The return of the ETNs is linked to the performance of the Pacer Barclays Gold Trendpilot Total Return Index. The index is calculated on a total return basis and is intended to reflect (1) the performance over time of a dynamic allocation strategy by taking 100%, 50% or 0% notional exposure to the Barclays Gold 3 Month Deferred Index Excess Return on a daily basis based on three specified signals that reference the short-term and long-term performance of the Gold index and (2) the return that corresponds to the weekly announced interest rate for specified 3-month U.S. Treasury bills.