RPAR Risk Parity ETF
Ticker: RPAR
UPAR Ultra Risk Parity ETF
Ticker: UPAR
Annual Report
December 31, 2022
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Basis For Trustees’ Approval of Investment Advisory Agreement |
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TABLE OF CONTENTS |
This report is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective prospectus.
1 |
RPAR Risk Parity ETF and UPAR Ultra Risk Parity ETF
most markets WERE down IN 2022 DUE TO MATERIAL TIGHTENING
The downturn in 2022 was very different from a typical market selloff, where stocks fall and bonds rally as economic growth weakens. Last year, virtually all asset classes underperformed because the Federal Reserve (the “Fed”) embarked on the most aggressive tightening in four decades to fight inflation, raising rates by 4.25% in only 9 months.
A material tightening versus expectations poses a headwind for all assets because all assets compete with the risk-free rate. When that rate goes from 0% to 4.25%, investors are no longer willing to earn 1.5% on Treasuries or a 4% earnings yield on equities when they can do better holding cash with no risk. As a result, all assets repriced lower to offer higher expected returns (higher yields) going forward, which helps assets remain competitive with the now-higher cash yield (the risk-free rate). That is why stocks, bonds, and other asset classes all experienced major declines at the same time.
risk parity WAS DOWN DURING THE TIGHTENING AND HAS BOUNCED BACK SINCE
Risk parity is an asset-allocation strategy that seeks to balance to growth and inflation surprises by investing in assets that perform well in different growth and inflation environments. This is in contrast to a traditional 60/40 portfolio that is typically biased to underperform during inflationary periods (both stocks and bonds underperformed cash in the 1970s) and during periods of weak growth (stocks lost money during the entire first decade of the 2000s).
The RPAR Risk Parity ETF (“RPAR”) and UPAR Ultra Risk Parity ETF (“UPAR”) (together the “Funds”), each a risk parity ETF, were down -28.45% (-28.48% NAV) and -37.08% (-37.53% NAV), respectively from Q1 to Q3 2022.1 This is because diversification does not typically work well during a material tightening as all assets experience downward pressure at the same time. Such environments are generally rare and short-lived because capitalism requires that assets outperform cash over time – attractive returns are needed to incentivize productive investment. Once inflation began to moderate and expectations of tightening eased around the end of the third quarter, markets began to rally.
The table below shows a breakdown of risk parity performance by asset class in 2022, first from Q1 to Q3 2022 (“Tightening”) and then for Q4 2022 (“Post-Tightening”). All asset classes were down through Q3 as discussed, but commodity producer equities held up reasonably well because of the spike in energy prices.
Since October 2022, all assets have recovered, as weaker inflation has led markets to expect less tightening than they had initially feared – in fact, markets now expect the Fed to ease in 2023. As the expected risk-free rate retraced, higher-yielding assets suddenly looked quite attractive, and prices rose. This is the opposite of what happened in the Tightening. As a result, RPAR gained 7.92% during the fourth quarter (and UPAR gained 10.76%).2
Allocation |
Tightening1 |
Post-Tightening3 | |
35% |
Long TIPS (Treasury Inflation-Protected Securities) |
-36.38% |
7.15% |
25% |
Global Equities |
-25.14% |
9.44% |
35% |
Long Treasuries |
-22.50% |
-1.20% |
10% |
Physical Gold |
-9.30% |
9.73% |
15% |
Commodity Producers |
-0.09% |
17.88% |
120% |
RPAR Risk Parity ETF (Market Price) |
-28.45% |
7.92% |
Note: Asset class returns are based on actual performance earned in the RPAR Risk Parity ETF. Source: The Fund’s market price returns were reported by US Bank and asset class performance were provided by Toroso Investments, LLC, 12/31/21 – 12/31/22. Please see corresponding footnotes and disclosures for reference.
1The UPAR Ultra Risk Parity ETF (UPAR) market price return reflects the period from the fund’s inception date (1/03/2022) through 9/30/2022. The RPAR Risk Parity ETF (RPAR) market price return reflects the first three quarters of 2022 (12/31/21 – 9/30/22). Source: US Bank.
2Source: Toroso Investments, LLC, 9/30/22 – 12/31/22.
3The Funds’ market price returns were reported by US Bank and asset class performance were provided by Toroso Investments, LLC, 12/31/21 – 12/31/22.
2 |
RPAR Risk Parity ETF and UPAR Ultra Risk Parity ETF
Asset Class |
Tightening |
Post-Tightening | |
49% |
Long TIPS (Treasury Inflation-Protected Securities) |
-35.35% |
6.92% |
35% |
Global Equities |
-26.85% |
9.10% |
49% |
Long Treasuries |
-21.39% |
-1.19% |
14% |
Physical Gold |
-7.88% |
9.73% |
21% |
Commodity Producers |
-1.90% |
17.60% |
168% |
UPAR Ultra Risk Parity ETF (Market Price) |
-37.08% |
10.76% |
Note: Asset class returns are based on actual performance earned in the UPAR Ultra Risk Parity ETF. Source: The Fund’s market price returns were reported by US Bank and asset class performance were provided by Toroso Investments, LLC, (UPAR Inception: 1/03/22 through 12/31/22). Please see corresponding footnotes and disclosures for reference.
Note that risk parity may also underperform during a period of panic/crisis when investors broadly sell assets to move to cash. Diversification does not generally work well in these brief periods because everything falls at the same time (similar to a material tightening). This occurred over about two weeks in March 2020 at the onset of the pandemic, when RPAR fell about 20% (quickly recovering to end the month down only 6%).
THE TIGHTENING IN 2022 IS NOT UNPRECEDENTED: THE EARLY 1980s VOLCKER ANALOGUE
The aggressive tightening environment we experienced during the first three quarters of 2022 is similar to the tightening that occurred in the early 1980s under Fed Chairman Paul Volcker. Like today, inflation was elevated, and the Volcker Fed tightened policy aggressively to bring it under control. The charts below show the estimated increase in real expected short-term interest rates4 due to the tightening and corresponding asset-class performance. As you can see, the expected real rate rose over 8% from trough to peak (1980-82). All asset classes performed poorly during this large unexpected tightening and rebounded when tightening expectations finally eased. Note that below we show excess returns (above the risk-free rate) to facilitate comparison with the current period, as cash rates started at 8% back then and 0% today.
Expected Real Risk-Free Rate During Volcker Tightening5 |
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Excess Returns During/After Volcker Tightening6 |
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All data is sourced from Bloomberg as of 12/31/22. Asset class returns reflect performance for the indices and inception dates listed and do not represent returns earned in the Funds. Global Equities: MSCI World Index (BB: NDDUWI, Jan. 1970) | Treasuries: Bloomberg Barclays Long Treasury Index (BB: LUTLTRUU, Feb. 1973) | Commodities: Bloomberg Commodity Total Return Index (BB: BCOMTR, Feb. 1960 | Physical Gold: the change in spot price of gold (BB: XAU, Jan. 1970). Please see corresponding footnotes and disclosures for reference.
SHAREHOLDER LETTER (Continued) |
4We use the 2-year Treasury real yield as a measure of market expectations of short-term changes in cash rates (net of inflation).
5For the 1980s, 2Y real yield calculated as the difference between the 2Y nominal yield (Source: Bloomberg – USGG2YR Index) and the Survey of Professional Forecasters forecast for the year-ahead annual-average inflation rate for the GDP Price Index, available at https://www.philadelphiafed.org/surveys-and-data/real-time-data-research/inflation-forecasts. For the 2000s, 2Y real yield calculated as the difference between the 2Y nominal yield and the 2Y breakeven inflation rate (Source: Bloomberg – USGGBE02 Index).
6We show excess returns above cash to facilitate comparison between the 1980s period (when cash started at 8% in 1980) and the current period (cash started at 0%). Source: Bloomberg (BCOMTR Index, XAU Curncy, LUTLTRUU Index, NDDUWI Index, MUNRT Index, G8QI Index, USGG3M Index). Excess returns reflect the geometric difference between total returns and the cash rate return over the periods shown. Total returns for Q4 2022 were: commodity producers 15.7%, gold 9.8%, long Treasuries -0.6%, Equities 9.8%, long TIPS 4.5%, and cash 1.0%. Source: Bloomberg (MUNRT Index, XAU Curncy, LUTLTRUU Index, NDDUWI Index, G8QI Index, USGG3M Index). Charts show the returns for commodity futures using the Bloomberg Commodities Index (BCOM) in the Volcker period and for commodity producers using the Morningstar Upstream Natural Resources Index (MUNRT Index) in the current period, as the MUNRT commodity producers index does not go back to the 1980s. TIPS shown only for the current period as they did not exist in the 1980s.
3 |
RPAR Risk Parity ETF and UPAR Ultra Risk Parity ETF
The impact of tightening on performance in the Volcker era is very similar to what we experienced last year, as you can see in the charts below. The expected real short-term interest rate rose ~5% from peak to trough, as Jerome Powell’s Fed (“Powell”) raised rates. Most asset classes performed poorly through Q3 but began to rebound in Q4 after tightening expectations peaked.
Expected Real Risk-Free Rate During Powell Tightening5 |
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Excess Returns During/After Powell Tightening6 |
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All data is sourced from Bloomberg as of 12/31/22. Asset class returns reflect performance for the indices and inception dates listed and do not represent returns earned in the Funds. Global Equities: MSCI World Index (BB: NDDUWI, Jan. 1970) | Treasuries: Bloomberg Barclays Long Treasury Index (BB: LUTLTRUU, Feb. 1973) | TIPS: Merrill Lynch 15+ Year Inflation-Linked Bond Index (BB: G8QI, May 1998 | Commodity Producers: Commodity Producers: Morningstar Global Upstream Natural Resources Index (BB: MUNRT, Jan. 2000) | Physical Gold: the change in spot price of gold (BB: XAU, Jan. 1970). Please see corresponding footnotes and disclosures for reference.
We believe significant tightening has already been priced in and what will really matter from this point forward will be (a) whether the Fed raises rates more or less than expected and (b) how growth and inflation unfold. Additionally, we believe forward-looking returns have increased as the expected returns across asset classes now incorporate a higher risk-free rate. This is clearest today in bonds that currently offer much higher yields.
PERFORMANCE UPDATE
The table below summarizes the returns of the Funds as well as their underlying asset classes as of December 31, 2022.
RPAR Inception
(12/12/2019) |
Trailing Returns (Annualized) |
Calendar Year Returns | |||
1-Year |
2-Year |
Since Inception |
2021 |
2020 | |
RPAR Risk Parity ETF (Market Price) |
-22.79% |
-8.87% |
-0.04% |
7.56% |
19.39% |
RPAR Risk Parity ETF (NAV) |
-22.81% |
-8.79% |
-0.02% |
7.78% |
19.35% |
Global Equities |
-18.07% |
-2.83% |
4.14% |
15.27% |
17.30% |
Commodity Producers |
17.78% |
23.24% |
18.41% |
28.91% |
7.85% |
Physical Gold |
-0.47% |
-2.22% |
6.99% |
-3.93% |
25.07% |
Long Treasuries |
-23.43% |
-15.31% |
-7.89% |
-6.30% |
9.17% |
Long TIPS |
-31.83% |
-14.81% |
-3.10% |
6.49% |
25.90% |
Note: Asset class returns are based on actual performance earned in the RPAR Risk Parity ETF. Source: The Funds’ market price and NAV returns were reported by US Bank and asset class performance were provided by Toroso Investments, LLC as of 12/31/22. Please see corresponding footnotes and disclosures for reference.
UPAR Inception
(1/03/2022) |
Since Inception |
UPAR Ultra Risk Parity ETF (Market Price) |
-30.31% |
UPAR Ultra Risk Parity ETF (NAV) |
-30.62% |
Global Equities |
-20.19% |
Commodity Producers |
15.37% |
Physical Gold |
1.09% |
Long Treasuries |
-22.32% |
Long TIPS |
-32.14% |
Note: Asset class returns are based on actual performance earned in the RPAR Risk Parity ETF. Source: The Funds’ market price and NAV returns were reported by US Bank and asset class performance were provided by Toroso Investments, LLC as of 12/31/22. Please see corresponding footnotes and disclosures for reference.
SHAREHOLDER LETTER (Continued) |
4 |
THE NEED FOR GOOD BALANCE LOOKING AHEAD
Economic growth and inflation are highly uncertain looking ahead. There is a wide range of potential outcomes with a heightened risk of extreme outcomes. The 60/40 portfolio is essentially a bet that the Fed achieves a “soft landing,” bringing inflation down while maintaining growth. But if a recession results or inflation stays elevated, the 60/40 portfolio may underperform. Given these risks, we believe it is prudent to be well-balanced across asset classes biased to outperform during different growth and inflation environments. In addition, as mentioned, we believe that the long-term expected return of a risk parity portfolio is materially higher now than a year ago due to a significantly higher risk-free rate.
Please contact your financial advisor or one of our shareholder associates at (833) 540-0039 with any questions. You may also visit our website at www.rparetf.com or reach us via email at info@rparetf.com.
Important Information
Before investing you should carefully consider the Funds’ investment objectives, risks, charges and expenses. Please read each prospectus carefully before you invest.
Past performance does not guarantee future results.
A fund’s NAV is the sum of all its assets less any liabilities, divided by the number of shares outstanding. The market price is the most recent price at which the fund was traded.
Risk parity is a portfolio allocation strategy using risk to determine allocations across various components of an investment portfolio. As with all ETFs, fund shares may be bought and sold in the secondary market at market prices. The market price normally should approximate a fund’s net asset value per share (NAV), but the market price sometimes may be higher or lower than the NAV. The Funds are newer with a limited operating history. There are a limited number of financial institutions authorized to buy and sell shares directly with the Funds; and there may be a limited number of other liquidity providers in the marketplace. There is no assurance that Funds’ shares will trade at any volume, or at all, on any stock exchange. Low trading activity may result in shares trading at a material discount to NAV.
A Fund’s exposure to investments in physical commodities may fluctuate rapidly and subjects a Fund to greater volatility than investments in traditional securities, such as stocks and bonds. Interest payments on TIPS are unpredictable and will fluctuate as the principal and corresponding interest payments are adjusted for inflation. Equity securities, such as common stocks, are subject to market, economic and business risks that may cause their prices to fluctuate. The Funds invest in foreign and emerging market securities which involves certain risks such as currency volatility, political and social instability and reduced market liquidity. The Funds may invest in securities issued by the U.S. government or its agencies or instrumentalities. There can be no guarantee that the United States will be able to meet its payment obligations with respect to such securities.
Shares of the Funds are distributed by Foreside Fund Services, LLC. Foreside is not affiliated with Toroso, US Bank, or RPAR, LLC.
Index Definitions
Global Equities: The MSCI World Index (BB: NDDUWI) reflects the performance of large and mid cap representation across 23 developed markets countries. Wit more than 1,600 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.
Treasuries: The Bloomberg Barclays US Long Treasury Index (BB: LUTLTRUU) measures US dollar-denominated, fixed-rate, nominal debt issued by the US Treasury with 10 years or more to maturity.
The Bloomberg Barclays US Aggregate Bond Index (BB: LBUSTRUU) is a broad-based flagship benchmark that measures the investment grade, US dollar-denominated, fixed-rate taxable bond market. The index includes Treasuries, government-related and corporate securities, MBS (agency fixed-rate pass-throughs), ABS and CMBS (agency and non-agency).
Intermediate-Term Government Bond returns as reported by the 2016 Roger G. Ibbotson SBBI Yearbook (Stocks, Bonds, Bills and Inflation), U.S. Capital Markets Performance by Asset Class 1926-2015. Appendix A-10: Intermediate-term Government Bonds: Total Returns. Published by John Wiley & Sons, Inc. Hoboken, NJ, 2016.
RPAR Risk Parity ETF and UPAR Ultra Risk Parity ETF
SHAREHOLDER LETTER (Continued) |
5 |
RPAR ETFs
SHAREHOLDER LETTER (Continued) |
TIPS. Treasury Inflation-Protected Securities (TIPS) are a type of Treasury security issued by the U.S. government that are indexed to inflation in order to protect investors from a decline in the purchasing power of money. The Bank of America Merrill Lynch 15+ Year US Inflation-Linked Treasury Index (BB: G8QI) is an unmanaged index comprised of U.S. Treasury Inflation Protected Securities with at least $1 billion in outstanding face value and a remaining term to final maturity greater than or equal to 15 years.
Commodities: The Bloomberg Commodity Index Total Return (BB: BCOMTR) provides a broad-based exposure to commodities, and no single commodity or commodity sector dominates the index. The index is not driven by micro-economic events affecting one commodity market or sector, rather the diversified commodity exposure of Bloomberg Commodity Index represents the aggregate commodity market.
Commodity Producers: The Morningstar Global Upstream Natural Resources Index (BB: MUNRT) reflects the performance of a selection of equity securities that are traded in or are issued by companies domiciled in global developed or emerging markets (including the U.S.). The companies included in the index have significant business operations in the ownership, management and/or production of natural resources in energy, agriculture, precious or industrial metals, timber and water resources sectors.
Gold: Reflects the percent change in the spot price of gold (BB: XAU).
6 |
RPAR Risk Parity ETF
Total returns for the periods ended December 31, 2022: |
|
One Year |
|
Three Year |
|
Since Inception (12/12/2019) |
|
Ending
Value |
RPAR Risk Parity ETF - NAV |
|
-22.81% |
|
-0.23% |
|
-0.02% |
|
$ 9,995 |
RPAR Risk Parity ETF - Market |
|
-22.79% |
|
-0.29% |
|
-0.04% |
|
9,987 |
S&P 500® Total Return Index |
|
-18.11% |
|
7.66% |
|
8.24% |
|
12,734 |
60% S&P 500® Total Return Index/ 40% Bloomberg U.S. Aggregate Bond Index |
|
-15.79% |
|
3.83% |
|
4.22% |
|
11,345 |
Advanced Research Risk Parity Index |
|
-22.92% |
|
0.91% |
|
1.28% |
|
10,396 |
This chart illustrates the performance of a hypothetical $10,000 investment made on December 12, 2019 (commencement of operations), and is not intended to imply any future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns reflect fee waivers in effect for the “NAV” returns. In the absence of such waivers, total returns would be reduced. The chart assumes reinvestment of capital gains, dividends, and return of capital, if applicable, for a fund and dividends for an index.
Performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling (833) 540-0039. The Fund’s gross expense ratio is 0.53% and net expense ratio is 0.51% (as of the Fund’s most recently filed prospectus dated March 30, 2022). The Fund’s investment adviser has agreed to waive a portion of its management fees for the Fund through at least April 30, 2023.
7 |
UPAR Ultra Risk Parity ETF
Total returns for the period ended December 31, 2022: |
|
Since Inception (01/03/2022) |
|
Ending
Value |
UPAR Ultra Risk Parity ETF - NAV |
|
-30.62% |
|
$6,938 |
UPAR Ultra Risk Parity ETF - Market |
|
-30.31% |
|
6,969 |
S&P 500® Total Return Index |
|
-18.63% |
|
8,137 |
Advanced Research Ultra Risk Parity Index |
|
-30.29% |
|
6,971 |
This chart illustrates the performance of a hypothetical $10,000 investment made on January 3, 2022 (commencement of operations), and is not intended to imply any future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns reflect fee waivers in effect for the “NAV” return. In the absence of such waivers, total return would be reduced. The chart assumes reinvestment of capital gains, dividends, and return of capital, if applicable, for a fund and dividends for an index.
Performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling (833) 540-0039. The Fund’s gross expense ratio is 0.68% and net expense ratio is 0.65% (as of the Fund’s most recently filed prospectus dated December 29, 2021). The Fund’s investment adviser has agreed to waive a portion of its management fees for the Fund through at least April 30, 2023.
PERFORMANCE SUMMARY (Unaudited) |
8 |
RPAR Risk Parity ETF
Sector/Security Type |
% of
Total | |||
Futures Contracts (2) |
|
26.2 |
% |
|
Exchange Traded Funds |
|
25.9 |
|
|
United States Treasury Inflation Indexed Bonds |
|
25.7 |
|
|
United States Treasury Bills |
|
8.3 |
|
|
Basic Materials |
|
4.7 |
|
|
Energy |
|
4.3 |
|
|
Cash & Cash Equivalents (3) |
|
3.1 |
|
|
Industrial |
|
1.2 |
|
|
Consumer (Non-cyclical) |
|
0.3 |
|
|
Utilities |
|
0.2 |
|
|
Consumer (Cyclical) |
|
0.1 |
|
|
Total |
|
100.0 |
% |
|
(1)Percentages are based on total investments, including derivative contracts.
(2)Represents the notional amount of the futures contracts.
(3)Represents short-term investments and investments purchased with collateral from securities lending less liabilities in excess of assets.
UPAR Ultra Risk Parity ETF
PORTFOLIO ALLOCATION at December 31, 2022 (Unaudited)(1) |
Sector/Security Type |
% of
Total | |||
Futures Contracts (2) |
|
43.5 |
% |
|
United States Treasury Inflation Indexed Bonds |
|
28.8 |
|
|
Exchange Traded Funds |
|
15.0 |
|
|
Basic Materials |
|
5.4 |
|
|
Energy |
|
4.8 |
|
|
Industrial |
|
1.4 |
|
|
Cash & Cash Equivalents (3) |
|
0.5 |
|
|
Consumer (Non-cyclical) |
|
0.3 |
|
|
Utilities |
|
0.2 |
|
|
Consumer (Cyclical) |
|
0.1 |
|
|
Total |
|
100.0 |
% |
|
(1)Percentages are based on total investments, including derivative contracts.
(2)Represents the notional amount of the futures contracts.
(3)Represents short-term investments plus assets in excess of liabilities.
RPAR Risk Parity ETF
The accompanying notes are an integral part of these financial statements. |
9 |
|
|
Shares |
|
Value |
|
Common Stocks — 14.7% |
|
|
|
|
|
Biotechnology — 0.3% |
|
|
|
|
|
Corteva, Inc. |
|
54,253 |
|
$3,188,991 |
|
|
|||||
Building Materials — 0.1% |
|
|
|
|
|
Geberit AG |
|
1,636 |
|
770,080 |
|
|
|||||
Chemicals — 1.1% |
|
|
|
|
|
CF Industries Holdings, Inc. |
|
13,579 |
|
1,156,931 |
|
Ecolab, Inc. |
|
8,983 |
|
1,307,566 |
|
FMC Corp. |
|
10,174 |
|
1,269,715 |
|
Nutrien Ltd. |
|
38,291 |
|
2,793,509 |
|
OCI N.V. |
|
14,287 |
|
509,580 |
|
PhosAgro PJSC - GDR (1) |
|
52,122 |
|
0 |
|
Sociedad Quimica y Minera de Chile S.A. - ADR |
|
21,228 |
|
1,694,844 |
|
The Mosaic Co. |
|
27,804 |
|
1,219,761 |
|
Yara International ASA |
|
19,882 |
|
869,068 |
|
|
|
|
|
10,820,974 |
|
|
|||||
Distribution & Wholesale — 0.1% |
|
|
| ||
Ferguson PLC |
|
10,246 |
|
1,286,728 |
|
|
|||||
Energy — Alternate Sources — 0.6% |
|
|
| ||
Enphase Energy, Inc. (2) |
|
5,246 |
|
1,389,980 |
|
First Solar, Inc. (2) |
|
5,562 |
|
833,132 |
|
Siemens Gamesa Renewable Energy S.A. |
|
33,925 |
|
653,525 |
|
SolarEdge Technologies, Inc. (2) |
|
3,087 |
|
874,455 |
|
Vestas Wind Systems A/S |
|
54,347 |
|
1,576,315 |
|
Xinyi Solar Holdings Ltd. |
|
460,322 |
|
509,572 |
|
|
|
|
|
5,836,979 |
|
|
|||||
Food — 0.1% |
|
|
|
|
|
Mowi ASA |
|
34,791 |
|
590,504 |
|
|
|||||
Iron & Steel — 0.9% |
|
|
|
|
|
Fortescue Metals Group Ltd. |
|
195,264 |
|
2,715,899 |
|
Mineral Resources Ltd. |
|
13,036 |
|
682,476 |
|
Vale S.A. - ADR |
|
294,487 |
|
4,997,444 |
|
|
|
|
|
8,395,819 |
|
|
|||||
Machinery — Diversified — 1.6% |
|
|
| ||
AGCO Corp. |
|
6,104 |
|
846,564 |
|
CNH Industrial NV - Class A |
|
93,015 |
|
1,493,821 |
|
Deere & Co. |
|
21,819 |
|
9,355,114 |
|
IDEX Corp. |
|
3,396 |
|
775,409 |
|
Kubota Corp. |
|
83,844 |
|
1,154,606 |
|
The Toro Co. |
|
8,927 |
|
1,010,536 |
|
Xylem, Inc. |
|
6,964 |
|
770,010 |
|
|
|
|
|
15,406,060 |
|
|
|
|
Shares |
|
Value |
|
Common Stocks — 14.7% (Continued) |
|
|
| ||
Mining — 4.4% |
|
|
|
|
|
Allkem Ltd. (2) |
|
47,494 |
|
$362,019 |
|
Anglo American PLC |
|
78,045 |
|
3,038,453 |
|
Antofagasta PLC |
|
67,811 |
|
1,260,669 |
|
BHP Group Ltd. - ADR |
|
154,341 |
|
9,576,859 |
|
Boliden AB |
|
18,306 |
|
687,386 |
|
Cameco Corp. |
|
25,972 |
|
588,273 |
|
China Molybdenum Co. Ltd. - Class H |
|
2,306,446 |
|
1,063,838 |
|
First Quantum Minerals Ltd. |
|
39,656 |
|
827,978 |
|
Freeport-McMoRan, Inc. |
|
86,471 |
|
3,285,898 |
|
Glencore PLC |
|
776,574 |
|
5,160,221 |
|
IGO Ltd. |
|
53,851 |
|
491,547 |
|
Ivanhoe Mines Ltd. (2) |
|
63,115 |
|
498,417 |
|
Jiangxi Copper Co. Ltd. - H Shares |
|
405,346 |
|
598,285 |
|
MMC Norilsk Nickel PJSC - ADR (1) |
|
181,762 |
|
0 |
|
NAC Kazatomprom JSC - GDR |
|
12,882 |
|
362,499 |
|
OZ Minerals Ltd. |
|
22,393 |
|
423,684 |
|
Pilbara Minerals Ltd. (2) |
|
215,980 |
|
549,251 |
|
Rio Tinto PLC - ADR (3) |
|
102,794 |
|
7,318,933 |
|
South32 Ltd. |
|
311,234 |
|
844,253 |
|
Southern Copper Corp. |
|
47,490 |
|
2,867,921 |
|
Sumitomo Metal Mining Co. Ltd. |
|
20,342 |
|
720,129 |
|
Teck Resources Ltd. - Class B |
|
30,645 |
|
1,157,316 |
|
|
|
|
|
41,683,829 |
|
|
|||||
Oil & Gas — 5.3% |
|
|
|
|
|
Aker BP ASA |
|
16,283 |
|
502,656 |
|
BP PLC - ADR |
|
61,706 |
|
2,155,391 |
|
Canadian Natural Resources Ltd. |
|
26,444 |
|
1,467,452 |
|
Cenovus Energy, Inc. |
|
45,427 |
|
880,746 |
|
Chevron Corp. |
|
42,418 |
|
7,613,607 |
|
ConocoPhillips |
|
27,549 |
|
3,250,782 |
|
Coterra Energy, Inc. |
|
13,562 |
|
333,218 |
|
Devon Energy Corp. |
|
14,917 |
|
917,545 |
|
Diamondback Energy, Inc. |
|
4,270 |
|
584,051 |
|
Ecopetrol S.A. - ADR (3) |
|
52,891 |
|
553,769 |
|
Eni S.p.A - ADR (3) |
|
34,763 |
|
996,308 |
|
EOG Resources, Inc. |
|
15,045 |
|
1,948,628 |
|
Equinor ASA - ADR |
|
70,751 |
|
2,533,593 |
|
Exxon Mobil Corp. |
|
91,081 |
|
10,046,234 |
|
Gazprom PJSC - ADR (1) |
|
523,190 |
|
0 |
|
Hess Corp. |
|
7,108 |
|
1,008,057 |
|
Imperial Oil Ltd. |
|
15,087 |
|
734,335 |
|
LUKOIL PJSC - ADR (1) |
|
31,173 |
|
0 |
|
Marathon Oil Corp. |
|
14,260 |
|
386,018 |
|
Novatek PJSC - GDR (1) |
|
13,358 |
|
0 |
|
RPAR Risk Parity ETF
10 |
The accompanying notes are an integral part of these financial statements. |
SCHEDULE OF INVESTMENTS at December 31, 2022 (Continued) |
|
|
Shares |
|
Value |
|
Common Stocks — 14.7% (Continued) |
|
|
| ||
Oil & Gas — 5.3% (Continued) |
|
|
|
|
|
Occidental Petroleum Corp. |
|
24,743 |
|
$1,558,562 |
|
Pioneer Natural Resources Co. |
|
5,455 |
|
1,245,867 |
|
Repsol S.A. |
|
35,471 |
|
562,167 |
|
Rosneft Oil Co PJSC - GDR (1) |
|
488,696 |
|
0 |
|
Santos Ltd. - ADR |
|
78,422 |
|
382,699 |
|
Shell PLC - ADR |
|
72,979 |
|
4,156,154 |
|
Suncor Energy, Inc. |
|
34,718 |
|
1,100,512 |
|
Total S.A. - ADR |
|
53,243 |
|
3,305,325 |
|
Tourmaline Oil Corp. |
|
8,821 |
|
444,777 |
|
Woodside Energy Group Ltd. |
|
45,426 |
|
1,091,752 |
|
|
|
|
|
49,760,205 |
|
Water — 0.2% |
|
|
|
|
|
American Water Works Co., Inc. |
|
8,145 |
|
1,241,461 |
|
Veolia Environnement S.A. |
|
31,307 |
|
801,895 |
|
|
|
|
|
2,043,356 |
|
Total Common Stocks |
|
|
|
|
|
(Cost $155,344,970) |
|
|
|
139,783,525 |
|
|
|||||
Exchange Traded Funds — 35.1% |
|
|
| ||
SPDR Gold MiniShares Trust (2)(3) |
|
2,773,242 |
|
100,363,628 |
|
Vanguard FTSE Developed Markets ETF |
|
1,125,571 |
|
47,240,215 |
|
Vanguard FTSE Emerging Markets ETF (3) |
|
1,808,355 |
|
70,489,678 |
|
Vanguard Total Stock |
|
598,342 |
|
114,397,007 |
|
Total Exchange Traded Funds |
|
|
|
|
|
(Cost $371,722,535) |
|
|
|
332,490,528 |
|
|
|
Principal |
|
Value |
|
United States Treasury Obligations — 46.0% |
|
|
| ||
United States Treasury Bills — 11.2% |
|
|
| ||
4.555%, 6/8/2023 (4)(5) |
|
$108,388,000 |
|
106,272,085 |
|
|
|||||
United States Treasury Inflation Indexed Bonds — 34.8% |
| ||||
2.125%, 2/15/2040 |
|
6,290,040 |
|
6,668,698 |
|
2.125%, 2/15/2041 |
|
33,770,605 |
|
35,831,186 |
|
0.750%, 2/15/2042 |
|
41,598,479 |
|
34,882,032 |
|
0.625%, 2/15/2043 |
|
44,488,520 |
|
35,961,232 |
|
1.375%, 2/15/2044 |
|
43,888,820 |
|
40,830,555 |
|
0.750%, 2/15/2045 |
|
45,599,937 |
|
36,948,675 |
|
1.000%, 2/15/2046 |
|
36,252,810 |
|
30,848,101 |
|
0.875%, 2/15/2047 |
|
35,908,121 |
|
29,495,775 |
|
1.000%, 2/15/2048 |
|
35,888,825 |
|
30,267,134 |
|
1.000%, 2/15/2049 |
|
22,907,915 |
|
19,187,059 |
|
0.250%, 2/15/2050 |
|
22,398,255 |
|
15,140,599 |
|
|
Principal |
|
Value |
|
United States Treasury Obligations — 46.0% (Continued) |
| ||||
United States Treasury Inflation Indexed Bonds — 34.8% (Continued) |
| ||||
0.125%, 2/15/2051 |
|
$10,276,668 |
|
$6,635,554 |
|
0.125%, 2/15/2052 |
|
11,187,143 |
|
7,264,597 |
|
|
|
|
|
329,961,197 |
|
Total United States Treasury Obligations |
|
|
| ||
(Cost $544,606,418) |
|
|
|
436,233,282 |
|
|
|
|
Shares |
|
Value |
|
Short-Term Investments — 0.7% |
|
|
| ||
Money Market Funds — 0.7% |
|
|
|
|
|
First American Government Obligations Fund, Class X, 4.100% (6) |
6,080,435 |
|
6,080,435 |
| |
Total Short-Term Investments |
|
|
|
|
|
(Cost $6,080,435) |
|
|
|
6,080,435 |
|
|
|||||
Investments Purchased with Collateral from Securities Lending — 4.1% |
| ||||
First American Government Obligations Fund, Class X, 4.100% (6) |
38,938,940 |
|
38,938,940 |
| |
|
|||||
Total Investments Purchased With Collateral From Securities Lending |
| ||||
(Cost $38,938,940) |
|
|
|
38,938,940 |
|
|
|||||
Total Investments in Securities — 100.6% |
|
|
| ||
(Cost $1,116,693,297) |
|
|
|
953,526,710 |
|
Liabilities in Excess of Other Assets — (0.6)% |
|
(5,354,556 |
) | ||
Total Net Assets — 100.0% |
|
|
|
$948,172,154 |
|
ADRAmerican Depositary Receipt
GDRGlobal Depositary Receipt
(1)The security is fair valued by the Valuation Designee.
(2)Non-income producing security.
(3)This security or a portion of this security was out on loan as of December 31, 2022. Total loaned securities had a value of $37,284,217 or 3.9% of net assets. The remaining contractual maturity of all of the securities lending transactions is overnight and continuous.
(4)Rate represents the annualized effective yield to maturity from the purchase price.
(5)Zero coupon security.
(6)The rate shown is the annualized seven-day effective yield as of December 31, 2022.
RPAR Risk Parity ETF
The accompanying notes are an integral part of these financial statements. |
11 |
The RPAR Risk Parity ETF had the following futures contracts outstanding with PhillipCapital Inc.
Long Futures |
|
Number of Contracts |
|
Notional Amount |
|
Unrealized Appreciation (Depreciation) |
|
Notional Value |
10-Year U.S. Treasury Note Futures (3/22/2023) |
|
1,504 |
|
$171,182,248 |
|
$(2,287,748 |
) |
$168,894,500 |
Ultra Long-Term |
|
1,252 |
|
174,699,136 |
|
(6,539,886 |
) |
168,159,250 |
|
|
|
|
$345,881,384 |
|
$(8,827,634 |
) |
$337,053,750 |
SCHEDULE OF FUTURES CONTRACTS at December 31, 2022 |
UPAR Ultra Risk Parity ETF
12 |
The accompanying notes are an integral part of these financial statements. |
|
|
Shares |
|
Value |
|
Common Stocks — 21.1% |
|
|
|
|
|
|
|||||
Biotechnology — 0.4% |
|
|
|
|
|
Corteva, Inc. |
|
9,092 |
|
$534,428 |
|
|
|||||
Building Materials — 0.1% |
|
|
|
|
|
Geberit AG |
|
152 |
|
71,548 |
|
|
|||||
Chemicals — 1.7% |
|
|
|
|
|
CF Industries Holdings, Inc. |
|
2,772 |
|
236,174 |
|
Ecolab, Inc. |
|
2,081 |
|
302,910 |
|
FMC Corp. |
|
1,547 |
|
193,066 |
|
K+S AG |
|
2,863 |
|
56,145 |
|
Nutrien Ltd. |
|
7,089 |
|
517,176 |
|
OCI N.V. |
|
2,313 |
|
82,499 |
|
PhosAgro PJSC - GDR (1) |
|
1,126 |
|
0 |
|
Sociedad Quimica y Minera de Chile S.A. - ADR |
|
3,876 |
|
309,460 |
|
The Mosaic Co. |
|
4,266 |
|
187,150 |
|
Yara International ASA |
|
3,242 |
|
141,712 |
|
|
|
|
|
2,026,292 |
|
Distribution & Wholesale — 0.2% |
|
|
| ||
Ferguson PLC |
|
1,461 |
|
183,477 |
|
|
|||||
Electronics — 0.1% |
|
|
|
|
|
Halma PLC |
|
2,535 |
|
60,194 |
|
|
|||||
Energy — Alternate Sources — 0.9% |
|
|
| ||
Enphase Energy, Inc. (2) |
|
982 |
|
260,191 |
|
First Solar, Inc. (2) |
|
928 |
|
139,005 |
|
Ming Yang Smart Energy Group Ltd. - GDR (2) |
|
17 |
|
298 |
|
Plug Power, Inc. (2) |
|
4,006 |
|
49,554 |
|
Siemens Gamesa Renewable Energy S.A. |
|
6,103 |
|
117,567 |
|
SolarEdge Technologies, Inc. (2) |
|
479 |
|
135,686 |
|
Vestas Wind Systems A/S |
|
9,265 |
|
268,728 |
|
Xinyi Solar Holdings Ltd. |
|
90,489 |
|
100,171 |
|
|
|
|
|
1,071,200 |
|
Food — 0.1% |
|
|
|
|
|
Mowi ASA |
|
6,849 |
|
116,247 |
|
Salmar ASA |
|
1,459 |
|
56,992 |
|
|
|
|
|
173,239 |
|
Iron & Steel — 1.3% |
|
|
|
|
|
Fortescue Metals Group Ltd. |
|
34,817 |
|
484,265 |
|
Mineral Resources Ltd. |
|
2,130 |
|
111,512 |
|
Vale S.A. - ADR |
|
52,606 |
|
892,724 |
|
|
|
|
|
1,488,501 |
|
Machinery — Diversified — 2.3% |
|
|
| ||
AGCO Corp. |
|
772 |
|
107,069 |
|
CNH Industrial NV - Class A |
|
19,576 |
|
314,391 |
|
|
Shares |
|
Value |
|
Common Stocks — 21.1% (Continued) |
|
| |||
|
|||||
Machinery — Diversified — 2.3% (Continued) |
|
| |||
Deere & Co. |
|
3,661 |
|
$1,569,690 |
|
Husqvarna AB |
|
7,110 |
|
49,895 |
|
IDEX Corp. |
|
546 |
|
124,668 |
|
Kubota Corp. |
|
15,312 |
|
210,860 |
|
The Toro Co. |
|
1,426 |
|
161,423 |
|
Xylem, Inc. |
|
1,449 |
|
160,216 |
|
|
|
|
|
2,698,212 |
|
Mining — 6.3% |
|
|
|
|
|
Allkem Ltd. (2) |
|
7,115 |
|
54,233 |
|
Anglo American PLC |
|
13,313 |
|
518,302 |
|
Antofagasta PLC |
|
10,771 |
|
200,243 |
|
BHP Group Ltd. - ADR |
|
26,735 |
|
1,658,907 |
|
Boliden AB |
|
3,219 |
|
120,873 |
|
Cameco Corp. |
|
4,370 |
|
98,982 |
|
China Molybdenum Co. Ltd. - Class H |
|
381,124 |
|
175,792 |
|
First Quantum Minerals Ltd. |
|
6,949 |
|
145,088 |
|
Freeport-McMoRan, Inc. |
|
14,994 |
|
569,772 |
|
Glencore PLC |
|
133,516 |
|
887,194 |
|
IGO Ltd. |
|
8,552 |
|
78,062 |
|
Ivanhoe Mines Ltd. (2) |
|
11,447 |
|
90,397 |
|
Jiangxi Copper Co. Ltd. - |
|
73,201 |
|
108,044 |
|
Lundin Mining Corp. |
|
9,008 |
|
55,247 |
|
Lynas Rare Earths Ltd. (2) |
|
10,055 |
|
53,527 |
|
MMC Norilsk Nickel PJSC - ADR (1) |
|
3,990 |
|
0 |
|
MP Materials Corp. (2) |
|
2,151 |
|
52,226 |
|
NAC Kazatomprom JSC - GDR |
|
3,314 |
|
93,256 |
|
OZ Minerals Ltd. |
|
3,911 |
|
73,998 |
|
Pilbara Minerals Ltd. (2) |
|
38,051 |
|
96,766 |
|
Rio Tinto PLC - ADR |
|
17,832 |
|
1,269,638 |
|
South32 Ltd. |
|
55,869 |
|
151,550 |
|
Southern Copper Corp. |
|
8,243 |
|
497,795 |
|
Sumitomo Metal Mining Co. Ltd. |
|
3,552 |
|
125,745 |
|
Teck Resources Ltd. - Class B |
|
4,834 |
|
182,557 |
|
|
|
|
|
7,358,194 |
|
Oil & Gas — 7.4% |
|
|
|
|
|
Aker BP ASA |
|
2,606 |
|
80,447 |
|
APA Corp. |
|
867 |
|
40,471 |
|
BP PLC - ADR |
|
11,045 |
|
385,802 |
|
Canadian Natural Resources Ltd. |
|
3,952 |
|
219,308 |
|
Cenovus Energy, Inc. |
|
7,922 |
|
153,593 |
|
Chevron Corp. |
|
7,372 |
|
1,323,200 |
|
ConocoPhillips |
|
5,122 |
|
604,396 |
|
Coterra Energy, Inc. |
|
2,891 |
|
71,032 |
|
SCHEDULE OF INVESTMENTS at December 31, 2022 |
UPAR Ultra Risk Parity ETF
The accompanying notes are an integral part of these financial statements. |
13 |
|
|
Shares |
|
Value |
|
Common Stocks — 21.1% (Continued) |
|
| |||
|
|||||
Oil & Gas — 7.4% (Continued) |
|
|
|
|
|
Devon Energy Corp. |
|
2,529 |
|
$155,559 |
|
Diamondback Energy, Inc. |
|
761 |
|
104,090 |
|
Ecopetrol S.A. - ADR |
|
6,489 |
|
67,940 |
|
Eni S.p.A - ADR |
|
6,092 |
|
174,597 |
|
EOG Resources, Inc. |
|
2,137 |
|
276,784 |
|
EQT Corp. |
|
1,483 |
|
50,170 |
|
Equinor ASA - ADR |
|
10,837 |
|
388,073 |
|
Exxon Mobil Corp. |
|
16,157 |
|
1,782,117 |
|
Gazprom PJSC - ADR (1) |
|
11,925 |
|
0 |
|
Hess Corp. |
|
1,108 |
|
157,137 |
|
Imperial Oil Ltd. |
|
2,514 |
|
122,365 |
|
Inpex Corp. |
|
5,704 |
|
60,349 |
|
LUKOIL PJSC - ADR (1) |
|
818 |
|
0 |
|
Marathon Oil Corp. |
|
2,524 |
|
68,325 |
|
Novatek PJSC - GDR (1) |
|
329 |
|
0 |
|
Occidental Petroleum Corp. |
|
3,311 |
|
208,560 |
|
OMV AG |
|
1,125 |
|
57,751 |
|
Pioneer Natural Resources Co. |
|
935 |
|
213,545 |
|
Repsol S.A. |
|
6,148 |
|
97,437 |
|
Rosneft Oil Co PJSC - GDR (1) |
|
10,479 |
|
0 |
|
Santos Ltd. - ADR |
|
14,626 |
|
71,375 |
|
Shell PLC - ADR |
|
12,821 |
|
730,156 |
|
Suncor Energy, Inc. |
|
5,721 |
|
181,348 |
|
Total S.A. - ADR |
|
10,100 |
|
627,008 |
|
Tourmaline Oil Corp. |
|
917 |
|
46,237 |
|
Woodside Energy Group Ltd. |
|
7,894 |
|
189,721 |
|
|
|
|
|
8,708,893 |
|
Water — 0.3% |
|
|
|
|
|
American Water Works Co., Inc. |
|
1,343 |
|
204,700 |
|
Essential Utilities, Inc. |
|
1,792 |
|
85,532 |
|
Veolia Environnement S.A. |
|
4,979 |
|
127,532 |
|
|
|
|
|
417,764 |
|
Total Common Stocks |
|
|
|
|
|
(Cost $25,307,448) |
|
|
|
24,791,942 |
|
|
|||||
Exchange Traded Funds — 25.7% |
|
|
| ||
Vanguard FTSE Developed Markets ETF |
|
70,090 |
|
2,941,677 |
|
Vanguard FTSE Emerging Markets ETF |
|
149,317 |
|
5,820,377 |
|
Vanguard Extended Market ETF |
|
28,651 |
|
3,806,572 |
|
SPDR Gold MiniShares Trust (2) |
|
488,228 |
|
17,668,971 |
|
Total Exchange Traded Funds |
|
|
|
|
|
(Cost $30,568,342) |
|
|
|
30,237,597 |
|
|
|
Principal Amount |
|
Value |
|
United States Treasury Obligations — 49.4% |
| ||||
|
|||||
United States Treasury Inflation Indexed Bonds — 49.4% |
| ||||
2.125%, 2/15/2040 |
|
$1,118,199 |
|
$1,185,514 |
|
2.125%, 2/15/2041 |
|
5,979,531 |
|
6,344,384 |
|
0.750%, 2/15/2042 |
|
7,315,772 |
|
6,134,575 |
|
0.625%, 2/15/2043 |
|
7,848,552 |
|
6,344,189 |
|
1.375%, 2/15/2044 |
|
7,741,250 |
|
7,201,823 |
|
0.750%, 2/15/2045 |
|
8,033,648 |
|
6,509,497 |
|
1.000%, 2/15/2046 |
|
6,416,938 |
|
5,460,277 |
|
0.875%, 2/15/2047 |
|
6,370,278 |
|
5,232,696 |
|
1.000%, 2/15/2048 |
|
6,310,787 |
|
5,322,254 |
|
1.000%, 2/15/2049 |
|
4,014,777 |
|
3,362,670 |
|
0.250%, 2/15/2050 |
|
3,922,564 |
|
2,651,544 |
|
0.125%, 2/15/2051 |
|
1,833,729 |
|
1,184,023 |
|
0.125%, 2/15/2052 |
|
1,990,134 |
|
1,292,333 |
|
|
|||||
Total United States Treasury Obligations |
|
|
| ||
(Cost $61,331,986) |
|
|
|
58,225,779 |
|
|
|
Shares |
|
|
|
Short-Term Investments — 1.1% |
|
|
| ||
|
|||||
Money Market Funds — 1.1% |
|
|
|
|
|
First American Government Obligations Fund, Class X, |
|
1,298,541 |
|
1,298,541 |
|
Total Short-Term Investments |
|
|
|
|
|
(Cost $1,298,541) |
|
|
|
1,298,541 |
|
|
|||||
Total Investments in Securities — 97.3% |
|
|
| ||
(Cost $118,506,317) |
|
|
|
114,553,859 |
|
Other Assets in Excess of Liabilities — 2.7% |
|
3,140,629 |
| ||
Total Net Assets — 100.0% |
|
|
|
$117,694,488 |
|
ADRAmerican Depositary Receipt
GDRGlobal Depositary Receipt
(1)The security is fair valued by the Valuation Designee (See Note 2).
(2)Non-income producing security.
(3)The rate shown is the annualized seven-day effective yield as of December 31, 2022.
SCHEDULE OF INVESTMENTS at December 31, 2022 (Continued) |
UPAR Ultra Risk Parity ETF
14 |
The accompanying notes are an integral part of these financial statements. |
The UPAR Ultra Risk Parity ETF had the following futures contracts outstanding with PhillipCapital Inc.
Long Futures |
|
Number
of |
|
Notional |
|
Unrealized |
|
Notional |
|
CME Group E-Mini S&P 500 Index Future (3/17/2023) |
|
848 |
|
$17,187,111 |
|
$(816,471 |
) |
$16,370,640 |
|
MSCI Emerging Markets Index Future (3/17/2023) |
|
140 |
|
6,872,466 |
|
(156,666 |
) |
6,715,800 |
|
MSCI EAFE Index Future (3/17/2023) |
|
56 |
|
5,643,536 |
|
(185,216 |
) |
5,458,320 |
|
10-Year U.S. Treasury Note Future (3/22/2023) |
|
265 |
|
30,179,611 |
|
(420,939 |
) |
29,758,672 |
|
Ultra Long-Term U.S. Treasury Bond Future (3/22/2023) |
|
220 |
|
30,756,478 |
|
(1,207,728 |
) |