NYSE PICKENS OIL RESPONSE ETF (BOON) Exchange: NYSE ARCA

The Fund uses a “passive management” (or indexing) approach to track the performance, before fees and expenses, of the Index. As described in more detail below, the Index employs a proprietary “oil response” strategy that seeks to identify companies whose performance is positively correlated with changes (increases or decreases) in the price of ICE Brent Crude Oil Futures (“Brent Crude”), a commonly referenced crude oil benchmark, and that reflect a broader universe of energy-intensive industries than traditional “energy” indexes. The Index is owned and administered by ICE Data Indices, LLC (“IDI”), an affiliate of the New York Stock Exchange (“NYSE”), and was created based on a methodology licensed from and developed by TriLine Index Solutions, LLC, the Fund’s investment adviser (the “Adviser”), which is indirectly controlled by T. Boone Pickens. NYSE Pickens Oil Response Index The Index is a rules-based, equal-weighted index of U.S.-listed common stocks of companies in industries that are energy intensive and whose performance has consistently demonstrated a high, positive correlation to changes in the price of Brent Crude. Industries eligible for inclusion in the Index include traditional upstream energy producers (supply-side), as well as energy consumers (demand-side) for which rising demand for energy may signal an opportunity for growth in revenue and/or profit. Companies that are energy producers (supply-side) include those in the Exploration & Production, Oil Services, Refiners, and Renewables industries. Companies that are energy consumers (demand-side) may be in a variety of sectors and include those in industries such as Aerospace & Defense, Chemicals, Homebuilding, Metal Fabrication, Transportation, and Water industries. Construction of the Index begins with the 1,000 largest U.S.-listed common stocks by market capitalization, screened to keep only companies with a minimum market capitalization of $2 billion, with average daily trading value of at least $10 million for the previous six-month period, and having been listed for at least five years (the “Index Universe”). Each security in the Index Universe then undergoes a correlation analysis of its total returns to the price return of Brent Crude over a variety of time periods from the most recent three months up to and including the last five years. Only those securities in the Index Universe whose positive correlation is in the top 40% for all time periods analyzed are eligible for inclusion in the Index. Such remaining securities are then screened against a proprietary list of energy-intensive industries, and companies in such energy-intensive industries comprise the Index (the “Index Constituents”). The Adviser expects that the Index will generally have significant exposure to companies in the energy, industrials, and materials sectors. The Index Constituents are equally-weighted at the time of each reconstitution and rebalance of the Index. The Index is reconstituted (i.e., Index Constituents are added or deleted and weights are reset according to the Index rules) annually and rebalanced (i.e., weights are reset according to the Index rules, but no securities are added or deleted) quarterly. As of February 28, 2019, the Index was comprised of 81 Index Constituents. The Fund’s Investment Strategy The Fund attempts to invest all, or substantially all, of its assets in the component securities that make up the Index. Under normal circumstances, at least 80% of the Fund’s total assets (exclusive of any collateral held from securities lending) will be invested in the component securities of the Index. The Adviser expects that, over time, the correlation between the Fund’s performance and that of the Index, before fees and expenses, will be 95% or better. The Fund will generally use a “replication” strategy to achieve its investment objective, meaning the Fund generally will invest in all of the component securities of the Index in approximately the same proportion as in the Index. However, the Fund may use a “representative sampling” strategy, meaning it may invest in a sample of the securities in the Index whose risk, return and other characteristics closely resemble the risk, return and other characteristics of the Index as a whole, when the Fund’s sub-adviser believes it is in the best interests of the Fund (e.g., when replicating the Index involves practical difficulties or substantial costs, an Index constituent becomes temporarily illiquid, unavailable, or less liquid, or as a result of legal restrictions or limitations that apply to the Fund but not to the Index). The Fund generally may invest up to 20% of its total assets (exclusive of any collateral held from securities lending) in securities or other investments not included in the Index, but which the Fund’s sub-adviser believes will help the Fund track the Index. For example, the Fund may invest in securities that are not components of the Index to reflect various corporate actions and other changes to the Index (such as reconstitutions, additions, and deletions). To the extent the Index concentrates (i.e., holds more than 25% of its total assets) in the securities of a particular industry or group of related industries, the Fund will concentrate its investments to approximately the same extent as the Index. As of February 28, 2019, the Index was concentrated (i.e., more than 25% of the Fund’s assets were invested) in the Energy Exploration & Production group of industries.