Trend Aggregation ESG ETF (TEGS) Exchange: BATS

In pursuing the Fund’s investment objective, the Fund will under normal conditions invest at least 80% of its net assets (plus borrowings for investment purposes) directly, or indirectly through mutual funds or exchange traded funds, in equity or fixed income securities of well-known environmental, social, and governance (“ESG”) indices. The Fund’s adviser may apply a variety of ESG screens and may rotate between different ESG screens, without limitation.   The Fund defines an ESG screen as one that selects securities based on ESG factors, whereas ESG indices consist of securities that have been screened for ESG factors. An ESG screen allows the adviser to evaluate an issuer for environmental, social, and governance characteristics. The use of environmental criteria allows the adviser to evaluate an issuer’s energy use, waste, natural resource conservation, and assists the adviser in evaluating an issuer’s environmental risk. The adviser uses social and governance criteria to evaluate an issuer’s business relationships and governance practices.   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 bonds”) without limitation. The Fund defines junk bonds as bonds that are rated BBB or lower by Moody’s Investors service or similarly by another rating agency and investments in junk bonds may be considered speculative.   The Fund’s adviser utilizes a proprietary quantitative process to identify investment opportunities, based on strong price momentum and companies that are potentially oversold. The adviser uses multiple investment models that combine market trend and counter trend following, pattern recognition and market analysis across asset classes to determine when to buy, sell, or hold a security. The adviser’s models may also direct for investment to cash, treasury and/or fixed income securities, volatility ETFs and ETNs and leveraged and inverse ETFs. The Fund defines volatility ETFs and ETNs as funds that provide returns that correspond to or are the inverse of the S&P 500 VIX Short-Term Futures Index. The Fund may hold significant cash or fixed income positions during unfavorable market conditions and may be fully invested when favorable conditions warrant. Although not anticipated, in some market conditions, it is possible that cash and fixed income positions can be the highest mathematical ranking within each model. Consequently, one or more model strategies could select being fully invested in cash or fixed income. In managing the Fund’s portfolio, the adviser will actively manage the Fund, resulting in a high portfolio turnover rate.