund intends to treat any income it may derive from the futures contracts received by the Subsidiary as “qualifying income” under the provisions of the Code applicable to RICs. The IRS has issued PLRs provided to third parties not associated with the Fund or its affiliates (which only those parties may rely on as precedent) concluding that similar arrangements resulted in qualifying income. Many of such PLRs have now been revoked by the IRS. In March of 2019, the Internal Revenue Service published Regulations that concluded that income from a corporation similar to the Subsidiary would be qualifying income, if the income is related to the Fund’s business of investing in stocks or securities. Although the Regulations do not require distributions from the Subsidiary, the Fund intends to cause the Subsidiary to make distributions that would allow the Fund to make timely distributions to its shareholders. The Fund generally will be required to include in its own taxable income the income of the Subsidiary for a tax year, regardless of whether the Fund receives a distribution of the Subsidiary’s income in that tax year, and this income would nevertheless be subject to the distribution requirement for qualification as a RIC and would be taken into account for purposes of the 4% excise tax.

If, in any year, the Fund were to fail to qualify for the special tax treatment accorded a RIC and its shareholders, and were ineligible to or were not to cure such failure, the Fund would be taxed in the same manner as an ordinary corporation subject to U.S. federal income tax on all its income at the fund level. The resulting taxes could substantially reduce the Fund’s net assets and the amount of income available for distribution. In addition, in order to requalify for taxation as a RIC, the Fund could be required to recognize unrealized gains, pay substantial taxes and interest, and make certain distributions.

Subsidiary Regulatory Investment Risk. Changes in the laws of the United States and/or the Cayman Islands, under which the Fund and the Subsidiary are organized, respectively, could result in the inability of the Fund to operate as intended and could negatively affect the Fund and its shareholders. The Subsidiary is not registered under the 1940 Act and is not subject to all the investor protections of the 1940 Act. However, as the Subsidiary is wholly-owned by the Fund, and the investors of the Fund will have the investor protections of the 1940 Act, the Fund as a whole—including the Subsidiary—will provide investors with 1940 Act protections.

Commodity Regulatory Risk. The Fund’s use of commodity futures subject to regulation by the CFTC has caused the Fund to be classified as a “commodity pool” and this designation requires that the Fund comply with CFTC rules, which may impose additional regulatory requirements and compliance obligations. The Fund’s investment decisions may need to be modified, and commodity contract positions held by the Fund may have to be liquidated at disadvantageous times or prices, to avoid exceeding any applicable position limits established by the CFTC, potentially subjecting the Fund to substantial losses. The regulation of commodity transactions in the United States is subject to ongoing modification by government, self-regulatory and judicial action. The effect of any future regulatory change with respect to any aspect of the Fund is impossible to predict, but could be substantial and adverse to the Fund.

Regulatory Risk. The regulatory framework governing sports-linked financial instruments is evolving and subject to significant uncertainty. Sabres Index Futures Contracts are a novel instrument class for which there is limited regulatory precedent. The CFTC has broad discretionary authority to determine whether particular contracts are consistent with the public interest, including authority to disapprove or direct an exchange to delist contracts that the CFTC determines involve gaming, are unlawful, or otherwise run contrary to the purposes of the CEA. The CFTC has recently proposed amendments to its rules concerning event contracts, commonly referred to as prediction markets, to specify which contracts may be determined contrary to the public interest and therefore may not be listed for trading or accepted for clearing on or through a CFTC-regulated entity. The CFTC or the listing exchange could, at any time and without advance notice, impose new conditions, margin or position-limit requirements, reporting obligations, trading halts, settlement adjustments, or delisting actions. Any such changes could, among other things; (i) impair the Fund’s ability to establish, maintain, or close positions; (ii) require the Fund to liquidate positions at disadvantageous prices; (iii) alter the economic characteristics on which the Fund relies; or (iv) render the Fund’s principal investment strategy impractical. In addition, future legislative, judicial, or administrative developments could retroactively affect the permissibility, settlement mechanics, or availability of Sabres Index Futures Contracts. These developments may occur abruptly and may not provide mechanisms for investor recourse or for the orderly unwind of positions. There can be no assurance that the regulatory environment for sports-linked financial instruments will remain stable or favorable.

Cyber Security Risk. The Fund is susceptible to operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional events that may cause the Fund to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause the Fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. Cyber security breaches may involve unauthorized access to the Fund’s digital information systems through “hacking” or malicious software coding, but may also result from outside attacks such as denial-of-service attacks through efforts to make network services unavailable to intended users. In addition, cyber security breaches of the Fund’s third-party service providers, such as its administrator, transfer agent, or custodian, as applicable, or issuers in which the Fund invests, can also subject the Fund to many of the same risks associated with direct cyber security breaches. While the Fund has established business continuity plans and risk management systems designed to reduce the risks associated with cyber security, there are inherent limitations in such plans and systems. Additionally, there is no guarantee that such efforts will succeed, especially because the Fund does not directly control the cyber security systems of issuers or third-party service providers.

Natural Disaster/Epidemic Risk. Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks, and result in significant breakdowns, delays, shutdowns, social isolation, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Fund and its investments. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy of financial projections. Under these circumstances, the Fund may have difficulty achieving its investment objectives which may adversely impact Fund performance. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Fund’s investment advisor, third party service providers, and counterparties), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Fund’s investments. These factors can cause substantial market volatility, exchange trading suspensions and closures, changes in the availability of and the margin requirements for certain instruments, and can impact the ability of the Fund to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market. A widespread crisis would also affect the global economy in ways that cannot necessarily be foreseen. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these could have a significant impact on the Fund’s performance, resulting in losses to your investment.

Performance

As of the date of this prospectus, the Fund has not yet commenced operations and therefore does not have a performance history. Once available, the Fund’s performance information will be accessible on the Fund’s website at www.volatilityshares.com and will provide some indication of the risks of investing in the Fund.

Management

Investment Adviser

Volatility Shares LLC 

Portfolio Managers

The following persons serve as portfolio managers of the Fund. 

Each of the portfolio managers is primarily and jointly responsible for the day-to-day management of the Fund. Each of the Fund’s portfolio managers have served in such capacity since the Fund’s inception.

Purchase and Sale of Shares

The Fund issues and redeems Shares on a continuous basis, at NAV, only in large blocks of shares called “Creation Units.” Individual Shares may only be purchased and sold on the secondary market through a broker-dealer at a market price. Since Shares trade on securities exchanges in the secondary market at their market price rather than their NAV, the Shares may trade at a price greater than (premium) or less than (discount) the Fund’s NAV. An investor may incur costs attributable to the difference between the highest price a buyer is willing to pay to purchase Shares (bid) and the lowest price a seller is willing to accept for Shares (ask) when buying or selling Shares in the secondary market (the “bid-ask spread”). Recent information, including the Fund’s NAV, market price, premiums and discounts, and bid-ask spreads, is available online at www.volatilityshares.com.

Tax Information

The Fund’s distributions will generally be taxable as ordinary income, returns of capital or capital gains. A sale of Shares may result in capital gain or loss.

Payments to Broker-Dealers and Other Financial Intermediaries

If you purchase Shares through a broker-dealer or other financial intermediary (such as a bank), the Adviser and Foreside Fund Services, LLC, the Fund’s distributor (the “Distributor”), may pay the intermediary for the sale of Shares and 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.

Calgary Flames ETF

Investment Objective

The Calgary Flames ETF (the “Fund” or “[__]”) seeks to provide investment results, before fees and expenses, that correspond to the performance of futures contracts on the CME FSPI NHL Calgary Flames Index.

Fees and Expenses of the Fund

This table describes the fees and expenses that you may pay if you buy, hold and sell Shares. Investors may pay other fees, such as brokerage commissions and other fees to financial intermediaries, which are not reflected in the table and example set forth below.

Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment)

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 assumes that you invest $10,000 in the Fund for the time periods indicated and then sell all of your Shares at the end of those periods. The example also assumes that your investment has a 5% return each year and that the Fund’s operating expenses remain at current levels. This example does not include the brokerage commissions that investors may pay to buy and sell Shares.

Although your actual costs may be higher or lower, your costs, based on these assumptions, would be:

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 will cause the Fund to incur additional transaction costs and may result in higher taxes when Shares are held in a taxable account. These costs, which are not reflected in Total Annual Fund Operating Expenses or in the example, may affect the Fund’s performance. Because the Fund is new, portfolio turnover information is unavailable at this time.

Principal Investment Strategies 

The Fund is an exchange-traded fund (“ETF”) that seeks to achieve its investment objective primarily through investments in futures contracts on the CME FSPI NHL Calgary Flames Index, which is a non-investable index (the “Flames Index”). The Flames Index is designed to systemically measure the cumulative team performance of the Calgary Flames only during games played over the regular and post-season. The Flames Index is a transparent, rules-based system using official league statistics, where positive actions add points and negative actions subtract points. The Flames Index is based on fifty-five statistical measures of performance and results of team games (wins, losses and ties) that results in continuous, live statistical values that underpin the value of the Flames Index which is calculated into a trackable and tradable number. The Flames Index is based solely on these statistical factors, and the performance of other professional hockey teams in the National Hockey League^® (the “NHL”), or events outside of on-ice performance by the Calgary Flames, will not impact the value of the Flames Index.

The Flames Index has an initial standardized base value of 7,500 before the season and moves up or down based on officially reported statistics from each game, including real-time movement during regular season and postseason play. At the conclusion of the postseason, the Flames Index value resets to 7,500.

The Flames Index is maintained and calculated by FutureSports (the “Index Provider”). The Flames Index methodology is designed to align with the International Organization of Securities Commissions (“IOSCO”) Principles for Financial Benchmarks and supported by published governance, oversight and methodology change procedures. The NHL serves as the official data source for the Flames Index but does not participate in index determination or governance.

The Fund obtains exposure to the Flames Index by investments in futures contracts that reference the Flames Index and that trade on an exchange registered with the Commodity Futures Trading Commission (“Flames Index Futures Contracts”), and cash, cash-like instruments or high quality securities that serve as collateral to the Fund’s investments in Flames Index Futures Contracts (“Collateral Investments”).

Under normal circumstances, the Fund will invest at least 80% of the value of its net assets (plus borrowings for investment purposes) in Flames Index-Linked Instruments. For purposes of this policy, “Flames Index-Linked Instruments” means (i) Flames Index Futures Contracts; (ii) shares of other investment companies registered under the Investment Company Act of 1940 (the “1940 Act”) that invest in similar assets to those in which the Fund may invest (“Other Investment Companies”); (iii) exchange traded options on the Flames Index or shares of Other Investment Companies; and (iv) swap agreement transactions that reference Flames Index Futures Contracts, Other Investment Companies, or the Flames Index. Certain Flames Index-Linked Instruments, such as Other Investment Companies or options thereon, are currently unavailable for investment, though are expected to become available in the future.

The Fund expects to gain investment exposure to the Flames Index by investing a portion of its assets in a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands (the “Subsidiary”).

The Fund does not invest directly in prediction markets, event contracts or other instruments that provide exposure to individual sporting event or season-long outcomes or to investments that provide exposure to the financial performance of individual sports teams or leagues. Instead, the Fund seeks to benefit from increases in the price of Flames Index Futures Contracts.

The investment adviser to the Fund and the Subsidiary is Volatility Shares LLC (the “Adviser” or “Volatility Shares”). The Adviser oversees the Fund and implements the day-to-day portfolio management responsibilities for the Fund. In serving as investment adviser to the Fund, the Adviser does not conduct conventional investment research or analysis or forecast market movement or trends.

The Fund is classified as a “non-diversified company” under the 1940 Act. The Fund will not concentrate its investments in securities of issuers in any industry or group of industries, as the term “concentrate” is used in the 1940 Act, except that the Fund may invest more than 25% of its total assets in Flames Index-Linked Instruments.

The Calgary Flames

The Calgary Flames are a professional ice hockey team based in Calgary, Alberta, competing in the Pacific Division of the NHL’s Western Conference. During the 2025–2026 season, the Flames finished seventh in the Pacific Division, ranking 30th in standings points, 32nd in goals for, 21st in goals against, and 30th in goal differential. The Flames were founded in 1972 as the Atlanta Flames by real estate developer Tom Cousins. The Flames are currently owned by Calgary Sports and Entertainment Corporation, with Murray Edwards serving as Chairman since 1994. The team has won one Stanley Cup championship, capturing the title in 1989. Neither the Fund, the Trust, nor the Adviser is affiliated with the Calgary Flames.

Flames Index Futures Contracts

The Fund intends to typically enter into cash-settled Flames Index Futures Contracts as the “buyer,” except as detailed below.

In simplest terms, in a cash-settled futures market the counterparty pays cash to the buyer if the price of a futures contract goes up, and buyer pays cash to the counterparty if the price of the futures contract goes down. In order to maintain its exposure to the Flames Index, the Fund intends to exit its futures contracts as they near expiration and replace them with new futures contracts with a later expiration date. Futures contracts with a longer term to expiration may be priced higher than futures contracts with a shorter term to expiration, a relationship called “contango”. When rolling futures contracts that are in contango the Fund will close its long position by selling the shorter-term contract at a relatively lower price and buying a longer-dated contract at a relatively higher price. The presence of contango will adversely affect the performance of the Fund. Conversely, futures contracts with a longer term to expiration may be priced lower than futures contracts with a shorter term to expiration, a relationship called “backwardation”. When rolling long futures contracts that are in backwardation, the Fund will close its long position by selling the shorter-term contract at a relatively higher price and buying a longer-dated contract at a relatively lower price. The presence of backwardation may positively affect the performance of the Fund. Further, the returns of the Flames Index Futures Contracts may differ from that of the Flames Index due to the divergence in prices or the costs associated with investing in futures contracts, which may negatively impact the Fund’s returns.

The Fund invests in Flames Index Futures Contracts indirectly via the Subsidiary. The Subsidiary and the Fund will have the same investment adviser and investment objective. The Subsidiary will also follow the same general investment policies and restrictions as the Fund. Except as noted herein, for purposes of this Prospectus, references to the Fund’s investment strategies and risks include those of the Subsidiary. The Fund complies with the provisions of the 1940 Act governing investment policies and capital structure and leverage on an aggregate basis with the Subsidiary. Furthermore, the Adviser, as the investment adviser to the Subsidiary, complies with the provisions of the 1940 Act relating to investment advisory contracts as it relates to its advisory agreement with the Subsidiary. The Subsidiary also complies with the provisions of the 1940 Act relating to affiliated transactions and custody. Because the Fund intends to qualify for treatment as a regulated investment company (a “RIC”) under the Internal Revenue Code of 1986 (the “Code”), the size of the Fund’s investment in the Subsidiary will not exceed 25% of the Fund’s total assets at or around each quarter end of the Fund’s fiscal year. In order to qualify as a RIC, the Fund will have to reduce its exposure to its Subsidiary on or around the end of each of the Fund’s fiscal quarter ends. The Fund expects to reduce its exposure to its Subsidiary during these periods by investing in certain other investments as described below. During these periods, the Fund may not achieve its investment objective. At other times of the year, the Fund’s investments in the Subsidiary will significantly exceed 25% of the Fund’s total assets. The Subsidiary’s custodian is U.S. Bank, N.A.

If circumstances occur where market prices for Flames Index Futures Contracts were not readily available, the Fund would fair value its Flames Index Futures Contracts in accordance with its pricing and valuation policy and procedures for fair value determinations. Pursuant to those policies and procedures, the Adviser would consider various factors, such as pricing history; market levels prior to price limits or halts; and supply, demand, and open interest in Flames Index Futures Contracts, among other factors. The Adviser would document its proposed pricing and methodology, detailing the factors that entered into the valuation.

Collateral Investments

The Fund will also invest its assets in Collateral Investments. The Collateral Investments may consist of high-quality securities, which include: (1) U.S. Government securities, such as bills, notes and bonds issued by the U.S. Treasury; (2) investment companies registered under the 1940 Act that invest in high-quality securities; and/or (3) corporate debt securities, such as commercial paper and other short-term unsecured promissory notes issued by businesses that are rated investment grade or determined by the Adviser to be of comparable quality. For these purposes, “investment grade” is defined as investments with a rating at the time of purchase in one of the four highest categories of at least one nationally recognized statistical rating organization (e.g., BBB- or higher from S&P Global Ratings or Baa3 or higher from Moody’s Investors Service, Inc.).

The Collateral Investments are designed to provide liquidity, serve as margin, or otherwise collateralize the Subsidiary’s investments in Flames Index-Linked Instruments. The Fund expects that it will primarily invest its assets, and that the Subsidiary will primarily invest its assets, in Collateral Investments that are “securities,” as such term is defined under the 1940 Act.

Other Investments

In order to help the Fund maintain exposure to the Flames Index, maintain its tax status as a RIC on days in and around quarter-end, help the Fund maintain its desired exposure to Flames Index Futures Contracts when it is approaching or has exceeded position limits or accountability levels, or because of liquidity or other constraints, the Fund may invest in the following:

Reverse Repurchase Agreements

The Fund may invest in reverse repurchase agreements which are a form of borrowing in which the Fund sells portfolio securities to financial institutions and agrees to repurchase them at a mutually agreed-upon date and price that is higher than the original sale price, and use the proceeds for investment purchases. 

As a result of the Fund repurchasing the securities at a higher price, the Fund will lose money by engaging in reverse repurchase agreement transactions.

As noted above, because the Fund intends to qualify for treatment as a RIC under the Code, the size of the Fund’s investment in the Subsidiary will not exceed 25% of the Fund’s total assets at or around each quarter end of the Fund’s fiscal year (the “Asset Diversification Test”). At other times of the year, the Fund’s investments in the Subsidiary will significantly exceed 25% of the Fund’s total (or gross) assets.

When the Fund seeks to reduce its total assets exposure to the Subsidiary, it may use the short-term Treasury Bills it owns (and purchase additional Treasury Bills as needed) to transact in reverse repurchase agreement transactions, which are ostensibly loans to the Fund. Those loans will increase the gross assets of the Fund, which the Adviser expects will allow the Fund to meet the Asset Diversification Test. When the Fund enters into a reverse repurchase agreement, it will either (i) be consistent with Section 18 of the 1940 Act and maintain asset coverage of at least 300% of the value of the reverse repurchase agreement; or (ii) treat the reverse repurchase agreement transactions as derivative transactions for purposes of Rule 18f-4 under the 1940 Act (“Rule 18f-4”), including as applicable, the value-at-risk based limit on leverage risk.

Other Investment Companies

The Fund may invest in shares of Other Investment Companies, that is, shares of investment companies registered under the 1940 Act that invest in similar assets to those in which the Fund may invest.

Exchange-traded option contracts on shares of Other Investment Companies.

The Fund may invest in exchange-listed option contracts on shares of Other Investment Companies, which invest in similar assets to those in which the Fund may invest. An option is a contract that gives the purchaser of the option, in return for the premium paid, the right to buy shares of an investment company, from the writer of the option (in the case of a call option), or to sell shares of the investment company to the writer of the option (in the case of a put option) at a designated price during the term of the option. The premium paid by the buyer of an option will reflect, among other things, the relationship of the exercise price to the market price and the volatility of the shares of the investment company, the remaining term of the option, supply, demand, interest rates and/or currency exchange rates. The Fund may utilize “American” style options or “European” style options. American style options are exercisable on any date prior to the expiration date of the option contract. In contrast, European style options are exercisable only on the expiration date of the option contract.

Swaps that reference Flames Index Futures Contracts, Other Investment Companies, or the Flames Index.

Swap contracts are transactions entered into primarily with major global financial institutions for a specified period ranging from a day to more than one year. In a swap transaction, the Fund and a counterparty will agree to exchange or “swap” payments based on the change in value of an underlying asset or benchmark. For example, the two parties may agree to exchange the return (or differentials in rates of returns) earned or realized on a particular investment or instrument. In the case of the Fund, the reference asset can be Flames Index Futures Contracts, Other Investment Companies or the Flames Index.

Principal Risks

As with all investments, there are certain risks of investing in the Fund. Shares will change in value, and you could lose money by investing in the Fund. The Fund may not achieve its investment objective. An investment in the Fund does not represent a complete investment program. An investment in the Fund is not a bank deposit and it is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency, the Adviser or any of their affiliates. You should consider carefully the following risks before investing in the Fund.

Each risk noted below is considered a principal risk of investing in the Fund, regardless of the order in which it appears. The significance of each risk factor below may change over time and you should review each risk factor carefully.

Risks Specific to the Fund’s Investments

Investment Strategy Risk. The Fund, through the Subsidiary, invests primarily in Flames Index Futures Contracts. The Fund does not invest directly in prediction markets, event contracts or other instruments that provide exposure to individual sporting event or season-long outcomes or to investments that provide exposure to the financial performance of individual sports teams or leagues. Instead, the Fund seeks to benefit from increases in the price of Flames Index Futures Contracts. The price of Flames Index Futures Contracts may not be an accurate measure of the Flames Index. Consequently, the Fund may perform differently from the performance of the Flames Index. There can be no guarantee that the performance of Flames Index Futures Contracts will be highly correlated to the performance of the Flames Index. Transaction costs (including the costs associated with futures investing), position limits, the availability of counterparties and other factors may impact the cost and pricing of Flames Index Futures Contracts and decrease the correlation between the performance of Flames Index Futures Contracts and the Flames Index, over short- or long-term periods. In addition, the performance of back-month Flames Index Futures Contracts is likely to differ more significantly from the performance of the Flames Index. To the extent the Fund is invested in back-month Flames Index Futures Contracts, the performance of the Fund should be expected to deviate more significantly from the performance of the Flames Index. Moreover, because the Flames Index is uninvestable, the Fund can only gain exposure through futures contracts and other derivatives, and differences between the prices of those instruments and the levels of the Flames Index may result in the Fund experiencing larger losses or smaller gains than would be implied by changes in the Flames Index alone.

Sports Performance Risk. The Fund’s investment strategy is inherently speculative. The value of Flames Index Futures Contracts is derived from the statistical performance of a single professional sports team as measured by the Flames Index. Successfully investing in Flames Index Futures Contracts requires that the team tracked by the index performs well statistically over the course of a season, an outcome that is inherently uncertain and subject to numerous unpredictable variables, including player health, competitive dynamics, coaching decisions, and random variation in athletic performance. The Flames Index may decline in value, and there can be no assurance that the team tracked by the index will perform at or above the levels implied by the prices of Flames Index Futures Contracts at the time the Fund obtains exposure.

On-Ice Performance and Competitive Results Risk. The Fund’s investment performance is linked to the on-ice statistical performance of a single NHL team during the regular season and, if applicable, the playoffs. The prices of Flames Index Futures Contracts are expected to rise when the team performs well statistically and to fall when the team performs poorly. Competitive results in professional hockey are inherently unpredictable and can be influenced by factors entirely outside the team’s control, including the performance of opposing teams, referee calls, random puck bounces, weather affecting travel, and in-game injuries. A team may enter a season with high expectations based on roster strength, coaching hires, or offseason acquisitions, only to underperform due to chemistry issues, unexpected injuries to key players, player slumps, or tactical mismatches against divisional opponents. The NHL season extends over several months and includes 82 regular season games per team, during which even a strong team may experience prolonged losing streaks that cause material declines in the Flames Index. If the team fails to make the playoffs, the Fund will not benefit from any potential uplift in index value that could accompany postseason success. Conversely, early playoff elimination could cause sharp declines in futures prices if the market had priced in deeper postseason performance. Because the Fund is concentrated in a single NHL team, there is no opportunity to offset poor on-ice performance by gaining exposure to a stronger team or a different sport.

Flames Index Investing Risk. The Fund is indirectly exposed to the risks of the Flames Index through its investments in Flames Index Futures Contracts and other Flames Index-Linked Instruments. The Fund does not invest in the Flames Index, which is an uninvestable index. The performance of the Flames Index will be very different from a portfolio of Flames Index Futures Contracts.

The Flames Index moves up or down based on officially reported statistics from every game, match, or event throughout the regular season and postseason. Positive statistical actions (e.g., goals scored, points earned) add value to the index, while negative actions (e.g., opponent scoring, penalties or setbacks) subtract value. Poor statistical performance by the Calgary Flames could have a significant negative impact on the level of the Flames Index and therefore the value of the Fund. In addition, unlike instruments that are based on tradable reference assets, the Flames Index Futures Contracts and Flames Index-Linked Instruments are tied to an index that is not directly investable and, thus, have settlement prices based on the calculation of that index, not the price of a tradable asset.

Concentrated Single-Team Exposure Risk. The Fund’s investment strategy results in concentrated exposure to a single professional sports team’s statistical performance (i.e., the Calgary Flames) as measured by an index. Unlike diversified funds that spread risk across multiple asset classes, sectors, or issuers, the Fund’s performance is primarily driven by the statistical output of one team over the course of a season. As a result, the Fund is more susceptible to risks affecting that team, including player injuries, suspensions, trades, retirements, coaching changes, front-office turnover, league sanctions, labor disputes, lockouts, or other events that directly or indirectly influence the team’s on-ice statistical performance. This degree of concentration will likely increase volatility in the Fund’s NAV, heighten the likelihood of significant losses over short periods, and cause the Fund’s returns to diverge substantially from those of more diversified investments. Additionally, because the Fund is concentrated in a single team, it is inherently concentrated in a single professional sports league. This subjects the Fund to league-specific risks, including league-wide labor disputes, broad scandal, changes to the structure or rules of the league, or events that cause the cancellation or suspension of games. The Fund has no ability to rotate exposure into a different team, sport, or league in response to adverse developments affecting the team to which it has exposure.

Insider Trading and Information Asymmetry Risk. Unlike securities markets, which are governed by well-established insider trading prohibitions under the Securities Exchange Act of 1934, the legal framework governing trading on the basis of material, non-public information in the context of commodity futures is less developed. While the CFTC has broad anti-manipulation and anti-fraud authority under the Commodity Exchange Act (“CEA”), specific rules and judicial precedent addressing what constitutes improper trading on non-public information in the context of sports-linked futures remain nascent. Certain individuals may possess material, non-public information that could affect the statistical performance of the Flames Index and, consequently, the prices of Flames Index Futures Contracts. Such individuals may include, without limitation, team coaches, players, trainers, team medical staff, front office personnel, referees, officials, league personnel, or sports data providers. For example, undisclosed injuries to key players or undisclosed lineup changes could materially affect the level of the Flames Index. Such persons could trade Flames Index Futures Contracts or Fund Shares to profit from their informational advantage prior to public disclosure. There is no guarantee that exchanges, the CME, or the CFTC will successfully detect and prevent such trading, and the Fund has no means of preventing such individuals from purchasing or selling Fund Shares. The participation of informed insiders in the market for Flames Index Futures Contracts can create adverse selection for other market participants and distort market prices. Because the Fund is concentrated in a single team, the impact of insider trading on the Fund may be more pronounced than in markets with broader diversification.

League Credibility and Sports Integrity Risk. The Flames Index is calculated based on official league statistics derived from the games of a single professional sports team, and the integrity of those games is fundamental to the reliability of the index. Efforts to interfere with the team’s games, including match-fixing, point-shaving, or referee manipulation, could materially affect the statistical data upon which the Flames Index is based, create significant uncertainty regarding index levels, and cause pronounced price volatility in Flames Index Futures Contracts. Confirmed or suspected game interference may also prompt legislative or regulatory responses, including restrictions on sports-linked financial products or emergency rulemaking by the CFTC, that could restrict the listing or trading of Flames Index Futures Contracts. Even widely publicized allegations of interference, absent actual misconduct, could undermine market confidence in the Flames Index and the futures contracts that reference it.

Gaming and State Regulatory Litigation Risk. Exchanges that list sports-linked financial instruments, including Flames Index Futures Contracts, may be subject to legal challenges brought by state attorneys general, state gaming commissions, and other state-level actors asserting that such instruments constitute regulated gambling or gaming activity under state law, notwithstanding that such contracts are listed on a CFTC-regulated exchange. Such proceedings may assert that the listing of sports-linked contracts violates state gaming statutes, requires state gaming or sports wagering licenses, or constitutes an illegal gambling enterprise. These exchanges, and the CFTC in certain court filings, have asserted that the CEA and the CFTC’s exclusive jurisdiction over CFTC-regulated exchanges preempts state gaming regulations. There is no assurance that federal courts will rule in favor of federal preemption, and resolution may require years of litigation and potentially appellate review. An adverse ruling could result in the suspension or cessation of trading in Flames Index Futures Contracts, material operational restrictions, significant financial penalties, or the effective loss of the ability to list sports-linked futures. Any of these outcomes could materially and adversely affect the Fund’s ability to achieve its investment objective and could result in significant losses.

Platform and Distribution Restriction Risk. Broker-dealers, registered investment adviser platforms, wirehouses, and other financial intermediaries may refuse to list, recommend, or permit purchases of Fund Shares through their platforms due to the Fund’s association with sports performance outcomes and the perception that such products are akin to sports wagering, regardless of the Fund’s legal status as a registered investment company under the 1940 Act. Certain intermediaries may permit only unsolicited purchases, prohibit financial advisers from recommending the Fund, or exclude the Fund from model portfolios entirely. These restrictions could limit the Fund’s accessible investor base, constrain assets under management, reduce secondary market liquidity, widen bid-ask spreads, and increase the likelihood that Fund Shares will trade at significant premiums or discounts to net asset value. Even if an intermediary initially permits distribution, it may subsequently restrict access in response to adverse regulatory developments, reputational concerns, or changes in compliance policies. If a significant number of intermediaries refuse to distribute Fund Shares, the Fund may be unable to achieve sufficient scale, which could increase the Fund’s expense ratio, reduce trading volume, and impair the Fund’s ability to operate effectively.

Novel Market Risk. Flames Index Futures Contracts are a novel asset class with limited trading history. The market may not develop the depth, liquidity, or trading efficiency associated with more established futures markets, and its pricing may be influenced by factors unrelated to fundamental assessments of team performance, including speculative activity, behavioral biases, regulatory headlines, or concentrated participation by a limited number of traders. There is limited historical data on which to base expectations regarding future price behavior, volatility patterns, or the costs associated with maintaining exposure, and traditional risk metrics may not accurately capture the risks of investing in this market. There can be no assurance that the market for Flames Index Futures Contracts will achieve or sustain the level of participation, liquidity, and price discovery necessary for the Fund to effectively pursue its investment objective.

Limited Price Discovery and Market Depth Risk. Because Flames Index Futures Contracts are a newly created instrument class, the market may lack the depth, breadth, and participation necessary for reliable price discovery. Traditional commodity futures markets benefit from decades of participation by commercial hedgers, speculators, and arbitrageurs whose activities contribute to efficient pricing. The market for Flames Index Futures Contracts is expected to have few, if any, natural commercial hedgers, and may be dominated by retail speculators, algorithmic traders, or a small number of institutional participants. This concentrated participation could result in prices that do not accurately reflect fair value, wider bid-ask spreads, and elevated intraday price volatility. In thin markets, even modest order flow from the Fund could move prices against the Fund, increasing transaction costs and reducing returns. There can be no assurance that the market for Flames Index Futures Contracts will develop sufficient liquidity over time, and the Fund may be unable to establish or exit positions at prices the Fund considers favorable.

Seasonality and Offseason Risk. The Flames Index resets to a standardized base value prior to the start of each sports season and has a defined life cycle that ends following the postseason. Because the Fund tracks a single team in a single sport, the Fund is tied to that sport’s competitive calendar and has no ability to diversify across sports or rotate into a sport that is in-season when the team’s sport is not. During the playing season, the Flames Index moves in real-time based on officially reported game statistics, and the prices of Flames Index Futures Contracts are expected to reflect both the current index level and market expectations regarding future team performance. During the offseason, however, the Flames Index will not move because no games are being played, and the Fund’s exposure to Flames Index Futures Contracts will behave differently than during the playing season. The Fund anticipates maintaining exposure to Flames Index Futures Contracts during the offseason. Although the underlying index will be static during this period, the prices of Flames Index Futures Contracts may still fluctuate based on market expectations regarding the team’s prospects for the upcoming season, including coaching changes, player trades, draft picks, free agent signings, injury recovery timelines, training camp developments, and other factors that affect the market’s assessment of the team’s likely statistical performance. However, because the index itself is not moving during the offseason, the magnitude of futures price movements may be reduced relative to the playing season, and the relationship between futures prices and the underlying index level may be less predictable. There can be no assurance that the Fund’s offseason futures holdings will appreciate in value, and the Fund may experience losses during the offseason if market sentiment regarding the team’s upcoming season deteriorates. In addition, there can be no assurance that Flames Index Futures Contracts will be available in sufficient volume or at favorable pricing during the offseason or at the start of a new season.

League Discontinuation, Lockout, or Strike Risk. The Fund’s ability to invest in Flames Index Futures Contracts depends on the continued operation of the NHL and the playing of scheduled games. Labor disputes between the NHL and its players’ union could result in a lockout or strike that suspends or cancels all or a significant portion of a season. The NHL has previously experienced work stoppages, including a full-season cancellation in 2004-2005. During any such period, no games would be played, the Flames Index would not generate data, and trading in Flames Index Futures Contracts could be suspended or severely impaired. The Fund would be unable to pursue its investment strategy during such a period, may be forced to liquidate positions at disadvantageous prices, and could experience substantial losses. Even after a labor dispute is resolved, the shortened or restructured season could materially change the statistical patterns underlying the index methodology. In addition, force majeure events such as a pandemic, natural disaster, or other circumstances beyond the control of the league could cause widespread game cancellations or delays. There can be no assurance that the league will not experience a work stoppage or other extended interruption during the Fund’s investment period, or that the Fund will be able to recover any losses incurred as a result of such events.

Index Provider and Data Dependency Risk. The Flames Index is maintained and calculated by a single Index Provider, FutureSports. If the Index Provider were to experience operational failures, cease operations, lose its data feed from the applicable sports league, experience a cybersecurity breach, or otherwise become unable to calculate the Flames Index, Flames Index Futures Contracts may have no reliable reference value, which could materially and adversely affect the value of the Fund. In addition, the Flames Index is calculated solely on the basis of officially reported statistics from a single sports league. The league serves as the data source but does not participate in index determination or governance. If the league were to report incorrect statistics, issue post-game corrections, change how it reports or categorizes statistics, delay reporting, or discontinue the provision of data to the Index Provider, the settlement prices of Flames Index Futures Contracts could be based on erroneous or incomplete data. Furthermore, the Index Provider controls the methodology by which official statistics are translated into index points. If the Index Provider amends or discontinues its methodology, the behavior of the Flames Index could change materially and the futures market may not immediately price in such changes. The Flames Index is calculated in real-time while games are being played, which introduces latency, data-feed, and computational risks that differ from those associated with traditional financial indexes.

Trading Hours and Sporting Event Timing Risk. NHL games may occur during evening hours, on weekends, and on holidays when the Exchange is closed and when the market for Flames Index Futures Contracts may have limited or no trading activity. Because the Flames Index moves in real-time while games are being played, material index movements may occur during periods when investors are unable to buy or sell Shares or when Flames Index Futures Contracts are not actively trading. As a result, the opening price of Shares and the prices of Flames Index Futures Contracts on the next trading session may differ significantly from the prior session’s closing prices, potentially resulting in large gaps at the open. Shareholders may not be able to sell their Shares until after such a gap has been fully realized, resulting in an inability to mitigate losses in a declining market.

Futures Contracts Risk. Risks of futures contracts include: (i) an imperfect correlation between the value of the futures contract and the underlying asset; (ii) possible lack of a liquid secondary market; (iii) the inability to close a futures contract when desired; (iv) losses caused by unanticipated market movements, which may be unlimited; (v) an obligation for the Fund to make daily cash payments to maintain its required margin, particularly at times when the Fund may have insufficient cash; and (vi) unfavorable execution prices from rapid selling. Unlike equities, which typically entitle the holder to a continuing stake in a corporation, futures contracts normally specify a certain date for settlement in cash based on the reference asset. As the futures contracts approach expiration, they may be replaced by similar contracts that have a later expiration. This process is referred to as “rolling.” If the market for these contracts is in “contango,” meaning that the prices of futures contracts in the nearer months are lower than the price of contracts in the distant months, the sale of the near-term month contract would be at a lower price than the longer-term contract, resulting in a cost to “roll” the futures contract. The actual realization of a potential roll cost will be dependent upon the difference in price of the near and distant contract. Because the margin requirement for futures contracts is less than the value of the assets underlying the futures contract, futures trading involves a degree of leverage. As a result, a relatively small price movement in a futures contract may result in immediate and substantial loss, as well as gain, to the investor. For example, if at the time of purchase, 40% of the value of the futures contract is deposited as margin, a subsequent 20% decrease in the value of the futures contract would result in a loss of half of the margin deposit, before any deduction for the transaction costs, if the account were then closed out. A decrease in excess of 40% would result in a loss exceeding the original margin deposit, if the futures contract were closed out. Thus, a purchase or sale of a futures contract may result in losses in excess of the amount initially invested in the futures contract. However, the Fund would presumably have sustained comparable losses if, instead of investing in the futures contract, it had invested in the underlying financial instrument and sold it after the decline. Further, if the market for Flames Index Futures Contracts is in a period of contango, if the performance of the Flames Index and the price of Flames Index Futures Contracts were to decline, the Fund would experience the negative impact of contango. The impact of backwardation or contango may lead to the returns of the Fund to vary significantly from the total return of other price references. Additionally, in the event of a prolonged period of contango, and absent the impact of rising or falling pricing in the Flames Index, this could have a significant negative impact on the Fund’s NAV and total return.

Position Limits and Price Limits

The CFTC and various exchanges on which Flames Index Futures Contracts trade have established position limits and price limits for Flames Index Futures Contracts. Position limit regulation and price limit regulation serve distinct purposes and are regulated differently.

Position limits are designed to prevent excessive speculation that could cause sudden or unreasonable fluctuations in the price of a commodity. They limit the maximum number of contracts a person or entity can hold in a particular commodity.

Price limits are mechanisms to maintain orderly markets by restricting the price range within which futures contracts can trade during a trading session. They prevent extreme price movements that could disrupt market stability. Price limits are typically set as a percentage of the previous day's settlement price. When price limits are hit, trading may be halted or expanded depending on the product and regulatory rules. Unlike position limits, price limits do not restrict the number of contracts a trader can hold but rather the price at which those contracts can be traded. When a price limit is hit, the market for Flames Index Futures Contracts may temporarily halt until price limits can be expanded or trading may be stopped for the day.

If the Fund is unable to buy or sell Flames Index Futures Contracts as a result of position limits being hit or price limits that result in a halted or closed market—or for other reasons including limited liquidity in the market for Flames Index Futures Contracts, a disruption to the market for Flames Index Futures Contracts, or as a result of margin requirements, accountability levels, or other limitations imposed by the Fund’s futures commission merchants (“FCMs”), the listing exchanges, or the CFTC—the Adviser would take such action as it believes appropriate and in the best interest of the Fund in consideration of the facts and circumstances at such time, including: (i) investing in Flames Index-Linked Instruments that are not Flames Index Futures Contracts; (ii) requiring that authorized participants purchase and redeem in large blocks of shares called “Creation Units” through an exchange for related position (EFRP) method rather than in cash; (iii) applying increased authorized participant variable transaction fees for purchases or redemptions of Creation Units made in cash; or (iv) de-levering the Fund, relative to its investment objective, by an amount reflecting prevailing price limits. In addition, the Fund generally may suspend the issuance of Creation Units only for a limited time and only due to extraordinary circumstances, such as when the markets on which the ETF’s portfolio holdings are traded are closed for a limited period of time; that is to say, when the Fund is unable to increase its exposure to underlying assets.

Cost of Futures Investment Risk. When a Flames Index Futures Contract is nearing expiration, the Fund will generally sell it and use the proceeds to buy a Flames Index Futures Contract with a later expiration date. This is commonly referred to as “rolling”.

If the Fund rolls Flames Index Futures Contracts that are in contango, the Fund would sell a lower priced, expiring contract and purchase a higher priced, longer-dated contract. The price difference between the expiring contract and longer-dated contract associated with rolling Flames Index Futures Contracts is typically substantially higher than the price difference associated with rolling other futures contracts. Contango in the market for Flames Index Futures Contracts may have a significant adverse impact on the performance of the Fund and may cause Flames Index Futures Contracts and the Fund to underperform the Flames Index. Both contango and backwardation would reduce the Fund’s correlation to the Flames Index and may limit or prevent the Fund from achieving its investment objective. The impact of both contango and backwardation may also be greater to the extent the Fund invests in back-month Flames Index Futures Contracts. 

Investment Capacity Risk. If the Fund’s ability to obtain exposure to Flames Index Futures Contracts consistent with its investment objective is disrupted for any reason, including but not limited to, limited liquidity in the market for Flames Index Futures Contracts, a disruption to the market for Flames Index Futures Contracts, or as a result of margin requirements or position limits imposed by the Fund’s FCMs, the CME, or the CFTC, and the Fund could not otherwise meet its investment objective through the use of other investments discussed above, the Fund would not be able to achieve its investment objective and may experience significant losses.

Liquidity Risk. The market for the Flames Index Futures Contracts may be subject to periods of illiquidity. During such times it may be difficult or impossible to buy or sell a position at the desired price. Market disruptions or volatility can also make it difficult to find a counterparty willing to transact at a reasonable price and sufficient size. Illiquid markets may cause losses, which could be significant. Large positions also increase the risk of illiquidity, which may make the Fund’s positions more difficult to liquidate, and increase the losses incurred while trying to do so.

Derivatives Risk. In addition to Flames Index Futures Contracts, the Fund may obtain exposure through the following other derivatives: (1) exchange traded options on Other Investment Companies and/or (2) swap agreement transactions that reference Flames Index Futures Contracts, Other Investment Companies, or the Flames Index.

Investing in derivatives may be considered aggressive and may expose the Fund to risks different from, or possibly greater than, the risks associated with investing directly in the reference asset(s) underlying the derivative (e.g., the securities or commodities contained in the Fund). The use of derivatives may result in larger losses or smaller gains than directly investing in securities or commodities. The risks of using derivatives include: (1) the risk that there may be imperfect correlation between the price of the financial instruments and movements in the prices of the reference asset(s); (2) the risk that an instrument is mispriced; (3) credit or counterparty risk on the amount a Fund expects to receive from a counterparty; (4) the risk that securities prices, interest rates and currency markets will move adversely and a Fund will incur significant losses; (5) the risk that the cost of holding a financial instrument might exceed its total return; and (6) the possible absence of a liquid secondary market for a particular instrument and possible exchange imposed price fluctuation limits, either of which may make it difficult or impossible to adjust a Fund’s position in a particular instrument when desired. Each of these factors may prevent a Fund from achieving its investment objective and may increase the volatility (i.e., fluctuations) of the Fund’s returns. Because derivatives often require limited initial investment, the use of derivatives also may expose a Fund to losses in excess of those amounts initially invested.

The performance of any Flames Index-Linked Instrument may not track the performance of its underlying benchmark due to embedded costs and other factors. Thus, to the extent the Fund invests in swaps that use a Flames Index-Linked Instrument as the reference asset, the Fund may be subject to greater correlation risk and may not achieve as high a degree of correlation with its investment objective than if the Fund only used Flames Index Futures Contracts.

Swap Agreements Risk. The Fund may enter into cash-settled swaps and other derivatives to gain exposure to an underlying asset without actually purchasing such asset. Swaps are two-party contracts entered into primarily by institutional investors for periods ranging from a day to more than one year. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on a particular pre-determined interest rate, commodity, security, indexes, or other assets or measurable indicators. The primary risks associated with the use of swaps are mispricing or improper valuation, imperfect correlation between movements in the notional amount and the price of the underlying investments, and the failure of a counterparty to perform. If a counterparty’s creditworthiness for an over-the-counter swap declines, the value of the swap would likely decline. Moreover, there is no guarantee that the Fund could eliminate its exposure under an outstanding swap by entering into an offsetting swap with the same or another party. In addition, the Fund may use a combination of swaps on an underlying index.

Options Risk. The Fund may purchase exchange-traded options that reference shares of Other Investment Companies. Transactions in options generally require less capital than equivalent stock transactions. They may return smaller dollar figures but a potentially greater percentage of the investment than equivalent stock transactions. The potential profit is limited to the premium received for the contract. The potential loss can be unlimited. While leverage means the percentage returns can be significant, the amount of cash required is smaller than equivalent stock transactions. It is possible to lose the entire principal invested, and sometimes more. As an options holder, a Fund risks the entire amount of the premium it pays. But as an options writer, it takes on a much higher level of risk. For example, if the Fund writes an uncovered call, it faces unlimited potential loss, since there is no cap on how high a stock price can rise. When buying options, a Fund risks losing the premium paid, plus commissions and fees.

Reverse Repurchase Agreements Risk. The Fund may invest in reverse repurchase agreements. Reverse repurchase agreements are transactions in which the Fund sells portfolio securities to financial institutions such as banks and broker-dealers, and agrees to repurchase them at a mutually agreed-upon date and price which is higher than the original sale price. Reverse repurchase agreements are a form of leverage and the use of reverse repurchase agreements by the Fund may increase the Fund’s volatility. The Fund incurs costs, including interest expenses, in connection with the opening and closing of reverse repurchase agreements that will be borne by the shareholders.

Reverse repurchase agreements are also subject to the risk that the other party to the reverse repurchase agreement will be unable or unwilling to complete the transaction as scheduled, which may result in losses to the Fund. In situations where the Fund is required to post collateral with a counterparty, the counterparty may fail to segregate the collateral or may commingle the collateral with the counterparty’s own assets. As a result, in the event of the counterparty’s bankruptcy or insolvency, the Fund’s collateral may be subject to the conflicting claims of the counterparty’s creditors, and the Fund may be exposed to the risk of a court treating the Fund as a general unsecured creditor of the counterparty, rather than as the owner of the collateral. There can be no assurance that a counterparty will not default and that the Fund will not sustain a loss on a transaction as a result.

Reverse repurchase agreements also involve the risk that the market value of the securities sold by the Fund may decline below the price at which it is obligated to repurchase the securities. In addition, when the Fund invests the proceeds it receives in a reverse repurchase transaction, there is a risk that those investments may decline in value. In this circumstance, the Fund could be required to sell other investments in order to meet its obligations to repurchase the securities.

Risks Related to Investing in Other Investment Companies. The Fund may invest in long or short positions in Other Investment Companies (i.e., investment companies registered under the 1940 Act that invest in similar assets to those in which the Fund may invest). Investing in Other Investment Companies may involve duplication of advisory or management fees and certain other expenses. By investing in Other Investment Companies, the Fund becomes a shareholder of that Other Investment Company. As a result, Fund shareholders indirectly bear the Fund’s proportionate share of the fees and expenses paid by shareholders of the Other Investment Company, in addition to the fees and expenses Fund shareholders bear in connection with the Fund’s own operations. As a shareholder, the Fund must rely on the Other Investment Company to achieve its investment objective. The Fund’s performance may be magnified positively or negatively by virtue of its investment in the Other Investment Company. If the Other Investment Company fails to achieve its investment objective, the value of the Fund’s investment could decline, thus affecting the Fund’s performance. In addition, because certain Other Investment Company shares are listed on national stock exchanges and are traded like stocks on an exchange, their shares potentially may trade at a discount or a premium. Investments in such shares may be subject to brokerage and other trading costs, which could result in greater expenses to the Fund. Finally, because the value of certain Other Investment Company shares may depend on the demand in the market, the Adviser may not be able to liquidate the Fund’s holdings in those shares at the most optimal time, adversely affecting the Fund’s performance.

Collateral Investments Risk. The Fund’s use of Collateral Investments may include obligations issued or guaranteed by the U.S. Government, its agencies and instrumentalities, including bills, notes and bonds issued by the U.S. Treasury, investment companies registered under the 1940 Act that invest in high-quality securities and corporate debt securities, such as commercial paper.

Some securities issued or guaranteed by federal agencies and U.S. Government-sponsored instrumentalities may not be backed by the full faith and credit of the United States, in which case the investor must look principally to the agency or instrumentality issuing or guaranteeing the security for ultimate repayment, and may not be able to assert a claim against the United States itself in the event that the agency or instrumentality does not meet its commitment. The U.S. Government, its agencies and instrumentalities do not guarantee the market value of their securities, and consequently, the value of such securities may fluctuate. Although the Fund may hold securities that carry U.S. Government guarantees, these guarantees do not extend to the Shares.

Investment companies that invest in high-quality securities are subject to management fees and other expenses. Therefore, investments in these funds will cause the Fund to bear indirectly a proportional share of the fees and costs of the funds in which it invests. At the same time, the Fund will continue to pay its own management fees and expenses with respect to all of its assets, including any portion invested in the shares of such fund. It is possible to lose money by investing in investment companies that invest in high-quality securities.

Corporate debt securities such as commercial paper generally are short-term unsecured promissory notes issued by businesses. Corporate debt may carry variable or floating rates of interest. Corporate debt securities carry both credit risk and interest rate risk. Credit risk is the risk that the Fund could lose money if the issuer of a corporate debt security is unable to pay interest or repay principal when it is due.

Asset Concentration Risk. Since the Fund may take concentrated positions in Flames Index Futures Contracts, the Fund’s performance may be hurt disproportionately and significantly by the poor performance of those positions to which it has significant exposure. Asset concentration makes the Fund more susceptible to any single occurrence affecting the underlying positions and may subject the Fund to greater market risk than more diversified funds.

Counterparty Risk. The Fund will be subject to credit risk (i.e., the risk that a counterparty is unwilling or unable to make timely payments or otherwise meet its contractual obligations) with respect to the amount the Fund expects to receive from counterparties to: Flames Index Futures Contracts; reverse repurchase agreements; swaps on Flames Index Futures Contracts, Other Investment Companies, or the Flames Index.

The Fund may be negatively impacted if a counterparty becomes bankrupt or otherwise fails to perform its obligations under such an agreement. The Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding and the Fund may obtain only limited recovery or may obtain no recovery in such circumstances. In order to attempt to mitigate potential counterparty credit risk, the Fund typically enters into transactions with major financial institutions.

The counterparty to an exchange-traded futures contract is subject to the credit risk of the clearing house and the FCM through which it holds its position. Specifically, the FCM or the clearing house could fail to perform its obligations, causing significant losses to the Fund. For example, the Fund could lose margin payments it has deposited with an FCM as well as any gains owed but not paid to the Fund, if the FCM or clearing house becomes insolvent or otherwise fails to perform its obligations. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. Under current CFTC regulations, a FCM maintains customers’ assets in a bulk segregated account. If a FCM fails to do so, or is unable to satisfy a substantial deficit in a customer account, its other customers may be subject to risk of loss of their funds in the event of that FCM’s bankruptcy. In that event, in the case of futures, the FCM’s customers are entitled to recover, even in respect of property specifically traceable to them, only a proportional share of all property available for distribution to all of that FCM’s customers. In addition, if the FCM does not comply with the applicable regulations, or in the event of a fraud or misappropriation of customer assets by the FCM, the Fund could have only an unsecured creditor claim in an insolvency of the FCM with respect to the margin held by the FCM. FCMs are also required to transfer to the clearing house the amount of margin required by the clearing house, which amount is generally held in an omnibus account at the clearing house for all customers of the FCM. In addition, the Fund may enter into futures contracts and repurchase agreements with a limited number of counterparties, which may increase the Fund’s exposure to counterparty credit risk. The Fund does not specifically limit its counterparty risk with respect to any single counterparty.

Further, there is a risk that no suitable counterparties are willing to enter into reverse repurchase agreements with the Fund, or continue to enter into, reverse repurchase agreement transactions with the Fund and, as a result, the Fund may not be able to achieve its investment objective. There is also the risk that the Fund may not be able to engage in reverse repurchase agreement transactions because suitable counterparties refuse to enter into transactions with the Fund. Contractual provisions and applicable law may prevent or delay the Fund from exercising its rights to terminate an investment or transaction with a financial institution experiencing financial difficulties, or to realize on collateral, and another institution may be substituted for that financial institution without the consent of the Fund. If the credit rating of a counterparty to a futures contract and/or repurchase agreement declines, the Fund may nonetheless choose or be required to keep existing transactions in place with the counterparty, in which event the Fund would be subject to any increased credit risk associated with those transactions. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the possibility exists that the Fund’s ability to exercise remedies, such as the termination of transactions, netting of obligations and realization on collateral, could be stayed or eliminated under special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide government authorities with broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, the regulatory authorities could reduce, eliminate, or convert to equity the liabilities to the Fund of a counterparty who is subject to such proceedings in the European Union (sometimes referred to as a “bail in”).

Credit Risk. An issuer or other obligated party of a debt security may be unable or unwilling to make dividend, interest and/or principal payments when due. In addition, the value of a debt security may decline because of concerns about the issuer’s ability or unwillingness to make such payments.

Debt Securities Risk. Investments in debt securities subject the holder to the credit risk of the issuer. Credit risk refers to the possibility that the issuer or other obligor of a security will not be able or willing to make payments of interest and principal when due. Generally, the value of debt securities will change inversely with changes in interest rates. To the extent that interest rates rise, certain underlying obligations may be paid off substantially slower than originally anticipated and the value of those securities may fall sharply. During periods of falling interest rates, the income received by the Fund may decline. If the principal on a debt security is prepaid before expected, the prepayments of principal may have to be reinvested in obligations paying interest at lower rates. Debt securities generally do not trade on a securities exchange making them generally less liquid and more difficult to value than common stock.

Interest Rate Risk. Interest rate risk is the risk that the value of the debt securities in the Fund’s portfolio will decline because of rising market interest rates. Interest rate risk is generally lower for shorter term debt securities and higher for longer-term debt securities. Duration is a reasonably accurate measure of a debt security’s price sensitivity to changes in interest rates and a common measure of interest rate risk. Duration measures a debt security’s expected life on a present value basis, taking into account the debt security’s yield, interest payments and final maturity. In general, duration represents the expected percentage change in the value of a security for an immediate 1% change in interest rates. For example, the price of a debt security with a three-year duration would be expected to drop by approximately 3% in response to a 1% increase in interest rates. Therefore, prices of debt securities with shorter durations tend to be less sensitive to interest rate changes than debt securities with longer durations. As the value of a debt security changes over time, so will its duration.

Clearing Broker Risk. The Fund’s investments in exchange-traded futures contracts expose it to the risks of a clearing broker (or a FCM). Under current regulations, a clearing broker or FCM maintains customers’ assets in a bulk segregated account. There is a risk that Fund assets deposited with the clearing broker to serve as margin may be used to satisfy the broker’s own obligations or the losses of the broker’s other clients. In the event of default, the Fund could experience lengthy delays in recovering some or all of its assets and may not see any recovery at all. Furthermore, the Fund is subject to the risk that no FCM is willing or able to clear the Fund’s transactions or maintain the Fund’s assets. If the Fund’s FCMs are unable or unwilling to clear the Fund’s transactions, or if the FCM refuses to maintain the Fund’s assets, the Fund will be unable to have its orders for Flames Index Futures Contracts fulfilled or assets custodied. In such a circumstance, the performance of the Fund will likely deviate from the performance of changes in the Flames Index and may result in the proportion of Flames Index Futures Contracts in the Fund’s portfolio relative to the total assets of the Fund to decrease.

Non-Diversification Risk. The Fund is classified as a “non-diversified company” under the 1940 Act. As a result, the Fund is only limited as to the percentage of its assets which may be invested in the securities of any one issuer by the diversification requirements imposed by the Code. The Fund may invest a relatively high percentage of its assets in a limited number of issuers. As a result, the Fund may be more susceptible to a single adverse economic or regulatory occurrence affecting one or more of these issuers, experience increased volatility and be highly invested in certain issuers.

Risks Related to the Management of the Fund

Active Management Risk. The Fund is actively managed, and its performance reflects investment decisions that the Adviser makes for the Fund. Such judgments about the Fund’s investments may prove to be incorrect. If the investments selected and the strategies employed by the Fund fail to produce the intended results, the Fund could underperform as compared to other funds with similar investment objectives and/or strategies, or could have negative returns.

Frequent Trading Risk. The Fund regularly purchases and subsequently sells (i.e., “rolls”) individual futures contracts throughout the year so as to maintain a fully invested position. As the contracts near their expiration dates, the Fund rolls them over into new contracts. This frequent trading of contracts may increase the amount of commissions or mark-ups to broker-dealers that the Fund pays when it buys and sells contracts, which may detract from the Fund’s performance. High portfolio turnover may result in the Fund paying higher levels of transaction costs and may generate greater tax liabilities for shareholders. Frequent trading risk may cause the Fund’s performance to be less than expected.

Rebalancing Risk. If for any reason the Fund is unable to rebalance all or a portion of its portfolio, or if all or a portion of the portfolio is rebalanced incorrectly, the Fund may be over- or under-exposed to the returns of the Flames Index. Additionally, because the market for Flames Index Futures Contracts is nascent and may be thinly traded, the Fund’s own trading activity, including purchases, sales, and rolling of contracts, could materially influence the prices of Flames Index Futures Contracts. If the Fund represents a significant portion of the open interest or trading volume, its activity could move prices against it, resulting in higher costs and reduced returns. If other market participants anticipate the Fund’s trading patterns, they may engage in front-running or other anticipatory trading strategies that further increase the Fund’s transaction costs. The trading activity associated with such transactions will contribute to the existing trading volume on the underlying futures contracts and may adversely affect the market price of such underlying futures contracts.

Operational Risk. The Fund is exposed to operational risks 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 and the Adviser seek to reduce these operational risks through controls and procedures. However, these measures do not address every possible risk and may be inadequate to address these risks.

Valuation Risk. The Fund or the Subsidiary may hold securities or other assets that may be valued on the basis of factors other than market quotations. This may occur because the asset or security does not trade on a centralized exchange, or in times of market turmoil or reduced liquidity. There are multiple methods that can be used to value a portfolio holding when market quotations are not readily available. The value established for any portfolio holding at a point in time might differ from what would be produced using a different methodology or if it had been priced using market quotations. Portfolio holdings that are valued using techniques other than market quotations, including “fair valued” assets or securities, may be subject to greater fluctuation in their valuations from one day to the next than if market quotations were used. In addition, there is no assurance that the Fund or the Subsidiary could sell or close out a portfolio position for the value established for it at any time, and it is possible that the Fund or the Subsidiary would incur a loss because a portfolio position is sold or closed out at a discount to the valuation established by the Fund or the Subsidiary at that time. The Fund’s ability to value investments may be impacted by technological issues or errors by pricing services or other third-party service providers.

New Fund Risk. As of the date of this prospectus, the Fund has no operating history and currently has fewer assets than larger funds. Like other new funds, large inflows and outflows may impact the Fund’s market exposure for limited periods of time. This impact may be positive or negative, depending on the direction of market movement during the period effected.

Risks Related to Trading of Shares

Trading Issues Risk. 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. The Fund may have difficulty maintaining its listing on the Exchange in the event the Fund’s assets are small, the Fund does not have enough shareholders, or if the Fund is unable to proceed with creation and/or redemption orders.

Authorized Participant Concentration Risk. Only an “authorized participant” or “AP” (i.e., broker-dealers and large institutional investors that have entered into participation agreement with the Fund) may engage in creation or redemption transactions directly with the Fund. The Fund has a limited number of institutions that act as APs on an agency basis (i.e. on behalf of other market 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 AP is able to step forward to create or redeem, in either of these cases, Shares may trade at a discount to the Fund’s net asset value and possibly face delisting.

Market Maker Risk. If the Fund has lower average daily trading volumes, it may rely on a small number of third-party market makers to provide a market for the purchase and sale of Shares. Any trading halt or other problem relating to the trading activity of these market makers could result in a dramatic change in the spread between the Fund’s net asset value and the price at which the Shares are trading on the Exchange, which could result in a decrease in value of the Shares. In addition, decisions by market makers or APs to reduce their role or step away from these activities in times of market stress could inhibit the effectiveness of the arbitrage process in maintaining the relationship between the underlying values of the Fund’s portfolio securities and the Fund’s market price. This reduced effectiveness could result in Shares trading at a discount to net asset value and also in greater than normal intra-day bid-ask spreads for Shares.

Premium/Discount Risk. The market price of the Fund’s Shares will generally fluctuate in accordance with changes in the Fund’s net asset value as well as the relative supply of and demand for Shares on the Exchange. The Fund’s market price may deviate from the value of the Fund’s underlying portfolio holdings, particularly in time of market stress, with the result that investors may pay more or receive less than the underlying value of the Shares bought or sold. The Adviser cannot predict whether Shares will trade below, at, or above their net asset value because the Shares trade on the Exchange at market prices and not at net asset value. 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, but not identical, to the same forces influencing the prices of the holdings of the Fund trading individually or in the aggregate at any point in time. However, given that Shares can only be purchased and redeemed in Creation Units, and only to and from broker-dealers and large institutional investors that have entered into participation agreements (unlike shares of closed-end funds, which frequently trade at appreciable discounts from, and sometimes at premiums to, their net asset value), the Adviser believes that large discounts or premiums to the net asset value of Shares should not be sustained. In addition, because the Fund provides exposure to the statistical performance of a single professional sports team, demand for Shares may be influenced by fan loyalty, emotional attachment, and team-related sentiment rather than by rational assessments of the Fund’s expected risk-adjusted returns. These demand patterns could increase intraday volatility in Fund Shares, widen bid-ask spreads, and result in investors purchasing or selling Shares at prices that do not reflect the Fund’s underlying NAV. During stressed market conditions, the market for the Fund’s Shares may become less liquid in response to deteriorating liquidity in the market for the Fund’s underlying portfolio holdings, which could in turn lead to differences between the market price of the Fund’s Shares and their net asset value. This can be reflected as a spread between the bid and ask prices for the Fund quoted during the day or a premium or discount in the closing price from the Fund’s NAV.

Active Market Risk. Although the Shares are listed for trading on the Exchange, there can be no assurance that an active trading market for the Shares will develop or be maintained. Shares trade on the Exchange at market prices that may be below, at or above the Fund’s net asset value. Securities, including the Shares, are subject to market fluctuations and liquidity constraints that may be caused by such factors as economic, political, or regulatory developments, changes in interest rates, and/or perceived trends in securities prices. Shares of the Fund could decline in value or underperform other investments.

Cash Transaction Risk. Most ETFs generally make in-kind redemptions to avoid being taxed at the fund level on gains on the distributed portfolio securities. However, unlike most ETFs, the Fund currently intends to effect some or all redemptions for cash, rather than in-kind, because of the nature of the Fund’s investments. The Fund may be required to sell portfolio securities to obtain the cash needed to distribute redemption proceeds, which involves transaction costs that the Fund may not have incurred had it effected redemptions entirely in kind. These costs may include brokerage costs and/or taxable gains or losses, which may be imposed on the Fund and decrease the Fund’s NAV to the extent such costs are not offset by a transaction fee payable to an AP. If the Fund recognizes gain on these sales, this generally will cause the Fund to recognize gain it might not otherwise have recognized if it were to distribute portfolio securities in-kind, or to recognize such gain sooner than would otherwise be required. This may decrease the tax efficiency of the Fund compared to ETFs that utilize an in-kind redemption process, and there may be a substantial difference in the after-tax rate of return between the Fund and other ETFs.

Risks Related to Regulation, External Factors, and Federal Income Tax Consequences

Tax Risk. The Fund intends to elect and to qualify each year to be treated as a RIC under Subchapter M of the Code. As a RIC, the Fund will not be subject to U.S. federal income tax on the portion of its net investment income and net capital gain that it distributes to shareholders, provided that it satisfies certain requirements of the Code. If the Fund does not qualify as a RIC for any taxable year and certain relief provisions are not available, the Fund’s taxable income will be subject to tax at the Fund level and to a further tax at the shareholder level when such income is distributed. Additionally, buying securities shortly before the record date for a taxable dividend or capital gain distribution is commonly known as “buying the dividend.” In the event a shareholder purchases Shares shortly before such a distribution, the entire distribution may be taxable to the shareholder even though a portion of the distribution effectively represents a return of the purchase price. To comply with the asset diversification test applicable to a RIC, the Fund will limit its investments in the Subsidiary to 25% of the Fund’s total assets at the end of each tax quarter. The investment strategy of the Fund will cause the Fund to hold substantially more than 25% of the Fund’s total assets in investments in the Subsidiary the majority of the time. The Fund intends to manage the exposure to the Subsidiary so that the Fund’s investments in the Subsidiary do not exceed 25% of the total assets at the end of any tax quarter. If the Fund’s investments in the Subsidiary were to exceed 25% of the Fund’s total assets at the end of a tax quarter, the Fund, generally, has a grace period to cure such lack of compliance. If the Fund fails to timely cure, it may no longer be eligible to be treated as a RIC.

Because Flames Index Futures Contracts produce non-qualifying income for purposes of qualifying as a RIC, the Fund makes its investments in Flames Index Futures Contracts through the Subsidiary. The Fund intends to treat any income it may derive from the futures contracts received by the Subsidiary as “qualifying income” under the provisions of the Code applicable to RICs. The IRS has issued PLRs provided to third parties not associated with the Fund or its affiliates (which only those parties may rely on as precedent) concluding that similar arrangements resulted in qualifying income. Many of such PLRs have now been revoked by the IRS. In March of 2019, the Internal Revenue Service published Regulations that concluded that income from a corporation similar to the Subsidiary would be qualifying income, if the income is related to the Fund’s business of investing in stocks or securities. Although the Regulations do not require distributions from the Subsidiary, the Fund intends to cause the Subsidiary to make distributions that would allow the Fund to make timely distributions to its shareholders. The Fund generally will be required to include in its own taxable income the income of the Subsidiary for a tax year, regardless of whether the Fund receives a distribution of the Subsidiary’s income in that tax year, and this income would nevertheless be subject to the distribution requirement for qualification as a RIC and would be taken into account for purposes of the 4% excise tax.

If, in any year, the Fund were to fail to qualify for the special tax treatment accorded a RIC and its shareholders, and were ineligible to or were not to cure such failure, the Fund would be taxed in the same manner as an ordinary corporation subject to U.S. federal income tax on all its income at the fund level. The resulting taxes could substantially reduce the Fund’s net assets and the amount of income available for distribution. In addition, in order to requalify for taxation as a RIC, the Fund could be required to recognize unrealized gains, pay substantial taxes and interest, and make certain distributions.

Subsidiary Regulatory Investment Risk. Changes in the laws of the United States and/or the Cayman Islands, under which the Fund and the Subsidiary are organized, respectively, could result in the inability of the Fund to operate as intended and could negatively affect the Fund and its shareholders. The Subsidiary is not registered under the 1940 Act and is not subject to all the investor protections of the 1940 Act. However, as the Subsidiary is wholly-owned by the Fund, and the investors of the Fund will have the investor protections of the 1940 Act, the Fund as a whole—including the Subsidiary—will provide investors with 1940 Act protections.

Commodity Regulatory Risk. The Fund’s use of commodity futures subject to regulation by the CFTC has caused the Fund to be classified as a “commodity pool” and this designation requires that the Fund comply with CFTC rules, which may impose additional regulatory requirements and compliance obligations. The Fund’s investment decisions may need to be modified, and commodity contract positions held by the Fund may have to be liquidated at disadvantageous times or prices, to avoid exceeding any applicable position limits established by the CFTC, potentially subjecting the Fund to substantial losses. The regulation of commodity transactions in the United States is subject to ongoing modification by government, self-regulatory and judicial action. The effect of any future regulatory change with respect to any aspect of the Fund is impossible to predict, but could be substantial and adverse to the Fund.

Regulatory Risk. The regulatory framework governing sports-linked financial instruments is evolving and subject to significant uncertainty. Flames Index Futures Contracts are a novel instrument class for which there is limited regulatory precedent. The CFTC has broad discretionary authority to determine whether particular contracts are consistent with the public interest, including authority to disapprove or direct an exchange to delist contracts that the CFTC determines involve gaming, are unlawful, or otherwise run contrary to the purposes of the CEA. The CFTC has recently proposed amendments to its rules concerning event contracts, commonly referred to as prediction markets, to specify which contracts may be determined contrary to the public interest and therefore may not be listed for trading or accepted for clearing on or through a CFTC-regulated entity. The CFTC or the listing exchange could, at any time and without advance notice, impose new conditions, margin or position-limit requirements, reporting obligations, trading halts, settlement adjustments, or delisting actions. Any such changes could, among other things; (i) impair the Fund’s ability to establish, maintain, or close positions; (ii) require the Fund to liquidate positions at disadvantageous prices; (iii) alter the economic characteristics on which the Fund relies; or (iv) render the Fund’s principal investment strategy impractical. In addition, future legislative, judicial, or administrative developments could retroactively affect the permissibility, settlement mechanics, or availability of Flames Index Futures Contracts. These developments may occur abruptly and may not provide mechanisms for investor recourse or for the orderly unwind of positions. There can be no assurance that the regulatory environment for sports-linked financial instruments will remain stable or favorable.

Cyber Security Risk. The Fund is susceptible to operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional events that may cause the Fund to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause the Fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. Cyber security breaches may involve unauthorized access to the Fund’s digital information systems through “hacking” or malicious software coding, but may also result from outside attacks such as denial-of-service attacks through efforts to make network services unavailable to intended users. In addition, cyber security breaches of the Fund’s third-party service providers, such as its administrator, transfer agent, or custodian, as applicable, or issuers in which the Fund invests, can also subject the Fund to many of the same risks associated with direct cyber security breaches. While the Fund has established business continuity plans and risk management systems designed to reduce the risks associated with cyber security, there are inherent limitations in such plans and systems. Additionally, there is no guarantee that such efforts will succeed, especially because the Fund does not directly control the cyber security systems of issuers or third-party service providers.

Natural Disaster/Epidemic Risk. Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks, and result in significant breakdowns, delays, shutdowns, social isolation, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Fund and its investments. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy of financial projections. Under these circumstances, the Fund may have difficulty achieving its investment objectives which may adversely impact Fund performance. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Fund’s investment advisor, third party service providers, and counterparties), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Fund’s investments. These factors can cause substantial market volatility, exchange trading suspensions and closures, changes in the availability of and the margin requirements for certain instruments, and can impact the ability of the Fund to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market. A widespread crisis would also affect the global economy in ways that cannot necessarily be foreseen. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these could have a significant impact on the Fund’s performance, resulting in losses to your investment.

Performance

As of the date of this prospectus, the Fund has not yet commenced operations and therefore does not have a performance history. Once available, the Fund’s performance information will be accessible on the Fund’s website at www.volatilityshares.com and will provide some indication of the risks of investing in the Fund.

Management

Investment Adviser

Volatility Shares LLC 

Portfolio Managers

The following persons serve as portfolio managers of the Fund. 

Each of the portfolio managers is primarily and jointly responsible for the day-to-day management of the Fund. Each of the Fund’s portfolio managers have served in such capacity since the Fund’s inception.

Purchase and Sale of Shares

The Fund issues and redeems Shares on a continuous basis, at NAV, only in large blocks of shares called “Creation Units.” Individual Shares may only be purchased and sold on the secondary market through a broker-dealer at a market price. Since Shares trade on securities exchanges in the secondary market at their market price rather than their NAV, the Shares may trade at a price greater than (premium) or less than (discount) the Fund’s NAV. An investor may incur costs attributable to the difference between the highest price a buyer is willing to pay to purchase Shares (bid) and the lowest price a seller is willing to accept for Shares (ask) when buying or selling Shares in the secondary market (the “bid-ask spread”). Recent information, including the Fund’s NAV, market price, premiums and discounts, and bid-ask spreads, is available online at www.volatilityshares.com.

Tax Information

The Fund’s distributions will generally be taxable as ordinary income, returns of capital or capital gains. A sale of Shares may result in capital gain or loss.

Payments to Broker-Dealers and Other Financial Intermediaries

If you purchase Shares through a broker-dealer or other financial intermediary (such as a bank), the Adviser and Foreside Fund Services, LLC, the Fund’s distributor (the “Distributor”), may pay the intermediary for the sale of Shares and 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.

Carolina Hurricanes ETF

Investment Objective

The Carolina Hurricanes ETF (the “Fund” or “[__]”) seeks to provide investment results, before fees and expenses, that correspond to the performance of futures contracts on the CME FSPI NHL Carolina Hurricanes Index.

Fees and Expenses of the Fund

This table describes the fees and expenses that you may pay if you buy, hold and sell Shares. Investors may pay other fees, such as brokerage commissions and other fees to financial intermediaries, which are not reflected in the table and example set forth below.

Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment)

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 assumes that you invest $10,000 in the Fund for the time periods indicated and then sell all of your Shares at the end of those periods. The example also assumes that your investment has a 5% return each year and that the Fund’s operating expenses remain at current levels. This example does not include the brokerage commissions that investors may pay to buy and sell Shares.

Although your actual costs may be higher or lower, your costs, based on these assumptions, would be:

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 will cause the Fund to incur additional transaction costs and may result in higher taxes when Shares are held in a taxable account. These costs, which are not reflected in Total Annual Fund Operating Expenses or in the example, may affect the Fund’s performance. Because the Fund is new, portfolio turnover information is unavailable at this time.

Principal Investment Strategies 

The Fund is an exchange-traded fund (“ETF”) that seeks to achieve its investment objective primarily through investments in futures contracts on the CME FSPI NHL Carolina Hurricanes Index, which is a non-investable index (the “Hurricanes Index”). The Hurricanes Index is designed to systemically measure the cumulative team performance of the Carolina Hurricanes only during games played over the regular and post-season. The Hurricanes Index is a transparent, rules-based system using official league statistics, where positive actions add points and negative actions subtract points. The Hurricanes Index is based on fifty-five statistical measures of performance and results of team games (wins, losses and ties) that results in continuous, live statistical values that underpin the value of the Hurricanes Index which is calculated into a trackable and tradable number. The Hurricanes Index is based solely on these statistical factors, and the performance of other professional hockey teams in the National Hockey League^® (the “NHL”), or events outside of on-ice performance by the Carolina Hurricanes, will not impact the value of the Hurricanes Index.

The Hurricanes Index has an initial standardized base value of 7,500 before the season and moves up or down based on officially reported statistics from each game, including real-time movement during regular season and postseason play. At the conclusion of the postseason, the Hurricanes Index value resets to 7,500.

The Hurricanes Index is maintained and calculated by FutureSports (the “Index Provider”). The Hurricanes Index methodology is designed to align with the International Organization of Securities Commissions (“IOSCO”) Principles for Financial Benchmarks and supported by published governance, oversight and methodology change procedures. The NHL serves as the official data source for the Hurricanes Index but does not participate in index determination or governance.

The Fund obtains exposure to the Hurricanes Index by investments in futures contracts that reference the Hurricanes Index and that trade on an exchange registered with the Commodity Futures Trading Commission (“Hurricanes Index Futures Contracts”), and cash, cash-like instruments or high quality securities that serve as collateral to the Fund’s investments in Hurricanes Index Futures Contracts (“Collateral Investments”).

Under normal circumstances, the Fund will invest at least 80% of the value of its net assets (plus borrowings for investment purposes) in Hurricanes Index-Linked Instruments. For purposes of this policy, “Hurricanes Index-Linked Instruments” means (i) Hurricanes Index Futures Contracts; (ii) shares of other investment companies registered under the Investment Company Act of 1940 (the “1940 Act”) that invest in similar assets to those in which the Fund may invest (“Other Investment Companies”); (iii) exchange traded options on the Hurricanes Index or shares of Other Investment Companies; and (iv) swap agreement transactions that reference Hurricanes Index Futures Contracts, Other Investment Companies, or the Hurricanes Index. Certain Hurricanes Index-Linked Instruments, such as Other Investment Companies or options thereon, are currently unavailable for investment, though are expected to become available in the future.

The Fund expects to gain investment exposure to the Hurricanes Index by investing a portion of its assets in a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands (the “Subsidiary”).

The Fund does not invest directly in prediction markets, event contracts or other instruments that provide exposure to individual sporting event or season-long outcomes or to investments that provide exposure to the financial performance of individual sports teams or leagues. Instead, the Fund seeks to benefit from increases in the price of Hurricanes Index Futures Contracts.

The investment adviser to the Fund and the Subsidiary is Volatility Shares LLC (the “Adviser” or “Volatility Shares”). The Adviser oversees the Fund and implements the day-to-day portfolio management responsibilities for the Fund. In serving as investment adviser to the Fund, the Adviser does not conduct conventional investment research or analysis or forecast market movement or trends.

The Fund is classified as a “non-diversified company” under the 1940 Act. The Fund will not concentrate its investments in securities of issuers in any industry or group of industries, as the term “concentrate” is used in the 1940 Act, except that the Fund may invest more than 25% of its total assets in Hurricanes Index-Linked Instruments.

The Carolina Hurricanes

The Carolina Hurricanes are a professional ice hockey team based in Raleigh, North Carolina, competing in the Metropolitan Division of the NHL’s Eastern Conference. During the 2025–2026 season, the Hurricanes finished first in the Metropolitan Division, ranking 2nd in standings points, 2nd in goals for, 4th in goals against, and 3rd in goal differential. The Hurricanes were founded in 1971 as the New England Whalers by Howard Baldwin. The Hurricanes are currently owned by Tom Dundon, serving as Owner and Governor since 2018. The team has won two Stanley Cup championships, capturing titles in 2006 and 2026. Neither the Fund, the Trust, nor the Adviser is affiliated with the Carolina Hurricanes.

Hurricanes Index Futures Contracts

The Fund intends to typically enter into cash-settled Hurricanes Index Futures Contracts as the “buyer,” except as detailed below.

In simplest terms, in a cash-settled futures market the counterparty pays cash to the buyer if the price of a futures contract goes up, and buyer pays cash to the counterparty if the price of the futures contract goes down. In order to maintain its exposure to the Hurricanes Index, the Fund intends to exit its futures contracts as they near expiration and replace them with new futures contracts with a later expiration date. Futures contracts with a longer term to expiration may be priced higher than futures contracts with a shorter term to expiration, a relationship called “contango”. When rolling futures contracts that are in contango the Fund will close its long position by selling the shorter-term contract at a relatively lower price and buying a longer-dated contract at a relatively higher price. The presence of contango will adversely affect the performance of the Fund. Conversely, futures contracts with a longer term to expiration may be priced lower than futures contracts with a shorter term to expiration, a relationship called “backwardation”. When rolling long futures contracts that are in backwardation, the Fund will close its long position by selling the shorter-term contract at a relatively higher price and buying a longer-dated contract at a relatively lower price. The presence of backwardation may positively affect the performance of the Fund. Further, the returns of the Hurricanes Index Futures Contracts may differ from that of the Hurricanes Index due to the divergence in prices or the costs associated with investing in futures contracts, which may negatively impact the Fund’s returns.

The Fund invests in Hurricanes Index Futures Contracts indirectly via the Subsidiary. The Subsidiary and the Fund will have the same investment adviser and investment objective. The Subsidiary will also follow the same general investment policies and restrictions as the Fund. Except as noted herein, for purposes of this Prospectus, references to the Fund’s investment strategies and risks include those of the Subsidiary. The Fund complies with the provisions of the 1940 Act governing investment policies and capital structure and leverage on an aggregate basis with the Subsidiary. Furthermore, the Adviser, as the investment adviser to the Subsidiary, complies with the provisions of the 1940 Act relating to investment advisory contracts as it relates to its advisory agreement with the Subsidiary. The Subsidiary also complies with the provisions of the 1940 Act relating to affiliated transactions and custody. Because the Fund intends to qualify for treatment as a regulated investment company (a “RIC”) under the Internal Revenue Code of 1986 (the “Code”), the size of the Fund’s investment in the Subsidiary will not exceed 25% of the Fund’s total assets at or around each quarter end of the Fund’s fiscal year. In order to qualify as a RIC, the Fund will have to reduce its exposure to its Subsidiary on or around the end of each of the Fund’s fiscal quarter ends. The Fund expects to reduce its exposure to its Subsidiary during these periods by investing in certain other investments as described below. During these periods, the Fund may not achieve its investment objective. At other times of the year, the Fund’s investments in the Subsidiary will significantly exceed 25% of the Fund’s total assets. The Subsidiary’s custodian is U.S. Bank, N.A.

If circumstances occur where market prices for Hurricanes Index Futures Contracts were not readily available, the Fund would fair value its Hurricanes Index Futures Contracts in accordance with its pricing and valuation policy and procedures for fair value determinations. Pursuant to those policies and procedures, the Adviser would consider various factors, such as pricing history; market levels prior to price limits or halts; and supply, demand, and open interest in Hurricanes Index Futures Contracts, among other factors. The Adviser would document its proposed pricing and methodology, detailing the factors that entered into the valuation.

Collateral Investments

The Fund will also invest its assets in Collateral Investments. The Collateral Investments may consist of high-quality securities, which include: (1) U.S. Government securities, such as bills, notes and bonds issued by the U.S. Treasury; (2) investment companies registered under the 1940 Act that invest in high-quality securities; and/or (3) corporate debt securities, such as commercial paper and other short-term unsecured promissory notes issued by businesses that are rated investment grade or determined by the Adviser to be of comparable quality. For these purposes, “investment grade” is defined as investments with a rating at the time of purchase in one of the four highest categories of at least one nationally recognized statistical rating organization (e.g., BBB- or higher from S&P Global Ratings or Baa3 or higher from Moody’s Investors Service, Inc.).

The Collateral Investments are designed to provide liquidity, serve as margin, or otherwise collateralize the Subsidiary’s investments in Hurricanes Index-Linked Instruments. The Fund expects that it will primarily invest its assets, and that the Subsidiary will primarily invest its assets, in Collateral Investments that are “securities,” as such term is defined under the 1940 Act.

Other Investments

In order to help the Fund maintain exposure to the Hurricanes Index, maintain its tax status as a RIC on days in and around quarter-end, help the Fund maintain its desired exposure to Hurricanes Index Futures Contracts when it is approaching or has exceeded position limits or accountability levels, or because of liquidity or other constraints, the Fund may invest in the following:

Reverse Repurchase Agreements

The Fund may invest in reverse repurchase agreements which are a form of borrowing in which the Fund sells portfolio securities to financial institutions and agrees to repurchase them at a mutually agreed-upon date and price that is higher than the original sale price, and use the proceeds for investment purchases. 

As a result of the Fund repurchasing the securities at a higher price, the Fund will lose money by engaging in reverse repurchase agreement transactions.

As noted above, because the Fund intends to qualify for treatment as a RIC under the Code, the size of the Fund’s investment in the Subsidiary will not exceed 25% of the Fund’s total assets at or around each quarter end of the Fund’s fiscal year (the “Asset Diversification Test”). At other times of the year, the Fund’s investments in the Subsidiary will significantly exceed 25% of the Fund’s total (or gross) assets.

When the Fund seeks to reduce its total assets exposure to the Subsidiary, it may use the short-term Treasury Bills it owns (and purchase additional Treasury Bills as needed) to transact in reverse repurchase agreement transactions, which are ostensibly loans to the Fund. Those loans will increase the gross assets of the Fund, which the Adviser expects will allow the Fund to meet the Asset Diversification Test. When the Fund enters into a reverse repurchase agreement, it will either (i) be consistent with Section 18 of the 1940 Act and maintain asset coverage of at least 300% of the value of the reverse repurchase agreement; or (ii) treat the reverse repurchase agreement transactions as derivative transactions for purposes of Rule 18f-4 under the 1940 Act (“Rule 18f-4”), including as applicable, the value-at-risk based limit on leverage risk.

Other Investment Companies

The Fund may invest in shares of Other Investment Companies, that is, shares of investment companies registered under the 1940 Act that invest in similar assets to those in which the Fund may invest.

Exchange-traded option contracts on shares of Other Investment Companies.

The Fund may invest in exchange-listed option contracts on shares of Other Investment Companies, which invest in similar assets to those in which the Fund may invest. An option is a contract that gives the purchaser of the option, in return for the premium paid, the right to buy shares of an investment company, from the writer of the option (in the case of a call option), or to sell shares of the investment company to the writer of the option (in the case of a put option) at a designated price during the term of the option. The premium paid by the buyer of an option will reflect, among other things, the relationship of the exercise price to the market price and the volatility of the shares of the investment company, the remaining term of the option, supply, demand, interest rates and/or currency exchange rates. The Fund may utilize “American” style options or “European” style options. American style options are exercisable on any date prior to the expiration date of the option contract. In contrast, European style options are exercisable only on the expiration date of the option contract.

Swaps that reference Hurricanes Index Futures Contracts, Other Investment Companies, or the Hurricanes Index.

Swap contracts are transactions entered into primarily with major global financial institutions for a specified period ranging from a day to more than one year. In a swap transaction, the Fund and a counterparty will agree to exchange or “swap” payments based on the change in value of an underlying asset or benchmark. For example, the two parties may agree to exchange the return (or differentials in rates of returns) earned or realized on a particular investment or instrument. In the case of the Fund, the reference asset can be Hurricanes Index Futures Contracts, Other Investment Companies or the Hurricanes Index.

Principal Risks

As with all investments, there are certain risks of investing in the Fund. Shares will change in value, and you could lose money by investing in the Fund. The Fund may not achieve its investment objective. An investment in the Fund does not represent a complete investment program. An investment in the Fund is not a bank deposit and it is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency, the Adviser or any of their affiliates. You should consider carefully the following risks before investing in the Fund.

Each risk noted below is considered a principal risk of investing in the Fund, regardless of the order in which it appears. The significance of each risk factor below may change over time and you should review each risk factor carefully.

Risks Specific to the Fund’s Investments

Investment Strategy Risk. The Fund, through the Subsidiary, invests primarily in Hurricanes Index Futures Contracts. The Fund does not invest directly in prediction markets, event contracts or other instruments that provide exposure to individual sporting event or season-long outcomes or to investments that provide exposure to the financial performance of individual sports teams or leagues. Instead, the Fund seeks to benefit from increases in the price of Hurricanes Index Futures Contracts. The price of Hurricanes Index Futures Contracts may not be an accurate measure of the Hurricanes Index. Consequently, the Fund may perform differently from the performance of the Hurricanes Index. There can be no guarantee that the performance of Hurricanes Index Futures Contracts will be highly correlated to the performance of the Hurricanes Index. Transaction costs (including the costs associated with futures investing), position limits, the availability of counterparties and other factors may impact the cost and pricing of Hurricanes Index Futures Contracts and decrease the correlation between the performance of Hurricanes Index Futures Contracts and the Hurricanes Index, over short- or long-term periods. In addition, the performance of back-month Hurricanes Index Futures Contracts is likely to differ more significantly from the performance of the Hurricanes Index. To the extent the Fund is invested in back-month Hurricanes Index Futures Contracts, the performance of the Fund should be expected to deviate more significantly from the performance of the Hurricanes Index. Moreover, because the Hurricanes Index is uninvestable, the Fund can only gain exposure through futures contracts and other derivatives, and differences between the prices of those instruments and the levels of the Hurricanes Index may result in the Fund experiencing larger losses or smaller gains than would be implied by changes in the Hurricanes Index alone.

Sports Performance Risk. The Fund’s investment strategy is inherently speculative. The value of Hurricanes Index Futures Contracts is derived from the statistical performance of a single professional sports team as measured by the Hurricanes Index. Successfully investing in Hurricanes Index Futures Contracts requires that the team tracked by the index performs well statistically over the course of a season, an outcome that is inherently uncertain and subject to numerous unpredictable variables, including player health, competitive dynamics, coaching decisions, and random variation in athletic performance. The Hurricanes Index may decline in value, and there can be no assurance that the team tracked by the index will perform at or above the levels implied by the prices of Hurricanes Index Futures Contracts at the time the Fund obtains exposure.

On-Ice Performance and Competitive Results Risk. The Fund’s investment performance is linked to the on-ice statistical performance of a single NHL team during the regular season and, if applicable, the playoffs. The prices of Hurricanes Index Futures Contracts are expected to rise when the team performs well statistically and to fall when the team performs poorly. Competitive results in professional hockey are inherently unpredictable and can be influenced by factors entirely outside the team’s control, including the performance of opposing teams, referee calls, random puck bounces, weather affecting travel, and in-game injuries. A team may enter a season with high expectations based on roster strength, coaching hires, or offseason acquisitions, only to underperform due to chemistry issues, unexpected injuries to key players, player slumps, or tactical mismatches against divisional opponents. The NHL season extends over several months and includes 82 regular season games per team, during which even a strong team may experience prolonged losing streaks that cause material declines in the Hurricanes Index. If the team fails to make the playoffs, the Fund will not benefit from any potential uplift in index value that could accompany postseason success. Conversely, early playoff elimination could cause sharp declines in futures prices if the market had priced in deeper postseason performance. Because the Fund is concentrated in a single NHL team, there is no opportunity to offset poor on-ice performance by gaining exposure to a stronger team or a different sport.

Hurricanes Index Investing Risk. The Fund is indirectly exposed to the risks of the Hurricanes Index through its investments in Hurricanes Index Futures Contracts and other Hurricanes Index-Linked Instruments. The Fund does not invest in the Hurricanes Index, which is an uninvestable index. The performance of the Hurricanes Index will be very different from a portfolio of Hurricanes Index Futures Contracts.

The Hurricanes Index moves up or down based on officially reported statistics from every game, match, or event throughout the regular season and postseason. Positive statistical actions (e.g., goals scored, points earned) add value to the index, while negative actions (e.g., opponent scoring, penalties or setbacks) subtract value. Poor statistical performance by the Carolina Hurricanes could have a significant negative impact on the level of the Hurricanes Index and therefore the value of the Fund. In addition, unlike instruments that are based on tradable reference assets, the Hurricanes Index Futures Contracts and Hurricanes Index-Linked Instruments are tied to an index that is not directly investable and, thus, have settlement prices based on the calculation of that index, not the price of a tradable asset.

Concentrated Single-Team Exposure Risk. The Fund’s investment strategy results in concentrated exposure to a single professional sports team’s statistical performance (i.e., the Carolina Hurricanes) as measured by an index. Unlike diversified funds that spread risk across multiple asset classes, sectors, or issuers, the Fund’s performance is primarily driven by the statistical output of one team over the course of a season. As a result, the Fund is more susceptible to risks affecting that team, including player injuries, suspensions, trades, retirements, coaching changes, front-office turnover, league sanctions, labor disputes, lockouts, or other events that directly or indirectly influence the team’s on-ice statistical performance. This degree of concentration will likely increase volatility in the Fund’s NAV, heighten the likelihood of significant losses over short periods, and cause the Fund’s returns to diverge substantially from those of more diversified investments. Additionally, because the Fund is concentrated in a single team, it is inherently concentrated in a single professional sports league. This subjects the Fund to league-specific risks, including league-wide labor disputes, broad scandal, changes to the structure or rules of the league, or events that cause the cancellation or suspension of games. The Fund has no ability to rotate exposure into a different team, sport, or league in response to adverse developments affecting the team to which it has exposure.

Insider Trading and Information Asymmetry Risk. Unlike securities markets, which are governed by well-established insider trading prohibitions under the Securities Exchange Act of 1934, the legal framework governing trading on the basis of material, non-public information in the context of commodity futures is less developed. While the CFTC has broad anti-manipulation and anti-fraud authority under the Commodity Exchange Act (“CEA”), specific rules and judicial precedent addressing what constitutes improper trading on non-public information in the context of sports-linked futures remain nascent. Certain individuals may possess material, non-public information that could affect the statistical performance of the Hurricanes Index and, consequently, the prices of Hurricanes Index Futures Contracts. Such individuals may include, without limitation, team coaches, players, trainers, team medical staff, front office personnel, referees, officials, league personnel, or sports data providers. For example, undisclosed injuries to key players or undisclosed lineup changes could materially affect the level of the Hurricanes Index. Such persons could trade Hurricanes Index Futures Contracts or Fund Shares to profit from their informational advantage prior to public disclosure. There is no guarantee that exchanges, the CME, or the CFTC will successfully detect and prevent such trading, and the Fund has no means of preventing such individuals from purchasing or selling Fund Shares. The participation of informed insiders in the market for Hurricanes Index Futures Contracts can create adverse selection for other market participants and distort market prices. Because the Fund is concentrated in a single team, the impact of insider trading on the Fund may be more pronounced than in markets with broader diversification.

League Credibility and Sports Integrity Risk. The Hurricanes Index is calculated based on official league statistics derived from the games of a single professional sports team, and the integrity of those games is fundamental to the reliability of the index. Efforts to interfere with the team’s games, including match-fixing, point-shaving, or referee manipulation, could materially affect the statistical data upon which the Hurricanes Index is based, create significant uncertainty regarding index levels, and cause pronounced price volatility in Hurricanes Index Futures Contracts. Confirmed or suspected game interference may also prompt legislative or regulatory responses, including restrictions on sports-linked financial products or emergency rulemaking by the CFTC, that could restrict the listing or trading of Hurricanes Index Futures Contracts. Even widely publicized allegations of interference, absent actual misconduct, could undermine market confidence in the Hurricanes Index and the futures contracts that reference it.

Gaming and State Regulatory Litigation Risk. Exchanges that list sports-linked financial instruments, including Hurricanes Index Futures Contracts, may be subject to legal challenges brought by state attorneys general, state gaming commissions, and other state-level actors asserting that such instruments constitute regulated gambling or gaming activity under state law, notwithstanding that such contracts are listed on a CFTC-regulated exchange. Such proceedings may assert that the listing of sports-linked contracts violates state gaming statutes, requires state gaming or sports wagering licenses, or constitutes an illegal gambling enterprise. These exchanges, and the CFTC in certain court filings, have asserted that the CEA and the CFTC’s exclusive jurisdiction over CFTC-regulated exchanges preempts state gaming regulations. There is no assurance that federal courts will rule in favor of federal preemption, and resolution may require years of litigation and potentially appellate review. An adverse ruling could result in the suspension or cessation of trading in Hurricanes Index Futures Contracts, material operational restrictions, significant financial penalties, or the effective loss of the ability to list sports-linked futures. Any of these outcomes could materially and adversely affect the Fund’s ability to achieve its investment objective and could result in significant losses.

Platform and Distribution Restriction Risk. Broker-dealers, registered investment adviser platforms, wirehouses, and other financial intermediaries may refuse to list, recommend, or permit purchases of Fund Shares through their platforms due to the Fund’s association with sports performance outcomes and the perception that such products are akin to sports wagering, regardless of the Fund’s legal status as a registered investment company under the 1940 Act. Certain intermediaries may permit only unsolicited purchases, prohibit financial advisers from recommending the Fund, or exclude the Fund from model portfolios entirely. These restrictions could limit the Fund’s accessible investor base, constrain assets under management, reduce secondary market liquidity, widen bid-ask spreads, and increase the likelihood that Fund Shares will trade at significant premiums or discounts to net asset value. Even if an intermediary initially permits distribution, it may subsequently restrict access in response to adverse regulatory developments, reputational concerns, or changes in compliance policies. If a significant number of intermediaries refuse to distribute Fund Shares, the Fund may be unable to achieve sufficient scale, which could increase the Fund’s expense ratio, reduce trading volume, and impair the Fund’s ability to operate effectively.

Novel Market Risk. Hurricanes Index Futures Contracts are a novel asset class with limited trading history. The market may not develop the depth, liquidity, or trading efficiency associated with more established futures markets, and its pricing may be influenced by factors unrelated to fundamental assessments of team performance, including speculative activity, behavioral biases, regulatory headlines, or concentrated participation by a limited number of traders. There is limited historical data on which to base expectations regarding future price behavior, volatility patterns, or the costs associated with maintaining exposure, and traditional risk metrics may not accurately capture the risks of investing in this market. There can be no assurance that the market for Hurricanes Index Futures Contracts will achieve or sustain the level of participation, liquidity, and price discovery necessary for the Fund to effectively pursue its investment objective.

Limited Price Discovery and Market Depth Risk. Because Hurricanes Index Futures Contracts are a newly created instrument class, the market may lack the depth, breadth, and participation necessary for reliable price discovery. Traditional commodity futures markets benefit from decades of participation by commercial hedgers, speculators, and arbitrageurs whose activities contribute to efficient pricing. The market for Hurricanes Index Futures Contracts is expected to have few, if any, natural commercial hedgers, and may be dominated by retail speculators, algorithmic traders, or a small number of institutional participants. This concentrated participation could result in prices that do not accurately reflect fair value, wider bid-ask spreads, and elevated intraday price volatility. In thin markets, even modest order flow from the Fund could move prices against the Fund, increasing transaction costs and reducing returns. There can be no assurance that the market for Hurricanes Index Futures Contracts will develop sufficient liquidity over time, and the Fund may be unable to establish or exit positions at prices the Fund considers favorable.

Seasonality and Offseason Risk. The Hurricanes Index resets to a standardized base value prior to the start of each sports season and has a defined life cycle that ends following the postseason. Because the Fund tracks a single team in a single sport, the Fund is tied to that sport’s competitive calendar and has no ability to diversify across sports or rotate into a sport that is in-season when the team’s sport is not. During the playing season, the Hurricanes Index moves in real-time based on officially reported game statistics, and the prices of Hurricanes Index Futures Contracts are expected to reflect both the current index level and market expectations regarding future team performance. During the offseason, however, the Hurricanes Index will not move because no games are being played, and the Fund’s exposure to Hurricanes Index Futures Contracts will behave differently than during the playing season. The Fund anticipates maintaining exposure to Hurricanes Index Futures Contracts during the offseason. Although the underlying index will be static during this period, the prices of Hurricanes Index Futures Contracts may still fluctuate based on market expectations regarding the team’s prospects for the upcoming season, including coaching changes, player trades, draft picks, free agent signings, injury recovery timelines, training camp developments, and other factors that affect the market’s assessment of the team’s likely statistical performance. However, because the index itself is not moving during the offseason, the magnitude of futures price movements may be reduced relative to the playing season, and the relationship between futures prices and the underlying index level may be less predictable. There can be no assurance that the Fund’s offseason futures holdings will appreciate in value, and the Fund may experience losses during the offseason if market sentiment regarding the team’s upcoming season deteriorates. In addition, there can be no assurance that Hurricanes Index Futures Contracts will be available in sufficient volume or at favorable pricing during the offseason or at the start of a new season.

League Discontinuation, Lockout, or Strike Risk. The Fund’s ability to invest in Hurricanes Index Futures Contracts depends on the continued operation of the NHL and the playing of scheduled games. Labor disputes between the NHL and its players’ union could result in a lockout or strike that suspends or cancels all or a significant portion of a season. The NHL has previously experienced work stoppages, including a full-season cancellation in 2004-2005. During any such period, no games would be played, the Hurricanes Index would not generate data, and trading in Hurricanes Index Futures Contracts could be suspended or severely impaired. The Fund would be unable to pursue its investment strategy during such a period, may be forced to liquidate positions at disadvantageous prices, and could experience substantial losses. Even after a labor dispute is resolved, the shortened or restructured season could materially change the statistical patterns underlying the index methodology. In addition, force majeure events such as a pandemic, natural disaster, or other circumstances beyond the control of the league could cause widespread game cancellations or delays. There can be no assurance that the league will not experience a work stoppage or other extended interruption during the Fund’s investment period, or that the Fund will be able to recover any losses incurred as a result of such events.

Index Provider and Data Dependency Risk. The Hurricanes Index is maintained and calculated by a single Index Provider, FutureSports. If the Index Provider were to experience operational failures, cease operations, lose its data feed from the applicable sports league, experience a cybersecurity breach, or otherwise become unable to calculate the Hurricanes Index, Hurricanes Index Futures Contracts may have no reliable reference value, which could materially and adversely affect the value of the Fund. In addition, the Hurricanes Index is calculated solely on the basis of officially reported statistics from a single sports league. The league serves as the data source but does not participate in index determination or governance. If the league were to report incorrect statistics, issue post-game corrections, change how it reports or categorizes statistics, delay reporting, or discontinue the provision of data to the Index Provider, the settlement prices of Hurricanes Index Futures Contracts could be based on erroneous or incomplete data. Furthermore, the Index Provider controls the methodology by which official statistics are translated into index points. If the Index Provider amends or discontinues its methodology, the behavior of the Hurricanes Index could change materially and the futures market may not immediately price in such changes. The Hurricanes Index is calculated in real-time while games are being played, which introduces latency, data-feed, and computational risks that differ from those associated with traditional financial indexes.

Trading Hours and Sporting Event Timing Risk. NHL games may occur during evening hours, on weekends, and on holidays when the Exchange is closed and when the market for Hurricanes Index Futures Contracts may have limited or no trading activity. Because the Hurricanes Index moves in real-time while games are being played, material index movements may occur during periods when investors are unable to buy or sell Shares or when Hurricanes Index Futures Contracts are not actively trading. As a result, the opening price of Shares and the prices of Hurricanes Index Futures Contracts on the next trading session may differ significantly from the prior session’s closing prices, potentially resulting in large gaps at the open. Shareholders may not be able to sell their Shares until after such a gap has been fully realized, resulting in an inability to mitigate losses in a declining market.

Futures Contracts Risk. Risks of futures contracts include: (i) an imperfect correlation between the value of the futures contract and the underlying asset; (ii) possible lack of a liquid secondary market; (iii) the inability to close a futures contract when desired; (iv) losses caused by unanticipated market movements, which may be unlimited; (v) an obligation for the Fund to make daily cash payments to maintain its required margin, particularly at times when the Fund may have insufficient cash; and (vi) unfavorable execution prices from rapid selling. Unlike equities, which typically entitle the holder to a continuing stake in a corporation, futures contracts normally specify a certain date for settlement in cash based on the reference asset. As the futures contracts approach expiration, they may be replaced by similar contracts that have a later expiration. This process is referred to as “rolling.” If the market for these contracts is in “contango,” meaning that the prices of futures contracts in the nearer months are lower than the price of contracts in the distant months, the sale of the near-term month contract would be at a lower price than the longer-term contract, resulting in a cost to “roll” the futures contract. The actual realization of a potential roll cost will be dependent upon the difference in price of the near and distant contract. Because the margin requirement for futures contracts is less than the value of the assets underlying the futures contract, futures trading involves a degree of leverage. As a result, a relatively small price movement in a futures contract may result in immediate and substantial loss, as well as gain, to the investor. For example, if at the time of purchase, 40% of the value of the futures contract is deposited as margin, a subsequent 20% decrease in the value of the futures contract would result in a loss of half of the margin deposit, before any deduction for the transaction costs, if the account were then closed out. A decrease in excess of 40% would result in a loss exceeding the original margin deposit, if the futures contract were closed out. Thus, a purchase or sale of a futures contract may result in losses in excess of the amount initially invested in the futures contract. However, the Fund would presumably have sustained comparable losses if, instead of investing in the futures contract, it had invested in the underlying financial instrument and sold it after the decline. Further, if the market for Hurricanes Index Futures Contracts is in a period of contango, if the performance of the Hurricanes Index and the price of Hurricanes Index Futures Contracts were to decline, the Fund would experience the negative impact of contango. The impact of backwardation or contango may lead to the returns of the Fund to vary significantly from the total return of other price references. Additionally, in the event of a prolonged period of contango, and absent the impact of rising or falling pricing in the Hurricanes Index, this could have a significant negative impact on the Fund’s NAV and total return.

Position Limits and Price Limits

The CFTC and various exchanges on which Hurricanes Index Futures Contracts trade have established position limits and price limits for Hurricanes Index Futures Contracts. Position limit regulation and price limit regulation serve distinct purposes and are regulated differently.

Position limits are designed to prevent excessive speculation that could cause sudden or unreasonable fluctuations in the price of a commodity. They limit the maximum number of contracts a person or entity can hold in a particular commodity.

Price limits are mechanisms to maintain orderly markets by restricting the price range within which futures contracts can trade during a trading session. They prevent extreme price movements that could disrupt market stability. Price limits are typically set as a percentage of the previous day's settlement price. When price limits are hit, trading may be halted or expanded depending on the product and regulatory rules. Unlike position limits, price limits do not restrict the number of contracts a trader can hold but rather the price at which those contracts can be traded. When a price limit is hit, the market for Hurricanes Index Futures Contracts may temporarily halt until price limits can be expanded or trading may be stopped for the day.

If the Fund is unable to buy or sell Hurricanes Index Futures Contracts as a result of position limits being hit or price limits that result in a halted or closed market—or for other reasons including limited liquidity in the market for Hurricanes Index Futures Contracts, a disruption to the market for Hurricanes Index Futures Contracts, or as a result of margin requirements, accountability levels, or other limitations imposed by the Fund’s futures commission merchants (“FCMs”), the listing exchanges, or the CFTC—the Adviser would take such action as it believes appropriate and in the best interest of the Fund in consideration of the facts and circumstances at such time, including: (i) investing in Hurricanes Index-Linked Instruments that are not Hurricanes Index Futures Contracts; (ii) requiring that authorized participants purchase and redeem in large blocks of shares called “Creation Units” through an exchange for related position (EFRP) method rather than in cash; (iii) applying increased authorized participant variable transaction fees for purchases or redemptions of Creation Units made in cash; or (iv) de-levering the Fund, relative to its investment objective, by an amount reflecting prevailing price limits. In addition, the Fund generally may suspend the issuance of Creation Units only for a limited time and only due to extraordinary circumstances, such as when the markets on which the ETF’s portfolio holdings are traded are closed for a limited period of time; that is to say, when the Fund is unable to increase its exposure to underlying assets.

Cost of Futures Investment Risk. When a Hurricanes Index Futures Contract is nearing expiration, the Fund will generally sell it and use the proceeds to buy a Hurricanes Index Futures Contract with a later expiration date. This is commonly referred to as “rolling”.

If the Fund rolls Hurricanes Index Futures Contracts that are in contango, the Fund would sell a lower priced, expiring contract and purchase a higher priced, longer-dated contract. The price difference between the expiring contract and longer-dated contract associated with rolling Hurricanes Index Futures Contracts is typically substantially higher than the price difference associated with rolling other futures contracts. Contango in the market for Hurricanes Index Futures Contracts may have a significant adverse impact on the performance of the Fund and may cause Hurricanes Index Futures Contracts and the Fund to underperform the Hurricanes Index. Both contango and backwardation would reduce the Fund’s correlation to the Hurricanes Index and may limit or prevent the Fund from achieving its investment objective. The impact of both contango and backwardation may also be greater to the extent the Fund invests in back-month Hurricanes Index Futures Contracts. 

Investment Capacity Risk. If the Fund’s ability to obtain exposure to Hurricanes Index Futures Contracts consistent with its investment objective is disrupted for any reason, including but not limited to, limited liquidity in the market for Hurricanes Index Futures Contracts, a disruption to the market for Hurricanes Index Futures Contracts, or as a result of margin requirements or position limits imposed by the Fund’s FCMs, the CME, or the CFTC, and the Fund could not otherwise meet its investment objective through the use of other investments discussed above, the Fund would not be able to achieve its investment objective and may experience significant losses.

Liquidity Risk. The market for the Hurricanes Index Futures Contracts may be subject to periods of illiquidity. During such times it may be difficult or impossible to buy or sell a position at the desired price. Market disruptions or volatility can also make it difficult to find a counterparty willing to transact at a reasonable price and sufficient size. Illiquid markets may cause losses, which could be significant. Large positions also increase the risk of illiquidity, which may make the Fund’s positions more difficult to liquidate, and increase the losses incurred while trying to do so.

Derivatives Risk. In addition to Hurricanes Index Futures Contracts, the Fund may obtain exposure through the following other derivatives: (1) exchange traded options on Other Investment Companies and/or (2) swap agreement transactions that reference Hurricanes Index Futures Contracts, Other Investment Companies, or the Hurricanes Index.

Investing in derivatives may be considered aggressive and may expose the Fund to risks different from, or possibly greater than, the risks associated with investing directly in the reference asset(s) underlying the derivative (e.g., the securities or commodities contained in the Fund). The use of derivatives may result in larger losses or smaller gains than directly investing in securities or commodities. The risks of using derivatives include: (1) the risk that there may be imperfect correlation between the price of the financial instruments and movements in the prices of the reference asset(s); (2) the risk that an instrument is mispriced; (3) credit or counterparty risk on the amount a Fund expects to receive from a counterparty; (4) the risk that securities prices, interest rates and currency markets will move adversely and a Fund will incur significant losses; (5) the risk that the cost of holding a financial instrument might exceed its total return; and (6) the possible absence of a liquid secondary market for a particular instrument and possible exchange imposed price fluctuation limits, either of which may make it difficult or impossible to adjust a Fund’s position in a particular instrument when desired. Each of these factors may prevent a Fund from achieving its investment objective and may increase the volatility (i.e., fluctuations) of the Fund’s returns. Because derivatives often require limited initial investment, the use of derivatives also may expose a Fund to losses in excess of those amounts initially invested.

The performance of any Hurricanes Index-Linked Instrument may not track the performance of its underlying benchmark due to embedded costs and other factors. Thus, to the extent the Fund invests in swaps that use a Hurricanes Index-Linked Instrument as the reference asset, the Fund may be subject to greater correlation risk and may not achieve as high a degree of correlation with its investment objective than if the Fund only used Hurricanes Index Futures Contracts.

Swap Agreements Risk. The Fund may enter into cash-settled swaps and other derivatives to gain exposure to an underlying asset without actually purchasing such asset. Swaps are two-party contracts entered into primarily by institutional investors for periods ranging from a day to more than one year. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on a particular pre-determined interest rate, commodity, security, indexes, or other assets or measurable indicators. The primary risks associated with the use of swaps are mispricing or improper valuation, imperfect correlation between movements in the notional amount and the price of the underlying investments, and the failure of a counterparty to perform. If a counterparty’s creditworthiness for an over-the-counter swap declines, the value of the swap would likely decline. Moreover, there is no guarantee that the Fund could eliminate its exposure under an outstanding swap by entering into an offsetting swap with the same or another party. In addition, the Fund may use a combination of swaps on an underlying index.

Options Risk. The Fund may purchase exchange-traded options that reference shares of Other Investment Companies. Transactions in options generally require less capital than equivalent stock transactions. They may return smaller dollar figures but a potentially greater percentage of the investment than equivalent stock transactions. The potential profit is limited to the premium received for the contract. The potential loss can be unlimited. While leverage means the percentage returns can be significant, the amount of cash required is smaller than equivalent stock transactions. It is possible to lose the entire principal invested, and sometimes more. As an options holder, a Fund risks the entire amount of the premium it pays. But as an options writer, it takes on a much higher level of risk. For example, if the Fund writes an uncovered call, it faces unlimited potential loss, since there is no cap on how high a stock price can rise. When buying options, a Fund risks losing the premium paid, plus commissions and fees.

Reverse Repurchase Agreements Risk. The Fund may invest in reverse repurchase agreements. Reverse repurchase agreements are transactions in which the Fund sells portfolio securities to financial institutions such as banks and broker-dealers, and agrees to repurchase them at a mutually agreed-upon date and price which is higher than the original sale price. Reverse repurchase agreements are a form of leverage and the use of reverse repurchase agreements by the Fund may increase the Fund’s volatility. The Fund incurs costs, including interest expenses, in connection with the opening and closing of reverse repurchase agreements that will be borne by the shareholders.

Reverse repurchase agreements are also subject to the risk that the other party to the reverse repurchase agreement will be unable or unwilling to complete the transaction as scheduled, which may result in losses to the Fund. In situations where the Fund is required to post collateral with a counterparty, the counterparty may fail to segregate the collateral or may commingle the collateral with the counterparty’s own assets. As a result, in the event of the counterparty’s bankruptcy or insolvency, the Fund’s collateral may be subject to the conflicting claims of the counterparty’s creditors, and the Fund may be exposed to the risk of a court treating the Fund as a general unsecured creditor of the counterparty, rather than as the owner of the collateral. There can be no assurance that a counterparty will not default and that the Fund will not sustain a loss on a transaction as a result.

Reverse repurchase agreements also involve the risk that the market value of the securities sold by the Fund may decline below the price at which it is obligated to repurchase the securities. In addition, when the Fund invests the proceeds it receives in a reverse repurchase transaction, there is a risk that those investments may decline in value. In this circumstance, the Fund could be required to sell other investments in order to meet its obligations to repurchase the securities.

Risks Related to Investing in Other Investment Companies. The Fund may invest in long or short positions in Other Investment Companies (i.e., investment companies registered under the 1940 Act that invest in similar assets to those in which the Fund may invest). Investing in Other Investment Companies may involve duplication of advisory or management fees and certain other expenses. By investing in Other Investment Companies, the Fund becomes a shareholder of that Other Investment Company. As a result, Fund shareholders indirectly bear the Fund’s proportionate share of the fees and expenses paid by shareholders of the Other Investment Company, in addition to the fees and expenses Fund shareholders bear in connection with the Fund’s own operations. As a shareholder, the Fund must rely on the Other Investment Company to achieve its investment objective. The Fund’s performance may be magnified positively or negatively by virtue of its investment in the Other Investment Company. If the Other Investment Company fails to achieve its investment objective, the value of the Fund’s investment could decline, thus affecting the Fund’s performance. In addition, because certain Other Investment Company shares are listed on national stock exchanges and are traded like stocks on an exchange, their shares potentially may trade at a discount or a premium. Investments in such shares may be subject to brokerage and other trading costs, which could result in greater expenses to the Fund. Finally, because the value of certain Other Investment Company shares may depend on the demand in the market, the Adviser may not be able to liquidate the Fund’s holdings in those shares at the most optimal time, adversely affecting the Fund’s performance.

Collateral Investments Risk. The Fund’s use of Collateral Investments may include obligations issued or guaranteed by the U.S. Government, its agencies and instrumentalities, including bills, notes and bonds issued by the U.S. Treasury, investment companies registered under the 1940 Act that invest in high-quality securities and corporate debt securities, such as commercial paper.

Some securities issued or guaranteed by federal agencies and U.S. Government-sponsored instrumentalities may not be backed by the full faith and credit of the United States, in which case the investor must look principally to the agency or instrumentality issuing or guaranteeing the security for ultimate repayment, and may not be able to assert a claim against the United States itself in the event that the agency or instrumentality does not meet its commitment. The U.S. Government, its agencies and instrumentalities do not guarantee the market value of their securities, and consequently, the value of such securities may fluctuate. Although the Fund may hold securities that carry U.S. Government guarantees, these guarantees do not extend to the Shares.

Investment companies that invest in high-quality securities are subject to management fees and other expenses. Therefore, investments in these funds will cause the Fund to bear indirectly a proportional share of the fees and costs of the funds in which it invests. At the same time, the Fund will continue to pay its own management fees and expenses with respect to all of its assets, including any portion invested in the shares of such fund. It is possible to lose money by investing in investment companies that invest in high-quality securities.

Corporate debt securities such as commercial paper generally are short-term unsecured promissory notes issued by businesses. Corporate debt may carry variable or floating rates of interest. Corporate debt securities carry both credit risk and interest rate risk. Credit risk is the risk that the Fund could lose money if the issuer of a corporate debt security is unable to pay interest or repay principal when it is due.

Asset Concentration Risk. Since the Fund may take concentrated positions in Hurricanes Index Futures Contracts, the Fund’s performance may be hurt disproportionately and significantly by the poor performance of those positions to which it has significant exposure. Asset concentration makes the Fund more susceptible to any single occurrence affecting the underlying positions and may subject the Fund to greater market risk than more diversified funds.

Counterparty Risk. The Fund will be subject to credit risk (i.e., the risk that a counterparty is unwilling or unable to make timely payments or otherwise meet its contractual obligations) with respect to the amount the Fund expects to receive from counterparties to: Hurricanes Index Futures Contracts; reverse repurchase agreements; swaps on Hurricanes Index Futures Contracts, Other Investment Companies, or the Hurricanes Index.

The Fund may be negatively impacted if a counterparty becomes bankrupt or otherwise fails to perform its obligations under such an agreement. The Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding and the Fund may obtain only limited recovery or may obtain no recovery in such circumstances. In order to attempt to mitigate potential counterparty credit risk, the Fund typically enters into transactions with major financial institutions.

The counterparty to an exchange-traded futures contract is subject to the credit risk of the clearing house and the FCM through which it holds its position. Specifically, the FCM or the clearing house could fail to perform its obligations, causing significant losses to the Fund. For example, the Fund could lose margin payments it has deposited with an FCM as well as any gains owed but not paid to the Fund, if the FCM or clearing house becomes insolvent or otherwise fails to perform its obligations. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. Under current CFTC regulations, a FCM maintains customers’ assets in a bulk segregated account. If a FCM fails to do so, or is unable to satisfy a substantial deficit in a customer account, its other customers may be subject to risk of loss of their funds in the event of that FCM’s bankruptcy. In that event, in the case of futures, the FCM’s customers are entitled to recover, even in respect of property specifically traceable to them, only a proportional share of all property available for distribution to all of that FCM’s customers. In addition, if the FCM does not comply with the applicable regulations, or in the event of a fraud or misappropriation of customer assets by the FCM, the Fund could have only an unsecured creditor claim in an insolvency of the FCM with respect to the margin held by the FCM. FCMs are also required to transfer to the clearing house the amount of margin required by the clearing house, which amount is generally held in an omnibus account at the clearing house for all customers of the FCM. In addition, the Fund may enter into futures contracts and repurchase agreements with a limited number of counterparties, which may increase the Fund’s exposure to counterparty credit risk. The Fund does not specifically limit its counterparty risk with respect to any single counterparty.

Further, there is a risk that no suitable counterparties are willing to enter into reverse repurchase agreements with the Fund, or continue to enter into, reverse repurchase agreement transactions with the Fund and, as a result, the Fund may not be able to achieve its investment objective. There is also the risk that the Fund may not be able to engage in reverse repurchase agreement transactions because suitable counterparties refuse to enter into transactions with the Fund. Contractual provisions and applicable law may prevent or delay the Fund from exercising its rights to terminate an investment or transaction with a financial institution experiencing financial difficulties, or to realize on collateral, and another institution may be substituted for that financial institution without the consent of the Fund. If the credit rating of a counterparty to a futures contract and/or repurchase agreement declines, the Fund may nonetheless choose or be required to keep existing transactions in place with the counterparty, in which event the Fund would be subject to any increased credit risk associated with those transactions. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the possibility exists that the Fund’s ability to exercise remedies, such as the termination of transactions, netting of obligations and realization on collateral, could be stayed or eliminated under special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide government authorities with broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, the regulatory authorities could reduce, eliminate, or convert to equity the liabilities to the Fund of a counterparty who is subject to such proceedings in the European Union (sometimes referred to as a “bail in”).

Credit Risk. An issuer or other obligated party of a debt security may be unable or unwilling to make dividend, interest and/or principal payments when due. In addition, the value of a debt security may decline because of concerns about the issuer’s ability or unwillingness to make such payments.

Debt Securities Risk. Investments in debt securities subject the holder to the credit risk of the issuer. Credit risk refers to the possibility that the issuer or other obligor of a security will not be able or willing to make payments of interest and principal when due. Generally, the value of debt securities will change inversely with changes in interest rates. To the extent that interest rates rise, certain underlying obligations may be paid off substantially slower than originally anticipated and the value of those securities may fall sharply. During periods of falling interest rates, the income received by the Fund may decline. If the principal on a debt security is prepaid before expected, the prepayments of principal may have to be reinvested in obligations paying interest at lower rates. Debt securities generally do not trade on a securities exchange making them generally less liquid and more difficult to value than common stock.

Interest Rate Risk. Interest rate risk is the risk that the value of the debt securities in the Fund’s portfolio will decline because of rising market interest rates. Interest rate risk is generally lower for shorter term debt securities and higher for longer-term debt securities. Duration is a reasonably accurate measure of a debt security’s price sensitivity to changes in interest rates and a common measure of interest rate risk. Duration measures a debt security’s expected life on a present value basis, taking into account the debt security’s yield, interest payments and final maturity. In general, duration represents the expected percentage change in the value of a security for an immediate 1% change in interest rates. For example, the price of a debt security with a three-year duration would be expected to drop by approximately 3% in response to a 1% increase in interest rates. Therefore, prices of debt securities with shorter durations tend to be less sensitive to interest rate changes than debt securities with longer durations. As the value of a debt security changes over time, so will its duration.

Clearing Broker Risk. The Fund’s investments in exchange-traded futures contracts expose it to the risks of a clearing broker (or a FCM). Under current regulations, a clearing broker or FCM maintains customers’ assets in a bulk segregated account. There is a risk that Fund assets deposited with the clearing broker to serve as margin may be used to satisfy the broker’s own obligations or the losses of the broker’s other clients. In the event of default, the Fund could experience lengthy delays in recovering some or all of its assets and may not see any recovery at all. Furthermore, the Fund is subject to the risk that no FCM is willing or able to clear the Fund’s transactions or maintain the Fund’s assets. If the Fund’s FCMs are unable or unwilling to clear the Fund’s transactions, or if the FCM refuses to maintain the Fund’s assets, the Fund will be unable to have its orders for Hurricanes Index Futures Contracts fulfilled or assets custodied. In such a circumstance, the performance of the Fund will likely deviate from the performance of changes in the Hurricanes Index and may result in the proportion of Hurricanes Index Futures Contracts in the Fund’s portfolio relative to the total assets of the Fund to decrease.

Non-Diversification Risk. The Fund is classified as a “non-diversified company” under the 1940 Act. As a result, the Fund is only limited as to the percentage of its assets which may be invested in the securities of any one issuer by the diversification requirements imposed by the Code. The Fund may invest a relatively high percentage of its assets in a limited number of issuers. As a result, the Fund may be more susceptible to a single adverse economic or regulatory occurrence affecting one or more of these issuers, experience increased volatility and be highly invested in certain issuers.

Risks Related to the Management of the Fund

Active Management Risk. The Fund is actively managed, and its performance reflects investment decisions that the Adviser makes for the Fund. Such judgments about the Fund’s investments may prove to be incorrect. If the investments selected and the strategies employed by the Fund fail to produce the intended results, the Fund could underperform as compared to other funds with similar investment objectives and/or strategies, or could have negative returns.

Frequent Trading Risk. The Fund regularly purchases and subsequently sells (i.e., “rolls”) individual futures contracts throughout the year so as to maintain a fully invested position. As the contracts near their expiration dates, the Fund rolls them over into new contracts. This frequent trading of contracts may increase the amount of commissions or mark-ups to broker-dealers that the Fund pays when it buys and sells contracts, which may detract from the Fund’s performance. High portfolio turnover may result in the Fund paying higher levels of transaction costs and may generate greater tax liabilities for shareholders. Frequent trading risk may cause the Fund’s performance to be less than expected.

Rebalancing Risk. If for any reason the Fund is unable to rebalance all or a portion of its portfolio, or if all or a portion of the portfolio is rebalanced incorrectly, the Fund may be over- or under-exposed to the returns of the Hurricanes Index. Additionally, because the market for Hurricanes Index Futures Contracts is nascent and may be thinly traded, the Fund’s own trading activity, including purchases, sales, and rolling of contracts, could materially influence the prices of Hurricanes Index Futures Contracts. If the Fund represents a significant portion of the open interest or trading volume, its activity could move prices against it, resulting in higher costs and reduced returns. If other market participants anticipate the Fund’s trading patterns, they may engage in front-running or other anticipatory trading strategies that further increase the Fund’s transaction costs. The trading activity associated with such transactions will contribute to the existing trading volume on the underlying futures contracts and may adversely affect the market price of such underlying futures contracts.

Operational Risk. The Fund is exposed to operational risks 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 and the Adviser seek to reduce these operational risks through controls and procedures. However, these measures do not address every possible risk and may be inadequate to address these risks.

Valuation Risk. The Fund or the Subsidiary may hold securities or other assets that may be valued on the basis of factors other than market quotations. This may occur because the asset or security does not trade on a centralized exchange, or in times of market turmoil or reduced liquidity. There are multiple methods that can be used to value a portfolio holding when market quotations are not readily available. The value established for any portfolio holding at a point in time might differ from what would be produced using a different methodology or if it had been priced using market quotations. Portfolio holdings that are valued using techniques other than market quotations, including “fair valued” assets or securities, may be subject to greater fluctuation in their valuations from one day to the next than if market quotations were used. In addition, there is no assurance that the Fund or the Subsidiary could sell or close out a portfolio position for the value established for it at any time, and it is possible that the Fund or the Subsidiary would incur a loss because a portfolio position is sold or closed out at a discount to the valuation established by the Fund or the Subsidiary at that time. The Fund’s ability to value investments may be impacted by technological issues or errors by pricing services or other third-party service providers.

New Fund Risk. As of the date of this prospectus, the Fund has no operating history and currently has fewer assets than larger funds. Like other new funds, large inflows and outflows may impact the Fund’s market exposure for limited periods of time. This impact may be positive or negative, depending on the direction of market movement during the period effected.

Risks Related to Trading of Shares

Trading Issues Risk. 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. The Fund may have difficulty maintaining its listing on the Exchange in the event the Fund’s assets are small, the Fund does not have enough shareholders, or if the Fund is unable to proceed with creation and/or redemption orders.

Authorized Participant Concentration Risk. Only an “authorized participant” or “AP” (i.e., broker-dealers and large institutional investors that have entered into participation agreement with the Fund) may engage in creation or redemption transactions directly with the Fund. The Fund has a limited number of institutions that act as APs on an agency basis (i.e. on behalf of other market 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 AP is able to step forward to create or redeem, in either of these cases, Shares may trade at a discount to the Fund’s net asset value and possibly face delisting.

Market Maker Risk. If the Fund has lower average daily trading volumes, it may rely on a small number of third-party market makers to provide a market for the purchase and sale of Shares. Any trading halt or other problem relating to the trading activity of these market makers could result in a dramatic change in the spread between the Fund’s net asset value and the price at which the Shares are trading on the Exchange, which could result in a decrease in value of the Shares. In addition, decisions by market makers or APs to reduce their role or step away from these activities in times of market stress could inhibit the effectiveness of the arbitrage process in maintaining the relationship between the underlying values of the Fund’s portfolio securities and the Fund’s market price. This reduced effectiveness could result in Shares trading at a discount to net asset value and also in greater than normal intra-day bid-ask spreads for Shares.

Premium/Discount Risk. The market price of the Fund’s Shares will generally fluctuate in accordance with changes in the Fund’s net asset value as well as the relative supply of and demand for Shares on the Exchange. The Fund’s market price may deviate from the value of the Fund’s underlying portfolio holdings, particularly in time of market stress, with the result that investors may pay more or receive less than the underlying value of the Shares bought or sold. The Adviser cannot predict whether Shares will trade below, at, or above their net asset value because the Shares trade on the Exchange at market prices and not at net asset value. 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, but not identical, to the same forces influencing the prices of the holdings of the Fund trading individually or in the aggregate at any point in time. However, given that Shares can only be purchased and redeemed in Creation Units, and only to and from broker-dealers and large institutional investors that have entered into participation agreements (unlike shares of closed-end funds, which frequently trade at appreciable discounts from, and sometimes at premiums to, their net asset value), the Adviser believes that large discounts or premiums to the net asset value of Shares should not be sustained. In addition, because the Fund provides exposure to the statistical performance of a single professional sports team, demand for Shares may be influenced by fan loyalty, emotional attachment, and team-related sentiment rather than by rational assessments of the Fund’s expected risk-adjusted returns. These demand patterns could increase intraday volatility in Fund Shares, widen bid-ask spreads, and result in investors purchasing or selling Shares at prices that do not reflect the Fund’s underlying NAV. During stressed market conditions, the market for the Fund’s Shares may become less liquid in response to deteriorating liquidity in the market for the Fund’s underlying portfolio holdings, which could in turn lead to differences between the market price of the Fund’s Shares and their net asset value. This can be reflected as a spread between the bid and ask prices for the Fund quoted during the day or a premium or discount in the closing price from the Fund’s NAV.

Active Market Risk. Although the Shares are listed for trading on the Exchange, there can be no assurance that an active trading market for the Shares will develop or be maintained. Shares trade on the Exchange at market prices that may be below, at or above the Fund’s net asset value. Securities, including the Shares, are subject to market fluctuations and liquidity constraints that may be caused by such factors as economic, political, or regulatory developments, changes in interest rates, and/or perceived trends in securities prices. Shares of the Fund could decline in value or underperform other investments.

Cash Transaction Risk. Most ETFs generally make in-kind redemptions to avoid being taxed at the fund level on gains on the distributed portfolio securities. However, unlike most ETFs, the Fund currently intends to effect some or all redemptions for cash, rather than in-kind, because of the nature of the Fund’s investments. The Fund may be required to sell portfolio securities to obtain the cash needed to distribute redemption proceeds, which involves transaction costs that the Fund may not have incurred had it effected redemptions entirely in kind. These costs may include brokerage costs and/or taxable gains or losses, which may be imposed on the Fund and decrease the Fund’s NAV to the extent such costs are not offset by a transaction fee payable to an AP. If the Fund recognizes gain on these sales, this generally will cause the Fund to recognize gain it might not otherwise have recognized if it were to distribute portfolio securities in-kind, or to recognize such gain sooner than would otherwise be required. This may decrease the tax efficiency of the Fund compared to ETFs that utilize an in-kind redemption process, and there may be a substantial difference in the after-tax rate of return between the Fund and other ETFs.

Risks Related to Regulation, External Factors, and Federal Income Tax Consequences

Tax Risk. The Fund intends to elect and to qualify each year to be treated as a RIC under Subchapter M of the Code. As a RIC, the Fund will not be subject to U.S. federal income tax on the portion of its net investment income and net capital gain that it distributes to shareholders, provided that it satisfies certain requirements of the Code. If the Fund does not qualify as a RIC for any taxable year and certain relief provisions are not available, the Fund’s taxable income will be subject to tax at the Fund level and to a further tax at the shareholder level when such income is distributed. Additionally, buying securities shortly before the record date for a taxable dividend or capital gain distribution is commonly known as “buying the dividend.” In the event a shareholder purchases Shares shortly before such a distribution, the entire distribution may be taxable to the shareholder even though a portion of the distribution effectively represents a return of the purchase price. To comply with the asset diversification test applicable to a RIC, the Fund will limit its investments in the Subsidiary to 25% of the Fund’s total assets at the end of each tax quarter. The investment strategy of the Fund will cause the Fund to hold substantially more than 25% of the Fund’s total assets in investments in the Subsidiary the majority of the time. The Fund intends to manage the exposure to the Subsidiary so that the Fund’s investments in the Subsidiary do not exceed 25% of the total assets at the end of any tax quarter. If the Fund’s investments in the Subsidiary were to exceed 25% of the Fund’s total assets at the end of a tax quarter, the Fund, generally, has a grace period to cure such lack of compliance. If the Fund fails to timely cure, it may no longer be eligible to be treated as a RIC.

Because Hurricanes Index Futures Contracts produce non-qualifying income for purposes of qualifying as a RIC, the Fund makes its investments in Hurricanes Index Futures Contracts through the Subsidiary. The Fund intends to treat any income it may derive from the futures contracts received by the Subsidiary as “qualifying income” under the provisions of the Code applicable to RICs. The IRS has issued PLRs provided to third parties not associated with the Fund or its affiliates (which only those parties may rely on as precedent) concluding that similar arrangements resulted in qualifying income. Many of such PLRs have now been revoked by the IRS. In March of 2019, the Internal Revenue Service published Regulations that concluded that income from a corporation similar to the Subsidiary would be qualifying income, if the income is related to the Fund’s business of investing in stocks or securities. Although the Regulations do not require distributions from the Subsidiary, the Fund intends to cause the Subsidiary to make distributions that would allow the Fund to make timely distributions to its shareholders. The Fund generally will be required to include in its own taxable income the income of the Subsidiary for a tax year, regardless of whether the Fund receives a distribution of the Subsidiary’s income in that tax year, and this income would nevertheless be subject to the distribution requirement for qualification as a RIC and would be taken into account for purposes of the 4% excise tax.

If, in any year, the Fund were to fail to qualify for the special tax treatment accorded a RIC and its shareholders, and were ineligible to or were not to cure such failure, the Fund would be taxed in the same manner as an ordinary corporation subject to U.S. federal income tax on all its income at the fund level. The resulting taxes could substantially reduce the Fund’s net assets and the amount of income available for distribution. In addition, in order to requalify for taxation as a RIC, the Fund could be required to recognize unrealized gains, pay substantial taxes and interest, and make certain distributions.

Subsidiary Regulatory Investment Risk. Changes in the laws of the United States and/or the Cayman Islands, under which the Fund and the Subsidiary are organized, respectively, could result in the inability of the Fund to operate as intended and could negatively affect the Fund and its shareholders. The Subsidiary is not registered under the 1940 Act and is not subject to all the investor protections of the 1940 Act. However, as the Subsidiary is wholly-owned by the Fund, and the investors of the Fund will have the investor protections of the 1940 Act, the Fund as a whole—including the Subsidiary—will provide investors with 1940 Act protections.

Commodity Regulatory Risk. The Fund’s use of commodity futures subject to regulation by the CFTC has caused the Fund to be classified as a “commodity pool” and this designation requires that the Fund comply with CFTC rules, which may impose additional regulatory requirements and compliance obligations. The Fund’s investment decisions may need to be modified, and commodity contract positions held by the Fund may have to be liquidated at disadvantageous times or prices, to avoid exceeding any applicable position limits established by the CFTC, potentially subjecting the Fund to substantial losses. The regulation of commodity transactions in the United States is subject to ongoing modification by government, self-regulatory and judicial action. The effect of any future regulatory change with respect to any aspect of the Fund is impossible to predict, but could be substantial and adverse to the Fund.

Regulatory Risk. The regulatory framework governing sports-linked financial instruments is evolving and subject to significant uncertainty. Hurricanes Index Futures Contracts are a novel instrument class for which there is limited regulatory precedent. The CFTC has broad discretionary authority to determine whether particular contracts are consistent with the public interest, including authority to disapprove or direct an exchange to delist contracts that the CFTC determines involve gaming, are unlawful, or otherwise run contrary to the purposes of the CEA. The CFTC has recently proposed amendments to its rules concerning event contracts, commonly referred to as prediction markets, to specify which contracts may be determined contrary to the public interest and therefore may not be listed for trading or accepted for clearing on or through a CFTC-regulated entity. The CFTC or the listing exchange could, at any time and without advance notice, impose new conditions, margin or position-limit requirements, reporting obligations, trading halts, settlement adjustments, or delisting actions. Any such changes could, among other things; (i) impair the Fund’s ability to establish, maintain, or close positions; (ii) require the Fund to liquidate positions at disadvantageous prices; (iii) alter the economic characteristics on which the Fund relies; or (iv) render the Fund’s principal investment strategy impractical. In addition, future legislative, judicial, or administrative developments could retroactively affect the permissibility, settlement mechanics, or availability of Hurricanes Index Futures Contracts. These developments may occur abruptly and may not provide mechanisms for investor recourse or for the orderly unwind of positions. There can be no assurance that the regulatory environment for sports-linked financial instruments will remain stable or favorable.

Cyber Security Risk. The Fund is susceptible to operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional events that may cause the Fund to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause the Fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. Cyber security breaches may involve unauthorized access to the Fund’s digital information systems through “hacking” or malicious software coding, but may also result from outside attacks such as denial-of-service attacks through efforts to make network services unavailable to intended users. In addition, cyber security breaches of the Fund’s third-party service providers, such as its administrator, transfer agent, or custodian, as applicable, or issuers in which the Fund invests, can also subject the Fund to many of the same risks associated with direct cyber security breaches. While the Fund has established business continuity plans and risk management systems designed to reduce the risks associated with cyber security, there are inherent limitations in such plans and systems. Additionally, there is no guarantee that such efforts will succeed, especially because the Fund does not directly control the cyber security systems of issuers or third-party service providers.

Natural Disaster/Epidemic Risk. Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks, and result in significant breakdowns, delays, shutdowns, social isolation, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Fund and its investments. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy of financial projections. Under these circumstances, the Fund may have difficulty achieving its investment objectives which may adversely impact Fund performance. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Fund’s investment advisor, third party service providers, and counterparties), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Fund’s investments. These factors can cause substantial market volatility, exchange trading suspensions and closures, changes in the availability of and the margin requirements for certain instruments, and can impact the ability of the Fund to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market. A widespread crisis would also affect the global economy in ways that cannot necessarily be foreseen. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these could have a significant impact on the Fund’s performance, resulting in losses to your investment.

Performance

As of the date of this prospectus, the Fund has not yet commenced operations and therefore does not have a performance history. Once available, the Fund’s performance information will be accessible on the Fund’s website at www.volatilityshares.com and will provide some indication of the risks of investing in the Fund.

Management

Investment Adviser

Volatility Shares LLC 

Portfolio Managers

The following persons serve as portfolio managers of the Fund. 

Each of the portfolio managers is primarily and jointly responsible for the day-to-day management of the Fund. Each of the Fund’s portfolio managers have served in such capacity since the Fund’s inception.

Purchase and Sale of Shares

The Fund issues and redeems Shares on a continuous basis, at NAV, only in large blocks of shares called “Creation Units.” Individual Shares may only be purchased and sold on the secondary market through a broker-dealer at a market price. Since Shares trade on securities exchanges in the secondary market at their market price rather than their NAV, the Shares may trade at a price greater than (premium) or less than (discount) the Fund’s NAV. An investor may incur costs attributable to the difference between the highest price a buyer is willing to pay to purchase Shares (bid) and the lowest price a seller is willing to accept for Shares (ask) when buying or selling Shares in the secondary market (the “bid-ask spread”). Recent information, including the Fund’s NAV, market price, premiums and discounts, and bid-ask spreads, is available online at www.volatilityshares.com.

Tax Information

The Fund’s distributions will generally be taxable as ordinary income, returns of capital or capital gains. A sale of Shares may result in capital gain or loss.

Payments to Broker-Dealers and Other Financial Intermediaries

If you purchase Shares through a broker-dealer or other financial intermediary (such as a bank), the Adviser and Foreside Fund Services, LLC, the Fund’s distributor (the “Distributor”), may pay the intermediary for the sale of Shares and 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.

Chicago Blackhawks ETF

Investment Objective

The Chicago Blackhawks ETF (the “Fund” or “[__]”) seeks to provide investment results, before fees and expenses, that correspond to the performance of futures contracts on the CME FSPI NHL Chicago Blackhawks Index.

Fees and Expenses of the Fund

This table describes the fees and expenses that you may pay if you buy, hold and sell Shares. Investors may pay other fees, such as brokerage commissions and other fees to financial intermediaries, which are not reflected in the table and example set forth below.

Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment)

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 assumes that you invest $10,000 in the Fund for the time periods indicated and then sell all of your Shares at the end of those periods. The example also assumes that your investment has a 5% return each year and that the Fund’s operating expenses remain at current levels. This example does not include the brokerage commissions that investors may pay to buy and sell Shares.

Although your actual costs may be higher or lower, your costs, based on these assumptions, would be:

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 will cause the Fund to incur additional transaction costs and may result in higher taxes when Shares are held in a taxable account. These costs, which are not reflected in Total Annual Fund Operating Expenses or in the example, may affect the Fund’s performance. Because the Fund is new, portfolio turnover information is unavailable at this time.

Principal Investment Strategies 

The Fund is an exchange-traded fund (“ETF”) that seeks to achieve its investment objective primarily through investments in futures contracts on the CME FSPI NHL Chicago Blackhawks Index, which is a non-investable index (the “Blackhawks Index”). The Blackhawks Index is designed to systemically measure the cumulative team performance of the Chicago Blackhawks only during games played over the regular and post-season. The Blackhawks Index is a transparent, rules-based system using official league statistics, where positive actions add points and negative actions subtract points. The Blackhawks Index is based on fifty-five statistical measures of performance and results of team games (wins, losses and ties) that results in continuous, live statistical values that underpin the value of the Blackhawks Index which is calculated into a trackable and tradable number. The Blackhawks Index is based solely on these statistical factors, and the performance of other professional hockey teams in the National Hockey League^® (the “NHL”), or events outside of on-ice performance by the Chicago Blackhawks, will not impact the value of the Blackhawks Index.

The Blackhawks Index has an initial standardized base value of 7,500 before the season and moves up or down based on officially reported statistics from each game, including real-time movement during regular season and postseason play. At the conclusion of the postseason, the Blackhawks Index value resets to 7,500.

The Blackhawks Index is maintained and calculated by FutureSports (the “Index Provider”). The Blackhawks Index methodology is designed to align with the International Organization of Securities Commissions (“IOSCO”) Principles for Financial Benchmarks and supported by published governance, oversight and methodology change procedures. The NHL serves as the official data source for the Blackhawks Index but does not participate in index determination or governance.

The Fund obtains exposure to the Blackhawk Index by investments in futures contracts that reference the Blackhawks Index and that trade on an exchange registered with the Commodity Futures Trading Commission (“Blackhawks Index Futures Contracts”), and cash, cash-like instruments or high quality securities that serve as collateral to the Fund’s investments in Blackhawks Index Futures Contracts (“Collateral Investments”).

Under normal circumstances, the Fund will invest at least 80% of the value of its net assets (plus borrowings for investment purposes) in Blackhawks Index-Linked Instruments. For purposes of this policy, “Blackhawks Index-Linked Instruments” means (i) Blackhawks Index Futures Contracts; (ii) shares of other investment companies registered under the Investment Company Act of 1940 (the “1940 Act”) that invest in similar assets to those in which the Fund may invest (“Other Investment Companies”); (iii) exchange traded options on the Blackhawks Index or shares of Other Investment Companies; and (iv) swap agreement transactions that reference Blackhawks Index Futures Contracts, Other Investment Companies, or the Blackhawks Index. Certain Blackhawks Index-Linked Instruments, such as Other Investment Companies or options thereon, are currently unavailable for investment, though are expected to become available in the future.

The Fund expects to gain investment exposure to the Blackhawks Index by investing a portion of its assets in a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands (the “Subsidiary”).

The Fund does not invest directly in prediction markets, event contracts or other instruments that provide exposure to individual sporting event or season-long outcomes or to investments that provide exposure to the financial performance of individual sports teams or leagues. Instead, the Fund seeks to benefit from increases in the price of Blackhawks Index Futures Contracts.

The investment adviser to the Fund and the Subsidiary is Volatility Shares LLC (the “Adviser” or “Volatility Shares”). The Adviser oversees the Fund and implements the day-to-day portfolio management responsibilities for the Fund. In serving as investment adviser to the Fund, the Adviser does not conduct conventional investment research or analysis or forecast market movement or trends.

The Fund is classified as a “non-diversified company” under the 1940 Act. The Fund will not concentrate its investments in securities of issuers in any industry or group of industries, as the term “concentrate” is used in the 1940 Act, except that the Fund may invest more than 25% of its total assets in Blackhawks Index-Linked Instruments.

The Chicago Blackhawks

The Chicago Blackhawks are a professional ice hockey team based in Chicago, Illinois, competing in the Central Division of the NHL’s Western Conference. During the 2025–2026 season, the Blackhawks finished last in the Central Division, ranking 31st in standings points, 31st in goals for, 27th in goals against, and 31st in goal differential. The Blackhawks were founded in 1926 by Chicago coffee tycoon Major Frederic McLaughlin. The Blackhawks are currently owned by the Wirtz family, with Danny Wirtz serving as Chairman since 2023. The team has won six Stanley Cup championships, capturing titles in 1934, 1938, 1961, 2010, 2013, and 2015. Neither the Fund, the Trust, nor the Adviser is affiliated with the Chicago Blackhawks.

Blackhawks Index Futures Contracts

The Fund intends to typically enter into cash-settled Blackhawks Index Futures Contracts as the “buyer,” except as detailed below.

In simplest terms, in a cash-settled futures market the counterparty pays cash to the buyer if the price of a futures contract goes up, and buyer pays cash to the counterparty if the price of the futures contract goes down. In order to maintain its exposure to the Blackhawks Index, the Fund intends to exit its futures contracts as they near expiration and replace them with new futures contracts with a later expiration date. Futures contracts with a longer term to expiration may be priced higher than futures contracts with a shorter term to expiration, a relationship called “contango”. When rolling futures contracts that are in contango the Fund will close its long position by selling the shorter-term contract at a relatively lower price and buying a longer-dated contract at a relatively higher price. The presence of contango will adversely affect the performance of the Fund. Conversely, futures contracts with a longer term to expiration may be priced lower than futures contracts with a shorter term to expiration, a relationship called “backwardation”. When rolling long futures contracts that are in backwardation, the Fund will close its long position by selling the shorter-term contract at a relatively higher price and buying a longer-dated contract at a relatively lower price. The presence of backwardation may positively affect the performance of the Fund. Further, the returns of the Blackhawks Index Futures Contracts may differ from that of the Blackhawks Index due to the divergence in prices or the costs associated with investing in futures contracts, which may negatively impact the Fund’s returns.

The Fund invests in Blackhawks Index Futures Contracts indirectly via the Subsidiary. The Subsidiary and the Fund will have the same investment adviser and investment objective. The Subsidiary will also follow the same general investment policies and restrictions as the Fund. Except as noted herein, for purposes of this Prospectus, references to the Fund’s investment strategies and risks include those of the Subsidiary. The Fund complies with the provisions of the 1940 Act governing investment policies and capital structure and leverage on an aggregate basis with the Subsidiary. Furthermore, the Adviser, as the investment adviser to the Subsidiary, complies with the provisions of the 1940 Act relating to investment advisory contracts as it relates to its advisory agreement with the Subsidiary. The Subsidiary also complies with the provisions of the 1940 Act relating to affiliated transactions and custody. Because the Fund intends to qualify for treatment as a regulated investment company (a “RIC”) under the Internal Revenue Code of 1986 (the “Code”), the size of the Fund’s investment in the Subsidiary will not exceed 25% of the Fund’s total assets at or around each quarter end of the Fund’s fiscal year. In order to qualify as a RIC, the Fund will have to reduce its exposure to its Subsidiary on or around the end of each of the Fund’s fiscal quarter ends. The Fund expects to reduce its exposure to its Subsidiary during these periods by investing in certain other investments as described below. During these periods, the Fund may not achieve its investment objective. At other times of the year, the Fund’s investments in the Subsidiary will significantly exceed 25% of the Fund’s total assets. The Subsidiary’s custodian is U.S. Bank, N.A.

If circumstances occur where market prices for Blackhawks Index Futures Contracts were not readily available, the Fund would fair value its Blackhawks Index Futures Contracts in accordance with its pricing and valuation policy and procedures for fair value determinations. Pursuant to those policies and procedures, the Adviser would consider various factors, such as pricing history; market levels prior to price limits or halts; and supply, demand, and open interest in Blackhawks Index Futures Contracts, among other factors. The Adviser would document its proposed pricing and methodology, detailing the factors that entered into the valuation.

Collateral Investments

The Fund will also invest its assets in Collateral Investments. The Collateral Investments may consist of high-quality securities, which include: (1) U.S. Government securities, such as bills, notes and bonds issued by the U.S. Treasury; (2) investment companies registered under the 1940 Act that invest in high-quality securities; and/or (3) corporate debt securities, such as commercial paper and other short-term unsecured promissory notes issued by businesses that are rated investment grade or determined by the Adviser to be of comparable quality. For these purposes, “investment grade” is defined as investments with a rating at the time of purchase in one of the four highest categories of at least one nationally recognized statistical rating organization (e.g., BBB- or higher from S&P Global Ratings or Baa3 or higher from Moody’s Investors Service, Inc.).

The Collateral Investments are designed to provide liquidity, serve as margin, or otherwise collateralize the Subsidiary’s investments in Blackhawks Index-Linked Instruments. The Fund expects that it will primarily invest its assets, and that the Subsidiary will primarily invest its assets, in Collateral Investments that are “securities,” as such term is defined under the 1940 Act.

Other Investments

In order to help the Fund maintain exposure to the Blackhawks Index, maintain its tax status as a RIC on days in and around quarter-end, help the Fund maintain its desired exposure to Blackhawks Index Futures Contracts when it is approaching or has exceeded position limits or accountability levels, or because of liquidity or other constraints, the Fund may invest in the following:

Reverse Repurchase Agreements

The Fund may invest in reverse repurchase agreements which are a form of borrowing in which the Fund sells portfolio securities to financial institutions and agrees to repurchase them at a mutually agreed-upon date and price that is higher than the original sale price, and use the proceeds for investment purchases. 

As a result of the Fund repurchasing the securities at a higher price, the Fund will lose money by engaging in reverse repurchase agreement transactions.

As noted above, because the Fund intends to qualify for treatment as a RIC under the Code, the size of the Fund’s investment in the Subsidiary will not exceed 25% of the Fund’s total assets at or around each quarter end of the Fund’s fiscal year (the “Asset Diversification Test”). At other times of the year, the Fund’s investments in the Subsidiary will significantly exceed 25% of the Fund’s total (or gross) assets.

When the Fund seeks to reduce its total assets exposure to the Subsidiary, it may use the short-term Treasury Bills it owns (and purchase additional Treasury Bills as needed) to transact in reverse repurchase agreement transactions, which are ostensibly loans to the Fund. Those loans will increase the gross assets of the Fund, which the Adviser expects will allow the Fund to meet the Asset Diversification Test. When the Fund enters into a reverse repurchase agreement, it will either (i) be consistent with Section 18 of the 1940 Act and maintain asset coverage of at least 300% of the value of the reverse repurchase agreement; or (ii) treat the reverse repurchase agreement transactions as derivative transactions for purposes of Rule 18f-4 under the 1940 Act (“Rule 18f-4”), including as applicable, the value-at-risk based limit on leverage risk.

Other Investment Companies

The Fund may invest in shares of Other Investment Companies, that is, shares of investment companies registered under the 1940 Act that invest in similar assets to those in which the Fund may invest.

Exchange-traded option contracts on shares of Other Investment Companies.

The Fund may invest in exchange-listed option contracts on shares of Other Investment Companies, which invest in similar assets to those in which the Fund may invest. An option is a contract that gives the purchaser of the option, in return for the premium paid, the right to buy shares of an investment company, from the writer of the option (in the case of a call option), or to sell shares of the investment company to the writer of the option (in the case of a put option) at a designated price during the term of the option. The premium paid by the buyer of an option will reflect, among other things, the relationship of the exercise price to the market price and the volatility of the shares of the investment company, the remaining term of the option, supply, demand, interest rates and/or currency exchange rates. The Fund may utilize “American” style options or “European” style options. American style options are exercisable on any date prior to the expiration date of the option contract. In contrast, European style options are exercisable only on the expiration date of the option contract.

Swaps that reference Blackhawks Index Futures Contracts, Other Investment Companies, or the Blackhawks Index.

Swap contracts are transactions entered into primarily with major global financial institutions for a specified period ranging from a day to more than one year. In a swap transaction, the Fund and a counterparty will agree to exchange or “swap” payments based on the change in value of an underlying asset or benchmark. For example, the two parties may agree to exchange the return (or differentials in rates of returns) earned or realized on a particular investment or instrument. In the case of the Fund, the reference asset can be Blackhawks Index Futures Contracts, Other Investment Companies or the Blackhawks Index.

Principal Risks

As with all investments, there are certain risks of investing in the Fund. Shares will change in value, and you could lose money by investing in the Fund. The Fund may not achieve its investment objective. An investment in the Fund does not represent a complete investment program. An investment in the Fund is not a bank deposit and it is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency, the Adviser or any of their affiliates. You should consider carefully the following risks before investing in the Fund.

Each risk noted below is considered a principal risk of investing in the Fund, regardless of the order in which it appears. The significance of each risk factor below may change over time and you should review each risk factor carefully.

Risks Specific to the Fund’s Investments

Investment Strategy Risk. The Fund, through the Subsidiary, invests primarily in Blackhawks Index Futures Contracts. The Fund does not invest directly in prediction markets, event contracts or other instruments that provide exposure to individual sporting event or season-long outcomes or to investments that provide exposure to the financial performance of individual sports teams or leagues. Instead, the Fund seeks to benefit from increases in the price of Blackhawks Index Futures Contracts. The price of Blackhawks Index Futures Contracts may not be an accurate measure of the Blackhawks Index. Consequently, the Fund may perform differently from the performance of the Blackhawks Index. There can be no guarantee that the performance of Blackhawks Index Futures Contracts will be highly correlated to the performance of the Blackhawks Index. Transaction costs (including the costs associated with futures investing), position limits, the availability of counterparties and other factors may impact the cost and pricing of Blackhawks Index Futures Contracts and decrease the correlation between the performance of Blackhawks Index Futures Contracts and the Blackhawks Index, over short- or long-term periods. In addition, the performance of back-month Blackhawks Index Futures Contracts is likely to differ more significantly from the performance of the Blackhawks Index. To the extent the Fund is invested in back-month Blackhawks Index Futures Contracts, the performance of the Fund should be expected to deviate more significantly from the performance of the Blackhawks Index. Moreover, because the Blackhawks Index is uninvestable, the Fund can only gain exposure through futures contracts and other derivatives, and differences between the prices of those instruments and the levels of the Blackhawks Index may result in the Fund experiencing larger losses or smaller gains than would be implied by changes in the Blackhawks Index alone.

Sports Performance Risk. The Fund’s investment strategy is inherently speculative. The value of Blackhawks Index Futures Contracts is derived from the statistical performance of a single professional sports team as measured by the Blackhawks Index. Successfully investing in Blackhawks Index Futures Contracts requires that the team tracked by the index performs well statistically over the course of a season, an outcome that is inherently uncertain and subject to numerous unpredictable variables, including player health, competitive dynamics, coaching decisions, and random variation in athletic performance. The Blackhawks Index may decline in value, and there can be no assurance that the team tracked by the index will perform at or above the levels implied by the prices of Blackhawks Index Futures Contracts at the time the Fund obtains exposure.

On-Ice Performance and Competitive Results Risk. The Fund’s investment performance is linked to the on-ice statistical performance of a single NHL team during the regular season and, if applicable, the playoffs. The prices of Blackhawks Index Futures Contracts are expected to rise when the team performs well statistically and to fall when the team performs poorly. Competitive results in professional hockey are inherently unpredictable and can be influenced by factors entirely outside the team’s control, including the performance of opposing teams, referee calls, random puck bounces, weather affecting travel, and in-game injuries. A team may enter a season with high expectations based on roster strength, coaching hires, or offseason acquisitions, only to underperform due to chemistry issues, unexpected injuries to key players, player slumps, or tactical mismatches against divisional opponents. The NHL season extends over several months and includes 82 regular season games per team, during which even a strong team may experience prolonged losing streaks that cause material declines in the Blackhawks Index. If the team fails to make the playoffs, the Fund will not benefit from any potential uplift in index value that could accompany postseason success. Conversely, early playoff elimination could cause sharp declines in futures prices if the market had priced in deeper postseason performance. Because the Fund is concentrated in a single NHL team, there is no opportunity to offset poor on-ice performance by gaining exposure to a stronger team or a different sport.

Blackhawks Index Investing Risk. The Fund is indirectly exposed to the risks of the Blackhawks Index through its investments in Blackhawks Index Futures Contracts and other Blackhawks Index-Linked Instruments. The Fund does not invest in the Blackhawks Index, which is an uninvestable index. The performance of the Blackhawks Index will be very different from a portfolio of Blackhawks Index Futures Contracts.

The Blackhawks Index moves up or down based on officially reported statistics from every game, match, or event throughout the regular season and postseason. Positive statistical actions (e.g., goals scored, points earned) add value to the index, while negative actions (e.g., opponent scoring, penalties or setbacks) subtract value. Poor statistical performance by the Chicago Blackhawks could have a significant negative impact on the level of the Blackhawks Index and therefore the value of the Fund. In addition, unlike instruments that are based on tradable reference assets, the Blackhawks Index Futures Contracts and Blackhawks Index-Linked Instruments are tied to an index that is not directly investable and, thus, have settlement prices based on the calculation of that index, not the price of a tradable asset.

Concentrated Single-Team Exposure Risk. The Fund’s investment strategy results in concentrated exposure to a single professional sports team’s statistical performance (i.e., the Chicago Blackhawks) as measured by an index. Unlike diversified funds that spread risk across multiple asset classes, sectors, or issuers, the Fund’s performance is primarily driven by the statistical output of one team over the course of a season. As a result, the Fund is more susceptible to risks affecting that team, including player injuries, suspensions, trades, retirements, coaching changes, front-office turnover, league sanctions, labor disputes, lockouts, or other events that directly or indirectly influence the team’s on-ice statistical performance. This degree of concentration will likely increase volatility in the Fund’s NAV, heighten the likelihood of significant losses over short periods, and cause the Fund’s returns to diverge substantially from those of more diversified investments. Additionally, because the Fund is concentrated in a single team, it is inherently concentrated in a single professional sports league. This subjects the Fund to league-specific risks, including league-wide labor disputes, broad scandal, changes to the structure or rules of the league, or events that cause the cancellation or suspension of games. The Fund has no ability to rotate exposure into a different team, sport, or league in response to adverse developments affecting the team to which it has exposure.

Insider Trading and Information Asymmetry Risk. Unlike securities markets, which are governed by well-established insider trading prohibitions under the Securities Exchange Act of 1934, the legal framework governing trading on the basis of material, non-public information in the context of commodity futures is less developed. While the CFTC has broad anti-manipulation and anti-fraud authority under the Commodity Exchange Act (“CEA”), specific rules and judicial precedent addressing what constitutes improper trading on non-public information in the context of sports-linked futures remain nascent. Certain individuals may possess material, non-public information that could affect the statistical performance of the Blackhawks Index and, consequently, the prices of Blackhawks Index Futures Contracts. Such individuals may include, without limitation, team coaches, players, trainers, team medical staff, front office personnel, referees, officials, league personnel, or sports data providers. For example, undisclosed injuries to key players or undisclosed lineup changes could materially affect the level of the Blackhawks Index. Such persons could trade Blackhawks Index Futures Contracts or Fund Shares to profit from their informational advantage prior to public disclosure. There is no guarantee that exchanges, the CME, or the CFTC will successfully detect and prevent such trading, and the Fund has no means of preventing such individuals from purchasing or selling Fund Shares. The participation of informed insiders in the market for Blackhawks Index Futures Contracts can create adverse selection for other market participants and distort market prices. Because the Fund is concentrated in a single team, the impact of insider trading on the Fund may be more pronounced than in markets with broader diversification.

League Credibility and Sports Integrity Risk. The Blackhawks Index is calculated based on official league statistics derived from the games of a single professional sports team, and the integrity of those games is fundamental to the reliability of the index. Efforts to interfere with the team’s games, including match-fixing, point-shaving, or referee manipulation, could materially affect the statistical data upon which the Blackhawks Index is based, create significant uncertainty regarding index levels, and cause pronounced price volatility in Blackhawks Index Futures Contracts. Confirmed or suspected game interference may also prompt legislative or regulatory responses, including restrictions on sports-linked financial products or emergency rulemaking by the CFTC, that could restrict the listing or trading of Blackhawks Index Futures Contracts. Even widely publicized allegations of interference, absent actual misconduct, could undermine market confidence in the Blackhawks Index and the futures contracts that reference it.

Gaming and State Regulatory Litigation Risk. Exchanges that list sports-linked financial instruments, including Blackhawks Index Futures Contracts, may be subject to legal challenges brought by state attorneys general, state gaming commissions, and other state-level actors asserting that such instruments constitute regulated gambling or gaming activity under state law, notwithstanding that such contracts are listed on a CFTC-regulated exchange. Such proceedings may assert that the listing of sports-linked contracts violates state gaming statutes, requires state gaming or sports wagering licenses, or constitutes an illegal gambling enterprise. These exchanges, and the CFTC in certain court filings, have asserted that the CEA and the CFTC’s exclusive jurisdiction over CFTC-regulated exchanges preempts state gaming regulations. There is no assurance that federal courts will rule in favor of federal preemption, and resolution may require years of litigation and potentially appellate review. An adverse ruling could result in the suspension or cessation of trading in Blackhawks Index Futures Contracts, material operational restrictions, significant financial penalties, or the effective loss of the ability to list sports-linked futures. Any of these outcomes could materially and adversely affect the Fund’s ability to achieve its investment objective and could result in significant losses.

Platform and Distribution Restriction Risk. Broker-dealers, registered investment adviser platforms, wirehouses, and other financial intermediaries may refuse to list, recommend, or permit purchases of Fund Shares through their platforms due to the Fund’s association with sports performance outcomes and the perception that such products are akin to sports wagering, regardless of the Fund’s legal status as a registered investment company under the 1940 Act. Certain intermediaries may permit only unsolicited purchases, prohibit financial advisers from recommending the Fund, or exclude the Fund from model portfolios entirely. These restrictions could limit the Fund’s accessible investor base, constrain assets under management, reduce secondary market liquidity, widen bid-ask spreads, and increase the likelihood that Fund Shares will trade at significant premiums or discounts to net asset value. Even if an intermediary initially permits distribution, it may subsequently restrict access in response to adverse regulatory developments, reputational concerns, or changes in compliance policies. If a significant number of intermediaries refuse to distribute Fund Shares, the Fund may be unable to achieve sufficient scale, which could increase the Fund’s expense ratio, reduce trading volume, and impair the Fund’s ability to operate effectively.

Novel Market Risk. Blackhawks Index Futures Contracts are a novel asset class with limited trading history. The market may not develop the depth, liquidity, or trading efficiency associated with more established futures markets, and its pricing may be influenced by factors unrelated to fundamental assessments of team performance, including speculative activity, behavioral biases, regulatory headlines, or concentrated participation by a limited number of traders. There is limited historical data on which to base expectations regarding future price behavior, volatility patterns, or the costs associated with maintaining exposure, and traditional risk metrics may not accurately capture the risks of investing in this market. There can be no assurance that the market for Blackhawks Index Futures Contracts will achieve or sustain the level of participation, liquidity, and price discovery necessary for the Fund to effectively pursue its investment objective.

Limited Price Discovery and Market Depth Risk. Because Blackhawks Index Futures Contracts are a newly created instrument class, the market may lack the depth, breadth, and participation necessary for reliable price discovery. Traditional commodity futures markets benefit from decades of participation by commercial hedgers, speculators, and arbitrageurs whose activities contribute to efficient pricing. The market for Blackhawks Index Futures Contracts is expected to have few, if any, natural commercial hedgers, and may be dominated by retail speculators, algorithmic traders, or a small number of institutional participants. This concentrated participation could result in prices that do not accurately reflect fair value, wider bid-ask spreads, and elevated intraday price volatility. In thin markets, even modest order flow from the Fund could move prices against the Fund, increasing transaction costs and reducing returns. There can be no assurance that the market for Blackhawks Index Futures Contracts will develop sufficient liquidity over time, and the Fund may be unable to establish or exit positions at prices the Fund considers favorable.

Seasonality and Offseason Risk. The Blackhawks Index resets to a standardized base value prior to the start of each sports season and has a defined life cycle that ends following the postseason. Because the Fund tracks a single team in a single sport, the Fund is tied to that sport’s competitive calendar and has no ability to diversify across sports or rotate into a sport that is in-season when the team’s sport is not. During the playing season, the Blackhawks Index moves in real-time based on officially reported game statistics, and the prices of Blackhawks Index Futures Contracts are expected to reflect both the current index level and market expectations regarding future team performance. During the offseason, however, the Blackhawks Index will not move because no games are being played, and the Fund’s exposure to Blackhawks Index Futures Contracts will behave differently than during the playing season. The Fund anticipates maintaining exposure to Blackhawks Index Futures Contracts during the offseason. Although the underlying index will be static during this period, the prices of Blackhawks Index Futures Contracts may still fluctuate based on market expectations regarding the team’s prospects for the upcoming season, including coaching changes, player trades, draft picks, free agent signings, injury recovery timelines, training camp developments, and other factors that affect the market’s assessment of the team’s likely statistical performance. However, because the index itself is not moving during the offseason, the magnitude of futures price movements may be reduced relative to the playing season, and the relationship between futures prices and the underlying index level may be less predictable. There can be no assurance that the Fund’s offseason futures holdings will appreciate in value, and the Fund may experience losses during the offseason if market sentiment regarding the team’s upcoming season deteriorates. In addition, there can be no assurance that Blackhawks Index Futures Contracts will be available in sufficient volume or at favorable pricing during the offseason or at the start of a new season.

League Discontinuation, Lockout, or Strike Risk. The Fund’s ability to invest in Blackhawks Index Futures Contracts depends on the continued operation of the NHL and the playing of scheduled games. Labor disputes between the NHL and its players’ union could result in a lockout or strike that suspends or cancels all or a significant portion of a season. The NHL has previously experienced work stoppages, including a full-season cancellation in 2004-2005. During any such period, no games would be played, the Blackhawks Index would not generate data, and trading in Blackhawks Index Futures Contracts could be suspended or severely impaired. The Fund would be unable to pursue its investment strategy during such a period, may be forced to liquidate positions at disadvantageous prices, and could experience substantial losses. Even after a labor dispute is resolved, the shortened or restructured season could materially change the statistical patterns underlying the index methodology. In addition, force majeure events such as a pandemic, natural disaster, or other circumstances beyond the control of the league could cause widespread game cancellations or delays. There can be no assurance that the league will not experience a work stoppage or other extended interruption during the Fund’s investment period, or that the Fund will be able to recover any losses incurred as a result of such events.

Index Provider and Data Dependency Risk. The Blackhawks Index is maintained and calculated by a single Index Provider, FutureSports. If the Index Provider were to experience operational failures, cease operations, lose its data feed from the applicable sports league, experience a cybersecurity breach, or otherwise become unable to calculate the Blackhawks Index, Blackhawks Index Futures Contracts may have no reliable reference value, which could materially and adversely affect the value of the Fund. In addition, the Blackhawks Index is calculated solely on the basis of officially reported statistics from a single sports league. The league serves as the data source but does not participate in index determination or governance. If the league were to report incorrect statistics, issue post-game corrections, change how it reports or categorizes statistics, delay reporting, or discontinue the provision of data to the Index Provider, the settlement prices of Blackhawks Index Futures Contracts could be based on erroneous or incomplete data. Furthermore, the Index Provider controls the methodology by which official statistics are translated into index points. If the Index Provider amends or discontinues its methodology, the behavior of the Blackhawks Index could change materially and the futures market may not immediately price in such changes. The Blackhawks Index is calculated in real-time while games are being played, which introduces latency, data-feed, and computational risks that differ from those associated with traditional financial indexes.

Trading Hours and Sporting Event Timing Risk. NHL games may occur during evening hours, on weekends, and on holidays when the Exchange is closed and when the market for Blackhawks Index Futures Contracts may have limited or no trading activity. Because the Blackhawks Index moves in real-time while games are being played, material index movements may occur during periods when investors are unable to buy or sell Shares or when Blackhawks Index Futures Contracts are not actively trading. As a result, the opening price of Shares and the prices of Blackhawks Index Futures Contracts on the next trading session may differ significantly from the prior session’s closing prices, potentially resulting in large gaps at the open. Shareholders may not be able to sell their Shares until after such a gap has been fully realized, resulting in an inability to mitigate losses in a declining market.

Futures Contracts Risk. Risks of futures contracts include: (i) an imperfect correlation between the value of the futures contract and the underlying asset; (ii) possible lack of a liquid secondary market; (iii) the inability to close a futures contract when desired; (iv) losses caused by unanticipated market movements, which may be unlimited; (v) an obligation for the Fund to make daily cash payments to maintain its required margin, particularly at times when the Fund may have insufficient cash; and (vi) unfavorable execution prices from rapid selling. Unlike equities, which typically entitle the holder to a continuing stake in a corporation, futures contracts normally specify a certain date for settlement in cash based on the reference asset. As the futures contracts approach expiration, they may be replaced by similar contracts that have a later expiration. This process is referred to as “rolling.” If the market for these contracts is in “contango,” meaning that the prices of futures contracts in the nearer months are lower than the price of contracts in the distant months, the sale of the near-term month contract would be at a lower price than the longer-term contract, resulting in a cost to “roll” the futures contract. The actual realization of a potential roll cost will be dependent upon the difference in price of the near and distant contract. Because the margin requirement for futures contracts is less than the value of the assets underlying the futures contract, futures trading involves a degree of leverage. As a result, a relatively small price movement in a futures contract may result in immediate and substantial loss, as well as gain, to the investor. For example, if at the time of purchase, 40% of the value of the futures contract is deposited as margin, a subsequent 20% decrease in the value of the futures contract would result in a loss of half of the margin deposit, before any deduction for the transaction costs, if the account were then closed out. A decrease in excess of 40% would result in a loss exceeding the original margin deposit, if the futures contract were closed out. Thus, a purchase or sale of a futures contract may result in losses in excess of the amount initially invested in the futures contract. However, the Fund would presumably have sustained comparable losses if, instead of investing in the futures contract, it had invested in the underlying financial instrument and sold it after the decline. Further, if the market for Blackhawks Index Futures Contracts is in a period of contango, if the performance of the Blackhawks Index and the price of Blackhawks Index Futures Contracts were to decline, the Fund would experience the negative impact of contango. The impact of backwardation or contango may lead to the returns of the Fund to vary significantly from the total return of other price references. Additionally, in the event of a prolonged period of contango, and absent the impact of rising or falling pricing in the Blackhawks Index, this could have a significant negative impact on the Fund’s NAV and total return.

Position Limits and Price Limits

The CFTC and various exchanges on which Blackhawks Index Futures Contracts trade have established position limits and price limits for Blackhawks Index Futures Contracts. Position limit regulation and price limit regulation serve distinct purposes and are regulated differently.

Position limits are designed to prevent excessive speculation that could cause sudden or unreasonable fluctuations in the price of a commodity. They limit the maximum number of contracts a person or entity can hold in a particular commodity.

Price limits are mechanisms to maintain orderly markets by restricting the price range within which futures contracts can trade during a trading session. They prevent extreme price movements that could disrupt market stability. Price limits are typically set as a percentage of the previous day's settlement price. When price limits are hit, trading may be halted or expanded depending on the product and regulatory rules. Unlike position limits, price limits do not restrict the number of contracts a trader can hold but rather the price at which those contracts can be traded. When a price limit is hit, the market for Blackhawks Index Futures Contracts may temporarily halt until price limits can be expanded or trading may be stopped for the day.

If the Fund is unable to buy or sell Blackhawks Index Futures Contracts as a result of position limits being hit or price limits that result in a halted or closed market—or for other reasons including limited liquidity in the market for Blackhawks Index Futures Contracts, a disruption to the market for Blackhawks Index Futures Contracts, or as a result of margin requirements, accountability levels, or other limitations imposed by the Fund’s futures commission merchants (“FCMs”), the listing exchanges, or the CFTC—the Adviser would take such action as it believes appropriate and in the best interest of the Fund in consideration of the facts and circumstances at such time, including: (i) investing in Blackhawks Index-Linked Instruments that are not Blackhawks Index Futures Contracts; (ii) requiring that authorized participants purchase and redeem in large blocks of shares called “Creation Units” through an exchange for related position (EFRP) method rather than in cash; (iii) applying increased authorized participant variable transaction fees for purchases or redemptions of Creation Units made in cash; or (iv) de-levering the Fund, relative to its investment objective, by an amount reflecting prevailing price limits. In addition, the Fund generally may suspend the issuance of Creation Units only for a limited time and only due to extraordinary circumstances, such as when the markets on which the ETF’s portfolio holdings are traded are closed for a limited period of time; that is to say, when the Fund is unable to increase its exposure to underlying assets.

Cost of Futures Investment Risk. When a Blackhawks Index Futures Contract is nearing expiration, the Fund will generally sell it and use the proceeds to buy a Blackhawks Index Futures Contract with a later expiration date. This is commonly referred to as “rolling”.

If the Fund rolls Blackhawks Index Futures Contracts that are in contango, the Fund would sell a lower priced, expiring contract and purchase a higher priced, longer-dated contract. The price difference between the expiring contract and longer-dated contract associated with rolling Blackhawks Index Futures Contracts is typically substantially higher than the price difference associated with rolling other futures contracts. Contango in the market for Blackhawks Index Futures Contracts may have a significant adverse impact on the performance of the Fund and may cause Blackhawks Index Futures Contracts and the Fund to underperform the Blackhawks Index. Both contango and backwardation would reduce the Fund’s correlation to the Blackhawks Index and may limit or prevent the Fund from achieving its investment objective. The impact of both contango and backwardation may also be greater to the extent the Fund invests in back-month Blackhawks Index Futures Contracts. 

Investment Capacity Risk. If the Fund’s ability to obtain exposure to Blackhawks Index Futures Contracts consistent with its investment objective is disrupted for any reason, including but not limited to, limited liquidity in the market for Blackhawks Index Futures Contracts, a disruption to the market for Blackhawks Index Futures Contracts, or as a result of margin requirements or position limits imposed by the Fund’s FCMs, the CME, or the CFTC, and the Fund could not otherwise meet its investment objective through the use of other investments discussed above, the Fund would not be able to achieve its investment objective and may experience significant losses.

Liquidity Risk. The market for the Blackhawks Index Futures Contracts may be subject to periods of illiquidity. During such times it may be difficult or impossible to buy or sell a position at the desired price. Market disruptions or volatility can also make it difficult to find a counterparty willing to transact at a reasonable price and sufficient size. Illiquid markets may cause losses, which could be significant. Large positions also increase the risk of illiquidity, which may make the Fund’s positions more difficult to liquidate, and increase the losses incurred while trying to do so.

Derivatives Risk. In addition to Blackhawks Index Futures Contracts, the Fund may obtain exposure through the following other derivatives: (1) exchange traded options on Other Investment Companies and/or (2) swap agreement transactions that reference Blackhawks Index Futures Contracts, Other Investment Companies, or the Blackhawks Index.

Investing in derivatives may be considered aggressive and may expose the Fund to risks different from, or possibly greater than, the risks associated with investing directly in the reference asset(s) underlying the derivative (e.g., the securities or commodities contained in the Fund). The use of derivatives may result in larger losses or smaller gains than directly investing in securities or commodities. The risks of using derivatives include: (1) the risk that there may be imperfect correlation between the price of the financial instruments and movements in the prices of the reference asset(s); (2) the risk that an instrument is mispriced; (3) credit or counterparty risk on the amount a Fund expects to receive from a counterparty; (4) the risk that securities prices, interest rates and currency markets will move adversely and a Fund will incur significant losses; (5) the risk that the cost of holding a financial instrument might exceed its total return; and (6) the possible absence of a liquid secondary market for a particular instrument and possible exchange imposed price fluctuation limits, either of which may make it difficult or impossible to adjust a Fund’s position in a particular instrument when desired. Each of these factors may prevent a Fund from achieving its investment objective and may increase the volatility (i.e., fluctuations) of the Fund’s returns. Because derivatives often require limited initial investment, the use of derivatives also may expose a Fund to losses in excess of those amounts initially invested.

The performance of any Blackhawks Index-Linked Instrument may not track the performance of its underlying benchmark due to embedded costs and other factors. Thus, to the extent the Fund invests in swaps that use a Blackhawks Index-Linked Instrument as the reference asset, the Fund may be subject to greater correlation risk and may not achieve as high a degree of correlation with its investment objective than if the Fund only used Blackhawks Index Futures Contracts.

Swap Agreements Risk. The Fund may enter into cash-settled swaps and other derivatives to gain exposure to an underlying asset without actually purchasing such asset. Swaps are two-party contracts entered into primarily by institutional investors for periods ranging from a day to more than one year. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on a particular pre-determined interest rate, commodity, security, indexes, or other assets or measurable indicators. The primary risks associated with the use of swaps are mispricing or improper valuation, imperfect correlation between movements in the notional amount and the price of the underlying investments, and the failure of a counterparty to perform. If a counterparty’s creditworthiness for an over-the-counter swap declines, the value of the swap would likely decline. Moreover, there is no guarantee that the Fund could eliminate its exposure under an outstanding swap by entering into an offsetting swap with the same or another party. In addition, the Fund may use a combination of swaps on an underlying index.

Options Risk. The Fund may purchase exchange-traded options that reference shares of Other Investment Companies. Transactions in options generally require less capital than equivalent stock transactions. They may return smaller dollar figures but a potentially greater percentage of the investment than equivalent stock transactions. The potential profit is limited to the premium received for the contract. The potential loss can be unlimited. While leverage means the percentage returns can be significant, the amount of cash required is smaller than equivalent stock transactions. It is possible to lose the entire principal invested, and sometimes more. As an options holder, a Fund risks the entire amount of the premium it pays. But as an options writer, it takes on a much higher level of risk. For example, if the Fund writes an uncovered call, it faces unlimited potential loss, since there is no cap on how high a stock price can rise. When buying options, a Fund risks losing the premium paid, plus commissions and fees.

Reverse Repurchase Agreements Risk. The Fund may invest in reverse repurchase agreements. Reverse repurchase agreements are transactions in which the Fund sells portfolio securities to financial institutions such as banks and broker-dealers, and agrees to repurchase them at a mutually agreed-upon date and price which is higher than the original sale price. Reverse repurchase agreements are a form of leverage and the use of reverse repurchase agreements by the Fund may increase the Fund’s volatility. The Fund incurs costs, including interest expenses, in connection with the opening and closing of reverse repurchase agreements that will be borne by the shareholders.

Reverse repurchase agreements are also subject to the risk that the other party to the reverse repurchase agreement will be unable or unwilling to complete the transaction as scheduled, which may result in losses to the Fund. In situations where the Fund is required to post collateral with a counterparty, the counterparty may fail to segregate the collateral or may commingle the collateral with the counterparty’s own assets. As a result, in the event of the counterparty’s bankruptcy or insolvency, the Fund’s collateral may be subject to the conflicting claims of the counterparty’s creditors, and the Fund may be exposed to the risk of a court treating the Fund as a general unsecured creditor of the counterparty, rather than as the owner of the collateral. There can be no assurance that a counterparty will not default and that the Fund will not sustain a loss on a transaction as a result.

Reverse repurchase agreements also involve the risk that the market value of the securities sold by the Fund may decline below the price at which it is obligated to repurchase the securities. In addition, when the Fund invests the proceeds it receives in a reverse repurchase transaction, there is a risk that those investments may decline in value. In this circumstance, the Fund could be required to sell other investments in order to meet its obligations to repurchase the securities.

Risks Related to Investing in Other Investment Companies. The Fund may invest in long or short positions in Other Investment Companies (i.e., investment companies registered under the 1940 Act that invest in similar assets to those in which the Fund may invest). Investing in Other Investment Companies may involve duplication of advisory or management fees and certain other expenses. By investing in Other Investment Companies, the Fund becomes a shareholder of that Other Investment Company. As a result, Fund shareholders indirectly bear the Fund’s proportionate share of the fees and expenses paid by shareholders of the Other Investment Company, in addition to the fees and expenses Fund shareholders bear in connection with the Fund’s own operations. As a shareholder, the Fund must rely on the Other Investment Company to achieve its investment objective. The Fund’s performance may be magnified positively or negatively by virtue of its investment in the Other Investment Company. If the Other Investment Company fails to achieve its investment objective, the value of the Fund’s investment could decline, thus affecting the Fund’s performance. In addition, because certain Other Investment Company shares are listed on national stock exchanges and are traded like stocks on an exchange, their shares potentially may trade at a discount or a premium. Investments in such shares may be subject to brokerage and other trading costs, which could result in greater expenses to the Fund. Finally, because the value of certain Other Investment Company shares may depend on the demand in the market, the Adviser may not be able to liquidate the Fund’s holdings in those shares at the most optimal time, adversely affecting the Fund’s performance.

Collateral Investments Risk. The Fund’s use of Collateral Investments may include obligations issued or guaranteed by the U.S. Government, its agencies and instrumentalities, including bills, notes and bonds issued by the U.S. Treasury, investment companies registered under the 1940 Act that invest in high-quality securities and corporate debt securities, such as commercial paper.

Some securities issued or guaranteed by federal agencies and U.S. Government-sponsored instrumentalities may not be backed by the full faith and credit of the United States, in which case the investor must look principally to the agency or instrumentality issuing or guaranteeing the security for ultimate repayment, and may not be able to assert a claim against the United States itself in the event that the agency or instrumentality does not meet its commitment. The U.S. Government, its agencies and instrumentalities do not guarantee the market value of their securities, and consequently, the value of such securities may fluctuate. Although the Fund may hold securities that carry U.S. Government guarantees, these guarantees do not extend to the Shares.

Investment companies that invest in high-quality securities are subject to management fees and other expenses. Therefore, investments in these funds will cause the Fund to bear indirectly a proportional share of the fees and costs of the funds in which it invests. At the same time, the Fund will continue to pay its own management fees and expenses with respect to all of its assets, including any portion invested in the shares of such fund. It is possible to lose money by investing in investment companies that invest in high-quality securities.

Corporate debt securities such as commercial paper generally are short-term unsecured promissory notes issued by businesses. Corporate debt may carry variable or floating rates of interest. Corporate debt securities carry both credit risk and interest rate risk. Credit risk is the risk that the Fund could lose money if the issuer of a corporate debt security is unable to pay interest or repay principal when it is due.

Asset Concentration Risk. Since the Fund may take concentrated positions in Blackhawks Index Futures Contracts, the Fund’s performance may be hurt disproportionately and significantly by the poor performance of those positions to which it has significant exposure. Asset concentration makes the Fund more susceptible to any single occurrence affecting the underlying positions and may subject the Fund to greater market risk than more diversified funds.

Counterparty Risk. The Fund will be subject to credit risk (i.e., the risk that a counterparty is unwilling or unable to make timely payments or otherwise meet its contractual obligations) with respect to the amount the Fund expects to receive from counterparties to: Blackhawks Index Futures Contracts; reverse repurchase agreements; swaps on Blackhawks Index Futures Contracts, Other Investment Companies, or the Blackhawks Index.

The Fund may be negatively impacted if a counterparty becomes bankrupt or otherwise fails to perform its obligations under such an agreement. The Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding and the Fund may obtain only limited recovery or may obtain no recovery in such circumstances. In order to attempt to mitigate potential counterparty credit risk, the Fund typically enters into transactions with major financial institutions.

The counterparty to an exchange-traded futures contract is subject to the credit risk of the clearing house and the FCM through which it holds its position. Specifically, the FCM or the clearing house could fail to perform its obligations, causing significant losses to the Fund. For example, the Fund could lose margin payments it has deposited with an FCM as well as any gains owed but not paid to the Fund, if the FCM or clearing house becomes insolvent or otherwise fails to perform its obligations. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. Under current CFTC regulations, a FCM maintains customers’ assets in a bulk segregated account. If a FCM fails to do so, or is unable to satisfy a substantial deficit in a customer account, its other customers may be subject to risk of loss of their funds in the event of that FCM’s bankruptcy. In that event, in the case of futures, the FCM’s customers are entitled to recover, even in respect of property specifically traceable to them, only a proportional share of all property available for distribution to all of that FCM’s customers. In addition, if the FCM does not comply with the applicable regulations, or in the event of a fraud or misappropriation of customer assets by the FCM, the Fund could have only an unsecured creditor claim in an insolvency of the FCM with respect to the margin held by the FCM. FCMs are also required to transfer to the clearing house the amount of margin required by the clearing house, which amount is generally held in an omnibus account at the clearing house for all customers of the FCM. In addition, the Fund may enter into futures contracts and repurchase agreements with a limited number of counterparties, which may increase the Fund’s exposure to counterparty credit risk. The Fund does not specifically limit its counterparty risk with respect to any single counterparty.

Further, there is a risk that no suitable counterparties are willing to enter into reverse repurchase agreements with the Fund, or continue to enter into, reverse repurchase agreement transactions with the Fund and, as a result, the Fund may not be able to achieve its investment objective. There is also the risk that the Fund may not be able to engage in reverse repurchase agreement transactions because suitable counterparties refuse to enter into transactions with the Fund. Contractual provisions and applicable law may prevent or delay the Fund from exercising its rights to terminate an investment or transaction with a financial institution experiencing financial difficulties, or to realize on collateral, and another institution may be substituted for that financial institution without the consent of the Fund. If the credit rating of a counterparty to a futures contract and/or repurchase agreement declines, the Fund may nonetheless choose or be required to keep existing transactions in place with the counterparty, in which event the Fund would be subject to any increased credit risk associated with those transactions. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the possibility exists that the Fund’s ability to exercise remedies, such as the termination of transactions, netting of obligations and realization on collateral, could be stayed or eliminated under special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide government authorities with broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, the regulatory authorities could reduce, eliminate, or convert to equity the liabilities to the Fund of a counterparty who is subject to such proceedings in the European Union (sometimes referred to as a “bail in”).

Credit Risk. An issuer or other obligated party of a debt security may be unable or unwilling to make dividend, interest and/or principal payments when due. In addition, the value of a debt security may decline because of concerns about the issuer’s ability or unwillingness to make such payments.

Debt Securities Risk. Investments in debt securities subject the holder to the credit risk of the issuer. Credit risk refers to the possibility that the issuer or other obligor of a security will not be able or willing to make payments of interest and principal when due. Generally, the value of debt securities will change inversely with changes in interest rates. To the extent that interest rates rise, certain underlying obligations may be paid off substantially slower than originally anticipated and the value of those securities may fall sharply. During periods of falling interest rates, the income received by the Fund may decline. If the principal on a debt security is prepaid before expected, the prepayments of principal may have to be reinvested in obligations paying interest at lower rates. Debt securities generally do not trade on a securities exchange making them generally less liquid and more difficult to value than common stock.

Interest Rate Risk. Interest rate risk is the risk that the value of the debt securities in the Fund’s portfolio will decline because of rising market interest rates. Interest rate risk is generally lower for shorter term debt securities and higher for longer-term debt securities. Duration is a reasonably accurate measure of a debt security’s price sensitivity to changes in interest rates and a common measure of interest rate risk. Duration measures a debt security’s expected life on a present value basis, taking into account the debt security’s yield, interest payments and final maturity. In general, duration represents the expected percentage change in the value of a security for an immediate 1% change in interest rates. For example, the price of a debt security with a three-year duration would be expected to drop by approximately 3% in response to a 1% increase in interest rates. Therefore, prices of debt securities with shorter durations tend to be less sensitive to interest rate changes than debt securities with longer durations. As the value of a debt security changes over time, so will its duration.

Clearing Broker Risk. The Fund’s investments in exchange-traded futures contracts expose it to the risks of a clearing broker (or a FCM). Under current regulations, a clearing broker or FCM maintains customers’ assets in a bulk segregated account. There is a risk that Fund assets deposited with the clearing broker to serve as margin may be used to satisfy the broker’s own obligations or the losses of the broker’s other clients. In the event of default, the Fund could experience lengthy delays in recovering some or all of its assets and may not see any recovery at all. Furthermore, the Fund is subject to the risk that no FCM is willing or able to clear the Fund’s transactions or maintain the Fund’s assets. If the Fund’s FCMs are unable or unwilling to clear the Fund’s transactions, or if the FCM refuses to maintain the Fund’s assets, the Fund will be unable to have its orders for Blackhawks Index Futures Contracts fulfilled or assets custodied. In such a circumstance, the performance of the Fund will likely deviate from the performance of changes in the Blackhawks Index and may result in the proportion of Blackhawks Index Futures Contracts in the Fund’s portfolio relative to the total assets of the Fund to decrease.

Non-Diversification Risk. The Fund is classified as a “non-diversified company” under the 1940 Act. As a result, the Fund is only limited as to the percentage of its assets which may be invested in the securities of any one issuer by the diversification requirements imposed by the Code. The Fund may invest a relatively high percentage of its assets in a limited number of issuers. As a result, the Fund may be more susceptible to a single adverse economic or regulatory occurrence affecting one or more of these issuers, experience increased volatility and be highly invested in certain issuers.

Risks Related to the Management of the Fund

Active Management Risk. The Fund is actively managed, and its performance reflects investment decisions that the Adviser makes for the Fund. Such judgments about the Fund’s investments may prove to be incorrect. If the investments selected and the strategies employed by the Fund fail to produce the intended results, the Fund could underperform as compared to other funds with similar investment objectives and/or strategies, or could have negative returns.

Frequent Trading Risk. The Fund regularly purchases and subsequently sells (i.e., “rolls”) individual futures contracts throughout the year so as to maintain a fully invested position. As the contracts near their expiration dates, the Fund rolls them over into new contracts. This frequent trading of contracts may increase the amount of commissions or mark-ups to broker-dealers that the Fund pays when it buys and sells contracts, which may detract from the Fund’s performance. High portfolio turnover may result in the Fund paying higher levels of transaction costs and may generate greater tax liabilities for shareholders. Frequent trading risk may cause the Fund’s performance to be less than expected.

Rebalancing Risk. If for any reason the Fund is unable to rebalance all or a portion of its portfolio, or if all or a portion of the portfolio is rebalanced incorrectly, the Fund may be over- or under-exposed to the returns of the Blackhawks Index. Additionally, because the market for Blackhawks Index Futures Contracts is nascent and may be thinly traded, the Fund’s own trading activity, including purchases, sales, and rolling of contracts, could materially influence the prices of Blackhawks Index Futures Contracts. If the Fund represents a significant portion of the open interest or trading volume, its activity could move prices against it, resulting in higher costs and reduced returns. If other market participants anticipate the Fund’s trading patterns, they may engage in front-running or other anticipatory trading strategies that further increase the Fund’s transaction costs. The trading activity associated with such transactions will contribute to the existing trading volume on the underlying futures contracts and may adversely affect the market price of such underlying futures contracts.

Operational Risk. The Fund is exposed to operational risks 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 and the Adviser seek to reduce these operational risks through controls and procedures. However, these measures do not address every possible risk and may be inadequate to address these risks.

Valuation Risk. The Fund or the Subsidiary may hold securities or other assets that may be valued on the basis of factors other than market quotations. This may occur because the asset or security does not trade on a centralized exchange, or in times of market turmoil or reduced liquidity. There are multiple methods that can be used to value a portfolio holding when market quotations are not readily available. The value established for any portfolio holding at a point in time might differ from what would be produced using a different methodology or if it had been priced using market quotations. Portfolio holdings that are valued using techniques other than market quotations, including “fair valued” assets or securities, may be subject to greater fluctuation in their valuations from one day to the next than if market quotations were used. In addition, there is no assurance that the Fund or the Subsidiary could sell or close out a portfolio position for the value established for it at any time, and it is possible that the Fund or the Subsidiary would incur a loss because a portfolio position is sold or closed out at a discount to the valuation established by the Fund or the Subsidiary at that time. The Fund’s ability to value investments may be impacted by technological issues or errors by pricing services or other third-party service providers.

New Fund Risk. As of the date of this prospectus, the Fund has no operating history and currently has fewer assets than larger funds. Like other new funds, large inflows and outflows may impact the Fund’s market exposure for limited periods of time. This impact may be positive or negative, depending on the direction of market movement during the period effected.

Risks Related to Trading of Shares

Trading Issues Risk. 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. The Fund may have difficulty maintaining its listing on the Exchange in the event the Fund’s assets are small, the Fund does not have enough shareholders, or if the Fund is unable to proceed with creation and/or redemption orders.

Authorized Participant Concentration Risk. Only an “authorized participant” or “AP” (i.e., broker-dealers and large institutional investors that have entered into participation agreement with the Fund) may engage in creation or redemption transactions directly with the Fund. The Fund has a limited number of institutions that act as APs on an agency basis (i.e. on behalf of other market 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 AP is able to step forward to create or redeem, in either of these cases, Shares may trade at a discount to the Fund’s net asset value and possibly face delisting.

Market Maker Risk. If the Fund has lower average daily trading volumes, it may rely on a small number of third-party market makers to provide a market for the purchase and sale of Shares. Any trading halt or other problem relating to the trading activity of these market makers could result in a dramatic change in the spread between the Fund’s net asset value and the price at which the Shares are trading on the Exchange, which could result in a decrease in value of the Shares. In addition, decisions by market makers or APs to reduce their role or step away from these activities in times of market stress could inhibit the effectiveness of the arbitrage process in maintaining the relationship between the underlying values of the Fund’s portfolio securities and the Fund’s market price. This reduced effectiveness could result in Shares trading at a discount to net asset value and also in greater than normal intra-day bid-ask spreads for Shares.

Premium/Discount Risk. The market price of the Fund’s Shares will generally fluctuate in accordance with changes in the Fund’s net asset value as well as the relative supply of and demand for Shares on the Exchange. The Fund’s market price may deviate from the value of the Fund’s underlying portfolio holdings, particularly in time of market stress, with the result that investors may pay more or receive less than the underlying value of the Shares bought or sold. The Adviser cannot predict whether Shares will trade below, at, or above their net asset value because the Shares trade on the Exchange at market prices and not at net asset value. 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, but not identical, to the same forces influencing the prices of the holdings of the Fund trading individually or in the aggregate at any point in time. However, given that Shares can only be purchased and redeemed in Creation Units, and only to and from broker-dealers and large institutional investors that have entered into participation agreements (unlike shares of closed-end funds, which frequently trade at appreciable discounts from, and sometimes at premiums to, their net asset value), the Adviser believes that large discounts or premiums to the net asset value of Shares should not be sustained. In addition, because the Fund provides exposure to the statistical performance of a single professional sports team, demand for Shares may be influenced by fan loyalty, emotional attachment, and team-related sentiment rather than by rational assessments of the Fund’s expected risk-adjusted returns. These demand patterns could increase intraday volatility in Fund Shares, widen bid-ask spreads, and result in investors purchasing or selling Shares at prices that do not reflect the Fund’s underlying NAV. During stressed market conditions, the market for the Fund’s Shares may become less liquid in response to deteriorating liquidity in the market for the Fund’s underlying portfolio holdings, which could in turn lead to differences between the market price of the Fund’s Shares and their net asset value. This can be reflected as a spread between the bid and ask prices for the Fund quoted during the day or a premium or discount in the closing price from the Fund’s NAV.

Active Market Risk. Although the Shares are listed for trading on the Exchange, there can be no assurance that an active trading market for the Shares will develop or be maintained. Shares trade on the Exchange at market prices that may be below, at or above the Fund’s net asset value. Securities, including the Shares, are subject to market fluctuations and liquidity constraints that may be caused by such factors as economic, political, or regulatory developments, changes in interest rates, and/or perceived trends in securities prices. Shares of the Fund could decline in value or underperform other investments.

Cash Transaction Risk. Most ETFs generally make in-kind redemptions to avoid being taxed at the fund level on gains on the distributed portfolio securities. However, unlike most ETFs, the Fund currently intends to effect some or all redemptions for cash, rather than in-kind, because of the nature of the Fund’s investments. The Fund may be required to sell portfolio securities to obtain the cash needed to distribute redemption proceeds, which involves transaction costs that the Fund may not have incurred had it effected redemptions entirely in kind. These costs may include brokerage costs and/or taxable gains or losses, which may be imposed on the Fund and decrease the Fund’s NAV to the extent such costs are not offset by a transaction fee payable to an AP. If the Fund recognizes gain on these sales, this generally will cause the Fund to recognize gain it might not otherwise have recognized if it were to distribute portfolio securities in-kind, or to recognize such gain sooner than would otherwise be required. This may decrease the tax efficiency of the Fund compared to ETFs that utilize an in-kind redemption process, and there may be a substantial difference in the after-tax rate of return between the Fund and other ETFs.

Risks Related to Regulation, External Factors, and Federal Income Tax Consequences

Tax Risk. The Fund intends to elect and to qualify each year to be treated as a RIC under Subchapter M of the Code. As a RIC, the Fund will not be subject to U.S. federal income tax on the portion of its net investment income and net capital gain that it distributes to shareholders, provided that it satisfies certain requirements of the Code. If the Fund does not qualify as a RIC for any taxable year and certain relief provisions are not available, the Fund’s taxable income will be subject to tax at the Fund level and to a further tax at the shareholder level when such income is distributed. Additionally, buying securities shortly before the record date for a taxable dividend or capital gain distribution is commonly known as “buying the dividend.” In the event a shareholder purchases Shares shortly before such a distribution, the entire distribution may be taxable to the shareholder even though a portion of the distribution effectively represents a return of the purchase price. To comply with the asset diversification test applicable to a RIC, the Fund will limit its investments in the Subsidiary to 25% of the Fund’s total assets at the end of each tax quarter. The investment strategy of the Fund will cause the Fund to hold substantially more than 25% of the Fund’s total assets in investments in the Subsidiary the majority of the time. The Fund intends to manage the exposure to the Subsidiary so that the Fund’s investments in the Subsidiary do not exceed 25% of the total assets at the end of any tax quarter. If the Fund’s investments in the Subsidiary were to exceed 25% of the Fund’s total assets at the end of a tax quarter, the Fund, generally, has a grace period to cure such lack of compliance. If the Fund fails to timely cure, it may no longer be eligible to be treated as a RIC.

Because Blackhawks Index Futures Contracts produce non-qualifying income for purposes of qualifying as a RIC, the Fund makes its investments in Blackhawks Index Futures Contracts through the Subsidiary. The Fund intends to treat any income it may derive from the futures contracts received by the Subsidiary as “qualifying income” under the provisions of the Code applicable to RICs. The IRS has issued PLRs provided to third parties not associated with the Fund or its affiliates (which only those parties may rely on as precedent) concluding that similar arrangements resulted in qualifying income. Many of such PLRs have now been revoked by the IRS. In March of 2019, the Internal Revenue Service published Regulations that concluded that income from a corporation similar to the Subsidiary would be qualifying income, if the income is related to the Fund’s business of investing in stocks or securities. Although the Regulations do not require distributions from the Subsidiary, the Fund intends to cause the Subsidiary to make distributions that would allow the Fund to make timely distributions to its shareholders. The Fund generally will be required to include in its own taxable income the income of the Subsidiary for a tax year, regardless of whether the Fund receives a distribution of the Subsidiary’s income in that tax year, and this income would nevertheless be subject to the distribution requirement for qualification as a RIC and would be taken into account for purposes of the 4% excise tax.

If, in any year, the Fund were to fail to qualify for the special tax treatment accorded a RIC and its shareholders, and were ineligible to or were not to cure such failure, the Fund would be taxed in the same manner as an ordinary corporation subject to U.S. federal income tax on all its income at the fund level. The resulting taxes could substantially reduce the Fund’s net assets and the amount of income available for distribution. In addition, in order to requalify for taxation as a RIC, the Fund could be required to recognize unrealized gains, pay substantial taxes and interest, and make certain distributions.

Subsidiary Regulatory Investment Risk. Changes in the laws of the United States and/or the Cayman Islands, under which the Fund and the Subsidiary are organized, respectively, could result in the inability of the Fund to operate as intended and could negatively affect the Fund and its shareholders. The Subsidiary is not registered under the 1940 Act and is not subject to all the investor protections of the 1940 Act. However, as the Subsidiary is wholly-owned by the Fund, and the investors of the Fund will have the investor protections of the 1940 Act, the Fund as a whole—including the Subsidiary—will provide investors with 1940 Act protections.

Commodity Regulatory Risk. The Fund’s use of commodity futures subject to regulation by the CFTC has caused the Fund to be classified as a “commodity pool” and this designation requires that the Fund comply with CFTC rules, which may impose additional regulatory requirements and compliance obligations. The Fund’s investment decisions may need to be modified, and commodity contract positions held by the Fund may have to be liquidated at disadvantageous times or prices, to avoid exceeding any applicable position limits established by the CFTC, potentially subjecting the Fund to substantial losses. The regulation of commodity transactions in the United States is subject to ongoing modification by government, self-regulatory and judicial action. The effect of any future regulatory change with respect to any aspect of the Fund is impossible to predict, but could be substantial and adverse to the Fund.

Regulatory Risk. The regulatory framework governing sports-linked financial instruments is evolving and subject to significant uncertainty. Blackhawks Index Futures Contracts are a novel instrument class for which there is limited regulatory precedent. The CFTC has broad discretionary authority to determine whether particular contracts are consistent with the public interest, including authority to disapprove or direct an exchange to delist contracts that the CFTC determines involve gaming, are unlawful, or otherwise run contrary to the purposes of the CEA. The CFTC has recently proposed amendments to its rules concerning event contracts, commonly referred to as prediction markets, to specify which contracts may be determined contrary to the public interest and therefore may not be listed for trading or accepted for clearing on or through a CFTC-regulated entity. The CFTC or the listing exchange could, at any time and without advance notice, impose new conditions, margin or position-limit requirements, reporting obligations, trading halts, settlement adjustments, or delisting actions. Any such changes could, among other things; (i) impair the Fund’s ability to establish, maintain, or close positions; (ii) require the Fund to liquidate positions at disadvantageous prices; (iii) alter the economic characteristics on which the Fund relies; or (iv) render the Fund’s principal investment strategy impractical. In addition, future legislative, judicial, or administrative developments could retroactively affect the permissibility, settlement mechanics, or availability of Blackhawks Index Futures Contracts. These developments may occur abruptly and may not provide mechanisms for investor recourse or for the orderly unwind of positions. There can be no assurance that the regulatory environment for sports-linked financial instruments will remain stable or favorable.

Cyber Security Risk. The Fund is susceptible to operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional events that may cause the Fund to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause the Fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. Cyber security breaches may involve unauthorized access to the Fund’s digital information systems through “hacking” or malicious software coding, but may also result from outside attacks such as denial-of-service attacks through efforts to make network services unavailable to intended users. In addition, cyber security breaches of the Fund’s third-party service providers, such as its administrator, transfer agent, or custodian, as applicable, or issuers in which the Fund invests, can also subject the Fund to many of the same risks associated with direct cyber security breaches. While the Fund has established business continuity plans and risk management systems designed to reduce the risks associated with cyber security, there are inherent limitations in such plans and systems. Additionally, there is no guarantee that such efforts will succeed, especially because the Fund does not directly control the cyber security systems of issuers or third-party service providers.

Natural Disaster/Epidemic Risk. Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks, and result in significant breakdowns, delays, shutdowns, social isolation, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Fund and its investments. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy of financial projections. Under these circumstances, the Fund may have difficulty achieving its investment objectives which may adversely impact Fund performance. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Fund’s investment advisor, third party service providers, and counterparties), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Fund’s investments. These factors can cause substantial market volatility, exchange trading suspensions and closures, changes in the availability of and the margin requirements for certain instruments, and can impact the ability of the Fund to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market. A widespread crisis would also affect the global economy in ways that cannot necessarily be foreseen. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these could have a significant impact on the Fund’s performance, resulting in losses to your investment.

Performance

As of the date of this prospectus, the Fund has not yet commenced operations and therefore does not have a performance history. Once available, the Fund’s performance information will be accessible on the Fund’s website at www.volatilityshares.com and will provide some indication of the risks of investing in the Fund.

Management

Investment Adviser

Volatility Shares LLC 

Portfolio Managers

The following persons serve as portfolio managers of the Fund. 

Each of the portfolio managers is primarily and jointly responsible for the day-to-day management of the Fund. Each of the Fund’s portfolio managers have served in such capacity since the Fund’s inception.

Purchase and Sale of Shares

The Fund issues and redeems Shares on a continuous basis, at NAV, only in large blocks of shares called “Creation Units.” Individual Shares may only be purchased and sold on the secondary market through a broker-dealer at a market price. Since Shares trade on securities exchanges in the secondary market at their market price rather than their NAV, the Shares may trade at a price greater than (premium) or less than (discount) the Fund’s NAV. An investor may incur costs attributable to the difference between the highest price a buyer is willing to pay to purchase Shares (bid) and the lowest price a seller is willing to accept for Shares (ask) when buying or selling Shares in the secondary market (the “bid-ask spread”). Recent information, including the Fund’s NAV, market price, premiums and discounts, and bid-ask spreads, is available online at www.volatilityshares.com.

Tax Information

The Fund’s distributions will generally be taxable as ordinary income, returns of capital or capital gains. A sale of Shares may result in capital gain or loss.

Payments to Broker-Dealers and Other Financial Intermediaries

If you purchase Shares through a broker-dealer or other financial intermediary (such as a bank), the Adviser and Foreside Fund Services, LLC, the Fund’s distributor (the “Distributor”), may pay the intermediary for the sale of Shares and 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.

Colorado Avalanche ETF

Investment Objective

The Colorado Avalanche ETF (the “Fund” or “[__]”) seeks to provide investment results, before fees and expenses, that correspond to the performance of futures contracts on the CME FSPI NHL Colorado Avalanche Index.

Fees and Expenses of the Fund

This table describes the fees and expenses that you may pay if you buy, hold and sell Shares. Investors may pay other fees, such as brokerage commissions and other fees to financial intermediaries, which are not reflected in the table and example set forth below.

Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment)

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 assumes that you invest $10,000 in the Fund for the time periods indicated and then sell all of your Shares at the end of those periods. The example also assumes that your investment has a 5% return each year and that the Fund’s operating expenses remain at current levels. This example does not include the brokerage commissions that investors may pay to buy and sell Shares.

Although your actual costs may be higher or lower, your costs, based on these assumptions, would be:

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 will cause the Fund to incur additional transaction costs and may result in higher taxes when Shares are held in a taxable account. These costs, which are not reflected in Total Annual Fund Operating Expenses or in the example, may affect the Fund’s performance. Because the Fund is new, portfolio turnover information is unavailable at this time.

Principal Investment Strategies 

The Fund is an exchange-traded fund (“ETF”) that seeks to achieve its investment objective primarily through investments in futures contracts on the CME FSPI NHL Colorado Avalanche Index, which is a non-investable index (the “Avalanche Index”). The Avalanche Index is designed to systemically measure the cumulative team performance of the Colorado Avalanche only during games played over the regular and post-season. The Avalanche Index is a transparent, rules-based system using official league statistics, where positive actions add points and negative actions subtract points. The Avalanche Index is based on fifty-five statistical measures of performance and results of team games (wins, losses and ties) that results in continuous, live statistical values that underpin the value of the Avalanche Index which is calculated into a trackable and tradable number. The Avalanche Index is based solely on these statistical factors, and the performance of other professional hockey teams in the National Hockey League^® (the “NHL”), or events outside of on-ice performance by the Colorado Avalanche, will not impact the value of the Avalanche Index.

The Avalanche Index has an initial standardized base value of 7,500 before the season and moves up or down based on officially reported statistics from each game, including real-time movement during regular season and postseason play. At the conclusion of the postseason, the Avalanche Index value resets to 7,500.

The Avalanche Index is maintained and calculated by FutureSports (the “Index Provider”). The Avalanche Index methodology is designed to align with the International Organization of Securities Commissions (“IOSCO”) Principles for Financial Benchmarks and supported by published governance, oversight and methodology change procedures. The NHL serves as the official data source for the Avalanche Index but does not participate in index determination or governance.

The Fund obtains exposure to the Avalanche Index by investments in futures contracts that reference the Avalanche Index and that trade on an exchange registered with the Commodity Futures Trading Commission (“Avalanche Index Futures Contracts”), and cash, cash-like instruments or high quality securities that serve as collateral to the Fund’s investments in Avalanche Index Futures Contracts (“Collateral Investments”).

Under normal circumstances, the Fund will invest at least 80% of the value of its net assets (plus borrowings for investment purposes) in Avalanche Index-Linked Instruments. For purposes of this policy, “Avalanche Index-Linked Instruments” means (i) Avalanche Index Futures Contracts; (ii) shares of other investment companies registered under the Investment Company Act of 1940 (the “1940 Act”) that invest in similar assets to those in which the Fund may invest (“Other Investment Companies”); (iii) exchange traded options on the Avalanche Index or shares of Other Investment Companies; and (iv) swap agreement transactions that reference Avalanche Index Futures Contracts, Other Investment Companies, or the Avalanche Index. Certain Avalanche Index-Linked Instruments, such as Other Investment Companies or options thereon, are currently unavailable for investment, though are expected to become available in the future.

The Fund expects to gain investment exposure to the Avalanche Index by investing a portion of its assets in a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands (the “Subsidiary”).

The Fund does not invest directly in prediction markets, event contracts or other instruments that provide exposure to individual sporting event or season-long outcomes or to investments that provide exposure to the financial performance of individual sports teams or leagues. Instead, the Fund seeks to benefit from increases in the price of Avalanche Index Futures Contracts.

The investment adviser to the Fund and the Subsidiary is Volatility Shares LLC (the “Adviser” or “Volatility Shares”). The Adviser oversees the Fund and implements the day-to-day portfolio management responsibilities for the Fund. In serving as investment adviser to the Fund, the Adviser does not conduct conventional investment research or analysis or forecast market movement or trends.

The Fund is classified as a “non-diversified company” under the 1940 Act. The Fund will not concentrate its investments in securities of issuers in any industry or group of industries, as the term “concentrate” is used in the 1940 Act, except that the Fund may invest more than 25% of its total assets in Avalanche Index-Linked Instruments.

The Colorado Avalanche

The Colorado Avalanche are a professional ice hockey team based in Denver, Colorado, competing in the Central Division of the NHL’s Western Conference. During the 2025–2026 season, the Avalanche finished first in the Central Division, ranking 1st in standings points, 1st in goals for, 1st in goals against, and 1st in goal differential. The Avalanche were founded in 1972 as the Quebec Nordiques. The Avalanche are currently owned by Kroenke Sports & Entertainment, with Stan Kroenke serving as Owner since 2000. The team has won three Stanley Cup championships, capturing titles in 1996, 2001, and 2022.Neither the Fund, the Trust, nor the Adviser is affiliated with the Colorado Avalanche.

Avalanche Index Futures Contracts

The Fund intends to typically enter into cash-settled Avalanche Index Futures Contracts as the “buyer,” except as detailed below.

In simplest terms, in a cash-settled futures market the counterparty pays cash to the buyer if the price of a futures contract goes up, and buyer pays cash to the counterparty if the price of the futures contract goes down. In order to maintain its exposure to the Avalanche Index, the Fund intends to exit its futures contracts as they near expiration and replace them with new futures contracts with a later expiration date. Futures contracts with a longer term to expiration may be priced higher than futures contracts with a shorter term to expiration, a relationship called “contango”. When rolling futures contracts that are in contango the Fund will close its long position by selling the shorter-term contract at a relatively lower price and buying a longer-dated contract at a relatively higher price. The presence of contango will adversely affect the performance of the Fund. Conversely, futures contracts with a longer term to expiration may be priced lower than futures contracts with a shorter term to expiration, a relationship called “backwardation”. When rolling long futures contracts that are in backwardation, the Fund will close its long position by selling the shorter-term contract at a relatively higher price and buying a longer-dated contract at a relatively lower price. The presence of backwardation may positively affect the performance of the Fund. Further, the returns of the Avalanche Index Futures Contracts may differ from that of the Avalanche Index due to the divergence in prices or the costs associated with investing in futures contracts, which may negatively impact the Fund’s returns.

The Fund invests in Avalanche Index Futures Contracts indirectly via the Subsidiary. The Subsidiary and the Fund will have the same investment adviser and investment objective. The Subsidiary will also follow the same general investment policies and restrictions as the Fund. Except as noted herein, for purposes of this Prospectus, references to the Fund’s investment strategies and risks include those of the Subsidiary. The Fund complies with the provisions of the 1940 Act governing investment policies and capital structure and leverage on an aggregate basis with the Subsidiary. Furthermore, the Adviser, as the investment adviser to the Subsidiary, complies with the provisions of the 1940 Act relating to investment advisory contracts as it relates to its advisory agreement with the Subsidiary. The Subsidiary also complies with the provisions of the 1940 Act relating to affiliated transactions and custody. Because the Fund intends to qualify for treatment as a regulated investment company (a “RIC”) under the Internal Revenue Code of 1986 (the “Code”), the size of the Fund’s investment in the Subsidiary will not exceed 25% of the Fund’s total assets at or around each quarter end of the Fund’s fiscal year. In order to qualify as a RIC, the Fund will have to reduce its exposure to its Subsidiary on or around the end of each of the Fund’s fiscal quarter ends. The Fund expects to reduce its exposure to its Subsidiary during these periods by investing in certain other investments as described below. During these periods, the Fund may not achieve its investment objective. At other times of the year, the Fund’s investments in the Subsidiary will significantly exceed 25% of the Fund’s total assets. The Subsidiary’s custodian is U.S. Bank, N.A.

If circumstances occur where market prices for Avalanche Index Futures Contracts were not readily available, the Fund would fair value its Avalanche Index Futures Contracts in accordance with its pricing and valuation policy and procedures for fair value determinations. Pursuant to those policies and procedures, the Adviser would consider various factors, such as pricing history; market levels prior to price limits or halts; and supply, demand, and open interest in Avalanche Index Futures Contracts, among other factors. The Adviser would document its proposed pricing and methodology, detailing the factors that entered into the valuation.

Collateral Investments

The Fund will also invest its assets in Collateral Investments. The Collateral Investments may consist of high-quality securities, which include: (1) U.S. Government securities, such as bills, notes and bonds issued by the U.S. Treasury; (2) investment companies registered under the 1940 Act that invest in high-quality securities; and/or (3) corporate debt securities, such as commercial paper and other short-term unsecured promissory notes issued by businesses that are rated investment grade or determined by the Adviser to be of comparable quality. For these purposes, “investment grade” is defined as investments with a rating at the time of purchase in one of the four highest categories of at least one nationally recognized statistical rating organization (e.g., BBB- or higher from S&P Global Ratings or Baa3 or higher from Moody’s Investors Service, Inc.).

The Collateral Investments are designed to provide liquidity, serve as margin, or otherwise collateralize the Subsidiary’s investments in Avalanche Index-Linked Instruments. The Fund expects that it will primarily invest its assets, and that the Subsidiary will primarily invest its assets, in Collateral Investments that are “securities,” as such term is defined under the 1940 Act.

Other Investments

In order to help the Fund maintain exposure to the Avalanche Index, maintain its tax status as a RIC on days in and around quarter-end, help the Fund maintain its desired exposure to Avalanche Index Futures Contracts when it is approaching or has exceeded position limits or accountability levels, or because of liquidity or other constraints, the Fund may invest in the following:

Reverse Repurchase Agreements

The Fund may invest in reverse repurchase agreements which are a form of borrowing in which the Fund sells portfolio securities to financial institutions and agrees to repurchase them at a mutually agreed-upon date and price that is higher than the original sale price, and use the proceeds for investment purchases. 

As a result of the Fund repurchasing the securities at a higher price, the Fund will lose money by engaging in reverse repurchase agreement transactions.

As noted above, because the Fund intends to qualify for treatment as a RIC under the Code, the size of the Fund’s investment in the Subsidiary will not exceed 25% of the Fund’s total assets at or around each quarter end of the Fund’s fiscal year (the “Asset Diversification Test”). At other times of the year, the Fund’s investments in the Subsidiary will significantly exceed 25% of the Fund’s total (or gross) assets.

When the Fund seeks to reduce its total assets exposure to the Subsidiary, it may use the short-term Treasury Bills it owns (and purchase additional Treasury Bills as needed) to transact in reverse repurchase agreement transactions, which are ostensibly loans to the Fund. Those loans will increase the gross assets of the Fund, which the Adviser expects will allow the Fund to meet the Asset Diversification Test. When the Fund enters into a reverse repurchase agreement, it will either (i) be consistent with Section 18 of the 1940 Act and maintain asset coverage of at least 300% of the value of the reverse repurchase agreement; or (ii) treat the reverse repurchase agreement transactions as derivative transactions for purposes of Rule 18f-4 under the 1940 Act (“Rule 18f-4”), including as applicable, the value-at-risk based limit on leverage risk.

Other Investment Companies

The Fund may invest in shares of Other Investment Companies, that is, shares of investment companies registered under the 1940 Act that invest in similar assets to those in which the Fund may invest.

Exchange-traded option contracts on shares of Other Investment Companies.

The Fund may invest in exchange-listed option contracts on shares of Other Investment Companies, which invest in similar assets to those in which the Fund may invest. An option is a contract that gives the purchaser of the option, in return for the premium paid, the right to buy shares of an investment company, from the writer of the option (in the case of a call option), or to sell shares of the investment company to the writer of the option (in the case of a put option) at a designated price during the term of the option. The premium paid by the buyer of an option will reflect, among other things, the relationship of the exercise price to the market price and the volatility of the shares of the investment company, the remaining term of the option, supply, demand, interest rates and/or currency exchange rates. The Fund may utilize “American” style options or “European” style options. American style options are exercisable on any date prior to the expiration date of the option contract. In contrast, European style options are exercisable only on the expiration date of the option contract.

Swaps that reference Avalanche Index Futures Contracts, Other Investment Companies, or the Avalanche Index.

Swap contracts are transactions entered into primarily with major global financial institutions for a specified period ranging from a day to more than one year. In a swap transaction, the Fund and a counterparty will agree to exchange or “swap” payments based on the change in value of an underlying asset or benchmark. For example, the two parties may agree to exchange the return (or differentials in rates of returns) earned or realized on a particular investment or instrument. In the case of the Fund, the reference asset can be Avalanche Index Futures Contracts, Other Investment Companies or the Avalanche Index.

Principal Risks

As with all investments, there are certain risks of investing in the Fund. Shares will change in value, and you could lose money by investing in the Fund. The Fund may not achieve its investment objective. An investment in the Fund does not represent a complete investment program. An investment in the Fund is not a bank deposit and it is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency, the Adviser or any of their affiliates. You should consider carefully the following risks before investing in the Fund.

Each risk noted below is considered a principal risk of investing in the Fund, regardless of the order in which it appears. The significance of each risk factor below may change over time and you should review each risk factor carefully.

Risks Specific to the Fund’s Investments

Investment Strategy Risk. The Fund, through the Subsidiary, invests primarily in Avalanche Index Futures Contracts. The Fund does not invest directly in prediction markets, event contracts or other instruments that provide exposure to individual sporting event or season-long outcomes or to investments that provide exposure to the financial performance of individual sports teams or leagues. Instead, the Fund seeks to benefit from increases in the price of Avalanche Index Futures Contracts. The price of Avalanche Index Futures Contracts may not be an accurate measure of the Avalanche Index. Consequently, the Fund may perform differently from the performance of the Avalanche Index. There can be no guarantee that the performance of Avalanche Index Futures Contracts will be highly correlated to the performance of the Avalanche Index. Transaction costs (including the costs associated with futures investing), position limits, the availability of counterparties and other factors may impact the cost and pricing of Avalanche Index Futures Contracts and decrease the correlation between the performance of Avalanche Index Futures Contracts and the Avalanche Index, over short- or long-term periods. In addition, the performance of back-month Avalanche Index Futures Contracts is likely to differ more significantly from the performance of the Avalanche Index. To the extent the Fund is invested in back-month Avalanche Index Futures Contracts, the performance of the Fund should be expected to deviate more significantly from the performance of the Avalanche Index. Moreover, because the Avalanche Index is uninvestable, the Fund can only gain exposure through futures contracts and other derivatives, and differences between the prices of those instruments and the levels of the Avalanche Index may result in the Fund experiencing larger losses or smaller gains than would be implied by changes in the Avalanche Index alone.

Sports Performance Risk. The Fund’s investment strategy is inherently speculative. The value of Avalanche Index Futures Contracts is derived from the statistical performance of a single professional sports team as measured by the Avalanche Index. Successfully investing in Avalanche Index Futures Contracts requires that the team tracked by the index performs well statistically over the course of a season, an outcome that is inherently uncertain and subject to numerous unpredictable variables, including player health, competitive dynamics, coaching decisions, and random variation in athletic performance. The Avalanche Index may decline in value, and there can be no assurance that the team tracked by the index will perform at or above the levels implied by the prices of Avalanche Index Futures Contracts at the time the Fund obtains exposure.

On-Ice Performance and Competitive Results Risk. The Fund’s investment performance is linked to the on-ice statistical performance of a single NHL team during the regular season and, if applicable, the playoffs. The prices of Avalanche Index Futures Contracts are expected to rise when the team performs well statistically and to fall when the team performs poorly. Competitive results in professional hockey are inherently unpredictable and can be influenced by factors entirely outside the team’s control, including the performance of opposing teams, referee calls, random puck bounces, weather affecting travel, and in-game injuries. A team may enter a season with high expectations based on roster strength, coaching hires, or offseason acquisitions, only to underperform due to chemistry issues, unexpected injuries to key players, player slumps, or tactical mismatches against divisional opponents. The NHL season extends over several months and includes 82 regular season games per team, during which even a strong team may experience prolonged losing streaks that cause material declines in the Avalanche Index. If the team fails to make the playoffs, the Fund will not benefit from any potential uplift in index value that could accompany postseason success. Conversely, early playoff elimination could cause sharp declines in futures prices if the market had priced in deeper postseason performance. Because the Fund is concentrated in a single NHL team, there is no opportunity to offset poor on-ice performance by gaining exposure to a stronger team or a different sport.

Avalanche Index Investing Risk. The Fund is indirectly exposed to the risks of the Avalanche Index through its investments in Avalanche Index Futures Contracts and other Avalanche Index-Linked Instruments. The Fund does not invest in the Avalanche Index, which is an uninvestable index. The performance of the Avalanche Index will be very different from a portfolio of Avalanche Index Futures Contracts.

The Avalanche Index moves up or down based on officially reported statistics from every game, match, or event throughout the regular season and postseason. Positive statistical actions (e.g., goals scored, points earned) add value to the index, while negative actions (e.g., opponent scoring, penalties or setbacks) subtract value. Poor statistical performance by the Colorado Avalanche could have a significant negative impact on the level of the Avalanche Index and therefore the value of the Fund. In addition, unlike instruments that are based on tradable reference assets, the Avalanche Index Futures Contracts and Avalanche Index-Linked Instruments are tied to an index that is not directly investable and, thus, have settlement prices based on the calculation of that index, not the price of a tradable asset.

Concentrated Single-Team Exposure Risk. The Fund’s investment strategy results in concentrated exposure to a single professional sports team’s statistical performance (i.e., the Colorado Avalanche) as measured by an index. Unlike diversified funds that spread risk across multiple asset classes, sectors, or issuers, the Fund’s performance is primarily driven by the statistical output of one team over the course of a season. As a result, the Fund is more susceptible to risks affecting that team, including player injuries, suspensions, trades, retirements, coaching changes, front-office turnover, league sanctions, labor disputes, lockouts, or other events that directly or indirectly influence the team’s on-ice statistical performance. This degree of concentration will likely increase volatility in the Fund’s NAV, heighten the likelihood of significant losses over short periods, and cause the Fund’s returns to diverge substantially from those of more diversified investments. Additionally, because the Fund is concentrated in a single team, it is inherently concentrated in a single professional sports league. This subjects the Fund to league-specific risks, including league-wide labor disputes, broad scandal, changes to the structure or rules of the league, or events that cause the cancellation or suspension of games. The Fund has no ability to rotate exposure into a different team, sport, or league in response to adverse developments affecting the team to which it has exposure.

Insider Trading and Information Asymmetry Risk. Unlike securities markets, which are governed by well-established insider trading prohibitions under the Securities Exchange Act of 1934, the legal framework governing trading on the basis of material, non-public information in the context of commodity futures is less developed. While the CFTC has broad anti-manipulation and anti-fraud authority under the Commodity Exchange Act (“CEA”), specific rules and judicial precedent addressing what constitutes improper trading on non-public information in the context of sports-linked futures remain nascent. Certain individuals may possess material, non-public information that could affect the statistical performance of the Avalanche Index and, consequently, the prices of Avalanche Index Futures Contracts. Such individuals may include, without limitation, team coaches, players, trainers, team medical staff, front office personnel, referees, officials, league personnel, or sports data providers. For example, undisclosed injuries to key players or undisclosed lineup changes could materially affect the level of the Avalanche Index. Such persons could trade Avalanche Index Futures Contracts or Fund Shares to profit from their informational advantage prior to public disclosure. There is no guarantee that exchanges, the CME, or the CFTC will successfully detect and prevent such trading, and the Fund has no means of preventing such individuals from purchasing or selling Fund Shares. The participation of informed insiders in the market for Avalanche Index Futures Contracts can create adverse selection for other market participants and distort market prices. Because the Fund is concentrated in a single team, the impact of insider trading on the Fund may be more pronounced than in markets with broader diversification.

League Credibility and Sports Integrity Risk. The Avalanche Index is calculated based on official league statistics derived from the games of a single professional sports team, and the integrity of those games is fundamental to the reliability of the index. Efforts to interfere with the team’s games, including match-fixing, point-shaving, or referee manipulation, could materially affect the statistical data upon which the Avalanche Index is based, create significant uncertainty regarding index levels, and cause pronounced price volatility in Avalanche Index Futures Contracts. Confirmed or suspected game interference may also prompt legislative or regulatory responses, including restrictions on sports-linked financial products or emergency rulemaking by the CFTC, that could restrict the listing or trading of Avalanche Index Futures Contracts. Even widely publicized allegations of interference, absent actual misconduct, could undermine market confidence in the Avalanche Index and the futures contracts that reference it.

Gaming and State Regulatory Litigation Risk. Exchanges that list sports-linked financial instruments, including Avalanche Index Futures Contracts, may be subject to legal challenges brought by state attorneys general, state gaming commissions, and other state-level actors asserting that such instruments constitute regulated gambling or gaming activity under state law, notwithstanding that such contracts are listed on a CFTC-regulated exchange. Such proceedings may assert that the listing of sports-linked contracts violates state gaming statutes, requires state gaming or sports wagering licenses, or constitutes an illegal gambling enterprise. These exchanges, and the CFTC in certain court filings, have asserted that the CEA and the CFTC’s exclusive jurisdiction over CFTC-regulated exchanges preempts state gaming regulations. There is no assurance that federal courts will rule in favor of federal preemption, and resolution may require years of litigation and potentially appellate review. An adverse ruling could result in the suspension or cessation of trading in Avalanche Index Futures Contracts, material operational restrictions, significant financial penalties, or the effective loss of the ability to list sports-linked futures. Any of these outcomes could materially and adversely affect the Fund’s ability to achieve its investment objective and could result in significant losses.

Platform and Distribution Restriction Risk. Broker-dealers, registered investment adviser platforms, wirehouses, and other financial intermediaries may refuse to list, recommend, or permit purchases of Fund Shares through their platforms due to the Fund’s association with sports performance outcomes and the perception that such products are akin to sports wagering, regardless of the Fund’s legal status as a registered investment company under the 1940 Act. Certain intermediaries may permit only unsolicited purchases, prohibit financial advisers from recommending the Fund, or exclude the Fund from model portfolios entirely. These restrictions could limit the Fund’s accessible investor base, constrain assets under management, reduce secondary market liquidity, widen bid-ask spreads, and increase the likelihood that Fund Shares will trade at significant premiums or discounts to net asset value. Even if an intermediary initially permits distribution, it may subsequently restrict access in response to adverse regulatory developments, reputational concerns, or changes in compliance policies. If a significant number of intermediaries refuse to distribute Fund Shares, the Fund may be unable to achieve sufficient scale, which could increase the Fund’s expense ratio, reduce trading volume, and impair the Fund’s ability to operate effectively.

Novel Market Risk. Avalanche Index Futures Contracts are a novel asset class with limited trading history. The market may not develop the depth, liquidity, or trading efficiency associated with more established futures markets, and its pricing may be influenced by factors unrelated to fundamental assessments of team performance, including speculative activity, behavioral biases, regulatory headlines, or concentrated participation by a limited number of traders. There is limited historical data on which to base expectations regarding future price behavior, volatility patterns, or the costs associated with maintaining exposure, and traditional risk metrics may not accurately capture the risks of investing in this market. There can be no assurance that the market for Avalanche Index Futures Contracts will achieve or sustain the level of participation, liquidity, and price discovery necessary for the Fund to effectively pursue its investment objective.

Limited Price Discovery and Market Depth Risk. Because Avalanche Index Futures Contracts are a newly created instrument class, the market may lack the depth, breadth, and participation necessary for reliable price discovery. Traditional commodity futures markets benefit from decades of participation by commercial hedgers, speculators, and arbitrageurs whose activities contribute to efficient pricing. The market for Avalanche Index Futures Contracts is expected to have few, if any, natural commercial hedgers, and may be dominated by retail speculators, algorithmic traders, or a small number of institutional participants. This concentrated participation could result in prices that do not accurately reflect fair value, wider bid-ask spreads, and elevated intraday price volatility. In thin markets, even modest order flow from the Fund could move prices against the Fund, increasing transaction costs and reducing returns. There can be no assurance that the market for Avalanche Index Futures Contracts will develop sufficient liquidity over time, and the Fund may be unable to establish or exit positions at prices the Fund considers favorable.

Seasonality and Offseason Risk. The Avalanche Index resets to a standardized base value prior to the start of each sports season and has a defined life cycle that ends following the postseason. Because the Fund tracks a single team in a single sport, the Fund is tied to that sport’s competitive calendar and has no ability to diversify across sports or rotate into a sport that is in-season when the team’s sport is not. During the playing season, the Avalanche Index moves in real-time based on officially reported game statistics, and the prices of Avalanche Index Futures Contracts are expected to reflect both the current index level and market expectations regarding future team performance. During the offseason, however, the Avalanche Index will not move because no games are being played, and the Fund’s exposure to Avalanche Index Futures Contracts will behave differently than during the playing season. The Fund anticipates maintaining exposure to Avalanche Index Futures Contracts during the offseason. Although the underlying index will be static during this period, the prices of Avalanche Index Futures Contracts may still fluctuate based on market expectations regarding the team’s prospects for the upcoming season, including coaching changes, player trades, draft picks, free agent signings, injury recovery timelines, training camp developments, and other factors that affect the market’s assessment of the team’s likely statistical performance. However, because the index itself is not moving during the offseason, the magnitude of futures price movements may be reduced relative to the playing season, and the relationship between futures prices and the underlying index level may be less predictable. There can be no assurance that the Fund’s offseason futures holdings will appreciate in value, and the Fund may experience losses during the offseason if market sentiment regarding the team’s upcoming season deteriorates. In addition, there can be no assurance that Avalanche Index Futures Contracts will be available in sufficient volume or at favorable pricing during the offseason or at the start of a new season.

League Discontinuation, Lockout, or Strike Risk. The Fund’s ability to invest in Avalanche Index Futures Contracts depends on the continued operation of the NHL and the playing of scheduled games. Labor disputes between the NHL and its players’ union could result in a lockout or strike that suspends or cancels all or a significant portion of a season. The NHL has previously experienced work stoppages, including a full-season cancellation in 2004-2005. During any such period, no games would be played, the Avalanche Index would not generate data, and trading in Avalanche Index Futures Contracts could be suspended or severely impaired. The Fund would be unable to pursue its investment strategy during such a period, may be forced to liquidate positions at disadvantageous prices, and could experience substantial losses. Even after a labor dispute is resolved, the shortened or restructured season could materially change the statistical patterns underlying the index methodology. In addition, force majeure events such as a pandemic, natural disaster, or other circumstances beyond the control of the league could cause widespread game cancellations or delays. There can be no assurance that the league will not experience a work stoppage or other extended interruption during the Fund’s investment period, or that the Fund will be able to recover any losses incurred as a result of such events.

Index Provider and Data Dependency Risk. The Avalanche Index is maintained and calculated by a single Index Provider, FutureSports. If the Index Provider were to experience operational failures, cease operations, lose its data feed from the applicable sports league, experience a cybersecurity breach, or otherwise become unable to calculate the Avalanche Index, Avalanche Index Futures Contracts may have no reliable reference value, which could materially and adversely affect the value of the Fund. In addition, the Avalanche Index is calculated solely on the basis of officially reported statistics from a single sports league. The league serves as the data source but does not participate in index determination or governance. If the league were to report incorrect statistics, issue post-game corrections, change how it reports or categorizes statistics, delay reporting, or discontinue the provision of data to the Index Provider, the settlement prices of Avalanche Index Futures Contracts could be based on erroneous or incomplete data. Furthermore, the Index Provider controls the methodology by which official statistics are translated into index points. If the Index Provider amends or discontinues its methodology, the behavior of the Avalanche Index could change materially and the futures market may not immediately price in such changes. The Avalanche Index is calculated in real-time while games are being played, which introduces latency, data-feed, and computational risks that differ from those associated with traditional financial indexes.

Trading Hours and Sporting Event Timing Risk. NHL games may occur during evening hours, on weekends, and on holidays when the Exchange is closed and when the market for Avalanche Index Futures Contracts may have limited or no trading activity. Because the Avalanche Index moves in real-time while games are being played, material index movements may occur during periods when investors are unable to buy or sell Shares or when Avalanche Index Futures Contracts are not actively trading. As a result, the opening price of Shares and the prices of Avalanche Index Futures Contracts on the next trading session may differ significantly from the prior session’s closing prices, potentially resulting in large gaps at the open. Shareholders may not be able to sell their Shares until after such a gap has been fully realized, resulting in an inability to mitigate losses in a declining market.

Futures Contracts Risk. Risks of futures contracts include: (i) an imperfect correlation between the value of the futures contract and the underlying asset; (ii) possible lack of a liquid secondary market; (iii) the inability to close a futures contract when desired; (iv) losses caused by unanticipated market movements, which may be unlimited; (v) an obligation for the Fund to make daily cash payments to maintain its required margin, particularly at times when the Fund may have insufficient cash; and (vi) unfavorable execution prices from rapid selling. Unlike equities, which typically entitle the holder to a continuing stake in a corporation, futures contracts normally specify a certain date for settlement in cash based on the reference asset. As the futures contracts approach expiration, they may be replaced by similar contracts that have a later expiration. This process is referred to as “rolling.” If the market for these contracts is in “contango,” meaning that the prices of futures contracts in the nearer months are lower than the price of contracts in the distant months, the sale of the near-term month contract would be at a lower price than the longer-term contract, resulting in a cost to “roll” the futures contract. The actual realization of a potential roll cost will be dependent upon the difference in price of the near and distant contract. Because the margin requirement for futures contracts is less than the value of the assets underlying the futures contract, futures trading involves a degree of leverage. As a result, a relatively small price movement in a futures contract may result in immediate and substantial loss, as well as gain, to the investor. For example, if at the time of purchase, 40% of the value of the futures contract is deposited as margin, a subsequent 20% decrease in the value of the futures contract would result in a loss of half of the margin deposit, before any deduction for the transaction costs, if the account were then closed out. A decrease in excess of 40% would result in a loss exceeding the original margin deposit, if the futures contract were closed out. Thus, a purchase or sale of a futures contract may result in losses in excess of the amount initially invested in the futures contract. However, the Fund would presumably have sustained comparable losses if, instead of investing in the futures contract, it had invested in the underlying financial instrument and sold it after the decline. Further, if the market for Avalanche Index Futures Contracts is in a period of contango, if the performance of the Avalanche Index and the price of Avalanche Index Futures Contracts were to decline, the Fund would experience the negative impact of contango. The impact of backwardation or contango may lead to the returns of the Fund to vary significantly from the total return of other price references. Additionally, in the event of a prolonged period of contango, and absent the impact of rising or falling pricing in the Avalanche Index, this could have a significant negative impact on the Fund’s NAV and total return.

Position Limits and Price Limits

The CFTC and various exchanges on which Avalanche Index Futures Contracts trade have established position limits and price limits for Avalanche Index Futures Contracts. Position limit regulation and price limit regulation serve distinct purposes and are regulated differently.

Position limits are designed to prevent excessive speculation that could cause sudden or unreasonable fluctuations in the price of a commodity. They limit the maximum number of contracts a person or entity can hold in a particular commodity.

Price limits are mechanisms to maintain orderly markets by restricting the price range within which futures contracts can trade during a trading session. They prevent extreme price movements that could disrupt market stability. Price limits are typically set as a percentage of the previous day's settlement price. When price limits are hit, trading may be halted or expanded depending on the product and regulatory rules. Unlike position limits, price limits do not restrict the number of contracts a trader can hold but rather the price at which those contracts can be traded. When a price limit is hit, the market for Avalanche Index Futures Contracts may temporarily halt until price limits can be expanded or trading may be stopped for the day.

If the Fund is unable to buy or sell Avalanche Index Futures Contracts as a result of position limits being hit or price limits that result in a halted or closed market—or for other reasons including limited liquidity in the market for Avalanche Index Futures Contracts, a disruption to the market for Avalanche Index Futures Contracts, or as a result of margin requirements, accountability levels, or other limitations imposed by the Fund’s futures commission merchants (“FCMs”), the listing exchanges, or the CFTC—the Adviser would take such action as it believes appropriate and in the best interest of the Fund in consideration of the facts and circumstances at such time, including: (i) investing in Avalanche Index-Linked Instruments that are not Avalanche Index Futures Contracts; (ii) requiring that authorized participants purchase and redeem in large blocks of shares called “Creation Units” through an exchange for related position (EFRP) method rather than in cash; (iii) applying increased authorized participant variable transaction fees for purchases or redemptions of Creation Units made in cash; or (iv) de-levering the Fund, relative to its investment objective, by an amount reflecting prevailing price limits. In addition, the Fund generally may suspend the issuance of Creation Units only for a limited time and only due to extraordinary circumstances, such as when the markets on which the ETF’s portfolio holdings are traded are closed for a limited period of time; that is to say, when the Fund is unable to increase its exposure to underlying assets.

Cost of Futures Investment Risk. When a Avalanche Index Futures Contract is nearing expiration, the Fund will generally sell it and use the proceeds to buy a Avalanche Index Futures Contract with a later expiration date. This is commonly referred to as “rolling”.

If the Fund rolls Avalanche Index Futures Contracts that are in contango, the Fund would sell a lower priced, expiring contract and purchase a higher priced, longer-dated contract. The price difference between the expiring contract and longer-dated contract associated with rolling Avalanche Index Futures Contracts is typically substantially higher than the price difference associated with rolling other futures contracts. Contango in the market for Avalanche Index Futures Contracts may have a significant adverse impact on the performance of the Fund and may cause Avalanche Index Futures Contracts and the Fund to underperform the Avalanche Index. Both contango and backwardation would reduce the Fund’s correlation to the Avalanche Index and may limit or prevent the Fund from achieving its investment objective. The impact of both contango and backwardation may also be greater to the extent the Fund invests in back-month Avalanche Index Futures Contracts. 

Investment Capacity Risk. If the Fund’s ability to obtain exposure to Avalanche Index Futures Contracts consistent with its investment objective is disrupted for any reason, including but not limited to, limited liquidity in the market for Avalanche Index Futures Contracts, a disruption to the market for Avalanche Index Futures Contracts, or as a result of margin requirements or position limits imposed by the Fund’s FCMs, the CME, or the CFTC, and the Fund could not otherwise meet its investment objective through the use of other investments discussed above, the Fund would not be able to achieve its investment objective and may experience significant losses.

Liquidity Risk. The market for the Avalanche Index Futures Contracts may be subject to periods of illiquidity. During such times it may be difficult or impossible to buy or sell a position at the desired price. Market disruptions or volatility can also make it difficult to find a counterparty willing to transact at a reasonable price and sufficient size. Illiquid markets may cause losses, which could be significant. Large positions also increase the risk of illiquidity, which may make the Fund’s positions more difficult to liquidate, and increase the losses incurred while trying to do so.

Derivatives Risk. In addition to Avalanche Index Futures Contracts, the Fund may obtain exposure through the following other derivatives: (1) exchange traded options on Other Investment Companies and/or (2) swap agreement transactions that reference Avalanche Index Futures Contracts, Other Investment Companies, or the Avalanche Index.

Investing in derivatives may be considered aggressive and may expose the Fund to risks different from, or possibly greater than, the risks associated with investing directly in the reference asset(s) underlying the derivative (e.g., the securities or commodities contained in the Fund). The use of derivatives may result in larger losses or smaller gains than directly investing in securities or commodities. The risks of using derivatives include: (1) the risk that there may be imperfect correlation between the price of the financial instruments and movements in the prices of the reference asset(s); (2) the risk that an instrument is mispriced; (3) credit or counterparty risk on the amount a Fund expects to receive from a counterparty; (4) the risk that securities prices, interest rates and currency markets will move adversely and a Fund will incur significant losses; (5) the risk that the cost of holding a financial instrument might exceed its total return; and (6) the possible absence of a liquid secondary market for a particular instrument and possible exchange imposed price fluctuation limits, either of which may make it difficult or impossible to adjust a Fund’s position in a particular instrument when desired. Each of these factors may prevent a Fund from achieving its investment objective and may increase the volatility (i.e., fluctuations) of the Fund’s returns. Because derivatives often require limited initial investment, the use of derivatives also may expose a Fund to losses in excess of those amounts initially invested.

The performance of any Avalanche Index-Linked Instrument may not track the performance of its underlying benchmark due to embedded costs and other factors. Thus, to the extent the Fund invests in swaps that use a Avalanche Index-Linked Instrument as the reference asset, the Fund may be subject to greater correlation risk and may not achieve as high a degree of correlation with its investment objective than if the Fund only used Avalanche Index Futures Contracts.

Swap Agreements Risk. The Fund may enter into cash-settled swaps and other derivatives to gain exposure to an underlying asset without actually purchasing such asset. Swaps are two-party contracts entered into primarily by institutional investors for periods ranging from a day to more than one year. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on a particular pre-determined interest rate, commodity, security, indexes, or other assets or measurable indicators. The primary risks associated with the use of swaps are mispricing or improper valuation, imperfect correlation between movements in the notional amount and the price of the underlying investments, and the failure of a counterparty to perform. If a counterparty’s creditworthiness for an over-the-counter swap declines, the value of the swap would likely decline. Moreover, there is no guarantee that the Fund could eliminate its exposure under an outstanding swap by entering into an offsetting swap with the same or another party. In addition, the Fund may use a combination of swaps on an underlying index.

Options Risk. The Fund may purchase exchange-traded options that reference shares of Other Investment Companies. Transactions in options generally require less capital than equivalent stock transactions. They may return smaller dollar figures but a potentially greater percentage of the investment than equivalent stock transactions. The potential profit is limited to the premium received for the contract. The potential loss can be unlimited. While leverage means the percentage returns can be significant, the amount of cash required is smaller than equivalent stock transactions. It is possible to lose the entire principal invested, and sometimes more. As an options holder, a Fund risks the entire amount of the premium it pays. But as an options writer, it takes on a much higher level of risk. For example, if the Fund writes an uncovered call, it faces unlimited potential loss, since there is no cap on how high a stock price can rise. When buying options, a Fund risks losing the premium paid, plus commissions and fees.

Reverse Repurchase Agreements Risk. The Fund may invest in reverse repurchase agreements. Reverse repurchase agreements are transactions in which the Fund sells portfolio securities to financial institutions such as banks and broker-dealers, and agrees to repurchase them at a mutually agreed-upon date and price which is higher than the original sale price. Reverse repurchase agreements are a form of leverage and the use of reverse repurchase agreements by the Fund may increase the Fund’s volatility. The Fund incurs costs, including interest expenses, in connection with the opening and closing of reverse repurchase agreements that will be borne by the shareholders.

Reverse repurchase agreements are also subject to the risk that the other party to the reverse repurchase agreement will be unable or unwilling to complete the transaction as scheduled, which may result in losses to the Fund. In situations where the Fund is required to post collateral with a counterparty, the counterparty may fail to segregate the collateral or may commingle the collateral with the counterparty’s own assets. As a result, in the event of the counterparty’s bankruptcy or insolvency, the Fund’s collateral may be subject to the conflicting claims of the counterparty’s creditors, and the Fund may be exposed to the risk of a court treating the Fund as a general unsecured creditor of the counterparty, rather than as the owner of the collateral. There can be no assurance that a counterparty will not default and that the Fund will not sustain a loss on a transaction as a result.

Reverse repurchase agreements also involve the risk that the market value of the securities sold by the Fund may decline below the price at which it is obligated to repurchase the securities. In addition, when the Fund invests the proceeds it receives in a reverse repurchase transaction, there is a risk that those investments may decline in value. In this circumstance, the Fund could be required to sell other investments in order to meet its obligations to repurchase the securities.

Risks Related to Investing in Other Investment Companies. The Fund may invest in long or short positions in Other Investment Companies (i.e., investment companies registered under the 1940 Act that invest in similar assets to those in which the Fund may invest). Investing in Other Investment Companies may involve duplication of advisory or management fees and certain other expenses. By investing in Other Investment Companies, the Fund becomes a shareholder of that Other Investment Company. As a result, Fund shareholders indirectly bear the Fund’s proportionate share of the fees and expenses paid by shareholders of the Other Investment Company, in addition to the fees and expenses Fund shareholders bear in connection with the Fund’s own operations. As a shareholder, the Fund must rely on the Other Investment Company to achieve its investment objective. The Fund’s performance may be magnified positively or negatively by virtue of its investment in the Other Investment Company. If the Other Investment Company fails to achieve its investment objective, the value of the Fund’s investment could decline, thus affecting the Fund’s performance. In addition, because certain Other Investment Company shares are listed on national stock exchanges and are traded like stocks on an exchange, their shares potentially may trade at a discount or a premium. Investments in such shares may be subject to brokerage and other trading costs, which could result in greater expenses to the Fund. Finally, because the value of certain Other Investment Company shares may depend on the demand in the market, the Adviser may not be able to liquidate the Fund’s holdings in those shares at the most optimal time, adversely affecting the Fund’s performance.

Collateral Investments Risk. The Fund’s use of Collateral Investments may include obligations issued or guaranteed by the U.S. Government, its agencies and instrumentalities, including bills, notes and bonds issued by the U.S. Treasury, investment companies registered under the 1940 Act that invest in high-quality securities and corporate debt securities, such as commercial paper.

Some securities issued or guaranteed by federal agencies and U.S. Government-sponsored instrumentalities may not be backed by the full faith and credit of the United States, in which case the investor must look principally to the agency or instrumentality issuing or guaranteeing the security for ultimate repayment, and may not be able to assert a claim against the United States itself in the event that the agency or instrumentality does not meet its commitment. The U.S. Government, its agencies and instrumentalities do not guarantee the market value of their securities, and consequently, the value of such securities may fluctuate. Although the Fund may hold securities that carry U.S. Government guarantees, these guarantees do not extend to the Shares.

Investment companies that invest in high-quality securities are subject to management fees and other expenses. Therefore, investments in these funds will cause the Fund to bear indirectly a proportional share of the fees and costs of the funds in which it invests. At the same time, the Fund will continue to pay its own management fees and expenses with respect to all of its assets, including any portion invested in the shares of such fund. It is possible to lose money by investing in investment companies that invest in high-quality securities.

Corporate debt securities such as commercial paper generally are short-term unsecured promissory notes issued by businesses. Corporate debt may carry variable or floating rates of interest. Corporate debt securities carry both credit risk and interest rate risk. Credit risk is the risk that the Fund could lose money if the issuer of a corporate debt security is unable to pay interest or repay principal when it is due.

Asset Concentration Risk. Since the Fund may take concentrated positions in Avalanche Index Futures Contracts, the Fund’s performance may be hurt disproportionately and significantly by the poor performance of those positions to which it has significant exposure. Asset concentration makes the Fund more susceptible to any single occurrence affecting the underlying positions and may subject the Fund to greater market risk than more diversified funds.

Counterparty Risk. The Fund will be subject to credit risk (i.e., the risk that a counterparty is unwilling or unable to make timely payments or otherwise meet its contractual obligations) with respect to the amount the Fund expects to receive from counterparties to: Avalanche Index Futures Contracts; reverse repurchase agreements; swaps on Avalanche Index Futures Contracts, Other Investment Companies, or the Avalanche Index.

The Fund may be negatively impacted if a counterparty becomes bankrupt or otherwise fails to perform its obligations under such an agreement. The Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding and the Fund may obtain only limited recovery or may obtain no recovery in such circumstances. In order to attempt to mitigate potential counterparty credit risk, the Fund typically enters into transactions with major financial institutions.

The counterparty to an exchange-traded futures contract is subject to the credit risk of the clearing house and the FCM through which it holds its position. Specifically, the FCM or the clearing house could fail to perform its obligations, causing significant losses to the Fund. For example, the Fund could lose margin payments it has deposited with an FCM as well as any gains owed but not paid to the Fund, if the FCM or clearing house becomes insolvent or otherwise fails to perform its obligations. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. Under current CFTC regulations, a FCM maintains customers’ assets in a bulk segregated account. If a FCM fails to do so, or is unable to satisfy a substantial deficit in a customer account, its other customers may be subject to risk of loss of their funds in the event of that FCM’s bankruptcy. In that event, in the case of futures, the FCM’s customers are entitled to recover, even in respect of property specifically traceable to them, only a proportional share of all property available for distribution to all of that FCM’s customers. In addition, if the FCM does not comply with the applicable regulations, or in the event of a fraud or misappropriation of customer assets by the FCM, the Fund could have only an unsecured creditor claim in an insolvency of the FCM with respect to the margin held by the FCM. FCMs are also required to transfer to the clearing house the amount of margin required by the clearing house, which amount is generally held in an omnibus account at the clearing house for all customers of the FCM. In addition, the Fund may enter into futures contracts and repurchase agreements with a limited number of counterparties, which may increase the Fund’s exposure to counterparty credit risk. The Fund does not specifically limit its counterparty risk with respect to any single counterparty.

Further, there is a risk that no suitable counterparties are willing to enter into reverse repurchase agreements with the Fund, or continue to enter into, reverse repurchase agreement transactions with the Fund and, as a result, the Fund may not be able to achieve its investment objective. There is also the risk that the Fund may not be able to engage in reverse repurchase agreement transactions because suitable counterparties refuse to enter into transactions with the Fund. Contractual provisions and applicable law may prevent or delay the Fund from exercising its rights to terminate an investment or transaction with a financial institution experiencing financial difficulties, or to realize on collateral, and another institution may be substituted for that financial institution without the consent of the Fund. If the credit rating of a counterparty to a futures contract and/or repurchase agreement declines, the Fund may nonetheless choose or be required to keep existing transactions in place with the counterparty, in which event the Fund would be subject to any increased credit risk associated with those transactions. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the possibility exists that the Fund’s ability to exercise remedies, such as the termination of transactions, netting of obligations and realization on collateral, could be stayed or eliminated under special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide government authorities with broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, the regulatory authorities could reduce, eliminate, or convert to equity the liabilities to the Fund of a counterparty who is subject to such proceedings in the European Union (sometimes referred to as a “bail in”).

Credit Risk. An issuer or other obligated party of a debt security may be unable or unwilling to make dividend, interest and/or principal payments when due. In addition, the value of a debt security may decline because of concerns about the issuer’s ability or unwillingness to make such payments.

Debt Securities Risk. Investments in debt securities subject the holder to the credit risk of the issuer. Credit risk refers to the possibility that the issuer or other obligor of a security will not be able or willing to make payments of interest and principal when due. Generally, the value of debt securities will change inversely with changes in interest rates. To the extent that interest rates rise, certain underlying obligations may be paid off substantially slower than originally anticipated and the value of those securities may fall sharply. During periods of falling interest rates, the income received by the Fund may decline. If the principal on a debt security is prepaid before expected, the prepayments of principal may have to be reinvested in obligations paying interest at lower rates. Debt securities generally do not trade on a securities exchange making them generally less liquid and more difficult to value than common stock.

Interest Rate Risk. Interest rate risk is the risk that the value of the debt securities in the Fund’s portfolio will decline because of rising market interest rates. Interest rate risk is generally lower for shorter term debt securities and higher for longer-term debt securities. Duration is a reasonably accurate measure of a debt security’s price sensitivity to changes in interest rates and a common measure of interest rate risk. Duration measures a debt security’s expected life on a present value basis, taking into account the debt security’s yield, interest payments and final maturity. In general, duration represents the expected percentage change in the value of a security for an immediate 1% change in interest rates. For example, the price of a debt security with a three-year duration would be expected to drop by approximately 3% in response to a 1% increase in interest rates. Therefore, prices of debt securities with shorter durations tend to be less sensitive to interest rate changes than debt securities with longer durations. As the value of a debt security changes over time, so will its duration.

Clearing Broker Risk. The Fund’s investments in exchange-traded futures contracts expose it to the risks of a clearing broker (or a FCM). Under current regulations, a clearing broker or FCM maintains customers’ assets in a bulk segregated account. There is a risk that Fund assets deposited with the clearing broker to serve as margin may be used to satisfy the broker’s own obligations or the losses of the broker’s other clients. In the event of default, the Fund could experience lengthy delays in recovering some or all of its assets and may not see any recovery at all. Furthermore, the Fund is subject to the risk that no FCM is willing or able to clear the Fund’s transactions or maintain the Fund’s assets. If the Fund’s FCMs are unable or unwilling to clear the Fund’s transactions, or if the FCM refuses to maintain the Fund’s assets, the Fund will be unable to have its orders for Avalanche Index Futures Contracts fulfilled or assets custodied. In such a circumstance, the performance of the Fund will likely deviate from the performance of changes in the Avalanche Index and may result in the proportion of Avalanche Index Futures Contracts in the Fund’s portfolio relative to the total assets of the Fund to decrease.

Non-Diversification Risk. The Fund is classified as a “non-diversified company” under the 1940 Act. As a result, the Fund is only limited as to the percentage of its assets which may be invested in the securities of any one issuer by the diversification requirements imposed by the Code. The Fund may invest a relatively high percentage of its assets in a limited number of issuers. As a result, the Fund may be more susceptible to a single adverse economic or regulatory occurrence affecting one or more of these issuers, experience increased volatility and be highly invested in certain issuers.

Risks Related to the Management of the Fund

Active Management Risk. The Fund is actively managed, and its performance reflects investment decisions that the Adviser makes for the Fund. Such judgments about the Fund’s investments may prove to be incorrect. If the investments selected and the strategies employed by the Fund fail to produce the intended results, the Fund could underperform as compared to other funds with similar investment objectives and/or strategies, or could have negative returns.

Frequent Trading Risk. The Fund regularly purchases and subsequently sells (i.e., “rolls”) individual futures contracts throughout the year so as to maintain a fully invested position. As the contracts near their expiration dates, the Fund rolls them over into new contracts. This frequent trading of contracts may increase the amount of commissions or mark-ups to broker-dealers that the Fund pays when it buys and sells contracts, which may detract from the Fund’s performance. High portfolio turnover may result in the Fund paying higher levels of transaction costs and may generate greater tax liabilities for shareholders. Frequent trading risk may cause the Fund’s performance to be less than expected.

Rebalancing Risk. If for any reason the Fund is unable to rebalance all or a portion of its portfolio, or if all or a portion of the portfolio is rebalanced incorrectly, the Fund may be over- or under-exposed to the returns of the Avalanche Index. Additionally, because the market for Avalanche Index Futures Contracts is nascent and may be thinly traded, the Fund’s own trading activity, including purchases, sales, and rolling of contracts, could materially influence the prices of Avalanche Index Futures Contracts. If the Fund represents a significant portion of the open interest or trading volume, its activity could move prices against it, resulting in higher costs and reduced returns. If other market participants anticipate the Fund’s trading patterns, they may engage in front-running or other anticipatory trading strategies that further increase the Fund’s transaction costs. The trading activity associated with such transactions will contribute to the existing trading volume on the underlying futures contracts and may adversely affect the market price of such underlying futures contracts.

Operational Risk. The Fund is exposed to operational risks 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 and the Adviser seek to reduce these operational risks through controls and procedures. However, these measures do not address every possible risk and may be inadequate to address these risks.

Valuation Risk. The Fund or the Subsidiary may hold securities or other assets that may be valued on the basis of factors other than market quotations. This may occur because the asset or security does not trade on a centralized exchange, or in times of market turmoil or reduced liquidity. There are multiple methods that can be used to value a portfolio holding when market quotations are not readily available. The value established for any portfolio holding at a point in time might differ from what would be produced using a different methodology or if it had been priced using market quotations. Portfolio holdings that are valued using techniques other than market quotations, including “fair valued” assets or securities, may be subject to greater fluctuation in their valuations from one day to the next than if market quotations were used. In addition, there is no assurance that the Fund or the Subsidiary could sell or close out a portfolio position for the value established for it at any time, and it is possible that the Fund or the Subsidiary would incur a loss because a portfolio position is sold or closed out at a discount to the valuation established by the Fund or the Subsidiary at that time. The Fund’s ability to value investments may be impacted by technological issues or errors by pricing services or other third-party service providers.

New Fund Risk. As of the date of this prospectus, the Fund has no operating history and currently has fewer assets than larger funds. Like other new funds, large inflows and outflows may impact the Fund’s market exposure for limited periods of time. This impact may be positive or negative, depending on the direction of market movement during the period effected.

Risks Related to Trading of Shares

Trading Issues Risk. 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. The Fund may have difficulty maintaining its listing on the Exchange in the event the Fund’s assets are small, the Fund does not have enough shareholders, or if the Fund is unable to proceed with creation and/or redemption orders.

Authorized Participant Concentration Risk. Only an “authorized participant” or “AP” (i.e., broker-dealers and large institutional investors that have entered into participation agreement with the Fund) may engage in creation or redemption transactions directly with the Fund. The Fund has a limited number of institutions that act as APs on an agency basis (i.e. on behalf of other market 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 AP is able to step forward to create or redeem, in either of these cases, Shares may trade at a discount to the Fund’s net asset value and possibly face delisting.

Market Maker Risk. If the Fund has lower average daily trading volumes, it may rely on a small number of third-party market makers to provide a market for the purchase and sale of Shares. Any trading halt or other problem relating to the trading activity of these market makers could result in a dramatic change in the spread between the Fund’s net asset value and the price at which the Shares are trading on the Exchange, which could result in a decrease in value of the Shares. In addition, decisions by market makers or APs to reduce their role or step away from these activities in times of market stress could inhibit the effectiveness of the arbitrage process in maintaining the relationship between the underlying values of the Fund’s portfolio securities and the Fund’s market price. This reduced effectiveness could result in Shares trading at a discount to net asset value and also in greater than normal intra-day bid-ask spreads for Shares.

Premium/Discount Risk. The market price of the Fund’s Shares will generally fluctuate in accordance with changes in the Fund’s net asset value as well as the relative supply of and demand for Shares on the Exchange. The Fund’s market price may deviate from the value of the Fund’s underlying portfolio holdings, particularly in time of market stress, with the result that investors may pay more or receive less than the underlying value of the Shares bought or sold. The Adviser cannot predict whether Shares will trade below, at, or above their net asset value because the Shares trade on the Exchange at market prices and not at net asset value. 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, but not identical, to the same forces influencing the prices of the holdings of the Fund trading individually or in the aggregate at any point in time. However, given that Shares can only be purchased and redeemed in Creation Units, and only to and from broker-dealers and large institutional investors that have entered into participation agreements (unlike shares of closed-end funds, which frequently trade at appreciable discounts from, and sometimes at premiums to, their net asset value), the Adviser believes that large discounts or premiums to the net asset value of Shares should not be sustained. In addition, because the Fund provides exposure to the statistical performance of a single professional sports team, demand for Shares may be influenced by fan loyalty, emotional attachment, and team-related sentiment rather than by rational assessments of the Fund’s expected risk-adjusted returns. These demand patterns could increase intraday volatility in Fund Shares, widen bid-ask spreads, and result in investors purchasing or selling Shares at prices that do not reflect the Fund’s underlying NAV. During stressed market conditions, the market for the Fund’s Shares may become less liquid in response to deteriorating liquidity in the market for the Fund’s underlying portfolio holdings, which could in turn lead to differences between the market price of the Fund’s Shares and their net asset value. This can be reflected as a spread between the bid and ask prices for the Fund quoted during the day or a premium or discount in the closing price from the Fund’s NAV.

Active Market Risk. Although the Shares are listed for trading on the Exchange, there can be no assurance that an active trading market for the Shares will develop or be maintained. Shares trade on the Exchange at market prices that may be below, at or above the Fund’s net asset value. Securities, including the Shares, are subject to market fluctuations and liquidity constraints that may be caused by such factors as economic, political, or regulatory developments, changes in interest rates, and/or perceived trends in securities prices. Shares of the Fund could decline in value or underperform other investments.

Cash Transaction Risk. Most ETFs generally make in-kind redemptions to avoid being taxed at the fund level on gains on the distributed portfolio securities. However, unlike most ETFs, the Fund currently intends to effect some or all redemptions for cash, rather than in-kind, because of the nature of the Fund’s investments. The Fund may be required to sell portfolio securities to obtain the cash needed to distribute redemption proceeds, which involves transaction costs that the Fund may not have incurred had it effected redemptions entirely in kind. These costs may include brokerage costs and/or taxable gains or losses, which may be imposed on the Fund and decrease the Fund’s NAV to the extent such costs are not offset by a transaction fee payable to an AP. If the Fund recognizes gain on these sales, this generally will cause the Fund to recognize gain it might not otherwise have recognized if it were to distribute portfolio securities in-kind, or to recognize such gain sooner than would otherwise be required. This may decrease the tax efficiency of the Fund compared to ETFs that utilize an in-kind redemption process, and there may be a substantial difference in the after-tax rate of return between the Fund and other ETFs.

Risks Related to Regulation, External Factors, and Federal Income Tax Consequences

Tax Risk. The Fund intends to elect and to qualify each year to be treated as a RIC under Subchapter M of the Code. As a RIC, the Fund will not be subject to U.S. federal income tax on the portion of its net investment income and net capital gain that it distributes to shareholders, provided that it satisfies certain requirements of the Code. If the Fund does not qualify as a RIC for any taxable year and certain relief provisions are not available, the Fund’s taxable income will be subject to tax at the Fund level and to a further tax at the shareholder level when such income is distributed. Additionally, buying securities shortly before the record date for a taxable dividend or capital gain distribution is commonly known as “buying the dividend.” In the event a shareholder purchases Shares shortly before such a distribution, the entire distribution may be taxable to the shareholder even though a portion of the distribution effectively represents a return of the purchase price. To comply with the asset diversification test applicable to a RIC, the Fund will limit its investments in the Subsidiary to 25% of the Fund’s total assets at the end of each tax quarter. The investment strategy of the Fund will cause the Fund to hold substantially more than 25% of the Fund’s total assets in investments in the Subsidiary the majority of the time. The Fund intends to manage the exposure to the Subsidiary so that the Fund’s investments in the Subsidiary do not exceed 25% of the total assets at the end of any tax quarter. If the Fund’s investments in the Subsidiary were to exceed 25% of the Fund’s total assets at the end of a tax quarter, the Fund, generally, has a grace period to cure such lack of compliance. If the Fund fails to timely cure, it may no longer be eligible to be treated as a RIC.

Because Avalanche Index Futures Contracts produce non-qualifying income for purposes of qualifying as a RIC, the Fund makes its investments in Avalanche Index Futures Contracts through the Subsidiary. The Fund intends to treat any income it may derive from the futures contracts received by the Subsidiary as “qualifying income” under the provisions of the Code applicable to RICs. The IRS has issued PLRs provided to third parties not associated with the Fund or its affiliates (which only those parties may rely on as precedent) concluding that similar arrangements resulted in qualifying income. Many of such PLRs have now been revoked by the IRS. In March of 2019, the Internal Revenue Service published Regulations that concluded that income from a corporation similar to the Subsidiary would be qualifying income, if the income is related to the Fund’s business of investing in stocks or securities. Although the Regulations do not require distributions from the Subsidiary, the Fund intends to cause the Subsidiary to make distributions that would allow the Fund to make timely distributions to its shareholders. The Fund generally will be required to include in its own taxable income the income of the Subsidiary for a tax year, regardless of whether the Fund receives a distribution of the Subsidiary’s income in that tax year, and this income would nevertheless be subject to the distribution requirement for qualification as a RIC and would be taken into account for purposes of the 4% excise tax.

If, in any year, the Fund were to fail to qualify for the special tax treatment accorded a RIC and its shareholders, and were ineligible to or were not to cure such failure, the Fund would be taxed in the same manner as an ordinary corporation subject to U.S. federal income tax on all its income at the fund level. The resulting taxes could substantially reduce the Fund’s net assets and the amount of income available for distribution. In addition, in order to requalify for taxation as a RIC, the Fund could be required to recognize unrealized gains, pay substantial taxes and interest, and make certain distributions.

Subsidiary Regulatory Investment Risk. Changes in the laws of the United States and/or the Cayman Islands, under which the Fund and the Subsidiary are organized, respectively, could result in the inability of the Fund to operate as intended and could negatively affect the Fund and its shareholders. The Subsidiary is not registered under the 1940 Act and is not subject to all the investor protections of the 1940 Act. However, as the Subsidiary is wholly-owned by the Fund, and the investors of the Fund will have the investor protections of the 1940 Act, the Fund as a whole—including the Subsidiary—will provide investors with 1940 Act protections.

Commodity Regulatory Risk. The Fund’s use of commodity futures subject to regulation by the CFTC has caused the Fund to be classified as a “commodity pool” and this designation requires that the Fund comply with CFTC rules, which may impose additional regulatory requirements and compliance obligations. The Fund’s investment decisions may need to be modified, and commodity contract positions held by the Fund may have to be liquidated at disadvantageous times or prices, to avoid exceeding any applicable position limits established by the CFTC, potentially subjecting the Fund to substantial losses. The regulation of commodity transactions in the United States is subject to ongoing modification by government, self-regulatory and judicial action. The effect of any future regulatory change with respect to any aspect of the Fund is impossible to predict, but could be substantial and adverse to the Fund.

Regulatory Risk. The regulatory framework governing sports-linked financial instruments is evolving and subject to significant uncertainty. Avalanche Index Futures Contracts are a novel instrument class for which there is limited regulatory precedent. The CFTC has broad discretionary authority to determine whether particular contracts are consistent with the public interest, including authority to disapprove or direct an exchange to delist contracts that the CFTC determines involve gaming, are unlawful, or otherwise run contrary to the purposes of the CEA. The CFTC has recently proposed amendments to its rules concerning event contracts, commonly referred to as prediction markets, to specify which contracts may be determined contrary to the public interest and therefore may not be listed for trading or accepted for clearing on or through a CFTC-regulated entity. The CFTC or the listing exchange could, at any time and without advance notice, impose new conditions, margin or position-limit requirements, reporting obligations, trading halts, settlement adjustments, or delisting actions. Any such changes could, among other things; (i) impair the Fund’s ability to establish, maintain, or close positions; (ii) require the Fund to liquidate positions at disadvantageous prices; (iii) alter the economic characteristics on which the Fund relies; or (iv) render the Fund’s principal investment strategy impractical. In addition, future legislative, judicial, or administrative developments could retroactively affect the permissibility, settlement mechanics, or availability of Avalanche Index Futures Contracts. These developments may occur abruptly and may not provide mechanisms for investor recourse or for the orderly unwind of positions. There can be no assurance that the regulatory environment for sports-linked financial instruments will remain stable or favorable.

Cyber Security Risk. The Fund is susceptible to operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional events that may cause the Fund to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause the Fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. Cyber security breaches may involve unauthorized access to the Fund’s digital information systems through “hacking” or malicious software coding, but may also result from outside attacks such as denial-of-service attacks through efforts to make network services unavailable to intended users. In addition, cyber security breaches of the Fund’s third-party service providers, such as its administrator, transfer agent, or custodian, as applicable, or issuers in which the Fund invests, can also subject the Fund to many of the same risks associated with direct cyber security breaches. While the Fund has established business continuity plans and risk management systems designed to reduce the risks associated with cyber security, there are inherent limitations in such plans and systems. Additionally, there is no guarantee that such efforts will succeed, especially because the Fund does not directly control the cyber security systems of issuers or third-party service providers.

Natural Disaster/Epidemic Risk. Natural or environmental disasters, such as earthquakes, fires, floods, Avalanche, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks, and result in significant breakdowns, delays, shutdowns, social isolation, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Fund and its investments. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy of financial projections. Under these circumstances, the Fund may have difficulty achieving its investment objectives which may adversely impact Fund performance. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Fund’s investment advisor, third party service providers, and counterparties), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Fund’s investments. These factors can cause substantial market volatility, exchange trading suspensions and closures, changes in the availability of and the margin requirements for certain instruments, and can impact the ability of the Fund to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market. A widespread crisis would also affect the global economy in ways that cannot necessarily be foreseen. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these could have a significant impact on the Fund’s performance, resulting in losses to your investment.

Performance

As of the date of this prospectus, the Fund has not yet commenced operations and therefore does not have a performance history. Once available, the Fund’s performance information will be accessible on the Fund’s website at www.volatilityshares.com and will provide some indication of the risks of investing in the Fund.

Management

Investment Adviser

Volatility Shares LLC 

Portfolio Managers

The following persons serve as portfolio managers of the Fund. 

Each of the portfolio managers is primarily and jointly responsible for the day-to-day management of the Fund. Each of the Fund’s portfolio managers have served in such capacity since the Fund’s inception.

Purchase and Sale of Shares

The Fund issues and redeems Shares on a continuous basis, at NAV, only in large blocks of shares called “Creation Units.” Individual Shares may only be purchased and sold on the secondary market through a broker-dealer at a market price. Since Shares trade on securities exchanges in the secondary market at their market price rather than their NAV, the Shares may trade at a price greater than (premium) or less than (discount) the Fund’s NAV. An investor may incur costs attributable to the difference between the highest price a buyer is willing to pay to purchase Shares (bid) and the lowest price a seller is willing to accept for Shares (ask) when buying or selling Shares in the secondary market (the “bid-ask spread”). Recent information, including the Fund’s NAV, market price, premiums and discounts, and bid-ask spreads, is available online at www.volatilityshares.com.

Tax Information

The Fund’s distributions will generally be taxable as ordinary income, returns of capital or capital gains. A sale of Shares may result in capital gain or loss.

Payments to Broker-Dealers and Other Financial Intermediaries

If you purchase Shares through a broker-dealer or other financial intermediary (such as a bank), the Adviser and Foreside Fund Services, LLC, the Fund’s distributor (the “Distributor”), may pay the intermediary for the sale of Shares and 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.

Columbus Blue Jackets ETF

Investment Objective

The Columbus Blue Jackets ETF (the “Fund” or “[__]”) seeks to provide investment results, before fees and expenses, that correspond to the performance of futures contracts on the CME FSPI NHL Columbus Blue Jackets Index.

Fees and Expenses of the Fund

This table describes the fees and expenses that you may pay if you buy, hold and sell Shares. Investors may pay other fees, such as brokerage commissions and other fees to financial intermediaries, which are not reflected in the table and example set forth below.

Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment)

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 assumes that you invest $10,000 in the Fund for the time periods indicated and then sell all of your Shares at the end of those periods. The example also assumes that your investment has a 5% return each year and that the Fund’s operating expenses remain at current levels. This example does not include the brokerage commissions that investors may pay to buy and sell Shares.

Although your actual costs may be higher or lower, your costs, based on these assumptions, would be:

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 will cause the Fund to incur additional transaction costs and may result in higher taxes when Shares are held in a taxable account. These costs, which are not reflected in Total Annual Fund Operating Expenses or in the example, may affect the Fund’s performance. Because the Fund is new, portfolio turnover information is unavailable at this time.

Principal Investment Strategies 

The Fund is an exchange-traded fund (“ETF”) that seeks to achieve its investment objective primarily through investments in futures contracts on the CME FSPI NHL Columbus Blue Jackets Index, which is a non-investable index (the “Blue Jackets Index”). The Blue Jackets Index is designed to systemically measure the cumulative team performance of the Columbus Blue Jackets only during games played over the regular and post-season. The Blue Jackets Index is a transparent, rules-based system using official league statistics, where positive actions add points and negative actions subtract points. The Blue Jackets Index is based on fifty-five statistical measures of performance and results of team games (wins, losses and ties) that results in continuous, live statistical values that underpin the value of the Blue Jackets Index which is calculated into a trackable and tradable number. The Blue Jackets Index is based solely on these statistical factors, and the performance of other professional hockey teams in the National Hockey League^® (the “NHL”), or events outside of on-ice performance by the Columbus Blue Jackets, will not impact the value of the Blue Jackets Index.

The Blue Jackets Index has an initial standardized base value of 7,500 before the season and moves up or down based on officially reported statistics from each game, including real-time movement during regular season and postseason play. At the conclusion of the postseason, the Blue Jackets Index value resets to 7,500.

The Blue Jackets Index is maintained and calculated by FutureSports (the “Index Provider”). The Blue Jackets Index methodology is designed to align with the International Organization of Securities Commissions (“IOSCO”) Principles for Financial Benchmarks and supported by published governance, oversight and methodology change procedures. The NHL serves as the official data source for the Blue Jackets Index but does not participate in index determination or governance.

The Fund obtains exposure to the Blue Jackets Index by investments in futures contracts that reference the Blue Jackets Index and that trade on an exchange registered with the Commodity Futures Trading Commission (“Blue Jackets Index Futures Contracts”), and cash, cash-like instruments or high quality securities that serve as collateral to the Fund’s investments in Blue Jackets Index Futures Contracts (“Collateral Investments”).

Under normal circumstances, the Fund will invest at least 80% of the value of its net assets (plus borrowings for investment purposes) in Blue Jackets Index-Linked Instruments. For purposes of this policy, “Blue Jackets Index-Linked Instruments” means (i) Blue Jackets Index Futures Contracts; (ii) shares of other investment companies registered under the Investment Company Act of 1940 (the “1940 Act”) that invest in similar assets to those in which the Fund may invest (“Other Investment Companies”); (iii) exchange traded options on the Blue Jackets Index or shares of Other Investment Companies; and (iv) swap agreement transactions that reference Blue Jackets Index Futures Contracts, Other Investment Companies, or the Blue Jackets Index. Certain Blue Jackets Index-Linked Instruments, such as Other Investment Companies or options thereon, are currently unavailable for investment, though are expected to become available in the future.

The Fund expects to gain investment exposure to the Blue Jackets Index by investing a portion of its assets in a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands (the “Subsidiary”).

The Fund does not invest directly in prediction markets, event contracts or other instruments that provide exposure to individual sporting event or season-long outcomes or to investments that provide exposure to the financial performance of individual sports teams or leagues. Instead, the Fund seeks to benefit from increases in the price of Blue Jackets Index Futures Contracts.

The investment adviser to the Fund and the Subsidiary is Volatility Shares LLC (the “Adviser” or “Volatility Shares”). The Adviser oversees the Fund and implements the day-to-day portfolio management responsibilities for the Fund. In serving as investment adviser to the Fund, the Adviser does not conduct conventional investment research or analysis or forecast market movement or trends.

The Fund is classified as a “non-diversified company” under the 1940 Act. The Fund will not concentrate its investments in securities of issuers in any industry or group of industries, as the term “concentrate” is used in the 1940 Act, except that the Fund may invest more than 25% of its total assets in Blue Jackets Index-Linked Instruments.

The Columbus Blue Jackets

The Columbus Blue Jackets are a professional ice hockey team based in Columbus, Ohio, competing in the Metropolitan Division of the NHL’s Eastern Conference. During the 2025–2026 season, the Blue Jackets finished fifth in the Metropolitan Division, ranking 17th in standings points, 16th in goals for, 16th in goals against, and 16th in goal differential. The Blue Jackets were founded in 2000 by businessman John H. McConnell. The Blue Jackets are currently owned by John P. McConnell, serving as Governor since 2012. The team has never won a Stanley Cup championship. Neither the Fund, the Trust, nor the Adviser is affiliated with the Columbus Blue Jackets.

Blue Jackets Index Futures Contracts

The Fund intends to typically enter into cash-settled Blue Jackets Index Futures Contracts as the “buyer,” except as detailed below.

In simplest terms, in a cash-settled futures market the counterparty pays cash to the buyer if the price of a futures contract goes up, and buyer pays cash to the counterparty if the price of the futures contract goes down. In order to maintain its exposure to the Blue Jackets Index, the Fund intends to exit its futures contracts as they near expiration and replace them with new futures contracts with a later expiration date. Futures contracts with a longer term to expiration may be priced higher than futures contracts with a shorter term to expiration, a relationship called “contango”. When rolling futures contracts that are in contango the Fund will close its long position by selling the shorter-term contract at a relatively lower price and buying a longer-dated contract at a relatively higher price. The presence of contango will adversely affect the performance of the Fund. Conversely, futures contracts with a longer term to expiration may be priced lower than futures contracts with a shorter term to expiration, a relationship called “backwardation”. When rolling long futures contracts that are in backwardation, the Fund will close its long position by selling the shorter-term contract at a relatively higher price and buying a longer-dated contract at a relatively lower price. The presence of backwardation may positively affect the performance of the Fund. Further, the returns of the Blue Jackets Index Futures Contracts may differ from that of the Blue Jackets Index due to the divergence in prices or the costs associated with investing in futures contracts, which may negatively impact the Fund’s returns.

The Fund invests in Blue Jackets Index Futures Contracts indirectly via the Subsidiary. The Subsidiary and the Fund will have the same investment adviser and investment objective. The Subsidiary will also follow the same general investment policies and restrictions as the Fund. Except as noted herein, for purposes of this Prospectus, references to the Fund’s investment strategies and risks include those of the Subsidiary. The Fund complies with the provisions of the 1940 Act governing investment policies and capital structure and leverage on an aggregate basis with the Subsidiary. Furthermore, the Adviser, as the investment adviser to the Subsidiary, complies with the provisions of the 1940 Act relating to investment advisory contracts as it relates to its advisory agreement with the Subsidiary. The Subsidiary also complies with the provisions of the 1940 Act relating to affiliated transactions and custody. Because the Fund intends to qualify for treatment as a regulated investment company (a “RIC”) under the Internal Revenue Code of 1986 (the “Code”), the size of the Fund’s investment in the Subsidiary will not exceed 25% of the Fund’s total assets at or around each quarter end of the Fund’s fiscal year. In order to qualify as a RIC, the Fund will have to reduce its exposure to its Subsidiary on or around the end of each of the Fund’s fiscal quarter ends. The Fund expects to reduce its exposure to its Subsidiary during these periods by investing in certain other investments as described below. During these periods, the Fund may not achieve its investment objective. At other times of the year, the Fund’s investments in the Subsidiary will significantly exceed 25% of the Fund’s total assets. The Subsidiary’s custodian is U.S. Bank, N.A.

If circumstances occur where market prices for Blue Jackets Index Futures Contracts were not readily available, the Fund would fair value its Blue Jackets Index Futures Contracts in accordance with its pricing and valuation policy and procedures for fair value determinations. Pursuant to those policies and procedures, the Adviser would consider various factors, such as pricing history; market levels prior to price limits or halts; and supply, demand, and open interest in Blue Jackets Index Futures Contracts, among other factors. The Adviser would document its proposed pricing and methodology, detailing the factors that entered into the valuation.

Collateral Investments

The Fund will also invest its assets in Collateral Investments. The Collateral Investments may consist of high-quality securities, which include: (1) U.S. Government securities, such as bills, notes and bonds issued by the U.S. Treasury; (2) investment companies registered under the 1940 Act that invest in high-quality securities; and/or (3) corporate debt securities, such as commercial paper and other short-term unsecured promissory notes issued by businesses that are rated investment grade or determined by the Adviser to be of comparable quality. For these purposes, “investment grade” is defined as investments with a rating at the time of purchase in one of the four highest categories of at least one nationally recognized statistical rating organization (e.g., BBB- or higher from S&P Global Ratings or Baa3 or higher from Moody’s Investors Service, Inc.).

The Collateral Investments are designed to provide liquidity, serve as margin, or otherwise collateralize the Subsidiary’s investments in Blue Jackets Index-Linked Instruments. The Fund expects that it will primarily invest its assets, and that the Subsidiary will primarily invest its assets, in Collateral Investments that are “securities,” as such term is defined under the 1940 Act.

Other Investments

In order to help the Fund maintain exposure to the Blue Jackets Index, maintain its tax status as a RIC on days in and around quarter-end, help the Fund maintain its desired exposure to Blue Jackets Index Futures Contracts when it is approaching or has exceeded position limits or accountability levels, or because of liquidity or other constraints, the Fund may invest in the following:

Reverse Repurchase Agreements

The Fund may invest in reverse repurchase agreements which are a form of borrowing in which the Fund sells portfolio securities to financial institutions and agrees to repurchase them at a mutually agreed-upon date and price that is higher than the original sale price, and use the proceeds for investment purchases. 

As a result of the Fund repurchasing the securities at a higher price, the Fund will lose money by engaging in reverse repurchase agreement transactions.

As noted above, because the Fund intends to qualify for treatment as a RIC under the Code, the size of the Fund’s investment in the Subsidiary will not exceed 25% of the Fund’s total assets at or around each quarter end of the Fund’s fiscal year (the “Asset Diversification Test”). At other times of the year, the Fund’s investments in the Subsidiary will significantly exceed 25% of the Fund’s total (or gross) assets.

When the Fund seeks to reduce its total assets exposure to the Subsidiary, it may use the short-term Treasury Bills it owns (and purchase additional Treasury Bills as needed) to transact in reverse repurchase agreement transactions, which are ostensibly loans to the Fund. Those loans will increase the gross assets of the Fund, which the Adviser expects will allow the Fund to meet the Asset Diversification Test. When the Fund enters into a reverse repurchase agreement, it will either (i) be consistent with Section 18 of the 1940 Act and maintain asset coverage of at least 300% of the value of the reverse repurchase agreement; or (ii) treat the reverse repurchase agreement transactions as derivative transactions for purposes of Rule 18f-4 under the 1940 Act (“Rule 18f-4”), including as applicable, the value-at-risk based limit on leverage risk.

Other Investment Companies

The Fund may invest in shares of Other Investment Companies, that is, shares of investment companies registered under the 1940 Act that invest in similar assets to those in which the Fund may invest.

Exchange-traded option contracts on shares of Other Investment Companies.

The Fund may invest in exchange-listed option contracts on shares of Other Investment Companies, which invest in similar assets to those in which the Fund may invest. An option is a contract that gives the purchaser of the option, in return for the premium paid, the right to buy shares of an investment company, from the writer of the option (in the case of a call option), or to sell shares of the investment company to the writer of the option (in the case of a put option) at a designated price during the term of the option. The premium paid by the buyer of an option will reflect, among other things, the relationship of the exercise price to the market price and the volatility of the shares of the investment company, the remaining term of the option, supply, demand, interest rates and/or currency exchange rates. The Fund may utilize “American” style options or “European” style options. American style options are exercisable on any date prior to the expiration date of the option contract. In contrast, European style options are exercisable only on the expiration date of the option contract.

Swaps that reference Blue Jackets Index Futures Contracts, Other Investment Companies, or the Blue Jackets Index.

Swap contracts are transactions entered into primarily with major global financial institutions for a specified period ranging from a day to more than one year. In a swap transaction, the Fund and a counterparty will agree to exchange or “swap” payments based on the change in value of an underlying asset or benchmark. For example, the two parties may agree to exchange the return (or differentials in rates of returns) earned or realized on a particular investment or instrument. In the case of the Fund, the reference asset can be Blue Jackets Index Futures Contracts, Other Investment Companies or the Blue Jackets Index.

Principal Risks

As with all investments, there are certain risks of investing in the Fund. Shares will change in value, and you could lose money by investing in the Fund. The Fund may not achieve its investment objective. An investment in the Fund does not represent a complete investment program. An investment in the Fund is not a bank deposit and it is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency, the Adviser or any of their affiliates. You should consider carefully the following risks before investing in the Fund.

Each risk noted below is considered a principal risk of investing in the Fund, regardless of the order in which it appears. The significance of each risk factor below may change over time and you should review each risk factor carefully.

Risks Specific to the Fund’s Investments

Investment Strategy Risk. The Fund, through the Subsidiary, invests primarily in Blue Jackets Index Futures Contracts. The Fund does not invest directly in prediction markets, event contracts or other instruments that provide exposure to individual sporting event or season-long outcomes or to investments that provide exposure to the financial performance of individual sports teams or leagues. Instead, the Fund seeks to benefit from increases in the price of Blue Jackets Index Futures Contracts. The price of Blue Jackets Index Futures Contracts may not be an accurate measure of the Blue Jackets Index. Consequently, the Fund may perform differently from the performance of the Blue Jackets Index. There can be no guarantee that the performance of Blue Jackets Index Futures Contracts will be highly correlated to the performance of the Blue Jackets Index. Transaction costs (including the costs associated with futures investing), position limits, the availability of counterparties and other factors may impact the cost and pricing of Blue Jackets Index Futures Contracts and decrease the correlation between the performance of Blue Jackets Index Futures Contracts and the Blue Jackets Index, over short- or long-term periods. In addition, the performance of back-month Blue Jackets Index Futures Contracts is likely to differ more significantly from the performance of the Blue Jackets Index. To the extent the Fund is invested in back-month Blue Jackets Index Futures Contracts, the performance of the Fund should be expected to deviate more significantly from the performance of the Blue Jackets Index. Moreover, because the Blue Jackets Index is uninvestable, the Fund can only gain exposure through futures contracts and other derivatives, and differences between the prices of those instruments and the levels of the Blue Jackets Index may result in the Fund experiencing larger losses or smaller gains than would be implied by changes in the Blue Jackets Index alone.

Sports Performance Risk. The Fund’s investment strategy is inherently speculative. The value of Blue Jackets Index Futures Contracts is derived from the statistical performance of a single professional sports team as measured by the Blue Jackets Index. Successfully investing in Blue Jackets Index Futures Contracts requires that the team tracked by the index performs well statistically over the course of a season, an outcome that is inherently uncertain and subject to numerous unpredictable variables, including player health, competitive dynamics, coaching decisions, and random variation in athletic performance. The Blue Jackets Index may decline in value, and there can be no assurance that the team tracked by the index will perform at or above the levels implied by the prices of Blue Jackets Index Futures Contracts at the time the Fund obtains exposure.

On-Ice Performance and Competitive Results Risk. The Fund’s investment performance is linked to the on-ice statistical performance of a single NHL team during the regular season and, if applicable, the playoffs. The prices of Blue Jackets Index Futures Contracts are expected to rise when the team performs well statistically and to fall when the team performs poorly. Competitive results in professional hockey are inherently unpredictable and can be influenced by factors entirely outside the team’s control, including the performance of opposing teams, referee calls, random puck bounces, weather affecting travel, and in-game injuries. A team may enter a season with high expectations based on roster strength, coaching hires, or offseason acquisitions, only to underperform due to chemistry issues, unexpected injuries to key players, player slumps, or tactical mismatches against divisional opponents. The NHL season extends over several months and includes 82 regular season games per team, during which even a strong team may experience prolonged losing streaks that cause material declines in the Blue Jackets Index. If the team fails to make the playoffs, the Fund will not benefit from any potential uplift in index value that could accompany postseason success. Conversely, early playoff elimination could cause sharp declines in futures prices if the market had priced in deeper postseason performance. Because the Fund is concentrated in a single NHL team, there is no opportunity to offset poor on-ice performance by gaining exposure to a stronger team or a different sport.

Blue Jackets Index Investing Risk. The Fund is indirectly exposed to the risks of the Blue Jackets Index through its investments in Blue Jackets Index Futures Contracts and other Blue Jackets Index-Linked Instruments. The Fund does not invest in the Blue Jackets Index, which is an uninvestable index. The performance of the Blue Jackets Index will be very different from a portfolio of Blue Jackets Index Futures Contracts.

The Blue Jackets Index moves up or down based on officially reported statistics from every game, match, or event throughout the regular season and postseason. Positive statistical actions (e.g., goals scored, points earned) add value to the index, while negative actions (e.g., opponent scoring, penalties or setbacks) subtract value. Poor statistical performance by the Columbus Blue Jackets could have a significant negative impact on the level of the Blue Jackets Index and therefore the value of the Fund. In addition, unlike instruments that are based on tradable reference assets, the Blue Jackets Index Futures Contracts and Blue Jackets Index-Linked Instruments are tied to an index that is not directly investable and, thus, have settlement prices based on the calculation of that index, not the price of a tradable asset.

Concentrated Single-Team Exposure Risk. The Fund’s investment strategy results in concentrated exposure to a single professional sports team’s statistical performance (i.e., the Columbus Blue Jackets) as measured by an index. Unlike diversified funds that spread risk across multiple asset classes, sectors, or issuers, the Fund’s performance is primarily driven by the statistical output of one team over the course of a season. As a result, the Fund is more susceptible to risks affecting that team, including player injuries, suspensions, trades, retirements, coaching changes, front-office turnover, league sanctions, labor disputes, lockouts, or other events that directly or indirectly influence the team’s on-ice statistical performance. This degree of concentration will likely increase volatility in the Fund’s NAV, heighten the likelihood of significant losses over short periods, and cause the Fund’s returns to diverge substantially from those of more diversified investments. Additionally, because the Fund is concentrated in a single team, it is inherently concentrated in a single professional sports league. This subjects the Fund to league-specific risks, including league-wide labor disputes, broad scandal, changes to the structure or rules of the league, or events that cause the cancellation or suspension of games. The Fund has no ability to rotate exposure into a different team, sport, or league in response to adverse developments affecting the team to which it has exposure.

Insider Trading and Information Asymmetry Risk. Unlike securities markets, which are governed by well-established insider trading prohibitions under the Securities Exchange Act of 1934, the legal framework governing trading on the basis of material, non-public information in the context of commodity futures is less developed. While the CFTC has broad anti-manipulation and anti-fraud authority under the Commodity Exchange Act (“CEA”), specific rules and judicial precedent addressing what constitutes improper trading on non-public information in the context of sports-linked futures remain nascent. Certain individuals may possess material, non-public information that could affect the statistical performance of the Blue Jackets Index and, consequently, the prices of Blue Jackets Index Futures Contracts. Such individuals may include, without limitation, team coaches, players, trainers, team medical staff, front office personnel, referees, officials, league personnel, or sports data providers. For example, undisclosed injuries to key players or undisclosed lineup changes could materially affect the level of the Blue Jackets Index. Such persons could trade Blue Jackets Index Futures Contracts or Fund Shares to profit from their informational advantage prior to public disclosure. There is no guarantee that exchanges, the CME, or the CFTC will successfully detect and prevent such trading, and the Fund has no means of preventing such individuals from purchasing or selling Fund Shares. The participation of informed insiders in the market for Blue Jackets Index Futures Contracts can create adverse selection for other market participants and distort market prices. Because the Fund is concentrated in a single team, the impact of insider trading on the Fund may be more pronounced than in markets with broader diversification.

League Credibility and Sports Integrity Risk. The Blue Jackets Index is calculated based on official league statistics derived from the games of a single professional sports team, and the integrity of those games is fundamental to the reliability of the index. Efforts to interfere with the team’s games, including match-fixing, point-shaving, or referee manipulation, could materially affect the statistical data upon which the Blue Jackets Index is based, create significant uncertainty regarding index levels, and cause pronounced price volatility in Blue Jackets Index Futures Contracts. Confirmed or suspected game interference may also prompt legislative or regulatory responses, including restrictions on sports-linked financial products or emergency rulemaking by the CFTC, that could restrict the listing or trading of Blue Jackets Index Futures Contracts. Even widely publicized allegations of interference, absent actual misconduct, could undermine market confidence in the Blue Jackets Index and the futures contracts that reference it.

Gaming and State Regulatory Litigation Risk. Exchanges that list sports-linked financial instruments, including Blue Jackets Index Futures Contracts, may be subject to legal challenges brought by state attorneys general, state gaming commissions, and other state-level actors asserting that such instruments constitute regulated gambling or gaming activity under state law, notwithstanding that such contracts are listed on a CFTC-regulated exchange. Such proceedings may assert that the listing of sports-linked contracts violates state gaming statutes, requires state gaming or sports wagering licenses, or constitutes an illegal gambling enterprise. These exchanges, and the CFTC in certain court filings, have asserted that the CEA and the CFTC’s exclusive jurisdiction over CFTC-regulated exchanges preempts state gaming regulations. There is no assurance that federal courts will rule in favor of federal preemption, and resolution may require years of litigation and potentially appellate review. An adverse ruling could result in the suspension or cessation of trading in Blue Jackets Index Futures Contracts, material operational restrictions, significant financial penalties, or the effective loss of the ability to list sports-linked futures. Any of these outcomes could materially and adversely affect the Fund’s ability to achieve its investment objective and could result in significant losses.

Platform and Distribution Restriction Risk. Broker-dealers, registered investment adviser platforms, wirehouses, and other financial intermediaries may refuse to list, recommend, or permit purchases of Fund Shares through their platforms due to the Fund’s association with sports performance outcomes and the perception that such products are akin to sports wagering, regardless of the Fund’s legal status as a registered investment company under the 1940 Act. Certain intermediaries may permit only unsolicited purchases, prohibit financial advisers from recommending the Fund, or exclude the Fund from model portfolios entirely. These restrictions could limit the Fund’s accessible investor base, constrain assets under management, reduce secondary market liquidity, widen bid-ask spreads, and increase the likelihood that Fund Shares will trade at significant premiums or discounts to net asset value. Even if an intermediary initially permits distribution, it may subsequently restrict access in response to adverse regulatory developments, reputational concerns, or changes in compliance policies. If a significant number of intermediaries refuse to distribute Fund Shares, the Fund may be unable to achieve sufficient scale, which could increase the Fund’s expense ratio, reduce trading volume, and impair the Fund’s ability to operate effectively.

Novel Market Risk. Blue Jackets Index Futures Contracts are a novel asset class with limited trading history. The market may not develop the depth, liquidity, or trading efficiency associated with more established futures markets, and its pricing may be influenced by factors unrelated to fundamental assessments of team performance, including speculative activity, behavioral biases, regulatory headlines, or concentrated participation by a limited number of traders. There is limited historical data on which to base expectations regarding future price behavior, volatility patterns, or the costs associated with maintaining exposure, and traditional risk metrics may not accurately capture the risks of investing in this market. There can be no assurance that the market for Blue Jackets Index Futures Contracts will achieve or sustain the level of participation, liquidity, and price discovery necessary for the Fund to effectively pursue its investment objective.

Limited Price Discovery and Market Depth Risk. Because Blue Jackets Index Futures Contracts are a newly created instrument class, the market may lack the depth, breadth, and participation necessary for reliable price discovery. Traditional commodity futures markets benefit from decades of participation by commercial hedgers, speculators, and arbitrageurs whose activities contribute to efficient pricing. The market for Blue Jackets Index Futures Contracts is expected to have few, if any, natural commercial hedgers, and may be dominated by retail speculators, algorithmic traders, or a small number of institutional participants. This concentrated participation could result in prices that do not accurately reflect fair value, wider bid-ask spreads, and elevated intraday price volatility. In thin markets, even modest order flow from the Fund could move prices against the Fund, increasing transaction costs and reducing returns. There can be no assurance that the market for Blue Jackets Index Futures Contracts will develop sufficient liquidity over time, and the Fund may be unable to establish or exit positions at prices the Fund considers favorable.

Seasonality and Offseason Risk. The Blue Jackets Index resets to a standardized base value prior to the start of each sports season and has a defined life cycle that ends following the postseason. Because the Fund tracks a single team in a single sport, the Fund is tied to that sport’s competitive calendar and has no ability to diversify across sports or rotate into a sport that is in-season when the team’s sport is not. During the playing season, the Blue Jackets Index moves in real-time based on officially reported game statistics, and the prices of Blue Jackets Index Futures Contracts are expected to reflect both the current index level and market expectations regarding future team performance. During the offseason, however, the Blue Jackets Index will not move because no games are being played, and the Fund’s exposure to Blue Jackets Index Futures Contracts will behave differently than during the playing season. The Fund anticipates maintaining exposure to Blue Jackets Index Futures Contracts during the offseason. Although the underlying index will be static during this period, the prices of Blue Jackets Index Futures Contracts may still fluctuate based on market expectations regarding the team’s prospects for the upcoming season, including coaching changes, player trades, draft picks, free agent signings, injury recovery timelines, training camp developments, and other factors that affect the market’s assessment of the team’s likely statistical performance. However, because the index itself is not moving during the offseason, the magnitude of futures price movements may be reduced relative to the playing season, and the relationship between futures prices and the underlying index level may be less predictable. There can be no assurance that the Fund’s offseason futures holdings will appreciate in value, and the Fund may experience losses during the offseason if market sentiment regarding the team’s upcoming season deteriorates. In addition, there can be no assurance that Blue Jackets Index Futures Contracts will be available in sufficient volume or at favorable pricing during the offseason or at the start of a new season.

League Discontinuation, Lockout, or Strike Risk. The Fund’s ability to invest in Blue Jackets Index Futures Contracts depends on the continued operation of the NHL and the playing of scheduled games. Labor disputes between the NHL and its players’ union could result in a lockout or strike that suspends or cancels all or a significant portion of a season. The NHL has previously experienced work stoppages, including a full-season cancellation in 2004-2005. During any such period, no games would be played, the Blue Jackets Index would not generate data, and trading in Blue Jackets Index Futures Contracts could be suspended or severely impaired. The Fund would be unable to pursue its investment strategy during such a period, may be forced to liquidate positions at disadvantageous prices, and could experience substantial losses. Even after a labor dispute is resolved, the shortened or restructured season could materially change the statistical patterns underlying the index methodology. In addition, force majeure events such as a pandemic, natural disaster, or other circumstances beyond the control of the league could cause widespread game cancellations or delays. There can be no assurance that the league will not experience a work stoppage or other extended interruption during the Fund’s investment period, or that the Fund will be able to recover any losses incurred as a result of such events.

Index Provider and Data Dependency Risk. The Blue Jackets Index is maintained and calculated by a single Index Provider, FutureSports. If the Index Provider were to experience operational failures, cease operations, lose its data feed from the applicable sports league, experience a cybersecurity breach, or otherwise become unable to calculate the Blue Jackets Index, Blue Jackets Index Futures Contracts may have no reliable reference value, which could materially and adversely affect the value of the Fund. In addition, the Blue Jackets Index is calculated solely on the basis of officially reported statistics from a single sports league. The league serves as the data source but does not participate in index determination or governance. If the league were to report incorrect statistics, issue post-game corrections, change how it reports or categorizes statistics, delay reporting, or discontinue the provision of data to the Index Provider, the settlement prices of Blue Jackets Index Futures Contracts could be based on erroneous or incomplete data. Furthermore, the Index Provider controls the methodology by which official statistics are translated into index points. If the Index Provider amends or discontinues its methodology, the behavior of the Blue Jackets Index could change materially and the futures market may not immediately price in such changes. The Blue Jackets Index is calculated in real-time while games are being played, which introduces latency, data-feed, and computational risks that differ from those associated with traditional financial indexes.

Trading Hours and Sporting Event Timing Risk. NHL games may occur during evening hours, on weekends, and on holidays when the Exchange is closed and when the market for Blue Jackets Index Futures Contracts may have limited or no trading activity. Because the Blue Jackets Index moves in real-time while games are being played, material index movements may occur during periods when investors are unable to buy or sell Shares or when Blue Jackets Index Futures Contracts are not actively trading. As a result, the opening price of Shares and the prices of Blue Jackets Index Futures Contracts on the next trading session may differ significantly from the prior session’s closing prices, potentially resulting in large gaps at the open. Shareholders may not be able to sell their Shares until after such a gap has been fully realized, resulting in an inability to mitigate losses in a declining market.

Futures Contracts Risk. Risks of futures contracts include: (i) an imperfect correlation between the value of the futures contract and the underlying asset; (ii) possible lack of a liquid secondary market; (iii) the inability to close a futures contract when desired; (iv) losses caused by unanticipated market movements, which may be unlimited; (v) an obligation for the Fund to make daily cash payments to maintain its required margin, particularly at times when the Fund may have insufficient cash; and (vi) unfavorable execution prices from rapid selling. Unlike equities, which typically entitle the holder to a continuing stake in a corporation, futures contracts normally specify a certain date for settlement in cash based on the reference asset. As the futures contracts approach expiration, they may be replaced by similar contracts that have a later expiration. This process is referred to as “rolling.” If the market for these contracts is in “contango,” meaning that the prices of futures contracts in the nearer months are lower than the price of contracts in the distant months, the sale of the near-term month contract would be at a lower price than the longer-term contract, resulting in a cost to “roll” the futures contract. The actual realization of a potential roll cost will be dependent upon the difference in price of the near and distant contract. Because the margin requirement for futures contracts is less than the value of the assets underlying the futures contract, futures trading involves a degree of leverage. As a result, a relatively small price movement in a futures contract may result in immediate and substantial loss, as well as gain, to the investor. For example, if at the time of purchase, 40% of the value of the futures contract is deposited as margin, a subsequent 20% decrease in the value of the futures contract would result in a loss of half of the margin deposit, before any deduction for the transaction costs, if the account were then closed out. A decrease in excess of 40% would result in a loss exceeding the original margin deposit, if the futures contract were closed out. Thus, a purchase or sale of a futures contract may result in losses in excess of the amount initially invested in the futures contract. However, the Fund would presumably have sustained comparable losses if, instead of investing in the futures contract, it had invested in the underlying financial instrument and sold it after the decline. Further, if the market for Blue Jackets Index Futures Contracts is in a period of contango, if the performance of the Blue Jackets Index and the price of Blue Jackets Index Futures Contracts were to decline, the Fund would experience the negative impact of contango. The impact of backwardation or contango may lead to the returns of the Fund to vary significantly from the total return of other price references. Additionally, in the event of a prolonged period of contango, and absent the impact of rising or falling pricing in the Blue Jackets Index, this could have a significant negative impact on the Fund’s NAV and total return.

Position Limits and Price Limits

The CFTC and various exchanges on which Blue Jackets Index Futures Contracts trade have established position limits and price limits for Blue Jackets Index Futures Contracts. Position limit regulation and price limit regulation serve distinct purposes and are regulated differently.

Position limits are designed to prevent excessive speculation that could cause sudden or unreasonable fluctuations in the price of a commodity. They limit the maximum number of contracts a person or entity can hold in a particular commodity.

Price limits are mechanisms to maintain orderly markets by restricting the price range within which futures contracts can trade during a trading session. They prevent extreme price movements that could disrupt market stability. Price limits are typically set as a percentage of the previous day's settlement price. When price limits are hit, trading may be halted or expanded depending on the product and regulatory rules. Unlike position limits, price limits do not restrict the number of contracts a trader can hold but rather the price at which those contracts can be traded. When a price limit is hit, the market for Blue Jackets Index Futures Contracts may temporarily halt until price limits can be expanded or trading may be stopped for the day.

If the Fund is unable to buy or sell Blue Jackets Index Futures Contracts as a result of position limits being hit or price limits that result in a halted or closed market—or for other reasons including limited liquidity in the market for Blue Jackets Index Futures Contracts, a disruption to the market for Blue Jackets Index Futures Contracts, or as a result of margin requirements, accountability levels, or other limitations imposed by the Fund’s futures commission merchants (“FCMs”), the listing exchanges, or the CFTC—the Adviser would take such action as it believes appropriate and in the best interest of the Fund in consideration of the facts and circumstances at such time, including: (i) investing in Blue Jackets Index-Linked Instruments that are not Blue Jackets Index Futures Contracts; (ii) requiring that authorized participants purchase and redeem in large blocks of shares called “Creation Units” through an exchange for related position (EFRP) method rather than in cash; (iii) applying increased authorized participant variable transaction fees for purchases or redemptions of Creation Units made in cash; or (iv) de-levering the Fund, relative to its investment objective, by an amount reflecting prevailing price limits. In addition, the Fund generally may suspend the issuance of Creation Units only for a limited time and only due to extraordinary circumstances, such as when the markets on which the ETF’s portfolio holdings are traded are closed for a limited period of time; that is to say, when the Fund is unable to increase its exposure to underlying assets.

Cost of Futures Investment Risk. When a Blue Jackets Index Futures Contract is nearing expiration, the Fund will generally sell it and use the proceeds to buy a Blue Jackets Index Futures Contract with a later expiration date. This is commonly referred to as “rolling”.

If the Fund rolls Blue Jackets Index Futures Contracts that are in contango, the Fund would sell a lower priced, expiring contract and purchase a higher priced, longer-dated contract. The price difference between the expiring contract and longer-dated contract associated with rolling Blue Jackets Index Futures Contracts is typically substantially higher than the price difference associated with rolling other futures contracts. Contango in the market for Blue Jackets Index Futures Contracts may have a significant adverse impact on the performance of the Fund and may cause Blue Jackets Index Futures Contracts and the Fund to underperform the Blue Jackets Index. Both contango and backwardation would reduce the Fund’s correlation to the Blue Jackets Index and may limit or prevent the Fund from achieving its investment objective. The impact of both contango and backwardation may also be greater to the extent the Fund invests in back-month Blue Jackets Index Futures Contracts. 

Investment Capacity Risk. If the Fund’s ability to obtain exposure to Blue Jackets Index Futures Contracts consistent with its investment objective is disrupted for any reason, including but not limited to, limited liquidity in the market for Blue Jackets Index Futures Contracts, a disruption to the market for Blue Jackets Index Futures Contracts, or as a result of margin requirements or position limits imposed by the Fund’s FCMs, the CME, or the CFTC, and the Fund could not otherwise meet its investment objective through the use of other investments discussed above, the Fund would not be able to achieve its investment objective and may experience significant losses.

Liquidity Risk. The market for the Blue Jackets Index Futures Contracts may be subject to periods of illiquidity. During such times it may be difficult or impossible to buy or sell a position at the desired price. Market disruptions or volatility can also make it difficult to find a counterparty willing to transact at a reasonable price and sufficient size. Illiquid markets may cause losses, which could be significant. Large positions also increase the risk of illiquidity, which may make the Fund’s positions more difficult to liquidate, and increase the losses incurred while trying to do so.

Derivatives Risk. In addition to Blue Jackets Index Futures Contracts, the Fund may obtain exposure through the following other derivatives: (1) exchange traded options on Other Investment Companies and/or (2) swap agreement transactions that reference Blue Jackets Index Futures Contracts, Other Investment Companies, or the Blue Jackets Index.

Investing in derivatives may be considered aggressive and may expose the Fund to risks different from, or possibly greater than, the risks associated with investing directly in the reference asset(s) underlying the derivative (e.g., the securities or commodities contained in the Fund). The use of derivatives may result in larger losses or smaller gains than directly investing in securities or commodities. The risks of using derivatives include: (1) the risk that there may be imperfect correlation between the price of the financial instruments and movements in the prices of the reference asset(s); (2) the risk that an instrument is mispriced; (3) credit or counterparty risk on the amount a Fund expects to receive from a counterparty; (4) the risk that securities prices, interest rates and currency markets will move adversely and a Fund will incur significant losses; (5) the risk that the cost of holding a financial instrument might exceed its total return; and (6) the possible absence of a liquid secondary market for a particular instrument and possible exchange imposed price fluctuation limits, either of which may make it difficult or impossible to adjust a Fund’s position in a particular instrument when desired. Each of these factors may prevent a Fund from achieving its investment objective and may increase the volatility (i.e., fluctuations) of the Fund’s returns. Because derivatives often require limited initial investment, the use of derivatives also may expose a Fund to losses in excess of those amounts initially invested.

The performance of any Blue Jackets Index-Linked Instrument may not track the performance of its underlying benchmark due to embedded costs and other factors. Thus, to the extent the Fund invests in swaps that use a Blue Jackets Index-Linked Instrument as the reference asset, the Fund may be subject to greater correlation risk and may not achieve as high a degree of correlation with its investment objective than if the Fund only used Blue Jackets Index Futures Contracts.

Swap Agreements Risk. The Fund may enter into cash-settled swaps and other derivatives to gain exposure to an underlying asset without actually purchasing such asset. Swaps are two-party contracts entered into primarily by institutional investors for periods ranging from a day to more than one year. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on a particular pre-determined interest rate, commodity, security, indexes, or other assets or measurable indicators. The primary risks associated with the use of swaps are mispricing or improper valuation, imperfect correlation between movements in the notional amount and the price of the underlying investments, and the failure of a counterparty to perform. If a counterparty’s creditworthiness for an over-the-counter swap declines, the value of the swap would likely decline. Moreover, there is no guarantee that the Fund could eliminate its exposure under an outstanding swap by entering into an offsetting swap with the same or another party. In addition, the Fund may use a combination of swaps on an underlying index.

Options Risk. The Fund may purchase exchange-traded options that reference shares of Other Investment Companies. Transactions in options generally require less capital than equivalent stock transactions. They may return smaller dollar figures but a potentially greater percentage of the investment than equivalent stock transactions. The potential profit is limited to the premium received for the contract. The potential loss can be unlimited. While leverage means the percentage returns can be significant, the amount of cash required is smaller than equivalent stock transactions. It is possible to lose the entire principal invested, and sometimes more. As an options holder, a Fund risks the entire amount of the premium it pays. But as an options writer, it takes on a much higher level of risk. For example, if the Fund writes an uncovered call, it faces unlimited potential loss, since there is no cap on how high a stock price can rise. When buying options, a Fund risks losing the premium paid, plus commissions and fees.

Reverse Repurchase Agreements Risk. The Fund may invest in reverse repurchase agreements. Reverse repurchase agreements are transactions in which the Fund sells portfolio securities to financial institutions such as banks and broker-dealers, and agrees to repurchase them at a mutually agreed-upon date and price which is higher than the original sale price. Reverse repurchase agreements are a form of leverage and the use of reverse repurchase agreements by the Fund may increase the Fund’s volatility. The Fund incurs costs, including interest expenses, in connection with the opening and closing of reverse repurchase agreements that will be borne by the shareholders.

Reverse repurchase agreements are also subject to the risk that the other party to the reverse repurchase agreement will be unable or unwilling to complete the transaction as scheduled, which may result in losses to the Fund. In situations where the Fund is required to post collateral with a counterparty, the counterparty may fail to segregate the collateral or may commingle the collateral with the counterparty’s own assets. As a result, in the event of the counterparty’s bankruptcy or insolvency, the Fund’s collateral may be subject to the conflicting claims of the counterparty’s creditors, and the Fund may be exposed to the risk of a court treating the Fund as a general unsecured creditor of the counterparty, rather than as the owner of the collateral. There can be no assurance that a counterparty will not default and that the Fund will not sustain a loss on a transaction as a result.

Reverse repurchase agreements also involve the risk that the market value of the securities sold by the Fund may decline below the price at which it is obligated to repurchase the securities. In addition, when the Fund invests the proceeds it receives in a reverse repurchase transaction, there is a risk that those investments may decline in value. In this circumstance, the Fund could be required to sell other investments in order to meet its obligations to repurchase the securities.

Risks Related to Investing in Other Investment Companies. The Fund may invest in long or short positions in Other Investment Companies (i.e., investment companies registered under the 1940 Act that invest in similar assets to those in which the Fund may invest). Investing in Other Investment Companies may involve duplication of advisory or management fees and certain other expenses. By investing in Other Investment Companies, the Fund becomes a shareholder of that Other Investment Company. As a result, Fund shareholders indirectly bear the Fund’s proportionate share of the fees and expenses paid by shareholders of the Other Investment Company, in addition to the fees and expenses Fund shareholders bear in connection with the Fund’s own operations. As a shareholder, the Fund must rely on the Other Investment Company to achieve its investment objective. The Fund’s performance may be magnified positively or negatively by virtue of its investment in the Other Investment Company. If the Other Investment Company fails to achieve its investment objective, the value of the Fund’s investment could decline, thus affecting the Fund’s performance. In addition, because certain Other Investment Company shares are listed on national stock exchanges and are traded like stocks on an exchange, their shares potentially may trade at a discount or a premium. Investments in such shares may be subject to brokerage and other trading costs, which could result in greater expenses to the Fund. Finally, because the value of certain Other Investment Company shares may depend on the demand in the market, the Adviser may not be able to liquidate the Fund’s holdings in those shares at the most optimal time, adversely affecting the Fund’s performance.

Collateral Investments Risk. The Fund’s use of Collateral Investments may include obligations issued or guaranteed by the U.S. Government, its agencies and instrumentalities, including bills, notes and bonds issued by the U.S. Treasury, investment companies registered under the 1940 Act that invest in high-quality securities and corporate debt securities, such as commercial paper.

Some securities issued or guaranteed by federal agencies and U.S. Government-sponsored instrumentalities may not be backed by the full faith and credit of the United States, in which case the investor must look principally to the agency or instrumentality issuing or guaranteeing the security for ultimate repayment, and may not be able to assert a claim against the United States itself in the event that the agency or instrumentality does not meet its commitment. The U.S. Government, its agencies and instrumentalities do not guarantee the market value of their securities, and consequently, the value of such securities may fluctuate. Although the Fund may hold securities that carry U.S. Government guarantees, these guarantees do not extend to the Shares.

Investment companies that invest in high-quality securities are subject to management fees and other expenses. Therefore, investments in these funds will cause the Fund to bear indirectly a proportional share of the fees and costs of the funds in which it invests. At the same time, the Fund will continue to pay its own management fees and expenses with respect to all of its assets, including any portion invested in the shares of such fund. It is possible to lose money by investing in investment companies that invest in high-quality securities.

Corporate debt securities such as commercial paper generally are short-term unsecured promissory notes issued by businesses. Corporate debt may carry variable or floating rates of interest. Corporate debt securities carry both credit risk and interest rate risk. Credit risk is the risk that the Fund could lose money if the issuer of a corporate debt security is unable to pay interest or repay principal when it is due.

Asset Concentration Risk. Since the Fund may take concentrated positions in Blue Jackets Index Futures Contracts, the Fund’s performance may be hurt disproportionately and significantly by the poor performance of those positions to which it has significant exposure. Asset concentration makes the Fund more susceptible to any single occurrence affecting the underlying positions and may subject the Fund to greater market risk than more diversified funds.

Counterparty Risk. The Fund will be subject to credit risk (i.e., the risk that a counterparty is unwilling or unable to make timely payments or otherwise meet its contractual obligations) with respect to the amount the Fund expects to receive from counterparties to: Blue Jackets Index Futures Contracts; reverse repurchase agreements; swaps on Blue Jackets Index Futures Contracts, Other Investment Companies, or the Blue Jackets Index.

The Fund may be negatively impacted if a counterparty becomes bankrupt or otherwise fails to perform its obligations under such an agreement. The Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding and the Fund may obtain only limited recovery or may obtain no recovery in such circumstances. In order to attempt to mitigate potential counterparty credit risk, the Fund typically enters into transactions with major financial institutions.

The counterparty to an exchange-traded futures contract is subject to the credit risk of the clearing house and the FCM through which it holds its position. Specifically, the FCM or the clearing house could fail to perform its obligations, causing significant losses to the Fund. For example, the Fund could lose margin payments it has deposited with an FCM as well as any gains owed but not paid to the Fund, if the FCM or clearing house becomes insolvent or otherwise fails to perform its obligations. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. Under current CFTC regulations, a FCM maintains customers’ assets in a bulk segregated account. If a FCM fails to do so, or is unable to satisfy a substantial deficit in a customer account, its other customers may be subject to risk of loss of their funds in the event of that FCM’s bankruptcy. In that event, in the case of futures, the FCM’s customers are entitled to recover, even in respect of property specifically traceable to them, only a proportional share of all property available for distribution to all of that FCM’s customers. In addition, if the FCM does not comply with the applicable regulations, or in the event of a fraud or misappropriation of customer assets by the FCM, the Fund could have only an unsecured creditor claim in an insolvency of the FCM with respect to the margin held by the FCM. FCMs are also required to transfer to the clearing house the amount of margin required by the clearing house, which amount is generally held in an omnibus account at the clearing house for all customers of the FCM. In addition, the Fund may enter into futures contracts and repurchase agreements with a limited number of counterparties, which may increase the Fund’s exposure to counterparty credit risk. The Fund does not specifically limit its counterparty risk with respect to any single counterparty.

Further, there is a risk that no suitable counterparties are willing to enter into reverse repurchase agreements with the Fund, or continue to enter into, reverse repurchase agreement transactions with the Fund and, as a result, the Fund may not be able to achieve its investment objective. There is also the risk that the Fund may not be able to engage in reverse repurchase agreement transactions because suitable counterparties refuse to enter into transactions with the Fund. Contractual provisions and applicable law may prevent or delay the Fund from exercising its rights to terminate an investment or transaction with a financial institution experiencing financial difficulties, or to realize on collateral, and another institution may be substituted for that financial institution without the consent of the Fund. If the credit rating of a counterparty to a futures contract and/or repurchase agreement declines, the Fund may nonetheless choose or be required to keep existing transactions in place with the counterparty, in which event the Fund would be subject to any increased credit risk associated with those transactions. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the possibility exists that the Fund’s ability to exercise remedies, such as the termination of transactions, netting of obligations and realization on collateral, could be stayed or eliminated under special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide government authorities with broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, the regulatory authorities could reduce, eliminate, or convert to equity the liabilities to the Fund of a counterparty who is subject to such proceedings in the European Union (sometimes referred to as a “bail in”).

Credit Risk. An issuer or other obligated party of a debt security may be unable or unwilling to make dividend, interest and/or principal payments when due. In addition, the value of a debt security may decline because of concerns about the issuer’s ability or unwillingness to make such payments.

Debt Securities Risk. Investments in debt securities subject the holder to the credit risk of the issuer. Credit risk refers to the possibility that the issuer or other obligor of a security will not be able or willing to make payments of interest and principal when due. Generally, the value of debt securities will change inversely with changes in interest rates. To the extent that interest rates rise, certain underlying obligations may be paid off substantially slower than originally anticipated and the value of those securities may fall sharply. During periods of falling interest rates, the income received by the Fund may decline. If the principal on a debt security is prepaid before expected, the prepayments of principal may have to be reinvested in obligations paying interest at lower rates. Debt securities generally do not trade on a securities exchange making them generally less liquid and more difficult to value than common stock.

Interest Rate Risk. Interest rate risk is the risk that the value of the debt securities in the Fund’s portfolio will decline because of rising market interest rates. Interest rate risk is generally lower for shorter term debt securities and higher for longer-term debt securities. Duration is a reasonably accurate measure of a debt security’s price sensitivity to changes in interest rates and a common measure of interest rate risk. Duration measures a debt security’s expected life on a present value basis, taking into account the debt security’s yield, interest payments and final maturity. In general, duration represents the expected percentage change in the value of a security for an immediate 1% change in interest rates. For example, the price of a debt security with a three-year duration would be expected to drop by approximately 3% in response to a 1% increase in interest rates. Therefore, prices of debt securities with shorter durations tend to be less sensitive to interest rate changes than debt securities with longer durations. As the value of a debt security changes over time, so will its duration.

Clearing Broker Risk. The Fund’s investments in exchange-traded futures contracts expose it to the risks of a clearing broker (or a FCM). Under current regulations, a clearing broker or FCM maintains customers’ assets in a bulk segregated account. There is a risk that Fund assets deposited with the clearing broker to serve as margin may be used to satisfy the broker’s own obligations or the losses of the broker’s other clients. In the event of default, the Fund could experience lengthy delays in recovering some or all of its assets and may not see any recovery at all. Furthermore, the Fund is subject to the risk that no FCM is willing or able to clear the Fund’s transactions or maintain the Fund’s assets. If the Fund’s FCMs are unable or unwilling to clear the Fund’s transactions, or if the FCM refuses to maintain the Fund’s assets, the Fund will be unable to have its orders for Blue Jackets Index Futures Contracts fulfilled or assets custodied. In such a circumstance, the performance of the Fund will likely deviate from the performance of changes in the Blue Jackets Index and may result in the proportion of Blue Jackets Index Futures Contracts in the Fund’s portfolio relative to the total assets of the Fund to decrease.

Non-Diversification Risk. The Fund is classified as a “non-diversified company” under the 1940 Act. As a result, the Fund is only limited as to the percentage of its assets which may be invested in the securities of any one issuer by the diversification requirements imposed by the Code. The Fund may invest a relatively high percentage of its assets in a limited number of issuers. As a result, the Fund may be more susceptible to a single adverse economic or regulatory occurrence affecting one or more of these issuers, experience increased volatility and be highly invested in certain issuers.

Risks Related to the Management of the Fund

Active Management Risk. The Fund is actively managed, and its performance reflects investment decisions that the Adviser makes for the Fund. Such judgments about the Fund’s investments may prove to be incorrect. If the investments selected and the strategies employed by the Fund fail to produce the intended results, the Fund could underperform as compared to other funds with similar investment objectives and/or strategies, or could have negative returns.

Frequent Trading Risk. The Fund regularly purchases and subsequently sells (i.e., “rolls”) individual futures contracts throughout the year so as to maintain a fully invested position. As the contracts near their expiration dates, the Fund rolls them over into new contracts. This frequent trading of contracts may increase the amount of commissions or mark-ups to broker-dealers that the Fund pays when it buys and sells contracts, which may detract from the Fund’s performance. High portfolio turnover may result in the Fund paying higher levels of transaction costs and may generate greater tax liabilities for shareholders. Frequent trading risk may cause the Fund’s performance to be less than expected.

Rebalancing Risk. If for any reason the Fund is unable to rebalance all or a portion of its portfolio, or if all or a portion of the portfolio is rebalanced incorrectly, the Fund may be over- or under-exposed to the returns of the Blue Jackets Index. Additionally, because the market for Blue Jackets Index Futures Contracts is nascent and may be thinly traded, the Fund’s own trading activity, including purchases, sales, and rolling of contracts, could materially influence the prices of Blue Jackets Index Futures Contracts. If the Fund represents a significant portion of the open interest or trading volume, its activity could move prices against it, resulting in higher costs and reduced returns. If other market participants anticipate the Fund’s trading patterns, they may engage in front-running or other anticipatory trading strategies that further increase the Fund’s transaction costs. The trading activity associated with such transactions will contribute to the existing trading volume on the underlying futures contracts and may adversely affect the market price of such underlying futures contracts.

Operational Risk. The Fund is exposed to operational risks 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 and the Adviser seek to reduce these operational risks through controls and procedures. However, these measures do not address every possible risk and may be inadequate to address these risks.

Valuation Risk. The Fund or the Subsidiary may hold securities or other assets that may be valued on the basis of factors other than market quotations. This may occur because the asset or security does not trade on a centralized exchange, or in times of market turmoil or reduced liquidity. There are multiple methods that can be used to value a portfolio holding when market quotations are not readily available. The value established for any portfolio holding at a point in time might differ from what would be produced using a different methodology or if it had been priced using market quotations. Portfolio holdings that are valued using techniques other than market quotations, including “fair valued” assets or securities, may be subject to greater fluctuation in their valuations from one day to the next than if market quotations were used. In addition, there is no assurance that the Fund or the Subsidiary could sell or close out a portfolio position for the value established for it at any time, and it is possible that the Fund or the Subsidiary would incur a loss because a portfolio position is sold or closed out at a discount to the valuation established by the Fund or the Subsidiary at that time. The Fund’s ability to value investments may be impacted by technological issues or errors by pricing services or other third-party service providers.

New Fund Risk. As of the date of this prospectus, the Fund has no operating history and currently has fewer assets than larger funds. Like other new funds, large inflows and outflows may impact the Fund’s market exposure for limited periods of time. This impact may be positive or negative, depending on the direction of market movement during the period effected.

Risks Related to Trading of Shares

Trading Issues Risk. 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. The Fund may have difficulty maintaining its listing on the Exchange in the event the Fund’s assets are small, the Fund does not have enough shareholders, or if the Fund is unable to proceed with creation and/or redemption orders.

Authorized Participant Concentration Risk. Only an “authorized participant” or “AP” (i.e., broker-dealers and large institutional investors that have entered into participation agreement with the Fund) may engage in creation or redemption transactions directly with the Fund. The Fund has a limited number of institutions that act as APs on an agency basis (i.e. on behalf of other market 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 AP is able to step forward to create or redeem, in either of these cases, Shares may trade at a discount to the Fund’s net asset value and possibly face delisting.

Market Maker Risk. If the Fund has lower average daily trading volumes, it may rely on a small number of third-party market makers to provide a market for the purchase and sale of Shares. Any trading halt or other problem relating to the trading activity of these market makers could result in a dramatic change in the spread between the Fund’s net asset value and the price at which the Shares are trading on the Exchange, which could result in a decrease in value of the Shares. In addition, decisions by market makers or APs to reduce their role or step away from these activities in times of market stress could inhibit the effectiveness of the arbitrage process in maintaining the relationship between the underlying values of the Fund’s portfolio securities and the Fund’s market price. This reduced effectiveness could result in Shares trading at a discount to net asset value and also in greater than normal intra-day bid-ask spreads for Shares.

Premium/Discount Risk. The market price of the Fund’s Shares will generally fluctuate in accordance with changes in the Fund’s net asset value as well as the relative supply of and demand for Shares on the Exchange. The Fund’s market price may deviate from the value of the Fund’s underlying portfolio holdings, particularly in time of market stress, with the result that investors may pay more or receive less than the underlying value of the Shares bought or sold. The Adviser cannot predict whether Shares will trade below, at, or above their net asset value because the Shares trade on the Exchange at market prices and not at net asset value. 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, but not identical, to the same forces influencing the prices of the holdings of the Fund trading individually or in the aggregate at any point in time. However, given that Shares can only be purchased and redeemed in Creation Units, and only to and from broker-dealers and large institutional investors that have entered into participation agreements (unlike shares of closed-end funds, which frequently trade at appreciable discounts from, and sometimes at premiums to, their net asset value), the Adviser believes that large discounts or premiums to the net asset value of Shares should not be sustained. In addition, because the Fund provides exposure to the statistical performance of a single professional sports team, demand for Shares may be influenced by fan loyalty, emotional attachment, and team-related sentiment rather than by rational assessments of the Fund’s expected risk-adjusted returns. These demand patterns could increase intraday volatility in Fund Shares, widen bid-ask spreads, and result in investors purchasing or selling Shares at prices that do not reflect the Fund’s underlying NAV. During stressed market conditions, the market for the Fund’s Shares may become less liquid in response to deteriorating liquidity in the market for the Fund’s underlying portfolio holdings, which could in turn lead to differences between the market price of the Fund’s Shares and their net asset value. This can be reflected as a spread between the bid and ask prices for the Fund quoted during the day or a premium or discount in the closing price from the Fund’s NAV.

Active Market Risk. Although the Shares are listed for trading on the Exchange, there can be no assurance that an active trading market for the Shares will develop or be maintained. Shares trade on the Exchange at market prices that may be below, at or above the Fund’s net asset value. Securities, including the Shares, are subject to market fluctuations and liquidity constraints that may be caused by such factors as economic, political, or regulatory developments, changes in interest rates, and/or perceived trends in securities prices. Shares of the Fund could decline in value or underperform other investments.

Cash Transaction Risk. Most ETFs generally make in-kind redemptions to avoid being taxed at the fund level on gains on the distributed portfolio securities. However, unlike most ETFs, the Fund currently intends to effect some or all redemptions for cash, rather than in-kind, because of the nature of the Fund’s investments. The Fund may be required to sell portfolio securities to obtain the cash needed to distribute redemption proceeds, which involves transaction costs that the Fund may not have incurred had it effected redemptions entirely in kind. These costs may include brokerage costs and/or taxable gains or losses, which may be imposed on the Fund and decrease the Fund’s NAV to the extent such costs are not offset by a transaction fee payable to an AP. If the Fund recognizes gain on these sales, this generally will cause the Fund to recognize gain it might not otherwise have recognized if it were to distribute portfolio securities in-kind, or to recognize such gain sooner than would otherwise be required. This may decrease the tax efficiency of the Fund compared to ETFs that utilize an in-kind redemption process, and there may be a substantial difference in the after-tax rate of return between the Fund and other ETFs.

Risks Related to Regulation, External Factors, and Federal Income Tax Consequences

Tax Risk. The Fund intends to elect and to qualify each year to be treated as a RIC under Subchapter M of the Code. As a RIC, the Fund will not be subject to U.S. federal income tax on the portion of its net investment income and net capital gain that it distributes to shareholders, provided that it satisfies certain requirements of the Code. If the Fund does not qualify as a RIC for any taxable year and certain relief provisions are not available, the Fund’s taxable income will be subject to tax at the Fund level and to a further tax at the shareholder level when such income is distributed. Additionally, buying securities shortly before the record date for a taxable dividend or capital gain distribution is commonly known as “buying the dividend.” In the event a shareholder purchases Shares shortly before such a distribution, the entire distribution may be taxable to the shareholder even though a portion of the distribution effectively represents a return of the purchase price. To comply with the asset diversification test applicable to a RIC, the Fund will limit its investments in the Subsidiary to 25% of the Fund’s total assets at the end of each tax quarter. The investment strategy of the Fund will cause the Fund to hold substantially more than 25% of the Fund’s total assets in investments in the Subsidiary the majority of the time. The Fund intends to manage the exposure to the Subsidiary so that the Fund’s investments in the Subsidiary do not exceed 25% of the total assets at the end of any tax quarter. If the Fund’s investments in the Subsidiary were to exceed 25% of the Fund’s total assets at the end of a tax quarter, the Fund, generally, has a grace period to cure such lack of compliance. If the Fund fails to timely cure, it may no longer be eligible to be treated as a RIC.

Because Blue Jackets Index Futures Contracts produce non-qualifying income for purposes of qualifying as a RIC, the Fund makes its investments in Blue Jackets Index Futures Contracts through the Subsidiary. The Fund intends to treat any income it may derive from the futures contracts received by the Subsidiary as “qualifying income” under the provisions of the Code applicable to RICs. The IRS has issued PLRs provided to third parties not associated with the Fund or its affiliates (which only those parties may rely on as precedent) concluding that similar arrangements resulted in qualifying income. Many of such PLRs have now been revoked by the IRS. In March of 2019, the Internal Revenue Service published Regulations that concluded that income from a corporation similar to the Subsidiary would be qualifying income, if the income is related to the Fund’s business of investing in stocks or securities. Although the Regulations do not require distributions from the Subsidiary, the Fund intends to cause the Subsidiary to make distributions that would allow the Fund to make timely distributions to its shareholders. The Fund generally will be required to include in its own taxable income the income of the Subsidiary for a tax year, regardless of whether the Fund receives a distribution of the Subsidiary’s income in that tax year, and this income would nevertheless be subject to the distribution requirement for qualification as a RIC and would be taken into account for purposes of the 4% excise tax.

If, in any year, the Fund were to fail to qualify for the special tax treatment accorded a RIC and its shareholders, and were ineligible to or were not to cure such failure, the Fund would be taxed in the same manner as an ordinary corporation subject to U.S. federal income tax on all its income at the fund level. The resulting taxes could substantially reduce the Fund’s net assets and the amount of income available for distribution. In addition, in order to requalify for taxation as a RIC, the Fund could be required to recognize unrealized gains, pay substantial taxes and interest, and make certain distributions.

Subsidiary Regulatory Investment Risk. Changes in the laws of the United States and/or the Cayman Islands, under which the Fund and the Subsidiary are organized, respectively, could result in the inability of the Fund to operate as intended and could negatively affect the Fund and its shareholders. The Subsidiary is not registered under the 1940 Act and is not subject to all the investor protections of the 1940 Act. However, as the Subsidiary is wholly-owned by the Fund, and the investors of the Fund will have the investor protections of the 1940 Act, the Fund as a whole—including the Subsidiary—will provide investors with 1940 Act protections.

Commodity Regulatory Risk. The Fund’s use of commodity futures subject to regulation by the CFTC has caused the Fund to be classified as a “commodity pool” and this designation requires that the Fund comply with CFTC rules, which may impose additional regulatory requirements and compliance obligations. The Fund’s investment decisions may need to be modified, and commodity contract positions held by the Fund may have to be liquidated at disadvantageous times or prices, to avoid exceeding any applicable position limits established by the CFTC, potentially subjecting the Fund to substantial losses. The regulation of commodity transactions in the United States is subject to ongoing modification by government, self-regulatory and judicial action. The effect of any future regulatory change with respect to any aspect of the Fund is impossible to predict, but could be substantial and adverse to the Fund.

Regulatory Risk. The regulatory framework governing sports-linked financial instruments is evolving and subject to significant uncertainty. Blue Jackets Index Futures Contracts are a novel instrument class for which there is limited regulatory precedent. The CFTC has broad discretionary authority to determine whether particular contracts are consistent with the public interest, including authority to disapprove or direct an exchange to delist contracts that the CFTC determines involve gaming, are unlawful, or otherwise run contrary to the purposes of the CEA. The CFTC has recently proposed amendments to its rules concerning event contracts, commonly referred to as prediction markets, to specify which contracts may be determined contrary to the public interest and therefore may not be listed for trading or accepted for clearing on or through a CFTC-regulated entity. The CFTC or the listing exchange could, at any time and without advance notice, impose new conditions, margin or position-limit requirements, reporting obligations, trading halts, settlement adjustments, or delisting actions. Any such changes could, among other things; (i) impair the Fund’s ability to establish, maintain, or close positions; (ii) require the Fund to liquidate positions at disadvantageous prices; (iii) alter the economic characteristics on which the Fund relies; or (iv) render the Fund’s principal investment strategy impractical. In addition, future legislative, judicial, or administrative developments could retroactively affect the permissibility, settlement mechanics, or availability of Blue Jackets Index Futures Contracts. These developments may occur abruptly and may not provide mechanisms for investor recourse or for the orderly unwind of positions. There can be no assurance that the regulatory environment for sports-linked financial instruments will remain stable or favorable.

Cyber Security Risk. The Fund is susceptible to operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional events that may cause the Fund to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause the Fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. Cyber security breaches may involve unauthorized access to the Fund’s digital information systems through “hacking” or malicious software coding, but may also result from outside attacks such as denial-of-service attacks through efforts to make network services unavailable to intended users. In addition, cyber security breaches of the Fund’s third-party service providers, such as its administrator, transfer agent, or custodian, as applicable, or issuers in which the Fund invests, can also subject the Fund to many of the same risks associated with direct cyber security breaches. While the Fund has established business continuity plans and risk management systems designed to reduce the risks associated with cyber security, there are inherent limitations in such plans and systems. Additionally, there is no guarantee that such efforts will succeed, especially because the Fund does not directly control the cyber security systems of issuers or third-party service providers.

Natural Disaster/Epidemic Risk. Natural or environmental disasters, such as earthquakes, fires, floods, Blue Jackets, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks, and result in significant breakdowns, delays, shutdowns, social isolation, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Fund and its investments. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy of financial projections. Under these circumstances, the Fund may have difficulty achieving its investment objectives which may adversely impact Fund performance. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Fund’s investment advisor, third party service providers, and counterparties), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Fund’s investments. These factors can cause substantial market volatility, exchange trading suspensions and closures, changes in the availability of and the margin requirements for certain instruments, and can impact the ability of the Fund to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market. A widespread crisis would also affect the global economy in ways that cannot necessarily be foreseen. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these could have a significant impact on the Fund’s performance, resulting in losses to your investment.

Performance

As of the date of this prospectus, the Fund has not yet commenced operations and therefore does not have a performance history. Once available, the Fund’s performance information will be accessible on the Fund’s website at www.volatilityshares.com and will provide some indication of the risks of investing in the Fund.

Management

Investment Adviser

Volatility Shares LLC 

Portfolio Managers

The following persons serve as portfolio managers of the Fund. 

Each of the portfolio managers is primarily and jointly responsible for the day-to-day management of the Fund. Each of the Fund’s portfolio managers have served in such capacity since the Fund’s inception.

Purchase and Sale of Shares

The Fund issues and redeems Shares on a continuous basis, at NAV, only in large blocks of shares called “Creation Units.” Individual Shares may only be purchased and sold on the secondary market through a broker-dealer at a market price. Since Shares trade on securities exchanges in the secondary market at their market price rather than their NAV, the Shares may trade at a price greater than (premium) or less than (discount) the Fund’s NAV. An investor may incur costs attributable to the difference between the highest price a buyer is willing to pay to purchase Shares (bid) and the lowest price a seller is willing to accept for Shares (ask) when buying or selling Shares in the secondary market (the “bid-ask spread”). Recent information, including the Fund’s NAV, market price, premiums and discounts, and bid-ask spreads, is available online at www.volatilityshares.com.

Tax Information

The Fund’s distributions will generally be taxable as ordinary income, returns of capital or capital gains. A sale of Shares may result in capital gain or loss.

Payments to Broker-Dealers and Other Financial Intermediaries

If you purchase Shares through a broker-dealer or other financial intermediary (such as a bank), the Adviser and Foreside Fund Services, LLC, the Fund’s distributor (the “Distributor”), may pay the intermediary for the sale of Shares and 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.

Dallas Stars ETF

Investment Objective

The Dallas Stars ETF (the “Fund” or “[__]”) seeks to provide investment results, before fees and expenses, that correspond to the performance of futures contracts on the CME FSPI NHL Dallas Stars Index.

Fees and Expenses of the Fund

This table describes the fees and expenses that you may pay if you buy, hold and sell Shares. Investors may pay other fees, such as brokerage commissions and other fees to financial intermediaries, which are not reflected in the table and example set forth below.

Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment)

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 assumes that you invest $10,000 in the Fund for the time periods indicated and then sell all of your Shares at the end of those periods. The example also assumes that your investment has a 5% return each year and that the Fund’s operating expenses remain at current levels. This example does not include the brokerage commissions that investors may pay to buy and sell Shares.

Although your actual costs may be higher or lower, your costs, based on these assumptions, would be:

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 will cause the Fund to incur additional transaction costs and may result in higher taxes when Shares are held in a taxable account. These costs, which are not reflected in Total Annual Fund Operating Expenses or in the example, may affect the Fund’s performance. Because the Fund is new, portfolio turnover information is unavailable at this time.

Principal Investment Strategies 

The Fund is an exchange-traded fund (“ETF”) that seeks to achieve its investment objective primarily through investments in futures contracts on the CME FSPI NHL Dallas Stars Index, which is a non-investable index (the “Stars Index”). The Stars Index is designed to systemically measure the cumulative team performance of the Dallas Stars only during games played over the regular and post-season. The Stars Index is a transparent, rules-based system using official league statistics, where positive actions add points and negative actions subtract points. The Stars Index is based on fifty-five statistical measures of performance and results of team games (wins, losses and ties) that results in continuous, live statistical values that underpin the value of the Stars Index which is calculated into a trackable and tradable number. The Stars Index is based solely on these statistical factors, and the performance of other professional hockey teams in the National Hockey League^® (the “NHL”), or events outside of on-ice performance by the Dallas Stars, will not impact the value of the Stars Index.

The Stars Index has an initial standardized base value of 7,500 before the season and moves up or down based on officially reported statistics from each game, including real-time movement during regular season and postseason play. At the conclusion of the postseason, the Stars Index value resets to 7,500.

The Stars Index is maintained and calculated by FutureSports (the “Index Provider”). The Stars Index methodology is designed to align with the International Organization of Securities Commissions (“IOSCO”) Principles for Financial Benchmarks and supported by published governance, oversight and methodology change procedures. The NHL serves as the official data source for the Stars Index but does not participate in index determination or governance.

The Fund obtains exposure to the Stars Index by investments in futures contracts that reference the Stars Index and that trade on an exchange registered with the Commodity Futures Trading Commission (“Stars Index Futures Contracts”), and cash, cash-like instruments or high quality securities that serve as collateral to the Fund’s investments in Stars Index Futures Contracts (“Collateral Investments”).

Under normal circumstances, the Fund will invest at least 80% of the value of its net assets (plus borrowings for investment purposes) in Stars Index-Linked Instruments. For purposes of this policy, “Stars Index-Linked Instruments” means (i) Stars Index Futures Contracts; (ii) shares of other investment companies registered under the Investment Company Act of 1940 (the “1940 Act”) that invest in similar assets to those in which the Fund may invest (“Other Investment Companies”); (iii) exchange traded options on the Stars Index or shares of Other Investment Companies; and (iv) swap agreement transactions that reference Stars Index Futures Contracts, Other Investment Companies, or the Stars Index. Certain Stars Index-Linked Instruments, such as Other Investment Companies or options thereon, are currently unavailable for investment, though are expected to become available in the future.

The Fund expects to gain investment exposure to the Stars Index by investing a portion of its assets in a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands (the “Subsidiary”).

The Fund does not invest directly in prediction markets, event contracts or other instruments that provide exposure to individual sporting event or season-long outcomes or to investments that provide exposure to the financial performance of individual sports teams or leagues. Instead, the Fund seeks to benefit from increases in the price of Stars Index Futures Contracts.

The investment adviser to the Fund and the Subsidiary is Volatility Shares LLC (the “Adviser” or “Volatility Shares”). The Adviser oversees the Fund and implements the day-to-day portfolio management responsibilities for the Fund. In serving as investment adviser to the Fund, the Adviser does not conduct conventional investment research or analysis or forecast market movement or trends.

The Fund is classified as a “non-diversified company” under the 1940 Act. The Fund will not concentrate its investments in securities of issuers in any industry or group of industries, as the term “concentrate” is used in the 1940 Act, except that the Fund may invest more than 25% of its total assets in Stars Index-Linked Instruments.

The Dallas Stars

The Dallas Stars are a professional ice hockey team based in Dallas, Texas, competing in the Central Division of the NHL’s Western Conference. During the 2025–2026 season, the Stars finished second in the Central Division, ranking 3rd in standings points, 8th in goals for, 2nd in goals against, and 4th in goal differential. The Stars were founded in 1967 as the Minnesota North Stars. The Stars are currently owned by Tom Gaglardi, serving as Owner and Governor since 2011. The team has won one Stanley Cup championship, capturing the title in 1999. Neither the Fund, the Trust, nor the Adviser is affiliated with the Dallas Stars.

Stars Index Futures Contracts

The Fund intends to typically enter into cash-settled Stars Index Futures Contracts as the “buyer,” except as detailed below.

In simplest terms, in a cash-settled futures market the counterparty pays cash to the buyer if the price of a futures contract goes up, and buyer pays cash to the counterparty if the price of the futures contract goes down. In order to maintain its exposure to the Stars Index, the Fund intends to exit its futures contracts as they near expiration and replace them with new futures contracts with a later expiration date. Futures contracts with a longer term to expiration may be priced higher than futures contracts with a shorter term to expiration, a relationship called “contango”. When rolling futures contracts that are in contango the Fund will close its long position by selling the shorter-term contract at a relatively lower price and buying a longer-dated contract at a relatively higher price. The presence of contango will adversely affect the performance of the Fund. Conversely, futures contracts with a longer term to expiration may be priced lower than futures contracts with a shorter term to expiration, a relationship called “backwardation”. When rolling long futures contracts that are in backwardation, the Fund will close its long position by selling the shorter-term contract at a relatively higher price and buying a longer-dated contract at a relatively lower price. The presence of backwardation may positively affect the performance of the Fund. Further, the returns of the Stars Index Futures Contracts may differ from that of the Stars Index due to the divergence in prices or the costs associated with investing in futures contracts, which may negatively impact the Fund’s returns.

The Fund invests in Stars Index Futures Contracts indirectly via the Subsidiary. The Subsidiary and the Fund will have the same investment adviser and investment objective. The Subsidiary will also follow the same general investment policies and restrictions as the Fund. Except as noted herein, for purposes of this Prospectus, references to the Fund’s investment strategies and risks include those of the Subsidiary. The Fund complies with the provisions of the 1940 Act governing investment policies and capital structure and leverage on an aggregate basis with the Subsidiary. Furthermore, the Adviser, as the investment adviser to the Subsidiary, complies with the provisions of the 1940 Act relating to investment advisory contracts as it relates to its advisory agreement with the Subsidiary. The Subsidiary also complies with the provisions of the 1940 Act relating to affiliated transactions and custody. Because the Fund intends to qualify for treatment as a regulated investment company (a “RIC”) under the Internal Revenue Code of 1986 (the “Code”), the size of the Fund’s investment in the Subsidiary will not exceed 25% of the Fund’s total assets at or around each quarter end of the Fund’s fiscal year. In order to qualify as a RIC, the Fund will have to reduce its exposure to its Subsidiary on or around the end of each of the Fund’s fiscal quarter ends. The Fund expects to reduce its exposure to its Subsidiary during these periods by investing in certain other investments as described below. During these periods, the Fund may not achieve its investment objective. At other times of the year, the Fund’s investments in the Subsidiary will significantly exceed 25% of the Fund’s total assets. The Subsidiary’s custodian is U.S. Bank, N.A.

If circumstances occur where market prices for Stars Index Futures Contracts were not readily available, the Fund would fair value its Stars Index Futures Contracts in accordance with its pricing and valuation policy and procedures for fair value determinations. Pursuant to those policies and procedures, the Adviser would consider various factors, such as pricing history; market levels prior to price limits or halts; and supply, demand, and open interest in Stars Index Futures Contracts, among other factors. The Adviser would document its proposed pricing and methodology, detailing the factors that entered into the valuation.

Collateral Investments

The Fund will also invest its assets in Collateral Investments. The Collateral Investments may consist of high-quality securities, which include: (1) U.S. Government securities, such as bills, notes and bonds issued by the U.S. Treasury; (2) investment companies registered under the 1940 Act that invest in high-quality securities; and/or (3) corporate debt securities, such as commercial paper and other short-term unsecured promissory notes issued by businesses that are rated investment grade or determined by the Adviser to be of comparable quality. For these purposes, “investment grade” is defined as investments with a rating at the time of purchase in one of the four highest categories of at least one nationally recognized statistical rating organization (e.g., BBB- or higher from S&P Global Ratings or Baa3 or higher from Moody’s Investors Service, Inc.).

The Collateral Investments are designed to provide liquidity, serve as margin, or otherwise collateralize the Subsidiary’s investments in Stars Index-Linked Instruments. The Fund expects that it will primarily invest its assets, and that the Subsidiary will primarily invest its assets, in Collateral Investments that are “securities,” as such term is defined under the 1940 Act.

Other Investments

In order to help the Fund maintain exposure to the Stars Index, maintain its tax status as a RIC on days in and around quarter-end, help the Fund maintain its desired exposure to Stars Index Futures Contracts when it is approaching or has exceeded position limits or accountability levels, or because of liquidity or other constraints, the Fund may invest in the following:

Reverse Repurchase Agreements

The Fund may invest in reverse repurchase agreements which are a form of borrowing in which the Fund sells portfolio securities to financial institutions and agrees to repurchase them at a mutually agreed-upon date and price that is higher than the original sale price, and use the proceeds for investment purchases. 

As a result of the Fund repurchasing the securities at a higher price, the Fund will lose money by engaging in reverse repurchase agreement transactions.

As noted above, because the Fund intends to qualify for treatment as a RIC under the Code, the size of the Fund’s investment in the Subsidiary will not exceed 25% of the Fund’s total assets at or around each quarter end of the Fund’s fiscal year (the “Asset Diversification Test”). At other times of the year, the Fund’s investments in the Subsidiary will significantly exceed 25% of the Fund’s total (or gross) assets.

When the Fund seeks to reduce its total assets exposure to the Subsidiary, it may use the short-term Treasury Bills it owns (and purchase additional Treasury Bills as needed) to transact in reverse repurchase agreement transactions, which are ostensibly loans to the Fund. Those loans will increase the gross assets of the Fund, which the Adviser expects will allow the Fund to meet the Asset Diversification Test. When the Fund enters into a reverse repurchase agreement, it will either (i) be consistent with Section 18 of the 1940 Act and maintain asset coverage of at least 300% of the value of the reverse repurchase agreement; or (ii) treat the reverse repurchase agreement transactions as derivative transactions for purposes of Rule 18f-4 under the 1940 Act (“Rule 18f-4”), including as applicable, the value-at-risk based limit on leverage risk.

Other Investment Companies

The Fund may invest in shares of Other Investment Companies, that is, shares of investment companies registered under the 1940 Act that invest in similar assets to those in which the Fund may invest.

Exchange-traded option contracts on shares of Other Investment Companies.

The Fund may invest in exchange-listed option contracts on shares of Other Investment Companies, which invest in similar assets to those in which the Fund may invest. An option is a contract that gives the purchaser of the option, in return for the premium paid, the right to buy shares of an investment company, from the writer of the option (in the case of a call option), or to sell shares of the investment company to the writer of the option (in the case of a put option) at a designated price during the term of the option. The premium paid by the buyer of an option will reflect, among other things, the relationship of the exercise price to the market price and the volatility of the shares of the investment company, the remaining term of the option, supply, demand, interest rates and/or currency exchange rates. The Fund may utilize “American” style options or “European” style options. American style options are exercisable on any date prior to the expiration date of the option contract. In contrast, European style options are exercisable only on the expiration date of the option contract.

Swaps that reference Stars Index Futures Contracts, Other Investment Companies, or the Stars Index.

Swap contracts are transactions entered into primarily with major global financial institutions for a specified period ranging from a day to more than one year. In a swap transaction, the Fund and a counterparty will agree to exchange or “swap” payments based on the change in value of an underlying asset or benchmark. For example, the two parties may agree to exchange the return (or differentials in rates of returns) earned or realized on a particular investment or instrument. In the case of the Fund, the reference asset can be Stars Index Futures Contracts, Other Investment Companies or the Stars Index.

Principal Risks

As with all investments, there are certain risks of investing in the Fund. Shares will change in value, and you could lose money by investing in the Fund. The Fund may not achieve its investment objective. An investment in the Fund does not represent a complete investment program. An investment in the Fund is not a bank deposit and it is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency, the Adviser or any of their affiliates. You should consider carefully the following risks before investing in the Fund.

Each risk noted below is considered a principal risk of investing in the Fund, regardless of the order in which it appears. The significance of each risk factor below may change over time and you should review each risk factor carefully.

Risks Specific to the Fund’s Investments

Investment Strategy Risk. The Fund, through the Subsidiary, invests primarily in Stars Index Futures Contracts. The Fund does not invest directly in prediction markets, event contracts or other instruments that provide exposure to individual sporting event or season-long outcomes or to investments that provide exposure to the financial performance of individual sports teams or leagues. Instead, the Fund seeks to benefit from increases in the price of Stars Index Futures Contracts. The price of Stars Index Futures Contracts may not be an accurate measure of the Stars Index. Consequently, the Fund may perform differently from the performance of the Stars Index. There can be no guarantee that the performance of Stars Index Futures Contracts will be highly correlated to the performance of the Stars Index. Transaction costs (including the costs associated with futures investing), position limits, the availability of counterparties and other factors may impact the cost and pricing of Stars Index Futures Contracts and decrease the correlation between the performance of Stars Index Futures Contracts and the Stars Index, over short- or long-term periods. In addition, the performance of back-month Stars Index Futures Contracts is likely to differ more significantly from the performance of the Stars Index. To the extent the Fund is invested in back-month Stars Index Futures Contracts, the performance of the Fund should be expected to deviate more significantly from the performance of the Stars Index. Moreover, because the Stars Index is uninvestable, the Fund can only gain exposure through futures contracts and other derivatives, and differences between the prices of those instruments and the levels of the Stars Index may result in the Fund experiencing larger losses or smaller gains than would be implied by changes in the Stars Index alone.

Sports Performance Risk. The Fund’s investment strategy is inherently speculative. The value of Stars Index Futures Contracts is derived from the statistical performance of a single professional sports team as measured by the Stars Index. Successfully investing in Stars Index Futures Contracts requires that the team tracked by the index performs well statistically over the course of a season, an outcome that is inherently uncertain and subject to numerous unpredictable variables, including player health, competitive dynamics, coaching decisions, and random variation in athletic performance. The Stars Index may decline in value, and there can be no assurance that the team tracked by the index will perform at or above the levels implied by the prices of Stars Index Futures Contracts at the time the Fund obtains exposure.

On-Ice Performance and Competitive Results Risk. The Fund’s investment performance is linked to the on-ice statistical performance of a single NHL team during the regular season and, if applicable, the playoffs. The prices of Stars Index Futures Contracts are expected to rise when the team performs well statistically and to fall when the team performs poorly. Competitive results in professional hockey are inherently unpredictable and can be influenced by factors entirely outside the team’s control, including the performance of opposing teams, referee calls, random puck bounces, weather affecting travel, and in-game injuries. A team may enter a season with high expectations based on roster strength, coaching hires, or offseason acquisitions, only to underperform due to chemistry issues, unexpected injuries to key players, player slumps, or tactical mismatches against divisional opponents. The NHL season extends over several months and includes 82 regular season games per team, during which even a strong team may experience prolonged losing streaks that cause material declines in the Stars Index. If the team fails to make the playoffs, the Fund will not benefit from any potential uplift in index value that could accompany postseason success. Conversely, early playoff elimination could cause sharp declines in futures prices if the market had priced in deeper postseason performance. Because the Fund is concentrated in a single NHL team, there is no opportunity to offset poor on-ice performance by gaining exposure to a stronger team or a different sport.

Stars Index Investing Risk. The Fund is indirectly exposed to the risks of the Stars Index through its investments in Stars Index Futures Contracts and other Stars Index-Linked Instruments. The Fund does not invest in the Stars Index, which is an uninvestable index. The performance of the Stars Index will be very different from a portfolio of Stars Index Futures Contracts.

The Stars Index moves up or down based on officially reported statistics from every game, match, or event throughout the regular season and postseason. Positive statistical actions (e.g., goals scored, points earned) add value to the index, while negative actions (e.g., opponent scoring, penalties or setbacks) subtract value. Poor statistical performance by the Dallas Stars could have a significant negative impact on the level of the Stars Index and therefore the value of the Fund. In addition, unlike instruments that are based on tradable reference assets, the Stars Index Futures Contracts and Stars Index-Linked Instruments are tied to an index that is not directly investable and, thus, have settlement prices based on the calculation of that index, not the price of a tradable asset.

Concentrated Single-Team Exposure Risk. The Fund’s investment strategy results in concentrated exposure to a single professional sports team’s statistical performance (i.e., the Dallas Stars) as measured by an index. Unlike diversified funds that spread risk across multiple asset classes, sectors, or issuers, the Fund’s performance is primarily driven by the statistical output of one team over the course of a season. As a result, the Fund is more susceptible to risks affecting that team, including player injuries, suspensions, trades, retirements, coaching changes, front-office turnover, league sanctions, labor disputes, lockouts, or other events that directly or indirectly influence the team’s on-ice statistical performance. This degree of concentration will likely increase volatility in the Fund’s NAV, heighten the likelihood of significant losses over short periods, and cause the Fund’s returns to diverge substantially from those of more diversified investments. Additionally, because the Fund is concentrated in a single team, it is inherently concentrated in a single professional sports league. This subjects the Fund to league-specific risks, including league-wide labor disputes, broad scandal, changes to the structure or rules of the league, or events that cause the cancellation or suspension of games. The Fund has no ability to rotate exposure into a different team, sport, or league in response to adverse developments affecting the team to which it has exposure.

Insider Trading and Information Asymmetry Risk. Unlike securities markets, which are governed by well-established insider trading prohibitions under the Securities Exchange Act of 1934, the legal framework governing trading on the basis of material, non-public information in the context of commodity futures is less developed. While the CFTC has broad anti-manipulation and anti-fraud authority under the Commodity Exchange Act (“CEA”), specific rules and judicial precedent addressing what constitutes improper trading on non-public information in the context of sports-linked futures remain nascent. Certain individuals may possess material, non-public information that could affect the statistical performance of the Stars Index and, consequently, the prices of Stars Index Futures Contracts. Such individuals may include, without limitation, team coaches, players, trainers, team medical staff, front office personnel, referees, officials, league personnel, or sports data providers. For example, undisclosed injuries to key players or undisclosed lineup changes could materially affect the level of the Stars Index. Such persons could trade Stars Index Futures Contracts or Fund Shares to profit from their informational advantage prior to public disclosure. There is no guarantee that exchanges, the CME, or the CFTC will successfully detect and prevent such trading, and the Fund has no means of preventing such individuals from purchasing or selling Fund Shares. The participation of informed insiders in the market for Stars Index Futures Contracts can create adverse selection for other market participants and distort market prices. Because the Fund is concentrated in a single team, the impact of insider trading on the Fund may be more pronounced than in markets with broader diversification.

League Credibility and Sports Integrity Risk. The Stars Index is calculated based on official league statistics derived from the games of a single professional sports team, and the integrity of those games is fundamental to the reliability of the index. Efforts to interfere with the team’s games, including match-fixing, point-shaving, or referee manipulation, could materially affect the statistical data upon which the Stars Index is based, create significant uncertainty regarding index levels, and cause pronounced price volatility in Stars Index Futures Contracts. Confirmed or suspected game interference may also prompt legislative or regulatory responses, including restrictions on sports-linked financial products or emergency rulemaking by the CFTC, that could restrict the listing or trading of Stars Index Futures Contracts. Even widely publicized allegations of interference, absent actual misconduct, could undermine market confidence in the Stars Index and the futures contracts that reference it.

Gaming and State Regulatory Litigation Risk. Exchanges that list sports-linked financial instruments, including Stars Index Futures Contracts, may be subject to legal challenges brought by state attorneys general, state gaming commissions, and other state-level actors asserting that such instruments constitute regulated gambling or gaming activity under state law, notwithstanding that such contracts are listed on a CFTC-regulated exchange. Such proceedings may assert that the listing of sports-linked contracts violates state gaming statutes, requires state gaming or sports wagering licenses, or constitutes an illegal gambling enterprise. These exchanges, and the CFTC in certain court filings, have asserted that the CEA and the CFTC’s exclusive jurisdiction over CFTC-regulated exchanges preempts state gaming regulations. There is no assurance that federal courts will rule in favor of federal preemption, and resolution may require years of litigation and potentially appellate review. An adverse ruling could result in the suspension or cessation of trading in Stars Index Futures Contracts, material operational restrictions, significant financial penalties, or the effective loss of the ability to list sports-linked futures. Any of these outcomes could materially and adversely affect the Fund’s ability to achieve its investment objective and could result in significant losses.

Platform and Distribution Restriction Risk. Broker-dealers, registered investment adviser platforms, wirehouses, and other financial intermediaries may refuse to list, recommend, or permit purchases of Fund Shares through their platforms due to the Fund’s association with sports performance outcomes and the perception that such products are akin to sports wagering, regardless of the Fund’s legal status as a registered investment company under the 1940 Act. Certain intermediaries may permit only unsolicited purchases, prohibit financial advisers from recommending the Fund, or exclude the Fund from model portfolios entirely. These restrictions could limit the Fund’s accessible investor base, constrain assets under management, reduce secondary market liquidity, widen bid-ask spreads, and increase the likelihood that Fund Shares will trade at significant premiums or discounts to net asset value. Even if an intermediary initially permits distribution, it may subsequently restrict access in response to adverse regulatory developments, reputational concerns, or changes in compliance policies. If a significant number of intermediaries refuse to distribute Fund Shares, the Fund may be unable to achieve sufficient scale, which could increase the Fund’s expense ratio, reduce trading volume, and impair the Fund’s ability to operate effectively.

Novel Market Risk. Stars Index Futures Contracts are a novel asset class with limited trading history. The market may not develop the depth, liquidity, or trading efficiency associated with more established futures markets, and its pricing may be influenced by factors unrelated to fundamental assessments of team performance, including speculative activity, behavioral biases, regulatory headlines, or concentrated participation by a limited number of traders. There is limited historical data on which to base expectations regarding future price behavior, volatility patterns, or the costs associated with maintaining exposure, and traditional risk metrics may not accurately capture the risks of investing in this market. There can be no assurance that the market for Stars Index Futures Contracts will achieve or sustain the level of participation, liquidity, and price discovery necessary for the Fund to effectively pursue its investment objective.

Limited Price Discovery and Market Depth Risk. Because Stars Index Futures Contracts are a newly created instrument class, the market may lack the depth, breadth, and participation necessary for reliable price discovery. Traditional commodity futures markets benefit from decades of participation by commercial hedgers, speculators, and arbitrageurs whose activities contribute to efficient pricing. The market for Stars Index Futures Contracts is expected to have few, if any, natural commercial hedgers, and may be dominated by retail speculators, algorithmic traders, or a small number of institutional participants. This concentrated participation could result in prices that do not accurately reflect fair value, wider bid-ask spreads, and elevated intraday price volatility. In thin markets, even modest order flow from the Fund could move prices against the Fund, increasing transaction costs and reducing returns. There can be no assurance that the market for Stars Index Futures Contracts will develop sufficient liquidity over time, and the Fund may be unable to establish or exit positions at prices the Fund considers favorable.

Seasonality and Offseason Risk. The Stars Index resets to a standardized base value prior to the start of each sports season and has a defined life cycle that ends following the postseason. Because the Fund tracks a single team in a single sport, the Fund is tied to that sport’s competitive calendar and has no ability to diversify across sports or rotate into a sport that is in-season when the team’s sport is not. During the playing season, the Stars Index moves in real-time based on officially reported game statistics, and the prices of Stars Index Futures Contracts are expected to reflect both the current index level and market expectations regarding future team performance. During the offseason, however, the Stars Index will not move because no games are being played, and the Fund’s exposure to Stars Index Futures Contracts will behave differently than during the playing season. The Fund anticipates maintaining exposure to Stars Index Futures Contracts during the offseason. Although the underlying index will be static during this period, the prices of Stars Index Futures Contracts may still fluctuate based on market expectations regarding the team’s prospects for the upcoming season, including coaching changes, player trades, draft picks, free agent signings, injury recovery timelines, training camp developments, and other factors that affect the market’s assessment of the team’s likely statistical performance. However, because the index itself is not moving during the offseason, the magnitude of futures price movements may be reduced relative to the playing season, and the relationship between futures prices and the underlying index level may be less predictable. There can be no assurance that the Fund’s offseason futures holdings will appreciate in value, and the Fund may experience losses during the offseason if market sentiment regarding the team’s upcoming season deteriorates. In addition, there can be no assurance that Stars Index Futures Contracts will be available in sufficient volume or at favorable pricing during the offseason or at the start of a new season.

League Discontinuation, Lockout, or Strike Risk. The Fund’s ability to invest in Stars Index Futures Contracts depends on the continued operation of the NHL and the playing of scheduled games. Labor disputes between the NHL and its players’ union could result in a lockout or strike that suspends or cancels all or a significant portion of a season. The NHL has previously experienced work stoppages, including a full-season cancellation in 2004-2005. During any such period, no games would be played, the Stars Index would not generate data, and trading in Stars Index Futures Contracts could be suspended or severely impaired. The Fund would be unable to pursue its investment strategy during such a period, may be forced to liquidate positions at disadvantageous prices, and could experience substantial losses. Even after a labor dispute is resolved, the shortened or restructured season could materially change the statistical patterns underlying the index methodology. In addition, force majeure events such as a pandemic, natural disaster, or other circumstances beyond the control of the league could cause widespread game cancellations or delays. There can be no assurance that the league will not experience a work stoppage or other extended interruption during the Fund’s investment period, or that the Fund will be able to recover any losses incurred as a result of such events.

Index Provider and Data Dependency Risk. The Stars Index is maintained and calculated by a single Index Provider, FutureSports. If the Index Provider were to experience operational failures, cease operations, lose its data feed from the applicable sports league, experience a cybersecurity breach, or otherwise become unable to calculate the Stars Index, Stars Index Futures Contracts may have no reliable reference value, which could materially and adversely affect the value of the Fund. In addition, the Stars Index is calculated solely on the basis of officially reported statistics from a single sports league. The league serves as the data source but does not participate in index determination or governance. If the league were to report incorrect statistics, issue post-game corrections, change how it reports or categorizes statistics, delay reporting, or discontinue the provision of data to the Index Provider, the settlement prices of Stars Index Futures Contracts could be based on erroneous or incomplete data. Furthermore, the Index Provider controls the methodology by which official statistics are translated into index points. If the Index Provider amends or discontinues its methodology, the behavior of the Stars Index could change materially and the futures market may not immediately price in such changes. The Stars Index is calculated in real-time while games are being played, which introduces latency, data-feed, and computational risks that differ from those associated with traditional financial indexes.

Trading Hours and Sporting Event Timing Risk. NHL games may occur during evening hours, on weekends, and on holidays when the Exchange is closed and when the market for Stars Index Futures Contracts may have limited or no trading activity. Because the Stars Index moves in real-time while games are being played, material index movements may occur during periods when investors are unable to buy or sell Shares or when Stars Index Futures Contracts are not actively trading. As a result, the opening price of Shares and the prices of Stars Index Futures Contracts on the next trading session may differ significantly from the prior session’s closing prices, potentially resulting in large gaps at the open. Shareholders may not be able to sell their Shares until after such a gap has been fully realized, resulting in an inability to mitigate losses in a declining market.

Futures Contracts Risk. Risks of futures contracts include: (i) an imperfect correlation between the value of the futures contract and the underlying asset; (ii) possible lack of a liquid secondary market; (iii) the inability to close a futures contract when desired; (iv) losses caused by unanticipated market movements, which may be unlimited; (v) an obligation for the Fund to make daily cash payments to maintain its required margin, particularly at times when the Fund may have insufficient cash; and (vi) unfavorable execution prices from rapid selling. Unlike equities, which typically entitle the holder to a continuing stake in a corporation, futures contracts normally specify a certain date for settlement in cash based on the reference asset. As the futures contracts approach expiration, they may be replaced by similar contracts that have a later expiration. This process is referred to as “rolling.” If the market for these contracts is in “contango,” meaning that the prices of futures contracts in the nearer months are lower than the price of contracts in the distant months, the sale of the near-term month contract would be at a lower price than the longer-term contract, resulting in a cost to “roll” the futures contract. The actual realization of a potential roll cost will be dependent upon the difference in price of the near and distant contract. Because the margin requirement for futures contracts is less than the value of the assets underlying the futures contract, futures trading involves a degree of leverage. As a result, a relatively small price movement in a futures contract may result in immediate and substantial loss, as well as gain, to the investor. For example, if at the time of purchase, 40% of the value of the futures contract is deposited as margin, a subsequent 20% decrease in the value of the futures contract would result in a loss of half of the margin deposit, before any deduction for the transaction costs, if the account were then closed out. A decrease in excess of 40% would result in a loss exceeding the original margin deposit, if the futures contract were closed out. Thus, a purchase or sale of a futures contract may result in losses in excess of the amount initially invested in the futures contract. However, the Fund would presumably have sustained comparable losses if, instead of investing in the futures contract, it had invested in the underlying financial instrument and sold it after the decline. Further, if the market for Stars Index Futures Contracts is in a period of contango, if the performance of the Stars Index and the price of Stars Index Futures Contracts were to decline, the Fund would experience the negative impact of contango. The impact of backwardation or contango may lead to the returns of the Fund to vary significantly from the total return of other price references. Additionally, in the event of a prolonged period of contango, and absent the impact of rising or falling pricing in the Stars Index, this could have a significant negative impact on the Fund’s NAV and total return.

Position Limits and Price Limits

The CFTC and various exchanges on which Stars Index Futures Contracts trade have established position limits and price limits for Stars Index Futures Contracts. Position limit regulation and price limit regulation serve distinct purposes and are regulated differently.

Position limits are designed to prevent excessive speculation that could cause sudden or unreasonable fluctuations in the price of a commodity. They limit the maximum number of contracts a person or entity can hold in a particular commodity.

Price limits are mechanisms to maintain orderly markets by restricting the price range within which futures contracts can trade during a trading session. They prevent extreme price movements that could disrupt market stability. Price limits are typically set as a percentage of the previous day's settlement price. When price limits are hit, trading may be halted or expanded depending on the product and regulatory rules. Unlike position limits, price limits do not restrict the number of contracts a trader can hold but rather the price at which those contracts can be traded. When a price limit is hit, the market for Stars Index Futures Contracts may temporarily halt until price limits can be expanded or trading may be stopped for the day.

If the Fund is unable to buy or sell Stars Index Futures Contracts as a result of position limits being hit or price limits that result in a halted or closed market—or for other reasons including limited liquidity in the market for Stars Index Futures Contracts, a disruption to the market for Stars Index Futures Contracts, or as a result of margin requirements, accountability levels, or other limitations imposed by the Fund’s futures commission merchants (“FCMs”), the listing exchanges, or the CFTC—the Adviser would take such action as it believes appropriate and in the best interest of the Fund in consideration of the facts and circumstances at such time, including: (i) investing in Stars Index-Linked Instruments that are not Stars Index Futures Contracts; (ii) requiring that authorized participants purchase and redeem in large blocks of shares called “Creation Units” through an exchange for related position (EFRP) method rather than in cash; (iii) applying increased authorized participant variable transaction fees for purchases or redemptions of Creation Units made in cash; or (iv) de-levering the Fund, relative to its investment objective, by an amount reflecting prevailing price limits. In addition, the Fund generally may suspend the issuance of Creation Units only for a limited time and only due to extraordinary circumstances, such as when the markets on which the ETF’s portfolio holdings are traded are closed for a limited period of time; that is to say, when the Fund is unable to increase its exposure to underlying assets.

Cost of Futures Investment Risk. When a Stars Index Futures Contract is nearing expiration, the Fund will generally sell it and use the proceeds to buy a Stars Index Futures Contract with a later expiration date. This is commonly referred to as “rolling”.

If the Fund rolls Stars Index Futures Contracts that are in contango, the Fund would sell a lower priced, expiring contract and purchase a higher priced, longer-dated contract. The price difference between the expiring contract and longer-dated contract associated with rolling Stars Index Futures Contracts is typically substantially higher than the price difference associated with rolling other futures contracts. Contango in the market for Stars Index Futures Contracts may have a significant adverse impact on the performance of the Fund and may cause Stars Index Futures Contracts and the Fund to underperform the Stars Index. Both contango and backwardation would reduce the Fund’s correlation to the Stars Index and may limit or prevent the Fund from achieving its investment objective. The impact of both contango and backwardation may also be greater to the extent the Fund invests in back-month Stars Index Futures Contracts. 

Investment Capacity Risk. If the Fund’s ability to obtain exposure to Stars Index Futures Contracts consistent with its investment objective is disrupted for any reason, including but not limited to, limited liquidity in the market for Stars Index Futures Contracts, a disruption to the market for Stars Index Futures Contracts, or as a result of margin requirements or position limits imposed by the Fund’s FCMs, the CME, or the CFTC, and the Fund could not otherwise meet its investment objective through the use of other investments discussed above, the Fund would not be able to achieve its investment objective and may experience significant losses.

Liquidity Risk. The market for the Stars Index Futures Contracts may be subject to periods of illiquidity. During such times it may be difficult or impossible to buy or sell a position at the desired price. Market disruptions or volatility can also make it difficult to find a counterparty willing to transact at a reasonable price and sufficient size. Illiquid markets may cause losses, which could be significant. Large positions also increase the risk of illiquidity, which may make the Fund’s positions more difficult to liquidate, and increase the losses incurred while trying to do so.

Derivatives Risk. In addition to Stars Index Futures Contracts, the Fund may obtain exposure through the following other derivatives: (1) exchange traded options on Other Investment Companies and/or (2) swap agreement transactions that reference Stars Index Futures Contracts, Other Investment Companies, or the Stars Index.

Investing in derivatives may be considered aggressive and may expose the Fund to risks different from, or possibly greater than, the risks associated with investing directly in the reference asset(s) underlying the derivative (e.g., the securities or commodities contained in the Fund). The use of derivatives may result in larger losses or smaller gains than directly investing in securities or commodities. The risks of using derivatives include: (1) the risk that there may be imperfect correlation between the price of the financial instruments and movements in the prices of the reference asset(s); (2) the risk that an instrument is mispriced; (3) credit or counterparty risk on the amount a Fund expects to receive from a counterparty; (4) the risk that securities prices, interest rates and currency markets will move adversely and a Fund will incur significant losses; (5) the risk that the cost of holding a financial instrument might exceed its total return; and (6) the possible absence of a liquid secondary market for a particular instrument and possible exchange imposed price fluctuation limits, either of which may make it difficult or impossible to adjust a Fund’s position in a particular instrument when desired. Each of these factors may prevent a Fund from achieving its investment objective and may increase the volatility (i.e., fluctuations) of the Fund’s returns. Because derivatives often require limited initial investment, the use of derivatives also may expose a Fund to losses in excess of those amounts initially invested.

The performance of any Stars Index-Linked Instrument may not track the performance of its underlying benchmark due to embedded costs and other factors. Thus, to the extent the Fund invests in swaps that use a Stars Index-Linked Instrument as the reference asset, the Fund may be subject to greater correlation risk and may not achieve as high a degree of correlation with its investment objective than if the Fund only used Stars Index Futures Contracts.

Swap Agreements Risk. The Fund may enter into cash-settled swaps and other derivatives to gain exposure to an underlying asset without actually purchasing such asset. Swaps are two-party contracts entered into primarily by institutional investors for periods ranging from a day to more than one year. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on a particular pre-determined interest rate, commodity, security, indexes, or other assets or measurable indicators. The primary risks associated with the use of swaps are mispricing or improper valuation, imperfect correlation between movements in the notional amount and the price of the underlying investments, and the failure of a counterparty to perform. If a counterparty’s creditworthiness for an over-the-counter swap declines, the value of the swap would likely decline. Moreover, there is no guarantee that the Fund could eliminate its exposure under an outstanding swap by entering into an offsetting swap with the same or another party. In addition, the Fund may use a combination of swaps on an underlying index.

Options Risk. The Fund may purchase exchange-traded options that reference shares of Other Investment Companies. Transactions in options generally require less capital than equivalent stock transactions. They may return smaller dollar figures but a potentially greater percentage of the investment than equivalent stock transactions. The potential profit is limited to the premium received for the contract. The potential loss can be unlimited. While leverage means the percentage returns can be significant, the amount of cash required is smaller than equivalent stock transactions. It is possible to lose the entire principal invested, and sometimes more. As an options holder, a Fund risks the entire amount of the premium it pays. But as an options writer, it takes on a much higher level of risk. For example, if the Fund writes an uncovered call, it faces unlimited potential loss, since there is no cap on how high a stock price can rise. When buying options, a Fund risks losing the premium paid, plus commissions and fees.

Reverse Repurchase Agreements Risk. The Fund may invest in reverse repurchase agreements. Reverse repurchase agreements are transactions in which the Fund sells portfolio securities to financial institutions such as banks and broker-dealers, and agrees to repurchase them at a mutually agreed-upon date and price which is higher than the original sale price. Reverse repurchase agreements are a form of leverage and the use of reverse repurchase agreements by the Fund may increase the Fund’s volatility. The Fund incurs costs, including interest expenses, in connection with the opening and closing of reverse repurchase agreements that will be borne by the shareholders.

Reverse repurchase agreements are also subject to the risk that the other party to the reverse repurchase agreement will be unable or unwilling to complete the transaction as scheduled, which may result in losses to the Fund. In situations where the Fund is required to post collateral with a counterparty, the counterparty may fail to segregate the collateral or may commingle the collateral with the counterparty’s own assets. As a result, in the event of the counterparty’s bankruptcy or insolvency, the Fund’s collateral may be subject to the conflicting claims of the counterparty’s creditors, and the Fund may be exposed to the risk of a court treating the Fund as a general unsecured creditor of the counterparty, rather than as the owner of the collateral. There can be no assurance that a counterparty will not default and that the Fund will not sustain a loss on a transaction as a result.

Reverse repurchase agreements also involve the risk that the market value of the securities sold by the Fund may decline below the price at which it is obligated to repurchase the securities. In addition, when the Fund invests the proceeds it receives in a reverse repurchase transaction, there is a risk that those investments may decline in value. In this circumstance, the Fund could be required to sell other investments in order to meet its obligations to repurchase the securities.

Risks Related to Investing in Other Investment Companies. The Fund may invest in long or short positions in Other Investment Companies (i.e., investment companies registered under the 1940 Act that invest in similar assets to those in which the Fund may invest). Investing in Other Investment Companies may involve duplication of advisory or management fees and certain other expenses. By investing in Other Investment Companies, the Fund becomes a shareholder of that Other Investment Company. As a result, Fund shareholders indirectly bear the Fund’s proportionate share of the fees and expenses paid by shareholders of the Other Investment Company, in addition to the fees and expenses Fund shareholders bear in connection with the Fund’s own operations. As a shareholder, the Fund must rely on the Other Investment Company to achieve its investment objective. The Fund’s performance may be magnified positively or negatively by virtue of its investment in the Other Investment Company. If the Other Investment Company fails to achieve its investment objective, the value of the Fund’s investment could decline, thus affecting the Fund’s performance. In addition, because certain Other Investment Company shares are listed on national stock exchanges and are traded like stocks on an exchange, their shares potentially may trade at a discount or a premium. Investments in such shares may be subject to brokerage and other trading costs, which could result in greater expenses to the Fund. Finally, because the value of certain Other Investment Company shares may depend on the demand in the market, the Adviser may not be able to liquidate the Fund’s holdings in those shares at the most optimal time, adversely affecting the Fund’s performance.

Collateral Investments Risk. The Fund’s use of Collateral Investments may include obligations issued or guaranteed by the U.S. Government, its agencies and instrumentalities, including bills, notes and bonds issued by the U.S. Treasury, investment companies registered under the 1940 Act that invest in high-quality securities and corporate debt securities, such as commercial paper.

Some securities issued or guaranteed by federal agencies and U.S. Government-sponsored instrumentalities may not be backed by the full faith and credit of the United States, in which case the investor must look principally to the agency or instrumentality issuing or guaranteeing the security for ultimate repayment, and may not be able to assert a claim against the United States itself in the event that the agency or instrumentality does not meet its commitment. The U.S. Government, its agencies and instrumentalities do not guarantee the market value of their securities, and consequently, the value of such securities may fluctuate. Although the Fund may hold securities that carry U.S. Government guarantees, these guarantees do not extend to the Shares.

Investment companies that invest in high-quality securities are subject to management fees and other expenses. Therefore, investments in these funds will cause the Fund to bear indirectly a proportional share of the fees and costs of the funds in which it invests. At the same time, the Fund will continue to pay its own management fees and expenses with respect to all of its assets, including any portion invested in the shares of such fund. It is possible to lose money by investing in investment companies that invest in high-quality securities.

Corporate debt securities such as commercial paper generally are short-term unsecured promissory notes issued by businesses. Corporate debt may carry variable or floating rates of interest. Corporate debt securities carry both credit risk and interest rate risk. Credit risk is the risk that the Fund could lose money if the issuer of a corporate debt security is unable to pay interest or repay principal when it is due.

Asset Concentration Risk. Since the Fund may take concentrated positions in Stars Index Futures Contracts, the Fund’s performance may be hurt disproportionately and significantly by the poor performance of those positions to which it has significant exposure. Asset concentration makes the Fund more susceptible to any single occurrence affecting the underlying positions and may subject the Fund to greater market risk than more diversified funds.

Counterparty Risk. The Fund will be subject to credit risk (i.e., the risk that a counterparty is unwilling or unable to make timely payments or otherwise meet its contractual obligations) with respect to the amount the Fund expects to receive from counterparties to: Stars Index Futures Contracts; reverse repurchase agreements; swaps on Stars Index Futures Contracts, Other Investment Companies, or the Stars Index.

The Fund may be negatively impacted if a counterparty becomes bankrupt or otherwise fails to perform its obligations under such an agreement. The Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding and the Fund may obtain only limited recovery or may obtain no recovery in such circumstances. In order to attempt to mitigate potential counterparty credit risk, the Fund typically enters into transactions with major financial institutions.

The counterparty to an exchange-traded futures contract is subject to the credit risk of the clearing house and the FCM through which it holds its position. Specifically, the FCM or the clearing house could fail to perform its obligations, causing significant losses to the Fund. For example, the Fund could lose margin payments it has deposited with an FCM as well as any gains owed but not paid to the Fund, if the FCM or clearing house becomes insolvent or otherwise fails to perform its obligations. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. Under current CFTC regulations, a FCM maintains customers’ assets in a bulk segregated account. If a FCM fails to do so, or is unable to satisfy a substantial deficit in a customer account, its other customers may be subject to risk of loss of their funds in the event of that FCM’s bankruptcy. In that event, in the case of futures, the FCM’s customers are entitled to recover, even in respect of property specifically traceable to them, only a proportional share of all property available for distribution to all of that FCM’s customers. In addition, if the FCM does not comply with the applicable regulations, or in the event of a fraud or misappropriation of customer assets by the FCM, the Fund could have only an unsecured creditor claim in an insolvency of the FCM with respect to the margin held by the FCM. FCMs are also required to transfer to the clearing house the amount of margin required by the clearing house, which amount is generally held in an omnibus account at the clearing house for all customers of the FCM. In addition, the Fund may enter into futures contracts and repurchase agreements with a limited number of counterparties, which may increase the Fund’s exposure to counterparty credit risk. The Fund does not specifically limit its counterparty risk with respect to any single counterparty.

Further, there is a risk that no suitable counterparties are willing to enter into reverse repurchase agreements with the Fund, or continue to enter into, reverse repurchase agreement transactions with the Fund and, as a result, the Fund may not be able to achieve its investment objective. There is also the risk that the Fund may not be able to engage in reverse repurchase agreement transactions because suitable counterparties refuse to enter into transactions with the Fund. Contractual provisions and applicable law may prevent or delay the Fund from exercising its rights to terminate an investment or transaction with a financial institution experiencing financial difficulties, or to realize on collateral, and another institution may be substituted for that financial institution without the consent of the Fund. If the credit rating of a counterparty to a futures contract and/or repurchase agreement declines, the Fund may nonetheless choose or be required to keep existing transactions in place with the counterparty, in which event the Fund would be subject to any increased credit risk associated with those transactions. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the possibility exists that the Fund’s ability to exercise remedies, such as the termination of transactions, netting of obligations and realization on collateral, could be stayed or eliminated under special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide government authorities with broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, the regulatory authorities could reduce, eliminate, or convert to equity the liabilities to the Fund of a counterparty who is subject to such proceedings in the European Union (sometimes referred to as a “bail in”).

Credit Risk. An issuer or other obligated party of a debt security may be unable or unwilling to make dividend, interest and/or principal payments when due. In addition, the value of a debt security may decline because of concerns about the issuer’s ability or unwillingness to make such payments.

Debt Securities Risk. Investments in debt securities subject the holder to the credit risk of the issuer. Credit risk refers to the possibility that the issuer or other obligor of a security will not be able or willing to make payments of interest and principal when due. Generally, the value of debt securities will change inversely with changes in interest rates. To the extent that interest rates rise, certain underlying obligations may be paid off substantially slower than originally anticipated and the value of those securities may fall sharply. During periods of falling interest rates, the income received by the Fund may decline. If the principal on a debt security is prepaid before expected, the prepayments of principal may have to be reinvested in obligations paying interest at lower rates. Debt securities generally do not trade on a securities exchange making them generally less liquid and more difficult to value than common stock.

Interest Rate Risk. Interest rate risk is the risk that the value of the debt securities in the Fund’s portfolio will decline because of rising market interest rates. Interest rate risk is generally lower for shorter term debt securities and higher for longer-term debt securities. Duration is a reasonably accurate measure of a debt security’s price sensitivity to changes in interest rates and a common measure of interest rate risk. Duration measures a debt security’s expected life on a present value basis, taking into account the debt security’s yield, interest payments and final maturity. In general, duration represents the expected percentage change in the value of a security for an immediate 1% change in interest rates. For example, the price of a debt security with a three-year duration would be expected to drop by approximately 3% in response to a 1% increase in interest rates. Therefore, prices of debt securities with shorter durations tend to be less sensitive to interest rate changes than debt securities with longer durations. As the value of a debt security changes over time, so will its duration.

Clearing Broker Risk. The Fund’s investments in exchange-traded futures contracts expose it to the risks of a clearing broker (or a FCM). Under current regulations, a clearing broker or FCM maintains customers’ assets in a bulk segregated account. There is a risk that Fund assets deposited with the clearing broker to serve as margin may be used to satisfy the broker’s own obligations or the losses of the broker’s other clients. In the event of default, the Fund could experience lengthy delays in recovering some or all of its assets and may not see any recovery at all. Furthermore, the Fund is subject to the risk that no FCM is willing or able to clear the Fund’s transactions or maintain the Fund’s assets. If the Fund’s FCMs are unable or unwilling to clear the Fund’s transactions, or if the FCM refuses to maintain the Fund’s assets, the Fund will be unable to have its orders for Stars Index Futures Contracts fulfilled or assets custodied. In such a circumstance, the performance of the Fund will likely deviate from the performance of changes in the Stars Index and may result in the proportion of Stars Index Futures Contracts in the Fund’s portfolio relative to the total assets of the Fund to decrease.

Non-Diversification Risk. The Fund is classified as a “non-diversified company” under the 1940 Act. As a result, the Fund is only limited as to the percentage of its assets which may be invested in the securities of any one issuer by the diversification requirements imposed by the Code. The Fund may invest a relatively high percentage of its assets in a limited number of issuers. As a result, the Fund may be more susceptible to a single adverse economic or regulatory occurrence affecting one or more of these issuers, experience increased volatility and be highly invested in certain issuers.

Risks Related to the Management of the Fund

Active Management Risk. The Fund is actively managed, and its performance reflects investment decisions that the Adviser makes for the Fund. Such judgments about the Fund’s investments may prove to be incorrect. If the investments selected and the strategies employed by the Fund fail to produce the intended results, the Fund could underperform as compared to other funds with similar investment objectives and/or strategies, or could have negative returns.

Frequent Trading Risk. The Fund regularly purchases and subsequently sells (i.e., “rolls”) individual futures contracts throughout the year so as to maintain a fully invested position. As the contracts near their expiration dates, the Fund rolls them over into new contracts. This frequent trading of contracts may increase the amount of commissions or mark-ups to broker-dealers that the Fund pays when it buys and sells contracts, which may detract from the Fund’s performance. High portfolio turnover may result in the Fund paying higher levels of transaction costs and may generate greater tax liabilities for shareholders. Frequent trading risk may cause the Fund’s performance to be less than expected.

Rebalancing Risk. If for any reason the Fund is unable to rebalance all or a portion of its portfolio, or if all or a portion of the portfolio is rebalanced incorrectly, the Fund may be over- or under-exposed to the returns of the Stars Index. Additionally, because the market for Stars Index Futures Contracts is nascent and may be thinly traded, the Fund’s own trading activity, including purchases, sales, and rolling of contracts, could materially influence the prices of Stars Index Futures Contracts. If the Fund represents a significant portion of the open interest or trading volume, its activity could move prices against it, resulting in higher costs and reduced returns. If other market participants anticipate the Fund’s trading patterns, they may engage in front-running or other anticipatory trading strategies that further increase the Fund’s transaction costs. The trading activity associated with such transactions will contribute to the existing trading volume on the underlying futures contracts and may adversely affect the market price of such underlying futures contracts.

Operational Risk. The Fund is exposed to operational risks 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 and the Adviser seek to reduce these operational risks through controls and procedures. However, these measures do not address every possible risk and may be inadequate to address these risks.

Valuation Risk. The Fund or the Subsidiary may hold securities or other assets that may be valued on the basis of factors other than market quotations. This may occur because the asset or security does not trade on a centralized exchange, or in times of market turmoil or reduced liquidity. There are multiple methods that can be used to value a portfolio holding when market quotations are not readily available. The value established for any portfolio holding at a point in time might differ from what would be produced using a different methodology or if it had been priced using market quotations. Portfolio holdings that are valued using techniques other than market quotations, including “fair valued” assets or securities, may be subject to greater fluctuation in their valuations from one day to the next than if market quotations were used. In addition, there is no assurance that the Fund or the Subsidiary could sell or close out a portfolio position for the value established for it at any time, and it is possible that the Fund or the Subsidiary would incur a loss because a portfolio position is sold or closed out at a discount to the valuation established by the Fund or the Subsidiary at that time. The Fund’s ability to value investments may be impacted by technological issues or errors by pricing services or other third-party service providers.

New Fund Risk. As of the date of this prospectus, the Fund has no operating history and currently has fewer assets than larger funds. Like other new funds, large inflows and outflows may impact the Fund’s market exposure for limited periods of time. This impact may be positive or negative, depending on the direction of market movement during the period effected.

Risks Related to Trading of Shares

Trading Issues Risk. 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. The Fund may have difficulty maintaining its listing on the Exchange in the event the Fund’s assets are small, the Fund does not have enough shareholders, or if the Fund is unable to proceed with creation and/or redemption orders.

Authorized Participant Concentration Risk. Only an “authorized participant” or “AP” (i.e., broker-dealers and large institutional investors that have entered into participation agreement with the Fund) may engage in creation or redemption transactions directly with the Fund. The Fund has a limited number of institutions that act as APs on an agency basis (i.e. on behalf of other market 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 AP is able to step forward to create or redeem, in either of these cases, Shares may trade at a discount to the Fund’s net asset value and possibly face delisting.

Market Maker Risk. If the Fund has lower average daily trading volumes, it may rely on a small number of third-party market makers to provide a market for the purchase and sale of Shares. Any trading halt or other problem relating to the trading activity of these market makers could result in a dramatic change in the spread between the Fund’s net asset value and the price at which the Shares are trading on the Exchange, which could result in a decrease in value of the Shares. In addition, decisions by market makers or APs to reduce their role or step away from these activities in times of market stress could inhibit the effectiveness of the arbitrage process in maintaining the relationship between the underlying values of the Fund’s portfolio securities and the Fund’s market price. This reduced effectiveness could result in Shares trading at a discount to net asset value and also in greater than normal intra-day bid-ask spreads for Shares.

Premium/Discount Risk. The market price of the Fund’s Shares will generally fluctuate in accordance with changes in the Fund’s net asset value as well as the relative supply of and demand for Shares on the Exchange. The Fund’s market price may deviate from the value of the Fund’s underlying portfolio holdings, particularly in time of market stress, with the result that investors may pay more or receive less than the underlying value of the Shares bought or sold. The Adviser cannot predict whether Shares will trade below, at, or above their net asset value because the Shares trade on the Exchange at market prices and not at net asset value. 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, but not identical, to the same forces influencing the prices of the holdings of the Fund trading individually or in the aggregate at any point in time. However, given that Shares can only be purchased and redeemed in Creation Units, and only to and from broker-dealers and large institutional investors that have entered into participation agreements (unlike shares of closed-end funds, which frequently trade at appreciable discounts from, and sometimes at premiums to, their net asset value), the Adviser believes that large discounts or premiums to the net asset value of Shares should not be sustained. In addition, because the Fund provides exposure to the statistical performance of a single professional sports team, demand for Shares may be influenced by fan loyalty, emotional attachment, and team-related sentiment rather than by rational assessments of the Fund’s expected risk-adjusted returns. These demand patterns could increase intraday volatility in Fund Shares, widen bid-ask spreads, and result in investors purchasing or selling Shares at prices that do not reflect the Fund’s underlying NAV. During stressed market conditions, the market for the Fund’s Shares may become less liquid in response to deteriorating liquidity in the market for the Fund’s underlying portfolio holdings, which could in turn lead to differences between the market price of the Fund’s Shares and their net asset value. This can be reflected as a spread between the bid and ask prices for the Fund quoted during the day or a premium or discount in the closing price from the Fund’s NAV.

Active Market Risk. Although the Shares are listed for trading on the Exchange, there can be no assurance that an active trading market for the Shares will develop or be maintained. Shares trade on the Exchange at market prices that may be below, at or above the Fund’s net asset value. Securities, including the Shares, are subject to market fluctuations and liquidity constraints that may be caused by such factors as economic, political, or regulatory developments, changes in interest rates, and/or perceived trends in securities prices. Shares of the Fund could decline in value or underperform other investments.

Cash Transaction Risk. Most ETFs generally make in-kind redemptions to avoid being taxed at the fund level on gains on the distributed portfolio securities. However, unlike most ETFs, the Fund currently intends to effect some or all redemptions for cash, rather than in-kind, because of the nature of the Fund’s investments. The Fund may be required to sell portfolio securities to obtain the cash needed to distribute redemption proceeds, which involves transaction costs that the Fund may not have incurred had it effected redemptions entirely in kind. These costs may include brokerage costs and/or taxable gains or losses, which may be imposed on the Fund and decrease the Fund’s NAV to the extent such costs are not offset by a transaction fee payable to an AP. If the Fund recognizes gain on these sales, this generally will cause the Fund to recognize gain it might not otherwise have recognized if it were to distribute portfolio securities in-kind, or to recognize such gain sooner than would otherwise be required. This may decrease the tax efficiency of the Fund compared to ETFs that utilize an in-kind redemption process, and there may be a substantial difference in the after-tax rate of return between the Fund and other ETFs.

Risks Related to Regulation, External Factors, and Federal Income Tax Consequences

Tax Risk. The Fund intends to elect and to qualify each year to be treated as a RIC under Subchapter M of the Code. As a RIC, the Fund will not be subject to U.S. federal income tax on the portion of its net investment income and net capital gain that it distributes to shareholders, provided that it satisfies certain requirements of the Code. If the Fund does not qualify as a RIC for any taxable year and certain relief provisions are not available, the Fund’s taxable income will be subject to tax at the Fund level and to a further tax at the shareholder level when such income is distributed. Additionally, buying securities shortly before the record date for a taxable dividend or capital gain distribution is commonly known as “buying the dividend.” In the event a shareholder purchases Shares shortly before such a distribution, the entire distribution may be taxable to the shareholder even though a portion of the distribution effectively represents a return of the purchase price. To comply with the asset diversification test applicable to a RIC, the Fund will limit its investments in the Subsidiary to 25% of the Fund’s total assets at the end of each tax quarter. The investment strategy of the Fund will cause the Fund to hold substantially more than 25% of the Fund’s total assets in investments in the Subsidiary the majority of the time. The Fund intends to manage the exposure to the Subsidiary so that the Fund’s investments in the Subsidiary do not exceed 25% of the total assets at the end of any tax quarter. If the Fund’s investments in the Subsidiary were to exceed 25% of the Fund’s total assets at the end of a tax quarter, the Fund, generally, has a grace period to cure such lack of compliance. If the Fund fails to timely cure, it may no longer be eligible to be treated as a RIC.

Because Stars Index Futures Contracts produce non-qualifying income for purposes of qualifying as a RIC, the Fund makes its investments in Stars Index Futures Contracts through the Subsidiary. The Fund intends to treat any income it may derive from the futures contracts received by the Subsidiary as “qualifying income” under the provisions of the Code applicable to RICs. The IRS has issued PLRs provided to third parties not associated with the Fund or its affiliates (which only those parties may rely on as precedent) concluding that similar arrangements resulted in qualifying income. Many of such PLRs have now been revoked by the IRS. In March of 2019, the Internal Revenue Service published Regulations that concluded that income from a corporation similar to the Subsidiary would be qualifying income, if the income is related to the Fund’s business of investing in stocks or securities. Although the Regulations do not require distributions from the Subsidiary, the Fund intends to cause the Subsidiary to make distributions that would allow the Fund to make timely distributions to its shareholders. The Fund generally will be required to include in its own taxable income the income of the Subsidiary for a tax year, regardless of whether the Fund receives a distribution of the Subsidiary’s income in that tax year, and this income would nevertheless be subject to the distribution requirement for qualification as a RIC and would be taken into account for purposes of the 4% excise tax.

If, in any year, the Fund were to fail to qualify for the special tax treatment accorded a RIC and its shareholders, and were ineligible to or were not to cure such failure, the Fund would be taxed in the same manner as an ordinary corporation subject to U.S. federal income tax on all its income at the fund level. The resulting taxes could substantially reduce the Fund’s net assets and the amount of income available for distribution. In addition, in order to requalify for taxation as a RIC, the Fund could be required to recognize unrealized gains, pay substantial taxes and interest, and make certain distributions.

Subsidiary Regulatory Investment Risk. Changes in the laws of the United States and/or the Cayman Islands, under which the Fund and the Subsidiary are organized, respectively, could result in the inability of the Fund to operate as intended and could negatively affect the Fund and its shareholders. The Subsidiary is not registered under the 1940 Act and is not subject to all the investor protections of the 1940 Act. However, as the Subsidiary is wholly-owned by the Fund, and the investors of the Fund will have the investor protections of the 1940 Act, the Fund as a whole—including the Subsidiary—will provide investors with 1940 Act protections.

Commodity Regulatory Risk. The Fund’s use of commodity futures subject to regulation by the CFTC has caused the Fund to be classified as a “commodity pool” and this designation requires that the Fund comply with CFTC rules, which may impose additional regulatory requirements and compliance obligations. The Fund’s investment decisions may need to be modified, and commodity contract positions held by the Fund may have to be liquidated at disadvantageous times or prices, to avoid exceeding any applicable position limits established by the CFTC, potentially subjecting the Fund to substantial losses. The regulation of commodity transactions in the United States is subject to ongoing modification by government, self-regulatory and judicial action. The effect of any future regulatory change with respect to any aspect of the Fund is impossible to predict, but could be substantial and adverse to the Fund.

Regulatory Risk. The regulatory framework governing sports-linked financial instruments is evolving and subject to significant uncertainty. Stars Index Futures Contracts are a novel instrument class for which there is limited regulatory precedent. The CFTC has broad discretionary authority to determine whether particular contracts are consistent with the public interest, including authority to disapprove or direct an exchange to delist contracts that the CFTC determines involve gaming, are unlawful, or otherwise run contrary to the purposes of the CEA. The CFTC has recently proposed amendments to its rules concerning event contracts, commonly referred to as prediction markets, to specify which contracts may be determined contrary to the public interest and therefore may not be listed for trading or accepted for clearing on or through a CFTC-regulated entity. The CFTC or the listing exchange could, at any time and without advance notice, impose new conditions, margin or position-limit requirements, reporting obligations, trading halts, settlement adjustments, or delisting actions. Any such changes could, among other things; (i) impair the Fund’s ability to establish, maintain, or close positions; (ii) require the Fund to liquidate positions at disadvantageous prices; (iii) alter the economic characteristics on which the Fund relies; or (iv) render the Fund’s principal investment strategy impractical. In addition, future legislative, judicial, or administrative developments could retroactively affect the permissibility, settlement mechanics, or availability of Stars Index Futures Contracts. These developments may occur abruptly and may not provide mechanisms for investor recourse or for the orderly unwind of positions. There can be no assurance that the regulatory environment for sports-linked financial instruments will remain stable or favorable.

Cyber Security Risk. The Fund is susceptible to operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional events that may cause the Fund to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause the Fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. Cyber security breaches may involve unauthorized access to the Fund’s digital information systems through “hacking” or malicious software coding, but may also result from outside attacks such as denial-of-service attacks through efforts to make network services unavailable to intended users. In addition, cyber security breaches of the Fund’s third-party service providers, such as its administrator, transfer agent, or custodian, as applicable, or issuers in which the Fund invests, can also subject the Fund to many of the same risks associated with direct cyber security breaches. While the Fund has established business continuity plans and risk management systems designed to reduce the risks associated with cyber security, there are inherent limitations in such plans and systems. Additionally, there is no guarantee that such efforts will succeed, especially because the Fund does not directly control the cyber security systems of issuers or third-party service providers.

Natural Disaster/Epidemic Risk. Natural or environmental disasters, such as earthquakes, fires, floods, Stars, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks, and result in significant breakdowns, delays, shutdowns, social isolation, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Fund and its investments. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy of financial projections. Under these circumstances, the Fund may have difficulty achieving its investment objectives which may adversely impact Fund performance. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Fund’s investment advisor, third party service providers, and counterparties), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Fund’s investments. These factors can cause substantial market volatility, exchange trading suspensions and closures, changes in the availability of and the margin requirements for certain instruments, and can impact the ability of the Fund to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market. A widespread crisis would also affect the global economy in ways that cannot necessarily be foreseen. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these could have a significant impact on the Fund’s performance, resulting in losses to your investment.

Performance

As of the date of this prospectus, the Fund has not yet commenced operations and therefore does not have a performance history. Once available, the Fund’s performance information will be accessible on the Fund’s website at www.volatilityshares.com and will provide some indication of the risks of investing in the Fund.

Management

Investment Adviser

Volatility Shares LLC 

Portfolio Managers

The following persons serve as portfolio managers of the Fund. 

Each of the portfolio managers is primarily and jointly responsible for the day-to-day management of the Fund. Each of the Fund’s portfolio managers have served in such capacity since the Fund’s inception.

Purchase and Sale of Shares

The Fund issues and redeems Shares on a continuous basis, at NAV, only in large blocks of shares called “Creation Units.” Individual Shares may only be purchased and sold on the secondary market through a broker-dealer at a market price. Since Shares trade on securities exchanges in the secondary market at their market price rather than their NAV, the Shares may trade at a price greater than (premium) or less than (discount) the Fund’s NAV. An investor may incur costs attributable to the difference between the highest price a buyer is willing to pay to purchase Shares (bid) and the lowest price a seller is willing to accept for Shares (ask) when buying or selling Shares in the secondary market (the “bid-ask spread”). Recent information, including the Fund’s NAV, market price, premiums and discounts, and bid-ask spreads, is available online at www.volatilityshares.com.

Tax Information

The Fund’s distributions will generally be taxable as ordinary income, returns of capital or capital gains. A sale of Shares may result in capital gain or loss.

Payments to Broker-Dealers and Other Financial Intermediaries

If you purchase Shares through a broker-dealer or other financial intermediary (such as a bank), the Adviser and Foreside Fund Services, LLC, the Fund’s distributor (the “Distributor”), may pay the intermediary for the sale of Shares and 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.

Detroit Red Wings ETF

Investment Objective

The Detroit Red Wings ETF (the “Fund” or “[__]”) seeks to provide investment results, before fees and expenses, that correspond to the performance of futures contracts on the CME FSPI NHL Detroit Red Wings Index.

Fees and Expenses of the Fund

This table describes the fees and expenses that you may pay if you buy, hold and sell Shares. Investors may pay other fees, such as brokerage commissions and other fees to financial intermediaries, which are not reflected in the table and example set forth below.

Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment)

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 assumes that you invest $10,000 in the Fund for the time periods indicated and then sell all of your Shares at the end of those periods. The example also assumes that your investment has a 5% return each year and that the Fund’s operating expenses remain at current levels. This example does not include the brokerage commissions that investors may pay to buy and sell Shares.

Although your actual costs may be higher or lower, your costs, based on these assumptions, would be:

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 will cause the Fund to incur additional transaction costs and may result in higher taxes when Shares are held in a taxable account. These costs, which are not reflected in Total Annual Fund Operating Expenses or in the example, may affect the Fund’s performance. Because the Fund is new, portfolio turnover information is unavailable at this time.

Principal Investment Strategies 

The Fund is an exchange-traded fund (“ETF”) that seeks to achieve its investment objective primarily through investments in futures contracts on the CME FSPI NHL Detroit Red Wings Index, which is a non-investable index (the “Red Wings Index”). The Red Wings Index is designed to systemically measure the cumulative team performance of the Detroit Red Wings only during games played over the regular and post-season. The Red Wings Index is a transparent, rules-based system using official league statistics, where positive actions add points and negative actions subtract points. The Red Wings Index is based on fifty-five statistical measures of performance and results of team games (wins, losses and ties) that results in continuous, live statistical values that underpin the value of the Red Wings Index which is calculated into a trackable and tradable number. The Red Wings Index is based solely on these statistical factors, and the performance of other professional hockey teams in the National Hockey League^® (the “NHL”), or events outside of on-ice performance by the Detroit Red Wings, will not impact the value of the Red Wings Index.

The Red Wings Index has an initial standardized base value of 7,500 before the season and moves up or down based on officially reported statistics from each game, including real-time movement during regular season and postseason play. At the conclusion of the postseason, the Red Wings Index value resets to 7,500.

The Red Wings Index is maintained and calculated by FutureSports (the “Index Provider”). The Red Wings Index methodology is designed to align with the International Organization of Securities Commissions (“IOSCO”) Principles for Financial Benchmarks and supported by published governance, oversight and methodology change procedures. The NHL serves as the official data source for the Red Wings Index but does not participate in index determination or governance.

The Fund obtains exposure to the Red Wings Index by investments in futures contracts that reference the Red Wings Index and that trade on an exchange registered with the Commodity Futures Trading Commission (“Red Wings Index Futures Contracts”), and cash, cash-like instruments or high quality securities that serve as collateral to the Fund’s investments in Red Wings Index Futures Contracts (“Collateral Investments”).

Under normal circumstances, the Fund will invest at least 80% of the value of its net assets (plus borrowings for investment purposes) in Red Wings Index-Linked Instruments. For purposes of this policy, “Red Wings Index-Linked Instruments” means (i) Red Wings Index Futures Contracts; (ii) shares of other investment companies registered under the Investment Company Act of 1940 (the “1940 Act”) that invest in similar assets to those in which the Fund may invest (“Other Investment Companies”); (iii) exchange traded options on the Red Wings Index or shares of Other Investment Companies; and (iv) swap agreement transactions that reference Red Wings Index Futures Contracts, Other Investment Companies, or the Red Wings Index. Certain Red Wings Index-Linked Instruments, such as Other Investment Companies or options thereon, are currently unavailable for investment, though are expected to become available in the future.

The Fund expects to gain investment exposure to the Red Wings Index by investing a portion of its assets in a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands (the “Subsidiary”).

The Fund does not invest directly in prediction markets, event contracts or other instruments that provide exposure to individual sporting event or season-long outcomes or to investments that provide exposure to the financial performance of individual sports teams or leagues. Instead, the Fund seeks to benefit from increases in the price of Red Wings Index Futures Contracts.

The investment adviser to the Fund and the Subsidiary is Volatility Shares LLC (the “Adviser” or “Volatility Shares”). The Adviser oversees the Fund and implements the day-to-day portfolio management responsibilities for the Fund. In serving as investment adviser to the Fund, the Adviser does not conduct conventional investment research or analysis or forecast market movement or trends.

The Fund is classified as a “non-diversified company” under the 1940 Act. The Fund will not concentrate its investments in securities of issuers in any industry or group of industries, as the term “concentrate” is used in the 1940 Act, except that the Fund may invest more than 25% of its total assets in Red Wings Index-Linked Instruments.

The Detroit Red Wings

The Detroit Red Wings are a professional ice hockey team based in Detroit, Michigan, competing in the Atlantic Division of the NHL’s Eastern Conference. During the 2025–2026 season, the Red Wings finished sixth in the Atlantic Division, ranking 16th in standings points, 22nd in goals for, 19th in goals against, and 19th in goal differential. The Red Wings were founded in 1926 as the Detroit Cougars. The Red Wings are currently owned by Ilitch Holdings, with Christopher Ilitch serving as Governor since 2017. The team has won eleven Stanley Cup championships, capturing titles in 1936, 1937, 1943, 1950, 1952, 1954, 1955, 1997, 1998, 2002, and 2008. Neither the Fund, the Trust, nor the Adviser is affiliated with the Detroit Red Wings.

Red Wings Index Futures Contracts

The Fund intends to typically enter into cash-settled Red Wings Index Futures Contracts as the “buyer,” except as detailed below.

In simplest terms, in a cash-settled futures market the counterparty pays cash to the buyer if the price of a futures contract goes up, and buyer pays cash to the counterparty if the price of the futures contract goes down. In order to maintain its exposure to the Red Wings Index, the Fund intends to exit its futures contracts as they near expiration and replace them with new futures contracts with a later expiration date. Futures contracts with a longer term to expiration may be priced higher than futures contracts with a shorter term to expiration, a relationship called “contango”. When rolling futures contracts that are in contango the Fund will close its long position by selling the shorter-term contract at a relatively lower price and buying a longer-dated contract at a relatively higher price. The presence of contango will adversely affect the performance of the Fund. Conversely, futures contracts with a longer term to expiration may be priced lower than futures contracts with a shorter term to expiration, a relationship called “backwardation”. When rolling long futures contracts that are in backwardation, the Fund will close its long position by selling the shorter-term contract at a relatively higher price and buying a longer-dated contract at a relatively lower price. The presence of backwardation may positively affect the performance of the Fund. Further, the returns of the Red Wings Index Futures Contracts may differ from that of the Red Wings Index due to the divergence in prices or the costs associated with investing in futures contracts, which may negatively impact the Fund’s returns.

The Fund invests in Red Wings Index Futures Contracts indirectly via the Subsidiary. The Subsidiary and the Fund will have the same investment adviser and investment objective. The Subsidiary will also follow the same general investment policies and restrictions as the Fund. Except as noted herein, for purposes of this Prospectus, references to the Fund’s investment strategies and risks include those of the Subsidiary. The Fund complies with the provisions of the 1940 Act governing investment policies and capital structure and leverage on an aggregate basis with the Subsidiary. Furthermore, the Adviser, as the investment adviser to the Subsidiary, complies with the provisions of the 1940 Act relating to investment advisory contracts as it relates to its advisory agreement with the Subsidiary. The Subsidiary also complies with the provisions of the 1940 Act relating to affiliated transactions and custody. Because the Fund intends to qualify for treatment as a regulated investment company (a “RIC”) under the Internal Revenue Code of 1986 (the “Code”), the size of the Fund’s investment in the Subsidiary will not exceed 25% of the Fund’s total assets at or around each quarter end of the Fund’s fiscal year. In order to qualify as a RIC, the Fund will have to reduce its exposure to its Subsidiary on or around the end of each of the Fund’s fiscal quarter ends. The Fund expects to reduce its exposure to its Subsidiary during these periods by investing in certain other investments as described below. During these periods, the Fund may not achieve its investment objective. At other times of the year, the Fund’s investments in the Subsidiary will significantly exceed 25% of the Fund’s total assets. The Subsidiary’s custodian is U.S. Bank, N.A.

If circumstances occur where market prices for Red Wings Index Futures Contracts were not readily available, the Fund would fair value its Red Wings Index Futures Contracts in accordance with its pricing and valuation policy and procedures for fair value determinations. Pursuant to those policies and procedures, the Adviser would consider various factors, such as pricing history; market levels prior to price limits or halts; and supply, demand, and open interest in Red Wings Index Futures Contracts, among other factors. The Adviser would document its proposed pricing and methodology, detailing the factors that entered into the valuation.

Collateral Investments

The Fund will also invest its assets in Collateral Investments. The Collateral Investments may consist of high-quality securities, which include: (1) U.S. Government securities, such as bills, notes and bonds issued by the U.S. Treasury; (2) investment companies registered under the 1940 Act that invest in high-quality securities; and/or (3) corporate debt securities, such as commercial paper and other short-term unsecured promissory notes issued by businesses that are rated investment grade or determined by the Adviser to be of comparable quality. For these purposes, “investment grade” is defined as investments with a rating at the time of purchase in one of the four highest categories of at least one nationally recognized statistical rating organization (e.g., BBB- or higher from S&P Global Ratings or Baa3 or higher from Moody’s Investors Service, Inc.).

The Collateral Investments are designed to provide liquidity, serve as margin, or otherwise collateralize the Subsidiary’s investments in Red Wings Index-Linked Instruments. The Fund expects that it will primarily invest its assets, and that the Subsidiary will primarily invest its assets, in Collateral Investments that are “securities,” as such term is defined under the 1940 Act.

Other Investments

In order to help the Fund maintain exposure to the Red Wings Index, maintain its tax status as a RIC on days in and around quarter-end, help the Fund maintain its desired exposure to Red Wings Index Futures Contracts when it is approaching or has exceeded position limits or accountability levels, or because of liquidity or other constraints, the Fund may invest in the following:

Reverse Repurchase Agreements

The Fund may invest in reverse repurchase agreements which are a form of borrowing in which the Fund sells portfolio securities to financial institutions and agrees to repurchase them at a mutually agreed-upon date and price that is higher than the original sale price, and use the proceeds for investment purchases. 

As a result of the Fund repurchasing the securities at a higher price, the Fund will lose money by engaging in reverse repurchase agreement transactions.

As noted above, because the Fund intends to qualify for treatment as a RIC under the Code, the size of the Fund’s investment in the Subsidiary will not exceed 25% of the Fund’s total assets at or around each quarter end of the Fund’s fiscal year (the “Asset Diversification Test”). At other times of the year, the Fund’s investments in the Subsidiary will significantly exceed 25% of the Fund’s total (or gross) assets.

When the Fund seeks to reduce its total assets exposure to the Subsidiary, it may use the short-term Treasury Bills it owns (and purchase additional Treasury Bills as needed) to transact in reverse repurchase agreement transactions, which are ostensibly loans to the Fund. Those loans will increase the gross assets of the Fund, which the Adviser expects will allow the Fund to meet the Asset Diversification Test. When the Fund enters into a reverse repurchase agreement, it will either (i) be consistent with Section 18 of the 1940 Act and maintain asset coverage of at least 300% of the value of the reverse repurchase agreement; or (ii) treat the reverse repurchase agreement transactions as derivative transactions for purposes of Rule 18f-4 under the 1940 Act (“Rule 18f-4”), including as applicable, the value-at-risk based limit on leverage risk.

Other Investment Companies

The Fund may invest in shares of Other Investment Companies, that is, shares of investment companies registered under the 1940 Act that invest in similar assets to those in which the Fund may invest.

Exchange-traded option contracts on shares of Other Investment Companies.

The Fund may invest in exchange-listed option contracts on shares of Other Investment Companies, which invest in similar assets to those in which the Fund may invest. An option is a contract that gives the purchaser of the option, in return for the premium paid, the right to buy shares of an investment company, from the writer of the option (in the case of a call option), or to sell shares of the investment company to the writer of the option (in the case of a put option) at a designated price during the term of the option. The premium paid by the buyer of an option will reflect, among other things, the relationship of the exercise price to the market price and the volatility of the shares of the investment company, the remaining term of the option, supply, demand, interest rates and/or currency exchange rates. The Fund may utilize “American” style options or “European” style options. American style options are exercisable on any date prior to the expiration date of the option contract. In contrast, European style options are exercisable only on the expiration date of the option contract.

Swaps that reference Red Wings Index Futures Contracts, Other Investment Companies, or the Red Wings Index.

Swap contracts are transactions entered into primarily with major global financial institutions for a specified period ranging from a day to more than one year. In a swap transaction, the Fund and a counterparty will agree to exchange or “swap” payments based on the change in value of an underlying asset or benchmark. For example, the two parties may agree to exchange the return (or differentials in rates of returns) earned or realized on a particular investment or instrument. In the case of the Fund, the reference asset can be Red Wings Index Futures Contracts, Other Investment Companies or the Red Wings Index.

Principal Risks

As with all investments, there are certain risks of investing in the Fund. Shares will change in value, and you could lose money by investing in the Fund. The Fund may not achieve its investment objective. An investment in the Fund does not represent a complete investment program. An investment in the Fund is not a bank deposit and it is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency, the Adviser or any of their affiliates. You should consider carefully the following risks before investing in the Fund.

Each risk noted below is considered a principal risk of investing in the Fund, regardless of the order in which it appears. The significance of each risk factor below may change over time and you should review each risk factor carefully.

Risks Specific to the Fund’s Investments

Investment Strategy Risk. The Fund, through the Subsidiary, invests primarily in Red Wings Index Futures Contracts. The Fund does not invest directly in prediction markets, event contracts or other instruments that provide exposure to individual sporting event or season-long outcomes or to investments that provide exposure to the financial performance of individual sports teams or leagues. Instead, the Fund seeks to benefit from increases in the price of Red Wings Index Futures Contracts. The price of Red Wings Index Futures Contracts may not be an accurate measure of the Red Wings Index. Consequently, the Fund may perform differently from the performance of the Red Wings Index. There can be no guarantee that the performance of Red Wings Index Futures Contracts will be highly correlated to the performance of the Red Wings Index. Transaction costs (including the costs associated with futures investing), position limits, the availability of counterparties and other factors may impact the cost and pricing of Red Wings Index Futures Contracts and decrease the correlation between the performance of Red Wings Index Futures Contracts and the Red Wings Index, over short- or long-term periods. In addition, the performance of back-month Red Wings Index Futures Contracts is likely to differ more significantly from the performance of the Red Wings Index. To the extent the Fund is invested in back-month Red Wings Index Futures Contracts, the performance of the Fund should be expected to deviate more significantly from the performance of the Red Wings Index. Moreover, because the Red Wings Index is uninvestable, the Fund can only gain exposure through futures contracts and other derivatives, and differences between the prices of those instruments and the levels of the Red Wings Index may result in the Fund experiencing larger losses or smaller gains than would be implied by changes in the Red Wings Index alone.

Sports Performance Risk. The Fund’s investment strategy is inherently speculative. The value of Red Wings Index Futures Contracts is derived from the statistical performance of a single professional sports team as measured by the Red Wings Index. Successfully investing in Red Wings Index Futures Contracts requires that the team tracked by the index performs well statistically over the course of a season, an outcome that is inherently uncertain and subject to numerous unpredictable variables, including player health, competitive dynamics, coaching decisions, and random variation in athletic performance. The Red Wings Index may decline in value, and there can be no assurance that the team tracked by the index will perform at or above the levels implied by the prices of Red Wings Index Futures Contracts at the time the Fund obtains exposure.

On-Ice Performance and Competitive Results Risk. The Fund’s investment performance is linked to the on-ice statistical performance of a single NHL team during the regular season and, if applicable, the playoffs. The prices of Red Wings Index Futures Contracts are expected to rise when the team performs well statistically and to fall when the team performs poorly. Competitive results in professional hockey are inherently unpredictable and can be influenced by factors entirely outside the team’s control, including the performance of opposing teams, referee calls, random puck bounces, weather affecting travel, and in-game injuries. A team may enter a season with high expectations based on roster strength, coaching hires, or offseason acquisitions, only to underperform due to chemistry issues, unexpected injuries to key players, player slumps, or tactical mismatches against divisional opponents. The NHL season extends over several months and includes 82 regular season games per team, during which even a strong team may experience prolonged losing streaks that cause material declines in the Red Wings Index. If the team fails to make the playoffs, the Fund will not benefit from any potential uplift in index value that could accompany postseason success. Conversely, early playoff elimination could cause sharp declines in futures prices if the market had priced in deeper postseason performance. Because the Fund is concentrated in a single NHL team, there is no opportunity to offset poor on-ice performance by gaining exposure to a stronger team or a different sport.

Red Wings Index Investing Risk. The Fund is indirectly exposed to the risks of the Red Wings Index through its investments in Red Wings Index Futures Contracts and other Red Wings Index-Linked Instruments. The Fund does not invest in the Red Wings Index, which is an uninvestable index. The performance of the Red Wings Index will be very different from a portfolio of Red Wings Index Futures Contracts.

The Red Wings Index moves up or down based on officially reported statistics from every game, match, or event throughout the regular season and postseason. Positive statistical actions (e.g., goals scored, points earned) add value to the index, while negative actions (e.g., opponent scoring, penalties or setbacks) subtract value. Poor statistical performance by the Detroit Red Wings could have a significant negative impact on the level of the Red Wings Index and therefore the value of the Fund. In addition, unlike instruments that are based on tradable reference assets, the Red Wings Index Futures Contracts and Red Wings Index-Linked Instruments are tied to an index that is not directly investable and, thus, have settlement prices based on the calculation of that index, not the price of a tradable asset.

Concentrated Single-Team Exposure Risk. The Fund’s investment strategy results in concentrated exposure to a single professional sports team’s statistical performance (i.e., the Detroit Red Wings) as measured by an index. Unlike diversified funds that spread risk across multiple asset classes, sectors, or issuers, the Fund’s performance is primarily driven by the statistical output of one team over the course of a season. As a result, the Fund is more susceptible to risks affecting that team, including player injuries, suspensions, trades, retirements, coaching changes, front-office turnover, league sanctions, labor disputes, lockouts, or other events that directly or indirectly influence the team’s on-ice statistical performance. This degree of concentration will likely increase volatility in the Fund’s NAV, heighten the likelihood of significant losses over short periods, and cause the Fund’s returns to diverge substantially from those of more diversified investments. Additionally, because the Fund is concentrated in a single team, it is inherently concentrated in a single professional sports league. This subjects the Fund to league-specific risks, including league-wide labor disputes, broad scandal, changes to the structure or rules of the league, or events that cause the cancellation or suspension of games. The Fund has no ability to rotate exposure into a different team, sport, or league in response to adverse developments affecting the team to which it has exposure.

Insider Trading and Information Asymmetry Risk. Unlike securities markets, which are governed by well-established insider trading prohibitions under the Securities Exchange Act of 1934, the legal framework governing trading on the basis of material, non-public information in the context of commodity futures is less developed. While the CFTC has broad anti-manipulation and anti-fraud authority under the Commodity Exchange Act (“CEA”), specific rules and judicial precedent addressing what constitutes improper trading on non-public information in the context of sports-linked futures remain nascent. Certain individuals may possess material, non-public information that could affect the statistical performance of the Red Wings Index and, consequently, the prices of Red Wings Index Futures Contracts. Such individuals may include, without limitation, team coaches, players, trainers, team medical staff, front office personnel, referees, officials, league personnel, or sports data providers. For example, undisclosed injuries to key players or undisclosed lineup changes could materially affect the level of the Red Wings Index. Such persons could trade Red Wings Index Futures Contracts or Fund Shares to profit from their informational advantage prior to public disclosure. There is no guarantee that exchanges, the CME, or the CFTC will successfully detect and prevent such trading, and the Fund has no means of preventing such individuals from purchasing or selling Fund Shares. The participation of informed insiders in the market for Red Wings Index Futures Contracts can create adverse selection for other market participants and distort market prices. Because the Fund is concentrated in a single team, the impact of insider trading on the Fund may be more pronounced than in markets with broader diversification.

League Credibility and Sports Integrity Risk. The Red Wings Index is calculated based on official league statistics derived from the games of a single professional sports team, and the integrity of those games is fundamental to the reliability of the index. Efforts to interfere with the team’s games, including match-fixing, point-shaving, or referee manipulation, could materially affect the statistical data upon which the Red Wings Index is based, create significant uncertainty regarding index levels, and cause pronounced price volatility in Red Wings Index Futures Contracts. Confirmed or suspected game interference may also prompt legislative or regulatory responses, including restrictions on sports-linked financial products or emergency rulemaking by the CFTC, that could restrict the listing or trading of Red Wings Index Futures Contracts. Even widely publicized allegations of interference, absent actual misconduct, could undermine market confidence in the Red Wings Index and the futures contracts that reference it.

Gaming and State Regulatory Litigation Risk. Exchanges that list sports-linked financial instruments, including Red Wings Index Futures Contracts, may be subject to legal challenges brought by state attorneys general, state gaming commissions, and other state-level actors asserting that such instruments constitute regulated gambling or gaming activity under state law, notwithstanding that such contracts are listed on a CFTC-regulated exchange. Such proceedings may assert that the listing of sports-linked contracts violates state gaming statutes, requires state gaming or sports wagering licenses, or constitutes an illegal gambling enterprise. These exchanges, and the CFTC in certain court filings, have asserted that the CEA and the CFTC’s exclusive jurisdiction over CFTC-regulated exchanges preempts state gaming regulations. There is no assurance that federal courts will rule in favor of federal preemption, and resolution may require years of litigation and potentially appellate review. An adverse ruling could result in the suspension or cessation of trading in Red Wings Index Futures Contracts, material operational restrictions, significant financial penalties, or the effective loss of the ability to list sports-linked futures. Any of these outcomes could materially and adversely affect the Fund’s ability to achieve its investment objective and could result in significant losses.

Platform and Distribution Restriction Risk. Broker-dealers, registered investment adviser platforms, wirehouses, and other financial intermediaries may refuse to list, recommend, or permit purchases of Fund Shares through their platforms due to the Fund’s association with sports performance outcomes and the perception that such products are akin to sports wagering, regardless of the Fund’s legal status as a registered investment company under the 1940 Act. Certain intermediaries may permit only unsolicited purchases, prohibit financial advisers from recommending the Fund, or exclude the Fund from model portfolios entirely. These restrictions could limit the Fund’s accessible investor base, constrain assets under management, reduce secondary market liquidity, widen bid-ask spreads, and increase the likelihood that Fund Shares will trade at significant premiums or discounts to net asset value. Even if an intermediary initially permits distribution, it may subsequently restrict access in response to adverse regulatory developments, reputational concerns, or changes in compliance policies. If a significant number of intermediaries refuse to distribute Fund Shares, the Fund may be unable to achieve sufficient scale, which could increase the Fund’s expense ratio, reduce trading volume, and impair the Fund’s ability to operate effectively.

Novel Market Risk. Red Wings Index Futures Contracts are a novel asset class with limited trading history. The market may not develop the depth, liquidity, or trading efficiency associated with more established futures markets, and its pricing may be influenced by factors unrelated to fundamental assessments of team performance, including speculative activity, behavioral biases, regulatory headlines, or concentrated participation by a limited number of traders. There is limited historical data on which to base expectations regarding future price behavior, volatility patterns, or the costs associated with maintaining exposure, and traditional risk metrics may not accurately capture the risks of investing in this market. There can be no assurance that the market for Red Wings Index Futures Contracts will achieve or sustain the level of participation, liquidity, and price discovery necessary for the Fund to effectively pursue its investment objective.

Limited Price Discovery and Market Depth Risk. Because Red Wings Index Futures Contracts are a newly created instrument class, the market may lack the depth, breadth, and participation necessary for reliable price discovery. Traditional commodity futures markets benefit from decades of participation by commercial hedgers, speculators, and arbitrageurs whose activities contribute to efficient pricing. The market for Red Wings Index Futures Contracts is expected to have few, if any, natural commercial hedgers, and may be dominated by retail speculators, algorithmic traders, or a small number of institutional participants. This concentrated participation could result in prices that do not accurately reflect fair value, wider bid-ask spreads, and elevated intraday price volatility. In thin markets, even modest order flow from the Fund could move prices against the Fund, increasing transaction costs and reducing returns. There can be no assurance that the market for Red Wings Index Futures Contracts will develop sufficient liquidity over time, and the Fund may be unable to establish or exit positions at prices the Fund considers favorable.

Seasonality and Offseason Risk. The Red Wings Index resets to a standardized base value prior to the start of each sports season and has a defined life cycle that ends following the postseason. Because the Fund tracks a single team in a single sport, the Fund is tied to that sport’s competitive calendar and has no ability to diversify across sports or rotate into a sport that is in-season when the team’s sport is not. During the playing season, the Red Wings Index moves in real-time based on officially reported game statistics, and the prices of Red Wings Index Futures Contracts are expected to reflect both the current index level and market expectations regarding future team performance. During the offseason, however, the Red Wings Index will not move because no games are being played, and the Fund’s exposure to Red Wings Index Futures Contracts will behave differently than during the playing season. The Fund anticipates maintaining exposure to Red Wings Index Futures Contracts during the offseason. Although the underlying index will be static during this period, the prices of Red Wings Index Futures Contracts may still fluctuate based on market expectations regarding the team’s prospects for the upcoming season, including coaching changes, player trades, draft picks, free agent signings, injury recovery timelines, training camp developments, and other factors that affect the market’s assessment of the team’s likely statistical performance. However, because the index itself is not moving during the offseason, the magnitude of futures price movements may be reduced relative to the playing season, and the relationship between futures prices and the underlying index level may be less predictable. There can be no assurance that the Fund’s offseason futures holdings will appreciate in value, and the Fund may experience losses during the offseason if market sentiment regarding the team’s upcoming season deteriorates. In addition, there can be no assurance that Red Wings Index Futures Contracts will be available in sufficient volume or at favorable pricing during the offseason or at the start of a new season.

League Discontinuation, Lockout, or Strike Risk. The Fund’s ability to invest in Red Wings Index Futures Contracts depends on the continued operation of the NHL and the playing of scheduled games. Labor disputes between the NHL and its players’ union could result in a lockout or strike that suspends or cancels all or a significant portion of a season. The NHL has previously experienced work stoppages, including a full-season cancellation in 2004-2005. During any such period, no games would be played, the Red Wings Index would not generate data, and trading in Red Wings Index Futures Contracts could be suspended or severely impaired. The Fund would be unable to pursue its investment strategy during such a period, may be forced to liquidate positions at disadvantageous prices, and could experience substantial losses. Even after a labor dispute is resolved, the shortened or restructured season could materially change the statistical patterns underlying the index methodology. In addition, force majeure events such as a pandemic, natural disaster, or other circumstances beyond the control of the league could cause widespread game cancellations or delays. There can be no assurance that the league will not experience a work stoppage or other extended interruption during the Fund’s investment period, or that the Fund will be able to recover any losses incurred as a result of such events.

Index Provider and Data Dependency Risk. The Red Wings Index is maintained and calculated by a single Index Provider, FutureSports. If the Index Provider were to experience operational failures, cease operations, lose its data feed from the applicable sports league, experience a cybersecurity breach, or otherwise become unable to calculate the Red Wings Index, Red Wings Index Futures Contracts may have no reliable reference value, which could materially and adversely affect the value of the Fund. In addition, the Red Wings Index is calculated solely on the basis of officially reported statistics from a single sports league. The league serves as the data source but does not participate in index determination or governance. If the league were to report incorrect statistics, issue post-game corrections, change how it reports or categorizes statistics, delay reporting, or discontinue the provision of data to the Index Provider, the settlement prices of Red Wings Index Futures Contracts could be based on erroneous or incomplete data. Furthermore, the Index Provider controls the methodology by which official statistics are translated into index points. If the Index Provider amends or discontinues its methodology, the behavior of the Red Wings Index could change materially and the futures market may not immediately price in such changes. The Red Wings Index is calculated in real-time while games are being played, which introduces latency, data-feed, and computational risks that differ from those associated with traditional financial indexes.

Trading Hours and Sporting Event Timing Risk. NHL games may occur during evening hours, on weekends, and on holidays when the Exchange is closed and when the market for Red Wings Index Futures Contracts may have limited or no trading activity. Because the Red Wings Index moves in real-time while games are being played, material index movements may occur during periods when investors are unable to buy or sell Shares or when Red Wings Index Futures Contracts are not actively trading. As a result, the opening price of Shares and the prices of Red Wings Index Futures Contracts on the next trading session may differ significantly from the prior session’s closing prices, potentially resulting in large gaps at the open. Shareholders may not be able to sell their Shares until after such a gap has been fully realized, resulting in an inability to mitigate losses in a declining market.

Futures Contracts Risk. Risks of futures contracts include: (i) an imperfect correlation between the value of the futures contract and the underlying asset; (ii) possible lack of a liquid secondary market; (iii) the inability to close a futures contract when desired; (iv) losses caused by unanticipated market movements, which may be unlimited; (v) an obligation for the Fund to make daily cash payments to maintain its required margin, particularly at times when the Fund may have insufficient cash; and (vi) unfavorable execution prices from rapid selling. Unlike equities, which typically entitle the holder to a continuing stake in a corporation, futures contracts normally specify a certain date for settlement in cash based on the reference asset. As the futures contracts approach expiration, they may be replaced by similar contracts that have a later expiration. This process is referred to as “rolling.” If the market for these contracts is in “contango,” meaning that the prices of futures contracts in the nearer months are lower than the price of contracts in the distant months, the sale of the near-term month contract would be at a lower price than the longer-term contract, resulting in a cost to “roll” the futures contract. The actual realization of a potential roll cost will be dependent upon the difference in price of the near and distant contract. Because the margin requirement for futures contracts is less than the value of the assets underlying the futures contract, futures trading involves a degree of leverage. As a result, a relatively small price movement in a futures contract may result in immediate and substantial loss, as well as gain, to the investor. For example, if at the time of purchase, 40% of the value of the futures contract is deposited as margin, a subsequent 20% decrease in the value of the futures contract would result in a loss of half of the margin deposit, before any deduction for the transaction costs, if the account were then closed out. A decrease in excess of 40% would result in a loss exceeding the original margin deposit, if the futures contract were closed out. Thus, a purchase or sale of a futures contract may result in losses in excess of the amount initially invested in the futures contract. However, the Fund would presumably have sustained comparable losses if, instead of investing in the futures contract, it had invested in the underlying financial instrument and sold it after the decline. Further, if the market for Red Wings Index Futures Contracts is in a period of contango, if the performance of the Red Wings Index and the price of Red Wings Index Futures Contracts were to decline, the Fund would experience the negative impact of contango. The impact of backwardation or contango may lead to the returns of the Fund to vary significantly from the total return of other price references. Additionally, in the event of a prolonged period of contango, and absent the impact of rising or falling pricing in the Red Wings Index, this could have a significant negative impact on the Fund’s NAV and total return.

Position Limits and Price Limits

The CFTC and various exchanges on which Red Wings Index Futures Contracts trade have established position limits and price limits for Red Wings Index Futures Contracts. Position limit regulation and price limit regulation serve distinct purposes and are regulated differently.

Position limits are designed to prevent excessive speculation that could cause sudden or unreasonable fluctuations in the price of a commodity. They limit the maximum number of contracts a person or entity can hold in a particular commodity.

Price limits are mechanisms to maintain orderly markets by restricting the price range within which futures contracts can trade during a trading session. They prevent extreme price movements that could disrupt market stability. Price limits are typically set as a percentage of the previous day's settlement price. When price limits are hit, trading may be halted or expanded depending on the product and regulatory rules. Unlike position limits, price limits do not restrict the number of contracts a trader can hold but rather the price at which those contracts can be traded. When a price limit is hit, the market for Red Wings Index Futures Contracts may temporarily halt until price limits can be expanded or trading may be stopped for the day.

If the Fund is unable to buy or sell Red Wings Index Futures Contracts as a result of position limits being hit or price limits that result in a halted or closed market—or for other reasons including limited liquidity in the market for Red Wings Index Futures Contracts, a disruption to the market for Red Wings Index Futures Contracts, or as a result of margin requirements, accountability levels, or other limitations imposed by the Fund’s futures commission merchants (“FCMs”), the listing exchanges, or the CFTC—the Adviser would take such action as it believes appropriate and in the best interest of the Fund in consideration of the facts and circumstances at such time, including: (i) investing in Red Wings Index-Linked Instruments that are not Red Wings Index Futures Contracts; (ii) requiring that authorized participants purchase and redeem in large blocks of shares called “Creation Units” through an exchange for related position (EFRP) method rather than in cash; (iii) applying increased authorized participant variable transaction fees for purchases or redemptions of Creation Units made in cash; or (iv) de-levering the Fund, relative to its investment objective, by an amount reflecting prevailing price limits. In addition, the Fund generally may suspend the issuance of Creation Units only for a limited time and only due to extraordinary circumstances, such as when the markets on which the ETF’s portfolio holdings are traded are closed for a limited period of time; that is to say, when the Fund is unable to increase its exposure to underlying assets.

Cost of Futures Investment Risk. When a Red Wings Index Futures Contract is nearing expiration, the Fund will generally sell it and use the proceeds to buy a Red Wings Index Futures Contract with a later expiration date. This is commonly referred to as “rolling”.

If the Fund rolls Red Wings Index Futures Contracts that are in contango, the Fund would sell a lower priced, expiring contract and purchase a higher priced, longer-dated contract. The price difference between the expiring contract and longer-dated contract associated with rolling Red Wings Index Futures Contracts is typically substantially higher than the price difference associated with rolling other futures contracts. Contango in the market for Red Wings Index Futures Contracts may have a significant adverse impact on the performance of the Fund and may cause Red Wings Index Futures Contracts and the Fund to underperform the Red Wings Index. Both contango and backwardation would reduce the Fund’s correlation to the Red Wings Index and may limit or prevent the Fund from achieving its investment objective. The impact of both contango and backwardation may also be greater to the extent the Fund invests in back-month Red Wings Index Futures Contracts. 

Investment Capacity Risk. If the Fund’s ability to obtain exposure to Red Wings Index Futures Contracts consistent with its investment objective is disrupted for any reason, including but not limited to, limited liquidity in the market for Red Wings Index Futures Contracts, a disruption to the market for Red Wings Index Futures Contracts, or as a result of margin requirements or position limits imposed by the Fund’s FCMs, the CME, or the CFTC, and the Fund could not otherwise meet its investment objective through the use of other investments discussed above, the Fund would not be able to achieve its investment objective and may experience significant losses.

Liquidity Risk. The market for the Red Wings Index Futures Contracts may be subject to periods of illiquidity. During such times it may be difficult or impossible to buy or sell a position at the desired price. Market disruptions or volatility can also make it difficult to find a counterparty willing to transact at a reasonable price and sufficient size. Illiquid markets may cause losses, which could be significant. Large positions also increase the risk of illiquidity, which may make the Fund’s positions more difficult to liquidate, and increase the losses incurred while trying to do so.

Derivatives Risk. In addition to Red Wings Index Futures Contracts, the Fund may obtain exposure through the following other derivatives: (1) exchange traded options on Other Investment Companies and/or (2) swap agreement transactions that reference Red Wings Index Futures Contracts, Other Investment Companies, or the Red Wings Index.

Investing in derivatives may be considered aggressive and may expose the Fund to risks different from, or possibly greater than, the risks associated with investing directly in the reference asset(s) underlying the derivative (e.g., the securities or commodities contained in the Fund). The use of derivatives may result in larger losses or smaller gains than directly investing in securities or commodities. The risks of using derivatives include: (1) the risk that there may be imperfect correlation between the price of the financial instruments and movements in the prices of the reference asset(s); (2) the risk that an instrument is mispriced; (3) credit or counterparty risk on the amount a Fund expects to receive from a counterparty; (4) the risk that securities prices, interest rates and currency markets will move adversely and a Fund will incur significant losses; (5) the risk that the cost of holding a financial instrument might exceed its total return; and (6) the possible absence of a liquid secondary market for a particular instrument and possible exchange imposed price fluctuation limits, either of which may make it difficult or impossible to adjust a Fund’s position in a particular instrument when desired. Each of these factors may prevent a Fund from achieving its investment objective and may increase the volatility (i.e., fluctuations) of the Fund’s returns. Because derivatives often require limited initial investment, the use of derivatives also may expose a Fund to losses in excess of those amounts initially invested.

The performance of any Red Wings Index-Linked Instrument may not track the performance of its underlying benchmark due to embedded costs and other factors. Thus, to the extent the Fund invests in swaps that use a Red Wings Index-Linked Instrument as the reference asset, the Fund may be subject to greater correlation risk and may not achieve as high a degree of correlation with its investment objective than if the Fund only used Red Wings Index Futures Contracts.

Swap Agreements Risk. The Fund may enter into cash-settled swaps and other derivatives to gain exposure to an underlying asset without actually purchasing such asset. Swaps are two-party contracts entered into primarily by institutional investors for periods ranging from a day to more than one year. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on a particular pre-determined interest rate, commodity, security, indexes, or other assets or measurable indicators. The primary risks associated with the use of swaps are mispricing or improper valuation, imperfect correlation between movements in the notional amount and the price of the underlying investments, and the failure of a counterparty to perform. If a counterparty’s creditworthiness for an over-the-counter swap declines, the value of the swap would likely decline. Moreover, there is no guarantee that the Fund could eliminate its exposure under an outstanding swap by entering into an offsetting swap with the same or another party. In addition, the Fund may use a combination of swaps on an underlying index.

Options Risk. The Fund may purchase exchange-traded options that reference shares of Other Investment Companies. Transactions in options generally require less capital than equivalent stock transactions. They may return smaller dollar figures but a potentially greater percentage of the investment than equivalent stock transactions. The potential profit is limited to the premium received for the contract. The potential loss can be unlimited. While leverage means the percentage returns can be significant, the amount of cash required is smaller than equivalent stock transactions. It is possible to lose the entire principal invested, and sometimes more. As an options holder, a Fund risks the entire amount of the premium it pays. But as an options writer, it takes on a much higher level of risk. For example, if the Fund writes an uncovered call, it faces unlimited potential loss, since there is no cap on how high a stock price can rise. When buying options, a Fund risks losing the premium paid, plus commissions and fees.

Reverse Repurchase Agreements Risk. The Fund may invest in reverse repurchase agreements. Reverse repurchase agreements are transactions in which the Fund sells portfolio securities to financial institutions such as banks and broker-dealers, and agrees to repurchase them at a mutually agreed-upon date and price which is higher than the original sale price. Reverse repurchase agreements are a form of leverage and the use of reverse repurchase agreements by the Fund may increase the Fund’s volatility. The Fund incurs costs, including interest expenses, in connection with the opening and closing of reverse repurchase agreements that will be borne by the shareholders.

Reverse repurchase agreements are also subject to the risk that the other party to the reverse repurchase agreement will be unable or unwilling to complete the transaction as scheduled, which may result in losses to the Fund. In situations where the Fund is required to post collateral with a counterparty, the counterparty may fail to segregate the collateral or may commingle the collateral with the counterparty’s own assets. As a result, in the event of the counterparty’s bankruptcy or insolvency, the Fund’s collateral may be subject to the conflicting claims of the counterparty’s creditors, and the Fund may be exposed to the risk of a court treating the Fund as a general unsecured creditor of the counterparty, rather than as the owner of the collateral. There can be no assurance that a counterparty will not default and that the Fund will not sustain a loss on a transaction as a result.

Reverse repurchase agreements also involve the risk that the market value of the securities sold by the Fund may decline below the price at which it is obligated to repurchase the securities. In addition, when the Fund invests the proceeds it receives in a reverse repurchase transaction, there is a risk that those investments may decline in value. In this circumstance, the Fund could be required to sell other investments in order to meet its obligations to repurchase the securities.

Risks Related to Investing in Other Investment Companies. The Fund may invest in long or short positions in Other Investment Companies (i.e., investment companies registered under the 1940 Act that invest in similar assets to those in which the Fund may invest). Investing in Other Investment Companies may involve duplication of advisory or management fees and certain other expenses. By investing in Other Investment Companies, the Fund becomes a shareholder of that Other Investment Company. As a result, Fund shareholders indirectly bear the Fund’s proportionate share of the fees and expenses paid by shareholders of the Other Investment Company, in addition to the fees and expenses Fund shareholders bear in connection with the Fund’s own operations. As a shareholder, the Fund must rely on the Other Investment Company to achieve its investment objective. The Fund’s performance may be magnified positively or negatively by virtue of its investment in the Other Investment Company. If the Other Investment Company fails to achieve its investment objective, the value of the Fund’s investment could decline, thus affecting the Fund’s performance. In addition, because certain Other Investment Company shares are listed on national stock exchanges and are traded like stocks on an exchange, their shares potentially may trade at a discount or a premium. Investments in such shares may be subject to brokerage and other trading costs, which could result in greater expenses to the Fund. Finally, because the value of certain Other Investment Company shares may depend on the demand in the market, the Adviser may not be able to liquidate the Fund’s holdings in those shares at the most optimal time, adversely affecting the Fund’s performance.

Collateral Investments Risk. The Fund’s use of Collateral Investments may include obligations issued or guaranteed by the U.S. Government, its agencies and instrumentalities, including bills, notes and bonds issued by the U.S. Treasury, investment companies registered under the 1940 Act that invest in high-quality securities and corporate debt securities, such as commercial paper.

Some securities issued or guaranteed by federal agencies and U.S. Government-sponsored instrumentalities may not be backed by the full faith and credit of the United States, in which case the investor must look principally to the agency or instrumentality issuing or guaranteeing the security for ultimate repayment, and may not be able to assert a claim against the United States itself in the event that the agency or instrumentality does not meet its commitment. The U.S. Government, its agencies and instrumentalities do not guarantee the market value of their securities, and consequently, the value of such securities may fluctuate. Although the Fund may hold securities that carry U.S. Government guarantees, these guarantees do not extend to the Shares.

Investment companies that invest in high-quality securities are subject to management fees and other expenses. Therefore, investments in these funds will cause the Fund to bear indirectly a proportional share of the fees and costs of the funds in which it invests. At the same time, the Fund will continue to pay its own management fees and expenses with respect to all of its assets, including any portion invested in the shares of such fund. It is possible to lose money by investing in investment companies that invest in high-quality securities.

Corporate debt securities such as commercial paper generally are short-term unsecured promissory notes issued by businesses. Corporate debt may carry variable or floating rates of interest. Corporate debt securities carry both credit risk and interest rate risk. Credit risk is the risk that the Fund could lose money if the issuer of a corporate debt security is unable to pay interest or repay principal when it is due.

Asset Concentration Risk. Since the Fund may take concentrated positions in Red Wings Index Futures Contracts, the Fund’s performance may be hurt disproportionately and significantly by the poor performance of those positions to which it has significant exposure. Asset concentration makes the Fund more susceptible to any single occurrence affecting the underlying positions and may subject the Fund to greater market risk than more diversified funds.

Counterparty Risk. The Fund will be subject to credit risk (i.e., the risk that a counterparty is unwilling or unable to make timely payments or otherwise meet its contractual obligations) with respect to the amount the Fund expects to receive from counterparties to: Red Wings Index Futures Contracts; reverse repurchase agreements; swaps on Red Wings Index Futures Contracts, Other Investment Companies, or the Red Wings Index.

The Fund may be negatively impacted if a counterparty becomes bankrupt or otherwise fails to perform its obligations under such an agreement. The Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding and the Fund may obtain only limited recovery or may obtain no recovery in such circumstances. In order to attempt to mitigate potential counterparty credit risk, the Fund typically enters into transactions with major financial institutions.

The counterparty to an exchange-traded futures contract is subject to the credit risk of the clearing house and the FCM through which it holds its position. Specifically, the FCM or the clearing house could fail to perform its obligations, causing significant losses to the Fund. For example, the Fund could lose margin payments it has deposited with an FCM as well as any gains owed but not paid to the Fund, if the FCM or clearing house becomes insolvent or otherwise fails to perform its obligations. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. Under current CFTC regulations, a FCM maintains customers’ assets in a bulk segregated account. If a FCM fails to do so, or is unable to satisfy a substantial deficit in a customer account, its other customers may be subject to risk of loss of their funds in the event of that FCM’s bankruptcy. In that event, in the case of futures, the FCM’s customers are entitled to recover, even in respect of property specifically traceable to them, only a proportional share of all property available for distribution to all of that FCM’s customers. In addition, if the FCM does not comply with the applicable regulations, or in the event of a fraud or misappropriation of customer assets by the FCM, the Fund could have only an unsecured creditor claim in an insolvency of the FCM with respect to the margin held by the FCM. FCMs are also required to transfer to the clearing house the amount of margin required by the clearing house, which amount is generally held in an omnibus account at the clearing house for all customers of the FCM. In addition, the Fund may enter into futures contracts and repurchase agreements with a limited number of counterparties, which may increase the Fund’s exposure to counterparty credit risk. The Fund does not specifically limit its counterparty risk with respect to any single counterparty.

Further, there is a risk that no suitable counterparties are willing to enter into reverse repurchase agreements with the Fund, or continue to enter into, reverse repurchase agreement transactions with the Fund and, as a result, the Fund may not be able to achieve its investment objective. There is also the risk that the Fund may not be able to engage in reverse repurchase agreement transactions because suitable counterparties refuse to enter into transactions with the Fund. Contractual provisions and applicable law may prevent or delay the Fund from exercising its rights to terminate an investment or transaction with a financial institution experiencing financial difficulties, or to realize on collateral, and another institution may be substituted for that financial institution without the consent of the Fund. If the credit rating of a counterparty to a futures contract and/or repurchase agreement declines, the Fund may nonetheless choose or be required to keep existing transactions in place with the counterparty, in which event the Fund would be subject to any increased credit risk associated with those transactions. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the possibility exists that the Fund’s ability to exercise remedies, such as the termination of transactions, netting of obligations and realization on collateral, could be stayed or eliminated under special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide government authorities with broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, the regulatory authorities could reduce, eliminate, or convert to equity the liabilities to the Fund of a counterparty who is subject to such proceedings in the European Union (sometimes referred to as a “bail in”).

Credit Risk. An issuer or other obligated party of a debt security may be unable or unwilling to make dividend, interest and/or principal payments when due. In addition, the value of a debt security may decline because of concerns about the issuer’s ability or unwillingness to make such payments.

Debt Securities Risk. Investments in debt securities subject the holder to the credit risk of the issuer. Credit risk refers to the possibility that the issuer or other obligor of a security will not be able or willing to make payments of interest and principal when due. Generally, the value of debt securities will change inversely with changes in interest rates. To the extent that interest rates rise, certain underlying obligations may be paid off substantially slower than originally anticipated and the value of those securities may fall sharply. During periods of falling interest rates, the income received by the Fund may decline. If the principal on a debt security is prepaid before expected, the prepayments of principal may have to be reinvested in obligations paying interest at lower rates. Debt securities generally do not trade on a securities exchange making them generally less liquid and more difficult to value than common stock.

Interest Rate Risk. Interest rate risk is the risk that the value of the debt securities in the Fund’s portfolio will decline because of rising market interest rates. Interest rate risk is generally lower for shorter term debt securities and higher for longer-term debt securities. Duration is a reasonably accurate measure of a debt security’s price sensitivity to changes in interest rates and a common measure of interest rate risk. Duration measures a debt security’s expected life on a present value basis, taking into account the debt security’s yield, interest payments and final maturity. In general, duration represents the expected percentage change in the value of a security for an immediate 1% change in interest rates. For example, the price of a debt security with a three-year duration would be expected to drop by approximately 3% in response to a 1% increase in interest rates. Therefore, prices of debt securities with shorter durations tend to be less sensitive to interest rate changes than debt securities with longer durations. As the value of a debt security changes over time, so will its duration.

Clearing Broker Risk. The Fund’s investments in exchange-traded futures contracts expose it to the risks of a clearing broker (or a FCM). Under current regulations, a clearing broker or FCM maintains customers’ assets in a bulk segregated account. There is a risk that Fund assets deposited with the clearing broker to serve as margin may be used to satisfy the broker’s own obligations or the losses of the broker’s other clients. In the event of default, the Fund could experience lengthy delays in recovering some or all of its assets and may not see any recovery at all. Furthermore, the Fund is subject to the risk that no FCM is willing or able to clear the Fund’s transactions or maintain the Fund’s assets. If the Fund’s FCMs are unable or unwilling to clear the Fund’s transactions, or if the FCM refuses to maintain the Fund’s assets, the Fund will be unable to have its orders for Red Wings Index Futures Contracts fulfilled or assets custodied. In such a circumstance, the performance of the Fund will likely deviate from the performance of changes in the Red Wings Index and may result in the proportion of Red Wings Index Futures Contracts in the Fund’s portfolio relative to the total assets of the Fund to decrease.

Non-Diversification Risk. The Fund is classified as a “non-diversified company” under the 1940 Act. As a result, the Fund is only limited as to the percentage of its assets which may be invested in the securities of any one issuer by the diversification requirements imposed by the Code. The Fund may invest a relatively high percentage of its assets in a limited number of issuers. As a result, the Fund may be more susceptible to a single adverse economic or regulatory occurrence affecting one or more of these issuers, experience increased volatility and be highly invested in certain issuers.

Risks Related to the Management of the Fund

Active Management Risk. The Fund is actively managed, and its performance reflects investment decisions that the Adviser makes for the Fund. Such judgments about the Fund’s investments may prove to be incorrect. If the investments selected and the strategies employed by the Fund fail to produce the intended results, the Fund could underperform as compared to other funds with similar investment objectives and/or strategies, or could have negative returns.

Frequent Trading Risk. The Fund regularly purchases and subsequently sells (i.e., “rolls”) individual futures contracts throughout the year so as to maintain a fully invested position. As the contracts near their expiration dates, the Fund rolls them over into new contracts. This frequent trading of contracts may increase the amount of commissions or mark-ups to broker-dealers that the Fund pays when it buys and sells contracts, which may detract from the Fund’s performance. High portfolio turnover may result in the Fund paying higher levels of transaction costs and may generate greater tax liabilities for shareholders. Frequent trading risk may cause the Fund’s performance to be less than expected.

Rebalancing Risk. If for any reason the Fund is unable to rebalance all or a portion of its portfolio, or if all or a portion of the portfolio is rebalanced incorrectly, the Fund may be over- or under-exposed to the returns of the Red Wings Index. Additionally, because the market for Red Wings Index Futures Contracts is nascent and may be thinly traded, the Fund’s own trading activity, including purchases, sales, and rolling of contracts, could materially influence the prices of Red Wings Index Futures Contracts. If the Fund represents a significant portion of the open interest or trading volume, its activity could move prices against it, resulting in higher costs and reduced returns. If other market participants anticipate the Fund’s trading patterns, they may engage in front-running or other anticipatory trading strategies that further increase the Fund’s transaction costs. The trading activity associated with such transactions will contribute to the existing trading volume on the underlying futures contracts and may adversely affect the market price of such underlying futures contracts.

Operational Risk. The Fund is exposed to operational risks 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 and the Adviser seek to reduce these operational risks through controls and procedures. However, these measures do not address every possible risk and may be inadequate to address these risks.

Valuation Risk. The Fund or the Subsidiary may hold securities or other assets that may be valued on the basis of factors other than market quotations. This may occur because the asset or security does not trade on a centralized exchange, or in times of market turmoil or reduced liquidity. There are multiple methods that can be used to value a portfolio holding when market quotations are not readily available. The value established for any portfolio holding at a point in time might differ from what would be produced using a different methodology or if it had been priced using market quotations. Portfolio holdings that are valued using techniques other than market quotations, including “fair valued” assets or securities, may be subject to greater fluctuation in their valuations from one day to the next than if market quotations were used. In addition, there is no assurance that the Fund or the Subsidiary could sell or close out a portfolio position for the value established for it at any time, and it is possible that the Fund or the Subsidiary would incur a loss because a portfolio position is sold or closed out at a discount to the valuation established by the Fund or the Subsidiary at that time. The Fund’s ability to value investments may be impacted by technological issues or errors by pricing services or other third-party service providers.

New Fund Risk. As of the date of this prospectus, the Fund has no operating history and currently has fewer assets than larger funds. Like other new funds, large inflows and outflows may impact the Fund’s market exposure for limited periods of time. This impact may be positive or negative, depending on the direction of market movement during the period effected.

Risks Related to Trading of Shares

Trading Issues Risk. 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. The Fund may have difficulty maintaining its listing on the Exchange in the event the Fund’s assets are small, the Fund does not have enough shareholders, or if the Fund is unable to proceed with creation and/or redemption orders.

Authorized Participant Concentration Risk. Only an “authorized participant” or “AP” (i.e., broker-dealers and large institutional investors that have entered into participation agreement with the Fund) may engage in creation or redemption transactions directly with the Fund. The Fund has a limited number of institutions that act as APs on an agency basis (i.e. on behalf of other market 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 AP is able to step forward to create or redeem, in either of these cases, Shares may trade at a discount to the Fund’s net asset value and possibly face delisting.

Market Maker Risk. If the Fund has lower average daily trading volumes, it may rely on a small number of third-party market makers to provide a market for the purchase and sale of Shares. Any trading halt or other problem relating to the trading activity of these market makers could result in a dramatic change in the spread between the Fund’s net asset value and the price at which the Shares are trading on the Exchange, which could result in a decrease in value of the Shares. In addition, decisions by market makers or APs to reduce their role or step away from these activities in times of market stress could inhibit the effectiveness of the arbitrage process in maintaining the relationship between the underlying values of the Fund’s portfolio securities and the Fund’s market price. This reduced effectiveness could result in Shares trading at a discount to net asset value and also in greater than normal intra-day bid-ask spreads for Shares.

Premium/Discount Risk. The market price of the Fund’s Shares will generally fluctuate in accordance with changes in the Fund’s net asset value as well as the relative supply of and demand for Shares on the Exchange. The Fund’s market price may deviate from the value of the Fund’s underlying portfolio holdings, particularly in time of market stress, with the result that investors may pay more or receive less than the underlying value of the Shares bought or sold. The Adviser cannot predict whether Shares will trade below, at, or above their net asset value because the Shares trade on the Exchange at market prices and not at net asset value. 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, but not identical, to the same forces influencing the prices of the holdings of the Fund trading individually or in the aggregate at any point in time. However, given that Shares can only be purchased and redeemed in Creation Units, and only to and from broker-dealers and large institutional investors that have entered into participation agreements (unlike shares of closed-end funds, which frequently trade at appreciable discounts from, and sometimes at premiums to, their net asset value), the Adviser believes that large discounts or premiums to the net asset value of Shares should not be sustained. In addition, because the Fund provides exposure to the statistical performance of a single professional sports team, demand for Shares may be influenced by fan loyalty, emotional attachment, and team-related sentiment rather than by rational assessments of the Fund’s expected risk-adjusted returns. These demand patterns could increase intraday volatility in Fund Shares, widen bid-ask spreads, and result in investors purchasing or selling Shares at prices that do not reflect the Fund’s underlying NAV. During stressed market conditions, the market for the Fund’s Shares may become less liquid in response to deteriorating liquidity in the market for the Fund’s underlying portfolio holdings, which could in turn lead to differences between the market price of the Fund’s Shares and their net asset value. This can be reflected as a spread between the bid and ask prices for the Fund quoted during the day or a premium or discount in the closing price from the Fund’s NAV.

Active Market Risk. Although the Shares are listed for trading on the Exchange, there can be no assurance that an active trading market for the Shares will develop or be maintained. Shares trade on the Exchange at market prices that may be below, at or above the Fund’s net asset value. Securities, including the Shares, are subject to market fluctuations and liquidity constraints that may be caused by such factors as economic, political, or regulatory developments, changes in interest rates, and/or perceived trends in securities prices. Shares of the Fund could decline in value or underperform other investments.

Cash Transaction Risk. Most ETFs generally make in-kind redemptions to avoid being taxed at the fund level on gains on the distributed portfolio securities. However, unlike most ETFs, the Fund currently intends to effect some or all redemptions for cash, rather than in-kind, because of the nature of the Fund’s investments. The Fund may be required to sell portfolio securities to obtain the cash needed to distribute redemption proceeds, which involves transaction costs that the Fund may not have incurred had it effected redemptions entirely in kind. These costs may include brokerage costs and/or taxable gains or losses, which may be imposed on the Fund and decrease the Fund’s NAV to the extent such costs are not offset by a transaction fee payable to an AP. If the Fund recognizes gain on these sales, this generally will cause the Fund to recognize gain it might not otherwise have recognized if it were to distribute portfolio securities in-kind, or to recognize such gain sooner than would otherwise be required. This may decrease the tax efficiency of the Fund compared to ETFs that utilize an in-kind redemption process, and there may be a substantial difference in the after-tax rate of return between the Fund and other ETFs.

Risks Related to Regulation, External Factors, and Federal Income Tax Consequences

Tax Risk. The Fund intends to elect and to qualify each year to be treated as a RIC under Subchapter M of the Code. As a RIC, the Fund will not be subject to U.S. federal income tax on the portion of its net investment income and net capital gain that it distributes to shareholders, provided that it satisfies certain requirements of the Code. If the Fund does not qualify as a RIC for any taxable year and certain relief provisions are not available, the Fund’s taxable income will be subject to tax at the Fund level and to a further tax at the shareholder level when such income is distributed. Additionally, buying securities shortly before the record date for a taxable dividend or capital gain distribution is commonly known as “buying the dividend.” In the event a shareholder purchases Shares shortly before such a distribution, the entire distribution may be taxable to the shareholder even though a portion of the distribution effectively represents a return of the purchase price. To comply with the asset diversification test applicable to a RIC, the Fund will limit its investments in the Subsidiary to 25% of the Fund’s total assets at the end of each tax quarter. The investment strategy of the Fund will cause the Fund to hold substantially more than 25% of the Fund’s total assets in investments in the Subsidiary the majority of the time. The Fund intends to manage the exposure to the Subsidiary so that the Fund’s investments in the Subsidiary do not exceed 25% of the total assets at the end of any tax quarter. If the Fund’s investments in the Subsidiary were to exceed 25% of the Fund’s total assets at the end of a tax quarter, the Fund, generally, has a grace period to cure such lack of compliance. If the Fund fails to timely cure, it may no longer be eligible to be treated as a RIC.

Because Red Wings Index Futures Contracts produce non-qualifying income for purposes of qualifying as a RIC, the Fund makes its investments in Red Wings Index Futures Contracts through the Subsidiary. The Fund intends to treat any income it may derive from the futures contracts received by the Subsidiary as “qualifying income” under the provisions of the Code applicable to RICs. The IRS has issued PLRs provided to third parties not associated with the Fund or its affiliates (which only those parties may rely on as precedent) concluding that similar arrangements resulted in qualifying income. Many of such PLRs have now been revoked by the IRS. In March of 2019, the Internal Revenue Service published Regulations that concluded that income from a corporation similar to the Subsidiary would be qualifying income, if the income is related to the Fund’s business of investing in stocks or securities. Although the Regulations do not require distributions from the Subsidiary, the Fund intends to cause the Subsidiary to make distributions that would allow the Fund to make timely distributions to its shareholders. The Fund generally will be required to include in its own taxable income the income of the Subsidiary for a tax year, regardless of whether the Fund receives a distribution of the Subsidiary’s income in that tax year, and this income would nevertheless be subject to the distribution requirement for qualification as a RIC and would be taken into account for purposes of the 4% excise tax.

If, in any year, the Fund were to fail to qualify for the special tax treatment accorded a RIC and its shareholders, and were ineligible to or were not to cure such failure, the Fund would be taxed in the same manner as an ordinary corporation subject to U.S. federal income tax on all its income at the fund level. The resulting taxes could substantially reduce the Fund’s net assets and the amount of income available for distribution. In addition, in order to requalify for taxation as a RIC, the Fund could be required to recognize unrealized gains, pay substantial taxes and interest, and make certain distributions.

Subsidiary Regulatory Investment Risk. Changes in the laws of the United States and/or the Cayman Islands, under which the Fund and the Subsidiary are organized, respectively, could result in the inability of the Fund to operate as intended and could negatively affect the Fund and its shareholders. The Subsidiary is not registered under the 1940 Act and is not subject to all the investor protections of the 1940 Act. However, as the Subsidiary is wholly-owned by the Fund, and the investors of the Fund will have the investor protections of the 1940 Act, the Fund as a whole—including the Subsidiary—will provide investors with 1940 Act protections.

Commodity Regulatory Risk. The Fund’s use of commodity futures subject to regulation by the CFTC has caused the Fund to be classified as a “commodity pool” and this designation requires that the Fund comply with CFTC rules, which may impose additional regulatory requirements and compliance obligations. The Fund’s investment decisions may need to be modified, and commodity contract positions held by the Fund may have to be liquidated at disadvantageous times or prices, to avoid exceeding any applicable position limits established by the CFTC, potentially subjecting the Fund to substantial losses. The regulation of commodity transactions in the United States is subject to ongoing modification by government, self-regulatory and judicial action. The effect of any future regulatory change with respect to any aspect of the Fund is impossible to predict, but could be substantial and adverse to the Fund.

Regulatory Risk. The regulatory framework governing sports-linked financial instruments is evolving and subject to significant uncertainty. Red Wings Index Futures Contracts are a novel instrument class for which there is limited regulatory precedent. The CFTC has broad discretionary authority to determine whether particular contracts are consistent with the public interest, including authority to disapprove or direct an exchange to delist contracts that the CFTC determines involve gaming, are unlawful, or otherwise run contrary to the purposes of the CEA. The CFTC has recently proposed amendments to its rules concerning event contracts, commonly referred to as prediction markets, to specify which contracts may be determined contrary to the public interest and therefore may not be listed for trading or accepted for clearing on or through a CFTC-regulated entity. The CFTC or the listing exchange could, at any time and without advance notice, impose new conditions, margin or position-limit requirements, reporting obligations, trading halts, settlement adjustments, or delisting actions. Any such changes could, among other things; (i) impair the Fund’s ability to establish, maintain, or close positions; (ii) require the Fund to liquidate positions at disadvantageous prices; (iii) alter the economic characteristics on which the Fund relies; or (iv) render the Fund’s principal investment strategy impractical. In addition, future legislative, judicial, or administrative developments could retroactively affect the permissibility, settlement mechanics, or availability of Red Wings Index Futures Contracts. These developments may occur abruptly and may not provide mechanisms for investor recourse or for the orderly unwind of positions. There can be no assurance that the regulatory environment for sports-linked financial instruments will remain stable or favorable.

Cyber Security Risk. The Fund is susceptible to operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional events that may cause the Fund to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause the Fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. Cyber security breaches may involve unauthorized access to the Fund’s digital information systems through “hacking” or malicious software coding, but may also result from outside attacks such as denial-of-service attacks through efforts to make network services unavailable to intended users. In addition, cyber security breaches of the Fund’s third-party service providers, such as its administrator, transfer agent, or custodian, as applicable, or issuers in which the Fund invests, can also subject the Fund to many of the same risks associated with direct cyber security breaches. While the Fund has established business continuity plans and risk management systems designed to reduce the risks associated with cyber security, there are inherent limitations in such plans and systems. Additionally, there is no guarantee that such efforts will succeed, especially because the Fund does not directly control the cyber security systems of issuers or third-party service providers.

Natural Disaster/Epidemic Risk. Natural or environmental disasters, such as earthquakes, fires, floods, Red Wings, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks, and result in significant breakdowns, delays, shutdowns, social isolation, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Fund and its investments. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy of financial projections. Under these circumstances, the Fund may have difficulty achieving its investment objectives which may adversely impact Fund performance. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Fund’s investment advisor, third party service providers, and counterparties), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Fund’s investments. These factors can cause substantial market volatility, exchange trading suspensions and closures, changes in the availability of and the margin requirements for certain instruments, and can impact the ability of the Fund to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market. A widespread crisis would also affect the global economy in ways that cannot necessarily be foreseen. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these could have a significant impact on the Fund’s performance, resulting in losses to your investment.

Performance

As of the date of this prospectus, the Fund has not yet commenced operations and therefore does not have a performance history. Once available, the Fund’s performance information will be accessible on the Fund’s website at www.volatilityshares.com and will provide some indication of the risks of investing in the Fund.

Management

Investment Adviser

Volatility Shares LLC 

Portfolio Managers

The following persons serve as portfolio managers of the Fund. 

Each of the portfolio managers is primarily and jointly responsible for the day-to-day management of the Fund. Each of the Fund’s portfolio managers have served in such capacity since the Fund’s inception.

Purchase and Sale of Shares

The Fund issues and redeems Shares on a continuous basis, at NAV, only in large blocks of shares called “Creation Units.” Individual Shares may only be purchased and sold on the secondary market through a broker-dealer at a market price. Since Shares trade on securities exchanges in the secondary market at their market price rather than their NAV, the Shares may trade at a price greater than (premium) or less than (discount) the Fund’s NAV. An investor may incur costs attributable to the difference between the highest price a buyer is willing to pay to purchase Shares (bid) and the lowest price a seller is willing to accept for Shares (ask) when buying or selling Shares in the secondary market (the “bid-ask spread”). Recent information, including the Fund’s NAV, market price, premiums and discounts, and bid-ask spreads, is available online at www.volatilityshares.com.

Tax Information

The Fund’s distributions will generally be taxable as ordinary income, returns of capital or capital gains. A sale of Shares may result in capital gain or loss.

Payments to Broker-Dealers and Other Financial Intermediaries

If you purchase Shares through a broker-dealer or other financial intermediary (such as a bank), the Adviser and Foreside Fund Services, LLC, the Fund’s distributor (the “Distributor”), may pay the intermediary for the sale of Shares and 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.

Edmonton Oilers ETF

Investment Objective

The Edmonton Oilers ETF (the “Fund” or “[__]”) seeks to provide investment results, before fees and expenses, that correspond to the performance of futures contracts on the CME FSPI NHL Edmonton Oilers Index.

Fees and Expenses of the Fund

This table describes the fees and expenses that you may pay if you buy, hold and sell Shares. Investors may pay other fees, such as brokerage commissions and other fees to financial intermediaries, which are not reflected in the table and example set forth below.

Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment)

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 assumes that you invest $10,000 in the Fund for the time periods indicated and then sell all of your Shares at the end of those periods. The example also assumes that your investment has a 5% return each year and that the Fund’s operating expenses remain at current levels. This example does not include the brokerage commissions that investors may pay to buy and sell Shares.

Although your actual costs may be higher or lower, your costs, based on these assumptions, would be:

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 will cause the Fund to incur additional transaction costs and may result in higher taxes when Shares are held in a taxable account. These costs, which are not reflected in Total Annual Fund Operating Expenses or in the example, may affect the Fund’s performance. Because the Fund is new, portfolio turnover information is unavailable at this time.

Principal Investment Strategies 

The Fund is an exchange-traded fund (“ETF”) that seeks to achieve its investment objective primarily through investments in futures contracts on the CME FSPI NHL Edmonton Oilers Index, which is a non-investable index (the “Oilers Index”). The Oilers Index is designed to systemically measure the cumulative team performance of the Edmonton Oilers only during games played over the regular and post-season. The Oilers Index is a transparent, rules-based system using official league statistics, where positive actions add points and negative actions subtract points. The Oilers Index is based on fifty-five statistical measures of performance and results of team games (wins, losses and ties) that results in continuous, live statistical values that underpin the value of the Oilers Index which is calculated into a trackable and tradable number. The Oilers Index is based solely on these statistical factors, and the performance of other professional hockey teams in the National Hockey League^® (the “NHL”), or events outside of on-ice performance by the Edmonton Oilers, will not impact the value of the Oilers Index.

The Oilers Index has an initial standardized base value of 7,500 before the season and moves up or down based on officially reported statistics from each game, including real-time movement during regular season and postseason play. At the conclusion of the postseason, the Oilers Index value resets to 7,500.

The Oilers Index is maintained and calculated by FutureSports (the “Index Provider”). The Oilers Index methodology is designed to align with the International Organization of Securities Commissions (“IOSCO”) Principles for Financial Benchmarks and supported by published governance, oversight and methodology change procedures. The NHL serves as the official data source for the Oilers Index but does not participate in index determination or governance.

The Fund obtains exposure to the Oilers Index by investments in futures contracts that reference the Oilers Index and that trade on an exchange registered with the Commodity Futures Trading Commission (“Oilers Index Futures Contracts”), and cash, cash-like instruments or high quality securities that serve as collateral to the Fund’s investments in Oilers Index Futures Contracts (“Collateral Investments”).

Under normal circumstances, the Fund will invest at least 80% of the value of its net assets (plus borrowings for investment purposes) in Oilers Index-Linked Instruments. For purposes of this policy, “Oilers Index-Linked Instruments” means (i) Oilers Index Futures Contracts; (ii) shares of other investment companies registered under the Investment Company Act of 1940 (the “1940 Act”) that invest in similar assets to those in which the Fund may invest (“Other Investment Companies”); (iii) exchange traded options on the Oilers Index or shares of Other Investment Companies; and (iv) swap agreement transactions that reference Oilers Index Futures Contracts, Other Investment Companies, or the Oilers Index. Certain Oilers Index-Linked Instruments, such as Other Investment Companies or options thereon, are currently unavailable for investment, though are expected to become available in the future.

The Fund expects to gain investment exposure to the Oilers Index by investing a portion of its assets in a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands (the “Subsidiary”).

The Fund does not invest directly in prediction markets, event contracts or other instruments that provide exposure to individual sporting event or season-long outcomes or to investments that provide exposure to the financial performance of individual sports teams or leagues. Instead, the Fund seeks to benefit from increases in the price of Oilers Index Futures Contracts.

The investment adviser to the Fund and the Subsidiary is Volatility Shares LLC (the “Adviser” or “Volatility Shares”). The Adviser oversees the Fund and implements the day-to-day portfolio management responsibilities for the Fund. In serving as investment adviser to the Fund, the Adviser does not conduct conventional investment research or analysis or forecast market movement or trends.

The Fund is classified as a “non-diversified company” under the 1940 Act. The Fund will not concentrate its investments in securities of issuers in any industry or group of industries, as the term “concentrate” is used in the 1940 Act, except that the Fund may invest more than 25% of its total assets in Oilers Index-Linked Instruments.

The Edmonton Oilers

The Edmonton Oilers are a professional ice hockey team based in Edmonton, Alberta, competing in the Pacific Division of the NHL’s Western Conference. During the 2025–2026 season, the Oilers finished second in the Pacific Division, ranking 14th in standings points, 7th in goals for, 25th in goals against, and 14th in goal differential. The Oilers were founded in 1972 as a World Hockey Association franchise. The Oilers are currently owned by Daryl Katz, serving as Owner and Chairman since 2008. The team has won five Stanley Cup championships, capturing titles in 1984, 1985, 1987, 1988, and 1990. Neither the Fund, the Trust, nor the Adviser is affiliated with the Edmonton Oilers.

Oilers Index Futures Contracts

The Fund intends to typically enter into cash-settled Oilers Index Futures Contracts as the “buyer,” except as detailed below.

In simplest terms, in a cash-settled futures market the counterparty pays cash to the buyer if the price of a futures contract goes up, and buyer pays cash to the counterparty if the price of the futures contract goes down. In order to maintain its exposure to the Oilers Index, the Fund intends to exit its futures contracts as they near expiration and replace them with new futures contracts with a later expiration date. Futures contracts with a longer term to expiration may be priced higher than futures contracts with a shorter term to expiration, a relationship called “contango”. When rolling futures contracts that are in contango the Fund will close its long position by selling the shorter-term contract at a relatively lower price and buying a longer-dated contract at a relatively higher price. The presence of contango will adversely affect the performance of the Fund. Conversely, futures contracts with a longer term to expiration may be priced lower than futures contracts with a shorter term to expiration, a relationship called “backwardation”. When rolling long futures contracts that are in backwardation, the Fund will close its long position by selling the shorter-term contract at a relatively higher price and buying a longer-dated contract at a relatively lower price. The presence of backwardation may positively affect the performance of the Fund. Further, the returns of the Oilers Index Futures Contracts may differ from that of the Oilers Index due to the divergence in prices or the costs associated with investing in futures contracts, which may negatively impact the Fund’s returns.

The Fund invests in Oilers Index Futures Contracts indirectly via the Subsidiary. The Subsidiary and the Fund will have the same investment adviser and investment objective. The Subsidiary will also follow the same general investment policies and restrictions as the Fund. Except as noted herein, for purposes of this Prospectus, references to the Fund’s investment strategies and risks include those of the Subsidiary. The Fund complies with the provisions of the 1940 Act governing investment policies and capital structure and leverage on an aggregate basis with the Subsidiary. Furthermore, the Adviser, as the investment adviser to the Subsidiary, complies with the provisions of the 1940 Act relating to investment advisory contracts as it relates to its advisory agreement with the Subsidiary. The Subsidiary also complies with the provisions of the 1940 Act relating to affiliated transactions and custody. Because the Fund intends to qualify for treatment as a regulated investment company (a “RIC”) under the Internal Revenue Code of 1986 (the “Code”), the size of the Fund’s investment in the Subsidiary will not exceed 25% of the Fund’s total assets at or around each quarter end of the Fund’s fiscal year. In order to qualify as a RIC, the Fund will have to reduce its exposure to its Subsidiary on or around the end of each of the Fund’s fiscal quarter ends. The Fund expects to reduce its exposure to its Subsidiary during these periods by investing in certain other investments as described below. During these periods, the Fund may not achieve its investment objective. At other times of the year, the Fund’s investments in the Subsidiary will significantly exceed 25% of the Fund’s total assets. The Subsidiary’s custodian is U.S. Bank, N.A.

If circumstances occur where market prices for Oilers Index Futures Contracts were not readily available, the Fund would fair value its Oilers Index Futures Contracts in accordance with its pricing and valuation policy and procedures for fair value determinations. Pursuant to those policies and procedures, the Adviser would consider various factors, such as pricing history; market levels prior to price limits or halts; and supply, demand, and open interest in Oilers Index Futures Contracts, among other factors. The Adviser would document its proposed pricing and methodology, detailing the factors that entered into the valuation.

Collateral Investments

The Fund will also invest its assets in Collateral Investments. The Collateral Investments may consist of high-quality securities, which include: (1) U.S. Government securities, such as bills, notes and bonds issued by the U.S. Treasury; (2) investment companies registered under the 1940 Act that invest in high-quality securities; and/or (3) corporate debt securities, such as commercial paper and other short-term unsecured promissory notes issued by businesses that are rated investment grade or determined by the Adviser to be of comparable quality. For these purposes, “investment grade” is defined as investments with a rating at the time of purchase in one of the four highest categories of at least one nationally recognized statistical rating organization (e.g., BBB- or higher from S&P Global Ratings or Baa3 or higher from Moody’s Investors Service, Inc.).

The Collateral Investments are designed to provide liquidity, serve as margin, or otherwise collateralize the Subsidiary’s investments in Oilers Index-Linked Instruments. The Fund expects that it will primarily invest its assets, and that the Subsidiary will primarily invest its assets, in Collateral Investments that are “securities,” as such term is defined under the 1940 Act.

Other Investments

In order to help the Fund maintain exposure to the Oilers Index, maintain its tax status as a RIC on days in and around quarter-end, help the Fund maintain its desired exposure to Oilers Index Futures Contracts when it is approaching or has exceeded position limits or accountability levels, or because of liquidity or other constraints, the Fund may invest in the following:

Reverse Repurchase Agreements

The Fund may invest in reverse repurchase agreements which are a form of borrowing in which the Fund sells portfolio securities to financial institutions and agrees to repurchase them at a mutually agreed-upon date and price that is higher than the original sale price, and use the proceeds for investment purchases. 

As a result of the Fund repurchasing the securities at a higher price, the Fund will lose money by engaging in reverse repurchase agreement transactions.

As noted above, because the Fund intends to qualify for treatment as a RIC under the Code, the size of the Fund’s investment in the Subsidiary will not exceed 25% of the Fund’s total assets at or around each quarter end of the Fund’s fiscal year (the “Asset Diversification Test”). At other times of the year, the Fund’s investments in the Subsidiary will significantly exceed 25% of the Fund’s total (or gross) assets.

When the Fund seeks to reduce its total assets exposure to the Subsidiary, it may use the short-term Treasury Bills it owns (and purchase additional Treasury Bills as needed) to transact in reverse repurchase agreement transactions, which are ostensibly loans to the Fund. Those loans will increase the gross assets of the Fund, which the Adviser expects will allow the Fund to meet the Asset Diversification Test. When the Fund enters into a reverse repurchase agreement, it will either (i) be consistent with Section 18 of the 1940 Act and maintain asset coverage of at least 300% of the value of the reverse repurchase agreement; or (ii) treat the reverse repurchase agreement transactions as derivative transactions for purposes of Rule 18f-4 under the 1940 Act (“Rule 18f-4”), including as applicable, the value-at-risk based limit on leverage risk.

Other Investment Companies

The Fund may invest in shares of Other Investment Companies, that is, shares of investment companies registered under the 1940 Act that invest in similar assets to those in which the Fund may invest.

Exchange-traded option contracts on shares of Other Investment Companies.

The Fund may invest in exchange-listed option contracts on shares of Other Investment Companies, which invest in similar assets to those in which the Fund may invest. An option is a contract that gives the purchaser of the option, in return for the premium paid, the right to buy shares of an investment company, from the writer of the option (in the case of a call option), or to sell shares of the investment company to the writer of the option (in the case of a put option) at a designated price during the term of the option. The premium paid by the buyer of an option will reflect, among other things, the relationship of the exercise price to the market price and the volatility of the shares of the investment company, the remaining term of the option, supply, demand, interest rates and/or currency exchange rates. The Fund may utilize “American” style options or “European” style options. American style options are exercisable on any date prior to the expiration date of the option contract. In contrast, European style options are exercisable only on the expiration date of the option contract.

Swaps that reference Oilers Index Futures Contracts, Other Investment Companies, or the Oilers Index.

Swap contracts are transactions entered into primarily with major global financial institutions for a specified period ranging from a day to more than one year. In a swap transaction, the Fund and a counterparty will agree to exchange or “swap” payments based on the change in value of an underlying asset or benchmark. For example, the two parties may agree to exchange the return (or differentials in rates of returns) earned or realized on a particular investment or instrument. In the case of the Fund, the reference asset can be Oilers Index Futures Contracts, Other Investment Companies or the Oilers Index.

Principal Risks

As with all investments, there are certain risks of investing in the Fund. Shares will change in value, and you could lose money by investing in the Fund. The Fund may not achieve its investment objective. An investment in the Fund does not represent a complete investment program. An investment in the Fund is not a bank deposit and it is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency, the Adviser or any of their affiliates. You should consider carefully the following risks before investing in the Fund.

Each risk noted below is considered a principal risk of investing in the Fund, regardless of the order in which it appears. The significance of each risk factor below may change over time and you should review each risk factor carefully.

Risks Specific to the Fund’s Investments

Investment Strategy Risk. The Fund, through the Subsidiary, invests primarily in Oilers Index Futures Contracts. The Fund does not invest directly in prediction markets, event contracts or other instruments that provide exposure to individual sporting event or season-long outcomes or to investments that provide exposure to the financial performance of individual sports teams or leagues. Instead, the Fund seeks to benefit from increases in the price of Oilers Index Futures Contracts. The price of Oilers Index Futures Contracts may not be an accurate measure of the Oilers Index. Consequently, the Fund may perform differently from the performance of the Oilers Index. There can be no guarantee that the performance of Oilers Index Futures Contracts will be highly correlated to the performance of the Oilers Index. Transaction costs (including the costs associated with futures investing), position limits, the availability of counterparties and other factors may impact the cost and pricing of Oilers Index Futures Contracts and decrease the correlation between the performance of Oilers Index Futures Contracts and the Oilers Index, over short- or long-term periods. In addition, the performance of back-month Oilers Index Futures Contracts is likely to differ more significantly from the performance of the Oilers Index. To the extent the Fund is invested in back-month Oilers Index Futures Contracts, the performance of the Fund should be expected to deviate more significantly from the performance of the Oilers Index. Moreover, because the Oilers Index is uninvestable, the Fund can only gain exposure through futures contracts and other derivatives, and differences between the prices of those instruments and the levels of the Oilers Index may result in the Fund experiencing larger losses or smaller gains than would be implied by changes in the Oilers Index alone.

Sports Performance Risk. The Fund’s investment strategy is inherently speculative. The value of Oilers Index Futures Contracts is derived from the statistical performance of a single professional sports team as measured by the Oilers Index. Successfully investing in Oilers Index Futures Contracts requires that the team tracked by the index performs well statistically over the course of a season, an outcome that is inherently uncertain and subject to numerous unpredictable variables, including player health, competitive dynamics, coaching decisions, and random variation in athletic performance. The Oilers Index may decline in value, and there can be no assurance that the team tracked by the index will perform at or above the levels implied by the prices of Oilers Index Futures Contracts at the time the Fund obtains exposure.

On-Ice Performance and Competitive Results Risk. The Fund’s investment performance is linked to the on-ice statistical performance of a single NHL team during the regular season and, if applicable, the playoffs. The prices of Oilers Index Futures Contracts are expected to rise when the team performs well statistically and to fall when the team performs poorly. Competitive results in professional hockey are inherently unpredictable and can be influenced by factors entirely outside the team’s control, including the performance of opposing teams, referee calls, random puck bounces, weather affecting travel, and in-game injuries. A team may enter a season with high expectations based on roster strength, coaching hires, or offseason acquisitions, only to underperform due to chemistry issues, unexpected injuries to key players, player slumps, or tactical mismatches against divisional opponents. The NHL season extends over several months and includes 82 regular season games per team, during which even a strong team may experience prolonged losing streaks that cause material declines in the Oilers Index. If the team fails to make the playoffs, the Fund will not benefit from any potential uplift in index value that could accompany postseason success. Conversely, early playoff elimination could cause sharp declines in futures prices if the market had priced in deeper postseason performance. Because the Fund is concentrated in a single NHL team, there is no opportunity to offset poor on-ice performance by gaining exposure to a stronger team or a different sport.

Oilers Index Investing Risk. The Fund is indirectly exposed to the risks of the Oilers Index through its investments in Oilers Index Futures Contracts and other Oilers Index-Linked Instruments. The Fund does not invest in the Oilers Index, which is an uninvestable index. The performance of the Oilers Index will be very different from a portfolio of Oilers Index Futures Contracts.

The Oilers Index moves up or down based on officially reported statistics from every game, match, or event throughout the regular season and postseason. Positive statistical actions (e.g., goals scored, points earned) add value to the index, while negative actions (e.g., opponent scoring, penalties or setbacks) subtract value. Poor statistical performance by the Edmonton Oilers could have a significant negative impact on the level of the Oilers Index and therefore the value of the Fund. In addition, unlike instruments that are based on tradable reference assets, the Oilers Index Futures Contracts and Oilers Index-Linked Instruments are tied to an index that is not directly investable and, thus, have settlement prices based on the calculation of that index, not the price of a tradable asset.

Concentrated Single-Team Exposure Risk. The Fund’s investment strategy results in concentrated exposure to a single professional sports team’s statistical performance (i.e., the Edmonton Oilers) as measured by an index. Unlike diversified funds that spread risk across multiple asset classes, sectors, or issuers, the Fund’s performance is primarily driven by the statistical output of one team over the course of a season. As a result, the Fund is more susceptible to risks affecting that team, including player injuries, suspensions, trades, retirements, coaching changes, front-office turnover, league sanctions, labor disputes, lockouts, or other events that directly or indirectly influence the team’s on-ice statistical performance. This degree of concentration will likely increase volatility in the Fund’s NAV, heighten the likelihood of significant losses over short periods, and cause the Fund’s returns to diverge substantially from those of more diversified investments. Additionally, because the Fund is concentrated in a single team, it is inherently concentrated in a single professional sports league. This subjects the Fund to league-specific risks, including league-wide labor disputes, broad scandal, changes to the structure or rules of the league, or events that cause the cancellation or suspension of games. The Fund has no ability to rotate exposure into a different team, sport, or league in response to adverse developments affecting the team to which it has exposure.

Insider Trading and Information Asymmetry Risk. Unlike securities markets, which are governed by well-established insider trading prohibitions under the Securities Exchange Act of 1934, the legal framework governing trading on the basis of material, non-public information in the context of commodity futures is less developed. While the CFTC has broad anti-manipulation and anti-fraud authority under the Commodity Exchange Act (“CEA”), specific rules and judicial precedent addressing what constitutes improper trading on non-public information in the context of sports-linked futures remain nascent. Certain individuals may possess material, non-public information that could affect the statistical performance of the Oilers Index and, consequently, the prices of Oilers Index Futures Contracts. Such individuals may include, without limitation, team coaches, players, trainers, team medical staff, front office personnel, referees, officials, league personnel, or sports data providers. For example, undisclosed injuries to key players or undisclosed lineup changes could materially affect the level of the Oilers Index. Such persons could trade Oilers Index Futures Contracts or Fund Shares to profit from their informational advantage prior to public disclosure. There is no guarantee that exchanges, the CME, or the CFTC will successfully detect and prevent such trading, and the Fund has no means of preventing such individuals from purchasing or selling Fund Shares. The participation of informed insiders in the market for Oilers Index Futures Contracts can create adverse selection for other market participants and distort market prices. Because the Fund is concentrated in a single team, the impact of insider trading on the Fund may be more pronounced than in markets with broader diversification.

League Credibility and Sports Integrity Risk. The Oilers Index is calculated based on official league statistics derived from the games of a single professional sports team, and the integrity of those games is fundamental to the reliability of the index. Efforts to interfere with the team’s games, including match-fixing, point-shaving, or referee manipulation, could materially affect the statistical data upon which the Oilers Index is based, create significant uncertainty regarding index levels, and cause pronounced price volatility in Oilers Index Futures Contracts. Confirmed or suspected game interference may also prompt legislative or regulatory responses, including restrictions on sports-linked financial products or emergency rulemaking by the CFTC, that could restrict the listing or trading of Oilers Index Futures Contracts. Even widely publicized allegations of interference, absent actual misconduct, could undermine market confidence in the Oilers Index and the futures contracts that reference it.

Gaming and State Regulatory Litigation Risk. Exchanges that list sports-linked financial instruments, including Oilers Index Futures Contracts, may be subject to legal challenges brought by state attorneys general, state gaming commissions, and other state-level actors asserting that such instruments constitute regulated gambling or gaming activity under state law, notwithstanding that such contracts are listed on a CFTC-regulated exchange. Such proceedings may assert that the listing of sports-linked contracts violates state gaming statutes, requires state gaming or sports wagering licenses, or constitutes an illegal gambling enterprise. These exchanges, and the CFTC in certain court filings, have asserted that the CEA and the CFTC’s exclusive jurisdiction over CFTC-regulated exchanges preempts state gaming regulations. There is no assurance that federal courts will rule in favor of federal preemption, and resolution may require years of litigation and potentially appellate review. An adverse ruling could result in the suspension or cessation of trading in Oilers Index Futures Contracts, material operational restrictions, significant financial penalties, or the effective loss of the ability to list sports-linked futures. Any of these outcomes could materially and adversely affect the Fund’s ability to achieve its investment objective and could result in significant losses.

Platform and Distribution Restriction Risk. Broker-dealers, registered investment adviser platforms, wirehouses, and other financial intermediaries may refuse to list, recommend, or permit purchases of Fund Shares through their platforms due to the Fund’s association with sports performance outcomes and the perception that such products are akin to sports wagering, regardless of the Fund’s legal status as a registered investment company under the 1940 Act. Certain intermediaries may permit only unsolicited purchases, prohibit financial advisers from recommending the Fund, or exclude the Fund from model portfolios entirely. These restrictions could limit the Fund’s accessible investor base, constrain assets under management, reduce secondary market liquidity, widen bid-ask spreads, and increase the likelihood that Fund Shares will trade at significant premiums or discounts to net asset value. Even if an intermediary initially permits distribution, it may subsequently restrict access in response to adverse regulatory developments, reputational concerns, or changes in compliance policies. If a significant number of intermediaries refuse to distribute Fund Shares, the Fund may be unable to achieve sufficient scale, which could increase the Fund’s expense ratio, reduce trading volume, and impair the Fund’s ability to operate effectively.

Novel Market Risk. Oilers Index Futures Contracts are a novel asset class with limited trading history. The market may not develop the depth, liquidity, or trading efficiency associated with more established futures markets, and its pricing may be influenced by factors unrelated to fundamental assessments of team performance, including speculative activity, behavioral biases, regulatory headlines, or concentrated participation by a limited number of traders. There is limited historical data on which to base expectations regarding future price behavior, volatility patterns, or the costs associated with maintaining exposure, and traditional risk metrics may not accurately capture the risks of investing in this market. There can be no assurance that the market for Oilers Index Futures Contracts will achieve or sustain the level of participation, liquidity, and price discovery necessary for the Fund to effectively pursue its investment objective.

Limited Price Discovery and Market Depth Risk. Because Oilers Index Futures Contracts are a newly created instrument class, the market may lack the depth, breadth, and participation necessary for reliable price discovery. Traditional commodity futures markets benefit from decades of participation by commercial hedgers, speculators, and arbitrageurs whose activities contribute to efficient pricing. The market for Oilers Index Futures Contracts is expected to have few, if any, natural commercial hedgers, and may be dominated by retail speculators, algorithmic traders, or a small number of institutional participants. This concentrated participation could result in prices that do not accurately reflect fair value, wider bid-ask spreads, and elevated intraday price volatility. In thin markets, even modest order flow from the Fund could move prices against the Fund, increasing transaction costs and reducing returns. There can be no assurance that the market for Oilers Index Futures Contracts will develop sufficient liquidity over time, and the Fund may be unable to establish or exit positions at prices the Fund considers favorable.

Seasonality and Offseason Risk. The Oilers Index resets to a standardized base value prior to the start of each sports season and has a defined life cycle that ends following the postseason. Because the Fund tracks a single team in a single sport, the Fund is tied to that sport’s competitive calendar and has no ability to diversify across sports or rotate into a sport that is in-season when the team’s sport is not. During the playing season, the Oilers Index moves in real-time based on officially reported game statistics, and the prices of Oilers Index Futures Contracts are expected to reflect both the current index level and market expectations regarding future team performance. During the offseason, however, the Oilers Index will not move because no games are being played, and the Fund’s exposure to Oilers Index Futures Contracts will behave differently than during the playing season. The Fund anticipates maintaining exposure to Oilers Index Futures Contracts during the offseason. Although the underlying index will be static during this period, the prices of Oilers Index Futures Contracts may still fluctuate based on market expectations regarding the team’s prospects for the upcoming season, including coaching changes, player trades, draft picks, free agent signings, injury recovery timelines, training camp developments, and other factors that affect the market’s assessment of the team’s likely statistical performance. However, because the index itself is not moving during the offseason, the magnitude of futures price movements may be reduced relative to the playing season, and the relationship between futures prices and the underlying index level may be less predictable. There can be no assurance that the Fund’s offseason futures holdings will appreciate in value, and the Fund may experience losses during the offseason if market sentiment regarding the team’s upcoming season deteriorates. In addition, there can be no assurance that Oilers Index Futures Contracts will be available in sufficient volume or at favorable pricing during the offseason or at the start of a new season.

League Discontinuation, Lockout, or Strike Risk. The Fund’s ability to invest in Oilers Index Futures Contracts depends on the continued operation of the NHL and the playing of scheduled games. Labor disputes between the NHL and its players’ union could result in a lockout or strike that suspends or cancels all or a significant portion of a season. The NHL has previously experienced work stoppages, including a full-season cancellation in 2004-2005. During any such period, no games would be played, the Oilers Index would not generate data, and trading in Oilers Index Futures Contracts could be suspended or severely impaired. The Fund would be unable to pursue its investment strategy during such a period, may be forced to liquidate positions at disadvantageous prices, and could experience substantial losses. Even after a labor dispute is resolved, the shortened or restructured season could materially change the statistical patterns underlying the index methodology. In addition, force majeure events such as a pandemic, natural disaster, or other circumstances beyond the control of the league could cause widespread game cancellations or delays. There can be no assurance that the league will not experience a work stoppage or other extended interruption during the Fund’s investment period, or that the Fund will be able to recover any losses incurred as a result of such events.

Index Provider and Data Dependency Risk. The Oilers Index is maintained and calculated by a single Index Provider, FutureSports. If the Index Provider were to experience operational failures, cease operations, lose its data feed from the applicable sports league, experience a cybersecurity breach, or otherwise become unable to calculate the Oilers Index, Oilers Index Futures Contracts may have no reliable reference value, which could materially and adversely affect the value of the Fund. In addition, the Oilers Index is calculated solely on the basis of officially reported statistics from a single sports league. The league serves as the data source but does not participate in index determination or governance. If the league were to report incorrect statistics, issue post-game corrections, change how it reports or categorizes statistics, delay reporting, or discontinue the provision of data to the Index Provider, the settlement prices of Oilers Index Futures Contracts could be based on erroneous or incomplete data. Furthermore, the Index Provider controls the methodology by which official statistics are translated into index points. If the Index Provider amends or discontinues its methodology, the behavior of the Oilers Index could change materially and the futures market may not immediately price in such changes. The Oilers Index is calculated in real-time while games are being played, which introduces latency, data-feed, and computational risks that differ from those associated with traditional financial indexes.

Trading Hours and Sporting Event Timing Risk. NHL games may occur during evening hours, on weekends, and on holidays when the Exchange is closed and when the market for Oilers Index Futures Contracts may have limited or no trading activity. Because the Oilers Index moves in real-time while games are being played, material index movements may occur during periods when investors are unable to buy or sell Shares or when Oilers Index Futures Contracts are not actively trading. As a result, the opening price of Shares and the prices of Oilers Index Futures Contracts on the next trading session may differ significantly from the prior session’s closing prices, potentially resulting in large gaps at the open. Shareholders may not be able to sell their Shares until after such a gap has been fully realized, resulting in an inability to mitigate losses in a declining market.

Futures Contracts Risk. Risks of futures contracts include: (i) an imperfect correlation between the value of the futures contract and the underlying asset; (ii) possible lack of a liquid secondary market; (iii) the inability to close a futures contract when desired; (iv) losses caused by unanticipated market movements, which may be unlimited; (v) an obligation for the Fund to make daily cash payments to maintain its required margin, particularly at times when the Fund may have insufficient cash; and (vi) unfavorable execution prices from rapid selling. Unlike equities, which typically entitle the holder to a continuing stake in a corporation, futures contracts normally specify a certain date for settlement in cash based on the reference asset. As the futures contracts approach expiration, they may be replaced by similar contracts that have a later expiration. This process is referred to as “rolling.” If the market for these contracts is in “contango,” meaning that the prices of futures contracts in the nearer months are lower than the price of contracts in the distant months, the sale of the near-term month contract would be at a lower price than the longer-term contract, resulting in a cost to “roll” the futures contract. The actual realization of a potential roll cost will be dependent upon the difference in price of the near and distant contract. Because the margin requirement for futures contracts is less than the value of the assets underlying the futures contract, futures trading involves a degree of leverage. As a result, a relatively small price movement in a futures contract may result in immediate and substantial loss, as well as gain, to the investor. For example, if at the time of purchase, 40% of the value of the futures contract is deposited as margin, a subsequent 20% decrease in the value of the futures contract would result in a loss of half of the margin deposit, before any deduction for the transaction costs, if the account were then closed out. A decrease in excess of 40% would result in a loss exceeding the original margin deposit, if the futures contract were closed out. Thus, a purchase or sale of a futures contract may result in losses in excess of the amount initially invested in the futures contract. However, the Fund would presumably have sustained comparable losses if, instead of investing in the futures contract, it had invested in the underlying financial instrument and sold it after the decline. Further, if the market for Oilers Index Futures Contracts is in a period of contango, if the performance of the Oilers Index and the price of Oilers Index Futures Contracts were to decline, the Fund would experience the negative impact of contango. The impact of backwardation or contango may lead to the returns of the Fund to vary significantly from the total return of other price references. Additionally, in the event of a prolonged period of contango, and absent the impact of rising or falling pricing in the Oilers Index, this could have a significant negative impact on the Fund’s NAV and total return.

Position Limits and Price Limits

The CFTC and various exchanges on which Oilers Index Futures Contracts trade have established position limits and price limits for Oilers Index Futures Contracts. Position limit regulation and price limit regulation serve distinct purposes and are regulated differently.

Position limits are designed to prevent excessive speculation that could cause sudden or unreasonable fluctuations in the price of a commodity. They limit the maximum number of contracts a person or entity can hold in a particular commodity.

Price limits are mechanisms to maintain orderly markets by restricting the price range within which futures contracts can trade during a trading session. They prevent extreme price movements that could disrupt market stability. Price limits are typically set as a percentage of the previous day's settlement price. When price limits are hit, trading may be halted or expanded depending on the product and regulatory rules. Unlike position limits, price limits do not restrict the number of contracts a trader can hold but rather the price at which those contracts can be traded. When a price limit is hit, the market for Oilers Index Futures Contracts may temporarily halt until price limits can be expanded or trading may be stopped for the day.

If the Fund is unable to buy or sell Oilers Index Futures Contracts as a result of position limits being hit or price limits that result in a halted or closed market—or for other reasons including limited liquidity in the market for Oilers Index Futures Contracts, a disruption to the market for Oilers Index Futures Contracts, or as a result of margin requirements, accountability levels, or other limitations imposed by the Fund’s futures commission merchants (“FCMs”), the listing exchanges, or the CFTC—the Adviser would take such action as it believes appropriate and in the best interest of the Fund in consideration of the facts and circumstances at such time, including: (i) investing in Oilers Index-Linked Instruments that are not Oilers Index Futures Contracts; (ii) requiring that authorized participants purchase and redeem in large blocks of shares called “Creation Units” through an exchange for related position (EFRP) method rather than in cash; (iii) applying increased authorized participant variable transaction fees for purchases or redemptions of Creation Units made in cash; or (iv) de-levering the Fund, relative to its investment objective, by an amount reflecting prevailing price limits. In addition, the Fund generally may suspend the issuance of Creation Units only for a limited time and only due to extraordinary circumstances, such as when the markets on which the ETF’s portfolio holdings are traded are closed for a limited period of time; that is to say, when the Fund is unable to increase its exposure to underlying assets.

Cost of Futures Investment Risk. When a Oilers Index Futures Contract is nearing expiration, the Fund will generally sell it and use the proceeds to buy a Oilers Index Futures Contract with a later expiration date. This is commonly referred to as “rolling”.

If the Fund rolls Oilers Index Futures Contracts that are in contango, the Fund would sell a lower priced, expiring contract and purchase a higher priced, longer-dated contract. The price difference between the expiring contract and longer-dated contract associated with rolling Oilers Index Futures Contracts is typically substantially higher than the price difference associated with rolling other futures contracts. Contango in the market for Oilers Index Futures Contracts may have a significant adverse impact on the performance of the Fund and may cause Oilers Index Futures Contracts and the Fund to underperform the Oilers Index. Both contango and backwardation would reduce the Fund’s correlation to the Oilers Index and may limit or prevent the Fund from achieving its investment objective. The impact of both contango and backwardation may also be greater to the extent the Fund invests in back-month Oilers Index Futures Contracts. 

Investment Capacity Risk. If the Fund’s ability to obtain exposure to Oilers Index Futures Contracts consistent with its investment objective is disrupted for any reason, including but not limited to, limited liquidity in the market for Oilers Index Futures Contracts, a disruption to the market for Oilers Index Futures Contracts, or as a result of margin requirements or position limits imposed by the Fund’s FCMs, the CME, or the CFTC, and the Fund could not otherwise meet its investment objective through the use of other investments discussed above, the Fund would not be able to achieve its investment objective and may experience significant losses.

Liquidity Risk. The market for the Oilers Index Futures Contracts may be subject to periods of illiquidity. During such times it may be difficult or impossible to buy or sell a position at the desired price. Market disruptions or volatility can also make it difficult to find a counterparty willing to transact at a reasonable price and sufficient size. Illiquid markets may cause losses, which could be significant. Large positions also increase the risk of illiquidity, which may make the Fund’s positions more difficult to liquidate, and increase the losses incurred while trying to do so.

Derivatives Risk. In addition to Oilers Index Futures Contracts, the Fund may obtain exposure through the following other derivatives: (1) exchange traded options on Other Investment Companies and/or (2) swap agreement transactions that reference Oilers Index Futures Contracts, Other Investment Companies, or the Oilers Index.

Investing in derivatives may be considered aggressive and may expose the Fund to risks different from, or possibly greater than, the risks associated with investing directly in the reference asset(s) underlying the derivative (e.g., the securities or commodities contained in the Fund). The use of derivatives may result in larger losses or smaller gains than directly investing in securities or commodities. The risks of using derivatives include: (1) the risk that there may be imperfect correlation between the price of the financial instruments and movements in the prices of the reference asset(s); (2) the risk that an instrument is mispriced; (3) credit or counterparty risk on the amount a Fund expects to receive from a counterparty; (4) the risk that securities prices, interest rates and currency markets will move adversely and a Fund will incur significant losses; (5) the risk that the cost of holding a financial instrument might exceed its total return; and (6) the possible absence of a liquid secondary market for a particular instrument and possible exchange imposed price fluctuation limits, either of which may make it difficult or impossible to adjust a Fund’s position in a particular instrument when desired. Each of these factors may prevent a Fund from achieving its investment objective and may increase the volatility (i.e., fluctuations) of the Fund’s returns. Because derivatives often require limited initial investment, the use of derivatives also may expose a Fund to losses in excess of those amounts initially invested.

The performance of any Oilers Index-Linked Instrument may not track the performance of its underlying benchmark due to embedded costs and other factors. Thus, to the extent the Fund invests in swaps that use a Oilers Index-Linked Instrument as the reference asset, the Fund may be subject to greater correlation risk and may not achieve as high a degree of correlation with its investment objective than if the Fund only used Oilers Index Futures Contracts.

Swap Agreements Risk. The Fund may enter into cash-settled swaps and other derivatives to gain exposure to an underlying asset without actually purchasing such asset. Swaps are two-party contracts entered into primarily by institutional investors for periods ranging from a day to more than one year. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on a particular pre-determined interest rate, commodity, security, indexes, or other assets or measurable indicators. The primary risks associated with the use of swaps are mispricing or improper valuation, imperfect correlation between movements in the notional amount and the price of the underlying investments, and the failure of a counterparty to perform. If a counterparty’s creditworthiness for an over-the-counter swap declines, the value of the swap would likely decline. Moreover, there is no guarantee that the Fund could eliminate its exposure under an outstanding swap by entering into an offsetting swap with the same or another party. In addition, the Fund may use a combination of swaps on an underlying index.