Zebra Capital Low Volume Leaders Strategy Portfolio Series 1

The Trust will invest in at least 80% of the value of its assets in common stocks of companies that have low trading volumes. Low trading volumes, as defined by the Sponsor, represent those companies whose shares are, as of the security selection date, trading at lower volumes versus the amount of their total outstanding shares as a percentage when compared with their peers.

The Sponsor believes that stocks’ trading liquidity should be considered alongside market capitalization, style and momentum as drivers of long-term investment returns and that lower liquidity stocks may deliver superior performance over the long-term. The Trust will invest in common stocks of companies that the Sponsor believes have low trading volumes. The Trust may invest in the common stocks of companies with small-, mid- or large-capitalizations. The Trust may invest in common stocks of U.S. or non-U.S. companies. The Sponsor utilizes a quantitative selection process developed by Zebra Capital Management, LLC (“Zebra Capital”) to determine the constituents of the Trust’s portfolio. The Sponsor, with the assistance of Zebra Capital, applies the selection process to determine the final portfolio. As a result of this strategy, the Trust invests significantly in the consumer products sector.

The Trust’s portfolio was constructed and the securities were selected eight business days prior to the initial date of deposit (the “Security Selection Date”). In constructing the Trust’s portfolio, the securities were selected based on the following fundamentally based quantitative criteria as of the Security Selection Date. Except as set forth herein, the investment strategy utilizes information provided by Compustat Xpressfeed.

1. Start with an initial universe of securities that constitute the Russell 1000 Index.

2. Reduce the initial universe of securities to a sub-universe which excludes all securities that meet either of the following criteria:

(a) The 250 securities with the lowest price impact over the trailing twelve months, which is defined as the trailing 12 month total return divided by the trailing 12 month average daily trading volume in dollars; or

(b) Securities with extremely low levels of trading liquidity. Such securities are those that are, as of the Security Selection Date, trading at or below the lowest 2.5% of their 12 month average daily trading range.

3. Select the five securities from each of the ten Global Industry Classification Standard (GICS) sectors with the lowest daily trading volumes as of the Security Selection Date relative to shares outstanding. In the event there are fewer than five securities eligible for inclusion in a given sector, the Sponsor will select all eligible securities within such sector.

4. Equally-weight the GICS sectors so that each sector represents 10% of the Trust’s portfolio as of the Security Selection Date. All the securities in a particular GICS sector will be equally-weighted.

Please note that due to the fluctuating nature of security prices, the weighting of an individual security or sector in the Trust’s portfolio may change after the Security Selection Date.

Zebra Capital Management, LLC

Zebra Capital is a Connecticut limited liability company and registered investment adviser with the U.S. Securities and Exchange Commission. Zebra Capital acts as sub-adviser to American Beacon Advisors. Zebra Capital also provides investment management services to institutions or other entities and high net worth individuals on a separately managed account basis. As of March 31, 2015, Zebra Capital manages approximately $950 million in regulatory assets under management.

INDEX DEFINITION: The Russell 1000® Index measures the performance of the largest 1000 U.S. companies representing approximately 92% of the investable equity market. The Index is unmanaged and it is not possible to invest directly in the Index.

The marks “ZEBRA” is a trademark of, and proprietary to, Zebra Capital Management, LLC (“Zebra”) and have been licensed by Zebra to Guggenheim Funds Distributors, LLC (“GFD”) for use by GFD and the Trust. The Trust is not in any way issued, sold, endorsed or promoted by Zebra. Zebra does not make any representation, warranty or guarantee whatsoever, express or implied, as to the results to be obtained by the deposit of any Appropriate Security in the Trust. The strategy used to select the Appropriate Securities (the “Strategy”) may at any time and from time to time be altered, changed or modified by Zebra without notice. Zebra does not give any assurance regarding any alteration, change or modification in any methodology used in selecting the Appropriate Securities and is under no obligation to continue to maintain and/or develop the Strategy or to continue to select Appropriate Securities. In addition, Zebra does not warrant or represent or guarantee to any person the accuracy or completeness of the selection of the Appropriate Securities or any information related thereto and no warranty or representation or guarantee of any kind whatsoever relating to the Appropriate Securities is given or may be implied. No responsibility or liability is accepted by Zebra (whether for negligence or otherwise) with respect to the use of and/or reference to the Appropriate Securities by Zebra or any other person in connection with securities, or for any inaccuracies, omissions, mistakes or errors in the selection of the Appropriate Securities (and Zebra shall not be obliged to advise any person or any investor, of any error therein) or for any economic or other loss which may be directly or indirectly sustained by any investor or other person dealing with securities as a result thereof and no claims, actions or legal proceedings may be brought against Zebra (including any of its subsidiaries and/or affiliates) in any manner whatsoever by any investor or other person dealing with securities. Any investor or other person dealing with securities does so, therefore, in full knowledge of this disclaimer and can place no reliance whatsoever on Zebra.

As with all investments, you may lose some or all of your investment in the Trust. No assurance can be given that the Trust’s investment objective will be achieved. The Trust also might not perform as well as you expect. This can happen for reasons such as these:

• Securities prices can be volatile. The value of your investment may fall over time. Market value fluctuates in response to various factors. These can include stock market movements, purchases or sales of securities by the Trust, government policies, litigation, and changes in interest rates, inflation, the financial condition of the securities’ issuer or even perceptions of the issuer. Units of the Trust are not deposits of any bank and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.

• Securities selected according to this strategy may not perform as intended. The Trust is exposed to additional risk due to its policy of investing in accordance with an investment strategy. Although the Trust’s investment strategy is designed to achieve the Trust’s investment objective, the strategy may not prove to be successful. The investment decisions may not produce the intended results and there is no guarantee that the investment objective will be achieved.

• Share prices or dividend rates on the securities in the Trust may decline during the life of the Trust. There is no guarantee that share prices of the securities in the Trust will not decline and that the issuers of the securities will declare dividends in the future and, if declared, whether they will remain at current levels or increase over time.

• The Trust invests in U.S.-listed foreign securities. The Trust’s investment in U.S.-listed foreign securities presents additional risk. Securities of foreign issuers present risks beyond those of domestic securities. More specifically, foreign risk is the risk that foreign securities will be more volatile than U.S. securities due to such factors as adverse economic, currency, political, social or regulatory developments in a country, including government seizure of assets, excessive taxation, limitations on the use or transfer of assets, the lack of liquidity or regulatory controls with respect to certain industries or differing legal and/or accounting standards.

• The Trust invests significantly in the consumer products sector. As a result, the factors that impact the consumer products sector will likely have a greater effect on this Trust than on a more broadly diversified Trust. General risks of companies in the consumer products sector include cyclicality of revenues and earnings, economic recession, currency fluctuations, changing consumer tastes, extensive competition, product liability litigation and increased government regulation. A weak economy and its effect on consumer spending would adversely affect companies in the consumer products sector.

• The Trust invests in securities issued by mid-capitalization companies. These securities customarily involve more investment risk than securities of large-capitalization companies. Mid-capitalization companies may have limited product lines, markets or financial resources and may be more vulnerable to adverse general market or economic developments.

• Inflation may lead to a decrease in the value of assets or income from investments.

• The Sponsor does not actively manage the portfolio. The Trust will generally hold, and may, when creating additional units, continue to buy, the same securities even though a security’s outlook, market value or yield may have changed.

See “Investment Risks” in Part A of the prospectus and “Risk Factors” in Part B of the prospectus for additional information.