JPMORGAN MANAGED FUTURES STRATEGY ETF (JPMF) Exchange: NYSE ARCA

DELISTED - Through the adviser’s systematic investment process, the Fund seeks to achieve its investment objective by investing globally to exploit opportunities across a broad range of asset classes including, but not limited to, equities, fixed income, currency and commodities based on the adviser’s assessment of their attractiveness. Within these strategies, the adviser believes it has identified (and will continue to identify) a set of investment return sources that have a low correlation to each other and to traditional markets and have distinct risk and return profiles (each a “return factor”). Under normal market conditions, the Fund employs the Managed Futures strategy to access certain return factors. Each return factor represents a potential source of investment return that results from, among other things, assuming a risk relating to the return factors described below or taking advantage of a behavioral bias. For example, a strategy relating to a momentum return factor would seek to exploit a behavioral bias present in the market, in which investors tend to purchase securities that have recently performed well, thereby helping to contribute to continued positive price movement, and sell securities that have recently performed poorly, thereby helping to contribute to continued negative price movement. The adviser believes that, in general, the Fund’s investment returns are attributable to the individual contributions of the various return factors. By employing this return factor based approach, the Fund seeks to provide positive total returns over time while maintaining a relatively low correlation with traditional markets. The exposure to individual return factors will vary based on the market opportunity of the individual return factors. For example, the return factors that the adviser may utilize include, but are not limited to, the following: Momentum — These strategies seek to capture the tendency that an asset’s recent performance based on its price will continue in the near future. The Fund seeks to choose investments that have performed relatively well over those that have underperformed over the medium-term. The Fund will implement the momentum return factor in the following ways: Looking at the relative value of prices of commodities and developed market currencies over time. The Fund intends to invest in futures or forward contracts to hold the best opportunities long while also taking short positions in the worst opportunities within these asset classes. Looking across developed market fixed income, developed market equity indices and international (including emerging market) commodities, the Fund seeks to utilize futures contracts to exploit price momentum trends across the asset classes. At any particular time, the Fund may hold only long or only short futures in a particular asset class as part of this strategy. Carry Trades — In the carry strategies, the Fund seeks to take a short position in a low yielding instrument while also taking a long position in another instrument that is higher yielding. The strategies seek to capture the tendency for higher yielding assets to provide higher returns than lower-yielding assets. The Fund implements these strategies through derivatives instead of holding long and shorting securities physically. The Fund uses the following asset classes in implementing this strategy: Fixed Income — the Fund seeks to benefit from differences in the yields of interest rates, caused by uncertainty in interest rates. The Fund invests in instruments with higher interest rate yields and takes short positions in those with lower yields. Currency — the Fund seeks to benefit from differences in the relative yields of various currencies. The Fund invests in higher yielding currencies and takes short positions in those with lower yields. Commodities — the Fund seeks to benefit from differences in the price of commodities futures contracts trading below the expected market price at contract maturity and those trading above the expected market price at contract maturity.For example, the Fund may invest in the long-end of the government bond markets with the highest inflation adjusted yields and takes a short position in the long-end of the government bond markets with the lowest inflation adjusted yields. As an alternative example, the Fund may seek to exploit supply and demand imbalances that occur in a given commodity market by utilizing long and short exposures achieved through different derivative instruments. Not all return factors will necessarily be utilized at one time, and additional return factors may be identified over time. The Fund will generally invest its assets globally to gain exposure, either directly or through the use of derivatives, to equity securities (across market capitalizations) in developed markets, debt securities (including below investment grade or high yield securities), commodities (through its subsidiary as described below) and currencies (including in emerging markets). The Fund may invest in fixed income securities of any average weighted maturity or duration. The Fund may use both long and short positions (achieved primarily through the use of derivative instruments). The Fund may maintain a total net long market exposure, meaning that the Fund’s long exposure will be greater than its short exposure; neutral aggregate exposure, where the long and short exposure will be equal; or total net short exposure, meaning that the Fund’s short exposure will be greater than its long exposure. In addition, the Fund may have aggregate long or aggregate short exposure to one or more sectors, individual markets and/or currencies based on the adviser’s view of whether a particular sector, market or currency is expected to outperform or underperform. To the extent that the Fund hedges its currency exposure into the U.S. dollar, it may reduce the effects of currency fluctuations. The adviser will make use of derivatives, including swaps, futures, options and forward contracts, in implementing its strategies. Under normal market conditions, the adviser currently expects that a significant portion of the Fund’s exposure will be attained through the use of derivatives in addition to its exposure through direct investments. Derivatives, which are instruments that have a value based on another instrument, exchange rate or index, will primarily be used as an efficient means of implementing a particular strategy in order to gain exposure to a desired return factor. Derivatives may also be used to increase gain, to effectively gain targeted exposure from its cash positions, to hedge various investments and/or for risk management. As a result of the Fund’s and the Subsidiary's (as defined below) use of derivatives and also to serve as collateral, the Fund or the Subsidiary will hold a significant amount of JPMorgan money market funds and other short-term investments. The Fund will gain exposure to commodity markets indirectly by investing up to 20% of its total assets in the Managed Futures Fund CS Ltd., a wholly owned subsidiary of the Fund organized under the laws of the Cayman Islands (the Subsidiary). The Subsidiary is also advised by the adviser. The Subsidiary will invest in commodity futures contracts and swaps. However, the Subsidiary (unlike the Fund) may invest without limitation in such commodity futures contracts. The Subsidiary is otherwise subject to the same fundamental, non-fundamental and certain other investment restrictions as the Fund. The amount that may be invested in any one instrument will vary and generally depend on the return factors employed by the adviser at that time. However, there are no stated percentage limitations on the amount that can be invested in any one type of instrument, and the adviser may, at times, focus on a smaller number of instruments. Moreover, the Fund is generally unconstrained by any particular capitalization, style or sector and may invest in any region or country. The Fund may have both long and short exposure to these instruments. Given the complexity of the investments and strategies of the Fund, the adviser will make use of quantitative models and information and data supplied by third parties to, among other things, help determine the portfolio’s weightings among various investments and construct sets of transactions and investments. The Fund will purchase a particular instrument when the adviser believes that such instrument will allow the Fund to gain the desired exposure to a return factor. Conversely, the Fund will consider selling a particular instrument when it no longer provides the desired exposure to a return factor. In addition, investment decisions will take into account a return factor’s contribution to the Fund’s overall volatility. In allocating assets, the adviser seeks to approximately balance risk to the individual return factors over the long term, although the exposure to individual return factors will vary based on, among other things, the opportunity the adviser sees in each individual return factor. Since the Fund is non-diversified, it may invest a greater percentage of its assets in a particular issuer or group of issuers than a diversified fund would.