Form 497 SHP ETF Trust – StreetInsider.com

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PROSPECTUS

August
30, 2022

NEOS
S&P 500® High Income ETF (SPYI)

Principal
U.S. Listing Exchange for the Fund: Cboe BZX Exchange, Inc.

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

Table
of Contents

Summary
Information — NEOS S&P 500® High Income ETF

Investment
Objective

The
NEOS S&P 500® High Income ETF (the “Fund”) seeks to generate high monthly income in a tax efficient manner
with the potential for equity appreciation in rising markets.

Fund
Fees and Expenses

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

Shareholder
Fees (fees paid directly from your )

None

Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment)
Management Fee	0.68%
Distribution and/or Service (12b-1) Fees	None
Other Expenses⁽¹⁾	0.00%
Acquired Fund Fees and Expenses⁽²⁾	0.00%
Total Annual Fund Operating Expenses	0.68%

Example

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

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

Year	Expenses
1	$69

3	$218

Portfolio
Turnover

The
Fund pays transaction costs, such as commissions, when it purchases and sells securities (or “turns over” its portfolio).
A higher portfolio turnover rate may result in higher transaction costs and higher taxes when Shares are held in a taxable account.
These costs, which are not reflected in Annual Fund Operating Expenses table or in the Example above, may affect the Fund’s
performance. The Fund’s portfolio turnover rate is only shown once the Fund has completed its first fiscal period of operations.

Principal
Investment Strategies of the Fund

The
Fund is an actively-managed exchange-traded fund (“ETF”) that seeks to achieve its investment objective by investing
in a portfolio of stocks that make up the S&P 500® Index (the “S&P 500®” or the “Reference Index”)
and a call options strategy, which consists of a mix of written (sold) call options and long (bought) call options on the S&P
500® Index (“SPX call options”). Under certain circumstances, the call options strategy may include transactions
with covered call options. The Fund seeks to generate high income from the premiums earned from the SPX call options as well as
the dividends received from the Fund’s equity holdings. The SPX call options seeks to generate a net-credit, meaning that
the premium received from the sale of the call options will be greater than the cost of buying the long, out-of-the-money SPX
call options. The SPX options strategy is intended to generate high monthly income in a tax efficient manner, with the potential
for upside participation when the underlying equity index appreciates. The Fund seeks tax efficient returns by utilizing index
options that receive favorable tax treatment under Internal Revenue Code rules because they qualify as “Section 1256 Contracts.”
Under these rules, each section 1256 contract held by the Fund at year end is treated as if it were sold at fair market value
on the last business day of the tax year. If the Section 1256 contracts produce capital gain or loss, gains or losses on the Section
1256 contracts open at the end of the year, or terminated during the year, are treated as 60% long term and 40% short term, regardless
of how long the contracts were held. In addition, the Fund may seek to take advantage of tax loss harvesting opportunities by
taking investment losses from certain equity and/or options positions to offset realized taxable gains of equities and/or options.
Opportunistically, the Fund may seek to take advantage of tax loss harvesting opportunities on the SPX call options and/or equity
positions.

The
S&P 500® is a market capitalization weighted index comprised of the securities of approximately 500 leading U.S.-listed
companies representing approximately 80% of the U.S. equity market capitalization. The Fund will concentrate its investments (i.e.,
hold more than 25% of its total assets) in a particular industry or group of industries to approximately the same extent that
the Reference Index concentrates in an industry or group of industries.

The
Fund, while not an index fund, will generally use a “replication” strategy to invest in the S&P 500®, meaning
the Fund will generally invest in all of the component securities of the S&P 500® in the same approximate proportions
as in the S&P 500®. However, the Fund may use a “representative sampling” strategy, meaning it may invest
in a sample of the securities in the S&P 500® whose risk, return, and other characteristics closely resemble the risk,
return, and other characteristics of the S&P 500® as a whole, when NEOS Investment Management, LLC, the Fund’s investment
adviser (the “Adviser”), believes it is in the best interests of the Fund (e.g., when replicating the S&P
500® involves practical difficulties or substantial costs, a S&P 500® constituent becomes temporarily illiquid, unavailable,
or less liquid, or as a result of legal restrictions or limitations that apply to the Fund but not to the S&P 500®).

The
Adviser may actively manage the written and purchased call options prior to expiration to potentially capture gains and minimize
losses due to the movement of the S&P 500® Index.

The
Fund’s options strategy typically consists of at least two components: (i) written (sold) call options on the S&P 500®
on up to 100% of the value of the equity securities held by the Fund to generate premium from such options, and (ii) using a portion
of the premium received to buy out-of-the-money call options on the same Reference Index to provide the potential for upside equity
participation when the underlying index appreciates.

The
Fund expects the total value of the written call options and the total value of the purchase call options to each be up to 100%
of the Fund’s net assets. The Fund will use a portion of the premium received from writing call options to purchase out-of-the-money
call options. Call options written by the Fund will typically have a strike price that is close to the current price of the reference
asset, and call options purchased by the Fund will typically have a strike price that is higher than the current price of the
Reference Index asset.

The
Fund focuses primarily on SPX call options which offer both European settlement (i.e., options can only be exercised at their
expiration date) and cash settlement (i.e., options carry an obligation by their seller to pay the difference between their strike
price and their settlement value instead of allowing the seller to take delivery of securities).

The
Fund may engage in active and frequent trading of portfolio securities in implementing its principal investment strategies.

The
Fund is considered to be diversified. Additionally, the Fund’s investment strategies may involve active and frequent trading
resulting in high portfolio turnover.

Under
normal circumstances, at least 80% of the Fund’s net assets, plus borrowings for investment purposes, will be invested in
securities, or derivative instruments linked to securities, of companies that are included in the Fund’s Reference Index.
For purposes of the 80% policy, the value of such derivative instruments shall be determined on a daily mark-to-market basis.

Principal
Risks of Investing in the Fund

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

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

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

Concentration
Risk. The Fund may invest in up to 100% of the constituents of the S&P 500®, which itself may have concentration
in certain regions, economies, countries, markets, industries or sectors. The Fund may be susceptible to an increased risk of
loss, including losses due to adverse events that affect the Fund’s investments more than the market as a whole, to the
extent that the Fund’s investments are concentrated in the securities of a particular issuer or issuers, country, group
of countries, region, market, industry, group of industries, sector or asset class.

Covered
Call Option Writing Risk. By writing covered call options, in return for the receipt of premiums, the Fund will give
up the opportunity to benefit from potential increases in the value of the S&P 500®above the exercise prices of such options,
but will continue to bear the risk of declines in the value of the S&P 500®. The premiums received from the options may
not be sufficient to offset any losses sustained from the volatility of the underlying stocks over time. In addition, the Fund’s
ability to sell the securities underlying the options will be limited while the options are in effect unless the Fund cancels
out the option positions through the purchase of offsetting identical options prior to the expiration of the written options.
Exchanges may suspend the trading of options in volatile markets. If trading is suspended, the Fund may be unable to write options
at times that may be desirable or advantageous to do so, which may increase the risk of tracking error.

Derivatives
Risk. The Fund’s use of derivatives may reduce the Fund’s returns or increase volatility. Volatility is defined
as the characteristic of a security, an index or a market to fluctuate significantly in price within a short time period. Derivatives
may also be subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual
obligation. Counterparty risk for over-the-counter (“OTC”) derivatives is generally higher than that for derivatives
traded on an exchange or through a clearing house. A risk of the Fund’s use of derivatives is that the fluctuations in their
values may not correlate perfectly with the value of the underlying asset, the performance of the asset class to which the Fund
seeks exposure or the performance of the overall markets. The possible lack of a liquid secondary market for derivatives and the
resulting inability of the Fund to sell or otherwise close a derivatives position could expose the Fund to losses and could make
derivatives more difficult for the Fund to value accurately. The Fund could also suffer losses related to its derivatives positions
as a result of unanticipated market movements, or movements between the time of periodic reallocations of Fund assets, which losses
are potentially unlimited. Certain derivatives may give rise to a form of leverage and may expose the Fund to greater risk and
increase its costs. The impact of U.S. and global regulation of derivatives may make derivatives more costly, may limit the availability
of derivatives, may delay or restrict the exercise by the Fund of termination rights or remedies upon a counterparty default under
derivatives held by the Fund (which could result in losses), or may otherwise adversely affect the value or performance of derivatives.

Equity
Risk. The net asset value of the Fund will fluctuate based on changes in the value of the U.S. equity securities
held by the Fund. Equity prices can fall rapidly in response to developments affecting a specific company or industry, or
to changing economic, political or market conditions.

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

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

New
Adviser Risk. The Adviser is both a newly registered investment adviser and has limited or no previous experience managing
a registered fund. As a result, there is no long-term track record against which an investor may judge the Adviser and it is possible
the Adviser may not achieve the Fund’s intended investment objective.

New
Fund Risk. The Fund is new and does not have shares outstanding as of the date of this Prospectus. If the Fund does not grow
large in size once it commences trading, it will be at greater risk than larger funds of wider bid-ask spreads for its shares,
trading at a greater premium or discount to NAV, liquidation and/or a stop to trading. Any resulting liquidation of the Fund could
cause the Fund to incur elevated transaction costs for the Fund and negative tax consequences for its shareholders.

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

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

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

Information
Technology Sector Risk. Because the S&P 500® Index has been concentrated in the information technology sector,
the Fund may be sensitive to changes in, and its performance may depend to a greater extent on, the overall condition of the information
technology sector. Information technology companies face intense competition, both domestically and internationally, which may
have an adverse effect on profit margins. Information technology companies may have limited product lines, markets, financial
resources or personnel. The products of information technology companies may face product obsolescence due to rapid technological
developments and frequent new product introduction, unpredictable changes in growth rates and competition for the services of
qualified personnel. Companies in the information technology sector are heavily dependent on patent protection and the expiration
of patents may adversely affect the profitability of these companies.

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

Tax
Risk. The Fund invests in derivatives. The federal income tax treatment of a derivative may not be as favorable as a direct
investment in an underlying asset. Derivatives may produce taxable income and taxable realized gain. Derivatives may adversely
affect the timing, character and amount of income the Fund realizes from its investments. As a result, a larger portion of the
Fund’s distributions may be treated as ordinary income rather than as capital gains. In addition, certain derivatives are
subject to mark-to-market or straddle provisions of the Internal Revenue Code of 1986, as amended (the “Internal Revenue
Code”). If such provisions are applicable, there could be an increase (or decrease) in the amount of taxable dividends paid
by the Fund.

Performance

The
Fund is new, and therefore, no performance information is presented for the Fund at this time. In the future, performance information
will be presented in this section of this Prospectus. Also, shareholder reports containing financial and performance information
will be mailed to shareholders semi-annually. Updated performance information will be available at no cost by visiting the Fund’s
website at www.Neosfunds.com.

Management

Investment
Adviser

NEOS
Investment Management, LLC

Portfolio
Manager Bio

Garrett Paolella,
Troy Cates and Ryan Houlton are primarily responsible for the day-to-day management of the Fund.

Garrett
Paolella, Managing Partner and Portfolio Manager of the Adviser

Troy
Cates, Managing Partner and Portfolio Manager of the Adviser

Ryan
Houlton, Managing Director, Head of Trading and Portfolio Manager of the Adviser

Purchase
and Sale of Fund Shares

Authorized
Participants

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

Investors

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

Tax
Information

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

Payments
to Broker-Dealer and Other Financial Intermediaries

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

More
Information About the Fund

Investment
Objective

The
Fund seeks to generate high monthly income in a tax efficient manner with the potential for equity appreciation in rising markets.

Additional
Information About Investment Strategies

The
Fund is an actively-managed ETF that seeks to achieve its investment objective by investing in a portfolio of stocks that make
up the S&P 500® Index (which is the Reference Index) and a call options strategy, which consists of a mix of written (sold)
call options and long (bought) call options on the S&P 500® Index. The Fund seeks to generate high income on a monthly
basis from the premiums earned from the options as well as the dividends received from the Fund’s equity holdings. The options
strategy seeks to generate a net-credit, meaning that the premium received from the sale of the call options will be greater than
the cost of buying the long, out-of-the-money call options. The options strategy is intended to generate high monthly income in
a tax efficient manner, with the potential for upside participation when the underlying equity index appreciates. Opportunistically,
the Fund may seek to take advantage of tax loss harvesting opportunities on the options and/or equity positions.

The
Fund, while not an index fund, will generally use a “replication” strategy to invest in the S&P 500®, meaning
the Fund will generally invest in all of the component securities of the S&P 500® in the same approximate proportions
as in the S&P 500®. However, the Fund may use a “representative sampling” strategy, meaning it may invest
in a sample of the securities in the S&P 500® whose risk, return, and other characteristics closely resemble the risk,
return, and other characteristics of the S&P 500® as a whole, when the Adviser believes it is in the best interests of
the Fund (e.g., when replicating the S&P 500® involves practical difficulties or substantial costs, a S&P 500®
constituent becomes temporarily illiquid, unavailable, or less liquid, or as a result of legal restrictions or limitations that
apply to the Fund but not to the S&P 500®).

The
Fund’s adviser utilizes a proprietary, rules-based, systematic model to manage the Fund’s options positions. The Fund’s
adviser may actively manage the written and purchased call options prior to expiration to potentially capture gains and minimize
losses due to the movement of the S&P 500® Index.

Short
Call Options. When the Fund sells a short call option it creates a contract between the option writer (the Fund) and the option
buyer (counterparty). The writer of the call option receives an amount (premium) for writing the option. The contract provides
the counterparty with the right to buy the underlying asset for a pre-specified price (strike price) by a pre-specified date (expiration
date). However, no obligation is created for the counterparty, who is not forced to buy the underlying asset (exercising the option)
by the expiration date. If the price of the underlying asset is greater than the strike price at the expiration date, the counterparty
will exercise their option. This obligates the writer to sell the asset to the counterparty (buyer) at the pre-specified price,
which will be at a price below the market price, resulting in a loss for the writer and an equivalent profit for the holder. If
the price of the underlying asset is lower than or equal to the strike price at the expiration date, the counterparty (buyer)
will not exercise its option. It will expire as worthless, which results in a profit for the writer and an equivalent loss for
the holder.

Long
Call Options. When the Fund purchases a long call option, it creates a contract between option buyer (the Fund) and the option
seller (counterparty). The Fund pays an amount (premium) to a counterparty for the right to buy shares of the underlying asset
for a pre-specified price (strike price) until a pre-specified date (expiration date). The Fund has no obligation to exercise
the call option by the expiration date. In the event the underlying asset appreciates in value above the strike price, the Fund
may exercise its call option and will be entitled to receive the difference between the value of the underlying asset and the
strike price, minus the initial premium that the Fund paid for the call option. If the underlying asset closes below the strike
price at the expiration date, the call option may expire worthless, and the Fund’s loss is limited to the amount of premium
it paid for the long call option.

The
Fund’s Board of Trustees may change the Fund’s investment objective, 80% Policy and the index upon which the Fund
seeks to track its performance without shareholder approval upon 60 days’ prior written notice to shareholders.

The
Fund may engage in active and frequent trading of portfolio securities in implementing its principal investment strategies.

The
Fund is considered to be diversified. Additionally, the Fund’s investment strategies may involve active and frequent trading
resulting in high portfolio turnover.

Additional
Information About the Fund’s Principal Risks

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

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

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

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

Large
Shareholder and Large-Scale Redemption Risk. Certain shareholders, including an Authorized Participant, a third-party investor,
the Fund’s adviser or an affiliate of the Fund’s adviser, a market maker, or another entity, may from time to time
own or manage a substantial amount of Fund shares or may invest in the Fund and hold its investment for a limited period of time.
These shareholders may also pledge or loan Fund shares (to secure financing or otherwise), which may result in the shares becoming
concentrated in another party. There can be no assurance that any large shareholder or large group of shareholders would not redeem
their investment or that the size of the Fund would be maintained. Redemptions of a large number of Fund shares by these shareholders
may adversely affect the Fund’s liquidity and net assets. To the extent the Fund permits redemptions in cash, these redemptions
may force the Fund to sell portfolio securities when it might not otherwise do so, which may negatively impact the Fund’s
NAV, have a material effect on the market price of the Shares and increase the Fund’s brokerage costs and/or accelerate
the realization of taxable income and/or gains and cause the Fund to make taxable distributions to its shareholders earlier than
the Fund otherwise would have. In addition, under certain circumstances, non-redeeming shareholders may be treated as receiving
a disproportionately large taxable distribution during or with respect to such tax year. The Fund also may be required to sell
its more liquid Fund investments to meet a large redemption, in which case the Fund’s remaining assets may be less liquid,
more volatile, and more difficult to price. To the extent these large shareholders transact in shares on the secondary market,
such transactions may account for a large percentage of the trading volume for the shares of the Fund and may, therefore, have
a material upward or downward effect on the market price of the Shares. In addition, large purchases of Fund shares may adversely
affect the Fund’s performance to the extent that the Fund is delayed in investing new cash and is required to maintain a
larger cash position than it ordinarily would, diluting its investment returns.

Market
Risk. The prices of securities held by the Fund may decline in response to certain events taking place around the world, including
those directly involving the companies whose securities are owned by the Fund; conditions affecting the general economy; overall
market changes; local, regional or global political, social or economic instability; and currency, interest rate and commodity
price fluctuations. The equity securities purchased by the Fund may involve large price swings and potential for loss. Investors
in the Fund should have a long-term perspective and be able to tolerate potentially sharp declines in value. The market’s
daily movements, sometimes called volatility, may be greater or less depending on the types of securities the Fund owns and the
markets in which the securities trade. The increasing interconnectivity between global economies and financial markets increases
the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country,
region or financial market. Securities in the Fund’s portfolio may underperform due to inflation (or expectations for inflation),
interest rates, global demand for particular products or resources, natural disasters, pandemics, epidemics, war, terrorism, regulatory
events, governmental or quasi-governmental actions, and public health emergencies. The occurrence of global events similar to
those in recent years, such as terrorist attacks around the world, natural disasters, social and political discord or debt crises
and downgrades, among others, may result in market volatility and may have long term effects on both the U.S. and global financial
markets. The value and growth-oriented equity securities purchased by the Fund may experience large price swings and potential
for loss.

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

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

New
Adviser Risk. The Adviser has limited or no previous experience managing a registered fund. Registered funds and their advisers
are subject to restrictions and limitations imposed by the Investment Company Act of 1940, as amended, and the Internal Revenue
Code that do not apply to the adviser’s management of other types of individual and institutional accounts. As a result,
investors do not have a long-term track record of managing a fund from which to judge the Adviser and the Adviser may not achieve
the intended result in managing the Fund.

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

Pandemics
Risk. An outbreak of infectious respiratory illness caused by the novel coronavirus known as COVID-19 was first detected in
China in December 2019 before spreading worldwide and being declared a global pandemic by the World Health Organization in March
2020. COVID-19 has resulted in travel restrictions, closed international borders, enhanced health screenings, disruption and delays
in healthcare services, prolonged quarantines, cancellations, temporary store closures, social distancing, government ordered
curfews and business closures, disruptions to supply chains and consumer activity, shortages, highly volatile financial markets,
and general concern and uncertainty. The impact of COVID-19, and other infectious illness outbreaks that may arise in the future,
could adversely affect the economies and capital markets of many nations or the entire global economy, as well as individual companies,
entire sectors, and securities and commodities markets (including liquidity), in ways that may not necessarily be foreseen at
the present time. COVID-19 and other health crises in the future may exacerbate other pre-existing political, social and economic
risks, and its impact in developing or emerging market countries may be greater due to less established health care systems. The
duration and ultimate impact of the current outbreak is not known. There is a risk that you may lose money by investing in the
Fund.

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

Valuation
Risk. The price the Fund could receive upon the sale of a security or other asset may differ from the Fund’s valuation
of the security or other asset and from the value used by the Underlying Index, particularly for securities or other assets that
trade in low volume or volatile markets or that are valued using a fair value methodology as a result of trade suspensions or
for other reasons. Because non-U.S. exchanges may be open on days when the Fund does not price its shares, the value of the securities
or other assets in the Fund’s portfolio may change on days or during time periods when shareholders will not be able to
purchase or sell the Fund’s shares. In addition, for purposes of calculating the Fund’s NAV, the value of assets denominated
in non-U.S. currencies is converted into U.S. dollars using prevailing market rates on the date of valuation as quoted by one
or more data service providers. This conversion may result in a difference between the prices used to calculate the Fund’s
NAV and the prices used by the Underlying Index, which, in turn, could result in a difference between the Fund’s performance
and the performance of the Underlying Index. Authorized Participants who purchase or redeem Fund shares on days when the Fund
is holding fair-valued securities may receive fewer or more shares, or lower or higher redemption proceeds, than they would have
received had the Fund not fair-valued securities or used a different valuation methodology. The Fund’s ability to value
investments may be impacted by technological issues or errors by pricing services or other third-party service providers.

Other
Risks

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

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

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

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

Changes
in Investment Objective or Policies

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

Temporary
Defensive Investments

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

Manager-of-Managers
Order

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

Disclosure
of Portfolio Holdings

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

Fund
Management

The
Adviser

NEOS
Investment Management, LLC, located at 55 Post Road W, Westport, CT 06880 serves as the investment adviser to the Fund. The Adviser
is a Delaware limited liability company formed in 2022 to provide investment advisory services to registered investment companies.

The
Adviser is responsible for the Fund’s investment operations and its business affairs. Pursuant to a management agreement between
the Trust and the Adviser with respect to the Fund (“Management Agreement”) and subject to the general oversight of the Board,
the Adviser provides or causes to be furnished all supervisory and other services reasonably necessary for the operation of the Fund,
including audit, portfolio accounting, legal, transfer agency, custody, printing costs, certain administrative services (provided pursuant
to a separate administration agreement), certain distribution services (provided pursuant to a separate distribution agreement), certain
shareholder and other non-distribution-related services under what is essentially an all-in fee structure. Under the Management Agreement,
the Adviser has agreed to pay all expenses incurred by the Fund except for the management fee, interest, taxes, brokerage commissions
and other expenses incurred in placing orders for the purchase and sale of securities and other investment instruments, acquired fund
fees and expenses, extraordinary expenses, and distribution fees and expenses paid by the Fund under any distribution plan adopted pursuant
to Rule 12b-1 under the 1940 Act (“Excluded Expenses”).

The
Adviser is paid a monthly unitary management fee at an annual rate (stated as a percentage of the average daily net assets of
the Fund) of 0.68%.

A
discussion regarding the Board of Trustees’ approval of the Management Agreement with respect to the Fund will be available
in the Fund’s annual report for the fiscal year ending May 31, 2023.

Portfolio
Manager

The
following individuals are jointly and primarily responsible for the day-to-day management of the Fund’s portfolio: Garrett
Paolella (since August 2022), Troy Cates (since August 2022) and Ryan Houlton (since August 2022).

Shareholder
Information

Determination
of NAV

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

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

Buying
and Selling Exchange-Traded Shares

Authorized
Participants

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

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

Investors

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

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

Book
Entry

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

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

Continuous
Offering

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

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

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

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

For
More Information:

Existing
Shareholders or Prospective Investors

NEOS
S&P 500® High Income ETFs

c/o
Foreside Fund Services, LLC

Three
Canal Plaza, Suite 100

Portland, Maine 04101

Dealers

NEOS
S&P 500® High Income ETFs

c/o
Foreside Fund Services, LLC

Three
Canal Plaza, Suite 100

Portland, Maine 04101

Distribution
and Service Plan

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

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

Frequent
Purchases and Redemptions of Fund Shares

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

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

Distributions

Dividends
and Distributions

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

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

Annual
Statements

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

Avoid
“Buying a Dividend”

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

Dividend
Reinvestment Service

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

Tax
Information

Tax
Considerations

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

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

Taxes
on Distributions

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

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

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

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

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

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

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

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

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

Taxes
When Shares are Sold on the Exchange

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

Taxes
on Purchases and Redemptions of Creation Units

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

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

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

Financial
Highlights

Because
the Fund has not commenced operations as of the date of this Prospectus, no financial highlights information is available.

Premium/Discount
Information

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

Investment Adviser	Independent Registered Public Accounting Firm
NEOS Investment Management, LLC 55 Post Road W Westport, CT 06880	BBD, LLP 1835 Market Street, 3^rd Floor Philadelphia, PA 19103

Custodian	Transfer Agent
U.S. Bank, N.A. 1555 N. Rivercenter Drive, MK-WI-S302 Milwaukee, WI 53212	U.S. Bancorp Fund Services, LLC 615 East Michigan Street Milwaukee, WI 53202

Distributor	Legal Counsel
Foreside Fund Services, LLC Three Canal Plaza, Suite 100 Portland, Maine 04101	Thompson Hine LLP 1919 M Street, N.W., Suite 700 Washington D.C., 20036

Disclaimers

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

Additional
Information

This
Prospectus does not contain all the information included in the Registration Statement filed with the SEC with respect to the
Fund’s Shares. Information about the Fund can be reviewed on the EDGAR database at the SEC’s website (http://www.sec.gov),
and copies may be obtained, after paying a duplicating fee, by electronic request at the following email address: [email protected]
The SAI for the Fund, which has been filed with the SEC, provides more information about the Fund. The SAI is incorporated herein
by reference and is legally part of this Prospectus. Additional information about the Fund’s investments will be available
in the Fund’s annual and semi-annual reports to shareholders. In the Fund’s annual report, when available, you will
find a discussion of the market conditions and investment strategies that significantly affected the Fund’s performance
during its last fiscal year. These documents and other information concerning the Trust also may be inspected at 14785 Preston
Road, Suite 1000, Dallas, TX 75254. You can also obtain information about the Fund by calling at no cost (866) 498-5677.

Investment
Company Act file no. 811-23645.

PROSPECTUS

August
30, 2022

NEOS
Enhanced Income Aggregate Bond ETF (BNDI)

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

Table
of Contents

Summary
Information — NEOS Enhanced Income Aggregate Bond ETF

Investment
Objective

The
NEOS Enhanced Income Aggregate Bond ETF (the “Fund”) seeks to generate monthly income in a tax efficient manner.

Fund
Fees and Expenses

Shareholder
Fees (fees paid directly from your )

None

Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment)
Management Fee	0.58%
Distribution and/or Service (12b-1) Fees	None
Other Expenses⁽¹⁾	0.00%
Acquired Fund Fees and Expenses⁽²⁾	0.03%
Total Annual Fund Operating Expenses	0.61%
Fee Waiver and/or Expense Reimbursement ⁽³⁾	0.03%
Total Annual Fund Operating Expenses (After Fee Waiver and/or Expense Reimbursement)	0.58%

	⁽²⁾

	⁽³⁾

Example

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

Year

Expenses

$59

$186

Portfolio
Turnover

Principal
Investment Strategies of the Fund

The
Fund invests under normal circumstances at least 80% of its assets in a diversified portfolio of bonds of varying maturities and
exchange-traded funds (“ETFs”) that invest 80% or more of their assets in bonds and forwards, options or futures contracts
related to bonds.

The
Fund is an actively-managed ETF that seeks to achieve its investment objective by (i) investing 80% or more of its assets in bonds
or ETFs that invest 80% or more of their assets in bonds and forwards, options or futures contracts related to bonds and seek
to obtain exposure to the performance of the US Aggregate Bond market or directly in the securities held by such ETFs (collectively,
the “Underlying Investments”) and (ii) selling and purchasing S&P 500® Index put options (“SPX put options”)
to generate income to the Fund beyond what is received from the Underlying Investments. For purposes of the 80% policy, the value
of such forwards, options and futures contracts shall be determined on a daily mark-to-market basis.

The
US Aggregate Bond market and ETFs that seek to replicate the performance of the US Aggregate Bond market index generally consist
of U.S. Treasury bonds, government-related bonds, corporate bonds, mortgage-backed pass-through securities (“MBS”),
commercial mortgage-backed securities and asset-backed securities that are publicly offered for sale in the U.S. A significant
portion of the US Aggregate Bond market and US Aggregate Bond market index ETFs generally consist of MBS and U.S. Treasury securities.
The components of both may change over time.

The
Fund’s SPX put option strategy seeks to generate monthly income for the Fund in addition to the yield it receives from the
income and capital gains generated by the Underlying Investments. The options strategy utilizes a “put spread” consisting
of the sale of SPX put options (“Short Puts”) with a notional value up to 100% of the Fund’s net assets and
the purchase of SPX put options (“Long Puts”). NEOS Investment Management, LLC, the Fund’s adviser (the “Adviser”),
may actively manage the written and purchased SPX put options prior to expiration to potentially capture gains and minimize losses
due to the movement of the S&P 500® Index. The SPX options strategy is intended to generate high monthly income in a tax
efficient manner. The Fund seeks tax efficient returns by utilizing index options that receive favorable tax treatment under Internal
Revenue Code rules because they qualify as “Section 1256 Contracts.” Under these rules, each section 1256 contract
held by the Fund at year end is treated as if it were sold at fair market value on the last business day of the tax year. If the
Section 1256 contracts produce capital gain or loss, gains or losses on the Section 1256 contracts open at the end of the year,
or terminated during the year, are treated as 60% long term and 40% short term, regardless of how long the contracts were held.
In addition, the Fund may seek to take advantage of tax loss harvesting opportunities by taking investment losses from certain
equity and/or options positions to offset realized taxable gains of equities and/or options. Opportunistically, the Fund may seek
to take advantage of tax loss harvesting opportunities on the SPX put options.

The
Fund focuses primarily on SPX put options which offer both European settlement (i.e., options can only be exercised at their expiration
date) and cash settlement (i.e., options carry an obligation by their seller to pay the difference between their strike price
and their settlement value instead of allowing the seller to take delivery of securities).

The
Fund’s SPX put options strategy is designed to seek to generate a positive return in rising and flat equity markets and
may generate a positive return in equity markets that are modestly declining, assuming the net premium collected from the options
sold and purchased exceeds the net cost to close the positions.

The
average portfolio duration of the Fund normally varies from 6 to 9 years. Duration is a measure used to determine the sensitivity
of a security’s price to changes in interest rates. The longer a security’s duration, the more sensitive it will be
to changes in interest rates.

With
respect to securities that the Fund directly holds, the Fund invests primarily in investment grade debt securities but may invest
up to 30% of its total assets in high yield securities (junk bonds), as rated by Moody’s Investors Service, Inc., Standard
& Poor’s Rating Services or Fitch Inc., or, if unrated, as determined by the Adviser. The Fund may purchase or sell
securities on a when-issued, delayed delivery or forward commitment basis.

The
Fund may engage in active and frequent trading of portfolio securities in implementing its principal investment strategies.

Principal
Risks of Investing in the Fund

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

Credit
Risk. Debt issuers and other counterparties may be unable or unwilling to make timely interest and/or principal payments when
due or otherwise honor their obligations. Changes in an issuer’s credit rating or the market’s perception of an issuer’s
creditworthiness may also adversely affect the value of the Fund’s investment in that issuer. The degree of credit risk
depends on an issuer’s or counterparty’s financial condition and on the terms of an obligation.

Forward
Contract Risk. Forward contracts involve the purchase or sale of a specific quantity of a government security at a specified
price, with delivery and settlement at a specified future date. Forward contracts, unlike futures contracts, are not traded on
exchanges and are not standardized; rather, banks and dealers act as principals in these markets, negotiating each transaction
on an individual basis. The principals who deal in the forward markets are not required to continue to make markets in the currencies
or commodities they trade and these markets can experience periods of illiquidity, sometimes of significant duration. There have
been periods during which certain participants in these markets have refused to quote prices for certain currencies or commodities
or have quoted prices with an unusually wide spread between the price at which they were prepared to buy and that at which they
were prepared to sell.

Futures
Contract Risk. Futures are standardized, exchange-traded contracts that obligate a purchaser to take delivery, and a seller
to make delivery, of a specific amount of an asset at a specified future date at a specified price. Unlike equities, which typically
entitle the holder to a continuing ownership stake in an issuer, futures contracts normally specify a certain date for settlement
in cash based on the level of the reference rate. The primary risks associated with the use of futures contracts, or swaps or
other derivatives referencing futures contracts, are: (i) the imperfect correlation between the change in market value of the
instruments held by the Fund and the price of the futures contract; (ii) possible lack of a liquid secondary market for a futures
contract and the resulting inability to close a futures contract when desired; (iii) losses caused by unanticipated market movements,
which are potentially unlimited; (iv) the Adviser’s inability to predict correctly the direction of prices and other economic
factors; and (v) the possibility that the counterparty will default in the performance of its obligations.

High
Yield Securities Risk. Securities that are rated below investment-grade (commonly referred to as “junk bonds,”
which may include those bonds rated below “BBB-” by S&P Global Ratings and Fitch Ratings, Inc. (“Fitch”)
or below “Baa3” by Moody’s Investors Service, Inc. (“Moody’s”)), or are unrated, may be deemed
speculative, may involve greater levels of risk than higher-rated securities of similar maturity and may be more likely to default.

Income
Risk. The Fund’s income may decline when yields fall. This decline can occur because the Fund may subsequently invest
in lower-yielding bonds as bonds in its portfolio mature, are near maturity or are called, bonds in the Fund otherwise needs to
purchase additional bonds.

Interest
Rate Risk. The risk that fixed income securities will decline in value because of an increase in interest rates; a fund with
a longer average portfolio duration will be more sensitive to changes than a fund with a shorter average portfolio duration.

Mortgage-
and Asset-Backed Securities Risk. Mortgage- and asset-backed securities represent interests in “pools” of mortgages
or other assets, including consumer loans or receivables held in trust. Mortgage- and asset-backed securities are subject to credit,
interest rate, prepayment and extension risks. These securities also are subject to risk of default on the underlying mortgage
or asset, particularly during periods of economic downturn. Small movements in interest rates (both increases and decreases) may
quickly and significantly reduce the value of certain mortgage-backed securities.

Non-Agency
Securities Risk. There are no direct or indirect government or agency guarantees of payments in mortgage pools created by
non-government issuers. Non-agency securities are also not subject to the same underwriting requirements for the underlying mortgages
that are applicable to those mortgage-related securities that have a government or government-sponsored entity guarantee. In addition,
a substantial portion of the nonagency securities in which the Fund invests may be rated below investment grade (commonly known
as “junk bonds”). Non-agency mortgage-related securities are not traded on an exchange and there may be a limited
market for the securities, especially when there is a perceived weakness in the mortgage and real estate market sectors. Without
an active trading market, the non-agency mortgage-related securities held in the Fund’s portfolio may be particularly difficult
to value because of the complexities involved in assessing the value of the underlying mortgage loans.

Prepayment
Risk. During periods of falling interest rates, issuers of certain debt obligations may repay principal prior to the security’s
maturity, which may cause the Fund or the Fund to have to reinvest in securities with lower yields or higher risk of default,
resulting in a decline in the Fund’s income or return potential. Also, if a security subject to prepayment had been purchased
at a premium, the value of the premium would be lost in the event of prepayment.

Underlying
ETF Risk. The Fund will have exposure to underlying ETFs that track their respective indexes. Because the value of the Fund
in part will be based on the value of the Underlying ETF, the Fund’s investment performance depends on the investment performance
and associated risks of the Underlying ETFs. The Underlying ETFs are subject to many of the same structural risks as the Fund
that are described in more detail herein, such as Authorized Participant Concentration Risk, Equity Securities Risk, Fluctuation
of Net Asset Value Risk, Market Maker Risk, Market Risk, Operational Risk and Trading Issues Risk.

U.S.
Government Securities Risk. U.S. government securities may differ from other securities in their interest rates, maturities,
times of issuance and other characteristics and may provide relatively lower returns than those of other securities. Similar to
other issuers, changes to the financial condition or credit rating of the U.S. government may cause the value of the Fund’s
U.S. government securities to decline.

Performance

Management

Investment
Adviser

NEOS
Investment Management, LLC

Portfolio
Manager Bio

Garrett Paolella,
Troy Cates and Ryan Houlton are primarily responsible for the day-to-day management of the Fund.

Garrett
Paolella, Managing Partner and Portfolio Manager of the Adviser

Troy
Cates, Managing Partner and Portfolio Manager of the Adviser

Ryan
Houlton, Managing Director, Head of Trading and Portfolio Manager of the Adviser

Purchase
and Sale of Fund Shares

Authorized
Participants

Investors

Tax
Information

Payments
to Broker-Dealer and Other Financial Intermediaries

More
Information About the Fund

Investment
Objective

The
Fund seeks to generate monthly income in a tax efficient manner.

Additional
Information About Investment Strategies

The
Fund invests under normal circumstances at least 80% of its assets in a diversified portfolio of bonds of varying maturities,
which may be represented by bonds, exchange-traded funds (“ETFs”) that invest 80% or more of their assets in bonds
and forwards, options or futures contracts related to bonds. For purposes of the 80% policy, the value of such forwards, options
and futures contracts shall be determined on a daily mark-to-market basis.

The
Fund is an actively-managed ETF that seeks to achieve its investment objective by (i) investing in one or more other ETFs that
seek to obtain exposure to the performance of the US Aggregate Bond market or directly in the securities held by such ETFs (collectively,
the “Underlying Investments”) and (ii) selling and purchasing S&P 500® Index put options (“SPX put options”)
to generate income to the Fund beyond what is received from the Underlying Investments.

The
Fund’s SPX put option strategy seeks to generate monthly income for the Fund that is in addition to the yield it receives
from the income and capital gains generated by the Underlying Investments. The options strategy utilizes a “put spread”
consisting of the sale of SPX put options (“Short Puts”) with a notional value up to 100% of the Fund’s net
assets and the purchase of an identical number of SPX put options (“Long Puts”). NEOS Investment Management, LLC,
the Fund’s adviser (the “Adviser”), may actively manage the written and purchased SPX put options prior to expiration
to potentially capture gains and minimize losses due to the movement of the S&P 500® Index.

Short
Put Options. When the Fund sells a short put option it creates a contract between the option writer (the Fund) and the option
buyer (counterparty). The writer of the put option receives an amount (premium) for writing the option. The contract provides
the counterparty with the right to sell the underlying asset for a pre-specified price (strike price) by a pre-specified date
(expiration date). However, no obligation is created for the counterparty, who is not forced to sell the underlying asset (exercising
the option) by the expiration date. If the price of the underlying asset is less than the strike price at the expiration date,
the counterparty may exercise their option. If the option is exercised, the buyer will be entitled to receive the difference between
the value of the underlying asset and the strike price which results in a loss for the Fund. If the price of the underlying asset
is higher than or equal to the strike price at the expiration date, the counterparty (buyer) will not exercise its option. It
will expire as worthless, which results in a profit for the writer (Fund) and a corresponding loss for the holder.

Long
Put Options. When the Fund purchases a long put option, it creates a contract between option buyer (the Fund) and the option
seller (counterparty). The Fund pays an amount (premium) to a counterparty for the right to sell shares of the underlying asset
for a pre-specified price (strike price) until a pre-specified date (expiration date). The Fund has no obligation to exercise
the put option by the expiration date. In the event the underlying asset depreciates in value below the strike price, the Fund
may exercise its put option and will be entitled to receive the difference between the value of the underlying asset and the strike
price, minus the initial premium that the Fund paid for the put option. If the underlying asset closes above the strike price
at the expiration date, the put option may expire worthless, and the Fund’s loss is limited to the amount of premium it
paid for the long put option.

The
Fund may engage in active and frequent trading of portfolio securities in implementing its principal investment strategies.

The
Fund’s investment strategies may involve active and frequent trading resulting in high portfolio turnover.

Additional
Information About the Fund’s Principal Risks

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

The
major risks of high yield securities investments include:

●

High yield securities
may be issued by less creditworthy issuers. Issuers of high yield securities may have a larger amount of outstanding debt
relative to their assets than issuers of -grade bonds. In the event of an issuer’s bankruptcy, claims of other
creditors may have priority over the claims of high yield securities holders, leaving few or no assets available to repay
high yield securities holders. Prices of high yield securities are subject to extreme price fluctuations.

●

Adverse changes
in an issuer’s and general economic conditions may have a greater impact on the prices of high yield securities
than on other higher rated fixed-income securities. The credit rating of a high yield security does not necessarily address
its market value risk.

●

Ratings and market
value may change from time to time, positively or negatively, to reflect new developments regarding the issuer. Issuers of
high yield securities may be unable to meet their interest or principal payment obligations because of an economic downturn,
specific issuer developments, or the unavailability of additional financing.

●

High yield securities
frequently have redemption features that permit an issuer to repurchase the security from the Underlying Fund before it matures.
If the issuer redeems high yield securities held by the Underlying Fund, the Underlying Fund may have to invest the proceeds
in bonds with lower yields and may lose income. High yield securities may be less liquid than higher rated fixed-income securities,
even under normal economic conditions. There are fewer dealers in the high yield securities market, and there may be significant
differences in the prices quoted for high yield securities by the dealers.

●

Because high yield
securities may be less liquid than higher rated fixed-income securities, judgment may play a greater role in valuing certain
of the Fund’s securities than is the case with securities trading in a more liquid market. The Fund may incur expenses
to the extent necessary to seek recovery upon default or to negotiate new terms with a defaulting issuer.

Mortgage-
and Asset-Backed Securities. Mortgage- and asset-backed securities represent interests in “pools” of mortgages
or other assets, including consumer loans or receivables held in trust. Mortgage- and asset-backed securities are subject to credit,
interest rate, prepayment and extension risks. These securities also are subject to risk of default on the underlying mortgage
or asset, particularly during periods of economic downturn. Small movements in interest rates (both increases and decreases) may
quickly and significantly reduce the value of certain mortgage-backed securities. The Fund invests in securities backed by pools
of mortgages issued or guaranteed by the U.S. government or one of its agencies or sponsored entities, including Fannie Mae, Freddie
Mac or Ginnie Mae. While securities guaranteed by Ginnie Mae are backed by the full faith and credit of the U.S. government, securities
issued by Fannie Mae and Freddie Mac are not backed by the full faith and credit of the U.S. government, and there can be no assurance
that the U.S. government would provide financial support to its agencies or sponsored entities where it is not obligated to do
so. Bonds or debentures that do not carry the backing of the full faith and credit of the U.S. government are subject to more
credit risk than securities that are supported by the full faith and credit of the U.S. government. To the extent that the U.S.
government has provided support to a U.S. agency or sponsored entity in the past, there can be no assurance that the U.S. government
will provide support in the future if it is not obligated to do so. If a U.S. government agency or sponsored entity that is the
issuer of securities in which the Fund invests is unable to meet its obligations or ceases to exist and no plan is made for repayment
of securities, the performance of the Fund will be adversely affected. MBS represent interests in “pools” of mortgages
and, due to the nature of these loans they represent, are subject to prepayment and extension risk. Prepayment risk is the risk
that, during periods of falling interest rates, an issuer of mortgages and other fixed-income securities may be able to repay
principal prior to the security’s maturity. This may cause the Fund to have to reinvest in securities with a lower yield
or higher risk of default, resulting in a decline in the Fund’s income or return potential. MBS are also subject to extension
risk, which is the risk that when interest rates rise, certain MBS will be paid off substantially more slowly than originally
anticipated and the value of those securities may fall sharply, resulting in a decline in income and potentially in the value
of the investment. Because of prepayment and extension risks, MBS react differently to changes in interest rates than other bonds.
Small movements in interest rates (both increases and decreases) may quickly and significantly reduce the value of certain MBS.
These securities are also subject to the risk of default on the underlying mortgage loans, particularly during periods of economic
downturn.

Other
Risks

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

Changes
in Investment Objective or Policies

Temporary
Defensive Investments

Manager-of-Managers
Order

Disclosure
of Portfolio Holdings

Fund
Management

The
Adviser

NEOS
Investment Management, LLC, located at 55 Post Road W, Westport, CT 06880, serves as the investment adviser to the Fund. The Adviser
is a Delaware limited liability company formed in 2022 to provide investment advisory services to registered investment companies.

The
Adviser is responsible for the Fund’s investment operations and its business affairs. Pursuant to a management agreement between
the Trust and the Adviser with respect to the Fund (“Management Agreement”) and subject to the general oversight of the Board,
the Adviser provides or causes to be furnished all supervisory and other services reasonably necessary for the operation of the Fund,
including audit, portfolio accounting, legal, transfer agency, custody, printing costs, certain administrative services (provided pursuant
to a separate administration agreement), certain distribution services (provided pursuant to a separate distribution agreement), certain
shareholder and non-distribution-related services under what is essentially an all-in fee structure. Under the Management Agreement,
the Adviser has agreed to pay all expenses incurred by the Fund except for the management fee, interest, taxes, brokerage commissions
and other expenses incurred in placing orders for the purchase and sale of securities and other investment instruments, acquired fund
fees and expenses, extraordinary expenses, and distribution fees and expenses paid by the Fund under any distribution plan adopted pursuant
to Rule 12b-1 under the 1940 Act (“Excluded Expenses”).

The
Adviser is paid a monthly unitary management fee at an annual rate (stated as a percentage of the average daily net assets of
the Fund) of 0.58%.

The
Adviser contractually has agreed to waive its management fee and/or reimburse expenses so that AFFE and total annual Fund operating
expenses, excluding portfolio transaction and other investment-related costs (including brokerage fees and commissions); taxes;
borrowing costs (such as interest and dividend expenses on securities sold short); fees and expenses associated with investments
in other collective investment vehicles or derivative instruments (including for example option and swap fees and expenses); any
administrative and/or shareholder servicing fees payable pursuant to a plan adopted by the Board; expenses incurred in connection
with any merger or reorganization; extraordinary expenses (such as litigation expenses, indemnification of Trust officers and
Trustees and contractual indemnification of Fund service providers); and other expenses that the Trustees agree have not been
incurred in the ordinary course of the Fund’s business, do not exceed 0.58% through March 29, 2024. This expense cap may
not be terminated prior to this date except by the Board. Each waiver/expense payment by the Adviser is subject to recoupment
by the Adviser from the Fund in the three years following the date the particular waiver/expense payment occurred, but only if
such recoupment can be achieved without exceeding the annual expense limitation in effect at the time of the waiver/expense payment
and any expense limitation in effect at the time of the recoupment.

A
discussion regarding the Board of Trustees’ approval of the Management Agreement with respect to the Fund will be available
in the Fund’s annual report for the fiscal year ending May 31, 2023.

Portfolio
Manager

Shareholder
Information

Determination
of NAV

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

Buying
and Selling Exchange-Traded Shares

Authorized
Participants

Investors

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

Book
Entry

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

Continuous
Offering

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

For
More Information:

Existing
Shareholders or Prospective Investors

NEOS
Enhanced Income Aggregate Bond ETF

c/o
Foreside Fund Services, LLC

Three
Canal Plaza, Suite 100

Portland, Maine 04101

Dealers

NEOS
Enhanced Income Aggregate Bond ETF

c/o
Foreside Fund Services, LLC

Three
Canal Plaza, Suite 100

Portland, Maine 04101

Distribution
and Service Plan

Frequent
Purchases and Redemptions of Fund Shares

Distributions

Dividends
and Distributions

Annual
Statements

Avoid
“Buying a Dividend”

Dividend
Reinvestment Service

Tax
Information

Tax
Considerations

Taxes
on Distributions

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

Taxes
When Shares are Sold on the Exchange

Taxes
on Purchases and Redemptions of Creation Units

Financial
Highlights

Because
the Fund has not commenced operations as of the date of this Prospectus, no financial highlights information is available.

Premium/Discount
Information

Investment Adviser	Independent Registered Public Accounting Firm
NEOS Investment Management, LLC 55 Post Road W Westport, CT 06880	BBD, LLP 1835 Market Street, 3^rd Floor Philadelphia, PA 19103

Custodian	Transfer Agent
U.S. Bank, N.A. 1555 N. Rivercenter Drive, MK-WI-S302 Milwaukee, WI 53212	U.S. Bancorp Fund Services, LLC 615 East Michigan Street Milwaukee, WI 53202

Distributor	Legal Counsel
Foreside Fund Services, LLC Three Canal Plaza, Suite 100 Portland, Maine 04101	Thompson Hine LLP 1919 M Street, N.W., Suite 700 Washington D.C., 20036

Disclaimers

Additional
Information

Investment
Company Act file no. 811-23645.

PROSPECTUS

August 30, 2022

NEOS Enhanced Income Cash Alternative ETF (CSHI)

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

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

Table of Contents

Summary Information — NEOS Enhanced Income Cash
Alternative ETF

Investment Objective

The NEOS Enhanced Income Cash Alternative
ETF (the “Fund”) seeks to generate monthly income in a tax efficient manner.

Fund Fees and Expenses

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

Shareholder
Fees (fees paid directly from your )

None

Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment)
Management Fee	0.38%
Distribution and/or Service (12b-1) Fees	None
Other Expenses⁽¹⁾	0.00%
Acquired Fund Fees and Expenses⁽²⁾	0.00%
Total Annual Fund Operating Expenses	0.38%

Example

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

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

Year	Expenses
1	$39
3	$122

Portfolio Turnover

The Fund pays transaction costs, such as
commissions, when it purchases and sells securities (or “turns over” its portfolio). A higher portfolio turnover rate
may result in higher transaction costs and higher taxes when Shares are held in a taxable account. These costs, which are not reflected
in Annual Fund Operating Expenses table or in the Example above, may affect the Fund’s performance. The Fund’s portfolio
turnover rate is only shown once the Fund has completed its first fiscal period of operations.

Principal Investment Strategies of the Fund

The Fund is an actively-managed exchange-traded
fund (“ETF”) that seeks to achieve its investment objective by (i) investing in one or more other ETFs that seek to
obtain exposure to the performance of US short-term treasury bills, typically less than 90 days in duration, or directly in the
securities held by such ETFs (collectively, the “Underlying Investments”) and (ii) selling and purchasing S&P 500®
Index put options (“SPX put options”) to generate income to the Fund beyond what is received from the Underlying Investments.

The Fund’s option strategy seeks
to generate monthly income for the Fund in addition to the yield it receives from the Underlying Investments. The options strategy
utilizes a “put spread” consisting of the sale of exchange listed put options (“Short Puts”) with a notional
value up to 100% of the Fund’s net assets and the purchase of put options (“Long Puts”). The Fund’s adviser,
NEOS Investment Management, LLC (the “Adviser”) may actively manage the written and purchased SPX put options prior
to expiration to potentially capture gains and minimize losses due to the movement of the S&P 500® Index. The SPX options
strategy is intended to generate high monthly income in a tax efficient manner. The Fund seeks tax efficient returns by utilizing
index options that receive favorable tax treatment under Internal Revenue Code rules because they qualify as “Section 1256
Contracts.” Under these rules, each section 1256 contract held by the Fund at year end is treated as if it were sold at
fair market value on the last business day of the tax year. If the Section 1256 contracts produce capital gain or loss, gains
or losses on the Section 1256 contracts open at the end of the year, or terminated during the year, are treated as 60% long term
and 40% short term, regardless of how long the contracts were held. In addition, the Fund may seek to take advantage of tax loss
harvesting opportunities by taking investment losses from certain equity and/or options positions to offset realized taxable gains
of equities and/or options. Opportunistically, the Fund may seek to take advantage of tax loss harvesting opportunities on the
SPX put options.

The Fund focuses primarily on SPX put options
which offer both European settlement (i.e., options can only be exercised at their expiration date) and cash settlement (i.e.,
options carry an obligation by their seller to pay the difference between their strike price and their settlement value instead
of allowing the seller to take delivery of securities).

The Fund invests under normal circumstances
at least 80% of its assets in a diversified portfolio of fixed-income securities of varying maturities, which may be represented
by ETFs that invest 80% or more of their assets in US short term treasury bills, and forwards, options, futures contracts or swap
agreements related to such bills. For purposes of the 80% policy, the value of such options, futures contracts and swap agreements
shall be determined on a daily mark-to-market basis.

The Fund’s options strategy is designed
to seek to generate a positive return in rising and flat equity markets and may generate a positive return in equity markets that
are modestly declining, assuming the net premium collected from the options sold and purchased exceeds the net cost to close the
positions.

The average
portfolio duration of the Fund will vary based on the Adviser’s market forecasts and is expected to be 3-months. Duration
is a measure used to determine the sensitivity of a security’s price to changes in interest rates. The longer a security’s
duration, the more sensitive it will be to changes in interest rates.

The Fund may engage in active and frequent
trading of portfolio securities in implementing its principal investment strategies.

Principal Risks of Investing in the Fund

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

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

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

Derivatives Risk. The Fund’s
use of derivatives may reduce the Fund’s returns or increase volatility. Volatility is defined as the characteristic of a
security, an index or a market to fluctuate significantly in price within a short time period. Derivatives may also be subject
to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. Counterparty
risk for over-the-counter (“OTC”) derivatives is generally higher than that for derivatives traded on an exchange or
through a clearing house. A risk of the Fund’s use of derivatives is that the fluctuations in their values may not correlate
perfectly with the value of the underlying asset, the performance of the asset class to which the Fund seeks exposure or the performance
of the overall markets. The possible lack of a liquid secondary market for derivatives and the resulting inability of the Fund
to sell or otherwise close a derivatives position could expose the Fund to losses and could make derivatives more difficult for
the Fund to value accurately. The Fund could also suffer losses related to its derivatives positions as a result of unanticipated
market movements, or movements between the time of periodic reallocations of Fund assets, which losses are potentially unlimited.
Certain derivatives may give rise to a form of leverage and may expose the Fund to greater risk and increase its costs. The impact
of U.S. and global regulation of derivatives may make derivatives more costly, may limit the availability of derivatives, may delay
or restrict the exercise by the Fund of termination rights or remedies upon a counterparty default under derivatives held by the
Fund (which could result in losses), or may otherwise adversely affect the value or performance of derivatives.

Forward Contract
Risk. Forward contracts involve the purchase or sale of a specific quantity of a government security at a specified price,
with delivery and settlement at a specified future date. Forward contracts, unlike futures contracts, are not traded on exchanges
and are not standardized; rather, banks and dealers act as principals in these markets, negotiating each transaction on an individual
basis. The principals who deal in the forward markets are not required to continue to make markets in the currencies or commodities
they trade and these markets can experience periods of illiquidity, sometimes of significant duration. There have been periods
during which certain participants in these markets have refused to quote prices for certain currencies or commodities or have quoted
prices with an unusually wide spread between the price at which they were prepared to buy and that at which they were prepared
to sell.

Futures Contract Risk. Futures are
standardized, exchange-traded contracts that obligate a purchaser to take delivery, and a seller to make delivery, of a specific
amount of an asset at a specified future date at a specified price. Unlike equities, which typically entitle the holder to a continuing
ownership stake in an issuer, futures contracts normally specify a certain date for settlement in cash based on the level of the
reference rate. The primary risks associated with the use of futures contracts, or swaps or other derivatives referencing futures
contracts, are: (i) the imperfect correlation between the change in market value of the instruments held by the Fund and the price
of the futures contract; (ii) possible lack of a liquid secondary market for a futures contract and the resulting inability to
close a futures contract when desired; (iii) losses caused by unanticipated market movements, which are potentially unlimited;
(iv) the Adviser’s inability to predict correctly the direction of prices and other economic factors; and (v) the possibility
that the counterparty will default in the performance of its obligations.

Income Risk. The Fund’s income
may decline when yields fall. This decline can occur because the Fund may subsequently invest in lower-yielding bonds as bonds
in its portfolio mature, are near maturity or are called, bonds in the Fund otherwise needs to purchase additional bonds.

Interest Rate Risk. An
increase in interest rates may cause the value of fixed-income securities held by the Fund or the Underlying Investments to decline.
The Fund may be subject to a greater risk of rising interest rates due to the current period of historically low rates and the
effect of potential government fiscal policy initiatives and resulting market reaction to those initiatives.

Large Shareholder and Large-Scale Redemption Risk. Certain shareholders, including an Authorized Participant, a third-party
investor, the Fund’s adviser or an affiliate of the Fund’s adviser, a market maker, or another entity, may from time
to time own or manage a substantial amount of Fund shares, or may invest in the Fund and hold its investment for a limited period
of time. There can be no assurance that any large shareholder or large group of shareholders would not redeem their investment.
Redemptions of a large number of Fund shares could require the Fund to dispose of assets to meet the redemption requests, which
can accelerate the realization of taxable income and/or capital gains and cause the Fund to make taxable distributions to its
shareholders earlier than the Fund otherwise would have. In addition, under certain circumstances, non-redeeming shareholders
may be treated as receiving a disproportionately large taxable distribution during or with respect to such year.

Market Risk. The prices of securities
held by the Fund may decline in response to certain events taking place around the world, including those directly involving the
companies whose securities are owned by the Fund; conditions affecting the general economy; overall market changes; local, regional
or global political, social or economic instability; and currency, interest rate and commodity price fluctuations. The equity securities
purchased by the Fund may involve large price swings and potential for loss. Investors in the Fund should have a long-term perspective
and be able to tolerate potentially sharp declines in value. The market’s daily movements, sometimes called volatility, may
be greater or less depending on the types of securities the Fund owns and the markets in which the securities trade. The increasing
interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region
or financial market may adversely impact issuers in a different country, region or financial market. Securities in the Fund’s
portfolio may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products
or resources, natural disasters, pandemics, epidemics, war, terrorism, regulatory events, governmental or quasi-governmental actions,
and public health emergencies. The occurrence of global events similar to those in recent years, such as terrorist attacks around
the world, natural disasters, social and political discord or debt crises and downgrades, among others, may result in market volatility
and may have long term effects on both the U.S. and global financial markets.

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

New Adviser Risk. The Adviser is
both a newly registered investment adviser and has limited or no previous experience managing a registered fund. As a result, there
is no long-term track record against which an investor may judge the Adviser and it is possible the Adviser may not achieve the
Fund’s intended investment objective.

New Fund Risk. The Fund is new and
does not have shares outstanding as of the date of this Prospectus. If the Fund does not grow large in size once it commences trading,
it will be at greater risk than larger funds of wider bid-ask spreads for its shares, trading at a greater premium or discount
to NAV, liquidation and/or a stop to trading. Any resulting liquidation of the Fund could cause the Fund to incur elevated transaction
costs for the Fund and negative tax consequences for its shareholders.

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

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

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

Tax Risk. The Fund invests in derivatives.
The federal income tax treatment of a derivative may not be as favorable as a direct investment in an underlying asset. Derivatives
may produce taxable income and taxable realized gain. Derivatives may adversely affect the timing, character and amount of income
the Fund realizes from its investments. As a result, a larger portion of the Fund’s distributions may be treated as ordinary
income rather than as capital gains. In addition, certain derivatives are subject to mark-to-market or straddle provisions of
the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”). If such provisions are applicable, there
could be an increase (or decrease) in the amount of taxable dividends paid by the Fund.

Underlying ETF Risk. The Fund
will have exposure to underlying ETFs that track their respective indexes. Because the value of the Fund in part will be based
on the value of the Underlying ETF, the Fund’s investment performance depends on the investment performance and associated
risks of the Underlying ETFs. The Underlying ETFs are subject to many of the same structural risks as the Fund that are described
in more detail herein, such as Authorized Participant Concentration Risk, Equity Securities Risk, Fluctuation of Net Asset Value
Risk, Market Maker Risk, Market Risk, Operational Risk and Trading Issues Risk.

U.S. Government Securities Risk.
U.S. government securities may differ from other securities in their interest rates, maturities, times of issuance and other characteristics
and may provide relatively lower returns than those of other securities. Similar to other issuers, changes to the financial condition
or credit rating of the U.S. government may cause the value of the Fund’s U.S. government securities to decline.

Valuation Risk. The price the Fund
could receive upon the sale of a security or other asset may differ from the Fund’s valuation of the security or other asset,
particularly for securities or other assets that trade in low volume or volatile markets or that are valued using a fair value
methodology as a result of trade suspensions or for other reasons. In addition, the value of the securities or other assets in
the Fund’s portfolio may change on days or during time periods when shareholders will not be able to purchase or sell the
Fund’s shares. Authorized Participants who purchase or redeem Fund shares on days when the Fund is holding fair-valued securities
may receive fewer or more shares, or lower or higher redemption proceeds, than they would have received had the Fund not fair-valued
securities or used a different valuation methodology. The Fund’s ability to value investments may be impacted by technological
issues or errors by pricing services or other third- party service providers.

Performance

The Fund is new, and therefore, no
performance information is presented for the Fund at this time. In the future, performance information will be presented in this
section of this Prospectus. Also, shareholder reports containing financial and performance information will be mailed to shareholders
semi-annually. Updated performance information will be available at no cost by visiting the Fund’s website at www.Neosfunds.com.

Management

Investment Adviser

NEOS Investment Management, LLC

Portfolio Manager Bio

Garrett Paolella, Troy Cates and Ryan Houlton are primarily responsible for the day-to-day management of the Fund.

Garrett Paolella, Managing Partner and Portfolio Manager of
the Adviser

Troy Cates, Managing Partner and Portfolio
Manager of the Adviser

Ryan Houlton, Managing Director, Head of
Trading and Portfolio Manager of the Adviser

Purchase and Sale of Fund Shares

Authorized Participants

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

Investors

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

Tax Information

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

Payments to Broker-Dealer and Other Financial Intermediaries

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

More Information About the Fund

Investment Objective

The Fund seeks to generate monthly income
in a tax efficient manner.

Additional Information About Investment
Strategies

The Fund is an actively-managed ETF
that seeks to achieve its objective by (i) investing in one or more other ETFs that seek to obtain exposure to the performance
of US short-term treasury bills, typically less than 90 days in duration, or directly in the securities held by such ETFs (Underlying
Investments) and (ii) selling and purchasing SPX put options to generate income to the Fund beyond what is received from the Underlying
Investments.

The Fund’s
options strategy is designed to seek to generate a positive return in rising and flat equity markets and may generate a positive
return in equity markets that are modestly declining, assuming the net premium collected from the options sold and purchased exceeds
the net cost to close the positions.

Short Put Options. When the Fund
sells a short put option it creates a contract between the option writer (the Fund) and the option buyer (counterparty). The writer
of the put option receives an amount (premium) for writing the option. The contract provides the counterparty with the right to
sell the underlying asset for a pre-specified price (strike price) by a pre-specified date (expiration date). However, no obligation
is created for the counterparty, who is not forced to sell the underlying asset (exercising the option) by the expiration date.
If the price of the underlying asset is less than the strike price at the expiration date, the counterparty may exercise their
option. If the option is exercised, the buyer will be entitled to receive the difference between the value of the underlying asset
and the strike price which results in a loss for the Fund. If the price of the underlying asset is higher than or equal to the
strike price at the expiration date, the counterparty (buyer) will not exercise its option. It will expire as worthless, which
results in a profit for the writer (Fund) and a corresponding loss for the holder.

Long Put Options. When the Fund
purchases a long put option, it creates a contract between option buyer (the Fund) and the option seller (counterparty). The Fund
pays an amount (premium) to a counterparty for the right to sell shares of the underlying asset for a pre-specified price (strike
price) until a pre-specified date (expiration date). The Fund has no obligation to exercise the put option by the expiration date.
In the event the underlying asset depreciates in value below the strike price, the Fund may exercise its put option and will be
entitled to receive the difference between the value of the underlying asset and the strike price, minus the initial premium that
the Fund paid for the put option. If the underlying asset closes above the strike price at the expiration date, the put option
may expire worthless, and the Fund’s loss is limited to the amount of premium it paid for the long put option.

The Fund’s Board of Trustees may
change the Fund’s investment objective, 80% Policy and the index upon which the Fund seeks to track its performance without
shareholder approval upon 60 days’ prior written notice to shareholders.

The Fund may engage in active and frequent
trading of portfolio securities in implementing its principal investment strategies.

Additional Information About the Fund’s
Principal Risks

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

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

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

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

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

Forward Contract Risk. Forward contracts
involve the purchase or sale of a specific quantity of a government security at a specified price, with delivery and settlement
at a specified future date. Forward contracts, unlike futures contracts, are not traded on exchanges and are not standardized;
rather, banks and dealers act as principals in these markets, negotiating each transaction on an individual basis. The principals
who deal in the forward markets are not required to continue to make markets in the currencies or commodities they trade and these
markets can experience periods of illiquidity, sometimes of significant duration. There have been periods during which certain
participants in these markets have refused to quote prices for certain currencies or commodities or have quoted prices with an
unusually wide spread between the price at which they were prepared to buy and that at which they were prepared to sell.

Large Shareholder and Large-Scale Redemption
Risk. Certain shareholders, including an Authorized Participant, a third-party investor, the Fund’s adviser or an affiliate
of the Fund’s adviser, a market maker, or another entity, may from time to time own or manage a substantial amount of Fund
shares or may invest in the Fund and hold its investment for a limited period of time. These shareholders may also pledge or loan
Fund shares (to secure financing or otherwise), which may result in the shares becoming concentrated in another party. There can
be no assurance that any large shareholder or large group of shareholders would not redeem their investment or that the size of
the Fund would be maintained. Redemptions of a large number of Fund shares by these shareholders may adversely affect the Fund’s
liquidity and net assets. To the extent the Fund permits redemptions in cash, these redemptions may force the Fund to sell portfolio
securities when it might not otherwise do so, which may negatively impact the Fund’s NAV, have a material effect on the market
price of the Shares and increase the Fund’s brokerage costs and/or accelerate the realization of taxable income and/or gains
and cause the Fund to make taxable distributions to its shareholders earlier than the Fund otherwise would have. In addition, under
certain circumstances, non-redeeming shareholders may be treated as receiving a disproportionately large taxable distribution during
or with respect to such tax year. The Fund also may be required to sell its more liquid Fund investments to meet a large redemption,
in which case the Fund’s remaining assets may be less liquid, more volatile, and more difficult to price. To the extent these
large shareholders transact in shares on the secondary market, such transactions may account for a large percentage of the trading
volume for the shares of the Fund and may, therefore, have a material upward or downward effect on the market price of the Shares.
In addition, large purchases of Fund shares may adversely affect the Fund’s performance to the extent that the Fund is delayed
in investing new cash and is required to maintain a larger cash position than it ordinarily would, diluting its investment returns.

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

New Adviser Risk. The Adviser has
limited or no previous experience managing a registered fund. Registered funds and their advisers are subject to restrictions and
limitations imposed by the Investment Company Act of 1940, as amended, and the Internal Revenue Code that do not apply to the adviser’s
management of other types of individual and institutional accounts. As a result, investors do not have a long-term track record
of managing a fund from which to judge the Adviser and the Adviser may not achieve the intended result in managing the Fund.

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

Pandemics Risk. An outbreak of infectious
respiratory illness caused by the novel coronavirus known as COVID-19 was first detected in China in December 2019 before spreading
worldwide and being declared a global pandemic by the World Health Organization in March 2020. COVID-19 has resulted in travel
restrictions, closed international borders, enhanced health screenings, disruption and delays in healthcare services, prolonged
quarantines, cancellations, temporary store closures, social distancing, government ordered curfews and business closures, disruptions
to supply chains and consumer activity, shortages, highly volatile financial markets, and general concern and uncertainty. The
impact of COVID-19, and other infectious illness outbreaks that may arise in the future, could adversely affect the economies and
capital markets of many nations or the entire global economy, as well as individual companies, entire sectors, and securities and
commodities markets (including liquidity), in ways that may not necessarily be foreseen at the present time. COVID-19 and other
health crises in the future may exacerbate other pre-existing political, social and economic risks, and its impact in developing
or emerging market countries may be greater due to less established health care systems. The duration and ultimate impact of the
current outbreak is not known. There is a risk that you may lose money by investing in the Fund.

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

Tax Risk. The Fund invests in derivatives.
The federal income tax treatment of a derivative may not be as favorable as a direct investment in an underlying asset. Derivatives
may produce taxable income and taxable realized gain. Derivatives may adversely affect the timing, character and amount of income
the Fund realizes from its investments. As a result, a larger portion of the Fund’s distributions may be treated as ordinary
income rather than as capital gains. In addition, certain derivatives are subject to mark-to-market or straddle provisions of the
Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”). If such provisions are applicable, there could
be an increase (or decrease) in the amount of taxable dividends paid by the Fund.

Valuation Risk. The price the Fund
could receive upon the sale of a security or other asset may differ from the Fund’s valuation of the security or other asset
and from the value used by the Underlying Index, particularly for securities or other assets that trade in low volume or volatile
markets or that are valued using a fair value methodology as a result of trade suspensions or for other reasons. Because non-U.S.
exchanges may be open on days when the Fund does not price its shares, the value of the securities or other assets in the Fund’s
portfolio may change on days or during time periods when shareholders will not be able to purchase or sell the Fund’s shares.
In addition, for purposes of calculating the Fund’s NAV, the value of assets denominated in non-U.S. currencies is converted
into U.S. dollars using prevailing market rates on the date of valuation as quoted by one or more data service providers. This
conversion may result in a difference between the prices used to calculate the Fund’s NAV and the prices used by the Underlying
Index, which, in turn, could result in a difference between the Fund’s performance and the performance of the Underlying
Index. Authorized Participants who purchase or redeem Fund shares on days when the Fund is holding fair-valued securities may receive
fewer or more shares, or lower or higher redemption proceeds, than they would have received had the Fund not fair-valued securities
or used a different valuation methodology. The Fund’s ability to value investments may be impacted by technological issues
or errors by pricing services or other third-party service providers.

Other Risks

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

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

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

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

Changes in Investment Objective or Policies

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

Temporary Defensive Investments

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

Manager-of-Managers Order

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

Disclosure of Portfolio Holdings

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

Fund Management

The Adviser

NEOS Investment Management, LLC, located
at 55 Post Road W, Westport, CT 06880, serves as the investment adviser to the Fund. The Adviser is a Delaware limited liability
company formed in 2022 to provide investment advisory services to registered investment companies.

The Adviser is responsible for the Fund’s
investment operations and its business affairs. Pursuant to a management agreement between the Trust and the Adviser with respect to
the Fund (“Management Agreement”) and subject to the general oversight of the Board, the Adviser provides or causes to be
furnished all supervisory and other services reasonably necessary for the operation of the Fund, including audit, portfolio accounting,
legal, transfer agency, custody, printing costs, certain administrative services (provided pursuant to a separate administration agreement),
certain distribution services (provided pursuant to a separate distribution agreement), certain shareholder and non-distribution-related
services under what is essentially an all-in fee structure. Under the Management Agreement, the Adviser has agreed to pay all expenses
incurred by the Fund except for the management fee, interest, taxes, brokerage commissions and other expenses incurred in placing orders
for the purchase and sale of securities and other investment instruments, acquired fund fees and expenses, extraordinary expenses, and
distribution fees and expenses paid by the Fund under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act (“Excluded
Expenses”).

The Adviser is paid a monthly unitary
management fee at an annual rate (stated as a percentage of the average daily net assets of the Fund) of 0.38%.

A discussion regarding the Board of
Trustees’ approval of the Management Agreement with respect to the Fund will be available in the Fund’s annual report
for the fiscal year ending May 31, 2023.

Portfolio Manager

The following individuals are jointly
and primarily responsible for the day-to-day management of the Fund’s portfolio: Garrett Paolella (since August 2022), Troy
Cates (since August 2022) and Ryan Houlton (since August 2022).

Shareholder Information

Determination of NAV

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

Buying and Selling Exchange-Traded Shares

Authorized Participants

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

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

Investors

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

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

Book Entry

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

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

Continuous Offering

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

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

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

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

For More Information:

Existing Shareholders or Prospective
Investors

NEOS Enhanced Income Cash Alternative
ETF

c/o Foreside Fund Services, LLC

Three
Canal Plaza, Suite 100

Portland, Maine 04101

Dealers

NEOS Enhanced Income Cash Alternative
ETF

c/o Foreside Fund Services, LLC

Three
Canal Plaza, Suite 100

Portland, Maine 04101

Distribution and Service Plan

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

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

Frequent Purchases and Redemptions of Fund Shares

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

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

Distributions

Dividends and Distributions

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

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

Annual Statements

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

Avoid “Buying a Dividend”

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

Dividend Reinvestment Service

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

Tax Information

Tax Considerations

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

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

Taxes on Distributions

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

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

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

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

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

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

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

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

Taxes When Shares are Sold on the Exchange

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

Taxes on Purchases and Redemptions of Creation Units

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

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

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

Financial Highlights

Because the Fund has not commenced operations
as of the date of this Prospectus, no financial highlights information is available.

Premium/Discount Information

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

Investment Adviser	Independent Registered Public Accounting Firm
NEOS Investment Management, LLC 55 Post Road W Westport, CT 06880	BBD, LLP 1835 Market Street, 3^rd Floor Philadelphia, PA 19103

Custodian	Transfer Agent
U.S. Bank, N.A. 1555 N. Rivercenter Drive, MK-WI-S302 Milwaukee, WI 53212	U.S. Bancorp Fund Services, LLC 615 East Michigan Street Milwaukee, WI 53202

Distributor	Legal Counsel
Foreside Fund Services, LLC Three Canal Plaza, Suite 100 Portland, Maine 04101	Thompson Hine LLP 1919 M Street, N.W., Suite 700 Washington D.C., 20036

Disclaimers

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

Additional Information

This Prospectus does not contain all
the information included in the Registration Statement filed with the SEC with respect to the Fund’s Shares. Information
about the Fund can be reviewed on the EDGAR database at the SEC’s website (http://www.sec.gov), and copies may be obtained,
after paying a duplicating fee, by electronic request at the following email address: [email protected] The SAI for the Fund,
which has been filed with the SEC, provides more information about the Fund. The SAI is incorporated herein by reference and is
legally part of this Prospectus. Additional information about the Fund’s investments will be available in the Fund’s
annual and semi-annual reports to shareholders. In the Fund’s annual report, when available, you will find a discussion
of the market conditions and investment strategies that significantly affected the Fund’s performance during its last fiscal
year. These documents and other information concerning the Trust also may be inspected at 14785 Preston Road, Suite 1000, Dallas,
TX 75254. You can also obtain information about the Fund by calling at no cost (866) 498-5677.

Investment Company Act file no. 811-23645.

SHP ETF Trust

STATEMENT OF ADDITIONAL INFORMATION

Dated August 30, 2022

This Statement of Additional Information
(“SAI”) is not a prospectus, and should be read in conjunction with the Prospectus of SHP ETF Trust (“Trust”)
dated August 30, 2022, as amended (“Prospectus”) for the following series of the Trust, as it may be supplemented
from time to time:

Fund	Ticker Symbol	Listing Exchange
NEOS S&P 500® High Income ETF	SPYI	Cboe BZX Exchange, Inc.

NEOS Enhanced Income Aggregate Bond ETF	BNDI	NYSE Arca, Inc.

NEOS Enhanced Income Cash Alternative ETF	CSHI	NYSE Arca, Inc.

Capitalized
terms used herein that are not defined have the same meaning as in the Prospectus, unless otherwise noted. A copy of each
Fund’s Prospectus, SAI, Annual Report, and Semi-Annual Report may be obtained without charge by writing to the Trust or the
Trust’s Distributor, Foreside Fund Services, LLC, at Three Canal Plaza, Suite 100, Portland, Maine 04101, or by
calling (866) 498-5677 (9 a.m. to 6 p.m. Eastern Time).

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

TABLE OF CONTENTS

GENERAL
DESCRIPTION OF THE TRUST

The Trust is an open-end management
investment company. The Trust consists of six separate investment portfolios: NEOS S&P 500® High Income ETF, NEOS Enhanced
Income Aggregate Bond ETF and NEOS Enhanced Income Cash Alternative ETF (each a “Fund” and, collectively, the “Funds”),
each of which are described in this SAI, and FIS Biblically Responsible Risk Managed ETF and FIS Knights of Columbus Global Belief
ETF, each of which is described in a separate SAI. Each Fund is a diversified management investment company under the Investment
Company Act of 1940, as amended (together with the rules and regulations adopted thereunder, as amended, the “1940 Act”).
Each Fund is actively managed. The Trust was organized as a Delaware statutory trust on February 1, 2021. The Trust is governed
by its Board of Trustees (the “Board”). The offering of each Fund’s shares (“Shares”) is registered
under the Securities Act of 1933, as amended (the “Securities Act”). NEOS Investment Management, LLC (the “Adviser”)
acts as investment adviser to each Fund.

Each Fund offers and issues Shares
at their net asset value (“NAV”) only in aggregations of a specified number of Shares (each, a “Creation Unit”).
Each Fund generally offers and issues Shares in exchange for the deposit or delivery of cash (“Deposit Cash”). The
Trust reserves the right to, in certain circumstances, permit or require the exchange of Creation Units partially or solely for
securities in Each Fund’s portfolio (“Deposit Securities”). Shares of NEOS S&P 500® High Income ETF
will be listed on Cboe BZX Exchange, Inc., and shares of NEOS Enhanced Income Aggregate Bond ETF and NEOS Enhanced Income Cash
Alternative ETF will be listed on NYSE Arca, Inc. (collectively, the “Exchanges”) and trade on the Exchanges at market
prices that may differ from the Shares’ NAV. Shares are also redeemable only in Creation Unit aggregations, primarily for
a basket of Deposit Securities together with a Cash Component. As a practical matter, only institutions or large investors purchase
or redeem Creation Units. Except when aggregated in Creation Units, Shares are not redeemable securities.

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

INVESTMENT
POLICIES AND RISKS

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

General Considerations and Risks

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

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

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

Active Management Risk

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

Asset-Backed Securities

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

Authorized Participant Concentration

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

Borrowing

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

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

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

Costs of Buying or Selling Shares Risk

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

Cybersecurity and Disaster Recovery
Risks

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

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

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

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

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

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

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

Counterparty Risk

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

Credit Risk

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

Dividend-Paying Stock Risk

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

Foreign Currency Transactions

Foreign Currencies

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

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

●

Inflation. Exchange rates change to reflect changes in a currency’s buying power. Different countries experience different inflation rates due to different monetary and fiscal policies, different product and market conditions, and a host of other factors.

●

Trade Deficits. Countries with trade deficits tend to experience a depreciating currency. Inflation may be the cause of a trade deficit, making a country’s goods more expensive and less competitive and so reducing demand for its currency.

●

Interest Rates. High interest rates may raise currency values in the short term by making such currencies more attractive to investors. However, since high interest rates are often the result of high inflation, long-term results may be the opposite.

●

Budget Deficits and Low Savings Rates. Countries that run large budget deficits and save little of their national income tend to suffer a depreciating currency because they are forced to borrow abroad to finance their deficits. Payments of interest on this debt can inundate the currency markets with the currency of the debtor nation. Budget deficits also can indirectly contribute to currency depreciation if a government chooses inflationary measures to cope with its deficits and debts.

●

Political Factors. Political instability in a country can cause a currency to depreciate. Demand for a certain currency may fall if a country appears a less desirable place in which to invest and do business.

●

Government Control. Through their own buying and selling of currencies, the world’s central banks sometimes manipulate exchange rate movements. In addition, governments occasionally issue statements to influence people’s expectations about the direction of exchange rates, or they may instigate policies with an exchange rate target as the goal. The value of a Fund’s is calculated in U.S. dollars each day that the New York Stock Exchange (“NYSE”) is open for business. As a result, to the extent that a Fund’s assets are invested in instruments denominated in foreign currencies and the currencies appreciate relative to the U.S. dollar, a Fund’s NAV as expressed in U.S. dollars (and, therefore, the value of your ) should increase. If the U.S. dollar appreciates relative to the other currencies, the opposite should occur. The currency-related gains and losses experienced by a Fund will be based on changes in the value of portfolio securities attributable to currency fluctuations only in relation to the original purchase price of such securities as stated in U.S. dollars. Gains or losses on Shares of a Fund will be based on changes attributable to fluctuations in the NAV of such Shares, expressed in U.S. dollars, in relation to the original U.S. dollar purchase price of the Shares. The amount of appreciation or depreciation in a Fund’s assets also will be affected by the net income generated by the money market instruments in which a Fund invests and by changes in the value of the securities that are unrelated to changes in currency exchange rates.

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

Currency-Related Derivatives and Other
Financial Instruments

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

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

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

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

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

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

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

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

Custody Risk

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

Derivatives Risk

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

On October 28, 2020, the SEC adopted new
regulations governing the use of derivatives by registered investment companies (“Rule 18f-4”). A Fund will be required
to implement and comply with Rule 18f-4 by August 19, 2022. Once implemented, Rule 18f-4 will impose limits on the amount of derivatives
a Fund can enter into, eliminate the asset segregation framework currently used by the Funds to comply with Section 18 of the 1940
Act, treat derivatives as senior securities and require Funds whose use of derivatives is more than a limited specified exposure
amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager.

Tax Risk of Derivatives

Each Fund may invest in derivatives. The
federal income tax treatment of a derivative may not be as favorable as a direct investment in an underlying asset. Derivatives
may produce taxable income and taxable realized gain. Derivatives may adversely affect the timing, character and amount of income
a Fund realizes from its investments. As a result, a larger portion of a Fund’s distributions may be treated as ordinary
income rather than as capital gains. In addition, certain derivatives are subject to mark-to market or straddle provisions of the
Code. If such provisions are applicable, there could be an increase (or decrease) in the amount of taxable dividends paid by a
Fund.

Forward Contract Risk

Forward contracts involve the purchase
or sale of a specific quantity of a government security at a specified price, with delivery and settlement at a specified future
date. Forward contracts, unlike futures contracts, are not traded on exchanges and are not standardized; rather, banks and dealers
act as principals in these markets, negotiating each transaction on an individual basis. The principals who deal in the forward
markets are not required to continue to make markets in the currencies or commodities they trade and these markets can experience
periods of illiquidity, sometimes of significant duration. There have been periods during which certain participants in these markets
have refused to quote prices for certain currencies or commodities or have quoted prices with an unusually wide spread between
the price at which they were prepared to buy and that at which they were prepared to sell.

Exchange-Traded Product Risk

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

Fixed Income Securities

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

Duration

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

Creditor Liability and Participation
on Creditors’ Committees

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

Variable and Floating Rate Securities

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

Bank Obligations

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

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

Debt Securities

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

Corporate Debt Securities

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

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

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

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

Below Investment-Grade Debt Securities

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

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

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

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

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

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

Unrated Debt Securities

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

Commercial Paper

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

Inflation-Indexed Bonds

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

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

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

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

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

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

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

Floating Rate Loans

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

Prepayment/Extension Risk

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

Collateral Risk

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

Other Floating Rate Loan Risks

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Fluctuation of Net Asset Value

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

Foreign Securities

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

ADRs, GDRs and EDRs

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

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

Emerging Markets

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

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

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

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

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

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

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

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

Futures and Options

A Fund may enter into futures contracts
and options that are traded on a U.S. or non-U.S. exchange. A Fund will not use futures or options for speculative purposes. A
Fund may enter into certain equity, index and currency futures transactions, as well as other futures transactions that become
available in the markets. By using such futures contracts, the Funds may obtain exposure to certain equities, indexes and currencies
without actually investing in such instruments. Index futures may be based on broad indices, such as the S&P 500 Index, or
narrower indices.

Risk of Futures and Options

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

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

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

Utilization of futures and options on futures
by a Fund involves the risk of imperfect or even negative correlation to its Underlying Index if the index underlying the futures
contract differs from the Reference Index. There is also the risk of loss of margin deposits in the event of bankruptcy of a broker
with whom a Fund has an open position in the futures contract or option. The purchase of put or call options will be based upon
predictions by the Adviser as to anticipated trends, which predictions could prove to be incorrect.

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

Futures

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

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

Unlike purchases or sales of portfolio
securities, no price is paid or received by a Fund upon the purchase or sale of a futures contract. Initially, a Fund will be required
to deposit with the broker or in an account with a custodian or sub-custodian an amount of liquid assets, known as initial
margin, based on the value of the contract. The nature of initial margin in futures transactions is different from that of margin
in security transactions in that futures contract margin does not involve the borrowing of funds by the customer to finance the
transactions. Rather, the initial margin is in the nature of a performance bond or good faith deposit on the contract, which is
returned to the Fund upon termination of the futures contract, assuming all contractual obligations have been satisfied. Subsequent
payments, called variation margin, to and from the broker, will be made on a daily basis as the price of the underlying instruments
fluctuates, making the long and short positions in the futures contract more or less valuable, a process known as “marking-to-market.”
For example, when a Fund has purchased a futures contract and the price of the contract has risen in response to a rise in the
underlying instruments, that position will have increased in value and the Fund will be entitled to receive from the broker a variation
margin payment equal to that increase in value. Conversely, where a Fund has purchased a futures contract and the price of the
future contract has declined in response to a decrease in the underlying instruments, the position would be less valuable, and
the Fund would be required to make a variation margin payment to the broker. Prior to expiration of the futures contract, the Adviser
may elect to close the position by taking an opposite position, subject to the availability of a secondary market, which will operate
to terminate the Fund’s position in the futures contract. A final determination of variation margin is then made, additional
cash is required to be paid by or released to the Fund, and the Fund realizes a loss or gain.

There are several risks in connection with
the use of futures by a Fund. One risk arises because of the imperfect correlation between movements in the price of the futures
and movements in the price of the instruments which are the subject of the hedge. The price of the future may move more than or
less than the price of the instruments being hedged. If the price of the futures moves less than the price of the instruments which
are the subject of the hedge, the hedge will not be fully effective but, if the price of the instruments being hedged has moved
in an unfavorable direction, the Fund would be in a better position than if it had not hedged at all. If the price of the instruments
being hedged has moved in a favorable direction, this advantage will be partially offset by the loss on the futures. If the price
of the futures moves more than the price of the hedged instruments, the Fund involved will experience either a loss or gain on
the futures, which will not be completely offset by movements in the price of the instruments that are the subject of the hedge.
To compensate for the imperfect correlation of movements in the price of instruments being hedged and movements in the price of
futures contracts, a Fund may buy or sell futures contracts in a greater dollar amount than the dollar amount of instruments being
hedged if the volatility over a particular time period of the prices of such instruments has been greater than the volatility over
such time period of the futures, or if otherwise deemed to be appropriate by the Adviser. Conversely, a Fund may buy or sell fewer
futures contracts if the volatility over a particular time period of the prices of the instruments being hedged is less than the
volatility over such time period of the futures contract being used, or if otherwise deemed to be appropriate by the Adviser.

In addition to the possibility that there
may be an imperfect correlation, or no correlation at all, between movements in futures and the instruments being hedged, the price
of futures may not correlate perfectly with movement in the cash market due to certain market distortions. Rather than meeting
additional margin deposit requirements, investors may close futures contracts through off-setting transactions, which could distort
the normal relationship between the cash and futures markets. Second, with respect to financial futures contracts, the liquidity
of the futures market depends on participants entering into off-setting transactions rather than making or taking delivery. To
the extent participants decide to make or take delivery, liquidity in the futures market could be reduced, thus producing distortions.
Third, from the point of view of speculators, the deposit requirements in the futures market are less onerous than margin requirements
in the securities market. Therefore, increased participation by speculators in the futures market may also cause temporary price
distortions. Due to the possibility of price distortion in the futures market, and because of the imperfect correlation between
the movements in the cash market and movements in the price of futures, a correct forecast of general market trends or interest
rate movements by the Adviser may still not result in a successful hedging transaction over a short time frame.

In general, positions in futures may be
closed out only on an exchange, board of trade or other trading facility that provides a secondary market for such futures. Although
a Fund intends to purchase or sell futures only on trading facilities where there appear to be active secondary markets, there
is no assurance that a liquid secondary market on any trading facility will exist for any particular contract or at any particular
time. In such an event, it may not be possible to close a futures contract position, and in the event of adverse price movements,
a Fund would continue to be required to make daily cash payments of variation margin. However, in the event futures contracts have
been used to hedge portfolio securities, such securities may not be sold until the futures contract can be terminated. In such
circumstances, an increase in the price of the securities, if any, may partially or completely offset losses on the futures contract.
However, as described above, there is no guarantee that the price of the securities will in fact correlate with the price movements
in the futures contract and thus provide an offset on a futures contract.

Further, it should be noted that the liquidity
of a secondary market in a futures contract may be adversely affected by “daily price fluctuation limits” established
by commodity exchanges, which limit the amount of fluctuation in a futures contract price during a single trading day. Once the
daily limit has been reached in the contract, no trades may be entered into at a price beyond the limit, thus preventing the liquidation
of open futures positions. The trading of futures contracts is also subject to the risk of trading halts, suspensions, exchange
or clearing house equipment failures, government intervention, insolvency of a brokerage firm or clearing house or other disruptions
of normal trading activity, which could at times make it difficult or impossible to liquidate existing positions or to recover
excess variation margin payments.

Successful use of futures by a Fund is
subject to the Adviser’s ability to predict correctly movements in the direction of the market. In addition, in such situations,
if a Fund has insufficient cash, it may have to sell securities to meet daily variation margin requirements. Such sales of securities
may be, but will not necessarily be, at increased prices which reflect the rising market. A Fund may have to sell securities at
a time when it may be disadvantageous to do so.

With respect to futures contracts that
are contractually required to “cash-settle,” a Fund maintains liquid assets in an amount at least equal to a Fund’s
daily marked-to-market obligation (i.e., a Fund’s daily net liability, if any), rather than the contracts’ notional
value (i.e., the value of the underlying asset). By maintaining assets equal to its net obligation under cash-settled futures contracts,
a Fund may employ leverage to a greater extent than if a Fund set aside assets equal to the futures contracts’ full notional
value.

Options

A Fund may invest in put options and buy
call options and write covered call and secured put options. Such options may relate to particular securities, foreign and domestic
stock indices, financial instruments, foreign currencies or the yield differential between two securities and may or may not be
listed on a domestic or foreign securities exchange or issued by the Options Clearing Corporation. A call option for a particular
security or currency gives the purchaser of the option the right to buy, and a writer the obligation to sell, the underlying security
at the stated exercise price prior to the expiration of the option, regardless of the market price of the security or currency.
The premium paid to the writer is in consideration for undertaking the obligation under the option contract. A put option for a
particular security or currency gives the purchaser the right to sell the security or currency at the stated exercise price prior
to the expiration date of the option, regardless of the market price of the security or currency. In contrast to an option on a
particular security, an option on an index provides the holder with the right to make or receive a cash settlement upon exercise
of the option. The amount of this settlement will be equal to the difference between the closing price of the index at the time
of exercise and the exercise price of the option expressed in dollars, times a specified multiple

Options trading is a highly specialized
activity, which entails risk greater than ordinary investment risk. Options on particular securities may be more volatile than
the underlying instruments and, therefore, on a percentage basis, an investment in options may be subject to greater fluctuation
than an investment in the underlying instruments themselves. The Funds will write call options only if they are “covered.”
In the case of a call option on a security or currency, the option is “covered” if the Fund owns the security or currency
underlying the call or has an absolute and immediate right to acquire that security without additional cash consideration upon conversion or exchange of other
securities held by it. For a call option on an index, the option is covered if the Fund maintains with its custodian a portfolio
of securities substantially replicating the index, or liquid assets equal to the contract value.

A Fund’s obligation to sell subject
to a covered call option written by it, or to purchase a security or currency subject to a secured put option written by it, may
be terminated prior to the expiration date of the option by the Fund’s execution of a closing purchase transaction, which
is effected by purchasing on an exchange an option of the same series (i.e., same underlying security or currency, exercise price
and expiration date) as the option previously written. Such a purchase does not result in the ownership of an option. A closing
purchase transaction will ordinarily be effected to realize a profit on an outstanding option, to prevent an underlying instrument
from being called, to permit the sale of the underlying security or currency or to permit the writing of a new option containing
different terms on such underlying security. The cost of such a liquidation purchase plus transaction costs may be greater than
the premium received upon the original option, in which event the Fund will have incurred a loss in the transaction. There is no
assurance that a liquid secondary market will exist for any particular option. An option writer, unable to effect a closing purchase
transaction, will not be able to sell the underlying security or currency (in the case of a covered call option) or liquidate the assets (in the case of a secured put option) until the option expires or the optioned security or currency is delivered
upon exercise with the result that the writer in such circumstances will be subject to the risk of market decline or appreciation
in the instrument during such period.

When a Fund purchases an option, the premium
paid by it is recorded as an asset of the Fund. When a Fund writes an option, an amount equal to the net premium (the premium less
the commission) received by the Fund is included in the liability section of the Fund’s statement of assets and liabilities
as a deferred credit. The amount of this asset or deferred credit will be subsequently marked-to-market to reflect the current
value of the option purchased or written. The current value of the traded option is the last sale price or, in the absence of a
sale, the current bid price. If an option purchased by a Fund expires unexercised, the Fund realizes a loss equal to the premium
paid. If a Fund enters into a closing sale transaction on an option purchased by it, the Fund will realize a gain if the premium
received by the Fund on the closing transaction is more than the premium paid to purchase the option, or a loss if it is less.
If an option written by a Fund expires on the stipulated expiration date or if a Fund enters into a closing purchase transaction,
it will realize a gain (or loss if the cost of a closing purchase transaction exceeds the net premium received when the option
is sold) and the deferred credit related to such option will be eliminated. If an option written by a Fund is exercised, the proceeds
of the sale will be increased by the net premium originally received and the Fund will realize a gain or loss.

There are several risks associated with
transactions in certain options. For example, there are significant differences between the securities, currency and options markets
that could result in an imperfect correlation between these markets, causing a given transaction not to achieve its objectives.
In addition, a liquid secondary market for particular options, whether traded over-the-counter or on an exchange, may be absent
for reasons which include the following: there may be insufficient trading interest in certain options; restrictions may be imposed
by an exchange on opening transactions or closing transactions or both; trading halts, suspensions or other restrictions may be
imposed with respect to particular classes or series of options or underlying securities or currencies; unusual or unforeseen circumstances
may interrupt normal operations on an exchange; the facilities of an exchange or the Options Clearing Corporation may not at all
times be adequate to handle current trading volume; or one or more exchanges could, for economic or other reasons, decide or be
compelled at some future date to discontinue the trading of options (or a particular class or series of options), in which event
the secondary market on that exchange (or in that class or series of options) would cease to exist, although outstanding options
that had been issued by the Options Clearing Corporation as a result of trades on that exchange would continue to be exercisable
in accordance with their terms.

Options on Futures Contracts

A Fund may purchase and write options on
the futures contracts described above. A futures option gives the holder, in return for the premium paid, the right to receive
and execute a long futures contract (if the option is a call) or a short futures contract (if the option is a put) at a specified
price at any time during the period of the option. Like the buyer or seller of a futures contract, the holder, or writer, of an
option has the right to terminate its position prior to the scheduled expiration of the option by selling, or purchasing an option
of the same series, at which time the person entering into the closing transaction will realize a gain or loss. A Fund will be
required to deposit initial margin and variation margin with respect to put and call options on futures contracts written by it
pursuant to brokers’ requirements similar to those described above. Net option premiums received will be included as initial
margin deposits.

Investments in futures options involve
some of the same considerations that are involved in connection with investments in futures contracts (for example, the existence
of a liquid secondary market). In addition, the purchase or sale of an option also entails the risk that changes in the value of
the underlying futures contract will not correspond to changes in the value of the option purchased. Depending on the pricing of
the option compared to either the futures contract upon which it is based, or upon the price of the securities being hedged, an
option may or may not be less risky than ownership of the futures contract or such securities. In general, the market prices of
options can be expected to be more volatile than the market prices on the underlying futures contract. Compared to the purchase
or sale of futures contracts, however, the purchase of call or put options on futures contracts may frequently involve less potential
risk to a Fund because the maximum amount at risk is the premium paid for the options (plus transaction costs). The writing of
an option on a futures contract involves risks similar to those risks relating to the purchase or sale of futures contracts.

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

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

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

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

U.S. Federal Tax Treatment of Futures
Contracts

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

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

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

Geographic Concentration Risk

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

High Yield Securities Risk

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

Income Risk

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

Interest Rate Risk

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

Some investments give the issuer the option
to call or redeem an investment before its maturity date. If an issuer calls or redeems an investment during a time of declining
interest rates, a Fund might have to reinvest the proceeds in an investment offering a lower yield, and therefore it might not
benefit from any increase in value as a result of declining interest rates. Leverage Risk. Leverage is investment exposure that
exceeds the initial amount invested. The loss on a leveraged investment may far exceed a Fund’s principal amount invested.
Leverage can magnify a Fund’s gains and losses and, therefore, increase its volatility. There is no guarantee that a Fund
will use leverage, or when it does, that a Fund’s leveraging strategy will be successful. A Fund cannot guarantee that the
use of leverage will produce a high return on an investment. The use of leverage may result in a Fund having to liquidate
holdings when it may not be advantageous to do so in order to satisfy its. Liquidity
Risk. In certain circumstances, it may be difficult for a Fund to purchase and sell particular portfolio investments due to infrequent
trading in such investments. The prices of such securities may experience significant volatility, make it more difficult for a
Fund to transact significant amounts of such securities without an unfavorable impact on prevailing market prices, or make it difficult
for the Adviser to dispose of such securities at a fair price at the time the Adviser believes it is desirable to do so. In addition,
a Fund’s investments in ETNs and certain other ETPs may be subject to restrictions on the amount and timing of any redemptions.
A Fund’s investments in such securities may restrict a Fund’s ability to take advantage of other market opportunities
and adversely affect the value of a Fund’s portfolio holdings. A Fund’s investments in certain ETPs also may be subject
to trading halts caused by extraordinary market volatility pursuant to “circuit breaker” rules.

Investment Companies

A Fund may invest in the securities of
other investment companies, subject to applicable limitations under Section 12(d)(1) of the 1940 Act. Pursuant to Section 12(d)(1),
a Fund may invest in the securities of another investment company (the “acquired company”) provided that a Fund, immediately
after such purchase or acquisition, does not own in the aggregate: (i) more than 3% of the total outstanding voting stock of the
acquired company; (ii) securities issued by the acquired company having an aggregate value in excess of 5% of the value of the
total assets of a Fund; or (iii) securities issued by the acquired company and all other investment companies (other than Treasury
stock of a Fund) having an aggregate value in excess of 10% of the value of the total assets of a Fund. To the extent allowed
by law or regulation, a Fund may invest its assets in securities of investment companies in excess of the limits discussed above.

If a Fund invests in and, thus, is a shareholder
of, another investment company, the Fund’s shareholders will indirectly bear the Fund’s proportionate share of the
fees and expenses paid by such other investment company, including advisory fees, in addition to both the management fees payable
directly by the Fund to the Fund’s own investment adviser and the other expenses that the Fund bears directly in connection
with the Fund’s own operations.

Section 12(d)(1) of the 1940 Act restricts
investments by registered investment companies in securities of other registered investment companies, including a Fund. The acquisition
of a Fund’s Shares by registered investment companies is subject to the restrictions of Section 12(d)(1) of the 1940 Act,
except as may be permitted by exemptive rules under the 1940 Act or as may at some future time be permitted by an exemptive order
that permits registered investment companies to invest in a Fund beyond the limits of Section 12(d)(1), subject to certain terms
and conditions, including that the registered investment company enter into an agreement with the Fund regarding the terms of the
investment.

The acquisition of shares of the Fund by
registered investment companies is subject to the restrictions of Section 12(d)(1) of the 1940 Act, except as may be permitted
by exemptive rules under the 1940 Act or as permitted by an exemptive order obtained by the Trust that permits registered investment
companies to invest in the Fund beyond the limits of Section 12(d)(1), subject to certain terms and conditions, including that
the registered investment company enter into an agreement with the Fund regarding the terms of the investment. The SEC recently
adopted changes to the regulatory framework for fund of funds arrangements. New Rule 12d1-4 permits other investment companies
to invest in the Fund beyond the limits in Section 12(d)(1), subject to similar conditions.

Issuer Risk

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

Leverage

Leverage is investment exposure that exceeds
the initial amount invested. The loss on a leveraged investment may far exceed a Fund’s principal amount invested. Leverage
can magnify a Fund’s gains and losses and, therefore, increase its volatility. There is no guarantee that a Fund’s
leveraging strategy will be successful. A Fund cannot guarantee that the use of leverage will produce a high return on an investment.

Under the 1940 Act, a Fund is permitted to borrow from a bank
up to 33 1/3% of its total net assets for short-term or emergency purposes. Each Fund may borrow money at fiscal quarter end to
maintain the required level of diversification to qualify as a RIC for purposes of the Code. As a result, a Fund may be exposed
to the risks of leverage, which may be considered a speculative investment technique. Leverage magnifies the potential for gain
and loss on amounts invested and therefore increases the risks associated with investing in the Funds. If the value of a Fund’s
assets increases, then leveraging would cause the Fund’s NAV to increase more sharply than it would have had the Fund not
been leveraged. Conversely, if the value of a Fund’s assets decreases, leveraging would cause the Fund’s NAV to decline
more sharply than it otherwise would have had the Fund not been leveraged. The Funds may incur additional expenses in connection
with borrowings.

Liquidity Risk

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

Management Risk

As a Fund may not fully replicate the Index,
it is subject to the risk that the Adviser’s investment strategy may not produce the intended results.

Market Risk

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

Market Trading Risk

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

Absence of Prior Active Market

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

Trading Issues

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

Mortgage-Related Securities

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

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

Mortgage Pass-Through Securities

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

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

Agency Mortgage-Related Securities

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

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

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

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

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

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

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

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

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

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

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

Non-Agency Securities Risk

There are no direct or indirect government
or agency guarantees of payments in mortgage pools created by non-government issuers. Non-agency securities are also not subject
to the same underwriting requirements for the underlying mortgages that are applicable to those mortgage-related securities that
have a government or government-sponsored entity guarantee. In addition, a substantial portion of the nonagency securities in which
a Fund invests may be rated below investment grade (commonly known as “junk bonds”). Non-agency mortgage-related securities
are not traded on an exchange and there may be a limited market for the securities, especially when there is a perceived weakness
in the mortgage and real estate market sectors. Without an active trading market, the non-agency mortgage-related securities held
in a Fund’s portfolio may be particularly difficult to value because of the complexities involved in assessing the value
of the underlying mortgage loans.

Collateralized Mortgage Obligations
(“CMOs”)

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

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

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

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

Commercial Mortgage-Backed Securities

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

Other Mortgage-Related Securities

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

CMO Residuals

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

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

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

Adjustable Rate Mortgage-Backed Securities
(“ARMBSs”)

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

Stripped Mortgage-Backed Securities
(“SMBSs”)

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

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

Prepayment Risk

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

National Closed Market Trading Risk

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

New Adviser Risk

The Adviser is both a newly registered
investment adviser and has limited or no previous experience managing a registered fund. As a result, there is no long-term track
record against which an investor may judge the Adviser and it is possible the Adviser may not achieve a Fund’s intended investment
objective.

New Fund Risk

The Funds are new funds, with no operating
history, which may result in additional risks for investors in the Funds. There can be no assurance that these Funds will grow
to or maintain an economically viable size, in which case the Board of Trustees may determine to liquidate the Funds. While shareholder
interests will be the paramount consideration, the timing of any liquidation may not be favorable to certain individual shareholders.

Operational Risk

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

Quantitative Investing Risk

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

Real Estate Investment Trusts

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

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

Recent Market Conditions

The performance of the Funds are subject
to general market conditions. Following years of fiscal and monetary support, the U.S. market and economy are adjusting to reduced
levels of support. Supply chain bottlenecks and pent-up demand as a consequence of the COVID-19 pandemic have led to elevated inflation
pressures in the United States. While the U.S. consumer market generally remains strong, purchasing power could be eroded if wage
inflation does not keep pace with price inflation. In time, this may reduce inflation-adjusted demand. COVID-19 remains a risk
factor with the potential that new variants could lead to increased government restrictions and consumer caution. Additionally,
COVID-19 remains a challenge for global supply chain normalization, with China’s zero-COVID policies snarling global logistics.

Permanent vs. transitory inflation remains
a key question influencing market conditions in 2022. While some pricing pressure remains transitory, the supply chain disruptions
have persisted for two years, contributing to more permanent dislocations in price expectations. In November 2021, the Federal
Reserve (Fed) dropped the term “transitory” from its reference to inflation and started reflecting a more hawkish perspective.
This brought forward expectations for reduced liquidity and higher interest rates, contributing to market volatility during the
first quarter of 2022. Potential shifts in Fed policy and views in 2022 may raise interest rates, which could drive market sentiment.
There is no certainty that actions taken by the Fed will improve market conditions.

Inflation pressures have been fueled by
elevated energy prices. One of the main near-term sources of elevated energy prices is the geopolitical tensions between Russia
and Ukraine These tensions could either escalate into military conflict or could dissipate based on various factors facing Russia
and Ukraine. Due to Europe’s reliance on Russian oil and gas, Russia’s bargaining position may decline as the demand
for oil and gas declines. This could lead to near term energy price volatility and may contribute to inflation pressures.

China remains a risk factor to both global
supply and demand. The 2021 Chinese property market correction appears broader and deeper than China’s prior housing cycles.
Weak market sentiment in China, combined with a high volume of property developer bonds maturing in offshore USD denominated markets
in the first half of 2022, increase the risk of a lack of liquidity in the Chinese property market. The Chinese property market
slowdown and resulting potential weakness in China’s economic growth could have broader repercussions. China currently accounts
for around half the annual copper and steel used globally while being expected to comprise more than 20% of global GDP growth between
2021 and 2026. Additionally, the Chinese market remains important to both U.S. and globally listed companies as a growing consumer
market and an important part of supply chains. Chinese policy action may help mitigate this risk from the property sector and restore
confidence and stability.

It is impossible to predict the effects
of these or similar events in the future on the Funds, although it is possible that these or similar events could have a significant
adverse impact on the NAV and/or risk profile of a Fund.

Repurchase Agreements

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

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

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

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

Reverse Repurchase Agreements

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

Sector Risk

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

Securities Lending

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

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

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

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

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

Short Sales

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

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

Short-Term Instruments

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

Structured Notes

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

Swaps

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

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

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

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

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

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

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

Tax Risks

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

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

Time Deposits and Eurodollar Time Deposits

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

U.S. Government Securities

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

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

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

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

Valuation Risk

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

Warrants and Subscription Rights

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

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

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

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

Decisions to enter into when-issued, delayed-delivery
or forward commitment transactions will be considered on a case-by-case basis when necessary to maintain continuity in a company’s
index membership.

Zero Coupon Bonds

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

INVESTMENT
RESTRICTIONS AND POLICIES

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

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

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

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

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

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

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

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

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

Each Fund’s
policy to, under normal circumstances, the Fund will invest in at least three countries (one of which may be the United States) and will
invest at least 40% of its total assets at the time of purchase in in equity securities of companies headquartered outside the United
States is non-fundamental and may be changed by the Board without shareholder approval.

With respect to interpretations of the
SEC or its staff described in fundamental restriction number 2 and number 3 above, the SEC and its staff have identified various
securities trading practices and derivative instruments used by mutual funds that give rise to potential senior security issues
under Section 18(f) of the 1940 Act, which prohibits mutual funds from issuing senior securities. Under the 1940 Act, a mutual
fund may borrow from a bank, provided that immediately after any such borrowing there is an asset coverage of at least 300 percent
for all borrowings; or from a bank or other persons for temporary purposes only, provided that such temporary borrowings are in
an amount not exceeding 5% of a Fund’s total assets at the time when the borrowing is made. However, rather than rigidly
deeming all such practices outside of bank borrowing as impermissible forms of issuing a “senior security” under Section
18(f), the SEC and its staff through interpretive releases, including Investment Company Act Release No. 10666 (April 18, 1979),
and no-action letters has developed an evolving series of methods by which a fund may address senior security issues. In particular,
the common theme in this line of guidance has been to use methods of “covering” fund obligations that might otherwise
create a senior security-type obligation by holding sufficient liquid assets that permit a fund to meet potential trading and
derivative-related obligations. Thus, a potential Section 18(f) senior security limitation is not applicable to activities that
might be deemed to involve a form of the issuance or sale of a senior security by a Fund, provided that a Fund’s engagement
in such activities is consistent with or permitted by Section 18 of the 1940 Act, the rules and regulations promulgated thereunder
or interpretations of the SEC or its staff.

BOARD
OF TRUSTEES OF THE TRUST

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

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

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

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

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

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

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

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

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

Independent
Trustees

The
address of each trustee is c/o 14785 Preston Road, Suite 1000, Dallas, TX 75254. Each trustee serves for the life of the Trust,
subject to their earlier death, incapacitation, resignation, retirement or removal as more specifically provided in the Trust’s
organizational documents.

Name, Year of Birth, and Position(s) held with the Trust	Length of Time Served	Principal Occupation(s) During Past Five Years	Number of Portfolios in the Fund Complex Overseen	Other Directorships Held by Trustee During Past Five Years
Sharon Cheever, 1955, Trustee	Since 2021	Retired (December 2020 – Present); Senior Vice President and General Counsel, Pacific Global Asset Management LLC (August 2012 – December 2020); Senior Vice President and General Counsel, Cadence Capital management LLC (July 2016 – August 2016); Senior Vice President and General Counsel, Pacific Life Fund Advisors LLC (January 2008 – October 2015); Senior Vice President and General Counsel, Pacific Private Fund Advisors LLC (August 2013 – March 2015).	5	Pacific Global ETF Trust
Richard Keary, 1962 Trustee	Since 2021	Principal/Founder, Global ETF Advisors, LLC (March 2009 – Present).	5	None
John Jacobs, 1959 Trustee	Since 2021	Alerian (Chairman, June 2018 to Present); Georgetown University (Academic Staff, 2015 to 2021); Nasdaq (Executive Vice President and Senior Advisor, 2013-2016).	5	Horizons Trust ETFs; AWA ETFs; Listed Funds Trust; Procure ETF Trust II; tZERO; BMAQ
Robert Sherry, 1963 Trustee	Since 2021	COO, Digital Prime Technologies, a fintech firm (December 2021 – Present); Head of US Prime Brokerage, Maybank Kim Eng Securities USA, Inc. (September 2020 – December 2021); Consultant, Maybank Kim Eng Securities USA, Inc. (February 2020 – September 2020); Chief Operating Officer, Cantor Fitzgerald & CF Secured (September 2009 – April 2018).	5	None

Interested
Trustees and Officers

The
address of each trustee is c/o SHP ETF Trust, 14785 Preston Road, Suite 1000, Dallas, TX 75254. Each trustee serves for the life
of the Trust, subject to their earlier death, incapacitation, resignation, retirement or removal as more specifically provided
in the Trust’s organizational documents.

Name,
Year of Birth, and
Position(s) held with the Trust

Length
of
Time Served

Principal
Occupation(s)
During Past Five Years

Number
of
Portfolios in the
Fund Complex
Overseen

Other

Directorships Held
By Trustee During
Past Five Years

Josef
M. Valdman,

1981

Trustee
and Chairman

Since
2021

Managing
Partner, Slate Hill Partners (September 2020 – Present); Head of Product Management, Cadence Capital Management (January
2018 – September 2020); Senior Managing Director; Foreside Management Services LLC (May 2013 – December 2018).

None

Garrett
Paolella,

1986

Trustee
and President

Since
2021

Managing
Partner, Intersect Capital Management (January 2021 – Present); Partner, Slate Hill Partners (October 2020 – Present);
Managing Director and Portfolio Manager, Harvest Volatility Management (June 2018 – Present); Managing Director, Horizons
ETFs USA (October 2016 – June 2018); Managing Partner, Recon Capital Partners (January 2012 – December 2017).

Horizons
ETF Series Trust; Recon Capital Series Trust

*Indicates
an “interested person” of the Trust, as that term is defined in Section 2(a)(19) of the 1940 Act.

Officer
Information

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

The
address for each officer is c/o SHP ETF Trust, 14785 Preston Road, Suite 1000, Dallas, TX 75254. Each officer of serves for a
one-year term or until their successors are elected and qualified.

Officer’s Name, and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During The Past Five Years
Josh Hunter, 1981	Treasurer	Since 2021	Fund Principal Financial Officer, Foreside Fund Officer Services LLC (July 2015 – Present); Vice President/Assistant Vice President, Treasury Services, JPMorgan Chase & Co. (July 2008 – July 2015).
Michael J. Skillman, 1963	Secretary	Since 2021	Chief Executive Officer, Faith Investor Services (May 2021 – Present); Chief Executive Officer, Cadence Capital Management (September 1988 – December 2020); President, Pacific Global ETF Trust (February 2019 – September 2020).
Adam Shoffner, 1979	Chief Compliance Officer	Since 2021	Fund Chief Compliance Officer, Foreside Fund Officer Services LLC (December 2020 – Present); Compliance Consultant, Duff & Phelps LLC (March 2018 – December 2020); Director, Regulatory Administration, Foreside Management Services LLC (April 2017 – March 2018); Senior Paralegal, Hartford Funds (February 2014 – April 2017).

Board
Committees

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

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

The
Board has determined that its leadership structure is appropriate given the business and nature of the Trust. In connection with
its determination, the Board considered that the Chairman of the Board is an Independent Trustee. The Chairman of the Board can
play an important role in setting the agenda of the Board and also serves as a key point person for dealings between management
and the other Independent Trustees. The Independent Trustees believe that the Chairman’s independence facilitates meaningful
dialogue between the Adviser and the Independent Trustees. The Board also considered that the Chairman of the Audit Committee
is an Independent Trustee, which yields similar benefits with respect to the functions and activities of the various Board committees.
The Independent Trustees also regularly meet outside the presence of management. The Board has determined that its committees
help ensure that the Trust has effective and independent governance and oversight. The Board also believes that its leadership
structure facilitates the orderly and efficient flow of information to the Independent Trustees from management of the Trust,
including the Adviser. The Board reviews its structure on an annual basis.

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

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

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

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

Name of Trustee	Dollar Range of Equity Securities in the Trust (as of March 31, 2022)	Aggregate Dollar Range of Equity Securities in all Registered Investment Companies Overseen By Trustee In Family of Investment Companies (as of March 31, 2022)
Josef M. Valdman	None	None
Garrett Paolella	None	None
Sharon Cheever	None	None
John Jacobs	None	None
Richard Keary	None	None
Robert Sherry	None	None

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

Shareholder
Communications to the Board

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

Remuneration
of Trustees

Each
current Independent Trustee is paid an annual retainer of $10,000 for his or her services as a Board member to the Trust, together
with out-of-pocket expenses in accordance with the Board’s policy on travel and other business expenses relating to attendance
at meetings.

Annual
Trustee fees may be reviewed periodically and changed by the Board.

The
table below details the amount of compensation the Independent Trustees received from each Fund and Fund Complex during the fiscal
year ended November 30, 2021. The Trust does not have a bonus, profit sharing, pension or retirement plan.

Name	NEOS S&P 500® High Income ETF	NEOS Enhanced Income Aggregate Bond ETF	NEOS Enhanced Income Cash Alternative ETF	Pension or Retirement Benefits Accrued as Part of Funds Expenses	Estimated Annual Benefits Upon Retirement	Estimated Total Compensation From Funds and Fund *Complex Paid to Trustees**
Sharon Cheever	$2,000	$2,000	$2,000	$0	$0	$10,000
Richard Keary	$2,000	$2,000	$2,000	$0	$0	$10,000
John Jacobs	$2,000	$2,000	$2,000	$0	$0	$10,000
Robert Sherry	$2,000	$2,000	$2,000	$0	$0	$10,000

*There
are currently numerous series comprising the Trust. The term “Fund Complex” refers only to the funds managed by the
Adviser and not to any other series of the Trust. For the fiscal year ended November 30, 2021, the aggregate independent Trustees’
fees paid by the entire Trust were $40,000.

Limitation
of Trustees’ Liability

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

MANAGEMENT
AND OTHER SERVICE PROVIDERS

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

Investment
Adviser

NEOS
Investment Management, LLC acts as investment adviser to each Fund pursuant to an investment advisory agreement between the Trust
and the Adviser with respect to the Fund (“Management Agreement”) and, pursuant to the Management Agreement, is responsible
for the day-to-day investment management of the Fund. NEOS Investment Management, LLC is a wholly owned subsidiary of Neos Investments
LLC.

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

Each
Fund pays the Adviser a unified fee (“Management Fee”) under the Management Agreement in return for providing investment
management, investment advisory and supervisory services and for being obligated to pay certain Fund expenses discussed above.
The Adviser is paid a monthly Management Fee at an annual rate of 0.68% of the average daily net assets of NEOS S&P 500®
High Income ETF, 0.58% of the average daily net assets of NEOS Enhanced Income Aggregate Bond ETF, and 0.38% of the average daily
net assets of NEOS Enhanced Income Cash Alternative ETF. Under the Management Agreement, the Adviser has agreed to pay all expenses
incurred by the Fund except for the management fee, interest, taxes, brokerage commissions and other expenses incurred in placing orders
for the purchase and sale of securities and other investment instruments, acquired fund fees and expenses, extraordinary expenses, and
distribution fees and expenses paid by the Fund under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act (“Excluded
Expenses”). The Adviser may from time to time waive all or a portion of its Management Fee. Fee waivers and subsidies
will increase a Fund’s total return. These voluntary waivers may be terminated at any time without notice.

The
Adviser provides portfolio management services, including the execution of investment strategies. and certain administrative services
as well as overseeing and monitoring the nature and quality of the services provided by various service provider to the Funds.
The Adviser performs compliance monitoring services to help a Fund maintain compliance with applicable laws and regulations and
provides services related to, among others, the valuation of Fund securities, risk management and oversight of trade execution
and brokerage services.

A
discussion regarding the basis for the Board of Trustees’ approval of the Management Agreement for each Fund will be available
in each Fund’s annual report for the fiscal year ending May 31, 2023.

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

Pursuant
to an Expense Limitation Agreement entered into by the Trust, on behalf of NEOS Enhanced Income Aggregate Bond ETF (for purposes
of this paragraph “BNDI”), and the Adviser, the Adviser contractually has agreed to waive its management fee and/or
reimburse expenses so that AFFE and total annual fund operating expenses, excluding portfolio transaction and other investment-related
costs (including brokerage fees and commissions); taxes; borrowing costs (such as interest and dividend expenses on securities
sold short); fees and expenses associated with investments in other collective investment vehicles or derivative instruments (including
for example option and swap fees and expenses); any administrative and/or shareholder servicing fees payable pursuant to a plan
adopted by the Board; expenses incurred in connection with any merger or reorganization; extraordinary expenses (such as litigation
expenses, indemnification of Trust officers and Trustees and contractual indemnification of BNDI service providers); and other
expenses that the Trustees agree have not been incurred in the ordinary course of BNDI’s business, do not exceed 0.58% through
March 29, 2024. This expense cap may not be terminated prior to this date except by the Board. Each waiver/expense payment by
the Adviser is subject to recoupment by the Adviser from BNDI in the three years following the date the particular waiver/expense
payment occurred, but only if such recoupment can be achieved without exceeding the annual expense limitation in effect at the
time of the waiver/expense payment and any expense limitation in effect at the time of the recoupment.

Other
Accounts Managed by the Portfolio Managers

Name of Portfolio Manager	Other Accounts Managed (As of June 30, 2022)			Accounts with respect to which the advisory fee is based on the performance of the account
Name of Portfolio Manager	Category of Account	Number of Accounts in Category	Total Assets in Accounts in Category	Number of Accounts in Category	Total Assets in Accounts in Category
Garrett Paolella	Registered investment companies	4	$656 million	0	$0
	Other pooled investment vehicles	1	$26.9 million	0	$0
	Other accounts	0	$0	0	$0
Troy Cates	Registered investment companies	4	$656 million	0	$0
	Other pooled investment vehicles	0	$0	0	$0
	Other accounts	0	$0	0	$0
Ryan Houlton	Registered investment companies	0	$0	0	$0
	Other pooled investment vehicles	0	$0	0	$0
	Other accounts	0	$0	0	$0

Portfolio
Manager Compensation

Messrs.
Paolella and Cates each receive a base salary and are equity holders in the Adviser. Neither Mr. Paolella nor Mr. Cates
receive a discretionary bonus. Mr. Houlton receives a base salary and annual discretionary bonus from the Adviser that
is not tied to the performance of the Funds.

Portfolio
Manager Share Ownership

As
of the date of this SAI, the Portfolio Managers did not beneficially own Shares of any Fund.

Conflicts
of Interest

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

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

Custodian

U.S.
Bank, N.A. (the “Custodian”), located at 1555 N. Rivercenter Drive, MK-WI-S302, Milwaukee, WI 53212, serves as custodian
for each Fund pursuant to a custody agreement between the Trust, on behalf of the Funds, and the Custodian. In that capacity,
the Custodian holds the Fund’s assets.

Transfer
Agent and Administrator

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

Distributor

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

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

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

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

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

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

Counsel

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

Independent
Registered Public Accounting Firm

BBD,
LLP serves as the Trust’s independent registered public accounting firm and audits each Fund’s financial statements and performs
other related audit services.

PORTFOLIO
HOLDINGS DISCLOSURE

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

QUARTERLY
PORTFOLIO SCHEDULE

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

CODE
OF ETHICS

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

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

PROXY
VOTING POLICIES AND PROCEDURES

Information
regarding how each Fund voted proxies related to portfolio securities during the most recent 12-month period ended June 30 is
available, without charge, upon request, by calling (866) 498-5677 or on the Funds’ website, www.Neosfunds.com and on the
SEC’s website at http://www.sec.gov. Proxies for each Fund’s portfolio
securities are voted in accordance with the Adviser’s proxy voting policies and procedures, which are set forth in Appendix A
to this SAI.

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

BROKERAGE
TRANSACTIONS

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

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

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

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

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

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

Each
Fund’s purchase and sale orders for securities may be combined with those of other investment companies, clients or accounts
that the Adviser manages or advises. If purchases or sales of portfolio securities of the Fund and one or more other accounts
managed or advised by the Adviser are considered at or about the same time, transactions in such securities are allocated among
the Fund and the other accounts in a manner deemed equitable to all by the Adviser. In some cases, this procedure could have a
detrimental effect on the price or volume of the security as far as a Fund is concerned. However, in other cases, it is possible
that the ability to participate in volume transactions and to negotiate lower transaction costs will be beneficial to a Fund.
The Adviser may deal, trade and invest for its own account in the types of securities in which a Fund may invest. The Adviser
may, from time to time, effect trades on behalf of and for the account of a Fund with brokers or dealers that are affiliated with
BFA, in conformity with the 1940 Act and SEC rules and regulations. Under these provisions, any commissions paid to affiliated
brokers or dealers must be reasonable and fair compared to the commissions charged by other brokers or dealers in comparable transactions.
Each Fund will not deal with affiliates in principal transactions unless permitted by applicable SEC rules or regulations, or
by SEC exemptive order.

Portfolio
turnover may vary from year to year, as well as within a year. High turnover rates may result in comparatively greater brokerage
expenses.

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

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

EXCHANGE
LISTING AND TRADING

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

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

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

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

BOOK
ENTRY ONLY SYSTEM

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

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

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

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

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

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

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

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

CREATION
AND REDEMPTION OF CREATION UNITS

General

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

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

Fund
Deposit

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

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

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

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

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

Procedures
for Purchase of Creation Units

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

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

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

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

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

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

Issuance
of a Creation Unit

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

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

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

Acceptance
of Orders of Creation Units

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

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

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

Creation
Transaction Fee

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

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

Risks
of Purchasing Creation Units

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

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

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

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

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

Redemption
Transaction Fee

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

Procedures
for Redemption of Creation Units

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

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

Additional
Redemption Procedures

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

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

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

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

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

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

DETERMINATION
OF NET ASSET VALUE

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

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

In
the event that current market valuations are not readily available or such valuations do not reflect current market value, the
Trust’s pricing procedures require the Valuation Committee to determine a security’s fair value. In determining such
value the Valuation Committee may consider, among other things, (i) price comparisons among multiple sources, (ii) a review of
corporate actions and news events, and (iii) a review of relevant financial indicators. In these cases, a Fund’s net asset
value may reflect certain portfolio securities’ fair values rather than their market prices. Fair value pricing involves
subjective judgments and it is possible that the fair value determination for a security is materially different than the value
that could be realized upon the sale of the security. With respect to securities that are primarily listed on foreign exchanges,
the value of a Fund’s portfolio securities may change on days when you will not be able to purchase or sell your Shares.

DIVIDENDS
AND DISTRIBUTIONS

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

General
Policies

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

Dividend
Distributions

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

Dividend
Reinvestment Service

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

CONTROL
PERSONS AND PRINCIPAL SHAREHOLDERS

The
Trust does not have information concerning the beneficial ownership of shares held in the names of Depository Trust Company (“DTC”)
participants.

TAXES

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

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

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

Taxation
of Each Fund

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

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

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

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

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

Each
Fund may elect to treat part or all of any “qualified late year loss” as if it had been incurred in the succeeding
taxable year in determining the Fund’s taxable income, net capital gain, net short-term capital gain, and earnings and profits.
The effect of this election is to treat any such “qualified late year loss” as if it had been incurred in the succeeding
taxable year in characterizing Fund distributions for any calendar year. A “qualified late year loss” generally includes
net capital loss, net long-term capital loss, or net short-term capital loss incurred after October 31 of the current taxable
year (commonly referred to as “post-October losses”) and certain other late-year losses.

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

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

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

Taxation
of Shareholders – Distributions

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

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

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

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

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

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

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

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

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

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

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

Taxation
of Shareholders – Sale of Shares

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

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

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

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

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

Taxation
of Fund Investments

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

Backup
Withholding

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

Foreign
Shareholders

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

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

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

Tax-Exempt
Shareholders

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

Certain
Potential Tax Reporting Requirements

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

State
Tax

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

Tax
Treatment of Portfolio Transactions

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

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

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

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

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

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

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

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

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

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

Investment
in Certain ETPs and Certain Direct Fund Investments

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Short
Sales

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

CAPITAL
STOCK

Each
Fund is currently the only series of the Trust. The Trust issues Shares of beneficial interest with no par value. The Board may
designate additional series of the Trust.

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

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

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

SHAREHOLDER
REPORTS

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

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

FINANCIAL
STATEMENTS

Each
Fund has only recently commenced investment operations and, therefore, has not produced financial statements. Once produced, you can
obtain a copy of the financial statements contained in the Funds’ Annual or Semi-Annual Report without charge by calling
(866) 498-5677 or visiting the SEC’s website at www.sec.gov.

APPENDIX
A: NEOS Investment MANAGEMENT, LLC

proxy
voting policy

NEOS
Investment Management, LLC (the “Adviser”) manages the affairs of NEOS S&P 500® High Income ETF, NEOS Enhanced
Income Aggregate Bond ETF, and NEOS Enhanced Income Cash Alternative ETF (the “Funds”). As part of its fiduciary obligations
to the shareholders of the Funds, the Adviser exercises its voting rights in the companies in which it invests. The Adviser may
delegate the responsibility of proxy voting to a third-party or an affiliated or unaffiliated sub-adviser.

The
overriding objective of the Adviser’s proxy voting activities is to enhance shareholder value on a long-term basis. As a
result, the Adviser’s proxy voting guidelines (the “Proxy Voting Guidelines”) were developed in a manner which
the Adviser believes is consistent with this goal. Importantly, the Proxy Voting Guidelines contain guidelines only: they are
not rigid, voting directives. The Adviser intends to evaluate each voting matter on a case-by-case basis and may vote in a manner
contrary to the guidelines if, in the Adviser’s view, such vote would ultimately enhance long-term shareholder value.

Guidelines Pertaining to Routine Matters

The
Adviser will generally cause the Funds to vote in favor of management proposals on routine matters such as the election of directors,
appointment of auditors, indemnification of directors, and receipt and approval of financial statements, provided it is in line
with the other guidelines set forth in the Proxy Voting Guidelines.

Guidelines
Pertaining to Non-Routine Matters

With
respect to non-routine matters, such as take-over defense measures and changes in capital structure, the Adviser will examine
proxies and recommendations for special proposals to assess the impact on the value of the securities, generally voting in favor
of proposals that would enhance the investment value of the relevant security in the long term and against proposals that increase
the risk level and reduce the investment value of the relevant security in the long term. Other issues, including those business
issues specific to the issuer or those raised by shareholders of the issuer, are addressed on a case-by-case basis with a focus
on the potential impact of the vote on shareholder value.

Guidelines
Pertaining to the Board of Directors

Ideally,
the board of directors will comprise a majority of unrelated experienced directors, where an unrelated director is independent
of management and is free from any relationship or interest that conflicts with the director’s ability to act in the best
interests of shareholders. A board of directors should be comprised of enough directors to allow for sufficient coverage of responsibilities
but not so large that meetings and discussions become cumbersome. All boards should have an audit committee consisting of independent
directors and an independent chairperson. The Adviser is generally opposed to cumulative voting proposals but understands that
it may be a useful tool when a board is unresponsive to shareholders. A staggered board is one in which some directors are elected
to terms greater than one year. The Adviser prefers that all directors stand for election on an annual basis. While attendance
is only one factor in evaluating a director’s effectiveness as a board member, the Adviser views absences without extenuating
circumstances negatively. The Adviser believes that directors should be provided insurance against liability claims, so long as
their actions were taken honestly and in good faith with a view to the best interests of the company. The Adviser generally supports
the auditor recommended by the audit committee but will review proposed changes in auditors on a case-by-case basis.

Guidelines
Pertaining to Executive and Director Compensation

The
Adviser considers individuals within a management team as integral to the execution of the company’s strategy. As a result,
attracting and retaining qualified individuals through competitive compensation is necessary. Competitive compensation is considered
in the context of what other leading companies in the same industries are paying to attract and retain their managers. Compensation
should be tied to measurable performance and motivate managers to reach long-term targets rather than a reward for past performance.
Furthermore, compensation should be tied to shareholder value so that the interests of both shareholders and managers are aligned.

The
Adviser is not opposed to stock options as a form of compensation but is critical of compensation packages that contain excessive
granting of options; that cause substantial dilution of the existing shareholders; that have short to no vesting periods; and/or
that have options priced below the current market price. The Adviser does not support the re-pricing or extension of previously
issued options held by senior management. The Adviser prefers to see stock options distributed to individuals who are key contributors
to corporate prosperity, but generally does not support plans that are excessively concentrated in the hands of a single individual.
The Adviser supports companies that encourage their executives to buy and hold a meaningful number of shares in the company so
that their financial interests are aligned with other shareholders. Compensation measures such as “golden parachutes”
and corporate loans to individual managers are often justified by companies as a way of attracting and retaining quality managers;
however, such compensation measures are often abused, and the Adviser is opposed to excessive compensation measures that are outside
of the industry norm.

With
respect to director compensation, appropriate board members provide valuable experience and strategic support to the company,
and competitive compensation is necessary to attract and retain these individuals. Compensation should be aligned with the interests
of shareholders and managers. The Adviser supports companies that encourages its board members to buy and hold a meaningful number
of shares in the company so that they have the same financial interest as other shareholders.

Guidelines
Pertaining to Takeover Protection

Takeover
protection measures are created to guard against takeover bids that do not represent a fair value for the company’s assets.
The main purpose of a shareholder rights plan is to ensure equal treatment for all shareholders and to provide the board sufficient
time to consider alternatives. As a general matter, the Adviser will not support plans that are anti-takeover in nature and serve
to entrench the power of incumbent management and boards. However, the Adviser will support takeover protection measures that
protect the rights and interests of all shareholders and seek to maximize shareholder value.

Guidelines
Pertaining to Shareholder Rights

A
multiple-voting class structure refers to unequal voting rights between classes of shares. This potentially allows minority shareholders
with multiple voting rights to impose their interests over those of all other shareholders. Therefore, the Adviser generally will
not support the creation or extension of multiple-voting structures. The Adviser will support the replacement of multiple-voting
structure with one vote per share, given the cost of such change is modest and in the best interest of non-controlling shareholders.

While
supermajority requirements are appropriate in some circumstances, such requirements can be abused and employed as an anti-takeover
mechanism. While a two-thirds supermajority (66.7%) is most common and considered reasonable, the Adviser will review supermajority
proposals requiring more than a two-thirds majority on a case-by-case basis.

The
Adviser acknowledge that a board may need the flexibility to issue shares to meet changing financial conditions, such as stock
splits, restructurings, acquisitions, stock option plans, or takeover defenses. The Adviser will review proposals on a case-by-case
basis to determine if the amount requested is necessary for sound business reasons.

“Blank
cheque” preferred shares usually carry a preference in dividends, rank ahead of common shares upon liquidation, and give
the board broad discretion (a “blank cheque”) to establish voting, dividend, conversion, and other rights in respect
to these shares. Once those shares have been authorized, shareholders have no further power to determine how or when the shares
will be allocated. Due to the potential for abuse, the Adviser generally will not support the authorization of, or an increase
in, “blank cheque” preferred shares.

Linked
proposals are resolutions that link two issues together. These can be utilized to pass a resolution that would not be approved
if such issue was proposed individually. The Adviser generally will not support linked proposals except in the case where each
individual issue contained in the proposal is in the best interests of shareholders. The Adviser will consider each issue within
a linked proposal as being mutually exclusive of each other.

Shareholders
should have the right to bring relevant proposals to the annual meeting. These proposals should be included on the proxy ballot
for consideration by all shareholders. Certain shareholder proposals may put unreasonable constraints on management and the board,
which may hinder the company’s ability to create long-term shareholder value. The Adviser will review shareholder proposals
on a case-by-case basis.

Voting
Procedures

The
Adviser is responsible for directing how to vote proxies relating to any securities held by the Funds The Adviser may employ a
third-party firm to handle matters related to proxy-voting or delegate proxy voting responsibilities to one or more affiliated
or unaffiliated sub-advisers. The Board of Directors of the Adviser oversees the proxy voting process and reviews proxy voting
results, policies, and procedures on an annual basis to ensure that securities held by the Funds are voted in accordance with
the Proxy Voting Guidelines.

Conflicts
of Interest

The
Adviser may have a conflict of interest in voting a particular proxy. A conflict of interest could arise, for example, as a result
of a business relationship with a company, or a direct or indirect business interest in the matter being voted upon, or as a result
of a personal relationship with corporate directors or candidates for directorships. Whether a relationship creates a material
conflict of interest will depend upon the facts and circumstances.

The
Adviser will use its best efforts to identify and resolve potential conflicts of interest. When the Adviser becomes aware of any
vote that presents a conflict, the conflict will be reported to the CCO and proxies will be voted in a manner consistent with
the best interests of the Adviser’s clients and shareholders of the Funds, without regard to any other business relationship
that may exist. In cases where a conflict of interest arises between the interests of shareholders of the Funds and those of the
Adviser or any affiliate or associate of the Trust, the Adviser will always vote in accordance with the best interests of the
Funds.

The
Adviser may determine that there is a conflict of interest as a result of:

Significant
business relationships. The Adviser will consider whether the matter involves an issuer or proponent with which the firm has
a significant business relationship. The Adviser has significant business relationships with certain entities, such as other investment
advisory firms, vendors, clients, and broker-dealers. For this purpose, a “significant business relationship” is one
that is reasonably likely to create an incentive for the adviser to vote in favor of management.

Significant
personal or family relationships. The Adviser will consider whether the matter involves an issuer, proponent, or individual
with which an employee of the firm has a significant personal or family relationship. For this purpose, a “significant personal
or family relationship” is one that would be reasonably likely to influence how the adviser votes the proxy.

In
the event the CCO determines that the Adviser has a conflict of interest with respect to a proxy proposal, the CCO shall also
determine whether the conflict is material to that proposal. The CCO may determine on a case-by-case basis that a particular proposal
does not involve a material conflict of interest. If the CCO determines that a conflict is not material, then the Adviser may
vote the proxy in a manner consistent with the best interests of the Adviser’s clients and shareholders of the Funds.

In the event the CCO determines that the Adviser has a material conflict of interest with respect to a proxy proposal, the Adviser
will vote on the proposal in accordance with the determination of the CCO or some other process that the CCO determines adequately
addresses the conflict of interest.

The
Adviser may not address a material conflict of interest by abstaining from voting unless the CCO, the third party, the client,
or the Funds’ CCO or Board, as appropriate, has determined that abstaining from voting on the proposal is in the client’s
or the Funds’ best interests or that the potential costs involved with voting the proxy outweigh the potential benefits
to a client, the Funds, or their shareholders.

The
CCO shall document the manner in which proxies involving a material conflict of interest have been voted as well as the basis
for any determination that the Adviser does not have a material conflict of interest with respect to a particular matter.

Books
and Records Relating to Proxies

In
connection with voting proxies and the Proxy Voting Guidelines, the Adviser shall maintain (in hardcopy or electronic form) such
books and records as may be required by applicable law, rules, or regulations, including:

●

The
Adviser’s policies and procedures relating to voting proxies

●

A
copy of each proxy statement that the Adviser receives regarding clients’ securities,
provided that the Adviser may rely on:

○

A
third party to make and retain, on the Adviser’s behalf, pursuant to a written
undertaking, a copy of proxy statements or by obtaining a copy of proxy statements from
the SEC’s Electronic Data Gathering, Analysis, and Retrieval (EDGAR) system;

○

A
record of each vote cast by the Adviser on behalf of clients, provided that the Adviser
may rely on a third party to make and retain, on the firm’s behalf, pursuant to
a written undertaking, records of votes cast;

○

Copies
of any documents created by the Adviser that were material to making a decision on how
to vote proxies on behalf of a client or that memorialize the basis for that decision;
and

○

A
record of each written client request for proxy voting information and a copy of any
written response by the Adviser to any written or oral client request for information
on how the firm voted proxies on behalf of the requesting client

Such
books and records shall be maintained and preserved in an easily accessible place for a period of not less than five years from
the end of the fiscal year during which the last entry was made on such record, the first two years in an easily accessible location
at an appropriate office of the Adviser.

ATTACHMENTS / EXHIBITS

XBRL CALCULATION FILE

XBRL DEFINITION FILE

XBRL LABEL FILE

XBRL PRESENTATION FILE

XBRL SCHEMA FILE

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IDEA: R4.htm

IDEA: shp-497_083022_htm.xml

IDEA: FilingSummary.xml

IDEA: MetaLinks.json

Source: streetinsider.com