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.
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.
The Fund seeks long-term capital appreciation by investing in two complimentary 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.
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.
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.
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.
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|30-Day SEC Yield||-||15|
|30-Day SEC Yield||0.00|
*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
|Median 30 Day Spread**||0.31%|
**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.
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.
|Ex-Date||Record Date||Payable Date||Amount|
Top 10 Holdings
|10/04/2023||RSST||ADZ3 Curncy||AUDUSD Crncy Fut Dec23||ADZ3 CURNCY||-30||63.22||-1,896,450.00||-16.67%||11,375,282||575,000||23|
|10/04/2023||RSST||BPZ3 Curncy||BP CURRENCY FUT Dec23||BPZ3 CURNCY||-17||120.91||-1,284,668.75||-11.29%||11,375,282||575,000||23|
|10/04/2023||RSST||CDZ3 Curncy||C$ CURRENCY FUT Dec23||CDZ3 CURNCY||-8||73.02||-584,160.00||-5.14%||11,375,282||575,000||23|
|10/04/2023||RSST||CLX3 Comdty||WTI CRUDE FUTURE Nov23||CLX3 COMDTY||5||89.23||446,150.00||3.92%||11,375,282||575,000||23|
|10/04/2023||RSST||COZ3 Comdty||BRENT CRUDE FUTR Dec23||COZ3 COMDTY||8||90.92||727,360.00||6.39%||11,375,282||575,000||23|
|10/04/2023||RSST||ECZ3 Curncy||EURO FX CURR FUT Dec23||ECZ3 CURNCY||-37||1.05||-4,860,412.50||-42.73%||11,375,282||575,000||23|
|10/04/2023||RSST||ESZ3 Index||S&P500 EMINI FUT Dec23||ESZ3 INDEX||25||4,264.75||5,330,937.50||46.86%||11,375,282||575,000||23|
|10/04/2023||RSST||FVZ3 Comdty||US 5YR NOTE (CBT) Dec23||FVZ3 COMDTY||-71||104.56||-7,423,937.50||-65.26%||11,375,282||575,000||23|
|10/04/2023||RSST||G Z3 Comdty||LONG GILT FUTURE Dec23||G Z3 COMDTY||-5||92.38||-557,904.15||-4.90%||11,375,282||575,000||23|
|10/04/2023||RSST||GCZ3 Comdty||GOLD 100 OZ FUTR Dec23||GCZ3 COMDTY||-8||1,841.50||-1,473,200.00||-12.95%||11,375,282||575,000||23|
|10/04/2023||RSST||HGZ3 Comdty||COPPER FUTURE Dec23||HGZ3 COMDTY||-3||362.10||-271,575.00||-2.39%||11,375,282||575,000||23|
|10/04/2023||RSST||HOX3 Comdty||NY Harb ULSD Fut Nov23||HOX3 COMDTY||1||319.54||134,206.80||1.18%||11,375,282||575,000||23|
|10/04/2023||RSST||IVV||ISHARES TR CORE S&P500 ETF||464287200||12,852||423.56||5,443,593.12||47.85%||11,375,282||575,000||23|
|10/04/2023||RSST||JYZ3 Curncy||JPN YEN CURR FUT Dec23||JYZ3 CURNCY||-71||68.00||-6,034,556.25||-53.05%||11,375,282||575,000||23|
|10/04/2023||RSST||NGX23 Comdty||NATURAL GAS FUTR Nov23||NGX23 COMDTY||-1||2.95||-29,490.00||-0.26%||11,375,282||575,000||23|
|10/04/2023||RSST||NQZ3 Index||NASDAQ 100 E-MINI Dec23||NQZ3 INDEX||1||14,714.50||294,290.00||2.59%||11,375,282||575,000||23|
|10/04/2023||RSST||NXZ3 Index||NIKKEI 225 (CME) Dec23||NXZ3 INDEX||2||30,785.00||307,850.00||2.71%||11,375,282||575,000||23|
|10/04/2023||RSST||PTZ3 Index||S&P/TSX 60 IX FUT Dec23||PTZ3 INDEX||-1||1,144.50||-166,854.98||-1.47%||11,375,282||575,000||23|
|10/04/2023||RSST||QSX3 Comdty||Low Su Gasoil G Nov23||QSX3 COMDTY||3||921.75||276,525.00||2.43%||11,375,282||575,000||23|
|10/04/2023||RSST||RXZ3 Comdty||EURO-BUND FUTURE Dec23||RXZ3 COMDTY||-20||127.28||-2,666,638.73||-23.44%||11,375,282||575,000||23|
|10/04/2023||RSST||SIZ3 Comdty||SILVER FUTURE Dec23||SIZ3 COMDTY||-1||21.38||-106,885.00||-0.94%||11,375,282||575,000||23|
|10/04/2023||RSST||TUZ3 Comdty||US 2YR NOTE (CBT) Dec23||TUZ3 COMDTY||-71||101.15||-14,363,632.85||-126.27%||11,375,282||575,000||23|
|10/04/2023||RSST||TYZ3 Comdty||US 10YR NOTE (CBT)Dec23||TYZ3 COMDTY||-19||106.64||-2,026,171.88||-17.81%||11,375,282||575,000||23|
|10/04/2023||RSST||USZ3 Comdty||US LONG BOND(CBT) Dec23||USZ3 COMDTY||-13||110.66||-1,438,531.25||-12.65%||11,375,282||575,000||23|
|10/04/2023||RSST||XBX3 Comdty||GASOLINE RBOB FUT Nov23||XBX3 COMDTY||1||236.01||99,124.20||0.87%||11,375,282||575,000||23|
|10/04/2023||RSST||Z Z3 Index||FTSE 100 IDX FUT Dec23||Z Z3 INDEX||5||7,517.50||453,999.18||3.99%||11,375,282||575,000||23|
|10/04/2023||RSST||Cash&Other||Cash & Other||Cash&Other||5,925,629||1.00||5,925,629.86||52.09%||11,375,282||575,000||23||Y|
Holdings are subject to change without notice.
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.
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.