|
|
Annual
Report | |
www.ASYMshares.com |
December
31, 2021 |
1. |
Strengthened Brand: We changed the name
of ASPY to the ASYMsharesTM ASYMmetric S&P 500 ®
ETF, as a result of a licensing agreement we entered into
with S&P Global. | |
2. |
Award
Nominations: ASYMmetric ETFsTM was a finalist in the Fund
Intelligence Mutual Fund and ETF Industry Awards in two categories: ASPY
as Newcomer Alternative ETF of 2021 and ASYMmetric ETFsTM as Newcomer ETF
Sponsor of 2021. | |
3. |
Exceeded
Expectations: ASPY captured 81% of the upside of the S&P 500
®
in 2021 exceeding its goal of 75% upside capture in a Risk-On
Environment. | |
4. |
Tax-Efficient Returns: ASPY generated no
capital gains in 2021. | |
5. |
Spectacular Growth: ASPY assets grew by
an amazing 16x in 2021. |
Since | |
As
of 12/31/21 |
Inception *
|
ASYMmetric
S&P 500 ®
ETF – (Market) |
19.6%
|
ASYMmetric
S&P 500 ®
ETF – (NAV) |
19.1%
|
S&P
500 ®
TR Index |
24.4%
|
Capture
Ratio |
81% |
*
Inception date 3/9/21; Expense ratio 0.95%
|
Days Down |
Days Up | |
3/9/21
- 12/31/21 |
<-1% |
>1% |
ASYMmetric
S&P 500 ®
ETF – (Market) |
5 |
12 |
S&P
500 ®
TR Index |
15 |
26 |
Capture
Ratio |
33% |
46%
|
Since Inception (1)
| |
ASYMsharesTM ASYMmetric S&P 500 ®
ETF – Market |
19.64% |
ASYMsharesTM ASYMmetric S&P 500 ®
ETF – NAV |
19.09% |
S&P 500 ®
Index (2)
|
24.38% |
(1) |
March 9, 2021. |
(2) |
The Standard & Poor’s 500 Index
(S&P 500 ®
) is an unmanaged, capitalization-weighted index generally
representative of the U.S. market for large capitalization stocks.
This Index cannot be invested in directly. |
Beginning
|
Ending
|
Expenses
Paid | |
Account
Value |
Account
Value |
During
Period (1)
| |
(07/01/2021)
|
(12/31/2021)
|
(07/01/2021
– 12/31/2021) | |
Actual (2)
|
$1,000.00 |
$1,089.50 |
$5.00 |
Hypothetical (5% annual return before expenses) |
$1,000.00 |
$1,020.42 |
$4.84 |
(1) |
Expenses are equal to the Fund’s
annualized expense ratio for the period since inception of 0.95%,
multiplied by the average account value over the period, multiplied by
184/365 to reflect the period since inception. |
(2) |
Based on the actual returns for the
six-month period ended December 31, 2021 of 8.95%.
|
Newmont Corp. |
2.7 |
% | |||
Digital Realty Trust, Inc. |
2.6 |
% | |||
American Electric Power Company, Inc.
|
2.5 |
% | |||
Coterra Energy, Inc. |
2.4 |
% | |||
MarketAxess Holdings, Inc. |
2.4 |
% | |||
Vertex Pharmaceuticals, Inc. |
2.3 |
% | |||
Baxter International, Inc. |
2.3 |
% | |||
Progressive Corp. |
2.3 |
% | |||
Activision Blizzard, Inc. |
2.2 |
% | |||
Berkshire Hathaway, Inc. |
2.2 |
% |
(1) |
Fund holdings and sector allocations are
subject to change at any time and are not recommendations to buy or sell
any security. |
Shares
|
Value
|
|||||||
COMMON
STOCKS – 99.6% |
||||||||
Communication
Services – 10.2% |
||||||||
Activision Blizzard, Inc. |
8,033 |
$ |
534,435 |
|||||
Electronic Arts, Inc. |
3,792 |
500,165 |
||||||
Netflix, Inc. (a) |
734 |
442,191 |
||||||
Take-Two Interactive Software, Inc. (a) |
2,819 |
500,993 |
||||||
Verizon Communications, Inc. |
9,301 |
483,280 |
||||||
2,461,064 |
||||||||
Consumer Discretionary – 12.9% |
||||||||
Amazon.com, Inc. (a) |
121 |
403,455 |
||||||
Dollar General Corp. |
1,933 |
455,859 |
||||||
Dollar Tree, Inc. (a) |
3,197 |
449,243 |
||||||
Domino’s Pizza, Inc. |
816 |
460,493 |
||||||
McDonald’s Corp. |
1,748 |
468,586 |
||||||
Target Corp. |
1,755 |
406,177 |
||||||
Tractor Supply Co. |
1,883 |
449,284 |
||||||
3,093,097 |
||||||||
Consumer Staples – 5.8% |
||||||||
Clorox Co. |
2,596 |
452,639 |
||||||
Hormel Foods Corp. |
10,134 |
494,641 |
||||||
Kroger Co. |
10,098 |
457,035 |
||||||
1,404,315 |
||||||||
Energy – 2.4% |
||||||||
Coterra Energy, Inc. |
30,527 |
580,013 |
||||||
Financials – 11.0% |
||||||||
Berkshire Hathaway, Inc. (a) |
1,774 |
530,426 |
||||||
Cboe Global Markets, Inc. |
3,817 |
497,737 |
||||||
Intercontinental Exchange, Inc. |
3,753 |
513,298 |
||||||
MarketAxess Holdings, Inc. |
1,387 |
570,431 |
||||||
Progressive Corp. |
5,305 |
544,558 |
||||||
2,656,450 |
||||||||
Healthcare
– 12.9% |
||||||||
Baxter International, Inc. |
6,464 |
554,870 |
||||||
Becton Dickinson and Co. |
2,032 |
511,007 |
||||||
Gilead Sciences, Inc. |
7,059 |
512,554 |
||||||
Merck & Co., Inc. |
6,491 |
497,470 |
||||||
Regeneron Pharmaceuticals, Inc. (a) |
751 |
474,272 |
||||||
Vertex Pharmaceuticals, Inc. (a) |
2,569 |
564,152 |
||||||
3,114,325 |
Shares
|
Value
|
|||||||
Industrials
– 7.8% |
||||||||
C.H. Robinson Worldwide, Inc. |
4,684 |
$ |
504,139 |
|||||
Carrier Global Corp. |
8,193 |
444,388 |
||||||
Otis Worldwide Corp. |
5,472 |
476,447 |
||||||
Rollins, Inc. |
13,324 |
455,814 |
||||||
1,880,788 |
||||||||
Information Technology #
– 28.8% |
||||||||
Adobe, Inc. (a) |
663 |
375,961 |
||||||
Akamai Technologies, Inc. (a) |
3,949 |
462,191 |
||||||
Broadridge Financial Solutions, Inc. |
2,639 |
482,462 |
||||||
Cisco Systems Inc. |
8,054 |
510,382 |
||||||
Citrix Systems, Inc. |
5,493 |
519,583 |
||||||
F5, Inc. (a) |
1,955 |
478,408 |
||||||
Jack Henry & Associates, Inc. |
2,932 |
489,615 |
||||||
Keysight Technologies, Inc. (a) |
2,287 |
472,288 |
||||||
Microsoft Corp. |
1,345 |
452,350 |
||||||
NortonLifeLock, Inc. |
17,767 |
461,587 |
||||||
Oracle Corp. |
4,904 |
427,678 |
||||||
ServiceNow, Inc. (a) |
686 |
445,290 |
||||||
Tyler Technologies, Inc. (a) |
856 |
460,485 |
||||||
VeriSign, Inc. (a) |
1,854 |
470,582 |
||||||
Xilinx, Inc. |
1,948 |
413,034 |
||||||
6,921,896 |
||||||||
Materials
– 2.7% |
||||||||
Newmont Corp. |
10,376 |
643,520 |
||||||
Real Estate – 2.6% |
||||||||
Digital Realty Trust, Inc. |
3,572 |
631,780 |
||||||
Utilities – 2.5% |
||||||||
American Electric Power Company, Inc. |
6,660 |
592,540 |
||||||
Total
Common Stocks |
||||||||
(Cost
$22,896,223) |
23,979,788 |
Shares
|
Value
|
|||||||
SHORT-TERM
INVESTMENT – 0.4% |
||||||||
First American Treasury Obligations Fund, Class X, 0.01%^ |
||||||||
(Cost $90,377) |
90,377 |
$ |
90,377 |
|||||
Total Investments – 100.0% |
||||||||
(Cost $22,986,600) |
24,070,165 |
|||||||
Other
Assets and Liabilities, Net – 0.0% |
(4,717 |
) | ||||||
Total
Net Assets – 100.0% |
$ |
24,065,448 |
(a) |
Non-income producing security.
|
# |
The Fund is significantly invested in
this sector and therefore is subject to additional risks. The information
technology sector may be more sensitive to short product cycles,
competition and more aggressive pricing than the overall market.
|
^ |
The rate shown is the annualized seven
day effective yield as of December 31, 2021. |
Number
of |
Notional
|
Value/Unrealized
| ||
Description
|
Contracts
Sold |
Expiration
Date |
Amount
|
Depreciation
|
CME E-Mini S&P 500 Index |
34 |
March 2022 |
$808,945 |
$(11,941) |
ASSETS: |
||||
Investments, at fair value |
||||
(cost $22,986,600) |
$ |
24,070,165 |
||
Cash held as collateral for futures contracts |
48,860 |
|||
Dividends & interest receivable |
14,929 |
|||
Total assets |
24,133,954 |
|||
LIABILITIES: |
||||
Payable for dividends |
50,504 |
|||
Payable to Adviser |
18,002 |
|||
Total liabilities |
68,506 |
|||
NET ASSETS |
$ |
24,065,448 |
||
NET ASSETS CONSIST OF: |
||||
Capital stock |
$ |
23,155,180 |
||
Total distributable earnings |
910,268 |
|||
Net Assets |
$ |
24,065,448 |
||
Shares issued and outstanding (1)
|
810,000 |
|||
Net asset value, redemption price and offering price per share
|
$ |
29.71 |
(1) |
Unlimited shares authorized.
|
INVESTMENT INCOME: |
||||
Dividend and interest income |
$ |
121,227 |
||
Total investment income |
121,227 |
|||
EXPENSES:
|
||||
Advisory fees (See Note 6) |
76,551 |
|||
Total expenses |
76,551 |
|||
NET INVESTMENT INCOME |
44,676 |
|||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: |
||||
Net realized gain on investments |
601,053 |
|||
Net realized loss on futures contracts |
(57,199 |
) | ||
Net change in unrealized appreciation/depreciation of investments
|
1,083,565 |
|||
Net change in unrealized appreciation/depreciation of futures
contracts |
(11,941 |
) | ||
Net realized and unrealized gain on investments |
1,615,478 |
|||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
$ |
1,660,154 |
(1) |
Inception date of the Fund.
|
Period
from |
||||
March
9, 2021 (1)
to |
||||
December
31, 2021 |
||||
OPERATIONS |
||||
Net investment income |
$ |
44,676 |
||
Net realized gain on investments |
601,053 |
|||
Net realized loss on futures contracts |
(57,199 |
) | ||
Net change in unrealized appreciation/depreciation of investments
|
1,083,565 |
|||
Net change in unrealized appreciation/depreciation of futures
contracts |
(11,941 |
) | ||
Net increase in net assets resulting from operations |
1,660,154 |
|||
CAPITAL SHARE TRANSACTIONS |
||||
Proceeds from shares sold |
26,711,100 |
|||
Payments for shares redeemed |
(4,355,302 |
) | ||
Net increase in net assets resulting from capital share transactions
|
22,355,798 |
|||
DISTRIBUTIONS TO SHAREHOLDERS |
(50,504 |
) | ||
Total Increase in Net Assets |
23,965,448 |
|||
NET ASSETS |
||||
Beginning of period |
100,000 |
|||
End of period |
$ |
24,065,448 |
||
TRANSACTIONS IN SHARES |
||||
Shares sold |
960,000 |
|||
Shares redeemed |
(154,000 |
) | ||
Net increase |
806,000 |
|||
Shares Outstanding: |
||||
Beginning of period |
4,000 |
|||
End of period |
810,000 |
(1) |
Inception date of the Fund.
|
Period
from |
||||
March
9, 2021 (1)
to |
||||
December
31, 2021 |
||||
PER COMMON SHARE DATA: (2)
|
||||
Net asset value, beginning of period |
$ |
25.00 |
||
INVESTMENT OPERATIONS: |
||||
Net investment income |
0.05 |
|||
Net realized and unrealized gain on investments |
4.72 |
|||
Total from investment operations |
4.77 |
|||
LESS DISTRIBUTIONS FROM: |
||||
Net investment income |
(0.06 |
) | ||
Net realized gains |
— |
|||
Total distributions |
(0.06 |
) | ||
Net asset value, end of period |
$ |
29.71 |
||
TOTAL RETURN (3)
|
19.09 |
% | ||
SUPPLEMENTAL DATA AND RATIOS |
||||
Net assets, end of period (in 000’s) |
$ |
24,065 |
||
Ratios to average net assets: |
||||
Expenses
(4)
|
0.95 |
% | ||
Net
investment income (4)
|
0.55 |
% | ||
Portfolio turnover rate (3)(5)
|
41 |
% |
(1) |
Inception date of the Fund. |
(2) |
For a Fund share outstanding for the
entire period. |
(3) |
Not annualized. |
(4) |
Annualized. |
(5) |
Excludes the impact of in-kind
transactions. |
Level 1 – |
Quoted prices in active markets for
identical assets or liabilities. |
Level 2 – |
Observable inputs other than quoted
prices included in Level 1. These inputs may include quoted prices
for similar instruments, interest rates, prepayment speeds, credit risk,
yield curves, default rates and similar data. |
Level 3 – |
Significant unobservable inputs for the
asset or liability, representing the Fund’s view of assumptions a market
participant would use in valuing the asset or liability.
|
Level
1 |
Level
2 |
Level
3 |
Total
|
|||||||||||||
Common stock |
$ |
23,979,788 |
$ |
— |
$ |
— |
$ |
23,979,788 |
||||||||
Short-term investment |
90,377 |
— |
— |
90,377 |
||||||||||||
Total investments in securities |
$ |
24,070,165 |
$ |
— |
$ |
— |
$ |
24,070,165 |
||||||||
As of December 31, 2021, the Fund’s investments in other financial
instruments* were classified as follows: |
||||||||||||||||
Short Futures Contracts |
$ |
(11,941 |
) |
$ |
— |
$ |
— |
$ |
(11,941 |
) | ||||||
Total investments in securities |
$ |
(11,941 |
) |
$ |
— |
$ |
— |
$ |
(11,941 |
) |
* |
Other financial instruments are
derivative instruments not reflected in the Schedule of Investments, such
as futures contracts. Futures are presented at the unrealized appreciation
(depreciation) on the instruments. |
Fund
|
Short
Futures Contracts |
|
ASYMsharesTM ASYMmetric S&P 500 ®
ETF |
$367,490 |
Assets
|
Liabilities
| |||
Derivatives
not accounted for as |
||||
hedging
instruments under ASC 815 |
Location
|
Fair
Value |
Location
|
Fair
Value |
Net Assets – |
Net Assets – |
|||
unrealized appreciation |
unrealized depreciation |
|||
Equity Contracts – Futures |
on futures contracts** |
$
— |
on futures contracts** |
$11,941
|
** |
Includes cumulative
appreciation/depreciation on futures contracts as reported in the Schedule
of Open Futures Contracts. Cash held as collateral for futures contracts
on the Statement of Assets and Liabilities includes the daily change in
variation margin as of December 31, 2021. |
Amount
of Realized Gain (Loss) on Derivatives |
||
Derivatives
not accounted for as |
||
hedging
instruments under ASC 815 |
Futures
Contracts |
|
Equity Contracts |
$(57,199) |
|
Change
in Unrealized Appreciation or (Depreciation) on Derivatives |
||
Derivatives
not accounted for as |
||
hedging
instruments under ASC 815 |
Futures
Contracts |
|
Equity Contracts |
$(11,941) |
Gross
|
Net
Amounts |
Gross
Amounts not |
||||||||||||||||||||||
Amounts
|
of
Assets |
offset
in Statement |
||||||||||||||||||||||
Offset
in |
Presented
in |
of
Assets and Liabilities |
||||||||||||||||||||||
Gross
|
Statement
|
Statement
|
Cash
|
|||||||||||||||||||||
Amounts
|
of
Assets |
of
Assets |
Financial
|
Collateral
|
Net
|
|||||||||||||||||||
Recognized
|
and
Liabilities |
and
Liabilities |
Instruments
|
Pledged
|
Amount
|
|||||||||||||||||||
Assets: |
||||||||||||||||||||||||
Equity Contracts |
||||||||||||||||||||||||
(Futures Contracts – |
||||||||||||||||||||||||
Phillips Capital) |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
||||||||||||
Liabilities: |
||||||||||||||||||||||||
Equity Contracts |
||||||||||||||||||||||||
(Futures Contracts – |
||||||||||||||||||||||||
Phillips Capital) |
$ |
11,941 |
$ |
— |
$ |
11,941 |
$ |
— |
$ |
11,941 |
$ |
— |
Purchases
|
Sales
|
||
ASYMsharesTM ASYMmetric S&P 500 ®
ETF |
$4,670,569 |
$4,453,148 |
Purchases
|
Sales
|
||
ASYMsharesTM ASYMmetric S&P 500 ®
ETF |
$26,312,039 |
$4,227,693 |
ASYMsharesTM ASYMmetric S&P 500 ®
ETF |
$711,979
|
Cost of Investments |
$ |
23,087,561 |
||
Gross tax unrealized appreciation
|
$ |
1,505,688 |
||
Gross tax unrealized depreciation
|
(523,084 |
) | ||
Net unrealized appreciation |
982,604 |
|||
Undistributed ordinary income |
— |
|||
Undistributed long-term capital gain
|
— |
|||
Other accumulated loss |
(72,336 |
) | ||
Distributable earnings |
$ |
910,268 |
2021 |
||||
Ordinary Income |
$ |
50,504 |
||
Long-Term Capital Gain |
— |
|||
Return of Capital |
— |
Term
of |
|||||
Office
|
Number
of |
Other
| |||
Name,
|
and
|
Portfolios
|
Principal
|
Directorships
| |
Address
|
Position(s)
|
Length
|
in
Trust |
Occupation(s)
|
Held
by Trustee |
and
Year |
Held
with |
of
Time |
Overseen
|
During
the Past |
During
the Past |
of
Birth |
the
Trust |
Served
|
by
Trustee |
Five
Years |
5
Years |
Independent
Trustees | |||||
Vivienne Hsu |
Trustee |
Term |
1 |
LENDonate, Inc., |
None |
158 East 126th |
Unlimited; |
Founder & CEO |
|||
Street, Suite 304, |
Since |
||||
New York, NY 10035 |
January 2021 |
||||
Year of Birth: 1968 |
|||||
Winston I. Lowe |
Trustee |
Term |
1 |
Lowe and Associates LLC, |
Haverford Trust |
158 East 126th |
Unlimited; |
Managing Partner |
Company; Impact | ||
Street, Suite 304, |
Since |
Shares ETF | |||
New York, NY 10035 |
January 2021 |
||||
Year of Birth: 1951 |
|||||
Suzanne Siracuse |
Trustee |
Term |
1 |
Suzanne Siracuse |
None |
158 East 126th |
Unlimited; |
Consulting Services, LLC, |
|||
Street, Suite 304, |
Since |
Founder & CEO |
|||
New York, NY 10035 |
January 2021 |
(August 2019 – Present); |
|||
Year of Birth: 1965 |
Investment News, Publisher |
||||
(March 1996 – August 2019) |
|||||
William Thomas |
Trustee |
Term |
1 |
Wedgewood Partners, Inc., |
Aberdeen Standard |
158 East 126th |
Unlimited; |
President |
ETF Trust | ||
Street, Suite 304, |
Since |
||||
New York, NY 10035 |
January 2021 |
||||
Year of Birth: 1962 |
|||||
Interested Trustee | |||||
Darren Schuringa |
Chairman |
Indefinite |
1 |
ASYMmetric ETFs, LLC, |
None |
158 East 126th |
and Trustee; |
Term; Since |
President & CEO |
||
Street, Suite 304, |
President and |
August 2020 |
(November 2017 – Present); |
||
New York, NY 10035 |
Principal |
Yorkville Capital Management, |
|||
Year of Birth: 1967 |
Executive |
Founder & CEO (2006 – Present) |
|||
Officer |
Term
of |
|||||
Office
|
Number
of |
Other
| |||
Name,
|
and
|
Portfolios
|
Principal
|
Directorships
| |
Address
|
Position(s)
|
Length
|
in
Trust |
Occupation(s)
|
Held
by Trustee |
and
Year |
Held
with |
of
Time |
Overseen
|
During
the Past |
During
the Past |
of
Birth |
the
Trust |
Served
|
by
Trustee |
Five
Years |
5
Years |
Officers | |||||
Aaron Berson |
Treasurer, |
Since |
N/A |
Fringe Advisory Co LLC, |
N/A |
158 East 126th |
Principal |
January 2021 |
Founder and CEO |
||
Street, Suite 304, |
Financial |
(August 2019 – Present); |
|||
New York, NY 10035 |
Officer and |
Gettry Marcus, Managing |
|||
Year of Birth: 1987 |
Chief |
Director of VRTL |
|||
Financial |
(January 2019 – August 2019); |
||||
Officer |
EisnerAmper, Senior |
||||
Manager (November 2010 – |
|||||
December 2018) |
|||||
Scott J. Clark |
Secretary, |
Secretary |
N/A |
ASYMmetric ETFs, LLC, |
N/A |
158 East 126th |
Anti-Money |
(Since |
Managing Director |
||
Street, Suite 304, |
Laundering |
August 2020); |
(March 2018 – Present); |
||
New York, NY 10035 |
Officer and |
Anti-Money |
Ogg Trading, Managing |
||
Year of Birth: 1967 |
Chief Legal |
Laundering |
Director (June 2014 – |
||
Officer |
Officer and |
March 2018) |
|||
Chief Legal |
|||||
Officer (Since |
|||||
February 2021) |
|||||
Douglas N. Tyre |
Chief |
Since |
N/A |
Cipperman Compliance |
N/A |
158 East 126th |
Compliance |
January 2021 |
Services, LLC, Compliance |
||
Street, Suite 304, |
Officer |
Director (July 2019 – Present); |
|||
New York, NY 10035 |
Assistant Compliance Director |
||||
Year of Birth: 1981 |
(January 2018 – June 2019); |
||||
Manager (April 2014 – |
|||||
December 2017) |
|||||
Benjamin Eirich |
Assistant |
Since |
N/A |
Assistant Vice President, |
N/A |
158 East 126th |
Treasurer |
January 2021 |
U.S. Bancorp Fund Services, LLC |
||
Street, Suite 304, |
and Assistant |
(2008 – Present) |
|||
New York, NY 10035 |
Secretary |
||||
Year of Birth: 1981 |
|
|