What changed in this filing

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Item 1. Financial Statements

2024-11-13 compared with 2024-08-14 · 623 added, 647 removed, 876 unchanged (59% of the section changed)

Financial Statements.

Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity, and Statements of Cash Flows:

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

Notes to Financial Statements

Statements of Assets and Liabilities

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

Investments in securities, at value *

Interest receivable

Prepaid expenses and other assets

Deposits at Broker for Futures and Options Contracts

Variation margin receivable

Other receivable

Variation margin payable

Fund shares redeemed

Payable to Sponsor

Administrative, accounting and custodian fees payable

Professional fees payable

Licensing and registration fees payable

Total Liabilities

of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity, and

Statements of Cash Flows:

Short VIX Futures ETF

Long VIX Futures ETF

to Financial Statements

of Assets and Liabilities

Short VIX Futures ETF

Long VIX Futures ETF

Short VIX Futures ETF

Long VIX Futures ETF

September 30,

in securities, at value *

expenses and other assets

at Broker for Futures and Options Contracts

margin receivable

margin payable

shares redeemed

Administrative,

accounting and custodian fees payable

and registration fees payable

$ 317,664,759

$ 166,997,854

NET ASSETS CONSIST OF:

Paid-in capital

$ 125,057,419

ASSETS CONSIST OF:

$ 176,375,307

Total distributable earnings (accumulated deficit)

$ 583,715,784

$ 424,281,739

distributable earnings (accumulated deficit)

( 416,717,930 )

( 354,616,743 )

Net Asset Value (unlimited shares authorized):

Class I (unlimited shares authorized):

$ 317,664,759

$ 166,997,854

Shares Outstanding^

Net Asset Value, Offering and Redemption Price per Share

Market Value per Share (Note 2)

* Investments in securities, at cost

See accompanying notes to the financial statements.

Statements of Operations

For the Three Months Ended June 30, 2024 and June

30, 2023 (Unaudited)

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

Quarter Ended

INVESTMENT INCOME

Interest income

Management fees

Administrative, accounting and custodian fees

Professional fees

Licensing and registration fees

Broker interest expense

Total Expenses

Net Investment Income (Loss)

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

Net realized gain (loss) on:

$ 125,057,419

Asset Value (unlimited shares authorized):

I (unlimited shares authorized):

$ 317,664,759

$ 166,997,854

Net change in unrealized appreciation (depreciation) of:

$ 125,057,419

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

Outstanding^

Asset Value, Offering and Redemption Price per Share

Value per Share (Note 2)

in securities, at cost

$ 141,702,660

accompanying notes to the financial statements.

of Operations

the Three Months Ended September 30, 2024 and September 30, 2023 (Unaudited)

Short VIX Futures ETF

Long VIX Futures ETF

Short VIX Futures ETF

Long VIX Futures ETF

Administrative,

accounting and custodian fees

and registration fees

interest expense

Investment Income (Loss)

AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES CONTRACTS

realized gain (loss) on:

( 28,508,230 )

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

( 7,095,465 )

( 42,049,000 )

See accompanying notes to financial statements.

Statements of Operations

For the Six Months Ended June 30, 2024 and June

30, 2023 (Unaudited)

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

Six Months Ended

INVESTMENT INCOME

Interest income

Management fees

Administrative, accounting and custodian fees

Professional fees

Licensing and registration fees

Broker interest expense

Total Expenses

Net Investment loss

change in unrealized appreciation (depreciation) of:

( 3,125,307 )

( 12,928,171 )

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

Net realized gain (loss) on:

( 31,356,302 )

1 unchanged sentence

( 11,117,297 )

Net change in unrealized appreciation (depreciation) of:

INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

$ ( 30,749,661 )

$ ( 6,092,035 )

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

$ ( 11,347,943 )

accompanying notes to the financial statements.

of Operations

the Nine Months Ended September 30, 2024 and September 30, 2023 (Unaudited)

Short VIX Futures ETF

Long VIX Futures ETF

Short VIX Futures ETF

Long VIX Futures ETF

Administrative,

accounting and custodian fees

and registration fees

interest expense

Investment Income (Loss)

AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES CONTRACTS

realized gain (loss) on:

( 6,489,708 )

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

( 67,353,025 )

( 228,151,397 )

See accompanying notes to the financial statements.

Statements of Changes in Net Assets

For the Three Months Ended June 30, 2024 and June

30, 2023 (Unaudited)

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

Quarter Ended

INCREASE (DECREASE) IN NET ASSETS:

Net investment income (loss)

change in unrealized appreciation (depreciation) of:

( 7,658,659 )

( 7,565,698 )

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

( 61,623,693 )

Net realized gain (loss) on investments and futures contracts

( 207,807,208 )

INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

$ ( 62,101,187 )

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

$ ( 208,792,030 )

Net increase (decrease) in net assets resulting from operations

accompanying notes to the financial statements.

of Changes in Net Assets

the Three Months Ended September 30, 2024 and September 30, 2023 (Unaudited)

Short VIX Futures ETF

Long VIX Futures ETF

Short VIX Futures ETF

Long VIX Futures ETF

(DECREASE) IN NET ASSETS:

investment Income (Loss)

$ ( 132,190 )

$ ( 324,516 )

CAPITAL SHARE TRANSACTIONS

Shares redeemed

$ ( 230,646 )

realized gain (loss) on investments and futures contracts

( 28,241,497 )

1 unchanged sentence

( 42,049,000 )

Net increase (decrease) in net assets from capital share transactions

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

( 3,114,805 )

Total increase (decrease) in net assets

( 12,928,171 )

increase (decrease) in net assets resulting from operations

( 30,749,661 )

Beginning of Period

End of Period

( 6,092,035 )

See accompanying notes to the financial statements.

Statements of Changes in Net Assets

For the Six Months Ended June 30, 2024 and June

30, 2023 (Unaudited)

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

Six Months Ended

( 11,347,943 )

SHARE TRANSACTIONS

( 384,300,594 )

( 141,934,673 )

( 32,840,529 )

( 77,058,854 )

increase (decrease) in net assets from capital share transactions

increase (decrease) in net assets

Net investment loss

$ 317,664,759

1 unchanged sentence

$ 110,456,096

accompanying notes to the financial statements.

of Changes in Net Assets

the Nine Months Ended September 30, 2024 and September 30, 2023 (Unaudited)

Short VIX Futures ETF

Long VIX Futures ETF

Short VIX Futures ETF

Long VIX Futures ETF

(DECREASE) IN NET ASSETS:

investment Income (Loss)

$ ( 477,494 )

Net realized gain (loss) on investments and futures contracts

$ ( 862,545 )

$ ( 984,822 )

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

realized gain (loss) on investments and futures contracts

( 67,353,025 )

( 228,151,397 )

Net increase (decrease) in net assets resulting from operations

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

( 6,975,821 )

( 7,565,698 )

CAPITAL SHARE TRANSACTIONS

Shares redeemed

increase (decrease) in net assets resulting from operations

( 62,101,187 )

( 208,792,030 )

SHARE TRANSACTIONS

( 568,147,288 )

( 232,747,643 )

Net increase (decrease) in net assets from capital share transactions

( 172,693,127 )

Total increase (decrease) in net assets

( 197,825,288 )

Beginning of Period

End of Period

increase (decrease) in net assets from capital share transactions

increase (decrease) in net assets

( 37,285,621 )

See accompanying notes to the financial statements.

Statements of Cash Flows

For the Three Months Ended June 30, 2024 and June

30, 2023 (Unaudited)

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

Quarter Ended

CASH FLOW FROM OPERATING ACTIVITIES

Net increase (decrease) in net assets resulting from operations

$ 317,664,759

$ 166,997,854

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

Purchase of investments

$ 110,456,096

accompanying notes to the financial statements.

of Cash Flows

the Three Months Ended September 30, 2024 and September 30, 2023 (Unaudited)

September 30,

FLOW FROM OPERATING ACTIVITIES

increase (decrease) in net assets resulting from operations

$ ( 30,749,661 )

1 unchanged sentence

$ ( 11,347,943 )

Proceeds from sales or maturities of investments held

Net realized gain/loss on investments in options

Net change in unrealized appreciation/depreciation on investments in options

Decrease (Increase) in Deposits at broker for futures and options contracts

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

of investments

( 527,230,306 )

1 unchanged sentence

( 113,633,779 )

Decrease (Increase) in Variation margin receivable

Decrease (Increase) in interest receivable

Decrease (Increase) in other receivables

Decrease (Increase) in Prepaid expenses and other assets

Decrease (Increase) in Due from Other

Increase (Decrease) in Due to Custodian

( 133,007,714 )

Increase (Decrease) in Due to Other

Increase (Decrease) in Variation margin payable

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

from sales or maturities of investments held

realized gain/loss on investments in options

change in unrealized appreciation/depreciation on investments in options

(Increase) in Deposits at broker for futures and options contracts

( 37,391,280 )

1 unchanged sentence

( 35,708,583 )

CASH FLOW FROM FINANCING ACTIVITIES

Proceeds from shares sold, net of cost from shares purchased

Cost of shares redeemed

(Increase) in Variation margin receivable

( 5,608,945 )

( 1,945,302 )

(Increase) in Prepaid expenses and other assets

(Increase) in interest receivable

(Increase) in other receivables

(Decrease) in Due to Custodian

( 1,023,713 )

( 2,874,781 )

Net cash provided by (used in) financing activities

(Decrease) in Due to Other

(Decrease) in Variation margin payable

( 1,682,338 )

NET INCREASE IN CASH

( 3,406,049 )

(Decrease) in Payable to Sponsor

(Decrease) in Administrative, accounting and custodian fees payable

(Decrease) in Professional fees payable

(Decrease) in Licensing and registration fees payable

cash provided by (used in) operating activities

( 167,502,729 )

Beginning of Period

End of Period

See accompanying notes to the financial statements.

Statements of Cash Flows

For the Six Months Ended June 30, 2024 and June

30, 2023 (Unaudited)

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

Six Months Ended

CASH FLOW FROM OPERATING ACTIVITIES

Net increase (decrease) in net assets resulting from operations

( 90,707,679 )

( 39,277,433 )

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

Purchase of investments

( 6,426,140 )

FLOW FROM FINANCING ACTIVITIES

from shares sold, net of receivable for shares sold

of shares redeemed, net of payable for shares purchased

( 379,699,986 )

1 unchanged sentence

( 32,840,529 )

Proceeds from sales or maturities of investments held

Net realized gain/loss on investments in options

Net change in unrealized appreciation/depreciation on investments in options

Decrease (Increase) in Deposits at broker for futures and options contracts

( 78,923,906 )

cash provided by (used in) financing activities

DECREASE IN CASH

( 1,170,776 )

accompanying notes to the financial statements.

of Cash Flows

the Nine Months Ended September 30, 2024 and September 30, 2023 (Unaudited)

Short VIX Futures ETF

Long VIX Futures ETF

Short VIX Futures ETF

Long VIX Futures ETF

FLOW FROM OPERATING ACTIVITIES

increase (decrease) in net assets resulting from operations

$ ( 62,101,187 )

Decrease (Increase) in Variation margin receivable

$ ( 208,792,030 )

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

of investments

( 872,724,542 )

Decrease (Increase) in interest receivable

Decrease (Increase) in other receivables

Decrease (Increase) in Prepaid expenses and other assets

Increase (Decrease) in Due to Custodian

Increase (Decrease) in Due to Other

Increase (Decrease) in Variation margin payable

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

( 404,905,328 )

1 unchanged sentence

( 442,361,238 )

CASH FLOW FROM FINANCING ACTIVITIES

Proceeds from shares sold, net of cost from shares purchased

Cost of shares redeemed

from sales or maturities of investments held

realized gain/loss on investments in options

change in unrealized appreciation/depreciation on investments in options

(Increase) in Deposits at broker for futures and options contracts

( 60,080,689 )

1 unchanged sentence

( 56,267,842 )

(Increase) in Variation margin receivable

( 5,608,945 )

Net cash provided by (used in) financing activities

( 1,114,462 )

NET INCREASE IN CASH

(Increase) in Prepaid expenses and other assets

(Increase) in interest receivable

(Increase) in other receivables

(Decrease) in Due to Custodian

(Decrease) in Due to Other

(Decrease) in Variation margin payable

(Decrease) in Payable to Sponsor

(Decrease) in Administrative, accounting and custodian fees payable

(Decrease) in Professional fees payable

(Decrease) in Licensing and registration fees payable

cash provided by (used in) operating activities

( 172,002,788 )

Beginning of Period

End of Period

See accompanying notes to the financial statements.

-1x Short VIX Futures ETF

Schedule of Investments

as of June 30, 2024 (Unaudited)

PURCHASED OPTIONS - 1.2%(a)(b) Notional

Amount Contracts Value

( 159,434,045 )

( 12,917,222 )

( 166,501,637 )

FLOW FROM FINANCING ACTIVITIES

from shares sold, net of receivable from shares sold

of shares redeemed, net of payable from shares purchased

( 572,994,080 )

( 232,747,643 )

( 174,596,145 )

( 197,825,288 )

cash provided by (used in) financing activities

DECREASE IN CASH

( 5,032,398 )

accompanying notes to the financial statements.

Short VIX Futures ETF

of Investments

of September 30, 2024 (Unaudited)

PURCHASED OPTIONS - 0.6% (a)(b) Notional Amount Contracts Value

Call Options - 0.6%

3 unchanged sentences

TOTAL PURCHASED OPTIONS (Cost $ 1,872,495 ) 1,744,000

SHORT-TERM INVESTMENTS - 25.5%

Money Market Funds - 25.5%

INVESTMENTS - 44.0%

Market Funds - 44.0%

First American Government Obligations Fund - 4.82 % (c)

4 unchanged sentences

$ 317,664,759

Percentages are stated as a percent of net assets.

are stated as a percent of net assets.

(a) Exchange-traded.

(b) 100 shares per contract.

(d) 175,083,863 of cash is pledged as collateral for futures and options contracts.

See accompanying notes to financial statements.

-1x Short VIX Futures ETF

Schedule of Open Futures Contracts

as of June 30, 2024 (Unaudited)

accompanying notes to the financial statements.

Short VIX Futures ETF

of Open Futures Contracts

of September 30, 2024 (Unaudited)

Description Contracts

Purchased Expiration Date Notional Value/

Sold Expiration

Date Notional

(Depreciation)

2 unchanged sentences

Total Unrealized Appreciation (Depreciation) $ ( 1,009,748 )

See accompanying notes to financial statements.

-1x Short VIX Futures ETF

Schedule of Investments

December 31, 2023

accompanying notes to the financial statements.

Short VIX Futures ETF

of Investments

Amount Contracts Value

5 unchanged sentences

TOTAL PURCHASED OPTIONS (Cost $ 1,171,333 ) 360,000

SHORT-TERM INVESTMENT - 11.64%

Money Market Funds - 11.64%

INVESTMENT - 11.64%

Market Funds - 11.64%

First American Government Obligations Fund, 5.28 % (d)

4 unchanged sentences

$ 125,057,419

Percentages are stated as a percent of net assets.

are stated as a percent of net assets.

(a) Exchange-traded.

shares per contract.

of cash is pledged as collateral for futures and options contracts.

rate shown represents the 7-day effective yield as of December 31, 2023.

See accompanying notes to financial statements.

-1x Short VIX Futures ETF

Schedule of Open Futures

December 31, 2023

(b) 100 shares per contract.

(d) The rate shown represents the 7-day effective yield as of December 31, 2023.

accompanying notes to the financial statements.

Short VIX Futures ETF

of Open Futures Contracts

Description Contracts

5 unchanged sentences

Total Unrealized Appreciation (Depreciation) $ 7,980,684

See accompanying notes to financial statements.

2x Long VIX Futures ETF

Schedule of Investments

as of June 30, 2024 (Unaudited)

SHORT-TERM INVESTMENTS - 22.1%

Money Market Funds - 22.1%

accompanying notes to the financial statements.

Long VIX Futures ETF

of Investments

of September 30, 2024 (Unaudited)

INVESTMENTS - 36.6%

Market Funds - 36.6%

First American Government Obligations Fund - 4.82 % (a)

3 unchanged sentences

TOTAL NET ASSETS - 100.0 %

Percentages are stated as a percent of net assets.

(a) The rate shown represents the 7-day effective yield as of June

$ 166,997,854

are stated as a percent of net assets.

(a) The rate shown represents the 7-day annualized effective yield as of September 30, 2024.

(b) 112,415,389 of cash is pledged as collateral for futures contracts.

See accompanying notes to financial statements.

2x Long VIX Futures ETF

Schedule of Open Futures Contracts

as of June 30, 2024 (Unaudited)

accompanying notes to the financial statements.

2x Long VIX Futures

Schedule of Open

Futures Contracts

as of September

30, 2024 (Unaudited)

Description Contracts

Purchased Expiration Date Notional Value/

Purchased Expiration

Date Notional

Value Value /

(Depreciation)

2 unchanged sentences

Total Unrealized Appreciation (Depreciation) $ ( 2,448,286 )

See accompanying notes to financial statements.

2x Long VIX Futures ETF

See accompanying notes to the financial statements.

2x Long VIX Futures

Schedule of Investments

7 unchanged sentences

TOTAL NET ASSETS - 100.00 %

Percentages are stated as a percent of net assets.

rate shown represents the 7-day effective yield as of December 31, 2023.

(b) $61,750,311

of cash is pledged as collateral for futures contracts.

See accompanying notes to financial statements.

2x Long VIX Futures ETF

Schedule of Open Futures Contracts

Percentages are stated as a percent

of net assets.

(a) The rate shown represents the 7-day effective yield as of December 31, 2023.

(b) $61,750,311 of cash is pledged as collateral for futures contracts.

See accompanying notes to the financial statements.

2x Long VIX Futures

Schedule of Open

Futures Contracts

as of December

7 unchanged sentences

Total Unrealized Appreciation (Depreciation) $ ( 8,177,618 )

See accompanying notes to financial statements.

NOTES TO FINANCIAL STATEMENTS

June 30, 2024 (unaudited)

See accompanying notes to the financial statements.

NOTES TO FINANCIAL

September 30,

2024 (unaudited)

NOTE 1 – ORGANIZATION

VS Trust (the “Trust”) is a Delaware

statutory trust formed on October 24, 2019, and is currently organized into separate series (each, a “Fund” and collectively,

the “Funds”).

As of June 30, 2024, the following two series of the Trust have commenced investment operations:

-1x Short VIX

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

Each of the Funds listed above issues common units

of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only

VS Trust (the “Trust”)

is a Delaware statutory trust formed on October 24, 2019, and is currently organized into separate series (each, a “Fund”

and collectively, the “Funds”).

As of September 30, 2024, the following two series of the Trust have commenced investment

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

Each of the Funds listed

above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest

in and ownership of only that Fund.

The Shares of each Fund are listed on the Cboe BZX Exchange (“Cboe BZX”).

The Funds’ inception of operation was March

Neither the Trust nor the Funds had any operations prior to March 28, 2022, other than matters relating to its organization

and the registration of each series under the Securities Act of 1933.

Each Fund’s investment exposure to VIX futures

contracts will cause each to be deemed a commodity pool, thereby subjecting each Fund to regulation under the Commodity Exchange Act of

1934 (“CEA”) and Commodity Futures Trading Commission (“CFTC”) rules.

The Sponsor is registered as a Commodity

Pool Operator (“CPO”) and the Fund will be operated in accordance with applicable CFTC rules.

Registration as a CPO imposes

additional compliance obligations on the Sponsor and the Funds related to additional laws, regulations, and enforcement policies, which

could increase compliance costs and may affect the operations and financial performance of the Funds.

Volatility Shares LLC (the “Sponsor”)

is the sponsor of the Trust and the Funds.

The Sponsor also will serve as the Trust’s commodity pool operator.

The Funds are commodity

pools, as defined under the Commodity Exchange Act (the “CEA”), and the applicable regulations of the CFTC and are operated

by the Sponsor, which is registered as a commodity pool operator with the CFTC.

The Trust is not an investment company registered under

the Investment Company Act of 1940.

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

Each Fund is an investment company, as defined

by Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial

Services — Investment Companies.” As such, the Funds follow the investment company accounting and reporting guidance.

following is a summary of significant accounting policies followed by each Fund, as applicable, in preparation of its financial statements.

These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).

The accompanying unaudited financial statements

were prepared in accordance with GAAP for interim financial information and with the instructions for Form 10-Q and the rules and regulations

inception of operation was March 28, 2022.

Neither the Trust nor the Funds had any operations prior to March 28, 2022, other than matters

relating to its organization and the registration of each series under the Securities Act of 1933.

investment exposure to VIX futures contracts will cause each to be deemed a commodity pool, thereby subjecting each Fund to regulation

under the Commodity Exchange Act of 1934 (“CEA”) and Commodity Futures Trading Commission (“CFTC”) rules.

Sponsor is registered as a Commodity Pool Operator (“CPO”) and the Fund will be operated in accordance with applicable CFTC

Registration as a CPO imposes additional compliance obligations on the Sponsor and the Funds related to additional laws, regulations,

and enforcement policies, which could increase compliance costs and may affect the operations and financial performance of the Funds.

Volatility Shares

LLC (the “Sponsor”) is the sponsor of the Trust and the Funds.

The Sponsor also will serve as the Trust’s commodity

pool operator.

The Funds are commodity pools, as defined under the Commodity Exchange Act (the “CEA”), and the applicable

regulations of the CFTC and are operated by the Sponsor, which is registered as a commodity pool operator with the CFTC.

not an investment company registered under the Investment Company Act of 1940.

NOTE 2 – SIGNIFICANT ACCOUNTING

Each Fund is an

investment company, as defined by Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”)

Topic 946 “Financial Services — Investment Companies.” As such, the Funds follow the investment company accounting

and reporting guidance.

The following is a summary of significant accounting policies followed by each Fund, as applicable, in preparation

of its financial statements.

These policies are in conformity with accounting principles generally accepted in the United States of America

The accompanying

unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions for

Form 10-Q and the rules and regulations of the U.S.

Securities and Exchange Commission (“SEC”).

In the opinion of management, all material adjustments, consisting

only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made.

In the opinion of management,

all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period

financial statements have been made.

Interim period results are not necessarily indicative of results for a full-year period.

Emerging growth company

The Trust is an “emerging growth company,”

as defined in the Jumpstart Our Business Startups Act of 2012.

It will remain an emerging growth company until the earlier of (1) the

beginning of the first fiscal year following the fifth anniversary of its initial public offering, (2) the beginning of the first fiscal

year after annual gross revenue is $ 1.235 billion (subject to adjustment for inflation) or more, (3) the date on which the Fund has, during

the previous three-year period, issued more than $ 1.0 billion in non-convertible debt securities and (4) as of the end of any fiscal year

in which the market value of common equity held by non-affiliates exceeded $ 700 million as of the end of the second quarter of that fiscal

For as long as the Trust remains an “emerging

growth company,” it may take advantage of certain exemptions from the various reporting requirements that are applicable to public

companies that are not “emerging growth companies” including, but not limited to, not being required to comply with the auditor

attestation requirements of Section 404 of the Sarbanes-Oxley Act, reduced disclosure obligations regarding executive compensation and

financial statements in our periodic reports and proxy statements, and exemptions from the requirements of holding a nonbinding advisory

vote to approve executive compensation and shareholder approval of any golden parachute payments not previously approved.

The Trust will

take advantage of these reporting exemptions until it is no longer an “emerging growth company.”

The Trust is an

“emerging growth company,” as defined in the Jumpstart Our Business Startups Act of 2012.

It will remain an emerging growth

company until the earlier of (1) the beginning of the first fiscal year following the fifth anniversary of its initial public offering,

(2) the beginning of the first fiscal year after annual gross revenue is $ 1.235 billion (subject to adjustment for inflation) or more,

(3) the date on which the Fund has, during the previous three-year period, issued more than $ 1.0 billion in non-convertible debt securities

and (4) as of the end of any fiscal year in which

the market value of common equity held by non-affiliates exceeded $ 700 million as of the end of the second quarter of that fiscal year.

For as long as the

Trust remains an “emerging growth company,” it may take advantage of certain exemptions from the various reporting requirements

that are applicable to public companies that are not “emerging growth companies” including, but not limited to, not being

required to comply with the auditor attestation requirements of Section 404 of the Sarbanes-Oxley Act, reduced disclosure obligations

regarding executive compensation and financial statements in our periodic reports and proxy statements, and exemptions from the requirements

of holding a nonbinding advisory vote to approve executive compensation and shareholder approval of any golden parachute payments not

previously approved.

The Trust will take advantage of these reporting exemptions until it is no longer an “emerging growth company.”

Use of Estimates & Indemnifications

The preparation of financial statements in conformity

with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures

of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during

the reporting period.

The preparation

of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts

of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported

amounts of revenues and expenses during the reporting period.

Actual results could differ from those estimates.

In the normal course of business, the Trust enters

into contracts that contain a variety of representations which provide general indemnifications.

The Trust’s maximum exposure under

these arrangements cannot be known;

In the normal course

of business, the Trust enters into contracts that contain a variety of representations which provide general indemnifications.

maximum exposure under these arrangements cannot be known;

however, the Trust expects any risk of loss to be remote.

8 unchanged sentences

The cash amount shown in the Statements of Cash

Flows is the amount reported as cash in the Statements of Financial Condition dated June 30, 2024, and December 31, 2023, and represents

Flows is the amount reported as cash in the Statements of Financial Condition dated September 30, 2024, and December 31, 2023, and represents

cash, but does not include short-term investments.

1 unchanged sentence

The cut-off times and the times of the calculation

of the Funds’ final net asset value for creation and redemption of fund Shares for the three months ended June 30, 2024, were typically

of the Funds’ final net asset value for creation and redemption of fund Shares for the three months ended September 30, 2024, were

typically as follows.

All times are Eastern Standard Time:

3 unchanged sentences

-1x Short VIX Futures ETF and 2:00 p.m.

June 30, 2024

September 30, 2024

2x Long VIX Futures ETF 2:00 p.m.

June 30, 2024

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, 2024.

September 30, 2024

* 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 September 30, 2024.

Market value per Share is determined at the close

4 unchanged sentences

may differ from those used in the calculation of certain of the Funds’ final creation/redemption NAV for the three months ended

June 30, 2024.

September 30, 2024.

Investment Valuation

29 unchanged sentences

Fair Value of Financial Instruments

The Funds disclose

the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value.

disclosure requirements establish a fair value hierarchy that distinguishes between:

(1) market participant assumptions developed based

on market data obtained from sources independent of the Funds (observable inputs);

and (2) the Funds’ own assumptions about market

participant assumptions developed based on the best information available under the circumstances (unobservable inputs).

The three levels

defined by the disclosure requirements hierarchy are as follows:

Level I – Quoted prices

(unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement

Level II – Inputs

other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly.

II assets include the following:

quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar

assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability,

and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated

Level III – Unobservable

pricing input at the measurement date for the asset or liability.

Unobservable inputs shall be used to measure fair value to the extent

that observable inputs are not available.

In some instances,

the inputs used to measure fair value might fall in different levels of the fair value hierarchy.

The level in the fair value hierarchy

within which the fair value measurement in its entirety falls is determined based on the lowest input level that is significant to the

fair value measurement in its entirety.

Fair value measurements

also require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as

well as when circumstances indicate that a transaction is not orderly.

The following table

summarizes the valuation of investments at June 30, 2024 (Unaudited) and December 31, 2023 using the fair value hierarchy:

June 30, 2024 (Unaudited)

The Funds disclose the fair value of their investments

in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value.

The disclosure requirements establish a

fair value hierarchy that distinguishes between:

(1) market participant assumptions developed based on market data obtained from sources

independent of the Funds (observable inputs);

and (2) the Funds’ own assumptions about market participant assumptions developed

based on the best information available under the circumstances (unobservable inputs).

The three levels defined by the disclosure requirements

hierarchy are as follows:

Level I – Quoted prices (unadjusted) in active markets

for identical assets or liabilities that the reporting entity has the ability to access at the measurement date.

Level II – Inputs other than quoted prices included

within Level I that are observable for the asset or liability, either directly or indirectly.

Level II assets include the following:

prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that

are not active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally

from or corroborated by observable market data by correlation or other means (market-corroborated inputs).

Level III – Unobservable pricing input at the measurement

date for the asset or liability.

Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not

In some instances, the inputs used to measure fair

value might fall in different levels of the fair value hierarchy.

The level in the fair value hierarchy within which the fair value measurement

in its entirety falls is determined based on the lowest input level that is significant to the fair value measurement in its entirety.

Fair value measurements also require additional

disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances

indicate that a transaction is not orderly.

The following table summarizes the valuation of investments at September 30, 2024 (Unaudited) and December 31, 2023 using the fair value hierarchy:

September 30, 2024 (Unaudited)

December 31, 2023

Short VIX Futures ETF

-1x Short VIX Futures ETF

Purchased Options*

Financial Instruments

Futures Contracts*

Short-Term Investment

Total Investments

$ 141,574,165

Other Financial Instruments*

Short Futures Contracts

Total Other Financial Instruments

Other Financial Instruments*

Short Futures Contracts

$ ( 1,915,106 )

Total Other Financial Instruments

$ ( 1,915,106 )

2x Long VIX Futures ETF

Short-Term Investments

Financial Instruments

Futures Contracts*

Total Investments

Other Financial Instruments*

Long Futures Contracts

Total Other Financial Instruments

Other Financial Instruments*

Long Futures Contracts

$ ( 3,541,691 )

2 unchanged sentences

$ ( 8,177,618 )

Other Financial Instruments

Total Other Financial Instruments

$ ( 3,541,691 )

4 unchanged sentences

The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to a Fund’s NAV than the uncertainties surrounding inputs for a non-derivative security with the same market value.

The inputs or methodology

used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.

The inputs or methodology used for valuing investments

are not necessarily an indication of the risk associated with investing in those securities.

Investment Transactions and Related Income

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the Funds may pay.

The net amount of the excess, if any, of each

Fund’s obligations over its entitlements with respect to each OTC swap agreement is accrued on a daily basis and an amount of

cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the

counterparty in a segregated account by the Funds’ Custodian.

The net amount of the excess, if any, of each Fund’s

obligations over its entitlements with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities

having an aggregate value at least equal to such accrued excess is maintained for the benefit of the counterparty in a segregated account

by the Funds’ Custodian.

The net amount of the excess, if any, of each Fund’s entitlements over its obligations with respect

to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal

to such accrued excess is maintained for the benefit of the Fund in a segregated account by a third party custodian.

Until a swap agreement

is settled in cash, the gain or loss on the notional amount less any transaction costs or trading spreads payable by each Fund on the

notional amount are recorded as “unrealized appreciation or depreciation on swap agreements” and, when cash is exchanged,

the gain or loss realized is recorded as “realized gains or losses on swap agreements.” Swap agreements are generally valued

at the last settled price of the benchmark referenced asset.

entitlements over its obligations with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or

securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the Fund in a segregated

account by a third party custodian.

Until a swap agreement is settled in cash, the gain or loss on the notional amount less any

transaction costs or trading spreads payable by each Fund on the notional amount are recorded as “unrealized appreciation or

depreciation on swap agreements” and, when cash is exchanged, the gain or loss realized is recorded as “realized gains

or losses on swap agreements.” Swap agreements are generally valued at the last settled price of the benchmark referenced

Swap agreements contain various conditions, events

6 unchanged sentences

or investment techniques.

Swap agreements involve, to varying degrees, elements

of market risk and exposure to loss in excess of the unrealized gain/loss reflected.

The notional amounts reflect the extent of the total

investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund.

Additional risks associated with the

use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference Index

and the inability of counterparties to perform.

Swap agreements involve, to varying degrees, elements of market risk

and exposure to loss in excess of the unrealized gain/loss reflected.

The notional amounts reflect the extent of the total investment

exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund.

Additional risks associated with the use of swap

agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference Index and the

inability of counterparties to perform.

Each Fund bears the risk of loss of the amount expected to be received under a swap agreement

39 unchanged sentences

Statements of Assets and Liabilities

Fair values of derivative instruments as of June 30, 2024 (Unaudited)

Fair values of derivative instruments as of September 30, 2024 (Unaudited)

and December 31, 2023:

Statements of

Liabilities Location Fair Value Statements of

Liabilities Location Fair Value

As of June 30, 2024 (Unaudited) As of December 31, 2023

-1x Short VIX Futures ETF Assets Liabilities Assets Liabilities

Assets and Fair Value Statements of

Assets and Fair Value

Liabilities As of September 30, 2024 (Unaudited) Liabilities As of December 31, 2023

-1x Short VIX Futures ETF Location Assets Liabilities Location Assets Liabilities

Purchased Option Contracts:

3 unchanged sentences

Index Unrealized Appreciation

Unrealized Appreciation* 7,980,684 -

Total fair values of derivative instruments $ 5,572,332 $ -

$ 8,340,684 $ -

(Depreciation)* 905,358 ( 1,915,106 ) Unrealized Appreciation* 7,980,684 -

Total fair values of

derivative instruments $ 2,649,358 $ ( 1,915,106 ) $ 8,340,684 $ -

2x Long VIX Futures ETF Assets Liabilities Assets Liabilities

1 unchanged sentence

Index Unrealized Appreciation

$ ( 3,583,906 ) Unrealized Appreciation* $ -

$ ( 8,177,618 )

Total fair values of derivative instruments $ -

(Depreciation)* $ 1,093,405 $ ( 3,541,691 ) Unrealized Appreciation

(Depreciation)* $ -

$ ( 8,177,618 )

Total fair values of

derivative instruments $ 1,093,405 $ ( 3,541,691 ) $ -

$ ( 8,177,618 )

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

Only current day's variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.

cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Futures Contracts.

Only current day’s

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

Statements of Operations

The effect of derivative instruments on the Statement of Operations

for the three months ended June 30, 2024 (Unaudited) and June 30, 2023 (Unaudited):

for the three months ended September 30, 2024 (Unaudited) and September 30, 2023 (Unaudited):

Net Realized Gain (Loss) on Derivatives

For the three months ended June 30, 2024 (Unaudited)

For the three months ended June 30, 2023 (Unaudited)

For the three months ended

September 30, 2024 (Unaudited)

For the three months ended

September 30, 2023 (Unaudited)

-1x Short VIX Futures ETF

2 unchanged sentences

$ ( 28,241,497 )

$ ( 28,508,230 )

$ ( 28,241,497 )

2x Long VIX Futures ETF

10 unchanged sentences

Net Change in Unrealized Appreciation (Depreciation) on Derivatives

For the three months ended June 30, 2024 (Unaudited)

For the three months ended June 30, 2023 (Unaudited)

For the three months ended September 30, 2024 (Unaudited)

For the three months ended September 30, 2023 (Unaudited)

-1x Short VIX Futures ETF

8 unchanged sentences

$ ( 12,928,171 )

$ ( 811,301 )

2x Long VIX Futures ETF

Index Contracts

$ ( 4,374,661 )

The following table indicates the average volume when in

use for the quarter ended June 30, 2024 (Unaudited):

The following table indicates the average volume when in use for the

quarter ended September 30, 2024 (Unaudited):

-1x Short VIX

3 unchanged sentences

( 252,076,760 )

The following table indicates the average volume when in

use for the quarter ended June 30, 2023 (Unaudited):

The following table indicates the average volume when in use for the

quarter ended September 30, 2023 (Unaudited):

-1x Short VIX

2 unchanged sentences

$ ( 90,003,865 )

The following table indicates the average volume when in

use for the quarter ended June 30, 2024 (Unaudited):

The following table indicates the average volume when in use for the

quarter ended September 30, 2024 (Unaudited):

-1x Short VIX

Average notional value of purchased options contracts

There were no transactions in purchased option contracts

during the quarter ended June 30, 2023.

There were no transactions in purchased option contracts during the

quarter ended September 30, 2023.

The effect of derivative instruments on the Statement of Operations

for the six months ended June 30, 2024 (Unaudited) and June 30, 2023 (Unaudited):

for the nine months ended September 30, 2024 (Unaudited) and September 30, 2023 (Unaudited):

Net Realized Gain (Loss) on Derivatives

For the six months ended June 30, 2024

For the six months ended June 30, 2023

For the nine months ended September 30, 2024

For the nine months ended September 30, 2023

-1x Short VIX Futures ETF

14 unchanged sentences

Net Change in Unrealized Appreciation (Depreciation) on Derivatives

For the six months ended June 30, 2024

For the six months ended June 30, 2023

For the nine months ended September 30, 2024 (Unaudited)

For the nine months ended September 30, 2023 (Unaudited)

-1x Short VIX Futures ETF

4 unchanged sentences

$ ( 7,565,698 )

2x Long VIX Futures ETF

Index Contracts

$ ( 7,658,659 )

2 unchanged sentences

$ ( 7,565,698 )

* The amounts disclosed are included in the realized gain (loss)

on investments.

** The amounts disclosed are included in the change in unrealized

appreciation (depreciation) on investments.

The following table indicates the average volume when in

use for the six months ended June 30, 2024 (Unaudited):

2x Long VIX Futures ETF

Index Contracts

The amounts disclosed are included in the realized gain (loss) on investments.

The amounts disclosed are included in the change in unrealized appreciation (depreciation) on investments.

The following table indicates the average volume when in use for the

nine months ended September 30, 2024 (Unaudited):

-1x Short VIX

3 unchanged sentences

( 180,167,953 )

The following table indicates the average volume when in

use for the six months ended June 30, 2023 (Unaudited):

The following table indicates the average volume when in use for the

nine months ended September 30, 2023 (Unaudited):

-1x Short VIX

3 unchanged sentences

( 75,262,285 )

The following table indicates the average volume when in

use for the six months ended June 30, 2024 (Unaudited):

The following table indicates the average volume when in use for the

nine months ended September 30, 2024 (Unaudited):

-1x Short VIX

1 unchanged sentence

There were no transactions in purchased option contracts during the

six months ended June 30, 2023.

nine months ended September 30, 2023.

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 June 30, 2024 and December 31, 2023.

Fair Values of Derivative Instruments as of June 30, 2024 (Unaudited)

under a master netting agreement and the related collateral received or pledged by the Funds as of September 30, 2024 and December 31,

Fair Values of Derivative Instruments as of September 30, 2024 (Unaudited)

in the Statements of

20 unchanged sentences

2x Long VIX Futures ETF

Asset (Liability) amounts shown in the table below

represent amounts owed to (by) the Funds for the derivative-related investments at June 30, 2024 and December 31, 2023.

These amounts

may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether

the related contracts are in an appreciated or depreciated position at period end.

Amounts shown in the column labeled “Net Amount”

represent the uncollateralized portions of these amounts at period end.

These amounts may be un-collateralized due to timing differences

related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting

for Derivative Instruments”.

Gross Amounts Not Offset in the Statements of Financial Condition as of June 30, 2024 (Unaudited)

Asset (Liability) amounts shown in the table

below represent amounts owed to (by) the Funds for the derivative-related investments at September 30, 2024 and December 31, 2023.

These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties,

depending on whether the related contracts are in an appreciated or depreciated position at period end.

Amounts shown in the column

labeled “Net Amount” represent the uncollateralized portions of these amounts at period end.

These amounts may be

un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as

further described above under the caption “Accounting for Derivative Instruments”.

Gross Amounts Not Offset in the Statements of Financial Condition as of September 30, 2024 (Unaudited)

(Liabilities)

9 unchanged sentences

-1x Short VIX Futures ETF

2x Long VIX Futures ETF

( 6,246,194 )

2x Long VIX Futures ETF

Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2023

16 unchanged sentences

Fee”), 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

1 unchanged sentence

No other Management Fee is paid by the Funds.

The Management Fee is paid in consideration of the Sponsor’s trading advisory services and the other services provided to the Fund

that the Sponsor pays directly.

Pursuant to the Sponsor Agreement between Sponsor

and the Trust, on behalf of the Funds, the Sponsor oversees and pays Penserra Capital Management, LLC.

(“Commodity Sub-Adviser”)

for its services as Commodity Sub-Adviser.

The Commodity Sub-Adviser is paid by the Sponsor an annual sub-advisory fee of 0.20 % based

on each Fund’s average daily net assets (total assets of the Fund, minus the sum of its accrued liabilities).

The Funds do not

directly pay the Commodity Sub-Adviser.

Management Fee is paid in consideration of the Sponsor’s trading advisory services and the other services provided to the Fund that

the Sponsor pays directly.

Prior to September 16, 2024, Penserra Capital Management

LLC (the “Penserra”) served as the Funds’ commodity sub-adviser.

During the period in which Penserra served as the commodity

sub-adviser, the Sponsor oversaw and paid Penserra for its services as commodity sub-adviser, based on each Fund’s average daily

net assets (total assets of the Fund, minus the sum of its accrued liabilities).

The Funds did not directly pay Penserra.

Non-Recurring Fees and Expenses

2 unchanged sentences

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.

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

15 unchanged sentences

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.

(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

1 unchanged sentence

NOTE 5 – OFFERING COSTS

Offering costs will be amortized by the Funds

over a twelve month period on a straight-line basis beginning once the fund commences operations.

Offering costs will be amortized by the Funds over

a twelve month period on a straight-line basis beginning once the fund commences operations.

The Sponsor will not charge its Management

3 unchanged sentences

NOTE 6 – CREATION AND REDEMPTION 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.

Except when aggregated in Creation Units, the

Shares are not redeemable securities.

Retail investors, therefore, generally will not be able to purchase or redeem Shares directly from

or with a Fund.

Creation Units may be created

or redeemed only by Authorized Participants.

Except when aggregated in Creation Units, the Shares

are not redeemable securities.

Retail investors, therefore, generally will not be able to purchase or redeem Shares directly from or with

Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of a broker.

some of the information contained in these Notes to Financial Statements—such as references to the Transaction Fees imposed on

purchases and redemptions is not relevant to retail investors.

of the information contained in these Notes to Financial Statements—such as references to the Transaction Fees imposed on purchases

and redemptions is not relevant to retail investors.

Transaction Fees on Creation and Redemption Transactions

10 unchanged sentences

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.

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

2 unchanged sentences

in the Creation Units they purchase from the Funds to other investors in the secondary market.

Transaction Fees for the three months ended June

30, 2024 (Unaudited) and June 30, 2023 (Unaudited) were as follows:

Transaction Fees for the three months ended September

30, 2024 (Unaudited) and September 30, 2023 (Unaudited) were as follows:

September 30,

2023 (Unaudited)

1 unchanged sentence

2x Long VIX Futures ETF

September 30,

-1x Short VIX Futures ETF

2 unchanged sentences

Selected data is for a Share outstanding throughout

the three months ended June 30, 2024 (Unaudited) and June 30, 2023 (Unaudited):

the three months ended September 30, 2024 (Unaudited) and September 30, 2023 (Unaudited):

Financial Highlights

1 unchanged sentence

-1x Short VIX

September 30,

Net Asset Value, Beginning of Period

Net investment loss (1)

investment Income (Loss) (1)

Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts (2)

6 unchanged sentences

Expense ratio (6)

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) Due to timing of capital share transactions, per share amounts

may not compare with amounts appearing elsewhere within these Financial Statements.

(3) 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.

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

2024 and June 30, 2023.

Net Investment Income (Loss)

Net investment loss per share represents net investment loss divided by the daily average shares of beneficial interest outstanding during the period.

Due to timing of capital share transactions, per share amounts may not compare with amounts appearing elsewhere within these Financial Statements.

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.

Percentages are not annualized for the period ended September 30, 2024 and September 30, 2023.

Percentages are annualized.

(6) The expense ratio would be 1.67 % and 2.37 % respectively, for

the three months ended June 30, 2024, and 2.17 % and 2.09 % for the three months ended June 30, 2023 if brokerage commissions and futures

and futures account fees were excluded.

(6) The expense ratio would be 1.48 % and 2.14 % respectively, for the three months ended September 30, 2024, and 1.89 % and 2.21 % for the three months ended September 30, 2023 if brokerage commissions and futures and futures account fees were excluded.

See accompanying notes to financial statements.

Selected data is for a Share outstanding throughout the Six Months

Ended June 30, 2024 (Unaudited) and June 30, 2023 (Unaudited)

Selected data is for a Share outstanding throughout the Nine Months

Ended September 30, 2024 (Unaudited) and September 30, 2023 (Unaudited)

Financial Highlights

1 unchanged sentence

-1x Short VIX

September 30,

2024 (Unaudited)

September 30,

2023 (Unaudited)

September 30,

Net Asset Value, Beginning of Period

Net investment loss (1)

Net investment Income (Loss) (1)

Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts (2)

6 unchanged sentences

Expense ratio (6)

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) Due to timing of capital share transactions, per share amounts

may not compare with amounts appearing elsewhere within these Financial Statements.

(3) 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.

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

2024 and June 30, 2023.

Net Investment Income (Loss)

Net investment loss per share represents net investment loss divided by the daily average shares of beneficial interest outstanding during the period.

Due to timing of capital share transactions, per share amounts may not compare with amounts appearing elsewhere within these Financial Statements.

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.

Percentages are not annualized for the period ended September 30, 2024 and September 30, 2023.

Percentages are annualized.

(6) The expense ratio would be 1.69 % and 2.40 % respectively, for

the six months ended June 30, 2024, and 2.23 % and 2.13 % for the six months ended June 30, 2023 if brokerage commissions and futures and

futures account fees were excluded.

(6) The expense ratio would be 1.58 % and 2.29 % respectively, for the nine months ended September 30, 2024, and 2.08 % and 2.15 % for the nine months ended September 30, 2023 if brokerage commissions and futures and futures account fees were excluded.

See accompanying notes to financial statements.

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Correlation and Compounding Risk

The Funds do not seek to achieve their stated

investment objective over a period of time greater than a single day (as measured from NAV calculation time to NAV calculation time).

The return of a Fund for a period longer than a single day is the result of its return for each day compounded over the period and usually

will differ in amount and possibly even direction from the inverse (-1x) or two times (2x) the return of the Fund’s benchmark for

A Fund will lose money if its benchmark performance is flat over time, and it is possible for a Fund to lose money over time

even if the performance of its benchmark increases in the case of UVIX (or decreases in the case of SVIX), as a result of daily rebalancing,

the benchmark’s volatility, compounding, and other factors.

Compounding is the cumulative effect of applying investment gains and

losses and income to the principal amount invested over time.

Gains or losses experienced over a given period will increase or reduce

the principal amount invested from which the subsequent period’s returns are calculated.

The effects of compounding will likely

cause the performance of a Fund to differ from the Fund’s stated multiple times the return of its benchmark for the same period.

The effect of compounding becomes more pronounced as benchmark volatility and holding period increase.

The impact of compounding will

impact each shareholder differently depending on the period of time an investment in a Fund is held and the volatility of the benchmark

during the holding period of an investment in the Fund.

Longer holding periods, higher benchmark volatility, inverse exposure and greater

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.

The Funds do not seek to achieve their stated investment

objective over a period of time greater than a single day (as measured from NAV calculation time to NAV calculation time).

of a Fund for a period longer than a single day is the result of its return for each day compounded over the period and usually will differ

in amount and possibly even direction from the inverse (-1x) or two times (2x) the return of the Fund’s benchmark for the period.

A Fund will lose money if its benchmark performance is flat over time, and it is possible for a Fund to lose money over time even if the

performance of its benchmark increases in the case of UVIX (or decreases in the case of SVIX), as a result of daily rebalancing, the benchmark’s

volatility, compounding, and other factors.

Compounding is the cumulative effect of applying investment gains and losses and income to

the principal amount invested over time.

Gains or losses experienced over a given period will increase or reduce the principal amount

invested from which the subsequent period’s returns are calculated.

The effects of compounding will likely cause the performance

of a Fund to differ from the Fund’s stated multiple times the return of its benchmark for the same period.

The effect of compounding

becomes more pronounced as benchmark volatility and holding period increase.

The impact of compounding will impact each shareholder differently

depending on the period of time an investment in a Fund is held and the volatility of the benchmark during the holding period of an investment

Longer holding periods, higher benchmark volatility, inverse exposure and greater 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.

Each Fund uses leverage and should produce daily

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leverage and are riskier than similarly benchmarked exchange-traded funds that do not use leverage.

An investor should only consider

an investment in a Fund if he or she understands the consequences of seeking daily leveraged or daily inverse investment results.

An investor should only consider an

investment in a Fund if he or she understands the consequences of seeking daily leveraged or daily inverse investment results.

who invest in the Funds should actively manage and monitor their investments, as frequently as daily.

While the Funds seek to meet their investment

objectives, there is no guarantee they will do so.

While the Funds seek to meet their investment objectives,

there is no guarantee they will do so.

Factors that may affect a Fund’s ability to meet its investment objective include:

(1) the Sponsor’s ability to purchase and sell Financial Instruments in a manner that correlates to a Fund’s objective;

an imperfect correlation between the performance of Financial Instruments held by a Fund and the performance of the applicable benchmark;

(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;

Sponsor’s ability to purchase and sell Financial Instruments in a manner that correlates to a Fund’s objective;

(2) an imperfect

correlation between the performance of Financial Instruments held by a Fund and the performance of the applicable benchmark;

spreads on such Financial Instruments;

(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;

(6) 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;

(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

ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree

of correlation.

ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high

degree of correlation.

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.

Each Fund seeks to rebalance its portfolio on

a daily basis.

The time and manner in which a Fund rebalances its portfolio may vary from day to day depending upon market conditions

and other circumstances at the discretion of the Sponsor.

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.

In order 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 each day.

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.

Each Fund seeks to rebalance its portfolio on a

The time and manner in which a Fund rebalances its portfolio may vary from day to day depending upon market conditions and

other circumstances at the discretion of the Sponsor.

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.

Counterparty Risk

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and the counterparties with which the Fund engages in transactions.

As noted, the CFTC rules may not apply to all

of the swap agreements and forward contracts entered into by the Funds.

Investors, therefore, may not receive the protection of CFTC

regulation or the statutory scheme of the Commodity Exchange Act (the “CEA”) in connection with each Fund’s swap agreements

or forward contracts.

The lack of regulation in these markets could expose investors to significant losses under certain circumstances,

including in the event of trading abuses or financial failure by participants.

As noted, the CFTC rules may not apply to all of

the swap agreements and forward contracts entered into by the Funds.

Investors, therefore, may not receive the protection of CFTC regulation

or the statutory scheme of the Commodity Exchange Act (the “CEA”) in connection with each Fund’s swap agreements or

forward contracts.

The lack of regulation in these markets could expose investors to significant losses under certain circumstances, including

in the event of trading abuses or financial failure by participants.

Counterparty Credit Risk

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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.

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.

The Sponsor regularly reviews the performance

of its counterparties for, among other things, creditworthiness and execution quality.

In addition, the Sponsor periodically considers

the addition of new counterparties and the counterparties used by a Fund may change at any time.

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 default.

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 of

its counterparties for, among other things, creditworthiness and execution quality.

In addition, the Sponsor periodically considers the

addition of new counterparties and the counterparties used by a Fund may change at any time.

Each day, the Funds disclose their portfolio

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may be an Authorized Participant or shareholder of a Fund, subject to applicable law.

The counterparty risk for cleared derivatives

transactions is generally lower than for OTC derivatives.

Once a transaction is cleared, the clearing organization is substituted and

is a Fund’s counterparty on the derivative.

The counterparty risk for cleared derivatives transactions

is generally lower than for OTC derivatives.

Once a transaction is cleared, the clearing organization is substituted and is a Fund’s

counterparty on the derivative.

The clearing organization guarantees the performance of the other side of the derivative.

Nevertheless, some risk remains, as there is no assurance that the clearing organization, or its members, will satisfy its obligations

Nevertheless,

some risk remains, as there is no assurance that the clearing organization, or its members, will satisfy its obligations to a Fund.

Leverage Risk

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(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

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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Natural Disaster/Epidemic Risk

Natural or environmental disasters, such as earthquakes,

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

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

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

Such natural disaster and health

crises could exacerbate political, social, and economic risks 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

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

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

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.

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.

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.

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.

Risk that Current Assumptions and Expectations Could Become Outdated

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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