VS Trust: DRS filing (amended)

Cover page 18 changes

As confidentially submitted to the U.S. Securities and Exchange

U.S. Securities and Exchange Commission on May 21, July 8, 2020, as Amendment No.2 No.3 to the draft registration statement. This Amendment No.2 to the draft registration statement has not been publicly filed with the Securities and Exchange Commission and all information herein remains strictly confidential.

Amendment No.3 to the draft registration statement has not been publicly filed with the Securities and Exchange Commission and all information herein remains strictly confidential.

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The Fund continuously offers and redeems

Shares in blocks of at least 10,000 Shares (each such block, a "Creation Unit") at an initial price per Share of $25.

Only Authorized Participants (as defined herein) may purchase and redeem Shares from the Fund and then only in Creation Units.

An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with the Trust and Volatility

Shares LLC (the "Sponsor"). Shares are offered on a continuous basis to Authorized Participants in Creation Units at the Fund's NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a per-Share market price. The form of Authorized Participant Agreement and the related Authorized Participant Procedures

Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized

Participants will not receive from the Fund, the Sponsor, or any of their affiliates, any fee or other compensation in connection with their sale of Shares to the public. An Authorized Participant may receive commissions or fees from investors who purchase

Shares through their commission or fee-based brokerage accounts. Bank of America/Merrill Lynch Professional Clearing is the Fund's initial Authorized Participant and is a statutory underwriter of the Fund's Shares.

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The Fund continuously offers and redeems

Shares in blocks of at least 10,000 Shares (each such block, a "Creation Unit"). Only Authorized Participants (as defined herein) may purchase and redeem Shares from the Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with the Trust and Volatility Shares LLC (the "Sponsor").

Shares are offered on a continuous basis to Authorized Participants in Creation Units at the Fund's NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a per-Share market price. The form of Authorized Participant Agreement and the related Authorized Participant Procedures Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants will not receive from the

Fund, the Sponsor, or any of their affiliates, any fee or other compensation in connection with their sale of Shares to the public.

An Authorized Participant may receive commissions or fees from investors who purchase Shares through their commission or fee-based brokerage accounts. Bank of America/Merrill Lynch Professional Clearing is the Fund's initial Authorized Participant and is a statutory underwriter of the Fund's Shares.

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OF EACH EXPENSE TO BE CHARGED THIS POOL AT PAGE 33 34 AND A STATEMENT OF THE PERCENTAGE RETURN NECESSARY TO BREAK EVEN, THAT IS,

TO RECOVER THE AMOUNT OF YOUR INITIAL INVESTMENT, AT PAGE 33. 34.

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The Sponsor and the Commodity Sub-Adviser 6 changes

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Milliman FRM serves as the Fund's

liability company, serves as the Trust's Sponsor and commodity pool operator. The principal office of the Sponsor and the Fund is located at 100 South Bedford Road, Suite 340; Mount Kisco, NY 10549. The telephone number of the Sponsor and the Fund is (800) (866) 261-0273.

Milliman Financial Risk Management LLC

serves as the Fund's commodity sub-adviser ("Commodity Sub-Adviser"). The principal office of the Commodity Sub-Adviser is 71 S. Wacker Drive, 31 st Floor, Chicago, IL 60606. The Commodity Sub-Adviser will manage 100% of the Fund's assets.

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can be found on page 55 56 under The Sponsor .

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Sub-Adviser can be found on page 58 59 under The Commodity Sub-Adviser .

Breakeven Amounts 1 change

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set forth in this table assumes that the Shares have a constant NAV equal to the amount shown. The amount approximates the NAV of such Shares on June July __, 2020. The actual NAV of the Fund differs and is likely to change on a daily basis. The numbers in this chart have been rounded to the nearest 0.01.

Risks Specific to the Fund 16 changes

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Recent market volatility, particularly

from January 2020 through May 2020, that is seemingly the result of the negative impacts of COVID-19 on global and domestic markets and the response thereto by governments and their central banks, has acutely affected the performance of the Index over those periods. The following chart shows the performance of the Index from the first full month after the date of inception on November 22, 2019 through the end of June 2020.

on November 22, 2019.

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But as an options writer, it takes on a much higher level of risk. For example, if the Fund writes an uncovered call, it faces unlimited potential loss, since there is no cap on how high a stock price can rise.

strategies, and may be liquidated, at any time, including a time that is disadvantageous to shareholders.

The potential profit is limited to the

is limited to the premium received for the contract. The potential loss is often unlimited. While leverage means the percentage returns can be significant, the amount of cash required is smaller than equivalent stock transactions. It is possible to lose the entire principal invested, and sometimes more. As an options holder, the Fund risks the entire amount of the premium it pays. But as an options writer, it takes on a much higher level of risk. For example, if the Fund writes an uncovered call, it faces unlimited potential loss, since there is no cap on how high a stock price can rise. When buying options the Fund risks losing the premium paid, plus commissions and fees.

The Fund may change its investment objective, Index and

and strategies at any time.

The Sponsor has the authority to change the

the Fund's investment objective, Index or investment strategy at any time without shareholder approval. Although such changes may be subject to applicable regulatory approvals, the Sponsor may determine to operate the Fund in accordance with its new investment objective, Index or strategy while those approvals are pending. The Sponsor also has the authority to liquidate the Fund at any time without shareholder approval. Changes in the Fund's investment objective, Index or strategy, as well as the liquidation of the Fund, may occur without shareholder approval and with limited advance notice to shareholders and may expose shareholders to losses on their investments in the Fund.

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The Fund may be liquidated at any time, including

a time that is disadvantageous to shareholders.

The Sponsor has the authority to liquidate

the Fund at any time without shareholder approval. There is also the risk that the Fund will liquidate shortly after the Fund has suffered sudden and substantial losses as a result of volatile markets. Liquidation of the Fund may occur without shareholder approval and with limited advance notice to shareholders and may expose shareholders to losses on their investments in the Fund.

Liquidation of the Fund could occur at a time that is disadvantageous to shareholders. When the Fund's assets are sold as part of the Fund's liquidation, the resulting proceeds distributed to shareholders may be less than those that may be realized in a sale outside of a liquidation context.

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Risks Applicable to Investing in VIX Futures Contracts and Other Financial Instruments 13 changes

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including VIX futures contracts, can be highly volatile and may experience sudden, large and unexpected losses. For example, in 2018, similar indexes which were comprised of VIX futures contracts, had their largest one-day move ever of approximately 96%.

Investments linked to equity market volatility,

volatility, including VIX futures contracts, can be highly volatile and may experience sudden, large and unexpected losses. For example, in 2018, similar indexes which were comprised of VIX futures contracts, had their largest one-day move ever of approximately 96%. In the future, the Index could have even larger single-day or intraday moves, up or down, that could cause investors to lose all or a substantial portion of their investment in a short period of time. VIX futures contracts are unlike traditional futures contracts and are not based on a tradable reference asset. The VIX is not directly investable, and the settlement price of a VIX futures contract is based on the calculation that determines the level of the VIX. As a result, the behavior of a VIX futures contract may be different from a traditional futures contract whose settlement price is based on a specific tradable asset and may differ from an investor's expectations. The market for VIX futures contracts may fluctuate widely based on a variety of factors including changes in overall market movements, political and economic events and policies, wars, acts of terrorism, natural disasters, changes in interest rates or inflation rates. High volatility may have an adverse impact on the performance of the Fund. An investor in the Fund could experience substantial losses and even potentially lose the full principal of his or her investment within a single day, the risk of which is heightened during periods of high market volatility.

Recent market volatility, particularly

from January 2020 through May 2020, that is seemingly the result of the negative impacts of COVID-19 on global and domestic markets and the response thereto by governments and their central banks, has acutely affected the performance of the Index over those periods. The following chart shows the performance of the Index from the first full month after the date of inception on November 22, 2019 through the end of June 2020 and also the performance of the VIX over the same period.

Index inception on November 22, 2019.

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will concentrate its investments in VIX futures contracts. Because the Fund's investments are focused on those investments particularly, the Fund's performance will be particularly sensitive to movements, changes, rules or events that impact the futures markets and the VIX futures markets.

The Fund will typically concentrate

its investments in first- and second-month VIX futures contracts. Investors should be aware that other volatility investments may be more diversified both in terms of the number and variety of instruments included and of the volatility exposure offered.

Concentration exclusively in first-

and second-month futures contracts may result in a greater degree of volatility and adverse performance of the Fund under specific market conditions and over time. Concentration in fewer futures contracts as opposed to exposure to a broader set of futures contracts may increase the risk of the Fund's trading activity affecting such futures contracts and this may adversely affect the performance of the Fund.

For example, such concentration may

cause the daily rolling or rebalancing of the Fund's portfolio to adversely impact the market price of its concentrated portfolio of futures contracts and in turn the level of the Index and the performance of the Fund.

Investment Objective 11 changes

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The Index inception date was November

22, 2019. Its ticker symbol is: SHORTVOL. The monthly performance of the Index since inception, as well as the performance of the VIX Index has been as follows:

Index inception on November 22, 2019.

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Estimated and Hypothetical Returns Over One Year for a Fund Whose Investment

a Fund Whose Investment Objective is to Seek Daily Investment Results, Before Fees and Expenses, that Correspond to the Inverse (-1x) of the Daily Performance of an Index.

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HYPOTHETICAL PERFORMANCE RESULTS

HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM.

ONE OF THE LIMITATIONS OF HYPOTHETICAL

PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.

MILLIMAN FINANCIAL RISK MANAGEMENT

LLC HAS HAD LITTLE OR NO EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CUSTOMERS. BECAUSE THERE ARE NO ACTUAL TRADING RESULTS TO COMPARE TO THE HYPOTHETICAL PERFORMANCE RESULTS, CUSTOMERS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THESE HYPOTHETICAL PERFORMANCE RESULTS.

Principal Investment Strategies 18 changes

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Index Performance Example

The Fund tracks the Index which measures

the daily inverse performance of a portfolio of first- and second-month VIX futures contracts. This portfolio of futures contracts is rolled each day to maintain a consistent time to maturity of approximately one month. On any Business Day the Fund's portfolio comprises a number of short first-month VIX futures contracts and a number of short second-month VIX futures contracts.

The fraction of the Fund's portfolio rolled each Business Day is proportional to the number of first-month futures contracts held and inversely proportional to the number of days in the Roll Period - as described in more detail under the section entitled The Short VIX Futures Index.

For example, on January 2, 2020 the

Fund's portfolio would have comprised, on a notional basis, of a short position in the first-month VIX futures contract expiring on January 22, 2020 equal to 59.1% of the Fund's AUM, and a short position in the second-month VIX futures contract expiring on February 19, 2020 equal to 40.9%.

To illustrate this example in VIX futures

contracts, supposing the first-month VIX futures contract was priced at 14.82 and the second-month at 16.79, the Fund's portfolio with a hypothetical AUM of $10m would consist of short 399 January futures - calculated as (10,000,000 * 59.1%)/(14.82 * 1,000), and short 244 February futures - calculated as (10,000,000 * 40.9%)/(16.79 * 1,000).

Between 3:45pm ET and 4:00pm ET (the

TWAP period) a fraction of the January expiring short VIX futures contracts would be rolled to the February expiring contracts, resulting in a portfolio the next day comprised of 54.5% first-month VIX futures contracts expiring in January and 45.5% second-month VIX futures contracts expiring in February.

This daily rolling would continue each

Business Day until the day before the January futures expiry - January 21, 2020 - when between 3:45pm ET and 4:00pm ET all remaining January VIX futures contracts would have been rolled to the February expiry.

On the day of the January expiry - January

22, 2020 - the Roll Period began again, with the futures expiring in February 19, 2020 becoming the new first-month contract, and the next monthly VIX futures expiring on March 18, 2020 becoming the new second-month contract.

By rolling the Fund's portfolio

from the first to the second nearest month VIX futures contracts in daily fractional amounts, the Fund seeks to maintain a constant weighted average time to maturity of approximately one month.

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The Fund currently uses each of the following

following firms as an FCM: Advantage Futures LLC, ADM Investor Services, Inc. ("ADMIS"), and INTL FCStone Financial Inc. - FCM Division, and Straits Financial LLC. The FCMs used by the Fund may change from time to time. The above discussion relating to an FCM also would apply to other firms that serve as an FCM to the Fund in the future. Each FCM in its capacity as a registered FCM, serves as a clearing broker to the Trust and the Fund and certain other funds of the Trust and as such arranges for the execution and clearing of the Fund's futures transactions. Each FCM acts as clearing broker for many other funds and individuals. A variety of executing brokers may execute futures transactions on behalf of the Fund. The executing brokers will give-up all such transactions to an FCM as applicable. Each FCM is registered as an FCM with the CFTC, is a member of the NFA and a clearing member of the CBOT, CME, NYMEX, or another major U.S. commodity exchange. No FCM is affiliated with or acts as a supervisor of the Trust, the Fund, the Sponsor, the Sub-Adviser, the Trustee, the Administrator, Sub-Administrator, Transfer Agent, or the Custodian. No FCM acts as an underwriter or sponsor of the offering of the Shares, or has passed upon the merits of participating in this offering or has passed upon the adequacy of this Prospectus or on the accuracy of the information contained herein. No FCM provides any commodity trading advice regarding the Fund's trading activities. Investors should not rely upon an FCM in deciding whether to invest in the Fund or retain their interests in the Fund. Prospective investors should also note that the Sponsor may select additional clearing brokers or replace any FCM as the Fund's clearing broker.

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Breakeven Table 2 changes

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(4) Other Fund Fees and Expenses are an estimate based on an allocation to the Fund of the total estimated expenses anticipated to be incurred by the Trust on behalf of the Fund, net of any expenses or sponsor fee waived by the Sponsor, and include: Professional fees (primarily legal, auditing and tax-preparation related costs); Custodian and Administrator fees and expenses, Distribution and Marketing fees (primarily fees paid to the Distributor, costs related to regulatory compliance activities and other costs related to the trading activities of the Fund); Business Permits and Licenses; General and Administrative expenses (primarily insurance and printing), and Other Expenses. The expenses presented are based on estimated expenses for the current fiscal year, and do not represent the maximum amounts payable under the contracts with third-party service providers. The per-share cost of these fixed or estimated fees has been calculated assuming that the Fund has $50 million in assets. The Sponsor can elect to pay (or waive reimbursement for) certain fees or expenses that would generally be paid by the Fund, although it has no contractual obligation to do so. Any election to pay or waive reimbursement for fees and expenses that would generally be paid by the Fund can be changed at the discretion of the Sponsor.

The Sponsor has assumed an asset level of $50 million because: i) it believes that is an asset level where exchange traded investment products typically become viable over the long term; and ii) the Sponsor has a reasonable expectation to have at least $50 million in its first year of operations. The Sponsor believes that this is a conservative assumption and larger AUM levels are expected to reduce the 12-Month Breakeven. The Sponsor can elect to pay (or waive reimbursement for) certain fees or expenses that would generally be paid by the Fund, although it has no contractual obligation to do so. Any election to pay or waive reimbursement for fees and expenses that would generally be paid by the Fund can be changed at the discretion of the Sponsor.

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U.S. Shareholders 6 changes

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Information returns will be filed with the

IRS as required with respect to income, gain, loss, deduction and other items derived from Shares of the Fund. The Fund will file a partnership return with the IRS and a Schedule K-1 to the shareholders.

Each Fund will file a partnership tax

return with the IRS. Accordingly, tax information will be provided to shareholders on a Schedule K-1for each calendar year as soon as practicable after the end of such taxable year but generally not later than March 15. Each Schedule K-1 provided to a shareholder will set forth the shareholder's share of such Fund's tax items (i.e., income, gain, loss, deduction and other items) in a manner sufficient for a shareholder to complete its tax return with respect to its investment in the Fund's Shares. Each shareholder, by its acquisition of Shares, will be deemed to agree to allow brokers and nominees to provide to a Fund its name and address and the other information and forms as may be reasonably requested by a Fund for purposes of complying with their tax reporting and withholding obligations (and to waive any confidentiality rights with respect to the information and forms for this purpose) and to provide information or forms upon request. The beneficial owners who are of a type, as identified by the nominee through whom their Shares are held, that do not ordinarily have U.S. federal tax return filing requirements, collectively, Certain K-1 Unitholders, have designated the managing Owner as their tax agent (the "Tax Agent") in dealing with the Trust. In light of such designation and pursuant to Treasury Regulation section 1.6031(b)-1T(c), as amended from time to time, the Trust will provide to the Tax Agent Certain K-1 Unitholders' statements (as such term is defined under Treasury Regulation section 1.6031(b)-1T(a)(3), as amended from time to time).

Given the lack of authority addressing

structures similar to that of the Funds, it is not certain that the IRS will agree with the manner in which tax reporting by a Fund will be undertaken. Therefore, shareholders should be aware that future IRS interpretations or revisions to Regulations could alter the manner in which tax reporting by a Fund and any nominee will be undertaken.

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The Sponsor 21 changes

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Principal of the Sponsor (since 11/26/2019)

Associated Person (since 12/12/2019)

Principal of the Sponsor (since 10/2/2019)

Associated Person (since 10/14/2019)

Principal of the Sponsor (since 10/4/2019)

Principal of the Sponsor (since 10/14/2019)

Principal of the Sponsor (since 11/26/2019),

Principal of the Sponsor, Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer of the Trust Toroso Investments LLC Principal of the Sponsor (since 1/22/2020) Invest in Vol LLC Principal of the Sponsor (since 1/22/2020) * Denotes principal of the Sponsor who supervises persons who participate in making trading decisions for the Fund.

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Studies from Georgetown University. Since April 2017, he has served as Managing Partner of Invest in Vol LLC (investment adviser);

Studies from Georgetown University. Since April 2017, he has served as Managing Partner of Invest in Vol LLC (overseeing opertions at an investment adviser); from August 2015 to April 2017, he was Vice President of Rex Shares LLC (overseeing product development at an ETF sponsor); from April 2011 to August 2015 he was Head of Capital Markets for Global X Management Co., (investment adviser); (overseeing capital markets operations for an ETF sponsor); and from July 2009 to April 2011 he was an Associate of NYSE Euronext (working on a number of listing matters for a national securities exchange).

Stuart Barton holds a PhD in Economic

Economic History from the University of Cambridge, an MBA from the University of Surrey, and a B.Sc in engineering from the University of Cape Town. Since March 2017, he has served as Managing Partner of Invest in Vol LLC (overseeing operations at an investment adviser); from September 2016 to March 2017 he was Chief Investment Officer of Rex Shares (overseeing investments at an ETF sponsor); from September 2014 to September 2017 he was Managing Partner at Corpus Capital Partners LLC (commodity pool operator); from October 2010 to September 2014 he was a Ph.D. Candidate (completed Ph.D.) at the University of Cambridge, UK; from January 2008 to October 2010 he was unemployed and engaged in travel; from June 2007 to January 2008 he was Senior Equity Derivatives Trader at HSBC's Hong Kong office (investment bank); from September 2004 to June 2007 he was Senior Equity Derivatives Trader at Barclays Capital PLC in New York (broker-dealer); and from August 2001 to September 2004 he was Equity Derivatives Trader at Barclays Capital PLC in London.

from September 2014 to September 2017 he was Managing Partner at Corpus Capital Partners LLC (overseeing operations at a commodity pool operator); from October 2010 to September 2014 he was a Ph.D. Candidate (completed Ph.D.) at the University of Cambridge, UK; from January 2008 to October 2010 he was unemployed and engaged in travel; from June 2007 to January 2008 he was Senior Equity Derivatives Trader at HSBC's Hong Kong office (traded derivatives at an investment bank); from September 2004 to June 2007 he was Senior Equity Derivatives Trader at Barclays Capital PLC in New York (traded derivatives at a broker-dealer); and from August 2001 to September 2004 he was Equity Derivatives Trader at Barclays Capital PLC in London.

Guillermo Trias holds a degree in

in Business Administration from CUNEF and an MBA from Northwestern University Kellogg School of Management in Chicago. Since October 2015, he has served as Partner and Chief Executive Officer of Toroso Investments (overseeing an investment adviser); from August 2015 to September 2015 he was unemployed; from August 2013 to August 2015 he was Executive Vice president of Global X Management Co. (investment adviser); (overseeing operations at an ETF sponsor); from February 2012 to August 2013 he was Senior Vice President of Global X Management Co. (investment adviser); (overseeing product development at an ETF sponsor); from December 2011 to February 2012 he was unemployed; from January 2010 to December 2011 he was Managing Partner of MC Capital Advisors (overseeing product development at an investment adviser); and from February 2004 to December 2009 he was Founder and CEO for Solex Partners (overseeing a technology company).

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and Religion at North Carolina State University. Since August 2012, he has served as the CIO and Co-Founder of Toroso Investments (overseeing investments at an investment adviser); from March 2012 to August 2012, he was a consultant for Global X Management Co. (investment adviser); (consulted on operations and product development at an ETF sponsor); and from December 2001 to March 2012 he was a Director of Horizon Kinetics (overseeing portfolios at an investment adviser).

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of Science degree from the University of Illinois. Since March 2012, he has served as co-founder, CFO and CCO for Toroso Investments, LLC (overseeing financial operations at an investment adviser); from July 2011 to March 2012, he was in the process of forming Toroso Investments, LLC; and from April 2008 to July 2011 he served as the Chief Marketing Officer of Avatar Associates (overseeing marketing at an asset manager).

Toroso Investments LLC is a listed became

a Principal of the Sponsor on January 22, 2020. Toroso Investments LLC has a passive ownership interest in the Sponsor and exercises no management authority over the Fund.

Invest In Vol LLC is became a listed Principal

of the Sponsor on January 22, 2020. Invest in Vol LLC has a passive ownership interest in the Sponsor and exercises no management authority over the Fund.

Duties of the Sponsor 2 changes

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The Trust Agreement provides that the Sponsor

Sponsor and its affiliates shall have no liability to the Trust or to any shareholder for any loss suffered by the Trust arising out of any action or inaction of the Sponsor or its affiliates or their respective directors, officers, shareholders, partners, members, managers or employees (the "Sponsor Related Parties"), if the Sponsor Related Parties, in good faith, determined that such course of conduct was in the best interests of the Fund and such course of conduct did not constitute gross negligence or wilful willful misconduct by the Sponsor Related Parties. The Trust has agreed to indemnify the Sponsor Related Parties against claims, losses or liabilities based on their conduct relating to the Trust, provided that the conduct resulting in the claims, losses or liabilities for which indemnity is sought did not constitute gross negligence or wilful misconduct and was done in good faith and in a manner reasonably believed to be in the best interests of the Fund.

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Ownership or Beneficial Interest in the Fund 20 changes

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Milliman Financial Risk Management LLC

(the "Commodity Sub-Adviser"), 71 S. Wacker Drive, 31 st Floor, Chicago, IL 60606, serves as the Fund's Commodity Sub-Adviser pursuant to a commodity sub-advisory agreement (the "Commodity Sub-Advisory Agreement").

The Commodity Sub-Adviser began conducting

began conducting business in 1998 as a part of Milliman, Inc. and was organized as a limited liability company and a wholly-owned subsidiary of Milliman, Inc. in 2011. It provides investment advisory services and also is registered with became a member of the CFTC/NFA NFA on October 18, 2011. It registered as a commodity trading adviser (since 2011) pool operator on January 1, 2013 and registered as a commodity pool operator (since 2012). trading advisor on October 18, 2011.

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The sub-advisory fee is waived for the first 6 months of the Fund's operations or until the Fund reaches $35 million in average daily net assets. The Fund does not directly pay the Commodity Sub-Adviser.

The Commodity Sub-Adviser will manage

will manage 100% of the Fund's assets. The Commodity Sub-Adviser will be paid by the Sponsor an annual sub-advisory fee of 0.10% based on the Fund's average daily net assets (total assets of the Fund, minus the sum of its accrued liabilities). The sub-advisory fee is waived for the first 6 months of the Fund's operations or until the Fund reaches $35 million in average daily net assets. The Fund does not directly pay the Commodity Sub-Adviser. The Commodity Sub-Adviser, and its Principals, own 0% of the Fund's assets and do not trade Fund Shares for their own proprietary accounts.

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He became an associated person of the Commodity Sub-Adviser on October 18, 2011 and a Principal of the Commodity Sub-Adviser on October 13, 2011. In that role, those roles, he manages the trading teams in Sydney, London, and Chicago that execute OTC and exchange-traded derivatives and equity transactions on behalf of investment advisory clients.

Ken Kenneth Mungan founded the Commodity

Sub-Adviser in June 1998 as an Associate Actuary. He became a Principal in March 2002. He has served as Chairman of the Board of Directors of Milliman, Inc., the parent company of the Commodity Sub-Adviser since February 2015. He became an Associated Person of the Commodity Sub-Adviser on October 11, 2013 and a Principal of the Commodity Sub-Adviser on December 21, 2012. In those roles, He grew the business from its inception and oversaw its expansion into investment advisory services and licensing of risk management technology products.

Sam Saumyal Nandi joined the Commodity

Sub-Adviser in April 2002 as an Associate Actuary, became an Actuary in August 2002, and has held the title Principal and Consulting Actuary since March 2007. He was an associated person of the Commodity Sub-Adviser from May 23, 2012 to June 13, 2012 and became Principal of the Commodity Sub-Adviser on June 27, 2012. In those roles, he developed and implemented outsourced hedging programs for number clients. He was also the lead consultant/client manager for numerous hedging, asset management, and consulting clients.

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Sub-Adviser in October 2003 as an Associate Actuary, became an Actuary in July 2006. He became an Associated Person of the Commodity Sub-Adviser on February 25, 2014 and has been a Principal since September 2008. of the Commodity Sub-Adviser on November 20, 2012. In those roles, he has engaged in product design and development of equity-based guarantee products as well as developing hedging strategies for a range of U.S., Canadian, and multinational insurance companies. He has also managed the operations of hedge programs of several large life insurers and re-insurers and has advised many companies on issues related to regulatory and economic capital.

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MILLIMAN FRM, A COMMODITY

Sub-Adviser in March 2012 as Compliance Counsel, and has served as the Commodity Sub-Adviser's Chief Compliance Officer since September 2014, and Milliman, Inc.'s Chief Compliance Officer since May 2016. She became a Principal of the Commodity Sub-Adviser on December 2, 2014. In that role, she is responsible for ensuring that Milliman, Inc. and its affiliates comply with applicable laws and regulations on a global basis.

Adam Schenck joined the Commodity

Commodity Sub-Adviser in January 2005 as an Intern, became an Actuarial Student in August 2005, an Actuarial Analyst in January 2006, a Portfolio Manager in January 2012, a Principal in March an Associated Person on October 23, 2013 and has been a Principal and on October 24, 2018. He has served as Managing Director - Head of Fund Services since January 2017. In that role, he oversees a team that analyzes and implements risk management strategies, and performs research on volatility and asset return distributions.

Milliman Inc. , founded

in 1947, is an independent risk management, benefits and technology firm with offices in major cities around the globe. It serves a full spectrum of business, financial, government, union, education, and nonprofit organizations. Milliman became a Principal of the Commodity Sub-Adviser on October 11, 2011.

RISK MANAGEMENT LLC, A COMMODITY TRADING ADVISOR THAT HAS DISCRETIONARY TRADING AUTHORITY OVER 100% PERCENT OF THE POOL'S COMMODITY INTEREST TRADING HAS NOT PREVIOUSLY DIRECTED ANY ACCOUNTS.

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Commodity Sub-Adviser 1 change

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program and other corporate policies and procedures are implemented and enforced to prevent any potential conflicts from affecting its performance or services to its clients. For example, any such conflicts may be mitigated by policies such as the inclusion of written disclosures or specific contractual provisions, or our client confidentiality and privacy policies.

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Material contracts 3 changes

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Milliman FRM is a commodity trading

Milliman Financial Risk Management LLC

is a commodity trading adviser and serves as the Fund's Commodity Sub-Adviser pursuant to the terms of the Commodity Sub-Advisory Agreement between the Sponsor and the Sub-Adviser. Subject always to the supervision of Sponsor, the Commodity Sub-Adviser will furnish an investment program in respect of, make investment decisions for, and place all orders for the purchase and sale of futures contracts, forward contracts, options contracts, swap contracts and other commodity interests, consistent with the investment objectives and restrictions of the Fund.

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Authorized Participants 2 changes

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As of the date of this Prospectus, Bank of

of America/Merrill Lynch Professional Clearing, Citadel Securities LLC, Credit Suisse Securities (USA) LLC, and Virtu Financial BD Mizuho Securities USA LLC have each executed an Authorized Participant Agreement and are the only Authorized Participants.

Futures commission merchants 1 change

1 unchanged paragraph

LLC, ADM Investor Services, Inc. ("ADMIS"), and INTL FCStone Financial Inc. - FCM Division, and Straits Financial LLC each in its capacity as a registered FCM, as its FCM. Each serves as a clearing broker to the Trust and the Fund and as such arranges for the execution and clearing of the Fund's futures transactions. Each FCM acts as clearing broker for many other funds and individuals. A variety of executing brokers may execute futures transactions on behalf of the Fund. The executing brokers will give up all such transactions to an FCM.

4 unchanged paragraphs

Litigation and Regulatory Disclosure Relating to FCMs 16 changes

Advantage Futures LLC

17 unchanged paragraphs

http://www.nfa.futures.org/basicnet/CaseInfo.aspx?entityid=0327359&type=reg ADM Investor Services, Inc. ADM Investor Services, Inc. ("ADMIS") is a registered futures commission merchant and is a member of the National Futures Association. Its main office is located at 141 W. Jackson Blvd., Suite 2100A, Chicago, IL 60604. In the normal course of its business, ADMIS is involved in various legal actions incidental to its commodities business. None of these actions are expected either individually or in aggregate to have a material adverse impact on ADMIS.

Neither ADMIS nor any of its principals have

have been the subject of any material administrative, civil or criminal actions within the past five years, except for the following matters.

In a CFTC Order entered on July 12,

been the subject of any material administrative, civil or criminal actions within the past five years, except the CFTC Order entered on July 12, 2019 In the Order the CFTC found that between December 1, 2014 and September 24, 2017 ADMIS failed to diligently supervise the handling by its employees and agents of commodity interest accounts as well as the activities of its employees and agents relating to its business as an FCM in violation of CFTC Regulation 166.3. The order imposed a civil monetary penalty of $250,000.

On January 28, 2020, a Commodity Exchange

Business Conduct Committee Panel ("Panel") found that between 2012 and 2018, ADMIS learned that one of its brokerage firm clients automatically offset omnibus account positions in futures contracts using the FIFO method and was misreporting its open positions. As a result, inaccurate open interest data was published to the market. The Panel found that ADMIS failed to require the client to provide accurate and timely owner and control information and continued to report inaccurate information regarding the ownership and control of the positions through May 2018 in violation of Exchange Rules 432.Q., 432.X., and 561.C. Additionally, on multiple occasions continuing through May 2018, ADMIS provided the Exchange with inaccurate audit trail data provided by the client. The Panel found that ADMIS violated Exchange Rule 536.B.2.

Finally, the Panel found that ADMIS

failed to take effective measures to ensure the accuracy of its client's purchase and sales data reporting and its responses to the Exchange, and failed to properly supervise employees. The Panel therefore found that ADMIS violated Exchange Rule 432.W.

In accordance with an offer of settlement the Panel ordered ADMIS to pay a fine of $650,000.

INTL FC Stone Financial Inc.

10 unchanged paragraphs

Straits Financial LLC

Straits Financial LLC is a Commodity

Futures Trading Commission licensed and registered Futures Commission Merchant, Swaps Firm, and a member of the National Futures Association, as well as a fully Clearing Member of the Chicago Mercantile Exchange, the Chicago Board of Trade, the Commodity Exchange, Clearport, the Cboe Futures Exchange, Nasdaq Futures Exchange and the Dubai Mercantile Exchange. All of Straits's assets and capital are devoted to its FCM business operations, which includes execution, brokerage and clearing of commodity futures and options contracts._Straits does not conduct any proprietary trading. Straits's Designated Self-Regulatory Organization is the CME Group, Inc. Straits is directly owned by US-based holding company Straits (USA) Inc., and is a subsidiary of Straits Financial Group Pte. Ltd., the brokering division of CwT International Limited, a publicly traded company located in Hong Kong.

Straits is not involved in any material litigation.

Indemnification of Directors and Officers 1 change

The amended and restated Trust Agreement of the Trust provides for, and as amended from time-to-time, will provide for, the indemnification of the Sponsor. The Sponsor (including Covered Persons as will be provided under each amended and restated Trust Agreement) shall be indemnified by the Trust (or any Fund separately to the extent the matter in question relates to a single Fund or is otherwise disproportionate), against any losses, judgments, liabilities, expenses and amounts paid in settlement of any claims sustained by it in connection with the defense or disposition of any action, suit or other proceeding, whether civil or criminal, before any court or administrative or legislative body, in which such Sponsor may be or may have been involved as a party or otherwise or with which such Sponsor may be or may have been threatened, while in office or thereafter, by reason of any alleged act or omission as the Sponsor or by reason of his or her being or having been the Sponsor except with respect to any matter as to which such Sponsor shall have been finally adjudicated in any such action, suit or other proceeding not to have acted in good faith in the reasonable belief that such Sponsor's action was in the best interests of the Trust and except that the Sponsor shall not be indemnified against any liability to the Trust or its Shareholders by reason of wilful willful misconduct or gross negligence of such Sponsor.