U.S. VALUE ETF | November 30, 2023 |
LETTER TO SHAREHOLDERS | (Unaudited) |
Dear Fellow Shareholders,
Enclosed is the Annual Report to shareholders of U.S. Value ETF (“USVT” or the “Fund”). We would like to thank you for your investment.
U.S Value ETF
The Fund is designed for those seeking value exposure through a passive management process. USVT aims to track the investment results (before fees and expenses) of the Lyrical U.S. Value Index (the “Index”). The Index, developed by Lyrical Asset Management LP, seeks to represent the potential benefits of deep value investing by using proprietary investment screens to identify the most inexpensive quintile of 200 stocks from a universe of potential investment candidates of the top 1,000 US stocks by market capitalization, based on one year forward median analyst projected price to earnings ratio.
Since its launch on September 13, 2021 through November 30, 2023, USVT has produced a cumulative total return of +11.98%, compared to the Index return of +12.04%, and to the +16.21% cumulative total return for S&P 500® Value Index (the “S&P 500 Value”). For the twelve months ended November 30, 2023, USVT produced a total return of +0.31% compared to the total return for the S&P 500 Value of +11.29%. Over this same period, 51% of USVT’s investments have posted gains and 27% outperformed the S&P 500® Value Index as a whole.
As of November 30, 2023, the valuation of our portfolio is 7.9x the next twelve months consensus earnings. The S&P 500® Value Index has a valuation of 17.0x earnings on this same basis, a premium of 115.19% over the Fund.
Our passive approach does not limit portfolio exposure to any sector nor attempt to track the S&P 500 Value index in any way. Over the last year the main drivers of underperformance of USVT vs the S&P 500 Value was being overweight to the financial sector and underweight in information technology. In addition, USVT did not hold MSFT, META, or AMZN which were outsized contributors to the S&P 500 Value index return over the last year.
Thank you for your continued trust and interest in USVT.
Sincerely,
Lyrical Asset Management LP
1
Past performance is not predictive of future performance. Investment results and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Performance data current to the most recent month end are available by calling 1-888-884-8099.
An investor should consider the investment objectives, risks, charges and expenses of the fund carefully before investing. The fund’s prospectus contains this and other important information. To obtain a copy of the fund’s prospectus please visit the fund’s website at www.usvalueetf.com or call 1-888-884-8099 and a copy will be sent to you free of charge. Please read the prospectus carefully before you invest. The fund is distributed by Ultimus Fund Distributors, LLC.
Statements in the Letter to Shareholders that reflect projections or expectations for future financial or economic performance of the Fund and the market in general and statements of the Fund’s plans and objectives for future operations are forward-looking statements. No assurance can be given that actual results or events will not differ materially from those projected, estimated, assumed, or anticipated in any such forward-looking statements. Important factors that could result in such differences, in addition to factors noted with such forward-looking statements include, without limitation, general economic conditions, such as inflation, recession, and interest rates. Past performance is not a guarantee of future results.
2
U.S. VALUE ETF |
PERFORMANCE INFORMATION (Unaudited) |
Comparison
of the Change in Value of a $10,000 Investment in
U.S. Value ETF (since
inception on 09/13/2021) versus the
S&P 500® Value Index and
the Lyrical U.S. Value Index
Average
Annual Total Returns (for the periods ended November 30, 2023) | |||||
Since | |||||
1 Year | Inception (a) | ||||
U.S. Value ETF (b) | 0.31% | 5.24% | |||
U.S. Value ETF - At Market Value (b) | 0.42% | 5.24% | |||
S&P 500® Value Index (c) | 11.29% | 7.02% | |||
Lyrical U.S. Value Index (d) | 0.82% | 5.84% |
(a) | Inception date of the Fund was September 13, 2021. The commencement of operations was September 14, 2021. |
(b) | The Fund’s total returns do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares. |
(c) | The S&P 500® Value Index measure value stocks using three factors: the ratios of book value, earnings, and sales to price. Constituents are drawn from the S&P 500® Index. The Index is unmanaged and shown for illustration purposes only. An investor cannot invest in an index and its returns are not indicative of the performance of any specific investment. |
(d) | The Lyrical U.S. Value Index creation process begins with the assessment of the top 1,000 U.S. stocks by market capitalization and then uses an investment screen to cull the universe to 200. Generally, the approach emphasizes analyst projections for one-year-forward price-to-earnings ratios. On each quarterly rebalance, each stock in the cheapest quintile is equally weighted in the ETF. |
3
U.S. VALUE ETF |
PORTFOLIO INFORMATION |
November 30, 2023 (Unaudited) |
U.S. Value ETF vs. S&P 500® Value Index Sector Diversification
Top Ten Equity Holdings
% of | ||
Security Description | Net Assets | |
PVH Corporation | 0.6% | |
Expedia Group, Inc. | 0.6% | |
AES Corporation (The) | 0.6% | |
Tenet Healthcare Corporation | 0.6% | |
Gen Digital, Inc. | 0.6% | |
Endeavor Group Holdings, Inc. - Class A | 0.6% | |
D.R. Horton, Inc. | 0.6% | |
Crocs, Inc. | 0.6% | |
Meritage Homes Corporation | 0.6% | |
Verizon Communications, Inc. | 0.6% |
4
U.S. VALUE ETF |
SCHEDULE OF INVESTMENTS |
November 30, 2023 |
COMMON STOCKS — 98.4% | Shares | Value | ||||||
Communications — 4.3% | ||||||||
Advertising & Marketing — 1.0% | ||||||||
Interpublic Group of Companies, Inc. (The) | 995 | $ | 30,586 | |||||
Omnicom Group, Inc. | 384 | 30,962 | ||||||
61,548 | ||||||||
Entertainment Content — 1.1% | ||||||||
Endeavor Group Holdings, Inc. - Class A | 1,492 | 36,271 | ||||||
Fox Corporation - Class A | 945 | 27,915 | ||||||
64,186 | ||||||||
Internet Media & Services — 0.6% | ||||||||
Expedia Group, Inc. (a) | 283 | 38,539 | ||||||
Publishing & Broadcasting — 0.5% | ||||||||
Nexstar Media Group, Inc. | 208 | 29,521 | ||||||
Telecommunications — 1.1% | ||||||||
AT&T, Inc. | 2,011 | 33,322 | ||||||
Verizon Communications, Inc. | 940 | 36,031 | ||||||
69,353 | ||||||||
Consumer Discretionary — 14.5% | ||||||||
Apparel & Textile Products — 2.3% | ||||||||
Crocs, Inc. (a) | 343 | 36,224 | ||||||
PVH Corporation | 407 | 39,797 | ||||||
Tapestry, Inc. | 1,061 | 33,602 | ||||||
VF Corporation | 1,899 | 31,770 | ||||||
141,393 | ||||||||
Automotive — 2.2% | ||||||||
BorgWarner, Inc. | 740 | 24,931 | ||||||
Ford Motor Company | 2,421 | 24,839 | ||||||
General Motors Company | 958 | 30,273 | ||||||
Harley-Davidson, Inc. | 971 | 29,120 | ||||||
Lear Corporation | 213 | 28,489 | ||||||
137,652 | ||||||||
E-Commerce Discretionary — 0.4% | ||||||||
eBay, Inc. | 682 | 27,969 | ||||||
Home & Office Products — 0.4% | ||||||||
Whirlpool Corporation | 235 | 25,592 | ||||||
Home Construction — 3.9% | ||||||||
D.R. Horton, Inc. | 284 | 36,257 |
5
U.S. VALUE ETF |
SCHEDULE OF INVESTMENTS (Continued) |
COMMON STOCKS — 98.4% (Continued) | Shares | Value | ||||||
Consumer Discretionary — 14.5% (Continued) | ||||||||
Home Construction — 3.9% (Continued) | ||||||||
Lennar Corporation - Class A | 268 | $ | 34,283 | |||||
Meritage Homes Corporation | 256 | 36,173 | ||||||
Mohawk Industries, Inc. (a) | 365 | 32,233 | ||||||
PulteGroup, Inc. | 404 | 35,722 | ||||||
Taylor Morrison Home Corporation (a) | 711 | 32,066 | ||||||
Toll Brothers, Inc. | 409 | 35,129 | ||||||
241,863 | ||||||||
Leisure Facilities & Services — 0.9% | ||||||||
Boyd Gaming Corporation | 487 | 28,758 | ||||||
Hilton Grand Vacations, Inc. (a) | 774 | 26,517 | ||||||
55,275 | ||||||||
Leisure Products — 0.9% | ||||||||
Brunswick Corporation | 392 | 30,918 | ||||||
Polaris, Inc. | 301 | 24,823 | ||||||
55,741 | ||||||||
Retail - Discretionary — 3.5% | ||||||||
Asbury Automotive Group, Inc. (a) | 137 | 28,745 | ||||||
AutoNation, Inc. (a) | 213 | 28,813 | ||||||
Avis Budget Group, Inc. (a) | 162 | 29,622 | ||||||
Bath & Body Works, Inc. | 945 | 30,825 | ||||||
Builders FirstSource, Inc. (a) | 250 | 33,527 | ||||||
Dick’s Sporting Goods, Inc. | 275 | 35,777 | ||||||
Lithia Motors, Inc. | 107 | 28,568 | ||||||
215,877 | ||||||||
Consumer Staples — 3.2% | ||||||||
Food — 0.9% | ||||||||
Conagra Brands, Inc. | 1,091 | 30,865 | ||||||
Darling Ingredients, Inc. (a) | 644 | 28,252 | ||||||
59,117 | ||||||||
Retail - Consumer Staples — 1.3% | ||||||||
Albertsons Companies, Inc. - Class A | 1,278 | 27,822 | ||||||
Kroger Company (The) | 656 | 29,040 | ||||||
Walgreens Boots Alliance, Inc. | 1,201 | 23,948 | ||||||
80,810 | ||||||||
Tobacco & Cannabis — 0.5% | ||||||||
Altria Group, Inc. | 688 | 28,924 | ||||||
Wholesale - Consumer Staples — 0.5% | ||||||||
Bunge Global S.A. | 287 | 31,533 |
6
U.S. VALUE ETF |
SCHEDULE OF INVESTMENTS (Continued) |
COMMON STOCKS — 98.4% (Continued) | Shares | Value | ||||||
Energy — 12.3% | ||||||||
Oil & Gas Producers — 11.9% | ||||||||
APA Corporation | 741 | $ | 26,676 | |||||
Chord Energy Corporation | 178 | 28,861 | ||||||
Civitas Resources, Inc. | 394 | 27,064 | ||||||
Coterra Energy, Inc. | 1,017 | 26,696 | ||||||
Devon Energy Corporation | 622 | 27,971 | ||||||
Diamondback Energy, Inc. | 179 | 27,639 | ||||||
Energy Transfer, L.P. | 2,110 | 29,308 | ||||||
EOG Resources, Inc. | 225 | 27,691 | ||||||
EQT Corporation | 669 | 26,733 | ||||||
HF Sinclair Corporation | 544 | 28,549 | ||||||
Magnolia Oil & Gas Corporation - Class A | 1,277 | 27,456 | ||||||
Marathon Oil Corporation | 1,084 | 27,566 | ||||||
Marathon Petroleum Corporation | 197 | 29,390 | ||||||
Matador Resources Company | 479 | 27,725 | ||||||
MPLX, L.P. | 811 | 29,569 | ||||||
Murphy Oil Corporation | 644 | 27,544 | ||||||
New Fortress Energy, Inc. | 873 | 33,593 | ||||||
Ovintiv, Inc. | 599 | 26,560 | ||||||
PBF Energy, Inc. - Class A | 620 | 27,528 | ||||||
Permian Resources Corporation | 2,069 | 27,187 | ||||||
Phillips 66 | 262 | 33,769 | ||||||
Pioneer Natural Resources Company | 121 | 28,028 | ||||||
SM Energy Company | 725 | 27,151 | ||||||
Southwestern Energy Company (a) | 4,409 | 29,055 | ||||||
Valero Energy Corporation | 230 | 28,833 | ||||||
Western Midstream Partners, L.P. | 1,069 | 31,878 | ||||||
740,020 | ||||||||
Oil & Gas Services & Equipment — 0.4% | ||||||||
Patterson-UTI Energy, Inc. | 2,175 | 25,469 | ||||||
Financials — 36.9% | ||||||||
Asset Management — 3.5% | ||||||||
Affiliated Managers Group, Inc. | 228 | 30,905 | ||||||
Ameriprise Financial, Inc. | 89 | 31,462 | ||||||
Blue Owl Capital Corporation | 2,151 | 31,534 | ||||||
Carlyle Group, Inc. (The) | 976 | 33,457 | ||||||
Franklin Resources, Inc. | 1,270 | 31,496 | ||||||
Invesco Ltd. | 2,181 | 31,123 | ||||||
Stifel Financial Corporation | 493 | 30,083 | ||||||
220,060 |
7
U.S. VALUE ETF |
SCHEDULE OF INVESTMENTS (Continued) |
COMMON STOCKS — 98.4% (Continued) | Shares | Value | ||||||
Financials — 36.9% (Continued) | ||||||||
Banking — 15.9% | ||||||||
Bank of America Corporation | 1,080 | $ | 32,929 | |||||
Bank OZK | 785 | 32,860 | ||||||
BOK Financial Corporation | 380 | 27,273 | ||||||
Citigroup, Inc. | 700 | 32,270 | ||||||
Citizens Financial Group, Inc. | 1,102 | 30,052 | ||||||
Columbia Banking System, Inc. | 1,449 | 32,501 | ||||||
Comerica, Inc. | 697 | 31,518 | ||||||
Credicorp Ltd. | 232 | 29,123 | ||||||
East West Bancorp, Inc. | 567 | 35,675 | ||||||
Fifth Third Bancorp | 1,186 | 34,335 | ||||||
First Citizens BancShares, Inc. - Class A | 22 | 32,294 | ||||||
First Horizon Corporation | 2,772 | 35,453 | ||||||
Huntington Bancshares, Inc. | 2,897 | 32,620 | ||||||
JPMorgan Chase & Company | 199 | 31,060 | ||||||
KeyCorp | 2,762 | 34,221 | ||||||
M&T Bank Corporation | 235 | 30,120 | ||||||
New York Community Bancorp, Inc. | 2,736 | 25,746 | ||||||
Old National Bancorp | 2,043 | 30,420 | ||||||
Pinnacle Financial Partners, Inc. | 428 | 31,060 | ||||||
PNC Financial Services Group, Inc. (The) | 239 | 32,016 | ||||||
Popular, Inc. | 456 | 33,648 | ||||||
Regions Financial Corporation | 1,784 | 29,757 | ||||||
SouthState Corporation | 428 | 31,693 | ||||||
Truist Financial Corporation | 1,006 | 32,333 | ||||||
US Bancorp | 901 | 34,346 | ||||||
Valley National Bancorp | 3,509 | 31,932 | ||||||
Webster Financial Corporation | 736 | 33,010 | ||||||
Wells Fargo & Company | 731 | 32,595 | ||||||
Western Alliance Bancorp | 639 | 32,730 | ||||||
Wintrust Financial Corporation | 389 | 33,326 | ||||||
Zions Bancorporation N.A. | 825 | 29,395 | ||||||
988,311 | ||||||||
Institutional Financial Services — 1.6% | ||||||||
Bank of New York Mellon Corporation (The) | 704 | 34,018 | ||||||
Goldman Sachs Group, Inc. (The) | 94 | 32,105 | ||||||
State Street Corporation | 453 | 32,987 | ||||||
99,110 | ||||||||
Insurance — 8.8% | ||||||||
American Equity Investment Life Holding Company | 542 | 29,897 | ||||||
American Financial Group, Inc. | 265 | 30,313 | ||||||
American International Group, Inc. | 475 | 31,260 |
8
U.S. VALUE ETF |
SCHEDULE OF INVESTMENTS (Continued) |
COMMON STOCKS — 98.4% (Continued) | Shares | Value | ||||||
Financials — 36.9% (Continued) | ||||||||
Insurance — 8.8% (Continued) | ||||||||
Axis Capital Holdings Ltd. | 510 | $ | 28,733 | |||||
CNA Financial Corporation | 727 | 30,629 | ||||||
Corebridge Financial, Inc. | 1,413 | 29,715 | ||||||
Equitable Holdings, Inc. | 1,052 | 32,286 | ||||||
Everest Group Ltd. | 74 | 30,381 | ||||||
Globe Life, Inc. | 256 | 31,521 | ||||||
Hartford Financial Services Group, Inc. (The) | 414 | 32,358 | ||||||
Lincoln National Corporation | 1,227 | 29,178 | ||||||
MetLife, Inc. | 465 | 29,588 | ||||||
Principal Financial Group, Inc. | 416 | 30,713 | ||||||
Prudential Financial, Inc. | 309 | 30,214 | ||||||
Reinsurance Group of America, Inc. | 200 | 32,613 | ||||||
RenaissanceRe Holdings Ltd. | 135 | 28,939 | ||||||
Unum Group | 580 | 24,940 | ||||||
Voya Financial, Inc. | 440 | 31,464 | ||||||
544,742 | ||||||||
Specialty Finance — 7.1% | ||||||||
AerCap Holdings N.V. (a) | 485 | 33,087 | ||||||
AGNC Investment Corporation | 3,254 | 28,700 | ||||||
Air Lease Corporation | 796 | 30,877 | ||||||
Ally Financial, Inc. | 1,177 | 34,392 | ||||||
Annaly Capital Management, Inc. | 1,634 | 29,526 | ||||||
Capital One Financial Corporation | 300 | 33,498 | ||||||
Discover Financial Services | 320 | 29,760 | ||||||
Essent Group Ltd. | 598 | 28,907 | ||||||
Fidelity National Financial, Inc. | 739 | 33,137 | ||||||
MGIC Investment Corporation | 1,667 | 29,323 | ||||||
OneMain Holdings, Inc. | 752 | 31,810 | ||||||
Rithm Capital Corporation | 3,114 | 32,323 | ||||||
Starwood Property Trust, Inc. | 1,516 | 30,123 | ||||||
Synchrony Financial | 987 | 31,939 | ||||||
437,402 | ||||||||
Health Care — 3.6% | ||||||||
Biotech & Pharma — 2.5% | ||||||||
Bristol-Myers Squibb Company | 516 | 25,480 | ||||||
Jazz Pharmaceuticals plc (a) | 227 | 26,838 | ||||||
Organon & Company | 1,746 | 19,765 | ||||||
Royalty Pharma plc - Class A | 1,072 | 29,019 | ||||||
United Therapeutics Corporation (a) | 125 | 30,000 | ||||||
Viatris, Inc. | 3,071 | 28,192 | ||||||
159,294 |
9
U.S. VALUE ETF |
SCHEDULE OF INVESTMENTS (Continued) |
COMMON STOCKS — 98.4% (Continued) | Shares | Value | ||||||
Health Care — 3.6% (Continued) | ||||||||
Health Care Facilities & Services — 1.1% | ||||||||
CVS Health Corporation | 410 | $ | 27,860 | |||||
Tenet Healthcare Corporation (a) | 550 | 37,955 | ||||||
65,815 | ||||||||
Industrials — 7.1% | ||||||||
Commercial Support Services — 0.5% | ||||||||
H&R Block, Inc. | 675 | 30,659 | ||||||
Diversified Industrials — 0.5% | ||||||||
3M Company | 326 | 32,297 | ||||||
Electrical Equipment — 1.3% | ||||||||
Atkore, Inc. (a) | 203 | 26,370 | ||||||
Sensata Technologies Holding plc | 777 | 25,260 | ||||||
Vontier Corporation | 931 | 31,402 | ||||||
83,032 | ||||||||
Industrial Intermediate Prod — 0.5% | ||||||||
Timken Company (The) | 404 | 29,250 | ||||||
Industrial Support Services — 0.5% | ||||||||
WESCO International, Inc. | 200 | 31,170 | ||||||
Machinery — 0.9% | ||||||||
AGCO Corporation | 240 | 27,247 | ||||||
CNH Industrial N.V. | 2,444 | 26,249 | ||||||
53,496 | ||||||||
Transportation & Logistics — 2.5% | ||||||||
Alaska Air Group, Inc. (a) | 864 | 32,667 | ||||||
American Airlines Group, Inc. (a) | 2,409 | 29,944 | ||||||
Delta Air Lines, Inc. | 827 | 30,540 | ||||||
Ryder System, Inc. | 283 | 30,321 | ||||||
United Airlines Holdings, Inc. (a) | 730 | 28,762 | ||||||
152,234 | ||||||||
Transportation Equipment — 0.4% | ||||||||
Allison Transmission Holdings, Inc. | 489 | 26,152 | ||||||
Materials — 6.3% | ||||||||
Chemicals — 2.7% | ||||||||
Albemarle Corporation | 170 | 20,616 | ||||||
Eastman Chemical Company | 397 | 33,280 | ||||||
FMC Corporation | 470 | 25,220 | ||||||
LyondellBasell Industries N.V. - Class A | 314 | 29,861 |
10
U.S. VALUE ETF |
SCHEDULE OF INVESTMENTS (Continued) |
COMMON STOCKS — 98.4% (Continued) | Shares | Value | ||||||
Materials — 6.3% (Continued) | ||||||||
Chemicals — 2.7% (Continued) | ||||||||
Mosaic Company (The) | 804 | $ | 28,856 | |||||
Olin Corporation | 601 | 28,331 | ||||||
166,164 | ||||||||
Construction Materials — 0.5% | ||||||||
Owens Corning | 225 | 30,506 | ||||||
Containers & Packaging — 1.6% | ||||||||
Berry Global Group, Inc. | 522 | 34,515 | ||||||
Graphic Packaging Holding Company | 1,393 | 31,579 | ||||||
Sonoco Products Company | 554 | 30,559 | ||||||
96,653 | ||||||||
Metals & Mining — 0.5% | ||||||||
Cleveland-Cliffs, Inc. (a) | 1,888 | 32,398 | ||||||
Steel — 1.0% | ||||||||
Commercial Metals Company | 665 | 30,144 | ||||||
Steel Dynamics, Inc. | 275 | 32,761 | ||||||
62,905 | ||||||||
Real Estate — 1.1% | ||||||||
Real Estate Services — 0.5% | ||||||||
Jones Lang LaSalle, Inc. (a) | 217 | 33,748 | ||||||
REITs — 0.6% | ||||||||
Spirit Realty Capital, Inc. | 865 | 35,725 | ||||||
Technology — 6.5% | ||||||||
Semiconductors — 0.6% | ||||||||
Amkor Technology, Inc. | 1,240 | 34,931 | ||||||
Software — 1.1% | ||||||||
Clarivate plc (a) | 4,304 | 33,399 | ||||||
Gen Digital, Inc. | 1,679 | 37,072 | ||||||
70,471 | ||||||||
Technology Hardware — 2.4% | ||||||||
Arrow Electronics, Inc. (a) | 251 | 29,759 | ||||||
Avnet, Inc. | 605 | 28,290 | ||||||
Hewlett Packard Enterprise Company | 1,714 | 28,984 | ||||||
HP, Inc. | 1,086 | 31,863 | ||||||
TD SYNNEX Corporation | 307 | 30,282 | ||||||
149,178 |
11
U.S. VALUE ETF |
SCHEDULE OF INVESTMENTS (Continued) |
COMMON STOCKS — 98.4% (Continued) | Shares | Value | ||||||
Technology — 6.5% (Continued) | ||||||||
Technology Services — 2.4% | ||||||||
Dun & Bradstreet Holdings, Inc. | 3,046 | $ | 32,257 | |||||
DXC Technology Company (a) | 1,309 | 30,277 | ||||||
Fidelity National Information Services, Inc. | 563 | 33,014 | ||||||
Global Payments, Inc. | 255 | 29,692 | ||||||
Western Union Company (The) | 2,220 | 25,819 | ||||||
151,059 | ||||||||
Utilities — 2.6% | ||||||||
Electric Utilities — 1.7% | ||||||||
AES Corporation (The) | 2,226 | 38,309 | ||||||
NRG Energy, Inc. | 702 | 33,584 | ||||||
Vistra Corporation | 914 | 32,365 | ||||||
104,258 | ||||||||
Gas & Water Utilities — 0.9% | ||||||||
National Fuel Gas Company | 536 | 27,223 | ||||||
UGI Corporation | 1,366 | 30,039 | ||||||
57,262 | ||||||||
Investments at Value — 98.4% (Cost $6,232,946) | $ | 6,108,664 | ||||||
Other Assets in Excess of Liabilities — 1.6% | 97,260 | |||||||
Net Assets — 100.0% | $ | 6,205,924 |
N.A. - National Association
N.V. - Naamloze Vennootschap
plc - Public Limited Company
REIT - Real Estate Investment Trust
S.A. - Societe Anonyme
(a) | Non-income producing security. |
See accompanying notes to financial statements.
12
U.S. VALUE ETF |
STATEMENT OF ASSETS AND LIABILITIES |
November 30, 2023 |
ASSETS | ||||
Investments in securities: | ||||
At cost | $ | 6,232,946 | ||
At value (Note 2) | $ | 6,108,664 | ||
Cash (Note 2) | 93,585 | |||
Receivable from Adviser (Note 4) | 11,206 | |||
Dividends receivable | 14,463 | |||
Other assets | 1,587 | |||
Total assets | 6,229,505 | |||
LIABILITIES | ||||
Payable to administrator (Note 4) | 5,332 | |||
Other accrued expenses and liabilities | 18,249 | |||
Total liabilities | 23,581 | |||
CONTINGENCIES AND COMMITMENTS (NOTE 7) | — | |||
NET ASSETS | $ | 6,205,924 | ||
NET ASSETS CONSIST OF: | ||||
Paid-in capital | $ | 6,221,796 | ||
Accumulated deficit | (15,872 | ) | ||
NET ASSETS | $ | 6,205,924 | ||
Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) | 225,000 | |||
Net asset value, offering price and redemption price per share (Note 2) | $ | 27.58 |
See accompanying notes to financial statements.
13
U.S. VALUE ETF |
STATEMENT OF OPERATIONS |
Year Ended November 30, 2023 |
INVESTMENT INCOME | ||||
Dividend income | $ | 295,437 | ||
Foreign withholding taxes on dividends | (120 | ) | ||
Total investment income | 295,317 | |||
EXPENSES | ||||
Administration fees (Note 4) | 52,145 | |||
Management fees (Note 4) | 42,910 | |||
Custody fees | 28,124 | |||
Legal fees | 23,195 | |||
Trustees’ fees and expenses (Note 4) | 19,764 | |||
Audit and tax services fees | 15,189 | |||
Postage and supplies | 13,109 | |||
Compliance fees and expenses (Note 4) | 12,141 | |||
Transfer agent fees | 9,999 | |||
Registration and filing fees | 8,342 | |||
Excise tax (Note 2) | 379 | |||
Other expenses | 17,439 | |||
Total expenses | 242,736 | |||
Less fees reduced and expenses reimbursed by Adviser (Note 4) | (195,764 | ) | ||
Net expenses | 46,972 | |||
NET INVESTMENT INCOME | 248,345 | |||
REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS AND FOREIGN CURRENCIES | ||||
Net realized gains (losses) from: | ||||
Investments | 26,253 | |||
In-kind redemptions (Note 3) | 367,570 | |||
Foreign currency transactions | (7 | ) | ||
Net change in unrealized appreciation (depreciation) on investments | (1,237,606 | ) | ||
NET REALIZED AND UNREALIZED LOSSES ON INVESTMENTS AND FOREIGN CURRENCIES | (843,790 | ) | ||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (595,445 | ) |
See accompanying notes to financial statements.
14
U.S. VALUE ETF |
STATEMENTS OF CHANGES IN NET ASSETS |
Year Ended | Year Ended | |||||||
November 30, | November 30, | |||||||
2023 | 2022 | |||||||
FROM OPERATIONS | ||||||||
Net investment income | $ | 248,345 | $ | 166,296 | ||||
Net realized gains (losses) from: | ||||||||
Investments | 26,253 | (127,161 | ) | |||||
In-kind redemptions (Note 3) | 367,570 | — | ||||||
Foreign currency transactions | (7 | ) | 17 | |||||
Net change in unrealized appreciation (depreciation) on investments | (1,237,606 | ) | 1,181,070 | |||||
Net increase (decrease) in net assets resulting from operations | (595,445 | ) | 1,220,222 | |||||
FROM DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2) | (180,300 | ) | (18,687 | ) | ||||
FROM CAPITAL SHARE TRANSACTIONS | ||||||||
Proceeds from shares issued | 5,195,850 | 11,607,421 | ||||||
Payments for shares redeemed | (14,171,576 | ) | — | |||||
Net increase (decrease) in net assets for capital share transactions | (8,975,726 | ) | 11,607,421 | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (9,751,471 | ) | 12,808,956 | |||||
NET ASSETS | ||||||||
Beginning of year | 15,957,395 | 3,148,439 | ||||||
End of year | $ | 6,205,924 | $ | 15,957,395 | ||||
SHARE TRANSACTIONS | ||||||||
Shares issued | 200,000 | 450,000 | ||||||
Shares redeemed | (550,000 | ) | — | |||||
Net increase (decrease) in shares outstanding | (350,000 | ) | 450,000 | |||||
Shares outstanding at beginning of year | 575,000 | 125,000 | ||||||
Shares outstanding at end of year | 225,000 | 575,000 |
See accompanying notes to financial statements.
15
U.S. VALUE ETF |
FINANCIAL HIGHLIGHTS |
Per Share Data for a Share Outstanding Throughout each Period:
Year Ended | Year Ended | Period Ended | ||||||||||
Nov. 30, | Nov. 30, | Nov. 30, | ||||||||||
2023 | 2022 | 2021 (a) | ||||||||||
Net asset value at beginning of period | $ | 27.75 | $ | 25.19 | $ | 25.00 | ||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income (b) | 0.69 | 0.65 | 0.13 | |||||||||
Net realized and unrealized gains (losses) on investments and foreign currencies | (0.62 | ) | 2.06 | 0.06 | (c) | |||||||
Total from investment operations | 0.07 | 2.71 | 0.19 | |||||||||
Less distributions to shareholders from: | ||||||||||||
Net investment income | (0.24 | ) | (0.15 | ) | — | |||||||
Net asset value at end of period | $ | 27.58 | $ | 27.75 | $ | 25.19 | ||||||
Market price at end of period | $ | 27.58 | $ | 27.73 | $ | 25.21 | ||||||
Total return (d) | 0.31 | % | 10.79 | % | 0.76 | % (e) | ||||||
Total return at market (f) | 0.42 | % | 10.58 | % | 0.84 | % (e) | ||||||
Net assets at end of period (000’s) | $ | 6,206 | $ | 15,957 | $ | 3,148 | ||||||
Ratios/supplementary data: | ||||||||||||
Ratio of total expenses to average net assets | 2.55 | % | 3.47 | % | 10.04 | % (g) | ||||||
Ratio of net expenses to average net assets (h) | 0.49 | % | 0.49 | % | 0.49 | % (g) | ||||||
Ratio of net investment income to average net assets (h) | 2.61 | % | 2.51 | % | 2.31 | % (g) | ||||||
Portfolio turnover rate (i) | 82 | % | 77 | % | 23 | % (e) |
(a) | Represents the period from the commencement of operations (September 14, 2021) through November 30, 2021. |
(b) | Per share net investment income has been determined on the basis of average number of shares outstanding during the period. |
(c) | Represents a balancing figure derived from other amounts in the financial highlights table that captures all other changes affecting net asset value per share. This per share amount does not correlate to the aggregate of the net realized and unrealized losses on the Statement of Operations for the same period. |
(d) | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at net asset value. This percentage is not an indication of the performance of a shareholder’s investment in the Fund based on market value due to differences between the market price of the shares and the net asset value per share of the Fund. |
(e) | Not annualized. |
(f) | Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price from any primary listing market (e.g., NYSE Arca) or participating regional exchanges or markets. The composite closing price is the last reported sale price from any of the eligible sources, regardless of volume and not an average price and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund’s closing price on the listing market. |
(g) | Annualized. |
(h) | Ratio was determined after fee reductions and expense reimbursements (Note 4). |
(i) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
See accompanying notes to financial statements.
16
U.S. VALUE ETF |
NOTES TO FINANCIAL STATEMENTS |
November 30, 2023 |
1. Organization
U.S. Value ETF (the “Fund”) is a diversified series of Ultimus Managers Trust (the “Trust”), an open-end investment company established as an Ohio business trust under a Declaration of Trust dated February 28, 2012. Other series of the Trust are not incorporated in this report.
The Fund is an exchange-traded fund (“ETF”). The investment objective of the Fund is to seek to track the investment results (before fees and expenses) of the Lyrical U.S. Value Index.
Shares of the Fund are listed and traded on the NYSE Arca, Inc. Market prices for the Shares may be different from their net asset value (“NAV”). The Fund issues and redeems Shares on a continuous basis at NAV only in large blocks of Shares, of at least 25,000 Shares, (“Creation Units”). Creation Units are issued and redeemed principally in-kind for securities included in a specified universe. Once created, Shares generally trade in the secondary market at market prices that change throughout the day in amounts that differ from a Creation Unit.
2. Significant Accounting Policies
The following is a summary of the Fund’s significant accounting policies. The policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The Fund follows accounting and reporting guidance under Financial Accounting Standards Board Accounting Standards Codification Topic 946, “Financial Services – Investment Companies.”
Regulatory update – Tailored Shareholder Reports for Mutual Funds and Exchange-Traded Funds (“ETFs”) – Effective January 24, 2023, the Securities and Exchange Commission (the “SEC”) adopted rule and form amendments to require mutual funds and ETFs to transmit concise and visually engaging streamlined annual and semiannual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semiannual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. At this time, management is evaluating the impact of these amendments on the shareholder reports for the Fund.
Securities valuation – The Fund values its portfolio securities at market value as of the close of regular trading on the New York Stock Exchange (the “NYSE”) (normally 4:00 p.m. Eastern time) on each business day the NYSE is open for business. The Fund values its listed securities on the basis of the security’s last sale price on the security’s primary exchange, if available, otherwise at the exchange’s most recently quoted mean price. NASDAQ-listed securities are valued at the NASDAQ Official Closing Price. When
17
U.S. VALUE ETF |
NOTES TO FINANCIAL STATEMENTS (Continued) |
using a quoted price and when the market is considered active, the security will be classified as Level 1 within the fair value hierarchy (see below). In the event that market quotations are not readily available or are considered unreliable due to market or other events, the Fund values its securities and other assets at fair value as determined by Lyrical Asset Management L.P. (the “Adviser”), as the valuation designee, in accordance with procedures adopted by the Board of Trustees (the “Board”) pursuant to Rule 2a-5 under the Investment Company Act of 1940, as amended (the “1940 Act”). Under these procedures, the securities will be classified as Level 2 or 3 within the fair value hierarchy, depending on the inputs used. Unavailable or unreliable market quotes may be due to the following factors: a substantial bid-ask spread; infrequent sales resulting in stale prices; insufficient trading volume; small trade sizes; a temporary lapse in any reliable pricing source; and actions of the securities or futures markets, such as the suspension or limitation of trading. As a result, the prices of securities used to calculate the Fund’s NAV may differ from quoted or published prices for the same securities.
GAAP establishes a single authoritative definition of fair value, sets out a framework for measuring fair value, and requires additional disclosures about fair value measurements.
Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below:
● | Level 1 – quoted prices in active markets for identical securities |
● | Level 2 – other significant observable inputs |
● | Level 3 – significant unobservable inputs |
The inputs or methods used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement.
The following is a summary of the Fund’s investments by the inputs used to value the investments as of November 30, 2023:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks | $ | 6,108,664 | $ | — | $ | — | $ | 6,108,664 | ||||||||
Total | $ | 6,108,664 | $ | — | $ | — | $ | 6,108,664 | ||||||||
Refer to the Fund’s Schedule of Investments for a listing of securities by sector and industry type. The Fund did not hold any derivative instruments or any assets or liabilities that were measured at fair value on a recurring basis using significant unobservable inputs (Level 3) as of or during the year ended November 30, 2023.
18
U.S. VALUE ETF |
NOTES TO FINANCIAL STATEMENTS (Continued) |
Cash – The Fund’s cash, if any, is held in a bank account with balances which may exceed the Federal Deposit Insurance Corporation (FDIC) limit of $250,000. The cash balance reflected on the Statement of Assets and Liabilities for the Fund represents the amount held as of November 30, 2023.
Share valuation – The NAV per share of the Fund is calculated daily by dividing the total value of the assets, less the liabilities, by the number of shares outstanding. The offering price and redemption price per share is equal to the NAV per share.
Investment income – Dividend income is recorded on the ex-dividend date. Interest income, if any, is accrued as earned. Non-cash dividends included in dividend income, if any, are recorded at the fair value of the security received. Withholding taxes on foreign dividends, if any, have been recorded in accordance with the Fund’s understanding of the applicable country’s rules and tax rates.
Investment transactions – Investment transactions are accounted for on the trade date. Realized gains and losses on investments sold are determined on a specific identification basis.
Common expenses – Common expenses of the Trust are allocated among the Fund and the other series of the Trust based on the relative net assets of each series, the number of series in the Trust, or the nature of the services performed and the relative applicability to each series.
Distributions to shareholders – The Fund distributes to shareholders any net investment income dividends and net realized capital gains distributions at least once each year. The amount of such dividends and distributions are determined in accordance with federal income tax regulations, which may differ from GAAP. Dividends and distributions to shareholders are recorded on the ex-dividend date. The tax character of distributions paid to shareholders during the years ended November 30, 2023 and 2022 were as follows:
Long-Term | Total | |||||||||||
Year Ended | Ordinary Income | Capital Gains | Distributions | |||||||||
11/30/2023 | $ | 180,300 | $ | — | $ | 180,300 | ||||||
11/30/2022 | 18,659 | 28 | 18,687 |
Estimates – The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements and the reported amounts of increase (decrease) in net assets from operations during the reporting period. Actual results could differ from those estimates.
19
U.S. VALUE ETF |
NOTES TO FINANCIAL STATEMENTS (Continued) |
Federal income tax – The Fund has qualified and intends to continue to qualify as a regulated investment company under the Internal Revenue Code of 1986, as amended (the “Code”). Qualification generally will relieve the Fund of liability for federal income taxes to the extent 100% of its net investment income and net realized capital gains are distributed in accordance with the Code.
In order to avoid imposition of the excise tax applicable to regulated investment companies, it is also the Fund’s intention to declare as dividends in each calendar year at least 98% of its net investment income (earned during the calendar year) and 98.2% of its net realized capital gains (earned during the twelve months ended October 31) plus undistributed amounts from prior years.
The following information was computed on a tax basis for each item as of November 30, 2023, the Fund’s most recent fiscal year end:
Tax cost of portfolio investments | $ | 6,206,009 | ||
Gross unrealized appreciation | $ | 426,607 | ||
Gross unrealized depreciation | (523,952 | ) | ||
Net unrealized appreciation (depreciation) | (97,345 | ) | ||
Undistributed ordinary income | 165,158 | |||
Accumulated capital and other losses | (83,685 | ) | ||
Accumulated deficit | $ | (15,872 | ) | |
The difference between the federal income tax cost of investments and the financial statement cost of investments for the Fund is due to certain timing differences in the recognition of capital gains or losses under income tax regulations and GAAP. These “book/tax” differences are temporary in nature and are primarily due to the tax deferral losses on wash sales, C Corp return of capital, publicly traded partnerships and real estate investment trusts.
The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. Reclassifications are made to the Fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under current income tax regulations. These permanent differences that are credited or charged to Paid in Capital and distributable earnings/(loss) as of November 30, 2023 are primarily related to redemptions in-kind, non-deductible partnership expenses, and non-deductible excise tax. For the year ended November 30, 2023, the Fund reclassified $388,617 of distributable earnings against paid-in capital on the Statement of Assets and Liabilities. Such reclassification, the result of permanent differences between the financial statements and income tax requirements, had no effect on the Fund’s NAV per share.
20
U.S. VALUE ETF |
NOTES TO FINANCIAL STATEMENTS (Continued) |
As of November 30, 2023, the Fund had the following capital loss carryforwards for federal tax purposes, which may be carried forward indefinitely of $83,685 long-term. These capital loss carryforwards are available to offset net realized capital gains in future years, thereby reducing taxable gain distributions.
The Fund recognizes the tax benefits or expenses of uncertain tax positions only when the position is “more likely than not” of being sustained assuming examination by tax authorities. Management has reviewed the Fund’s tax positions for all open tax years (generally, three years) and has concluded that no provision for unrecognized tax benefits or expenses is required in these financial statements. The Fund identifies its major tax jurisdiction as U.S. Federal.
The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statement of Operations. During the year ended November 30, 2023, the Fund paid $379 in excise tax.
3. Investment Transactions
During the year ended November 30, 2023, cost of purchases and proceeds from sales of investment securities, excluding in-kind transactions and short-term investments, amounted to $7,603,566 and $7,525,944, respectively. Purchases and sales of in-kind transactions for the year ended November 30, 2023 amounted to $5,125,581 and $13,987,612, respectively. There were realized gains of $367,570 from in-kind transactions during the year ended November 30, 2023.
4. Transactions with Related Parties
INVESTMENT ADVISORY AGREEMENT
The Fund’s investments are managed by the Adviser pursuant to the terms of an Investment Advisory Agreement. The Fund pays the Adviser a management fee, computed and accrued daily and paid monthly, at the annual rate of 0.45% of average daily net assets. During the year ended November 30, 2023, the Adviser earned $42,910 of fees under the Investment Advisory Agreement.
Pursuant to an Expense Limitation Agreement (“ELA”) between the Fund and the Adviser, the Adviser has contractually agreed, until July 30, 2024, to reduce the management fees and reimburse other operating expenses to limit total annual operating expenses of the Fund (exclusive of brokerage costs; taxes; interest; borrowing costs such as interest and dividend expenses on securities sold short; costs to organize the Fund; acquired fund fees and expenses; extraordinary expenses such as litigation and merger or reorganization costs; and other expenses not incurred in the ordinary course of the Fund’s business) to an amount not exceeding 0.49% of the average daily net assets of the Fund’s shares.
21
U.S. VALUE ETF |
NOTES TO FINANCIAL STATEMENTS (Continued) |
Accordingly, during the year ended November 30, 2023, the Adviser did not collect any of its management fees from the Fund and reimbursed other operating expenses of $152,854.
Under the terms of the ELA, management fee reductions and expense reimbursements by the Adviser are subject to repayment by the Funds for a period of three years after such fees and expenses were incurred, provided that the repayments do not cause total annual fund operating expenses to exceed the lesser of (i) the expense limitation then in effect, if any, and (ii) the expense limitation in effect at the time the expenses to be repaid were incurred. As of November 30, 2023, the Adviser may seek repayment of management fee reductions and expense reimbursements no later than the dates below:
November 30, 2024 | November 30, 2025 | November 30, 2026 | Total |
$43,752 | $197,434 | $195,764 | $436,950 |
OTHER SERVICE PROVIDERS
Ultimus Fund Solutions, LLC (“Ultimus”) provides administration, fund accounting and compliance services to the Fund. The Fund pays Ultimus fees in accordance with the agreements for such services. In addition, the Fund pays out-of-pocket expenses including, but not limited to, postage, supplies, and certain costs related to the pricing of the Fund’s portfolio securities.
Under the terms of a Distribution Agreement with the Trust, Northern Lights Distributors, LLC (the “Distributor”) serves as the principal underwriter to the Fund. The Distributor is a wholly-owned subsidiary of Ultimus. The Distributor is compensated by the Adviser for acting as principal underwriter.
A Trustee and certain officers of the Trust are also officers of Ultimus and are not paid by the Fund for serving in such capacities.
TRUSTEE COMPENSATION
Each member of the Board (a “Trustee”) who is not an “interested person” (as defined by the 1940 Act, as amended) of the Trust (“Independent Trustee”) receives a $1,300 annual retainer from the Fund, except for the Board Chairperson who receives a $1,700 annual retainer from the Fund, and the Audit Committee Chairperson who receives a $1,500 annual retainer from the Fund, paid in quarterly installments. Each Independent Trustee also receives from the Fund a fee of $550 for each Board meeting attended plus reimbursement for travel and other meeting-related expenses.
5. Capital Share Transactions
Shares are not individually redeemable and may be redeemed by the Fund at NAV only in large blocks known as “Creation Units” of 25,000 shares. Only Authorized Participants (“APs”) or transactions done through an Authorized Participant (“AP”) are permitted to
22
U.S. VALUE ETF |
NOTES TO FINANCIAL STATEMENTS (Continued) |
purchase or redeem Creation Units from the Fund. An AP is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a Depository Trust Company participant and, in each case, must have executed a Participant Agreement with the Distributor. Such transactions are generally permitted on an in-kind basis, with a balancing cash component to equate the transaction to the NAV per share of the Fund on the transaction date. Cash may be substituted equivalent to the value of certain securities generally when they are not available in sufficient quantity for delivery, not eligible for trading by the AP or as a result of other market circumstances. Realized gains (losses) resulting from in-kind redemption of shares, if any, are reflected separately on the Statement of Operations. The Fund charges APs standard creation and redemption transaction fees (“Transaction Fees”) to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units. The standard creation and redemption transaction fees are set forth in the table below. The standard creation transaction fee is charged to the AP on the day such AP creates a Creation Unit, and is the same regardless of the number of Creation Units purchased by the AP on the applicable business day. Similarly, the standard redemption transaction fee is charged to the AP on the day such AP redeems a Creation Unit, and is the same regardless of the number of Creation Units redeemed by the AP on the applicable business day. Creations and redemptions for cash (when cash creations and redemptions (in whole or in part) are available or specified) are also subject to an additional charge (up to the maximum amounts shown in the table below). This charge is intended to compensate for brokerage, tax, foreign exchange, execution, price movement and other costs and expenses related to cash transactions (which may, in certain instances, be based on a good faith estimate of transaction costs). For the year ended November 30, 2023, the Fund received $5,600 in transaction fees.
The Transaction Fees for the Fund are listed in the table below:
Maximum Additional Variable | |
Fee for In-Kind and Cash Purchases | Change for Cash Purchases* |
$800 | 2.00%* |
* | As a percentage of the amount invested. |
6. Investment Risks
ETF Risk
The NAV of the Fund can fluctuate up or down, and a shareholder could lose money investing in the Fund if the prices of the securities owned by the Fund decline. In addition, the Fund may be subject to the following risks: (1) the market price of the Fund’s shares may trade above or below its NAV; (2) an active trading market for the Fund’s shares may not develop or be maintained; or (3) trading of the Fund’s shares may be halted if the
23
U.S. VALUE ETF |
NOTES TO FINANCIAL STATEMENTS (Continued) |
listing exchange’s officials deem such action appropriate, the shares are delisted from the exchange, or the activation of market-wide “circuit breakers” (which are tied to large decreases in stock prices) halts stock trading generally.
Sector Risk
If the Fund has significant investments in the securities of issuers within a particular sector, any development affecting that sector will have a greater impact on the value of the net assets of the Fund than would be the case if the Fund did not have significant investments in that sector. In addition, this may increase the risk of loss in the Fund and increase the volatility of the Fund’s NAV per share. For instance, economic or market factors, regulatory changes or other developments may negatively impact all companies in a particular sector, and therefore the value of the Fund’s portfolio will be adversely affected. As of November 30, 2023, the Fund had 36.9% of the value of its net assets invested in stocks within the Financials sector.
7. Contingencies and Commitments
The Fund indemnifies the Trust’s officers and Trustees for certain liabilities that might arise from their performance of their duties to the Fund. Additionally, in the normal course of business the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
8. Subsequent Events
The Fund is required to recognize in the financial statements the effects of all subsequent events that provide additional evidence about conditions that existed as of the date of the Statement of Assets and Liabilities. For non-recognized subsequent events that must be disclosed to keep the financial statements from being misleading, the Fund is required to disclose the nature of the event as well as an estimate of its financial effect, or a statement that such an estimate cannot be made. Management has evaluated subsequent events through the issuance of these financial statements and has noted no such events, except for the following:
On December 28, 2023 the Fund paid an ordinary dividend of $0.8232 per share to shareholders of record on December 29, 2023.
24
U.S. VALUE ETF |
REPORT OF INDEPENDENT REGISTERED |
PUBLIC ACCOUNTING FIRM |
To the
Shareholders of U.S. Value ETF and
Board of Trustees of Ultimus Managers
Trust
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of U.S. Value ETF (the “Fund”), a series of Ultimus Managers Trust, as of November 30, 2023, the related statements of operations and changes in net assets, and the financial highlights for the year then ended, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of November 30, 2023, the results of its operations, the changes in net assets, and the financial highlights for the year then ended, in conformity with accounting principles generally accepted in the United States of America.
The financial statements and financial highlights of the Fund for the year and periods ended November 30, 2022, and prior, were audited by another auditor whose report, dated January 26, 2023, expressed an unqualified opinion on those financial statements and financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audit in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.
25
U.S. VALUE ETF |
REPORT OF INDEPENDENT REGISTERED |
PUBLIC ACCOUNTING FIRM (Continued) |
Our audit included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of November 30, 2023, by correspondence with the custodian. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audit provides a reasonable basis for our opinion.
We have served as the Fund’s auditor since 2023.
COHEN & COMPANY, LTD.
Philadelphia, Pennsylvania
January 29, 2024
26
U.S. VALUE ETF |
ABOUT YOUR FUND’S EXPENSES (Unaudited) |
We believe it is important for you to understand the impact of costs on your investment. As a shareholder of the Fund, you may incur two types of costs: (1) transactions costs, including commissions on trading, as applicable; and (2) ongoing costs, including investment advisory fees and other operating expenses. The following examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
A mutual fund’s ongoing costs are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The expenses in the table below are based on an investment of $1,000 made at the beginning of the most recent period (June 1, 2023) and held until the end of the period (November 30, 2023).
The table below illustrates the Fund’s ongoing costs in two ways:
Actual fund return – This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fourth column shows the dollar amount of operating expenses that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading “Expenses Paid During Period.”
Hypothetical 5% return – This section is intended to help you compare the Fund’s ongoing costs with those of other mutual funds. It assumes that the Fund had an annual return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case, because the return used is not the Fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on a 5% return. You can assess the Fund’s ongoing costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs. Further, the expenses do not include any brokerage commissions on investors’ purchases or redemptions of Fund shares as described in the Fund’s prospectus.
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
27
U.S. VALUE ETF |
ABOUT YOUR FUND’S EXPENSES (Unaudited) (Continued) |
More information about the Fund’s expenses can be found in this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund’s prospectus.
Beginning | Ending | Net | Expenses | |||||||||||||
Account Value | Account Value | Expense | Paid During | |||||||||||||
June 1, 2023 | November 30, 2023 | Ratio(a) | Period(b) | |||||||||||||
Based on Actual Fund Return | $ | 1,000.00 | $ | 1,132.20 | 0.50 | % | $ | 2.67 | ||||||||
Based on Hypothetical 5% Return (before expenses) | $ | 1,000.00 | $ | 1,022.56 | 0.50 | % | $ | 2.54 |
(a) | Annualized, based on the Fund’s most recent one-half year expenses. |
(b) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
28
U.S. VALUE ETF |
OTHER INFORMATION (Unaudited) |
A description of the policies and procedures that the Fund uses to vote proxies relating to portfolio securities is available without charge upon request by calling toll-free 1-833-825-8383, or on the SEC’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent period ended June 30 will be available without charge upon request by calling toll-free 1-833-825-8383, or on the SEC’s website at www.sec.gov.
The Trust files a complete listing of portfolio holdings for the Fund with the SEC as of the end of the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. These filings are available upon request by calling 1-833-825-8383. Furthermore, you may obtain a copy of the filings on the SEC’s website at www.sec.gov and on the Fund’s website at www.usvalueetf.com.
FEDERAL TAX INFORMATION (Unaudited)
Qualified Dividend Income – The Fund designates 100.00% of their ordinary income dividends, or up to the maximum amount of such dividends allowable pursuant to the Internal Revenue Code, as qualified dividend income eligible for the reduced tax rate.
Dividends Received Deduction – Corporate shareholders are generally entitled to take the dividends received deduction on the portion of the Fund’s dividend distribution that qualifies under tax law. For the fiscal year ended November 30, 2023, the percentage of ordinary income dividends qualified for the corporate dividends receivable deduction for the Fund was 100.00%.
29
U.S. VALUE ETF |
BOARD OF TRUSTEES AND EXECUTIVE OFFICERS (Unaudited) |
The Board has overall responsibility for management of the Trust’s affairs. The Trustees serve during the lifetime of the Trust and until its termination, or until death, resignation, retirement, or removal. The Trustees, in turn, elect the officers of the Fund to actively supervise their day-to-day operations. The officers have been elected for an annual term. Each Trustee’s and officer’s address is 225 Pictoria Drive, Suite 450, Cincinnati, Ohio 45246. The following are the Trustees and executive officers of the Fund:
Name
and Year of Birth |
Length
of Time Served |
Position(s)
held with Trust |
Principal Occupation(s) During Past 5 Years |
Number
of Funds in the Trust Overseen By Trustee |
Directorship(s) of Public Companies Held By Trustee During Past 5 Years |
Interested Trustees: | |||||
David
K. James* Year of Birth: 1970 |
April
2023 to present October 2022 to April 2023 July 2021 to October 2022 |
Trustee Assistant Secretary Secretary |
Executive Vice President and Chief Legal and Risk Officer of Ultimus Fund Solutions, LLC (“Ultimus”) and a member of the board of managers of Ultimus Fund Distributors, LLC, Northern Lights Distributors, LLC and Northern Lights Compliance Services, LLC, each an affiliate of Ultimus (2018 to present); Managing Director and Managing Counsel of State Street Bank and Trust Company (2009 to 2018) | 31 | Interested Trustee of 12 series of the Capitol Series Trust (a registered management company) (2021 to present) |
Independent Trustees: | |||||
Janine
L. Cohen Year of Birth: 1952 |
Since 2016 | Chairperson
(2019 to present) Trustee (2016 to present) |
Retired since 2013; previously Chief Financial Officer from 2004 to 2013 and Chief Compliance Officer from 2008 to 2013 at AER Advisors, Inc. | 31 | n/a |
30
U.S. VALUE ETF |
BOARD OF TRUSTEES AND EXECUTIVE OFFICERS (Unaudited) (Continued) |
Name
and Year of Birth |
Length
of Time Served |
Position(s)
held with Trust |
Principal Occupation(s) During Past 5 Years |
Number
of Funds in the Trust Overseen By Trustee |
Directorship(s) of Public Companies Held By Trustee During Past 5 Years |
Independent Trustees (Continued): | |||||
Robert
E. Morrison Year of Birth: 1957 |
Since 2019 | Trustee (and previously 2012 to 2014) | Managing Director at Midwest Trust and FCI Advisors (2022 to present); Senior Vice President and National Practice Lead for Investment, Huntington National Bank/Huntington Private Bank (2014 to 2022); CEO, CIO, President of 5 Star Investment Management Company (2006 to 2014) | 31 | n/a |
Clifford
N. Schireson Year of Birth: 1953 |
Since 2019 | Trustee | Retired; Founder of Schireson Consulting, LLC (2017 to 2022); Director of Institutional Services for Brandes Investment Partners, LP (2004 to 2017) | 31 | Trustee of the San Diego City Employees’ Retirement System (2019 to present) |
Keith
Shintani Year of Birth: 1963 |
Since 2024 | Trustee | Senior Vice President of Relationship Management at U.S. Bank Global Fund Services (1998 to 2022) | 31 | Trustee of the Matrix Advisors Fund Trust (2023 to present) |
Jacqueline
A. Williams Year of Birth: 1954 |
Since 2019 | Trustee | Managing Member of Custom Strategy Consulting, LLC (2017 to present); Managing Director of Global Investment Research (2005 to 2017), Cambridge Associates, LLC | 31 | n/a |
* | Mr. James is considered an “interested person” of the Trust within the meaning of Section (2)(a)(19) of the Investment Company Act of 1940, as amended, because of his relationship with the Trust’s Administrator, Transfer Agent, and Distributor. |
31
U.S. VALUE ETF
BOARD OF TRUSTEES AND EXECUTIVE OFFICERS (Unaudited) (Continued)
Name
and Year of Birth |
Length of Time Served |
Position(s) held with Trust |
Principal Occupation(s) During Past 5 Years |
Executive Officers: | |||
Todd E.
Heim Year of Birth: 1967 |
2021 to
present 2014 to 2021 |
President
Vice President |
Senior Vice President, Relationship Management (November 2023 to present), Vice President, Relationship Management (2018 to November 2023) and Assistant Vice President, Client Implementation Manager with Ultimus Fund Solutions, LLC (2014 to 2018) |
Shannon
Thibeaux-Burgess Year of Birth: 1970 |
2023 to present | Vice President | Senior Vice President, Relationship Management with Ultimus Fund Solutions, LLC (2022 to present); Head of Regulatory Service with J.P. Morgan Chase & Co. (2020 to 2022); Chief Administrative Officer of State Street Bank (2013 to 2020) |
Daniel
D. Bauer Year of Birth: 1977 |
2024 to
present 2016 to 2024 |
Treasurer Assistant Treasurer |
Vice President of Fund Accounting (2022 to present), Assistant Vice President of Fund Accounting (2020 to 2022), and AVP, Assistant Mutual Fund Controller (2015 to 2020) of Ultimus Fund Solutions, LLC |
Angela
A. Simmons Year of Birth: 1975 |
2022 to present | Assistant Treasurer | Vice President of Financial Administration (2022 to present) and Assistant Vice President, Financial Administration (2015 to 2022) of Ultimus Fund Solutions, LLC |
Susan
J. Bateman Year of Birth: 1966 |
2024 to present | Assistant
Treasurer |
Assistant Vice President of Financial Administration (2023 to present) and Assistant Vice President, Financial Administration (2018 to 2023) of Citi Fund Services, Inc. |
Karen
Jacoppo-Wood Year of Birth: 1966 |
2023 to present | Secretary | Senior Vice President and Associate General Counsel of Ultimus Fund Solutions, LLC (2022 to present); Managing Director and Managing Counsel (2019 to 2022) and Vice President and Counsel (2014 to 2019) of State Street Bank and Trust Company |
Natalie
S. Anderson Year of Birth: 1975 |
2016 to present | Assistant Secretary | Legal Administration Manager (2016 to present) and Paralegal (2015 to 2016) of Ultimus Fund Solutions, LLC |
Jesse
Hallee Year of Birth: 1976 |
2023 to present | Assistant Secretary | Senior Vice President and Associate General Counsel of Ultimus Fund Solutions, LLC (June 2019 to present); Vice President and Managing Counsel, State Street Bank and Trust Company (2013 to 2019) |
32
U.S. VALUE ETF
BOARD OF TRUSTEES AND EXECUTIVE OFFICERS (Unaudited) (Continued)
Name
and Year of Birth |
Length of Time Served |
Position(s) held with Trust |
Principal Occupation(s) During Past 5 Years |
Executive Officers (continued): | |||
Gweneth
K. Gosselink Year of Birth: 1955 |
2020 to present | Chief Compliance Officer | Assistant Vice President, Compliance Officer at Ultimus Fund Solutions, LLC (2019 to present); CCO Consultant at GKG Consulting, LLC (2019 to 2021); Chief Operating Officer & CCO at Miles Capital, Inc. (2013 to 2019) |
Martin
Dean Year of Birth: 1963 |
2020 to
present 2019 to 2020 2016 to 2017 |
Assistant
Chief Compliance Officer Interim Chief Compliance Officer Assistant Chief Compliance Officer |
President of Northern Lights Compliance Services, LLC (February 2023 to present); Senior Vice President, Head of Fund Compliance (2020 to January 2023) and Vice President & Director of Fund Compliance of Ultimus Fund Solutions, LLC (2016 to 2020) |
Additional information about member of the Board and executive officers is available in the Fund’s Statement of Additional Information (“SAI”). To obtain a free copy of the SAI, please call toll free 1-833-825-8383.
33
U.S. VALUE ETF |
LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited) |
The Fund has adopted and implemented a written liquidity risk management program (the “Program”) as required by Rule 22e-4 (the “Liquidity Rule”) under the Investment Company Act of 1940, as amended. The Program is reasonably designed to assess and manage the Fund’s liquidity risk, taking into consideration, among other factors, the Fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions; its short- and long-term cash flow projections; and its cash holdings and access to other funding sources. The Fund’s Board of Trustees (the “Board”) approved the appointment of the Liquidity Administrator Committee, comprising of the Fund’s Adviser and certain Trust officers, to be responsible for the Program’s administration and oversight and for reporting to the Board on at least an annual basis regarding the Program’s operation and effectiveness. The annual written report assessing the Program (the “Report”) was presented to the Board at the October 16-17, 2023 Board meeting and covered the period from June 1, 2022 to May 31, 2023 (the “Review Period”).
During the Review Period, the Fund did not experience unusual stress or disruption to its operations related to purchase and redemption activity. Also, during the Review Period, the Fund held adequate levels of cash and highly liquid investments to meet shareholder redemption activities in accordance with applicable requirements. The Report concluded that the Program is reasonably designed to prevent violation of the Liquidity Rule and the Program has been effectively implemented.
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