BNO United States Brent Oil Fund LP

The information and data provided herein relates to the direct indexing platform offered by Alphathena (the “Alphathena Direct Indexing Platform”). The information and data provided is for informational purposes only, and is meant only to inform visitors to etf.com regarding the potential benefits of using the Alphathena Direct Indexing Platform for direct indexing strategies. Accordingly, the information provided herein should not be considered or relied upon as investment, tax, or legal advice. Nor should any of the information be used as the basis for an investment decision without consulting a qualified investment, tax, or legal professional. Furthermore, neither the information, the graphic, nor the Alphathena Direct Indexing Platform’s outputs, including any references to specific investments, securities, or strategies, are recommendations to buy, sell, or hold such investments or securities.

The table “ETF vs. Direct Index,” displays the backtested hypothetical performance, and not the actual performance, of the Alphathena Direct Indexing Platform compared to a direct investment of the compared ETF during the time period specified. The additional tax benefit is calculated as the returns over the rolling period after harvesting tax losses, minus the returns over the same period without harvesting tax losses. The table and graphic “Tax Loss Harvesting Opportunities” compares the total number of constituents for the ETF [or individual equities held by the ETF] during each calendar year, with the number of constituents considered a tax loss harvesting opportunity during the same calendar year. An opportunity is calculated as any unique constituent that dropped 5% in value since the beginning of the calendar year.

There are inherent risks and limitations in using data. In presenting the returns, Alphathena has relied upon historical data and applied certain assumptions during only the time period specified. Such assumptions, and the limitations that underlie those assumptions include, but are no limited to:

Trades for the hypothetical returns were not actually executed. Rather, an assumption of purchase and sale prices believed to be attainable were used in developing the model. In actual trading, the prices attained may or may not have been the same as the assumed order prices due to differences in, among other factors, the time the trades were executed.

The results do not represent the impact that material economic and market factors might have on an investment adviser's decision-making process if the adviser were actually managing client money. As a result, the graphic may over or under compensate for the impact, if any, of certain market factors such as lack of liquidity, money flow and other factors.

The hypothetical returns presented are dependent on the market and economic conditions that existed during the period only and for no other period that may be informative. As a result, there is no promise that the strategies used by the Alphathena Direct Indexing Platform would have resulted in similar returns in prior periods not reflected in the graphic. Additionally, given the unpredictability of the market and tax policy more specifically, there is no guarantee that the Alphathena Direct Indexing Platform will generate similar returns in the future.

Invested direct indexes will typically have fewer constituents than the ETF due to capital constraints. Not all tax losses may be harvested and reflected in the results. These include securities that violate wash sale restrictions or heavily weighted securities that may result in significant deviation from the benchmark ETF. For illustrative purposes, the tax alpha from harvesting has been calculated separately from the direct index returns.

Annualized returns, tax alpha, and direct index return calculations are refreshed periodically. Any characteristics in the model related to positions, position sizes and sector weights might differ materially from actual client portfolios.

In addition to the foregoing assumptions, the graphic and table relies heavily on the availability and accuracy of data that Alphathena collects. The ongoing availability and accuracy of such data may vary depending on the specific data sources and providers of such data that are available to Alphathena in the future. There is no guarantee that, moving forward, Alphathena will continue to have access to the same database that it has today.

For more information about the pros and cons of Direct Index investment strategies, see [Templin,N]. "The Pros and Cons Of 'Direct Indexing'. The Wall Street Journal, 2021.