Prospectus
iMGP DBi Managed Futures Strategy ETF (DBMF) (formerly, iM DBi Managed Futures
Strategy ETF)
Listed
on the NYSE Arca under the symbol “DBMF”
iMGP DBi Hedge Strategy ETF (DBEH) (formerly, iM DBi Hedge Strategy
ETF)
Listed
on the NYSE Arca under the symbol “DBEH”
April 29,
2022
These
securities have not been approved or disapproved by the U.S. Securities and
Exchange Commission (“SEC”) or the Commodity Futures Trading Commission
(“CFTC”), nor has the SEC or the CFTC judged whether the information in this
Prospectus is accurate or adequate. Any representation to the contrary is a
criminal offense.
Paper
copies of the Funds’ annual and semi-annual shareholder reports will no longer
be sent by mail, unless you specifically request paper copies of the reports.
Instead, the reports will be made available on the Funds’ website
(www.imgpfunds.com), and you will be notified by mail each time a report is
posted and provided with a website link to access the report.
You
may elect to receive all future reports in paper free of charge. If you invest
through a financial intermediary, you can contact your financial intermediary to
request that you receive paper copies of your reports. If you invest directly
with the Trust, you can call 1‑800‑960‑0188. Your election to receive
reports in paper will apply to all Funds in the Trust or held with your
financial intermediary.
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iMGP
DBi Managed Futures Strategy ETF
Summary
Section
Investment
Objective
The
iMGP DBi Managed Futures Strategy ETF (the “Fund”) seeks long-term capital
appreciation.
Fees
and Expenses of the Fund
This
table describes the fees and expenses that you may pay if you buy, hold and sell
shares of the Fund. You may pay other fees, such as brokerage commissions and
other fees to financial intermediaries, which are not reflected in the table and
example below.
Annual
Operating Expenses (expenses that you pay each year as a percentage of the value
of your investment)
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Management
Fees |
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0.85% |
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Distribution
and/or Service (12b‑1) Fees |
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0.00% |
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Interest
and Dividend Expenses |
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0.10% |
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Total
Annual Fund Operating Expenses |
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0.95% |
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Example
This
example is intended to help you compare the cost of investing in the Fund with
the cost of investing in other mutual funds. The example assumes that you
invest $10,000 in the Fund for the time periods indicated and then redeem all of
your shares at the end of those periods. The example also assumes that your
investment has a 5% return each year and that the Fund’s operating expenses
remain the same. Although your actual costs may be higher or lower, based
on these assumptions your costs would be:
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One Year |
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Three Years |
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Five Years |
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Ten Years |
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$97 |
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$ |
303 |
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$ |
525 |
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$ |
1,166 |
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Portfolio
Turnover
The
Fund pays transaction costs, such as commissions, when it buys and sells
securities (or “turns over” its portfolio). A higher portfolio turnover
rate may indicate higher transaction costs and may result in higher taxes when
shares of the Fund are held in a taxable account as compared to shares of
investment companies that hold investments for a longer period. These
costs, which are not reflected in annual fund operating expenses or in the
example, affect the Fund’s performance.
Because
amounts relating to derivatives and securities whose maturities or expiration
dates at the time of acquisition were one year or less are excluded from the
portfolio turnover calculation and these are the only types of instruments held
by the Fund, the Fund did not report a portfolio turnover rate during the fiscal
year ended December 31, 2021.
Principal
Strategies
The
Fund is a non‑diversified, actively-managed exchange-traded fund (“ETF”) that
seeks to achieve its objective by: (i) investing
its
assets
pursuant to a managed futures strategy (described below); (ii) allocating up to
20% of its total assets in its wholly-owned subsidiary (the “Subsidiary”), which
is organized under the laws of the Cayman Islands, is advised by the Sub‑Advisor
(as defined herein), and will comply with the Fund’s investment objective and
investment policies; and (iii) investing directly in select debt
instruments for cash management and other
purposes.
The
Fund’s managed futures strategy employs long and short positions in derivatives,
primarily futures contracts and forward contracts, across the broad asset
classes of equities, fixed income, currencies and, through the Subsidiary,
commodities. Fund positions in those contracts are determined based on a
proprietary, quantitative model – the Dynamic Beta Engine – that seeks to
identify the main drivers of performance by approximating the current asset
allocation of a selected pool of the largest commodity trading advisor hedge
funds (“CTA hedge funds”), which are hedge funds that use futures or forward
contracts to achieve their investment objectives. The Dynamic Beta Engine
analyzes recent (i.e., trailing 60‑day) performance of CTA hedge funds in order
to identify a portfolio of liquid financial instruments that closely reflects
the estimated current asset allocation of the selected pool of CTA hedge funds,
with the goal of simulating the performance, but not the underlying positions,
of those funds. Based on this analysis, the Fund will invest in an optimized
portfolio of long and short positions in domestically-traded, liquid derivative
contracts.
The
Dynamic Beta Engine uses data sourced from (1) publicly available U.S.
futures market data obtained and cross-checked through multiple common
subscription pricing sources, and (2) public CTA hedge fund indexes
obtained through common subscription services and cross-checked with publicly
available index information. The Sub‑Advisor relies exclusively on the Dynamic
Beta Engine and does not have discretion to override the model-determined asset
allocation or portfolio weights. The Sub‑Advisor will periodically review
whether instruments should be added to or removed from the model in order to
improve the model’s efficiency. The model’s asset allocation is limited to asset
classes that are traded on U.S.-based exchanges. Based on this analysis, the
Fund will invest in an optimized portfolio of long and short positions in
domestically-traded, liquid derivative contracts selected from a pool of the
most liquid derivative contracts, as determined by the
Sub‑Advisor.
Futures
contracts and forward contracts are contractual agreements to buy or sell a
particular currency, commodity or financial instrument at a pre‑determined price
in the future. The Fund takes long positions in derivative contracts that
provide exposure to various asset classes, sectors and/or markets that the Fund
expects to rise in value, and takes short positions in asset classes, sectors
and/or markets that the Fund expects to fall in value. The Fund expects to limit
its investments to highly-liquid, domestically-traded contracts that the
Sub‑Advisor believes exhibit the highest correlation to what the Sub‑Advisor
perceives to be the core positions of the target hedge funds. Such core
positions are generally long and short positions in domestically-traded
derivative contracts viewed as highly liquid by the Sub‑Advisor. Agreeing to buy
the underlying instrument is called
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Litman
Gregory Funds Trust |
buying
a futures contract or taking a long position in the contract. Likewise, agreeing
to sell the underlying instrument is called selling a futures contract or taking
a short position in the contract.
The
Fund may have gross notional exposure, which is defined as the sum of the
notional exposure of both long and short derivative positions across the Fund,
that approximates the current asset allocation and matches the risk profile of a
diversified pool of the largest CTAs. The Investment Company Act of 1940, as
amended (the “1940 Act”), and the rules and interpretations thereunder, impose
certain limitations on the Fund’s ability to use leverage. Under normal market
conditions, the Sub‑Advisor will seek to achieve Fund volatility of 8‑10% on an
annual basis, which refers to the approximate maximum amount of expected gains
or losses during a given year expressed as a percentage of
value.
The
Sub‑Advisor will, in an effort to reduce certain risks (e.g., volatility of returns), limit the Fund’s
gross notional exposure on certain futures contracts whose returns are expected
to be particularly volatile. In addition to these specific exposure limits, the
Sub‑Advisor will use quantitative methods to assess the level of risk for the
Fund.
The
Fund intends to gain exposure to commodities through its investments in the
Subsidiary and may invest up to 20% of its total assets in the Subsidiary.
Generally, the Subsidiary will invest primarily in commodity futures, but it may
also invest in financial futures, fixed income securities, pooled investment
vehicles, including those that are not registered with the SEC under the 1940
Act, and other investments intended to serve as margin or collateral for the
Subsidiary’s derivative positions. Unlike the Fund, the Subsidiary may invest
without limitation in commodity-linked derivative instruments; however, the
Subsidiary complies with the same 1940 Act asset coverage requirements with
respect to its investments in commodity-linked derivatives that are applicable
to the Fund’s transactions in derivatives. In addition, to the extent applicable
to the investment activities of the Subsidiary, the Subsidiary will be subject
to the same fundamental investment restrictions and will follow the same
compliance policies and procedures as the Fund. Unlike the Fund, the Subsidiary
will not seek to qualify as a regulated investment company (“RIC”) under
Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). The
Fund is the sole investor in the Subsidiary and does not expect shares of the
Subsidiary to be offered or sold to other
investors.
In
addition to its use of futures and investment in the Subsidiary, the Fund
expects, under normal circumstances, to invest a large portion of the portfolio
in debt securities in order to collateralize its derivative investments, for
liquidity purposes, or to enhance yield. The Fund may hold fixed income
instruments of varying maturities, but that have an average duration of less
than one year. In particular, the Fund may hold government money market
instruments, such as U.S. Treasury securities and U.S. government agency
discount notes and bonds with maturities of two years or
less.
Since
the Fund is non‑diversified, it may invest a greater percentage of its assets in
a particular investment or issuer than a diversified
fund.
Principal
Risks
As with any investment, it is possible to lose money on
an investment in the Fund. An investment in the Fund is not a
deposit of any bank and is not guaranteed, endorsed or insured by any financial
institution, government authority or the Federal Deposit Insurance Corporation
(FDIC). The following risks could affect the value of your
investment. Each risk summarized below is considered a “principal risk” of
investing in the Fund, regardless of the order in which it appears. Some or all
of these risks may adversely affect the Fund’s net asset value per share
(“NAV”), total return and/or ability to meet its
objective.
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Managed Futures Strategy Risk. In
seeking to achieve its investment objective, the Fund will utilize various
investment strategies that involve the use of complex investment
techniques, and there is no guarantee that these strategies will succeed.
The use of such strategies and techniques may subject the Fund to greater
volatility and loss. There can be no assurance that utilizing a certain
approach or model will achieve a particular level of return or reduce
volatility and loss. |
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Futures Contracts Risk. Futures contracts
have a high degree of price variability and are subject to occasional
rapid and substantial changes. There is an imperfect correlation between
the change in market value of the futures contracts and the market value
of the underlying instrument or reference assets with respect to such
contracts. Futures contracts pose the risk of a possible lack of a liquid
secondary market, resulting in the potential inability to close a futures
contract when desired. Futures contracts are also subject to risks related
to possible market disruptions or other extraordinary events, including
but not limited to, governmental intervention, and potentially unlimited
losses caused by unanticipated market movements. Futures contracts are
subject to the possibility that the counterparties to the contracts will
default in the performance of their obligations. If the Fund has
insufficient cash, it may either have to sell securities from its
portfolio to meet daily variation margin requirements with respect to its
futures contracts, or close certain positions at a time when it may be
disadvantageous to do so. The successful use of futures contracts draws
upon the Sub‑Advisor’s skill and experience with respect to such
instruments and is subject to special risk
considerations. |
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The
use of futures contracts, which are derivative instruments, will have the
economic effect of financial leverage. Financial leverage magnifies
exposure to the swings in prices of an asset class underlying an
investment and results in increased volatility, which means the Fund will
have the potential for greater losses than if the Fund did not employ
leverage in its investment activity. Leveraging tends to magnify,
sometimes significantly, the effect of any increase or decrease in the
Fund’s exposure to an asset class and may cause the value of the Fund’s
securities or related derivatives instruments to be volatile. There is no
assurance that the Fund’s investment in a futures contract with leveraged
exposure to certain investments and markets will enable the Fund to
achieve its investment
objective. |
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General Market Risk; Recent Market Events
Risk. The value of the Fund’s shares will fluctuate based on the
performance of the |
iMGP DBi Managed Futures Strategy ETF — (Continued)
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Fund’s investments and other factors
affecting the securities markets generally. Certain investments selected
for the Fund’s portfolio may be worth less than the price originally paid
for them, or less than they were worth at an earlier time. The value of
the Fund’s investments may go up or down, sometimes dramatically and
unpredictably, based on current market conditions, such as real or
perceived adverse political or economic conditions, inflation, changes in
interest rates, lack of liquidity in the fixed income markets or adverse
investor sentiment. |
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U.S.
and international markets have experienced volatility in recent months and
years due to a number of economic, political and global macro factors,
including the impact of the coronavirus (COVID‑19) global pandemic, which
has resulted in a public health crisis, business interruptions, growth
concerns in the U.S. and overseas, layoffs, rising unemployment claims,
changed travel and social behaviors and reduced consumer spending. The
effects of COVID‑19 may lead to a substantial economic downturn or
recession in the U.S. and global economies, the recovery from which is
uncertain and may last for an extended period of
time. |
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Derivatives Risk. Derivatives include
instruments and contracts that are based on, and are valued in relation
to, one or more underlying securities, financial benchmarks or indices,
such as futures swap agreements and forward contracts. Derivatives
typically have economic leverage inherent in their terms. The primary
types of derivatives in which the Fund or the Subsidiary invest are
futures contracts and forward contracts. Futures contracts and forward
contracts can be highly volatile, illiquid and difficult to value, and
changes in the value of such instruments held directly or indirectly by
the Fund may not correlate with the underlying instrument or reference
assets, or the Fund’s other investments. Although the value of futures
contracts and forward contracts depends largely upon price movements in
the underlying instrument or reference asset, there are additional risks
associated with futures contracts and forward contracts that are possibly
greater than the risks associated with investing directly in the
underlying instruments or reference assets, including illiquidity risk,
leveraging risk and counterparty credit risk. A small position in futures
contracts or forward contracts could have a potentially large impact on
the Fund’s performance. Trading restrictions or limitations may be imposed
by an exchange, and government regulations may restrict trading in futures
contracts and forward contracts. |
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Commodities Risk. Exposure to the
commodities markets (including financial futures markets) may subject the
Fund, through its investment in the Subsidiary, to greater volatility than
investments in traditional securities. Prices of commodities and related
contracts may fluctuate significantly over short periods for a variety of
reasons, including changes in interest rates, supply and demand
relationships and balances of payments and trade; weather and natural
disasters; governmental, agricultural, trade, fiscal, monetary and
exchange control programs and policies, public health crises and trade or
price wars among commodity producers or buyers. The commodity markets are
subject to temporary distortions and other disruptions. U.S. futures
exchanges and some foreign |
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exchanges
have regulations that limit the amount of fluctuation in futures contract
prices which may occur during a single business day. Limit prices have the
effect of precluding trading in a particular contract or forcing the
liquidation of contracts at disadvantageous times or
prices. |
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Equity Securities Risk. The Fund may have exposure to
equity securities. Equity securities tend to be more volatile than other
investment choices, such as debt and money market instruments. The value
of your investment may decrease in response to overall stock market
movements or the value of individual
securities. |
• |
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Currency Risk. The Fund’s exposure to
foreign currencies subjects the Fund to the risk that those currencies
will decline in value relative to the U.S. Dollar, or, in the case of
short positions, that the U.S. Dollar will decline in value relative
to the currency that the Fund is short. Currency rates in foreign
countries may fluctuate significantly over short periods of time for any
number of reasons, including changes in interest rates and the imposition
of currency controls or other political developments in the U.S. or
abroad. |
• |
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Credit Risk. Credit risk refers to the possibility
that the issuer of the security or a counterparty in respect of a
derivative instrument will not be able to satisfy its payment obligations
to the Fund when due. Changes in an issuer’s credit rating or the market’s
perception of an issuer’s creditworthiness may also affect the value of
the Fund’s investment in that issuer. Securities rated in the four highest
categories by the rating agencies are considered investment grade but they
may also have some speculative characteristics. Investment grade ratings
do not guarantee that bonds will not lose value or default. In addition,
the credit quality of securities may be lowered if an issuer’s financial
condition changes. |
• |
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ETF Risks. The Fund is an ETF, and, as a result of
an ETF’s structure, it is exposed to the following
risks: |
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Authorized Participants, Market Makers, and
Liquidity Providers Limitation Risk. The Fund has a limited number
of financial institutions that may act as Authorized Participants (“APs”).
In addition, there may be a limited number of market makers and/or
liquidity providers in the marketplace. To the extent either of the
following events occur, shares of the Fund (“Shares”) may trade at a
material discount to NAV and possibly face delisting: (i) APs exit
the business or otherwise become unable to process creation and/or
redemption orders and no other APs step forward to perform these services,
or (ii) market makers and/or liquidity providers exit the business or
significantly reduce their business activities and no other entities step
forward to perform their functions. |
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Cash Redemption Risk. The Fund’s investment strategy may
require it to redeem Shares for cash or to otherwise include cash as part
of its redemption proceeds. The Fund may be required to sell or unwind
portfolio investments to obtain the cash needed to distribute redemption
proceeds. This may cause the Fund to recognize a capital gain that it
might not have recognized if it had made a redemption in‑kind. As a
result, the Fund may pay out higher annual capital gain distributions than
if the in‑kind redemption process was
used. |
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4 |
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Litman
Gregory Funds Trust |
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Costs of Buying or Selling Shares. Due
to the costs of buying or selling Shares, including brokerage commissions
imposed by brokers and bid/ask spreads, frequent trading of Shares may
significantly reduce investment results and an investment in Shares may
not be advisable for investors who anticipate regularly making small
investments.
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Shares May Trade at Prices Other Than
NAV. As with all ETFs, Shares may be bought and sold in the
secondary market at market prices. Although it is expected that the market
price of Shares will approximate the Fund’s NAV, there may be times when
the market price of Shares is more than the NAV intra‑day (premium) or
less than the NAV intra‑day (discount) due to supply and demand of Shares
or during periods of market volatility. This risk is heightened in times
of market volatility and volatility in the Fund’s portfolio holdings,
periods of steep market declines, and periods when there is limited
trading activity for Shares in the secondary market, in which case such
premiums or discounts may be significant. If an investor purchases Shares
at a time when the market price is at a premium to the NAV of the Shares
or sells at a time when the market price is at a discount to the NAV of
the Shares, then the investor may sustain losses that are in addition to
any losses caused by a decrease in
NAV. |
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Trading.
Although Shares are listed for trading on a national securities
exchange, and may be traded on other U.S. exchanges, there can be no
assurance that Shares will trade with any volume, or at all, on any stock
exchange. In stressed market conditions, the liquidity of Shares may begin
to mirror the liquidity of the Fund’s underlying portfolio holdings, which
can be significantly less liquid than
Shares. |
• |
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Leverage Risk. Although the Fund will not
borrow funds for trading, the Fund should be considered highly leveraged
and is suitable only for investors with high tolerance for investment
risk. Leverage embedded in the various derivative instruments traded may
result in the Fund or its Subsidiary holding positions whose face or
notional value may be many times the Fund’s NAV. As a result of this
leveraging, even a small movement in the price of a commodity can cause a
correspondingly large profit or loss. Losses incurred on leveraged
investments increase in direct proportion to the degree of leverage
employed. Furthermore, derivative instruments and futures contracts are
highly volatile and are subject to occasional rapid and substantial
fluctuations. Volatility is a statistical measurement of the variation of
returns of a security or fund or index over time. Higher volatility
generally indicates higher risk. You could lose all or substantially all
of your investment in the Fund should the Fund’s trading positions
suddenly turn unprofitable. |
• |
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Debt Securities and Fixed-Income Risk.
Fixed income securities, such as U.S. Treasuries, or derivatives based on
fixed income securities are subject to credit risk and interest rate risk.
Credit risk, as described more fully above, refers to the possibility that
the issuer of a debt security will be unable to make interest payments or
repay principal when it becomes due. Interest rate risk, as described more
fully below, refers to fluctuations in the value of a debt security
resulting from changes in the general level of interest rates. Prices of
fixed income securities tend to move inversely with changes
in |
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interest
rates. Typically, a rise in rates will adversely affect fixed income
security prices and, accordingly, the Fund’s returns and share price. In
addition, the Fund may be subject to “call” risk, which is the risk that
during a period of falling interest rates the issuer may redeem a security
by repaying it early (which may reduce the Fund’s income if the proceeds
are reinvested at lower interest rates), and “extension” risk, which
occurs during a rising interest rate environment because certain
obligations will be paid off by an issuer more slowly than anticipated
(causing the value of those securities held by the Fund to
fall). |
• |
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Interest Rate Risk. Prices of fixed
income securities generally increase when interest rates decline and
decrease when interest rates increase. The Fund may lose money if short
term or long term interest rates rise sharply or otherwise change in a
manner not anticipated by the Sub‑Advisor. The Fund may be subject to
heightened interest rate risk due to rising rates as the current period of
historically low interest rates may be ending. Interest rate risk is
generally greater for fixed-income securities with longer maturities or
durations, but increasing interest rates may have an adverse effect on the
value of the Fund’s investment portfolio as a whole, as investors and
markets adjust expected returns relative to such increasing rates. The
negative impact on fixed income securities from the resulting rate
increases for that and other reasons could be swift and
significant. |
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Management Risk. The Fund is
actively-managed and may not meet its investment objective based on the
portfolio managers’ success or failure to implement investment strategies
for the Fund. |
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Models and Data Risk. This is the risk
that one or all of the proprietary systematic and quantitative models may
fail to identify profitable opportunities at any time. Furthermore, the
models may incorrectly identify opportunities and these misidentified
opportunities may lead to substantial losses for the Fund. Models may be
predictive in nature and such models may result in an incorrect assessment
of future events. Data used in the construction of models may prove to be
inaccurate or stale, which may result in losses for the
Fund. |
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Non‑Diversified Fund Risk. Because the
Fund is “non‑diversified,” it may invest a greater percentage of its
assets in the securities of a single issuer. As a result, a decline in the
value of an investment in a single issuer could cause the Fund’s overall
value to decline to a greater degree than if the Fund held a more
diversified
portfolio. |
• |
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Government Securities and Agency Risk.
Direct obligations of the U.S. Government such as Treasury bills, notes
and bonds are supported by its full faith and credit. Indirect obligations
issued by Federal agencies and government-sponsored entities generally are
not backed by the full faith and credit of the U.S. Treasury. Accordingly,
while U.S. Government agencies and instrumentalities may be chartered or
sponsored by Acts of Congress, their securities are neither issued nor
guaranteed by the U.S. Treasury. Some of these indirect obligations may be
supported by the right of the issuer to borrow from the Treasury; others
are supported by the discretionary authority of the U.S. Government to
purchase the agency’s obligations; still others are supported only by the
credit of the instrumentality. |
iMGP DBi Managed Futures Strategy ETF — (Continued)
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Liquidity Risk. The Fund is subject to
liquidity risk primarily due to its investments in derivatives.
Investments in derivative instruments involve the risk that the Fund may
be unable to sell the derivative instrument or sell it at a reasonable
price. |
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Short Position Risk. The Fund will incur
a loss as a result of a short position if the price of the short position
instrument increases in value between the date of the short position sale
and the date on which the Fund purchases an offsetting position. Short
positions may be considered speculative transactions and involve special
risks, including greater reliance on the ability to accurately anticipate
the future value of a security or instrument. The Fund’s losses are
potentially unlimited in a short position
transaction. |
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Subsidiary Risk. By investing in the
Subsidiary, the Fund is indirectly exposed to the risks associated with
the Subsidiary’s investments. The derivatives and other investments held
by the Subsidiary are generally similar to those that are permitted to be
held by the Fund and are subject to the same risks that apply to similar
investments if held directly by the Fund. The Subsidiary is not registered
under the 1940 Act, and, unless otherwise noted in this Prospectus, is not
subject to all the investor protections of the 1940 Act. Changes in the
laws of the United States and/or the Cayman Islands could result in the
inability of the Fund and/or the Subsidiary to continue to operate as it
does currently and could adversely affect the
Fund. |
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Forward Contracts Risk. Forward contracts
involve an obligation to purchase or sell a specific currency at a future
date, which may be any fixed number of days from the date of the contract
as agreed by the parties in an amount and at a price set at the time of
the contract. At the maturity of a forward contract, a fund may either
accept or make delivery of the currency specified in the contract or, at
or prior to maturity, enter into a closing transaction involving the
purchase or sale of an offsetting contract. The Fund may invest in
non‑deliverable forwards, which are cash-settled, short-term forward
contracts on foreign currencies that are non‑convertible and that may be
thinly traded or illiquid. The use of forward contracts involves various
risks, including the risks associated with fluctuations in foreign
currency and the risk that the counterparty will fail to fulfill its
obligations. |
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Tax Risk. The federal income tax
treatment of the Fund’s income from the Subsidiary may be negatively
affected by future legislation, Treasury Regulations (proposed or final),
and/or other Internal Revenue Service (“IRS”) guidance or authorities that
could affect the character, timing of recognition, and/or amount of the
Fund’s investment company taxable income and/or net capital gains and,
therefore, the distributions it makes. If the Fund failed the source of
income test for any taxable year but was eligible to and did cure the
failure, it could incur potentially significant additional federal income
tax expenses. If, on the other hand, the Fund failed to qualify as a RIC
for any taxable year and was ineligible to or otherwise did not cure the
failure, it would be subject to federal income tax at the fund-level on
its taxable income at the regular corporate tax rate (without reduction
for distributions to shareholders), with the consequence that its income
available for distribution to shareholders would be reduced
and |
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distributions
from its current or accumulated earnings and profits would generally be
taxable to its shareholders as dividend
income. |
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Changes
in the laws of the United States and/or the Cayman Islands could result in
the inability of the Fund and/or the Subsidiary to operate as described in
this Prospectus and the Statement of Additional Information (“SAI”) and
could adversely affect the Fund. For example, the Cayman Islands does not
currently impose any income, corporate or capital gains tax or withholding
tax on the Subsidiary. If Cayman Islands law changes such that the
Subsidiary must pay Cayman Islands taxes, Fund shareholders would likely
suffer decreased investment
returns. |
• |
|
Inflation Risk. At any time, the Fund may
have significant investments in cash or cash equivalents. When a
substantial portion of a portfolio is held in cash or cash equivalents,
there is the risk that the value of the cash account, including interest,
will not keep pace with inflation, thus reducing purchasing power over
time. |
• |
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Operational Risk. Operational risks
include human error, changes in personnel, system changes, faults in
communication, and failures in systems, technology, or processes. Various
operational events or circumstances are outside the Advisor’s or
Sub‑Advisor’s control, including instances at third parties. The Fund, the
Advisor and the Sub‑Advisor seek to reduce these operational risks through
controls and procedures. However, these measures do not address every
possible risk and may be inadequate to address these
risks. |
• |
|
Regulatory Risk. Governments, agencies or
other regulatory bodies may adopt or change laws or regulations that could
adversely affect the issuer, or market value, of an instrument held by the
Fund or its Subsidiary or that could adversely impact the Fund’s
performance. |
Performance
Simultaneous
with the Fund’s commencement of operation on September 20, 2021, the Fund
acquired the assets and assumed the liabilities of the iM DBi Managed Futures
Strategy ETF, a series of Manager Directed Portfolios (the “Predecessor Fund”),
in a reorganization (the “Reorganization”). The Fund assumed the performance and
accounting history of the Predecessor Fund on the date of the Reorganization.
Performance prior to September 20, 2021 is that of the Predecessor
Fund.
The following
performance information provides some indication of the risks of investing in
the Fund. The bar chart shows changes in the performance of the Fund from
year to year. The table below shows how the Fund’s average annual total
returns for the 1‑year and since inception periods compare to those of a
broad-based market index. Past performance, before
and after taxes, does not necessarily indicate how the Fund will perform in the
future. Updated performance information is available on the
Fund’s website at www.imgpfunds.com.
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6 |
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Gregory Funds Trust |
DBi
Managed Futures Strategy ETF
Calendar
Year Total Returns
as
of December 31
During
the period shown above, the highest and lowest quarterly returns earned by the
Fund were:
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Highest: |
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7.11% |
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Quarter ended March 31,
2021 |
Lowest: |
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‑3.34% |
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Quarter ended September 30,
2021 |
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Average
Annual Total Returns
(for
the periods ended December 31, 2021) |
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1 Year |
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Since Inception
(5/7/2019) |
|
DBi
Managed Futures Strategy ETF |
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Return
Before Taxes |
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9.80% |
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8.40% |
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Return
After Taxes on Distributions |
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7.87% |
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6.49% |
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Return
After Taxes on Distributions and Sale of Shares |
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6.31% |
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5.96% |
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SG
CTA Index |
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(reflects no deduction for fees, expenses, or
taxes) |
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6.27% |
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4.58% |
|
The Fund’s after‑tax returns as
shown in the above table are calculated using the historical highest applicable
individual federal marginal income tax rates for the period and do not reflect
the impact of state and local taxes. Your actual after‑tax returns
depend on your tax situation and may differ from those shown. If you own
shares of the Fund in a tax‑deferred account, such as a 401(k) plan or an
individual retirement account, after‑tax returns shown are not relevant to your
investment. The after‑tax returns on
distributions and sale of Fund shares may be higher than returns before taxes
due to the effect of a tax benefit an investor may receive from the realization
of capital losses that would have been incurred on the sale of Fund
shares.
Management
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SUB‑ADVISOR |
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PORTFOLIO MANAGER |
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MANAGED
THE
FUND
SINCE: |
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Dynamic
Beta investments, LLC |
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Andrew Beer, Managing Member |
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2019 |
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Mathias
Mamou-Mani, Managing Member |
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2019 |
|
For
important information about the purchase and sale of fund shares, tax
information and financial intermediary compensation, please turn to the “Summary
of Other Important Information Regarding the Funds” section on page 13 of
this Prospectus.
iMGP
DBi Hedge Strategy ETF
Investment
Objective
The
iMGP DBi Hedge Strategy ETF (the “Fund”) seeks long-term capital
appreciation.
Fees
and Expenses of the Fund
This
table describes the fees and expenses that you may pay if you buy, hold and sell
shares of the Fund. You may pay other fees, such as brokerage commissions and
other fees to financial intermediaries, which are not reflected in the table and
example below.
Annual
Operating Expenses (expenses that you pay each year as a percentage of the value
of your investment)
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Management
Fees |
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0.85% |
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Distribution
and/or Service (12b‑1) Fees |
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0.00% |
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Other
Expenses |
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None |
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Total
Annual Fund Operating Expenses |
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0.85% |
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Example
This
example is intended to help you compare the cost of investing in the Fund with
the cost of investing in other mutual funds. The example assumes that you
invest $10,000 in the Fund for the time periods indicated and then redeem all of
your shares at the end of those periods. The example also assumes that your
investment has a 5% return each year and that the Fund’s operating expenses
remain the same. Although your actual costs may be higher or lower, based
on these assumptions your costs would be:
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One Year |
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Three Years |
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Five Years |
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Ten Years |
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$87 |
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$ |
271 |
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$ |
471 |
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$ |
1,049 |
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Portfolio
Turnover
The
Fund pays transaction costs, such as commissions, when it buys and sells
securities (or “turns over” its portfolio). A higher portfolio turnover
rate may indicate higher transaction costs and may result in higher taxes when
shares of the Fund are held in a taxable account as compared to shares of
investment companies that hold investments for a longer period. These
costs, which are not reflected in annual fund operating expenses or in the
example, affect the Fund’s performance.
Because
amounts relating to derivatives and securities whose maturities or expiration
dates at the time of acquisition were one year or less are excluded from the
portfolio turnover calculation and these are the only types of instruments held
by the Fund, the Fund did not report a portfolio turnover rate during the fiscal
year ended December 31, 2021.
Principal
Strategies
The
Fund is a non‑diversified, actively-managed exchange-traded fund (“ETF”) that
seeks to achieve its objective by: (i) investing
its
assets
pursuant to an equity hedge strategy (described below); and (ii) allocating
the remainder of its assets directly in a portfolio of investment grade debt
securities to collateralize its derivatives investments, for liquidity purposes,
or to enhance yield. The Fund seeks to model its investments after long/short
equity hedge fund strategies and does not invest in hedge funds. Because the
Fund is not a hedge fund, the Fund will be limited in its ability to fully
replicate hedge fund strategies due to regulatory requirements, including
limitations on leverage and liquidity of the Fund’s
investments.
The
Fund invests in long and short positions in exchange-traded futures contracts
across the broad asset classes of equities, fixed income, and currencies. The
long and short positions in the futures contracts are determined by the Fund’s
sub‑adviser, Dynamic Beta investments (“DBi” or the “Sub‑Advisor”), using a
proprietary, quantitative model – the Dynamic Beta Engine. The Dynamic Beta
Engine is designed to identify the main drivers of performance of a diversified
portfolio of the largest long/short equity hedge funds, which are hedge funds
that employ fundamental analysis to buy or sell short individual equity
securities to achieve their respective investment objectives (“Equity Hedge
funds”).
Equity
Hedge funds typically diversify their risks by limiting the hedge fund’s net
exposure to certain industries, regions, or market capitalizations, which allows
them to focus on company-specific characteristics. Equity Hedge funds often
hedge against the returns of the overall market. The Fund will not necessarily
use its long and short positions to reduce risk by taking offsetting positions.
The Fund may take uncorrelated positions (e.g., invest in long and short futures
contracts with values that do not historically exhibit a strong relationship to
each other), which may increase the Fund’s overall market exposure and
risk.
DBi
has conducted extensive research into the drivers of performance of hedge funds
and believes that individual security selection by the target Equity Hedge funds
can deliver market outperformance over time through shifts in asset allocation
among major equity markets. For example, if fundamentally-driven hedge fund
managers collectively determine that stocks in emerging markets are more
attractive than those in developed markets, the Dynamic Beta Engine can identify
this and shift asset allocation exposures
accordingly.
Based
on this model, the Fund will invest in an optimized portfolio of long and short
positions in U.S. exchange-traded futures contracts, as determined by the
Sub‑Advisor. This process is repeated monthly, with all positions rebalanced at
that time. The Dynamic Beta Engine analyzes recent historical performance of a
diversified pool of the largest Equity Hedge funds in order to estimate the
current asset allocation of a selected pool of Equity Hedge funds. The
Sub‑Advisor relies exclusively on the model and does not have discretion to
override the model-determined asset allocation or portfolio weights. Investing
in a limited number of highly liquid futures contracts and monthly rebalancing
is expected to keep transaction costs low relative to Equity Hedge funds. The
model seeks to replicate Equity Hedge funds by analyzing historical returns of
Equity Hedge funds provided by a third-party data provider and identifying
futures contracts that
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8 |
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Litman
Gregory Funds Trust |
most
closely reflect the Equity Hedge funds’ estimated current exposures across the
various asset classes.
Futures
contracts are contractual agreements to buy or sell a particular equity index,
currency, or financial instrument at a pre‑determined price in the
future. The Fund will invest in a limited number of highly-liquid futures
contracts (including futures contracts on underlying instruments such as listed
U.S. equity indices, baskets of currency, and U.S. treasury securities) that the
Sub‑Advisor believes exhibit the highest correlation to what the Sub‑Advisor
perceives to be the core positions of the target Equity Hedge funds, which are
generally long and short positions of individual equity securities. The Fund
will take long and short positions in U.S. exchange-traded derivative contracts
viewed as highly liquid by the Sub‑Advisor. Agreeing to buy the underlying
instrument is called buying a futures contract or taking a long position in the
contract. Likewise, agreeing to sell the underlying instrument is called selling
a futures contract or taking a short position in the
contract.
The
Sub‑Advisor will use quantitative methods to assess the level of risk for the
Fund. The Fund may invest in derivative contracts that have an aggregate
notional value that is greater than the Fund’s total assets. The notional value
of a derivatives contract is the market value of the asset underlying the
derivatives contract. Aggregate notional value is the sum of the notional values
of the Fund’s derivatives contracts. The Fund’s aggregate notional value is
intended to approximate the current risk profile of a diversified pool of the
largest Equity Hedge funds. The Investment Company Act of 1940, as amended (the
“1940 Act”), and the rules and interpretations thereunder, impose certain
limitations on the Fund’s ability to use leverage, which is inherent in the
futures positions held by the Fund. Volatility is a statistical measure of the
frequency and level of changes in the Fund’s returns over time without regard to
the direction of those changes. Higher volatility generally indicates higher
risk. Under normal market conditions, the Sub‑Advisor will seek to achieve Fund
volatility of 8‑10% on an annual basis, which refers to the approximate maximum
amount of expected gains or losses during a given year expressed as a percentage
of value.
The
Fund expects, under normal circumstances, to invest a large portion of the
portfolio in investment grade debt securities in order to collateralize the
Fund’s derivative investments, for liquidity purposes, or to enhance yield. The
Fund may hold fixed income instruments of varying maturities, but that have an
average duration of less than one year. In particular, the Fund may hold
government money market instruments, such as U.S. Treasury securities and U.S.
government agency discount notes and bonds with maturities of two years or
less.
Because
the Fund is non‑diversified, it may invest a greater percentage of its assets in
a particular investment or issuer than a diversified
fund.
Principal
Risks
As with any investment, it is possible to lose money on
an investment in the Fund. An
investment in the Fund is not a deposit of any bank and is not guaranteed,
endorsed or insured by
any
financial institution,
government authority or the Federal Deposit Insurance Corporation
(FDIC). The following risks could affect the value of
your investment. Each risk summarized below is considered a “principal risk” of
investing in the Fund, regardless of the order in which it appears. Some or all
of these risks may adversely affect the Fund’s net asset value per share
(“NAV”), total return and/or ability to meet its
objective.
• |
|
Equity Hedge Strategy Risk. The Fund uses
various investment strategies that seek to identify the main drivers of
performance of a diversified portfolio of the largest long/short equity
hedge funds. These investment strategies involve the use of complex
derivatives techniques, and there is no guarantee that these strategies
will succeed. The use of such strategies and techniques may subject the
Fund to greater volatility and loss than investing in individual equity
securities. There can be no assurance that utilizing a certain approach or
model will achieve a particular level of return or reduce volatility and
loss. |
• |
|
Futures Contracts Risk. Futures contracts
have a high degree of price variability and are subject to occasional
rapid and substantial changes. There is an imperfect correlation between
the change in market value of the futures contracts and the market value
of the underlying instrument or reference assets with respect to such
contracts. Futures contracts pose the risk of a possible lack of a liquid
secondary market, resulting in the potential inability to close a futures
contract when desired. Futures contracts are also subject to risks related
to possible market disruptions or other extraordinary events, including
but not limited to, governmental intervention, and potentially unlimited
losses caused by unanticipated market movements. Futures contracts are
subject to the possibility that the counterparties to the contracts will
default in the performance of their obligations. If the Fund has
insufficient cash, it may either have to sell securities from its
portfolio to meet daily variation margin requirements with respect to its
futures contracts, or close certain positions at a time when it may be
disadvantageous to do so. The successful use of futures contracts draws
upon the Sub‑Advisor’s skill and experience with respect to such
instruments and is subject to special risk
considerations. |
The
use of futures contracts, which are derivative instruments, will have the
economic effect of financial leverage. Financial leverage magnifies exposure to
the swings in prices of an asset class underlying an investment and results in
increased volatility, which means the Fund will have the potential for greater
losses than if the Fund did not employ leverage in its investment activity.
Leveraging tends to magnify, sometimes significantly, the effect of any increase
or decrease in the Fund’s exposure to an asset class and may cause the value of
the Fund’s securities or related derivatives instruments to be volatile. There
is no assurance that the Fund’s investment in a futures contract with leveraged
exposure to certain investments and markets will enable the Fund to achieve its
investment objective.
• |
|
General Market Risk; Recent Market Events
Risk. The value of the Fund’s shares will fluctuate based on the
performance of the Fund’s investments and other factors affecting the
securities markets generally. Certain investments selected for the Fund’s
portfolio may be worth less than the price originally paid
for |
iMGP DBi Hedge Strategy ETF — (Continued)
|
|
them, or less than they were worth at an
earlier time. The value of the Fund’s investments may go up or down,
sometimes dramatically and unpredictably, based on current market
conditions, such as real or perceived adverse political or economic
conditions, inflation, changes in interest rates, lack of liquidity in the
fixed income markets or adverse investor
sentiment. |
U.S.
and international markets have experienced volatility in recent months and years
due to a number of economic, political and global macro factors, including the
impact of the coronavirus (COVID‑19) global pandemic, which has resulted in a
public health crisis, business interruptions, growth concerns in the U.S. and
overseas, layoffs, rising unemployment claims, changed travel and social
behaviors and reduced consumer spending. The effects of COVID‑19 may lead to a
substantial economic downturn or recession in the U.S. and global economies, the
recovery from which is uncertain and may last for an extended period of
time.
• |
|
Long Short Risk. The Fund seeks long
exposure to certain factors and short exposure to certain other
factors. The Fund may or may not
take long or short positions in correlated asset classes. The Fund could lose money if either or
both of the Fund’s long and short positions produce negative returns. The
Dynamic Beta Engine may or may not identify long and short positions in
correlated asset classes. There is no guarantee that the returns of the
Fund’s long and short positions will produce positive
returns. |
• |
|
Short Sales Risk. The Fund may take a
short position in a derivative instrument, such as a future, forward, swap
or security. The Fund will lose value if the underlying security that is
the subject of a short sale increases in value. A short position on a
derivative instrument or security involves the risk of a theoretically
unlimited increase in the value of the underlying instrument. Short sales
also involve transaction and other costs that will reduce potential Fund
gains and increase potential Fund
losses. |
• |
|
Derivatives Risk. Derivatives include
instruments and contracts that are based on, and are valued in relation
to, one or more underlying securities, financial benchmarks or indices,
such as futures contracts, swap agreements and forward contracts.
Derivatives typically have economic leverage inherent in their terms. The
primary type of derivatives in which the Fund invests is futures
contracts. As discussed above, futures contracts can be highly volatile,
illiquid and difficult to value, and changes in the value of such
instruments held directly or indirectly by the Fund may not correlate with
the underlying instrument or reference assets, or the Fund’s other
investments. Although the value of futures contracts depends largely upon
price movements in the underlying instrument or reference asset, there are
additional risks associated with futures contracts that are possibly
greater than the risks associated with investing directly in the
underlying instruments or reference assets, including illiquidity risk,
leveraging risk and counterparty credit risk. A small position in futures
contracts could have a potentially large impact on the Fund’s performance.
Trading restrictions or limitations may be imposed by an exchange, and
government regulations may restrict trading in futures
contracts. |
• |
|
Equity Securities Risk. Through the Fund’s use of
derivatives, the Fund may have exposure to equity securities and/or
broad-based equity indices. Equity securities tend to be more volatile
than other investment choices, such as debt and money market instruments.
The value of your investment may decrease in response to overall stock
market movements or the value of individual
securities. |
• |
|
Credit Risk. Credit risk refers to the
possibility that the issuer of the security or a counterparty in respect
of a derivative instrument will not be able to satisfy its payment
obligations to the Fund when due. Changes in an issuer’s credit rating or
the market’s perception of an issuer’s creditworthiness may also affect
the value of the Fund’s investment in that issuer. Securities rated in the
four highest categories by the rating agencies are considered investment
grade but they may also have some speculative characteristics. Investment
grade ratings do not guarantee that bonds will not lose value or default.
In addition, the credit quality of securities may be lowered if an
issuer’s financial condition changes. |
• |
|
Currency Risk. The Fund’s exposure to
foreign currencies subjects the Fund to the risk that those currencies
will decline in value relative to the U.S. Dollar, or, in the case of
short positions, that the U.S. Dollar will decline in value relative
to the currency that the Fund is short. Currency rates in foreign
countries may fluctuate significantly over short periods of time for any
number of reasons, including changes in interest rates and the imposition
of currency controls or other political developments in the U.S. or
abroad. |
• |
|
ETF Risks. The Fund is an ETF, and, as a
result of an ETF’s structure, it is exposed to the following
risks: |
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¡ |
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Authorized Participants, Market Makers, and
Liquidity Providers Limitation Risk. The Fund has a limited number
of financial institutions that may act as Authorized Participants (“APs”).
In addition, there may be a limited number of market makers and/or
liquidity providers in the marketplace. To the extent either of the
following events occur, Shares may trade at a material discount to NAV and
possibly face delisting: (i) APs exit the business or otherwise
become unable to process creation and/or redemption orders and no other
APs step forward to perform these services, or (ii) market makers
and/or liquidity providers exit the business or significantly reduce their
business activities and no other entities step forward to perform their
functions. |
|
¡ |
|
Cash Redemption Risk. The Fund’s investment strategy may
require it to redeem Shares for cash or to otherwise include cash as part
of its redemption proceeds. The Fund may be required to sell or unwind
portfolio investments to obtain the cash needed to distribute redemption
proceeds. This may cause the Fund to recognize a capital gain that it
might not have recognized if it had made a redemption in‑kind. As a
result, the Fund may pay out higher annual capital gain distributions than
if the in‑kind redemption process was
used. |
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¡ |
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Costs of Buying or Selling Shares. Due
to the costs of buying or selling Shares, including brokerage commissions
imposed by brokers and bid/ask spreads, frequent trading of Shares may
significantly reduce investment results and an investment
in |
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10 |
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Gregory Funds Trust |
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Shares
may not be advisable for investors who anticipate regularly making small
investments.
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¡ |
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Shares May Trade at Prices Other Than
NAV. As with all ETFs, Shares may be bought and sold in the
secondary market at market prices. Although it is expected that the market
price of Shares will approximate the Fund’s NAV, there may be times when
the market price of Shares is more than the NAV intra‑day (premium) or
less than the NAV intra‑day (discount) due to supply and demand of Shares
or during periods of market volatility. This risk is heightened in times
of market volatility and volatility in the Fund’s portfolio holdings,
periods of steep market declines, and periods when there is limited
trading activity for Shares in the secondary market, in which case such
premiums or discounts may be significant. If an investor purchases Shares
at a time when the market price is at a premium to the NAV of the Shares
or sells at a time when the market price is at a discount to the NAV of
the Shares, then the investor may sustain losses that are in addition to
any losses caused by a decrease in
NAV. |
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Trading.
Although Shares are listed for trading on a national securities
exchange, and may be traded on other U.S. exchanges, there can be no
assurance that Shares will trade with any volume, or at all, on any stock
exchange. In stressed market conditions, the liquidity of Shares may begin
to mirror the liquidity of the Fund’s underlying portfolio holdings, which
can be significantly less liquid than
Shares. |
• |
|
Debt Securities and Fixed-Income Risk.
Fixed income securities, such as U.S. Treasuries, or derivatives based on
fixed income securities are subject to credit risk and interest rate risk.
Credit risk, as described more fully above, refers to the possibility that
the issuer of a debt security will be unable to make interest payments or
repay principal when it becomes due. Interest rate risk, as described more
fully below, refers to fluctuations in the value of a debt security
resulting from changes in the general level of interest rates. Prices of
fixed income securities tend to move inversely with changes in interest
rates. Typically, a rise in rates will adversely affect fixed income
security prices and, accordingly, the Fund’s returns and share price. In
addition, the Fund may be subject to “call” risk, which is the risk that
during a period of falling interest rates the issuer may redeem a security
by repaying it early (which may reduce the Fund’s income if the proceeds
are reinvested at lower interest rates), and “extension” risk, which
occurs during a rising interest rate environment because certain
obligations will be paid off by an issuer more slowly than anticipated
(causing the value of those securities held by the Fund to
fall). |
• |
|
Interest Rate Risk. Prices of fixed
income securities generally increase when interest rates decline and
decrease when interest rates increase. The Fund may lose money if short
term or long term interest rates rise sharply or otherwise change in a
manner not anticipated by the Sub‑Advisor. The Fund may be subject to
heightened interest rate risk due to rising rates as the current period of
historically low interest rates may be ending. Interest rate risk is
generally greater for fixed-income securities with longer maturities or
durations, but increasing interest rates may have an adverse effect on the
value of the Fund’s investment portfolio as a whole, as investors and
markets adjust expected |
|
returns
relative to such increasing rates. The negative impact on fixed income
securities from the resulting rate increases for that and other reasons
could be swift and
significant. |
• |
|
Management Risk. The Fund is
actively-managed and may not meet its investment objective based on the
portfolio managers’ success or failure to implement investment strategies
for the Fund. |
• |
|
Models and Data Risk. This is the risk
that one or all of the proprietary systematic and quantitative models may
fail to identify profitable opportunities at any time. Furthermore, the
models may incorrectly identify opportunities and these misidentified
opportunities may lead to substantial losses for the Fund. Models may be
predictive in nature and such models may result in an incorrect assessment
of future events. Data used in the construction of models may prove to be
inaccurate or stale, which may result in losses for the
Fund. |
• |
|
Non‑Diversified Fund Risk. Because the
Fund is “non‑diversified,” it may invest a greater percentage of its
assets in the securities of a single issuer. As a result, a decline in the
value of an investment in a single issuer could cause the Fund’s overall
value to decline to a greater degree than if the Fund held a more
diversified
portfolio. |
• |
|
Government Securities and Agency Risk.
Direct obligations of the U.S. Government such as Treasury bills, notes
and bonds are supported by its full faith and credit. Indirect obligations
issued by Federal agencies and government-sponsored entities generally are
not backed by the full faith and credit of the U.S. Treasury. Accordingly,
while U.S. Government agencies and instrumentalities may be chartered or
sponsored by Acts of Congress, their securities are neither issued nor
guaranteed by the U.S. Treasury. Some of these indirect obligations may be
supported by the right of the issuer to borrow from the Treasury; others
are supported by the discretionary authority of the U.S. Government to
purchase the agency’s obligations; still others are supported only by the
credit of the instrumentality. |
• |
|
Liquidity Risk. The Fund is subject to
liquidity risk primarily due to its investments in derivatives.
Investments in derivative instruments involve the risk that the Fund may
be unable to sell the derivative instrument or sell it at a reasonable
price. |
• |
|
Short Position Risk. The Fund will incur
a loss as a result of a short position if the price of the short position
instrument increases in value between the date of the short position sale
and the date on which the Fund purchases an offsetting position. Short
positions may be considered speculative transactions and involve special
risks, including greater reliance on the ability to accurately anticipate
the future value of a security or instrument. The Fund’s losses are
potentially unlimited in a short position
transaction. |
• |
|
Inflation Risk. At any time, the Fund may
have significant investments in cash or cash equivalents. When a
substantial portion of a portfolio is held in cash or cash equivalents,
there is the risk that the value of the cash account, including interest,
will not keep pace with inflation, thus reducing purchasing power over
time. |
• |
|
Operational Risk. Operational risks
include human error, changes in personnel, system changes, faults in
communication, |
iMGP DBi Hedge Strategy ETF — (Continued)
|
|
and failures in systems, technology, or
processes. Various operational events or circumstances are outside the
Advisor’s or Sub‑Advisor’s control, including instances at third parties.
The Fund, the Advisor and the Sub‑Advisor seek to reduce these operational
risks through controls and procedures. However, these measures do not
address every possible risk and may be inadequate to address these
risks. |
• |
|
Regulatory Risk. Governments, agencies or
other regulatory bodies may adopt or change laws or regulations that could
adversely affect the issuer, or market value, of an instrument held by the
Fund or that could adversely impact the Fund’s
performance. |
Performance
Simultaneous
with the Fund’s commencement of operation on September 20, 2021, the Fund
acquired the assets and assumed the liabilities of the iM DBi Hedge Strategy
ETF, a series of Manager Directed Portfolios (the “Predecessor Fund”), in a
reorganization (the “Reorganization”). The Fund assumed the performance and
accounting history of the Predecessor Fund on the date of the Reorganization.
Performance prior to September 20, 2021 is that of the Predecessor
Fund.
The following
performance information provides some indication of the risks of investing in
the Fund. The bar chart shows changes in the performance of the Fund from
year to year. The table below shows how the Fund’s average annual total
returns for the 1‑year and since inception periods compare to those of a
broad-based market index. Past performance, before
and after taxes, does not necessarily indicate how the Fund will perform in the
future. Updated performance information is available on the
Fund’s website at www.imgpfunds.com.
DBi
Hedge Strategy ETF
Calendar
Year Total Returns
as
of December 31
During
the period shown above, the highest and lowest quarterly returns earned by the
Fund were:
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Highest: |
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15.50% |
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Quarter ended December 31,
2020 |
Lowest: |
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‑11.80% |
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Quarter ended March 31,
2020 |
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Average
Annual Total Returns
(for
the periods ended December 31, 2021) |
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1 Year |
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Since Inception
(12/17/2019) |
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DBi
Hedge Strategy ETF |
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Return
Before Taxes |
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5.05% |
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13.66% |
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Return
After Taxes on Distributions |
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0.52% |
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11.21% |
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Return
After Taxes on Distributions and Sale of Shares |
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4.82% |
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10.11% |
|
HFRX
Equity Hedge Index |
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(reflects no deduction for fees, expenses, or
taxes) |
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12.14% |
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8.33% |
|
The Fund’s after‑tax returns as
shown in the above table are calculated using the historical highest applicable
individual federal marginal income tax rates for the period and do not reflect
the impact of state and local taxes. Your actual after‑tax returns
depend on your tax situation and may differ from those shown. If you own
shares of the Fund in a tax‑deferred account, such as a 401(k) plan or an
individual retirement account, after‑tax returns shown are not relevant to your
investment. The after‑tax returns on
distributions and sale of Fund shares may be higher than returns before taxes
due to the effect of a tax benefit an investor may receive from the realization
of capital losses that would have been incurred on the sale of Fund
shares.
Management
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SUB‑ADVISOR |
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PORTFOLIO MANAGER |
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MANAGED THE PREDECESSOR FUND
SINCE: |
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Dynamic
Beta investments, LLC |
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Andrew Beer, Managing Member |
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2019 |
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Mathias
Mamou-Mani, Managing Member |
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2019 |
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For
important information about the purchase and sale of Fund shares, tax
information and financial intermediary compensation, please turn to the “Summary
of Other Important Information Regarding the Fund” section on page 13 of
this Prospectus.
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12 |
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Litman
Gregory Funds Trust |
Summary
of Other Important Information Regarding the Funds
Purchase
and Sale of Shares
Shares
of each Fund (“Shares”) are listed and trade on the NYSE Arca (the “Exchange”).
Individual Shares may only be bought and sold on the Exchange through a broker
or dealer at market prices, rather than at NAV. Because Shares trade at market
prices rather than at NAV, Shares may trade at a price greater than at NAV
(premium) or less than at NAV (discount). Investors may also incur costs
attributable to the difference between the highest price a buyer is willing to
pay to purchase Shares (bid) and the lowest price a seller is willing to accept
for Shares (ask) when buying or selling Shares in the secondary market (the
“Bid‑Ask Spread”).
Each
Fund issues and redeems Shares at NAV only in large blocks known as “Creation
Units,” which only Authorized Participants (“APs”) (typically, broker-dealers)
may purchase or redeem. Each Fund generally issues and redeems Creation Units in
exchange for a designated amount of U.S. cash and/or a portfolio of securities
closely approximating the holdings of the Fund (the “Deposit Securities”).
Information
on each Fund’s NAV, market price, premiums and discounts to NAV, and bid‑ask
spreads is available on the Fund’s website www.imgpfunds.com.
Tax
Information
Fund
distributions are generally taxable as ordinary income, qualified dividend
income, or capital gains (or a combination), unless your investment is in an IRA
or other tax‑advantaged account. Distributions on investments made through
tax‑deferred arrangements may be taxed later upon withdrawal of assets from
those accounts.
Payments
to Broker-Dealers and Other Financial Intermediaries
If
you purchase Shares through a broker-dealer or other financial intermediary
(such as a bank) (an “Intermediary”), iM Global, the Funds’ investment adviser,
or its affiliates may pay Intermediaries for certain activities related to the
Fund, including participation in activities that are designed to make
Intermediaries more knowledgeable about exchange traded products, including the
Fund, or for other activities, such as marketing, educational training or other
initiatives related to the sale or promotion of Shares. These payments may
create a conflict of interest by influencing the Intermediary and your
salesperson to recommend the Fund over another investment. Any such arrangements
do not result in increased Fund expenses. Ask your salesperson or visit the
Intermediary’s website for more information.
Additional
Information About the Funds
Additional
Investment Strategies, Policies and Risks
The
Funds’ investment objectives have been adopted as a non‑fundamental investment
policies and may be changed by the Funds’ Board of Trustees without shareholder
approval upon 60 days’ written notice to shareholders.
Please
see the SAI for additional information about the securities and investment
strategies described in this Prospectus and about additional securities and
investment strategies that may be used by the Funds.
Temporary Defensive Positions and Related Risks.
To respond to adverse market, economic, political, or other conditions,
each Fund may invest up to 100% of its assets in a temporary defensive manner by
holding all or a substantial portion of its assets in cash, cash equivalents, or
other high quality short-term investments. Temporary defensive investments
generally may include short-term U.S. government securities, commercial paper,
bank obligations, repurchase agreements, money market fund shares, and other
money market instruments. The Sub‑Advisor also may invest in these types of
securities or hold cash while looking for suitable investment opportunities or
to maintain liquidity. In these circumstances, the Funds may be unable to
achieve their investment objectives.
Model and Data Risk. As described above, a
quantitative model is used in connection with the management of each Fund’s
portfolio. To the extent that the model used by the Sub‑Advisor is incorrect or
incomplete, then the decisions made by the Sub‑Advisor in reliance thereon will
expose a Fund to potential risks and could cause such Fund to incur a loss on
its investment.
Cash Transactions Risk. Unlike many ETFs, the
Funds may issue and redeem entirely in cash or partially in cash. As a result,
an investment in the Funds may be less tax‑efficient than an investment in an
ETF that distributes portfolio securities in‑kind. If a Fund effects a portion
of redemptions for cash, such Fund may be required to sell portfolio securities
to obtain the cash needed to distribute the redemption proceeds. Such sales may
cause the applicable Fund to incur transaction costs. The applicable Fund may
recognize gains on these sales it might not otherwise have recognized if it were
to distribute portfolio securities in‑kind, or to recognize the gain sooner than
would otherwise be required.
Authorized Participant Risk. The Funds may
directly engage in creation or redemption transactions only with APs. The Funds
may have a limited number of intermediaries acting as APs, and none are, or will
be, obligated to engage in creation or redemption transactions. It is possible
that these intermediaries may choose to exit the business or not proceed with a
creation or redemption order with respect to the Funds. In such a case, and if
no other AP creates or redeems, Shares may trade at a discount and be subject to
the risk of potential trading halts and/or delisting.
Investment Companies and Other Pooled Investment
Vehicles (iMGP DBi
Managed Futures Strategy ETF only). The Fund will not invest in any other
investment company or private fund (except that it may invest up to 20% of its
net assets in the Subsidiary).
Short Sales. As noted above, each Fund may
engage in short sales with respect to derivatives, but will not engage in short
sales of individual securities.
Emerging Markets Risk (iMGP DBi
Hedge Strategy ETF only). If the Dynamic Beta Engine identifies that the
Equity Hedge funds collectively determine that stocks in emerging markets are
more attractive than those in developed markets, the Fund may shift
its
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Summary of Other Important Information Regarding
the Funds |
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13 |
Summary of Other Important Information Regarding the
Funds —
(Continued)
asset
allocation exposure to countries in emerging markets. Countries in emerging
markets are generally more volatile and can have relatively unstable
governments, social and legal systems that do not protect shareholders,
economies based on only a few industries, and securities markets that trade a
small number of issues.
Leverage Risk. Leverage is implicit in the
Fund’s use of long and short positions in the derivatives instruments it trades.
The implicit leverage may result in the Fund holding positions whose face or
notional value may be greater than the Fund’s NAV. As a result of this
leveraging, even a small movement in the price of an instrument can cause a
correspondingly large profit or loss. Losses incurred on leveraged investments
increase in direct proportion to the degree of leverage employed. Furthermore,
derivative instruments and futures contracts are highly volatile and are subject
to occasional rapid and substantial fluctuations. Volatility is a statistical
measurement of the variation of returns of a security or fund or index over
time. Higher volatility generally
indicates
higher risk. You could lose all or substantially all of your investment in the
Fund should the Fund’s trading positions suddenly turn unprofitable.
Multi-Manager Exemptive Order: The Trust and
iM Global have obtained an exemptive order from the SEC that permits iM Global,
subject to certain conditions, to hire, terminate and replace managers with the
approval of the Board only and without shareholder approval. Within 60 days of
the hiring of any new manager or the implementation of any proposed material
change in a sub‑advisory agreement with an existing manager, shareholders will
be furnished information about the new manager or sub‑advisory agreement that
would be included in a proxy statement. The order also permits a Fund to
disclose sub‑advisory fees only in the aggregate in its registration statement.
Pursuant to the order, shareholder approval is required before iM Global enters
into any sub‑advisory agreement with a manager that is affiliated with the Funds
or iM Global.
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14 |
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Litman
Gregory Funds Trust |
Fund
Management and Investment Styles
The
Advisor, Multi-Manager Issues & Fees
The
Advisor
The
Funds are managed by iM Global Partner Fund Management, LLC (“iM Global”), 1676
N. California Blvd., Suite 500, Walnut Creek, California 94596. iM Global is an
affiliate of iM Global Partner US LLC (“iMGPUS”), an SEC‑registered investment
advisory firm. Pursuant to a shared services agreement, advisory personnel of
iMGPUS provide certain services to the Funds. iM Global has overall
responsibility for assets under management, recommends the selection of managers
as sub‑advisors of the Fund (each, a “manager” or “sub‑advisor”) to the Board of
Trustees (the “Board”) of the Litman Gregory Funds Trust (the “Trust”),
evaluates the performance of the managers, monitors changes at the managers’
organizations that may impact their abilities to deliver superior future
performance, determines when to rebalance the managers’ assets and the amount of
cash equivalents (if any) that may be held in addition to cash in the managers’
portfolios, coordinates with the managers with respect to diversification and
tax issues and oversees the operational aspects of the Fund.
Asset
Level Limitations
iM
Global believes that high levels of assets under management can be detrimental
to certain investment strategies. iM Global also believes that relatively low
levels of assets under management can provide flexibility to skilled investment
managers that under certain circumstances may contribute positively to returns.
Because of this belief, the Funds may be closed to new shareholders, with
certain exceptions approved by the Board, at asset levels that iM Global and the
Sub‑Advisor believe to be optimal in allowing for a high degree of flexibility
for the Sub‑Advisor.
Sub‑Advisor
Evaluation and Selection
iM
Global is responsible for hiring and removing sub‑advisors. iM Global believes
that it is possible to identify investment managers to serve as sub‑advisors
who, over a market cycle, have a greater potential to deliver superior returns
for a Fund relative to their peer groups. iM Global also believes it can
identify sub‑advisors whose who it believes should outperform a relevant
benchmark over a market cycle. iM Global defines a “market cycle” as the
movement from a period of increasing prices and strong performance, or bull
market, through a period of weak performance and falling prices, or bear market,
and back again to new strength. The term of a full market cycle can vary from
three to five years or as long as five to ten years. The top of a cycle is
called a peak and the bottom a trough. iM Global generally assesses the
long-term growth of an investment by considering the increase in the value of
the investment over a period greater than five years.
Before
hiring a sub‑advisor, iM Global performs extensive due diligence. This includes
quantitative and qualitative analysis, including (but not limited to) an
evaluation of: the investment
process,
the consistency of its execution and discipline; individual holdings; strategies
employed, past mistakes, risk controls, team depth and quality; operations and
compliance; and business focus and vision. iM Global’s evaluation process
includes review of literature and documents, quantitative historical performance
evaluation, extensive discussions with members of the investment team and firm
management and background checks through industry contacts. The sub‑advisor’s
management fee is also an important consideration. It is iM Global’s objective
to hire a sub‑advisor who it believes is skilled and can deliver strong market
cycle returns while taking risks into account. Generally, iM Global prefers
managers who it believes will be able to add value through security selection
from a risk/return perspective. iM Global is responsible for the general overall
supervision of the sub‑advisor.
In
the event a manager ceases to manage a segment of a Fund’s portfolio, iM Global
will select a replacement manager. The securities that were held in the
departing manager’s portfolio may be retained by the replacement manager of the
Fund or will be liquidated in an orderly manner, taking into account various
factors, which may include but are not limited to the market for the security
and the potential tax consequences.
The
SAI provides additional information about the compensation of each portfolio
manager at the sub‑advisor, other accounts managed by each portfolio manager,
and each such portfolio manager’s ownership of securities of the Fund.
Portfolio
Holdings Information
A
description of the Funds’ policies and procedures regarding disclosure of the
Funds’ portfolio holdings can be found in the SAI, which can be obtained free of
charge by contacting the Funds’ transfer agent (the “Transfer Agent”) at
1‑800‑960‑0188.
Advisory
Fees
For
the services it provides to the Funds, each Fund pays the Advisor a unified
management fee, which is calculated daily and paid monthly, at an annual rate of
0.85% of each Fund’s average daily net assets. For the fiscal year ended
December 31, 2021, each Fund paid its investment adviser the full amount of
the advisory fee.
iM
Global, not the Funds, is responsible for payment of the sub‑advisory fee to the
manager, which is compensated monthly on the basis of each Fund’s net
assets. The Advisor also is responsible for each Fund’s ordinary operating
expenses other than interest charges on any borrowings, dividends and other
expenses on securities sold short, taxes, brokerage commissions and other
transactional expenses, accrued deferred tax liability, and extraordinary
expenses.
A
discussion regarding the Board’s basis for approving the Funds’ investment
advisory agreements with iM Global and the Sub‑Advisor is included in the Funds’
Annual Report to Shareholders for the fiscal year ended December 31,
2021.
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Fund Management and Investment Styles |
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15 |
Fund Management and Investment Styles — (Continued)
The
Sub‑Advisor
Andrew
Beer
Mathias
Mamou-Mani
Dynamic
Beta investments, LLC
12
East 49th Street
New
York, NY 10017
Andrew
Beer and Mathias Mamou-Mani are the portfolio managers for the Funds. Beer is a
Managing Member and Co‑Portfolio Advisor of Dynamic Beta investments, LLC (“DBi”
or the “Sub‑Advisor”). Prior to founding DBi in 2012, Beer co‑founded Pinnacle
Asset Management, a commodity investment firm, and was a founder of Apex Capital
Management, a hedge fund focused on the Greater China Region. Beer’s extensive
experience in the hedge business started in 1994, when he joined the Baupost
Group, Inc., a leading hedge fund firm, as a portfolio manager. He holds an MBA
from Harvard Business School and his AB degree from Harvard College. Mamou-Mani
is a Managing Member of the Sub‑Advisor and has over 13 years of experience in
asset management at DBi and its predecessors overseeing quantitative research,
including the proprietary replication and liquid solution models, risk systems
and trade implementation. From 2001 to 2006, Mamou-Mani worked as a
consultant/project manager on critical information systems projects for the
French Ministry of Defense, France Telecom and Lafarge. Mamou-Mani holds an MBA
from the NYU Stern School of Business, with a specialization in Quantitative
Finance, and degrees from the University of Paris Dauphine, France.
DBi
is an SEC‑registered investment advisory firm formed in 2012. The Sub‑Advisor is
an asset management company with over $720 million in assets under
management as of December 31, 2021, and is engaged in the business of
offering investment trading advice to private funds and other separately managed
accounts, in addition to the Funds. iM Square Holding 4, LLC, an affiliate of
the Advisor, owns a minority interest in the Sub‑Advisor. The Sub‑Advisor is
registered as a CTA.
Management of the Subsidiary (iMGP DBi Managed Futures
Strategy ETF only). The
Sub‑Advisor also serves as the investment adviser to the Subsidiary, a
wholly-owned and controlled subsidiary of the iMGP DBi Managed Futures Strategy
ETF organized under the laws of the Cayman Islands as an exempted company,
pursuant to an investment advisory agreement with the Subsidiary (the
“Subsidiary Agreement”). The Sub‑Advisor does not receive additional
compensation for its services to the Subsidiary. The investment advisory
agreement between the Sub‑Advisor and the Subsidiary was approved by the Board.
However, because the Subsidiary is not registered under the 1940 Act, it is not
subject to the regulatory protections of the 1940 Act and the iMGP DBi Managed
Futures Strategy ETF, as an investor in the Subsidiary, will not have all of the
protections offered to investors in registered investment companies. Because the
iMGP DBi Managed Futures Strategy ETF wholly owns and controls the Subsidiary,
and the Sub‑Advisor is subject to the oversight of the Board, it is unlikely
that the Subsidiary will take action contrary to the interests of the iMGP DBi
Managed Futures Strategy ETF or its shareholders. Additionally, as part of the
Board’s consideration of
the
sub‑advisory agreement between the Advisor and the Sub‑Advisor, the Board also
considers the Sub‑Advisor’s performance with regard to the Subsidiary.
The
Subsidiary Agreement continues indefinitely, subject to annual renewal by the
Board. However, the Subsidiary may terminate the Subsidiary Agreement if iM
Global terminates its sub‑advisory agreement with the Sub‑Advisor, or if the SEC
takes any action that would prohibit the Sub‑Advisor from providing its
sub‑advisory services to the iMGP DBi Managed Futures Strategy ETF. In addition,
the Subsidiary or the Sub‑Advisor may terminate the Subsidiary Agreement by
giving at least 90 days’ written notice to the other party.
In
addition, the iMGP DBi Managed Futures Strategy ETF complies with applicable
requirements of the 1940 Act relating to investment policies, capital structure,
and leverage on an aggregate basis with the Subsidiary, and the Subsidiary will
comply with applicable requirements of the 1940 Act relating to affiliated
transactions and custody of assets.
CFTC Regulation. Because of the nature of their
investments, the Funds are subject to regulation under the Commodities Exchange
Act, as amended (the “CEA”), as commodity pools and the Sub‑Advisor is subject
to regulation under the CEA as a commodity pool operator (“CPO”), as those terms
are defined under the CEA. The Sub‑Advisor is regulated by the CFTC, the
National Futures Association and the SEC and is subject to each regulator’s
disclosure requirements. The CFTC has adopted rules that are intended to
harmonize certain CEA disclosure requirements with SEC disclosure requirements,
including Rule 4.12(c)(3)(i) under the CEA, which requires the CPO of a
registered investment company with less than three years of operating history to
disclose the performance of all accounts and pools that are managed by the CPO
and that have investment objectives, policies and strategies substantially
similar to those of the newly-formed registered investment company. The
Sub‑Advisor currently manages accounts (each a “Composite”) that have an
investment objective and investment policies and strategies that are
substantially similar to those of each Fund. The performance of each Composite
is provided below.
The
performance of each Composite does not represent the past performance of each
Fund and is not indicative of the future performance of the Fund. The Funds and
the Composites are subject to different fees and expenses, and the Funds are
subject to investment restrictions and requirements, including those imposed by
the 1940 Act and the Code, that are not applicable to the Composites. In
addition, the effect of taxes on any investor will depend on such person’s tax
status, and the results below have not been reduced to reflect any income tax
(federal, state, local or non‑U.S.) that may have been payable.
The
information shown below does not represent each Fund’s performance, is not a
substitute for such performance, and should not be considered a guarantee or
prediction of the future performance of each Fund.
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16 |
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Litman
Gregory Funds Trust |
Composite
– Average Annual Return for the Periods Ended December 31, 2021
(Unaudited)
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1 Year |
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3 Year |
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5 Year |
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Since Inception (July
11, 2016) |
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DBi
Managed Futures Strategy ETF |
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Composite – Net of Fees and
Expenses |
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11.38% |
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8.44% |
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5.88% |
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4.24% |
|
Composite – Gross of Fees and
Expenses |
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11.38% |
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8.57% |
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6.38% |
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4.78% |
|
DBi
Hedge Strategy ETF |
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Composite – Net of Fees and
Expenses |
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4.92% |
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13.92% |
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9.71% |
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9.44% |
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Composite – Gross of Fees and
Expenses |
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4.92% |
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14.23% |
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10.33% |
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10.11% |
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Fund Management and Investment Styles |
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17 |
Shareholder
Services
How
to Buy and Sell Shares
The
Funds issue and redeem Shares at NAV only in Creation Units. Only Authorized
Participants (“APs”) may acquire Shares directly from the Funds, and only APs
may tender their Shares for redemption directly to the Funds, at NAV. APs must
be a member or participant of a clearing agency registered with the SEC and must
execute a Participant Agreement that has been agreed to by the Distributor, and
that has been accepted by the Transfer Agent, with respect to purchases and
redemptions of Creation Units. Once created, Shares trade in the secondary
market in quantities less than a Creation Unit.
Most
investors buy and sell individual Shares in secondary market transactions
through brokers. Shares are listed for trading on the Exchange and can be bought
and sold throughout the trading day like other publicly traded securities.
When
buying or selling Shares through a broker, you will incur customary brokerage
commissions and charges, and you may pay some or all of the spread between the
bid and the offer price in the secondary market on each leg of a round trip
(purchase and sale) transaction. In addition, because secondary market
transactions occur at market prices, you may pay more than NAV when you buy
Shares, and receive less than NAV when you sell those Shares.
Book-Entry
Shares
are held in book-entry form, which means that no stock certificates are issued.
The Depository Trust Company (“DTC”) or its nominee is the record owner of all
outstanding Shares.
Investors
owning Shares are beneficial owners as shown on the records of DTC or its
participants. DTC serves as the securities depository for all Shares. DTC’s
participants include securities brokers and dealers, banks, trust companies,
clearing corporations, and other institutions that directly or indirectly
maintain a custodial relationship with DTC. As a beneficial owner of Shares, you
are not entitled to receive physical delivery of stock certificates or to have
Shares registered in your name, and you are not considered a registered owner of
Shares. Therefore, to exercise any right as an owner of Shares, you must rely
upon the procedures of DTC and its participants. These procedures are the same
as those that apply to any other securities that you hold in book-entry or
“street name” through your brokerage account.
Share
Trading Prices on the Exchange
Trading
prices of Shares on the Exchange may differ from a Fund’s daily NAV. Market
forces of supply and demand, economic conditions, and other factors may affect
the trading prices of Shares. To provide additional information regarding the
indicative value of Shares, the Exchange or a market data vendor disseminates
information every 15 seconds through the facilities of the Consolidated Tape
Association or other widely disseminated means an updated “intraday indicative
value” (“IIV”) for Shares as calculated by an information provider or market
data vendor. The Funds are not involved in or responsible for any aspect of the
calculation or dissemination of the IIVs and make no representation or warranty
as to the accuracy of the IIVs. If the calculation of the IIV is based on the
basket of Deposit Securities
and/or
a designated amount of U.S. cash, such IIV may not represent the best possible
valuation of a Fund’s portfolio because the basket of Deposit Securities does
not necessarily reflect the precise composition of a Fund’s current portfolio at
a particular point in time and does not include a reduction for the fees,
operating expenses, or transaction costs incurred by such Fund. The IIV should
not be viewed as a “real-time” update of each Fund’s NAV because the IIV may not
be calculated in the same manner as the NAV, which is computed only once a day,
typically at the end of the business day. The IIV is generally determined by
using both current market quotations and/or price quotations obtained from
broker-dealers that may trade in the Deposit Securities.
Frequent
Purchases and Redemptions of Shares
Each
Fund imposes no restrictions on the frequency of purchases and redemptions of
Shares. In determining not to adopt a policy restricting frequent trading in the
Funds, the Board evaluated the risks of market timing activities by each Fund’s
shareholders. Purchases and redemptions by APs, who are the only parties that
may purchase or redeem Shares directly with the Funds, are an essential part of
the ETF process and help keep Share trading prices in line with NAV. As such,
the Funds accommodate frequent purchases and redemptions by APs. However,
frequent purchases and redemptions for cash may increase tracking error and
portfolio transaction costs and may lead to the realization of capital gains. To
minimize these potential consequences of frequent purchases and redemptions, the
Funds employ fair value pricing and may impose transaction fees on purchases and
redemptions of Creation Units to cover the custodial and other costs incurred by
each Fund in effecting trades. In addition, the Funds and iM Global reserve the
right to reject any purchase order at any time.
Determination
of NAV
Each
Fund’s NAV is calculated as of the scheduled close of regular trading on the New
York Stock Exchange (“NYSE”), generally 4:00 p.m. Eastern Time, each day
the NYSE is open for business. The NAV is calculated by dividing each Fund’s net
assets by its Shares outstanding.
In
calculating its NAV, each Fund generally values its assets on the basis of
market quotations, last sale prices, or estimates of value furnished by a
pricing service or brokers who make markets in such instruments. If such
information is not available for a security held by a Fund or is determined to
be unreliable, the security will be valued at fair value estimates under
guidelines established by the Board (as described below).
Applicable
federal tax requirements generally limit the degree to which the iMGP DBi
Managed Futures Strategy ETF may invest in the Subsidiary to an amount not
exceeding 25% of its total assets. The Subsidiary prices its portfolio
investments pursuant to the same pricing and valuation methodologies and
procedures employed by the iMGP DBi Managed Futures Strategy ETF. The Subsidiary
offers to redeem all or a portion of its shares at the current NAV per share
every day the iMGP DBi Managed Futures Strategy ETF is open for business. The
value of shares of the Subsidiary will fluctuate with the value of the
Subsidiary’s portfolio investments.
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18 |
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Gregory Funds Trust |
Fair
Value Pricing
The
Board has adopted procedures and methodologies to fair value each Fund’s
securities whose market prices are not “readily available” or are deemed to be
unreliable. For example, such circumstances may arise when: (i) a security
has been de‑listed or has had its trading halted or suspended; (ii) a
security’s primary pricing source is unable or unwilling to provide a price;
(iii) a security’s primary trading market is closed during regular market
hours; or (iv) a security’s value is materially affected by events
occurring after the close of the security’s primary trading market. Generally,
when fair valuing a security, each Fund will take into account all reasonably
available information that may be relevant to a particular valuation including,
but not limited to, fundamental analytical data regarding the issuer,
information relating to the issuer’s business, recent trades or offers of the
security, general and/or specific market conditions and the specific facts
giving rise to the need to fair value the security. Fair value determinations
are made in good faith and in accordance with the fair value methodologies
included in the Board-adopted valuation procedures. Due to the subjective and
variable nature of fair value pricing, there can be no assurance that the
Advisor will be able to obtain the fair value assigned to the security upon the
sale of such security.
Delivery
of Shareholder Documents – Householding
Householding
is an option available to certain investors of the Funds. Householding is a
method of delivery, based on the preference of the individual investor, in which
a single copy of certain shareholder documents can be delivered to investors who
share the same address, even if their accounts are registered under different
names. Householding for the Funds is available through certain broker-dealers.
If you are interested in enrolling in householding and receiving a single copy
of prospectuses and other shareholder documents, please contact your
broker-dealer. If you are currently enrolled in householding and wish to change
your householding status, please contact your broker-dealer.
Dividends,
Distributions, and Taxes
Dividends
and Distributions
Each
Fund intends to pay out dividends and interest income, if any, quarterly and
distribute net realized capital gains, if any, to its shareholders at least
annually. Each Fund will declare and pay income and capital gain distributions
in cash. Distributions in cash may be reinvested automatically in additional
whole Shares only if the broker through whom you purchased Shares makes such
option available. Your broker is responsible for distributing the income and
capital gain distributions to you.
Taxes
The
following discussion is a summary of some important U.S. federal income tax
considerations generally applicable to investments in the Funds. Your investment
in a Fund may have other tax implications. Please consult your tax advisor about
the tax consequences of an investment in Shares, including the possible
application of foreign, state, and local tax laws.
The
tax legislation commonly referred to as the Tax Cuts and Jobs Act (the “Tax
Act”) made significant changes to the U.S. federal income tax rules for taxation
of individuals and corporations, generally effective for taxable years beginning
after December 31, 2017. Many of the changes applicable to individuals are
temporary and would apply only to taxable years beginning after
December 31, 2017 and before January 1, 2026. There were only minor
changes with respect to the specific rules only applicable to a RIC, such as the
Funds. The Tax Act, however, made numerous other changes to the tax rules that
may affect shareholders and the Funds. Subsequent legislation has modified
certain changes to the U.S. federal income tax rules made by the Tax Act which
may, in addition, affect shareholders and the Funds. You are urged to consult
with your own tax advisor regarding how this legislation affects your investment
in the Funds.
Each
Fund intends to qualify each year for treatment as a RIC under the Code. As long
as each Fund qualifies for treatment as a RIC and meets certain minimum
distribution requirements, then it generally is not subject to federal income
tax at the fund level on income and gains from investments that are timely
distributed to shareholders. However, a Fund’s failure to qualify as a RIC or to
meet minimum distribution requirements would result (if certain relief
provisions were not available) in fund-level taxation as a regular corporation
and, consequently, a reduction in income available for distribution to
shareholders.
Unless
your investment in Shares is made through a tax‑exempt entity or tax‑advantaged
account, such as an IRA or 401(k) plan, you need to be aware of the possible tax
consequences when a Fund makes distributions, when you sell your Shares listed
on the Exchange, and when you purchase or redeem Creation Units (institutional
investors only).
Taxes on Distributions. Taxes on distributions
of capital gains (if any) are determined by how long a Fund owned the
investments that generated them, rather than how long a shareholder has owned
his or her Shares. Sales of assets held by a Fund for more than one year
generally result in long-term capital gains and losses, and sales of assets held
by a Fund for one year or less generally result in short-term capital gains and
losses. Distributions of a Fund’s net capital gain (the excess of net long-term
capital gains over net short-term capital losses) that are reported by such Fund
as capital gain dividends (“Capital Gain Dividends”) will be taxable as
long-term capital gains, which for non‑corporate shareholders are subject to tax
at reduced rates of up to 20% (lower rates apply to individuals in lower tax
brackets). Distributions of short-term capital gain will generally be taxable as
ordinary income. Dividends and distributions are generally taxable to you
whether you receive them in cash or reinvest them in additional Shares.
Distributions
reported by a Fund as “qualified dividend income” are generally taxed to
non‑corporate shareholders at rates applicable to long-term capital gains,
provided holding period and other requirements are met. “Qualified dividend
income” generally is income derived from dividends paid by U.S. corporations or
certain foreign corporations that are either incorporated in a U.S. possession
or eligible for tax benefits under certain U.S. income tax treaties. In
addition, dividends that a Fund
Shareholder Services — (Continued)
received
in respect of stock of certain foreign corporations may be qualified dividend
income if that stock is readily tradable on an established U.S. securities
market.
Shortly
after the close of each calendar year, you will be informed of the character of
any distributions received from a Fund.
In
addition to the federal income tax, certain individuals, trusts and estates may
be subject to a Net Investment Income (“NII”) tax of 3.8%. The NII tax is
imposed on the lesser of: (i) the taxpayer’s investment income, net of
deductions properly allocable to such income; or (ii) the amount by which
the taxpayer’s modified adjusted gross income exceeds certain thresholds
($250,000 for married individuals filing jointly, $200,000 for unmarried
individuals and $125,000 for married individuals filing separately). Each Fund’s
distributions are includable in a shareholder’s investment income for purposes
of this NII tax. In addition, any capital gain realized by a shareholder upon a
sale or redemption of Shares is includable in such shareholder’s investment
income for purposes of this NII tax.
In
general, your distributions are subject to federal income tax for the year in
which they are paid. Certain distributions paid in January, however, may be
treated as paid on December 31 of the prior year. Distributions are
generally taxable even if they are paid from income or gains earned by a Fund
before your investment (and thus were included in the Shares’ NAV when you
purchased your Shares).
You
may wish to avoid investing in a Fund shortly before a dividend or other
distribution, because such a distribution will generally be taxable even though
it may economically represent a return of a portion of your investment.
If
you are neither a resident nor a citizen of the United States or if you are a
foreign entity, distributions (other than Capital Gain Dividends) paid to you by
a Fund will generally be subject to a U.S. withholding tax at the rate of 30%
unless a lower treaty rate applies. A Fund may, under certain circumstances,
report all or a portion of a dividend as an “interest-related dividend” or a
“short-term capital gain dividend,” which would generally be exempt from this
30% U.S. withholding tax, provided certain other requirements are met.
The
Funds (or a financial intermediary, such as a broker, through which a
shareholder owns Shares) generally are required to withhold and remit to the
U.S. Treasury a percentage of the taxable distributions and sale or redemption
proceeds paid to any shareholder who fails to properly furnish a correct
taxpayer identification number, who has underreported dividend or interest
income, or who fails to certify that he, she or it is not subject to such
withholding.
Taxes When Shares are Sold on the Exchange. Any
capital gain or loss realized upon a sale of Shares generally is treated as a
long-term capital gain or loss if Shares have been held for more than one year
and as a short-term capital gain or loss if Shares have been held for one year
or less. However, any capital loss on a sale of Shares held for six months or
less is treated as long-term capital loss to the extent of Capital Gain
Dividends paid with respect to such Shares. The ability to deduct capital losses
may be limited.
Taxes on Purchases and Redemptions of Creation
Units. An AP having the U.S. dollar as its functional currency for U.S.
federal income tax purposes who exchanges securities for Creation Units
generally recognizes a gain or a loss. The gain or loss will be equal to the
difference between the value of the Creation Units at the time of the exchange
and the exchanging AP’s aggregate basis in the securities delivered plus the
amount of any cash paid for the Creation Units. An AP who exchanges Creation
Units for securities will generally recognize a gain or loss equal to the
difference between the exchanging AP’s basis in the Creation Units and the
aggregate U.S. dollar market value of the securities received, plus any cash
received for such Creation Units. The IRS may assert, however, that a loss that
is realized upon an exchange of securities for Creation Units may not be
currently deducted under the rules governing “wash sales” (for an AP who does
not mark‑to‑market their holdings), or on the basis that there has been no
significant change in economic position. Persons exchanging securities should
consult their own tax advisor with respect to whether wash sale rules apply and
when a loss might be deductible.
Any
capital gain or loss realized upon redemption of Creation Units is generally
treated as long-term capital gain or loss if Shares comprising the Creation
Units have been held for more than one year and as a short-term capital gain or
loss if such Shares have been held for one year or less.
Each
Fund may include a payment of cash in addition to, or in place of, the delivery
of a basket of securities upon the redemption of Creation Units. A Fund may sell
portfolio securities to obtain the cash needed to distribute redemption
proceeds. This may cause a Fund to recognize investment income and/or capital
gains or losses that it might not have recognized if it had completely satisfied
the redemption in‑kind. As a result, a Fund may be less tax efficient if it
includes such a cash payment in the proceeds paid upon the redemption of
Creation Units.
Tax Risks of Investment in Subsidiary (iMGP DBi Managed Futures
Strategy ETF only). The
investment of up to 25% of a fund’s assets in a CFC, such as the Subsidiary, is
a structure that has been used by a number of RICs as a way of indirectly making
commodities-related investments that would not generate qualifying income if
they were made directly by a RIC (as a further precaution, the iMGP DBi Managed
Futures Strategy ETF intends to invest only up to 20% of its assets in the
Subsidiary). Code Section 851(b) generally provides that income earned by a
CFC, such as the Subsidiary, will be treated as qualifying income for a RIC
provided that the CFC actually distributes those earnings out to the RIC each
year. As noted above, during the time period from 2006 through 2011, the IRS
issued a number of private letter rulings to other funds (which the iMGP DBi
Managed Futures Strategy ETF cannot rely upon or cite as precedent) in which the
IRS ruled that income derived from a fund’s investment in a CFC such as the
Subsidiary would generally constitute qualifying income for the fund, even if
the CFC itself engaged in transactions that would not generate qualifying income
if they were engaged in by the fund itself and even if the earnings of the CFC
were not distributed to the fund each year. In 2011, however, the IRS suspended
the issuance of such private letter rulings pending further review of the
subject. In September 2016, the IRS issued
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Litman
Gregory Funds Trust |
Proposed
Treasury Regulations which would treat income derived by the Fund from the
Subsidiary as qualifying income only to the extent that such income is currently
distributed to the Fund. However, in 2019, the IRS issued final Treasury
Regulations which treat income derived by the Fund from the Subsidiary as
qualifying income regardless of whether such amounts are distributed.
Taxation of the Subsidiary (iMGP DBi Managed Futures
Strategy ETF only). There
is, at present, no direct taxation in the Cayman Islands and interest, dividends
and gains payable to the Subsidiary will be received free of all Cayman Islands
taxes. The Subsidiary is registered as an “exempted company” pursuant to the
Companies Law (as amended). The Subsidiary has received an undertaking from the
Governor in Cabinet of the Cayman Islands to the effect that, for a period of
twenty years from the date of the undertaking, no law that thereafter is enacted
in the Cayman Islands imposing any tax or duty to be levied on profits, income
or on gains or appreciation, or any tax in the nature of estate duty or
inheritance tax, will apply to any property comprised in or any income arising
under the Subsidiary, or to the shareholders thereof, in respect of any such
property or income.
Taxation of Foreign Shareholders. If you are a
nonresident alien individual or a foreign corporation for U.S. federal income
tax purposes, please see the Funds’ SAI for information on how you will be taxed
as a result of holding Shares.
The foregoing discussion summarizes some of the
possible consequences under current federal tax law of an investment in the
Funds. It is not a substitute for personal tax advice. You also may be subject
to state and local tax on a Fund’s distributions and sales of Shares. Consult
your personal tax advisor about the potential tax consequences of an investment
in Shares under all applicable tax laws. For more information, please see the
section entitled “Taxation” in the SAI.
Distribution
ALPS
Distributors, Inc. is a broker-dealer registered with the U.S. Securities and
Exchange Commission. The Distributor distributes Creation Units for each Fund on
an agency basis and does not maintain a secondary market in Shares. The
Distributor has no role in determining the policies of the Funds or the
securities that are purchased or sold by the Funds. The Distributor’s principal
address is 1290 Broadway, Denver, CO 80203.
The
Board has adopted a Distribution and Service Plan (the “Rule 12b‑1 Plan”)
pursuant to Rule 12b‑1 under the 1940 Act. In accordance with the Rule 12b‑1
Plan, each Fund is authorized to pay an amount up to 0.25% of its average daily
net assets each year to pay distribution fees for the sale and distribution of
its Shares.
No
fees are currently paid by the Funds pursuant to the Rule 12b‑1 Plan, and such
fees are not expected to be imposed. However, in the event fees are charged
pursuant to the Rule 12b‑1 Plan in the future, because the fees are ongoing,
over time these fees will increase the cost of your investment and may cost you
more than certain other types of sales charges.
The
Advisor, out of its own resources and legitimate profits and without additional
cost to the Funds or their shareholders, may provide cash payments to certain
intermediaries, sometimes referred to as revenue sharing. These payments are in
addition to or in lieu of any amounts payable to financial intermediaries under
the Rule 12b‑1 Plan. The Advisor may make revenue sharing payments to
intermediaries for shareholder services or distribution-related services, such
as: marketing support services; access to third party platforms; access to sales
meetings, sales representatives and management representatives of the
intermediary; and inclusion of the Funds on a sales list, including a preferred
or select sales list, and in other sales programs. The Advisor may also pay cash
compensation in the form of finder’s fees that vary depending on the dollar
amount of the Shares sold. From time to time, and in accordance with applicable
rules and regulations, the Advisor may also provide non‑cash compensation to
representatives of various intermediaries who sell Shares or provide services to
a Fund’s shareholders.
Premium/Discount
Information
Information
regarding how often Shares traded on the Exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV per Share is
available, free of charge, on the Funds’ website at
www.imgpfunds.com.
Additional
Notices
Shares
are not sponsored, endorsed, or promoted by the Exchange. The Exchange is not
responsible for, nor has it participated in the determination of, the timing,
prices, or quantities of Shares to be issued, nor in the determination or
calculation of the equation by which Shares are redeemable. The Exchange has no
obligation or liability to owners of Shares in connection with the
administration, marketing, or trading of Shares.
Without
limiting any of the foregoing, in no event shall the Exchange have any liability
for any lost profits or indirect, punitive, special, or consequential damages
even if notified of the possibility thereof.
The
Advisor and each Fund make no representation or warranty, express or implied, to
the owners of Shares or any member of the public regarding the advisability of
investing in securities generally or in a Fund particularly.
Financial
Highlights
The
financial highlights tables are intended to help you understand the Funds’
financial performance for the fiscal years or periods indicated. Certain
information reflects financial results for a single Fund share. The total
returns in the tables represent the rate that an investor would have earned or
lost on an investment in a Fund (assuming reinvestment of all dividends and
distributions). Financial information for the fiscal year ended
December 31, 2021 has been audited by Cohen & Company, Ltd., the
Funds’ independent registered public accounting firm, whose report, along with
the Funds’ financial statements, is included in the Funds’ Annual Report to
Shareholders, which is available upon request. Financial information for fiscal
years or periods prior to December 31, 2021 have been audited by the
Predecessor Funds’ independent registered public accounting firm.
iMGP
DBi Managed Futures Strategy ETF
(formerly,
iM DBi Managed Futures Strategy ETF)
|
|
CONSOLIDATED
FINANCIAL HIGHLIGHTS |
For
a capital share outstanding throughout each period
|
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|
|
|
|
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|
|
Year Ended December 31, |
|
|
May 7,
2019**
through December 31, 2019 |
|
|
|
2021 |
|
|
2020 |
|
Net
asset value, beginning of period |
|
$ |
25.58 |
|
|
$ |
25.34 |
|
|
$ |
25.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Income
from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
Net
investment income (loss)1 |
|
|
(0.26 |
) |
|
|
(0.14 |
) |
|
|
0.15 |
|
|
|
|
|
|
|
|
|
Net
realized gain (loss) and net change in unrealized
appreciation/depreciation on investments and futures contracts |
|
|
2.78 |
|
|
|
0.60 |
|
|
|
2.55 |
|
|
|
|
|
|
|
|
|
Total
income from investment operations |
|
|
2.52 |
|
|
|
0.46 |
|
|
|
2.70 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Less
distributions: |
|
|
|
|
|
|
|
|
|
|
|
|
From net investment income |
|
|
(0.35 |
) |
|
|
(0.02 |
) |
|
|
(0.11 |
) |
From
net realized gains |
|
|
(1.18 |
) |
|
|
(0.20 |
) |
|
|
(2.25 |
) |
Return of
capital |
|
|
(1.15 |
) |
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
Total
distributions |
|
|
(2.68 |
) |
|
|
(0.22 |
) |
|
|
(2.36 |
) |
|
|
|
|
|
|
|
|
Net
asset value, end of period |
|
$ |
25.42 |
|
|
$ |
25.58 |
|
|
$ |
25.34 |
|
|
|
|
|
|
|
|
|
Market
price, end of period |
|
$ |
25.80 |
|
|
$ |
25.56 |
|
|
$ |
25.33 |
|
|
|
|
|
|
|
|
|
Net
asset value total return |
|
|
9.80 |
% |
|
|
1.84 |
% |
|
|
10.76 |
%+ |
|
|
|
|
Market
price total return |
|
|
11.38 |
% |
|
|
1.79 |
% |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios/supplemental
data: |
|
|
|
|
|
|
|
|
|
|
|
|
Net
assets, end of period (thousands) |
|
$ |
60,379 |
|
|
$ |
36,454 |
|
|
$ |
18,369 |
|
|
|
|
|
|
|
|
|
Ratios
of total expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
Before
fees waived |
|
|
0.95 |
%2 |
|
|
0.85 |
% |
|
|
0.85 |
%* |
|
|
|
|
|
|
|
|
After
fees waived |
|
|
0.95 |
%2 |
|
|
0.85 |
% |
|
|
0.85 |
%* |
|
|
|
|
|
|
|
|
Ratio
of net investment income (loss) to average net assets |
|
|
(0.93 |
)%2 |
|
|
(0.55 |
)% |
|
|
0.84 |
%* |
|
|
|
|
|
|
|
|
Portfolio
turnover rate |
|
|
0.00 |
% |
|
|
0.00 |
% |
|
|
0.00 |
%+ |
|
|
|
|
|
|
|
|
** |
|
Commencement of
operations was May 7, 2019. |
1 |
|
Calculated based on the
average shares outstanding methodology. |
2 |
|
Includes broker interest
expense of 0.10% of average net assets. |
|
|
|
|
|
|
|
|
|
|
|
22 |
|
|
|
|
|
Litman
Gregory Funds Trust |
iMGP
DBi Hedge Strategy ETF
(formerly,
iM DBi Hedge Strategy ETF)
For
a capital share outstanding throughout each period
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended December 31, |
|
|
December 17, 2019** through December 31,
2019 |
|
|
|
2021 |
|
|
2020 |
|
Net
asset value, beginning of period |
|
$ |
30.87 |
|
|
$ |
25.00 |
|
|
$ |
25.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Income
from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
Net
investment income (loss)1 |
|
|
(0.27 |
) |
|
|
(0.12 |
) |
|
|
0.00 |
† |
|
|
|
|
|
|
|
|
Net
realized gain (loss) and net change in unrealized
appreciation/depreciation on investments and futures contracts |
|
|
1.83 |
|
|
|
6.01 |
|
|
|
0.00 |
† |
|
|
|
|
|
|
|
|
Total
income from investment operations |
|
|
1.56 |
|
|
|
5.89 |
|
|
|
0.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Less
distributions: |
|
|
|
|
|
|
|
|
|
|
|
|
From
net investment income |
|
|
— |
|
|
|
(0.02 |
) |
|
|
(0.00 |
)† |
From
net realized gains |
|
|
(4.81 |
) |
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
Total
distributions |
|
|
(4.81 |
) |
|
|
(0.02 |
) |
|
|
(0.00 |
) |
|
|
|
|
|
|
|
|
Net
asset value, end of period |
|
$ |
27.62 |
|
|
$ |
30.87 |
|
|
$ |
25.00 |
|
|
|
|
|
|
|
|
|
Market
price, end of period |
|
$ |
27.61 |
|
|
$ |
30.86 |
|
|
$ |
25.03 |
|
|
|
|
|
|
|
|
|
Net
asset value total return |
|
|
5.05 |
% |
|
|
23.58 |
% |
|
|
0.01 |
%+ |
|
|
|
|
|
|
|
|
Market
price total return |
|
|
4.92 |
% |
|
|
23.42 |
% |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios/supplemental
data: |
|
|
|
|
|
|
|
|
|
|
|
|
Net
assets, end of period (thousands) |
|
$ |
17,261 |
|
|
$ |
18,520 |
|
|
$ |
16,250 |
|
|
|
|
|
|
|
|
|
Ratios
of total expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
Before
fees waived |
|
|
0.85 |
% |
|
|
0.85 |
% |
|
|
0.85 |
%* |
|
|
|
|
|
|
|
|
After
fees waived |
|
|
0.85 |
% |
|
|
0.85 |
% |
|
|
0.85 |
%* |
|
|
|
|
|
|
|
|
Ratio
of net investment income (loss) to average net assets |
|
|
(0.83 |
)% |
|
|
(0.47 |
)% |
|
|
0.48 |
%* |
|
|
|
|
|
|
|
|
Portfolio
turnover rate |
|
|
0.00 |
% |
|
|
0.00 |
% |
|
|
0.00 |
%+ |
|
|
|
|
|
|
|
|
** |
|
Commencement of
operations was December 17, 2019. |
† |
|
Amount represents less
than $0.01 per share. |
1 |
|
Calculated based on the
average shares outstanding methodology. |
Index
Descriptions
SG
CTA Index calculates the net daily rate of return for a pool of CTAs selected
from the largest managers open to new investment. It is equal-weighted and
reconstituted annually.
HFRX
Equity Hedge Index measures the performance of the hedge fund market. Equity
hedge strategies maintain positions both long and short in primarily equity and
equity derivative securities. A wide variety of investment processes can be
employed to arrive at an investment decision, including both quantitative and
fundamental techniques; strategies can be broadly diversified or narrowly
focused on specific sectors and can range broadly in terms of levels of net
exposure, leverage employed, holding period, concentration of market
capitalizations and valuation ranges of typical portfolios.
Direct
investment in an index is not possible.
|
|
|
|
|
|
|
|
|
|
|
24 |
|
|
|
|
|
Litman
Gregory Funds Trust |
|
Statement
of Additional Information: |
The
SAI contains additional information about the Funds. A current SAI is on file
with the SEC, is incorporated by reference, and is legally considered a part of
this Prospectus.
Annual
and Semi-Annual Reports:
Additional
information about the Funds’ investments is available in the Funds’ Annual and
Semi-Annual Reports to Shareholders, which are available on the Funds’ website
(http://imgpfunds.com). In the Funds’ Annual Report, you will find a discussion
of the market conditions and investment strategies that significantly affected
the Funds’ performance during the last fiscal year.
The
SAI and the Funds’ Annual and Semi-Annual Reports to Shareholders are available,
without charge, upon request. To request an SAI or the Funds’ Annual or
Semi-Annual Reports to Shareholders, or to make shareholder inquiries or to
obtain other information about the Funds, please call 1‑800‑960‑0188. You may
also obtain a copy of the SAI or Funds’ Annual or Semi-Annual Reports, free of
charge, by accessing the Funds’ website (http://www.imgpfunds.com), or by
writing to the Funds.
SEC
Contact Information:
If
you have access to the Internet, you can view the SAI, the Funds’ Annual or
Semi-Annual Reports to Shareholders and other information about the Funds on the
EDGAR Database at the Securities and Exchange Commission’s (“SEC”) internet site
at www.sec.gov. You may request copies of information available on the EDGAR
Database by an electronic request at the following E‑mail address:
[email protected]. The SEC charges a
duplicating fee for this service.
Fund
Information:
|
|
|
|
|
|
|
|
|
|
|
|
|
Fund |
|
Abbreviation |
|
Symbol |
|
CUSIP |
|
|
Fund Number |
|
iMGP
DBi Managed Futures Strategy ETF |
|
Managed Futures Strategy |
|
DBMF |
|
|
53700T827 |
|
|
|
Y7AX |
|
iMGP
DBi Hedge Strategy ETF |
|
Hedge
Strategy |
|
DBEH |
|
|
53700T835 |
|
|
|
Y7AW |
|
Website:
|
|
|
Litman
Gregory Funds Trust
P.O.
Box 219922
Kansas
City, MO 64121-9922
1‑800‑960‑0188 |
|
ALPS
Distributors, Inc. Denver, Colorado 80203
©
2022 iM Global Partner Fund Management, LLC. All rights
reserved. |
Investment
Company Act File No: 811‑07763