RETURN STACKED®

RSBT

Bonds & Managed Futures

Why Invest in RSBT ETF?

For every $1 invested, RSBT is designed to provide $1 of broad U.S. bond exposure and $1 of a managed futures strategy.

01 // The Case

Investment Case

Capital Efficiency: Aims to provide simultaneous exposure to U.S. bonds and a managed futures strategy.  For every $1 invested, the RSBT aims to provide $1 of exposure to U.S. bonds and $1 of exposure to a managed futures strategy.

 

Diversification: RSBT seeks to provide exposure to a managed futures strategy that has historically exhibited low correlation to both stocks and bonds.

 

Inflation Hedging: With the ability to go both long and short global futures markets (including equities, bonds, commodities, and currencies), managed futures has historically exhibited inflation-hedging characteristics.

  Diversification does not assure a profit.

02 // Objective

Fund
Overview

The Fund seeks long-term capital appreciation by investing in two complementary investment strategies: a bond strategy and a managed futures strategy.  For every $1 invested, the Fund attempts to provide $1 of exposure to its bond strategy and $1 of exposure to its managed futures strategy.

 

The bond strategy seeks to capture the total return of the broad U.S. fixed income market by investing in U.S. Treasury securities, broad-based bond ETFs, or U.S. Treasury futures contracts.

 

The managed futures strategy will invest using a trend-following strategy in futures contracts among four major asset classes: commodities, currencies, equities, and fixed income. 

04 // Information

Unpacking the Layers:

A Deep Dive into the World of Return Stacking®

05 // Information

Fund FAQs

RSBT rebalances daily

The Bond strategy within RSBT can hold U.S. Treasuries, bond ETFs, and U.S. Treasury futures, or any combination thereof.

For example, RSBT may hold 50% in a broad US bond ETF and gain the remaining 50% bond exposure through a ladder of Treasury futures contracts.

  • 50% iShares Core U.S. Aggregate Bond ETF (“AGG”)
  • 12.5% US 2-year Treasury Note Future Contract
  • 12.5% US 5-year Treasury Note Futures Contract
  • 12.5% US 10-year Treasury Note Futures Contract
  • 12.5% US Treasury Long Bond Futures Contract

The Managed Futures strategy will also have long or short positions in US Treasury futures, increasing or decreasing their net exposure.

The effective duration of the Bond strategy aims to approximately track that of the Bloomberg US Aggregate Bond Index. 

As trends in bonds evolve so will the long and short positioning of bonds inside the ETF. By design this should be considered as an attempt to use trend signals to hedge against duration risk in bond portfolios when trends are down (by shorting) and at times increase duration exposure when trends are positive (by going long).

Top-Down Replication:

 

As an analogy, consider the example of trying to replicate the returns of an active, long-term stock picker.  The top-down approach would be akin to trying to identify the portfolio of stocks – i.e. both the stocks and the weights – that best replicates their returns by regressing his track record on the universe of global stocks.

 

Unlike a long-term stock picker, trend-following managed futures funds can change their positions rapidly. As a result, the replicating portfolio must be fit at each daily time-step, using returns to the index and the explanatory markets over the preceding days and weeks. Each model fit yields weights for a portfolio of representative markets which, if held over the term of the regression, minimize the difference between tracking portfolio returns and benchmark returns.

 

Pros: Agnostic of how managers run their portfolios; can adapt to model innovation.

 

Cons: Can only use most recent data to estimate current portfolio; may miss sudden changes in underlying manager positions.

 

Bottom-Up Replication:

 

If the top-down approach is akin to trying to figure out which stocks a long-term stock picker owns, the bottom-up approach is akin to trying to figure out which characteristics they use to pick stocks.  In other words, if we can identify the strategy they use for picking stocks, we can try to implement that strategy ourselves.

 

Bottom-up replication is aimed at uncovering the underlying strategies that funds in the index are using to form portfolios. A combination of time-series momentum, price versus moving average, multiple moving average, or breakout systems are typically employed in trend-following strategies to identify market trends.

 

Pros: Can use much more data to create stable estimates; can capture sudden changes in weights.

 

Cons: Will not necessarily capture model innovation among managers.

30% of the Managed Futures strategy is allocated to the top-down approach and 70% is allocated to the bottom-up approach.

Since their joint inception on 12/31/1999 through 3/31/2023, the Bloomberg US Aggregate Bond Index (“LBUSTRUU”) and the Société Générale Trend Index (“NEIXCTAT”) have exhibited realized annualized volatility levels of 4.0% and 13.6% respectively.  An equal-weight portfolio of these two indices, levered up 200% (and financed at the Bloomberg Short-Term Treasury Total Return Index (“LD12TRUUU”), exhibited a realized annualized volatility of 14.3% over the same period.

There are tax considerations to be aware of when implementing RSBT into portfolios.  For example, daily gains and losses in futures contracts may need to be calculated as realized for tax purposes, which may affect ordinary income or capital gains depending upon the contract. You should consult your tax advisor before investing.

Distributions, if any, are expected to be made annually at the end of each calendar year.

06 // Information

Fund
Details

Fund Details

wdt_ID New column New column
1 Fund Inception 2/7/2023
2 Ticker RSBT
3 Primary Exchange CBOE
4 CUSIP 88636J105
5 NAV Symbol RSBT.NV
6 Expense Ratio 0.97%
Name value date
30-Day SEC Yield 2.42 05/31/2024

*The 30-Day Yield represents net investment income earned by the Fund over the 30-Day period ended on the date indicated by the Yield, expressed as an annual percentage rate based on the Fund’s share price at the end of the 30-Day period. The 30-Day unsubsidized SEC Yield does not reflect any fee waivers/reimbursements/limits in effect.

Fund Data & Pricing

Name
06/18/2024

**30 Day Median Spread is a calculation of Fund’s median bid-ask spread, expressed as a percentage rounded to the nearest hundredth, computed by: identifying the Fund’s national best bid and national best offer as of the end of each 10 second interval during each trading day of the last 30 calendar days; dividing the difference between each such bid and offer by the midpoint of the national best bid and national best offer; and identifying the median of those values.

Performance

The performance data quoted above represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted above.

Short term performance, in particular, is not a good indication of the fund’s future performance, and an investment should not be made based solely on historical returns. Returns beyond 1 year are annualized.

A fund’s NAV is the sum of all its assets less any liabilities, divided by the number of shares outstanding. The market price is the most recent price at which the fund was traded.


Distribution Details

Top 10 Holdings

Date Account StockTicker Security Name CUSIP Shares Price Market Value Weightings NetAssets SharesOutstanding CreationUnits MoneyMarketFlag
06/20/2024 RSBT ADU4 Curncy AUDUSD Crncy Fut Sep24 ADU4 CURNCY -1 66.74 -66,735.00 -0.09% 77,033,580 4,225,000 169
06/20/2024 RSBT AGG iShares Core U.S. Aggregate Bond ETF 464287226 392,264 97.92 38,410,490.88 49.87% 77,033,580 4,225,000 169
06/20/2024 RSBT BPU4 Curncy BP CURRENCY FUT Sep24 BPU4 CURNCY 127 127.17 10,094,118.75 13.11% 77,033,580 4,225,000 169
06/20/2024 RSBT CDU4 Curncy C$ CURRENCY FUT Sep24 CDU4 CURNCY -25 73.07 -1,826,625.00 -2.37% 77,033,580 4,225,000 169
06/20/2024 RSBT CLQ4 Comdty WTI CRUDE FUTURE Aug24 CLQ4 COMDTY 18 80.71 1,452,780.00 1.89% 77,033,580 4,225,000 169
06/20/2024 RSBT COQ4 Comdty BRENT CRUDE FUTR Aug24 COQ4 COMDTY 2 85.33 170,660.00 0.22% 77,033,580 4,225,000 169
06/20/2024 RSBT ECU4 Curncy EURO FX CURR FUT Sep24 ECU4 CURNCY 14 1.08 1,887,462.50 2.45% 77,033,580 4,225,000 169
06/20/2024 RSBT ESU4 Index S&P500 EMINI FUT Sep24 ESU4 INDEX 56 5,559.75 15,567,300.00 20.21% 77,033,580 4,225,000 169
06/20/2024 RSBT FGXXX First American Government Obligations Fund 12/01/2031 31846V336 28,053,993 100.00 28,053,993.35 36.42% 77,033,580 4,225,000 169 Y
06/20/2024 RSBT FVU4 Comdty US 5YR NOTE (CBT) Sep24 FVU4 COMDTY -316 107.02 -33,816,937.50 -43.91% 77,033,580 4,225,000 169
06/20/2024 RSBT G U4 Comdty LONG GILT FUTURE Sep24 G U4 COMDTY 1 98.71 125,268.09 0.16% 77,033,580 4,225,000 169
06/20/2024 RSBT GCQ4 Comdty GOLD 100 OZ FUTR Aug24 GCQ4 COMDTY 39 2,346.90 9,152,910.00 11.88% 77,033,580 4,225,000 169
06/20/2024 RSBT GXM4 Index DAX INDEX FUTURE Jun24 GXM4 INDEX 17 18,133.00 8,275,996.31 10.74% 77,033,580 4,225,000 169
06/20/2024 RSBT HGN4 Comdty COPPER FUTURE Jul24 HGN4 COMDTY 27 449.05 3,031,087.50 3.94% 77,033,580 4,225,000 169
06/20/2024 RSBT HOQ4 Comdty NY Harb ULSD Fut Aug24 HOQ4 COMDTY 9 253.58 958,532.40 1.24% 77,033,580 4,225,000 169
06/20/2024 RSBT JYU4 Curncy JPN YEN CURR FUT Sep24 JYU4 CURNCY -469 64.25 -37,663,631.25 -48.90% 77,033,580 4,225,000 169
06/20/2024 RSBT NGN24 Comdty NATURAL GAS FUTR Jul24 NGN24 COMDTY 18 2.91 523,620.00 0.68% 77,033,580 4,225,000 169
06/20/2024 RSBT NQU4 Index NASDAQ 100 E-MINI Sep24 NQU4 INDEX 35 20,196.25 14,137,375.00 18.36% 77,033,580 4,225,000 169
06/20/2024 RSBT NXU4 Index NIKKEI 225 (CME) Sep24 NXU4 INDEX 12 38,660.00 2,319,600.00 3.01% 77,033,580 4,225,000 169
06/20/2024 RSBT PTU4 Index S&P/TSX 60 IX FUT Sep24 PTU4 INDEX 7 1,296.40 1,322,230.72 1.72% 77,033,580 4,225,000 169
06/20/2024 RSBT QSN4 Comdty Low Su Gasoil G Jul24 QSN4 COMDTY -4 780.00 -312,000.00 -0.41% 77,033,580 4,225,000 169
06/20/2024 RSBT RXU4 Comdty EURO-BUND FUTURE Sep24 RXU4 COMDTY -13 132.60 -1,851,179.67 -2.40% 77,033,580 4,225,000 169
06/20/2024 RSBT SIU4 Comdty SILVER FUTURE Sep24 SIU4 COMDTY 11 29.88 1,643,565.00 2.13% 77,033,580 4,225,000 169
06/20/2024 RSBT TUU4 Comdty US 2YR NOTE (CBT) Sep24 TUU4 COMDTY -63 102.25 -12,883,992.16 -16.73% 77,033,580 4,225,000 169
06/20/2024 RSBT TYU4 Comdty US 10YR NOTE (CBT)Sep24 TYU4 COMDTY 111 110.80 12,298,453.13 15.97% 77,033,580 4,225,000 169
06/20/2024 RSBT USU4 Comdty US LONG BOND(CBT) Sep24 USU4 COMDTY 68 120.44 8,189,750.00 10.63% 77,033,580 4,225,000 169
06/20/2024 RSBT VGM4 Index EURO STOXX 50 Jun24 VGM4 INDEX 64 4,911.00 3,375,293.98 4.38% 77,033,580 4,225,000 169
06/20/2024 RSBT XBN4 Comdty GASOLINE RBOB FUT Jul24 XBN4 COMDTY -1 248.32 -104,294.40 -0.14% 77,033,580 4,225,000 169
06/20/2024 RSBT Z M4 Index FTSE 100 IDX FUT Jun24 Z M4 INDEX 90 8,194.50 9,359,319.28 12.15% 77,033,580 4,225,000 169
06/20/2024 RSBT Cash&Other Cash & Other Cash&Other 10,557,419 1.00 10,557,419.84 13.71% 77,033,580 4,225,000 169 Y

Holdings are subject to change without notice.

05 // Purchase

How to Buy

The Fund is available through various channels, broker-dealers, investment advisers, and other financial services firms, including:

The Fund, the Investment Adviser, Sub-Adviser, and Distributor are not affiliated with these financial service firms. Their listing should not be viewed as a recommendation or endorsement.

Important Disclosures

Investors should consider the investment objectives, risks, charges, and expenses carefully before investing. For a prospectus or summary prospectus with this and other information about the Fund, please click here. Read the prospectus or summary prospectus carefully before investing.

Investments involve risk. Principal loss is possible. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value. Brokerage commissions may apply and would reduce returns.

Derivatives Risk. Derivatives are instruments, such as futures contracts, whose value is derived from that of other assets, rates, or indices. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments.   Cayman Subsidiary Risk. By investing in the Fund’s Cayman Subsidiary, the Fund is indirectly exposed to the risks associated with the Subsidiary’s investments. The futures contracts and other investments held by the Subsidiary are subject to the same economic risks that apply to similar investments if held directly by the Fund. The Subsidiary is not registered under the 1940 Act, and, unless otherwise noted in the Fund’s Prospectus, is not subject to all the investor protections of the 1940 Act.  Bond Risks. The Fund will be subject to bond and fixed income risks through its investments in U.S. Treasury securities, broad-based bond ETFs, and investments in U.S. Treasury and fixed income futures contracts. Changes in interest rates generally will cause the value of fixed-income and bond instruments held by Fund (or underlying ETFs) to vary inversely to such changes. Commodity Risk. Investing in physical commodities is speculative and can be extremely volatile. Commodity-Linked Derivatives Tax Risk. The tax treatment of commodity-linked derivative instruments may be adversely affected by changes in legislation, regulations, or other legally binding authority. As a registered investment company (RIC), the Fund must derive at least 90% of its gross income each taxable year from certain qualifying sources of income under the Internal Revenue Code. If, as a result of any adverse future legislation, U.S. Treasury regulations, and/or guidance issued by the Internal Revenue Service, the income of the Fund from certain commodity-linked derivatives, including income from the Fund’s investments in the Subsidiary, were treated as non-qualifying income, the Fund may fail to qualify as RIC and/or be subject to federal income tax at the Fund level. The uncertainty surrounding the treatment of certain derivative instruments under the qualification tests for a RIC may limit the Fund’s use of such derivative instruments. Commodity Pool Regulatory Risk. The Fund’s investment exposure to futures instruments will cause it to be deemed to be a commodity pool, thereby subjecting the Fund to regulation under the Commodity Exchange Act and the Commodity Futures Trading Commission rules. Because the Fund is subject to additional laws, regulations, and enforcement policies, it may have increased compliance costs which may affect the operations and performance of the Fund. Credit Risk: Credit risk refers to the possibility that the issuer of a security will not be able to make principal and interest payments when due. Changes in an issuer’s credit rating or the market’s perception of an issuer’s creditworthiness may also affect the value of the Fund’s investment in that issuer. Currency Risk: Currency risk is the risk that changes in currency exchange rates will negatively affect securities denominated in, and/or receiving revenues in, foreign currencies. The liquidity and trading value of foreign currencies could be affected by global economic factors, such as inflation, interest rate levels, and trade balances among countries, as well as the actions of sovereign governments and central banks. Foreign and Emerging Markets Risk. Foreign and emerging market investing involves currency, political and economic risk. Leverage Risk: As part of the Fund’s principal investment strategy, the Fund will make investments in futures contracts to gain long and short exposure across four major asset classes (commodities, currencies, fixed income, and equities). These derivative instruments provide the economic effect of financial leverage by creating additional investment exposure to the underlying instrument, as well as the potential for greater loss. Non-Diversification Risk. The Fund is non-diversified, meaning that it is permitted to invest a larger percentage of its assets in fewer issuers than diversified funds. Underlying ETFs Risk. The Fund will incur higher and duplicative expenses because it invests in bond ETFs. The Fund may also suffer losses due to the investment practices of the underlying bond ETFs. New Fund Risk. The Fund is a recently organized with no operating history. As a result, prospective investors do not have a track record or history on which to base their investment decisions.

Toroso Investments, LLC (“Toroso”) serves as investment adviser to the Funds and the Funds’ Subsidiary.

Newfound Research LLC (“Newfound”) serves as investment sub-adviser to the Funds.

ReSolve Asset Management SEZC (Cayman) (“ReSolve”) serves as futures trading advisor to the Fund and the Funds’ Subsidiary.

Foreside Fund Services, LLC is the distributor for the Funds. Foreside is not related to Toroso, Newfound, or ReSolve.

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