Jefferies Commodity Real Return ETF, the Fund, is organized as a Delaware statutory trust. The Fund will issue common units of beneficial interest, or Shares, which represent units of fractional undivided beneficial interest in and ownership of the Fund. Shares may be purchased from the Fund only by certain eligible financial institutions, called Authorized Participants, and only in one or more blocks of 50,000 Shares, called a Basket. The Fund will issue its Shares in Baskets to Authorized Participants continuously at the net asset value of 50,000 Shares. The Fund’s Participant Agreements set forth the terms and conditions on which Authorized Participants may create or redeem Baskets. The offering of Shares will terminate on the third anniversary of the registration statement of which this Prospectus is a part unless prior thereto a new registration statement is filed.

The Shares will trade on the NYSE Arca under the symbol RRET.

The Fund establishes long positions in futures contracts underlying the Thomson Reuters / Jefferies CRB 3 Month Forward Index, or the Index, with a view to tracking the changes, whether positive or negative, in the level of the Index over time. The Index is designed to provide a timely and accurate representation of a long-only, broadly diversified investment in commodities through a transparent and disciplined calculation methodology.

The Fund does not intend to outperform the Index. The Managing Owner will seek to cause the net asset value of the Fund to track the Index during periods in which the Index is flat or declining as well as when the Index is rising.

Except when aggregated in Baskets, the Shares are not redeemable securities.

PART TWO

STATEMENT OF ADDITIONAL

INFORMATION

SUMMARY

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SUMMARY (cont’d)

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SUMMARY (cont’d)

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SUMMARY (cont’d)

THE RISKS YOU FACE

You could lose money investing in Shares. You should consider carefully the risks described below before making an investment decision. You should also refer to the other information included in this Prospectus.

Futures and Commodities Market Related Risks

The Shares are designed to reflect as closely as possible the changes, whether positive or negative, in the level of the Index, over time, through the Fund’s portfolio of exchange traded futures contracts on the Index Commodities, or, if applicable, Futures-Linked Investments. The value of the Shares relates directly to the changes in market value over time, whether positive or negative, of the portfolio of exchange traded futures contracts on the Index Commodities, the Futures-Linked Investments (if any) and the value of the TIPS and U.S. Treasury bills, generally with a maturity of less than one year, and other high credit quality short-term fixed income securities less the liabilities (including estimated accrued but unpaid expenses) of the Fund. Fluctuations in the price of the exchange traded futures contracts on the Index Commodities, or, if applicable, Futures-Linked Investments, could materially adversely affect an investment in the Fund’s Shares.

The price of the Index Commodities may fluctuate widely, and in turn, the value of the Futures-Linked Investments (if any) may fluctuate accordingly. Several factors may affect the price of the Index Commodities, including, but not limited to:

The net asset value per Share will change as fluctuations occur in the market value of the Fund’s portfolio. Investors should be aware that the public trading price per Share may be different from the net asset value per Share. Consequently, an Authorized Participant may be able to create or redeem a Basket at a discount or a premium to the public trading price per Share. This price difference may be due, in large

part, to the fact that supply and demand forces at work in the secondary trading market for Shares are closely related, but not identical, to the same forces influencing the prices of the Index Commodities comprising the Index, trading individually or in the aggregate, at any point in time. Furthermore, any market forces that affect the prices of the Index Commodities may in turn also affect the Futures-Linked Investments similarly. Investors also should note that the size of the Fund in terms of total assets held may change substantially over time and from time-to-time as Baskets are created and redeemed.

Authorized Participants or their clients or customers may have an opportunity to realize a riskless profit if they can purchase a Basket at a discount to the public trading price of the Shares or can redeem a Basket at a premium over the public trading price of the Shares. The Managing Owner expects that the exploitation of such arbitrage opportunities by Authorized Participants and their clients and customers will tend to cause the public trading price to track net asset value per Share closely over time, although there can be no assurance that this will in fact occur.

The value of a Share may be influenced by non-concurrent trading hours between the NYSE Arca and the various futures exchanges on which the Index Commodities are traded. While the Shares trade on the NYSE Arca from 9:30 a.m. to 4:00 p.m. Eastern Time, the trading hours for the futures exchanges on which each of the Index Commodities trade may not necessarily coincide during all of this time.

For example, while the Shares trade on the NYSE Arca until 4:00 p.m. Eastern Time, the COMEX division of the New York Mercantile Exchange closes at 1:30 p.m. Eastern Time. As a result, during periods when the NYSE Arca is open and the futures exchange on which gold is traded are closed, liquidity in the global gold market will be reduced or extremely limited, thus trading spreads and the resulting premium or discount on the Shares may widen, increasing the difference between the price of the Shares and the net asset value of such Shares.

Although the Shares will be listed and traded on the NYSE Arca, there can be no guarantee that an active trading market for the Shares will develop or will be maintained. If you need to sell your Shares at a time when no active market for them exists, the price you receive for your Shares, assuming that you are able to sell them, likely will be lower than the price you would receive if an active market did exist.

Futures contracts and the Futures-Linked Investments have a high degree of price variability and are subject to occasional rapid and substantial changes. Consequently, you could lose all or substantially all of your investment in the Fund.

The commodity markets are subject to temporary distortions or other disruptions due to various factors, including the lack of liquidity in the markets, the participation of speculators, government intervention and exchange regulation.

Futures positions cannot always be liquidated at the desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. The large size of the positions which the Fund may acquire increases the risk of illiquidity by making its positions more difficult to liquidate while increasing the losses incurred while trying to do so. A market disruption, such as when foreign governments may take or be subject to political actions which disrupt the markets in their currency or major exports, can also make it difficult to liquidate a position.

In addition, U.S. futures exchanges and some foreign exchanges have regulations that limit the amount of fluctuation in futures contract prices that may occur during a single business day. These limits are generally referred to as “daily price fluctuation limits” and the maximum or minimum price of a futures contract on any given day as a result of these limits is referred to as a “limit price.” Once the limit

price has been reached in a particular futures contract, no trades may be made at a different price. Limit prices have the effect of precluding trading in a particular futures contract or forcing the liquidation of futures contracts at disadvantageous times or prices.

Furthermore, the above distortions and or disruptions may cause the Fund to liquidate certain of its holdings of 3-month U.S. Treasury bills and TIPS in order to generate sufficient cash to meet margin requirements or close positions at inopportune times.

Market illiquidity and price limits may cause losses for the Fund, and in turn, adversely affect the value of your Shares.

Futures trading is a risk transfer economic activity. For every gain there is an equal and offsetting loss rather than an opportunity to participate over time in general economic growth. An investment in the Shares does not involve acquiring any asset with intrinsic value. Overall stock and bond prices could rise significantly and the economy as a whole prosper while Shares trade unprofitably.

Historically, commodity futures’ returns have tended to exhibit low to negative correlation with the returns of other assets such as stocks and bonds. Although commodity futures trading can provide a diversification benefit to investor portfolios because of its low to negative correlation with other financial assets, the fact that the Index is not 100% negatively correlated with financial assets such as stocks and bonds means that the Fund cannot be expected automatically to be profitable during unfavorable periods for the stock or bond market, or vice-versa. If the Shares perform in a manner that correlates with the general financial markets or do not perform successfully, you will obtain no diversification benefits by investing in the Shares and the Shares may produce no gains to offset your losses from other investments.

The Fund constitutes a new, and thus initially untested, type of investment vehicle. It competes with other financial vehicles, including other commodity pools, hedge funds, traditional debt and equity securities issued by companies in the commodities industry, other securities backed by or linked to such commodities, and direct investments in the underlying commodities or commodity futures contracts. Market and financial conditions, and other conditions beyond the Managing Owner’s control, may make it more attractive to invest in other financial vehicles or to invest in such commodities directly, which could limit the market for the Shares and reduce the liquidity of the Shares.

As the futures contracts that underlie the Index near expiration, they are replaced by contracts that have a later expiration. Thus, for example, a contract purchased and held in August 2011 may specify an October 2011 expiration. As that contract nears expiration, it may be replaced by selling the October 2011 contract and purchasing the contract expiring in December 2011. This process is referred to as “rolling.” Historically, the prices of certain Index Commodities 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 October 2011 contract would take place at a price that is higher than the price at which the December 2011 contract is purchased, thereby creating a gain in connection with rolling. While certain Index Commodities have historically exhibited consistent periods of backwardation, backwardation will likely not exist in these markets at all times. The absence of backwardation in certain Index Commodities will adversely affect the level of the Index and, accordingly, decrease the value of your Shares.

Conversely, certain Index Commodities historically exhibit “contango” markets rather than backwardation. Contango markets are those in which

the prices of contracts are higher in the distant delivery months than in the nearer delivery months due to the costs of long-term storage of a physical commodity prior to delivery or other factors. Although certain Index Commodities have historically exhibited consistent periods of contango, contango will likely not exist in these markets at all times. Contango in certain Index Commodities will adversely affect the level of the Index and, accordingly, decrease the value of your Shares.

Although the roll method of the Index Commodities may minimize the roll losses due to contango and may maximize the roll benefits due to backwardation, there can be no assurance that this outcome will occur.

Fund Structure and Management Related Risks

The mechanisms and procedures governing the creation, redemption and offering of the Shares have been developed specifically for these securities products. Consequently, there may be unanticipated problems or issues with respect to the mechanics of the operations of the Fund and the trading of the Shares that could have a material adverse effect on an investment in the Shares. In addition, although the Fund is not actively “managed” by traditional methods, to the extent that unanticipated operational or trading problems or issues arise, the Managing Owner’s past experience and qualifications may not be suitable for solving these problems or issues.

If one or more Authorized Participants which have substantial interests in the Shares of the Fund were to withdraw from participation, the liquidity of the affected Shares may decrease, which may adversely affect the value of your Shares or lead to tracking error between the market price per Share and the net asset value per Share.

The Managing Owner was formed to be the managing owner of investment vehicles such as the Fund and has no history of past performance. The Managing Owner and its trading principals have not managed any other public commodity pool or any other commodity pool that seeks to track an index of commodity futures, although certain of the trading principals do have experience managing other types of private commodity pools, and therefore there is no indication of their ability to manage investment vehicles such as the Fund. If the experience of the Managing Owner and its trading principals is not adequate or suitable to manage investment vehicles such as the Fund, the operations of the Fund may be adversely affected.

The Fund has not commenced trading and does not have a performance history upon which to evaluate your investment in the Fund. Although past performance is not necessarily indicative of future results, if the Fund had a performance history, such performance history might (or might not) provide you with more information on which to evaluate an investment in the Fund.

Investors in the Fund will pay fees in the aggregate amount of approximately 1.00% per annum as described herein. Additionally, investors are expected to be charged a customary commission by their brokers in connection with purchases of Shares that will vary from investor to investor.

The Fund is expected to earn interest income equal to 0.60% per annum, based upon the blended yield of 3-month U.S. Treasury bills and TIPS ranging in maturity from 1 to 5 years with an average duration of three years, based on prevailing rates on August 18, 2010.

Consequently, depending upon the interest rate environment, and, because the interest rate on the TIPS is linked to the rate of inflation, the rate of inflation and the expenses of the Fund could, over time, result in losses to your investment therein. You may never achieve profits, significant or otherwise, by investing in the Fund.

You cannot be assured that the Managing Owner will be willing or able to continue to service the Fund for any length of time. The Managing Owner may withdraw from the Fund upon 120 days’ notice, which would cause the Fund to terminate unless a substitute managing owner were obtained. If the Managing Owner discontinues its activities on behalf of the Fund and a substitute managing owner has not been appointed, the Fund will terminate and your investment in Shares will be terminated at a time that is not of your choosing, and may adversely affect the value of your portfolio.

Owners of a majority (over 50%) of the Shares have the power to terminate the Fund. If it is so exercised, investors who may wish to continue to invest in the Index through a fund vehicle will have to find another vehicle, and may not be able to find another vehicle that offers the same features as the Fund. See “Description of the Shares; The Fund; Certain Material Terms of the Declaration of Trust – Termination Events” for a summary of termination events. Such detrimental developments could cause you to liquidate your investments and upset the overall maturity and timing of your investment portfolio. If the registrations with the CFTC or memberships in the NFA of the Managing Owner or the Clearing Broker were revoked or suspended, such entity would no longer be able to provide services to the Fund.

The Fund may, in its discretion, suspend the right of redemption or postpone the redemption settlement date, (1) for any period during which an emergency exists as a result of which the redemption distribution is not reasonably practicable, or (2) for such other period as the Managing Owner determines to be necessary for the protection of the Shareholders of the Fund. In addition, the Fund will reject a redemption order if the order is not in proper form as described in the Participant Agreement or if the fulfillment of the order, in the opinion of its counsel, might be unlawful. Any such postponement, suspension or rejection could adversely affect a redeeming Authorized Participant. For example, the resulting delay may adversely affect the value of the Authorized Participant’s redemption proceeds if the net asset value of the applicable Fund declines during the period of delay. The Fund and the Managing Owner disclaim any liability for any loss or damage that may result from any such suspension or postponement.

The Fund will be subject to actual and potential conflicts of interest involving the Managing Owner, various commodity futures brokers and Authorized Participants. The Managing Owner and its trading principals, all of whom are engaged in other investment activities, are not required to devote substantially all of their time to the business of the Fund, which also presents the potential for numerous conflicts of interest with the Fund. As a result of these and other relationships, parties involved with the Fund may have a financial incentive to act in a manner other than in the best interests of the Fund and the Shareholders. The Managing Owner has not established formal procedures to resolve all of the actual and potential conflicts of interest. Consequently, investors will be dependent on the good faith of the respective parties subject to such conflicts to resolve them equitably. Although the Managing Owner attempts to monitor these conflicts, it is extremely difficult, if not impossible, for the Managing Owner to ensure that these conflicts do not, in fact, result in adverse consequences to the Shareholders.

The Fund may be subject to certain conflicts with respect to the Clearing Broker, including, but not limited to, conflicts that result from receiving greater amounts of compensation from other clients, or purchasing opposite or competing positions on behalf of third party accounts traded through the Clearing Broker.

As beneficial interests in a Delaware statutory trust, the Shares do not have all of the statutory rights normally associated with the ownership of shares of a corporation. In addition, the Shares have limited voting and distribution rights (for example, Shareholders do not have the right to elect directors and the Fund is not required to pay regular distributions, although the Fund may pay distributions in the discretion of the Managing Owner). Therefore, an investment in Shares does not provide certain rights and protections offered by an investment in certain other investment vehicles, such as corporations.

Under the Declaration of Trust, the Trustee has the right to be indemnified for any liability or expense it incurs without its fraud, gross negligence, bad faith or willful misconduct and the Managing Owner has the right to be indemnified for any liability or expense it incurs without its fraud, gross negligence, bad faith, willful misconduct or a material breach of the Declaration of Trust. That means the Managing Owner may require the assets of the Fund to be sold in order to cover losses or liability suffered by it or by the Trustee in connection with the Fund. Any sale of that kind would reduce the net asset value of the Fund.

Calculating the net asset value of the Fund includes, in part, any unrealized profits or losses on open commodity futures contracts. Under normal circumstances, the net asset value of the Fund reflects the settlement price of open commodity futures

contracts on the date when the net asset value is being calculated. However, if a commodity futures contract traded on an exchange (both U.S. and, to the extent it becomes applicable, non-U.S. exchanges) could not be liquidated on such day (due to the operation of daily limits or other rules of the exchange or otherwise), the settlement price on the most recent day on which the position could have been liquidated will be the basis for determining the market value of such position for such day. In such a situation, there is a risk that the calculation of the net asset value of the Fund on such day will not accurately reflect the realizable market value of such commodity futures contract. For example, daily limits are generally triggered in the event of a significant change in market price of a commodity futures contract. Therefore, as a result of the daily limit, the current settlement price is unavailable. Because the settlement price on the most recent day on which the position could have been liquidated would be used in lieu of the actual settlement price on the date of determination, there is a risk that the resulting calculation of the net asset value of the Fund could be under or overstated, perhaps to a significant degree.

The Shares are limited liability investments; investors may not lose more than the amount that they invest plus any profits recognized on their investment. However, Shareholders could be required, as a matter of bankruptcy law, to return to the estate of the Fund any distribution they received at a time when the Fund was in fact insolvent or in violation of its Declaration of Trust. In addition, although the Managing Owner is not aware of this provision ever having been invoked in the case of any public futures fund, Shareholders will indemnify the Fund for any harm suffered by it as a result of

Index Related Risks

The Index has a limited history which might (or might not) be indicative of the future Index results or of the future performance of the Fund. Therefore, you will have to make your decision to invest in the Fund on the basis of limited information.

It is possible that the Fund’s performance may not fully replicate the changes in the level of the Index due to disruptions in the markets for the relevant Index Commodities, the imposition of speculative position limits (as discussed in “The Risks You Face - (46) Certain Operations of the Fund, Including the Creation of Baskets, May Be Restricted by Regulatory and Exchange Position Limits and Other Rules and Could Result in Tracking Error Between Changes in the Net Asset Value per Share and Changes in the Level of the Index, or Could Result in the Shares Trading at a Premium or Discount to Net Asset Value per Share”), or due to other extraordinary circumstances. As the Fund approaches or reaches position limits with respect to certain futures contracts comprising the Index and the Managing Owner determines in its commercially reasonable judgment that it has become impracticable or inefficient for any reason for the Fund to gain full or partial exposure to any Index Commodity by investing in a specific futures contract that is a part of the Index, the Fund may invest in a futures contract referencing the particular Index Commodity other than the specific contract that is a part of the Index, or invest in one or more Futures-Linked Investments referencing the particular Index Commodity, including forward agreements, swaps, or other OTC derivatives, or invest in other futures contracts or Futures-Linked Investments not based on the particular Index Commodity if, in the commercially reasonable judgment of the Managing Owner, such replacement instruments tend to exhibit trading prices or returns that correlate with a futures contract that is a part of the Index. In addition, the Fund is not able to replicate exactly the changes in the level of the

Index because the total return generated by the Fund is reduced by expenses and transaction costs, including those incurred in connection with the Fund’s trading activities, and increased by interest income from the Fund’s holdings of 3-month U.S. Treasury bills, TIPS and short-term high quality fixed income securities. Tracking the Index requires trading of the Fund’s portfolio with a view to tracking the Index over time and is dependent upon the skills of the Managing Owner and its trading principals, among other factors.

The Fund is not actively managed by traditional methods. For example, if the Index Commodities or the Futures-Linked Investments owned by the Fund are declining in value, the Fund will not close out the futures positions underlying the Index Commodities or terminate the Futures-Linked Investments, except in connection with a change in the composition or weighting of the Index. The Managing Owner will seek to cause the net asset value of the Fund to track the Index during periods in which the Index is flat or declining as well as when the Index is rising.

The nineteen Index Commodities that may be included in the Index from time-to-time are WTI Crude Oil, Heating Oil, RBOB Gasoline, Natural Gas, Corn, Soybeans, Live Cattle, Gold, Aluminum, Copper, Sugar, Cotton, Cocoa, Coffee, Nickel, Wheat, Lean Hogs, Orange Juice, and Silver.

The physical commodities underlying either the exchange-traded futures contracts included as Index Commodities of the Index or the related Futures-Linked Investments from time-to-time may be heavily concentrated in a limited number of sectors, particularly energy and agriculture. An investment in the Fund may therefore carry risks similar to a concentrated securities investment in a limited number of industries or sectors. Concentration in fewer Index Commodities may result in a greater degree of volatility in the Index and the net asset

value of the Fund under specific market conditions over time.

The commodities underlying the futures contracts included in the Index Commodities will be from one of the following categories: energy, base metals, precious metals, and agriculture. As a result, the Index may become concentrated in a specific category. As the Index concentration increases in a category, the corresponding futures contracts or Futures-Linked Investments owned by the Fund will increase accordingly. Additional concentration increases the opportunity for greater potential losses and gains. Therefore, an increase in the concentration within a category may cause the Shares to magnify their potential losses.

The performance of the Shares is linked to the aggregate changes in the closing levels of the Index Commodities. Price movements between the Index Commodities representing different commodity classes may not correlate with each other. At a time when the value of an Index Commodity representing a particular commodity class increases, the value of other Index Commodities representing different commodity classes may not increase as much or may decline. Therefore, in calculating the closing level of the Index, increases in the value of some of the Index Commodities may be moderated by lesser increases, or more than offset by declines in the closing levels of other Index Commodities.

Although the Index Oversight Committee may make certain decisions (such as discontinuing the Index) that may negatively affect the existence of the Index or the Index levels, Shareholders will have no rights against the Index Oversight Committee. The Index Oversight Committee has no obligations relating to this offering or to the Shareholders.

The Index Oversight Committee and Index Calculation Agent calculate and maintain the Index. The Index Oversight Committee may add, eliminate or substitute the instruments underlying the Index or make other methodological changes that may change the level of an Index Commodity. You should realize that changing an underlying instrument included in the Index may significantly affect its results, either negatively or positively. Additionally, the Index Oversight Committee and or the Index Calculation Agent may alter, discontinue or suspend calculation or dissemination of an Index Commodity. Any of these actions could adversely affect the value of the Shares. The Index Oversight Committee and Index Calculation Agent have no obligation to consider your interests in calculating or revising an Index Commodity.

The Index Calculation Agent calculates and maintains the Index. The Index Calculation Agent is entitled to exercise limited discretion in relation to the Index, including, but not limited to, calculating the Index levels should an extraordinary event (as provided by the Index rules) occur. Although the Index Calculation Agent will act and make all determinations in good faith, it should be noted that the policies and judgments for which the Index Calculation Agent is responsible may have an impact, positive or negative, on the Index levels, and in turn, the value of your Shares.

Jefferies Group, Inc. and its affiliates may publish research from time-to-time on commodity markets and other matters that may influence the value of the Shares, or express opinions or provide recommendations that are inconsistent with purchasing or holding the Shares. Jefferies Group,

Inc. and its affiliates may have published or may publish in the future research or other opinions that call into question the investment view implicit in an investment in the Shares. Any research, opinions or recommendations expressed by these entities may not be consistent with each other and may be modified from time-to-time without notice. Shareholders should make their own independent investigation of the merits of investing in the Shares.

The Index Commodities are subject to rebalancing and weighting limits. By contrast, a synthetic portfolio that does not rebalance and is not subject to any weighting limits could see greater compounded gains over time through exposure to a consistently and rapidly appreciating portfolio consisting of the Index Commodities. Therefore, the investment strategy of the Index may constrain the potential results of a particular Index, and in turn, decrease the potential value of your Shares.

The Index Commodities that comprise the Index may have different weights at various times. One consequence of such an unequal weighting of the Index Commodities is that the same percentage change in two of the Index Commodities may have different effects on the level of the Index due to the unequal weightings. Therefore, as the weighting of an Index Commodity increases, a decrease in the value of such an Index Commodity would further decrease the value of the Index, and in turn, the value of your Shares.

Changes in the closing levels amongst the Index Commodities may become highly correlated from time-to-time, including, but not limited to, a period during which there is a substantial decline in a

particular sector represented by the Index Commodities. Furthermore, such Index Commodities may have a higher weighting in the Index relative to any of the other sectors. High correlation during periods of negative returns among heavily weighted Index Commodities representing any one sector may adversely impact the closing levels of the Index, and in turn, the value of your Shares.

The closing levels of the Index depend on the results of the underlying Index Commodities, as determined by the index methodology. There can be no assurance that the selection of the Index Commodities will actually produce higher closing levels than a different combination of index commodities, methodologies, or strategies.

Certain of the futures contracts underlying the Index Commodities, most notably agricultural products, tend to have only a few contract months each year that trade with sufficient liquidity. Thus, the futures contracts corresponding to these Index Commodities tend to expire infrequently, roll forward less frequently than monthly, and may have further pronounced pricing volatility during extended periods of low liquidity. In turn, the related Futures-Linked Investments may also reflect greater volatility accordingly.

Certain of the Index Commodities, notably those in the energy and industrial metals sectors, have liquid futures contracts that expire every month. Therefore, these contracts may be rolled forward every month. In respect of the futures contracts underlying the Index Commodities that represent energy, it should be noted that, due to the significant level of its continuous and worldwide consumption, limited reserves, and oil cartel controls, energy commodities are subject to rapid price increases in the event of perceived or actual shortages. In turn, the related Futures-Linked Investments may also reflect greater volatility accordingly.

As a result of the additional volatility of the Index Commodities, the closing levels of the applicable Index, and in turn the value of your Shares, may also become subject to a corresponding increase in volatility.

Treasury Security Related Risks

The Fund will invest in TIPS which are special types of treasury bonds that were created to offer bond investors protection from inflation. The value of TIPS is subject to the effects of changes in real interest rates that may change as a result of different factors. The value of TIPS tends to decrease when real interest rates increase and increase when real interest rates decrease. Real interest rates are tied to the relationship between nominal interest rates and the rate of inflation. If nominal interest rates increase at a faster rate than inflation, real interest rates may rise, leading to a decrease in value of the TIPS. Therefore, in certain interest rate environments, such as when real interest rates are rising faster than nominal interest rates, TIPS may experience greater losses than other fixed income securities with similar duration.

The values of the TIPS are automatically adjusted to the inflation rate as measured by the non-seasonally adjusted U.S. City Average All Items Consumer Price Index for all Urban Consumers, the Consumer Price Index, or CPI, published monthly by the U.S. Department of Labor’s Bureau of Labor Statistics. If the CPI goes up by half a percent, the value of the TIPS also goes up by half a percent. However if the CPI falls, the value of the TIPS does not fall because the government guarantees that the original investment will remain the same. The CPI measurement may not be completely accurate and, as a result, the principal balance of the TIPS may not increase commensurately with true interest.

TIPS are fixed income securities whose principal value is periodically adjusted according to the rate of inflation as measured by the CPI. The index for measuring the inflation rate for inflation-linked U.S. Treasury securities, such as TIPS, is the CPI. Although interest payments on TIPS will vary

along with changes in the CPI, there can be no assurance that the CPI will accurately measure the change in the general price increase of a certain good or service. Therefore the inflation adjustment made to TIPS may not be accurate.

Generally, during periods of rising inflation, the value of TIPS will tend to increase, and during periods of deflation, the value of TIPS will tend to decrease. If the TIPS’s principal value falls due to deflation, the TIPS will be adjusted downward, and consequently the interest payable on the TIPS (calculated with respect to a smaller principal amount) will be reduced. While deflation will cause a reduction in the interest payment made on TIPS, the repayment of principal at the maturity of the TIPS is guaranteed by the U.S. Treasury to be no less than the original face or par amount of the TIPS at the time of issuance.

THE INFLATION PROTECTION OFFERED BY THE FUND’S INVESTMENT IN TIPS DOES NOT GUARANTEE THAT THE FUND WILL BE PROFITABLE.

Regulatory Related Risks

The Fund is not registered as an investment company under the Investment Company Act of 1940, and it is not required to register under such Act. Consequently, Shareholders will not have the regulatory protections provided to investors in registered and regulated investment companies, such as, for example, the requirement that investment companies must have a board of directors comprised of disinterested directors which oversees the registered fund’s activities with respect to entering into advisory contracts and other agreements and the requirement that investment companies must establish policies and procedures that address various

conflicts of interest. Furthermore, the Investment Company Act of 1940 imposes a number of investment restrictions and diversification requirements, prohibitions against certain transactions with affiliates, and regulates a number of additional areas. Investors in Shares will not have the benefit of any of these protections.

Some of the Fund’s trading is expected to be conducted on commodity exchanges outside the United States. Specifically, the Fund’s trading of aluminum and nickel will be conducted on The London Metal Exchange, or the LME. Trading on such exchanges is not regulated by any United States governmental agency and may involve certain risks not applicable to trading on United States exchanges, including different or diminished investor protections. In trading contracts denominated in currencies other than U.S. dollars, Shares will be subject to the risk of adverse exchange-rate movements between the dollar and the functional currencies of such contracts. Shareholders could incur substantial losses from trading on commodity exchanges which such Shareholders would not have otherwise been subject had the Fund’s trading been limited to U.S. markets.

Based on the historical closing levels of the Index, the Managing Owner estimates that approximately 7% of the Fund’s trading is expected to be conducted on the LME and other commodity exchanges outside the United States.

The above estimate is only an approximation. The actual percentage may be either lesser or greater than above-listed.

The global financial markets have in the past few years gone through pervasive and fundamental disruptions that have led to extensive and unprecedented governmental intervention. Such intervention has in certain cases been implemented on an “emergency” basis, suddenly and substantially eliminating market participants’ ability to continue to implement certain strategies or manage the risk of their outstanding positions. In addition — as one would expect given the complexities of the financial markets and the limited time frame within which governments have felt compelled to take action — these interventions have typically been unclear in scope and application, resulting in confusion and uncertainty which in itself has been materially detrimental to the efficient functioning of the markets as well as previously successful investment strategies.

The Fund may incur major losses in the event of disrupted markets and other extraordinary events in which historical pricing relationships become materially distorted. The risk of loss from pricing distortions is compounded by the fact that in disrupted markets many positions become illiquid, making it difficult or impossible to close out positions against which the markets are moving. The financing available to market participants from their banks, dealers and other counterparties is typically reduced in disrupted markets. Such a reduction may result in substantial losses to the affected market participants. Market disruptions may from time to time cause dramatic losses, and such events can result in otherwise historically low-risk strategies performing with unprecedented volatility and risk.

In response to the recent financial crises, the Obama Administration and the U.S. Congress proposed sweeping reform of the U.S. financial regulatory system. After over a year of debate, the Dodd-Frank Wall Street Reform and Consumer Protection Act, or the Reform Act, became law in July 2010. The Reform Act seeks to regulate markets, market participants and financial instruments that previously have been unregulated and substantially alters the regulation of many other markets, market participants and financial instruments. Because many provisions of the Reform Act require rulemaking by the applicable regulators before becoming fully effective and the Reform Act mandates multiple agency reports and studies (which could result in additional legislative or regulatory action), it is difficult to predict the impact of the Reform Act on the Fund, the Managing Owner, and the markets that affect the large cap U.S. equity markets, the option markets, the futures markets and the markets for other instruments that contribute to the level of the VIX Futures Index, the Net Asset

Value of the Fund or the market price of the Shares. The Reform Act could result in the Fund’s investment strategy becoming non-viable or non-economic to implement. The Reform Act and regulations adopted pursuant to the Reform Act could have a material adverse impact on the profit potential of the Fund. See also Risk Factor (45) “The Effects of New Regulation of the Over-the-Counter Derivatives Markets is Unknown and May Have a Detrimental Effect on the Value of Your Shares” below.

The Reform Act includes provisions that comprehensively regulate the OTC derivatives markets for the first time.

The Reform Act mandates that a substantial portion of OTC derivatives must be executed in regulated markets and submitted for clearing to regulated clearinghouses. OTC trades submitted for clearing will be subject to minimum initial and variation margin requirements set by the relevant clearinghouse, as well as possible SEC or CFTC mandated margin requirements. The regulators also have broad discretion to impose margin requirements on non-cleared OTC derivatives and new requirements will apply to the holding of customer collateral by OTC derivatives dealers. These requirements may increase the amount of collateral that the Fund is required to provide and the costs associated with providing it. Although the Reform Act includes limited exemptions from the clearing and margin requirements for so-called “end-users,” the Fund will not be able to rely on these exemptions. In addition, the OTC derivative dealers with which the Fund expects to execute the majority of its OTC derivatives will not be able to rely on the end-user exemptions under the Reform Act and therefore these dealers will be subject to clearing and margin requirements irrespective of whether the Fund is subject to these requirements. OTC derivative dealers also will be required to post margin to the clearinghouses through which they clear their customers’ trades instead of using those assets in their operations, as is currently permitted. This will increase the OTC derivative dealers’ costs, and these increased costs are expected to be passed through to other market participants in the form of higher upfront and mark-to-market margin, less favorable trade pricing, and the possible imposition of new or increased fees.

The SEC and CFTC may also require a substantial portion of derivative transactions that are currently executed on a bi-lateral basis in the OTC markets to be executed through a regulated securities, futures, or swap exchange or execution facility. Such requirements may make it more difficult and costly for investment funds, including the Fund, to enter into highly tailored or customized transactions. They may also render Futures-Linked Investments in which the Fund might otherwise engage impossible or so costly that they will no longer be economical to implement.

OTC derivative dealers and major OTC derivatives market participants will be required to register with the SEC and/or CFTC. The Fund or the Managing Owner may be required to register as major participants in the OTC derivatives markets. Dealers and major participants will be subject to minimum capital and margin requirements. These requirements may apply irrespective of whether the OTC derivatives in question are exchange-traded or cleared. OTC derivatives dealers will also be subject to new business conduct standards, disclosure requirements, reporting and recordkeeping requirements, transparency requirements, position limits, limitations on conflicts of interest, and other regulatory burdens. These requirements may further increase the overall costs for OTC derivative dealers, which costs are also likely to be passed along to market participants. The overall impact of the Reform Act on the Fund is highly uncertain and it is unclear how the OTC derivatives markets will adapt to this new regulatory regime.

CFTC and commodity exchange rules impose speculative position limits and position accountability levels on market participants, including the Fund, trading in certain commodities. These position limits prohibit any person from holding a position of more than a specific number of such futures contracts.

The Index is composed of 19 Index Commodities, of which 17 are subject to speculative position limits imposed by either the CFTC or

the rules of the futures exchanges on which the futures contracts for the applicable Index Commodities are traded. The purposes of speculative position limits are to diminish, eliminate or prevent sudden or unreasonable fluctuations or unwarranted changes in the prices of futures contracts. Currently, speculative position limits (i) for corn, wheat, soybean and cotton are determined by the CFTC and (ii) for all other commodities are determined by the futures exchanges. Generally, speculative position limits in the physical delivery markets are set at a stricter level in the month when the futures contract matures and becomes deliverable, known as the “spot month,” versus the limits set for all other months. Subject to any relevant exemptions, traders, such as the Fund, may not exceed speculative position limits, either individually, or in the aggregate with other persons with whom they are under common control or ownership. If the Managing Owner determines that the Fund’s trading may be approaching any of these speculative position limits, the Fund may reduce its trading in that commodity or trade in other commodities or instruments that the Managing Owner determines comply with the rules and goals of the Index.

The Fund is subject to certain position limits (see “Investment Objective of the Fund—Investment Objective”) and, consequently, the Fund’s ability to issue new Baskets or to reinvest income in additional futures contracts corresponding to the Affected Index Commodities may be limited to the extent that these activities would cause the Fund to exceed the applicable position limits, unless the Fund establishes long positions in alternative futures contracts or Futures-Linked Investments, such as forward contracts, swaps or other OTC derivatives in addition to and as a proxy for futures on the Affected Index Commodities. Speculative position limits and the use of alternative futures contracts or Futures-Linked Investments in addition to or as a proxy for futures on the Affected Index Commodities may affect the correlation between changes in the net asset value per Share and changes in the level of the Index, and the correlation between the price of the Shares, as traded on the NYSE Arca and the net asset value per Share.

It is possible that in the future, the CFTC may propose new rules with respect to position limits in agricultural, energy and any other commodities for traders engaged in indexed-based trading, such as the trading engaged in by the Fund. Depending on the outcome of any future CFTC rulemaking, the rules concerning position limits may be amended in a manner that is either detrimental or favorable to the Fund. For example, if the amended rules are

detrimental to the Fund, the Fund’s ability to issue new Baskets, or its ability to reinvest income in additional futures contracts corresponding to the Affected Index Commodities, may be limited to the extent these activities would cause the Fund to exceed the applicable position limits. Limiting the size of the Fund may affect the correlation between the price of the Shares, as traded on the NYSE Arca, and the net asset value of the Fund. That is, the inability to create additional Baskets could result in Shares trading at a premium or discount to net asset value of the Fund.

Trading in Shares may be halted due to market conditions or, in light of NYSE Arca rules and procedures, for reasons that, in the view of the NYSE Arca, make trading in Shares inadvisable. In addition, trading is subject to trading halts caused by extraordinary market volatility pursuant to “circuit breaker” rules that require trading to be halted for a specified period based on a specified market decline.

Additionally, there can be no assurance that the requirements necessary to maintain the listing of the Shares will continue to be met by the Fund or will remain unchanged by the NYSE Arca. The Fund will be terminated if the Shares are delisted from the NYSE Arca and are not successfully registered on another exchange.

Tax Related Risks

Shareholders will be subject to U.S. federal income taxation and, in some cases, state, local, or foreign income taxation on their allocable share of the Fund’s taxable income, whether or not they receive cash distributions from the Fund. Shareholders may not receive cash distributions equal to their share of the Fund’s taxable income or even the tax liability that results from such income.

U.S. federal income tax rules applicable to partnerships are complex and often difficult to apply to publicly traded partnerships. The Fund will apply certain assumptions and conventions in an attempt to comply with applicable rules and to report income, gain, deduction, loss and credit to Shareholders in a manner that reflects Shareholders’ beneficial shares of partnership items, but these assumptions and conventions may not be in compliance with all aspects of applicable tax requirements. It is possible that the IRS will successfully assert that the conventions and assumptions used by the Fund do not satisfy the technical requirements of the Code and/or Treasury Regulations and could require that items of income, gain, deduction, loss or credit be adjusted or reallocated in a manner that adversely affects you.

Under current law, long-term capital gains are taxed to non-corporate investors at a maximum U.S. federal income tax rate of 15%. This tax treatment may be adversely affected, changed or repealed by future changes in tax laws at any time and is currently scheduled to expire for tax years beginning after December 31, 2010.

PROSPECTIVE INVESTORS ARE STRONGLY URGED TO CONSULT THEIR OWN TAX ADVISERS AND COUNSEL WITH RESPECT TO THE POSSIBLE TAX CONSEQUENCES TO THEM OF AN INVESTMENT IN THE SHARES; SUCH TAX CONSEQUENCES MAY DIFFER WITH RESPECT TO DIFFERENT INVESTORS.

Other Risks

The Managing Owner may determine that the Fund may enter into one or more Futures-Linked Investments through a dealer market which is dominated by major money center banks and is substantially unregulated. Thus, you do not receive the same protection as provided to futures traders in United States markets by the CFTC, regulatory scheme or the statutory scheme of the Commodity Exchange Act.

Markets in which the Fund may effect a transaction in one or more Futures-Linked Investments are in the “over-the-counter” unregulated private markets. The participants and dealers in such markets are typically not subject to the same level of credit evaluation and regulatory oversight as are members of the exchange-based markets. This exposes the Fund to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a credit or liquidity problem or a dispute over the terms of the contract (whether or not bona fide), thus causing the Fund to suffer a loss. Such counterparty risk is accentuated for contracts with longer maturities where events may intervene to prevent settlement, or in instances where the Fund has concentrated its transactions with a single or small group of counterparties. Recent events surrounding the bankruptcies or similar proceedings of various counterparties and dealers have demonstrated certain risks of the Fund engaging in these “over-the-counter” transactions in unregulated private markets. Therefore, the Fund faces the risk of non-performance by the counterparties to the Futures-Linked Investments and such non-performance may cause some or all of the Fund’s gain, if any, on its Futures-Linked Investments to be unrealized.

The Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding from a counterparty and the Fund may obtain only limited recovery or may obtain no recovery in such circumstances.

The Futures-Linked Investments have terms that make them less marketable than futures on the Index Commodities. Futures-Linked Investments are less

marketable because they are not traded on an exchange, do not have uniform terms and conditions, and are entered into based upon the creditworthiness of the parties and the availability of credit support, such as collateral, and in general, are not transferable without the consent of the counterparty.

The Commodity Exchange Act requires a clearing broker to segregate all funds received from customers from such broker’s proprietary assets. If the Clearing Broker fails to do so, the assets of the Fund might not be fully protected in the event of the Clearing Broker’s bankruptcy. Furthermore, in the event of the Clearing Broker’s bankruptcy, the Fund could be limited to recovering either a pro-rata share of all available funds segregated on behalf of the Clearing Broker’s combined customer accounts or the Fund may not recover any assets at all, even though certain property specifically traceable to the Fund was held by the Clearing Broker. The Clearing Broker may, from time-to-time, have been the subject of certain regulatory and private causes of action. Such material actions, if any, are described under “The Commodity Brokers.”

In the event of a bankruptcy or insolvency of any exchange or a clearing house, the Fund could experience a loss of the funds deposited through its Clearing Broker as margin with the exchange or clearing house, a loss of any profits on its open positions on the exchange, and the loss of unrealized profits on its closed positions on the exchange.

The Managing Owner has consulted with counsel, accountants and other advisers regarding the formation and operation of the Fund. No counsel has been appointed to represent you in connection with the offering of the Shares. Accordingly, you should consult your own legal, tax and financial advisers regarding the desirability of an investment in the Shares.

While the Managing Owner believes that all intellectual property rights needed to operate the Fund are either owned by or licensed to the Managing Owner or have been obtained, third parties may allege or assert ownership of intellectual property rights which may be related to the design, structure and operations of the Fund. To the extent any claims of such ownership are brought or any proceedings are instituted to assert such claims, the negotiation, litigation or settlement of such claims, or the ultimate disposition of such claims in a court of law if a suit is brought, may adversely affect the Fund and an investment in the Shares, for example, resulting in expenses or damages or the termination of the Fund.

CAUTIONARY NOTE REGARDING

FORWARD-LOOKING STATEMENTS

This Prospectus includes forward-looking statements that reflect the Managing Owner’s current expectations about the future results, performance, prospects and opportunities of the Fund. The Managing Owner has tried to identify these forward-looking statements by using words such as “may,” “will,” “expect,” “anticipate,” “believe,” “intend,” “should,” “estimate” or the negative of those terms or similar expressions. These forward-looking statements are based on information currently available to the Managing Owner and are subject to a number of risks, uncertainties and other factors, both known, such as those described in “Risk Factors” in this Summary, in “The Risks You Face” and elsewhere in this Prospectus, and unknown, that could cause the actual results, performance, prospects or opportunities of the Fund to differ materially from those expressed in, or implied by, these forward-looking statements.

You should not place undue reliance on any forward-looking statements. Except as expressly required by the federal securities laws, the Managing Owner undertakes no obligation to publicly update or revise any forward-looking statements or the risks, uncertainties or other factors described in this Prospectus, as a result of new information, future events or changed circumstances or for any other reason after the date of this Prospectus.

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INVESTMENT OBJECTIVE OF THE FUND

Investment Objective

The Fund seeks to track changes, whether positive or negative, in the level of the Index, over time. The Fund will pursue its investment objective primarily by maintaining long futures positions corresponding to the futures contracts that comprise the Index, with an aggregate notional amount equal to the Fund’s total capital. The Fund may use alternative futures contracts or Futures-Linked Investments under certain circumstances. The Fund’s performance also will reflect the difference, positive or negative, between its interest income from its holdings of 3-month U.S. Treasury bills, TIPS and other high credit quality short-term fixed income securities, over the expenses of the Fund. The Shares are designed for investors who want a cost effective and convenient way to invest in a diversified index of commodity futures on U.S. and non-U.S. markets.

Advantages of investing in the Shares include:

Investing in the Shares does not insulate Shareholders from certain risks, including price volatility.

If the Managing Owner determines in its commercially reasonable judgment that it has become impracticable or inefficient for any reason for the Fund to gain a full or a partial exposure to any Index Commodity by investing in a specific futures contract that is a part of the Index, the Fund may:

if, in the commercially reasonable judgment of the Managing Owner, such above instruments tend to exhibit trading prices or returns that correlate with a futures contract that is a part of the Index. Investing

in Futures-Linked Investments exposes the Fund to counterparty risk, or the risk that a Futures-Linked Investment counterparty will default on its obligations under the Futures-Linked Investment.

The Index Calculation Agent obtains information for inclusion in, or for use in the calculation of, the Index from sources the Index Calculation Agent considers reliable. None of the Index Calculation Agent, the Managing Owner, the Fund or any of their respective affiliates accepts responsibility for or guarantees the accuracy and/or completeness of the Index or any data included in the Index.

The intra-day indicative value per Share is based on the prior day’s final net asset value, adjusted once every fifteen seconds throughout the trading day to reflect the percentage price changes of the Fund’s futures contracts and holdings of TIPS and United States Treasuries and other high credit quality short-term fixed income securities to provide a continuously updated estimated net asset value per Share. The final net asset value of the Fund and the final net asset value per Share will be calculated as of the closing time of the NYSE Arca or the last to close of the exchanges on which the Fund’s futures contracts are traded, whichever is latest, and posted in the same manner. Although a time gap may exist between the close of the NYSE Arca and the close of the exchanges on which the Index Commodities are traded, there is no effect on the net asset value calculations as a result.

The Shares are intended to provide investment results that generally correspond to the changes, whether positive or negative, in the level of the Index, over time.

The value of the Shares is expected to fluctuate in relation to changes in the net asset value of the Fund. The market price of the Shares may not be identical to the net asset value per Share, but these two valuations are generally expected to be very close. See “The Risks You Face – (3) Net Asset Value May Not Always Correspond to Market Price and, as a Result, Baskets May Be Created or Redeemed at a Value that Differs From the Market Price of the Shares.”

There can be no assurance that the Fund will achieve its investment objective or avoid substantial losses. The Fund has no performance history. The value of the Shares on the secondary market is expected to fluctuate generally in relation to changes in the net asset value of the Fund.

Role of Managing Owner

The Managing Owner is registered as a commodity pool operator and commodity trading advisor with the Commodity Futures Trading Commission and is a member of the NFA.

The Managing Owner will serve as the commodity pool operator and commodity trading advisor of the Fund.

Specifically, the Managing Owner:

The principal office of the Managing Owner is located at One Station Place, Three North, Stamford, CT 06902. The telephone number of the Managing Owner is (203) 708-6500.

DESCRIPTION OF THE THOMSON REUTERS /

JEFFERIES CRB 3 MONTH FORWARD

INDEX

Thomson Reuters is a brand licensor for the Index and acts as the Index Calculation Agent. Thomson Reuters does not approve, endorse or recommend the Fund or the Managing Owner. “Thomson,” “Thomson Reuters,” “Reuters” and “CRB” are service marks or trademarks of Thomson Reuters (Markets) LLC, a Thomson Reuters company, or its affiliates.

General

The Index is designed to provide timely and accurate representation of a long-only, broadly diversified investment in commodities through a transparent and disciplined calculation methodology. The Index is currently composed of futures contracts on the following 19 physical commodities, each of which are referred to as an Index Commodity: aluminum, cocoa, coffee, copper, corn, cotton, crude oil, gold, heating oil, lean hogs, live cattle, natural gas, nickel, orange juice, silver, soybeans, sugar, RBOB gasoline, and wheat. The Index Commodities currently trade on United States futures exchanges, with the exception of aluminum and nickel, which trade on the LME.

The Index tracks the changes in the closing levels of the futures positions that would in three months comprise the Thomson Reuters / Jefferies CRB Index. A commodity futures contract is a bilateral agreement that provides for the purchase and sale of a specified type and quantity of a commodity during a stated delivery month for a fixed price.

The history of the Thomson Reuters / Jefferies CRB Index dates back to 1957, when the Commodity Research Bureau constructed an index comprised of 28 commodities that made its inaugural appearance in the 1958 CRB Commodity Year Book. Since then, as commodity markets have evolved, the original index has undergone periodic updates to remain an important benchmark for the performance of commodities as an asset class. The original index was renamed the Reuters/Jefferies CRB Index in 2005 when it underwent its tenth and most recent revision — as the collaborative effort of Reuters, the global information company, and Jefferies Financial Products, LLC, an affiliate of the Managing Owner — to maintain its representation of modern commodity markets. The original index was

renamed the Thomson Reuters/Jefferies CRB Index, or the TR/J CRB Index, in 2009 to reflect the 2008 combination of the Thomson Corporation and Reuters Group PLC. The TR/J CRB Index is currently being calculated in accordance with the methodology adopted in 2005.

The Index was first published in April 2007 and tracks the changes in the closing levels of the futures positions that would in three months comprise the TR/J CRB Index. The Index is calculated daily by the Index Calculation Agent.

The Index historically has tended to exhibit low to negative correlation with both equities and conventional bonds, respectively. The correlation table below illustrates the low and negative correlation of the Index to the S&P 500^® Index (Total Return) and the Barclays Capital US Aggregate Bond Index (Total Return), respectively, for the period January 1, 1995 through December 31, 2009. In this table, statistically, investments with a correlation of 100% increase or decrease at the same time, while investments with a correlation of -100% always move in the opposite direction.