RETURN STACKED®

RSST

U.S. Stocks & Managed Futures

Why Invest in RSST ETF?

For every $1 invested, RSST is designed to provide $1 of large-cap U.S. equity exposure and $1 of a managed futures strategy.

01 // The Case

Investment Case

Capital Efficiency: Aims to provide simultaneous exposure to U.S. stocks and a managed futures strategy.  For every $1 invested, the RSST aims to provide $1 of exposure to large-cap U.S. equities and $1 of exposure to a managed futures strategy.

Diversification: RSST 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 U.S. equity strategy and a managed futures strategy. For every $1 invested, the Fund attempts to provide $1 of exposure to its U.S. equity strategy and $1 of exposure to its managed futures strategy.

 

The U.S. equity strategy seeks to capture the total return of large-cap U.S. equities by investing in large-cap U.S. stocks, large-cap U.S. equity ETFs, and U.S. equity index futures.

 

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.

05 // Information

Fund FAQs

RSST rebalances daily

The U.S. equity strategy within RSST can hold U.S. equities, U.S. equity ETFs, and U.S. equity index futures, or any combination thereof.

For example, RSST may hold 50% in a large-cap U.S. equity ETF and gain the remaining 50% equity exposure through U.S. equity index futures.

  • 50% iShares S&P 500 ETF (“IVV”)
  • 50% S&P 500 E-Mini Futures Contract

The Managed Futures strategy will also have long or short positions in U.S. equity index futures, increasing or decreasing their net exposure.

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 7/31/2023, the S&P 500 Total Return Index (“SPXT”) and the Société Générale Trend Index (“NEIXCTAT”) have exhibited realized annualized volatility levels of 15.5% and 13.5% 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 19.2% over the same period.

There are tax considerations to be aware of when implementing RSST 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

new column new column wdt_ID
Fund Inception 9/5/2023 8
Ticker RSST 9
Primary Exchange CBOE 10
CUSIP 88636J816 11
NAV Symbol RSST.NV 12
Expense Ratio 0.98% 13
Name value date
30-Day SEC Yield 0.58 06/30/2024

*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
07/18/2024

**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 SecurityName CUSIP Shares Price MarketValue Weightings NetAssets SharesOutstanding CreationUnits MoneyMarketFlag
07/19/2024 RSST ADU4 Curncy AUDUSD Crncy Fut Sep24 ADU4 CURNCY 302 67.15 20,279,300.00 10.96 184,762,830 7,525,000 301
07/19/2024 RSST BPU4 Curncy BP CURRENCY FUT Sep24 BPU4 CURNCY 455 129.54 36,837,937.50 19.92 184,762,830 7,525,000 301
07/19/2024 RSST CDU4 Curncy C$ CURRENCY FUT Sep24 CDU4 CURNCY 64 73.05 4,675,200.00 2.53 184,762,830 7,525,000 301
07/19/2024 RSST CLU4 Comdty WTI CRUDE FUTURE Sep24 CLU4 COMDTY 46 81.30 3,739,800.00 2.02 184,762,830 7,525,000 301
07/19/2024 RSST COU4 Comdty BRENT CRUDE FUTR Sep24 COU4 COMDTY 20 85.11 1,702,200.00 0.92 184,762,830 7,525,000 301
07/19/2024 RSST ECU4 Curncy EURO FX CURR FUT Sep24 ECU4 CURNCY 264 1.09 36,065,700.00 19.50 184,762,830 7,525,000 301
07/19/2024 RSST ESU4 Index S&P500 EMINI FUT Sep24 ESU4 INDEX 401 5,594.50 112,169,725.00 60.65 184,762,830 7,525,000 301
07/19/2024 RSST FGXXX First American Government Obligations Fund 12/01/2031 31846V336 19,656,552 100.00 19,656,552.39 10.63 184,762,830 7,525,000 301 Y
07/19/2024 RSST FVU4 Comdty US 5YR NOTE (CBT) Sep24 FVU4 COMDTY 1,023 107.53 110,004,468.75 59.48 184,762,830 7,525,000 301
07/19/2024 RSST G U4 Comdty LONG GILT FUTURE Sep24 G U4 COMDTY 52 98.81 6,668,293.25 3.61 184,762,830 7,525,000 301
07/19/2024 RSST GCQ4 Comdty GOLD 100 OZ FUTR Aug24 GCQ4 COMDTY 95 2,456.40 23,335,800.00 12.62 184,762,830 7,525,000 301
07/19/2024 RSST GXU4 Index DAX INDEX FUTURE Sep24 GXU4 INDEX 28 18,492.00 14,128,818.89 7.64 184,762,830 7,525,000 301
07/19/2024 RSST HGU4 Comdty COPPER FUTURE Sep24 HGU4 COMDTY 66 427.95 7,061,175.00 3.82 184,762,830 7,525,000 301
07/19/2024 RSST HOU4 Comdty NY Harb ULSD Fut Sep24 HOU4 COMDTY -11 250.33 -1,156,524.60 -0.63 184,762,830 7,525,000 301
07/19/2024 RSST IVV iShares Core S&P 500 ETF 464287200 250,218 555.60 139,021,120.80 75.17 184,762,830 7,525,000 301
07/19/2024 RSST JYU4 Curncy JPN YEN CURR FUT Sep24 JYU4 CURNCY -674 64.14 -54,033,737.50 -29.22 184,762,830 7,525,000 301
07/19/2024 RSST NGQ24 Comdty NATURAL GAS FUTR Aug24 NGQ24 COMDTY -171 2.13 -3,633,750.00 -1.96 184,762,830 7,525,000 301
07/19/2024 RSST NQU4 Index NASDAQ 100 E-MINI Sep24 NQU4 INDEX 94 19,899.25 37,410,590.00 20.23 184,762,830 7,525,000 301
07/19/2024 RSST NXU4 Index NIKKEI 225 (CME) Sep24 NXU4 INDEX 57 40,115.00 11,432,775.00 6.18 184,762,830 7,525,000 301
07/19/2024 RSST PTU4 Index S&P/TSX 60 IX FUT Sep24 PTU4 INDEX 58 1,360.80 11,532,624.66 6.24 184,762,830 7,525,000 301
07/19/2024 RSST QSQ4 Comdty Low Su Gasoil G Aug24 QSQ4 COMDTY -30 762.50 -2,287,500.00 -1.24 184,762,830 7,525,000 301
07/19/2024 RSST RXU4 Comdty EURO-BUND FUTURE Sep24 RXU4 COMDTY -84 132.63 -12,160,319.59 -6.58 184,762,830 7,525,000 301
07/19/2024 RSST SIU4 Comdty SILVER FUTURE Sep24 SIU4 COMDTY 43 30.22 6,498,160.00 3.51 184,762,830 7,525,000 301
07/19/2024 RSST TUU4 Comdty US 2YR NOTE (CBT) Sep24 TUU4 COMDTY -882 102.57 -180,927,140.18 -97.83 184,762,830 7,525,000 301
07/19/2024 RSST TYU4 Comdty US 10YR NOTE (CBT)Sep24 TYU4 COMDTY -388 111.22 -43,152,875.00 -23.33 184,762,830 7,525,000 301
07/19/2024 RSST USU4 Comdty US LONG BOND(CBT) Sep24 USU4 COMDTY -80 119.81 -9,585,000.00 -5.18 184,762,830 7,525,000 301
07/19/2024 RSST VGU4 Index EURO STOXX 50 Sep24 VGU4 INDEX 214 4,906.00 11,459,488.96 6.20 184,762,830 7,525,000 301
07/19/2024 RSST XBQ4 Comdty GASOLINE RBOB FUT Aug24 XBQ4 COMDTY 13 251.64 1,373,954.40 0.74 184,762,830 7,525,000 301
07/19/2024 RSST Z U4 Index FTSE 100 IDX FUT Sep24 Z U4 INDEX 175 8,222.50 18,674,646.02 10.10 184,762,830 7,525,000 301
07/19/2024 RSST Cash&Other Cash & Other Cash&Other 26,269,834 1.00 26,269,834.46 14.20 184,762,830 7,525,000 301 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. Equity Market Risk. By virtue of the Fund’s investments in equity securities, equity ETFs, and equity index futures agreements, the Fund is exposed to equity securities both directly and indirectly which subjects the Fund to equity market risk. Common stocks are generally exposed to greater risk than other types of securities, such as preferred stock and debt obligations, because common stockholders generally have inferior rights to receive payment from specific issuers. Equity securities may experience sudden, unpredictable drops in value or long periods of decline in value. This may occur because of factors that affect securities markets generally or factors affecting specific issuers, industries, or sectors in which the Fund invests. 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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