的 基金尋求每日投資結果（扣除費用和費用）為股價每日百分比變化的兩倍（200%） 禮來公司（紐約證券交易所代碼：LLY）的。本基金不會尋求在以下期間實現其既定投資目標 單一交易日。

這 該表描述了如果您購買、持有和出售基金股份（「股份」），您可能支付的費用和開支。你 可能向金融中介機構支付其他費用，例如行紀佣金和其他費用，但未反映在表格中 和下面的例子。

這 示例旨在幫助您比較投資該基金的成本與投資其他基金的成本。的示例 假設您在指定時間段內向基金投資10，000美金，然後在結束時贖回或持有您的所有股份 這些時期的。該示例還假設您的投資每年有5%的回報，並且基金的運營 費用保持不變。該示例不考慮您可能為購買和 出售股份。儘管您的實際成本可能更高或更低，但根據這些假設，您的成本將是：

的 基金在買賣證券（或「翻轉」其投資組合）時支付交易成本，例如佣金。 較高的投資組合周轉率可能表明交易成本較高，並可能導致持有股票時稅收較高 應稅帳戶。這些成本沒有反映在年度基金運營費用總額中或示例中，會影響 基金業績。由於該基金是新組建的，因此投資組合周轉率信息尚未獲得。

的 基金是一隻主動管理的交易所交易基金（「ETF」），試圖實現每日百分比的兩倍（200%） 通過就基礎證券簽訂掉期協議來改變基礎證券的股價。該基金旨在 以實現單日的每日百分比變化，而不是任何其他時期。「單日」是指期間 「從一個交易日常規交易收盤至下一個交易日收盤。」

的 基金將與金融機構簽訂一項或多項指定期限的掉期協議，期限可能從一個 一天到一年以上。通過每次互換協議，基金和金融機構將同意交換回報 (or回報率差異）在基礎證券的股價上賺取或實現。總回報（含義 扣除任何費用或開支之前的回報）在雙方之間交換或「交換」的計算公式 關於「名義金額」（指工具的面值），例如，回報或價值變化 代表基礎證券的特定金額的。如果基金無法實現足夠的掉期 暴露， 在扣除費用和費用之前，基金可能並不總是實現相當於兩倍（2x）的投資結果 基礎證券的日常表現，並且在此期間回報可能大幅減少。

在 每天結束時，基金的掉期使用市場估值進行估值，基金的投資顧問進行再平衡 該基金的持股試圖將該基金的槓桿風險敞口維持在基礎資產的約200% 證券的股價。

為 基金假設投資的示例，請參閱「有關基金的其他信息-本金投資 戰略」下面。

基金 超過一天的時間段的表現主要（但不僅僅是）取決於以下因素：a） 基礎證券波動性; b）基礎證券的表現; c）時間段; d）相關融資利率 槓桿風險敞口;和e）其他基金費用。

的 基金將持有資產作為基金掉期協議的抵押品。對於這些抵押品持有，基金可能會 投資（1）美國政府證券，例如美國財政部發行的票據、票據和債券;（2）貨幣市場基金; (3)短期債券ETF;和/或（4）公司債務證券，例如商業票據和其他短期無擔保商業本票 由被評為投資級或具有可比質量的企業發行的票據。

到 作為對基金使用掉期協議實現槓桿風險敞口的主要策略的補充，基金可能會採用上市期權 合同作為根據需要產生槓桿作用的額外工具。通過合併列出的期權，例如看漲期權， 該基金可以獲得基礎證券的槓桿風險敞口，而無需僅依賴掉期。這種靈活性使基金 根據市場狀況、流動性限制或其他可能影響的因素調整槓桿策略 互換協議的可用性或定價。期權的使用可能有助於基金更有效地實現其日常投資目標 在不同的市場條件下。

的 基金採取了一項政策，要求至少有80%的金融工具投資於具有應表現的經濟特徵的金融工具 基礎證券股票每日表現的2倍。該基金預計將配置其40%至60% 資產作為掉期協議的抵押品或作為購買期權合同的溢價。

的 根據1940年法案，基金被歸類為「非多元化」基金。

因爲 在每日重新平衡和每天收益隨時間增長的基礎上，基金的收益超過 每一天的收益都是這段時間內每一天的複合收益，這很可能不同於200% 標的證券的股份於同一期間的回報。如果標的證券的 隨着時間的推移，業績持平，由於每天的再平衡，基礎證券的股票波動和 複利的影響，基金可能會隨着時間的推移而虧損，而基礎證券的業績則會在 比一天更長的一段時間。因此，投資者不應計劃在一段時間內持有不受監控的基金股票 比一個交易日都要長。

伊萊 禮來公司（「LLY」）

LLY 是一家全球製藥公司，致力於發現、開發、製造和營銷創新藥物 在各個治療領域，包括神經科學、內分泌學、腫瘤學、心血管疾病和免疫學。LLY的 產品組合涵蓋廣泛的處方藥、生物製品和動物保健產品。LLY在紐約上市 證券交易所（「紐約證券交易所」）。根據LLY最近提交的10-k表格文件，投票和 LLY非附屬公司持有的無投票權普通股（基於6月30日最後報告的普通股出售價格， 2023年紐約證券交易所）約爲3980億美元。

LLY 根據經修訂的1934年證券交易法（「交易法」）註冊。獲資料 或LLY根據《交易法》向SEC提交的文件可通過參考SEC文件號001-06351查找 SEC網站www.sec.gov。此外，有關LLY的信息可以從其他來源獲取，包括，但 不限於新聞稿、報紙文章和其他公開傳播的文件。

這 本文件僅涉及在此提供的證券，與LLY的股份或LLY的其他證券無關。這個 基金已從可公開獲得的文件中獲得本文件中包含的關於LLY的所有披露。基金中的任何一個， 信託或顧問或其各自的關聯公司參與了此類公開發售的準備工作 或就有關LLY的此類文件進行任何盡職調查。本基金、信託基金或 顧問或其各自的關聯公司作出任何聲明，表示該等可公開獲得的文件或任何其他公開文件 關於LLY的可用信息是準確或完整的。此外，基金不能保證發生的所有事件 在此日期之前(包括可能影響公開文件的準確性或完整性的事件 如上所述)，這將影響LLY的交易價格(因此影響我們爲證券定價時LLY的股價) 已被公開披露。隨後披露任何此類事件或披露或沒有披露重大未來 與LLY有關的事件可能會影響與證券相關的收到價值，從而影響證券的價值。

沒有一 基金、信託、顧問或其各自的附屬機構就LLY的表現向您做出任何陳述。

無 在該基金中，潮汐信託II和潮汐投資有限責任公司與標的證券有關聯。

由於 就基金的投資策略而言，基金的投資風險集中在指定的同一行業 致底層安全。截至招股說明書之日，LLY被分配給製藥行業。

LLY 風險 該基金投資基於LLY股價的掉期合約。這使基金面臨某些 與擁有LLY股份相同的風險，儘管它沒有。憑藉基金對掉期合同的投資 基於LLY的價值，本基金還可能面臨以下風險：

間接 投資LLY Risk。 LLY與信託、基金或顧問或其各自的附屬機構沒有關聯， 沒有以任何方式參與此次發行，並且沒有義務在採取任何公司行動時考慮您的股份， 可能會影響股票的價值。基金投資者將沒有投票權，也無法影響管理 LLY的，但將暴露於LLY（底層安全）的性能。本基金的投資者將無權 接受股息或其他分配或與基礎證券相關的任何其他權利，但將受到以下約束 基礎證券的表現下降。

伊利 交易風險。LLY的交易價格可能會受到波動的影響，並可能因各種因素而經歷大幅波動 各種因素。製藥行業，包括LLY，在一個歷史上見證了高昂價格的市場中運營 以及交易量的波動，有時與公司的經營業績無關。賣空者也可能扮演重要的角色 在LLY交易中扮演的角色，可能會影響供求動態，並導致市場價格波動。公衆 公司無法控制的認知和外部因素可能會對LLY的股價產生不成比例的影響，因爲 無論其業務表現如何，LLY經常受到公衆的高度關注。此外，在接下來的市場時期 在波動性方面，包括LLY在內的公司一直面臨證券集體訴訟。LLY在#年就受到了這樣的訴訟 並將繼續對此類行動進行防禦。然而，任何不利的判決或未來的股東訴訟都可能導致 並轉移管理層的注意力和資源。在LLY停牌的情況下，交易 相關基金的股份可能會受到暫時或無限期的影響。

伊利 性能風險。Lly可能無法達到其公開宣佈的指導方針或對其業務的其他期望，這可能 導致LLY價格下跌。LLY提供有關其預期財務及業務表現的指引，例如預測 關於銷售和生產，以及預期的未來收入、毛利率、盈利能力和現金流。正確無誤 確定影響業務狀況的關鍵因素並預測未來事件本身就是一個不確定的過程，而 LLY提供的指導最終可能並不準確，過去在某些方面也不準確，例如時間 新產品製造的坡道。該指導基於某些假設，例如與全球和當地經濟有關的假設 條件、預期產量和銷售量(通常在給定時期內不是線性的)、平均銷售額 價格、供應商和商品成本，以及計劃的成本削減。如果LLY的指導不準確或與實際情況不符 由於無法滿足假設或可能導致的對其財務業績的影響而產生的結果 由於存在各種風險和不確定性，LLY發行的普通股市值可能大幅縮水。

製藥業 行業風險：藥物研發非常昂貴，而且成本很高 不確定；LLY可能無法成功開發、許可或獲得足夠數量或數量的商業成功產品 取代已經失去或將失去知識產權保護或因競爭對手而被取代的產品的收入的價值 產品或療法。Lly和LLY的產品面臨來自跨國製藥公司、生物技術公司的激烈競爭 公司，以及成本較低的仿製藥和生物相似製造商，這種競爭可能會對LLY的 公事。Lly的業務受到越來越多的政府價格管制和其他公共和私人限制 LLY藥物的定價、報銷和訪問，這可能對LLY的結果產生重大不利影響 運營、聲譽或業務。藥品可能會產生安全或療效方面的問題，這可能會產生一種物質 對LLY的收入、收入和聲譽產生不利影響。

知識 產權風險：LLY總收入的很大一部分來自相對較少的產品並銷售產品 通過日益整合的供應鏈實體，這可能會使LLY面臨或加劇各種風險。LLY取決於 LLY的大部分收入、現金流和收益受到知識產權保護的產品;有效的損失 LLY的某些產品已經受到知識產權保護，並且未來可能會繼續 結果，這些產品的收入迅速嚴重下降。LLY的長期成功取決於知識產權 保護;如果LLY的知識產權被無效、規避或削弱，LLY的業務將 受到不利影響。

操作 風險：LLY IT系統或LLY第三方IT系統的故障、不足、破壞或未經授權訪問 服務提供商、未經授權訪問LLY的機密信息或違反數據保護法，都可能 對LLY的業務和聲譽造成重大損害。製造、質量或供應鏈困難、中斷， 否則短缺可能導致產品供應問題。依賴第三方關係和外包安排可能會產生不利影響 影響LLY的業務。LLY對人工智能或其他新興技術的使用可能會產生不利影響 LLY的業務和財務業績。

國際 業務風險：經濟增長或低迷或國際貿易和其他全球混亂、地緣政治緊張局勢， 或糾紛可能對LLY的業務和經營業績產生不利影響。外幣匯率、利率變化 風險和通貨膨脹影響了LLY的運營結果。

政府 監管和訴訟風險：LLY面臨與其產品、LLY如何定價或商業化相關的訴訟和調查 其產品以及LLY業務的其他方面，這可能會對LLY的業務產生不利影響，並且LLY有自我保險 對於此類事情。LLY受制於不斷變化且複雜的稅法，這可能會導致額外的責任並影響LLY的 運營結果。監管合規問題可能會對LLY造成損害。

單個 發行人風險。 發行人特定屬性可能導致基金投資比傳統集合更波動 分散風險或一般市場的投資。該基金的價值專注於個人證券，可能 比傳統的集合投資或整個市場波動性更大，並且表現可能與A股的價值不同 傳統的集合投資或整個市場。此外，該基金將尋求採用其投資策略， 它與基礎發行人有關，無論是否存在重大公司行動，例如重組、執行 活動、收購或時期不利的市場、經濟或其他條件，不會尋求暫時防禦 在這些時期的位置。

複利 和市場波動風險。基金有每日的槓桿投資目標和基金在各時期的表現 超過一個交易日將是每天的回報在這段時間內的複合結果，這很可能是 不同於兩倍(200%)的標的證券的業績，扣除基金的管理費和其他費用。 複利影響所有投資，但對旨在複製槓桿每日回報和 每天都會實現再平衡。對於旨在複製基礎證券每日業績的兩倍的基金，如果每天都是不利的 基礎證券的表現減少了股東的投資額，任何進一步的不利日常表現 將導致較小的美元損失，因爲股東的投資已經因之前的不利業績而減少。 然而，同樣地，如果標的證券的良好每日表現增加了股東的投資額， 由於股東的投資增加，因未來業績不佳而損失的美元金額將增加。

的 隨着基礎證券波動性和持有期限的增加，複合效應變得更加明顯。的 複合的影響將根據基金投資的持有期限對每個股東產生不同的影響 以及股東持有基金投資期間基礎證券的波動性。

的 下圖提供了基礎證券的波動性如何影響基金業績的示例。的 圖表說明了影響基金業績的兩個因素的影響-基礎證券的波動性 以及基礎安全的表現。基礎證券的表現顯示了 指定時間段內基礎證券的股價，而基礎證券的波動性是統計數據 衡量該時期回報波動幅度。如下所示，即使底層 證券在兩個相等的時間段內的表現是相同的，不同的基礎證券波動性（即, 基礎證券股價在兩個時期內波動幅度）可能會導致巨大的 由於時段內的每日回報率是複合的，兩個時段的基金表現不同。

基金 給定以下因素的任何假設，可以估計超過一天的時間段的績效：a） 基礎證券波動性; b）基礎證券表現; c）時間段; d）與之相關的融資利率 槓桿風險敞口;及e）其他基金費用。該圖表顯示了多種基礎組合的估計基金回報 一年內的證券波動性和基礎證券表現。圖表中顯示的性能假設：（i） 沒有基金費用;（ii）借款/貸款利率（以獲得槓桿風險敞口）爲0%。如果基金費用和/或實際費用 借款/貸款利率反映了估計回報將與顯示的不同。尤其是在經期 由於基礎證券波動率較高，複合將導致長於交易日的時期的結果從兩個不同 乘以（200%）基礎證券的性能。

作爲 如下圖所示，如果標的股價沒有變化，預計基金將虧損6.1% 一年內的證券，在此期間基礎證券經歷了25%的年化波動率。如果基礎 證券的年化波動率將上升至75%，一年期的假設損失將擴大至約 -43%。在較高的波動範圍內，即使沒有變化，基金也有可能出現重大價值損失 在基礎證券的股價中。例如，如果基礎證券的年化波動率爲100%， 即使累計基礎證券股價發生變化，該基金預計將損失63.2%的價值 當年的基礎安全性爲0%。

地區 紅色（或深灰色）陰影表示基金預計回報低於業績兩倍（200%）的情況 基礎證券和綠色（或淺灰色）陰影代表基金預計會發生的情況 回報基礎證券性能的兩倍以上（200%）。本基金的實際業績可能顯着 由於上述或「每日相關/跟蹤」中討論的任何因素，比下面顯示的性能更好或更差 風險”如下。

的 基礎證券截至2024年9月30日的五年期年化歷史波動率爲31.66%。 基礎證券在此期間任何一個日曆年的最高波動率爲42.37%，波動率 在較短的時間內可能會高得多。基礎證券年化表現 本期爲47.39%。歷史基礎證券波動性和表現並不能表明基礎證券的情況 波動性和表現將在未來。

每天 關聯/跟蹤風險。我們不能保證基金會達到與 基礎證券，從而實現其日常槓桿投資目標。實現高度的槓桿關聯 有了基礎證券，基金尋求每天重新平衡其投資組合，以保持風險敞口與其每日槓桿一致 投資目標。基金對基礎證券的敞口大幅過高或過低的可能性增加 在接近交易日收盤時標的證券波動的日子。市場混亂，監管限制 極端的波動性也將對基金將風險敞口調整到所需水平的能力產生不利影響。如果有 是重大的日內市場事件和/或標的證券經歷了顯著的上升或下降，基金 可能沒有達到其投資目標，能夠適當地重新平衡其投資組合，或者可能會經歷顯著的溢價 或折扣，或買賣價差擴大。

的 由於費用、費用、交易成本、融資，基金可能難以實現其日常槓桿投資目標 與使用衍生品、直接或間接ETF投資相關的成本、收入項目、估值方法、會計 基金持有的證券或衍生品的市場出現標準和擾亂或流動性不足。基金可能會受到 資產大量進出基金，可能導致基金對基礎投資的風險過高或不足 安全本基金可以採取或不採取頭寸以提高稅收效率或遵守各種監管規定 限制，其中任何一項都可能對基金與基礎證券的槓桿相關性產生負面影響。

槓桿 風險.本基金利用槓桿獲得超過淨資產的投資敞口，可能會在市場上損失更多資金 比不利用槓桿的基金更不利於其投資目標的條件。對基金的投資 面臨基礎證券每日表現下降被放大的風險。這意味着 基礎公司股價每天每下跌1%，對基金的投資將減少2% 安全性，不包括融資槓桿和其他運營費用的成本，這將進一步降低其價值。的 理論上，如果基礎證券的股價下跌，基金的損失可能會超過其淨資產 超過50%。槓桿還將產生放大基金業績與 基礎證券的股價。

衍生品 風險。衍生品是從標的參考資產或資產(如股票)獲得價值的金融工具。 債券或基金(包括交易所買賣基金)、利率或指數。此外，基金對衍生品的投資還可能構成風險。 至及大於與直接投資證券或其他普通投資有關的費用，包括與風險有關的費用 對市場而言，槓桿率、與基礎投資或基金其他投資組合持有量的每日相關性不完善， 更高的價格波動性、缺乏可獲得性、交易對手風險、流動性、估值和法律限制。衍生品的使用 是一項高度專業化的活動，涉及不同於普通投資組合的投資技巧和風險。 證券交易。與直接投資證券相比，使用衍生品可能會導致更大的損失或更小的收益。 當基金使用衍生工具時，標的證券的股價與 衍生工具，這可能妨礙基金實現其投資目標。因爲衍生品通常只需要有限的 在進行初始投資時，使用衍生品可能會使基金蒙受超過初始投資額的損失。

的 基金將受到與基金可能通過其衍生品產生的風險價值水平相關的監管限制 portfolio.如果基金在很長一段時間內超過這些監管門檻，基金可能會確定 對基金的投資策略進行調整是必要的，包括所需的每日槓桿表現 本基金的情況

在 此外，本基金的衍生品投資還面臨以下風險：

交換 協定.掉期交易的使用是一項高度專業化的活動，涉及投資技術和風險 與普通投資組合證券交易相關的證券交易不同。基金能否成功使用 實現投資目標的互換協議取決於顧問根據以下標準構建此類互換協議的能力 符合基金的投資目標，並確定這些掉期協議的交易對手方。如果顧問無法 爲達成爲基礎證券提供槓桿風險敞口的掉期協議，基金可能無法滿足其既定投資 objective.此外，與使用掉期交易相關的任何融資、借款或其他成本也可能產生影響 降低基金回報率。

的 本基金投資的掉期協議通常在場外市場交易，場外市場的透明度通常較低 比交易所交易的衍生品工具更重要。在標準掉期交易中，雙方同意交換回報（或差額 回報率）在特定預定參考資產或基礎證券或工具上賺取或實現。的 雙方之間交換或交換的總回報是根據名義金額或回報或變化計算的 投資於一籃子證券的特定美元金額的價值。

如果 基礎證券的戲劇性舉動導致基金淨資產（掉期條款）大幅下降 基金與其交易對手之間的協議可允許交易對手立即終止掉期交易 基金。在這種情況下，基金可能無法簽訂另一項掉期協議或投資其他衍生品以實現 風險敞口與基金的投資目標一致。這可能會阻止基金實現槓桿投資 目標，即使基礎證券後來逆轉其全部或部分運動。

選項 合同。期權合約的使用涉及不同於普通合約的投資策略和風險。 有價證券交易。期權的價格是不穩定的，受實際和預期因素的影響 受財政和貨幣影響的基礎工具價值的變化，包括預期波動率 政策以及國家和國際政治、實際或引伸波幅或參考資產的變化， 期權合約到期前的剩餘時間和經濟事件。期權合約的價值，其中 基金投資在很大程度上受到標的證券價值的影響。該基金可能會面臨巨大的下行壓力 基金持有的特定期權頭寸和某些期權頭寸可能到期時一文不值。基金持有的選擇方案 可在到期日以執行價行使。當期權接近到期日時，其價值通常 隨着基礎工具的價值越來越大地變動。然而，在該日期之前，期權的價值通常 不會以與基礎工具相同的速度增加或減少。有時可能存在着不完全的相關性 期權合約和標的工具的價值變動，有時可能沒有流動性的二級市場 對於某些期權合約。基金持有的期權價值將根據市場報價或其他 公認的定價方法。此外，由於基金打算繼續維持對基礎證券的間接敞口 通過使用期權合同，當其持有的期權合同被行使或到期時，它將進入新的期權 合同，一種被稱爲「滾動」的做法。如果即將到期的期權合約不能產生足夠的收益 爲了支付簽訂新期權合同的費用，基金可能會出現虧損。利用期權產生槓桿作用 帶來額外的風險，包括如果市場走勢不利，可能會造成重大損失。它固有的槓桿作用 期權可能會放大收益和損失，導致波動性增加，並可能造成重大損失，尤其是 在市場不確定或流動性較低的時期。此外，如果標的證券的價值下降，基金可能蒙受損失 對其頭寸的變動，可能導致所支付的溢價完全損失。

交易對手 風險 本基金因其對衍生品的投資而面臨交易對手風險，使基金面臨風險 交易對手不會履行其對基金的義務。交易對手風險可能會因交易對手的行爲而產生 財務狀況（即、財務困難、破產或資不抵債）、市場活動和發展，或其他 原因，無論是否預見到。交易對手無法履行其義務可能會導致重大財務損失 本基金遭受損失且基金可能無法從該交易對手方收回其投資或可能獲得有限和/或延遲的 復甦

在 此外，基金可能會與有限數量的交易對手達成掉期協議，這可能會增加基金的 面臨交易對手信用風險。此外，還存在沒有合適的交易對手願意參與的風險， 或繼續與基金進行交易，導致基金可能無法實現其投資目標。

日內 投資風險。 本基金尋求從指定交易日收盤至收盤期間的投資結果 隨後交易日的市場。該基金投資盤中在二級市場的確切風險敞口爲 第一個交易日收盤時基礎證券的股價與第一個交易日收盤時的股價之間的差異的函數 購買時基礎證券的股價。如果基礎證券的股價上漲，基金的 淨資產的增長幅度將約爲基金風險敞口的兩倍。相反，如果基礎公司的股價 證券性下降，基金淨資產將下降約爲基金風險敞口的兩倍。 因此，日內購買股票的投資者可能會經歷高於或低於基金的表現 陳述基礎證券的槓桿表現。

如果 盤中發生重大市場事件和/或基礎證券的證券大幅增加 或減少，基金可能無法實現其投資目標或適當重新平衡其投資組合。

固定 收入證券風險.當基金投資固定收益證券時，您在基金中的投資價值將會波動 隨着利率的變化。通常，利率上升會導致所擁有的固定收益證券價值下降 由基金決定。一般來說，期限較長的固定收益證券的市場價格將在年內上漲或下跌更多 比短期證券更能應對利率變化。其他風險因素包括信用風險（債務人可能違約）、 延期風險（發行人可能會晚於預期行使其償還基金持有的固定利率債務本金的權利）， 和提前還款風險（債務人可能提前償還債務，從而減少利息支付金額）。這些風險可能會影響 基金特定投資的價值，可能導致基金股價和總回報減少 並且比其他類型的投資波動更大。

再平衡 風險.如果基金因任何原因無法重新平衡其全部或部分投資組合，或者如果全部或部分投資組合 重新平衡錯誤，基金的投資風險可能與基金的投資目標不一致。 在這些情況下，基金對基礎證券的投資風險可能遠高於或低於 其既定的投資目標。因此，本基金可能因未進行適當再平衡而面臨槓桿風險 並且可能無法實現其投資目標。

ETF 風險

授權 參與者、做市商和流動性提供者集中風險。 本基金擁有數量有限的金融機構 有權直接從基金購買和贖回股份的人（稱爲「授權參與者」或「AP」）。 此外，市場上可能存在數量有限的做市商和/或流動性提供者。在某種程度上， 如果發生以下事件，股票可能會以相對於資產淨值的大幅折扣進行交易，並可能面臨退市：（i）AP退出該業務 或無法處理創建和/或兌換訂單，並且沒有其他AP挺身而出執行這些服務; 或（ii）做市商和/或流動性提供者退出業務或大幅減少其業務活動，且沒有其他 實體挺身而出履行其職能。

現金 贖回風險。基金的投資戰略可能要求它將股票贖回爲現金或以其他方式包括現金。 作爲其贖回收益的一部分。例如，基金可能無法以實物形式贖回基金持有的某些證券 (例如，衍生工具)。在這種情況下，基金可能被要求出售或平倉組合投資，以獲得 分配贖回收益所需的現金。這可能會導致基金確認它可能沒有確認的資本利得 如果它進行了實物救贖。因此，基金可能會支付比實物支付更高的年度資本利得分配 採用贖回程序。通過支付更高的年度資本收益分配，投資者可能會受到資本增加的影響。 利得稅。與現金贖回有關的費用可能包括基金在以下情況下可能沒有發生的經紀費用 已經做出了實物贖回。可將這些費用強加給基金，減少其資產淨值，前提是這些費用 未被授權參與者支付的交易費抵消。

成本 購買或出售股票。 由於購買或出售股份的成本，包括經紀商收取的經紀佣金 和買賣價差，股票的頻繁交易可能會顯着降低投資結果，而對股票的投資可能不會 對於希望定期進行小額投資的投資者來說是明智的。

股票 可能以資產淨值以外的價格交易。與所有ETF一樣，股票可以在二級市場以市價買賣。 儘管預計股票的市場價格將接近基金的資產淨值，但有時市場可能會 股票價格高於資產淨值日內(溢價)或低於資產淨值日內(折價)，因供求關係 股票或在市場波動期間。這種風險在市場波動、市場陡峭時期會加劇。 下跌，以及二級市場上股票交易活動有限的時期，在這種情況下，該等溢價或 折扣可能會很大。

交易。 儘管股票在全國證券交易所上市，例如紐約證券交易所Arca Inc. (the「交換」），並且可以 在交易所以外的美國交易所交易，則無法保證股票將以任何數量或根本交易， 在任何證券交易所。在緊張的市況下，股票的流動性可能開始反映基金的流動性 基礎投資組合持有，其流動性可能遠低於股票。這對基金的流動性產生了不利影響 股票可能會導致更大的買賣價差以及基金股票與標的股票之間的市場價格差異 股票的價值。

流動性 風險.在某些情況下，例如本基金所使用的金融工具的有序市場被擾亂 投資時，基金可能無法快速或以代表真實市場的價格收購或處置某些持有的股份 顧問判斷的價值。本基金投資的金融工具市場可能會受到多種因素的干擾 事件，包括但不限於經濟危機、健康危機、自然災害、過度波動、新立法、 或美國國內外的監管變化這些情況可能會對基金自身的流動性產生影響 股票。”

高 投資組合週轉風險。根據基金每日投資目標原因，每日重新平衡基金的持有量 與大多數ETF相比，投資組合交易的數量要多得多。此外，基金的活躍市場交易 交易所(如交易所)的股票可能會導致更頻繁的創造和贖回活動，這可能會增加 投資組合交易的數量。頻繁和活躍的交易可能會因爲經紀人的增加而導致更高的交易成本 此類交易產生的佣金。此外，還有大幅增加短期資本的可能性 收益(當分配給股東時，將作爲普通收入向股東徵稅)。基金計算投資組合成交額 不包括構成基金交易的大部分的短期現金工具或衍生品交易。 因此，如果反映基金對衍生工具的廣泛使用，計算的投資組合週轉率將 要高得多。

跟蹤 錯誤風險.跟蹤誤差是基金業績與其投資目標的背離 複製基礎證券價格每日百分比變化的兩倍。號碼可能發生跟蹤錯誤 原因。由於交易成本、基金持有的現金、應計金額的差異，可能會發生跟蹤錯誤 股息、對基礎證券的暴露不足或過度或需要滿足新的或現有的監管要求。 在市場波動或市場中斷等其他異常市場狀況期間，跟蹤錯誤風險可能會增加。 由於市場原因，基金可能會被要求偏離其投資目標，從而出現跟蹤錯誤 限制或其他法律原因，包括監管限制或對可能購買的證券的其他限制 顧問及其附屬機構。

流動性 風險 本基金持有的一些證券可能難以出售或流動性不足，尤其是在市場動盪時期。 證券或金融工具市場可能會因一系列事件而擾亂，包括但不限於，經濟 危機、自然災害、流行病/流行病、美國國內外的新立法或監管變化。非流動 證券可能難以估值，尤其是在不斷變化或波動的市場中。如果基金被迫出售非流動性證券 在不利的時間或價格下，基金可能會受到不利影響。某些市場條件或限制可能會阻礙 基金限制損失、實現收益或實現與基礎證券的高度相關性。概不保證 購買時被視爲流動性的證券將繼續具有流動性。市場流動性不足可能會導致基金損失。

市場 事件風險。基金的投資受制於總體經濟狀況、總體市場波動和 投資證券和其他金融工具所固有的風險。投資市場可能會波動，價格 可因各種因素而發生重大變化，這些因素包括但不限於經濟增長或衰退、變化 利率、通貨膨脹、發行人實際或感知信譽的變化，以及一般市場流動性。這個 基金面臨地緣政治事件將擾亂證券和其他金融市場併產生不利影響的風險 全球經濟和市場。局部、地區或全球事件，如戰爭、軍事衝突、恐怖主義行爲、自然災害、 傳染病或其他公共衛生問題或其他事件的蔓延可能對基金產生重大影響 它的投資。利率、通脹上升、政治事件、政府債務上升等方面的持續不確定性 在美國，貿易緊張也加劇了市場波動。與持續不斷相關的衝突、生命損失和災難 烏克蘭和俄羅斯在歐洲以及以色列和哈馬斯在中東的武裝衝突可能會產生嚴重的不利影響 對相關區域的影響，包括對區域或全球經濟和某些市場的重大不利影響 證券。美國和歐盟已經對某些俄羅斯個人和公司實施了制裁，包括某些 金融機構，並限制了對俄羅斯的某些進出口。這些衝突導致了最近 市場波動，並可能繼續這樣做。

錢 市場工具風險。 本基金可能會使用各種貨幣市場工具進行現金管理，包括資金 市場基金、存託賬戶和回購協議。回購協議是證券賣方的合同 同意在指定時間和價格回購證券。回購協議可能面臨市場和信用風險 與保證回購協議的抵押品有關。貨幣市場工具可能會賠錢。

新 基金風險。 該基金是一家新成立的管理投資公司，沒有運營歷史。因此，未來 投資者沒有可作爲投資決策依據的記錄或歷史。

非多元化 冒險。由於該基金是“非多元化的”，它可能會將更大比例的資產投資於證券 與多元化基金相比，單一發行人或數量更少的發行人。因此，一項資產價值的下降 投資於單一發行人或數量較少的發行人可能會導致基金的整體價值下降到更大的 如果基金持有更多元化的投資組合，就不會有更高的學位。

交易 停止冒險。儘管標的證券的股票在交易所上市交易，但不能保證 該等股份將隨時有活躍的交易市場，而聯交所可暫停該等股份的交易 在某些情況下。標的證券股票的停牌預計將導致停牌 在基金股票的交易中。標的證券及/或基金股份在聯交所的交易 可因市場情況或交易所認爲使標的證券的交易 和/或基金的股票不可取。此外，標的證券和/或基金的股票在交易所的交易 根據交易所「熔斷機制」規則，因市場異常波動而導致的交易暫停。 如果交易暫停一段長時間，基金可能無法與掉期交易對手達成安排 這對於執行基金的投資戰略是必要的。

可操作的 風險.本基金面臨各種運營因素產生的風險，包括但不限於人爲錯誤、處理 以及溝通錯誤、基金服務提供商、交易對手或其他第三方的錯誤、失敗或不充分 流程和技術或系統故障。該基金依賴第三方提供一系列服務，包括託管。任何 延遲或未能聘請或維持此類服務提供商可能會影響基金滿足其投資的能力 objective.儘管本基金及其投資顧問尋求通過控制和 程序中，沒有辦法完全防範此類風險。

美國 政府和美國機構義務風險.本基金可投資於美國政府或其機構發行的證券 或工具。美國政府債務包括髮行或擔保本金和利息的證券 美國政府、其機構或部門，例如美國財政部。支付美國政府的本金和利息 義務可以由美國的充分信譽和信用支持，也可以僅由發行或擔保支持 機構或工具本身。在後一種情況下，投資者必須主要關注發行機構或工具 或保證最終還款的義務，該機構或工具可能是私人擁有的。就不可能有 保證美國政府將爲其機構或部門（包括政府贊助的 企業），但它沒有義務這樣做。

稅收 風險。爲了有資格享受受監管投資公司普遍享有的稅收優惠，基金 必須滿足一定的多樣化和其他要求。特別是，在下列情況下，基金一般不能獲得擔保， 作爲這項收購的結果，基金資產價值的50%以上將投資於(A)發行人， 基金在每一種情況下都投資了基金資產的5%以上，以及(B)發行人投資了其未償還資產的10%以上 有投票權的證券歸該基金所有。將這些要求應用於某些投資(包括掉期) 目前尚不清楚基金是否會加入這一協議。此外，將這些要求應用於基金的投資目標 不清楚，特別是因爲基金的投資目標側重於單一發行人的股票表現。 如果該基金不符合受規管投資公司的資格，其課稅方式將與普通法團相同， 基金在計算其應納稅所得額時，不能扣除對其股東的分配。

性能 沒有列入基金的資料，因爲基金到目前爲止尚未完成一個完整的歷年運作。 本招股說明書。 當包含此類信息時，本節將提供投資風險的一些指示 通過顯示基金逐年業績歷史的變化並顯示基金的平均業績 年度總回報與基礎證券的回報和市場表現的廣泛衡量標準進行比較。 儘管過去的表現 該基金的表現並不能保證其未來的表現，歷史表現可能會給您一些風險的指示 投資該基金。基金的網站將提供最新的業績資料，網址爲https://www.defianceetfs.com.

的 基金尋求每日投資結果（扣除費用和費用）爲股價每日百分比變化的兩倍（200%） MicroStrategy Incorporated（納斯達克股票代碼：MTR）該基金在一段時間內不會尋求實現其既定投資目標 除了單個交易日。

這 該表描述瞭如果您購買、持有和出售基金股份（“股份”），您可能支付的費用和開支。你 可能向金融中介機構支付其他費用，例如經紀佣金和其他費用，但未反映在表格中 和下面的例子。

這 示例旨在幫助您比較投資該基金的成本與投資其他基金的成本。的示例 假設您在指定時間段內向基金投資10，000美元，然後在結束時持有或贖回您的所有股份 這些時期的。該示例還假設您的投資每年有5%的回報，並且基金的運營 費用保持不變。該示例不考慮您可能爲購買和 出售股份。儘管您的實際成本可能更高或更低，但根據這些假設，您的成本將是：

的 基金在買賣證券（或“翻轉”其投資組合）時支付交易成本，例如佣金。 較高的投資組合週轉率可能表明交易成本較高，並可能導致持有股票時稅收較高 應稅帳戶。這些成本沒有反映在年度基金運營費用總額中或示例中，會影響 基金業績。由於該基金是新組建的，因此投資組合週轉率信息尚未獲得。

的 基金是一隻主動管理的交易所交易基金（“ETF”），試圖實現每日百分比的兩倍（200%） 通過就基礎證券簽訂掉期協議來改變基礎證券的股價。該基金旨在 以實現單日的每日百分比變化，而不是任何其他時期。“單日”是指期間 “從一個交易日常規交易收盤至下一個交易日收盤。”

的 基金將與金融機構簽訂一項或多項指定期限的掉期協議，期限可能從一個 一天到一年以上。通過每次互換協議，基金和金融機構將同意交換回報 (or回報率差異）在基礎證券的股價上賺取或實現。總回報（含義 扣除任何費用或開支之前的回報）在雙方之間交換或「交換」的計算公式 關於「名義金額」（指工具的面值），例如，回報或價值變化 代表基礎證券的特定金額的。如果基金無法實現足夠的掉期 暴露， 在扣除費用和費用之前，基金可能並不總是實現相當於兩倍（2X）的投資結果 基礎證券的日常表現，並且在此期間回報可能大幅減少。

在 每天結束時，基金的掉期使用市場估值進行估值，基金的投資顧問進行再平衡 該基金的持股試圖將該基金的槓桿風險敞口維持在基礎資產的約200% 證券的股價。

爲 基金假設投資的示例，請參閱“有關基金的其他信息-本金投資 戰略“下面。

基金 超過一天的時間段的表現主要（但不僅僅是）取決於以下因素：a） 基礎證券波動性; b）基礎證券的表現; c）時間段; d）相關融資利率 槓桿風險敞口;和e）其他基金費用。

的 基金將持有資產作爲基金掉期協議的抵押品。對於這些抵押品持有，基金可能會 投資（1）美國政府證券，例如美國財政部發行的票據、票據和債券;（2）貨幣市場基金; (3)短期債券ETF;和/或（4）公司債務證券，例如商業票據和其他短期無擔保期票 由被評爲投資級或具有可比質量的企業發行的票據。

到 作爲對基金使用掉期協議實現槓桿風險敞口的主要策略的補充，基金可能會採用上市期權 合同作爲根據需要產生槓桿作用的額外工具。通過合併列出的期權，例如看漲期權， 該基金可以獲得基礎證券的槓桿風險敞口，而無需僅依賴掉期。這種靈活性使基金 根據市場狀況、流動性限制或其他可能影響的因素調整槓桿策略 互換協議的可用性或定價。期權的使用可能有助於基金更有效地實現其日常投資目標 在不同的市場條件下。

的 基金採取了一項政策，要求至少有80%的金融工具投資於具有應表現的經濟特徵的金融工具 基礎證券股票每日表現的2倍。該基金預計將配置其40%至60% 資產作爲掉期協議的抵押品或作爲購買期權合同的溢價。

的 根據1940年法案，基金被歸類爲「非多元化」基金。

因爲 每日再平衡和每天回報隨時間的推移的複合，基金的回報時間超過 單日收益將是該期間每天收益的複合結果，很可能與200%不同 同期基礎證券股票的返還情況。如果基礎證券出現虧損，基金將虧損 隨着時間的推移，業績持平，而且由於日常再平衡，基礎證券的股票波動性和 隨着時間的推移，基金可能會虧損，而基礎證券的表現會隨着時間的推移而增加 比一天還要長的時期。因此，投資者不應計劃在一段時間內持有不受監控的基金股份 超過一個交易日。

MicroStrategy 公司（「MTR」）

MSTR 其業務運營有兩項主要策略。一是收購併持有比特幣，二是發展企業 分析軟件業務。MTR在納斯達克全球精選市場（「納斯達克」）上市。根據MTR的最新數據 表格10-k備案，MTR非關聯公司持有的有投票權和無投票權普通股的總市值（基於 根據納斯達克全球精選市場2023年6月30日最後一次報告的A類普通股售價）約爲 41.33亿美元。

MSTR 根據經修訂的1934年證券交易法（「交易法」）註冊。獲資料 或MTR根據《交易法》向SEC提交的文件可通過參考SEC文件號000-24435查找， 美國證券交易委員會網站www.sec.gov。此外，有關MTR的信息可以從其他來源獲取，包括， 但不限於新聞稿、報紙文章和其他公開傳播的文件。

這 本文件僅涉及在此提供的證券，與MSTR或MSTR的其他證券無關。該基金已衍生出 本文檔中包含的關於MSTR的所有披露均來自可公開獲得的文件。基金、信託基金、 顧問、副顧問或其各自的關聯公司參與了此類公開發售的準備工作 與MSTR有關的文件或對此類文件進行任何盡職調查。基金、信託基金、顧問、 子顧問或其各自的關聯公司作出任何聲明，表示該等公開可獲得的文件或任何其他公開 有關MSTR的可用信息是準確或完整的。此外，基金不能保證所有活動 在本合同日期之前發生的事件(包括可能影響公衆可用數據準確性或完整性的事件 上述文件)，這將影響MSTR的交易價格(因此影響我們定價時的MSTR價格 證券)已被公開披露。其後披露任何此類事件或披露或沒有披露 與MSTR有關的重大未來事件可能會影響與證券相關的收到價值，從而影響價值 有價證券。

沒有一 基金、信託、顧問、副顧問或其各自的附屬機構向您做出任何陳述 MSR的表現。

沒有一 該基金的TIDAL TRUSt II和TIDAL Investments LLC與基礎證券有關聯。

由於 就基金的投資策略而言，基金的投資風險集中在（或大幅風險） 與分配給MTR的行業相同。截至招股說明書發佈之日，MTR被指定爲應用軟件行業。

MSTR 風險 該基金投資基於MTR價值的期權合約。這使基金面臨某些 儘管它沒有MTR股份，但風險與它擁有MTR股份相同。憑藉本基金對期權合約的投資 基於MTR價值的風險，基金還可能面臨以下風險：

間接 M可疑交易風險投資。 MTR不隸屬於信託、基金、顧問、副顧問或其各自的 附屬公司，不以任何方式參與本次發行，也沒有義務在收購任何公司時考慮您的股份 可能影響股份價值的行動。本基金的投資者將沒有投票權，也無法影響 MTR的管理層，但將受到MTR（標的股票）的表現的影響。該基金的投資者不會有 接受股息或其他分配的權利或與標的股票相關的任何其他權利，但將受到 標的股票表現下降。

Mstr 交易風險。MSTR的交易價格可能波動很大，並可能繼續受到廣泛波動的影響 對各種因素的影響。股票市場總體上，特別是科技公司的市場，經歷了極端 價格和成交量波動往往與這些公司的經營業績無關或不成比例。 特別是，很大比例的MSTR可能被賣空者交易，這可能會對市場的供求造成壓力 MSTR的普通股，進一步影響其市場價格的波動性。公衆認知和其他不受控制的因素 由於MSTR獲得了不成比例的公衆關注，MSTR的收購可能會額外影響MSTR的股價， 而不考慮實際的運營表現。此外，在過去，隨着整體市場和 某一特定公司的證券的市場價格，證券集體訴訟經常被提起 像這樣的公司。此外，像這樣的股東訴訟過去也曾對MSTR提起過。當MSTR繼續時 爲了對此類訴訟進行辯護，任何針對MSTR的判決或未來的任何股東訴訟都可能導致巨額費用和 MSTR注意力和資源管理的分流。如果MSTR暫停交易，基金的股票交易 可能會受到影響，無論是暫時的還是無限的。

Mstr 性能風險。MSTR可能無法滿足其公開宣佈的指導方針或對其業務的其他期望，即 可能會導致MSTR的價格下降。MSTR就其預期的財務和業務表現提供指導，如 作爲對銷售和生產的預測，以及預期的未來收入、毛利率、盈利能力和現金流。 正確識別影響業務狀況的關鍵因素並預測未來事件本質上是一個不確定的過程， 而MSTR提供的指導最終可能並不準確，過去在某些方面也是不準確的，例如 新產品製造的時機選擇。該指導基於某些假設，例如與全球和 當地經濟狀況、預計產量和銷售量(通常在特定時期內不是線性的)， 平均銷售價格、供應商和商品成本，以及計劃的成本削減。如果MSTR的指導不準確或不一致 由於無法滿足假設或可能發生的對其財務業績的影響而導致的實際結果 由於各種風險和不確定性，MSTR發行的普通股市值可能大幅下降。

軟件 行業風險。軟件行業可能會受到激烈競爭、激進的定價、技術 創新和產品淘汰。軟件行業的公司面臨着巨大的競爭壓力，例如 如激進的定價、新的市場進入者、對市場份額的競爭、由於技術加速而縮短的產品週期 發展以及盈利有限和/或利潤率下降的可能性。這些公司還面臨着新的風險 服務、設備或技術將不會被消費者和企業接受，或者很快就會過時。這些因素 可能會影響這些公司的盈利能力，從而影響其證券的價值。此外，專利保護也是不可或缺的。 對於這個行業中的許多公司的成功來說，盈利能力會受到成本等因素的實質性影響 獲得(或未能獲得)專利批准、專利侵權訴訟的費用和專利保護的喪失 對於產品(這大大增加了定價壓力，並可能大幅降低與此類產品相關的盈利能力)。 此外，許多軟件公司的運營歷史有限。這些公司歷史上的證券價格 比其他證券更具波動性，尤其是在短期內。

比特幣 冒險。雖然該基金不會直接投資於數字資產，但它將受到與比特幣相關的風險的影響 其在參考MSTR的期權合同上的投資優勢。投資比特幣使投資者(如MSTR和， 反過來，MSTR股東)面臨其他投資中通常不存在的重大風險。這些風險包括 圍繞新技術的不確定性，由於比特幣交易歷史較短而導致的評估有限，以及潛在的下跌 從長遠來看，在採用率和價值方面。比特幣價格的極端波動也是一個風險因素。監管方面的不確定性， 例如潛在的政府幹預和不同司法管轄區之間相互衝突的監管，可能會影響比特幣的需求 並限制其使用。此外，與出售新開採的比特幣、比特幣交易所、來自 替代數字資產、採礦作業、網絡修改和知識產權主張帶來了進一步的挑戰 與比特幣相關的投資。

單個 發行人風險。 發行人特定屬性可能導致基金投資比傳統集合更波動 分散風險或一般市場的投資。該基金的價值專注於個人證券，可能 比傳統的集合投資或整個市場波動性更大，並且表現可能與A股的價值不同 傳統的集合投資或整個市場。此外，該基金將尋求採用其投資策略， 它與基礎發行人有關，無論是否存在重大公司行動，例如重組、執行 活動、收購或時期不利的市場、經濟或其他條件，不會尋求暫時防禦 在這些時期的位置。

複利 和市場波動風險。基金有每日的槓桿投資目標和基金在各時期的表現 超過一個交易日將是每天的回報在這段時間內的複合結果，這很可能是 不同於兩倍(200%)的標的證券的業績，扣除基金的管理費和其他費用。 複利影響所有投資，但對旨在複製槓桿每日回報和 每天都會實現再平衡。對於旨在複製基礎證券每日業績的兩倍的基金，如果每天都是不利的 基礎證券的表現減少了股東的投資額，任何進一步的不利日常表現 將導致較小的美元損失，因爲股東的投資已經因之前的不利業績而減少。 然而，同樣地，如果標的證券的良好每日表現增加了股東的投資額， 由於股東的投資增加，因未來業績不佳而損失的美元金額將增加。

的 隨着基礎證券波動性和持有期限的增加，複合效應變得更加明顯。的 複合的影響將根據基金投資的持有期限對每個股東產生不同的影響 以及股東持有基金投資期間基礎證券的波動性。

的 下圖提供了基礎證券的波動性如何影響基金業績的示例。的 圖表說明了影響基金業績的兩個因素的影響-基礎證券的波動性 以及基礎安全的表現。基礎證券的表現顯示了 指定時間段內基礎證券的股價，而基礎證券的波動性是統計數據 衡量該時期回報波動幅度。如下所示，即使底層 證券在兩個相等的時間段內的表現是相同的，不同的基礎證券波動性（即, 基礎證券股價在兩個時期內波動幅度）可能會導致巨大的 由於時段內的每日回報率是複合的，兩個時段的基金表現不同。

基金 給定以下因素的任何假設，可以估計超過一天的時間段的績效：a） 基礎證券波動性; b）基礎證券表現; c）時間段; d）與之相關的融資利率 槓桿風險敞口;及e）其他基金費用。該圖表顯示了多種基礎組合的估計基金回報 一年內的證券波動性和基礎證券表現。圖表中顯示的性能假設：（i） 沒有基金費用;（ii）借款/貸款利率（以獲得槓桿風險敞口）爲0%。如果基金費用和/或實際費用 借款/貸款利率反映了估計回報將與顯示的不同。尤其是在經期 由於基礎證券波動率較高，複合將導致長於交易日的時期的結果從兩個不同 乘以（200%）基礎證券的性能。

作爲 如下圖所示，如果基礎證券的股價沒有變化，基金預計將損失4% 在一年內，基礎證券經歷了25%的年化波動率。如果底層安全 如果年化波動率上升至75%，一年期的假設損失將擴大至約-30.9%。在 波動範圍較高，即使基金沒有變化，基金也有可能出現重大價值損失。 基礎證券的股價。例如，如果基礎證券的年化波動率爲100%，則基金 即使基礎證券的累計股價發生變化，預計其價值也將損失48.1% 當年的安全性爲0%。

地區 紅色（或深灰色）陰影表示基金預計回報低於業績兩倍（200%）的情況 基礎證券和綠色（或淺灰色）陰影代表基金預計會發生的情況 回報基礎證券性能的兩倍以上（200%）。本基金的實際業績可能顯着 由於上述或「每日相關/跟蹤」中討論的任何因素，比下面顯示的性能更好或更差 風險”如下。

的 基礎證券截至2024年9月30日的五年期年化歷史波動率爲88.36%。 基礎證券在此期間任何一個日曆年的最高波動率爲111.99%，波動率 在較短的時間內可能會高得多。基礎證券年化表現 本期爲62.59%。歷史基礎證券波動性和表現並不能表明基礎證券的情況 波動性和表現將在未來。

每天 關聯/跟蹤風險。我們不能保證基金會達到與 基礎證券，從而實現其日常槓桿投資目標。實現高度的槓桿關聯 有了基礎證券，基金尋求每天重新平衡其投資組合，以保持風險敞口與其每日槓桿一致 投資目標。基金對基礎證券的敞口大幅過高或過低的可能性增加 在接近交易日收盤時標的證券波動的日子。市場混亂，監管限制 極端的波動性也將對基金將風險敞口調整到所需水平的能力產生不利影響。如果有 是重大的日內市場事件和/或標的證券經歷了顯著的上升或下降，基金 可能沒有達到其投資目標，能夠適當地重新平衡其投資組合，或者可能會經歷顯著的溢價 或折扣，或買賣價差擴大。

的 由於費用、費用、交易成本、融資，基金可能難以實現其日常槓桿投資目標 與使用衍生品、直接或間接ETF投資相關的成本、收入項目、估值方法、會計 基金持有的證券或衍生品的市場出現標準和擾亂或流動性不足。基金可能會受到 資產大量進出基金，可能導致基金對基礎投資的風險過高或不足 安全本基金可以採取或不採取頭寸以提高稅收效率或遵守各種監管規定 限制，其中任何一項都可能對基金與基礎證券的槓桿相關性產生負面影響。

槓桿 風險.本基金利用槓桿獲得超過淨資產的投資敞口，可能會在市場上損失更多資金 比不利用槓桿的基金更不利於其投資目標的條件。對基金的投資 面臨基礎證券每日表現下降被放大的風險。這意味着 基礎公司股價每天每下跌1%，對基金的投資將減少2% 安全性，不包括融資槓桿和其他運營費用的成本，這將進一步降低其價值。的 理論上，如果基礎證券的股價下跌，基金的損失可能會超過其淨資產 超過50%。槓桿還將產生放大基金業績與 基礎證券的股價。

衍生品 風險。衍生品是從標的參考資產或資產(如股票)獲得價值的金融工具。 債券或基金(包括交易所買賣基金)、利率或指數。此外，基金對衍生品的投資還可能構成風險。 至及大於與直接投資證券或其他普通投資有關的費用，包括與風險有關的費用 對市場而言，槓桿率、與基礎投資或基金其他投資組合持有量的每日相關性不完善， 更高的價格波動性、缺乏可獲得性、交易對手風險、流動性、估值和法律限制。衍生品的使用 是一項高度專業化的活動，涉及不同於普通投資組合的投資技巧和風險。 證券交易。與直接投資證券相比，使用衍生品可能會導致更大的損失或更小的收益。 當基金使用衍生工具時，標的證券的股價與 衍生工具，這可能妨礙基金實現其投資目標。因爲衍生品通常只需要有限的 在進行初始投資時，使用衍生品可能會使基金蒙受超過初始投資額的損失。

的 基金將受到與基金可能通過其衍生品產生的風險價值水平相關的監管限制 portfolio.如果基金在很長一段時間內超過這些監管門檻，基金可能會確定 對基金的投資策略進行調整是必要的，包括所需的每日槓桿表現 本基金的情況

在……裏面 此外，基金對衍生品的投資面臨以下風險：

交換 協定.掉期交易的使用是一項高度專業化的活動，涉及投資技術和風險 與普通投資組合證券交易相關的證券交易不同。基金能否成功使用 實現投資目標的互換協議取決於顧問根據以下標準構建此類互換協議的能力 符合基金的投資目標，並確定這些掉期協議的交易對手方。如果顧問無法 爲達成爲基礎證券提供槓桿風險敞口的掉期協議，基金可能無法滿足其既定投資 objective.此外，與使用掉期交易相關的任何融資、借款或其他成本也可能產生影響 降低基金回報率。

的 本基金投資的掉期協議通常在場外市場交易，場外市場的透明度通常較低 比交易所交易的衍生品工具更重要。在標準掉期交易中，雙方同意交換回報（或差額 回報率）在特定預定參考資產或基礎證券或工具上賺取或實現。的 雙方之間交換或交換的總回報是根據名義金額或回報或變化計算的 投資於一籃子證券的特定美元金額的價值。

如果 基礎證券的戲劇性舉動導致基金淨資產（掉期條款）大幅下降 基金與其交易對手之間的協議可允許交易對手立即終止掉期交易 基金。在這種情況下，基金可能無法簽訂另一項掉期協議或投資其他衍生品以實現 風險敞口與基金的投資目標一致。這可能會阻止基金實現槓桿投資 目標，即使基礎證券後來逆轉其全部或部分運動。

選項 合同。期權合約的使用涉及不同於普通合約的投資策略和風險。 有價證券交易。期權的價格是不穩定的，受實際和預期因素的影響 受財政和貨幣影響的基礎工具價值的變化，包括預期波動率 政策以及國家和國際政治、實際或引伸波幅或參考資產的變化， 期權合約到期前的剩餘時間和經濟事件。期權合約的價值，其中 基金投資在很大程度上受到標的證券價值的影響。該基金可能會面臨巨大的下行壓力 基金持有的特定期權頭寸和某些期權頭寸可能到期時一文不值。基金持有的選擇方案 可在到期日以執行價行使。當期權接近到期日時，其價值通常 隨着基礎工具的價值越來越大地變動。然而，在該日期之前，期權的價值通常 不會以與基礎工具相同的速度增加或減少。有時可能存在着不完全的相關性 期權合約和標的工具的價值變動，有時可能沒有流動性的二級市場 對於某些期權合約。基金持有的期權價值將根據市場報價或其他 公認的定價方法。此外，由於基金打算繼續維持對基礎證券的間接敞口 通過使用期權合同，當其持有的期權合同被行使或到期時，它將進入新的期權 合同，一種被稱爲「滾動」的做法。如果即將到期的期權合約不能產生足夠的收益 爲了支付簽訂新期權合同的費用，基金可能會出現虧損。利用期權產生槓桿作用 帶來額外的風險，包括如果市場走勢不利，可能會造成重大損失。它固有的槓桿作用 期權可能會放大收益和損失，導致波動性增加，並可能造成重大損失，尤其是 在市場不確定或流動性較低的時期。此外，如果標的證券的價值下降，基金可能蒙受損失 對其頭寸的變動，可能導致所支付的溢價完全損失。

交易對手 冒險。 本基金因其對衍生品的投資而面臨交易對手風險，使基金面臨風險 交易對手不會履行其對基金的義務。交易對手風險可能會因交易對手的行爲而產生 財務狀況（即、財務困難、破產或資不抵債）、市場活動和發展，或其他 原因，無論是否預見到。交易對手無法履行其義務可能會導致重大財務損失 本基金遭受損失且基金可能無法從該交易對手方收回其投資或可能獲得有限和/或延遲的 復甦

在 此外，基金可能會與有限數量的交易對手達成掉期協議，這可能會增加基金的 面臨交易對手信用風險。此外，還存在沒有合適的交易對手願意參與的風險， 或繼續與基金進行交易，導致基金可能無法實現其投資目標。

日內 投資風險。 本基金尋求從指定交易日收盤至收盤期間的投資結果 隨後交易日的市場。該基金投資盤中在二級市場的確切風險敞口爲 第一個交易日收盤時基礎證券的股價與第一個交易日收盤時的股價之間的差異的函數 購買時基礎證券的股價。如果基礎證券的股價上漲，基金的 淨資產的增長幅度將約爲基金風險敞口的兩倍。相反，如果基礎公司的股價 證券性下降，基金淨資產將下降約爲基金風險敞口的兩倍。 因此，日內購買股票的投資者可能會經歷高於或低於基金的表現 陳述基礎證券的槓桿表現。

如果 盤中發生重大市場事件和/或基礎證券的證券大幅增加 或減少，基金可能無法實現其投資目標或適當重新平衡其投資組合。

固定 收入證券風險.當基金投資固定收益證券時，您在基金中的投資價值將會波動 隨着利率的變化。通常，利率上升會導致所擁有的固定收益證券價值下降 由基金決定。一般來說，期限較長的固定收益證券的市場價格將在年內上漲或下跌更多 比短期證券更能應對利率變化。其他風險因素包括信用風險（債務人可能違約）、 延期風險（發行人可能會晚於預期行使其償還基金持有的固定利率債務本金的權利）， 和提前還款風險（債務人可能提前償還債務，從而減少利息支付金額）。這些風險可能會影響 基金特定投資的價值，可能導致基金股價和總回報減少 並且比其他類型的投資波動更大。

再平衡 風險.如果基金因任何原因無法重新平衡其全部或部分投資組合，或者如果全部或部分投資組合 重新平衡錯誤，基金的投資風險可能與基金的投資目標不一致。 在這些情況下，基金對基礎證券的投資風險可能遠高於或低於 其既定的投資目標。因此，本基金可能因未進行適當再平衡而面臨槓桿風險 並且可能無法實現其投資目標。

etf 風險。

授權 參與者、做市商和流動性提供者集中風險。基金的金融機構數目有限。 被授權直接從基金購買和贖回股票的機構(稱爲“授權參與者”或“AP”)。 此外，市場上可能有數量有限的做市商和/或流動性提供者。在某種程度上， 發生以下情況時，股票的交易價格可能大幅低於資產淨值，並可能面臨退市：(I)AP退出業務 或者變得無法處理創建和/或贖回訂單，並且沒有其他AP挺身而出執行這些服務； 或(二)做市商和/或流動性提供者退出業務或大幅減少其業務活動，且無其他 實體挺身而出，履行自己的職能。

現金 贖回風險。基金的投資戰略可能要求它將股票贖回爲現金或以其他方式包括現金。 作爲其贖回收益的一部分。例如，基金可能無法以實物形式贖回基金持有的某些證券 (例如，衍生工具)。在這種情況下，基金可能被要求出售或平倉組合投資，以獲得 分配贖回收益所需的現金。這可能會導致基金確認它可能沒有確認的資本利得 如果它進行了實物救贖。因此，基金可能會支付比實物支付更高的年度資本利得分配 採用贖回程序。通過支付更高的年度資本收益分配，投資者可能會受到資本增加的影響。 利得稅。與現金贖回有關的費用可能包括基金在以下情況下可能沒有發生的經紀費用 已經做出了實物贖回。可將這些費用強加給基金，減少其資產淨值，前提是這些費用 未被授權參與者支付的交易費抵消。

成本 購買或出售股票。 由於購買或出售股份的成本，包括經紀商收取的經紀佣金 和買賣價差，股票的頻繁交易可能會顯着降低投資結果，而對股票的投資可能不會 對於希望定期進行小額投資的投資者來說是明智的。

股票 可能以資產淨值以外的價格交易。與所有ETF一樣，股票可以在二級市場以市價買賣。 儘管預計股票的市場價格將接近基金的資產淨值，但有時市場可能會 股票價格高於資產淨值日內(溢價)或低於資產淨值日內(折價)，因供求關係 股票或在市場波動期間。這種風險在市場波動、市場陡峭時期會加劇。 下跌，以及二級市場上股票交易活動有限的時期，在這種情況下，該等溢價或 折扣可能會很大。

交易。 儘管股票在全國性證券交易所上市，例如納斯達克證券市場有限責任公司（「交易所」）， 並且可能在交易所以外的美國交易所交易，因此無法保證股票將以任何數量進行交易， 或者根本在任何證券交易所。在緊張的市況下，股票的流動性可能開始反映股票的流動性 該基金的基礎投資組合持有量，其流動性可能遠低於股票。這種對流動性的不利影響 基金股票可能導致買賣價差擴大以及基金股票市場價格差異 以及股票的潛在價值。

流動性 風險.在某些情況下，例如本基金所使用的金融工具的有序市場被擾亂 投資時，基金可能無法快速或以代表真實市場的價格收購或處置某些持有的股份 顧問判斷的價值。本基金投資的金融工具市場可能會受到多種因素的干擾 事件，包括但不限於經濟危機、健康危機、自然災害、過度波動、新立法、 或美國國內外的監管變化這些情況可能會對基金自身的流動性產生影響 股票。”

高 投資組合週轉風險。根據基金每日投資目標原因，每日重新平衡基金的持有量 與大多數ETF相比，投資組合交易的數量要多得多。此外，基金的活躍市場交易 交易所(如交易所)的股票可能會導致更頻繁的創造和贖回活動，這可能會增加 投資組合交易的數量。頻繁和活躍的交易可能會因爲經紀人的增加而導致更高的交易成本 此類交易產生的佣金。此外，還有大幅增加短期資本的可能性 收益(當分配給股東時，將作爲普通收入向股東征稅)。基金計算投資組合成交額 不包括構成基金交易的大部分的短期現金工具或衍生品交易。 因此，如果反映基金對衍生工具的廣泛使用，計算的投資組合週轉率將 要高得多。

跟蹤 錯誤風險.跟蹤誤差是基金業績與其投資目標的背離 複製基礎證券價格每日百分比變化的兩倍。號碼可能發生跟蹤錯誤 原因。由於交易成本、基金持有的現金、應計金額的差異，可能會發生跟蹤錯誤 股息、對基礎證券的暴露不足或過度或需要滿足新的或現有的監管要求。 在市場波動或市場中斷等其他異常市場狀況期間，跟蹤錯誤風險可能會增加。 由於市場原因，基金可能會被要求偏離其投資目標，從而出現跟蹤錯誤 限制或其他法律原因，包括監管限制或對可能購買的證券的其他限制 顧問及其附屬機構。

流動性 冒險。本基金持有的一些證券可能難以出售或流動性不足，尤其是在市場動盪時期。 證券或金融工具市場可能會因一系列事件而擾亂，包括但不限於，經濟 危機、自然災害、流行病/流行病、美國國內外的新立法或監管變化。非流動 證券可能難以估值，尤其是在不斷變化或波動的市場中。如果基金被迫出售非流動性證券 在不利的時間或價格下，基金可能會受到不利影響。某些市場條件或限制可能會阻礙 基金限制損失、實現收益或實現與基礎證券的高度相關性。概不保證 購買時被視爲流動性的證券將繼續具有流動性。市場流動性不足可能會導致基金損失。

市場 事件風險。基金的投資受制於總體經濟狀況、總體市場波動和 投資證券和其他金融工具所固有的風險。投資市場可能會波動，價格 可因各種因素而發生重大變化，這些因素包括但不限於經濟增長或衰退、變化 利率、通貨膨脹、發行人實際或感知信譽的變化，以及一般市場流動性。這個 基金面臨地緣政治事件將擾亂證券和其他金融市場併產生不利影響的風險 全球經濟和市場。局部、地區或全球事件，如戰爭、軍事衝突、恐怖主義行爲、自然災害、 傳染病或其他公共衛生問題或其他事件的蔓延可能對基金產生重大影響 它的投資。利率、通脹上升、政治事件、政府債務上升等方面的持續不確定性 在美國，貿易緊張也加劇了市場波動。與持續不斷相關的衝突、生命損失和災難 烏克蘭和俄羅斯在歐洲以及以色列和哈馬斯在中東的武裝衝突可能會產生嚴重的不利影響 對相關區域的影響，包括對區域或全球經濟和某些市場的重大不利影響 證券。美國和歐盟已經對某些俄羅斯個人和公司實施了制裁，包括某些 金融機構，並限制了對俄羅斯的某些進出口。這些衝突導致了最近 市場波動，並可能繼續這樣做。

錢幣 市場工具風險。 本基金可能會使用各種貨幣市場工具進行現金管理，包括資金 市場基金、存託帳戶和回購協議。回購協議是證券賣方的合同 同意在指定時間和價格回購證券。回購協議可能面臨市場和信用風險 與保證回購協議的抵押品有關。貨幣市場工具可能會賠錢。

更新版本 基金風險。該基金是一家新成立的管理投資公司，運營歷史有限。因此，未來 投資者的投資決策所依據的記錄或歷史有限。

非多元化 冒險。由於該基金是“非多元化的”，它可能會將更大比例的資產投資於證券 與多元化基金相比，單一發行人或數量更少的發行人。因此，一項資產價值的下降 投資於單一發行人或數量較少的發行人可能會導致基金的整體價值下降到更大的 如果基金持有更多元化的投資組合，就不會有更高的學位。

交易 停止冒險。儘管標的證券的股票在交易所上市交易，但不能保證 該等股份將隨時有活躍的交易市場，而聯交所可暫停該等股份的交易 在某些情況下。標的證券股票的停牌預計將導致停牌 在基金股票的交易中。標的證券及/或基金股份在聯交所的交易 可因市場情況或交易所認爲使標的證券的交易 和/或基金的股票不可取。此外，標的證券和/或基金的股票在交易所的交易 根據交易所「熔斷機制」規則，因市場異常波動而導致的交易暫停。 如果交易暫停一段長時間，基金可能無法與掉期交易對手達成安排 這對於執行基金的投資戰略是必要的。

可操作的 風險.本基金面臨各種運營因素產生的風險，包括但不限於人爲錯誤、處理 以及溝通錯誤、基金服務提供商、交易對手或其他第三方的錯誤、失敗或不充分 流程和技術或系統故障。該基金依賴第三方提供一系列服務，包括託管。任何 延遲或未能聘請或維持此類服務提供商可能會影響基金滿足其投資的能力 objective.儘管本基金及其投資顧問尋求通過控制和 程序中，沒有辦法完全防範此類風險。

美國 政府和美國機構義務風險.本基金可投資於美國政府或其機構發行的證券 或工具。美國政府債務包括髮行或擔保本金和利息的證券 美國政府、其機構或部門，例如美國財政部。支付美國政府的本金和利息 義務可以由美國的充分信譽和信用支持，也可以僅由發行或擔保支持 機構或工具本身。在後一種情況下，投資者必須主要關注發行機構或工具 或保證最終還款的義務，該機構或工具可能是私人擁有的。就不可能有 保證美國政府將爲其機構或部門（包括政府贊助的 企業），但它沒有義務這樣做。

稅收 風險。爲了有資格享受受監管投資公司普遍享有的稅收優惠，基金 必須滿足一定的多樣化和其他要求。特別是，在下列情況下，基金一般不能獲得擔保， 作爲這項收購的結果，基金資產價值的50%以上將投資於(A)發行人， 基金在每一種情況下都投資了基金資產的5%以上，以及(B)發行人投資了其未償還資產的10%以上 有投票權的證券歸該基金所有。將這些要求應用於某些投資(包括掉期) 目前尚不清楚基金是否會加入這一協議。此外，將這些要求應用於基金的投資目標 不清楚，特別是因爲基金的投資目標側重於單一發行人的股票表現。 如果該基金不符合受規管投資公司的資格，其課稅方式將與普通法團相同， 基金在計算其應納稅所得額時，不能扣除對其股東的分配。

性能 由於截至該日，基金尚未完成完整的日歷年運營，因此不包括該基金的信息 本招股說明書。 當包含此類信息時，本節將提供投資風險的一些指示 通過顯示基金逐年業績歷史的變化並顯示基金的平均業績 年度總回報與基礎證券的回報和市場表現的廣泛衡量標準進行比較。 儘管過去的表現 該基金的表現並不能保證其未來的表現，歷史表現可能會給您一些風險的指示 投資該基金。 更新的業績信息將在基金網站上獲取，網址： https://www.defianceetfs.com.

的 基金尋求每日投資結果（扣除費用和費用）爲股價每日百分比變化的兩倍（200%） NOVO Nordisk A/S - ADR（紐約證券交易所代碼：NVO”）本基金在其他時期內不尋求實現其既定投資目標 比一個交易日。

這 該表描述瞭如果您購買、持有和出售基金股份（「股份」），您可能支付的費用和開支。你 可能向金融中介機構支付其他費用，例如經紀佣金和其他費用，但未反映在表格中 和下面的例子。

這 示例旨在幫助您比較投資該基金的成本與投資其他基金的成本。的示例 假設您在指定時間段內向基金投資10，000美元，然後在結束時持有或贖回您的所有股份 這些時期的。該示例還假設您的投資每年有5%的回報，並且基金的運營 費用保持不變。該示例不考慮您可能爲購買和 出售股份。儘管您的實際成本可能更高或更低，但根據這些假設，您的成本將是：

的 基金在買賣證券（或“翻轉”其投資組合）時支付交易成本，例如佣金。 較高的投資組合週轉率可能表明交易成本較高，並可能導致持有股票時稅收較高 應稅帳戶。這些成本沒有反映在年度基金運營費用總額中或示例中，會影響 基金業績。由於該基金是新組建的，因此投資組合週轉率信息尚未獲得。

的 基金是一隻主動管理的交易所交易基金（“ETF”），試圖實現每日百分比的兩倍（200%） 通過就基礎證券簽訂掉期協議來改變基礎證券的股價。該基金旨在 以實現單日的每日百分比變化，而不是任何其他時期。“單日”是指期間 “從一個交易日常規交易收盤至下一個交易日收盤。”

的 基金將與金融機構簽訂一項或多項指定期限的掉期協議，期限可能從一個 一天到一年以上。通過每次互換協議，基金和金融機構將同意交換回報 (or回報率差異）在基礎證券的股價上賺取或實現。總回報（含義 扣除任何費用或開支之前的回報）在雙方之間交換或「交換」的計算公式 關於「名義金額」（指工具的面值），例如，回報或價值變化 代表基礎證券的特定金額的。如果基金無法實現足夠的掉期 暴露， 在扣除費用和費用之前，基金可能並不總是實現相當於兩倍（2x）的投資結果 基礎證券的日常表現，並且在此期間回報可能大幅減少。

在 每天結束時，基金的掉期使用市場估值進行估值，基金的投資顧問進行再平衡 該基金的持股試圖將該基金的槓桿風險敞口維持在基礎資產的約200% 證券的股價。

爲 基金假設投資的示例，請參閱“有關基金的其他信息-本金投資 戰略“下面。

基金 超過一天的時間段的表現主要（但不僅僅是）取決於以下因素：a） 基礎證券波動性; b）基礎證券的表現; c）時間段; d）相關融資利率 槓桿風險敞口;和e）其他基金費用。

的 基金將持有資產作爲基金掉期協議的抵押品。對於這些抵押品持有，基金可能會 投資（1）美國政府證券，例如美國財政部發行的票據、票據和債券;（2）貨幣市場基金; (3)短期債券ETF;和/或（4）公司債務證券，例如商業票據和其他短期無擔保期票 由被評爲投資級或具有可比質量的企業發行的票據。

到 作爲對基金使用掉期協議實現槓桿風險敞口的主要策略的補充，基金可能會採用上市期權 合同作爲根據需要產生槓桿作用的額外工具。通過合併列出的期權，例如看漲期權， 該基金可以獲得基礎證券的槓桿風險敞口，而無需僅依賴掉期。這種靈活性使基金 根據市場狀況、流動性限制或其他可能影響的因素調整槓桿策略 互換協議的可用性或定價。期權的使用可能有助於基金更有效地實現其日常投資目標 在不同的市場條件下。

的 基金採取了一項政策，要求至少有80%的金融工具投資於具有應表現的經濟特徵的金融工具 基礎證券股票每日表現的2倍。該基金預計將配置其40%至60% 資產作爲掉期協議的抵押品或作爲購買期權合同的溢價。

的 根據1940年法案，基金被歸類爲「非多元化」基金。

因爲 每日再平衡和每天回報隨時間的推移的複合，基金的回報時間超過 單日收益將是該期間每天收益的複合結果，很可能與200%不同 同期基礎證券股票的返還情況。如果基礎證券出現虧損，基金將虧損 隨着時間的推移，業績持平，而且由於日常再平衡，基礎證券的股票波動性和 隨着時間的推移，基金可能會虧損，而基礎證券的表現會隨着時間的推移而增加 比一天還要長的時期。因此，投資者不應計劃在一段時間內持有不受監控的基金股份 超過一個交易日。

NOVO Nordisk A/S - ADR（「NVO」或「基礎證券」）

NOVO Nordisk A/S（「諾和諾德」）是一家丹麥全球製藥公司。諾和諾德製造和銷售藥品 產品和服務，專門提供糖尿病護理和肥胖、血友病和生長等其他慢性病 失調。它還涉及止血管理、生長激素治療和激素替代治療。該基金將 尋求實現諾和諾德美國存託憑證（紐約證券交易所代碼：NVO）的目標。

的 基金將根據基礎證券（即ADR）達成互換協議。美國存託憑證爲美國投資者提供了獲取 國內交易所的外國股票，但與基礎外國股票相比可能表現出定價差異。這些差異 源於貨幣波動、市場動態、流動性差異和稅收影響等因素。此外，企業 行動和ADR費用和支出可能會導致ADR與其代表的外國股票之間的定價差異。

NVO ADR在紐約證券交易所（「紐約證券交易所」）上市。根據NOVO Nordisk最近提交的20-F表格申請 截至2023年12月31日的財年，未償NVO ADR總數爲388，973，829筆，約爲 截至該日已發行b股股本的12.18%（不包括庫存股和Novo Holdings A/S持有的股份）。 根據同一份文件，根據現有信息來源，截至2023年12月31日，估計股本（包括 A股和B股資本）的地理分佈方式如下：丹麥39%、北美26%、英國3%和32% 其他.

NOVO 諾和諾德根據修訂後的1934年《證券交易法》（「交易法」）註冊爲外國私人發行人。 根據《交易法》向SEC提供或提交的與NVO相關的信息可通過參考SEC查找 文件號333-82318通過SEC網站 Www.sec.gov.

在 此外，有關NOVO Nordisk的信息可以從其他來源獲取，包括但不限於新聞稿， 報紙文章和其他公開傳播的文件。

這 本文件僅涉及在此提供的證券，與NVO的股份或NVO的其他證券無關。這個 基金已從可公開獲得的文件中得出本文件中包含的關於NVO的所有披露。基金中的任何一個， 信託或顧問或其各自的關聯公司參與了此類公開發售的準備工作 與NVO有關的此類文件或進行任何盡職調查。本基金、信託基金或 顧問或其各自的關聯公司作出任何聲明，表示該等可公開獲得的文件或任何其他公開文件 關於NVO的現有信息是準確或完整的。此外，基金不能保證發生的所有事件 在此日期之前(包括可能影響公開文件的準確性或完整性的事件 如上所述)，這將影響NVO的交易價格(因此影響NVO在我們爲證券定價時的股價) 已被公開披露。隨後披露任何此類事件或披露或沒有披露重大未來 與NVO有關的事件可能會影響與證券相關的收到價值，從而影響證券的價值。

沒有一 基金、信託、顧問或其各自的附屬機構就NVO的表現向您做出任何陳述。

沒有一 該基金的TIDAL Trust II和TIDAL Investments LLC與基礎證券有關聯。

由於 就基金的投資策略而言，基金的投資風險集中在指定的同一行業 致底層安全。截至招股說明書之日，NVO被分配給製藥行業。

NVO 風險 該基金投資於基於NVO股價的掉期合約。反過來，NVO的股價是基於 關於NVO Nordisk的性能。這使基金面臨的某些風險與其擁有NVO（或NVO Nordisk）股份相同， 儘管事實並非如此。憑藉本基金對基於NVO價值的掉期合約的投資，本基金 還可能面臨以下風險：

間接 投資NVO Nordisk Risk。 NVO Nordisk不隸屬於信託、基金或顧問或其各自的 附屬公司，不以任何方式參與本次發行，也沒有義務在收購任何公司時考慮您的股份 可能影響股份價值的行動。本基金的投資者將沒有投票權，也無法影響 NVO Nordisk的管理，但將間接受到NVO Nordisk的性能影響（通過NVO，底層安全）。 本基金的投資者無權收取股息或其他分配或與以下有關的任何其他權利 但基礎證券的表現將受到基礎證券表現下降的影響。

NVO 標的證券的交易價格可能會因各種因素而出現波動和大幅波動 半導體行業的內在因素。這一部門容易受到價格和數量波動的影響，而價格和數量波動並不總是如此。 與公司的經營業績相關。賣空者可能會對交易動態施加影響，潛在地 可能還會不成比例地受到公衆看法和NVO NorDisk控制之外的外部因素的影響，因爲它 這種關注可能會導致市場反應加劇，無論NVO Holding的運營情況如何 性能。此外，在經歷了一段時間的市場波動後，NVO NorDisk和類似的公司可能面臨證券類 訴訟，轉移管理層的注意力和資源。NVO Holding歷史上對此類訴訟的敞口突顯 此外，如果發生 如果標的證券暫停交易，基金的股票交易可能會受到暫時或無限期的影響。

NVO NVO可能無法滿足其公開宣佈的指導方針或對其業務的其他期望，這可能 關於銷售和生產，以及預期的未來收入、毛利率、盈利能力和現金流。正確無誤 確定影響業務狀況的關鍵因素並預測未來事件本身就是一個不確定的過程，而 NVO提供的指導最終可能並不準確，過去在某些方面也不準確，例如時間 該指導基於某些假設，例如與全球和當地經濟有關的假設 條件、預期產量和銷售量(通常在給定時期內不是線性的)、平均銷售額 價格、供應商和商品成本，以及計劃的成本削減。如果NVO的指導不準確或與實際情況不符 由於無法滿足假設或可能導致的對其財務業績的影響而產生的結果 由於存在各種風險和不確定性，NVO發行的普通股市值可能大幅縮水。

製藥業 行業風險：藥物研發非常昂貴，而且成本很高 不確定；NVO可能無法成功開發、許可或獲得足夠數量或數量的商業成功產品 取代已經失去或將失去知識產權保護或因競爭對手而被取代的產品的收入的價值 產品或療法。NVO和NVO的產品面臨來自跨國製藥公司、生物技術公司的激烈競爭 公司，以及成本較低的仿製藥和生物相似製造商，這種競爭可能會對NVO的 公事。NVO的業務受到越來越多的政府價格管制和其他公共和私人限制 NVO藥品的定價、報銷和獲取，這可能會對NVO的結果產生實質性的不利影響 運營、聲譽或業務。藥品可能會產生安全或療效方面的問題，這可能會產生一種物質 對NVO的收入、收入和聲譽產生不利影響。

知識 產權風險：NVO總收入的很大一部分來自相對較少的產品並銷售產品 通過日益整合的供應鏈實體，這可能會使NVO面臨或加劇各種風險。NVO取決於 NVO的大部分收入、現金流和盈利都受到知識產權保護的產品;有效的損失 NVO的某些產品已經受到知識產權保護，並且未來可能會繼續受到保護 結果，這些產品的收入迅速嚴重下降。NVO的長期成功取決於知識產權 保護;如果NVO的知識產權被無效、規避或削弱，NVO的業務將 受到不利影響。

操作 風險：NVO IT系統或NVO第三方IT系統的故障、不足、破壞或未經授權訪問 服務提供商、未經授權訪問NVO機密信息或違反數據保護法，都可能 對NVO的業務和聲譽造成重大損害。製造、質量或供應鏈困難、中斷， 否則短缺可能導致產品供應問題。依賴第三方關係和外包安排可能會產生不利影響 影響NVO的業務。NVO對人工智能或其他新興技術的使用可能會產生不利影響 NVO的業務和財務業績。

國際 業務風險：經濟增長或低迷或國際貿易和其他全球混亂、地緣政治緊張局勢， 或糾紛可能會對NVO的業務和經營業績產生不利影響。外幣匯率、利率變化 風險和通貨膨脹影響NVO的運營結果。

政府 監管和訴訟風險：NVO面臨與其產品、NVO如何定價或商業化相關的訴訟和調查 其產品以及NVO業務的其他方面，這可能會對NVO的業務產生不利影響，NVO自行保險 對於此類事情。NVO受制於不斷變化且複雜的稅法，這可能會導致額外的責任並影響NVO 運營結果。監管合規問題可能會對NVO造成損害。

單個 發行人風險。 發行人特定屬性可能導致基金投資比傳統集合更波動 分散風險或一般市場的投資。該基金的價值專注於個人證券，可能 比傳統的集合投資或整個市場波動性更大，並且表現可能與A股的價值不同 傳統的集合投資或整個市場。此外，該基金將尋求採用其投資策略， 它與基礎發行人有關，無論是否存在重大公司行動，例如重組、執行 活動、收購或時期不利的市場、經濟或其他條件，不會尋求暫時防禦 在這些時期的位置。

複利 和市場波動風險。基金有每日的槓桿投資目標和基金在各時期的表現 超過一個交易日將是每天的回報在這段時間內的複合結果，這很可能是 不同於兩倍(200%)的標的證券的業績，扣除基金的管理費和其他費用。 複利影響所有投資，但對旨在複製槓桿每日回報和 每天都會實現再平衡。對於旨在複製基礎證券每日業績的兩倍的基金，如果每天都是不利的 基礎證券的表現減少了股東的投資額，任何進一步的不利日常表現 將導致較小的美元損失，因爲股東的投資已經因之前的不利業績而減少。 然而，同樣地，如果標的證券的良好每日表現增加了股東的投資額， 由於股東的投資增加，因未來業績不佳而損失的美元金額將增加。

的 隨着基礎證券波動性和持有期限的增加，複合效應變得更加明顯。的 複合的影響將根據基金投資的持有期限對每個股東產生不同的影響 以及股東持有基金投資期間基礎證券的波動性。

的 下圖提供了基礎證券的波動性如何影響基金業績的示例。的 圖表說明了影響基金業績的兩個因素的影響-基礎證券的波動性 以及基礎安全的表現。基礎證券的表現顯示了 指定時間段內基礎證券的股價，而基礎證券的波動性是統計數據 衡量該時期回報波動幅度。如下所示，即使底層 證券在兩個相等的時間段內的表現是相同的，不同的基礎證券波動性（即, 基礎證券股價在兩個時期內波動幅度）可能會導致巨大的 由於時段內的每日回報率是複合的，兩個時段的基金表現不同。

基金 給定以下因素的任何假設，可以估計超過一天的時間段的績效：a） 基礎證券波動性; b）基礎證券表現; c）時間段; d）與之相關的融資利率 槓桿風險敞口;及e）其他基金費用。該圖表顯示了多種基礎組合的估計基金回報 一年內的證券波動性和基礎證券表現。圖表中顯示的性能假設：（i） 沒有基金費用;（ii）借款/貸款利率（以獲得槓桿風險敞口）爲0%。如果基金費用和/或實際費用 借款/貸款利率反映了估計回報將與顯示的不同。尤其是在經期 由於基礎證券波動率較高，複合將導致長於交易日的時期的結果從兩個不同 乘以（200%）基礎證券的性能。

作爲 如下圖所示，如果標的股價沒有變化，預計基金將虧損6.1% 一年內的證券，在此期間基礎證券經歷了25%的年化波動率。如果基礎 證券的年化波動率將上升至75%，一年期的假設損失將擴大至約 -43%。在較高的波動範圍內，即使沒有變化，基金也有可能出現重大價值損失 在基礎證券的股價中。例如，如果基礎證券的年化波動率爲100%， 即使累計基礎證券股價發生變化，該基金預計將損失63.2%的價值 當年的基礎安全性爲0%。

地區 紅色（或深灰色）陰影表示基金預計回報率低於業績兩倍（200%）的情況 基礎證券和綠色（或淺灰色）陰影代表基金預計會發生的情況 回報基礎證券性能的兩倍以上（200%）。本基金的實際業績可能顯着 由於上述或「每日相關/跟蹤」中討論的任何因素，比下面顯示的性能更好或更差 風險”如下。

The Underlying Security’s annualized historical volatility rate for the five-year period ended September 30, 2024 was 29.73%. The Underlying Security’s highest volatility rate for any one calendar year during this period was 36.37% and volatility for a shorter period of time may have been substantially higher. The Underlying Security’s annualized performance during this period was 37.79%. Historical Underlying Security volatility and performance are not indications of what Underlying Security volatility and performance will be in the future.

Daily Correlation/Tracking Risk. There is no guarantee that the Fund will achieve a high degree of leveraged correlation to the Underlying Security and therefore achieve its daily leveraged investment objective. To achieve a high degree of leveraged correlation with the Underlying Security, the Fund seeks to rebalance its portfolio daily to keep exposure consistent with its daily leveraged investment objective. The possibility of the Fund being materially over- or under-exposed to the Underlying Security increases on days when the Underlying Security is volatile near the close of the trading day. Market disruptions, regulatory restrictions and extreme volatility will also adversely affect the Fund’s ability to adjust exposure to the required levels. If there is a significant intra-day market event and/or the Underlying Security experiences a significant increase or decline, the Fund may not meet its investment objective, be able to rebalance its portfolio appropriately, or may experience significant premiums or discounts, or widened bid-ask spreads.

The Fund may have difficulty achieving its daily leveraged investment objective due to fees, expenses, transaction costs, financing costs related to the use of derivatives, investments in ETFs, directly or indirectly, income items, valuation methodology, accounting standards and disruptions or illiquidity in the markets for the securities or derivatives held by the Fund. The Fund may be subject to large movements of assets into and out of the Fund, potentially resulting in the Fund being over- or under-exposed to the Underlying Security. The Fund may take or refrain from taking positions to improve the tax efficiency or to comply with various regulatory restrictions, either of which may negatively impact the Fund’s leveraged correlation to the Underlying Security.

Leverage Risk. The Fund obtains investment exposure in excess of its net assets by utilizing leverage and may lose more money in market conditions that are adverse to its investment objective than a fund that does not utilize leverage. An investment in the Fund is exposed to the risk that a decline in the daily performance of the Underlying Security will be magnified. This means that an investment in the Fund will be reduced by an amount equal to 2% for every 1% daily decline in the share price of the Underlying Security, not including the costs of financing leverage and other operating expenses, which would further reduce its value. The Fund could theoretically lose an amount greater than its net assets in the event the share price of the Underlying Security declines more than 50%. Leverage will also have the effect of magnifying any differences in the Fund performance’s correlation with the Underlying Security’s share price.

Derivatives Risk. Derivatives are financial instruments that derive value from the underlying reference asset or assets, such as stocks, bonds, or funds (including ETFs), interest rates or indexes. The Fund’s investments in derivatives may pose risks in addition to, and greater than, those associated with directly investing in securities or other ordinary investments, including risk related to the market, leverage, imperfect daily correlations with underlying investments or the Fund’s other portfolio holdings, higher price volatility, lack of availability, counterparty risk, liquidity, valuation and legal restrictions. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with ordinary portfolio securities transactions. The use of derivatives may result in larger losses or smaller gains than directly investing in securities. When the Fund uses derivatives, there may be imperfect correlation between the share price of the Underlying Security and the derivative, which may prevent the Fund from achieving its investment objective. Because derivatives often require only a limited initial investment, the use of derivatives may expose the Fund to losses in excess of those amounts initially invested.

The Fund will be subject to regulatory constraints relating to level of value at risk that the Fund may incur through its derivative portfolio. To the extent the Fund exceeds these regulatory thresholds over an extended period, the Fund may determine that it is necessary to make adjustments to the Fund’s investment strategy, including the desired daily leveraged performance for the Fund.

In addition, the Fund’s investments in derivatives are subject to the following risks:

Swap Agreements. The use of swap transactions is a highly specialized activity, which involves investment techniques and risks different from those associated with ordinary portfolio securities transactions. Whether the Fund will be successful in using swap agreements to achieve its investment goal depends on the ability of the Adviser to structure such swap agreements in accordance with the Fund’s investment objective and to identify counterparties for those swap agreements. If the Adviser is unable to enter into swap agreements that provide leveraged exposure to the Underlying Security, the Fund may not meet its stated investment objective. Additionally, any financing, borrowing or other costs associated with using swap transactions may also have the effect of lowering the Fund’s return.

The swap agreements in which the Fund invests are generally traded in the over-the-counter market, which generally has less transparency than exchange-traded derivatives instruments. In a standard swap transaction, two parties agree to exchange the return (or differentials in rates of return) earned or realized on particular predetermined reference assets or underlying securities or instruments. The gross return to be exchanged or swapped between the parties is calculated based on a notional amount or the return on or change in value of a particular dollar amount invested in a basket of securities.

If the Underlying Security has a dramatic move that causes a material decline in the Fund’s net assets, the terms of a swap agreement between the Fund and its counterparty may permit the counterparty to immediately close out the swap transaction with the Fund. In that event, the Fund may be unable to enter into another swap agreement or invest in other derivatives to achieve exposure consistent with the Fund’s investment objective. This may prevent the Fund from achieving its leveraged investment objective, even if the Underlying Security later reverses all or a portion of its movement.

Options Contracts. The use of options contracts involves investment strategies and risks different from those associated with ordinary portfolio securities transactions. The prices of options are volatile and are influenced by, among other things, actual and anticipated changes in the value of the underlying instrument, including the anticipated volatility, which are affected by fiscal and monetary policies and by national and international political, changes in the actual or implied volatility or the reference asset, the time remaining until the expiration of the option contract and economic events. The value of the options contracts in which the Fund invests are substantially influenced by the value of the Underlying Security. The Fund may experience substantial downside from specific option positions and certain option positions held by the Fund may expire worthless. The options held by the Fund are exercisable at the strike price on their expiration date. As an option approaches its expiration date, its value typically increasingly moves with the value of the underlying instrument. However, prior to such date, the value of an option generally does not increase or decrease at the same rate as the underlying instrument. There may at times be an imperfect correlation between the movement in values options contracts and the underlying instrument, and there may at times not be a liquid secondary market for certain options contracts. The value of the options held by the Fund will be determined based on market quotations or other recognized pricing methods. Additionally, as the Fund intends to continuously maintain indirect exposure to the Underlying Security through the use of options contracts, as the options contracts it holds are exercised or expire it will enter into new options contracts, a practice referred to as “rolling.” If the expiring options contracts do not generate proceeds enough to cover the cost of entering into new options contracts, the Fund may experience losses. The use of options to generate leverage introduces additional risks, including significant potential losses if the market moves unfavorably. The leverage inherent in options can amplify both gains and losses, leading to increased volatility and potential for substantial losses, particularly in periods of market uncertainty or low liquidity. Additionally, the Fund may incur losses if the value of the Underlying Security moves against its positions, potentially resulting in a complete loss of the premium paid.

Counterparty Risk. The Fund is subject to counterparty risk by virtue of its investments in derivatives which exposes the Fund to the risk that the counterparty will not fulfill its obligation to the Fund. Counterparty risk may arise because of the counterparty’s financial condition (i.e., financial difficulties, bankruptcy, or insolvency), market activities and developments, or other reasons, whether foreseen or not. A counterparty’s inability to fulfill its obligation may result in significant financial loss to the Fund and the Fund may be unable to recover its investment from such counterparty or may obtain a limited and/or delayed recovery.

In addition, the Fund may enter into swap agreements with a limited number of counterparties, which may increase the Fund’s exposure to counterparty credit risk. Further, there is a risk that no suitable counterparties will be willing to enter into, or continue to enter into, transactions with the Fund and, as a result, the Fund may not be able to achieve its investment objective.

日內 投資風險。 本基金尋求從指定交易日收盤至收盤期間的投資結果 隨後交易日的市場。該基金投資盤中在二級市場的確切風險敞口爲 第一個交易日收盤時基礎證券的股價與第一個交易日收盤時的股價之間的差異的函數 購買時基礎證券的股價。如果基礎證券的股價上漲，基金的 淨資產的增長幅度將約爲基金風險敞口的兩倍。相反，如果基礎公司的股價 證券性下降，基金淨資產將下降約爲基金風險敞口的兩倍。 因此，日內購買股票的投資者可能會經歷高於或低於基金的表現 陳述基礎證券的槓桿表現。

如果 盤中發生重大市場事件和/或基礎證券的證券大幅增加 或減少，基金可能無法實現其投資目標或適當重新平衡其投資組合。

固定 收入證券風險.當基金投資固定收益證券時，您在基金中的投資價值將會波動 隨着利率的變化。通常，利率上升會導致所擁有的固定收益證券價值下降 由基金決定。一般來說，期限較長的固定收益證券的市場價格將在年內上漲或下跌更多 比短期證券更能應對利率變化。其他風險因素包括信用風險（債務人可能違約）、 延期風險（發行人可能會晚於預期行使其償還基金持有的固定利率債務本金的權利）， 和提前還款風險（債務人可能提前償還債務，從而減少利息支付金額）。這些風險可能會影響 基金特定投資的價值，可能導致基金股價和總回報減少 並且比其他類型的投資波動更大。

再平衡 風險.如果基金因任何原因無法重新平衡其全部或部分投資組合，或者如果全部或部分投資組合 重新平衡錯誤，基金的投資風險可能與基金的投資目標不一致。 在這些情況下，基金對基礎證券的投資風險可能遠高於或低於 其既定的投資目標。因此，本基金可能因未進行適當再平衡而面臨槓桿風險 並且可能無法實現其投資目標。

ETF 風險

授權 參與者、做市商和流動性提供者集中風險。 本基金擁有數量有限的金融機構 有權直接從基金購買和贖回股份的人（稱爲「授權參與者」或「AP」）。 此外，市場上可能存在數量有限的做市商和/或流動性提供者。在某種程度上， 如果發生以下事件，股票可能會以相對於資產淨值的大幅折扣進行交易，並可能面臨退市：（i）AP退出該業務 或無法處理創建和/或兌換訂單，並且沒有其他AP挺身而出執行這些服務; 或（ii）做市商和/或流動性提供者退出業務或大幅減少其業務活動，且沒有其他 實體挺身而出履行其職能。

現金 贖回風險。基金的投資戰略可能要求它將股票贖回爲現金或以其他方式包括現金。 作爲其贖回收益的一部分。例如，基金可能無法以實物形式贖回基金持有的某些證券 (例如，衍生工具)。在這種情況下，基金可能被要求出售或平倉組合投資，以獲得 分配贖回收益所需的現金。這可能會導致基金確認它可能沒有確認的資本利得 如果它進行了實物救贖。因此，基金可能會支付比實物支付更高的年度資本利得分配 採用贖回程序。通過支付更高的年度資本收益分配，投資者可能會受到資本增加的影響。 利得稅。與現金贖回有關的費用可能包括基金在以下情況下可能沒有發生的經紀費用 已經做出了實物贖回。可將這些費用強加給基金，減少其資產淨值，前提是這些費用 未被授權參與者支付的交易費抵消。

成本 購買或出售股票。 由於購買或出售股份的成本，包括經紀商收取的經紀佣金 和買賣價差，股票的頻繁交易可能會顯着降低投資結果，而對股票的投資可能不會 對於希望定期進行小額投資的投資者來說是明智的。

股份 可能以資產淨值以外的價格交易。 與所有ETF一樣，股票可以在二級市場以市場價格買賣。 儘管預計股票的市場價格將接近基金的資產淨值，但有時市場可能會 由於供需關係，股票價格高於日內資產淨值（溢價）或低於日內資產淨值（折扣） 股票或市場波動期間。這種風險在市場波動時期、市場陡峭時期會加劇 下跌，以及二級市場股票交易活動有限的時期，在這種情況下，此類溢價或 折扣可能很大。

交易。 儘管股票在全國證券交易所上市，例如紐約證券交易所Arca Inc. (the「交換」），並且可以 在交易所以外的美國交易所交易，則無法保證股票將以任何數量或根本交易， 在任何證券交易所。在緊張的市況下，股票的流動性可能開始反映基金的流動性 基礎投資組合持有，其流動性可能遠低於股票。這對基金的流動性產生了不利影響 股票可能會導致更大的買賣價差以及基金股票與標的股票之間的市場價格差異 股票的價值。

流動性 風險.在某些情況下，例如本基金所使用的金融工具的有序市場被擾亂 投資時，基金可能無法快速或以代表真實市場的價格收購或處置某些持有的股份 顧問判斷的價值。本基金投資的金融工具市場可能會受到多種因素的干擾 事件，包括但不限於經濟危機、健康危機、自然災害、過度波動、新立法、 或美國國內外的監管變化這些情況可能會對基金自身的流動性產生影響 股票。”

高 投資組合週轉風險。根據基金每日投資目標原因，每日重新平衡基金的持有量 與大多數ETF相比，投資組合交易的數量要多得多。此外，基金的活躍市場交易 交易所(如交易所)的股票可能會導致更頻繁的創造和贖回活動，這可能會增加 投資組合交易的數量。頻繁和活躍的交易可能會因爲經紀人的增加而導致更高的交易成本 此類交易產生的佣金。此外，還有大幅增加短期資本的可能性 收益(當分配給股東時，將作爲普通收入向股東徵稅)。基金計算投資組合成交額 不包括構成基金交易的大部分的短期現金工具或衍生品交易。 因此，如果反映基金對衍生工具的廣泛使用，計算的投資組合週轉率將 要高得多。

跟蹤 錯誤風險.跟蹤誤差是基金業績與其投資目標的背離 複製基礎證券價格每日百分比變化的兩倍。號碼可能發生跟蹤錯誤 原因。由於交易成本、基金持有的現金、應計金額的差異，可能會發生跟蹤錯誤 股息、對基礎證券的暴露不足或過度或需要滿足新的或現有的監管要求。 在市場波動或市場中斷等其他異常市場狀況期間，跟蹤錯誤風險可能會增加。 由於市場原因，基金可能會被要求偏離其投資目標，從而出現跟蹤錯誤 限制或其他法律原因，包括監管限制或對可能購買的證券的其他限制 顧問及其附屬機構。

流動性 風險 本基金持有的一些證券可能難以出售或流動性不足，尤其是在市場動盪時期。 證券或金融工具市場可能會因一系列事件而擾亂，包括但不限於，經濟 危機、自然災害、流行病/流行病、美國國內外的新立法或監管變化。非流動 證券可能難以估值，尤其是在不斷變化或波動的市場中。如果基金被迫出售非流動性證券 在不利的時間或價格下，基金可能會受到不利影響。某些市場條件或限制可能會阻礙 基金限制損失、實現收益或實現與基礎證券的高度相關性。概不保證 購買時被視爲流動性的證券將繼續具有流動性。市場流動性不足可能會導致基金損失。

市場 事件風險。基金的投資受制於總體經濟狀況、總體市場波動和 投資證券和其他金融工具所固有的風險。投資市場可能會波動，價格 可因各種因素而發生重大變化，這些因素包括但不限於經濟增長或衰退、變化 利率、通貨膨脹、發行人實際或感知信譽的變化，以及一般市場流動性。這個 基金面臨地緣政治事件將擾亂證券和其他金融市場併產生不利影響的風險 全球經濟和市場。局部、地區或全球事件，如戰爭、軍事衝突、恐怖主義行爲、自然災害、 傳染病或其他公共衛生問題或其他事件的蔓延可能對基金產生重大影響 它的投資。利率、通脹上升、政治事件、政府債務上升等方面的持續不確定性 在美國，貿易緊張也加劇了市場波動。與持續不斷相關的衝突、生命損失和災難 烏克蘭和俄羅斯在歐洲以及以色列和哈馬斯在中東的武裝衝突可能會產生嚴重的不利影響 對相關區域的影響，包括對區域或全球經濟和某些市場的重大不利影響 證券。美國和歐盟已經對某些俄羅斯個人和公司實施了制裁，包括某些 金融機構，並限制了對俄羅斯的某些進出口。這些衝突導致了最近 市場波動，並可能繼續這樣做。

錢 市場工具風險。 本基金可能會使用各種貨幣市場工具進行現金管理，包括資金 市場基金、存託賬戶和回購協議。回購協議是證券賣方的合同 同意在指定時間和價格回購證券。回購協議可能面臨市場和信用風險 與保證回購協議的抵押品有關。貨幣市場工具可能會賠錢。

新 基金風險。 該基金是一家新成立的管理投資公司，沒有運營歷史。因此，未來 投資者沒有可作爲投資決策依據的記錄或歷史。

非多元化 風險 由於該基金是「非多元化」，因此可能會將更大比例的資產投資於證券 與多元化基金相比，單一發行人或發行人數量較少。因此，一隻基金的價值下降 投資於單一發行人或少數發行人可能會導致基金整體價值下降至更大 比基金持有更多元化的投資組合時的水平。

交易 停止冒險。儘管標的證券的股票在交易所上市交易，但不能保證 該等股份將隨時有活躍的交易市場，而聯交所可暫停該等股份的交易 在某些情況下。標的證券股票的停牌預計將導致停牌 在基金股票的交易中。標的證券及/或基金股份在聯交所的交易 可因市場情況或交易所認爲使標的證券的交易 和/或基金的股票不可取。此外，標的證券和/或基金的股票在交易所的交易 根據交易所「熔斷機制」規則，因市場異常波動而導致的交易暫停。 如果交易暫停一段長時間，基金可能無法與掉期交易對手達成安排 這對於執行基金的投資戰略是必要的。

Operational Risk. The Fund is subject to risks arising from various operational factors, including, but not limited to, human error, processing and communication errors, errors of the Fund’s service providers, counterparties or other third-parties, failed or inadequate processes and technology or systems failures. The Fund relies on third-parties for a range of services, including custody. Any delay or failure relating to engaging or maintaining such service providers may affect the Fund’s ability to meet its investment objective. Although the Fund and the Fund’s investment advisor seek to reduce these operational risks through controls and procedures, there is no way to completely protect against such risks.

U.S. Government and U.S. Agency Obligations Risk. The Fund may invest in securities issued by the U.S. government or its agencies or instrumentalities. U.S. Government obligations include securities issued or guaranteed as to principal and interest by the U.S. Government, its agencies or instrumentalities, such as the U.S. Treasury. Payment of principal and interest on U.S. Government obligations may be backed by the full faith and credit of the United States or may be backed solely by the issuing or guaranteeing agency or instrumentality itself. In the latter case, the investor must look principally to the agency or instrumentality issuing or guaranteeing the obligation for ultimate repayment, which agency or instrumentality may be privately owned. There can be no assurance that the U.S. Government would provide financial support to its agencies or instrumentalities (including government-sponsored enterprises) where it is not obligated to do so.

Tax Risk. In order to qualify for the favorable tax treatment generally available to regulated investment companies, the Fund must satisfy certain diversification and other requirements. In particular, the Fund generally may not acquire a security if, as a result of the acquisition, more than 50% of the value of the Fund’s assets would be invested in (a) issuers in which the Fund has, in each case, invested more than 5% of the Fund’s assets and (b) issuers more than 10% of whose outstanding voting securities are owned by the Fund. The application of these requirements to certain investments (including swaps) that may be entered into by the Fund is unclear. In addition, the application of these requirements to the Fund’s investment objective is not clear, particularly because the Fund’s investment objective focuses on the performance of the stock of a single issuer. If the Fund were to fail to qualify as a regulated investment company, it would be taxed in the same manner as an ordinary corporation, and distributions to its shareholders would not be deductible by the Fund in computing its taxable income.

Performance information for the Fund is not included because the Fund has not completed a full calendar year of operations as of the date of this Prospectus. When such information is included, this section will provide some indication of the risks of investing in the Fund by showing changes in the Fund’s performance history from year to year and showing how the Fund’s average annual total returns compare with those of the Underlying Security and a broad measure of market performance. Although past performance of the Fund is no guarantee of how it will perform in the future, historical performance may give you some indication of the risks of investing in the Fund. Updated performance information will be available on the Fund’s website at https://www.defianceetfs.com.

The Fund seeks daily investment results, before fees and expenses, of two times (200%) the daily percentage change in the share price of Broadcom Inc. (Nasdaq: AVGO) The Fund does not seek to achieve its stated investment objective for a period other than a single trading day.

This table describes the fees and expenses that you may pay if you buy, hold, and sell shares of the Fund (“Shares”). You may pay other fees, such as brokerage commissions and other fees to financial intermediaries, which are not reflected in the table and Example below.

This Example is intended to help you compare the cost of investing in the Fund with the cost of investing in other funds. The Example assumes that you invest $10,000 in the Fund for the time periods indicated and then hold or redeem all of your Shares at the end of those periods. The Example also assumes that your investment has a 5% return each year and that the Fund’s operating expenses remain the same. The Example does not take into account brokerage commissions that you may pay on your purchases and sales of Shares. Although your actual costs may be higher or lower, based on these assumptions your costs would be:

The Fund pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when Shares are held in a taxable account. These costs, which are not reflected in total annual fund operating expenses or in the Example, affect the Fund’s performance. Because the Fund is newly organized, portfolio turnover information is not yet available.

The Fund is an actively managed exchange traded fund (“ETF”) that attempts to achieve two times (200%) the daily percentage change in the share price of the Underlying Security by entering into swap agreements on the Underlying Security. The Fund aims to achieve this daily percentage change for a single day, and not for any other period. A “single day” means the period “from the close of regular trading on one trading day to the close on the next trading day.”

The Fund will enter into one or more swap agreements with financial institutions for a specified period, which may range from one day to longer than a year. Through each swap agreement, the Fund and the financial institution will agree to exchange the return (or differentials in rates of return) earned or realized on the Underlying Security’s share price. The gross return (meaning the return before deducting any fees or expenses) to be exchanged or “swapped” between the parties is calculated with respect to a “notional amount,” (meaning the face amount of the instrument) e.g., the return on or change in value of a particular dollar amount representing the Underlying Security. In the event the Fund is unable to achieve sufficient swap exposure, the Fund may not always achieve investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Underlying Security, and may return substantially less during such periods.

At the end of each day, the Fund’s swaps are valued using market valuations and the Fund’s investment adviser rebalances the Fund’s holdings in an attempt to maintain leveraged exposure for the Fund equal to approximately 200% of the Underlying Security’s share price.

For examples of a hypothetical investment in the Fund, see “Additional Information About the Fund – Principal Investment Strategies” below.

Fund performance for periods greater than one single day is primarily (but not solely) a function of the following factors: a) the Underlying Security volatility; b) the Underlying Security’s performance; c) period of time; d) financing rates associated with leveraged exposure; and e) other Fund expenses.

The Fund will hold assets to serve as collateral for the Fund’s swap agreements. For those collateral holdings, the Fund may invest in (1) U.S. Government securities, such as bills, notes and bonds issued by the U.S. Treasury; (2) money market funds; (3) short term bond ETFs; and/or (4) corporate debt securities, such as commercial paper and other short-term unsecured promissory notes issued by businesses that are rated investment grade or of comparable quality.

To complement the Fund’s primary strategy of using swap agreements to achieve leveraged exposure, the Fund may employ listed options contracts as an additional tool to generate leverage on an as-needed basis. By incorporating listed options, such as call options, the Fund can gain leveraged exposure to the Underlying Security without relying solely on swaps. This flexibility allows the Fund to adjust its leverage strategy in response to market conditions, liquidity constraints, or other factors that may impact the availability or pricing of swap agreements. The use of options may help the Fund meet its daily investment objective more effectively under varying market conditions.

The Fund has adopted a policy to have at least 80% exposure to financial instruments with economic characteristics that should perform 2X the daily performance of the Underlying Security’s shares. The Fund is expected to allocate between 40% and 60% of its assets as collateral for swap agreements or as premiums for purchased options contracts.

The Fund is classified as “non-diversified” under the 1940 Act.

Because of daily rebalancing and the compounding of each day’s return over time, the return of the Fund for periods longer than a single day will be the result of each day’s returns compounded over the period, which will very likely differ from 200% of the return of the Underlying Security’s shares over the same period. The Fund will lose money if the Underlying Security’s performance is flat over time, and because of daily rebalancing, the Underlying Security’s shares’ volatility and the effects of compounding, the Fund may lose money over time while the Underlying Security’s performance increases over a period longer than a single day. As a consequence, investors should not plan to hold shares of the Fund unmonitored for periods longer than a single trading day.

Broadcom Inc. (“AVGO”)

AVGO is a global technology company that designs, develops and supplies a broad range of semiconductor and infrastructure software solution. AVGO leverages global engineering expertise and an extensive patent portfolio to develop high-performance semiconductor devices and system-on-chip (SoC) solutions for niche markets, with applications ranging from data center networking to factory automation. AVGO’s infrastructure software and hybrid-cloud solutions, including those acquired with VMware, enable leading companies and government agencies to manage and secure complex IT environments, enhancing scalability, agility, and security. AVGO is listed on the Nasdaq Global Select Market (“Nasdaq”). Per AVGO’s most recent Form 10-K filing, the aggregate market value of the voting stock held by non-affiliates of AVGO (based on the last reported sale price of its common stock on April 28, 2023, on the Nasdaq Global Select Market) was approximately $253.7 billion.

AVGO is registered under the Securities Exchange Act of 1934, as amended (the “Exchange Act”). Information provided to or filed with the SEC by AVGO pursuant to the Exchange Act can be located by reference to the SEC file number 001-38449 through the SEC’s website at www.sec.gov. In addition, information regarding AVGO may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents.

This document relates only to the securities offered hereby and does not relate to the shares of AVGO or other securities of AVGO. The Fund has derived all disclosures contained in this document regarding AVGO from the publicly available documents. None of the Fund, the Trust, or the Adviser, or their respective affiliates has participated in the preparation of such publicly available offering documents or made any due diligence inquiry regarding such documents with respect to AVGO. None of the Fund, the Trust, or the Adviser, or their respective affiliates makes any representation that such publicly available documents or any other publicly available information regarding AVGO is accurate or complete. Furthermore, the Fund cannot give any assurance that all events occurring prior to the date hereof (including events that would affect the accuracy or completeness of the publicly available documents described above) that would affect the trading price of AVGO (and therefore the share price of AVGO at the time we price the securities) have been publicly disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events concerning AVGO could affect the value received with respect to the securities and therefore the value of the securities.

None of the Fund, the Trust, the Adviser, or their respective affiliates makes any representation to you as to the performance of AVGO.

NONE OF THE FUND, TIDAL TRUST II, AND TIDAL INVESTMENTS LLC ARE AFFILIATED WITH THE UNDERLYING SECURITY.

Due to the Fund’s investment strategy, the Fund’s investment exposure is concentrated in the same industry as that assigned to the Underlying Security. As of the date of the Prospectus, AVGO is assigned to the Semiconductors & Semiconductor Equipment industry.

AVGO Risks. The Fund invests in swap contracts that are based on the share price of AVGO. This subjects the Fund to certain of the same risks as if it owned shares of AVGO, even though it does not. By virtue of the Fund’s investments in swap contracts that are based on the value of AVGO, the Fund may also be subject to the following risks:

Indirect Investment in AVGO Risk. AVGO is not affiliated with the Trust, the Fund, or the Adviser, or their respective affiliates and is not involved with this offering in any way and has no obligation to consider your Shares in taking any corporate actions that might affect the value of Shares. Investors in the Fund will not have voting rights and will not be able to influence management of AVGO but will be exposed to the performance of AVGO (the Underlying Security). Investors in the Fund will not have the right to receive dividends or other distributions or any other rights with respect to the Underlying Security but will be subject to declines in the performance of the Underlying Security.

AVGO Trading Risk. The trading price of AVGO may be subject to volatility and could experience wide fluctuations due to various factors. The semiconductors industry, including AVGO, operates within a market that has historically witnessed significant price and volume fluctuations, sometimes unrelated to the companies’ operating performance. Short sellers may also play a significant role in trading AVGO, potentially affecting the supply and demand dynamics and contributing to market price volatility. Public perception and external factors beyond the company’s control may influence AVGO’s share price disproportionately, as AVGO often receives heightened public attention regardless of its operational performance. Additionally, following periods of market volatility, companies, including AVGO, have faced securities class action litigation. AVGO has been subject to such litigation in the past and continues to defend against such actions. However, any adverse judgment or future stockholder litigation could result in substantial costs and divert management’s attention and resources. In the event of a halt in trading of AVGO, trading in shares of related funds may be impacted, either temporarily or indefinitely.

AVGO Performance Risk. AVGO may fail to meet its publicly announced guidelines or other expectations about its business, which could cause the price of AVGO to decline. AVGO provides guidance regarding its expected financial and business performance, such as projections regarding sales and production, as well as anticipated future revenues, gross margins, profitability and cash flows. Correctly identifying key factors affecting business conditions and predicting future events is inherently an uncertain process, and the guidance AVGO provides may not ultimately be accurate and has in the past been inaccurate in certain respects, such as the timing of new product manufacturing ramps. The guidance is based on certain assumptions such as those relating to global and local economic conditions, anticipated production and sales volumes (which generally are not linear throughout a given period), average sales prices, supplier and commodity costs, and planned cost reductions. If AVGO’s guidance is not accurate or varies from actual results due to its inability to meet the assumptions or the impact on its financial performance that could occur as a result of various risks and uncertainties, the market value of common stock issued by AVGO could decline significantly.

Business and Operational Risks. AVGO faces numerous business and operational risks, including adverse global economic conditions that could negatively impact operations. Compliance with governmental regulations and trade restrictions may result in significant expenses, and failure to comply could lead to the cessation of product manufacture and distribution, administrative proceedings, and civil or criminal penalties. Global political and economic instability, along with the failure to realize expected benefits from the VMware Merger, further pose challenges. The company also encounters risks related to acquisitions, investments, joint ventures, and dispositions, which could adversely affect financial results. Additionally, dependency on senior management and the ability to attract and retain qualified personnel are critical to executing AVGO’s business strategy effectively.

Technological and Cybersecurity Risks. AVGO is subject to technological and cybersecurity risks, including potential impairments to the confidentiality, integrity, or availability of IT systems and those of corporate infrastructure vendors, which could have a material adverse effect on the business. Operating in the highly cyclical semiconductor industry, AVGO’s sales are largely dependent on a small number of customers, and any reduction in demand or loss of significant customers could adversely affect the business. Reliance on contract manufacturing and suppliers of critical components within the supply chain, along with the need to purchase materials from a limited number of suppliers, may impact AVGO’s ability to bring products to market. Furthermore, failure to adjust manufacturing and supply chains to meet customer demand accurately could adversely affect operational results.

Legal, Environmental, and Market Risks. AVGO is involved in various legal proceedings, including intellectual property, securities litigation, and employee-related claims, which could adversely affect the business. The company’s growth in the software segment depends on customer acceptance of newer products and services, and incompatibility with operating environments or third-party products could decrease demand. Failure to enter into satisfactory software license agreements and the availability of licensed third-party software are additional concerns. Environmental, social, and governance (ESG) matters, compliance with privacy and data security laws, and adherence to environmental, health, and safety regulations could increase costs and restrict operations. Rapidly decreasing average selling prices of semiconductor products and fluctuations in foreign exchange rates also pose significant risks.

Financial and Stock-Related Risks. AVGO’s financial health is affected by substantial indebtedness, which could hinder the ability to execute business strategies. Instruments governing indebtedness impose restrictions, and servicing debt requires significant cash flows, potentially impacting business operations. The volatility of AVGO’s stock price may result in substantial losses for investors and trigger class action litigation against the company and its management. Stock repurchase fluctuations, the concentration of stock held by a small number of large investors, and uncertainties regarding the continuation of cash dividends further contribute to financial risks. Changes in tax legislation, the maintenance of tax concessions, and potential tax liabilities from VMware’s former association with Dell also significantly impact AVGO’s financial position and operating results.

Single Issuer Risk. Issuer-specific attributes may cause an investment in the Fund to be more volatile than a traditional pooled investment which diversifies risk or the market generally. The value of the Fund, which focuses on an individual security, may be more volatile than a traditional pooled investment or the market as a whole and may perform differently from the value of a traditional pooled investment or the market as a whole. Additionally, the Fund will seek to employ its investment strategy as it relates to the underlying issuer regardless of whether there are significant corporate actions such as restructurings, enforcement activity, or acquisitions or periods adverse market, economic, or other conditions and will not seek to take temporary defensive positions during such periods.

Compounding and Market Volatility Risk. The Fund has a daily leveraged investment objective and the Fund’s performance for periods greater than a trading day will be the result of each day’s returns compounded over the period, which is very likely to differ from two times (200%) the Underlying Security’s performance, before the Fund’s management fee and other expenses. Compounding affects all investments but has a more significant impact on funds that aim to replicate leveraged daily returns and that rebalance daily. For the Fund aiming to replicate two times the daily performance of an Underlying Security, if adverse daily performance of the Underlying Security reduces the amount of a shareholder’s investment, any further adverse daily performance will lead to a smaller dollar loss because the shareholder’s investment had already been reduced by the prior adverse performance. Equally, however, if favorable daily performance of the Underlying Security increases the amount of a shareholder’s investment, the dollar amount lost due to future adverse performance will increase because the shareholder’s investment has increased.

The effect of compounding becomes more pronounced as the Underlying Security’s volatility and the holding period increase. The impact of compounding will impact each shareholder differently depending on the period of time an investment in the Fund is held and the volatility of the Underlying Security during a shareholder’s holding period of an investment in the Fund.

The chart below provides examples of how the Underlying Security’s volatility could affect the Fund’s performance. The chart illustrates the impact of two factors that affect the Fund’s performance – the Underlying Security’s volatility and the Underlying Security’s performance. The Underlying Security’s performance shows the percentage change in the share price of the Underlying Security over the specified time period, while the Underlying Security’s volatility is a statistical measure of the magnitude of fluctuations in the returns during that time period. As illustrated below, even if the Underlying Security’s performance over two equal time periods is identical, different Underlying Security volatility (i.e., in magnitude of fluctuations in the share price of the Underlying Security) during the two time periods could result in drastically different Fund performance for the two time periods because of compounding daily returns during the time periods.

Fund performance for periods greater than one single day can be estimated given any set of assumptions for the following factors: a) the Underlying Security volatility; b) the Underlying Security performance; c) period of time; d) financing rates associated with leveraged exposure; and e) other Fund expenses. The chart shows estimated Fund returns for a number of combinations of Underlying Security volatility and Underlying Security performance over a one-year period. Performance shown in the chart assumes that: (i) there were no Fund expenses; (ii) borrowing/lending rates (to obtain leveraged exposure) of 0%. If Fund expenses and/or actual borrowing/lending rates were reflected the estimated returns would be different than those shown. Particularly during periods of higher Underlying Security volatility, compounding will cause results for periods longer than a trading day to vary from two times (200%) the performance of the Underlying Security.

As shown in the chart below, the Fund would be expected to lose 6.1% if there was no change in the share price of the Underlying Security over a one-year period during which the Underlying Security experienced annualized volatility of 25%. If the Underlying Security’s annualized volatility were to rise to 75%, the hypothetical loss for a one-year period would widen to approximately -43%. At higher ranges of volatility, there is a chance of a significant loss of value in the Fund, even if there were no change in the share price of the Underlying Security. For instance, if the Underlying Security’s annualized volatility is 100%, the Fund would be expected to lose 63.2% of its value, even if the cumulative Underlying Security change in the share price of the Underlying Security for the year was 0%.

Areas shaded red (or dark gray) represent those scenarios where the Fund can be expected to return less than two times (200%) the performance of the Underlying Security and those shaded green (or light gray) represent those scenarios where the Fund can be expected to return more than two times (200%) the performance of the Underlying Security. The Fund’s actual performance may be significantly better or worse than the performance shown below as a result of any of the factors discussed above or in the “Daily Correlation/Tracking Risk” below.

The Underlying Security’s annualized historical volatility rate for the five-year period ended September 30, 2024 was 37.88%. The Underlying Security’s highest volatility rate for any one calendar year during this period was 63.96% and volatility for a shorter period of time may have been substantially higher. The Underlying Security’s annualized performance during this period was 36.72%. Historical Underlying Security volatility and performance are not indications of what Underlying Security volatility and performance will be in the future.

Daily Correlation/Tracking Risk. There is no guarantee that the Fund will achieve a high degree of leveraged correlation to the Underlying Security and therefore achieve its daily leveraged investment objective. To achieve a high degree of leveraged correlation with the Underlying Security, the Fund seeks to rebalance its portfolio daily to keep exposure consistent with its daily leveraged investment objective. The possibility of the Fund being materially over- or under-exposed to the Underlying Security increases on days when the Underlying Security is volatile near the close of the trading day. Market disruptions, regulatory restrictions and extreme volatility will also adversely affect the Fund’s ability to adjust exposure to the required levels. If there is a significant intra-day market event and/or the Underlying Security experiences a significant increase or decline, the Fund may not meet its investment objective, be able to rebalance its portfolio appropriately, or may experience significant premiums or discounts, or widened bid-ask spreads.

The Fund may have difficulty achieving its daily leveraged investment objective due to fees, expenses, transaction costs, financing costs related to the use of derivatives, investments in ETFs, directly or indirectly, income items, valuation methodology, accounting standards and disruptions or illiquidity in the markets for the securities or derivatives held by the Fund. The Fund may be subject to large movements of assets into and out of the Fund, potentially resulting in the Fund being over- or under-exposed to the Underlying Security. The Fund may take or refrain from taking positions to improve the tax efficiency or to comply with various regulatory restrictions, either of which may negatively impact the Fund’s leveraged correlation to the Underlying Security.

Leverage Risk. The Fund obtains investment exposure in excess of its net assets by utilizing leverage and may lose more money in market conditions that are adverse to its investment objective than a fund that does not utilize leverage. An investment in the Fund is exposed to the risk that a decline in the daily performance of the Underlying Security will be magnified. This means that an investment in the Fund will be reduced by an amount equal to 2% for every 1% daily decline in the share price of the Underlying Security, not including the costs of financing leverage and other operating expenses, which would further reduce its value. The Fund could theoretically lose an amount greater than its net assets in the event the share price of the Underlying Security declines more than 50%. Leverage will also have the effect of magnifying any differences in the Fund performance’s correlation with the Underlying Security’s share price.

Derivatives Risk. Derivatives are financial instruments that derive value from the underlying reference asset or assets, such as stocks, bonds, or funds (including ETFs), interest rates or indexes. The Fund’s investments in derivatives may pose risks in addition to, and greater than, those associated with directly investing in securities or other ordinary investments, including risk related to the market, leverage, imperfect daily correlations with underlying investments or the Fund’s other portfolio holdings, higher price volatility, lack of availability, counterparty risk, liquidity, valuation and legal restrictions. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with ordinary portfolio securities transactions. The use of derivatives may result in larger losses or smaller gains than directly investing in securities. When the Fund uses derivatives, there may be imperfect correlation between the share price of the Underlying Security and the derivative, which may prevent the Fund from achieving its investment objective. Because derivatives often require only a limited initial investment, the use of derivatives may expose the Fund to losses in excess of those amounts initially invested.

The Fund will be subject to regulatory constraints relating to level of value at risk that the Fund may incur through its derivative portfolio. To the extent the Fund exceeds these regulatory thresholds over an extended period, the Fund may determine that it is necessary to make adjustments to the Fund’s investment strategy, including the desired daily leveraged performance for the Fund.

In addition, the Fund’s investments in derivatives are subject to the following risks:

Swap Agreements. The use of swap transactions is a highly specialized activity, which involves investment techniques and risks different from those associated with ordinary portfolio securities transactions. Whether the Fund will be successful in using swap agreements to achieve its investment goal depends on the ability of the Adviser to structure such swap agreements in accordance with the Fund’s investment objective and to identify counterparties for those swap agreements. If the Adviser is unable to enter into swap agreements that provide leveraged exposure to the Underlying Security, the Fund may not meet its stated investment objective. Additionally, any financing, borrowing or other costs associated with using swap transactions may also have the effect of lowering the Fund’s return.

The swap agreements in which the Fund invests are generally traded in the over-the-counter market, which generally has less transparency than exchange-traded derivatives instruments. In a standard swap transaction, two parties agree to exchange the return (or differentials in rates of return) earned or realized on particular predetermined reference assets or underlying securities or instruments. The gross return to be exchanged or swapped between the parties is calculated based on a notional amount or the return on or change in value of a particular dollar amount invested in a basket of securities.

If the Underlying Security has a dramatic move that causes a material decline in the Fund’s net assets, the terms of a swap agreement between the Fund and its counterparty may permit the counterparty to immediately close out the swap transaction with the Fund. In that event, the Fund may be unable to enter into another swap agreement or invest in other derivatives to achieve exposure consistent with the Fund’s investment objective. This may prevent the Fund from achieving its leveraged investment objective, even if the Underlying Security later reverses all or a portion of its movement.

Options Contracts. The use of options contracts involves investment strategies and risks different from those associated with ordinary portfolio securities transactions. The prices of options are volatile and are influenced by, among other things, actual and anticipated changes in the value of the underlying instrument, including the anticipated volatility, which are affected by fiscal and monetary policies and by national and international political, changes in the actual or implied volatility or the reference asset, the time remaining until the expiration of the option contract and economic events. The value of the options contracts in which the Fund invests are substantially influenced by the value of the Underlying Security. The Fund may experience substantial downside from specific option positions and certain option positions held by the Fund may expire worthless. The options held by the Fund are exercisable at the strike price on their expiration date. As an option approaches its expiration date, its value typically increasingly moves with the value of the underlying instrument. However, prior to such date, the value of an option generally does not increase or decrease at the same rate as the underlying instrument. There may at times be an imperfect correlation between the movement in values options contracts and the underlying instrument, and there may at times not be a liquid secondary market for certain options contracts. The value of the options held by the Fund will be determined based on market quotations or other recognized pricing methods. Additionally, as the Fund intends to continuously maintain indirect exposure to the Underlying Security through the use of options contracts, as the options contracts it holds are exercised or expire it will enter into new options contracts, a practice referred to as “rolling.” If the expiring options contracts do not generate proceeds enough to cover the cost of entering into new options contracts, the Fund may experience losses. The use of options to generate leverage introduces additional risks, including significant potential losses if the market moves unfavorably. The leverage inherent in options can amplify both gains and losses, leading to increased volatility and potential for substantial losses, particularly in periods of market uncertainty or low liquidity. Additionally, the Fund may incur losses if the value of the Underlying Security moves against its positions, potentially resulting in a complete loss of the premium paid.

Counterparty Risk. The Fund is subject to counterparty risk by virtue of its investments in derivatives which exposes the Fund to the risk that the counterparty will not fulfill its obligation to the Fund. Counterparty risk may arise because of the counterparty’s financial condition (i.e., financial difficulties, bankruptcy, or insolvency), market activities and developments, or other reasons, whether foreseen or not. A counterparty’s inability to fulfill its obligation may result in significant financial loss to the Fund and the Fund may be unable to recover its investment from such counterparty or may obtain a limited and/or delayed recovery.

In addition, the Fund may enter into swap agreements with a limited number of counterparties, which may increase the Fund’s exposure to counterparty credit risk. Further, there is a risk that no suitable counterparties will be willing to enter into, or continue to enter into, transactions with the Fund and, as a result, the Fund may not be able to achieve its investment objective.

Intra-Day Investment Risk. The Fund seeks investment results from the close of the market on a given trading day until the close of the market on the subsequent trading day. The exact exposure of an investment in the Fund intraday in the secondary market is a function of the difference between the share price of the Underlying Security at the market close on the first trading day and the share price of the Underlying Security at the time of purchase. If the share price of the Underlying Security rises, the Fund’s net assets will rise by approximately twice the amount as the Fund’s exposure. Conversely, if the share price of the Underlying Security declines, the Fund’s net assets will decline by approximately two times the amount as the Fund’s exposure. Thus, an investor that purchases Shares intra-day may experience performance that is greater than, or less than, the Fund’s stated leveraged performance of the Underlying Security.

If there is a significant intra-day market event and/or the securities of the Underlying Security experience a significant increase or decrease, the Fund may not meet its investment objective or rebalance its portfolio appropriately.

Fixed Income Securities Risk. When the Fund invests in fixed income securities, the value of your investment in the Fund will fluctuate with changes in interest rates. Typically, a rise in interest rates causes a decline in the value of fixed income securities owned by the Fund. In general, the market price of fixed income securities with longer maturities will increase or decrease more in response to changes in interest rates than shorter-term securities. Other risk factors include credit risk (the debtor may default), extension risk (an issuer may exercise its right to repay principal on a fixed rate obligation held by the Fund later than expected), and prepayment risk (the debtor may pay its obligation early, reducing the amount of interest payments). These risks could affect the value of a particular investment by the Fund, possibly causing the Fund’s Share price and total return to be reduced and fluctuate more than other types of investments.

Rebalancing Risk. If for any reason the Fund is unable to rebalance all or a portion of its portfolio, or if all or a portion of the portfolio is rebalanced incorrectly, the Fund’s investment exposure may not be consistent with the Fund’s investment objective. In these instances, the Fund may have investment exposure to the Underlying Security that is significantly greater or less than its stated investment objective. As a result, the Fund may be exposed to leverage risk because it had not been properly rebalanced and may not achieve its investment objective.

ETF Risks.

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

Cash Redemption Risk. The Fund’s investment strategy may require it to redeem Shares for cash or to otherwise include cash as part of its redemption proceeds. For example, the Fund may not be able to redeem in-kind certain securities held by the Fund (e.g., derivative instruments). In such a case, the Fund may be required to sell or unwind portfolio investments to obtain the cash needed to distribute redemption proceeds. This may cause the Fund to recognize a capital gain that it might not have recognized if it had made a redemption in-kind. As a result, the Fund may pay out higher annual capital gain distributions than if the in-kind redemption process was used. By paying out higher annual capital gain distributions, investors may be subjected to increased capital gains taxes. The costs associated with cash redemptions may include brokerage costs that the Fund may not have incurred if it had made the redemptions in-kind. These costs could be imposed on the Fund, decreasing its NAV, to the extent these costs are not offset by a transaction fee payable by an authorized participant.

Costs of Buying or Selling Shares. Due to the costs of buying or selling Shares, including brokerage commissions imposed by brokers and bid-ask spreads, frequent trading of Shares may significantly reduce investment results and an investment in Shares may not be advisable for investors who anticipate regularly making small investments.

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

Trading. Although Shares are listed on a national securities exchange, such as The Nasdaq Stock Market, LLC (the “Exchange”), and may be traded on U.S. exchanges other than the Exchange, there can be no assurance that Shares will trade with any volume, or at all, on any stock exchange. In stressed market conditions, the liquidity of Shares may begin to mirror the liquidity of the Fund’s underlying portfolio holdings, which can be significantly less liquid than Shares. This adverse effect on liquidity for the Fund’s shares may lead to wider bid-ask spreads and differences between the market price of the Fund’s shares and the underlying value of the shares.

Liquidity Risk. In certain circumstances, such as the disruption of the orderly markets for the financial instruments in which the Fund invests, the Fund might not be able to acquire or dispose of certain holdings quickly or at prices that represent true market value in the judgment of the Adviser. Markets for the financial instruments in which the Fund invests may be disrupted by a number of events, including but not limited to economic crises, health crises, natural disasters, excessive volatility, new legislation, or regulatory changes inside or outside of the U.S. These situations may have an impact on the liquidity of the Fund’s own shares.

High Portfolio Turnover Risk. Daily rebalancing of the Fund’s holdings pursuant to its daily investment objective causes a much greater number of portfolio transactions when compared to most ETFs. Additionally, active market trading of the Fund’s Shares on exchanges (such as the Exchange), could cause more frequent creation and redemption activities, which could increase the number of portfolio transactions. Frequent and active trading may lead to higher transaction costs because of increased broker commissions resulting from such transactions. In addition, there is the possibility of significantly increased short-term capital gains (which will be taxable to shareholders as ordinary income when distributed to them). The Fund calculates portfolio turnover without including the short-term cash instruments or derivative transactions that comprise the majority of the Fund’s trading. As such, if the Fund’s extensive use of derivative instruments were reflected, the calculated portfolio turnover rate would be significantly higher.

Tracking Error Risk. Tracking error is the divergence of the Fund’s performance from that of its investment objective which aims to replicate two times the daily percentage change in the price of the Underlying Security. Tracking error may occur for a number of reasons. Tracking error may occur because of transaction costs, the Fund’s holding of cash, differences in accrual of dividends, being under- or overexposed to the Underlying Security or the need to meet new or existing regulatory requirements. Tracking error risk may be heightened during times of market volatility or other unusual market conditions such as market disruptions. The Fund may be required to deviate from its investment objectives, and therefore experience tracking error, as a result of market restrictions or other legal reasons, including regulatory limits or other restrictions on securities that may be purchased by the Adviser and its affiliates.

Liquidity Risk. Some securities held by the Fund may be difficult to sell or be illiquid, particularly during times of market turmoil. Markets for securities or financial instruments could be disrupted by a number of events, including, but not limited to, an economic crisis, natural disasters, epidemics/pandemics, new legislation or regulatory changes inside or outside the United States. Illiquid securities may be difficult to value, especially in changing or volatile markets. If the Fund is forced to sell an illiquid security at an unfavorable time or price, the Fund may be adversely impacted. Certain market conditions or restrictions may prevent the Fund from limiting losses, realizing gains or achieving a high correlation with the Underlying Security. There is no assurance that a security that is deemed liquid when purchased will continue to be liquid. Market illiquidity may cause losses for the Fund.

Market Events Risk. The Fund’s investments are subject to changes in general economic conditions, general market fluctuations and the risks inherent in investment in securities and other financial instruments. Investment markets can be volatile and prices of investments can change substantially due to various factors including, but not limited to, economic growth or recession, changes in interest rates, inflation, changes in the actual or perceived creditworthiness of issuers, and general market liquidity. The Fund is subject to the risk that geopolitical events will disrupt securities and other financial markets and adversely affect global economies and markets. Local, regional or global events such as war, military conflicts, acts of terrorism, natural disasters, the spread of infectious illness or other public health issues, or other events could have a significant impact on the Fund and its investments. Continuing uncertainties regarding interest rates, rising inflation, political events, rising government debt in the U.S. and trade tensions also contribute to market volatility. Conflict, loss of life and disaster connected to ongoing armed conflict between Ukraine and Russia in Europe and between Israel and Hamas in the Middle East could have severe adverse effects on the related region, including significant adverse effects on the regional or global economies and the markets for certain securities. The U.S. and the European Union have imposed sanctions on certain Russian individuals and companies, including certain financial institutions, and have limited certain exports and imports to and from Russia. These conflicts have contributed to recent market volatility and may continue to do so.

Money Market Instrument Risk. The Fund may use a variety of money market instruments for cash management purposes, including money market funds, depositary accounts and repurchase agreements. Repurchase agreements are contracts in which a seller of securities agrees to buy the securities back at a specified time and price. Repurchase agreements may be subject to market and credit risk related to the collateral securing the repurchase agreement. Money market instruments may lose money.

New Fund Risk. The Fund is a recently organized management investment company with no operating history. As a result, prospective investors do not have a track record or history on which to base their investment decisions.

Non-Diversification Risk. Because the Fund is “non-diversified,” it may invest a greater percentage of its assets in the securities of a single issuer or a smaller number of issuers than if it was a diversified fund. As a result, a decline in the value of an investment in a single issuer or a smaller number of issuers could cause the Fund’s overall value to decline to a greater degree than if the Fund held a more diversified portfolio.

Trading Halt Risk. Although the Underlying Security’s shares are listed for trading on an exchange, there can be no assurance that an active trading market for such shares will be available at all times and the Exchange may halt trading of such shares in certain circumstances. A halt in trading in the Underlying Security’s shares is expected, in turn, to result in a halt in the trading in the Fund’s Shares. Trading in the Underlying Security’s and/or Fund’s Shares on the Exchange may be halted due to market conditions or for reasons that, in the view of the Exchange, make trading in the Underlying Security’s and/or Fund’s Shares inadvisable. In addition, trading in Underlying Security’s and/or Fund’s Shares on an exchange is subject to trading halts caused by extraordinary market volatility pursuant to exchange “circuit breaker” rules.” In the event of a trading halt for an extended period of time, the Fund may be unable to execute arrangements with swap counterparties that are necessary to implement the Fund’s investment strategy.

Operational Risk. The Fund is subject to risks arising from various operational factors, including, but not limited to, human error, processing and communication errors, errors of the Fund’s service providers, counterparties or other third-parties, failed or inadequate processes and technology or systems failures. The Fund relies on third-parties for a range of services, including custody. Any delay or failure relating to engaging or maintaining such service providers may affect the Fund’s ability to meet its investment objective. Although the Fund and the Fund’s investment advisor seek to reduce these operational risks through controls and procedures, there is no way to completely protect against such risks.

U.S. Government and U.S. Agency Obligations Risk. The Fund may invest in securities issued by the U.S. government or its agencies or instrumentalities. U.S. Government obligations include securities issued or guaranteed as to principal and interest by the U.S. Government, its agencies or instrumentalities, such as the U.S. Treasury. Payment of principal and interest on U.S. Government obligations may be backed by the full faith and credit of the United States or may be backed solely by the issuing or guaranteeing agency or instrumentality itself. In the latter case, the investor must look principally to the agency or instrumentality issuing or guaranteeing the obligation for ultimate repayment, which agency or instrumentality may be privately owned. There can be no assurance that the U.S. Government would provide financial support to its agencies or instrumentalities (including government-sponsored enterprises) where it is not obligated to do so.

Tax Risk. In order to qualify for the favorable tax treatment generally available to regulated investment companies, the Fund must satisfy certain diversification and other requirements. In particular, the Fund generally may not acquire a security if, as a result of the acquisition, more than 50% of the value of the Fund’s assets would be invested in (a) issuers in which the Fund has, in each case, invested more than 5% of the Fund’s assets and (b) issuers more than 10% of whose outstanding voting securities are owned by the Fund. The application of these requirements to certain investments (including swaps) that may be entered into by the Fund is unclear. In addition, the application of these requirements to the Fund’s investment objective is not clear, particularly because the Fund’s investment objective focuses on the performance of the stock of a single issuer. If the Fund were to fail to qualify as a regulated investment company, it would be taxed in the same manner as an ordinary corporation, and distributions to its shareholders would not be deductible by the Fund in computing its taxable income.

Performance information for the Fund is not included because the Fund has not completed a full calendar year of operations as of the date of this Prospectus. When such information is included, this section will provide some indication of the risks of investing in the Fund by showing changes in the Fund’s performance history from year to year and showing how the Fund’s average annual total returns compare with those of the Underlying Security and a broad measure of market performance. Although past performance of the Fund is no guarantee of how it will perform in the future, historical performance may give you some indication of the risks of investing in the Fund. Updated performance information will be available on the Fund’s website at https://www.defianceetfs.com.

The Fund seeks daily investment results, before fees and expenses, of two times (200%) the daily percentage change in the share price of Super Micro Computer, Inc. (Nasdaq: SMCI) The Fund does not seek to achieve its stated investment objective for a period other than a single trading day.

This table describes the fees and expenses that you may pay if you buy, hold, and sell shares of the Fund (“Shares”). You may pay other fees, such as brokerage commissions and other fees to financial intermediaries, which are not reflected in the table and Example below.

This Example is intended to help you compare the cost of investing in the Fund with the cost of investing in other funds. The Example assumes that you invest $10,000 in the Fund for the time periods indicated and then hold or redeem all of your Shares at the end of those periods. The Example also assumes that your investment has a 5% return each year and that the Fund’s operating expenses remain the same. The Example does not take into account brokerage commissions that you may pay on your purchases and sales of Shares. Although your actual costs may be higher or lower, based on these assumptions your costs would be:

The Fund pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when Shares are held in a taxable account. These costs, which are not reflected in total annual fund operating expenses or in the Example, affect the Fund’s performance. Because the Fund is newly organized, portfolio turnover information is not yet available.

The Fund is an actively managed exchange traded fund (“ETF”) that attempts to achieve two times (200%) the daily percentage change in the share price of the Underlying Security by entering into swap agreements on the Underlying Security. The Fund aims to achieve this daily percentage change for a single day, and not for any other period. A “single day” means the period “from the close of regular trading on one trading day to the close on the next trading day.”

The Fund will enter into one or more swap agreements with financial institutions for a specified period, which may range from one day to longer than a year. Through each swap agreement, the Fund and the financial institution will agree to exchange the return (or differentials in rates of return) earned or realized on the Underlying Security’s share price. The gross return (meaning the return before deducting any fees or expenses) to be exchanged or “swapped” between the parties is calculated with respect to a “notional amount,” (meaning the face amount of the instrument) e.g., the return on or change in value of a particular dollar amount representing the Underlying Security. In the event the Fund is unable to achieve sufficient swap exposure, the Fund may not always achieve investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Underlying Security, and may return substantially less during such periods.

At the end of each day, the Fund’s swaps are valued using market valuations and the Fund’s investment adviser rebalances the Fund’s holdings in an attempt to maintain leveraged exposure for the Fund equal to approximately 200% of the Underlying Security’s share price.

For examples of a hypothetical investment in the Fund, see “Additional Information About the Fund – Principal Investment Strategies” below.

Fund performance for periods greater than one single day is primarily (but not solely) a function of the following factors: a) the Underlying Security volatility; b) the Underlying Security’s performance; c) period of time; d) financing rates associated with leveraged exposure; and e) other Fund expenses.

The Fund will hold assets to serve as collateral for the Fund’s swap agreements. For those collateral holdings, the Fund may invest in (1) U.S. Government securities, such as bills, notes and bonds issued by the U.S. Treasury; (2) money market funds; (3) short term bond ETFs; and/or (4) corporate debt securities, such as commercial paper and other short-term unsecured promissory notes issued by businesses that are rated investment grade or of comparable quality.

To complement the Fund’s primary strategy of using swap agreements to achieve leveraged exposure, the Fund may employ listed options contracts as an additional tool to generate leverage on an as-needed basis. By incorporating listed options, such as call options, the Fund can gain leveraged exposure to the Underlying Security without relying solely on swaps. This flexibility allows the Fund to adjust its leverage strategy in response to market conditions, liquidity constraints, or other factors that may impact the availability or pricing of swap agreements. The use of options may help the Fund meet its daily investment objective more effectively under varying market conditions.

The Fund has adopted a policy to have at least 80% exposure to financial instruments with economic characteristics that should perform 2X the daily performance of the Underlying Security’s shares. The Fund is expected to allocate between 40% and 60% of its assets as collateral for swap agreements or as premiums for purchased options contracts.

The Fund is classified as “non-diversified” under the 1940 Act.

Because of daily rebalancing and the compounding of each day’s return over time, the return of the Fund for periods longer than a single day will be the result of each day’s returns compounded over the period, which will very likely differ from 200% of the return of the Underlying Security’s shares over the same period. The Fund will lose money if the Underlying Security’s performance is flat over time, and because of daily rebalancing, the Underlying Security’s shares’ volatility and the effects of compounding, the Fund may lose money over time while the Underlying Security’s performance increases over a period longer than a single day. As a consequence, investors should not plan to hold shares of the Fund unmonitored for periods longer than a single trading day.

Super Micro Computer, Inc. (“SMCI”)

SMCI designs and manufactures high-performance computer server solutions, storage systems, and networking devices for a diverse range of customers, including data centers, cloud computing providers, and enterprises. SMCI’s offerings encompass scalable and customizable hardware solutions for various workloads. SMCI is listed on the Nasdaq Global Select Market (“Nasdaq”). Per SMCI’s most recent Form 10-K filing, the aggregate market value of the common stock held by non-affiliates of SMCI (based on the last reported sale price of its common stock on December 31, 2022 on the Nasdaq Global Select Market) was approximately $3.8 billion.

SMCI is registered under the Securities Exchange Act of 1934, as amended (the “Exchange Act”). Information provided to or filed with the SEC by SMCI pursuant to the Exchange Act can be located by reference to the SEC file number 001-33383 through the SEC’s website at www.sec.gov. In addition, information regarding SMCI may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents.

This document relates only to the securities offered hereby and does not relate to the shares of SMCI or other securities of SMCI. The Fund has derived all disclosures contained in this document regarding SMCI from the publicly available documents. None of the Fund, the Trust, or the Adviser, or their respective affiliates has participated in the preparation of such publicly available offering documents or made any due diligence inquiry regarding such documents with respect to SMCI. None of the Fund, the Trust, or the Adviser, or their respective affiliates makes any representation that such publicly available documents or any other publicly available information regarding SMCI is accurate or complete. Furthermore, the Fund cannot give any assurance that all events occurring prior to the date hereof (including events that would affect the accuracy or completeness of the publicly available documents described above) that would affect the trading price of SMCI (and therefore the share price of SMCI at the time we price the securities) have been publicly disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events concerning SMCI could affect the value received with respect to the securities and therefore the value of the securities.

None of the Fund, the Trust, the Adviser, or their respective affiliates makes any representation to you as to the performance of SMCI.

NONE OF THE FUND, TIDAL TRUST II, AND TIDAL INVESTMENTS LLC ARE AFFILIATED WITH THE UNDERLYING SECURITY.

Due to the Fund’s investment strategy, the Fund’s investment exposure is concentrated in the same industry as that assigned to the Underlying Security. As of the date of the Prospectus, SMCI is assigned to the Technology Hardware, Storage & Peripherals  industry.

SMCI Risks. The Fund invests in swap contracts that are based on the share price of SMCI. This subjects the Fund to certain of the same risks as if it owned shares of SMCI, even though it does not. By virtue of the Fund’s investments in swap contracts that are based on the value of SMCI, the Fund may also be subject to the following risks:

Indirect Investment in SMCI Risk. SMCI is not affiliated with the Trust, the Fund, or the Adviser, or their respective affiliates and is not involved with this offering in any way and has no obligation to consider your Shares in taking any corporate actions that might affect the value of Shares. Investors in the Fund will not have voting rights and will not be able to influence management of SMCI but will be exposed to the performance of SMCI (the Underlying Security). Investors in the Fund will not have the right to receive dividends or other distributions or any other rights with respect to the Underlying Security but will be subject to declines in the performance of the Underlying Security.

SMCI Trading Risk. The trading price of SMCI may demonstrate volatility and wide fluctuations due to various factors inherent in the technology industry. Unlike some other sectors, the technology industry, including SMCI, is prone to significant price and volume fluctuations, occasionally unrelated to operational performance. Short sellers may also play a significant role in trading SMCI, impacting supply and demand dynamics and contributing to market price volatility. Moreover, external factors and public perception may disproportionately influence SMCI’s share price within the technology sector, with heightened public attention notwithstanding operational performance. Furthermore, SMCI, like other tech companies, may encounter securities class action litigation during periods of market volatility, potentially resulting in substantial costs and diverting management’s attention and resources. In the event of a trading halt for SMCI, trading in Shares of the Fund may be impacted, either temporarily or indefinitely.

SMCI Performance Risk. SMCI may fail to meet its publicly announced guidelines or other expectations about its business, which could cause the price of SMCI to decline. SMCI provides guidance regarding its expected financial and business performance, such as projections regarding sales and production, as well as anticipated future revenues, gross margins, profitability and cash flows. Correctly identifying key factors affecting business conditions and predicting future events is inherently an uncertain process, and the guidance SMCI provides may not ultimately be accurate and has in the past been inaccurate in certain respects, such as the timing of new product manufacturing ramps. The guidance is based on certain assumptions such as those relating to global and local economic conditions, anticipated production and sales volumes (which generally are not linear throughout a given period), average sales prices, supplier and commodity costs, and planned cost reductions. If SMCI’s guidance is not accurate or varies from actual results due to its inability to meet the assumptions or the impact on its financial performance that could occur as a result of various risks and uncertainties, the market value of common stock issued by SMCI could decline significantly.

Delisting Risk. SMCI recently announced that it received a notification letter from Nasdaq stating that SMCI is not in compliance with Nasdaq listing rule 5250(c)(1), which requires timely filing of reports with the U.S. Securities and Exchange Commission. The letter, dated September 17, 2024, was sent as a result of SMCI’s delay in filing its Annual Report on Form 10-K for the period ending June 30, 2024 (the “Form 10-K”). The Nasdaq notice has no immediate effect on the listing or trading of SMCI’s common stock on the Nasdaq Global Select Market; however, should SMCI fail to comply with the rule within required timelines it’s possible SMCI stock could be delisted which would prevent the Fund from continuing to operate.

Under the Nasdaq rules, SMCI has 60 days from the date of the notice either to file the Form 10-K or to submit a plan to Nasdaq to regain compliance with Nasdaq’s listing rules. If a plan is submitted and accepted, SMCI could be granted up to 180 days from the Form 10-K’s due date to regain compliance. If Nasdaq does not accept SMCI’s plan, then SMCI will have the opportunity to appeal that decision to a Nasdaq hearings panel.

Operational and Execution Risk. Adverse economic conditions may adversely affect SMCI’s business operations. Ongoing events in eastern Europe and the Taiwan Strait pose challenges and risks to SMCI, potentially impacting its business, financial condition, and operating results. Quarterly operating results have historically fluctuated and are likely to continue doing so in the future. Predicting revenue and margins for specific periods is challenging, and any revenue shortfall or margin decline may negatively impact SMCI’s operating results. As SMCI targets larger customers and sales opportunities, its customer base may become more concentrated, increasing costs, lowering margins, and exposing the company to inventory risks.

Strategic and Industry Risks. Failure to manage the expansion of international manufacturing capacity and business operations could harm SMCI’s business. Additionally, managing growth and expansion effectively is crucial for SMCI’s success. Expansion into markets outside the United States exposes SMCI to inherent risks associated with international business operations. Development of new products and enhancements to existing products is vital for SMCI’s growth; failure to predict or respond to emerging technological trends and changing customer needs may adversely affect its market share and operating results.

Legal and Regulatory Risks. SMCI is subject to complex and evolving laws and regulations concerning privacy, data protection, and other matters due to the nature of its products and services. Compliance with environmental, health, and safety laws and regulations is essential for SMCI due to its operations involving regulated materials. Failure to maintain effective internal control over financial reporting may lead to investor loss of confidence and decrease the market price of SMCI’s common stock.

Financial Risks. SMCI’s research and development expenditures are considerably higher than those of many competitors, impacting its financial performance. Future effective income tax rates could be affected by changes in operations and income among different geographic regions and changes in domestic and foreign income tax laws. Backlog does not significantly contribute to SMCI’s net sales in any quarter.

General Risks. SMCI’s products may not be perceived as supporting climate change mitigation efforts in the IT sector. Natural disaster events, including those related to climate change, may impact SMCI’s business and operations. Risks associated with the use of AI by SMCI’s workforce may arise. Expectations regarding environmental, social, and governance considerations expose SMCI to potential liabilities, reputational harm, and other unforeseen adverse effects on its business.

Single Issuer Risk. Issuer-specific attributes may cause an investment in the Fund to be more volatile than a traditional pooled investment which diversifies risk or the market generally. The value of the Fund, which focuses on an individual security, may be more volatile than a traditional pooled investment or the market as a whole and may perform differently from the value of a traditional pooled investment or the market as a whole. Additionally, the Fund will seek to employ its investment strategy as it relates to the underlying issuer regardless of whether there are significant corporate actions such as restructurings, enforcement activity, or acquisitions or periods adverse market, economic, or other conditions and will not seek to take temporary defensive positions during such periods.

Compounding and Market Volatility Risk. The Fund has a daily leveraged investment objective and the Fund’s performance for periods greater than a trading day will be the result of each day’s returns compounded over the period, which is very likely to differ from two times (200%) the Underlying Security’s performance, before the Fund’s management fee and other expenses. Compounding affects all investments but has a more significant impact on funds that aim to replicate leveraged daily returns and that rebalance daily. For the Fund aiming to replicate two times the daily performance of an Underlying Security, if adverse daily performance of the Underlying Security reduces the amount of a shareholder’s investment, any further adverse daily performance will lead to a smaller dollar loss because the shareholder’s investment had already been reduced by the prior adverse performance. Equally, however, if favorable daily performance of the Underlying Security increases the amount of a shareholder’s investment, the dollar amount lost due to future adverse performance will increase because the shareholder’s investment has increased.

The effect of compounding becomes more pronounced as the Underlying Security’s volatility and the holding period increase. The impact of compounding will impact each shareholder differently depending on the period of time an investment in the Fund is held and the volatility of the Underlying Security during a shareholder’s holding period of an investment in the Fund.

The chart below provides examples of how the Underlying Security’s volatility could affect the Fund’s performance. The chart illustrates the impact of two factors that affect the Fund’s performance – the Underlying Security’s volatility and the Underlying Security’s performance. The Underlying Security’s performance shows the percentage change in the share price of the Underlying Security over the specified time period, while the Underlying Security’s volatility is a statistical measure of the magnitude of fluctuations in the returns during that time period. As illustrated below, even if the Underlying Security’s performance over two equal time periods is identical, different Underlying Security volatility (i.e., in magnitude of fluctuations in the share price of the Underlying Security) during the two time periods could result in drastically different Fund performance for the two time periods because of compounding daily returns during the time periods.

Fund performance for periods greater than one single day can be estimated given any set of assumptions for the following factors: a) the Underlying Security volatility; b) the Underlying Security performance; c) period of time; d) financing rates associated with leveraged exposure; and e) other Fund expenses. The chart shows estimated Fund returns for a number of combinations of Underlying Security volatility and Underlying Security performance over a one-year period. Performance shown in the chart assumes that: (i) there were no Fund expenses; (ii) borrowing/lending rates (to obtain leveraged exposure) of 0%. If Fund expenses and/or actual borrowing/lending rates were reflected the estimated returns would be different than those shown. Particularly during periods of higher Underlying Security volatility, compounding will cause results for periods longer than a trading day to vary from two times (200%) the performance of the Underlying Security.

As shown in the chart below, the Fund would be expected to lose 6.1% if there was no change in the share price of the Underlying Security over a one-year period during which the Underlying Security experienced annualized volatility of 25%. If the Underlying Security’s annualized volatility were to rise to 75%, the hypothetical loss for a one-year period would widen to approximately -43%. At higher ranges of volatility, there is a chance of a significant loss of value in the Fund, even if there were no change in the share price of the Underlying Security. For instance, if the Underlying Security’s annualized volatility is 100%, the Fund would be expected to lose 63.2% of its value, even if the cumulative Underlying Security change in the share price of the Underlying Security for the year was 0%.

Areas shaded red (or dark gray) represent those scenarios where the Fund can be expected to return less than two times (200%) the performance of the Underlying Security and those shaded green (or light gray) represent those scenarios where the Fund can be expected to return more than two times (200%) the performance of the Underlying Security. The Fund’s actual performance may be significantly better or worse than the performance shown below as a result of any of the factors discussed above or in the “Daily Correlation/Tracking Risk” below.

The Underlying Security’s annualized historical volatility rate for the five-year period ended September 30, 2024 was 64.89%. The Underlying Security’s highest volatility rate for any one calendar year during this period was 92.08% and volatility for a shorter period of time may have been substantially higher. The Underlying Security’s annualized performance during this period was 120.91%. Historical Underlying Security volatility and performance are not indications of what Underlying Security volatility and performance will be in the future.

Daily Correlation/Tracking Risk. There is no guarantee that the Fund will achieve a high degree of leveraged correlation to the Underlying Security and therefore achieve its daily leveraged investment objective. To achieve a high degree of leveraged correlation with the Underlying Security, the Fund seeks to rebalance its portfolio daily to keep exposure consistent with its daily leveraged investment objective. The possibility of the Fund being materially over- or under-exposed to the Underlying Security increases on days when the Underlying Security is volatile near the close of the trading day. Market disruptions, regulatory restrictions and extreme volatility will also adversely affect the Fund’s ability to adjust exposure to the required levels. If there is a significant intra-day market event and/or the Underlying Security experiences a significant increase or decline, the Fund may not meet its investment objective, be able to rebalance its portfolio appropriately, or may experience significant premiums or discounts, or widened bid-ask spreads.

The Fund may have difficulty achieving its daily leveraged investment objective due to fees, expenses, transaction costs, financing costs related to the use of derivatives, investments in ETFs, directly or indirectly, income items, valuation methodology, accounting standards and disruptions or illiquidity in the markets for the securities or derivatives held by the Fund. The Fund may be subject to large movements of assets into and out of the Fund, potentially resulting in the Fund being over- or under-exposed to the Underlying Security. The Fund may take or refrain from taking positions to improve the tax efficiency or to comply with various regulatory restrictions, either of which may negatively impact the Fund’s leveraged correlation to the Underlying Security.

Leverage Risk. The Fund obtains investment exposure in excess of its net assets by utilizing leverage and may lose more money in market conditions that are adverse to its investment objective than a fund that does not utilize leverage. An investment in the Fund is exposed to the risk that a decline in the daily performance of the Underlying Security will be magnified. This means that an investment in the Fund will be reduced by an amount equal to 2% for every 1% daily decline in the share price of the Underlying Security, not including the costs of financing leverage and other operating expenses, which would further reduce its value. The Fund could theoretically lose an amount greater than its net assets in the event the share price of the Underlying Security declines more than 50%. Leverage will also have the effect of magnifying any differences in the Fund performance’s correlation with the Underlying Security’s share price.

Derivatives Risk. Derivatives are financial instruments that derive value from the underlying reference asset or assets, such as stocks, bonds, or funds (including ETFs), interest rates or indexes. The Fund’s investments in derivatives may pose risks in addition to, and greater than, those associated with directly investing in securities or other ordinary investments, including risk related to the market, leverage, imperfect daily correlations with underlying investments or the Fund’s other portfolio holdings, higher price volatility, lack of availability, counterparty risk, liquidity, valuation and legal restrictions. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with ordinary portfolio securities transactions. The use of derivatives may result in larger losses or smaller gains than directly investing in securities. When the Fund uses derivatives, there may be imperfect correlation between the share price of the Underlying Security and the derivative, which may prevent the Fund from achieving its investment objective. Because derivatives often require only a limited initial investment, the use of derivatives may expose the Fund to losses in excess of those amounts initially invested.

The Fund will be subject to regulatory constraints relating to level of value at risk that the Fund may incur through its derivative portfolio. To the extent the Fund exceeds these regulatory thresholds over an extended period, the Fund may determine that it is necessary to make adjustments to the Fund’s investment strategy, including the desired daily leveraged performance for the Fund.

In addition, the Fund’s investments in derivatives are subject to the following risks:

Swap Agreements. The use of swap transactions is a highly specialized activity, which involves investment techniques and risks different from those associated with ordinary portfolio securities transactions. Whether the Fund will be successful in using swap agreements to achieve its investment goal depends on the ability of the Adviser to structure such swap agreements in accordance with the Fund’s investment objective and to identify counterparties for those swap agreements. If the Adviser is unable to enter into swap agreements that provide leveraged exposure to the Underlying Security, the Fund may not meet its stated investment objective. Additionally, any financing, borrowing or other costs associated with using swap transactions may also have the effect of lowering the Fund’s return.

The swap agreements in which the Fund invests are generally traded in the over-the-counter market, which generally has less transparency than exchange-traded derivatives instruments. In a standard swap transaction, two parties agree to exchange the return (or differentials in rates of return) earned or realized on particular predetermined reference assets or underlying securities or instruments. The gross return to be exchanged or swapped between the parties is calculated based on a notional amount or the return on or change in value of a particular dollar amount invested in a basket of securities.

If the Underlying Security has a dramatic move that causes a material decline in the Fund’s net assets, the terms of a swap agreement between the Fund and its counterparty may permit the counterparty to immediately close out the swap transaction with the Fund. In that event, the Fund may be unable to enter into another swap agreement or invest in other derivatives to achieve exposure consistent with the Fund’s investment objective. This may prevent the Fund from achieving its leveraged investment objective, even if the Underlying Security later reverses all or a portion of its movement.

Options Contracts. The use of options contracts involves investment strategies and risks different from those associated with ordinary portfolio securities transactions. The prices of options are volatile and are influenced by, among other things, actual and anticipated changes in the value of the underlying instrument, including the anticipated volatility, which are affected by fiscal and monetary policies and by national and international political, changes in the actual or implied volatility or the reference asset, the time remaining until the expiration of the option contract and economic events. The value of the options contracts in which the Fund invests are substantially influenced by the value of the Underlying Security. The Fund may experience substantial downside from specific option positions and certain option positions held by the Fund may expire worthless. The options held by the Fund are exercisable at the strike price on their expiration date. As an option approaches its expiration date, its value typically increasingly moves with the value of the underlying instrument. However, prior to such date, the value of an option generally does not increase or decrease at the same rate as the underlying instrument. There may at times be an imperfect correlation between the movement in values options contracts and the underlying instrument, and there may at times not be a liquid secondary market for certain options contracts. The value of the options held by the Fund will be determined based on market quotations or other recognized pricing methods. Additionally, as the Fund intends to continuously maintain indirect exposure to the Underlying Security through the use of options contracts, as the options contracts it holds are exercised or expire it will enter into new options contracts, a practice referred to as “rolling.” If the expiring options contracts do not generate proceeds enough to cover the cost of entering into new options contracts, the Fund may experience losses. The use of options to generate leverage introduces additional risks, including significant potential losses if the market moves unfavorably. The leverage inherent in options can amplify both gains and losses, leading to increased volatility and potential for substantial losses, particularly in periods of market uncertainty or low liquidity. Additionally, the Fund may incur losses if the value of the Underlying Security moves against its positions, potentially resulting in a complete loss of the premium paid.

Counterparty Risk. The Fund is subject to counterparty risk by virtue of its investments in derivatives which exposes the Fund to the risk that the counterparty will not fulfill its obligation to the Fund. Counterparty risk may arise because of the counterparty’s financial condition (i.e., financial difficulties, bankruptcy, or insolvency), market activities and developments, or other reasons, whether foreseen or not. A counterparty’s inability to fulfill its obligation may result in significant financial loss to the Fund and the Fund may be unable to recover its investment from such counterparty or may obtain a limited and/or delayed recovery.

In addition, the Fund may enter into swap agreements with a limited number of counterparties, which may increase the Fund’s exposure to counterparty credit risk. Further, there is a risk that no suitable counterparties will be willing to enter into, or continue to enter into, transactions with the Fund and, as a result, the Fund may not be able to achieve its investment objective.

Intra-Day Investment Risk. The Fund seeks investment results from the close of the market on a given trading day until the close of the market on the subsequent trading day. The exact exposure of an investment in the Fund intraday in the secondary market is a function of the difference between the share price of the Underlying Security at the market close on the first trading day and the share price of the Underlying Security at the time of purchase. If the share price of the Underlying Security rises, the Fund’s net assets will rise by approximately twice the amount as the Fund’s exposure. Conversely, if the share price of the Underlying Security declines, the Fund’s net assets will decline by approximately two times the amount as the Fund’s exposure. Thus, an investor that purchases Shares intra-day may experience performance that is greater than, or less than, the Fund’s stated leveraged performance of the Underlying Security.

If there is a significant intra-day market event and/or the securities of the Underlying Security experience a significant increase or decrease, the Fund may not meet its investment objective or rebalance its portfolio appropriately.

Fixed Income Securities Risk. When the Fund invests in fixed income securities, the value of your investment in the Fund will fluctuate with changes in interest rates. Typically, a rise in interest rates causes a decline in the value of fixed income securities owned by the Fund. In general, the market price of fixed income securities with longer maturities will increase or decrease more in response to changes in interest rates than shorter-term securities. Other risk factors include credit risk (the debtor may default), extension risk (an issuer may exercise its right to repay principal on a fixed rate obligation held by the Fund later than expected), and prepayment risk (the debtor may pay its obligation early, reducing the amount of interest payments). These risks could affect the value of a particular investment by the Fund, possibly causing the Fund’s Share price and total return to be reduced and fluctuate more than other types of investments.

Rebalancing Risk. If for any reason the Fund is unable to rebalance all or a portion of its portfolio, or if all or a portion of the portfolio is rebalanced incorrectly, the Fund’s investment exposure may not be consistent with the Fund’s investment objective. In these instances, the Fund may have investment exposure to the Underlying Security that is significantly greater or less than its stated investment objective. As a result, the Fund may be exposed to leverage risk because it had not been properly rebalanced and may not achieve its investment objective.

ETF Risks.

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

Cash Redemption Risk. The Fund’s investment strategy may require it to redeem Shares for cash or to otherwise include cash as part of its redemption proceeds. For example, the Fund may not be able to redeem in-kind certain securities held by the Fund (e.g., derivative instruments). In such a case, the Fund may be required to sell or unwind portfolio investments to obtain the cash needed to distribute redemption proceeds. This may cause the Fund to recognize a capital gain that it might not have recognized if it had made a redemption in-kind. As a result, the Fund may pay out higher annual capital gain distributions than if the in-kind redemption process was used. By paying out higher annual capital gain distributions, investors may be subjected to increased capital gains taxes. The costs associated with cash redemptions may include brokerage costs that the Fund may not have incurred if it had made the redemptions in-kind. These costs could be imposed on the Fund, decreasing its NAV, to the extent these costs are not offset by a transaction fee payable by an authorized participant.

Costs of Buying or Selling Shares. Due to the costs of buying or selling Shares, including brokerage commissions imposed by brokers and bid-ask spreads, frequent trading of Shares may significantly reduce investment results and an investment in Shares may not be advisable for investors who anticipate regularly making small investments.

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

Trading. Although Shares are listed on a national securities exchange, such as The Nasdaq Stock Market, LLC (the “Exchange”), and may be traded on U.S. exchanges other than the Exchange, there can be no assurance that Shares will trade with any volume, or at all, on any stock exchange. In stressed market conditions, the liquidity of Shares may begin to mirror the liquidity of the Fund’s underlying portfolio holdings, which can be significantly less liquid than Shares. This adverse effect on liquidity for the Fund’s shares may lead to wider bid-ask spreads and differences between the market price of the Fund’s shares and the underlying value of the shares.

Liquidity Risk. In certain circumstances, such as the disruption of the orderly markets for the financial instruments in which the Fund invests, the Fund might not be able to acquire or dispose of certain holdings quickly or at prices that represent true market value in the judgment of the Adviser. Markets for the financial instruments in which the Fund invests may be disrupted by a number of events, including but not limited to economic crises, health crises, natural disasters, excessive volatility, new legislation, or regulatory changes inside or outside of the U.S. These situations may have an impact on the liquidity of the Fund’s own shares.”

High Portfolio Turnover Risk. Daily rebalancing of the Fund’s holdings pursuant to its daily investment objective causes a much greater number of portfolio transactions when compared to most ETFs. Additionally, active market trading of the Fund’s Shares on exchanges (such as the Exchange), could cause more frequent creation and redemption activities, which could increase the number of portfolio transactions. Frequent and active trading may lead to higher transaction costs because of increased broker commissions resulting from such transactions. In addition, there is the possibility of significantly increased short-term capital gains (which will be taxable to shareholders as ordinary income when distributed to them). The Fund calculates portfolio turnover without including the short-term cash instruments or derivative transactions that comprise the majority of the Fund’s trading. As such, if the Fund’s extensive use of derivative instruments were reflected, the calculated portfolio turnover rate would be significantly higher.

Tracking Error Risk. Tracking error is the divergence of the Fund’s performance from that of its investment objective which aims to replicate two times the daily percentage change in the price of the Underlying Security. Tracking error may occur for a number of reasons. Tracking error may occur because of transaction costs, the Fund’s holding of cash, differences in accrual of dividends, being under- or overexposed to the Underlying Security or the need to meet new or existing regulatory requirements. Tracking error risk may be heightened during times of market volatility or other unusual market conditions such as market disruptions. The Fund may be required to deviate from its investment objectives, and therefore experience tracking error, as a result of market restrictions or other legal reasons, including regulatory limits or other restrictions on securities that may be purchased by the Adviser and its affiliates.

Liquidity Risk. Some securities held by the Fund may be difficult to sell or be illiquid, particularly during times of market turmoil. Markets for securities or financial instruments could be disrupted by a number of events, including, but not limited to, an economic crisis, natural disasters, epidemics/pandemics, new legislation or regulatory changes inside or outside the United States. Illiquid securities may be difficult to value, especially in changing or volatile markets. If the Fund is forced to sell an illiquid security at an unfavorable time or price, the Fund may be adversely impacted. Certain market conditions or restrictions may prevent the Fund from limiting losses, realizing gains or achieving a high correlation with the Underlying Security. There is no assurance that a security that is deemed liquid when purchased will continue to be liquid. Market illiquidity may cause losses for the Fund.

Market Events Risk. The Fund’s investments are subject to changes in general economic conditions, general market fluctuations and the risks inherent in investment in securities and other financial instruments. Investment markets can be volatile and prices of investments can change substantially due to various factors including, but not limited to, economic growth or recession, changes in interest rates, inflation, changes in the actual or perceived creditworthiness of issuers, and general market liquidity. The Fund is subject to the risk that geopolitical events will disrupt securities and other financial markets and adversely affect global economies and markets. Local, regional or global events such as war, military conflicts, acts of terrorism, natural disasters, the spread of infectious illness or other public health issues, or other events could have a significant impact on the Fund and its investments. Continuing uncertainties regarding interest rates, rising inflation, political events, rising government debt in the U.S. and trade tensions also contribute to market volatility. Conflict, loss of life and disaster connected to ongoing armed conflict between Ukraine and Russia in Europe and between Israel and Hamas in the Middle East could have severe adverse effects on the related region, including significant adverse effects on the regional or global economies and the markets for certain securities. The U.S. and the European Union have imposed sanctions on certain Russian individuals and companies, including certain financial institutions, and have limited certain exports and imports to and from Russia. These conflicts have contributed to recent market volatility and may continue to do so.

Money Market Instrument Risk. The Fund may use a variety of money market instruments for cash management purposes, including money market funds, depositary accounts and repurchase agreements. Repurchase agreements are contracts in which a seller of securities agrees to buy the securities back at a specified time and price. Repurchase agreements may be subject to market and credit risk related to the collateral securing the repurchase agreement. Money market instruments may lose money.

New Fund Risk. The Fund is a recently organized management investment company with no operating history. As a result, prospective investors do not have a track record or history on which to base their investment decisions.

Non-Diversification Risk. Because the Fund is “non-diversified,” it may invest a greater percentage of its assets in the securities of a single issuer or a smaller number of issuers than if it was a diversified fund. As a result, a decline in the value of an investment in a single issuer or a smaller number of issuers could cause the Fund’s overall value to decline to a greater degree than if the Fund held a more diversified portfolio.

Trading Halt Risk. Although the Underlying Security’s shares are listed for trading on an exchange, there can be no assurance that an active trading market for such shares will be available at all times and the Exchange may halt trading of such shares in certain circumstances. A halt in trading in the Underlying Security’s shares is expected, in turn, to result in a halt in the trading in the Fund’s Shares. Trading in the Underlying Security’s and/or Fund’s Shares on the Exchange may be halted due to market conditions or for reasons that, in the view of the Exchange, make trading in the Underlying Security’s and/or Fund’s Shares inadvisable. In addition, trading in Underlying Security’s and/or Fund’s Shares on an exchange is subject to trading halts caused by extraordinary market volatility pursuant to exchange “circuit breaker” rules.” In the event of a trading halt for an extended period of time, the Fund may be unable to execute arrangements with swap counterparties that are necessary to implement the Fund’s investment strategy.

Operational Risk. The Fund is subject to risks arising from various operational factors, including, but not limited to, human error, processing and communication errors, errors of the Fund’s service providers, counterparties or other third-parties, failed or inadequate processes and technology or systems failures. The Fund relies on third-parties for a range of services, including custody. Any delay or failure relating to engaging or maintaining such service providers may affect the Fund’s ability to meet its investment objective. Although the Fund and the Fund’s investment advisor seek to reduce these operational risks through controls and procedures, there is no way to completely protect against such risks.

U.S. Government and U.S. Agency Obligations Risk. The Fund may invest in securities issued by the U.S. government or its agencies or instrumentalities. U.S. Government obligations include securities issued or guaranteed as to principal and interest by the U.S. Government, its agencies or instrumentalities, such as the U.S. Treasury. Payment of principal and interest on U.S. Government obligations may be backed by the full faith and credit of the United States or may be backed solely by the issuing or guaranteeing agency or instrumentality itself. In the latter case, the investor must look principally to the agency or instrumentality issuing or guaranteeing the obligation for ultimate repayment, which agency or instrumentality may be privately owned. There can be no assurance that the U.S. Government would provide financial support to its agencies or instrumentalities (including government-sponsored enterprises) where it is not obligated to do so.

Tax Risk. In order to qualify for the favorable tax treatment generally available to regulated investment companies, the Fund must satisfy certain diversification and other requirements. In particular, the Fund generally may not acquire a security if, as a result of the acquisition, more than 50% of the value of the Fund’s assets would be invested in (a) issuers in which the Fund has, in each case, invested more than 5% of the Fund’s assets and (b) issuers more than 10% of whose outstanding voting securities are owned by the Fund. The application of these requirements to certain investments (including swaps) that may be entered into by the Fund is unclear. In addition, the application of these requirements to the Fund’s investment objective is not clear, particularly because the Fund’s investment objective focuses on the performance of the stock of a single issuer. If the Fund were to fail to qualify as a regulated investment company, it would be taxed in the same manner as an ordinary corporation, and distributions to its shareholders would not be deductible by the Fund in computing its taxable income.

Performance information for the Fund is not included because the Fund has not completed a full calendar year of operations as of the date of this Prospectus. When such information is included, this section will provide some indication of the risks of investing in the Fund by showing changes in the Fund’s performance history from year to year and showing how the Fund’s average annual total returns compare with those of the Underlying Security and a broad measure of market performance. Although past performance of the Fund is no guarantee of how it will perform in the future, historical performance may give you some indication of the risks of investing in the Fund. Updated performance information will be available on the Fund’s website at https://www.defianceetfs.com.