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Item 1. Financial Statements

2022-08-15 compared with 2022-05-16 · 312 added, 361 removed, 795 unchanged (46% of the section changed)

4 unchanged sentences

Notes to Financial Statements

-1x Short VIX Futures ETF

STATEMENT OF FINANCIAL CONDITION

2022 (unaudited)

Investments in securities, at market value (Cost $ 895,044 )

Receivable for shares sold

Segregated cash balances with brokers for futures contracts

Statements of Assets and Liabilities

June 30, 2022 (Unaudited)

-1x Short VIX

Investments in securities, at value *

Interest receivable

Other receivable

Liabilities and shareholder’s equity:

Due to custodian

Payable to Sponsor

Receivable for shares sold

Variation margin receivable

Deposit at Broker for Futures

Due from Other

Variation margin payable

Fund shares redeemed

Management fees payable

Administrative, accounting and custodian fees payable

2 unchanged sentences

Total Liabilities

Shareholders’ equity

Total liabilities and shareholders’ equity

Calculation of Net Asset Value Per Share:

Shares outstanding (unlimited shares of beneficial interest authorized, no par value)

Net asset value, redemption and offering price per share

Market value per share (Note 2)

See accompanying notes

to financial statements.

-1x Short VIX Futures ETF

OF INVESTMENT

SHORT TERM INVESTMENT – 16.16

Money Market Fund – 16.6%

First American Funds Inc, 0.18% (a)

TOTAL SHORT TERM INVESTMENT (Cost $895,044)

Total Investment (Cost $895,044) – 16.6%

Other Assets in Excess of Liabilities – 83.4% (b)

TOTAL NET ASSETS - 100.0%

Percentages are stated as a percent of net assets.

(a) Represents annualized seven-day yield at March 31, 2022.

(b) $1,329,025 of cash is pledged as collateral for futures contracts.

Short Futures Contracts

March 31, 2022 (Unaudited)

Appreciation/ (Depreciation)

CBOE VIX Futures

Expiring May 2022 (Underlying Face Amount at Market Value $2,882,600)

CBOE VIX Futures

Expiring April 2022 (Underlying Face Amount at Market Value $2,482,400)

$ ( 135,277 )

See accompanying notes

to financial statements.

-1x Short VIX Futures ETF

OF OPERATIONS

NET ASSETS CONSIST OF:

Paid-in capital

Total distributable earnings (accumulated deficit)

Net Asset Value (unlimited shares authorized):

Class I (unlimited shares authorized):

Shares Outstanding^

Net Asset Value, Offering and Redemption Price per Share

*Investments in securities, at cost

Statements of Operations

For the Quarter Ended June 30, 2022 (Unaudited)

-1x Short VIX

INVESTMENT INCOME

Interest income

Total investment income

Management fees

5 unchanged sentences

Net Investment Loss

Realized and unrealized loss on investment activity:

Net realized loss on:

Futures contracts

Change in net unrealized appreciation (depreciation) of:

Futures contracts

Net realized and unrealized loss on investment activity

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES CONTRACTS

Net realized gain (loss) on:

Investments in securities

Investments in Affiliated Securities

Short Term Investments

( 4,573,051 )

The Fund commenced operations on March 28, 2022.

See accompanying notes

to financial statements.

Net change in unrealized appreciation (depreciation) of:

Short Term Investments

Net realized and unrealized gain (loss) on investments and futures contracts

( 3,737,244 )

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

$ ( 3,980,023 )

Statements of Changes in Net Assets

-1x Short VIX Futures ETF

OF CHANGES IN SHAREHOLDERS’ EQUITY

Shareholders’ equity, beginning of period ( 0 shares)

Sale of shares ( 380,000 )

2x Long VIX Futures ETF

Quarter Ended

INCREASE (DECREASE) IN NET ASSETS:

Net investment loss

Net realized loss

Change in net unrealized depreciation

Shareholders’ equity, end of period ( 380,000 shares)

The Fund commenced operations on March 28, 2022.

See accompanying notes

to financial statements.

$ ( 242,779 )

$ ( 180,611 )

Net realized gain (loss) on investments and futures contracts

( 4,573,051 )

Net change in unrealized appreciation (depreciation) of investments and futures contracts

Net increase (decrease) in net assets resulting from operations

( 3,980,023 )

CAPITAL SHARE TRANSACTIONS

Shares sold, net of shares redeemed

Net increase in net assets from capital share transactions

Total increase in net assets

Beginning of Period

End of Period

Statements of Cash Flows

-1x Short VIX Futures ETF

OF CASH FLOWS

2x Long VIX Futures ETF

CASH FLOW FROM OPERATING ACTIVITIES

Net income (loss)

$ ( 242,779 )

$ ( 180,611 )

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities

Purchases of investments

Proceeds from sales of investments

Realized losses on sales of investments and futures contracts

Change in unrealized appreciation (depreciation) on investments and futures contracts

Increase in deposits at broker for futures contracts

Purchase of investments

( 86,248,199 )

Increase in receivable for shares sold

( 60,472,471 )

Increase in interest receivable

Increase in other receivables

Increase in payable to Sponsor

Increase in variation margin payable

Increase in administrative, accounting and custodian fees payable

Increase in professional fees payable

Increase in licensing and registration fees payable

Net cash used in operating activities

Proceeds from sales or maturities of investments held

Change in unrealized appreciation (depreciation) on investments

Realized gains (losses) on investments

( 4,573,051 )

Cash flow from financing activities

Proceeds from shares sold

Net cash provided by financing activities

Net decrease in cash

Cash, beginning of period

Cash, end of period

Decrease (Increase) in Deposits at broker for futures contracts

( 37,960,927 )

The Fund commenced operations on March 28, 2022.

See accompanying notes

to financial statements.

2x Long VIX Futures ETF

STATEMENT OF FINANCIAL CONDITION

March 31, 2022

Investments in securities, at market value (Cost $ 496,282 )

Receivable for shares sold

Segregated cash balances with brokers for futures contracts

Variation margin receivable

Other receivable

Interest receivable

Liabilities and shareholders’ equity:

Due from other

Due to custodian

Payable to Sponsor

Administrative, accounting, and custodian fees payable

Professional fees payable

Licensing and registration fees expenses payable

Total liabilities

Shareholders’ equity

Total liabilities and shareholders’ equity

Calculation of Net Asset Value Per Share:

Shares outstanding (unlimited shares of beneficial interest authorized, no par value)

Net asset value, redemption and offering price per share

Market value per share (Note 2)

See accompanying notes

to financial statements.

( 39,378,470 )

Decrease (Increase) in receivable for shares sold

Decrease (Increase) in interest receivable

Decrease (Increase) in other receivables

Increase (Decrease) in Payable for shares redeemed

Increase (Decrease) in Due to Other

Increase (Decrease) in Payable to Sponsor

Increase (Decrease) in Administrative, accounting and custodian fees payable

Increase (Decrease) in Professional fees payable

Increase (Decrease) in Licensing and registration fees payable

Net cash provided by (used in) operating activities

( 41,088,075 )

( 49,092,257 )

CASH FLOW FROM FINANCING ACTIVITIES

Proceeds from shares sold, net of cost from shares purchased

Net cash provided by (used in) financing activities

NET INCREASE IN CASH

Beginning of Period

End of Period

Financial Highlights

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

OF INVESTMENT

Quarter Ended

Net Asset Value, Beginning of Period

Net investment loss (1)

Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts

Net Increase (Decrease) in Net Asset Value Resulting from Operations

Net Asset Value, End of Period

Market Value Per Share, at June 30, 2022 (2)

Total Return at Net Asset Value (3)

Total Return at Market Value (3)

Ratios to Average Net Assets:

Expense ratio (5)

Net Investment Loss

(1) Net investment loss per share represents net investment loss

divided by the daily average shares of beneficial interest outstanding during the period.

(2) Market values are determined at the close of the applicable

primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

(3) Percentages are not annualized for the period ended June

(4) Percentages are annualized.

(5) The expense ratio would be 2.00% and 2.81% respectively,

if brokerage commissions and futures and futures account fees were excluded.

-1x Short VIX Futures ETF

Schedule of Investments (Unaudited)

June 30, 2022

SHORT TERM INVESTMENT - 17.7%

Money Market Fund - 17.7%

First American Funds Inc., 0.18% (a)

First American Government Obligations Fund, 1.30% (a)

TOTAL SHORT TERM INVESTMENT (Cost $8,291,332)

Total Investment (Cost $496,282) – 12.4%

TOTAL INVESTMENTS (Cost $8,291,332) - 17.7%

Other Assets in Excess of Liabilities - 82.3% (b)

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Percentages are stated as a percent of net assets.

(a) Represents annualized seven-day yield at March 31, 2022.

(b) $2,609,389 of cash is pledged as collateral for futures contracts.

Long Futures Contracts

March 31, 2022 (Unaudited)

Represents annualized seven-day yield at June 30, 2022.

39,289,952 of cash is pledged as collateral fo futures contracts.

-1x Short VIX Futures ETF

Short Futures Contracts (Unaudited)

June 30, 2022

Appreciation/

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CBOE VIX Futures

Expiring May 2022 (Underlying Face Amount at Market Value $4,299,050)

Expiring July 2022 (Underlying Face Amount at Market Value $24,765,259)

CBOE VIX Futures

Expiring April 2022 (Underlying Face Amount at Market Value $3,688,800)

See accompanying notes

to financial statements.

2x Long VIX Futures ETF

OF OPERATIONS

Investment Income:

Interest income

investment income

Management fees

Administrative, accounting and custodian fees

Professional fees

Licensing and registration fees

Total expenses

Net investment loss

Realized and unrealized gain (loss) on investment activity:

Net realized gain (loss) on:

Futures contracts

Change in net unrealized appreciation (depreciation) on:

Futures contracts

Net realized and unrealized gain

The Fund commenced operations on March 28, 2022.

See accompanying notes

to financial statements.

Expiring August 2022 (Underlying Face Amount at Market Value $22,835,611)

See accompanying notes to financial statements

2x Long VIX Futures ETF

OF CHANGES IN SHAREHOLDERS’ EQUITY

Shareholders’ equity, beginning of period ( 0 shares)

Sale of shares ( 240,000 )

Net investment loss

Net realized loss

Change in net unrealized appreciation (depreciation)

Shareholders’ equity, end of period ( 240,000 shares)

The Fund commenced operations on March 28, 2022.

See accompanying notes

to financial statements.

Schedule of Investments (Unaudited)

June 30, 2022

SHORT TERM INVESTMENT - 28.4%

Money Market Fund - 28.4%

First American Government Obligations Fund, 1.30% (a)

TOTAL SHORT TERM INVESTMENT (Cost $17,149,760)

TOTAL INVESTMENTS (Cost $17,149,760) - 28.4%

Other Assets in Excess of Liabilities - 71.6% (b)

TOTAL NET ASSETS - 100.0%

Percentages are stated as a percent of net assets.

Represents annualized seven-day yield at June 30, 2022.

17,149,760 of cash is pledged as collateral fo futures contracts.

2x Long VIX Futures ETF

OF CASH FLOWS

Cash flow from operating activities

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

Purchases of investments

Proceeds from sales or maturities of investments

Realized losses on sales of investments

Change in unrealized appreciation on investments

Increase in Deposits at broker for futures contracts

( 2,385,068 )

Increase in variation margin receivable

Increase in receivable for shares sold

( 2,219,224 )

Increase in interest receivable

Increase in other receivables

Increase in due to other

Increase in Payable to Sponsor

Increase in Administrative, accounting and custodian fees payable

Increase in Professional fees payable

Increase in Licensing and registration fees payable

Net cash used in operating activities

( 3,869,776 )

Cash flow from financing activities

Proceeds from shares sold

Net cash provided by financing activities

Net decrease in cash

Cash, beginning of period

Cash, end of period

$ ( 151,213 )

The Fund commenced operations on March 28, 2022.

See accompanying notes

to financial statements.

NOTES TO FINANCIAL STATEMENTS

March 31, 2022

Long Futures Contracts (Unaudited)

June 30, 2022

Appreciation/

(Depreciation)

CBOE VIX Futures

Expiring July 2022 (Underlying Face Amount at Market Value $62,086,613)

CBOE VIX Futures

Expiring August 2022 (Underlying Face Amount at Market Value $58,800,789)

See accompanying notes to financial statements

NOTES TO FINANCIAL

June 30, 2022

NOTE 1 – ORGANIZATION

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collectively, the “Funds”).

As of March 31, 2022, the following two series of the Trust have commenced investment operations:

As of June 30, 2022, the following two series of the Trust have commenced investment operations:

-1x Short VIX Futures ETF (“SVIX”) and 2x Long VIX Futures ETF (“UVIX”).

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The cash amount shown

in the Statements of Cash Flows is the amount reported as cash in the Statements of Financial Condition dated March 31, 2022, and represents

in the Statements of Cash Flows is the amount reported as cash in the Statements of Financial Condition dated June 30, 2022, and represents

cash, segregated cash balances with brokers for futures contracts, segregated cash with brokers for swap agreements but does not include

6 unchanged sentences

Create/Redeem

NAV Calculation

Cut-off*(EST)

1 unchanged sentence

-1x Short VIX Futures ETF and

March 31, 2022

June 30, 2022

2x Long VIX Futures ETF

March 31, 2022

* Although the Funds’ shares may continue to trade on

secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation

or redemption units for the three months ended March 31, 2022.

June 30, 2022

* Although the Funds’ shares may continue to trade on secondary

markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption

units for the three months ended June 30, 2022.

Market value per Share

4 unchanged sentences

in these financial statements may differ from those used in the calculation of certain of the Funds’ final creation/redemption NAV

for the three months ended March 31, 2022.

for the three months ended June 30, 2022.

Investment Valuation

64 unchanged sentences

The following table summarizes the valuation

of investments at March 31, 2022 using the fair value hierarchy:

of investments at June 30, 2022 using the fair value hierarchy:

Level I - Quoted Prices

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Observable Inputs

Money Market Fund

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

$ 168,488,272

$ 193,929,364

2x Long VIX Futures ETF

* Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments.

252 unchanged sentences

described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings.

he counterparty/credit

The counterparty/credit

risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted

4 unchanged sentences

Fair Value of Derivative

Instruments as of March 31, 2022

Instruments as of June 30, 2022

Asset Derivatives

2 unchanged sentences

for as Hedging Instruments

Statements of

Financial Condition

Appreciation*

Statements of

Financial Condition

Depreciation *

Statements of Financial Condition

Unrealized Appreciation

Statements of Financial Condition

Unrealized Depreciation

VIX Futures Contracts

Receivables on open futures contracts

Payable on open futures contracts

Receivables on open futures contracts, unrealized appreciation on swap agreements

Payable on open futures contracts, unrealized depreciation on swap agreements

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

* Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments.

Only current day’s

variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.

* Includes cumulative appreciation (depreciation) of futures contracts

as reported in the Schedule of Investments.

Only current day’s variation margin is reported within the Statements of Financial

Condition in receivable/payable on open futures.

The Effect of Derivative

1 unchanged sentence

For the three months

ended March 31, 2022

ended June 30, 2022

Derivatives Not Accounted

5 unchanged sentences

Recognized in

(Depreciation) on

(Depreciation) on Derivatives

Recognized in

VIX Futures Contracts

Net realized gain (loss) on futures contracts changes

in unrealized appreciation (depreciation) on futures contracts

Net realized gain loss on futures contracts changes in unrealized appreciation (depreciation) on futures contracts

-1x Short VIX Futures ETF

( 4,573,051 )

2x Long VIX Futures ETF

* Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments.

Only current day’s

variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.

Offsetting Assets and Liabilities

11 unchanged sentences

The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset

under a master netting agreement and the related collateral received or pledged by the Funds as of March 31, 2022.

Fair Values of Derivative Instruments as of March 31, 2022

under a master netting agreement and the related collateral received or pledged by the Funds as of June 30, 2022.

Fair Values of Derivative Instruments as of June 30, 2022

Gross Amounts

of Recognized

Assets presented

Statements of

Gross Amounts

Offset in the

Statements of

Net Amounts of Assets presented

Statements of

Gross Amounts

of Recognized

Statements of

Gross Amounts

Offset in the

Statements of

Net Amounts of

Statements of

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Asset (Liability) amounts shown in the table

below represent amounts owed to (by) the Funds for the derivative-related investments at March 31, 2022.

below represent amounts owed to (by) the Funds for the derivative-related investments at June 30, 2022.

These amounts may be collateralized

6 unchanged sentences

for Derivative Instruments”.

Gross Amounts Not Offset in the Statements of Financial Condition as of March 31, 2022

(Liabilities) presented

for the Benefit

(the Funds) /

Gross Amounts Not Offset in the Statements of Financial Condition as of June 30, 2022

(Liabilities)

Statements of

Financial Instruments

for the Benefit of (the Funds) / the

Counterparties

(the Funds) /

Cash Collateral

for the Benefit

of (the Funds) / the

Counterparties

-1x Short VIX Futures ETF

$ ( 108,376 )

2x Long VIX Futures ETF

3 unchanged sentences

monthly in arrears, in an amount equal to 1.35 % per annum of its average daily net assets.

UVIX pays the Sponsor a Management

Fee, monthly in arrears, in an amount equal to 1.65 % per annum of its average daily net assets.

UVIX pays the Sponsor a Management Fee,

monthly in arrears, in an amount equal to 1.65 % per annum of its average daily net assets.

“Average daily net assets”

12 unchanged sentences

Non-Recurring Fees and Expenses

Each Fund pays all its non-recurring and

unusual fees and expenses, if any, as determined by the Sponsor.

Non-recurring and unusual fees and expenses are fees and expenses that

are unexpected or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other material expenses

which are not currently anticipated obligations of the Funds.

The Administrator, Transfer Agent and

Each Fund pays all its non-recurring and unusual

fees and expenses, if any, as determined by the Sponsor.

Non-recurring and unusual fees and expenses are fees and expenses that are unexpected

or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other material expenses which are not

currently anticipated obligations of the Funds.

The Administrator, Transfer Agent and Custodian

Bancorp Fund Services, LLC, doing business as U.S.

9 unchanged sentences

Its principal duties are:

(i) to work with the Transfer Agent to review and approve orders

placed by Authorized Participants and transmitted to the Transfer Agent;

(ii) maintain copies of confirmations of Creation Unit

creation and redemption order acceptances;

(iii) maintain telephonic, facsimile and/or access to direct computer communications

links with the Transfer Agent;

and (iv) review and approve, prior to use, all Trust marketing materials for compliance with applicable

SEC and FINRA advertising rules.

(i) to work with the Transfer Agent to review and approve orders placed

by Authorized Participants and transmitted to the Transfer Agent;

(ii) maintain copies of confirmations of Creation Unit creation

and redemption order acceptances;

(iii) maintain telephonic, facsimile and/or access to direct computer communications links with

the Transfer Agent;

and (iv) review and approve, prior to use, all Trust marketing materials for compliance with applicable SEC and

FINRA advertising rules.

The Marketing Agent retains all marketing materials separately for

the Funds, at their offices located at Three Canal Plaza, Suite 100 Portland, Maine 04101.

As compensation for the services it provides, the Marketing Agent

receives a fee from the Funds.

As compensation for the services it provides, the Marketing Agent receives

a fee from the Funds.

NOTE 5 – OFFERING COSTS

7 unchanged sentences

OF CREATION UNITS

Each Fund issues and redeems shares from

time to time, but only in one or more Creation Units.

Each Fund issues and redeems shares from time

to time, but only in one or more Creation Units.

A Creation Unit is a block of at least 10,000 Shares of a Fund.

Creation Units

may be created or redeemed only by Authorized Participants.

Creation Units may be

created or redeemed only by Authorized Participants.

Except when aggregated in Creation Units,

14 unchanged sentences

the closing settlement price for such contracts on the purchase order date.

Authorized Participants may pay a fee up

to 0.20 % of the value of each order they place with each order to create or redeem a Creation Unit in order to compensate the Administrator,

the Custodian and the Transfer Agent of each Fund and its Shares, for services in processing the creation and redemption of Creation

Units and to offset the costs of increasing or decreasing derivative positions, unless the transaction fee is waived or otherwise adjusted

by the Sponsor.

The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the

transaction fee.

Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors

in the secondary market.

Authorized Participants may pay a fee up to

0.20 % of the value of each order they place with each order to create or redeem a Creation Unit in order to compensate the Administrator,

the Custodian and the Transfer Agent of each Fund and its Shares, for services in processing the creation and redemption of Creation Units

and to offset the costs of increasing or decreasing derivative positions, unless the transaction fee is waived or otherwise adjusted by

The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction

Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors in the

secondary market.

Transaction fees for the three months ended

March 31, 2022 were as follows:

June 30, 2022 were as follows:

-1x Short VIX Futures ETF

1 unchanged sentence

NOTE 7 – FINANCIAL HIGHLIGHTS

Selected data is for a Share outstanding

throughout the three months ended March 31, 2022

Selected data is for a Share outstanding throughout

the three months ended June 30, 2022

For the Three Months

Ended March 31, 2022 (unaudited)

Ended June 30, 2022 (unaudited)

Per Share Operating Performance

-1x Short VIX

Net asset value, beginning of period

14 unchanged sentences

primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

(3) Percentages are not annualized for the period ended March

(3) Percentages are not annualized for the period ended June 30,

(4) Percentages are annualized.

(5) The expense ratio would be 21.53 % and 21.29 % respectively, if

brokerage commissions and futures account fees were excluded.

(5) The expense ratio would be 2.00%

and 2.81% respectively, if brokerage commissions and futures account fees were excluded.

NOTE 8 – RISK

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leverage each affect the impact of compounding on a Fund’s returns.

Daily compounding of a Fund’s investment returns can

dramatically and adversely affect its longer-term performance during periods of high volatility.

Volatility may be at least as important

to a Fund’s return for a period as the return of the Fund’s underlying benchmark.

Daily compounding of a Fund’s investment returns can dramatically

and adversely affect its longer-term performance during periods of high volatility.

Volatility may be at least as important to a Fund’s

return for a period as the return of the Fund’s underlying benchmark.

Each Fund uses leverage and should produce

15 unchanged sentences

(3) bid-ask spreads on such Financial Instruments;

(4) fees, expenses, transaction costs, financing costs associated with the use of

Financial Instruments and commission costs;

(4) fees, expenses, transaction costs, financing costs associated with the use of Financial

Instruments and commission costs;

(5) holding or trading instruments in a market that has become illiquid or disrupted;

a Fund’s Share prices being rounded to the nearest cent and/or valuation methodology;

(7) changes to a benchmark Index that are

not disseminated in advance;

(8) the need to conform a Fund’s portfolio holdings to comply with investment restrictions or policies

or regulatory or tax law requirements;

(9) early and unanticipated closings of the markets on which the holdings of a Fund trade, resulting

in the inability of the Fund to execute intended portfolio transactions;

Share prices being rounded to the nearest cent and/or valuation methodology;

(7) changes to a benchmark Index that are not disseminated

(8) the need to conform a Fund’s portfolio holdings to comply with investment restrictions or policies or regulatory

or tax law requirements;

(9) early and unanticipated closings of the markets on which the holdings of a Fund trade, resulting in the inability

of the Fund to execute intended portfolio transactions;

(10) accounting standards;

and (11) differences caused by a

Fund obtaining exposure to only a representative sample of the components of a benchmark, over weighting or under weighting certain components

of a benchmark or obtaining exposure to assets that are not included in a benchmark.

and (11) differences caused by a Fund obtaining exposure

to only a representative sample of the components of a benchmark, over weighting or under weighting certain components of a benchmark

or obtaining exposure to assets that are not included in a benchmark.

A number of factors may affect a Fund’s

2 unchanged sentences

Failure to achieve a high degree of correlation may prevent a Fund from achieving its investment objective.

to achieve a high degree of correlation with their underlying benchmarks, the Funds seek to rebalance their portfolios daily to keep

exposure consistent with their investment objectives.

Being materially under- or over-exposed to the benchmark may prevent such Funds

from achieving a high degree of correlation with such benchmark.

Market disruptions or closure, large amounts of assets into or out of

the Funds, regulatory restrictions, extreme market volatility, and other factors will adversely affect such Funds’ ability to adjust

exposure to requisite levels.

The target amount of portfolio exposure is impacted dynamically by the benchmarks’ movements during

Other things being equal, more significant movement in the value of its benchmark up or down will require more significant

adjustments to a Fund’s portfolio.

Because of this, it is unlikely that the Funds will be perfectly exposed (i.e., --1x, -2x, as

applicable) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed is higher on days

when the benchmark levels are volatile near the close of the trading day.

achieve a high degree of correlation with their underlying benchmarks, the Funds seek to rebalance their portfolios daily to keep exposure

consistent with their investment objectives.

Being materially under- or over-exposed to the benchmark may prevent such Funds from achieving

a high degree of correlation with such benchmark.

Market disruptions or closure, large amounts of assets into or out of the Funds, regulatory

restrictions, extreme market volatility, and other factors will adversely affect such Funds’ ability to adjust exposure to requisite

The target amount of portfolio exposure is impacted dynamically by the benchmarks’ movements during each day.

being equal, more significant movement in the value of its benchmark up or down will require more significant adjustments to a Fund’s

Because of this, it is unlikely that the Funds will be perfectly exposed (i.e., --1x, -2x, as applicable) to its benchmark

at the end of each day, and the likelihood of being materially under- or over-exposed is higher on days when the benchmark levels are

volatile near the close of the trading day.

Each Fund seeks to rebalance its portfolio

3 unchanged sentences

Unlike other funds that do not rebalance their portfolios as frequently, each

Fund may be subject to increased trading costs associated with daily portfolio rebalancing in order to maintain appropriate exposure

to the underlying benchmarks.

Fund may be subject to increased trading costs associated with daily portfolio rebalancing in order to maintain appropriate exposure to

the underlying benchmarks.

Counterparty Risk

36 unchanged sentences

risk of the counterparty to the transaction – typically a single bank or financial institution.

As a result, a Fund is subject

to increased credit risk with respect to the amount it expects to receive from counterparties to OTC derivatives entered into as part

of that Fund’s principal investment strategy.

If a counterparty becomes bankrupt or otherwise fails to perform its obligations

due to financial difficulties, a Fund could suffer significant losses on these contracts and the value of an investor’s investment

in a Fund may decline.

As a result, a Fund is subject to

increased credit risk with respect to the amount it expects to receive from counterparties to OTC derivatives entered into as part of

that Fund’s principal investment strategy.

If a counterparty becomes bankrupt or otherwise fails to perform its obligations due

to financial difficulties, a Fund could suffer significant losses on these contracts and the value of an investor’s investment in

a Fund may decline.

The Funds have sought to mitigate these risks

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The triggering of certain events or the default on certain terms

of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal

to the net positions owed to the party under the agreement.

of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to

the net positions owed to the party under the agreement.

For example, if the level of the Fund’s benchmark has a dramatic intraday

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intraday move by the end of the day.

In addition, cleared derivatives benefit

from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries.

To the extent

the Fund enters into cleared swap transactions, the Fund will deposit collateral with a FCM in cleared swaps customer accounts, which

are required by CFTC regulations to be separate from its proprietary collateral posted for cleared swaps transactions.

In addition, cleared derivatives benefit from

daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries.

To the extent the

Fund enters into cleared swap transactions, the Fund will deposit collateral with a FCM in cleared swaps customer accounts, which are

required by CFTC regulations to be separate from its proprietary collateral posted for cleared swaps transactions.

Cleared swap customer

collateral is subject to regulations that closely parallel the regulations governing customer segregated funds for futures transactions

but provide certain additional protections to cleared swaps collateral in the event of a clearing broker or clearing broker customer

For example, in the event of a default of both the clearing broker and a customer of the clearing broker, a clearing house is

only permitted to access the cleared swaps collateral in the legally separate (but operationally comingled) account of the defaulting

cleared swap customer of the clearing broker, as opposed to the treatment of customer segregated funds, under which the clearing house

may access all of the commingled customer segregated funds of a defaulting clearing broker.

Derivatives entered into directly between

two counterparties do not necessarily benefit from such protections, particularly if entered into with an entity that is not registered

as a “swap dealer” with the CFTC.

This exposes the Funds to the risk that a counterparty will not settle a transaction in

accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of

a credit or liquidity problem, thus causing the Funds to suffer a loss.

but provide certain additional protections to cleared swaps collateral in the event of a clearing broker or clearing broker customer default.

For example, in the event of a default of both the clearing broker and a customer of the clearing broker, a clearing house is only permitted

to access the cleared swaps collateral in the legally separate (but operationally comingled) account of the defaulting cleared swap customer

of the clearing broker, as opposed to the treatment of customer segregated funds, under which the clearing house may access all of the

commingled customer segregated funds of a defaulting clearing broker.

Derivatives entered into directly between two counterparties do

not necessarily benefit from such protections, particularly if entered into with an entity that is not registered as a “swap dealer”

with the CFTC.

This exposes the Funds to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions

because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing

the Funds to suffer a loss.

The Sponsor regularly reviews the performance

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loss of an investor’s investment, even over periods as short as a single day.

For example, because UVIX includes a two

times (2x) multiplier, a single-day movement in the relevant benchmark approaching 50 % at any point in the day could result in the total

loss or almost total loss of an investor’s investment if that movement is contrary to the investment objective of the Fund in which

an investor has invested, even if such Fund’s benchmark subsequently moves in an opposite direction, eliminating all or a portion

of the movement.

This would be the case with downward single-day or intraday movements in the underlying benchmark of a Fund or upward

single-day or intraday movements in the benchmark of a Fund, even if the underlying benchmark maintains a level greater than zero at

For example, because UVIX includes a two times

(2x) multiplier, a single-day movement in the relevant benchmark approaching 50 % at any point in the day could result in the total loss

or almost total loss of an investor’s investment if that movement is contrary to the investment objective of the Fund in which an

investor has invested, even if such Fund’s benchmark subsequently moves in an opposite direction, eliminating all or a portion of

the movement.

This would be the case with downward single-day or intraday movements in the underlying benchmark of a Fund or upward single-day

or intraday movements in the benchmark of a Fund, even if the underlying benchmark maintains a level greater than zero at all times.

Liquidity Risk

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at the desired price.

It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell

orders in a market.

A market disruption can also make it difficult to liquidate a position or find a swap or forward contract counterparty

at a reasonable cost.

It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders

A market disruption can also make it difficult to liquidate a position or find a swap or forward contract counterparty at

a reasonable cost.

Market illiquidity may cause losses for the Funds.

The large size of the positions which the Funds may acquire

increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while

trying to do so.

Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically

invest in Financial Instruments related to one benchmark, which in many cases is highly concentrated.

The large size of the positions which the Funds may acquire increases

the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to

Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial

Instruments related to one benchmark, which in many cases is highly concentrated.

“Contango” and “Backwardation”

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Natural Disaster/Epidemic Risk

Natural or environmental disasters, such

as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including

Natural or environmental disasters, such as

earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including

pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly disruptive to economies and markets

and have recently led, and may continue to lead, to increased market volatility and significant market losses.

Such natural disaster

and health crises could exacerbate political, social, and economic risks previously mentioned, and result in significant breakdowns,

delays, shutdowns, social isolation, and other disruptions to important global, local and regional supply chains affected, with potential

corresponding results on the operating performance of the Funds and their investments.

A climate of uncertainty and panic, including

the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability

of potential investment opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially

reducing the accuracy of financial projections.

Under these circumstances, the Funds may have difficulty achieving their investment objectives

which may adversely impact performance.

Further, such events can be highly disruptive to economies and markets, significantly disrupt

the operations of individual companies (including, but not limited to, the Funds’ Sponsor and third party service providers), sectors,

industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment,

and other factors affecting the value of the Funds’ investments.

These factors can cause substantial market volatility, exchange

trading suspensions and closures and can impact the ability of the Funds to complete redemptions and otherwise affect Fund performance

and Fund trading in the secondary market.

A widespread crisis may also affect the global economy in ways that cannot necessarily be foreseen

at the current time.

How long such events will last and whether they will continue or recur cannot be predicted.

Impacts from these events

could have significant impact on a Fund’s performance, resulting in losses to your investment.

Such natural disaster and

health crises could exacerbate political, social, and economic risks previously mentioned, and result in significant breakdowns, delays,

shutdowns, social isolation, and other disruptions to important global, local and regional supply chains affected, with potential corresponding

results on the operating performance of the Funds and their investments.

A climate of uncertainty and panic, including the contagion of

infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment

opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy

of financial projections.

Under these circumstances, the Funds may have difficulty achieving their investment objectives which may adversely

impact performance.

Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual

companies (including, but not limited to, the Funds’ Sponsor and third party service providers), sectors, industries, markets, securities

and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the

value of the Funds’ investments.

These factors can cause substantial market volatility, exchange trading suspensions and closures

and can impact the ability of the Funds to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary

A widespread crisis may also affect the global economy in ways that cannot necessarily be foreseen at the current time.

such events will last and whether they will continue or recur cannot be predicted.

Impacts from these events could have significant impact

on a Fund’s performance, resulting in losses to your investment.

Risk that Current Assumptions and Expectations

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NOTE 9 – SUBSEQUENT EVENTS

Management has evaluated the possibility

of subsequent events existing in the Trust’s and the Funds’ financial statements through the date the financial statements

Management has evaluated the possibility of

subsequent events existing in the Trust’s and the Funds’ financial statements through the date the financial statements were

Management has determined that there are no material events that would require disclosure in the Trust’s or the Funds’

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Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-Q

Item 1. Financial Statements