U.S. VALUE ETF
(USVT)
Annual Report
November 30, 2022
U.S. VALUE ETF | November 30, 2022 |
LETTER TO SHAREHOLDERS | (Unaudited) |
Dear Fellow Shareholders,
Enclosed is the Annual Report to shareholders of U.S. Value ETF (“USVT”). We would like to thank you for your investment.
U.S Value ETF
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 cheapest 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.
In contrast to the most broadly cited “value” indices, we believe the Index (and, thereby, the Fund) benefits from a process that is both straightforward and clearly value focused. Those other indices suffer from several frailties, including a melding of value factors with anti-growth factors (as if value and growth work in opposition) and including most of the securities in their respective universes.
Since its launch on September 13, 2021 through November 30, 2022, USVT has produced a cumulative total return of +11.63%, compared to the Index return of +12.45%, and to the +4.42% cumulative total return for S&P 500® Value Index (the “S&P 500 Value”). For the twelve months ended November 30, 2022, USVT has produced a total return of +10.79% compared to the total return for the S&P 500 Value of +5.59%. Over this same period, 55% of USVT’s investments have posted gains and 47% outperformed the S&P 500® Value Index
As of November 30, 2022, the valuation of our portfolio is 8.0 times the next twelve months consensus earnings. The S&P 500® Value has a valuation of 15.6 times earnings on this same basis, a premium of 94.33% over the Fund.
We consider this an opportune time to invest in USVT. We believe we are less than three years into a value upcycle, and historically those upcycles have lasted six to ten years.
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.
The Letter to Shareholders seeks to describe some of the Adviser’s current opinions and views of the financial markets. Although the Adviser believes it has a reasonable basis for any opinions or views expressed, actual results may differ, sometimes significantly so, from those expected or expressed. The securities held by the fund that are discussed in the Letter to Shareholders were held during the period covered by this Report. They do not comprise the entire investment portfolios of the fund, may be sold at any time, and may no longer be held by the Funds. For a complete list of securities held by the fund as of November 30, 2022, please see the Schedule of Investments section of this Report. The opinions of the Fund’s adviser with respect to those securities may change at any time.
Statements in the Letter to Shareholders that reflect projections or expectations for future financial or economic performance of the Funds and the market in general and statements of the Funds’ 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 versus the
S&P 500® Value Index
Total Returns*
(for the periods ended November 30, 2022)
Since | ||||
1 Year | Inception (b) | |||
U.S. Value ETF (a) | 10.79% | 9.49% | ||
U.S. Value ETF - At Market Value (a) | 10.58% | 9.39% | ||
S&P 500® Value Index (c) | 5.59% | 3.62% | ||
Lyrical U.S. Value Index (d) | 11.57% | 10.15% |
* | Annualized |
(a) | 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. |
(b) | Commencement of operations was September 14, 2021. |
(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, 2022 (Unaudited)
U.S. Value ETF vs. S&P 500® Index Sector Diversification
Top Ten Equity Holdings
% of | ||
Security Description | Net Assets | |
Amkor Technology, Inc. | 0.7% | |
Apollo Global Management, Inc. | 0.6% | |
Universal Health Services, Inc. - Class B | 0.6% | |
Affiliated Managers Group, Inc. | 0.6% | |
RenaissanceRe Holdings Ltd. | 0.6% | |
Capri Holdings Ltd. | 0.6% | |
Light & Wonder, Inc. | 0.6% | |
United States Steel Corporation | 0.6% | |
Invesco Ltd. | 0.6% | |
CNH Industrial N.V. | 0.6% |
4
U.S. VALUE ETF |
SCHEDULE OF INVESTMENTS |
November 30, 2022 |
COMMON STOCKS — 99.3% | Shares | Value | ||||||
Communications — 4.3% | ||||||||
Cable & Satellite — 1.7% | ||||||||
Charter Communications, Inc. - Class A (a) | 218 | $ | 85,301 | |||||
Comcast Corporation - Class A | 2,349 | 86,067 | ||||||
DISH Network Corporation - Class A (a) | 5,284 | 84,808 | ||||||
256,176 | ||||||||
Entertainment Content — 0.3% | ||||||||
AppLovin Corporation (a) | 3,874 | 55,824 | ||||||
Publishing & Broadcasting — 0.9% | ||||||||
Nexstar Media Group, Inc. - Class A | 404 | 76,583 | ||||||
TEGNA, Inc. | 3,429 | 67,688 | ||||||
144,271 | ||||||||
Telecommunications — 1.4% | ||||||||
AT&T, Inc. | 4,695 | 90,520 | ||||||
Lumen Technologies, Inc. | 10,385 | 56,806 | ||||||
Verizon Communications, Inc. | 1,951 | 76,050 | ||||||
223,376 | ||||||||
Consumer Discretionary — 14.0% | ||||||||
Apparel & Textile Products — 1.7% | ||||||||
Capri Holdings Ltd. (a) | 1,693 | 97,093 | ||||||
Crocs, Inc. (a) | 910 | 91,910 | ||||||
Tapestry, Inc. | 2,284 | 86,267 | ||||||
275,270 | ||||||||
Automotive — 2.2% | ||||||||
BorgWarner, Inc. | 2,122 | 90,206 | ||||||
Ford Motor Company | 6,035 | 83,887 | ||||||
General Motors Company | 2,168 | 87,934 | ||||||
Harley-Davidson, Inc. | 1,974 | 93,035 | ||||||
355,062 | ||||||||
E-Commerce Discretionary — 0.5% | ||||||||
eBay, Inc. | 1,871 | 85,018 | ||||||
Home & Office Products — 1.4% | ||||||||
Newell Brands, Inc. | 4,851 | 62,917 | ||||||
Tempur Sealy International, Inc. | 2,755 | 87,527 | ||||||
Whirlpool Corporation | 495 | 72,532 | ||||||
222,976 |
5
U.S. VALUE ETF |
SCHEDULE OF INVESTMENTS (Continued) |
COMMON STOCKS — 99.3% (Continued) | Shares | Value | ||||||
Consumer Discretionary — 14.0% (Continued) | ||||||||
Home Construction — 3.0% | ||||||||
D.R. Horton, Inc. | 1,006 | $ | 86,516 | |||||
Fortune Brands Home & Security, Inc. | 1,240 | 81,022 | ||||||
Lennar Corporation - Class A | 933 | 81,945 | ||||||
Mohawk Industries, Inc. (a) | 735 | 74,478 | ||||||
PulteGroup, Inc. | 1,829 | 81,903 | ||||||
Toll Brothers, Inc. | 1,657 | 79,387 | ||||||
485,251 | ||||||||
Leisure Facilities & Services — 0.6% | ||||||||
Light & Wonder, Inc. (a) | 1,498 | 97,025 | ||||||
Leisure Products — 0.5% | ||||||||
Brunswick Corporation | 1,012 | 75,090 | ||||||
Retail - Discretionary — 4.1% | ||||||||
AutoNation, Inc. (a) | 678 | 84,011 | ||||||
Avis Budget Group, Inc. (a) | 391 | 87,428 | ||||||
Builders FirstSource, Inc. (a) | 1,140 | 72,880 | ||||||
Hertz Global Holdings, Inc. (a) | 4,212 | 72,446 | ||||||
Lithia Motors, Inc. | 323 | 77,297 | ||||||
Macy’s, Inc. | 3,945 | 92,708 | ||||||
Penske Automotive Group, Inc. | 690 | 87,251 | ||||||
Williams-Sonoma, Inc. | 581 | 67,919 | ||||||
641,940 | ||||||||
Consumer Staples — 2.3% | ||||||||
Food — 0.5% | ||||||||
Tyson Foods, Inc. - Class A | 1,085 | 71,914 | ||||||
Retail - Consumer Staples — 0.8% | ||||||||
Albertsons Companies, Inc. - Class A | 2,481 | 51,977 | ||||||
Walgreens Boots Alliance, Inc. | 2,111 | 87,606 | ||||||
139,583 | ||||||||
Tobacco & Cannabis — 0.5% | ||||||||
Altria Group, Inc. | 1,548 | 72,106 | ||||||
Wholesale - Consumer Staples — 0.5% | ||||||||
Bunge Ltd. | 786 | 82,404 | ||||||
Energy — 15.6% | ||||||||
Oil & Gas Producers — 15.6% | ||||||||
Antero Resources Corporation (a) | 1,987 | 72,625 | ||||||
APA Corporation | 1,697 | 79,504 |
6
U.S. VALUE ETF |
SCHEDULE OF INVESTMENTS (Continued) |
COMMON STOCKS — 99.3% (Continued) | Shares | Value | ||||||
Energy — 15.6% (Continued) | ||||||||
Oil & Gas Producers — 15.6% (Continued) | ||||||||
Chesapeake Energy Corporation | 697 | $ | 72,140 | |||||
Chevron Corporation | 430 | 78,823 | ||||||
Chord Energy Corporation | 474 | 72,299 | ||||||
Civitas Resources, Inc. | 1,035 | 69,718 | ||||||
Comstock Resources, Inc. | 3,747 | 68,757 | ||||||
ConocoPhillips | 579 | 71,512 | ||||||
Coterra Energy, Inc. | 2,332 | 65,086 | ||||||
DCP Midstream, L.P. | 1,858 | 73,094 | ||||||
Devon Energy Corporation | 983 | 67,355 | ||||||
Diamondback Energy, Inc. | 489 | 72,382 | ||||||
Energy Transfer, L.P. | 6,065 | 76,055 | ||||||
EOG Resources, Inc. | 557 | 79,055 | ||||||
EQT Corporation | 1,602 | 67,941 | ||||||
Exxon Mobil Corporation | 697 | 77,604 | ||||||
HF Sinclair Corporation | 1,224 | 76,304 | ||||||
Marathon Oil Corporation | 2,507 | 76,789 | ||||||
Marathon Petroleum Corporation | 651 | 79,298 | ||||||
Matador Resources Company | 1,119 | 74,257 | ||||||
MPLX, L.P. | 2,242 | 76,206 | ||||||
Murphy Oil Corporation | 1,588 | 74,954 | ||||||
Occidental Petroleum Corporation | 1,044 | 72,548 | ||||||
Ovintiv, Inc. | 1,337 | 74,551 | ||||||
PBF Energy, Inc. - Class A | 1,671 | 66,456 | ||||||
PDC Energy, Inc. | 1,007 | 74,840 | ||||||
Phillips 66 Partners, L.P. | 733 | 79,487 | ||||||
Pioneer Natural Resources Company | 280 | 66,077 | ||||||
Plains All American Pipeline, L.P. | 6,273 | 77,911 | ||||||
Range Resources Corporation | 2,470 | 71,309 | ||||||
SM Energy Company | 1,576 | 67,941 | ||||||
Southwestern Energy Company (a) | 10,224 | 70,750 | ||||||
Valero Energy Corporation | 588 | 78,569 | ||||||
Western Midstream Partners, L.P. | 2,661 | 74,455 | ||||||
2,496,652 | ||||||||
Financials — 32.6% | ||||||||
Asset Management — 4.0% | ||||||||
Affiliated Managers Group, Inc. | 609 | 97,696 | ||||||
Apollo Global Management, Inc. | 1,463 | 101,518 | ||||||
Carlyle Group, Inc. (The) | 2,669 | 83,193 | ||||||
Franklin Resources, Inc. | 3,199 | 85,765 | ||||||
Invesco Ltd. | 4,895 | 93,543 |
7
U.S. VALUE ETF |
SCHEDULE OF INVESTMENTS (Continued) |
COMMON STOCKS — 99.3% (Continued) | Shares | Value | ||||||
Financials — 32.6% (Continued) | ||||||||
Asset Management — 4.0% (Continued) | ||||||||
Owl Rock Capital Corporation | 6,564 | $ | 84,741 | |||||
Stifel Financial Corporation | 1,307 | 83,975 | ||||||
630,431 | ||||||||
Banking — 13.0% | ||||||||
Bank of America Corporation | 2,240 | 84,783 | ||||||
Bank OZK | 1,664 | 76,794 | ||||||
Cadence Bank | 2,578 | 74,350 | ||||||
Citigroup, Inc. | 1,653 | 80,022 | ||||||
Citizens Financial Group, Inc. | 1,966 | 83,319 | ||||||
Comerica, Inc. | 981 | 70,377 | ||||||
Credicorp Ltd. | 544 | 83,531 | ||||||
East West Bancorp, Inc. | 995 | 69,859 | ||||||
Fifth Third Bancorp | 2,069 | 75,229 | ||||||
FNB Corporation | 5,547 | 78,213 | ||||||
Hancock Whitney Corporation | 1,439 | 78,915 | ||||||
Huntington Bancshares, Inc. | 5,116 | 79,196 | ||||||
JPMorgan Chase & Company | 649 | 89,678 | ||||||
KeyCorp | 4,252 | 79,980 | ||||||
New York Community Bancorp, Inc. | 8,252 | 77,156 | ||||||
Old National Bancorp | 3,876 | 74,070 | ||||||
Popular, Inc. | 974 | 71,121 | ||||||
Regions Financial Corporation | 3,403 | 78,984 | ||||||
Signature Bank | 462 | 64,449 | ||||||
Synovus Financial Corporation | 1,736 | 73,138 | ||||||
Truist Financial Corporation | 1,612 | 75,458 | ||||||
US Bancorp | 1,717 | 77,935 | ||||||
Valley National Bancorp | 6,131 | 77,618 | ||||||
Webster Financial Corporation | 1,481 | 80,478 | ||||||
Wells Fargo & Company | 1,675 | 80,316 | ||||||
Western Alliance Bancorp | 1,090 | 74,709 | ||||||
Zions Bancorporation N.A. | 1,405 | 72,807 | ||||||
2,082,485 | ||||||||
Institutional Financial Services — 2.2% | ||||||||
Bank of New York Mellon Corporation (The) | 1,812 | 83,171 | ||||||
Goldman Sachs Group, Inc. (The) | 231 | 89,201 | ||||||
Jefferies Financial Group, Inc. | 2,252 | 85,553 | ||||||
State Street Corporation | 1,119 | 89,151 | ||||||
347,076 |
8
U.S. VALUE ETF |
SCHEDULE OF INVESTMENTS (Continued) |
COMMON STOCKS — 99.3% (Continued) | Shares | Value | ||||||
Financials — 32.6% (Continued) | ||||||||
Insurance — 6.9% | ||||||||
American International Group, Inc. | 1,394 | $ | 87,975 | |||||
Axis Capital Holdings Ltd. | 1,394 | 80,239 | ||||||
Corebridge Financial, Inc. | 3,496 | 77,751 | ||||||
Equitable Holdings, Inc. | 2,523 | 80,080 | ||||||
Everest Re Group Ltd. | 260 | 87,864 | ||||||
Hartford Financial Services Group, Inc. (The) | 1,068 | 81,563 | ||||||
Lincoln National Corporation | 1,473 | 57,359 | ||||||
MetLife, Inc. | 1,089 | 83,526 | ||||||
Old Republic International Corporation | 3,080 | 75,460 | ||||||
Prudential Financial, Inc. | 747 | 80,698 | ||||||
Reinsurance Group of America, Inc. | 520 | 75,088 | ||||||
RenaissanceRe Holdings Ltd. | 514 | 97,101 | ||||||
Unum Group | 1,663 | 70,145 | ||||||
Voya Financial, Inc. | 1,093 | 72,116 | ||||||
1,106,965 | ||||||||
Specialty Finance — 6.5% | ||||||||
AerCap Holdings N.V. (a) | 1,446 | 88,783 | ||||||
AGNC Investment Corporation | 8,836 | 88,271 | ||||||
Ally Financial, Inc. | 2,357 | 63,663 | ||||||
Annaly Capital Management, Inc. | 4,179 | 90,559 | ||||||
Blackstone Mortgage Trust, Inc. - Class A | 3,093 | 78,160 | ||||||
Capital One Financial Corporation | 727 | 75,055 | ||||||
Credit Acceptance Corporation (a) | 158 | 74,886 | ||||||
Discover Financial Services | 755 | 81,812 | ||||||
Fidelity National Financial, Inc. | 1,828 | 73,778 | ||||||
First American Financial Corporation | 1,512 | 82,631 | ||||||
MGIC Investment Corporation | 5,572 | 76,504 | ||||||
Starwood Property Trust, Inc. | 3,682 | 78,832 | ||||||
Synchrony Financial | 2,194 | 82,451 | ||||||
1,035,385 | ||||||||
Health Care — 3.6% | ||||||||
Biotech & Pharma — 2.6% | ||||||||
Jazz Pharmaceuticals plc (a) | 527 | 82,692 | ||||||
Moderna, Inc. (a) | 528 | 92,880 | ||||||
Organon & Company | 2,956 | 76,915 | ||||||
Pfizer, Inc. | 1,652 | 82,815 | ||||||
Viatris, Inc. | 7,361 | 81,192 | ||||||
416,494 |
9
U.S. VALUE ETF |
SCHEDULE OF INVESTMENTS (Continued) |
COMMON STOCKS — 99.3% (Continued) | Shares | Value | ||||||
Health Care — 3.6% (Continued) | ||||||||
Health Care Facilities & Services — 1.0% | ||||||||
Tenet Healthcare Corporation (a) | 1,313 | $ | 60,634 | |||||
Universal Health Services, Inc. - Class B | 755 | 98,792 | ||||||
159,426 | ||||||||
Industrials — 5.3% | ||||||||
Industrial Support Services — 1.6% | ||||||||
AMERCO | 1,438 | 91,025 | ||||||
United Rentals, Inc. (a) | 251 | 88,611 | ||||||
WESCO International, Inc. (a) | 567 | 73,098 | ||||||
252,734 | ||||||||
Machinery — 1.1% | ||||||||
AGCO Corporation | 636 | 84,410 | ||||||
CNH Industrial N.V. | 5,812 | 93,224 | ||||||
177,634 | ||||||||
Transportation & Logistics — 2.6% | ||||||||
Alaska Air Group, Inc. (a) | 1,696 | 80,458 | ||||||
Delta Air Lines, Inc. (a) | 2,337 | 82,660 | ||||||
Ryder System, Inc. | 902 | 84,328 | ||||||
United Airlines Holdings, Inc. (a) | 2,005 | 88,560 | ||||||
XPO Logistics, Inc. (a) | 2,156 | 83,265 | ||||||
419,271 | ||||||||
Materials — 11.2% | ||||||||
Chemicals — 4.4% | ||||||||
Celanese Corporation | 762 | 81,763 | ||||||
CF Industries Holdings, Inc. | 663 | 71,730 | ||||||
Dow, Inc. | 1,547 | 78,851 | ||||||
Eastman Chemical Company | 961 | 83,242 | ||||||
Huntsman Corporation | 2,732 | 75,895 | ||||||
LyondellBasell Industries N.V. - Class A | 888 | 75,489 | ||||||
Mosaic Company (The) | 1,366 | 70,076 | ||||||
Olin Corporation | 1,479 | 84,272 | ||||||
Westlake Corporation | 785 | 84,504 | ||||||
705,822 | ||||||||
Construction Materials — 0.5% | ||||||||
Owens Corning | 830 | 73,737 | ||||||
Containers & Packaging — 2.1% | ||||||||
Berry Global Group, Inc. | 1,506 | 88,252 | ||||||
Graphic Packaging Holding Company | 3,428 | 78,775 | ||||||
International Paper Company | 2,167 | 80,439 | ||||||
WestRock Company | 2,214 | 83,955 | ||||||
331,421 |
10
U.S. VALUE ETF |
SCHEDULE OF INVESTMENTS (Continued) |
COMMON STOCKS — 99.3% (Continued) | Shares | Value | ||||||
Materials — 11.2% (Continued) | ||||||||
Forestry, Paper & Wood Products — 0.5% | ||||||||
UFP Industries, Inc. | 975 | $ | 79,814 | |||||
Metals & Mining — 1.0% | ||||||||
Alcoa Corporation | 1,738 | 87,126 | ||||||
Cleveland-Cliffs, Inc. (a) | 4,633 | 71,719 | ||||||
158,845 | ||||||||
Steel — 2.7% | ||||||||
Commercial Metals Company | 1,689 | 83,133 | ||||||
Nucor Corporation | 573 | 85,921 | ||||||
Reliance Steel & Aluminum Company | 379 | 80,079 | ||||||
Steel Dynamics, Inc. | 876 | 91,043 | ||||||
United States Steel Corporation | 3,576 | 94,013 | ||||||
434,189 | ||||||||
Real Estate — 1.0% | ||||||||
Real Estate Services — 0.5% | ||||||||
Jones Lang LaSalle, Inc. (a) | 441 | 74,163 | ||||||
Reit — 0.5% | ||||||||
Medical Properties Trust, Inc. | 6,428 | 84,335 | ||||||
Technology — 8.0% | ||||||||
Semiconductors — 2.8% | ||||||||
Amkor Technology, Inc. | 3,985 | 111,660 | ||||||
Qorvo, Inc. (a) | 867 | 86,050 | ||||||
QUALCOMM, Inc. | 629 | 79,562 | ||||||
Skyworks Solutions, Inc. | 847 | 80,990 | ||||||
Synaptics, Inc. (a) | 775 | 82,127 | ||||||
440,389 | ||||||||
Software — 0.5% | ||||||||
Concentrix Corporation | 588 | 71,959 | ||||||
Technology Hardware — 3.8% | ||||||||
Arrow Electronics, Inc. (a) | 742 | 80,685 | ||||||
Dell Technologies, Inc. - Class C | 2,030 | 90,924 | ||||||
Flex Ltd. (a) | 4,125 | 90,668 | ||||||
Hewlett Packard Enterprise Company | 5,536 | 92,893 | ||||||
HP, Inc. | 2,730 | 82,009 | ||||||
Jabil, Inc. | 1,199 | 86,556 | ||||||
TD SYNNEX Corporation | 833 | 85,216 | ||||||
608,951 |
11
U.S. VALUE ETF |
SCHEDULE OF INVESTMENTS (Continued) |
COMMON STOCKS — 99.3% (Continued) | Shares | Value | ||||||
Technology — 8.0% (Continued) | ||||||||
Technology Services — 0.9% | ||||||||
DXC Technology Company (a) | 2,586 | $ | 76,726 | |||||
Western Union Company (The) | 5,060 | 74,180 | ||||||
150,906 | ||||||||
Utilities — 1.4% | ||||||||
Electric Utilities — 0.9% | ||||||||
NRG Energy, Inc. | 1,725 | 73,226 | ||||||
Vistra Corporation | 3,277 | 79,729 | ||||||
152,955 | ||||||||
Gas & Water Utilities — 0.5% | ||||||||
National Fuel Gas Company | 1,107 | 73,317 | ||||||
Investments at Value — 99.3% (Cost $14,735,318) | $ | 15,848,642 | ||||||
Other Assets in Excess of Liabilities — 0.7% | 108,753 | |||||||
Net Assets — 100.0% | $ | 15,957,395 |
N.V.- Naamloze Vennootschap
plc - Public Limited Company
(a) | Non-income producing security. |
See accompanying notes to financial statements.
12
U.S. VALUE ETF |
STATEMENT OF ASSETS AND LIABILITIES |
November 30, 2022 |
ASSETS | ||||
Investments in securities: | ||||
At cost | $ | 14,735,318 | ||
At value (Note 2) | $ | 15,848,642 | ||
Cash | 81,175 | |||
Receivable from Adviser (Note 4) | 6,887 | |||
Dividends receivable | 35,136 | |||
Other assets | 1,855 | |||
Total assets | 15,973,695 | |||
LIABILITIES | ||||
Payable to administrator (Note 4) | 5,167 | |||
Other accrued expenses and liabilities | 11,133 | |||
Total liabilities | 16,300 | |||
NET ASSETS | $ | 15,957,395 | ||
NET ASSETS CONSIST OF: | ||||
Paid-in capital | $ | 14,808,905 | ||
Distributable earnings | 1,148,490 | |||
NET ASSETS | $ | 15,957,395 | ||
Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) | 575,000 | |||
Net asset value, offering price and redemption price per share (Note 2) | $ | 27.75 |
See accompanying notes to financial statements.
13
U.S. VALUE ETF |
STATEMENT OF OPERATIONS |
Year Ended November 30, 2022 |
INVESTMENT INCOME | ||||
Dividend income | $ | 200,890 | ||
Foreign withholding taxes on dividends | (2,297 | ) | ||
Total investment income | 198,593 | |||
EXPENSES | ||||
Administration fees (Note 4) | 50,103 | |||
Investment advisory fees (Note 4) | 29,506 | |||
Custody fees | 27,273 | |||
Legal fees | 21,745 | |||
Trustees’ fees and expenses (Note 4) | 18,857 | |||
Audit and tax services fees | 15,301 | |||
Printing of shareholder reports | 13,341 | |||
Compliance fees (Note 4) | 12,000 | |||
Transfer agent fees | 10,719 | |||
Registration and filing fees | 8,375 | |||
Other expenses | 22,511 | |||
Total expenses | 229,731 | |||
Less fees reduced and expenses reimbursed by Adviser (Note 4) | (197,434 | ) | ||
Net expenses | 32,297 | |||
NET INVESTMENT INCOME | 166,296 | |||
REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS AND FOREIGN CURRENCIES | ||||
Net realized gains (losses) from: | ||||
Investments | (127,161 | ) | ||
Foreign currency transactions | 17 | |||
Net change in unrealized appreciation (depreciation) on investments | 1,181,070 | |||
NET REALIZED AND UNREALIZED GAINS ON INVESTMENTS | 1,053,926 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 1,220,222 |
See accompanying notes to financial statements.
14
U.S. VALUE ETF |
STATEMENTS OF CHANGES IN NET ASSETS |
Year Ended | Period Ended | |||||||
November 30, | November 30, | |||||||
2022 | 2021(a) | |||||||
FROM OPERATIONS | ||||||||
Net investment income | $ | 166,296 | $ | 10,592 | ||||
Net realized gains (losses) from: | ||||||||
Investments | (127,161 | ) | 4,107 | |||||
Foreign currency transactions | 17 | — | ||||||
Net change in unrealized appreciation (depreciation) on investments | 1,181,070 | (67,746 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 1,220,222 | (53,047 | ) | |||||
FROM DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2) | (18,687 | ) | — | |||||
FROM CAPITAL SHARE TRANSACTIONS | ||||||||
Proceeds from shares issued | 11,607,421 | 3,201,486 | ||||||
TOTAL INCREASE IN NET ASSETS | 12,808,956 | 3,148,439 | ||||||
NET ASSETS | ||||||||
Beginning of period | 3,148,439 | — | ||||||
End of period | $ | 15,957,395 | $ | 3,148,439 | ||||
SHARE TRANSACTIONS | ||||||||
Shares issued | 450,000 | 125,000 | ||||||
Net increase in shares outstanding | 450,000 | 125,000 | ||||||
Shares outstanding at beginning of period | 125,000 | — | ||||||
Shares outstanding at end of period | 575,000 | 125,000 |
(a) | Represents the period from the commencement of operations (September 14, 2021) through November 30, 2021. |
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 | Period Ended | |||||||
Nov. 30, | Nov. 30, | |||||||
2022 | 2021 (a) | |||||||
Net asset value at beginning of period | $ | 25.19 | $ | 25.00 | ||||
Income from investment operations: | ||||||||
Net investment income (b) | 0.65 | 0.13 | ||||||
Net realized and unrealized gains on investments | 2.06 | 0.06 | (c) | |||||
Total from investment operations | 2.71 | 0.19 | ||||||
Less distributions to shareholders from: | ||||||||
Net investment income | (0.15 | ) | — | |||||
Net asset value at end of period | $ | 27.75 | $ | 25.19 | ||||
Market price at end of period | $ | 27.73 | $ | 25.21 | ||||
Total return (d) | 10.79 | % | 0.76 | % (e) | ||||
Total return at market (f) | 10.58 | % | 0.84 | % (e) | ||||
Net assets at end of period (000’s) | $ | 15,957 | $ | 3,148 | ||||
Ratios/supplementary data: | ||||||||
Ratio of total expenses to average net assets | 3.47 | % | 10.04 | % (g) | ||||
Ratio of net expenses to average net assets (h) | 0.49 | % | 0.49 | % (g) | ||||
Ratio of net investment income to average net assets (h) | 2.51 | % | 2.31 | % (g) | ||||
Portfolio turnover rate (i) | 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, 2022 |
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.”
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 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 in accordance with procedures adopted by the Board of Trustees (the “Board”). 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
17
U.S. VALUE ETF |
NOTES TO FINANCIAL STATEMENTS (Continued) |
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, 2022:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks | $ | 15,848,642 | $ | — | $ | — | $ | 15,848,642 | ||||||||
Total | $ | 15,848,642 | $ | — | $ | — | $ | 15,848,642 | ||||||||
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, 2022.
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.
18
U.S. VALUE ETF |
NOTES TO FINANCIAL STATEMENTS (Continued) |
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 year ended November 30, 2022 was ordinary income of $18,659 and net long-term capital gains of $28. There were no distributions paid to shareholders during the period ended November 30, 2021.
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.
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, 2022, the Fund’s most recent fiscal year end:
Tax cost of portfolio investments | $ | 14,723,736 | ||
Gross unrealized appreciation | $ | 1,605,410 | ||
Gross unrealized depreciation | (480,504 | ) | ||
Net unrealized appreciation | 1,124,906 | |||
Undistributed ordinary income | 132,643 | |||
Accumulated capital and other losses | (109,059 | ) | ||
Distributable earnings | $ | 1,148,490 | ||
19
U.S. VALUE ETF |
NOTES TO FINANCIAL STATEMENTS (Continued) |
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, holdings classified as passive foreign investment companies, publicly traded partnerships and real estate investment trusts.
For the year ended November 30, 2022, the Fund reclassified $2 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 net assets or NAV per share.
As of November 30, 2022, the Fund had the following capital loss carryforwards for federal income tax purposes, which may be carried forward indefinitely of $68,385 short-term and $40,674 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 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.
3. Investment Transactions
During the year ended November 30, 2022, cost of purchases and proceeds from sales of investment securities, excluding in-kind transactions and short-term investments, amounted to $6,102,078 and $5,389,650. Purchases and sales of in-kind transactions for the year ended November 30, 2022 amounted to $10,981,172 and $0. There were no realized gains from in-kind transactions during the year ended November 30, 2022.
4. Transactions with Related Parties
INVESTMENT ADVISORY AGREEMENT
The Fund’s investments are managed by Lyrical Asset Management L.P. (the “Adviser”) pursuant to the terms of an Investment Advisory Agreement. The Fund pays the Adviser an investment advisory 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, 2022, the Adviser earned $29,506 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, 2023, to reduce investment advisory 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
20
U.S. VALUE ETF |
NOTES TO FINANCIAL STATEMENTS (Continued) |
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.
Accordingly, during the year ended November 30, 2022, the Adviser did not collect any of its investment advisory fees from the Fund and reimbursed other operating expenses of $167,928.
Under the terms of the ELA, investment advisory 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, 2022, the Adviser may seek repayment of advisory fee reductions and expense reimbursements no later than the dates below:
November 30, 2024 | November 30, 2025 | Total |
$43,752 | $197,434 | $241,186 |
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.
TRUSTEE COMPENSATION
Effective October 17, 2022, 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, paid quarterly, except for the Board Chairperson who receives a $1,700 annual retainer from the Fund, paid quarterly and the Audit Committee Chairperson who receives a $1,500 annual retainer from the Fund, paid quarterly. 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. Prior to October 17, 2022, no annual retainer was designated specifically for the Audit Committee Chairperson.
21
U.S. VALUE ETF |
NOTES TO FINANCIAL STATEMENTS (Continued) |
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 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. 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, 2022, the Fund received $2,400 in transaction fees.
The Transaction Fees for the Fund are listed in the table below:
Fee for In-Kind and Cash Purchases | Maximum
Additional Variable 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
22
U.S. VALUE ETF |
NOTES TO FINANCIAL STATEMENTS (Continued) |
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 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, 2022, the Fund had 32.6% 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.
23
U.S. VALUE ETF |
REPORT OF INDEPENDENT REGISTERED |
PUBLIC ACCOUNTING FIRM |
To the
Board of Trustees of Ultimus Managers Trust
and the Shareholders of U.S.
Value ETF
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of U.S. Value ETF, a series of shares of beneficial interest in Ultimus Managers Trust (the “Fund”), including the schedule of investments, as of November 30, 2022, and the related statement of operations for the year then ended, and the statement of changes in net assets and the financial highlights for the year then ended and for the period from September 14, 2021 (commencement of operations) through November 30, 2021, 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, 2022, and the results of its operations for the year then ended, and the changes in its net assets and its financial highlights for the period from September 14, 2021 through November 30, 2021, in conformity with accounting principles generally accepted in the United States of America.
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 audits. 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 law and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
24
U.S. VALUE ETF |
REPORT OF INDEPENDENT REGISTERED |
PUBLIC ACCOUNTING FIRM (Continued) |
Our audits included performing procedures to assess the risk 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, 2022 by correspondence with the custodian. Our audits 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 audits provide a reasonable basis for our opinion.
BBD, LLP
We have served as the auditor of one or more of the Funds in the Ultimus Managers Trust since 2013.
Philadelphia, Pennsylvania
January 26, 2023
25
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, 2022) and held until the end of the period (November 30, 2022).
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.
26
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, 2022 | November 30, 2022 | Ratio(a) | Period(b) | |
Based on Actual Fund Return. | $1,000.00 | $1,009.50 | 0.49% | $2.47 |
Based on Hypothetical 5% Return (before expenses) | $1,000.00 | $1,022.61 | 0.49% | $2.48 |
(a) | Annualized, based on 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). |
27
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) |
For the fiscal year ended November 30, 2022, the Fund designated $28 as long-term captial gain distributions.
Qualified Dividend Income – The Fund designates 46.33% 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 of 15%.
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, 2022, the percentage of ordinary income dividends qualified for the corporate dividends receivable deduction for the Fund was 32.49%.
28
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. 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 |
Directorships of Public Companies Held by Trustee During Past 5 Years |
Interested Trustees: | |||||
David
R. Carson*^ Year of Birth: 1958 |
2021
to present 2021 to present and April 2013 to October 2013 2013 to 2021 |
Trustee
(2021 to present) Vice President President and Principal Executive Officer |
Senior Vice President and Director of Client Strategies of Ultimus Fund Solutions, LLC (2013 to present); and President of Unified Series Trust (2017 to 2020) | 33 | Interested Trustee of 31 series of the Unified Series Trust (a registered management company) (2020 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. | 33 | n/a |
29
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 |
Directorships of Public Companies Held by Trustee During Past 5 Years |
Independent Trustees (Continued): | |||||
David
M. Deptula^ Year of Birth: 1958 |
Since 2012 | Trustee (2012 to present) | Vice President of Legal and Special Projects at Dayton Freight Lines, Inc. since 2016 | 33 | n/a |
Robert
E. Morrison^ Year of Birth: 1957 |
Since 2019 | Trustee (2019 to present; and previously 2012 to 2012) | 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) | 33 | n/a |
Clifford
N. Schireson^ Year of Birth: 1953 |
Since 2019 | Trustee (2019 to present) | Retired; Founder of Schireson Consulting, LLC (2017 to 2022); Director of Institutional Services for Brandes Investment Partners, LP (2004 to 2017) | 33 | Trustee of the San Diego City Employees’ Retirement System (2019 to present) |
Jacqueline
A. Williams^ Year of Birth: 1954 |
Since 2019 | Trustee (2019 to present) | Managing Member of Custom Strategy Consulting, LLC (2017 to present); Managing Director of Global Investment Research (2005 to 2017), Cambridge Associates, LLC | 33 | n/a |
* | Mr. Carson 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. Mr. Carson was President of the Trust from October 2013 to January 2021 and Vice President of the Trust from April 2013 to October 2013. |
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 |
Executive Officers: | |||
Todd E.
Heim^ Year of Birth: 1967 |
2021
to present 2014 to 2021 |
President Vice President |
Vice President , Relationship Management (2018 to present) and Assistant Vice President, Client Implementation Manager with Ultimus Fund Solutions, LLC (2014 to 2018); Naval Flight Officer in United States Navy (1989 to 2017) |
Jennifer
L. Leamer^ Year of Birth: 1976 |
2014
to present April 2014 to October 2014 |
Treasurer Assistant Treasurer |
Senior Vice President of Fund Accounting (2020 to present) and Mutual Fund Controller of Ultimus Fund Solutions, LLC (2014 to 2020) |
Daniel
D. Bauer^ Year of Birth: 1977 |
2016
to present |
Assistant Treasurer | Vice President of Fund Accounting (2022 to present), Assistant Vice President of Fund Accounting (2020 to 2022), and Assistant Mutual Fund Controller (2015 to 2020) of Ultimus Fund Solutions, LLC |
Angela
A. Simmons^ Year of Birth: 1975 |
January 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 |
Khimmara
Greer^ Year of Birth: 1983 |
October 2021 to present |
Secretary | Vice President and Senior Legal Counsel of Ultimus Fund Solutions, LLC (2021 to present); Vice President, Asset Servicing – Regulatory Administration of The Bank of New York Mellon (2019 to 2021); Vice President and Counsel of State Street Bank and Trust Company (2015 to 2019) |
David
K. James^ Year of Birth: 1970 |
October 2021 to present July 2021 to October 2022 |
Assistant
Secretary Secretary |
Executive Vice President and Chief Legal and Risk Officer of Ultimus Fund Solutions, LLC (2018 to present); Managing Director and Managing Counsel of State Street Bank and Trust Company (2009 to 2018) |
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 |
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 (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 |
Senior Vice President, Head of Fund Compliance (2020 to present) and Vice President & Director of Fund Compliance of Ultimus Fund Solutions, LLC (2016 to 2020) |
^ | Address is 225 Pictoria Drive, Suite 450, Cincinnati, Ohio 45246 |
Additional information about members of the Board and executive officers is available in the Funds’ Statement of Additional Information (“SAI”). To obtain a free copy of the SAI, please call toll free 1-833-825-8383.
32
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 17 – 18, 2022 Board meeting and covered the period from June 1, 2021 to May 31, 2022 (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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