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Name

As of 09/07/2022

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

Premise Capital Diversified Tactical ETF

TCTL | ETF

-

$33.6 M

0.00%

0.86%

Vitals

YTD Return

-12.3%

1 yr return

-6.9%

3 Yr Avg Return

2.4%

5 Yr Avg Return

3.0%

Net Assets

$33.6 M

Holdings in Top 10

92.9%

52 WEEK LOW AND HIGH

$29.8
N/A
N/A

Expenses

OPERATING FEES

Expense Ratio 0.86%

SALES FEES

Front Load N/A

Deferred Load N/A

TRADING FEES

Turnover 52.00%

Redemption Fee N/A

Min Investment

Standard (Taxable)

N/A

IRA

N/A

Fund Classification

Fund Type

Exchange Traded Fund

Name

As of 09/07/2022

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

Premise Capital Diversified Tactical ETF

TCTL | ETF

-

$33.6 M

0.00%

0.86%

TCTL - Profile

Distributions

  • YTD Total Return -12.3%
  • 3 Yr Annualized Total Return 2.4%
  • 5 Yr Annualized Total Return 3.0%
  • Capital Gain Distribution Frequency N/A
  • Net Income Ratio 1.06%
DIVIDENDS
  • Dividend Yield 0.0%
  • Dividend Distribution Frequency Annually

Fund Details

  • Legal Name
    Premise Capital Diversified Tactical ETF
  • Fund Family Name
    Premise Capital
  • Inception Date
    Oct 27, 2016
  • Shares Outstanding
    1200000
  • Share Class
    N/A
  • Currency
    USD
  • Domiciled Country
    United States
  • Manager
    Britton Reynolds

Fund Description

The Fund is a “fund of funds” that employs a “passive management”—or indexing—investment approach designed to track the performance of the Index. The rules-based Index measures the performance of a diversified portfolio of exchange traded funds (“ETFs”) representing common global equity, fixed income, and cash asset classes.
The Index
The Index consists of an investible portfolio of ETFs (“Underlying ETFs”) with exposure to major U.S. and non-U.S. asset classes. The weighting of each Underlying ETF is adjusted to (i) reduce exposure to individual asset classes determined to be in a downward trend (the “Trend Adjustment”) and (ii) reduce overall exposure to equity asset classes (and increase exposure to fixed income asset classes) as the aggregate size of equity asset classes determined to be in a downward trend grows (the “Risk Adjustment”).
The Index universe consists of cash and Underlying ETFs that each principally track the performance of one of the following assets classes:
Fixed Income Asset Classes Equity Asset Classes
Short Term U.S. Large Cap Developed International
Intermediate Term U.S. Mid Cap Developed International Small Cap
Long Term U.S. Small Cap Emerging Market
High Yield (Junk Bonds) Real Estate
Inflation Protected
The U.S. Large Cap asset class is further broken down into each of its eleven sectors (each, a “Sector”), with the Index’s exposure to each Sector adjusted separately. The Underlying ETFs used by the Index are generally the largest, most liquid ETF tracking the performance of the applicable asset class.
Construction of the Index begins by determining the expected rate of return for each asset class (the “Market Expected Return”) using a mathematical model (the “Allocation Model”) designed to calculate such returns based on the standard deviation of each asset class and correlation of each asset class to the other asset classes over the past five years and the market capitalization of each asset class as of the most recently available calendar year-end. In other words, the model uses the amount investors currently have invested in each asset class (as measured by the market capitalizations of the constituents of each asset class), plus the historical performance of each asset class, to calculate the expected return for each asset class, rather than the particular views of the Fund’s investment adviser.
The Index then utilizes a proprietary intermediate trend following algorithm (the “Trend Algorithm”) to determine whether each asset class and Sector is in an “upward” or “downward” trend. The Trend Algorithm considers a number of trend-related data points over an intermediate time frame, such as the direction of an asset class’ or Sector’s performance, the extent to which any trend in such performance is accelerating or decelerating, and the degree of variability in performance to determine whether an asset class’ or Sector’s performance trend is “upward” or “downward”. The intermediate time frame is generally 1-3 years; however, the Trend Algorithm also includes a volatility component that considers the rate at which volatility is increasing for an asset class and can cause changes in the determination of whether an asset class’ trend is “upward” or “downward” more often, even frequently, if market conditions warrant.
The Trend Adjustment is then implemented by optimizing the Index’s weighting of each asset class using the Allocation Model. If the Trend Algorithm determines an asset class or Sector is in an upward trend, the Allocation Model assumes the expected rate of return of the asset class is the Market Expected Return. If the Trend Algorithm determines an asset class or Sector is in a downward trend, the Allocation Model assumes the expected rate of return of the asset class or Sector is 0%, causing the asset class or Sector to be underweighted. The Index may weight one or more asset classes or Sectors at 0% from time to time depending on the outcome of the Trend Adjustment and Allocation Model.
The Risk Adjustment is then implemented based on the aggregate size of the equity asset classes determined to be in a downward trend by the Trend Algorithm. When all equity asset classes are determined to be in an upward trend, the Index’s allocation to equity asset classes will reflect the Index’s most aggressive posture (i.e., maximum allocation to equity asset classes). As one or more equity asset classes is determined to be in a downward trend, the Index’s allocation to equity asset classes will shrink as the aggregate size of the equity asset classes determined to be in a downward trend grows. When all equity asset classes are determined to be in a downward trend, the Index’s allocation to equity asset classes will reflect its most conservative posture (i.e., maximum allocation to fixed income asset classes).
Additionally, the Index’s weighting of certain asset classes is limited such that the following weights will not be exceeded at the time of each rebalance: High Yield Fixed Income (20%), Inflation Protected Fixed Income (20%), U.S. Mid Cap Equity (12.5%), U.S. Small Cap Equity (12.5%), Developed International Equity (35%), Developed International Small Cap Equity (10%), Emerging Markets Equity (15%), and Real Estate (15%). Additionally, to the extent the Index’s allocation to the Intermediate Term Fixed Income asset class exceeds 50%, the amount in excess of 50% will instead be allocated to the Short Term Fixed Income asset class. The Allocation Model will determine how to optimally redistribute any amounts exceeding the above constraints to the remaining asset classes.
The Index is rebalanced annually in March and any time the Trend Algorithm determines that the trend for one or more asset classes has changed from upward to downward, or vice versa. For the calendar year ended December 31, 2021, the Index rebalanced three times in response to changes in asset classes, as determined by the Trend Algorithm.
At the time of each rebalance, the Index’s Risk Adjustment will determine the proportion of the Index allocated to equity asset classes and to fixed income asset classes. The weight for each individual asset class and Sector is calculated at the time of the annual rebalance based on the expected rate of return for each asset class (i.e., either the Market Expected Return or 0%, depending on the asset class’ or Sector’s trend) and the market capitalization, five-year standard deviation, and correlation of each asset class to each other asset class determined at the time of the annual rebalance. At the time of each rebalance other than the annual rebalance, the weight for each individual asset class and Sector is calculated based on the expected rate of return for each asset class (i.e., either the Market Expected Return or 0%, depending on the asset class’ or Sector’s trend) determined at the time of the non-annual rebalance and the market capitalization, five-year standard deviation, and correlation of each asset class to each other asset class determined at the time of the annual rebalance.
Asset classes with an upward trend and the largest market capitalizations will generally receive the largest weightings in the Index.
The Index is owned by Premise Capital, LLC, the Fund’s investment adviser (“Premise” or the “Adviser”), and was developed in 2016 for the purpose of launching the Fund.
The Fund’s Investment Strategy
The Fund attempts to invest all, or substantially all, of its assets in the securities that make up the Index. The Fund will generally use a “replication” strategy to achieve its investment objective, meaning it generally will invest in all of the component securities of the Index, but may, when the Adviser believes it is in the best interests of the Fund, use a “representative sampling” strategy, meaning it may invest in a sample of the securities in the Index whose risk, return, and other characteristics are expected to closely resemble the risk, return, and other characteristics of the Index as a whole.
To the extent the Index concentrates (i.e., holds 25% or more of its total assets) in the securities of a particular industry or group of related industries, the Fund will concentrate its investments to approximately the same extent as the Index.
Read More

TCTL - Performance

Return Ranking - Trailing

Period TCTL Return Category Return Low Category Return High Rank in Category (%)
YTD -12.3% -12.3% 51.0% 100.00%
1 Yr -6.9% -17.7% 35.0% 85.54%
3 Yr 2.4%* -17.8% 16.8% 21.94%
5 Yr 3.0%* -13.2% 10.0% 6.25%
10 Yr N/A* -9.5% 4.2% N/A

* Annualized

Return Ranking - Calendar

Period TCTL Return Category Return Low Category Return High Rank in Category (%)
2023 N/A -48.5% 15.7% 10.24%
2022 N/A -10.0% 21.8% 96.64%
2021 N/A -5.8% 15.2% 30.30%
2020 N/A -2.2% 6.5% 5.58%
2019 N/A -6.8% 0.3% 6.47%

Total Return Ranking - Trailing

Period TCTL Return Category Return Low Category Return High Rank in Category (%)
YTD -12.3% -23.0% 51.0% 97.11%
1 Yr -6.9% -17.7% 35.0% 83.06%
3 Yr 2.4%* -17.8% 16.8% 22.51%
5 Yr 3.0%* -13.2% 10.0% 8.41%
10 Yr N/A* -9.5% 6.1% N/A

* Annualized

Total Return Ranking - Calendar

Period TCTL Return Category Return Low Category Return High Rank in Category (%)
2023 N/A -48.5% 15.7% 10.24%
2022 N/A -10.0% 21.8% 96.64%
2021 N/A -5.8% 15.2% 30.30%
2020 N/A -2.2% 6.5% 12.09%
2019 N/A -6.8% 0.3% 13.43%

TCTL - Holdings

Concentration Analysis

TCTL Category Low Category High TCTL % Rank
Net Assets 33.6 M 1.96 M 15.7 B 84.71%
Number of Holdings 18 2 3255 72.73%
Net Assets in Top 10 33.6 M 349 K 12.1 B 77.69%
Weighting of Top 10 92.86% 22.9% 100.0% 19.72%

Top 10 Holdings

  1. iShares 1-3 Year Treasury Bond ETF 67.61%
  2. iShares Core U.S. Aggregate Bond ETF 8.08%
  3. SPDR SP 500 ETF Trust 5.51%
  4. Consumer Staples Select Sector SPDR Fund 3.90%
  5. Utilities Select Sector SPDR Fund 2.01%
  6. iShares Core MSCI EAFE ETF 1.86%
  7. Materials Select Sector SPDR Fund 1.77%
  8. iShares Core SP Small-Cap ETF 1.76%
  9. Energy Select Sector SPDR Fund 1.04%
  10. iShares Core MSCI Emerging Markets ETF 0.98%

Asset Allocation

Weighting Return Low Return High TCTL % Rank
Bonds 		68.44% 0.00% 106.59% 13.22%
Stocks 		29.71% 0.00% 238.38% 70.66%
Cash 		1.75% -65.52% 88.88% 73.55%
Convertible Bonds 		0.09% 0.00% 8.92% 40.91%
Other 		0.01% -72.87% 73.78% 61.98%
Preferred Stocks 		0.00% 0.00% 6.21% 90.91%

Stock Sector Breakdown

Weighting Return Low Return High TCTL % Rank
Healthcare 		31.55% 0.00% 38.63% 1.46%
Consumer Defense 		15.81% 0.00% 37.51% 10.24%
Basic Materials 		8.29% 0.00% 56.73% 10.24%
Utilities 		8.19% 0.00% 91.12% 11.71%
Technology 		7.82% 0.00% 85.77% 81.46%
Financial Services 		6.33% 0.00% 98.22% 83.90%
Energy 		6.32% 0.00% 60.89% 41.46%
Consumer Cyclical 		5.55% 0.00% 25.83% 66.34%
Industrials 		5.27% 0.00% 23.85% 78.05%
Communication Services 		2.78% 0.00% 21.61% 70.24%
Real Estate 		2.09% 0.00% 99.45% 63.90%

Stock Geographic Breakdown

Weighting Return Low Return High TCTL % Rank
US 		25.31% -1.19% 235.84% 58.68%
Non US 		4.40% -6.82% 98.11% 50.83%

Bond Sector Breakdown

Weighting Return Low Return High TCTL % Rank
Government 		89.57% 0.00% 99.78% 5.37%
Corporate 		4.27% 0.00% 98.28% 53.31%
Cash & Equivalents 		3.13% -72.56% 100.00% 94.63%
Securitized 		2.95% 0.00% 52.99% 35.54%
Municipal 		0.07% 0.00% 19.13% 28.10%
Derivative 		0.00% 0.00% 71.81% 92.56%

Bond Geographic Breakdown

Weighting Return Low Return High TCTL % Rank
US 		67.84% -17.22% 99.80% 7.02%
Non US 		0.60% -2.67% 63.37% 60.74%

TCTL - Expenses

Operational Fees

TCTL Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Expense Ratio 0.86% 0.21% 4.40% 82.28%
Management Fee 0.75% 0.00% 1.50% 43.80%
12b-1 Fee 0.00% 0.00% 1.00% 26.42%
Administrative Fee N/A 0.05% 0.70% N/A

Sales Fees

TCTL Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Front Load N/A 2.50% 5.75% N/A
Deferred Load N/A 1.00% 1.00% N/A

Trading Fees

TCTL Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Max Redemption Fee N/A 0.50% 2.00% 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.

TCTL Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Turnover 52.00% 1.75% 441.00% 31.12%

TCTL - Distributions

Dividend Yield Analysis

TCTL Category Low Category High TCTL % Rank
Dividend Yield 0.00% 0.00% 45.20% 95.36%

Dividend Distribution Analysis

TCTL Category Low Category High Category Mod
Dividend Distribution Frequency Annually Annually Quarterly Annually

Net Income Ratio Analysis

TCTL Category Low Category High TCTL % Rank
Net Income Ratio 1.06% -2.01% 13.72% 34.71%

Capital Gain Distribution Analysis

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

Distributions History

View More +

TCTL - Fund Manager Analysis

Managers

Britton Reynolds

Start Date

Tenure

Tenure Rank

Oct 27, 2016

5.59

5.6%

Britton worked on the design and implementation of client portfolios in 2010 at The Reynolds Group (now Premise Capital®). He has also been involved in the creation of the Premise models and methodology and brings a wide breadth of knowledge of the financial services field. He earned his B.S. degree in economics from Florida Southern College.

Tenure Analysis

Category Low Category High Category Average Category Mode
0.08 33.83 6.7 13.0

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