Zacks International Income Advantage Strategy Portfolio Series 1

The Sponsor has selected Zacks Investment Management (“ZIM”) to serve as the Trust’s portfolio consultant. The portfolio consultant is responsible for assisting the Sponsor with the selection of the Trust’s portfolio.

The Zacks International Income Advantage Strategy utilizes a quantitative selection process developed by ZIM to determine the constituents of a final portfolio. The screening process to determine the actual investment portfolio of the Trust was executed six business days before the initial date of deposit of the Trust (the “Security Selection Date”).

See “Investment Policies” in Part B of the prospectus for additional information.

The Trust’s portfolio is divided into five different asset segments:

• Emerging Market ADR Segment: American Depositary Receipts (“ADRs”) of companies domiciled in emerging markets as defined by Morgan Stanley Capital International.
• Developed Market ADR Segment: ADRs of companies domiciled in developed market countries as defined by Morgan Stanley Capital International.
• Closed-End Fund Segment: Common shares of closed-end investment companies (“Closed-End Funds”) that invest at least 50% of their value in non- U.S. assets.
• International REIT Segment: Foreignlisted common stocks of real estate investment companies (“REITs”) domiciled in non-U.S. countries.
• Commodities/Natural Resources Segment: Common stocks of companies that are involved in natural resources and/or commodities business operations.

The selection methodology for each asset segment is described below.

Certain of the Closed-End Funds selected for the Trust invest in high-yield or “junk” securities. Please see “Principal Risks” and “ Investment Risks” for additional information about the risks of investing in high-yield or “junk” securities.

The security selection process begins by identifying an initial universe of all securities that trade on at least one North American securities exchange or at least one foreign securities exchange as of the Security Selection Date. These securities include only closed-end funds, common stocks, ADRs and REITs. From this initial universe, the Trust portfolio is compiled using factors designed to identify securities in each segment below that meet certain investment criteria.

Emerging Market ADR Segment

The Emerging Market ADR Segment of the Trust’s portfolio is reduced to 15 ADRs based on the following pre-set quantitative investment criteria as of the Security Selection Date:

1. Limit the universe of ADRs to those whose parent companies are domiciled in emerging market countries.
2. Eliminate ADRs that have not paid a dividend in the last 12 months and those not listed on a major securities exchange.
3. Eliminate ADRs that do not have an indicated annual dividend greater than their three-year average indicated annual dividend.
4. Rank the remaining ADRs by market capitalization and eliminate those not among the largest 250 companies.
5. Rank the remaining ADRs by payout ratio, where payout ratio is defined as dividends per share divided by earnings per share, and eliminate the 10% with the highest payout ratios.
6. Rank the remaining ADRs based on dividend yield and select the 15 with the highest dividend yield for inclusion in the Trust.
7. Add together each of the 15 ADRs’ dividend yields to determine the aggregate dividend yield (“Aggregate Dividend Yield”) of the Emerging Market ADR Segment. Weight the 15 ADRs based on their individual contribution to the Aggregate Dividend Yield of the Emerging Market ADR Segment. For example, if the Aggregate Dividend Yield of the Emerging Market ADR Segment is 50%, an ADR with a dividend yield of 5% will have a weighting equal to 5% of 50%, or 10% of the Emerging Market ADR Segment. The Emerging Market ADR Segment will make up 20% of the Trust portfolio. No more than 5% of the segment may be invested in companies in the financials sector, as defined by Zacks Investment Research, Inc.

Developed Market ADR Segment

The Developed Market ADR Segment of the Trust’s portfolio is reduced to 20 securities based on the following pre-set quantitative investment criteria as of the Security Selection Date:

1. Limit the universe to ADRs whose parent companies are domiciled in developed market countries.
2. Eliminate ADRs that have not paid a dividend in the last 12 months.
3. Eliminate ADRs that have an indicated annual dividend less than their three-year average indicated annual dividend.
4. Rank the remaining ADRs by market capitalization and eliminate those not among the largest 250 companies.
5. Rank the remaining ADRs by payout ratio, where payout ratio is defined as dividends per share divided by earnings per share, and eliminate the 10% with the highest payout ratios.
6. Rank the remaining ADRs based on dividend yield and select the 20 with the highest dividend yield for inclusion in the Trust.
7. Weight these 20 ADRs based on their individual contribution to the Aggregate Dividend Yield generated by the Developed Market ADR Segment, which will make up 35% of the Trust portfolio. No more than 5% of the segment may be invested in companies in the financials sector, as defined by Zacks Investment Research, Inc.

Closed-End Fund Segment

The Closed-End Fund Segment of the Trust’s portfolio is reduced to 10 securities based on the following pre-set quantitative investment criteria as of the Security Selection Date:

1. Limit the universe to Closed-End Funds that invest at least 50% of their assets under management in “non-U.S.” assets.
2. Eliminate those Closed-End Funds that are not trading at a discount to net asset value and have less than $150 million in assets under management.
3. Eliminate those Closed-End Funds that have not paid a dividend in the last 12 months.
4. Eliminate those Closed-End Funds with less than $3 million in liquidity, where liquidity is defined as share price times the average of the most recent threemonth trading volume.
5. Rank the remaining Closed-End Funds based on dividend yield and select the 10 with the highest dividend yield for inclusion in the Trust.
6. Weight these 10 Closed-End Funds based on their individual contribution to the Aggregate Dividend Yield generated by the Closed-End Fund Segment, which will make up 15% of the Trust portfolio.

International REIT Segment

The International REIT Segment of the Trust’s portfolio is reduced to 10 securities based on the following pre-set quantitative investment criteria as of the Security Selection Date:

1. Eliminate REITs that do not trade in a developed market.
2. Eliminate REITs that trade in the U.S.
3. Eliminate REITs with less than $5 million in liquidity, where liquidity is defined as share price times the average of the most recent three-month trading volume.
4. Rank the remaining REITs based on dividend yield and select the 10 with the highest dividend yield for inclusion in the Trust.
5. Weight these 10 REITs based on their individual contribution to the Aggregate Dividend Yield generated by the International REIT Segment, which will make up 20% of the Trust portfolio.

Commodities/Natural Resources Segment

The Commodities/Natural Resources Segment of the Trust’s portfolio is reduced to 10 securities based on the following pre-set quantitative investment criteria as of the Security Selection Date:

1. Limit the universe to companies that are involved in natural resources and/or commodities business operations.
2. Eliminate those securities that do not have a market capitalization of at least $250 million and liquidity of at least $100 million, where liquidity is defined as share price times the average of the most recent three-month trading volume.
3. Eliminate those securities that have an indicated annual dividend less than their three-year average indicated annual dividend.
4. Rank the remaining securities based on dividend yield and select the 10 with the highest dividend yield for inclusion in the Trust.
5. Weight these 10 securities based on their individual contribution to the Aggregate Dividend Yield generated by the Commodities/Natural Resources Segment, which will make up 10% of the Trust portfolio. However, the maximum aggregate weight of any U.S. domiciled companies selected by these criteria is limited to 2.5% of the segment’s 10% allocation to the Trust portfolio.

Final Trust Portfolio Construction Screen

The five asset segments are combined to form a final portfolio subject to the following diversification rules:

1. No more than 20% of the Trust portfolio may be invested in companies domiciled in a single country.
2. No more than 30% of the Trust portfolio may be invested in companies that are assigned to the same sector by Zacks Investment Research, Inc.

A final liquidity check is performed as follows: Any security eligible for inclusion in the Trust portfolio with liquidity of less than the estimated total dollar value of the security as of the Security Selection Date will be removed from the Trust portfolio and replaced by the next highest ranked security in the same asset segment.

Please note that due to the fluctuating nature of security prices, the weighting of an individual security or sector in the Trust portfolio may change after the portfolio selection date.

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.
• Due to the current state of the economy, the value of the securities held by the Trust may be subject to steep declines or increased volatility due to changes in performance or perception of the issuers. Starting in December 2007, economic activity declined across all sectors of the economy, and the United States experienced increased unemployment. The economic crisis affected the global economy with European and Asian markets also suffering historic losses. Standard & Poor’s Rating Services recently lowered its long-term sovereign credit rating on the United States to “AA+” from “AAA,” which could lead to increased interest rates and volatility. Extraordinary steps have been taken by the governments of several leading countries to combat the economic crisis; however, the impact of these measures is not yet fully known and cannot be predicted.
• The Trust invests in securities issued by small-capitalization and midcapitalization companies. These securities customarily involve more investment risk than securities of largecapitalization companies. Small- capitalization and mid-capitalization companies may have limited product lines, markets or financial resources and may be more vulnerable to adverse general market or economic developments.
• The Trust includes securities issued by companies in the financial sector. Companies in the financial sector include banks, insurance companies and investment firms. The profitability of companies in the financial sector is largely dependent upon the availability and cost of capital which may fluctuate significantly in response to changes in interest rates and general economic developments. Financial sector companies are especially subject to the adverse effects of economic recession, decreases in the availability of capital, volatile interest rates, portfolio concentrations in geographic markets and in commercial and residential real estate loans, and competition from new entrants in their fields of business. Negative developments initially relating to the subprime mortgage market and subsequently spreading to other parts of the economy, have adversely affected credit and capital markets worldwide and significantly impacted financial sector companies.
• The Trust includes Closed-End Funds. Closed-End Funds are actively managed investment companies that invest in various types of securities. Closed-End Funds issue common shares that are traded on a securities exchange. Closed-End Funds are subject to various risks, including management’s ability to meet the Closed-End Fund’s investment objective and to manage the Closed- End Fund’s portfolio during periods of market turmoil and as investors’ perceptions regarding Closed-End Funds or their underlying investments change. Closed-End Funds are not redeemable at the option of the shareholder and they may trade in the market at a discount to their net asset value. Closed-End Funds may also employ the use of leverage which increases risk and volatility. Instability in the auction rate preferred shares market may affect the volatility of Closed-End Funds that use such instruments to provide leverage.
• The Closed-End Funds are subject to annual fees and expenses, including a management fee. Unitholders of the Trust will bear these fees in addition to the fees and expenses of the Trust. See “Fees and Expenses” for additional information.
• The value of the fixed-income securities in the Closed-End Funds will generally fall if interest rates, in general, rise. Typically, fixed-income securities with longer periods before maturity are more sensitive to interest rate changes.
• A Closed-End Fund or an issuer of securities held by a Closed-End Fund may be unwilling or unable to make principal payments and/or to declare distributions in the future, may call a security before its stated maturity, or may reduce the level of distributions declared. This may result in a reduction in the value of your units.
• The financial condition of a Closed- End Fund or an issuer of securities held by a Closed-End Fund may worsen, resulting in a reduction in the value of your units. This may occur at any point in time, including during the primary offering period.
• Certain Closed-End Funds held by the Trust invest in bonds that are rated below investment-grade and are considered to be “junk” securities. Below investment-grade obligations are considered to be speculative and are subject to greater market and credit risks, and accordingly, the risk of non-payment or default is higher than with investmentgrade securities. In addition, such securities may be more sensitive to interest rate changes and more likely to receive early returns of principal.
• Certain Closed-End Funds held by the Trust may invest in bonds that are rated as investment-grade by only one rating agency. As a result, such splitrated securities may have more speculative characteristics and are subject to a greater risk of default than securities rated as investment-grade by more than one rating agency.
• Share prices or dividend rates on the securities in the Trust may decline during the life of the Trust. There is no guarantee 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 and certain Closed-End Funds held by the Trust invest in ADRs, U.S.-listed foreign securities and foreign securities listed on a foreign exchange. The Trust’s investment in ADRs and foreign securities presents additional risk. ADRs are issued by a bank or Trust company to evidence ownership of underlying securities issued by foreign corporations. 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 and certain Closed-End Funds held by the Trust invest in securities issued by companies headquartered or incorporated in countries considered to be emerging markets. Emerging markets are generally defined as countries with low per capita income in the initial stages of their industrialization cycles. Risks of investing in developing or emerging countries include the possibility of investment and trading limitations, liquidity concerns, delays and disruptions in settlement transactions, political uncertainties and dependence on international trade and development assistance. Companies headquartered in emerging market countries may be exposed to greater volatility and market risk.
• The Trust may invest in companies that are considered to be passive foreign investment companies (“PFICs”). In general, PFICs are certain non-U.S. corporations that receive at least 75% of their annual gross income from passive sources (such as interest, dividends, certain rents and royalties or capital gains) or that hold at least 50% of their assets in investments producing such passive income. As a result of an investment in PFICs, the Trust could be subject to U.S. federal income tax and additional interest charges on gains and certain distributions with respect to those equity interests, even if all the income or gain is distributed to its unitholders in a timely manner. The Trust will not be able to pass through to its unitholders any credit or deduction for such taxes.
• Current economic conditions may lead to limited liquidity and greater volatility. The markets for fixed-income securities, such as those held by the Closed-End Funds, may experience periods of illiquidity and volatility. General market uncertainty and consequent repricing risk have led to market imbalances of sellers and buyers, which in turn have resulted in significant valuation uncertainties in a variety of fixed-income securities. These conditions resulted, and in many cases continue to result in, greater volatility, less liquidity, widening credit spreads and a lack of price transparency, with many debt securities remaining illiquid and of uncertain value. These market conditions may make valuation of some of the securities held by a Closed-End Fund uncertain and/or result in sudden and significant valuation increases or declines in its holdings.
• The Trust and certain Closed-End Funds held by the Trust invest in REITs. REITs may concentrate their investments in specific geographic areas or in specific property types, such as hotels, shopping malls, residential complexes and office buildings. The value of the REITs and other real estate securities and the ability of such securities to distribute income may be adversely affected by several factors, including: rising interest rates; changes in the global and local economic climate and real estate conditions; perceptions of prospective tenants about the safety, convenience and attractiveness of the properties; the ability of the owner to provide adequate management, maintenance and insurance; the cost of complying with the Americans with Disabilities Act; increased competition from new properties; the impact of present or future environmental legislation and compliance with environmental laws; changes in real estate taxes and other operating expenses; adverse changes in governmental rules and fiscal policies; adverse changes in zoning laws; declines in the value of real estate; the downturn in the subprime mortgage lending market and the real estate markets in the United States; and other factors beyond the control of the issuer of the security.
• 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.