The Fund is an actively managed exchange-traded fund (“ETF”) that seeks to achieve its investment objective by delivering participation in the price return of a U.S. mega cap equity market index, while seeking to provide a measure of downside protection through a flexible, options-based investment strategy. The Fund does so through synthetic net long exposure in the underlying asset class(es) through call options that seek to provide limited participation in increases and decreases in the price returns of the underlying securities. The Fund’s portfolio securities are selected by the Fund’s sub-adviser, VistaShares Advisors LLC (the “Sub-Adviser”).

The Fund employs a flexible outcome strategy designed to provide investors with equity market exposure while incorporating a dynamic downside risk management overlay. Unlike traditional defined outcome strategies that seek to produce pre-determined outcomes over a fixed period, the Fund’s strategy is continuous and adaptive and does not rely on a single, fixed outcome period to achieve its investment objective.

Under normal market conditions, the Fund will invest at least 80% of its net assets (plus any borrowings for investment purposes) in investments that provide exposure to the performance of the Nasdaq-100 Index (the “Index”), including investments that reference an underlying exchange-traded fund (the “Underlying ETF”). Initially, the Fund expects to obtain such exposure through the Invesco QQQ ETF (“QQQ”). The Sub-Adviser may select a different Underlying ETF over time if it determines that the other ETF would provide substantially similar exposure to the large-cap U.S. equity market represented by the Index and would be appropriate for implementing the Fund’s options strategy.

The Fund seeks to provide investors with:

To implement its investment strategy, the Fund utilizes a combination of:

Equity Exposure

The Fund obtains core exposure to the Underlying ETF either through direct investment or through derivative instruments designed to replicate such exposure. This component serves as the primary driver of returns and is intended to provide participation in the Underlying ETF’s price movements, before fees and expenses.

Options Overlay Strategy

The Fund invests in FLexible EXchange® Options (“FLEX Options”) and/or standard exchange-traded options that reference the Underlying ETF. Standardized exchange-traded options include standardized terms. FLEX Options are also exchange-traded, but they allow for customizable terms (e.g., the strike price can be negotiated). FLEX Options are guaranteed for settlement by the Options Clearing Corporation (“OCC”), a market clearinghouse that guarantees performance by counterparties to certain derivatives contracts.

The Fund uses a combination of purchased and sold call and put option contracts to construct a layered portfolio designed to achieve its investment objective.

The Adviser and Sub-Adviser will determine the appropriate mix, strike prices, and maturities of options based on factors including market volatility, interest rates, and the cost of protection.

Downside Protection Characteristics

The Fund seeks to provide a measure of downside protection, which may take one or more of the following forms:

Rolling and Laddered Structure

The Fund maintains a continuously managed portfolio of options positions with the same and/or staggered maturities. Because the Fund does not reset its strategy at the end of a defined outcome period, investors are not required to hold Shares for a specific duration to pursue the Fund’s investment objective.

Fund Rebalance

The Fund is a continuous investment vehicle and does not terminate or reset at predetermined intervals. The Fund generally rebalances options positions monthly as they approach expiration. At each rebalance, the Fund sells out-of-the-money put options and uses the premiums received, together with interest earned on its cash investments, to purchase approximately one-month, at-the-money call options on the Underlying ETF.

The Fund does not target a fixed percentage of upside exposure. Instead, the Fund seeks the amount of upside exposure that can be obtained with the option premiums and interest income available for that purpose. The number of call options purchased, and therefore the Fund’s resulting upside exposure, will vary based on the income available and prevailing call-option prices.

Collateral

In addition, the Fund will hold cash and/or short-term U.S. Treasury securities as for the Fund’s derivatives transactions.

Index Overview

The Nasdaq 100® Index is a widely recognized benchmark index that tracks the performance of 100 of the largest non-financial companies listed on the Nasdaq Stock Market, based on market capitalizations. This makes it a large-cap index, meaning its constituents have a high market value, often in the billions of dollars.

The Index includes companies from various industries but is heavily weighted towards the technology sector. This reflects the Nasdaq’s historic strength as a listed venue for tech companies. Other sectors represented include consumer discretionary, health care, communication services, and industrials, among others.

In terms of volatility, like all stock indices, the Index experiences daily price movements and can be significantly volatile at times. This is often drive by macroeconomic factors, market sentiment, and financial results or news from its large constituents. Historical periods of significant volatility include the dot-com bubble burst around 2000 and the global financial crisis of 2007-2008, among other events. However, the specific degree of volatility can vary and is subject to change based on market conditions.

None of the Fund, the Trust, the Adviser, the Sub-Adviser or their respective affiliates make any representation to you as to the performance of the Index.

THE FUND, TRUST, ADVISER, AND SUB-ADVISER ARE NOT AFFILIATED WITH, NOR ENDORSED BY, THE INDEX.