STRATEGY SHARES ECOLOGICAL STRATEGY ETF 1 (HECO) Exchange: NYSE ARCA

DELISTED - The Fund is an actively managed exchange-traded fund (“ETF”) and, under normal conditions, will invest at least 80% of its net assets (plus borrowings for investment purposes), directly or indirectly through mutual funds and exchange traded funds (“ETFs”), in the equity and fixed income securities of ecologically-focused companies and/or green bonds. “Green” bonds are bonds whose proceeds are used principally for climate change mitigation, climate adaptation or other environmentally beneficial projects, such as, but not limited to, the development of clean, sustainable or renewable energy sources, commercial and industrial energy efficiency, or conservation of natural resources. The Fund may also invest up to 20% of its net assets in cash and cash equivalents including U.S. Government securities.   The Fund may invest in domestic and foreign securities of companies of any market capitalization. The Fund does not limit its investments to a particular credit quality and may invest in below investment grade securities (commonly referred to as “junk”) without limitation. Below investment grade securities are those rated below Baa3 by Moody’s Investor Services or equivalently by another nationally recognized statistical rating organization as well as non-rated securities. The Fund may invest in securities of any maturity or duration. Duration is a measure used to determine the sensitivity of a security’s price to changes in interest rates. The longer a security’s duration, the more sensitive it will be to changes in interest rates. For example, if a bond has a duration of 5 years, a 1% rise in rates would result in a 5% decline in price. If a bond has a duration of 10 years, a 1% rise in interest rates would result in a 10% decline in price.   The Ecological Component   The Sub-Advisor will apply the following ecologically-focused criteria to identify eligible securities. Ecologically-focused companies are companies that have positioned their business to respond to increased environmental legislation, cultural shifts towards environmentally conscious consumption, and capital investments in environmentally oriented projects. These companies include, but are not limited to, all companies that are components of one or more well-recognized environmentally-focused indices (such as the Dow Jones Sustainability Indexes and the MSCI Global Green Building Index).   The Fund will also invest in ecologically-focused companies which are not included in a well-recognized environmentally-focused index but generate at least one-third of their revenues from activities aligned with one or more of the following environmental themes (“Environmental Themes”):   • Alternative renewable power such as solar, wind, geothermal, hydro or biomass;   • Alternative renewable fuel such as biofuel, biomass or hydrogen;   • Alternative engines such as electric, fly wheel or micro turbines;   • Energy efficiency such as energy efficient building materials, power, lighting, heating, or fuel;   • Resource conservation/healthier use of resources such as recycling or renewable materials; and   • Healthy lifestyle such as pollution control or organic foods.   A company that is not included in a well-recognized environmentally-focused index or does not generate one-third of its revenue from activities aligned with one or more Environmental Themes shall also be considered an ecologically-focused company if the Advisor believes that environmentally conscious trends, such as a stronger demand for chemical-free cleaning and farming, recycling, alternative fuel and energy, energy efficiency, pollution control, or environmental cleanup/restoration, will positively impact that company’s future revenue. Ecologically-focused companies also include those companies that the Advisor believes demonstrate sustainable environmental practices. Sustainable environmental practices include, but are not limited to, demonstrated progress in:   • Improving energy and resource efficiency;   • Reducing emissions from business operations;   • Financial and operational support of renewable materials and less polluted energy sources; or   • Using or promoting the use of efficient buildings (measured by such labels as LEED or Energy Star).   The strategy of investing in ecologically-focused companies may result in the Fund investing greater than 25% of its total assets in one or more market sectors (“Sectors”). A Sector is a large grouping of companies operating within the market that share similar characteristics. Sectors are comprised of multiple individual industries. The Fund will not invest more than 25% of its total assets in an individual industry.   The Tactical Component   The allocation of the Fund’s assets to either equity securities or fixed income securities may range from 0% to 100%. The Fund seeks to be opportunistic during market rallies by increasing its allocation to equity securities and to move into defensive positions during market declines by increasing its fixed income, cash and cash equivalents holdings. The Fund’s allocation based on the following three tactical strategies:   • Trend Following --- The trend following models seek to identify strong Sectors to buy and weak Sectors to sell. Trend following is based on the idea that strong areas of the market will remain strong and weak areas will remain weak.   • Mean Reversion --- The mean reversion models look for strong Sectors that appear overbought to sell and weak Sectors that appear oversold to buy. Mean reversion is based on the idea that market Sectors often become overextended on the upside and downside before ultimately snapping back to equilibrium.   • Intermarket Analysis --- These models will analyze market Sectors that are correlated or uncorrelated and look for divergences. These divergences often signal major market turning points.   The Fund actively trades its portfolio securities in an attempt to achieve its investment objective which may lead to higher transaction costs that may affect the Fund’s performance.