San Diego, California – October 25, 2024 – Counterpoint Funds, LLC, an investment adviser to quantitative mutual funds and exchange traded funds (“ETF”) specializing in defensive diversifier strategies,...
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Ensemble of trend following signals adds model diversification
ETF wrapper has potential to minimize capital gain events resulting from internal active management
Deep liquidity of underlying holdings for this alternative ETF
A blended trend following and time series momentum strategy that changes exposure, in 20% increments, based on a blended score from 202 weighted signals.
Risk-On: 100% High Yield Corporate Bond ETFs
The system is 100% Risk-On when the blended score is above 90% and the model has had at least five days to become fully invested in High Yield Corporate Bond ETFs. The blended score is derived from the percentage of closing prices of a reference index above 101 different moving averages and lookback returns being positive for 101 time-series momentum signals. From the Risk-On position the Index can change to the Blended Position.
Blended Score
Momentum Signal
Moving Average Signal
Final Allocation
Blended: High Yield Corporate Bond ETFs
& U.S. Treasury ETFs
When not in the Risk-On or Risk-Off position the Fund can hold a blended 80/20, 60/40, 40/60 or 20/80 allocation of High Yield Corporate Bond ETFs and either U.S. 3-7 Year Treasury ETFs or T-bill ETFs. The CP High Yield Trend Index determines the optimal allocation, rounded to the nearest 20% increment to reduce turnover and transaction costs, using a 75%/25% blend of the 101 moving average and 101 time series (momentum) lookback return signals. The final allocation can only change exposure in increments of 20% day-over-day and will remain unchanged if the rounded allocation varies by more than 5% from the recommended allocation.
The decision to be invested in U.S. 3-7 Year Treasury ETFs versus T-bill ETFs is dictated by a 3% stop rule mentioned in the Risk-Off section.
Risk-Off: 100% U.S. Treasury ETFs
When the blended score is below 10% for at least five consecutive business days, exposure to either U.S. 3-7 Year Treasury or U.S. T-bill ETFs will usually be set to 100%. The blended score is derived from the percentage of closing prices of a reference index above 101 different moving averages and lookback returns being positive for 101 time-series momentum signals. From the Risk-Off position, the Fund can change to the blended position.
If a 3-7 Year Treasury ETF experiences a 3% drawdown or greater after initial entry from the system, at any weighting of 20% or greater to the Fund, the system will reallocate the Treasury portion of the model entirely to U.S. T-Bill ETFs.
There is no guarantee that any investment strategy will achieve its objectives, generate profits or avoid losses.
FUND DETAILS | As Of 2024-11-19 |
|---|---|
| Ticker | HYTR |
| Primary Exchange | NYSE |
| Cusip | 66538R722 |
| ISIN | US66538R722 |
| Inception Date | 2020-01-21 |
| Net Assets | $25,219,894 |
| Shares Outstanding | 1,150,000 |
| Volume | 15,239 |
| 30 Day Median Mid Bid-Ask Spread | 0.137% |
| Gross Expense Ratio | 3.55% |
| Net Expense Ratio (After Waivers) | 0.88% |
| Net Expense Ratio (After Waivers Excluding Acquired Fund Expenses) | 0.60% |
| Advisor Management Fee | 0.50% |
| IOPV Ticker | HYTR.IV |
| Related Index Ticker | HYTREND Index |
| As of 2024-11-19 | 1 DAY | 1 MO | 3 MO | 6 MO | 1 YR | 3 YR | YTD | QTD | SINCE INCEPTION | |
|---|---|---|---|---|---|---|---|---|---|---|
| Market Price | 21.98 | 0.37% | 0.28% | 2.22% | 5.73% | 12.61% | 1.4% | 7.73% | 0.11% | 1.13% |
| NAV | 21.93 | 0.14% | 0.05% | 1.94% | 5.54% | 12.3% | 1.32% | 7.59% | -0.08% | 1.08% |
| As of 2024-09-30 | 1 MO | 3 MO | 6 MO | 1 YR | 3 YR | YTD | QTD | SINCE INCEPTION | |
|---|---|---|---|---|---|---|---|---|---|
| Market Price | 22.18 | 1.65% | 5.34% | 5.97% | 13.36% | 1.13% | 7.62% | 5.34% | 1.14% |
| NAV | 22.17 | 1.51% | 5.3% | 6.02% | 13.32% | 1.13% | 7.67% | 5.3% | 1.13% |
| Days Traded at Premium | Days Traded At Discount | |
|---|---|---|
| Calendar Year 2023 | 85 | 75 |
| Q1 2024 | 48 | 4 |
| Q2 2024 | 34 | 14 |
| Q3 2024 | 30 | 15 |
The Adviser has contractually agreed to waive its fees and reimburse expenses of the Fund, until at least May 1, 2025 to ensure that total annual fund operating expenses after fee waiver and/or reimbursement will not exceed 0.60% of the Fund’s net assets. This is excluding (i) of any front-end or contingent deferred loads; (ii) brokerage fees and commissions; (iii) acquired fund fees and expenses; (iv) fees and expenses associated with investments in other collective investment vehicles or derivative instruments (including for example option and swap fees and expenses); (v) borrowing costs (such as interest and dividend expense on securities sold short); (vi) taxes; and (vii) extraordinary expenses, such as litigation expenses (which may include indemnification of Fund officers and Trustees, contractual indemnification of Fund service providers,other than the Adviser). This fee waiver and expense reimbursement are subject to possible recoupment from the Fund within the three years after the fees have been waived or reimbursed, if such recoupment can be achieved within the lesser of the foregoing expense limits in place at the time of recapture. This agreement may be terminated only by the Trust’s Board of Trustees on 60 days’ written notice to the Adviser.
San Diego, California – October 25, 2024 – Counterpoint Funds, LLC, an investment adviser to quantitative mutual funds and exchange traded funds (“ETF”) specializing in defensive diversifier strategies,...
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Download Holdings
NAME SYMBOL NET ASSET % MARKET PRICE($) SHARES HELD MARKET VALUE
ISHARES BROAD US USHY 3.2 37.27 21,634 $806,299.18
B 12/10/24 26.5 99.7514 6,700,000 $6,683,343.06
B 11/29/24 18.22 99.8886 4,600,000 $4,594,876.75
B 01/02/25 14.79 99.465 3,750,000 $3,729,937.80
B 11/26/24 32.09 99.9254 8,100,000 $8,093,958.78
BBH SWEEP VEHICLE 9BBH 0.9 100 227,889.22 $227,889.22
ISHARES IBOXX HI HYG 2.4 79.5 7,610 $604,995.00
SPDR BLOOMBERG H JNK 2.4 96.68 6,248 $604,056.64
PAYB HYTRENDP INDEX -92.22 100 -23,258,909.44 ($23,258,909.44)
RECV HYTRENDP INDEX 91.95 240.56 96,398 $23,189,502.88
Ex-Date Record Date Pay Date Short-Term Capital Gains Long-Term Capital Gains Dividend Income Total Distribution
02/14/20 02/18/20 02/21/20 0.0958 0.0958
03/13/20 03/16/20 03/19/20 0.0836 0.0836
04/15/20 04/16/20 04/21/20 0.014 0.014
05/15/20 05/18/20 05/21/20 0.0105 0.0105
06/15/20 06/16/20 06/16/20 0.0104 0.0104
07/15/20 07/16/20 07/21/20 0.0245 0.0245
08/14/20 08/17/20 08/20/20 0.0717 0.0717
09/15/20 09/16/20 09/21/20 0.0828 0.0828
10/15/20 10/16/20 10/21/20 0.0707 0.0707
11/13/20 11/16/20 11/19/20 0.0997 0.0997
12/15/20 12/16/20 12/21/20 0.1701 0.1701
02/12/21 02/16/21 02/18/21 0.0717 0.0717
03/15/21 03/16/21 03/22/21 0.0748 0.0748
04/15/21 04/16/21 04/21/21 0.0699 0.0699
05/14/21 05/17/21 05/20/21 0.071 0.071
06/15/21 06/16/21 06/21/21 0.067 0.067
07/15/21 07/16/21 07/21/21 0.0742 0.0742
08/13/21 08/16/21 08/19/21 0.1001 0.1001
09/15/21 09/16/21 09/21/21 0.0669 0.0669
10/15/21 10/18/21 10/21/21 0.0708 0.0708
11/15/21 11/16/21 11/22/21 0.0645 0.0645
12/15/21 12/16/21 12/21/21 0.1519 0.1519
05/17/22 05/18/22 05/23/22 0.0147 0.0147
07/14/22 07/15/22 07/20/22 0.0187 0.0187
08/18/22 08/19/22 08/24/22 0.0136 0.0136
09/15/22 09/16/22 09/21/22 0.0178 0.0178
10/18/22 10/19/22 10/24/22 0.0182 0.0182
11/17/22 11/18/22 11/23/22 0.0326 0.0326
12/15/22 12/16/22 12/21/22 0.1431 0.1431
02/16/23 02/17/23 02/22/23 0.1035 0.1035
03/16/23 03/17/23 03/22/23 0.1124 0.1124
04/13/23 04/14/23 04/19/23 0.0974 0.0974
05/18/23 05/19/23 05/24/23 0.0953 0.0953
06/15/23 06/16/23 06/21/23 0.0883 0.0883
07/13/23 07/14/23 07/19/23 0.1031 0.1031
08/17/23 08/18/23 08/23/23 0.0994 0.0994
09/14/23 09/15/23 09/20/23 0.101 0.101
10/19/23 10/20/23 10/25/23 0.1051 0.1051
11/16/23 11/17/23 11/22/23 0.0525 0.0525
12/14/23 12/15/23 12/20/23 0.2047 0.2047
02/15/24 02/16/24 02/21/24 0.0954 0.0954
03/14/24 03/15/24 03/20/24 0.105 0.105
04/18/24 04/19/24 04/24/24 0.0947 0.0947
05/16/24 05/17/24 05/22/24 0.1154 0.1154
06/13/24 06/14/24 06/20/24 0.1057 0.1057
07/18/24 07/19/24 07/24/24 0.1062 0.1062
08/15/24 08/16/24 08/21/24 0.0574 0.0574
09/19/24 09/20/24 09/25/24 0.1313 0.1313
10/17/24 10/18/24 10/23/24 0.1109 0.1109
11/14/24 11/15/24 11/20/24 0.1115 0.1115
Investments in the CP High Yield Trend Fund involves risk including possible loss of principal and may not be suitable for all investors. The Fund is new with a limited history of operations. There is no assurance that the Fund’s strategy for allocating assets will achieve its investment objectives. The extent that Authorized Participants (AP) exit the business or are unable to proceed with creation or redemption orders, Fund shares may be more likely to trade at a premium or discount to net asset value and possibly face trading halts or delisting. Issuers of a security and other instruments may not be able to make principal and interest payments when due. Fluctuation in the value of equity securities held by the Fund causes the net asset value of the Fund to fluctuate.
The Fund is structured as an ETF and is subject to risks including, market price variance, trading issues and not being individually redeemable. ETF investments involve advisory and other expenses which will be indirectly paid by the Fund. The Fund’s investments may include ETFs with foreign securities, which are subject to risks beyond those associated with investing in domestic securities. Growth stocks may react differently to market events and are subject to more abrupt market movements. The Fund’s income may decline when yields fall and an increase in rates may cause the value of securities held by the Fund to decline. High yield or ‘junk’ bonds present greater risk than bonds of higher quality. There is no assurance that the Index Provider will compile, compose or calculate the index accurately and the Fund’s performance may diverge from that of the index.
ETF shares are not redeemable with the issuing fund other than in large Creation Unit aggregations. Instead, investors must buy or sell ETF Shares in the secondary market with the assistance of a stockbroker. In doing so, the investor may incur brokerage commissions and may pay more than net asset value when buying and receive less than net asset value when selling. The NAV of the Fund’s shares is calculated each day the national securities exchanges are open for trading as of the close of regular trading on the New York Stock Exchange (“NYSE”), normally 4:00 p.m. Eastern time (the “NAV Calculation Time”). Shares are bought and sold at market price (closing price) not NAV. Market price returns are based on the midpoint of the bid/ask spread at 4:00 pm Eastern Time (when NAV is normally determined).
An active secondary market for the Fund’s shares may not exist. Although the Fund’s shares will be listed on an exchange, subject to notice of issuance, it is possible that an active trading market may not develop or be maintained. There is no guarantee that distributions will be paid.
5516-NLD-09/01/2021
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