Retireful, LLC
120 N.
Washington, Suite 300
Lansing, MI 48933
1-866-464-6608
www.mohrfunds.com
Annual Shareholder Report
Mohr Growth ETF (MOHR)
Mindful Conservative ETF (MFUL)
Adaptive Core ETF (RULE)
September 30, 2022
Portfolios of Investments |
|
TABLE OF CONTENTS
Annual Shareholder Report | 1
From inception in early-November, MOHR had a difficult, transitional market to navigate. Breadth deteriorated as large (FANG+ stocks) and small companies struggled to close out the year. Nevertheless, MOHR’s allocations to broad ETFs and its selection of stocks from the S&P 500 and Nasdaq 100 enabled it to end the year down only slightly more than its benchmark, the S&P 500, but poised to engage with growth opportunities or go on the defensive depending where which way the market heads.
MOHR navigated the Q1 decimation of growth stocks with timely allocations to cash, energy stocks, and a utility position. These allocations enabled it to outperform growth stock indexes and other concentrated growth funds though it fell behind broad cap-weighted indexes.
MOHR maintained a defensive stance in the third quarter and entered into a handful of minor positions as the summer rally exhibited evidence of durability. Because of the dominant defensive posture, the portfolio outperformed its benchmark and the S&P 500. As the market rolled over in yet another bear market rally, the minor positions were jettisoned for cash equivalent securities.
Past performance does not guarantee future results. The S&P 500 Index measures the performance of 500 widely held stocks in US equity market. Standard and Poor’s chooses member companies for the index based on market size, liquidity and industry group representation. Included are the stocks of industrial, financial, utility and transportation companies. Since mid 1989, this composition has been more flexible and the number of issues in each sector has varied. It is market capitalization-weighted. Index returns, unlike the Fund’s returns, do not reflect any fees or expenses. Investors cannot invest directly in an index.
Annual Shareholder Report | 2
Management's Discussion
of Fund PerformanceSeptember 30, 2022
(Unaudited)
Mindful Conservative ETF
Regardless of duration or quality, bonds brought little to the table the final two months of the year for MFUL. Because of this and because of a difficult equity market, MFUL returned negative performance from inception to December 31st.
MFUL was pulled down by its constituent asset categories: bonds, allocation funds, and low volatility equities. It was able to avoid the steepest losses among its bond constituents (intermediate corporates fell -9% and intermediate Treasuries fell -7%) through tactical moves toward shorter duration, defensive positions. However, its allocation fund exposure and minor equity exposure prevented it from weathering the period better.
MFUL held firm in ultra-short Treasury bills through the third quarter. These bills offered the portfolio stable value and a yield that’s growing higher as interest rates rise. Given the historic slaughter of the bond market and extreme volatility in all stocks, defensives included, the portfolio determined the safest harbor was ultra-short U.S. government paper.
Past performance does not guarantee future results. Investments in debt securities subject the holder to the credit risk of the issuer. Credit risk refers to the possibility that the issuer or other obligor of a security will not be able or willing to make payments of interest and principal when due. Generally, the value of debt securities will change inversely with changes in interest rates. To the extent that interest rates rise, certain underlying obligations may be paid off substantially slower than originally anticipated and the value of those securities may fall sharply.
Annual Shareholder Report | 3
Management's Discussion
of Fund PerformanceSeptember 30, 2022
(Unaudited)
Adaptive Core ETF
At the launch of RULE in November 2021, in the final two months of the year, the market proved difficult to navigate as equity leadership changed hands consistently and bonds proved a detractor from performance. RULE was able to maneuver through these turbulent two months with a minor loss. From its equity universe (the S&P 100) RULE was unable to gain significant traction until some of the names finally turned around the last week of December 2021. And conservative equities and fixed income failed to contribute to positive performance.
The first quarter’s whipsaw markets made it difficult for RULE to allocate to and capture consistent gains. Equity outperformance was particularly narrow—only two of eleven sectors (energy & utilities) posted positive performance—giving the concentrated equity portion of RULE’s portfolio little opportunity to outrun its benchmark. And the ballast portion of the portfolio—bonds and allocation funds—only further detracted from performance.
RULE’s portfolio kept its heavily defensive tilt into the end of 2022. A few positions traded into and out of the strong bear market rally, but these trades were not accretive to the overall portfolio. The portfolio outperformed its benchmark, the S&P 500, thanks to its allocations to cash and cash-like securities.
Past performance does not guarantee future results. The S&P 500 Index measures the performance of 500 widely held stocks in US equity market. Standard and Poor’s chooses member companies for the index based on market size, liquidity and industry group representation. Included are the stocks of industrial, financial, utility and transportation companies. Since mid 1989, this composition has been more flexible and the number of issues in each sector has varied. It is market capitalization-weighted. Index returns, unlike the Fund’s returns, do not reflect any fees or expenses. The S&P 100, a sub-set of the S&P 500, is designed to measure the performance of large-cap companies in the United States and comprises 100 major blue chip companies across multiple industry groups. Investors cannot invest directly in an index.
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 4
Fund
PerformanceSeptember 30, 2022
(Unaudited)
Mohr Growth ETF
Mohr Growth ETF seeks to provide capital appreciation.
FUND PERFORMANCE (AS OF SEPTEMBER 30, 2022) |
Average |
Expense |
|
Inception(b) |
Total |
Mohr Growth ETF (MOHR) - Total Return (at Net Asset Value)(c) |
-21.70% |
0.96% |
Mohr Growth ETF (MOHR) - Total Return (at Market Value)(d) |
-21.68% |
N/A |
S&P 500 Index(e) |
-21.44% |
N/A |
Hypothetical Growth of a $10,000 Investment (*)
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represent past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed may be worth more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance information current to the most recent month-end, please call 1-866-464-6608 or visit http://www.mohrfunds.com.
* The chart represents historical performance of a hypothetical investment of $10,000 in Mohr Growth ETF and represents the reinvestment of dividends and capital gains in the Fund.
(a) The total expense ratio reflects the gross expense ratio as reported in the Fund’s Prospectus dated October 5, 2021. Please see the Fund’s most recent prospectus for details. Additional information pertaining to the Fund’s expense ratio as of September 30, 2022 can be found in the Financial Highlights.
(b) Commencement of operations November 2, 2021.
(c) Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions, including dividends and return of capital, at net asset value during the period, if any, and redemption on the last day of the period at net asset value. This percentage is not an indication of the performance of a shareholder’s investment in the Fund based on market value due to differences between the market price of the shares and the net asset value per share of the Fund.
(d) Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all distributions, including dividends and return of capital, at net asset value during the period, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price from any primary listing market (e.g., Cboe BZX) or participating regional exchanges or markets. The composite closing price is the last reported sale price from any of the eligible sources, regardless of volume and not an average price and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund’s closing price on the listing market.
(e) The S&P 500 Index measures the performance of 500 widely held stocks in US equity market. Standard and Poor’s chooses member companies for the index based on market size, liquidity and industry group representation. Included are the stocks of industrial, financial, utility and transportation companies. Since mid 1989, this composition has been more flexible and the number of issues in each sector has varied. It is market capitalization-weighted. Index returns, unlike the Fund’s returns, do not reflect any fees or expenses. Investors cannot invest directly in an index.
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 5
Fund
PerformanceSeptember 30, 2022
(Unaudited)
Mindful Conservative ETF
INVESTMENT OBJECTIVE
Mindful Conservative ETF seeks current income.
FUND PERFORMANCE (AS OF SEPTEMBER 30, 2022) |
Average |
Expense |
|
Inception(b) |
Total |
Mindful Conservative ETF (MFUL) - Total Return |
-14.36% |
1.07% |
Mindful Conservative ETF (MFUL) - Total Return |
-14.32% |
N/A |
Dow Jones U.S. Moderately Conservative Portfolio Index(e) |
-16.50% |
N/A |
Hypothetical Growth of a $10,000 Investment (*)
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represent past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed may be worth more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance information current to the most recent month-end, please call 1-866-464-6608 or visit http://www.mohrfunds.com.
* The chart represents historical performance of a hypothetical investment of $10,000 in Mindful Conservative ETF and represents the reinvestment of dividends and capital gains in the Fund.
(a) The total expense ratio reflects the gross expense ratio as reported in the Fund’s Prospectus dated October 5, 2021. Please see the Fund’s most recent prospectus for details. Additional information pertaining to the Fund’s expense ratio as of September 30, 2022 can be found in the Financial Highlights.
(b) Commencement of operations November 2, 2021.
(c) Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions, including dividends and return of capital, at net asset value during the period, if any, and redemption on the last day of the period at net asset value. This percentage is not an indication of the performance of a shareholder’s investment in the Fund based on market value due to differences between the market price of the shares and the net asset value per share of the Fund.
(d) Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all distributions, including dividends and return of capital, at net asset value during the period, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price from any primary listing market (e.g., Cboe BZX) or participating regional exchanges or markets. The composite closing price is the last reported sale price from any of the eligible sources, regardless of volume and not an average price and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund’s closing price on the listing market.
(e) Dow Jones U.S. Moderately Conservative Portfolio Index is designed to measure a portfolio of equities, bonds, and cash, representative of an investor’s risk profile. The equities position represents 40%, which is a mix of Dow Jones U.S. Indexes. Bonds and cash represent the remaining 60% of the portfolio. Index returns, unlike the Fund’s returns, do not reflect any fees or expenses. Investors cannot invest directly in an index.
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 6
Fund
PerformanceSeptember 30, 2022
(Unaudited)
Adaptive Core ETF
INVESTMENT OBJECTIVE
Adaptive Core ETF seeks current income.
FUND PERFORMANCE (AS OF SEPTEMBER 30, 2022) |
Average |
Expense |
|
Inception(b) |
Total |
Adaptive Core ETF (RULE) - Total Return (at Net Asset Value)(c) |
-22.28% |
0.91% |
Adaptive Core ETF (RULE) - Total Return (at Market Value)(d) |
-22.28% |
N/A |
S&P 500 Index(e) |
-21.44% |
N/A |
Hypothetical Growth of a $10,000 Investment (*)
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represent past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed may be worth more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance information current to the most recent month-end, please call 1-866-464-6608 or visit http://www.mohrfunds.com.
* The chart represents historical performance of a hypothetical investment of $10,000 in Adaptive Core ETF and represents the reinvestment of dividends and capital gains in the Fund.
(a) The total expense ratio reflects the gross expense ratio as reported in the Fund’s Prospectus dated October 5, 2021. Please see the Fund’s most recent prospectus for details. Additional information pertaining to the Fund’s expense ratio as of September 30, 2022 can be found in the Financial Highlights.
(b) Commencement of operations November 2, 2021.
(c) Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions, including dividends and return of capital, at net asset value during the period, if any, and redemption on the last day of the period at net asset value. This percentage is not an indication of the performance of a shareholder’s investment in the Fund based on market value due to differences between the market price of the shares and the net asset value per share of the Fund.
(d) Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all distributions, including dividends and return of capital, at net asset value during the period, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price from any primary listing market (e.g., Cboe BZX) or participating regional exchanges or markets. The composite closing price is the last reported sale price from any of the eligible sources, regardless of volume and not an average price and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund’s closing price on the listing market.
(e) The S&P 500 Index measures the performance of 500 widely held stocks in US equity market. Standard and Poor’s chooses member companies for the index based on market size, liquidity and industry group representation. Included are the stocks of industrial, financial, utility and transportation companies. Since mid 1989, this composition has been more flexible and the number of issues in each sector has varied. It is market capitalization-weighted. Index returns, unlike the Fund’s returns, do not reflect any fees or expenses. Investors cannot invest directly in an index.
Annual Shareholder Report | 7
Expense
ExamplesSeptember 30, 2022
(Unaudited)
As a Fund shareholder, you may incur two types of costs: (1) transaction costs, including commissions on trading, as applicable; and (2) ongoing costs, including advisory fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other funds.
The expense examples below are based on an investment of $1,000 invested at the beginning of the period and held for the six-month period ended September 30, 2022.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Further, the expenses do not include any brokerage commissions on investors’ purchases or redemptions of Fund shares as described in each Fund’s prospectus. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Annual Shareholder Report | 8
Expense Examples
(continued)September 30, 2022
(Unaudited)
|
|
Beginning |
Ending |
Expenses |
Annualized |
Mohr Growth ETF |
Actual |
$1,000.00 |
$ 846.30 |
$4.44 |
0.96% |
|
Hypothetical |
1,000.00 |
1,020.26 |
4.86 |
0.96 |
Mindful Conservative ETF |
Actual |
1,000.00 |
926.60 |
4.64 |
0.96 |
|
Hypothetical |
1,000.00 |
1,020.26 |
4.86 |
0.96 |
Adaptive Core ETF |
Actual |
1,000.00 |
853.70 |
4.60 |
0.99 |
|
Hypothetical |
1,000.00 |
1,020.10 |
5.01 |
0.99 |
(a) Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183/365 (the number of days in the most recent fiscal half year divided by the number of days in the fiscal year).
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 9
Portfolio of
InvestmentsSeptember 30,
2022
Mohr Growth ETF
Portfolio of Investments Summary Table |
Percentage of |
Consumer Discretionary |
1.6 |
Health Care |
0.1 |
Industrials |
5.0 |
Information Technology |
3.8 |
Exchange-Traded Funds |
89.5 |
Total |
100.0 |
Portfolio holdings and allocations are subject to change. As of September 30, 2022, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund’s total net assets.
Portfolio of Investments
|
Shares |
|
|
Fair Value ($) |
|
|
Common Stocks — 6.0% |
|
| ||
|
Consumer Discretionary — 0.9% |
|
| ||
|
1,309 |
|
MercadoLibre, Inc.(a) |
1,083,564 |
|
|
Health Care — 0.0%† |
|
| ||
|
168 |
|
McKesson Corp. |
57,098 |
|
|
Industrials — 2.9% |
|
| ||
|
12,559 |
|
United Rentals, Inc.(a) |
3,392,437 |
|
|
Information Technology — 2.2% |
|
| ||
|
9,512 |
|
Enphase Energy, Inc.(a) |
2,639,295 |
|
|
Total Common Stocks (Cost $8,246,789) |
7,172,394 |
| ||
|
|
|
|
|
|
|
Exchange-Traded Funds — 51.3% |
|
| ||
|
424 |
|
Invesco S&P 500 Pure Growth ETF |
61,293 |
|
|
124 |
|
iShares Russell Top 200 Grow ETF |
14,817 |
|
|
664,400 |
|
SPDR Bloomberg 1-3 Month T-Bill ETF(b) |
60,859,040 |
|
|
|
|
|
60,935,150 |
|
|
Total Exchange-Traded Funds (Cost $60,924,505) |
60,935,150 |
| ||
|
|
|
| ||
|
Total Investments — 57.3% (Cost $69,171,294) |
68,107,544 |
| ||
|
Other Assets in Excess of Liabilities — 42.7% |
50,812,495 |
| ||
|
Net Assets — 100.0% |
118,920,039 |
|
† Represents less than 0.05%.
(a) Non-income producing security.
(b) As of September 30, 2022, investment is 51.18% of the Fund’ s net assets. See Note 8 in the Notes to Financial Statements.
ETF — Exchange-Traded Fund
SPDR — Standard & Poor’s Depositary Receipts
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 10
Portfolio of
InvestmentsSeptember 30,
2022
Mindful Conservative ETF
Portfolio of Investments Summary Table |
Percentage of |
Exchange-Traded Funds |
100.0 |
Total |
100.0 |
Portfolio holdings and allocations are subject to change. As of September 30, 2022, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund’s total net assets.
Portfolio of Investments
|
Shares |
|
|
Fair Value ($) |
|
|
Exchange-Traded Funds — 98.5% |
|
| ||
|
315,400 |
|
Goldman Sachs Access Treasury 0-1 |
31,492,690 |
|
|
343,750 |
|
SPDR Bloomberg 1-3 Month T-Bill ETF(b) |
31,487,500 |
|
|
624,650 |
|
WisdomTree Floating Rate Treasury Fund(c) |
31,407,402 |
|
|
|
|
|
94,387,592 |
|
|
Total Exchange-Traded Funds (Cost $94,425,892) |
94,387,592 |
| ||
|
|
|
| ||
|
Total Investments — 98.5% (Cost $94,425,892) |
94,387,592 |
| ||
|
Other Assets in Excess of Liabilities — 1.5% |
1,424,009 |
| ||
|
Net Assets — 100.0% |
95,811,601 |
|
(a) As of September 30, 2022, investment is 32.87% of the Fund’ s net assets. See Note 8 in the Notes to Financial Statements.
(b) As of September 30, 2022, investment is 32.86% of the Fund’ s net assets. See Note 8 in the Notes to Financial Statements.
(c) As of September 30, 2022, investment is 32.78% of the Fund’ s net assets. See Note 8 in the Notes to Financial Statements.
ETF — Exchange-Traded Fund
SPDR — Standard & Poor’s Depositary Receipts
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 11
Portfolio of
InvestmentsSeptember 30,
2022
Adaptive Core ETF
Portfolio of Investments Summary Table |
Percentage of |
Consumer Discretionary |
3.0 |
Information Technology |
3.4 |
Exchange-Traded Fund |
93.6 |
Total |
100.0 |
Portfolio holdings and allocations are subject to change. As of September 30, 2022, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund’s total net assets.
Portfolio of Investments
|
Shares |
|
|
Fair Value ($) |
|
|
Common Stocks — 3.5% |
|
| ||
|
Consumer Discretionary — 1.6% |
|
| ||
|
18,332 |
|
TJX Companies, Inc. (The) |
1,138,784 |
|
|
Information Technology — 1.9% |
|
| ||
|
3,575 |
|
Monolithic Power Systems, Inc. |
1,299,155 |
|
|
Total Common Stocks (Cost $3,092,318) |
2,437,939 |
| ||
|
|
|
|
|
|
|
Exchange-Traded Fund — 51.2% |
|
| ||
|
388,285 |
|
SPDR Bloomberg 1-3 Month |
35,566,906 |
|
|
Total Exchange-Traded Fund (Cost $35,551,258) |
35,566,906 |
| ||
|
|
|
| ||
|
Total Investments — 54.7% (Cost $38,643,576) |
38,004,845 |
| ||
|
Other Assets in Excess of Liabilities — 45.3% |
31,458,469 |
| ||
|
Net Assets — 100.0% |
69,463,314 |
|
(a) As of September 30, 2022, investment is 51.20% of the Fund’ s net assets. See Note 8 in the Notes to Financial Statements.
ETF — Exchange-Traded Fund
SPDR — Standard & Poor’s Depositary Receipts
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 12
Statements of Assets and
LiabilitiesSeptember 30,
2022
|
Mohr |
|
Mindful |
|
Adaptive |
|
Assets: |
|
|
|
|
|
|
Investments, at value (Cost $69,171,294, $94,425,892 and $38,643,576) |
$68,107,544 |
|
$94,387,592 |
|
$38,004,845 |
|
Cash |
50,936,988 |
|
458,360 |
|
29,528,544 |
|
Dividends and interest receivable |
91 |
|
— |
|
2,700 |
|
Receivable for capital shares issued |
— |
|
1,070,521 |
|
— |
|
Receivable for investments sold |
— |
|
— |
|
2,496,099 |
|
Prepaid expenses |
327 |
|
126 |
|
206 |
|
Total Assets |
119,044,950 |
|
95,916,599 |
|
70,032,394 |
|
Liabilities: |
|
|
|
|
|
|
Payable for capital shares redeemed |
— |
|
— |
|
485,757 |
|
Accrued expenses: |
|
|
|
|
|
|
Advisory |
70,285 |
|
56,809 |
|
41,301 |
|
Administration |
11,534 |
|
9,739 |
|
6,841 |
|
Custodian |
1,521 |
|
1,271 |
|
1,231 |
|
Fund accounting |
5,592 |
|
4,926 |
|
4,102 |
|
Legal and audit |
17,642 |
|
17,142 |
|
17,142 |
|
Trustee |
3,400 |
|
3,000 |
|
2,400 |
|
24F-2 |
10,340 |
|
7,884 |
|
6,079 |
|
Other |
4,597 |
|
4,227 |
|
4,227 |
|
Total Liabilities |
124,911 |
|
104,998 |
|
569,080 |
|
Net Assets |
$118,920,039 |
|
$95,811,601 |
|
$69,463,314 |
|
Net Assets consist of: |
|
|
|
|
|
|
Paid in Capital |
$133,955,341 |
|
$99,415,137 |
|
$77,907,356 |
|
Total Distributable Earnings (Deficit) |
(15,035,302 |
) |
(3,603,536 |
) |
(8,444,042 |
) |
Net Assets |
$118,920,039 |
|
$95,811,601 |
|
$69,463,314 |
|
|
|
|
|
|
|
|
Net Assets: |
$118,920,039 |
|
$95,811,601 |
|
$69,463,314 |
|
Shares of Beneficial Interest Outstanding (unlimited number of shares authorized, no par value): |
6,075,000 |
|
4,475,000 |
|
3,575,000 |
|
Net Asset Value (offering and redemption price per share): |
$19.58 |
|
$21.41 |
|
$19.43 |
|
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 13
Statements of Operations
|
Mohr |
|
Mindful |
|
Adaptive |
|
|
For the period |
|
For the period |
|
For the period |
|
Investment Income: |
|
|
|
|
|
|
Dividend income |
$317,729 |
|
$214,893 |
|
$261,821 |
|
Securities lending income |
3,388 |
|
6,420 |
|
2,049 |
|
Total Investment Income |
321,117 |
|
221,313 |
|
263,870 |
|
Expenses: |
|
|
|
|
|
|
Advisory |
362,895 |
|
265,898 |
|
214,919 |
|
Administration |
63,270 |
|
48,332 |
|
38,375 |
|
Compliance services |
5,250 |
|
5,250 |
|
5,250 |
|
Custodian |
4,611 |
|
3,373 |
|
4,075 |
|
Fund accounting |
28,039 |
|
23,816 |
|
21,759 |
|
Legal and audit |
28,604 |
|
22,717 |
|
22,717 |
|
Printing |
3,263 |
|
3,026 |
|
3,048 |
|
Treasurer |
2,825 |
|
2,375 |
|
2,100 |
|
Trustee |
9,165 |
|
7,965 |
|
6,765 |
|
Other |
21,903 |
|
18,971 |
|
17,432 |
|
Total Net Expenses |
529,825 |
|
401,723 |
|
336,440 |
|
Net Investment Income (Loss) |
(208,708 |
) |
(180,410 |
) |
(72,570 |
) |
Realized and Unrealized Gains (Losses) from Investments: |
|
|
|
|
|
|
Net realized gains (losses) from investment transactions |
(13,778,037 |
) |
(3,398,037 |
) |
(7,757,516 |
) |
Net realized gains (losses) from in-kind transactions |
(12,810 |
) |
4,113 |
|
11,101 |
|
Change in unrealized appreciation (depreciation) on investments |
(1,063,750 |
) |
(38,300 |
) |
(638,731 |
) |
Net Realized and Unrealized Gains (Losses) from Investments: |
(14,854,597 |
) |
(3,432,224 |
) |
(8,385,146 |
) |
Change in Net Assets Resulting From Operations |
$(15,063,305 |
) |
$(3,612,634 |
) |
$(8,457,716 |
) |
(a) Commencement of Operations
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 14
Statements of Changes in Net Assets
|
Mohr |
|
Mindful |
|
Adaptive |
|
|
For the period |
|
For the period |
|
For the period |
|
From Investment Activities: |
|
|
|
|
|
|
Operations: |
|
|
|
|
|
|
Net investment income (loss) |
$(208,708 |
) |
$(180,410 |
) |
$(72,570 |
) |
Net realized gains (losses) from investment transactions |
(13,790,847 |
) |
(3,393,924 |
) |
(7,746,415 |
) |
Change in unrealized appreciation (depreciation) on investments |
(1,063,750 |
) |
(38,300 |
) |
(638,731 |
) |
Change in net assets resulting from operations |
(15,063,305 |
) |
(3,612,634 |
) |
(8,457,716 |
) |
Capital Transactions: |
|
|
|
|
|
|
Proceeds from shares issued |
138,969,589 |
|
108,012,107 |
|
84,467,679 |
|
Cost of shares redeemed |
(4,986,245 |
) |
(8,587,872 |
) |
(6,546,649 |
) |
Change in net assets from capital transactions |
133,983,344 |
|
99,424,235 |
|
77,921,030 |
|
Change in net assets |
118,920,039 |
|
95,811,601 |
|
69,463,314 |
|
Net Assets: |
|
|
|
|
|
|
Beginning of period |
— |
|
— |
|
— |
|
End of period |
$118,920,039 |
|
$95,811,601 |
|
$69,463,314 |
|
Share Transactions: |
|
|
|
|
|
|
Issued |
6,325,000 |
|
4,875,000 |
|
3,900,000 |
|
Redeemed |
(250,000 |
) |
(400,000 |
) |
(325,000 |
) |
Change in shares |
6,075,000 |
|
4,475,000 |
|
3,575,000 |
|
(a) Commencement of operations.
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 15
Financial Highlights
Mohr Growth ETF |
|
November 2, 2021(a) |
|
Net Asset Value, Beginning of Period |
|
$25.00 |
|
|
|
|
|
Net Investment Income (Loss)(b) |
|
(0.08 |
) |
Net Realized and Unrealized Gains (Losses) on Investments |
|
(5.34 |
) |
Total from Investment Activities |
|
(5.42 |
) |
|
|
|
|
Distributions from Net Investment Income |
|
— |
|
Distributions from Net Realized Gains on Investments |
|
— |
|
Total Distributions |
|
— |
|
|
|
|
|
Net Asset Value, End of Period |
|
$19.58 |
|
Net Assets at End of Period (000’s) |
|
$118,920 |
|
|
|
|
|
Total Return at NAV(c)(d) |
|
(21.70)% |
|
Total Return at Market(d)(e) |
|
(21.68)% |
|
|
|
|
|
Ratio of Operating Expenses to Average Net Assets(f)(g) |
|
1.02% |
|
Ratio of Net Investment Income (Loss) to Average Net Assets(f)(h) |
(0.40)% |
| |
Portfolio Turnover(d)(i) |
|
1,223% |
|
(a) Commencement of operations.
(b) Calculated based on average shares method.
(c) Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at net asset value. This percentage is not an indication of the performance of a shareholder’s investment in the Fund based on market value due to differences between the market price of the shares and the net asset value per share of the Fund.
(d) Not annualized for periods less than one year.
(e) Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price from any primary listing market (e.g., Cboe BZX) or participating regional exchanges or markets. The composite closing price is the last reported sale price from any of the eligible sources, regardless of volume and not an average price and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund’s closing price on the listing market.
(f) Annualized for periods less than one year.
(g) Excludes expenses of the investment companies in which the Fund invests.
(h) Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the underlying investment companies.
(i) Excludes the impact of in-kind transactions.
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 16
Financial Highlights (continued)
Mindful Conservative ETF |
November 2, 2021(a) |
|
Net Asset Value, Beginning of Period |
$25.00 |
|
|
|
|
Net Investment Income (Loss)(b) |
(0.09 |
) |
Net Realized and Unrealized Gains (Losses) on Investments |
(3.50 |
) |
Total from Investment Activities |
(3.59 |
) |
|
|
|
Distributions from Net Investment Income |
— |
|
Distributions from Net Realized Gains on Investments |
— |
|
Total Distributions |
— |
|
|
|
|
Net Asset Value, End of Period |
$21.41 |
|
Net Assets at End of Period (000’s) |
$95,812 |
|
|
|
|
Total Return at NAV(c)(d) |
(14.36)% |
|
Total Return at Market(d)(e) |
(14.32)% |
|
|
|
|
Ratio of Operating Expenses to Average Net Assets(f)(g) |
1.05% |
|
Ratio of Net Investment Income (Loss) to Average Net Assets(f)(h) |
(0.47)% |
|
Portfolio Turnover(d)(i) |
665% |
|
(a) Commencement of operations.
(b) Calculated based on average shares method.
(c) Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at net asset value. This percentage is not an indication of the performance of a shareholder’s investment in the Fund based on market value due to differences between the market price of the shares and the net asset value per share of the Fund.
(d) Not annualized for periods less than one year.
(e) Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price from any primary listing market (e.g., Cboe BZX) or participating regional exchanges or markets. The composite closing price is the last reported sale price from any of the eligible sources, regardless of volume and not an average price and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund’s closing price on the listing market.
(f) Annualized for periods less than one year.
(g) Excludes expenses of the investment companies in which the Fund invests.
(h) Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the underlying investment companies.
(i) Excludes the impact of in-kind transactions.
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 17
Financial Highlights (continued)
Adaptive Core ETF |
November 2, 2021(a) |
|
Net Asset Value, Beginning of Period |
$25.00 |
|
|
|
|
Net Investment Income (Loss)(b) |
(0.04 |
) |
Net Realized and Unrealized Gains (Losses) on Investments |
(5.53 |
) |
Total from Investment Activities |
(5.57 |
) |
|
|
|
Distributions from Net Investment Income |
— |
|
Distributions from Net Realized Gains on Investments |
— |
|
Total Distributions |
— |
|
|
|
|
Net Asset Value, End of Period |
$19.43 |
|
Net Assets at End of Period (000’s) |
$69,463 |
|
|
|
|
Total Return at NAV(c)(d) |
(22.28)% |
|
Total Return at Market(d)(e) |
(22.28)% |
|
|
|
|
Ratio of Operating Expenses to Average Net Assets(f)(g) |
1.09% |
|
Ratio of Net Investment Income (Loss) to Average Net Assets(f)(h) |
(0.23)% |
|
Portfolio Turnover(d)(i) |
1,180% |
|
(a) Commencement of operations.
(b) Calculated based on average shares method.
(c) Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at net asset value. This percentage is not an indication of the performance of a shareholder’s investment in the Fund based on market value due to differences between the market price of the shares and the net asset value per share of the Fund.
(d) Not annualized for periods less than one year.
(e) Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price from any primary listing market (e.g., Cboe BZX) or participating regional exchanges or markets. The composite closing price is the last reported sale price from any of the eligible sources, regardless of volume and not an average price and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund’s closing price on the listing market.
(f) Annualized for periods less than one year.
(g) Excludes expenses of the investment companies in which the Fund invests.
(h) Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the underlying investment companies.
(i) Excludes the impact of in-kind transactions.
Annual Shareholder Report | 18
Notes to Financial
StatementsSeptember 30,
2022
Collaborative Investment Series Trust (the “Trust”) was organized on July 26, 2017 as a Delaware statutory trust. The Trust is registered under the Investment Company Act of 1940 (the “1940 Act”) as an open-end management investment company and thus is determined to be an investment company for accounting purposes. The Trust is comprised of several funds and is authorized to issue an unlimited number of shares of beneficial interest (“Shares”) in one or more series representing interests in separate portfolios of securities. The accompanying financial statements are those of Mohr Growth ETF, Mindful Conservative ETF, and Adaptive Core ETF (each a “Fund” and collectively, the “Funds”). The Funds are diversified actively-managed exchange-traded funds. The Funds’ prospectus provides a description of the Funds’ investment objectives, policies, and strategies. The assets of the Funds are segregated and a shareholder’s interest is limited to the Fund in which shares are held. The Funds commenced operations on November 2, 2021.
Under the Trust’s organizational documents, its officers and Board of Trustees (the “Board”) are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Trust may enter into contracts with vendors and others that provide for general indemnifications. The Trust’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust. However, based on experience, the Trust expects that risk of loss to be remote.
(2) Significant Accounting Policies
Shares of the Funds are listed and traded on the Cboe BZX Exchange, Inc. (“Cboe”). Market prices for the Shares may be different from their net asset value (“NAV”). The Funds issue and redeem Shares on a continuous basis at NAV only in large blocks of Shares, currently 25,000 Shares, called Creation Units (“Creation Units”). Creation Units are issued and redeemed principally in-kind for securities included in a specified universe. Once created, Shares generally trade in the secondary market at market prices that change throughout the day in amounts less than a Creation Unit. Shares of each Fund may only be purchased or redeemed by certain financial institutions (“Authorized Participants”). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with ACA Foreside (the “Distributor”). Most retail investors do not qualify as Authorized Participants nor have the resources to buy and sell whole Creation Units. Therefore, they are unable to purchase or redeem the Shares directly from the Funds.
The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. These policies are in conformity with generally accepted accounting principles in
Annual Shareholder Report | 19
Notes to Financial
Statements (continued)September 30,
2022
the United States of America (“GAAP”). Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services – Investment Companies”. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.
A. Investment Valuations
The Funds hold investments at fair value. Fair value is defined as the price that would be expected to be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The valuation techniques used to determine fair value are further described below.
Security values are ordinarily obtained through the use of independent pricing services in accordance with procedures adopted by the Board. Pursuant to these procedures, the Funds may use a pricing service, bank, or broker-dealer experienced in such matters to value the Funds’ securities. When reliable market quotations are not readily available for any security, the fair value of that security will be determined by a committee established by the Board in accordance with procedures adopted by the Board. The fair valuation process is designed to value the subject security at the price the Funds would reasonably expect to receive upon its current sale. Additional consideration is given to securities that have experienced a decrease in the volume or level of activity or to circumstances that indicate that a transaction is not orderly.
The Trust has a three-tier fair value hierarchy that is dependent upon the various “inputs” used to determine the value of the Funds’ investments. The valuation techniques described below maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. These inputs are summarized in the three broad levels listed below:
• Level 1 - Quoted prices in active markets for identical assets that the Funds have the ability to access.
• Level 2 - Other observable pricing inputs at the measurement date (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
• Level 3 - Significant unobservable pricing inputs at the measurement date (including the Funds’ own assumptions in determining the fair value of investments).
Annual Shareholder Report | 20
Notes to Financial
Statements (continued)September 30,
2022
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.
Common stocks and exchange-traded funds (“ETFs”) traded on a recognized securities exchange are valued at that day’s last traded price or official closing price, as applicable, on the exchange where the fund is primarily traded. Funds traded on a recognized exchange for which there were no sales on that day may be valued at the last traded price. In each of these situations, valuations are typically categorized as Level 1 in the fair value hierarchy.
The Funds did not hold any Level 2 or Level 3 investments as of September 30, 2022.
The following table provides the fair value measurement as of September 30, 2022, while the breakdown, by category, of investments is disclosed in the Portfolio of Investments for the Funds:
|
Level 1 |
|
Total | ||||
Mohr Growth ETF |
|
|
|
|
|
|
|
Common Stocks(1) |
|
$7,172,394 |
|
|
|
$7,172,394 |
|
Exchange-Traded Funds |
|
60,935,150 |
|
|
|
60,935,150 |
|
Total Investments |
|
$68,107,544 |
|
|
|
$68,107,544 |
|
Mindful Conservative ETF |
|
|
| ||||
Exchange-Traded Funds |
|
$94,387,592 |
|
|
|
$94,387,592 |
|
Total Investments |
|
$94,387,592 |
|
|
|
$94,387,592 |
|
Adaptive Core ETF |
|
|
| ||||
Common Stocks(1) |
|
$2,437,939 |
|
|
|
$2,437,939 |
|
Exchange-Traded Fund |
|
35,566,906 |
|
|
|
35,566,906 |
|
Total Investments |
|
$38,004,845 |
|
|
|
$38,004,845 |
|
(1) Please see the Portfolio of Investments for industry classifications.
B. Security Transactions and Related Income
Investment transactions are accounted for no later than the first calculation of the NAV on the business day following the trade date. For financial reporting purposes, however, security transactions are accounted for on the trade date on the last business day of the reporting period. Securities gains and losses are calculated on the identified cost basis. Interest income and expenses are accrued daily. Dividends and dividend expense, less foreign tax withholding, if any, are recorded on the ex-dividend date. Investment income from non-U.S. sources received by the Funds generally subject to non-U.S. withholding taxes at rates ranging up to 30%. Such withholding taxes may be reduced or eliminated under the terms of applicable U.S. income tax treaties. The
Annual Shareholder Report | 21
Notes to Financial
Statements (continued)September 30,
2022
Funds may be subject to foreign taxes on gains in investments or currency repatriation. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
The Funds may own shares of ETFs that may invest in real estate investments trusts (“REITs”) which report information on the source of their distributions annually. Distributions received from investments in REITs in excess of income from underlying investments are recorded as realized gain and/or as a reduction to the cost of the ETF.
C. Cash
Idle cash may be swept into various interest-bearing overnight demand deposits and is classified as cash on the Statements of Assets and Liabilities. The Funds maintain cash in bank deposit accounts which, at times, may exceed the United States federally insured limit of $250,000. Amounts swept overnight are available on the next business day.
D. Dividends and Distributions to Shareholders
Distributions are recorded on the ex-dividend date. The Funds intend to distribute to their shareholders net investment income and net realized capital gains, if any, at least annually. The amount of dividends from net investment income and net realized gains is determined in accordance with federal income tax regulations, which may differ from GAAP. These “book/tax” differences are considered either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., distributions and income received from pass-through investments), such amounts are reclassified within the capital accounts based on their nature for federal income tax purposes; temporary differences do not require reclassification.
The Funds may utilize earnings and profits distributed to shareholders on redemption of shares as part of the dividends paid deduction.
E. Allocation of Expenses
Expenses directly attributable to a Fund are charged to that Fund. Expenses not directly attributable to a Fund are allocated proportionally among all Funds within the Trust in relation to the net assets of each Fund or on another reasonable basis.
F. Securities Lending
For the purpose of achieving income, the Funds may lend portfolio securities, provided (1) the loan is secured continuously by collateral consisting of U.S. Government securities or cash or cash equivalents (cash, U.S. Government securities, negotiable certificates of deposit, bankers’ acceptances or letters of credit) maintained on a daily mark-to-market basis in an amount at least equal to the current market value of the securities loaned, (2) the Funds may at any time call the loan and obtain the return of securities loaned, (3) the Funds will
Annual Shareholder Report | 22
Notes to Financial
Statements (continued)September 30,
2022
receive any interest or dividends received on the loaned securities, and (4) the aggregate value of the securities loaned will not at any time exceed one-third of the total assets of the lending Fund. Gain or loss in the value of securities loaned that may occur during the term of the loan will be for the account of the Funds.
Cash collateral received in connection with securities lending is held on behalf of the Funds in a demand deposit cash account at Citibank, N.A. (the “Securities Lending Agent”). Such investments are subject to risk of payment delays or default on the part of the issuer or counterparty or otherwise may not generate sufficient interest to support the costs associated with securities lending. The Funds could also experience delays in recovering its securities and possible loss of income or value if the borrower fails to return the borrowed securities, although the Funds are indemnified from this risk by contract with the Securities Lending Agent. The Funds pay the Securities Lending Agent a portion of the gross revenues received from securities lending activities. Such fees are netted against “Securities lending income” on the Statements of Operations. The Funds did not have securities on loan as of September 30, 2022.
(3) Investment Advisory and Other Contractual Services
A. Investment Advisory Fees
Retireful, LLC (the “Advisor”), serves as the Funds’ investment advisor pursuant to an investment advisory agreement. Subject at all times to the oversight and approval of the Board, the Advisor is responsible for the overall management of the Funds. The Funds pay the Advisor a management fee of 0.70% of each Fund’s average daily net assets, calculated daily and paid monthly.
Tuttle Capital Management, LLC (“Tuttle”) serves as subadvisor for the Funds and is paid for its services directly by the Advisor, not the Funds. Tuttle’s contractual fee is 0.15% of the Fund’s average daily net assets.
B. Administration, Custodian, Transfer Agent and Accounting Fees
Citi Fund Services Ohio, Inc. (“Citi”) serves as administrator and dividend disbursing agent for the Funds pursuant to a Services Agreement. Citibank, N.A. serves as the custodian and transfer agent of the Funds pursuant to a Global Custodial and Agency Services Agreement.
Collaborative Fund Services LLC (“CFS”) provides the Funds with various management and legal administrative services. For these services, the Funds pay CFS an administrative fee that is computed daily and paid monthly, based on the aggregate daily net assets of each Fund and is subject to a minimum monthly fee.
C. Distribution and Shareholder Services Fees
ACA Foreside is the principal underwriter and distributor for the Funds’ Shares. The Distributor is compensated by the Advisor in accordance with a Distribution Services Agreement between the Advisor and the Distributor.
Annual Shareholder Report | 23
Notes to Financial
Statements (continued)September 30,
2022
D. Compliance Services
Beacon Compliance Consulting provides compliance services to the Trust and receives a monthly fee paid by the Funds for these services.
E. Treasurer Fees
The Treasurer of the Trust receives a fee that is calculated monthly using each Fund’s net assets at month-end and is paid by the Funds on a quarterly basis. During the period ended September 30, 2022, the Funds paid a total of $7,300 to the Treasurer.
F. General
Certain trustees and officers of the Trust are officers, directors and/or trustees of the above companies and, except for the Treasurer, receive no compensation from the Funds for their services.
(4) Investment Transactions
Purchases and sales of investments, excluding in-kind transactions and short-term investments, for the period ended September 30, 2022 were as follows:
Fund |
Purchases |
|
Sales | ||||
Mohr Growth ETF |
|
$304,747,619 |
|
|
|
$312,575,112 |
|
Mindful Conservative ETF |
|
175,163,915 |
|
|
|
139,245,457 |
|
Adaptive Core ETF |
|
181,090,428 |
|
|
|
197,725,528 |
|
Purchases and sales of in-kind transactions for the period ended September 30, 2022 were as follows:
Fund |
Purchases |
|
Sales | ||||
Mohr Growth ETF |
|
$91,935,885 |
|
|
|
$1,146,145 |
|
Mindful Conservative ETF |
|
62,368,621 |
|
|
|
462,808 |
|
Adaptive Core ETF |
|
65,703,263 |
|
|
|
2,661,735 |
|
There were no purchases or sales of U.S. government securities during the period ended September 30, 2022.
(5) Capital Share Transactions
Shares are issued and redeemed by each Fund only in aggregations of a specified number of shares or multiples thereof at NAV. Except when aggregated in Creation Units, shares of each Fund are not redeemable. Transactions in shares for each Fund are disclosed in detail on the Statements of Changes in Net Assets.
The consideration for the purchase of Creation Units of a Fund generally consists of the in-kind deposit of a designated basket of securities, which constitutes an optimized representation of the securities of that Fund’s specified universe, and an amount of cash. Investors purchasing and redeeming Creation Units
Annual Shareholder Report | 24
Notes to Financial
Statements (continued)September 30,
2022
may be charged a transaction fee to cover the transfer and other transactional costs it incurs to issue or redeem Creation Units. The transaction fees for each Fund are listed below:
|
Fee for |
|
Maximum | ||||
Mohr Growth ETF |
|
$250 |
|
|
|
2.00% |
|
Mindful Conservative ETF |
|
250 |
|
|
|
2.00% |
|
Adaptive Core ETF |
|
250 |
|
|
|
2.00% |
|
(1) As a percentage of the amount invested.
From time to time, settlement of securities related to in-kind contributions or in-kind redemptions may be delayed. In such cases, securities related to in-kind transactions are reflected as a receivable or a payable on the Statements of Assets and Liabilities.
(6) Federal Income Taxes
It is the policy of each Fund to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined in applicable sections of the Internal Revenue Code of 1986, as amended, and to make distributions of net investment income and net realized capital gains sufficient to relieve it from all, or substantially all, federal income taxes.
Management of the Funds has reviewed the tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including U.S. federal (i.e., all open tax years and the interim tax period since then). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
As of and during the period ended September 30, 2022, the Funds did not have a liability for any unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statements of Operations. During the period, the Funds did not incur any interest of penalties.
Annual Shareholder Report | 25
Notes to Financial
Statements (continued)September 30,
2022
As of September 30, 2022, the tax cost of securities and the breakdown of unrealized appreciation (depreciation) for each Fund were as follows:
|
Tax Cost of |
Unrealized |
Unrealized |
Net
Unrealized |
Mohr Growth ETF |
$69,174,397 |
$23,254 |
$(1,090,107) |
$(1,066,853) |
Mindful Conservative ETF |
94,425,892 |
27,288 |
(65,588) |
(38,300) |
Adaptive Core ETF |
38,643,576 |
15,648 |
(654,379) |
(638,731) |
The difference between book-basis and tax-basis unrealized appreciation (depreciation) is primarily attributable to wash sale activity.
There were no distributions paid during the fiscal period ended September 30, 2022.
As of September 30, 2022, the components of distributable earnings (deficit) on a tax basis were as follows:
|
Undistributed Ordinary Income |
Undistributed Capital Gains |
Distributable |
Accumulated Capital and Other Losses |
Unrealized Appreciation (Depreciation) |
Total |
Mohr Growth ETF |
$ — |
$ — |
$ — |
$(13,968,449) |
$(1,066,853) |
$(15,035,302) |
Mindful Conservative ETF |
— |
— |
— |
(3,565,236) |
(38,300) |
(3,603,536) |
Adaptive Core ETF |
— |
— |
— |
(7,805,311) |
(638,731) |
(8,444,042) |
As of the fiscal period ended September 30, 2022, the Funds have net capital loss carryforwards (“CLCFs”) not subject to expiration as summarized in the table below.
|
Short Term Amount |
Total |
Mohr Growth ETF |
$13,772,794 |
$13,772,794 |
Mindful Conservative ETF |
3,397,194 |
3,397,194 |
Adaptive Core ETF |
7,740,161 |
7,740,161 |
Under current law, capital losses and specified ordinary losses realized after October 31 and non-specified ordinary losses incurred after December 31 (ordinary losses collectively known as “late year ordinary loss”) may be deferred and treated as occurring on the first business day of the following fiscal year. As of the fiscal period ended September 30, 2022, the following Funds’ deferred losses are as follows:
|
Late Year Ordinary Loss Deferred |
Total |
Mohr Growth ETF |
$195,655 |
$195,655 |
Mindful Conservative ETF |
168,042 |
168,042 |
Adaptive Core ETF |
65,150 |
65,150 |
Annual Shareholder Report | 26
Notes to Financial
Statements (continued)September 30,
2022
Permanent Tax Differences:
As of September 30, 2022, the following reclassifications were made on the Statements of Assets and Liabilities, relating primarily to redemptions in-kind and net operating losses:
|
Total |
Paid in |
Mohr Growth ETF |
$28,003 |
$(28,003) |
Mindful Conservative ETF |
9,098 |
(9,098) |
Adaptive Core ETF |
13,674 |
(13,674) |
(7) Investment Risks
ETF Risk
The NAV of a Fund can fluctuate up or down, and you could lose money investing in the Fund if the prices of the securities owned by the Fund decline. In addition, the Fund may be subject to the following risks: (1) the market price of the Fund’s shares may trade above or below its NAV; (2) an active trading market for the Fund’s shares may not develop or be maintained; or (3) trading of the Fund’s shares may be halted if the listing exchange’s officials deem such action appropriate, the shares are delisted from the exchange, or the activation of market-wide “circuit breakers” (which are tied to large decreases in stock prices) halts stock trading generally.
Market and Geopolitical Risk
The increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region or financial market. Securities in the Funds may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, climate-change and climate-related events, pandemics, epidemics, terrorism, international conflicts, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years, such as terrorist attacks around the world, natural disasters, social and political discord or debt crises and downgrades, among others, may result in market volatility and may have long term effects on both the U.S. and global financial markets. It is difficult to predict when similar events affecting the U.S. or global financial markets may occur, the effects that such events may have and the duration of those effects. Any such event(s) could have a significant adverse impact on the value and risk profile of the Funds. The coronavirus (COVID-19) global pandemic and the aggressive responses taken by many governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines or similar restrictions, as well as the forced or voluntary closure of, or operational changes to, many retail and other businesses, had negative
Annual Shareholder Report | 27
Notes to Financial
Statements (continued)September 30,
2022
impacts, and in many cases severe negative impacts, on markets worldwide. It is not known how long such impacts, or any future impacts of other significant events described above, will or would last, but there could be a prolonged period of global economic slowdown, which may impact your investment. Therefore, the Funds could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns. During a general market downturn, multiple asset classes may be negatively affected. Changes in market conditions and interest rates can have the same impact on all types of securities and instruments. In times of severe market disruptions, you could lose your entire investment.
(8) Concentration of Investments
As of September 30, 2022, the Mohr Growth ETF’s, Mindful Conservative ETF’s and Adaptive Core ETF’s investments in the SPDR Bloomberg 1-3 Month T-Bill ETF represented 51.18%, 32.86% and 51.20% of each of the Fund’s net assets, respectively. The financial statements of the SPDR Bloomberg 1-3 Month T-Bill ETF can be found by accessing the fund’s website at http://www.ssga.com. As of September 30, 2022, the Mindful Conservative ETF’s investment in Goldman Sachs Access Treasury 0-1 Year ETF and WisdomTree Floating Rate Treasury Fund represented 32.87% and 32.78% of the Fund’s net assets, respectively. The financial statements of the Goldman Sachs Access Treasury 0-1 Year ETF can be found by accessing the fund’s website at http://www.gsam.com and the financial statements of the WisdomTree Floating Rate Treasury Fund can be found by accessing the fund’s website at http://www.wisdomtree.com.
(9) Subsequent Events
Management of the Funds has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date these financial statements were issued. Based upon this evaluation, no additional disclosures or adjustments were required to the financial statements as of September 30, 2022.
Annual Shareholder Report | 28
Report of Independent Registered Public Accounting Firm
To the Shareholders of Mohr Funds and
Board of Trustees of
Collaborative Investment Series Trust
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Mohr Growth ETF, Mindful Conservative ETF, and Adaptive Core ETF (the “Funds”), each a series of Collaborative Investment Series Trust, as of September 30, 2022, the related statements of operations and changes in net assets, the related notes, and the financial highlights for the period from November 2, 2021 (commencement of operations) through September 30, 2022 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of September 30, 2022, the results of their operations, the changes in net assets, and the financial highlights for the period from November 2, 2021 (commencement of operations) through September 30, 2022, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2022, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. Our audits also included evaluating the accounting
Annual Shareholder Report | 29
Report of Independent Registered Public Accounting Firm (continued)
principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the Funds’ auditor since 2022.
COHEN & COMPANY, LTD.
Milwaukee, Wisconsin
November 29,
2022
Annual Shareholder Report | 30
Additional
InformationSeptember 30, 2022
(Unaudited)
The Funds file a complete schedule of investments with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-PORT. The Form N-PORT filing must be made within 60 days of the end of the quarter. These filings are available on the SEC’s web site at http://www.sec.gov. You may also obtain copies by calling the Fund at 1-866-464-6608, free of charge.
PREMIUM/DISCOUNT INFORMATION
The Funds’ website at http://www.mohrfunds.com shows the previous day’s closing NAV and closing market price for the Funds’ ETF Shares. The website also discloses, in the Premium/Discount section, how frequently the Funds’ ETF Shares traded at a premium or discount to NAV (based on closing NAVs and market prices) and the magnitudes of such premiums and discounts.
PROXY VOTING
The Funds’ proxy voting policies, procedures and voting records relating to common stock securities in each Fund’s investment portfolio are available without charge, upon request, by calling the Funds’ toll-free telephone number 1-866-464-6608. The Funds will send this information within three business days of receipt of the request, by first class mail or other means designed to ensure prompt delivery.
The Funds’ proxy information is also available on the SEC’s website at http://www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 is available without charge, upon request by calling 1-866-464-6608 or referring to the SEC’s web site at http://www.sec.gov.
LIQUIDITY RISK MANAGEMENT PROGRAM
The Funds have adopted and implemented a written liquidity risk management program as required by Rule 22e-4 (the “Liquidity Rule”) under the 1940 Act. The program is reasonably designed to assess and manage the Funds’ liquidity risk, taking into consideration, among other factors, the Funds’ investment strategy and the liquidity of their portfolio investments during normal and reasonably foreseeable stressed conditions; their short and long-term cash flow projections; and their cash holdings and access to other funding sources.
The Trust’ s Liquidity Risk Management Program Committee (the “Committee”) reviewed the Funds’ investments and determined that the Funds held adequate levels of cash and highly liquid investments to meet shareholder redemption activities in accordance with applicable requirements. Accordingly, the Committee concluded that (i) the Funds’ liquidity risk management program is reasonably designed to prevent violations of the Liquidity Rule and (ii) the Funds’ liquidity risk management program has been effectively implemented.
Annual Shareholder Report | 31
Board of Trustees and Trust Officers (Unaudited)
Name Address* and |
Position(s) |
Term of |
Principal |
Number of |
Other |
Dean Drulias, Esq. |
Trustee |
Indefinite/ |
Attorney |
12 |
Trustee for Belpointe PREP Manager, LLC. |
Shawn Orser |
Trustee |
Indefinite/ |
CEO, Seaside Advisory (6/2016-Present); Executive Vice President, Seaside Advisory (2009-6/2016). |
12 |
Trustee for Belpointe PREP Manager, LLC. 2021- Present |
Fredrick Stoleru |
Trustee |
Indefinite/ |
Chief Executive Officer and President of Atlas Resources LLC since February 2017, Senior Vice President, Atlas Energy, 2015-2017, Vice President and General Partner of Atlas Growth Partners, L.P. since 2013 |
12 |
None |
Ronald Young Jr. |
Trustee |
Indefinite/ |
President – Young Consulting, Inc. (2008-Present); President – Tri State LED, Inc. (2010-Present). |
12 |
Trustee for Belpointe PREP Manager, LLC. 2021- Present |
Annual Shareholder Report | 32
Board of Trustees and Trust Officers (Unaudited) (continued)
Interested Trustees and Officers
Name, Address* and |
Position(s) |
Term of |
Principal |
Number of |
Other |
Gregory Skidmore**** |
Trustee and President |
Indefinite/ November 2017 - present |
President, Belpointe Asset Management, LLC since 2007. |
12 |
None |
Kyle R Bubeck |
Chief |
Since October 2021 |
President and Founder of Beacon Compliance Consulting Inc. (since 2010); CFO and CCO of Trendstar Advisors, LLC (2003 to 2009) |
N/A |
N/A |
William McCormick |
Treasurer |
Since October 2021 |
Senior Wealth Advisor – Belpointe Asset Management (since 2019); Wealth Advisor – Advisory Services Network (2016 to 2019) |
N/A |
N/A |
Brad Rundbaken Year of Birth: 1970 |
Secretary |
Since October 2021 |
Manager – Collaborative Fund Services, LLC (since 2018); Wealth Advisor – Belpointe Asset Management (2015 to 2018) |
N/A |
N/A |
* The address for each Trustee and Officer listed is 500 Damonte Ranch Parkway Building 700, Unit 700, Reno, NV 89521.
** The term of office for each Trustee and officer listed above will continue indefinitely until the individual resigns or is removed.
*** The term “Fund Complex” applies only to the Collaborative Investment Series Trust.
****Gregory Skidmore is considered an Interested Trustee as defined in the 1940 Act because of his ownership in Collaborative Fund Services, LLC.
The Fund’s SAI references additional information about the Trustees and is available free of charge, upon request, by calling toll free 1-866-904-0406.
Annual Shareholder Report | 33
PRIVACY
NOTICE
COLLABORATIVE
INVESTMENT SERIES TRUST
FACTS |
WHAT DOES THE COLLABORATIVE INVESTMENT SERIES TRUST DO WITH YOUR PERSONAL INFORMATION? |
|
|
Why? |
Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some, but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
|
|
What? |
The types of personal information we collect and share depends on the product or service that you have with us. This information can include: •Social Security number and wire transfer instructions •account transactions and transaction history •investment experience and purchase history When you are no longer our customer, we continue to share your information as described in this notice. |
|
|
How? |
All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons the Collaborative Investment Series Trust chooses to share; and whether you can limit this sharing. |
Reasons we can share your |
Do we
share |
Can you
limit |
For our everyday business purposes - such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus. |
YES |
NO |
For our marketing purposes - to offer our products and services to you. |
NO |
We don’t |
For joint marketing with other financial companies. |
NO |
We don’t |
For our affiliates’ everyday business purposes - information about your transactions and records. |
NO |
We
don’t |
Annual Shareholder Report | 34
Reasons we can share your |
Do we
share |
Can you
limit |
For our affiliates’ everyday business purposes - information about your credit worthiness. |
NO |
We don’t |
For our affiliates to market to you |
NO |
We don’t |
For non-affiliates to market to you |
NO |
We don’t |
QUESTIONS? |
Call 1-800-595-4866 |
What we do: | |
How does the Collaborative Investment Series Trust protect my personal information? |
To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. Our service providers are held accountable for adhering to strict policies and procedures to prevent any misuse of your nonpublic personal information. |
How does the Collaborative Investment Series Trust collect my personal information? |
We collect your personal information, for example, when you •open an account or deposit money •direct us to buy securities or direct us to sell your securities •seek advice about your investments We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? |
Federal law gives you the right to limit only: •sharing for affiliates’ everyday business purposes – information about your creditworthiness. •affiliates from using your information to market to you. •sharing for nonaffiliates to market to you. State laws and individual companies may give you additional rights to limit sharing. |
Annual Shareholder Report | 35
Definitions | |
Affiliates |
Companies related by common ownership or control. They can be financial and non-financial companies. •The Collaborative Investment Series Trust does not share with affiliates. |
Non-affiliates |
Companies not related by common ownership or control. They can be financial and non-financial companies. •The Collaborative Investment Series Trust does not share with non-affiliates so they can market to you. |
Joint marketing |
A formal agreement between nonaffiliated financial companies that together market financial products or services to you. •The Collaborative Investment Series Trust doesn’t jointly market. |
This report is provided for the general information of the Funds’ shareholders. It is not authorized for distribution unless preceded or accompanied by an effective prospectus, which contains more complete information about the Funds.
11/22
Investment Advisor
Retireful, LLC
120 N. Washington, Suite 300
Lansing, MI 48933
Investment Subadvisor
Tuttle Capital Management, LLC
155 Lockwood Rd.
Riverside, CT 06878
Distributor
ACA Foreside
Three Canal Plaza, Suite 100
Portland, ME 04101
Custodian and Transfer Agent
Citibank, N.A.
388 Greenwich Street
New York, NY 10048
Legal Counsel
Thompson Hine LLP
41 South High Street, Suite 1700
Columbus, OH 43215
Independent Registered Public Accounting Firm
Cohen & Company, Ltd.
342 North Water Street, Suite 830
Milwaukee, WI 53202
Administrator, Accountant and Dividend Disbursing Agent
Citi Fund Services Ohio, Inc.
4400 Easton Commons, Suite 200
Columbus, OH 43219