<SEC-DOCUMENT>0000930413-15-000716.txt : 20150219
<SEC-HEADER>0000930413-15-000716.hdr.sgml : 20150219
<ACCEPTANCE-DATETIME>20150218172250
ACCESSION NUMBER:		0000930413-15-000716
CONFORMED SUBMISSION TYPE:	424B3
PUBLIC DOCUMENT COUNT:		1
FILED AS OF DATE:		20150218
DATE AS OF CHANGE:		20150218

FILER:

	COMPANY DATA:	
		COMPANY CONFORMED NAME:			ETF Managers Group Commodity Trust I
		CENTRAL INDEX KEY:			0001610940
		STANDARD INDUSTRIAL CLASSIFICATION:	 [6221]
		IRS NUMBER:				000000000
		STATE OF INCORPORATION:			DE
		FISCAL YEAR END:			0630

	FILING VALUES:
		FORM TYPE:		424B3
		SEC ACT:		1933 Act
		SEC FILE NUMBER:	333-199190
		FILM NUMBER:		15629050

	BUSINESS ADDRESS:	
		STREET 1:		35 BEECHWOOD ROAD
		STREET 2:		SUITE B
		CITY:			SUMMIT
		STATE:			NJ
		ZIP:			07901
		BUSINESS PHONE:		908-897-0510

	MAIL ADDRESS:	
		STREET 1:		35 BEECHWOOD ROAD
		STREET 2:		SUITE B
		CITY:			SUMMIT
		STATE:			NJ
		ZIP:			07901
</SEC-HEADER>
<DOCUMENT>
<TYPE>424B3
<SEQUENCE>1
<FILENAME>c77868_424b3.htm
<TEXT>
<HTML>
<HEAD>
<TITLE></TITLE>
</HEAD>
<BODY>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right"><B>Filed Pursuant to Rule 424(b)(3)<BR>
File No. 333-199190</B></p>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center; color: red">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>PROSPECTUS</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>


<P STYLE="font: 20pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>SIT RISING RATE ETF</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>20,000,000 Shares</B></P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>*Principal U.S. Listing Exchange: NYSE Arca, Inc.</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Sit Rising Rate ETF (the &ldquo;Fund&rdquo;), a series
of the ETF Managers Group Commodity Trust I (the &ldquo;Trust&rdquo;), is an exchange traded fund that issues shares that trade
on the NYSE Arca stock exchange (&ldquo;NYSE Arca&rdquo;). The Fund&rsquo;s investment objective is to profit from rising interest
rates by tracking the performance of a portfolio (the &ldquo;Benchmark Portfolio&rdquo;) consisting of exchange traded
futures contracts and options on futures on 2, 5 and 10-year U.S. Treasury securities (&ldquo;Treasury Instruments&rdquo;) weighted
to achieve a targeted negative 10 year average effective portfolio duration (the &ldquo;Benchmark Component Instruments&rdquo;). The Benchmark Portfolio is maintained by
Sit Fixed Income Advisors II, LLC.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Fund and the Trust are managed and controlled by their sponsor
and investment manager, ETF Managers Capital LLC (the &ldquo;Sponsor&rdquo;). The Fund pays the Sponsor a management fee (the &ldquo;Management Fee&rdquo;), calculated daily and paid monthly,
equal to 0.50% annually. The Fund is also responsible for paying all of the routine operational, administrative and other ordinary
expenses of the Fund, (collectively, &ldquo;Other Expenses&rdquo;). The Sponsor
has contractually agreed to waive its receipt of the Management Fee and/or reimburse the Fund for its expenses (excluding brokerage
fees, interest expenses, and extraordinary expenses) to cap the Fund&rsquo;s total annual expenses (&ldquo;Total Expenses&rdquo;)
(i.e., the Management Fee plus Other Expenses) at 1.50% per annum through February 1, 2016. The Fund may also be responsible for certain non-recurring or extraordinary fees and expenses.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">In order for a hypothetical investment in shares to break
even over the next 12 months, assuming a selling price of $25.00 (the price at which the Fund will sell shares to the initial
Authorized Participant), the investment would have to generate 1.68% return or $0.42.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>


<!-- Field: Page; Sequence: 3 -->
    <DIV STYLE="margin-bottom: 6pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 12pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Fund is an exchange traded fund. This means that most investors
who decide to buy or sell shares of the Fund shares place their trade orders through their brokers and may incur customary brokerage
commissions and charges. Shares trade on the NYSE Arca under the ticker symbol &ldquo;RISE&rdquo; and are bought and sold throughout
the trading day at bid and ask prices like other publicly traded securities.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Shares trade on the NYSE Arca after they are
initially purchased by &ldquo;Authorized Participants,&rdquo; institutional firms that purchase shares in blocks of 25,000
shares called &ldquo;baskets&rdquo; through the Fund&rsquo;s distributor, Esposito Securities, LLC (the
&ldquo;Distributor&rdquo;). Nomura Securities International Inc. is expected to be the initial Authorized Participant. The price of a
basket is equal to the net asset value of 25,000 shares on the day that the order to purchase the basket is accepted by the
Distributor. The net asset value is calculated by taking the current market value of the Fund&rsquo;s total assets (after
close of NYSE Arca) subtracting any liabilities and dividing that total by the total number of outstanding shares. The
offering of the Fund&rsquo;s shares is a &ldquo;best efforts&rdquo; offering, which means that neither the Distributor nor
any Authorized Participant is required to purchase a specific number or dollar amount of shares. The Fund pays the
Distributor a distribution fee consisting of a fixed annual amount plus an incentive fee based on the amount of shares sold.
Authorized Participants will not receive from the Fund, the Sponsor or any of their affiliates any fee or other compensation
in connection with the sale of shares. Aggregate compensation paid to the Distributor and any affiliate of the Sponsor for
distribution-related services in connection with this offering of shares will not exceed 10% of the gross proceeds of the
offering.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Investors who buy or sell shares during the day from their broker
may do so at a premium or discount relative to the Net Asset Value (as defined below) of the Fund&rsquo;s total net assets due
to supply and demand forces at work in the secondary trading market for shares that are closely related to, but not identical to,
the same forces influencing the prices of the futures and options on U.S. Treasury securities in which the Fund invests and the
U.S. Treasury securities and other cash equivalents that the Fund holds. Investing in the Fund involves significant risks. See
&ldquo;<B>Risk Factors Involved with an Investment in the Fund</B>&rdquo; beginning on page 4.</P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The offering of the Fund&rsquo;s shares is registered with the
SEC in accordance with the Securities Act of 1933 (the &ldquo;1933 Act&rdquo;). The offering is intended to be a continuous offering
and is not expected to terminate until all of the registered shares have been sold or three years from the date of the original
offering, whichever is earlier, although the offering may be temporarily suspended if and when no suitable investments for the
Fund are available or practicable. The Fund is not a mutual fund registered under the Investment Company Act of 1940 (&ldquo;1940
Act&rdquo;) and is not subject to regulation under such act.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>NEITHER THE SEC NOR ANY STATE SECURITIES
COMMISSION HAS APPROVED OR<BR>
DISAPPROVED OF THE SECURITIES OFFERED IN THIS PROSPECTUS, OR<BR>
DETERMINED IF THIS PROSPECTUS IS TRUTHFUL
OR COMPLETE. ANY<BR>
REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE.</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Fund is a commodity pool and the Sponsor is a commodity
pool operator subject to regulation by the CFTC and the NFA under the Commodity Exchange Act of 1976. The Sponsor is registered with the
CFTC as a commodity pool operator and is a member of the NFA.</P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>THE COMMODITY FUTURES TRADING COMMISSION
HAS NOT PASSED UPON THE<BR>
MERITS OF PARTICIPATING IN THIS POOL NOR HAS THE COMMISSION PASSED ON<BR>
THE ADEQUACY OR ACCURACY OF THIS
DISCLOSURE DOCUMENT.</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>



<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>The date of this prospectus is
February 11, 2015</B></P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>


<!-- Field: Page; Sequence: 4 -->
    <DIV STYLE="margin-bottom: 6pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 12pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>COMMODITY FUTURES TRADING COMMISSION</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>RISK DISCLOSURE STATEMENT</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>YOU SHOULD CAREFULLY CONSIDER WHETHER
YOUR FINANCIAL CONDITION PERMITS YOU TO PARTICIPATE IN A COMMODITY POOL. IN SO DOING, YOU SHOULD BE AWARE THAT COMMODITY INTEREST
TRADING CAN QUICKLY LEAD TO LARGE LOSSES AS WELL AS GAINS. SUCH TRADING LOSSES CAN SHARPLY REDUCE THE NET ASSET VALUE OF THE POOL
AND CONSEQUENTLY THE VALUE OF YOUR INTEREST IN THE POOL. IN ADDITION, RESTRICTIONS ON REDEMPTIONS MAY AFFECT YOUR ABILITY TO WITHDRAW
YOUR PARTICIPATION IN THE POOL.</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>FURTHER, COMMODITY POOLS MAY BE SUBJECT
TO SUBSTANTIAL CHARGES FOR MANAGEMENT, AND ADVISORY AND BROKERAGE FEES. IT MAY BE NECESSARY FOR THOSE POOLS THAT ARE SUBJECT TO
THESE CHARGES TO MAKE SUBSTANTIAL TRADING PROFITS TO AVOID DEPLETION OR EXHAUSTION OF THEIR ASSETS. THIS DISCLOSURE DOCUMENT CONTAINS
A COMPLETE DESCRIPTION OF EACH EXPENSE TO BE CHARGED THIS POOL AT PAGE 27 AND A STATEMENT OF THE PERCENTAGE RETURN NECESSARY TO
BREAK EVEN, THAT IS, TO RECOVER THE AMOUNT OF YOUR INITIAL INVESTMENT, AT PAGE 27.</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>THIS BRIEF STATEMENT CANNOT DISCLOSE
ALL THE RISKS AND OTHER FACTORS NECESSARY TO EVALUATE YOUR PARTICIPATION IN THIS COMMODITY POOL. THEREFORE, BEFORE YOU DECIDE TO
PARTICIPATE IN THIS COMMODITY POOL, YOU SHOULD CAREFULLY STUDY THIS DISCLOSURE DOCUMENT, INCLUDING THE DESCRIPTION OF THE PRINCIPAL
RISK FACTORS OF THIS INVESTMENT, AT PAGE 4.</B></P>



<!-- Field: Page; Sequence: 5 -->
    <DIV STYLE="margin-bottom: 6pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 12pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>Table of Contents</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>This prospectus is in two parts: a disclosure
document and a Statement of Additional Information.<BR>
These parts are bound together, and both parts contain important information.</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>


<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 95%"><FONT STYLE="font-size: 10pt"><B>Disclosure Document:</B></FONT></TD>
    <TD STYLE="width: 5%; text-align: center; padding-bottom: 1px"><FONT STYLE="font-size: 10pt"><B><U>Page</U></B></FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a001">PROSPECTUS SUMMARY</A></FONT></TD>
    <TD STYLE="text-align: center">1</TD></TR>
<TR STYLE="vertical-align: top; background-color: White">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a002">The Fund&rsquo;s Investment Objective and Strategy</A></FONT></TD>
    <TD STYLE="text-align: center">1</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a003">Principal Investment Risks of an Investment in the Fund</A></FONT></TD>
    <TD STYLE="text-align: center">2</TD></TR>
<TR STYLE="vertical-align: top; background-color: White">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a004">The Fund&rsquo;s Fees and Expenses</A></FONT></TD>
    <TD STYLE="text-align: center">4</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a005">RISK FACTORS INVOLVED WITH AN INVESTMENT IN THE FUND</A></FONT></TD>
    <TD STYLE="text-align: center">4</TD></TR>

<TR STYLE="vertical-align: top; background-color: White">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a015">Other Risks</A></FONT></TD>
    <TD STYLE="text-align: center">7</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a016">Additional Information About the Fund, its Investment Objective and Investments</A></FONT></TD>
    <TD STYLE="text-align: center">11</TD></TR>
<TR STYLE="vertical-align: top; background-color: White">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a017">What are the Trading Policies of the Fund?</A></FONT></TD>
    <TD STYLE="text-align: center">13</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a018">The Fund&rsquo;s Operations</A></FONT></TD>
    <TD STYLE="text-align: center">14</TD></TR>
<TR STYLE="vertical-align: top; background-color: White">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a019">The Sponsor and its Management and Trading Principal</A></FONT></TD>
    <TD STYLE="text-align: center">14</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a020">The Fund&rsquo;s Service Providers</A></FONT></TD>
    <TD STYLE="text-align: center">26</TD></TR>
<TR STYLE="vertical-align: top; background-color: White">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a021">The Fund&rsquo;s Fees and Expenses</A></FONT></TD>
    <TD STYLE="text-align: center">27</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a022">Breakeven Analysis</A></FONT></TD>
    <TD STYLE="text-align: center">27</TD></TR>
<TR STYLE="vertical-align: top; background-color: White">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a023">Conflicts of Interest</A></FONT></TD>
    <TD STYLE="text-align: center">28</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a024">Fiduciary and Regulatory Duties of the Sponsor</A></FONT></TD>
    <TD STYLE="text-align: center">29</TD></TR>
<TR STYLE="vertical-align: top; background-color: White">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a025">Liability and Indemnification</A></FONT></TD>
    <TD STYLE="text-align: center">30</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a026">Provisions of Law</A></FONT></TD>
    <TD STYLE="text-align: center">31</TD></TR>
<TR STYLE="vertical-align: top; background-color: White">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a027">Books and Records</A></FONT></TD>
    <TD STYLE="text-align: center">31</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a028">Statements, Filings and Reports</A></FONT></TD>
    <TD STYLE="text-align: center">32</TD></TR>
<TR STYLE="vertical-align: top; background-color: White">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a029">Emerging Growth Company Status</A></FONT></TD>
    <TD STYLE="text-align: center">32</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a030">Fiscal Year</A></FONT></TD>
    <TD STYLE="text-align: center">33</TD></TR>
<TR STYLE="vertical-align: top; background-color: White">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a031">Governing Law; Consent to Delaware Jurisdiction</A></FONT></TD>
    <TD STYLE="text-align: center">33</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a032">Legal Matters</A></FONT></TD>
    <TD STYLE="text-align: center">33</TD></TR>
<TR STYLE="vertical-align: top; background-color: White">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a033">U.S. Federal Income Tax Considerations</A></FONT></TD>
    <TD STYLE="text-align: center">33</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a034">Backup Withholding</A></FONT></TD>
    <TD STYLE="text-align: center">43</TD></TR>
<TR STYLE="vertical-align: top; background-color: White">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a035">Other Tax Considerations</A></FONT></TD>
    <TD STYLE="text-align: center">44</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a036">Investment by ERISA Accounts</A></FONT></TD>
    <TD STYLE="text-align: center">44</TD></TR>
<TR STYLE="vertical-align: top; background-color: White">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a046">Transfer of Shares</A></FONT></TD>
    <TD STYLE="text-align: center">47</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a048">Calculating NAV</A></FONT></TD>
    <TD STYLE="text-align: center">47</TD></TR>
<TR STYLE="vertical-align: top; background-color: White">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a049">Creation and Redemption of Shares</A></FONT></TD>
    <TD STYLE="text-align: center">48</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a050">Use of Proceeds</A></FONT></TD>
    <TD STYLE="text-align: center">53</TD></TR>
<TR STYLE="vertical-align: top; background-color: White">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a037">Information You Should Know</A></FONT></TD>
    <TD STYLE="text-align: center">53</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a038">Summary of Promotional and Sales Material</A></FONT></TD>
    <TD STYLE="text-align: center">54</TD></TR>
<TR STYLE="vertical-align: top; background-color: White">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a039">Where You Can Find More Information</A></FONT></TD>
    <TD STYLE="text-align: center">54</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a040">Statement Regarding Forward-Looking Statements</A></FONT></TD>
    <TD STYLE="text-align: center">55</TD></TR>
<TR STYLE="vertical-align: top; background-color: White">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a041">Privacy Policy</A></FONT></TD>
    <TD STYLE="text-align: center">55</TD></TR>
<TR STYLE="vertical-align: top">
  <TD> </TD>
  <TD STYLE="text-align: center">&nbsp;</TD>
</TR>
<TR STYLE="vertical-align: top">
  <TD> </TD>
  <TD STYLE="text-align: center">&nbsp;</TD>
</TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 10pt"><B><A HREF="#x2_c77868a044">Statement of Additional Information:</A></B></FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-size: 10pt">SAI-</FONT>1</TD></TR>

<TR STYLE="vertical-align: top; background-color: White">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a045">Form of Shares</A></FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-size: 10pt">SAI-</FONT>3</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 95%"><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a047">What is the Plan of Distribution?</A></FONT></TD>
    <TD STYLE="text-align: center; width: 5%"><FONT STYLE="font-size: 10pt">SAI-4</FONT></TD></TR>
<TR STYLE="vertical-align: top">
  <TD> </TD>
  <TD STYLE="text-align: center">&nbsp;</TD>
</TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a042">Appendix A</A></FONT></TD>
    <TD STYLE="text-align: center">1</TD></TR>
<TR STYLE="vertical-align: top; background-color: White">
    <TD STYLE="padding-left: 10pt"><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a043">Glossary of Defined Terms</A></FONT></TD>
    <TD STYLE="text-align: center">1</TD></TR>
<TR STYLE="vertical-align: top; background-color: White">
    <TD><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868a048">Financial Statements</A></FONT></TD>
  <TD STYLE="text-align: center">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
  <TD> </TD>
  <TD STYLE="text-align: center">&nbsp;</TD>
</TR>
</TABLE>


<!-- Field: Page; Sequence: 6; Options: NewSection; Value: 1 -->
<DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">- <!-- Field: Sequence; Type: LowerRoman; Name: PageNo -->i<!-- Field: /Sequence --> -</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 27pt; text-indent: -27pt"><A NAME="x2_c77868a001"></A><B>Prospectus Summary</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 27pt; text-indent: -27pt">&nbsp;</P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>This is only a summary of the prospectus and, while it contains
material information about the Fund and its shares, it does not contain or summarize all of the information about the Fund and
the shares contained in this prospectus that is material and/or which may be important to you. You should read this entire prospectus,
including &ldquo;Risk Factors Involved with an Investment in the Fund&rdquo; beginning on page 4, before making an investment decision
about the shares. For a glossary of defined terms, see Appendix A.</I></P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The ETF Managers Group Commodity Trust I (the &ldquo;Trust&rdquo;)
is a Delaware statutory trust formed on July 23, 2014. The Trust is a series trust formed pursuant to the Delaware Statutory Trust
Act, of which the Fund is currently the sole series. The Fund is a commodity pool that continuously issues common shares of beneficial interest
that may be purchased and sold on the NYSE Arca stock exchange (&ldquo;NYSE Arca&rdquo;). The Fund is managed and controlled by
ETF Managers Capital LLC (the &ldquo;Sponsor&rdquo;), a Delaware limited liability company. The Sponsor is registered with the Commodity Futures Trading
Commission (&ldquo;CFTC&rdquo;) as a commodity pool operator (&ldquo;CPO&rdquo;) and  is a member of the National
Futures Association (&ldquo;NFA&rdquo;). Sit Fixed Income Advisors II, LLC (&ldquo;Sit&rdquo;)  is registered as
a &ldquo;commodity trading advisor&rdquo; (&ldquo;CTA&rdquo;) and will act as such for the Fund.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The principal office of the Trust and Fund is located at 35 Beechwood Road, Suite 2B, Summit, NJ 07901. The telephone
number is (844) 383-6477. The Sponsor&#146;s principal office is also located at 35 Beechwood Road, Suite 2B, Summit, NJ 07901, and its telephone number is also (844) 383-6477.</P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0"><A NAME="x2_c77868a002"></A><B>The Fund&rsquo;s Investment Objective and Strategy</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Fund&rsquo;s investment objective is to profit from rising
interest rates by tracking the performance of a portfolio (the &ldquo;Benchmark Portfolio&rdquo;) consisting of exchange
traded futures contracts and options on futures on 2, 5 and 10-year U.S. Treasury securities (&ldquo;Treasury Instruments&rdquo;)
weighted to achieve a targeted negative 10 year average effective portfolio duration (the &ldquo;Benchmark Component Instruments&rdquo;).
The Fund seeks to achieve its investment objective by investing in the Benchmark Component Instruments currently constituting the
Benchmark Portfolio. The Benchmark Portfolio is maintained by Sit and will be rebalanced, reconstituted, or both, monthly (typically on the 15th of
each month and on the next business day if the 15th is a holiday, weekend, or other day on which the national exchanges are closed) to maintain a negative 10 year average effective duration. The Benchmark Portfolio and the Fund will each maintain a
short position in Treasury Instruments. The Fund does not use futures contracts or options to
obtain leveraged investment results. The Benchmark Component Instruments currently constituting the Benchmark Portfolio and anticipated
rebalancing dates, as well as the daily holdings of the Fund, are available on the Fund&rsquo;s website at www.risingrateetf.com.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The weighting of the Treasury Instruments constituting the Benchmark
Component Instruments will be based on each maturity&rsquo;s duration contribution. The expected range for the duration weighted
percentage of the 2 year and 5 year maturity Treasury Instruments will be from 30% to 70%. The expected range for the duration
weighted percentage of the 10 year maturity Treasury Instruments will be from 5% to 25%. The relative weightings
of the Benchmark Component Instruments will be shifted between maturities when there are material changes in the shape of the yield curve, for example, if the Federal Reserve began raising short term interest rates more than long term interest rates. In such an</P>


<!-- Field: Page; Sequence: 7; Options: NewSection; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->1<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">instance, Sit, which maintains the Benchmark Portfolio,
will increase the weightings of the 2 year and reduce the weighting in the 10 year maturity Treasury Instruments. Conversely,
Sit will do the opposite if the Federal Reserve began raising long term interest rates more than short term interest rates.
Reconstitution and rebalancing each will occur monthly, on the 15th, except for as noted above or if there are radical
changes in the yield curve such that effective duration is outside of a range from negative nine to negative 11-year average
effective duration, in which case Sit will adjust the maturities of the Treasury Instruments before the next expected monthly
reconstitution.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Sponsor anticipates that approximately 5% to 15% of the
Fund&rsquo;s assets will be used as payment for or collateral for Treasury Instruments. In order to collateralize its Treasury
Instrument positions the Fund will hold such assets, from which it will post margin to its futures commission merchant (&ldquo;FCM&rdquo;),
in an amount equal to the margin required by the relevant exchange, and transfer to its FCM any additional amounts that may be
separately required by the FCM. When establishing positions in Treasury Instruments, the Fund will be required to deposit initial
margin with a value of approximately 3% to 10% of the value of each Treasury Instrument position at the time it is established.
These margin requirements are subject to change from time to time by the exchange or the FCM. On a daily basis, the Fund will be
obligated to pay, or entitled to receive, variation margin in an amount equal to the change in the daily settlement level of its
Treasury Instruments positions. Any assets not required to be posted as margin with the FCM will be held at the Fund&rsquo;s administrator
in cash or cash equivalents as discussed below.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Benchmark Portfolio will be invested in Benchmark Component
Instruments and rebalanced, as noted above, to maintain a negative average effective portfolio duration of approximately 10 years. Duration
is a measure of estimated price sensitivity relative to changes in interest rates. Portfolios with longer durations are typically
more sensitive to changes in interest rates. For example, if interest rates rise by 1%, the market value of a security with an
effective duration of 5 years would decrease by 5%, with all other factors being constant, and likewise the market value of a security
with an effective duration of negative 5 years would increase by 5%, with all other factors being constant. Duration estimates
are based on assumptions by Sit and are subject to a number of limitations. Duration is a more accurate estimate of price sensitivity
provided interest rate changes are small and occur equally in short-term and long-term securities. Investments in debt securities
typically decrease in value when interest rates rise. The risk is usually greater for longer-term debt securities.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Fund will incur certain expenses in connection with its
operations. The Fund will hold cash or cash equivalents such as U.S. Treasuries or other high credit quality, short-term fixed-income
or similar securities for direct investment or as collateral for the Treasury Instruments and for other liquidity purposes and
to meet redemptions that may be necessary on an ongoing basis. These expenses and income from the cash and cash equivalent holdings
may cause imperfect correlation between changes in the Fund&rsquo;s NAV and changes in the Benchmark Portfolio, because the Benchmark
Portfolio does not reflect expenses or income.</P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><A NAME="x2_c77868a003"></A><B>Principal Investment Risks of an Investment in the Fund</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">An investment in the Fund involves risk. As with any investment,
you could lose all or part of your investment in the Fund, and the Fund&rsquo;s performance could trail that of other investments.
The Fund is subject to the principal risks noted below which may adversely affect the Fund&rsquo;s net asset value per share (&ldquo;NAV&rdquo;),
trading price, yield, total return and ability to meet its investment objective. Some of the risks you may face are summarized
below. A more extensive discussion of these risks appears beginning on page 4.</P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Interest Rate Risk</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Investments in debt securities typically decrease in value when
interest rates rise. However, the Fund attempts to maintain a negative effective duration and therefore anticipates that an increase
in interest rates will increase the Fund&rsquo;s net asset value, and a decrease in rates will reduce the Fund&rsquo;s net asset
value.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Political and Governmental Action Risk</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Interest rate movements are heavily influenced by the action
of the Board of Governors of the Federal Reserve System and other central banks. Their actions are based on judgments and policies
that involve numerous political and economic factors which are unpredictable. Recent interest rate and monetary policies have been
unprecedented and may continue to be so. Interest rates have been at historic lows since the 2008 market disruptions and may continue
to be low.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Yield Curve Risk</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Fund will invest in U.S. Treasuries and Treasury Instruments
with exposure to different maturity dates. Generally, the Fund&rsquo;s exposure to securities with maturities of 2 and 5 years
will be greater than its exposure to securities with maturities of 10 years. Interest rates do not change uniformly for U.S. Treasuries
of different maturities and therefore if interest rates rise, the investment performance of the Fund will be impacted by the Fund&rsquo;s
current maturity exposure, which may be different from the expectations of the Sponsor and investors in the Fund.</P>



<!-- Field: Page; Sequence: 8; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->2<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #231F20">Tracking Risk</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #231F20">&nbsp;</P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #231F20">As with all funds that track a benchmark, the
performance of the Fund may not closely track the performance of the benchmark for a variety of reasons.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #231F20">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Short Sale Risk</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The risk of loss of a short futures position is potentially
unlimited. While that risk is somewhat mitigated by the current low interest rate environment, the potential for loss will increase
if rates rise and then fall.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Futures and Options Market Risk</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Futures and options contracts have expiration dates. Before
or upon the expiration of a contract, the Fund may be required to enter into a replacement contract that is priced higher or that
have less favorable terms than the contract being replaced.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Tax Risk</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Trust is organized as a Delaware statutory trust, but taxed
as a partnership in accordance with the provisions of the governing trust agreement and applicable state law and, therefore, has
a more complex tax treatment than conventional mutual funds. The Fund will furnish shareholders each year with tax information
on IRS Schedule K-1 (Form 1065) and each U.S. shareholder is required to report on its U.S. federal income tax return its allocable
share of income, gain, loss and deduction of the Fund. The tax reporting of a partnership interest can be complex and shareholders
may be advised to consult a tax expert.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Market Trading Risk</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Market trading risks faced by the Fund include, but are not
limited to, the potential lack of an active market for Fund shares, losses from trading in secondary markets, periods of high volatility
and disruption in the process through which shares of the Fund are sold and redeemed. Any of these factors may lead to the Fund&rsquo;s
shares trading at a premium or discount to its NAV.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Management Risk</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The investment strategy used by the Sponsor or its implementation
may not produce the intended results.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Other Risks</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Fund pays fees and expenses that are incurred regardless
of whether it is profitable. In order for an investor making an investment in shares of the Fund to break even over the 12 month
period following the date of this prospectus, assuming a selling price of $25.00 (the price at which the Fund expects to initially
issue shares, the investment would have to generate a 1.68% return or $00.42 for the investor not to lose money.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Unlike mutual funds, commodity pools or other investment pools
that manage their investments in an attempt to realize income and gains and distribute such income and gains to their investors,
the Fund generally does not distribute cash to shareholders. You should not invest in the Fund if you will need cash distributions
from the Fund to pay taxes on your share of income and gains of the Fund, if any, or for any other reason.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">You will have no rights to participate in the management of
the Fund and will have to rely on the duties and judgment of the Sponsor to manage the Fund.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Fund is subject to actual and potential inherent conflicts
involving the Sponsor and its principals, various commodity futures brokers and Authorized Participants. The Sponsor was recently
organized and has no operating history and its officers, directors and employees do not devote their time exclusively to the Fund.
The Sponsor&rsquo;s directors, officers or employees may serve in the same or different function of other entities that may compete
with the Fund for their services, including other commodity pools that the Sponsor or its trading principal manages or may manage
in the future (these pools are referred to in this</P>

<!-- Field: Page; Sequence: 9; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->3<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">prospectus as the &ldquo;Related Pools&rdquo; and are identified
in the Glossary). These persons could have a conflict between their responsibilities to the Fund and to those other entities.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Fund has no prior operating history. There can be no assurance
that the Fund will grow to or maintain an economically viable size, in which case the Sponsor may liquidate the Fund. Investors
could lose part or all of their investment.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0"><B><A NAME="x2_c77868a004"></A>The Fund&rsquo;s Fees and Expenses</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>This table describes the fees and expenses that you may pay
if you buy and hold shares of the Fund. You should note that you may pay brokerage commissions on purchases and sales of the Fund&rsquo;s
Shares, which are not reflected in the table. Authorized Participants will pay applicable creation and redemption fees. <I>See</I>
&ldquo;Creation and Redemption of Shares-Creation and Redemption Transaction Fee,&rdquo; page 52.</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>



<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: top; width: 5%"></TD>
    <TD STYLE="width: 90%"><FONT STYLE="font-size: 10pt"><B>Annual Fund Operating Expenses </B>(expenses that you pay each year as a percentage of the value of your investment) <FONT STYLE="font-family: Footlight MT Light,serif">(1)</FONT></FONT></TD>
    <TD STYLE="width: 5%">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 90%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom; background-color: rgb(229,255,255)">
    <TD STYLE="width: 70%; text-align: left; text-indent: -12pt; padding-left: 12pt">Management Fee</TD><TD STYLE="width: 10%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 18%; text-align: right">0.50</TD><TD STYLE="width: 1%; text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: -12pt; padding-left: 12pt">Maximum Other Expenses(2)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.00</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(229,255,255)">
    <TD STYLE="text-align: left; text-indent: -12pt; padding-left: 12pt">Maximum Total Annual Fund Expenses</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.50</TD><TD NOWRAP STYLE="text-align: left">%(1)</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">(1) The Sponsor has contractually agreed to waive the Management
Fee and/or reimburse the Fund for its Other Expenses (which term excludes brokerage fees, interest expenses, and extraordinary
expenses) to cap Total Annual Fund Expenses at 1.50% through February 1, 2016. After that date, the expense limitation may be terminated
and Fund shareholders may incur expenses higher than 1.50% annually. It cannot be predicted with any certainty what such expenses
could be. As the Fund&rsquo;s assets increase, Other Expenses may decrease as a percentage of the Fund&rsquo;s assets. Above a certain size the Other Expenses may be less than 1.00%. The Fund may also be responsible for certain non-recurring or extraordinary fee and expenses.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">(2) The Fund will be responsible for its Other Expenses, including professional services (e.g., outside auditor&rsquo;s fees and legal fees and expenses), shareholder tax return preparation, regulatory compliance, and other services provided by affiliated and non-affiliated service providers.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><A NAME="x2_c77868a005"></A><B>Risk Factors Involved with an Investment
in the Fund</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><I>You should consider carefully the risks
described below before making an investment decision. You should also refer to the other information included in this prospectus.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">An investment in the Fund involves risk.
As with any investment, you could lose all or part of your investment in the Fund, and the Fund&rsquo;s performance could trail
that of other investments. The Fund is subject to the principal risks noted below which may adversely affect the Fund&rsquo;s NAV,
trading price, yield, total return and ability to meet its investment objective.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>The value of the Shares of the Fund relates directly to
the value of, and realized profit or loss from, the Treasury Instruments and other assets held by the Fund, and fluctuations
in price could materially affect the Shares.</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The NAV of the Fund&rsquo;s shares relates directly to the value
of the U.S. Treasuries, cash and cash equivalents held by the Fund and the portfolio&rsquo;s negative effective duration established
and maintained through the Fund&rsquo;s investment in Treasury Instruments. Fluctuations in the prices of these assets could materially
adversely affect the value and performance of an investment in the Fund&rsquo;s shares. Past performance is not necessarily indicative
of futures results; all or substantially all of an investment in the Fund could be lost. The primary types of investment-related
risk are discussed below.</P>



<!-- Field: Page; Sequence: 10; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->4<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>The Fund&rsquo;s investment strategy is based upon certain movements in interest rates that may not develop or to the magnitude or at the time expected, if such movements do not occur as expected, the Shares may be adversely affected.</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Investments in debt securities typically decrease in value when
interest rates rise, however, the Fund attempts to maintain a portfolio with a negative effective duration and therefore anticipates
that an increase in interest rates may increase the Fund&rsquo;s value, and a decrease in rates may lower the Fund&rsquo;s value.
The NAV of the Fund&rsquo;s shares relates directly to the value of U.S. Treasuries and Treasury Instruments held by the Fund which
are materially impacted by interest rate movements. The magnitude of the impact on value from a change in interest rates is often
greater for longer-term fixed income securities than shorter-term securities. Interest rates have been near historic lows since
the market events of 2008 and may remain low.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Interest rates are heavily influenced by political and
governmental bodies and their actions may be unpredictable and may materially affect the Fund.</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Interest rate movements are heavily influenced by the action
of the Board of Governors of the Federal Reserve System and other central banks. Their actions are based on judgments and policies
which involve numerous political and economic factors which are unpredictable. Recent interest rate and monetary policies have
been unprecedented and may continue to be so. Interest rates have been near historic lows since the 2008 market disruptions and
may continue to be low.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Several factors may affect the Fund&rsquo;s ability to
consistently track the Benchmark Portfolio and achieve the Fund&rsquo;s investment objective.</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">As with all funds that track a benchmark, the
performance of the Fund may not closely track the performance of the benchmark for a variety of reasons. For example, the Fund
incurs operating expenses and portfolio transaction costs not incurred by the benchmark. The Fund is also required to manage cash
flows and may experience operational inefficiencies the benchmark does not. In addition, the Fund may not be fully invested in
the contents of its benchmark at all times or may hold securities not included in its benchmark.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Interest rates may not uniformly change across maturities
and the Benchmark Portfolio&rsquo;s weighting may not be optimal for the yield curve.</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Fund will invest in Treasury Instruments and U.S. Treasuries
with exposure to different maturity dates. Generally, the Fund&rsquo;s exposure to securities with maturities of 2 and 5 years
will be greater than its exposure to securities with maturities of 10 years. Interest rates do not change uniformly for U.S. Treasuries
of different maturities and therefore if interest rates rise, the investment performance of the Fund will be impacted by the Fund&rsquo;s
current maturity exposure which may be different from the expectations of the Sponsor and investors in the Fund. At any time, the
Fund&rsquo;s maturity exposure may not be optimal with respect to a movement in interest rates which would negatively impact performance.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Short sale exposure can be unlimited and if interest
rates decrease investors may lose their investment.</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The risk of loss of a short futures position is potentially
unlimited. While that risk is somewhat mitigated by the current low interest rate environment, the potential for loss will increase
if interest rates rise and then fall.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>The futures markets are highly volatile and price movements
can be rapid and substantial.</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Futures contracts have a high degree of price variability and
are subject to occasional rapid and substantial changes. Consequently, you could lose all or substantially all of your investment
in the Fund.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>The Fund will not take defensive positions to protect
against declining interest rates, which could cause a decline to the value of the Fund&rsquo;s shares.</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Fund will maintain a portfolio with a targeted average effective
duration of approximately negative 10 years regardless of the Sponsor&rsquo;s views on expected interest rate movements. The Fund
will not take a</P>

<!-- Field: Page; Sequence: 11; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->5<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">defensive position if interest rates decline or if the Sponsor
expects rates to decline. The Fund&rsquo;s performance will be highly sensitive to interest rate changes due to the negative effective
duration target and the value of the Fund&rsquo;s shares will decrease as interest rates fall.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>The market price at which investors buy or sell shares
may be significantly more or less than NAV.</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The market price at which investors buy or sell shares may be
significantly less or more than NAV.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Fund&rsquo;s per share NAV will change throughout the day
as fluctuations occur in the market value of the Fund&rsquo;s portfolio assets. The public trading price at which an investor buys
or sells shares during the day from their broker may be different from the NAV of the shares. Price differences may relate primarily
to supply and demand forces at work in the secondary trading market for the Fund&rsquo;s shares that are closely related to, but
not identical to, the same forces influencing the prices of the Treasury Instruments and U.S. Treasuries, cash and cash equivalents
that constitute the Fund&rsquo;s assets.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The NAV of the Fund&rsquo;s shares may also be influenced by
non-concurrent trading hours between the NYSE Arca and the exchanges on which U.S. Treasuries and Treasury Instruments are traded
(primarily exchanges within the CME Group of exchanges, collectively &ldquo;CME&rdquo;), where the Fund expects most of its trading
transactions to occur. While the Fund&rsquo;s shares trade on the NYSE Arca from 9:30 a.m. to 4:00 p.m. Eastern Time, the trading
hours for the CME do not coincide during all of this time. As a result, trading spreads and the resulting premium or discount on
the shares may widen and, therefore, increase the difference between the price of the shares and the NAV of the shares.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>The Trust is taxed as a partnership and the applicable
rules are complex and burdensome on investors.</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">An investor&rsquo;s tax liability may exceed the amount of distributions,
if any, on its shares. Cash or property will be distributed at the sole discretion of the Sponsor. The Sponsor has not and does
not currently intend to make cash or other distributions with respect to shares. Investors will be required to pay U.S. federal
income tax and, in some cases, state, local, or foreign income tax, on their allocable share of the Fund&rsquo;s taxable income,
without regard to whether they receive distributions or the amount of any distributions. Therefore, the tax liability of an investor
with respect to its shares may exceed the amount of cash or value of property (if any) distributed.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">An investor&rsquo;s allocable share of taxable income or loss
may differ from its economic income or loss on its shares.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Due to the application of the assumptions and conventions applied
by the Fund in making allocations for tax purposes and other factors, an investor&rsquo;s allocable share of the Fund&rsquo;s income,
gain, deduction or loss may be different than its economic profit or loss from its shares for a taxable year. This difference could
be temporary or permanent and, if permanent, could result in it being taxed on amounts in excess of its economic income.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Items of income, gain, deduction, loss and credit with respect
to shares could be reallocated if the U.S. Internal Revenue Service (&ldquo;IRS&rdquo;) does not accept the assumptions and conventions
applied by the Fund in allocating those items, with potential adverse consequences for an investor.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The U.S. tax rules pertaining to entities taxed as partnerships
are complex and their application to large, publicly traded partnership treated entities such as the Fund is in many respects uncertain.
The Fund applies certain assumptions and conventions in an attempt to comply with the intent of the applicable rules and to report
taxable income, gains, deductions, losses and credits in a manner that properly reflects shareholders&rsquo; economic gains and
losses. These assumptions and conventions may not fully comply with all aspects of the Internal Revenue Code (the &ldquo;Code&rdquo;)
and applicable Treasury Regulations, however, and</P>

<!-- Field: Page; Sequence: 12; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->6<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">it is possible that the IRS will successfully challenge the
Fund&rsquo;s allocation methods and require the Fund to reallocate items of income, gain, deduction, loss or credit in a manner
that adversely affects investors. If this occurs, investors may be required to file an amended tax return and to pay additional
taxes plus deficiency interest.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>The Fund could be treated as a corporation for federal
income tax purposes, which may substantially reduce the value of the shares.</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Fund intends to obtain an opinion of counsel that, under
current U.S. federal income tax laws, the Fund will be treated as a trust that is not taxable as a corporation for U.S. federal
income tax purposes, provided that (i) at least 90 percent of the Fund&rsquo;s annual gross income consists of &ldquo;qualifying
income&rdquo; as defined in the Code, (ii) the Fund is organized and operated in accordance with its governing agreements and applicable
law and (iii) the Fund does not elect to be taxed as a corporation for federal income tax purposes. Although the Sponsor anticipates
that the Fund will satisfy the &ldquo;qualifying income&rdquo; requirement for all of its taxable years, that result cannot be
assured. The Fund has not requested and will not request any ruling from the IRS with respect to its classification as a trust
not taxable as a corporation for federal income tax purposes. If the IRS were to successfully assert that the Fund is taxable as
a corporation for federal income tax purposes in any taxable year, rather than passing through its income, gains, losses and deductions
proportionately to shareholders, the Fund would be subject to tax on its net income for the year at corporate tax rates. In addition,
although the Sponsor does not currently intend to make distributions with respect to shares, any distributions would be taxable
to shareholders as dividend income. Taxation of the Fund as a corporation could materially reduce the after-tax return on an investment
in shares and could substantially reduce the value of the shares.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>The Fund is organized and operated as a Delaware statutory
trust in accordance with the provisions of the declaration of trust and applicable state law, and therefore, the Fund has a more
complex tax treatment than traditional mutual funds.</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Fund is organized and operated as a trust in accordance
with the provisions of the governing trust agreement (the &ldquo;Trust Agreement&rdquo;) and applicable state law. No U.S. federal
income tax is paid by the Fund on its income. Instead, the Fund will furnish shareholders each year with tax information on IRS
Schedule K-1 (Form 1065) and each U.S. shareholder is required to report on its U.S. federal income tax return its allocable share
of the income, gain, loss and deduction of the Fund. This must be reported without regard to the amount (if any) of cash or property
the shareholder receives as a distribution from the Fund during the taxable year. The tax reporting of a partnership interest can
be complex and shareholders may be advised to consult a tax expert. A shareholder, therefore, may be allocated income or gain by
the Fund but receive no cash distribution with which to pay the tax liability resulting from the allocation, or may receive a distribution
that is insufficient to pay such liability.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">In addition to federal income taxes, shareholders may be subject
to other taxes, such as state and local income taxes, unincorporated business taxes, business franchise taxes and estate, inheritance
or intangible taxes that may be imposed by the various jurisdictions in which the Fund does business or owns property or where
the shareholders reside. Although an analysis of those various taxes is not presented here, each prospective shareholder should
consider their potential impact on its investment in the Fund. It is each shareholder&rsquo;s responsibility to file the appropriate
U.S. federal, state, local and foreign tax returns.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><A NAME="x2_c77868a015"></A><B>Other Risks</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Certain of the Fund&rsquo;s investments could be illiquid,
which could cause large losses to investors at any time or from time to time.</I></B></P>

<!-- Field: Page; Sequence: 13; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->7<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Futures and option positions cannot always be liquidated at
the desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell
orders in a market. A market disruption can also make it difficult to liquidate a position. The large size of the positions that
the Fund may acquire increases the risk of illiquidity both by making its positions more difficult to liquidate and by potentially
increasing losses while trying to do so.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>The NYSE Arca may halt trading in the Fund&rsquo;s shares,
which would adversely impact an investor&rsquo;s ability to sell shares.</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Fund&rsquo;s shares are listed for trading on the NYSE Arca
under the market symbol &ldquo;RISE.&rdquo; Trading in shares may be halted due to market conditions or, in light of NYSE Arca
rules and procedures, for reasons that, in the view of the NYSE Arca, make trading in shares inadvisable. In addition, trading
is subject to trading halts caused by extraordinary market volatility pursuant to &ldquo;circuit breaker&rdquo; rules that require
trading to be halted for a specified period based on a specified market decline. Additionally, there can be no assurance that the
requirements necessary to maintain the listing of the Fund&rsquo;s shares will continue to be met or will remain unchanged. NYSE Arca listing rules require a minimum of 100,000 shares to be outstanding for continued listing and will be the Fund&rsquo;s minimum.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>The lack of an active trading market for the Fund&rsquo;s
shares may result in losses on an investor&rsquo;s investment in the Fund at the time the investor sells the shares.</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Although the Fund&rsquo;s shares are listed and traded on the
NYSE Arca, there can be no guarantee that an active trading market for the shares will be maintained. If an investor needs to sell
shares at a time when no active trading market for them exists, the price the investor receives upon sale of the shares, assuming
they were able to be sold, likely would be lower than if an active market existed.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>The Sponsor is leanly staffed and relies heavily on key
personnel to manage the Fund and other funds.</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">In managing and directing the day-to-day activities and affairs
of the Fund, the Sponsor relies heavily on the services of its CEO, Samuel Masucci III, its COO, Dave Weissman, and its CFO, John
Flanagan. If any of the group were to leave or be unable to carry out his present responsibilities, it may have an adverse effect
on the management of the Fund.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B><I>There is a risk that the Fund will
not earn trading gains sufficient to compensate for the fees and expenses that it must pay and as such the Fund may not earn any
profit.</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">As discussed in more detail in the section of this prospectus
entitled &ldquo;Breakeven Analysis&rdquo; on page 27, the Fund has estimated that in order for a hypothetical investment in shares
to break even over the next 12 months, assuming a selling price of $25.00 (the price at which the Fund expects to initially issue
shares), the investment would have to generate a 1.68% return or $0.42. Both the Fund and its manager, the Sponsor, are newly
formed and have no operating history, and accordingly, the breakeven amount may be higher than estimated. The Fund&rsquo;s Management
Fee and Other Expenses must be paid in all cases regardless of whether the Fund&rsquo;s activities are profitable. Accordingly,
the Fund must earn trading gains sufficient to compensate for these fees and expenses before it can earn any profit.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left"><B><I>Regulation of the futures and options
markets is extensive and constantly changing; future regulatory developments are impossible to predict but may significantly and
adversely affect the Fund.</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The futures markets are subject to comprehensive statutes, regulations,
and margin requirements. In addition, the CFTC and futures exchanges are authorized to take extraordinary actions in the event
of a market emergency, including, for example, the retroactive implementation of speculative position limits or higher margin requirements,
the establishment of daily price limits and the suspension of trading.</P>

<!-- Field: Page; Sequence: 14; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->8<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Regulation of commodity interest transactions in the United
States is a rapidly changing area of law and is subject to ongoing modification by governmental and judicial action. Considerable
regulatory attention has been focused on non-traditional investment pools that are publicly distributed in the United States. The
effect of any future regulatory change on the Fund is impossible to predict, but it could be substantial and adverse.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>An investment in the Fund may provide little or no diversification
benefits.</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Interest rates historically have experienced a correlation with
other asset classes. Accordingly, if interest rates decline, an investor in Fund shares will experience a loss at the same time
the investor may suffer losses with respect to other investments.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>The Fund is not a registered investment company so shareholders
do not have the protections of the 1940 Act.</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Fund is not an investment company subject to the 1940 Act.
Accordingly, investors do not have the protections afforded by that statute, which, for example, requires investment companies
to have a majority of disinterested directors and regulates the relationship between the investment company and its investment
manager.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>The Fund and the Sponsor may have conflicts of interests.</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Fund is subject to actual and potential inherent conflicts
involving the Sponsor, various commodity futures brokers and Authorized Participants. The Sponsor&rsquo;s officers, directors and
employees do not devote their time exclusively to the Fund. These persons are directors, officers or employees of other entities
that may compete with the Fund for their services. They could have a conflict between their responsibilities to the Fund and to
those other entities.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Fund may also be subject to certain conflicts with respect
to its FCM through which it places trades in certain Treasury Instruments, including, but not limited to, conflicts that result
from receiving greater amounts of compensation from other clients, or purchasing opposite or competing positions on behalf of third
party accounts traded through the FCM.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Shareholders have only very limited voting rights and
have the power to replace the Sponsor only under specific circumstances. Shareholders do not participate in the management of the
Fund and do not control the Sponsor, so they do not have any influence over basic matters that affect the Fund.</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Shareholders have very limited voting rights with respect
to the Fund&rsquo;s affairs and have none of the statutory rights normally associated with the ownership of shares of a
corporation (including, for example, the right to bring &ldquo;oppression&rdquo; or &ldquo;derivative&rdquo; actions). Shareholders may
elect a replacement sponsor only if the Sponsor resigns voluntarily or loses its corporate charter. Shareholders are not
permitted to participate in the management or control of the Fund or the conduct of its business. Shareholders must therefore
rely upon the duties and judgment of the Sponsor to manage the Fund&rsquo;s affairs.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>The Fund could terminate at any time and cause the liquidation
and potential loss of an investor&rsquo;s investment and could upset the overall maturity and timing of an investor&rsquo;s investment
portfolio.</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Fund may terminate at any time, regardless of whether the
Fund has incurred losses, subject to the terms of the Trust Agreement. In particular, unforeseen circumstances, including the death,
adjudication of incompetence, bankruptcy, dissolution, or removal of the Sponsor as the manager of the Fund could cause the Fund
to terminate unless a majority interest of the security holders within 90 days of the event elects to continue the Fund. However,
no level of losses will require the Sponsor to terminate the Fund. The Fund&rsquo;s termination would cause the liquidation and
potential loss of an investor&rsquo;s investment. Termination could also negatively affect the overall maturity and timing of an
investor&rsquo;s investment portfolio.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>The Fund does not expect to make cash distributions.</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Unlike mutual funds, commodity pools or other investment pools
that actively manage their investments in an attempt to realize income and gains from their investing activities and distribute
such income and gains to their investors, the Fund generally does not expect to distribute cash to security holders. An investor
should not invest in the Fund if the investor will need cash distributions from the Fund to pay</P>

<!-- Field: Page; Sequence: 15; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->9<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">taxes on its share of income and gains of the Fund, if any,
or for any other reason. Nonetheless, although the Fund does not intend to make cash distributions, the income earned from its
investments held directly or posted as margin may reach levels that merit distribution, e.g., at levels where such income is not
necessary to support its underlying investments and investors adversely react to being taxed on such income without receiving distributions
that could be used to pay such tax. If this income becomes significant then cash distributions may be made.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>An unanticipated number of redemption requests during
a short period of time could have an adverse effect on the Fund&rsquo;s NAV.</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">If a substantial number of requests for redemptions are received
by the Fund during a relatively short period of time, the Fund may not be able to satisfy the requests from the Fund&rsquo;s assets
not committed to trading. As a consequence, it could be necessary to liquidate positions in the Fund&rsquo;s trading positions
before the time that the trading strategies would otherwise dictate liquidation.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B><I>The financial markets are currently
in a slow period of recovery and the financial markets are still relatively fragile.</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">Since 2008, the financial markets have
experienced very difficult conditions and volatility as well as significant adverse trends. Although the financial markets have
recovered somewhat, the financial markets are still fragile. A poor financial recovery could adversely affect the financial condition
and results of operations of the Fund&rsquo;s service providers and Authorized Participants, which would impact the ability of
the Sponsor to achieve the Fund&rsquo;s investment objective.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>The failure or bankruptcy of a clearing broker or the
Fund&rsquo;s Custodian could result in a substantial loss of the Fund&rsquo;s assets and could impair the Fund in its ability to
execute trades.</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Under CFTC regulations, a clearing broker maintains customers&rsquo;
assets in a bulk segregated account. If a clearing broker fails to do so, or even if the customers&rsquo; funds are segregated
by the clearing broker but the clearing broker is unable to satisfy a substantial deficit in a customer account, the clearing broker&rsquo;s
other customers may be subject to risk of a substantial loss of their funds in the event of that clearing broker&rsquo;s bankruptcy.
In that event, the clearing broker&rsquo;s customers, such as the Fund, 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 clearing broker&rsquo;s
customers. The bankruptcy of a clearing broker could result in the complete loss of the Fund&rsquo;s assets posted with the clearing
broker. The Fund may also be subject to the risk of the failure of, or delay in performance by, any exchanges and markets and their clearing
organizations, if any, on which commodity interest contracts are traded.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">In addition, to the extent the Fund&rsquo;s clearing broker
is required to post the Fund&rsquo;s assets as margin to a clearinghouse, the margin will be maintained in an omnibus account containing
the margin of all the clearing broker&rsquo;s customers. If the Fund&rsquo;s clearing broker defaults to a clearinghouse because
of a default by one of the clearing broker&rsquo;s other customers or otherwise, then the clearinghouse can look to all of the
margin in the omnibus account, including margin posted by the Fund and any other non-defaulting customers of the clearing broker
to satisfy the obligations of the clearing broker.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">From time to time, clearing brokers may be subject to legal
or regulatory proceedings in the ordinary course of their business. A clearing broker&rsquo;s involvement in costly or time-consuming
legal proceedings may divert financial resources or personnel away from the clearing broker&rsquo;s trading operations, which could
impair the clearing broker&rsquo;s ability to successfully execute and clear the Fund&rsquo;s trades.</P>

<!-- Field: Page; Sequence: 16; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->10<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">In addition, the majority of the Fund&rsquo;s assets are held
in U.S. Treasury securities, cash and/or cash equivalents with U.S. Bancorp Fund Services, LLC (the &ldquo;Custodian&rdquo;). The insolvency of the Custodian could result in a
complete loss of the Fund&rsquo;s assets held by that Custodian, which, at any given time, could comprise a substantial
portion of the Fund&rsquo;s total assets.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Although the Shares of the Fund are limited liability
investments, certain circumstances such as bankruptcy or indemnification could increase a shareholder&rsquo;s liability.</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Shares of the Fund are limited liability investments;
shareholders may not lose more than they invest plus any profits recognized on their investment. However, shareholders could
be required, as a matter of bankruptcy law, to return to the estate of the Fund any distribution they received at a time when
the Fund was in fact insolvent or in violation of its Trust Agreement. Shareholders also agree in the Trust Agreement that they will indemnify the Fund for any harm suffered by the Fund as a result of the shareholders actions unrelated to the business of the Fund.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Forward-Looking Statements</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">This prospectus includes &ldquo;forward-looking
statements&rdquo; which generally relate to future events or future performance. In some cases, you can identify forward-looking
statements by terminology such as &ldquo;may,&rdquo; &ldquo;will,&rdquo; &ldquo;should,&rdquo; &ldquo;expect,&rdquo; &ldquo;plan,&rdquo;
&ldquo;anticipate,&rdquo; &ldquo;believe,&rdquo; &ldquo;estimate,&rdquo; &ldquo;predict,&rdquo; &ldquo;potential&rdquo; or the
negative of these terms or other comparable terminology. All statements (other than statements of historical fact) included in
this prospectus that address activities, events or developments that will or may occur in the future, including such matters as
movements in the futures markets and indexes that track such movements, the Fund&rsquo;s operations, the Sponsor&rsquo;s plans
and references to the Fund&rsquo;s future success and other similar matters, are forward-looking statements. These statements are
only predictions. Actual events or results may differ materially. These statements are based upon certain assumptions and analyses
the Sponsor has made based on its perception of historical trends, current conditions and expected future developments, as well
as other factors appropriate in the circumstances. Whether or not actual results and developments will conform to the Sponsor&rsquo;s
expectations and predictions, however, is subject to a number of risks and uncertainties, including the special considerations
discussed in this prospectus, general economic, market and business conditions, changes in laws or regulations, including those
concerning taxes, made by governmental authorities or regulatory bodies, and other world economic and political developments. Consequently,
all the forward-looking statements made in this prospectus are qualified by these cautionary statements, and there can be no assurance
that actual results or developments the Sponsor anticipates will be realized or, even if substantially realized, that they will
result in the expected consequences to, or have the expected effects on, the Fund&rsquo;s operations or the value of its shares.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0"><A NAME="x2_c77868a016"></A><B>Additional Information About the Fund, Its Investment Objective
and Investments</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Trust is a Delaware statutory trust formed on July 23, 2014.
The Trust is a series trust formed pursuant to the Delaware Statutory Trust Act, of which the Fund is currently the sole series.
The Fund is a commodity pool that issues common shares of beneficial interest that may be purchased and sold on the NYSE Arca stock
exchange (&ldquo;NYSE Arca&rdquo;). The Fund is managed and controlled by the Sponsor. The Sponsor is registered
with the CFTC as a CPO and is a member of the NFA. Sit is registered as a CTA and will act as such
for the Fund.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0"><B>The Fund&rsquo;s Investment Objective and Strategy</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Fund&rsquo;s investment objective is to profit from
rising interest rates by tracking the performance of a portfolio (the &ldquo;Benchmark Portfolio&rdquo;) consisting of
exchange traded futures contracts and options on futures on 2, 5 and 10-year U.S. Treasury securities (&ldquo;Treasury
Instruments&rdquo;) weighted to achieve a targeted negative 10 year average effective portfolio duration (the
&ldquo;Benchmark Component Instruments&rdquo;). The Fund seeks to achieve its investment objective by investing in the
Benchmark Component Instruments currently constituting the Benchmark Portfolio. The Benchmark Portfolio is maintained by Sit
and will be rebalanced, reconstituted, or both, monthly (typically on the 15th of each month and on the next business day if
the 15th is a holiday, weekend, or other day on which the national exchanges are closed)  to maintain a negative 10
year average effective duration. The Benchmark Portfolio and the Fund will each maintain a short position in Treasury
Instruments. The Fund does not use futures contracts or options to obtain leveraged investment results. The Fund will not
invest in swaps or other over-the-counter derivative instruments (please note that this investment restriction was adopted
subsequent to September 26, 2014, the date as of which the Trust&rsquo;s and the Fund&rsquo;s financial statements and notes
thereto were issued). The Benchmark Component Instruments currently constituting the Benchmark Portfolio and anticipated
rebalancing dates, as well as the daily holdings of the Fund are available on the Fund&rsquo;s website at
www.risingrateetf.com.</P>


<!-- Field: Page; Sequence: 17; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->11<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The weighting of the Treasury Instruments
constituting the Benchmark Component Instruments will be based on each maturity&rsquo;s duration contribution. The expected range
for the duration weighted percentage of the 2 year and 5 year maturity Treasury Instruments will be from 30% to 70%. The expected
range for the duration weighted percentage of the 10 year maturity Treasury Instruments will be from 5% to 25%.
The relative weightings of the Benchmark Component Instruments will be shifted between maturities when there are material changes in the shape of the yield curve, for example, if the Federal Reserve
began raising short term interest rates more than long term interest rates. In such an instance, Sit, which maintains the Benchmark Portfolio, will elect to increase
the weightings of the 2 year and reduce the weighting in the 10 year maturity. Conversely, Sit will do the opposite if the Federal Reserve began raising
long term interest rates more than short term interest rates. Reconstitution and rebalancing each will occur monthly, on the 15th,
except for as noted above or if there are radical changes in the yield curve such that effective duration is outside of a range
from negative nine to negative 11-year average effective duration, in which case Sit will adjust the maturities of the Treasury
Instruments before the next expected monthly reconstitution.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Sponsor anticipates that approximately 5% to 15% of the
Fund&rsquo;s assets will be used as payment for or collateral for Treasury Instruments. In order to collateralize its Treasury
Instrument positions the Fund will hold such assets, from which it will post margin to its futures commission merchant (&ldquo;FCM&rdquo;),
in an amount equal to the margin required by the relevant exchange, and transfer to its FCM any additional amounts that may be
separately required by the FCM. When establishing positions in Treasury Instruments, the Fund will be required to deposit initial
margin with a value of approximately 3% to 10% of the value of each Treasury Instrument position at the time it is established.
These margin requirements are subject to change from time to time by the exchange or the FCM. On a daily basis, the Fund will be
obligated to pay, or entitled to receive, variation margin in an amount equal to the change in the daily settlement level of its
Treasury Instruments positions.Any assets not required to be posted as margin with the FCM will be held at the Fund&rsquo;s administrator
in cash or cash equivalents as discussed below.</P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Benchmark Portfolio will be invested in Benchmark Component
Instruments and rebalanced, as noted above to maintain a negative average effective portfolio duration of approximately 10 years.
Duration is a measure of estimated price sensitivity relative to changes in interest rates. Portfolios with longer durations are
typically more sensitive to changes in interest rates. For example, if interest rates rise by 1%, the market value of a security
with an effective duration of 5 years would decrease by 5%, with all other factors being constant, and likewise the market value
of a security with an effective duration of negative 5 years would increase by 5%, with all other factors being constant. The correlation
between duration and price sensitivity is greater for securities rated investment-grade than it is for securities rated below investment-grade.
Duration estimates are based on assumptions by Sit and are subject to a number of limitations. Effective duration is calculated
based on historical price changes of U.S. Treasuries and Treasury Instruments held by the Benchmark Portfolio, and therefore is
a more accurate estimate of price sensitivity provided interest rates remain within their historical range. Investments in debt
securities typically decrease in value when interest rates rise. The risk is usually greater for longer-term debt securities.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Fund will incur certain expenses in connection with its
operations. The Fund will hold cash or cash equivalents such as U.S. Treasuries or other high credit quality, short-term fixed-income
or similar securities for direct investment or as collateral for the Treasury Instruments and for other liquidity purposes and
to meet redemptions that may be necessary on an ongoing basis. These expenses and income from the cash and cash equivalent holdings
may cause imperfect correlation between changes in the Fund&rsquo;s NAV and changes in the Benchmark Portfolio, because the Benchmark
Portfolio does not reflect expenses or income.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Fund seeks to trade its positions prior to maturation; accordingly,
natural market forces may cost the Fund while rebalancing. Each time the Fund seeks to reconstitute its positions, barring movement
in the underlying securities, the futures and option prices may be higher or lower. Such differences in price, barring a movement
in the price of the underlying security, will constitute &ldquo;roll yield&rdquo; and may inhibit the Fund&rsquo;s ability to achieve
its investment objective.</P>


<!-- Field: Page; Sequence: 18; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->12<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Impact of Futures Roll and Time Decay
of Options on Total Returns</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Several factors determine the total return from investing in
a futures contract position. One factor that impacts the total return that will result from investing in near month futures contracts
and &ldquo;rolling&rdquo; those contracts forward each month is the price relationship between the current near month contract
and the next month contract.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">When the Sponsor purchases an option that expires &ldquo;out
of the money,&rdquo; the Fund will realize a loss. The Sponsor may not be able to invest the Fund&rsquo;s assets in futures and
options contracts having an aggregate notional amount exactly equal to that which is required to achieve a negative 10 year average
effective duration. For example, as standardized contracts, U.S. Treasury futures contracts are denominated in specific dollar
amounts, and the Fund&rsquo;s NAV and the proceeds from the sale of a block of shares referred to as a &ldquo;creation basket&rdquo;
(&ldquo;Creation Basket&rdquo;) are unlikely to be an exact multiple of the amounts of those contracts. As a result, in such circumstances,
the Fund may be better able to achieve the exact amount of exposure desired through the use of other investments.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Sponsor will close existing positions when it determines
it would be appropriate to do so and reinvest the proceeds in other positions. Positions may also be closed out to meet orders
for Redemption Baskets.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>THE POOL HAS NOT COMMENCED TRADING YET
AND DOES NOT HAVE ANY PERFORMANCE HISTORY</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Management&rsquo;s Discussion</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left">The Fund is newly formed and has not commenced
operations. Prior to the inception of operations the Fund does not have any financial information of which to assess the Fund&rsquo;s
financial condition.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><A NAME="x2_c77868a017"></A><B>Fund Trading Policies</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Liquidity</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left">The Fund invests principally in exchange traded futures and
options on futures on U.S. Treasuries that, in the opinion of the Sponsor, are traded in sufficient volume to permit the ready
taking of orders and liquidation of positions in these financial interests.</P>

<!-- Field: Page; Sequence: 19; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->13<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B><I>Borrowings</I></B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">Borrowings are not used by the Fund.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 27pt; text-align: justify; text-indent: -27pt"><A NAME="x2_c77868a018"></A><B>The Fund&rsquo;s
Operations</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 27pt; text-align: justify; text-indent: -27pt">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 27pt; text-align: justify; text-indent: -27pt"><A NAME="x2_c77868a019"></A><B>The Sponsor
and its Management and Trading Principal</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 27pt; text-align: justify; text-indent: -27pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Sponsor is a single member limited liability company that
was formed in the state of Delaware on June 12, 2014. The Sponsor maintains its main business office at 35 Beechwood Road, Suite
2B, Summit, NJ 07901. The Sponsor is registered as a registered commodity pool operator with the Commodity Futures
Trading Commission (&ldquo;CFTC&rdquo;). The Sponsor is a member of the National Futures Association (&ldquo;NFA&rdquo;). The Sponsor registered as a CPO with the CFTC and became a member of the NFA on September 23, 2014.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Sponsor is a wholly-owned subsidiary of Exchange Traded
Managers Group LLC (&ldquo;ETFMG&rdquo;), a single member limited liability company domiciled and headquartered in New Jersey.
The Sponsor maintains its main business office at 35 Beechwood Road, Suite 2B, Summit, NJ 07901.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Neither the Trust nor the Fund has executive officers. Pursuant
to the terms of the Trust Agreement, the Fund&rsquo;s affairs are managed by the Sponsor. The business and affairs of the Sponsor
are managed by its chief executive officer, Samuel Masucci, III.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The following are individual Principals, as that term is defined
in CFTC Rule 3.1, for the Sponsor: Samuel R. Masucci, III, John A. Flanagan, and David H. Weissman. These individuals are principals
due to their positions; however, Mr. Masucci is also a principal due to his controlling stake in ETFMG.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Samuel R. Masucci, III</I></B>. Mr. Masucci is the
founder of Exchange Traded Managers Group LLC and ETFMG has been the Managing Owner since November 2013. Mr. Masucci was
listed as a principal of ETF Managers Capital LLC on September 23, 2014. Mr. Masucci serves as Chairman and Chief Executive
Officer of ETFMG with responsibilities for managing all ETF issuers and related service activities. Since June of 2012, Mr.
Masucci has served as the Chief Executive Officer of Factor Advisors, LLC, a financial services company, and as the Chairman
since March 2013; in this position Mr. Masucci was listed as a principal of Factor Capital Management LLC on June 20, 2012
and deregistered as a principal on September 23, 2014. Mr. Masucci has also served as the Chief Executive Officer of GENCAP
Ventures, LLC, a financial services company, since May 2012 and is responsible for managing all ETF issuers and related
service activities. Mr. Masucci was out of the job market from January to May 2012. Mr. Masucci worked as Chief Executive
Officer for MacroMarkets LLC, a financial services company, from April 2005 to December 2011, with responsibility for running
the day to day operations of an issuer of public securities and a registered broker-dealer. From April 2005 to December 2011,
Mr. Masucci also worked as the Chief Executive Officer, managing partner and Chief Compliance Officer of Macro Financial LLC,
which as its main business was a registered broker-dealer. From July 2001 to April 2005, Mr. Masucci worked as an owner and
manager of The Cobblestone Group. The main business of The Cobblestone Group was fixed income consulting to
the investment banking and commercial banking industries.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">From March 1999 to June 2001, Mr. Masucci worked in
mortgage trading as a Managing Director for Bear Stearns Inc., a financial institution. Mr. Masucci was out of the job market
from December 1998 to February 1999. From June 1996 to November 1998, Mr. Masucci worked at SBC Warburg/UBS, a financial
institution, as an Executive Director managing an asset backed securities group. From January 1992 to June 1996, Mr. Masucci
worked in structured products (specifically, structuring mortgage derivatives and hedge funds), at Merrill Lynch, a financial
institution, as a Vice President. From January 1990 to January 1992, Mr. Masucci worked as a financial consultant for Merrill
Lynch, a financial institution, in the private client group in connection with retail investors. From November 1987 to
January 1990, Mr. Masucci worked at MetLife Insurance Company, an insurance company, as a retail salesperson qualified to
sell financial and insurance products to retail clients. From August 1984 to October 1987, Mr. Masucci</P>

<!-- Field: Page; Sequence: 20; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->14<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">worked as a manager of jobsites for Forestdale Inc., which is
a residential property developer. Mr. Masucci received his B.S. from Penn State University in Finance in July 1984.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>John A. Flanagan. </I></B>Mr. Flanagan serves as
the Principal Financial Officer of the Sponsor and the Trust. Mr. Flanagan was listed as a principal of ETF
Managers Capital LLC on January 8, 2015. Since June 2014, Mr. Flanagan serves as an Independent Trustee of Absolute Shares
Trust, a multi-series exchange traded fund. Mr. Flanagan has been the President and sole owner of John A Flanagan CPA,
LLC since December 2010. Mr. Flanagan was Chief Financial Officer of MacroMarkets LLC, an exchange traded fund issuer
from January 2007 to December 2010.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>David H. Weissman.</I></B> Mr. Weissman
joined Exchange Traded Mangers Group LLC, a financial services company, and its subsidiaries on September 15, 2014 and serves
as COO and CCO, overseeing and managing the implementation of all elements of operations and the regulatory compliance
requirements and reporting pursuant to SEC, FINRA and NYSE rules and regulations. Mr. Weissman was registered and listed as
both an associated person and principal of ETF Managers Capital LLC on September 23, 2014.  Prior to joining Exchange Trade
Managers Group, Mr. Weissman served as Chief Administrative and Chief Compliance Officer of ARK Investment Management LLC, a
Registered Investment Advisor and ETF issuer, from January 2014 to August 2014, overseeing and managing the office and ETF
operations and the regulatory compliance requirements pursuant to SEC, FINRA and NYSE rules and regulations. Prior to joining
ARK, Mr. Weissman served as Chief Compliance Officer to Factor Advisors, Factor Capital Management, LLC and FactorShares
Trust from January 2013 to December 2013, as well as the Associated Person to the Factor Capital Management, a CPO; the
Factor entities are a collection of financial services companies. Prior to joining Factor Advisors, Mr. Weissman was an
independent consultant to issuers in the ETF market from July 24, 2012 to December 31, 2012. Prior to that, Mr. Weissman
served as COO and CCO to FocusShares LLC, a wholly-owned subsidiary of Scottrade LLC, an ETF issuer and Investment Adviser
from June 2010 to July 2012, overseeing and managing the implementation of all elements of FocusShares&rsquo; operations
and the regulatory compliance requirements and reporting pursuant to SEC, FINRA and NYSE rules and regulations, as well as
the Associated Person to the FocusShares LLC CPO. Prior to FocusShares being acquired by Scottrade in June 2010, Mr.
Weissman served in the same positions with the same roles from September 2007 to June 2010, except for the role as Associated
Person which he initially began serving as in September 2011.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0"><B>Performance of Related Public Funds</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">Since June of 2012, Mr. Masucci has served as the Chief Executive
Officer of Factor Advisors, LLC, and as the Chairman since March 2013. Mr. Masucci was listed as a principal of Factor Capital
Management LLC until September 23, 2014 and during this time period Factor Capital Management LLC was the sponsor of the FactorShares
exchange-traded funds noted below (the &ldquo;FactorShares funds&rdquo;). Each of these funds was a &ldquo;commodity pool&rdquo;
and therefore although the funds were liquidated in November 2013, in conformity with regulatory requirements, the performance
of the FactorShares funds is shown below. Investors should be aware that there are significant differences between the Fund and
the related pools below; principally, the FactorShares funds were leveraged funds seeking investment exposure to equities and commodities.
The Fund has an investment objective of seeking to profit from rising interest rates by tracking the performance of a portfolio
of Treasury Instruments weighted to achieve a targeted negative 10 year average effective portfolio duration. Given the significantly
different investment objectives of the Fund and the FactorShares funds, the performance of the Fund is not expected to have any
relationship to that of the FactorShares funds.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>PERFORMANCE OF FACTORSHARES 2X: OIL BULL/S&amp;P500
BEAR (<I>TICKER: FOL</I>)</B></P>

<P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Name of Pool</I>: Factorshares 2X: Oil Bull/S&amp;P500
Bear</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Type of Pool</I>: Public, Exchange-Listed
Commodity Pool</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Inception of Trading</I>: February 22, 2011</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Cessation of Operations</I>: November 21,
2013</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Aggregate Gross Capital Subscriptions as
of February 9, 2015:</I> $10,998,571</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Net Asset Value as of February 9, 2015:</I>
$0.00</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Net Asset Value per Share as of February 9, 2015:</I> $0.00</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Worst Monthly Drawdown</I>: (25.51)% May
2012</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Worst Peak-to-Valley Drawdown</I>: (85.84)%
April 2011 &ndash; November 2013</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: justify"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0; text-align: center"><B>PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE
OF FUTURE RESULTS.</B></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: top; border-top: Black 1px solid; border-right: Black 1px solid; border-left: Black 1px solid; padding-left: 2pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: center; border-top: Black 1px solid; border-right: Black 1px solid; border-bottom: Black 1px solid; background-color: rgb(204,204,255)"><FONT STYLE="font-size: 10pt">2013(%)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: center; border-top: Black 1px solid; border-right: Black 1px solid; border-bottom: Black 1px solid"><FONT STYLE="font-size: 10pt">2012(%)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: center; border-top: Black 1px solid; border-right: Black 1px solid; border-bottom: Black 1px solid"><FONT STYLE="font-size: 10pt">2011(%)</FONT></TD></TR>
<TR STYLE="background-color: rgb(204,238,255)">
    <TD STYLE="padding-left: 2pt; border: Black 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-size: 10pt">Annual Rate of Return</FONT></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1px solid; border-right: Black 1px solid; vertical-align: bottom; background-color: rgb(204,204,255)"><FONT STYLE="font-size: 10pt">(58.92)</FONT></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1px solid; border-right: Black 1px solid; vertical-align: bottom"><FONT STYLE="font-size: 10pt">(54.81)</FONT></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1px solid; border-right: Black 1px solid; vertical-align: bottom"><FONT STYLE="font-size: 10pt">(13.33)</FONT></TD></TR>
</TABLE>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 4%"><FONT STYLE="font-size: 10pt; color: black">*</FONT></TD>
    <TD STYLE="width: 96%; padding-right: 54pt; text-align: justify"><FONT STYLE="font-size: 10pt">The fund commenced investment
    operations on February 22, 2011. The fund ceased investment operations on November 21, 2013</FONT></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>PERFORMANCE OF FACTORSHARES 2X: TBOND BULL/S&amp;P500
BEAR (<I>TICKER: FSA</I>)</B></P>

<P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Name of Pool</I>: Factorshares 2X: TBond
Bull/S&amp;P500 Bear</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Type of Pool</I>: Public, Exchange-Listed
Commodity Pool</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Inception of Trading</I>: February 22, 2011</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Cessation of Operations</I>: November 21,
2013</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Aggregate Gross Capital Subscriptions as
of February 9, 2015:</I> $9,239,791</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Net Asset Value as of February 9, 2015:</I>
$0.00</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Net Asset Value per Share as of February 9, 2015:</I> $0.00</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Worst Monthly Drawdown</I>: (29.18)% November
2013</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Worst Peak-to-Valley Drawdown</I>: (86.12)%
September 2011 &ndash; November 2013</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0; text-align: center"><B>PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE
OF FUTURE RESULTS.</B></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: top; border-top: Black 1px solid; border-right: Black 1px solid; border-left: Black 1px solid; padding-left: 2pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: center; border-top: Black 1px solid; border-right: Black 1px solid; border-bottom: Black 1px solid; background-color: rgb(204,204,255)"><FONT STYLE="font-size: 10pt">2013(%)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: center; border-top: Black 1px solid; border-right: Black 1px solid; border-bottom: Black 1px solid"><FONT STYLE="font-size: 10pt">2012(%)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: center; border-top: Black 1px solid; border-right: Black 1px solid; border-bottom: Black 1px solid"><FONT STYLE="font-size: 10pt">2011(%)</FONT></TD></TR>
<TR STYLE="background-color: rgb(204,238,255)">
    <TD STYLE="padding-left: 2pt; border: Black 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-size: 10pt">Annual Rate of Return</FONT></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1px solid; border-right: Black 1px solid; vertical-align: bottom; background-color: rgb(204,204,255)"><FONT STYLE="font-size: 10pt">(71.72)</FONT></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1px solid; border-right: Black 1px solid; vertical-align: bottom"><FONT STYLE="font-size: 10pt">(35.05)</FONT></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1px solid; border-right: Black 1px solid; vertical-align: bottom"><FONT STYLE="font-size: 10pt">19.77</FONT></TD></TR>
</TABLE>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 4%"><FONT STYLE="font-size: 10pt; color: black">*</FONT></TD>
    <TD STYLE="width: 96%; padding-right: 54pt; text-align: justify"><FONT STYLE="font-size: 10pt">The fund commenced investment
    operations on February 22, 2011. The fund ceased investment operations on November 21, 2013</FONT></TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: left"> </P>






<!-- Field: Page; Sequence: 21; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->15<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: left"> </P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>PERFORMANCE OF FACTORSHARES 2X: S&amp;P500
BULL/TBOND BEAR (<I>TICKER: FSE</I>)</B></P>

<P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Name of Pool</I>: Factorshares 2X: S&amp;P500
Bull/TBond Bear</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Type of Pool</I>: Public, Exchange-Listed
Commodity Pool</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Inception of Trading</I>: February 22, 2011</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Cessation of Operations</I>: November 21,
2013</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Aggregate Gross Capital Subscriptions as
of February 9, 2015:</I> $5,000,000</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Net Asset Value as of February 9, 2015:</I>
$0.00</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Net Asset Value per Share as of February 9, 2015:</I> $0.00</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Worst Monthly Drawdown</I>: (27.43)% August
2011</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Worst Peak-to-Valley Drawdown</I>: (60.86)%
April 2011 &ndash; November 2012</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: justify"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0; text-align: center"><B>PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE
OF FUTURE RESULTS.</B></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: top; border-top: Black 1px solid; border-right: Black 1px solid; border-left: Black 1px solid; padding-left: 2pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: center; border-top: Black 1px solid; border-right: Black 1px solid; border-bottom: Black 1px solid; background-color: rgb(204,204,255)"><FONT STYLE="font-size: 10pt">2013(%)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: center; border-top: Black 1px solid; border-right: Black 1px solid; border-bottom: Black 1px solid"><FONT STYLE="font-size: 10pt">2012(%)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: center; border-top: Black 1px solid; border-right: Black 1px solid; border-bottom: Black 1px solid"><FONT STYLE="font-size: 10pt">2011(%)</FONT></TD></TR>
<TR STYLE="background-color: rgb(204,238,255)">
    <TD STYLE="padding-left: 2pt; border: Black 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-size: 10pt">Annual Rate of Return</FONT></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1px solid; border-right: Black 1px solid; vertical-align: bottom; background-color: rgb(204,204,255)"><FONT STYLE="font-size: 10pt">18.65</FONT></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1px solid; border-right: Black 1px solid; vertical-align: bottom"><FONT STYLE="font-size: 10pt">(14.67)</FONT></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1px solid; border-right: Black 1px solid; vertical-align: bottom"><FONT STYLE="font-size: 10pt">(51.45)</FONT></TD></TR>
</TABLE>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 4%"><FONT STYLE="font-size: 10pt; color: black">*</FONT></TD>
    <TD STYLE="width: 96%; padding-right: 54pt; text-align: justify"><FONT STYLE="font-size: 10pt">The fund commenced investment
    operations on February 22, 2011. The fund ceased investment operations on November 21, 2013</FONT></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>PERFORMANCE OF FACTORSHARES 2X: GOLD BULL/S&amp;P500
BEAR (<I>TICKER: FSG</I>)</B></P>

<P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Name of Pool</I>: Factorshares 2X: Gold Bull/S&amp;P500
Bear</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Type of Pool</I>: Public, Exchange-Listed
Commodity Pool</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Inception of Trading</I>: February 22, 2011</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Cessation of Operations</I>: November 21,
2013</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Aggregate Gross Capital Subscriptions as
of February 9, 2015:</I> $41,776,771</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Net Asset Value as of February 9, 2015:</I>
$0.00</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Net Asset Value per Share as of February 9, 2015:</I> $0.00</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Worst Monthly Drawdown</I>: (24.04)% December
2011</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Worst Peak-to-Valley Drawdown</I>: (87.32)%
August 2011 &ndash; November 2013</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: justify"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0; text-align: center"><B>PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE
OF FUTURE RESULTS.</B></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: top; border-top: Black 1px solid; border-right: Black 1px solid; border-left: Black 1px solid; padding-left: 2pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: center; border-top: Black 1px solid; border-right: Black 1px solid; border-bottom: Black 1px solid; background-color: rgb(204,204,255)"><FONT STYLE="font-size: 10pt">2013(%)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: center; border-top: Black 1px solid; border-right: Black 1px solid; border-bottom: Black 1px solid"><FONT STYLE="font-size: 10pt">2012(%)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: center; border-top: Black 1px solid; border-right: Black 1px solid; border-bottom: Black 1px solid"><FONT STYLE="font-size: 10pt">2011(%)</FONT></TD></TR>
<TR STYLE="background-color: rgb(204,238,255)">
    <TD STYLE="padding-left: 2pt; border: Black 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-size: 10pt">Annual Rate of Return</FONT></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1px solid; border-right: Black 1px solid; vertical-align: bottom; background-color: rgb(204,204,255)"><FONT STYLE="font-size: 10pt">(74.20)</FONT></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1px solid; border-right: Black 1px solid; vertical-align: bottom"><FONT STYLE="font-size: 10pt">(21.71)</FONT></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1px solid; border-right: Black 1px solid; vertical-align: bottom"><FONT STYLE="font-size: 10pt">5.85</FONT></TD></TR>
</TABLE>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 4%"><FONT STYLE="font-size: 10pt; color: black">*</FONT></TD>
    <TD STYLE="width: 96%; padding-right: 54pt; text-align: justify"><FONT STYLE="font-size: 10pt">The fund commenced investment
    operations on February 22, 2011. The fund ceased investment operations on November 21, 2013</FONT></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>PERFORMANCE OF FACTORSHARES 2X: S&amp;P500
BULL/USD BEAR (<I>TICKER: FSU</I>)</B></P>

<P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Name of Pool</I>: Factorshares 2X: S&amp;P500
Bull/USD Bear</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Type of Pool</I>: Public, Exchange-Listed
Commodity Pool</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Inception of Trading</I>: February 22, 2011</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Cessation of Operations</I>: November 21,
2013</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Aggregate Gross Capital Subscriptions as
of February 9, 2015:</I> $5,000,000</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Net Asset Value as of February 9, 2015:</I>
$0.00</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Net Asset Value per Share as of February 9, 2015:</I> $0.00</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Worst Monthly Drawdown</I>: (24.10)% September
2011</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><I>Worst Peak-to-Valley Drawdown</I>: (43.31)%
April 2011 &ndash; September 2011</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0; text-align: center"><B>PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE
OF FUTURE RESULTS.</B></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: top; border-top: Black 1px solid; border-right: Black 1px solid; border-left: Black 1px solid; padding-left: 2pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: center; border-top: Black 1px solid; border-right: Black 1px solid; border-bottom: Black 1px solid; background-color: rgb(204,204,255)"><FONT STYLE="font-size: 10pt">2013(%)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: center; border-top: Black 1px solid; border-right: Black 1px solid; border-bottom: Black 1px solid"><FONT STYLE="font-size: 10pt">2012(%)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: center; border-top: Black 1px solid; border-right: Black 1px solid; border-bottom: Black 1px solid"><FONT STYLE="font-size: 10pt">2011(%)</FONT></TD></TR>
<TR STYLE="background-color: rgb(204,238,255)">
    <TD STYLE="padding-left: 2pt; border: Black 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-size: 10pt">Annual Rate of Return</FONT></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1px solid; border-right: Black 1px solid; vertical-align: bottom; background-color: rgb(204,204,255)"><FONT STYLE="font-size: 10pt">30.60</FONT></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1px solid; border-right: Black 1px solid; vertical-align: bottom"><FONT STYLE="font-size: 10pt">10.52</FONT></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1px solid; border-right: Black 1px solid; vertical-align: bottom"><FONT STYLE="font-size: 10pt">(23.65)</FONT></TD></TR>
</TABLE>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 4%"><FONT STYLE="font-size: 10pt; color: black">*</FONT></TD>
    <TD STYLE="width: 96%; padding-right: 54pt; text-align: justify"><FONT STYLE="font-size: 10pt">The fund commenced investment
    operations on February 22, 2011. The fund ceased investment operations on November 21, 2013</FONT></TD></TR>
</TABLE>

<P STYLE="margin-top: 0; margin-bottom: 0; font: 10pt Times New Roman, Times, Serif"> </P>

<!-- Field: Page; Sequence: 22; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->16<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Commodity Trading Advisor</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Commodity Trading Advisor (&ldquo;CTA&rdquo;) for the Fund
is Sit Fixed Income Advisors II, LLC (&ldquo;Sit&rdquo;). Sit Fixed Income Advisors II, LLC is a Delaware limited liability company
and a subsidiary of Sit Investment Associates, Inc. Sit Investment Associates, Inc. was founded in July 1981 in Minneapolis by
Eugene C. Sit. Sit Investment Associates, Inc. is an employee owned Minnesota corporation with a staff in excess of 70 persons
including 25 full-time investment professionals. Sit Investment Associates, Inc. and its affiliates manage $14.07 billion in assets
as of June 30, 2014 in portfolios with a variety of investment objectives. Sit Investment Associates, Inc. manages the assets of
separate accounts, private investment funds, and the Sit Mutual Funds, a family of 12 no-load mutual funds. Sit Investment Associates,
Inc. manages two private funds which have investment objectives that are similar to the Fund&rsquo;s investment objectives. Information
regarding such private investment funds with similar investment objectives is included below. Sit is registered
as a CTA with the CFTC and is a member of the NFA. Sit registered as a CTA and became a member of the NFA on November 21, 2014.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Sponsor has also entered into a Licensing and
Services Agreement with Sit. Under this agreement, Sit has agreed to compose and maintain the Benchmark Portfolio and license
to the Sponsor the use of the Benchmark Portfolio. For this license and services, the Sponsor pays a fee to Sit of 0.35% (35
basis points) of average daily net assets of the Fund. This fee is payable by the Sponsor from the Management Fee and not
directly by the Fund.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Sit has agreed to be responsible for the payment of certain
expenses in excess of the expense limitation although the Sponsor retains the ultimate obligation to the Fund to waive and/or reimburse
such expenses.</P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The following are individual Principals, as that term is defined
in CFTC Rule 3.1, for Sit Fixed Income Advisors II, LLC: Roger J. Sit, Michael, C. Brilley, Paul J. Jungquist, Paul E. Rasmussen,
Carla J. Rose, Debra A. Sit, Mark H. Book, Bryce A. Doty, and Chris M. Rasmussen. These individuals are principals due to their
positions. The following individuals will serve as investment professionals and senior management in regards to the Fund:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Roger J. Sit</I>. </B>Roger Sit is the Chairman and
Chief Executive Officer. Mr. Sit was listed as a principal of Sit on November 4, 2014. Mr. Sit joined the organization in
January 1998. Mr. Sit directs the overall investment management activities for Sit Investment Associates, Inc. and Sit
International.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B><I>Michael C. Brilley</I>. </B>Michael
Brilley is the President and Chief Fixed Income Officer. Mr. Brilley joined Sit Investment Associates, Inc. in April 1984.
Mr. Brilley was listed as a principal of Sit on October 29, 2014 and was listed as a pending associated person on October
14, 2014.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B><I>Bryce A. Doty. </I></B>Bryce
Doty is a Senior Vice President and Senior Portfolio Manager. Mr. Doty joined Sit Investment Associates, Inc. in
November 1995. Mr. Doty was listed as a principal of Sit on October 29, 2014 and was listed as an associated person on November
21, 2014. He is responsible for taxable bond portfolio management serving as portfolio manager for short duration
accounts.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B><I>Mark H. Book, CFA, CMA</I>. </B>Mark
Book is a Vice President and Portfolio Manager. Mr. Book joined Sit Investment Associates, Inc. in August 2000 as a Portfolio
Manager and Fixed Income Analyst. Mr. Book was listed as a principal of Sit on October 31, 2014 and was listed as a pending associated person on October
14, 2014. He is responsible for
taxable bond portfolio management and credit research.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>


<!-- Field: Page; Sequence: 23; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->17<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B><I>Christopher M. Rasmussen, CFA</I>.
</B>Chris Rasmussen is a Vice President and Portfolio Manager. Mr. Rasmussen joined Sit Investment Associates, Inc. in February
1999. Mr. Rasmussen was listed as a principal of Sit on October 29, 2014 and listed as an associated person on November 21, 2014.
He is responsible for taxable bond portfolio management and credit research. Mr. Rasmussen has worked in the Sit mutual fund
group as well as the client administration area, and moved to fixed income in August 2002.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><B>Sit&rsquo;s Trading Program</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt">Sit&rsquo;s investment in commodities on behalf
of its clients&rsquo; accounts is currently limited to investment in exchange traded futures and options on futures in three strategies:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 36pt; text-indent: 0pt">Rising Interest Rate Strategy.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 36pt; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 36pt; text-indent: 0pt">The objective of the strategy is to achieve
a superior risk-adjusted return to the Barclays U.S. Treasury Bellwether 30-Year Index. Sit attempts to maintain the account&rsquo;s
average effective duration at approximately -11 to -9 years by investing 5 to 15% of its total assets in futures and options on
2, 5, and 10-year U.S. Treasury futures contracts. The portfolios and composites managed under this strategy are:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 36pt; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 72pt; text-indent: 0pt">Rising Interest Rate II</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 72pt; text-indent: 0pt">Rising Interest Rate</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 72pt; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 36pt; text-indent: 0pt">The Benchmark Portfolio shares the &ldquo;Rising Interest Rate Strategy&rdquo; trading
program described above.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 36pt; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 36pt; text-indent: 0pt">Certain accounts utilizing this trading program have been managed by Sit under investment objectives that are substantially similar to that of the Fund; the performance of such accounts has
been provided below in accordance with applicable regulatory requirements. When reviewing this information, you should be aware
that the investment strategies in accordance with which these accounts are managed to achieve their investment objectives differ
in certain respects from those in accordance with which the Fund is managed. Generally, the investment strategies used in managing
the Fund (described previously) permit less flexibility in managing the Fund&rsquo;s investments than those used in managing the
accounts. The accounts may rebalance and reconstitute their portfolios at their discretion.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 72pt; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 36pt; text-indent: 0pt">Interest Rate Hedging Strategy.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 36pt; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 36pt; text-indent: 0pt">The objective of the strategy is to maintain
the account&rsquo;s average effective duration at a level to hedge against anticipated changes in interest rates by investing a
portion of the account&rsquo;s total assets (not to exceed 5%) in futures and options on 2, 5, and 10-year U.S. Treasury futures
contracts. The portfolios and composites managed under this strategy are:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 36pt; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 72pt; text-indent: 0pt">Taxable Short Duration Hedged Composite</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 72pt; text-indent: 0pt">Quality Income Hedged Composite</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 72pt; text-indent: 0pt">Custom Alpha Bond Portfolio Hedged Composite</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 72pt; text-indent: 0pt">U.S. Government Securities Hedged</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 36pt; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 36pt; text-indent: 0pt">Custom Alpha Strategy.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 36pt; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 36pt; text-indent: 0pt">The objective of the strategy is to achieve
a superior risk-adjusted return to the relative to a specified benchmark by investing 5 to 15% of the account&rsquo;s total assets
in futures contracts relative to the index. The indices currently utilized include Standard and Poor&rsquo;s S&amp;P 500<SUP>&reg;</SUP>
Index, Barclays U.S. 5-year Note future USD ER Index, Barclays U.S. long bond future USD ER Index, and MSCI EAFE Index. The portfolios
and composites managed under this strategy are:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 36pt; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 72pt; text-indent: 0pt">Custom Alpha &ndash; S&amp;P 500</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 72pt; text-indent: 0pt">Custom Alpha &ndash; 5-Year Treasury</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 72pt; text-indent: 0pt">Custom Alpha &ndash; 30-Year Treasury</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 72pt; text-indent: 0pt">Custom Alpha &ndash; Composite Equity
Index</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 72pt; text-indent: 0pt">Custom Alpha &ndash; EAFE</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 72pt; text-indent: 0pt">Custom Alpha &ndash; Client Directed
A</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 72pt; text-indent: 0pt">Custom Alpha &ndash; 5-Year Treasury
B</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 72pt; text-indent: 0pt">Custom Alpha &ndash; Series D</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"> </P>
<!-- Field: Page; Sequence: 24; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->18<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><B>PERFORMANCE OF RISING INTEREST RATE STRATEGY</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0.5in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Name of Trading Program</I>: Rising Interest
Rate II</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Inception of Trading</I>: June 30, 2012</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Number of Accounts Traded Pursuant to Program</I>:
1</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Total Assets Traded Pursuant to Strategy as
of December 31, 2014</I>: $136,366,701</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Total Assets Traded Pursuant to Program as
of December 31, 2014</I>: $92,159,155</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><FONT STYLE="font-size: 10pt"><I>Worst Monthly
Drawdown</I>: </FONT><FONT STYLE="font-size: 9pt">September 2013 (3.05%)</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Worst Peak-to-Valley Drawdown</I>: November
&lsquo;12 to May &lsquo;14 (9.83%)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><B>PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE
OF FUTURE RESULTS.</B></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 46%; border: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Monthly Rate of Return</FONT></TD>
    <TD STYLE="width: 18%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2014(%)</FONT></TD>
    <TD STYLE="width: 18%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2013(%)</FONT></TD>
    <TD STYLE="width: 18%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2012(%)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">January</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(2.36)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.56)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">February</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.39)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.62)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">March</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">1.94</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.56)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">April</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.02)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.51)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">May</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(2.94)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.82</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">June</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">1.89</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.17</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">July</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">1.80</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.77)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.09)</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">August</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.29</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.47)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.07</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">September</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">1.06</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(3.05)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">1.95</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">October</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(1.78)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(2.28)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.49</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">November</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.14)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.47)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.93)</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">December</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.73</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2.74</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.15</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; background-color: rgb(204,238,255); padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Annual Rate of Return</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.06)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(5.54)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">1.63</FONT></TD></TR>
</TABLE>


<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 4%; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">*</FONT></TD>
    <TD STYLE="width: 96%; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Performance is net of commissions, exchange fees, regulatory fees, management fees (1.63%), trading advisor fees (0.32%), and performance fees, which for capsule purposes are accrued at a rate of 30% on returns in excess of the benchmark.</FONT></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Name of Trading Program</I>: Rising Interest
Rate</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Inception of Trading</I>: July 31, 2011</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Number of Accounts Traded Pursuant to Program</I>:
1</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Total Assets Traded Pursuant to Strategy as
of December 31, 2014</I>: $136,366,701</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Total Assets Traded Pursuant to Program as
of December 31, 2014</I>: $44,207,546</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Worst Monthly Drawdown</I>: September 2013
(3.46%)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Worst Peak-to-Valley Drawdown</I>: July &lsquo;12
to November &lsquo;13 (8.72%)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><B>PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE
OF FUTURE RESULTS.</B></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 40%; border: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Monthly Rate of Return</FONT></TD>
    <TD STYLE="width: 15%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2014(%)</FONT></TD>
    <TD STYLE="width: 15%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2013(%)</FONT></TD>
    <TD STYLE="width: 15%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2012(%)</FONT></TD>
    <TD STYLE="width: 15%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2011(%)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">January</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(2.17)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.60)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.78)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">February</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.17</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.57)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2.33</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">March</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2.64</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.28)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">1.22</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">April</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.07)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.90)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.52</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">May</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(3.11)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">1.02</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.03)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">June</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2.21</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.51)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.88</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">July</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2.22</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.39)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(1.47)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">August</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.22</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.13)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.45)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(1.93)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">September</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.91</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(3.46)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">1.65</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.35</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">October</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(1.51)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(2.04)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.21</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.15</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">November</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.00</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.73)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.77)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(1.44)</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">December</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">1.35</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2.78</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.43</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.84</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; background-color: rgb(204,238,255); padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Annual Rate of Return</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2.71</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(5.77)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">3.71</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(2.04)</FONT></TD></TR>
</TABLE>


<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 4%; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">*</FONT></TD>
    <TD STYLE="width: 96%; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Performance is net of commissions, exchange fees, regulatory fees, management fees (1.63%), trading advisor fees (0.32%), and performance fees, which for capsule purposes are accrued at a rate of 30% on returns in excess of the benchmark.</FONT></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"> </P>
<!-- Field: Page; Sequence: 25; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->19<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"> </P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><B>PERFORMANCE OF INTEREST RATE HEDGING STRATEGY</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Name of Trading Program</I>: Taxable Short
Duration Hedged Composite</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Inception of Trading</I>: March 31, 2010</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Number of Accounts Traded Pursuant to Program</I>:
6</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Total Assets Traded Pursuant to Strategy as
of December 31, 2014</I>: $1,583,338,236</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Total Assets Traded Pursuant to Program as
of December 31, 2014</I>: $354,102,608</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Worst Monthly Drawdown</I>: June 2013 (0.59%)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Worst Peak-to-Valley Drawdown</I>: May &lsquo;13
to October &lsquo;13 (1.40%)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><B>PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE
OF FUTURE RESULTS.</B></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 40%; border: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Monthly Rate of Return</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2014(%)</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2013(%)</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2012(%)</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2011(%)</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2010(%)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">January</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.07</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.29)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.41</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.47</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">February</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.21</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.39</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.61</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.47</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">March</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.06</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.09</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.14</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.36</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">April</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.19</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.18</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.77</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.09</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.36)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">May</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.06)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.35)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.37</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.53</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.22</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">June</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.40</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.59)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.03</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.41</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.69</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">July</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.48</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.02)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.52</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.55</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.76</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">August</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.36</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.34)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.22</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.01)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.39</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">September</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.12</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.02)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.47</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.01</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.34</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">October</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.43)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.07)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.02)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.21</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.92</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">November</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.19</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.08</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.27</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.02)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.57</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">December</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.29</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.26</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.03)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.56</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.08)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; background-color: rgb(204,238,255); padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Annual Rate of Return</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">1.86</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.72)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">3.78</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">3.66</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">3.48</FONT></TD></TR>
</TABLE>


<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 4%; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">*</FONT></TD>
    <TD STYLE="width: 96%; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Performance is net of commissions, exchange fees, regulatory fees, and management fees (0.40%).</FONT></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Name of Trading Program</I>: Quality Income
Hedged Composite</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Inception of Trading</I>: December 31, 2012</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Number of Accounts Traded Pursuant to Program</I>:
3</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Total Assets Traded Pursuant to Strategy as
of December 31, 2014</I>: $1,583,338,236</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Total Assets Traded Pursuant to Program as
of December 31, 2014</I>: $343,687,326</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Worst Monthly Drawdown</I>: June 2013 (0.36%)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Worst Peak-to-Valley Drawdown</I>: May &lsquo;13
to June &lsquo;13 (0.49%)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><B>PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE
OF FUTURE RESULTS.</B></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 60%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 54%; border: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Monthly Rate of Return</FONT></TD>
    <TD STYLE="width: 23%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2014(%)</FONT></TD>
    <TD STYLE="width: 23%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2013(%)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">January</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.12</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.18</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">February</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.11</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.09</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">March</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.09</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.22</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">April</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.16</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.34</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">May</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.15</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.14)</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">June</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.14</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.36)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">July</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.06</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.04</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">August</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.13</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.16</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">September</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.02</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.03</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">October</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.01)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.14</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">November</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.07</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.02)</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">December</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.05</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.22</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; background-color: rgb(204,238,255); padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Annual Rate of Return</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">1.09</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.89</FONT></TD></TR>
</TABLE>


<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 4%; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">*</FONT></TD>
    <TD STYLE="width: 96%; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Performance is net of commissions, exchange fees, regulatory fees, and management fees (0.40%).</FONT></TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"> </P>
<!-- Field: Page; Sequence: 26; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->20<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"> </P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Name of Trading Program</I>: Custom Alpha Bond
Portfolio Hedged Composite</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Inception of Trading</I>: March 31, 2008</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Number of Accounts Traded Pursuant to Program</I>:
3</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Total Assets Traded Pursuant to Strategy as
of December 31, 2014</I>: $1,583,338,236</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Total Assets Traded Pursuant to Program as
of December 31, 2014</I>: $299,258,557</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Worst Monthly Drawdown</I>: April 2010 (2.15%)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Worst Peak-to-Valley Drawdown</I>: October
&lsquo;12 to November &lsquo;13 (8.04%)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><B>PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE
OF FUTURE RESULTS.</B></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 40%; border: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Monthly Rate of Return</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2014(%)</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2013(%)</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2012(%)</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2011(%)</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2010(%)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">January</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.31)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(1.43)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.61</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">1.00</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">1.15</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">February</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.44</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.42</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">1.64</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2.22</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.34)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">March</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.89</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.28)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.60</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">1.14</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2.41</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">April</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.89</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.22</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2.65</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.34</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(2.15)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">May</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(1.44)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(1.28)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.97</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">1.08</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.50</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">June</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">1.69</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(1.79)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.23</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">1.36</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2.69</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">July</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">1.25</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.08)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.38</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">1.32</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">1.85</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">August</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">1.71</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(1.50)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.20)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.40)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.64</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">September</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.11</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(1.05)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">1.66</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.37</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">1.05</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">October</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.58</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(1.25)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.16)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.40</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">3.20</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">November</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">1.40</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.28)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.15</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.90)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2.84</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">December</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.33</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.42</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(0.01)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">1.74</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0.22</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; background-color: rgb(204,238,255); padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Annual Rate of Return</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">7.76</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(7.63)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">8.80</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">10.07</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">14.86</FONT></TD></TR>
</TABLE>


<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 4%; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">*</FONT></TD>
    <TD STYLE="width: 96%; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Performance is net of commissions, exchange fees, regulatory fees, management fees (1.50%), and trading advisor fees (0.07%).</FONT></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Name of Trading Program</I>: U.S. Government
Securities Hedged</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Inception of Trading</I>: May 31, 1987</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Number of Accounts Traded Pursuant to Program</I>:
1</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Total Assets Traded Pursuant to Strategy as
of December 31, 2014</I>: $1,583,338,236</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Total Assets Traded Pursuant to Program as
of December 31, 2014</I>: $586,289,745</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Worst Monthly Drawdown</I>: May 2013 (0.91%)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Worst Peak-to-Valley Drawdown</I>: December
&lsquo;12 to October &lsquo;13 (2.17%)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><B>PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE
OF FUTURE RESULTS.</B></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 40%; border: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Monthly Rate of Return</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2014(%)</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2013(%)</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2012(%)</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2011(%)</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2010(%)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">January</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.38</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.40)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.22</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.14</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.70</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">February</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.16</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.25</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.51</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.36</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.03</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">March</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.09</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.12)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.25</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.24</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.53</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">April</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.15</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.23</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.60</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.51</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.07)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">May</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.05)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.91)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.24</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.63</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.41</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">June</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.26</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.81)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.10)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.35</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.75</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">July</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.21</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.10</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.40</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.31</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.45</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">August</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.21</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.40)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.16</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.14</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.88</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">September</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.18</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.04)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.29</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.03)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.16</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">October</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.08</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.03)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.05)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.04</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.70</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">November</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.23</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.15</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.18</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.25)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.62</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">December</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.31</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.11)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.06)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.24</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.36)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; background-color: rgb(204,238,255); padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Annual Rate of Return</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.22</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(2.08)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.67</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.72</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">4.91</FONT></TD></TR>
</TABLE>


<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 4%; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">*</FONT></TD>
    <TD STYLE="width: 96%; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Performance is net of commissions, exchange fees, regulatory fees, and management fees (0.80%).</FONT></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"> </P>
<!-- Field: Page; Sequence: 27; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->21<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"> </P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><B>PERFORMANCE OF CUSTOM ALPHA STRATEGY</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0.5in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Name of Trading Program</I>: Custom Alpha &ndash;
S&amp;P 500</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Inception of Trading</I>: March 31, 2008</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Number of Accounts Traded Pursuant to Program</I>:
1</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Total Assets Traded Pursuant to Strategy as
of December 31, 2014</I>: $71,179,611</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Total Assets Traded Pursuant to Program as
of December 31, 2014</I>: $12,944,375</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Worst Monthly Drawdown</I>: May 2010 (7.84%)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Worst Peak-to-Valley Drawdown</I>: May &lsquo;11
to September &lsquo;11 (13.75%)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><B>PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE
OF FUTURE RESULTS.</B></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 40%; border: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Monthly Rate of Return</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2014(%)</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2013(%)</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2012(%)</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2011(%)</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2010(%)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">January</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(3.56)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">3.76</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">4.54</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">3.22</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(2.82)</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">February</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">5.18</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.70</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">5.38</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">5.25</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.69</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">March</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.03</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">3.42</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">3.73</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.53</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">8.01</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">April</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.52</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.85</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.53</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">3.04</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.01)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">May</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.89</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.09</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(5.16)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.41)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(7.84)</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">June</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">3.56</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(3.59)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">4.12</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.57)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(3.36)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">July</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.09</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">5.09</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.49</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(1.07)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">8.04</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">August</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">5.38</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(4.14)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.83</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(5.71)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(4.76)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">September</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(1.27)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.64</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">3.85</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(6.63)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">9.96</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">October</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.93</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">3.58</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(2.18)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">10.91</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">6.44</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">November</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">4.07</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.61</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.64</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.92)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.84</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">December</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.05)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.84</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.85</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.54</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">6.84</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; background-color: rgb(204,238,255); padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Annual Rate of Return</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">22.39</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">21.25</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">22.07</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">9.38</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">27.02</FONT></TD></TR>
</TABLE>


<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 4%; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">*</FONT></TD>
    <TD STYLE="width: 96%; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Performance is net of commissions, exchange fees, regulatory fees, management fees (1.50%), and trading advisor fees (0.32%).</FONT></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Name of Trading Program</I>: Custom Alpha &ndash;
5-Year Treasury</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Inception of Trading</I>: March 31, 2008</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Number of Accounts Traded Pursuant to Program</I>:
1</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Total Assets Traded Pursuant to Strategy as
of December 31, 2014</I>: $71,179,611</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Total Assets Traded Pursuant to Program as
of December 31, 2014</I>: $740,309</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Worst Monthly Drawdown</I>: June 2013 (3.46%)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Worst Peak-to-Valley Drawdown</I>: October
&lsquo;12 to December &lsquo;13 (10.55%)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><B>PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE
OF FUTURE RESULTS.</B></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 40%; border: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Monthly Rate of Return</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2014(%)</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2013(%)</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2012(%)</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2011(%)</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2010(%)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">January</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.00</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(1.95)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.93</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.91</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.80</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">February</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.96</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.94</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.71</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.55</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.22</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">March</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.73</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.16)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.07</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.57</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.35</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">April</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.29</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.45</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">3.45</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.51</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.81)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">May</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.61)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(2.66)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.24</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.35</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.33</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">June</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.55</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(3.46)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.11</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.53</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">3.34</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">July</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.09</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.30</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.74</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.57</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.37</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">August</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.32</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(2.05)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.16)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.29</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.75</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">September</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.18)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.27)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.44</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.31</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.65</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">October</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.67</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.56)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.64)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.37</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">3.57</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">November</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.21</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.45)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.54</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.44)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.43</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">December</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.16)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.90)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.14)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.22</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(1.47)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; background-color: rgb(204,238,255); padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Annual Rate of Return</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">12.47</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(10.33)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">8.56</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">16.87</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">18.86</FONT></TD></TR>
</TABLE>


<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 4%; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">*</FONT></TD>
    <TD STYLE="width: 96%; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Performance is net of commissions, exchange fees, regulatory fees, management fees (1.50%), and trading advisor fees (0.32%).</FONT></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"> </P>
<!-- Field: Page; Sequence: 28; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->22<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Name of Trading Program</I>: Custom Alpha &ndash;
30-Year Treasury</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Inception of Trading</I>: March 31, 2008</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Number of Accounts Traded Pursuant to Program</I>:
1</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Total Assets Traded Pursuant to Strategy as
of December 31, 2014</I>: $71,179,611</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Total Assets Traded Pursuant to Program as
of December 31, 2014</I>: $951,404</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Worst Monthly Drawdown</I>: May 2013 (6.12%)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Worst Peak-to-Valley Drawdown</I>: December
&lsquo;12 to December &lsquo;13 (18.54%)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><B>PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE
OF FUTURE RESULTS.</B></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 40%; border: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Monthly Rate of Return</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2014(%)</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2013(%)</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2012(%)</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2011(%)</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2010(%)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">January</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">4.15</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(4.04)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.72</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.02</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">3.97</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">February</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.47</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.63</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.25)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">3.05</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.10)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">March</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.51</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.25</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(2.04)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.66</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.88</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">April</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.20</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.61</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">6.00</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.83</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.80</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">May</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.06</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(6.12)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">5.33</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">3.75</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">3.45</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">June</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.50</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(5.20)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.71)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.10</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">5.95</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">July</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.69</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(1.31)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.00</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">4.57</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.09</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">August</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">4.55</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(1.91)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.46)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">6.22</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">5.13</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">September</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(1.30)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.33)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.11</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">4.77</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.33</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">October</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.84</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.00</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.37)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(2.04)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.93</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">November</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">3.45</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(2.54)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.41</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.94</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.53</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">December</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.55</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(1.42)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(1.57)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">3.91</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(3.86)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; background-color: rgb(204,238,255); padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Annual Rate of Return</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">27.50</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(17.24)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">10.28</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">31.19</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">22.80</FONT></TD></TR>
</TABLE>


<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 4%; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">*</FONT></TD>
    <TD STYLE="width: 96%; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Performance is net of commissions, exchange fees, regulatory fees, management fees (1.50%), and trading advisor fees (0.32%).</FONT></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Name of Trading Program</I>: Custom Alpha &ndash;
Composite Equity Index</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Inception of Trading</I>: December 31, 2008</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Number of Accounts Traded Pursuant to Program</I>:
1</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Total Assets Traded Pursuant to Strategy as
of December 31, 2014</I>: $71,179,611</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Total Assets Traded Pursuant to Program as
of December 31, 2014</I>: $40,222,719</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Worst Monthly Drawdown</I>: January 2009 (11.70%)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Worst Peak-to-Valley Drawdown</I>: May &lsquo;11
to September &lsquo;11 (15.23%)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><B>PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE
OF FUTURE RESULTS.</B></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 40%; border: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Monthly Rate of Return</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2014(%)</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2013(%)</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2012(%)</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2011(%)</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2010(%)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">January</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(3.73)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.74</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">3.16</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.59</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(4.66)</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">February</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">3.30</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.10</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">3.91</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">4.02</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.90</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">March</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.75</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.96</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.64</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(1.37)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">9.05</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">April</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.91</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.29</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.33</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">4.69</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(2.59)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">May</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.28</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(2.57)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(4.14)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(1.40)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(10.30)</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">June</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">3.13</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(4.21)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">3.56</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.62</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(2.22)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">July</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.57</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.46</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.25</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(1.09)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">10.41</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">August</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">3.21</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(4.43)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.27</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(5.97)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(2.51)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">September</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.71)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.76</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">3.49</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(8.13)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">6.09</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">October</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.64</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.34</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(1.80)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">7.87</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">4.34</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">November</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">3.08</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.91</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.37</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(3.45)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.10)</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">December</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.50)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.49</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.64</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.72</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">3.29</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; background-color: rgb(204,238,255); padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Annual Rate of Return</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">13.47</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">7.68</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">16.50</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(2.01)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">10.20</FONT></TD></TR>
</TABLE>


<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 4%; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">*</FONT></TD>
    <TD STYLE="width: 96%; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Performance is net of commissions, exchange fees, regulatory fees, management fees (1.50%), and trading advisor fees (0.32%).</FONT></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"> </P>
<!-- Field: Page; Sequence: 29; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->23<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Name of Trading Program</I>: Custom Alpha &ndash;
EAFE</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Inception of Trading</I>: May 31, 2009</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Number of Accounts Traded Pursuant to Program</I>:
1</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Total Assets Traded Pursuant to Strategy as
of December 31, 2014</I>: $71,179,611</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Total Assets Traded Pursuant to Program as
of December 31, 2014</I>: $1,402,009</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Worst Monthly Drawdown</I>: May 2010 (11.08%)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Worst Peak-to-Valley Drawdown</I>: May &lsquo;11
to September &lsquo;11 (22.95%)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><B>PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE
OF FUTURE RESULTS.</B></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 40%; border: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Monthly Rate of Return</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2014(%)</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2013(%)</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2012(%)</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2011(%)</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2010(%)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">January</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(5.29)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.20</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">5.56</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">3.07</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(4.91)</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">February</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">6.75</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.92)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">6.04</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">5.62</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.17</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">March</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.71</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.07</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.77</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(2.22)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">8.61</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">April</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.30</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">4.56</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.03)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">6.22</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(4.31)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">May</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.38</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(3.96)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(10.40)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(2.52)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(11.08)</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">June</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.40</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(4.63)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">7.11</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.17</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.64)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">July</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(1.18)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">4.91</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.18</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(2.09)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">12.39</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">August</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.85</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(3.08)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.54</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(9.48)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(3.38)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">September</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(3.69)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">5.99</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">3.75</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(10.96)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">10.30</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">October</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.41</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.16</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.95</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">10.40</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">6.19</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">November</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.45</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.62)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.93</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(2.78)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(1.81)</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">December</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(3.50)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">3.15</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">4.40</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.94)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">9.10</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; background-color: rgb(204,238,255); padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Annual Rate of Return</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.01</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">10.60</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">25.12</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(7.38)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">19.16</FONT></TD></TR>
</TABLE>


<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 4%; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">*</FONT></TD>
    <TD STYLE="width: 96%; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Performance is net of commissions, exchange fees, regulatory fees, management fees (1.50%), and trading advisor fees (0.32%).</FONT></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Name of Trading Program</I>: Custom Alpha &ndash;
Client Directed -- A</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Inception of Trading</I>: August 31, 2012</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Number of Accounts Traded Pursuant to Program</I>:
1</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Total Assets Traded Pursuant to Strategy as
of December 31, 2014</I>: $71,179,611</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Total Assets Traded Pursuant to Program as
of December 31, 2014</I>: $9,852,319</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Worst Monthly Drawdown</I>: January 2014 (6.59%)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Worst Peak-to-Valley Drawdown</I>: May &lsquo;13
to June &lsquo;13 (8.66%)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><B>PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE
OF FUTURE RESULTS.</B></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 65%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 46%; border: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Monthly Rate of Return</FONT></TD>
    <TD STYLE="width: 18%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2014(%)</FONT></TD>
    <TD STYLE="width: 18%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2013(%)</FONT></TD>
    <TD STYLE="width: 18%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2012(%)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">January</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(6.59)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.93</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">February</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">6.06</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(1.15)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">March</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.68</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.10</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">April</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.99</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">4.15</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">May</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.08</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(4.12)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">June</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">3.13</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(4.74)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">July</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.44)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">3.62</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">August</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.04</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(2.82)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">September</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(4.99)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">7.29</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">4.05</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">October</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.83</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.54</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.19</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">November</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.18</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(1.20)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.48</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">December</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(3.13)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.02</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">4.76</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; background-color: rgb(204,238,255); padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Annual Rate of Return</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.15</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">5.08</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">11.92</FONT></TD></TR>
</TABLE>


<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 4%; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">*</FONT></TD>
    <TD STYLE="width: 96%; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Performance is net of commissions, exchange fees, regulatory fees, management fees (1.50%), and trading advisor fees (0.32%).</FONT></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"> </P>
<!-- Field: Page; Sequence: 30; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->24<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"> </P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Name of Trading Program</I>: Custom Alpha &ndash;
5-Year Treasury -- B</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Inception of Trading</I>: August 31, 2012</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Number of Accounts Traded Pursuant to Program</I>:
1</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Total Assets Traded Pursuant to Strategy as
of December 31, 2014</I>: $71,179,611</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Total Assets Traded Pursuant to Program as
of December 31, 2014</I>: $3,385,631</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Worst Monthly Drawdown</I>: June 2013 (2.90%)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Worst Peak-to-Valley Drawdown</I>: October
&lsquo;12 to December &lsquo;13 (12.34%)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><B>PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE
OF FUTURE RESULTS.</B></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 65%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 46%; border: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Monthly Rate of Return</FONT></TD>
    <TD STYLE="width: 18%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2014(%)</FONT></TD>
    <TD STYLE="width: 18%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2013(%)</FONT></TD>
    <TD STYLE="width: 18%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2012(%)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">January</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.35</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(2.65)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">February</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.63</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.98</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">March</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.21)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.74)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">April</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.07</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.44</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">May</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(1.20)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(2.22)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">June</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.00</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(2.90)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">July</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.13</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.46)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">August</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.00</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(1.60)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">September</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.96)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.80</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.93</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">October</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.80</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(1.53)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(1.13)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">November</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.18</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.88)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.53</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">December</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.20</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(1.49)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.16)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; background-color: rgb(204,238,255); padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Annual Rate of Return</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">9.29</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(11.67)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.15</FONT></TD></TR>
</TABLE>


<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 4%; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">*</FONT></TD>
    <TD STYLE="width: 96%; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Performance is net of commissions, exchange fees, regulatory fees, management fees (1.50%), and trading advisor fees (0.32%).</FONT></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Name of Trading Program</I>: Custom Alpha &ndash;
Series D</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Inception of Trading</I>: June 30, 2010</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Number of Accounts Traded Pursuant to Program</I>:
1</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Total Assets Traded Pursuant to Strategy as
of December 31, 2014</I>: $71,179,611</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Total Assets Traded Pursuant to Program as
of December 31, 2014</I>: $1,680,842</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Worst Monthly Drawdown</I>: June 2013 (5.90%)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><I>Worst Peak-to-Valley Drawdown</I>: December
&lsquo;12 to December &lsquo;13 (18.46%)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"><B>PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE
OF FUTURE RESULTS.</B></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 40%; border: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Monthly Rate of Return</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2014(%)</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2013(%)</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2012(%)</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2011(%)</FONT></TD>
    <TD STYLE="width: 12%; border-top: black 1px solid; border-right: black 1px solid; border-bottom: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2010(%)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">January</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.00</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(2.21)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.25</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.00</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">February</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.12</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.19</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.66</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.77</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">March</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.51</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.03)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.61)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.47</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">April</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.06</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.76</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">3.86</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.69</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">May</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.74</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(5.43)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.01</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.20</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">June</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.83</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(5.90)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.39)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">2.15</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">July</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.24</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.39</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.67</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">4.58</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.03</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">August</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.75</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(3.02)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.48)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.68</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.42</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">September</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(2.23)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.08</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.58</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.15</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.82</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">October</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.28</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.63)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.43</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.91</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">4.95</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">November</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.47</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(1.86)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.48</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.63)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">0.44</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">December</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(1.22)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(1.42)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(0.90)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">1.48</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(1.88)</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: white">
    <TD STYLE="border-right: black 1px solid; border-bottom: black 1px solid; border-left: black 1px solid; text-indent: 0pt; background-color: rgb(204,238,255); padding-left: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Annual Rate of Return</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt; background-color: rgb(204,204,255)"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">10.97</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">(17.72)</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">8.79</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">21.15</FONT></TD>
    <TD STYLE="border-bottom: black 1px solid; border-right: black 1px solid; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif; color: black">6.84</FONT></TD></TR>
</TABLE>


<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 4%; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">*</FONT></TD>
    <TD STYLE="width: 96%; text-indent: 0pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Performance is net of commissions, exchange fees, regulatory fees, management fees (1.50%), and trading advisor fees (0.32%).</FONT></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pt"> </P>
<!-- Field: Page; Sequence: 31; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->25<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="margin-top: 0; margin-bottom: 0; font: 10pt Times New Roman, Times, Serif"> </P>
<BR>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 27pt; text-align: justify; text-indent: -27pt">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 27pt; text-align: justify; text-indent: -27pt"><A NAME="x2_c77868a020"></A><B>The Fund&rsquo;s
Service Providers</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 27pt; text-align: justify; text-indent: -27pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Administrator, Custodian, Fund Accountant, and Transfer Agent</B></P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">U.S. Bank, a national banking association, with its principal
office in Milwaukee, Wisconsin, provides custody and fund accounting to the Trust and Fund. Its affiliate, U.S. Bancorp Fund Services,
is the transfer agent (&ldquo;Transfer Agent&rdquo;) for Fund shares and administrator for the Fund (&ldquo;Administrator&rdquo;).
It performs certain administrative and accounting services for the Fund and prepares certain SEC, NFA and CFTC reports on behalf
of the Fund. (U.S. Bank and U.S. Bancorp Fund Services are referred to collectively hereinafter as &ldquo;U.S. Bank&rdquo;).</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">For the first year of services, the Fund has agreed to pay
U.S. Bank 0.05% of assets under management (&ldquo;AUM&rdquo;), with a $45,000 minimum annual fee payable for its
administrative, accounting and transfer agent services and 0.01% of AUM, with a minimum of $4,800 for custody services.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Delaware Trustee</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">Wilmington Trust, N.A. (the &rdquo;Trustee&ldquo;) serves as the Trust&rsquo;s
corporate trustee as required under the Delaware Statutory Trust Act (&rdquo;DSTA&ldquo;). The Trustee will receive $2,500 for the first
year of its services.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Trustee is the sole trustee of the Trust. The rights
and duties of the Trustee and the Sponsor with respect to the offering of the Shares and Fund management and the shareholders are
governed by the provisions of the DSTA and by the Trust Agreement. The Trustee will accept service of legal process on the Trust
in the State of Delaware and will make certain filings under the DSTA. The Trustee does not owe any other duties to the Trust,
the Sponsor or the shareholders of any Fund. The Trustee&rsquo;s principal offices are located at 1100 North Market Street, Wilmington,
Delaware 19890. The Trustee is unaffiliated with the Sponsor.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Trustee is permitted to resign upon at least sixty (60)
days&rsquo; notice to the Trust, provided, that any such resignation will not be effective until a successor Trustee is appointed
by the Sponsor. The Sponsor has the discretion to replace the Trustee.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Only the assets of the Trust and the Sponsor are subject
to issuer liability under the federal securities laws for the information contained in this Prospectus and under federal securities
laws with respect to the issuance and sale of the Shares. Under such laws, neither the Trustee, either in its capacity as Trustee
or in its individual capacity, nor any director, officer or controlling person of the Trustee is, or has any liability as, the
issuer or a director, officer or controlling person of the issuer of the Shares. The Trustee&rsquo;s liability in connection with
the issuance and sale of the Shares is limited solely to the express obligations of the Trustee set forth in the Trust Agreement.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Under the Trust Agreement, the Sponsor has exclusive management
and control of all aspects of the Trust&rsquo;s business. The Trustee has no duty or liability to supervise the performance of
the Sponsor, nor will the Trustee have any liability for the acts or omissions of the Sponsor. The shareholders have no voice in
the day to day management of the business and operations of the Funds and the Trust, other than certain limited voting rights as
set forth in the Trust Agreement. In the course of its management of the business and affairs of the Funds and the Trust, the Sponsor
may, in its sole and absolute discretion, appoint an affiliate or affiliates of the Sponsor as additional sponsors and retain such
persons, including affiliates of the Sponsor, as it deems necessary to effectuate and carry out the purposes, business and objectives
of the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Because the Trustee has no authority over the Trust&rsquo;s
operations, the Trustee itself is not registered in any capacity with the CFTC.</P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Distributor</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Fund has contracted with Esposito Securities LLC (the &ldquo;Distributor&rdquo;)
to provide statutory and wholesaling distribution services, which is further discussed under &ldquo;What is the Plan of Distribution?&rdquo;
in the Statement of Additional Information. The Fund pays Esposito Securities an annual fee for such distribution services, which
for the first year will equal 0.02% of assets under management (&ldquo;AUM&rdquo;), with a minimum of $15,000 payable annually. In no event will the aggregate compensation paid to the Distributor
and any affiliate of the Sponsor for distribution-related services in connection with the offering of shares exceed ten percent
(10%) of the gross proceeds of the offering. The Distributor&rsquo;s principal business address is 300 Crescent Court, Suite 650,
Dallas, Texas 75201.</P>

<!-- Field: Page; Sequence: 46; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->26<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Futures Commission Merchant</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><br> Currently, SG Americas Securities, LLC
(&ldquo;SG&rdquo;) serves as the Fund&rsquo;s clearing broker to execute and clear the Fund&rsquo;s futures and equities
transactions and provide other brokerage-related services. SG is a futures commission merchant and broker dealer registered
with the U.S. Commodity Futures Trading Commission (&ldquo;CFTC&rdquo;) and the U.S. Securities and Exchange Commission
(&ldquo;SEC&rdquo;), and is a member of FINRA. SG is a clearing member of all principal futures exchanges located in the
United States as well as a member of the Chicago Board Options Exchange, International Securities Exchange, New York Stock
Exchange, Options Clearing Corporation, and Government Securities Clearing Corporation. The Fund estimates that it will pay
0.118% of the Fund&rsquo;s NAV in brokerage fees during the first year of its operations for execution and clearing services
on behalf of the Fund. Such brokerage fees are not included in the Fund&rsquo;s Other Fees and Expenses discussed below.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">SG is headquartered
at 245 Park Avenue, New York, NY 10167 with branch offices in Chicago; Santa Monica, California (securities only) and Montreal,
Canada (futures only).</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">On January 2, 2015, Newedge
USA, LLC (&ldquo;Newedge USA&rdquo;) merged with and into SG, with the latter as the surviving entity.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">On November 6, 2013, SG accepted charges by FINRA alleging that
during the period between December 5, 2007 and January 16, 2013, SG failed to report (or reported incorrectly) to the large option
position (&ldquo;LOPR&rdquo;) system. SG was censured and fined $675,000 related to these violations.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">In May 2011, SG consented to a censure and $350,000 fine for allegations
that SG violated NYSE Rule 123C by failing to comply with the requirements governing the cancellation of market-on-close and limit-on-close
orders, failing to adhere to the principles of good business practice and failing to reasonably supervise and implement adequate
controls designed to achieve compliance with NYSE Rule 123C.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">In February 2011, Newedge
USA settled, without admitting or denying the allegations, a disciplinary action brought by the CFTC alleging that Newedge USA
exceeded speculative limits in the October 2009 live cattle futures contract on the Chicago Mercantile Exchange and failed to provide
accurate and timely reports to the CFTC regarding their larger trader positions. Newedge USA paid a $140,000 civil penalty and
disgorgement value of $80,910 to settle this matter. In addition, the CFTC Order required Newedge USA to implement and maintain
a program designed to prevent and detect reporting violations of the Commodity Exchange Act and CFTC regulations.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">In January 2012, Newedge
USA settled, without admitting or denying the allegations, a disciplinary action brought by the CFTC alleging that Newedge USA
failed to file accurate and timely reports to the CFTC and failed to report certain large trader information to the CFTC. Newedge
USA paid a $700,000 civil penalty to settle this matter. In addition, the CFTC Order required Newedge USA to timely submit accurate
position reports and notices, and to implement and maintain procedures to prevent and detect reporting violations of the Commodity
Exchange Act and CFTC regulations.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">In
July 2013, Newedge USA settled, without admitting or denying the allegations, a matter brought by FINRA, on its behalf and on behalf
of NYSE/NYSE ARCA, BATS and NASDAQ exchanges, involving rules and regulations pertaining to supervision of equities direct market
access and sponsored access business, Regulation SHO and books and records retention. In connection with this matter, Newedge USA
paid a fine of $9,500,000. In addition, Newedge USA agreed to retain an independent consultant to review its policies, systems,
procedures and training relating to these areas and to implement the recommendation of such consultant based on its review and
written reports.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Other than
the foregoing proceedings, which did not have a material adverse effect upon the financial condition of SG, there have been no
material administrative, civil or criminal actions brought, pending or concluded against SG or its principals in the past five
years.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Neither SG
nor any affiliate, officer, director or employee thereof has passed on the merits of this Prospectus or offering, or given any
guarantee as to the performance or any other aspect of the Fund.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">SG is not affiliated with the Fund or the
Sponsor. Therefore, the Sponsor and the Fund do not believe that the Fund has any conflicts of interest with SG or its
trading principals arising from their acting as the Fund&rsquo;s FCM.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Other Fees and Expenses</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The Fund will be responsible for its Other
Expenses, including professional services (e.g., outside auditor&rsquo;s fees and legal fees and expenses), shareholder tax return
preparation, regulatory compliance, and other services provided by affiliated and non-affiliated service providers. The amount
of such Other Expenses is estimated to be 1.0% annually through February 1, 2016 due to the Sponsor&rsquo;s agreement to reimburse
the Fund for its Other Expenses which together with the Management Fee exceed a certain amount as discussed below. After such date,
the expense limitation may be terminated and the Fund&rsquo;s Other Expenses could be higher.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><A NAME="x2_c77868a021"></A><B>The Fund&rsquo;s Fees and Expenses</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>This table describes the net fees and expenses that you may
pay if you buy and hold Shares of the Fund. You should note that you may pay brokerage commissions on purchases and sales of the
Fund&rsquo;s Shares, which are not reflected in the table; however, the Fund&rsquo;s brokerage fees and commissions are included
(those costs associated with rolling futures). Authorized Participant will pay applicable creation and redemption fees. <I>See</I>
&ldquo;Creation and Redemption of Shares-Creation and Redemption Transaction Fee,&rdquo; page 52.</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: top; width: 5%"></TD>
    <TD STYLE="width: 90%"><FONT STYLE="font-size: 10pt"><B>Annual Fund Operating Expenses </B>(expenses that you pay each year as a percentage of the value of your investment) <FONT STYLE="font-family: Footlight MT Light,serif">(1)</FONT> </FONT></TD>
    <TD STYLE="width: 5%">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 90%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom; background-color: rgb(229,255,255)">
    <TD STYLE="width: 70%; text-align: left; text-indent: -12pt; padding-left: 12pt">Management Fee</TD><TD STYLE="width: 10%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 18%; text-align: right">0.50</TD><TD STYLE="width: 1%; text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: -12pt; padding-left: 12pt">Maximum Other Expenses</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.00</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(229,255,255)">
    <TD STYLE="text-align: left; text-indent: -12pt; padding-left: 12pt">Maximum Total Annual Fund Expenses&#9;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.50</TD><TD NOWRAP STYLE="text-align: left">%(1)</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">(1) The Sponsor has contractually agreed to waive the Management
Fee and/or reimburse the Fund for its Other Expenses (which term excludes brokerage fees, interest expenses, and extraordinary
expenses) to cap Total Annual Fund Expenses at 1.50% through February 1, 2016. After that date, the expense limitation may be terminated
and Fund shareholders may incur expenses higher than 1.50% annually. It cannot be predicted with any certainty what such expenses
could be. As the Fund&lsquo;s assets increase, Other Expenses may decrease as a percentage of the Fund&lsquo;s assets. Above a certain size the Other Expenses may be less than 1.00%. The Fund may also be responsible for certain non-recurring or extraordinary fee and expenses.</P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><A NAME="x2_c77868a022"></A><B>Breakeven Analysis</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The breakeven analysis below indicates the approximate dollar
returns and percentage required for the redemption value of a hypothetical initial investment in a single share of the Fund to
equal the amount invested twelve months after the investment was made. For purposes of this breakeven analysis, an initial selling
price of $25.00 per share which will be the selling price of the shares sold in the initial Creation Basket was assumed. This breakeven
analysis refers to the redemption of baskets by Authorized Participants and is not related to any gains an individual investor
would have to achieve in order to break even. The breakeven analysis is an approximation only.</P>

<!-- Field: Page; Sequence: 47; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->27<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->


<P STYLE="margin-top: 0; margin-bottom: 0; font: 10pt Times New Roman, Times, Serif"> </P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom; background-color: rgb(229,255,255)">
    <TD STYLE="width: 85%">Assumed initial selling price per Share</TD><TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 10%; text-align: right">25.00</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 10pt">Management Fee (0.50%)<SUP>(1)</SUP></FONT></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">0.13</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(229,255,255)">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 10pt">Creation Basket Fee<SUP>(2)</SUP></FONT></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">0.02</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 10pt">Estimated Brokerage Fee (0.118%)<SUP>(3)</SUP></FONT></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">0.03</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(229,255,255)">
    <TD STYLE="text-align: left">Rebalancing Costs (0.01%)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">0.003</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 10pt">Other Expenses (1.0%)<SUP>(1)(4)</SUP></FONT></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">0.25</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="background-color: rgb(229,255,255)">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 10pt">Interest Income (.02%)<SUP>(5)</SUP></FONT></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">(0.01</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Amount of trading income required for the Fund&rsquo;s NAV to break even</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">0.42</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(229,255,255)">
    <TD>Percentage of initial selling price per share</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.68</TD><TD STYLE="text-align: left">%</TD></TR>
</TABLE>

<P STYLE="margin-top: 0; margin-bottom: 0; font: 10pt Times New Roman, Times, Serif"> </P>

<P STYLE="margin-top: 0; margin-bottom: 0; font: 10pt Times New Roman, Times, Serif">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 5%">(1)</TD><TD STYLE="text-align: justify; width: 95%">The Sponsor has contractually agreed to waive its management fee and/or reimburse the Fund for
its expenses (excluding brokerage fees, interest expenses, and extraordinary expenses) to cap Total Annual Fund Expenses at 1.50%
per annum through February 1, 2016. After that date, the expense limitation may be terminated and Fund shareholders may incur expenses
higher than 1.50% annually. It cannot be predicted with any certainty what such expenses could be. The Fund may also be responsible
for certain non-recurring or extraordinary fee and expenses.</TD></TR>
<TR STYLE="vertical-align: top">
<TD>(2)</TD><TD STYLE="text-align: justify">Authorized Participants are required to pay a Creation Basket fee of $500 for each order they place
to create one or more baskets. An order must be at least one basket, which is 25,000 shares. This breakeven analysis assumes a
hypothetical investment in a single share so the Creation Basket fee is $0.02 (500/25,000).</TD></TR>
<TR STYLE="vertical-align: top">
<TD>(3)</TD><TD>This amount is based on estimated brokerage fees for the Fund calculated on an annualized basis.</TD></TR>
<TR STYLE="vertical-align: top">
<TD>(4)</TD><TD STYLE="text-align: justify">Other Expenses are based on estimated amounts for the current fiscal year including the Sponsor&rsquo;s
contractual agreement to waive its management fee and/or reimburse the Fund for its expenses (excluding brokerage fees, interest
expenses, and extraordinary expenses) to cap Total Annual Fund Expenses at 1.50%, see note 1 above. The Sponsor has paid all of
the expenses related to the organization and offering of the shares in this prospectus.</TD></TR>
<TR STYLE="vertical-align: top">
<TD>(5)</TD><TD STYLE="text-align: justify">The Fund earns interest on funds it deposits with the futures commission merchant
and the custodian and it estimates that the interest rate will be 0.02% based on the interest rate on three-month Treasury Bills
as of November, 2014. The actual rate may vary and not
all assets of the Fund will earn interest.</TD></TR>
</TABLE>


<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 36pt; text-align: justify; text-indent: -36pt"><A NAME="x2_c77868a023"></A><B>Conflicts
of Interest</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">There are present and potential future conflicts of interest
in the Fund&rsquo;s structure and operation you should consider before you purchase shares. The Sponsor and Sit will use this notice of
conflicts as a defense against any claim or other proceeding made. If the Sponsor or Sit is not able to resolve these conflicts of interest
adequately, it may impact the Fund&rsquo;s ability to achieve its investment objectives. The Fund, the Sponsor and Sit may have inherent
conflicts to the extent the Sponsor attempts to maintain the Fund&rsquo;s asset size in order to preserve its fee income.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="margin-top: 0; margin-bottom: 0; font: 10pt Times New Roman, Times, Serif"> </P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Sponsor&rsquo;s and Sit&rsquo;s officers,
directors and employees, do not devote their time exclusively to the Fund. These persons are directors, officers or employees
of other entities which may compete with the Fund for their services. They could have a conflict between their
responsibilities to the Fund and to those other entities. The Sponsor and Sit believe that they have sufficient personnel,
time, and working capital to discharge their responsibilities in a fair manner and that these persons&rsquo; conflicts should
not impair their ability to provide services to the Fund. The Sponsor and its principals will not invest in futures for their
proprietary accounts; therefore, the Sponsor will not give preferential treatment to proprietary accounts or trade proprietary
accounts ahead of or against the Fund. However, Sit and its principals may trade futures on behalf of their own accounts, other
clients&rsquo; accounts, and private funds, including such other parties in which Sit may have an interest. These various accounts may be deemed to be competing
for the same or similar positions in the market. Depending on market liquidity and other factors, this possibility could
result in Fund orders being executed at prices that are less favorable than would otherwise be the case. Moreover, the compensation
terms for Sit&rsquo;s services may vary among client accounts, creating the potential for preferential treatment of certain accounts.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Trades for proprietary and client accounts are
typically combined into one block trade for execution with all trades receiving equivalent average pricing. Sit has procedures
and policies in place to ensure that trades for proprietary accounts will never receive preferential treatment relative to trades
for client accounts. Sit and its principals
will not have any obligation to shareholders to make available any information regarding other trading activities,
strategies, or transactions by Sit or its principals.</P>

<P STYLE="margin-top: 0; margin-bottom: 0; font: 10pt Times New Roman, Times, Serif"> </P>

<P STYLE="margin-top: 0; margin-bottom: 0; font: 10pt Times New Roman, Times, Serif">&nbsp;</P>

<P STYLE="margin-top: 0; margin-bottom: 0; font: 10pt Times New Roman, Times, Serif"> </P>



<!-- Field: Page; Sequence: 48; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->28<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Sponsor has sole current authority to manage the investments
and operations of the Fund, and this may allow it to act in a way that furthers its own interests which may create a conflict with
your best interests. Security holders have limited voting control, which will limit their ability to influence matters such as
amendment of the Declaration of Trust, change in the Fund&rsquo;s basic investment policy, dissolution of the Fund, or the sale
or distribution of the Fund&rsquo;s assets.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The previous risk factors and conflicts of interest are complete
as of the date of this prospectus; however, additional risks and conflicts may occur which are not presently foreseen by the Sponsor.
You may not construe this prospectus as legal or tax advice. Before making an investment in this fund, you should read this entire
prospectus, including the Declaration of Trust which can be found on the Fund&rsquo;s website at www.risingrateetf.com. You should
also consult with your personal legal, tax, and other professional advisors.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Security Ownership of Certain Beneficial Owners and Management</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>
<P STYLE="margin-top: 0; margin-bottom: 0; font: 10pt Times New Roman, Times, Serif"> </P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Sponsor owns 40
shares of the Fund. As of the date of this Prospectus, none of its principals has an ownership or beneficial interest in
the Fund.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Sit Fixed Income Advisors II, LLC, located at 3300 IDS Certer, 80 South Eighth Street, Minneapolis, MN, owns 200,000 shares representing more than 99% of the beneficial ownership on the date of this Prospectus.</P>

<P STYLE="margin-top: 0; margin-bottom: 0; font: 10pt Times New Roman, Times, Serif"> </P>

<P STYLE="margin-top: 0; margin-bottom: 0; font: 10pt Times New Roman, Times, Serif">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Related Party Transactions</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>
<P STYLE="margin-top: 0; margin-bottom: 0; font: 10pt Times New Roman, Times, Serif"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">There have been no related party transactions in the past
year in excess of $120,000 nor are any related party transactions proposed. Further, the Fund has not been involved in any
related party transactions. As noted above, Sit Fixed Income Advisors II, LLC acquired an interest in the Fund. Sit was not a related
party by serving as commodity trading advisor, but acquired  such status upon its initial purchase of Fund shares.</P>
<P STYLE="margin-top: 0; margin-bottom: 0; font: 10pt Times New Roman, Times, Serif"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Interests of Named Experts and Counsel</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Sponsor employed Reed Smith LLP to assist in preparing this
prospectus. Neither the law firm nor any other expert hired by the Fund to give advice on the preparation of this offering document
has been hired on a contingent fee basis. Nor does any such party have any present or future expectation of interest in the Sponsor,
Distributor, Authorized Participants, Custodian, Administrator or other service providers to the Fund.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 0pt"><A NAME="x2_c77868a024"></A><B>Fiduciary and Regulatory Duties of the Sponsor</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 0pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">The general fiduciary duties which would otherwise be imposed on
the Sponsor (which would make its operation of the Trust as described herein impracticable due to the strict prohibition imposed
by such duties on, for example, conflicts of interest on behalf of a fiduciary in its dealings with its beneficiaries), are replaced
by the terms of the Trust Agreement (to which terms all shareholders, by subscribing to the shares, are deemed to consent).</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 0pt">Additionally, under
the terms of the Trust Agreement, the Sponsor is required to:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 0pt"> </P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 0pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 36pt"><FONT STYLE="color: #010000">(i)&#9;</FONT>Devote
such of its time to the business and affairs of the Trust as it shall, in its discretion exercised in good faith, determine to
be necessary to conduct the business and affairs of the Trust for the benefit of the Trust;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 36pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 36pt"><FONT STYLE="color: #010000">(ii)&#9;</FONT>Execute,
file, record and/or publish all certificates, statements and other documents and do any and all other things as may be appropriate
for the formation, qualification and operation of the Trust and for the conduct of its business in all appropriate jurisdictions;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 36pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 36pt"><FONT STYLE="color: #010000">(iii)&#9;</FONT>Retain
independent public accountants to audit the accounts of the Trust;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 36pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 36pt"><FONT STYLE="color: #010000">(iv)&#9;</FONT>Employ
attorneys to represent the Trust;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 36pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 36pt"><FONT STYLE="color: #010000">(v)&#9;</FONT>Select
the Trust&rsquo;s Trustee, Administrator, Transfer Agent, Custodian and Commodity Broker, and any other service provider;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 36pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 36pt"><FONT STYLE="color: #010000">(vi)&#9;</FONT>Use
its best efforts to maintain the status of the Trust as a &ldquo;statutory trust&rdquo; for state law purposes and as a &ldquo;partnership&rdquo;
for U.S. federal income tax purposes;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 36pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 36pt"><FONT STYLE="color: #010000">(vii)&#9;</FONT>Monitor
the brokerage fees charged to the Trust, and the services rendered by futures commission merchants to the Trust, to determine whether
the fees paid by, and the services rendered to,</P>

<!-- Field: Page; Sequence: 49; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->29<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 0pt">the Trust for futures
brokerage are at competitive rates and are the best price and services available under the circumstances, and if necessary, renegotiate
the brokerage fee structure to obtain such rates and services for the Trust;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 0pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 36pt"><FONT STYLE="color: #010000">(viii)&#9;</FONT>Have
fiduciary responsibility for the safekeeping and use of the Trust, whether or not in the Sponsor&rsquo;s immediate possession or
control, and the Sponsor will not employ or permit others to employ such funds or in any manner except for the benefit of the Trust,
including, among other things, the utilization of any portion of the Trust Estate as compensating balances for the exclusive benefit
of the Sponsor. The Sponsor shall at all times act with integrity and good faith and exercise due diligence in all activities relating
to the conduct of the business of the Trust and in resolving conflicts of interest;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 36pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 36pt"><FONT STYLE="color: #010000">(ix)&#9;</FONT>Interact
with the Depository as required;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 36pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 36pt"><FONT STYLE="color: #010000">(x)&#9;</FONT>Delegate
those of its duties hereunder as it shall determine from time to time to the Administrator or Distributor, as applicable;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 36pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 36pt"><FONT STYLE="color: #010000">(xi)&#9;</FONT>Perform
such other services as the Sponsor believes that the Trust may from time to time require;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 36pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 36pt"><FONT STYLE="color: #010000">(xii)&#9;</FONT>In
its sole discretion, cause the Trust to do one or more of the following: to make, refrain from making, or once having made, to
revoke, the election referred to in Section 754 of the Code, and any similar election provided by state or local law, or any similar
provision enacted in lieu thereof; and</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 36pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">In its sole discretion, cause the Trust to do one or more of
the following: to make, refrain from making, or once having made, to revoke the election by a qualified fund under Code Section
988(c)(1)(E)(iii)(V), and any similar election provided by state or local law, or any similar provision enacted in lieu thereof.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Sponsor shall have no liability to the Trust or to any shareholder
for any loss suffered by the Trust which arises out of any action or inaction of the Sponsor if the Sponsor, in good faith, determined
that such course of conduct was in the best interest of the Trust and such course of conduct did not constitute fraud, gross negligence,
bad faith, or willful misconduct of the Sponsor. Subject to the foregoing, the Sponsor shall not be personally liable for the return
or repayment of all or any portion of the capital or profits of any shareholder or assignee thereof. The Sponsor shall not be liable
for the conduct or misconduct of any Administrator or other delegatee selected by the Sponsor with reasonable care.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">Under Delaware law, a beneficial owner of a statutory trust (such
as a shareholder of the Fund) may, under certain circumstances, institute legal action on behalf of himself and all other similarly
situated beneficial owners (a &ldquo;class action&rdquo;) to recover damages for violations of fiduciary duties, or on behalf
of a statutory trust (a &ldquo;derivative action&rdquo;) to recover damages from a third party where there has been a failure
or refusal to institute proceedings to recover such damages. In addition, beneficial owners may have the right, subject to certain
legal requirements, to bring class actions in federal court to enforce their rights under the federal securities laws and the
rules and regulations promulgated thereunder by the SEC. Beneficial owners who have suffered losses in connection with the purchase
or sale of their beneficial interests may be able to recover such losses from the Sponsor where the losses result from a violation
by the Sponsor of the anti-fraud provisions of the federal securities laws.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">Under certain circumstances, shareholders also have the right to
institute a reparations proceeding before the CFTC against the Sponsor (a registered commodity pool operator), an FCM, as well
as those of their respective employees who are required to be registered under the CEA, and the rules and regulations promulgated
thereunder. Private rights of action are conferred by the CEA. Investors in futures and in commodity pools may, therefore, invoke
the protections provided thereunder.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">The foregoing summary describing in general terms the remedies available
to shareholders under federal law is based on statutes, rules and decisions as of the date of this Prospectus. As this is a rapidly
developing and changing area of the law, shareholders who believe that they may have a legal cause of action against any of the
foregoing parties should consult their own counsel as to their evaluation of the status of the applicable law at such time.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0"><B>Management; Voting by Shareholders</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">The shareholders of the Fund take no part in the management or
control, and have no voice in the Trust&rsquo;s operations or business.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">The Sponsor has the right unilaterally to amend the Trust Agreement
as it applies to the Trust provided that the shareholders have the right to vote only if expressly required under Delaware or
federal law or rules or regulations of the Exchange, or if submitted to the shareholders by the Sponsor in its sole discretion.
No amendment affecting the Trustee shall be binding upon or effective against the Trustee unless consented to by the Trustee in
the form of an instruction letter.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0"><B>Meetings</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">Meetings of the Trust&rsquo;s shareholders may be called by the
Sponsor and may be called by it upon the written request of shareholders holding at least 50% of the outstanding shares of the
Trust or the Fund, as applicable. The Sponsor shall deposit in the United States mail or electronically transmit written notice
to all shareholders of the Fund of the meeting and the purpose of the meeting, which shall be held on a date not less than 30
nor more than 60 days after the date of mailing of such notice, at a reasonable time and place. Where the meeting is called upon
the written request of the shareholders such written notice shall be mailed or transmitted not more than 45 days after such written
request for a meeting was received by the Sponsor. Any notice of meeting shall be accompanied by a description of the action to
be taken at the meeting. Shareholders may vote in person or by proxy at any such meeting.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">Any action required or permitted to be taken by shareholders
by vote may be taken without a meeting by written consent setting forth the actions so taken. Such written consents shall be
treated for all purposes as votes at a meeting. If the vote or consent of any shareholder to any action of the Trust, the
Fund or any shareholder, as contemplated by the Trust Agreement, is solicited by the Sponsor, the solicitation shall be
effected by notice to each shareholder given in the manner provided in accordance with the Trust Agreement. The Trust
Agreement provides that shareholders are deemed to have consented to any proposals recommended by the Sponsor in the
shareholder notice unless such shareholders timely object to the proposals. Therefore, a lack of a response by a shareholder
will have the same effect as if that shareholder had provided affirmative written consent for the proposed action.
The Sponsor and all parties dealing with the Trust may act in reliance on such deemed activity.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0"> </P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><A NAME="x2_c77868a025"></A><B>Liability and Indemnification</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Sponsor will be indemnified by the Trust against any losses,
judgments, liabilities, expenses and amounts paid in settlement of any claims sustained by it in connection with its activities
for the Trust, provided that (i) the Sponsor was acting on behalf of or performing services for the Trust and has determined, in
good faith, that such course of conduct was in the best interests of the Trust and such liability or loss was not the result of
fraud, gross negligence, bad faith, willful misconduct, or a material breach of the Trust Agreement on the part of the Sponsor
and (ii) any such indemnification will only be recoverable from the Trust. All rights to indemnification permitted herein and payment
of associated expenses shall not be affected by the dissolution or other cessation to exist of the Sponsor, or the withdrawal,
adjudication of bankruptcy or insolvency of the Sponsor, or the filing of a voluntary or involuntary petition in bankruptcy under
Title 11 of the Code by or against the Sponsor.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Notwithstanding the provisions above, the Sponsor and any broker-dealer
for the Trust will not be indemnified for any losses, liabilities or expenses arising from or out of an alleged violation of U.S.
federal or state securities laws unless (i) there has been a successful adjudication on the merits of each count involving alleged
securities law violations as to the particular indemnitee and the court approves the indemnification of such expenses (including,
without limitation, litigation costs), (ii) such claims have</P>

<!-- Field: Page; Sequence: 50; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->30<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">been dismissed with prejudice on the merits by a court of competent
jurisdiction as to the particular indemnitee and the court approves the indemnification of such expenses (including, without limitation,
litigation costs) or (iii) a court of competent jurisdiction approves a settlement of the claims against a particular indemnitee
and finds that indemnification of the settlement and related costs should be made.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Trust will not incur the cost of that portion of any insurance
which insures any party against any liability, the indemnification of which is herein prohibited.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Expenses incurred in defending a threatened or pending civil,
administrative or criminal action suit or proceeding against the Sponsor will be paid by the Trust in advance of the final disposition
of such action, suit or proceeding, if (i) the legal action relates to the performance of duties or services by the Sponsor on
behalf of the Trust; (ii) the legal action is initiated by a third party who is not a shareholder or the legal action is initiated
by a shareholder and a court of competent jurisdiction specifically approves such advance; and (iii) the Sponsor undertakes to
repay the advanced funds with interest to the Trust in cases in which it is not entitled to indemnification under this Section.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0"><B>Termination Events</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">The Trust will dissolve at any time upon the happening of any of
the following events:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top; font-family: Times New Roman, Times, Serif">
<TD STYLE="width: 5.25pt; font-family: Times New Roman, Times, Serif"></TD><TD STYLE="width: 18pt; font-family: Times New Roman, Times, Serif">&bull;</TD><TD STYLE="font-family: Times New Roman, Times, Serif">The filing of a certificate of dissolution or revocation
                                                                  of the Sponsor&rsquo;s charter (and the expiration of 90 days
                                                                  after the date of notice to the Sponsor of revocation without
                                                                  a reinstatement of its charter) or upon written notice by the Sponsor of its withdrawal as Sponsor, unless (i) at the time there
                                                                  is at least one remaining Sponsor and that remaining
                                                                  Sponsor carries on the business of the Trust or (ii)
                                                                  within 90 days of such event of withdrawal all the remaining
                                                                  shareholders agree in writing to continue the business of the
                                                                  Trust and to select, effective as of the date of such event,
                                                                  one or more successor Sponsors. If the Trust is terminated
                                                                  as the result of an event of withdrawal and a failure of all
                                                                  remaining shareholders to continue the business of the Trust
                                                                  and to appoint a successor Sponsor as provided above
                                                                  within 120 days of such event of withdrawal, shareholders holding
                                                                  shares representing at least a majority (over 50%) of the net
                                                                  asset value (not including shares held by the Sponsor and its
                                                                  affiliates) may elect to continue the business of the Trust
                                                                  by forming a new statutory trust, or reconstituted trust, on
                                                                  the same terms and provisions as set forth in the Trust Agreement.
                                                                  Any such election must also provide for the election of a Sponsor to the reconstituted trust. If such an election is made,
                                                                  all shareholders of the Trust shall be bound thereby and continue
as shareholders of the reconstituted trust.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 23.25pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top; font-family: Times New Roman, Times, Serif">
<TD STYLE="width: 5.25pt; font-family: Times New Roman, Times, Serif"></TD><TD STYLE="width: 18pt; font-family: Times New Roman, Times, Serif">&bull;</TD><TD STYLE="font-family: Times New Roman, Times, Serif">The occurrence of any event which would make unlawful the
                                                                  continued existence of the Trust.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 23.25pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top; font-family: Times New Roman, Times, Serif">
<TD STYLE="width: 5.25pt; font-family: Times New Roman, Times, Serif"></TD><TD STYLE="width: 18pt; font-family: Times New Roman, Times, Serif">&bull;</TD><TD STYLE="font-family: Times New Roman, Times, Serif">In the event of the suspension, revocation or termination
                                                                  of the Sponsor&rsquo;s registration as a commodity pool operator,
                                                                  or membership as a commodity pool operator with the NFA (if,
                                                                  in either case, such registration is required at such time unless
                                                                  at the time there is at least one remaining Sponsor whose registration
or membership has not been suspended, revoked or terminated).</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top; font-family: Times New Roman, Times, Serif">
<TD STYLE="width: 5.25pt; font-family: Times New Roman, Times, Serif"></TD><TD STYLE="width: 18pt; font-family: Times New Roman, Times, Serif">&bull;</TD><TD STYLE="font-family: Times New Roman, Times, Serif">The Trust becomes insolvent or bankrupt.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top; font-family: Times New Roman, Times, Serif">
<TD STYLE="width: 5.25pt; font-family: Times New Roman, Times, Serif"></TD><TD STYLE="width: 18pt; font-family: Times New Roman, Times, Serif">&bull;</TD><TD STYLE="font-family: Times New Roman, Times, Serif">The shareholders holding shares representing at least seventy-five
                                                                  percent (75%) of the net asset value (which excludes the shares
                                                                  of the Sponsor) vote to dissolve the Fund, notice of which is
                                                                  sent to the Sponsor not less than ninety (90) business days
                                                                  prior to the effective date of termination.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top; font-family: Times New Roman, Times, Serif">
<TD STYLE="width: 5.25pt; font-family: Times New Roman, Times, Serif"></TD><TD STYLE="width: 18pt; font-family: Times New Roman, Times, Serif">&bull;</TD><TD STYLE="font-family: Times New Roman, Times, Serif">The determination of the Sponsor that the aggregate net
                                                                  assets of the Fund in relation to the operating expenses of
                                                                  the Trust make it unreasonable or imprudent to continue the
                                                                  business of the Trust.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top; font-family: Times New Roman, Times, Serif">
<TD STYLE="width: 5.25pt; font-family: Times New Roman, Times, Serif"></TD><TD STYLE="width: 18pt; font-family: Times New Roman, Times, Serif">&bull;</TD><TD STYLE="font-family: Times New Roman, Times, Serif">The Trust is required to be registered as an investment
                                                                  company under the Investment Company Act of 1940.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top; font-family: Times New Roman, Times, Serif">
<TD STYLE="width: 5.25pt; font-family: Times New Roman, Times, Serif"></TD><TD STYLE="width: 18pt; font-family: Times New Roman, Times, Serif">&bull;</TD><TD STYLE="font-family: Times New Roman, Times, Serif">DTC is unable or unwilling to continue to perform its functions,
                                                                  and a comparable replacement is unavailable.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><A NAME="x2_c77868a026"></A><B>Provisions of Law</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">According to applicable law, indemnification
of the Sponsor is payable only if the Sponsor is determined, in good faith, that the act, omission or conduct that gave rise to
the claim for indemnification was in the best interest of the Trust and the Fund and the act, omission or activity that was the
basis for such loss, liability, damage, cost or expense was not the result of negligence or misconduct and such liability or loss
was not the result of negligence or misconduct by the Sponsor, and such indemnification or agreement to hold harmless is recoverable
only out of the assets of the Fund.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B><I>Provisions of Federal and State Securities
Laws</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">This offering is made pursuant to federal
and state securities laws. The SEC and state securities agencies take the position that indemnification of the Sponsor that arises
out of an alleged violation of such laws is prohibited unless certain conditions are met.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">These conditions require that no indemnification
of the Sponsor or any underwriter for the Fund may be made in respect of any losses, liabilities or expenses arising from or out
of an alleged violation of federal or state securities laws unless: (i) there has been a successful adjudication on the merits
of each count involving alleged securities law violations as to the party seeking indemnification and the court approves the indemnification;
(ii) such claim has been dismissed with prejudice on the merits by a court of competent jurisdiction as to the party seeking indemnification;
or (iii) a court of competent jurisdiction approves a settlement of the claims against the party seeking indemnification and finds
that indemnification of the settlement and related costs should be made, provided that, before seeking such approval, the Sponsor
or other indemnitee must apprise the court of the position held by regulatory agencies against such indemnification. These agencies
are the SEC and the securities administrator of the State or States in which the plaintiffs claim they were offered or sold interests.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Provisions of the 1933 Act and NASAA Guidelines</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Insofar as indemnification for liabilities arising under the
1933 Act may be permitted to the Sponsor or its directors, officers, or persons controlling the Trust and the Fund, the Sponsor
has been informed that SEC and the various State administrators believe that such indemnification is against public policy as expressed
in the 1933 Act and the North American Securities Administrators Association, Inc. (&ldquo;NASAA&rdquo;) commodity pool guidelines
and is therefore unenforceable.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><A NAME="x2_c77868a027"></A><B>Books and Records</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The books and records of the Fund may be made available for
inspection and copying (upon payment of reasonable reproduction costs) by Shareholders of the Fund or their representatives for
any purposes reasonably related to a Shareholder&rsquo;s interest as a beneficial owner of the Fund upon reasonable advance</P>

<!-- Field: Page; Sequence: 51; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->31<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">notice during regular business hours at the office of the Sponsor.
The Sponsor will maintain and preserve the books and records of each Fund for a period of not less than six years.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><A NAME="x2_c77868a028"></A><B>Statements, Filings, and Reports</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The Trust will furnish to DTC Participants
for distribution to shareholders annual reports (as of the end of each fiscal year) for the Fund as are required to be provided
to shareholders by the CFTC and the NFA. These annual reports will contain financial statements prepared by the Sponsor and audited
by an independent registered public accounting firm designated by the Sponsor. The Trust will also post monthly reports to the
Fund&rsquo;s website (www.risingrateetf.com). These monthly reports will contain certain unaudited financial information regarding
the Fund, including the Fund&rsquo;s NAV. The Sponsor will furnish to the shareholders other reports or information which the Sponsor,
in its discretion, determines to be necessary or appropriate. In addition, under SEC rules the Trust will be required to file quarterly
and annual reports for the Fund with the SEC, which need not be sent to shareholders but will be publicly available through the
SEC. The Trust will post the same information that would otherwise be provided in the Trust&rsquo;s CFTC, NFA and SEC reports on
the Fund&rsquo;s website www.risingrateetf.com.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The Sponsor is responsible for the registration
and qualification of the Shares under the federal securities laws, federal commodities laws, and laws of any other jurisdiction
as the Sponsor may select. The Sponsor is responsible for preparing all required reports, but has entered into an agreement with
the Administrator to prepare these reports on the Trust&rsquo;s behalf.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The accountants&rsquo; report on its audit
of the Fund&rsquo;s financial statements will be furnished by the Trust to shareholders upon request. The Trust will make such
elections, file such tax returns, and prepare, disseminate and file such tax reports for the Fund, as it is advised by its counsel
or accountants are from time to time required by any applicable statute, rule or regulation.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><A NAME="x2_c77868a029"></A><B>Emerging Growth Company Status</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Fund is an &ldquo;emerging growth company&rdquo; as defined
under the JOBS Act. The Fund will remain an &ldquo;emerging growth company&rdquo; for up to five years, or until the earliest of:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 4%"><FONT STYLE="font-family: Symbol">&#183;</FONT></TD><TD STYLE="text-align: justify; width: 96%">the last day of the first fiscal year in which its total annual gross revenues exceed $1 billion,</TD></TR>
<TR STYLE="vertical-align: top">
<TD><FONT STYLE="font-family: Symbol">&#183;</FONT></TD><TD STYLE="text-align: justify">the date that it becomes a &#8220;large accelerated filer&#8221; as defined in Rule 12b-2 under
Exchange Act, which would occur if the market value of its shares that are held by non-affiliates exceeds $700 million as of the
last business day of its most recently completed second fiscal quarter, or</TD></TR>
<TR STYLE="vertical-align: top">
<TD><FONT STYLE="font-family: Symbol">&#183;</FONT></TD><TD STYLE="text-align: justify">the date on which it has issued more than $1 billion in non-convertible debt during the preceding
three year period.</TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">As an &ldquo;emerging growth company,&rdquo; the Fund may
take advantage of certain exemptions from various reporting requirements that are applicable to other public companies that
are not &ldquo;emerging growth companies,&rdquo; including, but not limited to, not being required to comply with the auditor
attestation requirements of Section 404(b) of the Sarbanes-Oxley Act as long as it is a &ldquo;non-accelerated filer,&rdquo;
which includes issuers that had a public float of less than $75 million as of the last business day of their most recently
completed second fiscal quarter, issuers that have not been subject to the requirements of Section 13(a) or 15(d) of the
Exchange Act for a period of at least 12 calendar months and issuers that have not filed at least one annual report pursuant
thereto.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">In addition, Section 107 of the JOBS Act provides that an &ldquo;emerging
growth company&rdquo; can take advantage of the extended transition period provided in Section 7(a)(2)(B) of the Securities Act
for complying with new or revised accounting standards. Under this provision, an &ldquo;emerging growth company&rdquo; can delay
the adoption of certain accounting standards until those standards would otherwise apply to private companies.</P>

<!-- Field: Page; Sequence: 52; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->32<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">However, the Fund is choosing to &ldquo;opt out&rdquo; of such
extended transition period and, as a result, will comply with new or revised accounting standards on the relevant dates on which
adoption of such standards is required for non-emerging growth companies. Section 107 of the JOBS Act provides that this decision
to opt out of the extended transition period for complying with new or revised accounting standards is irrevocable.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><A NAME="x2_c77868a030"></A><B>Fiscal Year</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The fiscal year of the Fund is July 1 to June 30. The Sponsor
may select an alternate fiscal year.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><A NAME="x2_c77868a031"></A><B>Governing Law; Consent to Delaware Jurisdiction</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The rights of the Sponsor, the Fund, DTC (as registered owner
of the Fund&rsquo;s global certificate for shares) and the shareholders, are governed by the laws of the State of Delaware. The
Sponsor, the Fund, DTC, and by accepting shares, each DTC Participant and each shareholder, consent to the jurisdiction of the
courts of the State of Delaware and any federal courts located in Delaware. Such consent is not required for any person to assert
a claim of Delaware jurisdiction over the Sponsor or the Fund.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0"><A NAME="x2_c77868a032"></A><B>Legal Matters</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Litigation and Claims</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Within the past 5 years of the date of this prospectus, there
have been no material administrative, civil or criminal actions against the Sponsor, underwriter, or any principal or affiliate
of either of them. This includes any actions pending, on appeal, concluded, threatened, or otherwise known to them.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Legal Opinion</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Reed Smith LLP is counsel to advise the Fund, the Trust and
the Sponsor with respect to the shares being offered hereby and has passed upon the validity of the shares being issued hereunder.
Reed Smith LLP has also provided the Sponsor with its opinion with respect to federal income tax matters addressed herein.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Experts</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">WithumSmith+Brown, P.C. an independent registered public accounting
firm, has audited the financial statements of the Fund and the Sponsor.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0"><A NAME="x2_c77868a033"></A><B>U.S. Federal Income Tax Considerations</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The following discussion summarizes the material U.S. federal
income tax consequences of the purchase, ownership and disposition of shares in the Fund, and the U.S. federal income tax treatment
of the Fund, as of the date hereof. This discussion is applicable to a beneficial owner of shares who purchases shares in the offering
to which this prospectus relates, including a beneficial owner who purchases shares from an Authorized Participant. Except where
noted otherwise, it deals only with shares held as capital assets and does not deal with special situations, such as those of dealers
in securities or currencies, financial institutions, tax-exempt entities, insurance companies, persons holding shares as a part
of a position in a &ldquo;straddle&rdquo; or as part of a &ldquo;hedging,&rdquo; &ldquo;conversion&rdquo; or other integrated transaction
for federal income tax purposes, traders in securities or commodities that elect to use a mark-to-market method of accounting,
or holders of shares whose &ldquo;functional currency&rdquo; is not the U.S. dollar. Furthermore, the discussion below is based
upon the provisions of the Code , as amended, and regulations (&ldquo;Treasury Regulations&rdquo;), rulings and judicial decisions
thereunder as of the date hereof, and such authorities may be repealed, revoked or modified so as to result in U.S. federal income
tax consequences different from those discussed below.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Persons considering the purchase, ownership or disposition of
shares should consult their own tax advisors concerning the United States federal income tax consequences in light of their particular
situations as well as any consequences arising under the laws of any other taxing jurisdiction. As used</P>

<!-- Field: Page; Sequence: 53; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->33<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">herein, a &ldquo;U.S. shareholder&rdquo; of a share means a
beneficial owner of a share that is, for United States federal income tax purposes, (i) a citizen or resident of the United States,
(ii) a corporation or partnership created or organized in or under the laws of the United States or any political subdivision thereof,
(iii) an estate the income of which is subject to United States federal income taxation regardless of its source or (iv) a trust
(X) that is subject to the supervision of a court within the United States and the control of one or more United States persons
as described in section 7701(a)(30) of the Code or (Y) that has a valid election in effect under applicable Treasury Regulations
to be treated as a United States person. A &ldquo;Non-U.S. shareholder&rdquo; is a holder that is not a U.S. shareholder. If a
partnership holds our shares, the tax treatment of a partner will generally depend upon the status of the partner and the activities
of the partnership. If you are a partner of a partnership holding our shares, you should consult your own tax advisor regarding
the tax consequences.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Sponsor, on behalf of the Fund, has received the opinion
of Reed Smith LLP, counsel to the Fund, that the material U.S. federal income tax consequences to the Fund and to U.S. shareholders
and Non-U.S. shareholders will be as described below. In rendering its opinion, Reed Smith LLP has relied on the facts described
in this prospectus as well as certain factual representations made by the Fund and the Sponsor. The opinion of Reed Smith LLP is
not binding on the IRS, and as a result, the IRS may not agree with the tax positions taken by the Fund. If challenged by the IRS,
the Fund&rsquo;s tax positions might not be sustained by the courts. No ruling has been requested from the IRS with respect to
any matter affecting the Fund or prospective investors.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">EACH PROSPECTIVE INVESTOR IS ADVISED TO CONSULT ITS OWN TAX
ADVISOR AS TO HOW U.S. FEDERAL INCOME TAX CONSEQUENCES OF AN INVESTMENT IN THE FUND. APPLY TO YOU AND AS TO HOW THE APPLICABLE
STATE, LOCAL OR FOREIGN TAXES APPLY TO YOU.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Tax Status of the Fund</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Fund is organized and operated as a statutory trust in accordance
with the provisions of the Trust Agreement and Delaware law. As a statutory trust, the Fund will be taxable as a partnership unless
it elects to be taxable as a corporation under current tax law. The Fund does not intend to elect to be taxable as a corporation.
Even if the Fund doesn&rsquo;t elect to be taxed as a corporation, under the Code, an entity classified as a partnership that is
deemed to be a &ldquo;publicly traded partnership&rdquo; is generally taxable as a corporation for federal income tax purposes.
The Code provides an exception to this general rule for a publicly traded partnership whose gross income for each taxable year
of its existence consists of at least 90% &ldquo;qualifying income&rdquo; (&ldquo;qualifying income exception&rdquo;). For this
purpose, section 7704 defines &ldquo;qualifying income&rdquo; as including, in pertinent part, interest (other than from a financial
business), dividends and gains from the sale or disposition of capital assets held for the production of interest or dividends.
In addition, in the case of a partnership a principal activity of which is the buying and selling of commodities (other than as
inventory) or of futures, forwards and options with respect to commodities, &ldquo;qualifying income&rdquo; includes income and
gains from such commodities and futures, forwards and options with respect to commodities. The Fund and the Sponsor have represented
the following to Reed Smith LLP:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 18pt"></TD><TD STYLE="width: 18pt"><FONT STYLE="font-family: Symbol">&#183;</FONT></TD><TD>At least 90% of the Fund&#8217;s gross income for each taxable year will constitute &#8220;qualifying income&#8221; within
the meaning of Code section 7704 (as described above);</TD></TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 18pt"></TD><TD STYLE="width: 18pt"><FONT STYLE="font-family: Symbol">&#183;</FONT></TD><TD>the Fund is organized and operated in accordance with its governing agreements and applicable law;</TD></TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 18pt"></TD><TD STYLE="width: 18pt"><FONT STYLE="font-family: Symbol">&#183;</FONT></TD><TD>the Fund has not elected, and will not elect, to be classified as a corporation for U.S. federal income tax purposes.</TD></TR></TABLE>

<!-- Field: Page; Sequence: 54; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->34<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Based in part on these representations, Reed Smith LLP is of
the opinion that the Fund classifies as a partnership for federal income tax purposes and that it is not taxable as a corporation
for such purposes.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">If the Fund failed to satisfy the qualifying income exception
in any year, other than a failure that is determined by the IRS to be inadvertent and that is cured within a reasonable time after
discovery, the Fund would be taxable as a corporation for federal income tax purposes and would pay federal income tax on its income
at regular corporate rates. In that event, shareholders would not report their share of the Fund&rsquo;s income or loss on their
returns.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">In addition, distributions to shareholders would be treated
as dividends to the extent of the Fund&rsquo;s current and accumulated earnings and profits. To the extent a distribution exceeded
the Fund&rsquo;s earnings and profits, the distribution would be treated as a return of capital to the extent of a shareholder&rsquo;s
basis in its shares, and thereafter as gain from the sale of shares. Accordingly, if the Fund were to be taxable as a corporation,
it would likely have a material adverse effect on the economic return from an investment in the Fund and on the value of the shares.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The remainder of this summary assumes that the Fund is classified
as a partnership for federal income tax purposes and that it is not taxable as a corporation.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>U.S. Shareholders</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Tax Consequences of Ownership of Shares</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Taxation of the Fund&rsquo;s Income</I>. No U.S. federal
income tax is paid by the Fund on its income. Instead, the Fund files annual information returns, and each U.S. shareholder is
required to report on its U.S. federal income tax return its allocable share of the income, gain, loss and deduction of the Fund.
For example, shareholders must take into account their share of ordinary income realized by the Fund from accruals of interest
on U.S. Treasuries and other investments, and their share of gain from Treasury Interests. These items must be reported without
regard to the amount (if any) of cash or property the shareholder receives as a distribution from the Fund during the taxable year.
Consequently, a shareholder may be allocated income or gain by the Fund but receive no cash distribution with which to pay its
tax liability resulting from the allocation, or may receive a distribution that is insufficient to pay such liability. Because
the Sponsor currently does not intend to make distributions, it is likely that in any year the Fund realizes net income and/or
gain that a U.S. shareholder will be required to pay taxes on its allocable share of such income or gain from sources other than
the Fund distributions. In addition, for taxable years beginning after December 31, 2012, individuals with income in excess of
$200,000 ($250,000 in the case of married individuals filing jointly) and certain estates and trusts are subject to an additional
3.8% tax on their &ldquo;net investment income,&rdquo; which generally includes net income from interest, dividends, annuities,
royalties, and rents, and net capital gains (other than certain amounts earned from trades or businesses). Also included as income
subject to the additional 3.8% tax is income from businesses involved in the trading of financial instruments or commodities.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Allocations of the Fund&rsquo;s Profit and Loss</I>. Under
Code section 704, the determination of a partner&rsquo;s distributive share of any item of income, gain, loss, deduction or credit
is governed by the applicable organizational document unless the allocation provided by such document lacks &ldquo;substantial
economic effect.&rdquo;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">An allocation that lacks substantial economic effect nonetheless
will be respected if it is in accordance with the partners&rsquo; interests in the partnership, determined by taking into account
all facts and circumstances relating to the economic arrangements among the partners.</P>

<!-- Field: Page; Sequence: 55; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->35<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">In general, the Fund applies a monthly closing-of-the-books
convention in determining allocations of economic profit or loss to shareholders. Income, gain, loss and deduction are determined
on a monthly &ldquo;mark-to-market&rdquo; basis, taking into account our accrued income and deductions and realized and unrealized
gains and losses for the month. These items are allocated among the holders of shares in proportion to the number of shares owned
by them as of the close of business on the last business day of the month. Items of taxable income, deduction, gain, loss and credit
recognized by the Fund for federal income tax purposes for any taxable year are allocated among holders in a manner that equitably
reflects the allocation of economic profit or loss. The Fund has made the election permitted by section 754 of the Code, which
election is irrevocable without the consent of the Service. The effect of this election is that when a secondary market sale of
our shares occurs, we adjust the purchaser&rsquo;s proportionate share of the tax basis of our assets to fair market value, as
reflected in the price paid for the shares, as if the purchaser had directly acquired an interest in our assets. The section 754
election is intended to eliminate disparities between a partner&rsquo;s basis in its partnership interest and its share of the
tax bases of the partnership&rsquo;s assets, so that the partner&rsquo;s allocable share of taxable gain or loss on a disposition
of an asset will correspond to its share of the appreciation or depreciation in the value of the asset since it acquired its interest.
Depending on the price paid for shares and the tax bases of the Fund&rsquo;s assets at the time of the purchase, the effect of
the section 754 election on a purchaser of shares may be favorable or unfavorable.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Fund applies certain conventions in determining and allocating
items for tax purposes in order to reduce the complexity and costs of administration. The Sponsor believes that application of
these conventions is consistent with the intent of the partnership provisions of the Code, and that the resulting allocations will
have substantial economic effect or otherwise are respected as being in accordance with shareholders&rsquo; interests in the Fund
for federal income tax purposes. The Code and existing Treasury Regulations do not expressly permit adoption of these conventions
although the monthly allocation convention described above is consistent with a semi-monthly method permitted under recently proposed
Treasury Regulations, as well as the legislative history for the provisions that requires allocations to appropriately reflect
changes in ownership interest. It is possible that the IRS could successfully challenge this method and require a shareholder to
report a greater or lesser share of items of income, gain, loss, deduction, or credit than if our method were respected. The Sponsor
is authorized to revise our allocation method to conform to any method permitted under future Treasury Regulations.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The assumptions and conventions used in making tax allocations
may cause a shareholder to be allocated more or less income or loss for federal income tax purposes than its proportionate share
of the economic income or loss realized by the Fund during the period it held its shares. This &ldquo;mismatch&rdquo; between taxable
and economic income or loss in some cases may be temporary, reversing itself in a later year when the shares are sold, but could
be permanent. For example, a shareholder could be allocated income accruing before it purchased its shares, resulting in an increase
in the basis of the shares (see &ldquo;Tax Basis of Shares,&rdquo; below). On a subsequent disposition of the shares, the additional
basis might produce a capital loss the deduction of which may be limited (see &ldquo;<I>Limitations on Deductibility of Losses
and Certain Expenses,</I>&rdquo; below).</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Mark to Market of Certain Exchange-Traded Contracts</I>.
For federal income tax purposes, the Fund generally is required to use a &ldquo;mark-to-market&rdquo; method of accounting under
which unrealized gains and losses on instruments constituting &ldquo;section 1256 contracts&rdquo; are recognized currently. A
section 1256 contract is defined as: (1) a futures contract that is traded on or subject to the rules of a national securities
exchange which is registered with the SEC, a domestic board of trade designated as a contract market by the CFTC, or any other
board of trade or exchange designated by the Secretary of the Treasury, and with respect to which the amount required to be deposited
and the amount that may be withdrawn depends on a system of &ldquo;marking to market&rdquo;; (2) a forward contract on exchange-traded
foreign currencies, where the contracts are traded in the interbank market; (3) a non-equity option traded on or subject to the
rules of a qualified board or exchange; (4) a dealer equity option; or (5) a dealer securities futures contract.</P>

<!-- Field: Page; Sequence: 56; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->36<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Under these rules, section 1256 contracts held by the Fund at
the end of each taxable year, including for example futures contracts and options on futures contracts traded on a U.S. exchange
or board of trade or certain foreign exchanges, are treated as if they were sold by the Fund for their fair market value on the
last business day of the taxable year. A shareholder&rsquo;s distributive share of the Fund&rsquo;s net gain or loss with respect
to each section 1256 contract generally is treated as long-term capital gain or loss to the extent of 60 percent thereof, and as
short-term capital gain or loss to the extent of 40 percent thereof, without regard to the actual holding period.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Many of the Fund&rsquo;s Futures Contracts and some of their
other commodity interests will qualify as &ldquo;section 1256 contracts&rdquo; under the Code. Gain or loss recognized through
disposition, termination or marking-to-market of the Fund&rsquo;s section 1256 contracts will be subject to 60/ 40 treatment and
allocated to shareholders in accordance with the monthly allocation convention. Under recently enacted legislation, cleared swaps
and other commodity swaps will most likely not qualify as section 1256 contracts. If a commodity swap is not treated as a section
1256 contract, any gain or loss on the swap recognized at the time of disposition or termination will be long-term or short-term
capital gain or loss depending on the holding period of the swap.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Limitations on Deductibility of Losses and Certain Expenses</I>.
A number of different provisions of the Code may defer or disallow the deduction of losses or expenses allocated to you by the
Fund, including but not limited to those described below.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">A shareholder&rsquo;s deduction of its allocable share of any
loss of the Fund is limited to the lesser of (1) the tax basis in its shares or (2) in the case of a shareholder that is an individual
or a closely held corporation, the amount which the shareholder is considered to have &ldquo;at risk&rdquo; with respect to our
activities. In general, the amount at risk will be your invested capital plus your share of any recourse debt of the Fund for which
you are liable. Losses in excess of the lesser of tax basis or the amount at risk must be deferred until years in which the Fund
generates additional taxable income against which to offset such carryover losses or until additional capital is placed at risk.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Noncorporate taxpayers are permitted to deduct capital losses
only to the extent of their capital gains for the taxable year plus $3,000 of other income. Unused capital losses can be carried
forward and used to offset capital gains in future years. In addition, a noncorporate taxpayer may elect to carry back net losses
on section 1256 contracts to each of the three preceding years and use them to offset section 1256 contract gains in those years,
subject to certain limitations. Corporate taxpayers generally may deduct capital losses only to the extent of capital gains, subject
to special carryback and carryforward rules.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Otherwise deductible expenses incurred by noncorporate taxpayers
constituting &ldquo;miscellaneous itemized deductions,&rdquo; generally including investment-related expenses (other than interest
and certain other specified expenses), are deductible only to the extent they exceed 2% of the taxpayer&rsquo;s adjusted gross
income for the year. Although the matter is not free from doubt, we believe management fees we pay to the Sponsor and other expenses
we incur constitute investment-related expenses subject to the miscellaneous itemized deduction limitation, rather than expenses
incurred in connection with a trade or business, and will report these expenses consistent with that interpretation. The Code imposes
additional limitations on the amount of certain itemized deductions allowable to individuals with adjusted gross income in excess
of certain amounts by reducing the otherwise allowable portion of such deductions by an amount equal to the lesser of:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 18pt"></TD><TD STYLE="width: 18pt"><FONT STYLE="font-family: Symbol">&#183;</FONT></TD><TD>3% of the individual&#8217;s adjusted gross income in excess of certain threshold amounts; or</TD></TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 18pt"></TD><TD STYLE="width: 18pt"><FONT STYLE="font-family: Symbol">&#183;</FONT></TD><TD>80% of the amount of certain itemized deductions otherwise allowable for the taxable year.</TD></TR></TABLE>

<!-- Field: Page; Sequence: 57; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->37<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Noncorporate shareholders generally may deduct &ldquo;investment
interest expense&rdquo; only to the extent of their &ldquo;net investment income.&rdquo; Investment interest expense of a shareholder
will generally include any interest accrued by the Fund and any interest paid or accrued on direct borrowings by a shareholder
to purchase or carry its shares, such as interest with respect to a margin account. Net investment income generally includes gross
income from property held for investment (including &ldquo;portfolio income&rdquo; under the passive loss rules but not, absent
an election, long-term capital gains or certain qualifying dividend income) less deductible expenses other than interest directly
connected with the production of investment income.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">To the extent that we allocate losses or expenses to you that
must be deferred or disallowed as a result of these or other limitations in the Code, you may be taxed on income in excess of your
economic income or distributions (if any) on your shares. As one example, you could be allocated and required to pay tax on your
share of interest income accrued by the Fund for a particular taxable year, and in the same year allocated a share of a capital
loss that you cannot deduct currently because you have insufficient capital gains against which to offset the loss. As another
example, you could be allocated and required to pay tax on your share of interest income and capital gain for a year, but be unable
to deduct some or all of your share of management fees and/or margin account interest incurred by you with respect to your shares.
Shareholders are urged to consult their own professional tax advisors regarding the effect of limitations under the Code on your
ability to deduct your allocable share of the Fund&rsquo;s losses and expenses.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Tax Basis of Shares</I>. A shareholder&rsquo;s tax basis
in its shares is important in determining (1) the amount of taxable gain it will realize on the sale or other disposition of its
shares, (2) the amount of non-taxable distributions that it may receive from the Fund and (3) its ability to utilize its distributive
share of any losses of the Fund on its tax return. A shareholder&rsquo;s initial tax basis of its shares will equal its cost for
the shares plus its share of the Fund&rsquo;s liabilities (if any) at the time of purchase. In general, a shareholder&rsquo;s &ldquo;share&rdquo;
of those liabilities will equal the sum of (i) the entire amount of any otherwise nonrecourse liability of the Fund as to which
the shareholder or an affiliate is the creditor (a &ldquo;partner nonrecourse liability&rdquo;) and (ii) a <I>pro rata</I> share
of any nonrecourse liabilities of the Fund that are not partner nonrecourse liabilities as to any shareholder.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">A shareholder&rsquo;s tax basis in its shares generally will
be (1) increased by (a) its allocable share of the Fund&rsquo;s taxable income and gain and (b) any additional contributions by
the shareholder to the Fund and (2) decreased (but not below zero) by (a) its allocable share of the Fund&rsquo;s tax deductions
and losses and (b) any distributions by the Fund to the shareholder. For this purpose, an increase in a shareholder&rsquo;s share
of the Fund&rsquo;s liabilities will be treated as a contribution of cash by the shareholder to the Fund and a decrease in that
share will be treated as a distribution of cash by the Fund to the shareholder. Pursuant to certain IRS rulings, a shareholder
will be required to maintain a single, &ldquo;unified&rdquo; basis in all shares that it owns. As a result, when a shareholder
that acquired its shares at different prices sells less than all of its shares, such shareholder will not be entitled to specify
particular shares (e.g., those with a higher basis) as having been sold. Rather, it must determine its gain or loss on the sale
by using an &ldquo;equitable apportionment&rdquo; method to allocate a portion of its unified basis in its shares to the shares
sold.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Treatment of Fund Distributions</I>. If the Fund makes non-liquidating
distributions to shareholders, such distributions generally will not be taxable to the shareholders for federal income tax purposes
except to the extent that the sum of (i) the amount of cash and (ii) the fair market value of marketable securities distributed
exceeds the shareholder&rsquo;s adjusted basis of its interest in the Fund immediately before the distribution. Any cash distributions
in excess of a shareholder&rsquo;s tax basis generally will be treated as gain from the sale or exchange of shares.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Constructive Termination of the Partnership</I>. We will
be considered to have been terminated for tax purposes if there is a sale or exchange of 50 percent or more of the total interests
in our shares within a 12-month period. A termination would result in the closing of our taxable year for all shareholders. In</P>

<!-- Field: Page; Sequence: 58; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->38<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">the case of a shareholder reporting on a taxable year other
than a fiscal year ending December 31, the closing of our taxable year may result in more than 12 months of our taxable income
or loss being includable in its taxable income for the year of termination. We would be required to make new tax elections after
a termination. A termination could result in tax penalties if we were unable to determine that the termination had occurred. Moreover,
a termination might either accelerate the application of, or subject us to, any tax legislation enacted before the termination.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Tax Consequences of Disposition of Shares</I>. If a shareholder
sells its shares, it will recognize gain or loss equal to the difference between the amount realized and its adjusted tax basis
for the shares sold. A shareholder&rsquo;s amount realized will be the sum of the cash or the fair market value of other property
received plus its share of any the Fund debt outstanding.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Gain or loss recognized by a shareholder on the sale or exchange
of shares held for more than one year will generally be taxable as long-term capital gain or loss; otherwise, such gain or loss
will generally be taxable as short-term capital gain or loss. A special election is available under the Treasury Regulations that
will allow shareholders to identify and use the actual holding periods for the shares sold for purposes of determining whether
the gain or loss recognized on a sale of shares will give rise long-term or short-term capital gain or loss. It is expected that
most shareholders will be eligible to elect, and generally will elect, to identify and use the actual holding period for shares
sold. If a shareholder fails to make the election or is not able to identify the holding periods of the shares sold, the shareholder
will have a split holding period in the shares sold. Under such circumstances, a shareholder will be required to determine its
holding period in the shares sold by first determining the portion of its entire interest in the Fund that would give rise to long-term
capital gain or loss if its entire interest were sold and the portion that would give rise to short-term capital gain or loss if
the entire interest were sold. The shareholder would then treat each share sold as giving rise to long-term capital gain or loss
and short-term capital gain or loss in the same proportions as if it had sold its entire interest in the Fund.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Under Section 751 of the Code, a portion of a shareholder&rsquo;s
gain or loss from the sale of shares (regardless of the holding period for such shares), will be separately computed and taxed
as ordinary income or loss to the extent attributable to &ldquo;unrealized receivables&rdquo; or &ldquo;inventory&rdquo; owned
by the Fund. The term &ldquo;unrealized receivables&rdquo; includes, among other things, market discount bonds and short-term debt
instruments to the extent such items would give rise to ordinary income if sold by the Fund.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">If some or all of your shares are lent by your broker or other
agent to a third party - for example, for use by the third party in covering a short sale - you may be considered as having made
a taxable disposition of the loaned shares, in which case -</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-family: Symbol">&#183;</FONT>&nbsp;&nbsp;&nbsp;&nbsp;you may recognize
taxable gain or loss to the same extent as if you had sold the shares for cash;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-family: Symbol">&#183;</FONT>&nbsp;&nbsp;&nbsp;&nbsp;any of the
Fund&#8217;s income, gain, loss or deduction allocable to those shares during the period of the loan will not be reportable by
you for tax purposes; and</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-family: Symbol">&#183;</FONT>&nbsp;&nbsp;&nbsp;&nbsp;any distributions
you receive with respect to the shares will be fully taxable, most likely as ordinary income.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Shareholders desiring to avoid these and other possible consequences
of a deemed disposition of their shares should consider modifying any applicable brokerage account agreements to prohibit the lending
of their shares.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Other Tax Matters</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Information Reporting</I>. We report tax information to the
beneficial owners of shares. Shareholders who have become additional shareholders are treated as partners for federal income tax
purposes. The IRS has ruled that assignees of partnership interests who have not been admitted to a partnership as partners but</P>

<!-- Field: Page; Sequence: 59; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->39<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">who have the capacity to exercise substantial dominion and control
over the assigned partnership interests will be considered partners for federal income tax purposes. On the basis of such ruling,
except as otherwise provided herein, we treat the following persons as partners for federal income tax purposes: (1) assignees
of shares who are pending admission as shareholders, and (2) shareholders whose shares are held in street name or by another nominee
and who have the right to direct the nominee in the exercise of all substantive rights attendant to the ownership of their shares.
The Fund will furnish shareholders each year with tax information on IRS Schedule K-1 (Form 1065), which will be used by the shareholders
in completing their tax returns.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Persons who hold an interest in the Fund as a nominee for another
person are required to furnish to us the following information: (1) the name, address and taxpayer identification number of the
beneficial owner and the nominee; (2) whether the beneficial owner is (a) a person that is not a U.S. person, (b) a foreign government,
an international organization or any wholly-owned agency or instrumentality of either of the foregoing, or (c) a tax-exempt entity;
(3) the amount and description of shares acquired or transferred for the beneficial owner; and (4) certain information including
the dates of acquisitions and transfers, means of acquisitions and transfers, and acquisition cost for purchases, as well as the
amount of net proceeds from sales. Brokers and financial institutions are required to furnish additional information, including
whether they are U.S. persons and certain information on shares they acquire, hold or transfer for their own account. A penalty
of $100 per failure, up to a maximum of $1,500,000 per calendar year, is imposed by the Code, as amended for failure to report
such information to us. The nominee is required to supply the beneficial owner of the shares with the information furnished to
us.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Partnership Audit Procedures</I>. The IRS may audit the federal
income tax returns filed by the Fund. Adjustments resulting from any such audit may require each shareholder to adjust a prior
year&rsquo;s tax liability and could result in an audit of the shareholder&rsquo;s own return. Any audit of a shareholder&rsquo;s
return could result in adjustments of non-partnership items as well as the Fund items. Partnerships are generally treated as separate
entities for purposes of federal tax audits, judicial review of administrative adjustments by the IRS, and tax settlement proceedings.
The tax treatment of partnership items of income, gain, loss and deduction are determined at the partnership level in a unified
partnership proceeding rather than in separate proceedings with the shareholders. The Code provides for one shareholder to be designated
as the &ldquo;tax matters partner&rdquo; and represent the partnership purposes of these proceedings. The Trust Agreement appoints
the Sponsor as the tax matters partner of the Fund.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Tax Shelter Disclosure Rules</I>. In certain circumstances
the Code and Treasury Regulations require that the IRS be notified of taxable transactions through a disclosure statement attached
to a taxpayer&rsquo;s United States federal income tax return. In addition, certain &ldquo;material advisers&rdquo; must maintain
a list of persons participating in such transactions and furnish the list to the IRS upon written request. These disclosure rules
may apply to transactions irrespective of whether they are structured to achieve particular tax benefits. They could require disclosure
by the Fund or shareholders (1) if a shareholder incurs a loss in excess a specified threshold from a sale or redemption of its
shares, (2) if the Fund engages in transactions producing differences between its taxable income and its income for financial reporting
purposes, or (3) possibly in other circumstances. While these rules generally do not require disclosure of a loss recognized on
the disposition of an asset in which the taxpayer has a &ldquo;qualifying basis&rdquo; (generally a basis equal to the amount of
cash paid by the taxpayer for such asset), they apply to a loss recognized with respect to interests in a pass-through entity,
such as the shares, even if the taxpayer&rsquo;s basis in such interests is equal to the amount of cash it paid. In addition, under
recently enacted legislation, significant penalties may be imposed in connection with a failure to comply with these reporting
requirements. <I>Investors should consult their own tax advisors concerning the application of these reporting requirements to
their specific situation.</I></P>

<!-- Field: Page; Sequence: 60; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->40<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Tax-Exempt Organizations</I>. Subject to numerous exceptions,
qualified retirement plans and individual retirement accounts, charitable organizations and certain other organizations that otherwise
are exempt from federal income tax (collectively &ldquo;exempt organizations&rdquo;) nonetheless are subject to the tax on unrelated
business taxable income (&ldquo;UBTI&rdquo;). Generally, UBTI means the gross income derived by an exempt organization from a trade
or business that it regularly carries on, the conduct of which is not substantially related to the exercise or performance of its
exempt purpose or function, less allowable deductions directly connected with that trade or business. If the Fund were to regularly
carry on (directly or indirectly) a trade or business that is unrelated with respect to an exempt organization shareholder, then
in computing its UBTI, the shareholder must include its share of (1) the Fund&rsquo;s gross income from the unrelated trade or
business, whether or not distributed, and (2) the Fund&rsquo;s allowable deductions directly connected with that gross income.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">UBTI generally does not include dividends, interest, or payments
with respect to securities loans and gains from the sale of property (other than property held for sale to customers in the ordinary
course of a trade or business). Nonetheless, income on, and gain from the disposition of, &ldquo;debt-financed property&rdquo;
is UBTI. Debt-financed property generally is income-producing property (including securities), the use of which is not substantially
related to the exempt organization&rsquo;s tax-exempt purposes, and with respect to which there is &ldquo;acquisition indebtedness&rdquo;
at any time during the taxable year (or, if the property was disposed of during the taxable year, the 12-month period ending with
the disposition). Acquisition indebtedness includes debt incurred to acquire property, debt incurred before the acquisition of
property if the debt would not have been incurred but for the acquisition, and debt incurred subsequent to the acquisition of property
if the debt would not have been incurred but for the acquisition and at the time of acquisition the incurrence of debt was foreseeable.
The portion of the income from debt-financed property attributable to acquisition indebtedness is equal to the ratio of the average
outstanding principal amount of acquisition indebtedness over the average adjusted basis of the property for the year. The Fund
currently does not anticipate that it will borrow money to acquire investments; however, the Fund cannot be certain that it will
not borrow for such purpose in the future. In addition, an exempt organization shareholder that incurs acquisition indebtedness
to purchase its shares in the Fund may have UBTI.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The federal tax rate applicable to an exempt organization shareholder
on its UBTI generally will be either the corporate or trust tax rate, depending upon the shareholder&rsquo;s form of organization.
The Fund may report to each such shareholder information as to the portion, if any, of the shareholder&rsquo;s income and gains
from the Fund for any year that will be treated as UBTI; the calculation of that amount is complex, and there can be no assurance
that the Fund&rsquo;s calculation of UBTI will be accepted by the Service. An exempt organization shareholder will be required
to make payments of estimated federal income tax with respect to its UBTI.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Regulated Investment Companies</I>. Under recently enacted
legislation, interests in and income from &ldquo;qualified publicly traded partnerships&rdquo; satisfying certain gross income
tests are treated as qualifying assets and income, respectively, for purposes of determining eligibility for regulated investment
company (&ldquo;RIC&rdquo;) status. A RIC may invest up to 25% of its assets in interests in a qualified publicly traded partnership.
The determination of whether a publicly traded partnership such as the Fund is a qualified publicly traded partnership is made
on an annual basis. The Fund expects to be a qualified publicly traded partnership in each of its taxable years. However, such
qualification is not assured.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 27pt; text-indent: -27pt"><B><I>Non-U.S. Shareholders</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 27pt; text-indent: -27pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Generally, non-U.S. persons who derive U.S. source income or
gain from investing or engaging in a U.S. business are taxable on two categories of income. The first category consists of amounts
that are fixed, determinable, annual and periodic income, such as interest, dividends and rent that are not connected with the
operation of a U.S. trade or business (&ldquo;FDAP&rdquo;). The second category is income that is effectively</P>

<!-- Field: Page; Sequence: 61; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->41<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">connected with the conduct of a U.S. trade or business (&ldquo;ECI&rdquo;).
FDAP income (other than interest that is considered &ldquo;portfolio interest&rdquo;) is generally subject to a 30% withholding
tax, which may be reduced for certain categories of income by a treaty between the U.S. and the recipient&rsquo;s country of residence.
In contrast, ECI is generally subject to U.S. tax on a net basis at graduated rates upon the filing of a U.S. tax return. Where
a non-U.S. person has ECI as a result of an investment in a partnership, the ECI is subject to a withholding tax at a rate of 39.6%
for individual shareholders and a rate of 35% for corporate Shareholders.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Withholding on Allocations and Distributions</I>. The Code
provides that a non-U.S. person who is a partner in a partnership that is engaged in a U.S. trade or business during a taxable
year will also be considered to be engaged in a U.S. trade or business during that year. Classifying an activity by a partnership
as an investment or an operating business is a factual determination. Under certain safe harbors in the Code, an investment fund
whose activities consist of trading in stocks, securities, or commodities for its own account generally will not be considered
to be engaged in a U.S. trade or business unless it is a dealer is such stocks, securities, or commodities. This safe harbor applies
to investments in commodities only if the commodities are of a kind customarily dealt in on an organized commodity exchange and
if the transaction is of a kind customarily consummated at such place. Although the matter is not free from doubt, the Fund believes
that the activities directly conducted by the Fund do not result in the Fund being engaged in a trade or business within in the
United States. However, there can be no assurance that the IRS would not successfully assert that the Fund&rsquo;s activities constitute
a U.S. trade or business.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">In the event that the Fund&rsquo;s activities were considered
to constitute a U.S. trade or business, the Fund would be required to withhold at the highest rate specified in Code section 1
(currently 39.6%) on allocations of our income to individual Non-U.S. Shareholders and the highest rate specified in Code section
11(b) (currently 35%) on allocations of our income to corporate Non-U.S. Shareholders, when such income is allocated or distributed.
A non-U.S. shareholder with ECI will generally be required to file a U.S. federal income tax return, and the return will provide
the non-U.S. shareholder with the mechanism to seek a refund of any withholding in excess of such shareholder&rsquo;s actual U.S.
federal income tax liability. Any amount withheld by the Fund on behalf of a non-U.S. shareholder will be treated as a distribution
to the non-U.S. shareholder to the extent possible. In some cases, the Fund may not be able to match the economic cost of satisfying
its withholding obligations to a particular non-U.S. shareholder, which may result in such cost being borne by the Fund, generally,
and accordingly, by all shareholders.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">If the Fund is not treated as engaged in a U.S. trade or business,
a non-U.S. shareholder may nevertheless be treated as having FDAP income, which would be subject to a 30% withholding tax (possibly
subject to reduction by treaty), with respect to some or all of its distributions from the Fund or its allocable share of the Fund
income. Amounts withheld on behalf of a non-U.S. shareholder will be treated as being distributed to such shareholder.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">To the extent any interest income allocated to a non-U.S. shareholder
that otherwise constitutes FDAP is considered &ldquo;portfolio interest,&rdquo; neither the allocation of such interest income
to the non-U.S. shareholder nor a subsequent distribution of such interest income to the non-U.S. shareholder will be subject to
withholding, provided that the non-U.S. shareholder is not otherwise engaged in a trade or business in the U.S. and provides the
Fund with a timely and properly completed and executed IRS Form W-8BEN or other applicable form. In general, &ldquo;portfolio interest&rdquo;
is interest paid on debt obligations issued in registered form, unless the &ldquo;recipient&rdquo; owns 10% or more of the voting
power of the issuer.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Most of the Fund&rsquo;s interest income qualifies as &ldquo;portfolio
interest.&rdquo; In order for the Fund to avoid withholding on any interest income allocable to non-U.S. shareholders that would
qualify as &ldquo;portfolio interest,&rdquo; it will be necessary for all non-U.S. shareholders to provide the Fund with a timely
and properly</P>

<!-- Field: Page; Sequence: 62; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->42<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">completed and executed Form W-8BEN (or other applicable form).
If a non-U.S. shareholder fails to provide a properly completed Form W-8BEN, the Sponsor may request that the non-U.S. shareholder
provide, within 15 days after the request by the Sponsor, a properly completed Form W-8BEN. If a non-U.S. shareholder fails to
comply with this request, the shares owned by such non-U.S. shareholder will be subject to redemption.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Gain from Sale of Shares</I>. Gain from the sale or exchange
of the shares may be taxable to a non-U.S. shareholder if the non-U.S. shareholder is a nonresident alien individual who is present
in the U.S. for 183 days or more during the taxable year. In such case, the nonresident alien individual will be subject to a 30%
withholding tax on the amount of such individual&rsquo;s gain.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Branch Profits Tax on Corporate Non-U.S. Shareholders</I>.
In addition to the taxes noted above, any non-U.S. shareholders that are corporations may also be subject to an additional tax,
the branch profits tax, at a rate of 30%. The branch profits tax is imposed on a non-U.S. corporation&rsquo;s dividend equivalent
amount, which generally consists of the corporation&rsquo;s after-tax earnings and profits that are effectively connected with
the corporation&rsquo;s U.S. trade or business but are not reinvested in a U.S. business. This tax may be reduced or eliminated
by an income tax treaty between the United States and the country in which the non-U.S. shareholder is a &ldquo;qualified resident.&rdquo;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Certain information reporting and withholding requirement</I>.
Recently enacted legislation that will become effective after June 30, 2014, generally imposes a 30% withholding tax on payments
of certain types of income to foreign financial institutions that fail to enter into an agreement with the United States Treasury
to report certain required information with respect to accounts held by U.S. persons (or held by foreign entities that have U.S.
persons as substantial owners). The types of income subject to the tax include U.S.-source interest and dividends and the gross
proceeds from the sale of any property that could produce U.S.-source interest or dividends. The information required to be reported
includes the identity and taxpayer identification number of each account holder that is a U.S. person and transaction activity
within the holder&rsquo;s account. In addition, subject to certain exceptions, this legislation also imposes a 30% withholding
tax on payments to foreign entities that are not financial institutions unless the foreign entity certifies that it does not have
a greater than 10% U.S. owner or provides the withholding agent with identifying information on each greater than 10% U.S. owner.
When these provisions become effective, depending on the status of a non-U.S. shareholder and the status of the intermediaries
through which it holds shares, a non-U.S. shareholder could be subject to this 30% withholding tax with respect to distributions
on its shares and proceeds from the sale of its shares. Under certain circumstances, a non-U.S. shareholder might be eligible for
refund or credit of such taxes.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Prospective non-U.S. shareholders should consult their tax
advisor with regard to these and other issues unique to non-U.S. shareholders</I>.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 27pt; text-indent: -27pt"><A NAME="x2_c77868a034"></A><B>Backup Withholding</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 27pt; text-indent: -27pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Fund may be required to withhold U.S. federal income tax
(&ldquo;backup withholding&rdquo;) at a rate of 28% from all taxable distributions payable to: (1) any shareholder who fails to
furnish the Fund with his, her or its correct taxpayer identification number or a certificate that the shareholder is exempt from
backup withholding, and (2) any shareholder with respect to whom the IRS notifies the Fund that the shareholder has failed to properly
report certain interest and dividend income to the IRS and to respond to notices to that effect. Backup withholding is not an additional
tax and may be returned or credited against a taxpayer&rsquo;s regular federal income tax liability if appropriate information
is provided to the IRS.</P>

<!-- Field: Page; Sequence: 63; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->43<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 27pt; text-indent: -27pt"><A NAME="x2_c77868a035"></A><B>Other Tax Considerations</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">In addition to federal income taxes, shareholders may be subject
to other taxes, such as state and local income taxes, unincorporated business taxes, business franchise taxes, and estate, inheritance
or intangible taxes that may be imposed by the various jurisdictions in which the Fund does business or owns property or where
the shareholders reside. Although an analysis of those various taxes is not presented here, each prospective shareholder should
consider their potential impact on its investment in the Fund. It is each shareholder&rsquo;s responsibility to file the appropriate
U.S. federal, state, local, and foreign tax returns. Reed Smith LLP has not provided an opinion concerning any aspects of state,
local or foreign tax or U.S. federal tax other than those U.S. federal income tax issues discussed herein.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 27pt; text-indent: -27pt"><A NAME="x2_c77868a036"></A><B>Investment by ERISA Accounts</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 27pt; text-indent: -27pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>General</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Most employee benefit plans and individual retirement accounts
(&ldquo;IRAs&rdquo;) are subject to the Employee Retirement Income Security Act of 1974, as amended (&ldquo;ERISA&rdquo;) or the
Code, or both. This section discusses certain considerations that arise under ERISA and the Code that a fiduciary of an employee
benefit plan as defined in ERISA or a plan as defined in Section 4975 of the Code who has investment discretion should take into
account before deciding to invest the plan&rsquo;s assets in the Fund. Employee benefit plans and plans are collectively referred
to below as plans, and fiduciaries with investment discretion are referred to below as plan fiduciaries.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">This summary is based on the provisions of ERISA and the Code
as of the date hereof. This summary is not intended to be complete, but only to address certain questions under ERISA and the Code
likely to be raised by your advisors. The summary does not include state or local law.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Potential plan investors are urged to consult with their
own professional advisors concerning the appropriateness of an investment in the Fund and the manner in which shares should be
purchased.</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 27pt; text-indent: -27pt"><B><I>Special Investment Considerations</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 27pt; text-indent: -27pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Each plan fiduciary must consider the facts and circumstances
that are relevant to an investment in the Fund, including the role that an investment in the Fund would play in the plan&rsquo;s
overall investment portfolio. Each plan fiduciary, before deciding to invest in the Fund, must be satisfied that the investment
is prudent for the plan, that the investments of the plan are diversified so as to minimize the risk of large losses and that an
investment in the Fund complies with the terms of the plan.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 27pt; text-indent: -27pt"><B><I>The Fund and Plan Assets</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 27pt; text-indent: -27pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">A regulation issued under ERISA contains rules for determining
when an investment by a plan in an equity interest of a Delaware business trust will result in the underlying assets of the Delaware
business trust being deemed plan assets for purposes of ERISA and Section 4975 of the Code. Those rules provide that assets of
a Delaware business trust will not be plan assets of a plan that purchases an equity interest in the Delaware business trust if
the equity interest purchased is a publicly-offered security. If the underlying assets of a Delaware business trust are considered
to be assets of any plan for purposes of ERISA or Section 4975 of the Code, the operations of that Delaware business trust would
be subject to and, in some cases, limited by, the provisions of ERISA and Section 4975 of the Code.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The publicly-offered security exception described above applies
if the equity interest is a security that is:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt"></TD><TD STYLE="width: 36pt">1.</TD><TD>freely transferable (determined based on the relevant facts and circumstances);</TD></TR></TABLE>

<!-- Field: Page; Sequence: 64; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->44<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt"></TD><TD STYLE="width: 36pt">2.</TD><TD>part of a class of securities that is widely held (meaning that the class of securities is owned by 100 or more investors independent
of the issuer and of each other); and</TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt"></TD><TD STYLE="width: 36pt">3.</TD><TD>either (a) part of a class of securities registered under Section 12(b) or 12(g) of the Exchange Act or (b) sold to the plan
as part of a public offering pursuant to an effective registration statement under the Securities Act of 1933 and the class of
which such security is a part is registered under the Exchange Act within 120 days (or such later time as may be allowed by the
SEC) after the end of the fiscal year of the issuer in which the offering of such security occurred.</TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The plan asset regulations under ERISA state that the determination
of whether a security is freely transferable is to be made based on all the relevant facts and circumstances. In the case of a
security that is part of an offering in which the minimum investment is $10,000 or less, the following requirements, alone or in
combination, ordinarily will not affect a finding that the security is freely transferable: (1) a requirement that no transfer
or assignment of the security or rights relating to the security be made that would violate any federal or state law, (2) a requirement
that no transfer or assignment be made without advance written notice given to the entity that issued the security, and (3) any
restriction on the substitution of assignee as a shareholder of a partnership, including a general partner consent requirement,
provided that the economic benefits of ownership of the assignor may be transferred or assigned without regard to such restriction
or consent (other than compliance with any of the foregoing restrictions).</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Sponsor believes that the conditions described above are
satisfied with respect to the shares. The Sponsor believes that the shares therefore constitute publicly-offered securities, and
the underlying assets of the Fund are not considered to constitute plan assets of any plan that purchases shares.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 27pt; text-indent: -27pt"><B><I>Prohibited Transactions</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 27pt; text-indent: -27pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">ERISA and the Code generally prohibit certain transactions involving
the plan and persons who have certain specified relationships to the plan.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">In general, shares may not be purchased with the assets of a
plan if the Sponsor, the clearing brokers, the trading advisors (if any), or any of their affiliates, agents or employees either:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 18pt"></TD><TD STYLE="width: 18pt"><FONT STYLE="font-family: Symbol">&#183;</FONT></TD><TD>exercise any discretionary authority or discretionary control with respect to management of the plan;</TD></TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 18pt"></TD><TD STYLE="width: 18pt"><FONT STYLE="font-family: Symbol">&#183;</FONT></TD><TD>exercise any authority or control with respect to management or disposition of the assets of the plan;</TD></TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 18pt"></TD><TD STYLE="width: 18pt"><FONT STYLE="font-family: Symbol">&#183;</FONT></TD><TD>render investment advice for a fee or other compensation, direct or indirect, with respect to any moneys or other property
of the plan;</TD></TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 18pt"></TD><TD STYLE="width: 18pt"><FONT STYLE="font-family: Symbol">&#183;</FONT></TD><TD>have any authority or responsibility to render investment advice with respect to any monies or other property of the plan;
or</TD></TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 18pt"></TD><TD STYLE="width: 18pt"><FONT STYLE="font-family: Symbol">&#183;</FONT></TD><TD>have any discretionary authority or discretionary responsibility in the administration of the plan.</TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Also, a prohibited transaction may occur under ERISA or the
Code when circumstances indicate that (1) the investment in a share is made or retained for the purpose of avoiding application
of the fiduciary standards of ERISA, (2) the investment in a share constitutes an arrangement under which the Fund is expected
to engage in transactions that would otherwise be prohibited if entered into directly by the plan purchasing the share, (3) the
investing plan, by itself, has the authority or influence to cause the Fund to engage in such transactions, or (4) a person who
is prohibited from transacting with the investing plan may, but only with the aid of certain of its affiliates and the investing
plan, cause the Fund to engage in such transactions with such person.</P>

<!-- Field: Page; Sequence: 65; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->45<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 27pt; text-indent: -27pt"><B><I>Special IRA Rules</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 27pt; text-indent: -27pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">IRAs are not subject to ERISA&rsquo; s fiduciary standards,
but are subject to their own rules, including the prohibited transaction rules of Section 4975 of the Code, which generally mirror
ERISA&rsquo;s prohibited transaction rules. For example, IRAs are subject to special custody rules and must maintain a qualifying
IRA custodial arrangement separate and distinct from the Fund and its custodial arrangement. Otherwise, if a separate qualifying
custodial arrangement is not maintained, an investment in the shares will be treated as a distribution from the IRA. Second, IRAs
are prohibited from investing in certain commingled investments, and the Sponsor makes no representation regarding whether an investment
in shares is an inappropriate commingled investment for an IRA. Third, in applying the prohibited transaction provisions of Section
4975 of the Code, in addition to the rules summarized above, the individual for whose benefit the IRA is maintained is also treated
as the creator of the IRA. For example, if the owner or beneficiary of an IRA enters into any transaction, arrangement, or agreement
involving the assets of his or her IRA to benefit the IRA owner or beneficiary (or his or her relatives or business affiliates)
personally, or with the understanding that such benefit will occur, directly or indirectly, such transaction could give rise to
a prohibited transaction that is not exempted by any available exemption. Moreover, in the case of an IRA, the consequences of
a non-exempt prohibited transaction are that the IRA&rsquo;s assets will be treated as if they were distributed, causing immediate
taxation of the assets (including any early distribution penalty tax applicable under Section 72 of the Code), in addition to any
other fines or penalties that may apply.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 27pt; text-indent: -27pt"><B><I>Exempt Plans</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 27pt; text-indent: -27pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Certain employee benefit plans may be governmental plans or
church plans. Governmental plans and church plans are generally not subject to ERISA, nor do the above-described prohibited transaction
provisions described above apply to them. These plans are, however, subject to prohibitions against certain related-party transactions
under Section 503 of the Code, which operate similar to the prohibited transaction rules described above. In addition, the fiduciary
of any governmental or church plan must consider any applicable state or local laws and any restrictions and duties of common law
imposed upon the plan.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">No view is expressed as to whether an investment in the Fund
(and any continued investment in the Fund), or the operation and administration of the Fund, is appropriate or permissible for
any governmental plan or church plan under Code Section 503, or under any state, county, local or other law relating to that type
of plan.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Allowing an investment in the Fund is not to be construed
as a representation by the Fund, the Sponsor, any trading advisor, any clearing broker, the Distributor or legal counsel or other
advisors to such parties or any other party that this investment meets some or all of the relevant legal requirements with respect
to investments by any particular plan or that this investment is appropriate for any such particular plan. The person with investment
discretion should consult with the plan&rsquo;s attorney and financial advisors as to the propriety of an investment in the Fund
in light of the circumstances of the particular plan, current tax law and ERISA.</B></P>

<!-- Field: Page; Sequence: 66; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->46<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><A NAME="x2_c77868b002"></A><A NAME="x2_c77868a046"></A><B>Transfer of Shares</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Transfers of Shares Only Through DTC</I></B>. The shares
are only transferable through the book-entry system of DTC. Shareholders who are not DTC Participants may transfer their shares
through DTC by instructing the DTC Participant holding their shares (or by instructing the Indirect Participant or other entity
through which their shares are held) to transfer the shares. Transfers are made in accordance with standard securities industry
practice.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Transfers of interests in shares with DTC are made in accordance
with the usual rules and operating procedures of DTC and the nature of the transfer. DTC has established procedures to facilitate
transfers among the participants and/or accountholders of DTC. Because DTC can only act on behalf of DTC Participants, who in turn
act on behalf of Indirect Participants, the ability of a person or entity having an interest in a global certificate to pledge
such interest to persons or entities that do not participate in DTC, or otherwise take actions in respect of such interest, may
be affected by the lack of a certificate or other definitive document representing such interest.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">DTC has advised us that it will take any action permitted to
be taken by a shareholder (including, without limitation, the presentation of a global certificate for exchange) only at the direction
of one or more DTC Participants in whose account with DTC interests in global certificates are credited and only in respect of
such portion of the aggregate principal amount of the global certificate as to which such DTC Participant or Participants has or
have given such direction.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><A NAME="x2_c77868b004"></A><A NAME="x2_c77868a048"></A><B>Calculating NAV</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Fund&rsquo;s NAV is calculated by:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0; width: 100%"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 18pt">&nbsp;</TD><TD STYLE="width: 18pt; text-align: left"><FONT STYLE="font-family: Symbol">&#183;</FONT></TD><TD STYLE="text-align: justify">Taking the current market value of its total assets;</TD>
</TR>
<TR STYLE="vertical-align: top; text-align: justify">
<TD></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Symbol">&#183;</FONT></TD><TD STYLE="text-align: justify">Subtracting any liabilities; and</TD>
</TR>
<TR STYLE="vertical-align: top; text-align: justify">
<TD></TD><TD STYLE="text-align: left"><FONT STYLE="font-family: Symbol">&#183;</FONT></TD><TD STYLE="text-align: justify">Dividing that total by the total number of outstanding
shares.</TD>
</TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 36pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Administrator calculates the NAV of the Fund once each NYSE
Arca trading day. The NAV for a particular trading day is released after 4:00 p.m. New York time. Trading during the core trading
session on the NYSE Arca typically closes at 4:00 p.m. New York time. The Administrator uses the CME closing price (determined
at the earlier of the close of the CME) for the contracts traded on the CME, but calculates or determines the value of all other
Fund investments using market quotations, if available, or other information customarily used to determine the fair value of such
investments as of the earlier of the close of the NYSE Arca or 4:00 p.m. New York time, in accordance with the current Administrative
Agency Agreement among U.S. Bancorp Fund Services, the Fund and the Sponsor. &ldquo;Other information&rdquo; customarily used in
determining fair value includes information consisting of market data in the relevant market supplied by one or more third parties
including, without limitation, relevant rates, prices, yields, yield curves, volatilities, spreads, correlations or other market
data in the relevant market; or information of the types described above from internal sources if that information is of the same
type used by the Fund in the regular course of its business for the valuation of similar transactions. The information may include
costs of funding, to the extent costs of funding are not and would not be a component of the other information being utilized.
Third parties supplying quotations or market data may include, without limitation, dealers in the relevant markets, end-users of
the relevant product, information vendors, brokers and other sources of market information.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">In addition, in order to provide updated information relating
to the Fund for use by investors and market professionals, the NYSE Arca calculates and disseminates throughout the core trading
session on each trading day an updated indicative fund value. The indicative fund value is calculated by using the prior day&rsquo;s
closing NAV per share of the Fund as a base and updating that value throughout the trading day to reflect changes in the most recently
reported trade price for the futures and options held by the Fund</P>


<!-- Field: Page; Sequence: 67; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->47<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">traded on the CME. The indicative fund value share basis disseminated
during NYSE Arca core trading session hours should not be viewed as an actual real time update of the NAV, because the NAV is calculated
only once at the end of each trading day based upon the relevant end of day values of the Fund&rsquo;s investments.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The indicative fund value is disseminated on a per share basis
every 15 seconds during regular NYSE Arca core trading session hours of 9:30 a.m. New York time to 4:00 p.m. New York time. The
normal trading hours of the CME are 10:00 a.m. New York time to 2:30 p.m. New York time. This means that there is a gap in time
at the beginning and the end of each day during which the Fund&rsquo;s shares are traded on the NYSE Arca, but real-time CME trading
prices for contracts traded on the CME are not available. During such gaps in time the indicative fund value will be calculated
based on the end of day price of such contracts from the CME&rsquo;s immediately preceding trading session. In addition, other
investments and U.S. Treasuries held by the Fund will be valued by the Administrator, using rates and points received from client-approved
third party vendors (such as Reuters and WM Company) and advisor quotes. These investments will not be included in the indicative
fund value.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The NYSE Arca disseminates the indicative fund value through
the facilities of CTA/CQ High Speed Lines. In addition, the indicative fund value is published on the NYSE Arca&rsquo;s website
and is available through on-line information services such as Bloomberg and Reuters.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Dissemination of the indicative fund value provides additional
information that is not otherwise available to the public and is useful to investors and market professionals in connection with
the trading of the Fund shares on the NYSE Arca. Investors and market professionals are able throughout the trading day to compare
the market price of the Fund and the indicative fund value. If the market price of the Fund shares diverges significantly from
the indicative fund value, market professionals will have an incentive to execute arbitrage trades. For example, if the Fund appears
to be trading at a discount compared to the indicative fund value, a market professional could buy the Fund shares on the NYSE
Arca and take the opposite position in Treasury Instruments. Such arbitrage trades can tighten the tracking between the market
price of the Fund and the indicative fund value and thus can be beneficial to all market participants.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><A NAME="x2_c77868b005"></A><A NAME="x2_c77868a049"></A><B>Creation and Redemption of Shares</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Fund creates and redeems shares from time to time, but only
in one or more Creation Baskets or Redemption Baskets. The creation and redemption of baskets are only made in exchange for delivery
to the Fund or the distribution by the Fund of the amount of Treasuries and any cash represented by the baskets being created or
redeemed, the amount of which is based on the combined NAV of the number of shares included in the baskets being created or redeemed
determined as of 4:00 p.m. New York time on the day the order to create or redeem baskets is properly received.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Authorized Participants are the only persons that may place orders
to create and redeem baskets. Authorized Participants must be (1) registered broker-dealers or other securities market participants,
such as banks and other financial institutions, that are not required to register as broker-dealers to engage in securities transactions
described below, and (2) DTC Participants. To become an Authorized Participant, a person must enter into an Authorized Participant
Agreement with the Sponsor. The Authorized Participant Agreement provides the procedures for the creation and redemption of baskets
and for the delivery of the Treasuries and any cash required for such creation and redemptions. The Authorized Participant Agreement
and the related procedures attached thereto may be amended by the Fund, without the consent of any limited partner or shareholder
or Authorized Participant. Authorized Participant will pay a transaction fee of $500 to the Fund for each order they place to create
or redeem one or more baskets. Authorized Participant who make deposits with the Fund in exchange for baskets receive no fees, commissions
or other form of compensation or inducement of any kind from either the Fund or the Sponsor, and no such person will have any obligation
or responsibility to the Sponsor or the Fund to effect any sale or resale of shares.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>


<!-- Field: Page; Sequence: 68; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->48<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Certain Authorized Participants are expected to be capable of
participating directly in the Treasury market and the related derivatives market. In some cases, Authorized Participants or their
affiliates may from time to time buy or sell Treasuries and related derivatives and may profit in these instances. The Sponsor
believes that the size and operation of the Treasury market make it unlikely that an Authorized Participant&rsquo;s direct activities
in such markets will significantly affect the price of Treasuries, related derivatives or the price of the shares.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Each Authorized Participant is required to be registered as a
broker-dealer under the Exchange Act and is a member in good standing with FINRA, or exempt from being or otherwise not required
to be registered as a broker-dealer or a member of FINRA, and qualified to act as a broker or dealer in the states or other jurisdictions
where the nature of its business so requires. Certain Authorized Participants may also be regulated under federal and state banking
laws and regulations. Each Authorized Participant has its own set of rules and procedures, internal controls and information barriers
as it determines is appropriate in light of its own regulatory regime.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Under the Authorized Participant Agreement, the Sponsor has agreed
to indemnify the Authorized Participants against certain liabilities, including liabilities under the 1933 Act, and to contribute
to the payments the Authorized Participants may be required to make in respect of those liabilities.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The following description of the procedures for the creation
and redemption of baskets is only a summary and an investor should refer to the relevant provisions of the Trust Agreement and
the form of Authorized Participant Agreement for more detail, each of which is attached as an exhibit to the registration statement
of which this prospectus is a part. See &ldquo;Where You Can Find More Information&rdquo; for information about where you can obtain
the registration statement.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Creation Procedures</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">On any business day, an Authorized Participant may place an order
with the Distributor to create one or more baskets. For purposes of processing purchase and redemption orders, a &ldquo;business
day&rdquo; means any day other than a day when any of the NYSE Arca, the CME or the New York Stock Exchange is closed for regular
trading. Purchase orders must be placed by 12:00 p.m. New York time or the close of regular trading on the NYSE Arca, whichever
is earlier. The day on which the Distributor receives a valid purchase order is referred to as the purchase order date.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">By placing a purchase order, an Authorized Participant agrees
to deposit U.S. Treasuries, cash or a combination of U.S. Treasuries and cash, as described below. Prior to the delivery of baskets
for a purchase order, the Authorized Participant must also have wired to the Custodian the non-refundable transaction fee due for
the purchase order.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The manner by which creations are made is dictated by the terms
of the Authorized Participant Agreement. By placing a purchase order, an Authorized Participant agrees to deposit U.S. Treasuries,
cash, or a combination of U.S. Treasuries and cash with the Custodian of the fund. If an Authorized Participant fails to so deposit,
the order shall be cancelled.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Determination of Required Deposits</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The total deposit required to create each basket (&ldquo;Creation
Basket Deposit&rdquo;) is the amount of U.S. Treasuries and/or cash that is in the same proportion to the total assets of the Fund
(net of estimated accrued but unpaid fees, expenses and other liabilities) on the purchase order date as the number of shares to
be created under the purchase order is in proportion to the total number of shares outstanding on the purchase order dates. The
Sponsor determines, directly in its sole discretion or in consultation with the Administrator, the requirements for U.S. Treasuries
and the amount of cash, including the maximum permitted remaining maturity of a Treasury and proportions of each Treasury and cash
that may be included in deposits to create baskets. The Distributor will publish such requirements at the beginning of each business
day. The amount of cash deposit required is the difference between the aggregate market</P>


<!-- Field: Page; Sequence: 69; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->49<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left">value of the U.S. Treasuries required to be included in a Creation
Basket Deposit as of 4:00 p.m. New York time on the date the order to purchase is properly received and the total required deposit.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Delivery of Required Deposits</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">An Authorized Participant who places a purchase order is responsible
for transferring to the Fund&rsquo;s account with the Custodian the required amount of U.S. Treasuries and cash by the end of the
third business day following the purchase order date. Upon receipt of the deposit amount, the Administrator directs DTC to credit
the number of baskets ordered to the Authorized Participant&rsquo;s DTC account on the third business day following the purchase
order date. The expense and risk of delivery and ownership of U.S. Treasuries until such U.S. Treasuries have been received by
the Custodian on behalf of the Fund shall be borne solely by the Authorized Participant.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Because orders to purchase baskets must be placed by 12:00 p.m.,
New York time, but the total payment required to create a basket during the continuous offering period will not be determined until
after 4:00 p.m., New York time, on the date the purchase order is received, Authorized Participants will not know the total amount
of the payment required to create a basket at the time they submit an irrevocable purchase order for the basket. The Fund&rsquo;s
NAV and the total amount of the payment required to create a basket could rise or fall substantially between the time a purchase
order is submitted and the time the amount of the purchase price in respect thereof is determined.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Rejection of Purchase Orders</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Sponsor acting by itself or through the Distributor shall
have the absolute right no obligation to reject a purchase order or a Creation Basket Deposit if:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 36pt"><FONT STYLE="font-family: Symbol">&#183;</FONT>&nbsp;&nbsp;&nbsp;&nbsp;it
determines that the investment alternative available to the Fund at that time will not enable it to meet its investment objective;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 36pt"><FONT STYLE="font-family: Symbol">&#183;</FONT>&nbsp;&nbsp;&nbsp;&nbsp;it
determines that the purchase order or the Creation Basket Deposit is not in proper form;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 36pt"><FONT STYLE="font-family: Symbol">&#183;</FONT>&nbsp;&nbsp;&nbsp;&nbsp;it
believes that the purchase order or the Creation Basket Deposit would have adverse tax consequences to the Fund, the limited partners
or its shareholders;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 36pt"><FONT STYLE="font-family: Symbol">&#183;</FONT>&nbsp;&nbsp;&nbsp;&nbsp;the
acceptance or receipt of the Creation Basket Deposit would, in the opinion of counsel to the Sponsor, be unlawful; or</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 36pt"><FONT STYLE="font-family: Symbol">&#183;</FONT>&nbsp;&nbsp;&nbsp;&nbsp;circumstances
outside the control of the Sponsor, Distributor or Custodian make it, for all practical purposes, not feasible to process creations
of baskets.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">None of the Sponsor, Distributor or Custodian will be liable
for the rejection of any purchase order or Creation Basket Deposit.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Redemption Procedures </I></B>The procedures by which
an Authorized Participant can redeem one or more baskets mirror the procedures for the creation of baskets. On any business day,
an Authorized Participant may place an order with the Distributor to redeem one or more baskets. Redemption orders must be placed
by 12:00 p.m. New York time or the close of regular trading on the NYSE Arca, whichever is earlier. A redemption order so received
will be effective on the date it is received in satisfactory form by the Distributor. The redemption procedures allow Authorized
Participants to redeem baskets and do not entitle an individual shareholder to redeem any shares in an amount less than a Redemption
Basket, or to redeem baskets other than through an Authorized Participant.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">By placing a redemption order, an Authorized Participant agrees
to deliver the baskets to be redeemed through DTC&rsquo;s book-entry system to the Fund, as described below. Prior to the delivery
of the redemption distribution for a redemption order, the Authorized Participant must also have wired to the Fund&rsquo;s account
at the Custodian the non-refundable transaction fee due for the redemption order.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The manner by which redemptions are made is dictated by the
terms of the Authorized Participant Agreement. By placing a redemption order, an Authorized Participant agrees to (1) deliver the Redemption
Basket to be redeemed through DTC&rsquo;s book-entry system to the fund&rsquo;s account with the</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>


<!-- Field: Page; Sequence: 70; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->50<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Custodian not later than 3:00 p.m. New York time on the third
business day following the effective date of the redemption order (&ldquo;Redemption Distribution Date&rdquo;), and (2) if required
by the Sponsor in its sole discretion, enter into or arrange for a block trade, an exchange for swap, or any other transaction
(through itself or a designated acceptable broker) with the fund for the sale of a number and type of futures contracts at the
closing settlement price for such contracts on the Redemption Order Date. If an Authorized Participant fails to consummate (1) and
(2) above, the order shall be cancelled. The number and type of contracts specified shall be determined by the Sponsor, in its
sole discretion, to meet the Fund&rsquo;s investment objective and shall be sold as a result of the Authorized Participant&rsquo;s
sale of shares.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Determination of Redemption Distribution</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The redemption distribution from the Fund consists of a transfer
to the redeeming Authorized Participant of an amount of U.S. Treasuries and/or cash that is in the same proportion to the total assets
of the Fund (net of estimated accrued but unpaid fees, expenses and other liabilities) on the date the order to redeem is properly
received as the number of shares to be redeemed under the redemption order is in proportion to the total number of shares outstanding
on the date the order is received. The Sponsor, directly or in consultation with the Administrator, determines the requirements
for U.S. Treasuries and the amounts of cash, including the maximum permitted remaining maturity of a Treasury, and the proportions
of U.S. Treasuries and cash that may be included in distributions to redeem baskets. The Distributor will publish an estimate of
the redemption distribution per basket as of the beginning of each business day.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Delivery of Redemption Distribution</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The redemption distribution due from the Fund will be delivered
to the Authorized Participant by 3:00 p.m. New York time on the third business day following the redemption order date if, by 3:00
p.m. New York time on such third business day, the Fund&rsquo;s DTC account has been credited with the baskets to be redeemed.
If the Fund&rsquo;s DTC account has not been credited with all of the baskets to be redeemed by such time, the redemption distribution
will be delivered to the extent of whole baskets received. Any remainder of the redemption distribution will be delivered on the
next business day to the extent of remaining whole baskets received if the Fund receives the fee applicable to the extension of
the redemption distribution date which the Sponsor may, from time to time, determine and the remaining baskets to be redeemed are
credited to the Fund&rsquo;s DTC account by 3:00 p.m. New York time on such next business day. Any further outstanding amount of
the redemption order shall be cancelled. Pursuant to information from the Sponsor, the Custodian will also be authorized to deliver
the redemption distribution notwithstanding that the baskets to be redeemed are not credited to the Fund&rsquo;s DTC account by
3:00 p.m. New York time on the third business day following the redemption order date if the Authorized Participant has collateralized
its obligation to deliver the baskets through DTC&rsquo;s book entry-system on such terms as the Sponsor may from time to time
determine.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Suspension or Rejection of Redemption Orders</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Sponsor may, in its discretion, suspend the right of redemption,
or postpone the redemption settlement date, (1) for any period during which the NYSE Arca or the CME is closed other than customary
weekend or holiday closings, or trading on the NYSE Arca or the CME is suspended or restricted, (2) for any period during which
an emergency exists as a result of which delivery, disposal or evaluation of U.S. Treasuries is not reasonably practicable, or
(3) for such other period as the Sponsor determines to be necessary for the protection of the limited partners or shareholders.
For example, the Sponsor may determine that it is necessary to suspend redemptions to allow for the orderly liquidation of the
Fund&rsquo;s assets at an appropriate value to fund a redemption. If the Sponsor has difficulty liquidating its positions, e.g.,
because of a market disruption event in the futures markets or a suspension of trading by the exchange where the futures contracts
are listed, it may be appropriate to suspend redemptions until such time as such circumstances are rectified. None of the Sponsor,
the Distributor, the Administrator, or the Custodian will be liable to any person or in any way for any loss or damages that may
result from any such suspension or postponement.</P>


<!-- Field: Page; Sequence: 71; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->51<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Redemption orders must be made in whole baskets. The Sponsor
will reject a redemption order if the order is not in proper form as described in the Authorized Participant Agreement or if the
fulfillment of the order, in the opinion of its counsel, might be unlawful. The Sponsor may also reject a redemption order if the
number of shares being redeemed would reduce the remaining outstanding shares to 100,000 shares (minimum NYSE Arca listing requirement) or less, unless
the Sponsor has reason to believe that the placer of the redemption order does in fact possess all the outstanding shares and can
deliver them.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Creation and Redemption Transaction Fee</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">To compensate the Fund for its expenses in connection with the
creation and redemption of baskets, an Authorized Participant is required to pay a transaction fee to the Fund of $500 per order
to create or redeem baskets, regardless of the number of baskets in such order. An order may include multiple baskets. The transaction
fee may be reduced, increased or otherwise changed by the Sponsor. The Sponsor shall notify DTC of any change in the transaction
fee and will not implement any increase in the fee for the redemption of baskets until 30 days after the date of the notice.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Tax Responsibility</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Authorized Participants are responsible for any transfer tax,
sales or use tax, stamp tax, recording tax, value added tax or similar tax or governmental charge applicable to the creation or
redemption of baskets, regardless of whether or not such tax or charge is imposed directly on the Authorized Participant, and agree
to indemnify the Sponsor and the Fund if they are required by law to pay any such tax, together with any applicable penalties,
additions to tax and interest thereon.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Secondary Market Transactions</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">As noted, the Fund creates and redeems shares from time to time,
but only in one or more Creation Baskets or Redemption Baskets. The creation and redemption of baskets are only made in exchange
for delivery to the Fund or the distribution by the Fund of the amount of U.S. Treasuries and cash represented by the baskets being
created or redeemed, the amount of which will be based on the aggregate NAV of the number of shares included in the baskets being
created or redeemed determined on the day the order to create or redeem baskets is properly received.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">As discussed above, Authorized Participants are the only persons
that may place orders to create and redeem baskets. Authorized Participants must be registered broker-dealers or other securities
market participants, such as banks and other financial institutions that are not required to register as broker-dealers to engage
in securities transactions. An Authorized Participant is under no obligation to create or redeem baskets, and an Authorized Participant
is under no obligation to offer to the public shares of any baskets it does create. Authorized Participants that do offer to the
public shares from the baskets they create will do so at per-share offering prices that are expected to reflect, among other factors,
the trading price of the shares on the NYSE Arca, the NAV of the Fund at the time the Authorized Participant purchased the Creation
Baskets and the NAV of the shares at the time of the offer of the shares to the public, the supply of and demand for shares at
the time of sale, and the liquidity of the futures contract market and the market for Treasury Investments. The prices of shares
offered by Authorized Participants are expected to fall between the Fund&rsquo;s NAV and the trading price of the shares on the NYSE
Arca at the time of sale. Shares initially comprising the same basket but offered by Authorized Participants to the public at different
times may have different offering prices. An order for one or more baskets may be placed by an Authorized Participant on behalf of
multiple clients. Authorized Participants who make deposits with the Fund in exchange for baskets receive no fees, commissions or
other form of compensation or inducement of any kind from either the Fund or the Sponsor, and no such person has any obligation
or responsibility to the Sponsor or the Fund to effect any sale or resale of shares. Shares trade in the secondary market on the
NYSE Arca. Shares may trade in the secondary market at prices that are lower or higher relative to their NAV per share. The amount
of the discount or premium in the trading price relative to the NAV per share may be influenced by various factors, including the
number of</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>


<!-- Field: Page; Sequence: 72; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->52<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">investors who seek to purchase or sell shares in the secondary
market and the liquidity of the futures contracts market and the market for Treasury Investments. While the shares trade during
the core trading session on the NYSE Arca until 4:00 p.m. New York time, liquidity in the market for Treasury Interests may be
reduced after the close of the CME at 2:30 p.m. New York time. As a result, during this time, trading spreads, and the resulting
premium or discount, on the shares may widen.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><A NAME="x2_c77868b006"></A><A NAME="x2_c77868a050"></A><B>Use of Proceeds</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Sponsor causes the Fund to transfer the proceeds from the
sale of Creation Baskets to the Custodian or other custodian for trading activities. The Sponsor will invest the proceeds in U.S.
Treasuries with a maturity of 397 days or less, cash and/or cash equivalents and in futures contracts and options on futures contracts
on U.S. Treasuries. When the Fund purchases a futures contract, the Fund is required to deposit with the selling FCM on behalf
of the exchange a portion of the value of the contract or other interest as security to ensure payment for the obligation at maturity.
This deposit is known as initial margin. The Fund will receive or pay, depending on market movement, variation margin as the value
of the futures position increase or decreases. The Fund will pay premiums on the options contracts that it purchases. The Sponsor
will invest the assets that remain after margin and collateral are posted in U.S. Treasuries, cash and/or cash equivalents Subject
to these margin and collateral requirements, the Sponsor has sole authority to determine the percentage of assets that are:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 18pt"></TD><TD STYLE="width: 18pt"><FONT STYLE="font-family: Symbol">&#183;</FONT></TD><TD>held on deposit with the FCM or other custodian,</TD></TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 18pt"></TD><TD STYLE="width: 18pt"><FONT STYLE="font-family: Symbol">&#183;</FONT></TD><TD>used for other investments, and</TD></TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 18pt"></TD><TD STYLE="width: 18pt"><FONT STYLE="font-family: Symbol">&#183;</FONT></TD><TD>held in bank accounts to pay current obligations and as reserves.</TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Approximately 10% of the Fund&rsquo;s assets are expected to
normally be committed as margin for futures contracts. However, from time to time, the percentage of assets committed as margin
may be substantially more, or less, than such range. Ongoing margin and collateral payments will generally be required for exchange-traded
contracts based on changes in their value. In light of the differing requirements for initial payments under exchange-traded contracts
and the fluctuating nature of ongoing margin and collateral payments, it is not possible to estimate what portion of the Fund&rsquo;s
assets will be posted as margin or collateral at any given time. The U.S. Treasuries, cash and cash equivalents held by the Fund
will constitute reserves that will be available to meet ongoing margin and collateral requirements. All interest income will be
used for the Fund&rsquo;s benefit. The Sponsor invests the balance of the Fund&rsquo;s assets not invested in futures or options
on U.S. Treasuries with a maturity of 397 days or less, cash and cash equivalents and such funds are available as reserves for
changes in margin. All interest income is used for the Fund&rsquo;s benefit.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">An FCM, counterparty, government agency or commodity exchange
could increase margin or collateral requirements applicable to the Fund to hold trading positions at any time. Moreover, margin
is merely a security deposit and has no bearing on the profit or loss potential for any positions held.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The assets of the Fund posted as margin for futures contracts
will be held in segregation pursuant to the CEA and CFTC regulations.</P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0"><A NAME="x2_c77868a037"></A><B>Information You Should Know</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">This prospectus contains information you should consider when
making an investment decision about the shares. You may rely on the information contained in this prospectus. Neither the Fund
nor the Sponsor has authorized any person to provide you with different information and, if anyone provides you with different
or inconsistent information, you should not rely on it. This prospectus is not an offer to sell the shares in any jurisdiction
where the offer or sale of the shares is not permitted.</P>

<!-- Field: Page; Sequence: 73; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->53<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The information contained in this prospectus was obtained from
us and other sources believed by us to be reliable.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">You should rely only on the information contained in this prospectus
or any applicable prospectus supplement or any information incorporated by reference to this prospectus. We have not authorized
anyone to provide you with any information that is different. If you receive any unauthorized information, you must not rely on
it. You should disregard anything we said in an earlier document that is inconsistent with what is included in this prospectus
or any applicable prospectus supplement or any information incorporated by reference to this prospectus. Where the context requires,
when we refer to this &ldquo;prospectus,&rdquo; we are referring to this prospectus and (if applicable) the relevant prospectus
supplement.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">You should not assume that the information in this prospectus
or any applicable prospectus supplement is current as of any date other than the date on the front page of this prospectus or the
date on the front page of any applicable prospectus supplement.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">We include cross references in this prospectus to captions in
these materials where you can find further related discussions. The table of contents tells you where to find these captions.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 27pt; text-indent: -27pt"><A NAME="x2_c77868a038"></A><B>Summary of Promotional and Sales
Material</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Fund will utilize the following sales material:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 18pt"></TD><TD STYLE="width: 18pt"><FONT STYLE="font-family: Symbol">&#183;</FONT></TD><TD>the Fund&#8217;s website, www.risingrateetf.com;</TD></TR>
</TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt">
<TR STYLE="vertical-align: top">
<TD STYLE="width: 18pt"></TD><TD STYLE="width: 18pt"><FONT STYLE="font-family: Symbol">&#183;</FONT></TD><TD>Press release dated the effective date of the Fund&#8217;s initial registration statement; and the Fund fact sheet available on the Fund&rsquo;s website.</TD></TR></TABLE>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 36pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 27pt; text-indent: -27pt"><A NAME="x2_c77868a039"></A><B>Where You Can Find More Information</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 27pt; text-indent: -27pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Sponsor has filed on behalf of the Fund a registration statement
on Form S-1 with the SEC under the 1933 Act. This prospectus does not contain all of the information set forth in the registration
statement (including the exhibits to the registration statement), parts of which have been omitted in accordance with the rules
and regulations of the SEC. For further information about the Fund or the shares, please refer to the registration statement, which
you may inspect, without charge, at the public reference facilities of the SEC at the below address or online at www.sec.gov, or
obtain at prescribed rates from the public reference facilities of the SEC at the below address. Information about the Fund and
the shares can also be obtained from the Fund&rsquo;s website, which is www.risingrateetf.com. The Fund&rsquo;s website address
is only provided here as a convenience to you and the information contained on or connected to the website is not part of this
prospectus or the registration statement of which this prospectus is part. The Fund is subject to the informational requirements
of the Exchange Act and the Sponsor and the Fund will each, on behalf of the Fund, file certain reports and other information with
the SEC. The Sponsor will file an updated prospectus annually for the Fund pursuant to the 1933 Act. The reports and other information
can be inspected at the public reference facilities of the SEC located at 100 F Street, NE, Washington, D.C. 20549 and online at
www.sec.gov. You may also obtain copies of such material from the public reference facilities of the SEC at 100 F Street, NE, Washington,
D.C. 20549, at prescribed rates. You may obtain more information concerning the operation of the public reference facilities of
the SEC by calling the SEC at 1-800-SEC-0330 or visiting online at www.sec.gov.</P>


<!-- Field: Page; Sequence: 74; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->54<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 63pt; text-indent: -63pt"><A NAME="x2_c77868a040"></A><B>Statement Regarding Forward-Looking
Statements</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">This prospectus includes &ldquo;forward-looking
statements&rdquo; which generally relate to future events or future performance. In some cases, you can identify forward-looking
statements by terminology such as &ldquo;may,&rdquo; &ldquo;will,&rdquo; &ldquo;should,&rdquo; &ldquo;expect,&rdquo; &ldquo;plan,&rdquo;
&ldquo;anticipate,&rdquo; &ldquo;believe,&rdquo; &ldquo;estimate,&rdquo; &ldquo;predict,&rdquo; &ldquo;potential&rdquo; or the
negative of these terms or other comparable terminology. All statements (other than statements of historical fact) included in
this prospectus that address activities, events or developments that will or may occur in the future, including such matters as
movements in the futures markets and indexes that track such movements, the Fund&rsquo;s operations, the Sponsor&rsquo;s plans
and references to the Fund&rsquo;s future success and other similar matters, are forward-looking statements. These statements are
only predictions. Actual events or results may differ materially. These statements are based upon certain assumptions and analyses
the Sponsor has made based on its perception of historical trends, current conditions and expected future developments, as well
as other factors appropriate in the circumstances. Whether or not actual results and developments will conform to the Sponsor&rsquo;s
expectations and predictions, however, is subject to a number of risks and uncertainties, including the special considerations
discussed in this prospectus, general economic, market and business conditions, changes in laws or regulations, including those
concerning taxes, made by governmental authorities or regulatory bodies, and other world economic and political developments. Consequently,
all the forward-looking statements made in this prospectus are qualified by these cautionary statements, and there can be no assurance
that actual results or developments the Sponsor anticipates will be realized or, even if substantially realized, that they will
result in the expected consequences to, or have the expected effects on, the Fund&rsquo;s operations or the value of its shares.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0pt 0"><A NAME="x2_c77868a041"></A><B>Privacy Policy</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Fund and the Sponsor may collect or have access to certain
nonpublic personal information about current and former investors. Nonpublic personal information may include information received
from investors, such as an investor&rsquo;s name, social security number and address, as well as information received from brokerage
firms about investor holdings and transactions in shares of the Fund.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Fund and the Sponsor do not disclose nonpublic personal
information except as required by law or as described in their Privacy Policy. In general, the Fund and the Sponsor restrict access
to the nonpublic personal information they collect about investors to those of their and their affiliates&rsquo; employees and
service providers who need access to such information to provide products and services to investors.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Fund and the Sponsor maintain safeguards that comply with
federal law to protect investors&rsquo; nonpublic personal information. These safeguards are reasonably designed to (1) ensure
the security and confidentiality of investors&rsquo; records and information, (2) protect against any anticipated threats or hazards
to the security or integrity of investors&rsquo; records and information, and (3) protect against unauthorized access to or use
of investors&rsquo; records or information that could result in substantial harm or inconvenience to any investor. Third-party
service providers with whom the Fund and the Sponsor share nonpublic personal information about investors must agree to follow
appropriate standards of security and confidentiality, which includes safeguarding such nonpublic personal information physically,
electronically and procedurally.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">A copy of the Fund and the Sponsor&rsquo;s
current Privacy Policy is provided to investors annually and is also available upon request.</P>

<!-- Field: Page; Sequence: 75; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->55<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #231F20">Until April 29, 2015, all dealers that
effect transactions in these securities, whether or not participating in this offering, may be required to deliver a
prospectus. This is in addition to the dealers&rsquo; obligation to deliver a prospectus when acting as underwriters and with
respect to their unsold allotments or subscriptions.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #231F20">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #231F20">The Trust&rsquo;s current SAI provides additional
detailed information about the Fund. The Trust has electronically filed the SAI with the SEC. It is incorporated by reference in
this Prospectus.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #231F20">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #231F20">Additional information about the Fund&rsquo;s
investments is or will be available in the Fund&rsquo;s annual and semi-annual reports to shareholders. In the annual report you
will find a discussion of the market conditions and investment strategies that significantly affected the Fund&rsquo;s performance
during the last fiscal year, as applicable.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #231F20">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #231F20">To make shareholder inquiries, for more detailed
information on the Fund, or to request the SAI or annual or semi-annual shareholder reports, as applicable, free of charge, please:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #231F20">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 10%; padding-top: 1.7pt"><FONT STYLE="font-size: 10pt; color: #231F20">Call:</FONT></TD>
    <TD STYLE="width: 90%; padding-top: 1.7pt"><FONT STYLE="font-size: 10pt">844-ETF-MGRS (844-383-6477)</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-top: 0.2pt"><FONT STYLE="font-size: 10pt">&nbsp;</FONT></TD>
    <TD STYLE="padding-top: 0.2pt"><FONT STYLE="font-size: 10pt; color: #231F20">Monday through Friday</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-top: 0.2pt"><FONT STYLE="font-size: 10pt">&nbsp;</FONT></TD>
    <TD STYLE="padding-top: 0.2pt"><FONT STYLE="font-size: 10pt; color: #231F20">8:00 a.m. &ndash; 8:00 p.m. (Eastern time)</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-top: 0.2pt"><FONT STYLE="font-size: 10pt">&nbsp;</FONT></TD>
    <TD STYLE="padding-top: 0.2pt"><FONT STYLE="font-size: 10pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-top: 1.7pt"><FONT STYLE="font-size: 10pt; color: #231F20">Write:</FONT></TD>
    <TD STYLE="padding-top: 1.7pt"><FONT STYLE="font-size: 10pt; color: #231F20">ETF Managers Group Commodity Trust I</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-top: 0.2pt"><FONT STYLE="font-size: 10pt">&nbsp;</FONT></TD>
    <TD STYLE="padding-top: 0.2pt"><FONT STYLE="font-size: 10pt; color: #231F20">c/o ETF Managers Capital LLC</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-top: 0.2pt"><FONT STYLE="font-size: 10pt">&nbsp;</FONT></TD>
    <TD STYLE="padding-top: 0.2pt"><FONT STYLE="font-size: 10pt; color: #231F20">35 Beechwood Road</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-top: 0.2pt"><FONT STYLE="font-size: 10pt">&nbsp;</FONT></TD>
    <TD STYLE="padding-top: 0.2pt"><FONT STYLE="font-size: 10pt; color: #231F20">Suite 2B</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-top: 0.2pt"><FONT STYLE="font-size: 10pt">&nbsp;</FONT></TD>
    <TD STYLE="padding-top: 0.2pt"><FONT STYLE="font-size: 10pt">Summit, NJ 07901</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-top: 0.2pt">&nbsp;</TD>
    <TD STYLE="padding-top: 0.2pt">&nbsp;</TD></TR>
</TABLE>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-top: 0.2pt; width: 10%"><FONT STYLE="font-size: 10pt">Visit:</FONT></TD>
    <TD STYLE="padding-top: 0.2pt; width: 90%"><FONT STYLE="font-size: 10pt">www.risingrateetf.com</FONT></TD></TR>
</TABLE>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #231F20">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #231F20">Information about the Funds (including the SAI)
can be reviewed and copied at the SEC&rsquo;s Public Reference Room in Washington, D.C., and information on the operation of the
Public Reference Room may be obtained by calling the SEC at 1-202-551-8090. Reports and other information about the Funds are available
on the EDGAR Database on the SEC&rsquo;s Internet site at www.sec.gov, and copies of this information may be obtained, after paying
a duplicating fee, by electronic request at the following e-mail address: publicinfo@sec.gov, or by writing the SEC&rsquo;s Public
Reference Section, Washington, D.C. 20549-1520.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #231F20">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #231F20">No person is authorized to give any information
or to make any representations about any Fund and its shares not contained in this Prospectus and you should not rely on any other
information. Read and keep this Prospectus for future reference.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #231F20">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #231F20">ETF Managers Group Commodity Trust I</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #231F20">35 Beechwood Road</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #231F20">Suite 2B</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #231F20">Summit, NJ 07901</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #231F20">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #231F20">The Fund is distributed by</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #231F20">Esposito Securities LLC</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #231F20">300 Crescent Court, Suite 650</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #231F20">Dallas, Texas 75201</P>

<!-- Field: Page; Sequence: 76; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->56<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->



<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>SIT RISING RATE ETF</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><A NAME="x2_c77868a044"></A><B>Statement of Additional Information</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"> This statement of additional
information and accompanying disclosure document are both dated February 11, 2015.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">This statement of additional information is the second part of a two part document. The first part is the Fund&rsquo;s disclosure document. The disclosure document and this statement of additional information are bound together, and both parts contain important information. This statement of additional information should be read in conjunction with the disclosure document.</P>



<!-- Field: Page; Sequence: 77 -->
    <DIV STYLE="margin-bottom: 6pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 12pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>SIT RISING RATE ETF</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>TABLE OF CONTENTS</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom; font: 10pt Times New Roman, Times, Serif">
    <TD STYLE="width: 95%; font: 10pt Times New Roman, Times, Serif; padding-bottom: 1px">&nbsp;</TD>
    <TD STYLE="width: 5%; font: 10pt Times New Roman, Times, Serif; text-align: center; border-bottom: Black 1px solid"><FONT STYLE="font-size: 10pt"><B>Page</B></FONT></TD></TR>
<TR STYLE="font: 10pt Times New Roman, Times, Serif">
    <TD STYLE="vertical-align: top; font: 10pt Times New Roman, Times, Serif"><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868b001">Form of Shares</A></FONT></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; font: 10pt Times New Roman, Times, Serif; text-align: left"><FONT STYLE="font-size: 10pt">SAI-3</FONT></TD></TR>
<TR STYLE="font: 10pt Times New Roman, Times, Serif">
    <TD STYLE="vertical-align: top; font: 10pt Times New Roman, Times, Serif"><FONT STYLE="font-size: 10pt"><A HREF="#x2_c77868b003">What is the Plan of Distribution?</A></FONT></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; font: 10pt Times New Roman, Times, Serif; text-align: left"><FONT STYLE="font-size: 10pt">SAI-</FONT>4</TD></TR>
</TABLE>


<!-- Field: Page; Sequence: 78; Options: NewSection; Value: 2 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">SAI-<!-- Field: Sequence; Type: Arabic; Name: PageNo -->2<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 27pt; text-indent: -27pt"><A NAME="x2_c77868b001"></A><A NAME="x2_c77868a045"></A><B>Form of Shares</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 27pt; text-indent: -27pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Registered Form</I></B>. Shares are issued in registered
form in accordance with the Trust Agreement. US Bank has been appointed registrar and transfer agent for the purpose of transferring
shares in certificated form. US Bank keeps a record of all limited partners and holders of the shares in certificated form in the
registry (the &ldquo;Register&rdquo;). The Sponsor recognizes transfers of shares in certificated form only if done in accordance
with the Trust Agreement. The beneficial interests in such shares are held in book-entry form through participants and/or accountholders
in DTC.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Book Entry</I></B>. Individual certificates are not issued
for the shares. Instead, shares are represented by one or more global certificates, which are deposited by the Administrator with
DTC and registered in the name of Cede &amp; Co., as nominee for DTC. The global certificates evidence all of the shares outstanding
at any time. Shareholders are limited to (1) participants in DTC such as banks, brokers, dealers and trust companies (&ldquo;DTC
Participants&rdquo;), (2) those who maintain, either directly or indirectly, a custodial relationship with a DTC Participant (&ldquo;Indirect
Participants&rdquo;), and (3) those banks, brokers, dealers, trust companies and others who hold interests in the shares through
DTC Participants or Indirect Participants, in each case who satisfy the requirements for transfers of shares. DTC Participants
acting on behalf of investors holding shares through such participants&rsquo; accounts in DTC will follow the delivery practice
applicable to securities eligible for DTC&rsquo;s Same-Day Funds Settlement System. Shares are credited to DTC Participants&rsquo;
securities accounts following confirmation of receipt of payment.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>DTC</I></B>. DTC has advised us as follows. It is a limited
purpose trust company organized under the laws of the State of New York and is a member of the Federal Reserve System, a &ldquo;clearing
corporation&rdquo; within the meaning of the New York Uniform Commercial Code and a &ldquo;clearing agency&rdquo; registered pursuant
to the provisions of Section 17A of the Exchange Act. DTC holds securities for DTC Participants and facilitates the clearance and
settlement of transactions between DTC Participants through electronic book-entry changes in accounts of DTC Participants.</P>


<!-- Field: Page; Sequence: 79; Value: 2 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">SAI-<!-- Field: Sequence; Type: Arabic; Name: PageNo -->3<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 27pt; text-indent: -27pt"><A NAME="x2_c77868b003"></A><A NAME="x2_c77868a047"></A><B>What is the Plan of Distribution?</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 27pt; text-indent: -27pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Buying and Selling Shares</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Most investors buy and sell shares of the Fund in secondary
market transactions through brokers. Shares trade on the NYSE Arca under the ticker symbol &ldquo;RISE&rdquo; shares are bought
and sold throughout the trading day like other publicly traded securities. When buying or selling shares through a broker, most
investors incur customary brokerage commissions and charges. Investors are encouraged to review the terms of their brokerage account
for details on applicable charges.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Distributor and Authorized Participants</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The offering of the Fund&rsquo;s shares is a best efforts
offering. The Fund continuously offers Creation Baskets consisting of 25,000 shares through the Distributor, to Authorized
Participants. All Authorized Participants pay a $500 fee for each order to create or redeem one or more Creation Baskets or
Redemption Baskets. Sit Fixed Income Advisors II, LLC made an initial investment of $5,000,000 in exchange for 200,000 shares.
In accordance with applicable requirements of Regulation M under the Securities Exchange Act of 1934, no Creation Baskets will
be offered to Authorized Participants nor will units be listed for trading on the NYSE Arca until at least five business days (the
&ldquo;Cooling-off Period&rdquo;) has elapsed from the date of Sit&rsquo;s purchase. It is expected that the proceeds from Sit&rsquo;s
purchase will be invested at the end of the Cooling-off Period and that the initial per unit net asset value of the Fund will be
established as of 4:00 p.m. New York City time that day. Units offered in Creation Baskets on any subsequent day will be offered
at the per unit NAV calculated shortly after the close of the core trading session on the NYSE Arca. The shares purchased by Sit
will be redeemable by Sit on the same terms and conditions as those applicable to Authorized Participants.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Distributor receives an annual fee for its distribution
services, which for the first year will equal 0.02% of assets under management (&ldquo;AUM&rdquo;) (declining if the Fund&rsquo;s
AUM increases above $250,000,000), with a minimum of $15,000 payable annually. In no event will the aggregate compensation paid
to the Distributor and any affiliate of the Sponsor for distribution-related services in connection with the offering of shares
exceed ten percent (10%) of the gross proceeds of the offering. The activities of the Distributor may result in its being deemed
a participant in a distribution in a manner that would render it a statutory underwriter and subject it to the prospectus delivery
and liability provisions of the 1933 Act.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The offering of baskets is being made in compliance with Conduct
Rule 2310 of FINRA. Accordingly, Authorized Participants will not make any sales to any account over which they have discretionary
authority without the prior written approval of a purchaser of shares.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The per share price of shares offered in Creation Baskets on
any subsequent day will be the total NAV of the Fund calculated shortly after the close of the core trading session on the NYSE
Arca on that day divided by the number of issued and outstanding shares. An Authorized Participant is not required to sell any specific
number or dollar amount of shares.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">By executing an Authorized Participant Agreement, an Authorized
Participant becomes part of the group of parties eligible to purchase baskets from, and put baskets for redemption to, the Fund.
An Authorized Participant is under no obligation to create or redeem baskets, and an Authorized Participant is under no obligation
to offer to the public shares of any baskets it does create.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">As of January 23, 2015, the following are or are expected
to enter into Authorized Participant Agreements to purchase and sell shares of the Fund:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">JP Morgan Securities LLC</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Nomura Securities International, Inc.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">KCG Holdings</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Credit Suisse Securities (USA) LLC</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Deutsche Bank Securities Inc.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Citigroup Global Markets Inc.</P>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Because new shares can be created and issued on an ongoing basis,
at any point during the life of the Fund, a &ldquo;distribution&rdquo;, as such term is used in the 1933 Act, will be occurring.
Authorized Participants, other broker-dealers and other persons are cautioned that some of their activities may result in their being
deemed participants in a distribution in a manner that would render them statutory underwriters and subject them to the prospectus
delivery and liability provisions of the 1933 Act. For example, the Initial Authorized Participant was a statutory underwriter with
respect to its initial purchase of Creation Baskets. In addition, any purchaser who purchases shares with a view towards distribution
of such shares may be deemed to be a statutory underwriter. Authorized Participant will comply with the prospectus-delivery requirements
in connection with the sale of shares to customers. For example, an Authorized Participant, other broker-dealer firm or its client
will be deemed a statutory underwriter if it purchases a basket from the Fund, breaks the basket down into the constituent shares
and sells the shares to its customers; or if it chooses to couple the creation of a supply of new shares with an active selling
effort involving solicitation</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>

<!-- Field: Page; Sequence: 80; Value: 2 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">SAI-<!-- Field: Sequence; Type: Arabic; Name: PageNo -->4<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">of secondary market demand for the shares. Authorized Participants
may also engage in secondary market transactions in shares that would not be deemed &ldquo;underwriting&rdquo;. For example, an
Authorized Participant may act in the capacity of a broker or dealer with respect to shares that were previously distributed by other
Authorized Participants. A determination of whether a particular market participant is an underwriter must take into account all
the facts and circumstances pertaining to the activities of the broker-dealer or its client in the particular case, and the examples
mentioned above should not be considered a complete description of all the activities that would lead to designation as an underwriter
and subject them to the prospectus-delivery and liability provisions of the 1933 Act.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Dealers who are neither Authorized Participants nor &ldquo;underwriters&rdquo;
but are nonetheless participating in a distribution (as contrasted to ordinary secondary trading transactions), and thus dealing
with shares that are part of an &ldquo;unsold allotment&rdquo; within the meaning of Section 4(3)(C) of the 1933 Act, would be
unable to take advantage of the prospectus-delivery exemption provided by Section 4(3) of the 1933 Act.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Sponsor may qualify the shares in states selected by the
Sponsor and intends that sales be made through broker-dealers who are members of FINRA. Investors intending to create or redeem
baskets through Authorized Participants in transactions not involving a broker-dealer registered in such investor&rsquo;s state of
domicile or residence should consult their legal advisor regarding applicable broker-dealer or securities regulatory requirements
under the state securities laws prior to such creation or redemption.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">While the Authorized Participants may be indemnified by the Sponsor,
they will not be entitled to receive a discount or commission from the Fund for their purchases of Creation Baskets.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>


<!-- Field: Page; Sequence: 81; Value: 2 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">SAI-<!-- Field: Sequence; Type: Arabic; Name: PageNo -->5<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><A NAME="x2_c77868a042"></A><B>APPENDIX A</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><A NAME="x2_c77868a043"></A><B>Glossary of Defined Terms</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">In this prospectus, each of the following terms has the meanings
set forth after such term:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Administrator</B>: U.S. Bancorp Fund Services, LLC.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Authorized Participant</B>: One that purchases or redeems Creation
Baskets or Redemption Baskets, respectively, from or to the Fund.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Business Day</B>: Any day other than a day when any of the
NYSE Arca, the CME or the New York Stock Exchange is closed for regular trading.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>CFTC</B>: Commodity Futures Trading Commission, an independent
agency with the mandate to regulate commodity futures and options in the United States.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Code</B>: Internal Revenue Code.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Commodity Pool</B>: An enterprise in which several individuals
contribute funds in order to trade futures or future options collectively.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Commodity Pool Operator or CPO</B>: Any person engaged in
a business which is of the nature of an investment trust, syndicate, or similar enterprise, and who, in connection therewith, solicits,
accepts, or receives from others, funds, securities, or property, either directly or through capital contributions, the sale of
stock or other forms of securities, or otherwise, for the purpose of trading in any commodity for future delivery or commodity
option on or subject to the rules of any contract market.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Creation Basket</B>: A block of 25,000 shares used by the
Fund to issue shares.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Custodian:</B> U.S. Bank, a national banking association
chartered by the Office of the Comptroller of the Currency.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Distributor</B>: Esposito Securities LLC.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Dodd-Frank Act</B>: The Dodd-Frank Wall Street Reform and
Consumer Protection Act that was signed into law July 21, 2010.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>DTC</B>: The Depository Trust Company. DTC will act as the
securities depository for the shares.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>DTC Participant</B>: An entity that has an account with DTC.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Exchange Act</B>: The Securities Exchange Act of 1934.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>FINRA</B>: Financial Industry Regulatory Authority, formerly
the National Association of Securities Dealers.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Fund</B>: Sit Rising Rate ETF, a series of the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Indirect Participants</B>: Banks, brokers, dealers and trust
companies that clear through or maintain a custodial relationship with a DTC Participant, either directly or indirectly.</P>

<!-- Field: Page; Sequence: 82; Options: NewSection; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->1<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Limited Liability Company (LLC)</B>: A type of business ownership
combining several features of corporation and partnership structures.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Margin</B>: The amount of equity required for an investment
in futures contracts.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>NAV</B>: Net Asset Value of the Fund.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>NFA</B>: National Futures Association.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>1933 Act</B>: The Securities Act of 1933.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Option</B>: The right, but not the obligation, to buy or
sell a futures contract or forward contract at a specified price on or before a specified date.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Prudential Regulators</B>: the CFTC, the SEC and the Office
of the Comptroller of the Currency, the Board of Governors of the Federal Reserve System, the Federal Deposit Insurance Corporation,
the Farm Credit System and the Federal Housing Finance Agency, collectively.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Redemption Basket</B>: A block of 25,000 shares used by the
Fund to redeem shares.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>SEC</B>: Securities and Exchange Commission.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Secondary Market</B>: The stock exchanges and the over-the-counter
market. Securities are first issued as a primary offering to the public. When the securities are traded from that first holder
to another, the issues trade in these secondary markets.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Shareholders: </B>Holder of Shares.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Shares:</B> Common shares representing fractional undivided
beneficial interests in the Fund.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Treasuries</B>: Obligations of the U.S. government.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Trust</B>: The ETF Managers Group Commodity Trust I, a Delaware
statutory trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Valuation Day</B>: Any day as of which the Fund calculates
its NAV.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>You</B>: The owner of shares.</P>

<!-- Field: Page; Sequence: 83; Value: 1 -->
    <DIV STYLE="margin-top: 10pt; margin-bottom: 6pt; padding-bottom: 12pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->2<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; text-align: center; margin-bottom: 0pt"><B>Report of Independent Registered Public Accounting Firm</B></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify">To the Managing Owner of ETF Managers Group
Commodity Trust I</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>
<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="color: black">We have audited
the accompanying combined statement of assets and liabilities of </FONT>ETF Managers Group Commodity Trust I<FONT STYLE="color: black">
and the individual statement of assets and liabilities of Sit Rising Rate ETF (collectively referred to as the &ldquo;Trust&rdquo;)
as of September 26, 2014. These statements of assets and liabilities are the responsibility of the Trust&rsquo;s management. Our
responsibility is to express an opinion on these statements of assets and liabilities based on our audits.</FONT></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify">We conducted our audits in accordance with
the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform
the audit to obtain reasonable assurance about whether the statements of assets and liabilities are free of material misstatement.
An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the statements of assets and liabilities,
assessing the accounting principles used and significant estimates made by management, and evaluating the overall statements of
assets and liabilities presentation. We believe that our audits provide a reasonable basis for our opinion.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>
<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="color: black">In our opinion,
the statements of assets and liabilities referred to above present fairly, in all material respects, the combined financial position
of </FONT>ETF Managers Group Commodity Trust I<FONT STYLE="color: black"> and the individual financial position of Sit Rising Rate
ETF as of September 26, 2014, in conformity with accounting principles generally accepted in the United States of America.</FONT></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0">WithumSmith+Brown, P.C.<BR>
New York, NY<BR>
<FONT STYLE="color: black">October 3, 2014</FONT></P>



<!-- Field: Page; Sequence: 84 -->
    <DIV STYLE="margin-bottom: 6pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 12pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">ETF Managers Group Commodity
Trust I</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center; text-indent: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">Combined Statement of Assets and Liabilities</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">September 26, 2014</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom; background-color: rgb(229,255,255)">
    <TD STYLE="font-weight: bold">Assets</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="width: 85%; text-align: left; padding-left: 10pt; padding-bottom: 1px">Cash and Cash Equivalents</TD><TD STYLE="width: 3%; padding-bottom: 1px">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; border-bottom: Black 1px solid">$</TD><TD STYLE="width: 10%; text-align: right; border-bottom: Black 1px solid">1,000</TD><TD STYLE="width: 1%; text-align: left; padding-bottom: 1px">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(229,255,255)">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 3px">Total Assets</TD><TD STYLE="padding-bottom: 3px">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 3px double">$</TD><TD STYLE="text-align: right; border-bottom: Black 3px double">1,000</TD><TD STYLE="text-align: left; padding-bottom: 3px">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="font-weight: bold; text-align: left">Liabilities and Trust Capital</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(229,255,255)">
    <TD STYLE="padding-left: 10pt">Liabilities</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 10pt; padding-bottom: 1px">Trust Capital</TD><TD STYLE="padding-bottom: 1px">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1px solid">$</TD><TD STYLE="text-align: right; border-bottom: Black 1px solid">1,000</TD><TD STYLE="text-align: left; padding-bottom: 1px">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(229,255,255)">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 3px">Total Liabilities and Trust Capital</TD><TD STYLE="padding-bottom: 3px">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 3px double">$</TD><TD STYLE="text-align: right; border-bottom: Black 3px double">1,000</TD><TD STYLE="text-align: left; padding-bottom: 3px">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="font-weight: bold">Shares Outstanding</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
  <TD STYLE="text-align: left"> </TD>
  <TD STYLE="padding-bottom: 3px">&nbsp;</TD>
  <TD STYLE="text-align: left; border-bottom: Black 3px double">&nbsp;</TD>
  <TD STYLE="text-align: right; border-bottom: Black 3px double">&nbsp;</TD>
  <TD STYLE="text-align: left; padding-bottom: 3px">&nbsp;</TD>
</TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(229,255,255)">
    <TD STYLE="text-align: left; padding-left: 10pt; padding-bottom: 3px">The Sit Rising Rate ETF</TD><TD STYLE="padding-bottom: 3px">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 3px double">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 3px double">40</TD><TD STYLE="text-align: left; padding-bottom: 3px">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
  <TD STYLE="text-align: left"> </TD>
  <TD STYLE="padding-bottom: 3px">&nbsp;</TD>
  <TD STYLE="text-align: left; border-bottom: Black 3px double">&nbsp;</TD>
  <TD STYLE="text-align: right; border-bottom: Black 3px double">&nbsp;</TD>
  <TD STYLE="text-align: left; padding-bottom: 3px">&nbsp;</TD>
</TR>
</TABLE>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0">The accompanying notes are an integral part of these financial
statements.</P>

<!-- Field: Page; Sequence: 85 -->
    <DIV STYLE="margin-bottom: 6pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 12pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>
<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">Sit Rising Rate ETF</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">Statement of Assets and
Liabilities</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center; text-indent: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">September 26, 2014</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom; background-color: rgb(229,255,255)">
    <TD STYLE="font-weight: bold">Assets</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="width: 85%; text-align: left; padding-left: 10pt; padding-bottom: 1px">Cash and Cash Equivalents</TD><TD STYLE="width: 3%; padding-bottom: 1px">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; border-bottom: Black 1px solid">$</TD><TD STYLE="width: 10%; text-align: right; border-bottom: Black 1px solid">1,000</TD><TD STYLE="width: 1%; text-align: left; padding-bottom: 1px">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(229,255,255)">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 3px">Total Assets</TD><TD STYLE="padding-bottom: 3px">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 3px double">$</TD><TD STYLE="text-align: right; border-bottom: Black 3px double">1,000</TD><TD STYLE="text-align: left; padding-bottom: 3px">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="font-weight: bold; text-align: left">Liabilities and Fund Capital</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(229,255,255)">
    <TD STYLE="padding-left: 10pt">Liabilities</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 10pt; padding-bottom: 1px">Fund Capital</TD><TD STYLE="padding-bottom: 1px">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1px solid">$</TD><TD STYLE="text-align: right; border-bottom: Black 1px solid">1,000</TD><TD STYLE="text-align: left; padding-bottom: 1px">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(229,255,255)">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 3px">Total Liabilities and Fund Capital</TD><TD STYLE="padding-bottom: 3px">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 3px double">$</TD><TD STYLE="text-align: right; border-bottom: Black 3px double">1,000</TD><TD STYLE="text-align: left; padding-bottom: 3px">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="font-weight: bold; padding-bottom: 1px">Shares Outstanding</TD><TD STYLE="padding-bottom: 1px">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1px solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1px solid">40</TD><TD STYLE="text-align: left; padding-bottom: 1px">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(229,255,255)">
    <TD STYLE="font-weight: bold; padding-bottom: 3px">Net Asset Value Per Share</TD><TD STYLE="padding-bottom: 3px">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 3px double">$</TD><TD STYLE="text-align: right; border-bottom: Black 3px double">25.00</TD><TD STYLE="text-align: left; padding-bottom: 3px">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0">The accompanying notes are an integral part of these financial
statements.</P>

<!-- Field: Page; Sequence: 86 -->
    <DIV STYLE="margin-bottom: 6pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 12pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">ETF Managers Group Commodity Trust I</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>
<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">Sit Rising Rate ETF</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">Notes to Financial Statements</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">September 26, 2014</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 18pt"></TD><TD STYLE="width: 18pt"><B>(1)</B></TD><TD><B>Organization</B></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>
<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 36pt">ETF Managers Group Commodity Trust I (the &ldquo;Trust&rdquo;)
is a Delaware statutory trust formed on July 23, 2014 as a series trust. The Trust currently consists of a sole series, the Sit
Rising Rate ETF (the &ldquo;Fund&rdquo;) that has not yet commenced operations. The Fund will issue common units of beneficial interest (the &ldquo;Shares&rdquo;)
which represent units of fractional undivided beneficial interest in and ownership of the Fund.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 36pt">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 36pt">ETF Managers Capital LLC, a Delaware limited liability
corporation (the &ldquo;Sponsor&rdquo; and &ldquo;Managing Owner&rdquo;) will serve as the commodity pool operator of the Fund.
Sit Fixed Income Advisors II, LLC (&ldquo;Sit&rdquo;) has applied for registration as a &ldquo;commodity trading advisor&rdquo;
(&ldquo;CTA&rdquo;) with the Commodity Futures Trading Commission (&ldquo;CFTC&rdquo;) and will act as such for the Fund.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 36pt">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 36pt">The only capital contributed as of September 26, 2014
is a capital contribution of $1,000 to the Fund by the Managing Owner whereby 40 shares were issued to the Managing Owner for a
capital contribution. From July 23, 2014 through September 26, 2014, the Fund and the Trust had no other activities other than
those related to their formations.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 36pt">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 36pt">The Fund&rsquo;s investment objective is to profit from
rising interest rates by maintaining a portfolio with a benchmark equal to a targeted negative 10 year average effective duration,
which is principally established and maintained using exchange traded futures and options on futures on 2, 5, and 10-year U.S.
Treasury securities. The Fund will not use futures contracts or options to obtain leveraged investment results. The Fund&rsquo;s
assets will consist primarily of exchange traded futures and options on futures on U.S. Treasury securities, including deposits
with its Futures Commission Merchant held as collateral, U.S. Treasury securities, cash and other cash equivalents. U.S. Treasury
securities are debt obligations issued by the United States Department of the Treasury and include Treasury bills, Treasury notes,
and Treasury bonds (&ldquo;U.S. Treasuries&rdquo;).</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 36pt">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 36pt">The Fund will principally invest in exchange traded
futures and options on futures on 2, 5 and 10-year U.S. Treasuries. The Fund may also invest in over-the-counter swaps and other
derivative instruments involving U.S. Treasuries. These exchange traded futures, options on futures, and over-the-counter swaps
and other derivative instruments are collectively referred to as &ldquo;Treasury Instruments&rdquo;.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 36pt">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 36pt">The Fund will invest in a portfolio of Treasury Instruments
with the intention of tracking a benchmark equal to a negative effective duration of approximately 10 years. The Fund will establish
and maintain a net short position on Treasury Instruments on 2, 5, and 10 year Treasuries. There will normally be substantially
more net short exposure than net long exposure. The mix of positions will depend on market conditions and will require periodic
rebalancing.</P>

<!-- Field: Page; Sequence: 87 -->
    <DIV STYLE="margin-bottom: 6pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 12pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 36pt">The Fund qualifies as an &ldquo;emerging growth company&rdquo;
as defined under the Jumpstart Our Business Startups Act of 2012.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 36pt">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 36pt">The term of the Trust and the Fund is perpetual (unless
terminated in certain circumstances as described in the Prospectus.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 36pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 18pt"></TD><TD STYLE="width: 18pt"><B>(2)</B></TD><TD><B>Summary of Significant Accounting Policies</B></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 36pt">The following is a summary of significant accounting
policies followed by the Trust and Fund.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 36pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 72pt"></TD><TD STYLE="width: 18pt"><B><I>(a)</I></B></TD><TD><B><I>Basis of Presentation</I></B></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 90pt">Pursuant to rules and regulations of the U.S. Securities
and Exchange Commission (&ldquo;SEC&rdquo;), audited financial statements are presented for the Trust as a whole, as the SEC registrant
and the Fund individually. The liabilities and expenses incurred, contracted for or otherwise existing with respect to each series
of the Trust shall be enforceable only against the assets of each series of the Trust and not against the assets of the Trust generally
or any other series.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 90pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 72pt"></TD><TD STYLE="width: 18pt"><B><I>(b)</I></B></TD><TD><B><I>Use of Estimates</I></B></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 90pt">The preparation of the accompanying financial statements
in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect
the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial
statements. Actual results could differ from those estimates.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 90pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 72pt"></TD><TD STYLE="width: 18pt"><B><I>(c)</I></B></TD><TD><B><I>Cash and Cash Equivalents</I></B></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 90pt">The Trust and the Fund define cash and cash equivalents
to be highly liquid investments, with original maturities of three months or less.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 90pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 72pt"></TD><TD STYLE="width: 18pt"><B><I>(d)</I></B></TD><TD><B><I>Income Taxes</I></B></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 90pt">The Fund will be classified as a partnership for United
States federal income tax purposes, and treated as a separate entity from any other series of the Trust for U.S. federal income
tax purposes. Accordingly, the Fund will not incur United States federal income taxes. No provision for federal, state, and local
income taxes has been made in the accompanying Statements of Assets and Liabilities, as shareholders are individually responsible
for their own income taxes, if any, on their allocable share of the Fund&rsquo;s income, gain, loss, deductions and other items.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 90pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 72pt"></TD><TD STYLE="width: 18pt"><B><I>(e)</I></B></TD><TD><B><I>Related Party Transactions</I></B></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 90pt">The Fund will pay the Managing Owner a management fee,
monthly in arrears, in an amount equal to 0.50% per annum of the daily net asset value of the Fund (the &ldquo;Management Fee&rdquo;).
The Management Fee will be paid in consideration of the</P>

<!-- Field: Page; Sequence: 88 -->
    <DIV STYLE="margin-bottom: 6pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 12pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 90pt">Managing Owner&rsquo;s advisory services to the Fund.
From the Management Fee, the Managing Owner will be responsible for paying any license fee relating to the index tracked by the
Fund.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 90pt">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 90pt">The Managing Owner will contractually agree to waive
the Management Fee and/or reimburse the Fund for its Other Expenses (which term excludes brokerage fees, interest expense, and
extraordinary expenses) to cap Total Expenses at 1.50% per annum through February 1, 2016.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 90pt">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 90pt">Expenses incurred in connection with organizing the
Fund and the offering of the Shares upon commencement of its trading operations will be paid by Exchange Traded Managers Group
LLC, the parent and sole owner of the Managing Owner. Expenses incurred in connection with the continuous offering of Shares of
the Fund after the commencement of its trading operations will be paid by the Fund.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 90pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 18pt"></TD><TD STYLE="width: 18pt"><B>(3)</B></TD><TD><B>The Offering of the Shares</B></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 36pt">The Shares of the Fund are offered on a continuous basis
pursuant to Rule 415 under the Securities Act of 1933. Shares may be purchase from the Fund only by certain eligible financial
institutions (the &ldquo;Authorized Participants&rdquo;), and only in one or more blocks of 25,000 Shares, each called a Basket,
although the initial Basket(s) will be purchased by an initial purchaser at $25 per Share ($625,000 per Basket). After the commencement
of investment operations, the Fund will issue Shares in Baskets only to Authorized Participants continuously as of 12:00 p.m. New
York time, on the third business day immediately following the date on which a valid order to create a Basket is accepted by the
Fund, at the net asset value of 25,000 Shares as of the closing time or NYSE Arca (&ldquo;NYSE Arca&rdquo;) on the date that a
valid order to create a Basket is accepted by the Fund. An Authorized Participant will be required to pay a transaction fee of
$500 per order to create or redeem one or more Baskets which will go to the Fund and will be recorded as other income.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 36pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 18pt"></TD><TD STYLE="width: 18pt"><B>(4)</B></TD><TD><B>Fees and Expenses</B></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt"></TD><TD STYLE="width: 18pt"><B><I>(a)</I></B></TD><TD><B><I>Organization and Offering Expenses</I></B></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 54pt">Expenses incurred in connection with organizing the
Fund and expenses incurred up to the offering of its Shares upon commencement of its trading operations will be paid by Exchange
Traded Managers Group LLC, the parent and the sole owner of the Managing Owner.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 54pt">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 54pt">Expenses incurred in connection with the continuous
offering of Shares of the Fund after the commencement of its trading operations will be paid by the Fund. These costs include registration
fees paid to regulatory agencies and all legal, accounting, printing and other expenses associated therewith. These costs will
be accounted for as a deferred charge and thereafter amortized to expense over twelve months on a straight-line basis or a shorter
period if warranted.</P>

<!-- Field: Page; Sequence: 89 -->
    <DIV STYLE="margin-bottom: 6pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 12pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt"></TD><TD STYLE="width: 18pt"><B><I>(b)</I></B></TD><TD><B><I>Management Fee</I></B></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 54pt">The Fund will pay the Managing Owner the Management
Fee as described in Note 2(e) above. The Management Fee will be paid in consideration of the Managing Owner&rsquo;s advisory services.
From the Management Fee, the Managing Owner will be responsible for paying any license fee relating to the index tracked by the
Fund.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 54pt">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 54pt">The Managing Owner will contractually agree to waive
the Management Fee and/or reimburse the Fund for its Other Expenses (which term excludes brokerage fees, interest expense, and
extraordinary expenses) to cap Total Expenses at 1.50% per annum through February 1, 2016.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 54pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt"></TD><TD STYLE="width: 18pt"><B><I>(c)</I></B></TD><TD><B><I>Brokerage Commissions and Fees</I></B></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 54pt">The Fund will pay to its commodity broker all brokerage
commissions and fees charged in connection with its trading activities. The Sponsor does not expect brokerage commissions and fees
paid for execution and clearing services on behalf of the Fund to exceed 0.027% of the net asset value of the Fund in any year,
although the actual amount of brokerage commissions and fees in any year or any part of any year may be greater. For the period
July 23, 2014 through September 26, 2014 the Fund incurred no brokerage commissions or fees.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 54pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt"></TD><TD STYLE="width: 18pt"><B><I>(d)</I></B></TD><TD><B><I>The Fund&rsquo;s Fees and Other Expenses</I></B></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 54pt">The Fund will pay all of the routine offering, operational,
administrative and other ordinary expenses of the Fund, including, but not limited to Custody, Fund Accounting, Transfer Agent
and Distributor, legal and auditing fees and expenses, tax preparation expenses, filing fees, and printing, mailing and distribution
costs. Such routine expenses are not expected to exceed 1.00% of the net asset value of the Fund in any year, although the actual
amount of routine offering, operational, administrative and other ordinary expenses in any year or any part of any year may be
greater. For the period July 23, 2014 through September 26, 2014 the Fund incurred no routine offering, operational, administrative
and other ordinary expenses.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 54pt">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 54pt">The Managing Owner will contractually agree to waive
the Management Fee and/or reimburse the Fund for its Other Expenses (which term excludes brokerage fees, interest expense, and
extraordinary expenses) to cap Total Expenses at 1.50% per annum through February 1, 2016.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 54pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 36pt"></TD><TD STYLE="width: 18pt"><B><I>(e)</I></B></TD><TD><B><I>Extraordinary Fees and Expenses</I></B></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 54pt">The Fund will pay all of its extraordinary fees and
expenses, if any. Extraordinary fees and expenses are fees and expenses which are non-recurring and unusual in nature, such as
legal claims and liabilities, litigation costs or indemnification or other unanticipated expenses. For the period July 23, 2014
through September 26, 2014 the Fund incurred no extraordinary fees or expenses.</P>

<!-- Field: Page; Sequence: 90 -->
    <DIV STYLE="margin-bottom: 6pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 12pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 18pt"></TD><TD STYLE="width: 18pt"><B><I>(5)</I></B></TD><TD><B><I>Redemptions</I></B></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 36pt">On any business day, an Authorized Participant may place
an order with the Distributor to redeem one or more Baskets. Redemption orders must be placed by no later than 12:00 p.m. New York
time or the close of regular trading on the NYSE Arca, whichever is earlier. A Redemption order so received will be effective on
the date it is received in satisfactory form by the Distributor. Redemption orders are irrevocable. The redemption procedures allow
Authorized Participants to redeem Baskets. Individual Shareholders may not redeem directly from the Fund. Instead, individual Shareholders
may only redeem Shares in integral multiples of 25,000 and only through an Authorized Participant.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 36pt">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 36pt">By placing a Redemption order, an Authorized Participant
agrees to deliver the Redemption Baskets to be redeemed through the Depository Trust Company&rsquo;s (&ldquo;DTC&rdquo;) book entry
system to the Fund not later than 3 p.m. New York time on the third business day following the effective date of the Redemption
order. Prior to receipt of the redemption proceeds, an Authorized Participant&rsquo;s DTC account will be charged the $500 transaction
fee due for the redemption order.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 36pt">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 36pt">The redemption proceeds from the Fund will consist of
a transfer to the redeeming Authorized Participant of an amount of U.S. Treasuries and/or cash that is in the proportion to the
total assets of the Fund (net of accrued but unpaid fees, expenses and other liabilities) on the date the order to redeem is properly
received as the number of Shares to be redeemed under the redemption order is in proportion to the total number of Shares outstanding
on the date the order is received. The Managing Owner, directly or in consultation with the Administrator, determines the requirements
for U.S. Treasuries and the amounts of cash, including the maximum permitted remaining maturity of a Treasury, and the proportions
of U.S. Treasuries and cash that may be included in distributions to redeem Baskets.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 36pt">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 36pt">The redemption distribution due from the Fund will be
delivered to the Authorized Participant by 3:00 p.m. New York time on the third business day following the redemption order date
if, by 3:00 p.m. New York time on such third business day, the Fund&rsquo;s DTC account has been credited with the Baskets to be
redeemed. If the Fund&rsquo;s DTC account has not been credited with all of the Baskets to be redeemed by such time, the Redemption
distribution will be delivered to the extent whole Baskets received. Any remainder of the Redemption distribution will be delivered
on the next business day to the extent of remaining whole Baskets received if the Fund receives the fee applicable to the extension
of the Redemption distribution date which the Sponsor may from time to time, determine and the remaining Baskets to be redeemed
are credited to the Fund&rsquo;s DTC account by 3:00 p.m. New York time on such next business day. Any further outstanding amount
of the Redemption order shall be cancelled. Pursuant to information from the Managing Owner, the Custodian will also be authorized
to deliver the redemption distribution notwithstanding that the Baskets to be redeemed are not credited to the Fund&rsquo;s DTC
account by 3:00 p.m. New York time on the third business day following the Redemption order date if the Authorized Participant
has collateralized its obligation to deliver the Baskets through DTC&rsquo;s book-entry system on such terms as the Sponsor may
from time to time determine.</P>

<!-- Field: Page; Sequence: 91 -->
    <DIV STYLE="margin-bottom: 6pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 12pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 18pt"></TD><TD STYLE="width: 18pt"><B>(6)</B></TD><TD><B>Subsequent Events</B></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 18pt">The Trust and the Fund have evaluated the need for disclosures
and/or adjustments resulting from subsequent events through the date the financial statements were issued. This evaluation did
not result in any subsequent events that necessitated disclosures and/or adjustments.</P>



<!-- Field: Page; Sequence: 92 -->
    <DIV STYLE="margin-bottom: 6pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 12pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: center"><B>Report of Independent Registered Public Accounting
Firm</B></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify">To the Board of Trustees of ETF Managers Capital
LLC</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify">We have audited the accompanying statement of
financial condition of ETF Managers Capital LLC (the &ldquo;Company&rdquo;) as of September 26, 2014 and the related statements
of changes in member&rsquo;s capital and cash flows for the period from June 12, 2014 (inception) to September 26, 2014. These
financial statements are the responsibility of the Company&rsquo;s management. Our responsibility is to express an opinion on these
financial statements based on our audit.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify">We conducted our audits in accordance with the
standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the
audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting
principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify">In our opinion, the financial statement referred
to above present fairly, in all material respects, the financial position of ETF Managers Capital LLC as of September 26, 2014
and changes in its member&rsquo;s capital and its cash flows for the period June 12, 2014 (inception) to September 26, 2014, in
conformity with accounting principles generally accepted in the United States of America.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify">WithumSmith+Brown, P.C.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify">New York, NY</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify">October 3, 2014</P>





<!-- Field: Page; Sequence: 93 -->
    <DIV STYLE="margin-bottom: 6pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 12pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">ETF MANAGERS CAPITAL LLC</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">Statement of Financial Condition</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">September 26, 2014</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom; background-color: rgb(229,255,255)">
    <TD STYLE="font-weight: bold">ASSETS</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="width: 85%; text-align: left">Cash and Cash Equivalents</TD><TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 10%; text-align: right">1,000</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"> </TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(229,255,255)">
    <TD STYLE="text-align: left; padding-bottom: 1px">Investment in Sit Rising Rate ETF</TD><TD STYLE="padding-bottom: 1px">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">1,000</TD><TD STYLE="padding-bottom: 1px; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"> </TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 3px; padding-left: 10pt">Total Assets</TD><TD STYLE="padding-bottom: 3px">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 3px double; text-align: left">$</TD><TD STYLE="border-bottom: Black 3px double; text-align: right">2,000</TD><TD STYLE="padding-bottom: 3px; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(229,255,255)">
    <TD STYLE="font-weight: bold; text-align: left">LIABILITIES AND MEMBER&rsquo;S CAPITAL</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="font-weight: bold">LIABILITIES</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(229,255,255)">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 1px">MEMBER&rsquo;S CAPITAL:</TD><TD STYLE="padding-bottom: 1px">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">2,000</TD><TD STYLE="padding-bottom: 1px; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1px; padding-left: 10pt">Total Member&rsquo;s Capital</TD><TD STYLE="padding-bottom: 1px">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">2,000</TD><TD STYLE="padding-bottom: 1px; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(229,255,255)">
    <TD STYLE="text-align: left; padding-bottom: 3px; padding-left: 10pt">Total Liabilities and Member&rsquo;s Capital</TD><TD STYLE="padding-bottom: 3px">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 3px double; text-align: left">$</TD><TD STYLE="border-bottom: Black 3px double; text-align: right">2,000</TD><TD STYLE="padding-bottom: 3px; text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0">The accompanying notes are an integral part of these financial
statements.</P>

<!-- Field: Page; Sequence: 94 -->
    <DIV STYLE="margin-bottom: 6pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 12pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">ETF MANAGERS CAPITAL LLC</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">Statement of Changes in Member&rsquo;s Capital</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">Period from June 12, 2014 (inception) to
September 26, 2014</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom; background-color: rgb(229,255,255)">
    <TD STYLE="font-weight: bold">Member&rsquo;s Capital, June 12, 2014 (inception)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="width: 85%; text-align: left; padding-bottom: 1px">Capital contribution from ETF Managers Group LLC</TD><TD STYLE="width: 3%; padding-bottom: 1px">&nbsp;</TD>
    <TD STYLE="width: 1%; border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="width: 10%; border-bottom: Black 1px solid; text-align: right">2,000</TD><TD STYLE="width: 1%; padding-bottom: 1px; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(229,255,255)">
    <TD STYLE="font-weight: bold; padding-bottom: 3px">Member&rsquo;s Capital, September 26, 2014</TD><TD STYLE="padding-bottom: 3px">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 3px double; text-align: left">$</TD><TD STYLE="border-bottom: Black 3px double; text-align: right">2,000</TD><TD STYLE="padding-bottom: 3px; text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0">The accompanying notes are an integral part of these financial
statements.</P>

<!-- Field: Page; Sequence: 95 -->
    <DIV STYLE="margin-bottom: 6pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 12pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">ETF MANAGERS CAPITAL LLC</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">Statement of Cash Flows</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">Period from June 12, 2014 (inception) to
September 26, 2014</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom; background-color: rgb(229,255,255)">
    <TD STYLE="text-align: left; padding-left: 10pt; text-indent: -10pt">Cash flows from investing activities:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
  <TD STYLE="width: 85%; text-align: left"> </TD>
  <TD STYLE="width: 3%; padding-bottom: 1px">&nbsp;</TD>
  <TD STYLE="width: 1%; border-bottom: Black 1px solid; text-align: left">&nbsp;</TD>
  <TD STYLE="width: 10%; border-bottom: Black 1px solid; text-align: right">&nbsp;</TD>
  <TD STYLE="width: 1%; padding-bottom: 1px; text-align: left">&nbsp;</TD>
</TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="width: 85%; text-align: left; padding-bottom: 1px; padding-left: 20pt; text-indent: -10pt">Contribution for investment in Sit Rising Rate ETF</TD><TD STYLE="width: 3%; padding-bottom: 1px">&nbsp;</TD>
    <TD STYLE="width: 1%; border-bottom: Black 1px solid; text-align: left">$</TD><TD STYLE="width: 10%; border-bottom: Black 1px solid; text-align: right">(1,000</TD><TD STYLE="width: 1%; padding-bottom: 1px; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD> </TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(229,255,255)">
    <TD STYLE="text-align: left; padding-bottom: 3px; padding-left: 30pt; text-indent: -10pt">Net cash used in investing activities</TD><TD STYLE="padding-bottom: 3px">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 3px double; text-align: left">$</TD><TD STYLE="border-bottom: Black 3px double; text-align: right">(1,000</TD><TD STYLE="padding-bottom: 3px; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 10pt; text-indent: -10pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 10pt; text-indent: -10pt">Cash flows from financing activities:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 10pt; text-indent: -10pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(229,255,255)">
    <TD STYLE="text-align: left; padding-bottom: 1px; padding-left: 20pt; text-indent: -10pt">Capital contribution from ETF Managers Group LLC</TD><TD STYLE="padding-bottom: 1px">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">2,000</TD><TD STYLE="padding-bottom: 1px; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 10pt; text-indent: -10pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1px; padding-left: 30pt; text-indent: -10pt">Net cash provided by investing activities</TD><TD STYLE="padding-bottom: 1px">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">2,000</TD><TD STYLE="padding-bottom: 1px; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 10pt; text-indent: -10pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(229,255,255)">
    <TD STYLE="text-align: left; padding-left: 30pt; text-indent: -10pt">Net change in cash and cash equivalents</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,000</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 10pt; text-indent: -10pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-bottom: 1px; padding-left: 10pt; text-indent: -10pt">Cash at June 12, 2014 (inception)</TD><TD STYLE="padding-bottom: 1px">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="padding-bottom: 1px; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 10pt; text-indent: -10pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(229,255,255)">
    <TD STYLE="padding-bottom: 3px; padding-left: 10pt; text-indent: -10pt">Cash at September 26, 2014</TD><TD STYLE="padding-bottom: 3px">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 3px double; text-align: left">$</TD><TD STYLE="border-bottom: Black 3px double; text-align: right">1,000</TD><TD STYLE="padding-bottom: 3px; text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0">The accompanying notes are an integral part of these financial
statements.</P>

<!-- Field: Page; Sequence: 96 -->
    <DIV STYLE="margin-bottom: 6pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 12pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">ETF MANAGERS CAPITAL LLC</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">Notes to Financial Statements</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">September 26, 2014</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif"><B>(1)</B></FONT></TD><TD><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif"><B>Organization and Basis of Presentation</B></FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>
<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 0.5in">ETF Managers Capital LLC (the &ldquo;Company&rdquo;),
a Delaware limited liability company, was formed on June 12, 2014 and is a wholly-owned subsidiary of Exchange Traded Managers
Group LLC (&ldquo;ETFMG&rdquo;). The Company has applied for registration with the Commodity Futures Trading Commission as a commodity
pool operator (&ldquo;CPO&rdquo;) and has applied for membership with the National Futures Association (&ldquo;NFA&rdquo;). The
Company serves as the Sponsor and Managing Owner of ETF Managers Group Commodity Trust I (the &ldquo;Trust&rdquo;) a Delaware series
trust, of which the Sit Rising Rate ETF (the &ldquo;Fund&rdquo;) is currently the sole series of the Trust. Sit Fixed Income Advisors
II, LLC (&ldquo;Sit&rdquo;) has applied for registration as a &ldquo;commodity trading advisor&rdquo; (&ldquo;CTA&rdquo;) and will
act as such for the Fund.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"> </P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 0.5in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif"><B>(2)</B></FONT></TD><TD><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif"><B>Summary of Significant Accounting Policies</B></FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.5in"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif"><B><I>(a)</I></B></FONT></TD><TD><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif"><B><I>Basis of Accounting</I></B></FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 0.75in">The accompanying financial statements have been prepared
in conformity with accounting principles generally accepted in the United States of America. As the Company does not have any revenues
or expenses during the period from June 12, 2014 (inception) to September 26, 2014, a statement of operations is not presented
herein.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 0.75in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.5in"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif"><B><I>(b)</I></B></FONT></TD><TD><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif"><B><I>Use of Estimates</I></B></FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 0.75in">The preparation of the financial statements in conformity
with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions
that affect the reported amounts of assets and liabilities and revenues and expenses and disclosure of contingent assets and liabilities
during the reporting period of the financial statements. Actual results could differ from those estimates.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 0.75in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.5in"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif"><B><I>(c)</I></B></FONT></TD><TD><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif"><B><I>Cash and cash equivalents</I></B></FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 0.75in">The Company defines cash and cash equivalents to be
highly liquid investments, with original maturities of three months or less.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 0.75in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.5in"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif"><B><I>(d)</I></B></FONT></TD><TD><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif"><B><I>Income Taxes</I></B></FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 0.75in">As the Company does not have any revenues or expenses
during the period from June 12, 2014 (inception) to September 26, 2014 no provision for United States federal or state income taxes
has been made. The Company is a single member limited liability company.</P>


<!-- Field: Page; Sequence: 97 -->
    <DIV STYLE="margin-bottom: 6pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 12pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 10pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 100%"><PAGE></PAGE></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.5in"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif"><B><I>(e)</I></B></FONT></TD><TD><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif"><B><I>Related Party Transactions</I></B></FONT></TD></TR></TABLE>


<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 0.75in">The Fund will pay the Company a management fee, monthly
in arrears, in an amount equal to 0.50% per annum of the daily net asset value of the Fund (the &ldquo;Management Fee&rdquo;).
The Management Fee will be paid in consideration of the Company&rsquo;s advisory services to the Fund. From the Management Fee,
The Company will be responsible for paying any license fee relating to the index tracked by the Fund.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 0.75in">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 0.75in">The Company will contractually agree to waive the
Management Fee and/or reimburse the Fund for its Other Expenses (which term excludes brokerage fees, interest expense, and extraordinary
expenses) to cap Total Expenses at 1.50% per annum through February 1, 2016.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 0.75in">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 0.75in">Expenses incurred in connection with organizing the
Fund and the offering of the Shares upon commencement of its trading operations will be paid by ETFMG, the parent and sole owner
of the Company. Expenses incurred in connection with the continuous offering of Shares of the Fund after the commencement of its
trading operations will be paid by the Fund.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 0.75in">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 0.75in">The Company has subscribed for 40 Shares or Units
of the Fund in exchange for a capital contribution of $1,000 to the Fund. Units are a separate class of units of beneficial interest
of the Fund that are issued to the Sponsor in exchange for its capital contribution to the Fund and represent units of fractional
undivided beneficial interest in and ownership of the Fund.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 0.75in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif"><B><I>(3)</I></B></FONT></TD><TD><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif"><B><I>Subsequent Events</I></B></FONT></TD></TR></TABLE>

<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 0.5in">The Company evaluated the need for disclosures and/or
adjustments resulting from subsequent events through the date the financial statements were available to be issued. This evaluation
did not result in any subsequent events that necessitated disclosures and/or adjustments.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0 0pt 0.5in">&nbsp;</P>



<!-- Field: Page; Sequence: 97 -->
    <DIV STYLE="margin-bottom: 6pt; border-bottom: Silver 4px solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 12pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

</BODY>
</HTML>
</TEXT>
</DOCUMENT>
</SEC-DOCUMENT>
