ck0001742912-20210930
|
|
|
|
|
|
(GSPY) |
Gotham
Enhanced 500 ETF |
|
Listed
on NYSE Arca, Inc. |
PROSPECTUS
January
28, 2022
The
U.S. Securities and Exchange Commission (the “SEC”) has not approved or
disapproved of these securities or passed upon the accuracy or adequacy of this
Prospectus. Any representation to the contrary is a criminal
offense.
TABLE
OF CONTENTS
|
|
|
|
|
|
Gotham
Enhanced 500 ETF - Fund Summary |
|
Additional
Information About the Fund |
|
Portfolio
Holdings Information |
|
Management |
|
How
to Buy and Sell Shares |
|
Dividends,
Distributions, and Taxes |
|
Distribution |
|
Premium/Discount
Information |
|
Additional
Notices |
|
Financial
Highlights |
|
Gotham Enhanced 500 ETF – FUND
SUMMARY
Investment Objective
The Gotham Enhanced 500 ETF
(the “Fund”) seeks long-term capital appreciation.
Fees and Expenses of the
Fund
This table describes the fees
and expenses that you may pay if you buy, hold, and sell shares of the Fund
(“Shares”). You may pay other fees, such as brokerage commissions and other fees
to financial intermediaries, which are not reflected in the table and Example
below.
|
|
|
|
|
|
Annual
Fund Operating Expenses
(expenses that you pay each year as a percentage of the value of your
investment) |
|
Management
Fees |
0.65% |
Distribution
and/or Service (12b-1) Fees |
0.00% |
Other
Expenses |
0.00% |
Total
Annual Fund Operating Expenses |
0.65% |
Less:
Fee Waiver |
(0.15)% |
Total
Annual Fund Operating Expenses After Fee Waiver1 |
0.50% |
|
|
1
The Fund’s investment
adviser, Toroso Investments, LLC (the “Adviser”), has agreed to reduce its
unitary management fee (which includes all expenses incurred by the Fund except
for interest charges on any borrowings, dividends and other expenses on
securities sold short, taxes, brokerage commissions and other expenses incurred
in placing orders for the purchase and sale of securities and other investment
instruments, acquired fund fees and expenses, accrued deferred tax liability,
extraordinary expenses, distribution fees and expenses paid by the Fund under
any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act, and the
unified management fee payable to the Adviser (collectively, the “Excluded
Expenses”)) to 0.50% of the Fund’s average daily net assets through at least
December 31,
2023. To the extent the Fund incurs Excluded Expenses, Total
Annual Fund Operating Expenses After Fee Waiver will be greater than 0.50%. This
agreement may be terminated only by, or with the consent of, the Board of
Trustees (the “Board”) of Tidal ETF Trust (the “Trust”), on behalf of the Fund,
upon sixty (60) days’ written notice to the Adviser. This Agreement may not be
terminated by the Adviser without the consent of the
Board.
Expense Example
This Example is
intended to help you compare the cost of investing in the Fund with the cost of
investing in other funds. The Example assumes that you invest $10,000 in the
Fund for the time periods indicated and then redeem all of your Shares at the
end of those periods. The Example also assumes that your investment has a 5%
return each year and that the Fund’s operating expenses remain the same. The
Example does not take into account brokerage commissions that you may pay on
your purchases and sales of Shares. The management fee waiver discussed above is
reflected only through December 31, 2023. Although your actual costs may be higher
or lower, based on these assumptions your costs would
be:
|
|
|
|
|
|
|
|
|
|
|
|
1
Year |
3
Years |
5
Years |
10
Years |
$51 |
$177 |
$332 |
$781 |
Portfolio
Turnover
The Fund pays transaction
costs, such as commissions, when it buys and sells securities (or “turns over”
its portfolio). A higher portfolio turnover rate may indicate higher transaction
costs and may result in higher taxes when Shares are held in a taxable account.
These costs, which are not reflected in total annual fund operating expenses or
in the expense example above, affect the Fund’s performance. For the fiscal
period December 28, 2020 (commencement of operations) to September 30, 2021, the
Fund’s portfolio turnover rate was 36% of the average value of its
portfolio.
Principal Investment
Strategies
The
Fund is an actively-managed exchange-traded fund (“ETF”) that seeks to achieve
its investment objective by generally investing in securities of issuers
included in the S&P 500®
Index (the “Index”). The Fund is not a passive index fund, but instead utilizes
an “enhanced” strategy implemented by Gotham Asset Management, LLC, the Fund’s
investment sub-adviser (“Gotham” or the “Sub-Adviser”), to invest in the
securities in the Index and weight those securities based on the Sub-Adviser’s
assessment of value and each security’s weight in the Index.
The
Sub-Adviser seeks to capitalize on pricing inefficiencies in the market by
employing a systematic, bottom-up, valuation approach based on the Sub-Adviser’s
proprietary analytical framework to identify companies included in the Index
that appear to be undervalued or overvalued on both an absolute and relative
basis. This approach consists of:
•
Researching and analyzing each company in the Sub-Adviser’s coverage universe
according to a methodology that emphasizes fundamentals such as recurring
earnings, cash flows, capital efficiency, capital structure, and
valuation;
•
Identifying and excluding companies that do not conform to the Sub-Adviser’s
valuation methodology or companies judged by the Sub-Adviser to have
questionable financial reporting;
•
Updating the analysis for earning releases, annual (Form 10-K), and quarterly
(Form 10-Q) reports and other corporate filings; and
•
Recording analysis in a centralized database enabling the Sub-Adviser to compare
companies and identify securities to purchase long based on the Sub-Adviser’s
assessment of value.
The Fund is rebalanced periodically,
including to manage risk and reposition the portfolio to reflect earnings
releases, stock price movements, and other new information related to particular
companies.
Principal Investment
Risks
The
principal risks of investing in the Fund are summarized below. As with any investment, there is a risk that you could
lose all or a portion of your investment in the Fund. Some or
all of these risks may adversely affect the Fund’s net asset value per share
(“NAV”), trading price, yield, total return, and/or ability to meet its
objective. For more information about the risks of investing in the Fund, see
the section in the Fund’s Prospectus titled “Additional Information About the
Fund - Principal Risks of Investing in the Fund.”
Equity
Market Risk. The
equity securities held in the Fund’s portfolio 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. Common
stocks, such as those held by the Fund, 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 issuers. Securities in the Fund’s portfolio may underperform in comparison
to securities in the general financial markets, a particular financial market,
or other asset classes, due to a number of factors. Factors that could impact
the market value of an equity security include a company’s business performance,
investor perceptions, stock market trends and general economic conditions.
General
Market Risk.
Securities markets and individual securities may increase or decrease in value.
Security prices may fluctuate widely over short or extended periods in response
to market or economic news and conditions, and securities markets also tend to
move in cycles. If there is a general decline in the securities markets, it is
possible your investment may lose value regardless of the individual results of
the companies in which the Fund invests. The magnitude of up and down price or
market fluctuations over time is sometimes referred to as “volatility”, and it
can be significant. In addition, different asset classes and geographic markets
may experience periods of significant correlation with each other. As a result
of this correlation, the securities and markets in which the Fund invests may
experience volatility due to market, economic, political or social events and
conditions that may not readily appear to directly relate to such securities,
the securities’ issuer or the markets in which they trade.
Value
Style Risk. The
Sub-Adviser intends to buy securities, on behalf of the Fund, that it believes
are undervalued. Investing in “value” stocks presents the risk that the stocks
may never reach what the Sub-Adviser believes are their full market values,
either because the market fails to recognize what the Sub-Adviser considers to
be the companies’ true business values or because the Sub-Adviser misjudges
those values. In addition, value stocks may fall out of favor with investors and
underperform other stocks (such as growth stocks) during given
periods.
Risks
Related to Database Errors. The
investment strategy used by the Sub-Adviser relies on proprietary databases and
third-party data sources. Data entries made by the Sub-Adviser’s team of
financial analysts or third parties may contain errors, as may the database
system used to store such data. Any errors in the underlying data sources, data
entry or database may result in the Fund acquiring or selling investments based
on incorrect information.
Systems
Risk.
The Fund depends on the Sub-Adviser to develop and implement appropriate systems
to provide sub-advisory services. The Sub-Adviser relies extensively on computer
programs and systems to implement and monitor the Fund’s investment strategy. As
a result, there is a risk of human or technological errors affecting the
portfolio construction process and order origination, including errors in
programming (e.g., “bugs” and classic coding errors), modeling, design,
translational errors and compatibility issues with data sets and among systems.
There can be no guarantee that such defects or issues will be identified in time
to avoid a material adverse effect on the Fund.
Large-Capitalization
Investing Risk.
The securities of large-capitalization companies may be relatively mature
compared to smaller companies and therefore subject to slower growth during
times of economic expansion. Large-capitalization companies may also be unable
to respond quickly to new competitive challenges, such as changes in technology
and consumer tastes.
Management
Risk. The
Fund is actively-managed and may not meet its investment objective based on the
Sub-Adviser’s success or failure to implement investment strategies for the
Fund. In addition as an actively-managed fund, the Fund’s investment exposure to
individual securities will not match those of the Index and the Fund’s
performance may not correlate with the performance of the Index.
Recently
Organized Fund Risk. The
Fund is newer, with limited operating history. As a result, prospective
investors do not have a long-term track record or history on which to base their
investment decision.
Recent
Market Events Risk.
U.S. and international markets have experienced significant periods of
volatility in recent years and months due to a number of economic, political and
global macro factors including the impact of COVID-19 as a global pandemic,
which has resulted in a public health crisis, disruptions to business operations
and supply chains, stress on the global healthcare system, growth concerns in
the U.S. and overseas, staffing shortages and the inability to meet consumer
demand, and widespread concern and uncertainty. The global recovery from
COVID-19 is proceeding at slower than expected rates due to the emergence of
variant strains and may last for an extended period of time. Continuing
uncertainties regarding interest rates, political events, rising government debt
in the U.S. and trade tensions also contribute to market
volatility.
ETF
Risks.
◦Authorized
Participants, Market Makers, and Liquidity Providers Concentration Risk.
The
Fund has a limited number of financial institutions that are authorized to
purchase and redeem Shares directly from the Fund (known as “Authorized
Participants” or “APs”). In addition, there may be a limited number of market
makers and/or liquidity providers in the marketplace. To the extent either of
the following events occur, Shares may trade at a material discount to NAV and
possibly face delisting: (i) APs exit the business or otherwise become unable to
process creation and/or redemption orders and no other APs step forward to
perform these services; or (ii) market makers and/or liquidity providers exit
the business or significantly reduce their business activities and no other
entities step forward to perform their functions.
◦Costs
of Buying or Selling Shares. Due
to the costs of buying or selling Shares, including brokerage commissions
imposed by brokers and bid-ask spreads, frequent trading of Shares may
significantly reduce investment results and an investment in Shares may not be
advisable for investors who anticipate regularly making small
investments.
◦Shares
May Trade at Prices Other Than NAV. As
with all ETFs, Shares may be bought and sold in the secondary market at market
prices. Although it is expected that the market price of Shares will approximate
the Fund’s NAV, there may be times when the market price of Shares is more than
the NAV intra-day (premium) or less than the NAV intra-day (discount) due to
supply and demand of Shares or during periods of market volatility. This risk is
heightened in times of market volatility, periods of steep market declines, and
periods when there is limited trading activity for Shares in the secondary
market, in which case such premiums or discounts may be significant.
◦Trading.
Although Shares are listed on a national securities exchange, such as the NYSE
Arca, Inc. (the “Exchange”), and may be traded on U.S. exchanges other than the
Exchange, there can be no assurance that Shares will trade with any volume, or
at all, on any stock exchange. In stressed market conditions, the liquidity of
Shares may begin to mirror the liquidity of the Fund’s underlying portfolio
holdings, which can be significantly less liquid than
Shares.
Performance
The following
performance information provides some indication of the risks of investing in
the Fund by showing changes in the Fund’s performance. The bar
chart shows the Fund’s performance for the calendar year ended December 31,
2021. The table illustrates how the Fund’s average annual returns for the 1-year
and since inception periods compare with those of a broad measure of market
performance. The Fund’s past performance,
before and after taxes, does not necessarily indicate how it will perform in the
future. Updated performance information is available on the
Fund’s website at www.GothamETFs.com/GSPY.
Calendar Year Ended December 31,
During the period of time shown
in the bar chart, the Fund’s highest quarterly return
was 10.70% for the quarter ended December 31, 2021 and
the lowest quarterly return was
-0.12% for the quarter ended September 30,
2021.
Average
Annual Total Returns
For
the Periods Ended December 31, 2021
|
|
|
|
|
|
|
|
|
|
|
|
|
1
Year |
|
Since
Inception
December 28,
2020 |
Return Before
Taxes |
27.56% |
|
27.64% |
Return After Taxes on
Distributions |
27.49% |
|
27.57% |
Return After Taxes on Distributions and
Sale of Fund Shares |
16.37% |
|
21.06% |
S&P
500®
Index (reflects no deduction for
fees, expenses, or taxes) |
28.71% |
|
29.17% |
After-tax returns are
calculated using the historical highest individual federal marginal income tax
rates during the period covered by the table above and do not reflect the impact
of state and local taxes. Actual after-tax returns
depend on an investor’s tax situation and may differ from those shown. After-tax
returns shown are not relevant to investors who hold their Shares through
tax-deferred arrangements such as an individual retirement account (“IRA”) or
other tax-advantaged accounts.
Management
Investment
Adviser
Toroso
Investments, LLC serves
as investment adviser to the Fund.
Investment
Sub-Adviser
Gotham
Asset Management, LLC serves as investment sub-adviser to the Fund.
Portfolio
Managers
Joel
Greenblatt, Managing Principal and Co-Chief Investment Officer for the
Sub-Adviser, has been a portfolio manager of the Fund since its inception in
2020.
Robert
Goldstein, Managing Principal and Co-Chief Investment Officer for the
Sub-Adviser, has been a portfolio manager of the Fund since its inception in
2020.
Michael
Venuto, Chief Investment Officer for the Adviser, has been a portfolio manager
of the Fund since its inception in 2020.
Charles
A. Ragauss, CFA, Portfolio Manager for the Adviser, has been a portfolio manager
of the Fund since its inception in 2020.
Purchase
and Sale of Shares
The
Fund issues and redeems Shares at NAV only in large blocks known as “Creation
Units,” which only APs (typically, broker-dealers) may purchase or redeem. The
Fund generally issues and redeems Creation Units in exchange for a portfolio of
securities (the “Deposit Securities”) and/or a designated amount of U.S.
cash.
Shares
are listed on a national securities exchange, such as the Exchange, and
individual Shares may only be bought and sold in the secondary market through
brokers at market prices, rather than NAV. Because Shares trade at market prices
rather than NAV, Shares may trade at a price greater than NAV (premium) or less
than NAV (discount).
An
investor may incur costs attributable to the difference between the highest
price a buyer is willing to pay to purchase Shares (the “bid” price) and the
lowest price a seller is willing to accept for Shares (the “ask” price) when
buying or selling Shares in the secondary market. This difference in bid and ask
prices is often referred to as the “bid-ask spread.”
Recent
information regarding the Fund’s NAV, market price, how often Shares traded on
the Exchange at a premium or discount, and bid-ask spreads can be found on the
Fund’s website at www.GothamETFs.com/GSPY.
Tax
Information
Fund
distributions are generally taxable to shareholders as ordinary income,
qualified dividend income, or capital gains (or a combination), unless your
investment is in an IRA or other tax-advantaged account. Distributions on
investments made through tax-deferred arrangements may be taxed later upon
withdrawal of assets from those accounts.
Financial
Intermediary Compensation
If
you purchase Shares through a broker-dealer or other financial intermediary
(such as a bank) (an “Intermediary”), the Adviser, the Sub-Adviser, or their
affiliates may pay Intermediaries for certain activities related to the Fund,
including participation in activities that are designed to make Intermediaries
more knowledgeable about exchange-traded products, including the Fund, or for
other activities, such as marketing, educational training, or other initiatives
related to the sale or promotion of Shares. These payments may create a conflict
of interest by influencing the Intermediary and your salesperson to recommend
the Fund over another investment. Any such arrangements do not result in
increased Fund expenses. Ask your salesperson or visit the Intermediary’s
website for more information.
ADDITIONAL
INFORMATION ABOUT THE FUND
Investment
Objective
The
Gotham Enhanced 500 ETF (the “Fund”) seeks long-term capital
appreciation.
An
investment objective is fundamental if it cannot be changed without the consent
of the holders of a majority of the outstanding Shares. The Fund’s investment
objective has not been adopted as a fundamental investment policy and therefore
may be changed without the consent of the Fund’s shareholders upon written
notice to shareholders.
Principal
Investment Strategies
The
following information is in addition to, and should be read along with, the
description of the Fund’s principal investment strategies in the section titled
“Fund Summary—Principal Investment Strategies” above.
The
Fund is rebalanced periodically to manage risk and reposition the portfolio to
reflect earnings releases, stock price movements, and other new information
related to particular companies. It is also rebalanced as necessary due to
capital flows, corporate actions, index constituency changes and other external
events.
Temporary
Defensive Strategies
For
temporary defensive purposes during adverse market, economic, political or other
conditions, the Fund may invest in cash or cash equivalents or short-term
instruments such as commercial paper, money market mutual funds, or short-term
U.S. government securities. Taking a temporary defensive position may result in
the Fund not achieving its investment objective.
Manager
of Managers Structure
The
Fund and the Adviser have received exemptive relief from the SEC permitting the
Adviser (subject to certain conditions and the approval of the Board) to change
or select new unaffiliated sub-advisers without obtaining shareholder approval.
The relief also permits the Adviser to materially amend the terms of agreements
with an unaffiliated sub-adviser (including an increase in the fee paid by the
Adviser to the unaffiliated sub-adviser (and not paid by the Fund)) or to
continue the employment of an unaffiliated sub-adviser after an event that would
otherwise cause the automatic termination of services with Board approval, but
without shareholder approval. Shareholders will be notified of any unaffiliated
sub-adviser changes.
The
Adviser has the ultimate responsibility, subject to oversight by the Board, to
oversee a sub-adviser and recommend their hiring, termination and replacement.
Principal
Risks of Investing in the Fund
Each
risk summarized below is considered a “principal risk” of investing in the Fund,
regardless of the order in which it appears. As with any investment, there is a
risk that you could lose all or a portion of your investment in the Fund. Some
or all of these risks may adversely affect the Fund’s NAV per share, trading
price, yield, total return and/or ability to meet its investment objectives. The
following risks are the principal risks of the Fund and could affect the value
of your performance in the Fund:
Equity
Market Risk. The
equity securities held in the Fund’s portfolio 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. Common
stocks, such as those held by the Fund, 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 issuers. Securities in the Fund’s portfolio may underperform in comparison
to securities in the general financial markets, a particular financial market,
or other asset classes, due to a number of factors. Factors that could impact
the market value of an equity security include a company’s business performance,
investor perceptions, stock market trends and general economic
conditions.
General
Market Risk.
Securities markets and individual securities may increase or decrease in value.
Security prices may fluctuate widely over short or extended periods in response
to market or economic news and conditions, and securities markets also tend to
move in cycles. If there is a general decline in the securities markets, it is
possible your investment may lose value regardless of the individual results of
the companies in which the Fund invests. The magnitude of up and down price or
market fluctuations over time is sometimes referred to as “volatility”, and it
can be significant. In addition, different asset classes and geographic markets
may experience periods of significant correlation with each other. As a result
of this correlation, the securities and markets in which the Fund invests may
experience volatility due to market, economic, political or social events and
conditions that may not readily appear to directly relate to such securities,
the securities’ issuer or the markets in which they trade.
Value
Style Risk. The
Sub-Adviser intends to buy securities, on behalf of the Fund, that it believes
are undervalued. Investing in “value” stocks presents the risk that the stocks
may never reach what the Sub-Adviser believes are their full market values,
either because the market fails to recognize what the Sub-Adviser considers to
be the companies’ true business values or because the Sub-Adviser misjudges
those values. In addition, value stocks may fall out of favor with investors and
underperform other stocks (such as growth stocks) during given
periods.
Risks
Related to Database Errors. The
investment strategy used by the Sub-Adviser relies on proprietary databases and
third-party data sources. Data entries made by the Sub-Adviser’s team of
financial analysts or third-parties may contain errors, as may the database
system used to store such data. Any errors in the underlying data sources, data
entry or database may result in the Fund acquiring or selling investments based
on incorrect information. When data proves to be incorrect, misleading, flawed
or incomplete, any decisions made in reliance thereon expose the Fund to
potential risks. For example, by relying on such data the Sub-Adviser may be
induced to buy or sell certain investments it would not have if the data was
correct. As a result, the Fund could incur losses or miss out on gains on such
investments before the errors are identified and corrected.
Systems
Risk.
The Fund depends on the Sub-Adviser to develop and implement appropriate systems
to provide sub-advisory services. The Sub-Adviser relies extensively on computer
programs and systems to implement and monitor the Fund’s investment strategy.
The development, implementation and maintenance of these systems is complex and
involves substantial research and modeling (which is then generally translated
into computer code and manual and automated processes) and the retrieval,
filtering, processing, translation and analysis of large amounts of financial
and other corporate data. As a result, there is a risk of human or technological
errors affecting the portfolio construction process and order origination,
including errors in programming (e.g., “bugs” and classic coding errors),
modeling, design, translational errors and compatibility issues with data sets
and among systems. Similarly, with regard to trading and other systems or
equipment that the Sub-Adviser utilizes, any or all of the following events may
occur: (i) failures or interruptions in access to or the operations of such
systems or equipment; (ii) loss of functionality; (iii) corruption; (iv)
compromises in security; (v) loss of power; and (vi) other situations that
adversely affect such systems or equipment. There can be no guarantee that such
defects or issues will be identified in time to avoid a material adverse effect
on the Fund. For example, such failures could cause the Sub-Adviser to be
induced to buy or sell certain investments it would not have if the failure had
not occurred.
Large-Capitalization
Investing Risk.
The securities of large-capitalization companies may be relatively mature
compared to smaller companies and therefore subject to slower growth during
times of economic expansion. Large-capitalization companies may also be unable
to respond quickly to new competitive challenges, such as changes in technology
and consumer tastes.
Management
Risk. The
Fund is actively-managed and may not meet its investment objective based on the
Sub-Adviser’s success or failure to implement investment strategies for the
Fund. In addition as an actively-managed fund, the Fund’s investment exposure to
individual securities will not match those of the Index and the Fund’s
performance may not correlate with the performance of the Index.
Recently
Organized Fund Risk. The
Fund is newer, with limited operating history. As a result, prospective
investors do not have a long-term track record or history on which to base their
investment decision.
Recent
Market Events Risk.
U.S. and international markets have experienced significant periods of
volatility in recent years and months due to a number of economic, political and
global macro factors including the impact of COVID-19 as a global pandemic and
related public health crisis, growth concerns in the U.S. and overseas,
uncertainties regarding interest rates, trade tensions, and the threat of
tariffs imposed by the U.S. and other countries. In particular, the global
spread of COVID-19 has resulted in disruptions to business operations and supply
chains, stress on the global healthcare system, growth concerns in the U.S. and
overseas, staffing shortages and the inability to meet consumer demand, and
widespread concern and uncertainty. The global recovery from COVID-19 is
proceeding at slower than expected rates due to the emergence of variant strains
and may last for an extended period of time. Health crises and related
political, social and economic disruptions caused by the spread of COVID-19 may
also exacerbate other pre-existing political, social and economic risks in
certain countries. These developments, as well as other events, could result in
further market volatility and negatively affect financial asset prices, the
liquidity of certain securities and the normal operations of securities
exchanges and other markets, despite government efforts to address market
disruptions. As a result, the risk environment remains elevated. The Adviser and
the Sub-Adviser will monitor developments and seek to manage the Fund in a
manner consistent with achieving the Fund’s investment objective, but there can
be no assurance that they will be successful in doing so.
ETF
Risks.
◦APs,
Market Makers, and Liquidity Providers Concentration Risk. The
Fund has a limited number of financial institutions that may act as APs. In
addition, there may be a limited number of market makers and/or liquidity
providers in the marketplace. To the extent either of the following events
occur, Shares may trade at a material discount to NAV and possibly face
delisting: (i) APs exit the business or otherwise become unable to process
creation and/or redemption orders and no other APs step forward to perform these
services; or (ii) market makers and/or liquidity providers exit the business or
significantly reduce their business activities and no other entities step
forward to perform their functions.
◦Costs
of Buying or Selling Shares. Investors
buying or selling Shares in the secondary market will pay brokerage commissions
or other charges imposed by brokers, as determined by that broker. Brokerage
commissions are often a fixed amount and may be a significant proportional cost
for investors seeking to buy or sell relatively small amounts of Shares. In
addition, secondary market investors will also incur the cost of the bid-ask
spread. The bid-ask spread varies over time for Shares based on trading volume
and market liquidity, and is generally lower if Shares have more trading volume
and market liquidity and higher if Shares have little trading volume and market
liquidity. Further, a relatively small investor base in the Fund, asset swings
in the Fund and/or increased market volatility may cause increased bid-ask
spreads. Due to the costs of buying or selling Shares, including bid-ask
spreads, frequent trading of Shares may significantly reduce investment results
and an investment in Shares may not be advisable for investors who anticipate
regularly making small investments.
◦Shares
May Trade at Prices Other Than NAV. As
with all ETFs, Shares may be bought and sold in the secondary market at market
prices. Although it is expected that the market price of the Shares will
approximate the Fund’s NAV, there may be times when the market price of Shares
is more than the NAV intra-day (premium) or less than the NAV intra-day
(discount) due to supply and demand of the Shares or during periods of market
volatility. This risk is heightened in times of market volatility or periods of
steep market declines. The market price of Shares during the trading day, like
the price of any exchange-traded security, includes a “bid-ask” spread charged
by the exchange specialist, market makers, or other participants that trade the
Shares. In times of severe market disruption, the bid-ask spread can increase
significantly. At those times, Shares are most likely to be traded at a discount
to NAV, and the discount is likely to be greatest when the price of Shares is
falling fastest, which may be the time that you most want to sell your Shares.
The Adviser believes that, under normal market conditions, large market price
discounts or premiums to NAV will not be sustained because of arbitrage
opportunities.
◦Trading.
Although
Shares are listed for trading on the Exchange and may be listed or traded on
U.S. and non-U.S. stock exchanges other than the Exchange, there can be no
assurance that an active trading market for such Shares will develop or be
maintained. Trading in Shares may be halted due to market conditions or for
reasons that, in the view of the Exchange, make trading in Shares inadvisable.
In addition, trading in Shares on the Exchange is subject to trading halts
caused by extraordinary market volatility pursuant to Exchange “circuit breaker”
rules, which temporarily halt trading on the Exchange when a decline in the
S&P 500® Index during a single day reaches certain thresholds (e.g., 7%,
13%, and 20%). Additional rules applicable to the Exchange may halt trading in
Shares when extraordinary volatility causes sudden, significant swings in the
market price of Shares. There can be no assurance that Shares will trade with
any volume, or at all, on any stock exchange. In stressed market conditions, the
liquidity of Shares may begin to mirror the liquidity of the Fund’s underlying
portfolio holdings, which can be significantly less liquid than
Shares.
PORTFOLIO
HOLDINGS INFORMATION
Information
about the Fund’s daily portfolio holdings is available on the Fund’s website at
www.GothamETFs.com/GSPY. A complete description of the Fund’s policies and
procedures with respect to the disclosure of the Fund’s portfolio holdings is
available in the Fund’s Statement of Additional Information
(“SAI”).
MANAGEMENT
Investment
Adviser
Toroso
Investments, LLC, located at 898 N. Broadway, Suite 2, Massapequa, New York
11758, is an SEC-registered investment adviser and a Delaware limited liability
company. Toroso was founded in and has been managing investment companies since
March 2012. Toroso is dedicated to understanding, researching and managing
assets within the expanding ETF universe. As of December 31, 2021, Toroso had
assets under management of approximately $8.2 billion and served as the
investment adviser or sub-adviser for 47 registered funds.
Toroso
serves as investment adviser to the Fund and has overall responsibility for the
general management and administration of the Fund pursuant to an investment
advisory agreement with the Trust, on behalf of the Fund (the “Advisory
Agreement”). The Adviser provides oversight of the Sub-Adviser and review of the
Sub-Adviser’s performance. The Adviser is also responsible for trading portfolio
securities for the Fund, including selecting broker-dealers to execute purchase
and sale transactions. The Adviser also arranges for sub-advisory, transfer
agency, custody, fund administration, and all other related services necessary
for the Fund to operate.
For
the services provided to the Fund, the Fund pays the Adviser a unified
management fee, which is calculated daily and paid monthly, at an annual rate of
0.65% of the Fund’s average daily net assets.
For
the fiscal period December 28, 2020 (commencement of operations) to September
30, 2021, the Adviser received an aggregate fee of 0.50% (net of fee waiver) of
average net assets.
Under
the Advisory Agreement, in exchange for a single unitary management fee from the
Fund, the Adviser has agreed to pay all expenses incurred by the Fund except for
Excluded Expenses.
The
Adviser has further agreed to reduce its unitary management fee to 0.50% of the
Fund’s average daily net assets through at least December 31, 2023. To the
extent the Fund incurs Excluded Expenses, Total Annual Fund Operating Expenses
After Fee Waiver in the Fees and Expenses table will be greater than 0.50%. This
agreement to waive fees may be terminated only by, or with the consent of, the
Fund’s Board of Trustees, on behalf of the Fund, upon sixty (60) days’ written
notice to the Adviser. This agreement may not be terminated by the Adviser
without the consent of the Board of Trustees.
Sub-Adviser
Gotham
Asset Management, LLC, a registered investment adviser located at 535 Madison
Avenue, 30th Floor, New York, New York 10022, serves as investment sub-adviser
to the Fund pursuant to a sub-advisory agreement between the Adviser and
Sub-Adviser (the “Sub-Advisory Agreement”). Gotham is responsible for the
day-to-day management of the Fund’s portfolio, including determining the
securities purchased and sold by the Fund, subject to the supervision of the
Adviser and the Board. Gotham may be responsible for trading portfolio
securities for the Fund, including selecting broker-dealers to execute purchase
and sale transactions, however, trading is currently being effected by the
Adviser. Gotham provides portfolio management services to mutual funds, private
funds, separately managed accounts and the Fund. For its services, Gotham is
paid a fee by the Adviser, which is calculated daily and paid monthly, at an
annual rate of 0.50% of the Fund’s average daily net assets. The Sub-Adviser has
agreed to assume the Adviser’s obligation to pay all expenses incurred by the
Fund, except for the sub-advisory fee payable to the Sub-Adviser and Excluded
Expenses. Such expenses incurred by the Fund and paid by the Sub-Adviser include
fees charged by Tidal ETF Services, LLC, the Fund’s administrator and an
affiliate
of the Adviser. See the section of the SAI titled “Administrator” for additional
information about the Fund’s administrator.
A
discussion regarding the basis for the Board’s approval of the Fund’s Advisory
Agreement and Sub-Advisory Agreement is available in the Fund’s first
semi-annual report to shareholders for the reporting period ended March 31,
2021.
Portfolio
Managers
The
following individuals (each, a “Portfolio Manager”) have served as portfolio
managers of the Fund since its inception. Joel Greenblatt and Robert Goldstein
are jointly and primarily responsible for the day-to-day management of the Fund,
and Mr. Venuto and Mr. Ragauss oversee trading and execution for the
Fund.
Joel
Greenblatt, Managing Principal and Co-Chief Investment Officer for the
Sub-Adviser
Mr.
Greenblatt serves as a Managing Principal and Co-Chief Investment Officer of
Gotham Asset Management, the successor to the investment advisory business of
Gotham Capital, an investment firm he founded in 1985. For over two decades, Mr.
Greenblatt has been a professor on the adjunct faculty at Columbia Business
School teaching “Value and Special Situation Investing.” Mr. Greenblatt serves
on the Board of Directors of Pzena Investment Management, Inc., a global
investment management firm. He formerly served on the Investment Boards of the
University of Pennsylvania and the UJA Federation. Mr. Greenblatt is a New York
Times bestselling author of “The Little Book that Beats the Market” (Wiley,
2005), as well as “You Can Be A Stock Market Genius” (Simon & Schuster,
1997), “The Little Book that Still Beats the Market” (Wiley, 2010), “The Big
Secret for the Small Investor” (Random House, 2011), and “Common Sense: The
Investor’s Guide to Equality, Opportunity and Growth” (Columbia Business School
Publishing, 2020). He was formerly the Chairman of the Board of Alliant
Techsystems, an NYSE-listed aerospace and defense contractor. He holds a BS
(1979), and an MBA (1980) from the Wharton School of the University of
Pennsylvania. He has been a Portfolio Manager to the Fund since its inception in
2020.
Robert
Goldstein, Managing Principal and Co-Chief Investment Officer for the
Sub-Adviser
Mr.
Goldstein serves as a Managing Principal and Co-Chief Investment Officer of
Gotham, the successor to the investment advisory business of Gotham Capital,
which he joined in 1989. Mr. Goldstein also founded and served as Managing
Partner (1989 – 1997) of Metropolis Partners, a value and special situation
investment partnership managing capital on behalf of institutions and wealthy
individuals before returning capital to outside investors at the end of 1997.
Mr. Goldstein currently serves on the Board of Trustees of the Museum of the
City of New York. He holds a BA (1988), magna cum laude, from Tufts University.
He has been a Portfolio Manager to the Fund since its inception in
2020.
Michael
Venuto, Chief Investment Officer for the Adviser
Mr.
Venuto is a co-founder and has been the Chief Investment Officer of the Adviser
since 2012. Mr. Venuto is an ETF industry veteran with over a decade of
experience in the design and implementation of ETF-based investment strategies.
Previously, he was Head of Investments at Global X Funds where he provided
portfolio optimization services to institutional clients. Before that, he was
Senior Vice President at Horizon Kinetics where his responsibilities included
new business development, investment strategy and client and strategic
initiatives. He
has been a Portfolio Manager to the Fund since its inception in
2020.
Charles
A. Ragauss, CFA, Portfolio Manager for the Adviser
Mr.
Ragauss serves as Portfolio Manager at the Adviser, having joined the Adviser in
September 2020. Mr. Ragauss previously served as Chief Operating Officer and in
other roles at CSat Investment Advisory, L.P., from April 2016 to September
2020. Previously, Mr. Ragauss was Assistant Vice President at Huntington
National Bank (“Huntington”), where he was Product Manager for the Huntington
Funds and Huntington Strategy Shares ETFs, a combined fund complex of almost $4
billion in assets under management. At Huntington, he led ETF development
bringing to market some of the first actively managed ETFs. Mr. Ragauss joined
Huntington in 2010. Mr. Ragauss attended Grand Valley State University where he
received his Bachelor of Business Administration in Finance and International
Business, as well as a minor in French. He is a member of both the National and
West Michigan CFA societies and holds the CFA designation. He has been a
Portfolio Manager to the Fund since its inception in 2020.
CFA®
is a registered trademark owned by the CFA Institute.
The
Fund’s SAI provides additional information about each Portfolio Manager’s
compensation structure, other accounts that each Portfolio Manager manages, and
each Portfolio Manager’s ownership of Shares.
HOW
TO BUY AND SELL SHARES
The
Fund issues and redeems Shares only in Creation Units at the NAV per share next
determined after receipt of an order from an AP. Only APs may acquire Shares
directly from the Fund, and only APs may tender their Shares for redemption
directly to the Fund, at NAV. APs must be a member or participant of a clearing
agency registered with the SEC and must execute a Participant Agreement that has
been agreed to by the Distributor (defined below), and that has been accepted by
the Fund’s transfer agent, with respect to purchases and redemptions of Creation
Units. Once created, Shares trade in the secondary market in quantities less
than a Creation Unit.
Most
investors buy and sell Shares in secondary market transactions through brokers.
Individual Shares are listed for trading on the secondary market on the Exchange
and can be bought and sold throughout the trading day like other publicly traded
securities.
When
buying or selling Shares through a broker, you will incur customary brokerage
commissions and charges, and you may pay some or all of the spread between the
bid and the offer price in the secondary market on each leg of a round trip
(purchase and sale) transaction. In addition, because secondary market
transactions occur at market prices, you may pay more than NAV when you buy
Shares, and receive less than NAV when you sell those Shares.
Book
Entry
Shares
are held in book-entry form, which means that no stock certificates are issued.
Depository Trust Company (“DTC”) or its nominee is the record owner of all
outstanding Shares.
Investors
owning Shares are beneficial owners as shown on the records of DTC or its
participants. DTC serves as the securities depository for all Shares. DTC’s
participants include securities brokers and dealers, banks, trust companies,
clearing corporations and other institutions that directly or indirectly
maintain a custodial relationship with DTC. As a beneficial owner of Shares, you
are not entitled to receive physical delivery of stock certificates or to have
Shares registered in your name, and you are not considered a registered owner of
Shares. Therefore, to exercise any right as an owner of Shares, you must rely
upon the procedures of DTC and its participants. These procedures are the same
as those that apply to any other securities that you hold in book-entry or
“street name” through your brokerage account.
Frequent
Purchases and Redemptions of Shares
The
Fund imposes no restrictions on the frequency of purchases and redemptions of
Shares. In determining not to approve a written, established policy, the Board
evaluated the risks of market timing activities by Fund shareholders. Purchases
and redemptions by APs, who are the only parties that may purchase or redeem
Shares directly with the Fund, are an essential part of the ETF process and help
keep Share trading prices in line with the NAV. As such, the Fund accommodates
frequent purchases and redemptions by APs. However, the Board has also
determined that frequent purchases and redemptions for cash may increase
tracking error and portfolio transaction costs and may lead to the realization
of capital gains. To minimize these potential consequences of frequent purchases
and redemptions, the Fund employs fair value pricing and may impose transaction
fees on purchases and redemptions of Creation Units to cover the custodial and
other costs incurred by the Fund in effecting trades. In addition, the Fund and
the Adviser reserve the right to reject any purchase order at any
time.
Determination
of Net Asset Value
The
Fund’s NAV is calculated as of the scheduled close of regular trading on the New
York Stock Exchange (“NYSE”), generally 4:00 p.m. Eastern Time, each day the
NYSE is open for business. The NAV for the Fund is calculated by dividing the
Fund’s net assets by its Shares outstanding.
In
calculating its NAV, the Fund generally values its assets on the basis of market
quotations, last sale prices, or estimates of value furnished by a pricing
service or brokers who make markets in such instruments. If such information is
not available for a security held by the Fund or is determined to be unreliable,
the security will be valued at fair value estimates under guidelines established
by the Board (as described below).
Fair
Value Pricing
The
Board has adopted procedures and methodologies to fair value Fund securities
whose market prices are not “readily available” or are deemed to be unreliable.
For example, such circumstances may arise when: (i) a security has been delisted
or has had its trading halted or suspended; (ii) a security’s primary pricing
source is unable or unwilling to provide a price; (iii) a security’s primary
trading market is closed during regular market hours; or (iv) a security’s value
is materially affected by events occurring after the close of the security’s
primary trading market. Generally, when fair valuing a security, the Fund will
take into account all reasonably available information that may be relevant to a
particular valuation including, but not limited to, fundamental analytical data
regarding the issuer, information relating to the issuer’s business, recent
trades or
offers
of the security, general and/or specific market conditions, and the specific
facts giving rise to the need to fair value the security. Fair value
determinations are made in good faith and in accordance with the fair value
methodologies included in the Board-adopted valuation procedures. Due to the
subjective and variable nature of fair value pricing, there can be no assurance
that the Adviser or the Sub-Adviser will be able to obtain the fair value
assigned to the security upon the sale of such security.
Investments
by Other Registered Investment Companies in the Fund
Section
12(d)(1) of the 1940 Act restricts investments by registered investment
companies in the securities of other investment companies, including Shares.
Registered investment companies are permitted to invest in the Fund beyond the
limits set forth in section 12(d)(1), subject to certain terms and conditions
set forth in an SEC exemptive order issued to the Trust or rule under the 1940
Act, including that such investment companies enter into an agreement with the
Fund.
Delivery
of Shareholder Documents – Householding
Householding
is an option available to certain investors of the Fund. Householding is a
method of delivery, based on the preference of the individual investor, in which
a single copy of certain shareholder documents can be delivered to investors who
share the same address, even if their accounts are registered under different
names. Householding for the Fund is available through certain broker-dealers. If
you are interested in enrolling in householding and receiving a single copy of
prospectuses and other shareholder documents, please contact your broker-dealer.
If you are currently enrolled in householding and wish to change your
householding status, please contact your broker-dealer.
DIVIDENDS,
DISTRIBUTIONS, AND TAXES
Dividends
and Distributions
The
Fund intends to pay out dividends and interest income, if any, annually, and
distribute any net realized capital gains to its shareholders at least annually.
The Fund will declare and pay income and capital gain distributions, if any, in
cash. Distributions in cash may be reinvested automatically in additional whole
Shares only if the broker through whom you purchased Shares makes such option
available. Your broker is responsible for distributing the income and capital
gain distributions to you.
Taxes
The
following discussion is a summary of some important U.S. federal income tax
considerations generally applicable to investments in the Fund. Your investment
in the Fund may have other tax implications. Please consult your tax advisor
about the tax consequences of an investment in Shares, including the possible
application of foreign, state, and local tax laws.
The
Fund intends to qualify each year for treatment as a regulated investment
company (a “RIC”) under the Internal Revenue Code of 1986, as amended. If it
meets certain minimum distribution requirements, a RIC is not subject to tax at
the fund level on income and gains from investments that are timely distributed
to shareholders. However, the Fund’s failure to qualify as a RIC or to meet
minimum distribution requirements would result (if certain relief provisions
were not available) in fund-level taxation and, consequently, a reduction in
income available for distribution to shareholders.
Unless
your investment in Shares is made through a tax-exempt entity or tax-advantaged
account, such as an IRA plan, you need to be aware of the possible tax
consequences when the Fund makes distributions, when you sell your Shares listed
on the Exchange, and when you purchase or redeem Creation Units (institutional
investors only).
The
tax legislation commonly referred to as the Tax Cuts and Jobs Act (the “Tax
Act”) made significant changes to the U.S. federal income tax rules for taxation
of individuals and corporations, generally effective for taxable years beginning
after December 31, 2017. Many of the changes applicable to individuals are
temporary and would apply only to taxable years before January 1, 2026. There
were only minor changes with respect to the specific rules only applicable to
RICs, such as the Fund. The Tax Act, however, also made numerous other changes
to the tax rules that may affect shareholders and the Fund. Subsequent language
has modified certain changes to the U.S. federal income tax rules made by the
Tax Act which may, in addition, affect shareholders and the Fund. You are urged
to consult with your own tax advisor regarding how this legislation affects your
investment in the Fund.
Taxes
on Distributions
For
federal income tax purposes, distributions of net investment income are
generally taxable to shareholders as ordinary income or qualified dividend
income. Taxes on distributions of net capital gains (if any) are determined by
how long the Fund owned the investments that generated them, rather than how
long a shareholder has owned their Shares. Sales of assets held by the Fund for
more than one year generally result in long-term capital gains and losses, and
sales of assets held by the Fund for one year or less generally result in
short-term capital gains and losses. Distributions of the Fund’s net capital
gain
(the
excess of net long-term capital gains over net short-term capital losses) that
are reported by the Fund as capital gain dividends (“Capital Gain Dividends”)
will be taxable as long-term capital gains to shareholders. Distributions of
short-term capital gain will generally be taxable to shareholders as ordinary
income. Dividends and distributions are generally taxable to you whether you
receive them in cash or reinvest them in additional Shares.
Distributions
reported by the Fund as “qualified dividend income” are generally taxed to
non-corporate shareholders at rates applicable to long-term capital gains,
provided certain holding period and other requirements are met. “Qualified
dividend income” generally is income derived from dividends paid by U.S.
corporations or certain foreign corporations that are either incorporated in a
U.S. possession or eligible for tax benefits under certain U.S. income tax
treaties. In addition, dividends that the Fund receives in respect of stock of
certain foreign corporations may be qualified dividend income if that stock is
readily tradable on an established U.S. securities market. Corporate
shareholders may be entitled to a dividends-received deduction for the portion
of dividends they receive from the Fund that are attributable to dividends
received by the Fund from U.S. corporations, subject to certain
limitations.
Shortly
after the close of each calendar year, you will be informed of the character of
any distributions received from the Fund.
In
addition to the federal income tax, certain individuals, trusts, and estates may
be subject to a Net Investment Income (“NII”) tax of 3.8%. The NII tax is
imposed on the lesser of: (i) a taxpayer’s investment income, net of deductions
properly allocable to such income; or (ii) the amount by which such taxpayer’s
modified adjusted gross income exceeds certain thresholds ($250,000 for married
individuals filing jointly, $200,000 for unmarried individuals and $125,000 for
married individuals filing separately). The Fund’s distributions are includable
in a shareholder’s investment income for purposes of this NII tax. In addition,
any capital gain realized by a shareholder upon a sale or redemption of Fund
shares is includable in such shareholder’s investment income for purposes of
this NII tax.
In
general, your distributions are subject to federal income tax for the year in
which they are paid. Certain distributions paid in January, however, may be
treated as paid on December 31 of the prior year. Distributions are generally
taxable to you even if they are paid from income or gains earned by the Fund
before your investment (and thus were included in the Shares’ NAV when you
purchased your Shares).
You
may wish to avoid investing in the Fund shortly before a dividend or other
distribution, because such a distribution will generally be taxable to you even
though it may economically represent a return of a portion of your
investment.
If
you are neither a resident nor a citizen of the United States or if you are a
foreign entity, distributions (other than Capital Gain Dividends) paid to you by
the Fund will generally be subject to a U.S. withholding tax at the rate of 30%,
unless a lower treaty rate applies. The Fund may, under certain circumstances,
report all or a portion of a dividend as an “interest-related dividend” or a
“short-term capital gain dividend,” which would generally be exempt from this
30% U.S. withholding tax, provided certain other requirements are
met.
Under
the Foreign Account Tax Compliance Act (“FATCA”), the Fund may be required to
withhold a generally nonrefundable 30% tax on (i) distributions of investment
company taxable income and (ii) distributions of net capital gain and the gross
proceeds of a sale or redemption of Fund shares paid to (A) certain “foreign
financial institutions” unless such foreign financial institution agrees to
verify, monitor, and report to the Internal Revenue Service (“IRS”) the identity
of certain of its account-holders, among other items (or unless such entity is
otherwise deemed compliant under the terms of an intergovernmental agreement
between the United States and the foreign financial institution’s country of
residence), and (B) certain “non-financial foreign entities” unless such entity
certifies to the Fund that it does not have any substantial U.S. owners or
provides the name, address, and taxpayer identification number of each
substantial U.S. owner, among other items. In December 2018, the IRS and
Treasury Department released proposed Treasury Regulations that would eliminate
FATCA withholding on Fund distributions of net capital gain and the gross
proceeds from a sale or redemption of Fund shares. Although taxpayers are
entitled to rely on these proposed Treasury Regulations until final Treasury
Regulations are issued, these proposed Treasury Regulations have not been
finalized, may not be finalized in their proposed form, and are potentially
subject to change. This FATCA withholding tax could also affect the Fund’s
return on its investments in foreign securities or affect a shareholder’s return
if the shareholder holds its Fund shares through a foreign intermediary. You are
urged to consult your tax adviser regarding the application of this FATCA
withholding tax to your investment in the Fund and the potential certification,
compliance, due diligence, reporting, and withholding obligations to which you
may become subject in order to avoid this withholding tax.
The
Fund (or a financial intermediary, such as a broker, through which a shareholder
owns Shares) generally is required to withhold and remit to the U.S. Treasury a
percentage of the taxable distributions and sale or redemption proceeds paid to
any shareholder who fails to properly furnish a correct taxpayer identification
number, who has underreported dividend or interest income, or who fails to
certify that they are not subject to such withholding.
Taxes
When Shares are Sold on the Exchange
Any
capital gain or loss realized upon a sale of Shares generally is treated as a
long-term capital gain or loss if Shares have been held for more than one year
and as a short-term capital gain or loss if Shares have been held for one year
or less. However, any capital loss on a sale of Shares held for six months or
less is treated as long-term capital loss to the extent of Capital Gain
Dividends paid with respect to such Shares. Any loss realized on a sale will be
disallowed to the extent Shares are acquired, including through reinvestment of
dividends, within a 61-day period beginning 30 days before and ending 30 days
after the sale of substantially identical Shares.
Taxes
on Purchases and Redemptions of Creation Units
An
AP having the U.S. dollar as its functional currency for U.S. federal income tax
purposes who exchanges securities for Creation Units generally recognizes a gain
or a loss. The gain or loss will be equal to the difference between the value of
the Creation Units at the time of the exchange and the exchanging AP’s aggregate
basis in the securities delivered plus the amount of any cash paid for the
Creation Units. An AP who exchanges Creation Units for securities will generally
recognize a gain or loss equal to the difference between the exchanging AP’s
basis in the Creation Units and the aggregate U.S. dollar market value of the
securities received, plus any cash received for such Creation Units. The IRS may
assert, however, that a loss that is realized upon an exchange of securities for
Creation Units may not be currently deducted under the rules governing “wash
sales” (for an AP who does not mark-to-market their holdings) or on the basis
that there has been no significant change in economic position. Persons
exchanging securities should consult their own tax advisor with respect to
whether wash sale rules apply and when a loss might be deductible.
Any
capital gain or loss realized upon redemption of Creation Units is generally
treated as long-term capital gain or loss if Shares comprising the Creation
Units have been held for more than one year and as a short-term capital gain or
loss if such Shares have been held for one year or less.
The
Fund may include a payment of cash in addition to, or in place of, the delivery
of a basket of securities upon the redemption of Creation Units. The Fund may
sell portfolio securities to obtain the cash needed to distribute redemption
proceeds. This may cause the Fund to recognize investment income and/or capital
gains or losses that it might not have recognized if it had completely satisfied
the redemption in-kind. As a result, the Fund may be less tax efficient if it
includes such a cash payment in the proceeds paid upon the redemption of
Creation Units.
The
foregoing discussion summarizes some of the possible consequences under current
federal tax law of an investment in the Fund. It is not a substitute for
personal tax advice. You also may be subject to foreign, state, and local tax on
Fund distributions and sales of Shares. Consult your personal tax advisor about
the potential tax consequences of an investment in Shares
under
all applicable tax laws. For more information, please see the section entitled
“Federal Income Taxes” in the SAI.
DISTRIBUTION
Foreside
Fund Services, LLC (the “Distributor”), the Fund’s distributor, is a
broker-dealer registered with the SEC. The Distributor distributes Creation
Units for the Fund on an agency basis and does not maintain a secondary market
in Shares. The Distributor has no role in determining the policies of the Fund
or the securities that are purchased or sold by the Fund. The Distributor’s
principal address is Three Canal Plaza, Suite 100, Portland, Maine
04101.
The
Board has adopted a Distribution (Rule 12b-1) Plan (the “Plan”) pursuant to Rule
12b-1 under the 1940 Act. In accordance with the Plan, the Fund is authorized to
pay an amount up to 0.25% of its average daily net assets each year to pay
distribution fees for the sale and distribution of its Shares.
No
Rule 12b-1 fees are currently paid by the Fund, and there are no plans to impose
these fees. However, in the event Rule 12b-1 fees are charged in the future,
because the fees are paid out of Fund assets on an ongoing basis, over time
these fees will increase the cost of your investment and may cost you more than
certain other types of sales charges.
PREMIUM/DISCOUNT
INFORMATION
Information
regarding how often Shares traded on the Exchange at a price above (i.e., at a
premium) or below (i.e., at a discount) the NAV of the Fund can be found on the
Fund’s website at www.GothamETFs.com/GSPY.
ADDITIONAL
NOTICES
Shares
are not sponsored, endorsed, or promoted by the Exchange. The Exchange is not
responsible for, nor has it participated in the determination of, the timing,
prices, or quantities of Shares to be issued, nor in the determination or
calculation of the equation by which Shares are redeemable. The Exchange has no
obligation or liability to owners of Shares in connection with the
administration, marketing, or trading of Shares.
Without
limiting any of the foregoing, in no event shall the Exchange have any liability
for any lost profits or indirect, punitive, special, or consequential damages
even if notified of the possibility thereof.
The
Adviser, the Sub-Adviser, and the Fund make no representation or warranty,
express or implied, to the owners of Shares or any member of the public
regarding the advisability of investing in securities generally or in the Fund
particularly.
FINANCIAL
HIGHLIGHTS
The
Financial Highlights table is intended to help you understand the Fund’s
financial performance for the fiscal period from December 28, 2020 (commencement
of operations) to September 30, 2021. Certain information reflects financial
results for a single Fund share. The total return in the table represents the
rate that an investor would have earned or lost on an investment in the Fund
(assuming reinvestment of all dividends and distributions). This information has
been audited by Tait, Weller & Baker LLP, the Fund’s independent registered
public accounting firm, whose report, along with the Fund’s financial
statements, is included in the Fund’s annual report, which is available upon
request.
|
|
|
|
|
|
|
|
|
For
a capital share outstanding through the period |
|
|
Period
Ended
September
30, 2021 (1) |
Net
asset value, beginning of period |
|
$ |
20.00 |
|
|
|
|
Income
from Investment Operations: |
|
|
Net
investment income
(loss)
(2) |
|
0.19 |
|
Net
realized and unrealized gain (loss) on investments |
|
2.91 |
|
Total
from investment operations |
|
3.10 |
|
|
|
|
Less
Distributions: |
|
|
From
net investment income |
|
— |
|
Total
distributions |
|
— |
|
|
|
|
Net
asset value, end of period |
|
$ |
23.10 |
|
Total
Return (3)
(4) |
|
15.53 |
% |
|
|
|
Ratios/Supplemental
Data: |
|
|
Net
assets, end of period (millions) |
|
$ |
87.8 |
|
Portfolio
turnover rate (3) |
|
36 |
% |
Ratio
of expenses to average net assets |
|
|
Before
management fees waived (5) |
|
0.65 |
% |
After
management fees waived (5) |
|
0.50 |
% |
Ratio
of net investment income (loss) to average net assets |
|
|
Before
management fees waived (5) |
|
0.92 |
% |
After
management fees waived (5) |
|
1.07 |
% |
|
|
|
(1)
The
Fund commenced operations on December 28, 2020. The information presented
is from December 28, 2020 to September 30, 2021. |
(2)
Calculated using average shares outstanding method. |
(3)
Not annualized. |
(4)
The total return is based on the Fund’s net asset value.
|
(5)
Annualized. |
|
|
Gotham
Enhanced 500 ETF
|
|
|
|
|
|
|
|
|
|
|
|
Adviser |
Toroso
Investments, LLC
898
N. Broadway, Suite 2
Massapequa,
New York 11758 |
Administrator |
Tidal
ETF Services LLC
898
N. Broadway, Suite 2
Massapequa,
New York 11758 |
Sub-Adviser |
Gotham
Asset Management, LLC
535
Madison Avenue, 30th Floor
New
York, New York 10022 |
Sub-Administrator,
Fund Accountant, and Transfer Agent
|
U.S.
Bancorp Fund Services, LLC,
doing
business as U.S. Bank Global Fund Services
615
East Michigan Street
Milwaukee,
Wisconsin 53202 |
Distributor
|
Foreside
Fund Services, LLC
Three
Canal Plaza, Suite 100
Portland,
Maine 04101 |
Custodian
|
U.S.
Bank National Association
1555
N. Rivercenter Dr.
Milwaukee,
Wisconsin 53212 |
Legal
Counsel |
Godfrey
& Kahn, S.C.
833
East Michigan Street, Suite 1800
Milwaukee,
Wisconsin 53202 |
Independent
Registered Public Accounting Firm
|
Tait,
Weller & Baker LLP
Two
Liberty Place
50
S. 16th Street, 29th Floor
Philadelphia,
Pennsylvania 19102 |
Investors
may find more information about the Fund in the following
documents:
Statement
of Additional Information: The
Fund’s SAI provides additional details about the investments of the Fund and
certain other additional information. A current SAI dated January 28, 2022, as
supplemented from time to time, is on file with the SEC and is herein
incorporated by reference into this Prospectus. It is legally considered a part
of this Prospectus.
Annual/Semi-Annual
Reports: Additional
information about the Fund’s investments is available in the Fund’s annual and
semi-annual reports to shareholders. In the annual report you will find a
discussion of the market conditions and investment strategies that significantly
affected the Fund’s performance during the Fund’s prior fiscal
period.
You
can obtain free copies of these documents, request other information or make
general inquiries about the Fund by contacting the Fund at Gotham Enhanced 500
ETF, c/o U.S. Bank Global Fund Services, P.O. Box 701, Milwaukee, Wisconsin
53201-0701 or calling 855-998-4779.
Shareholder
reports, the Fund’s current Prospectus and SAI and other information about the
Fund are also available:
•Free
of charge from the SEC’s EDGAR database on the SEC’s website at
http://www.sec.gov; or
•Free
of charge from the Fund’s Internet website at www.GothamETFs.com/GSPY;
or
(SEC
Investment Company Act File No.
811-23377)