Energy Portfolio Series 11

The Trust consists of securities of 41 companies in the energy sector as classified by Standard & Poor’s (“S&P”) Global Industry Classification Standard (“GICS”). The Trust is diversified across the energy sector to include the following industries: oil and gas drilling, oil and gas equipment and services, integrated oil and gas, oil and gas exploration and production, oil and gas refining and marketing, oil and gas storage and transportation and coal and consumable fuels. The Sponsor selects securities for the Trust that it believes have the potential to achieve the Trust’s investment objective.

The Sponsor selects securities of U.S.-traded companies that it believes are core holdings of a well-diversified energy portfolio. To select the portfolio the Sponsor follows a disciplined process which includes both quantitative and qualitative analysis. The Sponsor begins with the approximately 300 stocks that are traded on U.S. exchanges and are classified as companies in the energy sector. The Sponsor then reduces the 300 companies to approximately 150 by performing quantitative screening, which may be primarily based on, but not limited to, the following factors:

• Valuation. The Sponsor may screen for reasonably valued companies based on measures such as price-to-earnings, price-to-book and price-to-cash flow.
• Growth. The Sponsor may screen for companies with a history of better than average growth of revenues and earnings.
• Profitability. The Sponsor may screen for companies with a history of consistent and high profitability as measured by return-on-assets, return-on- equity, gross margin and net margin.

The Sponsor then reduces the remaining 150 companies to 41 by performing qualitative analysis, which may be primarily based on, but not limited to, the following factors:

• Balance Sheet. The Sponsor favors companies that possess overall financial strength and exhibit balance sheet improvements relative to their peers and the marketplace.
• Industry Leadership. The Sponsor favors companies that possess a strong competitive position among their domestic and global peers.
• Valuation. The Sponsor favors companies whose valuations appear to be attractive based on measures such as price-to-earnings, price-to-book and price-to-cash flow.
• Growth. The Sponsor favors companies with a history of (and prospects for) better than average growth of revenues and earnings.
• Profitability. The Sponsor favors companies with a history of (and prospects for) consistent and high profitability as measured by return-on-assets, return-on-equity, gross margin and net margin.

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. 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 mid-capitalization companies. These securities customarily involve more investment risk than securities of large-capitalization 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.
• 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 invests in American Depositary Receipts (“ADRs”) and U.S.-listed foreign securities. The Trust’s investment in ADRs and U.S-listed 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 includes securities issued by companies headquartered or incorporated in countries considered to be emerging markets. The performance of the securities included in the Trust may be dependant, in part, on the growth or decline of emerging market countries. 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. In addition, the economies of emerging market countries may be extremely volatile and subject to increased risks.
• The Trust includes securities issued by companies in the energy sector. Companies in the energy sector are subject to volatile fluctuations in price and supply of energy fuels, and can be impacted by international politics and conflicts, including the unrest in Iraq and hostilities in the Middle East, terrorist attacks, the success of exploration projects, reduced demand as a result of increases in energy efficiency and energy conservation, natural disasters, clean-up and litigation costs associated with environmental damage and extensive regulation.
• The Trust includes securities issued by companies in the oil services industry. Companies in the oil services industry may be adversely affected by changes in worldwide energy prices, exploration and production spending. Companies in this industry are also affected by changes in government regulation, world events and economic conditions. In addition, these companies are at risk for environmental damage claims. Companies in this industry could be adversely affected by commodity price volatility, changes in exchange rates, imposition of import controls, increased competition, depletion of resources, technological developments and labor relations.
• 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.
• Inflation may lead to a decrease in the value of assets or income from investments.