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Trending ETFs

Name

As of 05/24/2024

Price

Aum/Mkt Cap

YIELD

Annualized forward dividend yield. Multiplies the most recent dividend payout amount by its frequency and divides by the previous close price.

Exp Ratio

Expense ratio is the fund’s total annual operating expenses, including management fees, distribution fees, and other expenses, expressed as a percentage of average net assets.

Watchlist

$31.41

$127 M

0.15%

$0.05

1.48%

Vitals

YTD Return

9.4%

1 yr return

20.4%

3 Yr Avg Return

2.7%

5 Yr Avg Return

N/A

Net Assets

$127 M

Holdings in Top 10

100.0%

52 WEEK LOW AND HIGH

$31.2
$25.31
$31.64

Expenses

OPERATING FEES

Expense Ratio 1.48%

SALES FEES

Front Load N/A

Deferred Load N/A

TRADING FEES

Turnover N/A

Redemption Fee N/A


Min Investment

Standard (Taxable)

N/A

IRA

N/A


Fund Classification

Fund Type

Exchange Traded Fund


Name

As of 05/24/2024

Price

Aum/Mkt Cap

YIELD

Annualized forward dividend yield. Multiplies the most recent dividend payout amount by its frequency and divides by the previous close price.

Exp Ratio

Expense ratio is the fund’s total annual operating expenses, including management fees, distribution fees, and other expenses, expressed as a percentage of average net assets.

Watchlist

$31.41

$127 M

0.15%

$0.05

1.48%

MSTB - Profile

Distributions

  • YTD Total Return 9.4%
  • 3 Yr Annualized Total Return 2.7%
  • 5 Yr Annualized Total Return N/A
  • Capital Gain Distribution Frequency N/A
  • Net Income Ratio N/A
DIVIDENDS
  • Dividend Yield 0.1%
  • Dividend Distribution Frequency Annual

Fund Details

  • Legal Name
    LHA Market State Tactical Beta ETF
  • Fund Family Name
    N/A
  • Inception Date
    Sep 29, 2020
  • Shares Outstanding
    N/A
  • Share Class
    N/A
  • Currency
    USD
  • Domiciled Country
    US
  • Manager
    D. Matthew Thompson

Fund Description

The Fund is an actively-managed exchange-traded fund (“ETF”) and seeks to achieve its objective principally by investing in instruments linked directly or indirectly to the performance and/or volatility of the S&P 500® Index (the “S&P 500”) based on statistical analyses, described below, that seek to estimate the direction of the S&P 500. Such instruments may include index-based and other ETFs (including leveraged ETFs) with long exposure to the S&P 500, U.S. Treasury securities, or instruments linked to the Cboe Volatility Index® (the “VIX Index”); securities issued by the U.S. government or its agencies or instrumentalities; and options and futures contracts on the S&P 500 or VIX Index. The Fund may also invest the remainder of its portfolio directly or indirectly in cash and cash equivalents.
Under normal market conditions, the Fund’s baseline exposure each day to the S&P 500 is approximately 100%, which the Fund’s portfolio managers then adjust based on a statistical method of analysis evaluating the movement of the VIX Index. The Fund’s exposure to the S&P 500 may be greater or less than 100% at any given time, although the portfolio managers expect that such exposure will generally be between approximately 80% and 120% at the time investments are made. The portfolio managers use such analysis to determine in which instruments(s) to invest for long exposure to the S&P 500. During periods where volatility increases, the Fund’s portfolio managers expect the Fund to seek protection against falling markets by lowering long exposure to the S&P 500 and also investing long in VIX Index-linked instruments as a hedge. During these periods when a hedge is applied, the VIX-linked instruments are expected to generate results that are uncorrelated to the S&P 500 and, in combination with lower S&P 500 exposure, seek to preserve capital. From time to time, to generate
additional returns, the Fund may also write (sell) call options (described below) on its S&P 500 positions; provided, however, that when the Fund writes (sells) a call option it will always own the corresponding amount of exposure to the S&P 500 and, therefore, the Fund’s position will be “covered.”
The Fund’s strategy primarily relies on proprietary statistical analyses of the volatility of the VIX Index. Thompson Capital Management LLC (“Thompson Capital”) developed, owns, and maintains these statistical analyses. Little Harbor Advisors, LLC, the Fund’s investment adviser (the “Adviser”), has an exclusive license to employ the Thompson Capital statistical analyses. Portfolio net exposure is based on a proprietary process to quantify market risk by comparing volatility expectations across various time frames, as expressed by 30-day and 90-day implied volatility indexes and VIX futures. In general, a “long volatility” environment is one in which near-term volatility expectations are above longer-term volatility expectations. Similarly, a “short volatility” environment is characterized by lower near-term volatility expectations relative to longer-term expectations. 
Each day, the portfolio managers use a statistical method of analysis seeking to estimate the direction and magnitude of U.S. equity market volatility based on the movement of the VIX Index, which utilizes real-time prices of options on the S&P 500 to reflect investors’ consensus view of future (30-day) expected stock market implied volatility. Such estimates are used by the Fund’s portfolio managers to determine the Fund’s S&P 500 exposure and the extent to which VIX-linked instruments, if any, will be used to hedge the S&P 500 exposure. Based on the direction and strength of signals from the portfolio managers’ analysis, they determine on a discretionary basis in which instrument(s) to invest.
The Fund may invest in derivative instruments, consisting of options (including covered call options and long calls and/or puts) or futures contracts, to gain long exposure to the S&P 500. The Fund may also seek long exposure to the VIX Index by investing in VIX Index-linked ETFs and/or options. Specifically, the Fund may invest in ETFs or derivative instruments linked to the returns of the S&P 500 (including covered call options) or in VIX Index options. A futures contract is a standardized agreement to buy or sell a specific quantity of an underlying instrument (e.g., the S&P 500) at a specific price at a specific future time. Investments in derivative instruments, such as futures contracts, have the economic effect of creating financial leverage in the Fund’s portfolio because such investments may give rise to losses that exceed the amount the Fund has invested in those instruments. Financial leverage will magnify, sometimes significantly, the Fund’s exposure to any increase or decrease in prices associated with a particular instrument resulting in increased volatility in the value of the Fund’s portfolio. The Fund’s strategy may result in returns for a single day or longer periods of time that are significantly higher or lower than the returns of the S&P 500.
To augment its S&P 500 exposure, the Fund may purchase put options or write (sell) covered call options on the S&P 500 or S&P 500-linked ETFs. For hedging exposure, the fund may purchase call options or call option spreads with long exposure to the VIX Index or VIX Index-linked ETFs. When the Fund purchases options or option spreads, losses from the Fund’s investments in such purchased options or option spreads are limited to the amount of the net premiums paid. The Fund’s investments in purchased or written options or option spreads will generally involve premiums of less than 2% of the Fund’s net assets during a given month.
Purchasing a call option gives the buyer the right to purchase shares of the reference asset at a specified price (“strike price”) until a specified date (“expiration date”) (American-style options) or at the expiration date (European-style options). The buyer of the call option pays an amount (premium) for buying the option. In the event the reference asset appreciates above the strike price, the buyer can exercise the option and receive the reference asset (for American-style options) or receive the difference between the value of the reference asset and the strike price (for European-style options) (which gain is offset by the premium initially paid), and in the event the reference asset declines in value, the call option may end up worthless and the Fund’s loss is limited to the amount of premium it paid. The Fund’s investments in call options and put options (described below) on the S&P 500 or the VIX Index are generally expected to be European-style options.
Writing (selling) a call option gives the seller the obligation to deliver shares of the reference asset at a strike price until the expiration date (American-style options) or at the expiration date (European-style options). The seller of the call option receives an amount (premium) for selling the option. In the event the reference asset appreciates above the strike price, the option may be exercised against the Fund, and the Fund may have to deliver the reference asset (for American-style options) or the difference between the value of the reference asset and the strike price (for European-style options) (which loss is offset by the premium initially received), and in the event the reference asset declines in value, the call option may end up worthless and the Fund retains the premium it received.
Purchasing a put option gives the buyer the right to sell shares of a reference asset at a strike price until the expiration date (American-style options) or at the expiration date (European-style options). The buyer of the put option pays an amount (premium) for buying the option. In the event the reference asset declines in value below the strike price and the Fund exercises its put option, the Fund will be entitled to deliver the reference asset (for American-style options) or receive the difference between the strike price and the value of the reference asset (for European-style options) (which gain is offset by
the premium originally paid by the Fund), and in the event the reference asset closes above the strike price as of the expiration date, the put option may end up worthless and the Fund’s loss is limited to the amount of premium it paid.
A call spread entails the purchase of a call option and the sale of a call option on the same reference asset with the same expiration date but a higher strike price. A put spread entails the purchase of a put option and the sale of a put option on the same reference asset with the same expiration date but a lower strike price. The premium received from the sale of the call or put options is generally expected to offset the cost to the Fund of the purchased options in exchange for limiting the maximum return from such options.
The Fund may also invest up to 25% of its assets in leveraged ETFs. Leveraged ETFs seek to provide investment results that match a multiple of the performance of an underlying index (e.g., three times the performance) for a single day. Leveraged ETFs typically rely on derivative instruments to seek to obtain their investment objectives.
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MSTB - Performance

Return Ranking - Trailing

Period MSTB Return Category Return Low Category Return High Rank in Category (%)
YTD 9.4% -62.6% 722.5% 21.28%
1 Yr 20.4% -96.7% 1102.4% N/A
3 Yr 2.7%* -78.1% 93.9% N/A
5 Yr N/A* -84.3% 163.9% N/A
10 Yr N/A* -100.0% 6.8% N/A

* Annualized

Return Ranking - Calendar

Period MSTB Return Category Return Low Category Return High Rank in Category (%)
2023 16.7% -58.5% 290.7% N/A
2022 -23.7% -84.2% 106.3% N/A
2021 19.2% -99.8% 1180.0% N/A
2020 N/A -55.3% 1557.2% N/A
2019 N/A -69.1% 93.1% N/A

Total Return Ranking - Trailing

Period MSTB Return Category Return Low Category Return High Rank in Category (%)
YTD 9.4% -63.4% 557.3% 19.15%
1 Yr 20.4% -96.7% 1102.4% N/A
3 Yr 2.7%* -78.1% 93.9% N/A
5 Yr N/A* -84.3% 163.9% N/A
10 Yr N/A* -100.0% 6.8% N/A

* Annualized

Total Return Ranking - Calendar

Period MSTB Return Category Return Low Category Return High Rank in Category (%)
2023 16.9% -58.5% 290.7% N/A
2022 -22.7% -92.8% 106.3% N/A
2021 21.8% -91.8% 68.6% N/A
2020 N/A -94.2% 1557.2% N/A
2019 N/A -93.9% 93.1% N/A

MSTB - Holdings

Concentration Analysis

MSTB Category Low Category High MSTB % Rank
Net Assets 127 M 161 K 38.4 B 30.00%
Number of Holdings 8 1 194 52.94%
Net Assets in Top 10 119 M -114 K 207 M 11.76%
Weighting of Top 10 100.01% 0.1% 100.0% 5.88%

Top 10 Holdings

  1. SPDR SP 500 ETF Trust 75.39%
  2. United States Treasury Bill 19.58%
  3. United States Treasury Bill 4.46%
  4. First American Treasury Obligations Fund 0.54%
  5. First American Government Obligations Fund 0.54%
  6. CBOE VIX FUTURE Oct23 0.12%
  7. CBOE VIX FUTURE Nov23 0.00%
  8. SP500 EMINI FUT Dec23 -0.63%

Asset Allocation

Weighting Return Low Return High MSTB % Rank
Stocks
75.39% -0.20% 100.00% 6.25%
Bonds
24.04% 0.00% 90.14% 28.13%
Cash
1.08% -49.98% 150.04% 70.97%
Preferred Stocks
0.00% 0.00% 0.00% 64.52%
Convertible Bonds
0.00% 0.00% 13.17% 74.19%
Other
-0.51% -50.04% 149.98% 74.19%

Stock Sector Breakdown

Weighting Return Low Return High MSTB % Rank
Utilities
0.00% 0.00% 5.98% 66.67%
Technology
0.00% 0.00% 25.22% 33.33%
Real Estate
0.00% 0.00% 3.31% 75.00%
Industrials
0.00% 0.00% 8.81% 8.33%
Healthcare
0.00% 0.00% 15.49% 58.33%
Financial Services
0.00% 0.00% 23.18% 25.00%
Energy
0.00% 2.32% 100.00% 75.00%
Communication Services
0.00% 0.00% 16.44% 25.00%
Consumer Defense
0.00% 0.00% 7.75% 66.67%
Consumer Cyclical
0.00% 0.00% 15.36% 41.67%
Basic Materials
0.00% 0.00% 7.92% 25.00%

Stock Geographic Breakdown

Weighting Return Low Return High MSTB % Rank
US
75.39% -0.20% 68.41% 3.23%
Non US
0.00% 0.00% 100.00% 6.45%

Bond Sector Breakdown

Weighting Return Low Return High MSTB % Rank
Cash & Equivalents
1.08% 5.10% 100.00% 56.67%
Securitized
0.00% 0.00% 10.91% 70.00%
Corporate
0.00% 0.00% 88.47% 73.33%
Municipal
0.00% 0.00% 0.52% 70.00%
Government
0.00% 0.00% 60.08% 13.33%
Derivative
-0.51% 0.00% 66.85% 73.33%

Bond Geographic Breakdown

Weighting Return Low Return High MSTB % Rank
US
24.04% 0.00% 56.16% 29.03%
Non US
0.00% 0.00% 69.33% 70.97%

MSTB - Expenses

Operational Fees

MSTB Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Expense Ratio 1.48% 0.95% 6.53% 75.86%
Management Fee 1.10% 0.00% 3.00% 72.00%
12b-1 Fee N/A 0.00% 1.00% 22.22%
Administrative Fee N/A 0.05% 0.25% N/A

Sales Fees

MSTB Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Front Load N/A 3.00% 4.75% N/A
Deferred Load N/A 1.00% 1.00% N/A

Trading Fees

MSTB Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Max Redemption Fee N/A N/A N/A N/A

Related Fees

Turnover provides investors a proxy for the trading fees incurred by mutual fund managers who frequently adjust position allocations. Higher turnover means higher trading fees.

MSTB Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Turnover N/A 0.00% 77.00% N/A

MSTB - Distributions

Dividend Yield Analysis

MSTB Category Low Category High MSTB % Rank
Dividend Yield 0.15% 0.00% 3.96% 60.00%

Dividend Distribution Analysis

MSTB Category Low Category High Category Mod
Dividend Distribution Frequency Annual Annually Quarterly Annually

Net Income Ratio Analysis

MSTB Category Low Category High MSTB % Rank
Net Income Ratio N/A -2.36% 4.92% 30.00%

Capital Gain Distribution Analysis

MSTB Category Low Category High Capital Mode
Capital Gain Distribution Frequency Annually Annually Annually

Distributions History

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MSTB - Fund Manager Analysis

Managers

D. Matthew Thompson


Start Date

Tenure

Tenure Rank

Sep 29, 2020

1.67

1.7%

Matt Thompson has over 15 years of securities and futures management experience. Previously, Matt served in business development and financial modeling roles for a Chicago-based start-up derivatives exchange. From 2008 through 2012, Matt co-developed a proprietary VIX futures strategy that began trading in October 2011. In 2013, Matt began trading the strategy as a principal of Advocate Asset Management, LLC, and subsequently for a registered CTA, Typhon Capital Management. Matt is a member of the CFA Society of Chicago.

Michael Thompson


Start Date

Tenure

Tenure Rank

Sep 29, 2020

1.67

1.7%

Michael Thompson, CFA. Michael Thompson joined the Adviser as a portfolio manager in 2020, leading the investment function and overseeing all strategies as CIO and portfolio manager, Mike has over 23 years of experience constructing and managing portfolios with a focus on volatility and risk management strategies. Early in his career, his work included portfolio management roles at The Northern Trust, William Blair and Premier Asset Management LLC, a $500M investment advisor spun out of Northern Trust. Mike later provided derivatives modeling expertise to a start-up derivatives exchange in Chicago before being recruited by a family office where he co-developed a VIX trading strategy that began trading on a proprietary basis using VIX ETPs in October 2011 with his brother, D. Matthew Thompson, while employed at Hills Capital as a portfolio manager. In 2013, Mike began trading the VIX strategy directly in the futures market for the proprietary trading desk of ED&F Man Ltd and as a Commodity Trading Advisor, first as a principal of Advocate Asset Management LLC and subsequently for Typhon Capital Management LLC. In 2015, Mike reconnected with his RIA roots in his role as Chief Investment Officer at Kaizen Advisory LLC, where he helped to launch the securities products currently managed by TCM. Mike is a member of the CFA Society of Chicago.

Tenure Analysis

Category Low Category High Category Average Category Mode
0.08 15.86 7.06 13.05