Company: SVIX
Filing Date: 2025-03-28
Form Type: 10-K
Source: 0001013762-25-004207
Chunk: 319

Company: VS Trust
Filing Date: 2025-03-28
Form: 10-K
Item: Item 1B
Chunk 319
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. Market illiquidity may cause losses for the Funds. The large size of the positions which the Funds may acquire
increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while
trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically
invest in Financial Instruments related to one benchmark, which in many cases is highly concentrated.

F-39

“Contango” and “Backwardation” Risk

The Funds typically hold futures contracts. As
the futures contracts near expiration, they are generally replaced by contracts that have a later expiration. Thus, for example, a contract
purchased and held in November 2019 may specify a January 2020 expiration. As that contract nears expiration, it may be replaced by selling
the January 2020 contract and purchasing the contract expiring in March 2020. This process is referred to as “rolling.” Rolling
may have a positive or negative impact on performance. For example, historically, the prices of certain types of futures contracts have
frequently been higher for contracts with shorter-term expirations than for contracts with longer-term expirations, which is referred
to as “backwardation.” In these circumstances, absent other factors, the sale of the January 2020 contract would take place
at a price that is higher than the price at which the March 2020 contract is purchased, thereby creating a gain in connection with rolling.
While certain types of futures contracts have historically exhibited consistent periods of backwardation, backwardation will likely not
exist in these markets at all times.

Since the introduction of VIX futures contracts,
there have frequently been periods where VIX futures prices reflect higher expected volatility levels further out in time. This can result
in a loss from “rolling” the VIX futures to maintain the constant weighted average maturity of the applicable Fund benchmark.
Losses from exchanging a lower priced VIX future for a higher priced longer-term future in the rolling process could adversely affect
the value of a Fund and, accordingly, decrease the return of a Fund.

Natural Disaster/Epidemic Risk

Natural or environmental disasters, such as earthquakes,
fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics
and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly disruptive to economies and markets and have
recently led