UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-23306
Collaborative Investment Series Trust
(Exact name of registrant as specified in charter)
8000 Town Centre Dr. Suite 400 Broadview Heights, OH 44147
(Address of principal executive offices) (Zip code)
Citi Fund Services Ohio, Inc., 4400 Easton Commons, Suite 200, Columbus, OH 43219
(Name and address of agent for service)
Registrant’s telephone number, including area code: (440) 922-0066 ��
Date of fiscal year end: March 31
Date of reporting period: March 31, 2022
Item 1. Reports to Stockholders.
Goose Hollow Capital Management LLC
82 North Summit Street, Suite 2B
Tenafly, NJ 07670
1-866-898-6447
www.gham.co
Semi-Annual
Shareholder Report
Goose Hollow Tactical Allocation ETF
(GHTA)
March 31, 2022
TABLE OF CONTENTS
Expense Examples | 1 |
Portfolio of Investments | 3 |
Statement of Assets and Liabilities | 5 |
Statement of Operations | 6 |
Statement of Changes in Net Assets | 7 |
Financial Highlights | 8 |
Notes to Financial Statements | 9 |
Approval of Management Agreement | 19 |
Additional Information | 21 |
Privacy Policy | 22 |
Annual Shareholder Report | 1
Expense ExamplesMarch 31, 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 entire period ended March 31, 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 the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the 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.
Annual Shareholder Report | 2
Expense Examples (continued) March 31, 2022 (Unaudited)
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 the 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.
|
| Beginning | Ending | Expenses | Annualized |
Goose Hollow | Actual(a) | $ 1,000.00 | $ 1,017.40 | $ 3.16(b) | 0.84% |
| Hypothetical | 1,000.00 | 1,020.74 | 4.23(c) | 0.84 |
(a) Information shown reflects values for the stub period of 136 days from November 16, 2021 (commencement of operations) to March 31, 2022 and has been calculated using expense ratios and rates of returns for the same period.
(b) Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the period from November 16, 2021 (commencement of operations) to March 31, 2022, divided by the number of days in the fiscal year.
(c) Expenses are equal to the Fund’s annualized expense ratio multiplied by the average hypothetical account value over the period, multiplied by 182/365 (the number of days in the more 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 | 3
Portfolio of InvestmentsMarch 31, 2022 (Unaudited)
Goose Hollow Tactical Allocation ETF
Portfolio of Investments Summary Table | Percentage of | |
Financials | 5.3 | |
Exchange-Traded Funds | 94.7 | |
Total | 100.0 | |
Portfolio holdings and allocations are subject to change. As of March 31, 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 Stock — 2.2% | | | ||
| Financials — 2.2% | | | ||
| 3,200 |
| Galaxy Digital Holdings, Ltd.(a) | 54,528 |
|
| Total Common Stock (Cost $49,165) | 54,528 |
| ||
| | | | | |
| Exchange-Traded Funds — 85.6% | | | ||
| 1,000 | | Invesco CurrencyShares Australian Dollar Trust(a) | 74,203 | |
| 3,500 | | Invesco CurrencyShares Japanese Yen Trust(a) | 269,289 | |
| 4,000 | | Invesco CurrencyShares Swiss Franc Trust(a) | 388,895 | |
| 300 | | Invesco QQQ Trust Series 1 | 108,762 | |
| 7,850 | | iShares China Large Cap ETF | 250,965 | |
| 1,250 | | iShares MSCI Brazil ETF | 47,263 | |
| 3,000 | | iShares MSCI Chile ETF | 87,210 | |
| 4,666 | | iShares MSCI Europe Financials ETF | 88,234 | |
| 1,000 | | iShares MSCI Japan ETF | 61,610 | |
| 5,420 | | iShares MSCI Netherlands ETF | 229,429 | |
| 2,100 | | iShares MSCI South Korea ETF | 149,583 | |
| 4,400 | | iShares MSCI Sweden ETF | 170,940 | |
| 533 | | iShares Russell 2000 ETF | 109,409 | |
| 2,000 |
| JPMorgan BetaBuilders Japan ETF | 101,480 |
|
|
|
|
| 2,137,272 |
|
| Total Exchange-Traded Funds (Cost $2,119,827) | 2,137,272 |
| ||
| | | |
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 4
Portfolio of Investments (continued)March 31, 2022 (Unaudited)
Goose Hollow Tactical Allocation ETF
| Shares | | | Fair Value ($) | |
| Preferred Stock — 2.6% | | | ||
| Financials — 2.6% | | |||
| 20,000 |
| Federal National Mortgage Association, 8.25% | 64,400 |
|
| Total Preferred Stock (Cost $63,750) | 64,400 |
| ||
| | | | ||
| Total Investments — 90.4% (Cost $2,232,742) | 2,256,200 |
| ||
| Other Assets in Excess of Liabilities — 9.6% | 239,753 |
| ||
| Net Assets — 100.0% | 2,495,953 |
|
(a) Non-income producing security.
ETF — Exchange-Traded Fund
Futures Contracts
At March 31, 2022, the Fund’s open futures contracts were as follows:
Futures Contracts Purchased
Description | Number of Contracts | Expiration Date | Notional Amount ($) | Value and Unrealized Appreciation/ (Depreciation) ($) |
Japanese Yen Future | 2 | 5/16/22 | 205,763 | (11,592) |
| | | | (11,592) |
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 5
Statement of Assets and LiabilitiesMarch 31, 2022 (Unaudited)
| Goose Hollow Tactical Allocation ETF | |
Assets: | | |
Investments, at value (Cost $2,232,742) | $2,256,200 | |
Cash | 294,586 | |
Deposits at brokers for derivatives contracts | 88,437 | |
Dividends and interest receivable | 130 | |
Receivable due from advisor | 9,299 | |
Receivable for variation margin on futures contracts | 225 | |
Prepaid expenses | 50 | |
Total Assets | 2,648,927 | |
Liabilities: | | |
Collateral for securities sold short (Proceeds received $39,098) | 39,749 | |
Payable for investments purchased | 93,273 | |
Accrued expenses: | | |
Administration | 1,000 | |
Custodian | 951 | |
Fund accounting | 1,861 | |
Legal and audit | 11,351 | |
Trustee | 969 | |
Other | 3,820 | |
Total Liabilities | 152,974 | |
Net Assets | $2,495,953 | |
Net Assets consist of: | | |
Paid in Capital | $2,462,472 | |
Total Distributable Earnings/(Deficit) | 33,481 | |
Net Assets | $2,495,953 | |
| | |
Net Assets: | $2,495,953 | |
Shares of Beneficial Interest Outstanding | 100,000 | |
Net Asset Value (offering and redemption price per share): | $24.96 | |
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 6
Statement of OperationsFor the Period Ended March 31, 2022 (Unaudited)
Goose Hollow | ||
Investment Income: | | |
Dividend income | $9,113 | |
Total Investment Income | 9,113 | |
Expenses: | | |
Advisory | 4,978 | |
Administration | 5,000 | |
Compliance services | 373 | |
Custodian | 951 | |
Fund accounting | 5,458 | |
Legal and audit | 13,321 | |
Printing | 2,939 | |
Treasurer | 150 | |
Trustee | 1,356 | |
Other | 3,576 | |
Total Expenses before fee reductions | 38,102 | |
Expenses contractually waived and/or reimbursed by the Advisor | (33,138 | ) |
Total Net Expenses | 4,964 | |
Net Investment Income (Loss) | 4,149 | |
Realized and Unrealized Gains (Losses) from Investments: | | |
Net realized gains (losses) from investment transactions | 22,845 | |
Net realized gains (losses) from futures transactions | 254 | |
Change in unrealized appreciation/(depreciation) on investments | 22,827 | |
Change in unrealized appreciation/(depreciation) on futures | (11,592 | ) |
Net Realized and Unrealized Gains (Losses) from Investments: | 34,334 | |
Change in Net Assets Resulting From Operations | $38,483 | |
(a) For the period from the commencement of operations on November 16, 2021 through March 31, 2022.
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 7
Statement of Changes in Net Assets
| Goose Hollow | |
| For the period | |
From Investment Activities: | | |
Operations: | | |
Net investment income (loss) | $4,149 | |
Net realized gains (losses) from investment transactions | 23,099 | |
Change in unrealized appreciation/(depreciation) on investments | 11,235 | |
Change in net assets resulting from operations | 38,483 | |
Distributions to Shareholders From: | | |
Earnings | (5,002) | |
Change in net assets from distributions | (5,002) | |
Capital Transactions: | | |
Proceeds from shares issued | 2,462,472 | |
Change in net assets from capital transactions | 2,462,472 | |
Change in net assets | 2,495,953 | |
Net Assets: | | |
Beginning of period | — | |
End of period | $2,495,953 | |
Share Transactions: | | |
Issued | 100,000 | |
Change in shares | 100,000 | |
(a) Commencement of operations.
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 8
Financial Highlights
Goose Hollow Tactical Allocation ETF | November 16, | |
Net Asset Value, Beginning of Period | $24.63 | |
| ||
Net Investment Income (Loss)(b) | 0.06 | |
Net Realized and Unrealized Gains (Losses) from Investments | 0.37 |
|
Total from Investment Activities | 0.43 |
|
| ||
Distributions from Net Investment Income | (0.10 | ) |
Distributions from Net Realized Gains from Investments | — |
|
Total Distributions | (0.10 | ) |
| ||
Net Asset Value, End of Period | $24.96 |
|
Net Assets at End of Period (000’s) | $2,496 |
|
| ||
Total Return at NAV(c)(d) | 1.74 | % |
Total Return at Market(d)(e) | 1.67 | % |
| ||
Ratio of Net Expenses to Average Net Assets(f)(g) | 0.84 | % |
Ratio of Gross Expenses to Average Net Assets(f)(g)(h) | 6.45 | % |
Ratio of Net Investment Income (Loss) to Average Net Assets(f)(i) | 0.70 | % |
Portfolio Turnover(d)(j) | 153 | % |
(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) If applicable, certain fees were waived and/or reimbursed. If such waivers/reimbursements had not occurred, the ratio would have been as indicated.
(i) 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.
(j) Excludes the impact of in-kind transactions.
Annual Shareholder Report | 9
Notes to Financial StatementsMarch 31, 2022 (Unaudited)
(1) Organization
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 Goose Hollow Tactical Allocation ETF (the “Fund”). The Fund is a diversified actively-managed exchange-traded fund whose investment objective is to provide total return. The Fund’s prospectus provides a description of the Fund’s investment objectives, policies, and strategies. The assets of the Fund are segregated and a shareholder’s interest is limited to the Fund in which shares are held. The Fund commenced operations on November 16, 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 Fund. 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 Fund 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 Fund issues and redeems Shares on a continuous basis at NAV only in large blocks of Shares, currently 25,000 Shares, called “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 the 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 Foreside Fund Services, LLC (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 Fund.
The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. These
Annual Shareholder Report | 10
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
policies are in conformity with generally accepted accounting principles in the United States of America (“GAAP”). The 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 Fund holds 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 Fund may use a pricing service, bank, or broker-dealer experienced in such matters to value the Fund’s 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 Fund 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 Fund’s 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 Fund has 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 Fund’s own assumptions in determining the fair value of investments).
Annual Shareholder Report | 11
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.
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.
Exchange-traded futures contracts are valued at their settlement price on the exchange on which they are traded and are typically categorized as Level 1 in the fair value hierarchy.
The Fund did not hold any Level 2 or Level 3 investments during the period ended March 31, 2022.
The following table provides the fair value measurement as of March 31, 2022, while the breakdown, by category, of investments is disclosed in the Portfolio of Investments for the Fund:
| Level 1 | | Total | ||
Goose Hollow Tactical Allocation ETF | | | | | |
Common Stock(1) | $54,528 | | | $54,528 | |
Exchange-Traded Funds | 2,137,272 | | | 2,137,272 | |
Preferred Stock | 64,400 |
| | 64,400 |
|
Total Investment Securities | $2,256,200 |
| | $2,256,200 |
|
Other Financial Instruments(2) | | | | | |
Futures Contracts | (11,592 | ) | | (11,592 | ) |
Total Investments | $2,244,608 |
| | $2,244,608 |
|
(1) Please see the Portfolio of Investment for industry classifications.
(2) Other financial instruments include derivative instruments, such as futures contracts which are valued at the unrealized appreciation/(depreciation) on the instrument.
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, less foreign tax withholding, if any, are recorded on the ex-dividend date. Investment income from non-U.S. sources received by the Fund is 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
Annual Shareholder Report | 12
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
of applicable U.S. income tax treaties. The Fund may be subject to foreign taxes on gains in investments or currency repatriation. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
C. Cash
Idle cash may be swept into various interest bearing overnight demand deposits and is classified as cash on the Statement of Assets and Liabilities. The Fund maintains cash in bank deposit accounts which, at times, may exceed 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 Fund intends to distribute to its shareholders any 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 Fund may own shares of ETFs that may invest in real estate investments trusts (“REITs”) and master limited partnerships (“MLPs”) which report information on the source of their distributions annually. Distributions received from investments in REITs or MLPs in excess of income from underlying investments are recorded as realized gain and/or as a reduction to the cost of the ETF.
The Fund 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. Short Sales
The Fund may engage in short sales against the box (i.e., where the Fund owns or has an unconditional right to acquire at no additional cost a security substantially similar to the security sold short) for hedging purposes to limit exposure to a possible market decline in the value of its portfolio securities. In a short sale, the Fund sells a borrowed security and has a corresponding
Annual Shareholder Report | 13
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
obligation to the lender to return the identical security. The Fund may also incur an interest expense if a security that has been sold short has an interest payment. When the Fund engages in a short sale, the Fund records a liability for securities sold short and records an asset equal to the proceeds received. The amount of the liability is subsequently marked to market to reflect the market value of the securities sold short. To borrow the security, the Fund also may be required to pay a premium, which would increase the cost of the security sold.
G. Derivative Instruments:
All open derivative positions at period end are reflected on the Fund’s Portfolio of Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposure related to each instrument type.
Futures Contracts:
The Fund may enter into futures contracts for the purpose of hedging existing portfolio securities or securities they intend to purchase against fluctuations in fair value caused by changes in prevailing market interest conditions. Upon entering into futures contracts, the Fund is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount (initial margin deposit). Subsequent payments, known as “variation margin”, are made or received each day, depending on the daily fluctuations in the fair value of the underlying security. The Fund recognizes an unrealized gain or loss equal to the daily variation margin. Should market conditions move unexpectedly, the Fund may not achieve the anticipated benefits of the futures contracts and may realize a loss. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the amount reflected on the Statement of Assets and Liabilities as variation margin. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in market value of the securities held by the Fund and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. The gross notional amount of futures contracts outstanding as of March 31, 2022, and the monthly average notional amount for these contracts for the period ended March 31, 2022 were as follows:
| Outstanding | Monthly Average | ||
Futures Contracts: | Long | Short | Long | Short |
Goose Hollow Tactical Allocation ETF | $205,763 | $— | $205,763(a) | $— |
(a) For the period when the Fund held long futures contracts from March 1, 2022 through March 31, 2022.
Annual Shareholder Report | 14
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
Summary of Derivative Instruments:
The following is a summary of the fair value of derivative instruments on the Statement of Assets and Liabilities, categorized by risk exposure, as of March 31, 2022:
| Assets | Liabilities |
Fund | Unrealized | Unrealized |
Foreign Currency Risk Exposure: | | |
Goose Hollow Tactical Allocation ETF | $— | $11,592 |
(1) For futures contracts, the amounts represent their cumulative appreciation/(depreciation) as reported on the Portfolio of Investments. Only the current day’s variation margin, if any, is reported within the Statement of Assets and Liabilities as variation margin on futures contracts.
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended March 31, 2022:
| Net Realized Gains (Losses) from |
Fund | Futures Contracts |
Foreign Currency Risk Exposure: | |
Goose Hollow Tactical Allocation ETF | $254 |
| Net Change in Unrealized |
Fund | Futures Contracts |
Foreign Currency Risk Exposure: | |
Goose Hollow Tactical Allocation ETF | $(11,592) |
(3) Investment Advisory and Other Contractual Services
A. Investment Advisory Fees
Goose Hollow Capital Management, LLC (the “Advisor”), serves as the Fund’s 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 Fund. The Fund pays the Advisor a management fee of 0.85% of its average daily net assets, calculated daily and paid monthly.
Annual Shareholder Report | 15
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
The Advisor has contractually agreed to reduce its fees and/or reimburse the expenses for the Fund (excluding front-end or contingent deferred loads, brokerage fees and commissions, acquired fund fees and expenses, fees and expenses associated with instruments in other collective investment vehicles or derivative instruments (including for example options and swap fees and expenses), borrowing costs (such as interest and dividend expense on securities sold short), taxes, other fees related to underlying investments (such as option fees and expenses or swap fees and expenses), or extraordinary expenses such as litigation (which may include indemnification of Fund officers and Trustees or contractual indemnification of Fund Service providers (other than the Advisor)) in order to ensure that net annual fund operating expenses will not exceed 0.84% of the Fund’s average daily net assets (“Expense Cap”). These fee waivers and expense reimbursements are subject to possible recoupment from the Fund within the three years of the date on which the waiver or reimbursement occurs, if such recoupment can be achieved within the lesser of the foregoing expense limits or the expense limits in place at the time of recoupment. The Expense Cap will remain in effect for the Fund until at least January 31, 2023. The Expense Cap may be terminated earlier only upon approval by the Board, on 60 days’ written notice to the Advisor. More information about the Fund’s fee waiver and Expense Cap agreement is available in the “Management of the Fund” section of the Fund’s prospectus.
As of March 31, 2022, the Advisor may recoup amounts from the Fund as follows:
Expires | Total | |
Goose Hollow Tactical Allocation ETF | $33,138 | $33,138 |
B. Administration, Custodian, Transfer Agent and Accounting Fees
Citi Fund Services Ohio, Inc. (“Citi”) serves as administrator and dividend disbursing agent for the Fund pursuant to a Services Agreement. Citibank, N.A. serves as the custodian and transfer agent of the Fund pursuant to a Global Custodial and Agency Services Agreement.
Collaborative Fund Services LLC (“CFS”) provides the Fund with various management and legal administrative services. For these services, the Fund pays CFS an administrative fee that is computed daily and paid monthly, based on the aggregate daily net assets of the Fund and is subject to a minimum monthly fee of $1,000.
C. Distribution and Shareholder Services Fees
Foreside Fund Services, LLC is the principal underwriter and distributor for the Fund’s Shares. The Distributor is compensated by the Advisor in accordance with a Distribution Services Agreement between the Advisor and the Distributor.
Annual Shareholder Report | 16
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
D. Compliance Services
Beacon Compliance Consulting provides compliance services to the Trust and receives a monthly fee paid by the Fund for these services.
E. Treasurer Fees
The Treasurer of the Trust receives a fee that is calculated monthly using the net assets at month-end and is paid by the Fund on a quarterly basis. During the period ended March 31, 2022, the Fund paid a total of $150 to the Treasurer.
F. General
Certain trustees and officers of the Trust are officers, directors and/or trustees of the above companies, except for the Treasurer, receive no compensation from the Fund for their services.
(4) Investment Transactions
Purchases and sales of investments, excluding in-kind transactions and short-term investments, for the period ended March 31, 2022 were as follows:
Purchases | Sales | |
Goose Hollow Tactical Allocation ETF | $2,154,603 | $2,051,001 |
Purchases and sales of in-kind transactions for the period ended March 31, 2022 were as follows:
Purchases | Sales | |
Goose Hollow Tactical Allocation ETF | $2,106,441 | $— |
There were no purchases or sales of U.S. government securities during the period ended March 31, 2022.
(5) Capital Share Transactions
Shares are issued and redeemed by the Fund only in aggregations of a specified number of shares or multiples thereof at NAV. Except when aggregated in Creation Units, shares of the Fund are not redeemable. Transactions in shares for the Fund are disclosed in detail on the Statement 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 may be charged a transaction fee to cover the transfer and other transactional costs it incurs to issue or redeem Creation Units. The standard transaction fee charge is $250.
Annual Shareholder Report | 17
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
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 Statement of Assets and Liabilities.
As of March 31, 2022, there were no unsettled in-kind capital transactions.
(6) 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 a 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 Risk
Overall market risks may also affect the value of the Fund. Factors such as domestic economic growth and market conditions, interest rate levels and political events affect the securities markets. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issue, recessions and depressions, or other events could have a significant impact on the Fund and its investments and could result in increased premiums or discounts to the Fund’s NAV, and may impair market liquidity, thereby increasing liquidity risk. The Fund 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.
An outbreak of infectious respiratory illness caused by a novel coronavirus known as COVID-19 was first detected in China in December 2019 and has now been detected globally. This coronavirus has resulted in travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, prolonged quarantines, cancellations, supply chain disruptions, and lower consumer demand, as well as general concern and uncertainty. The impact of COVID-19, and other infectious illness outbreaks that may arise in the future, could adversely affect the economies of many nations or the entire global economy, individual issuers and capital markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illnesses
Annual Shareholder Report | 18
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
in emerging market countries may be greater due to generally less established healthcare systems. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The duration of the COVID-19 outbreak and its effects cannot be determined with certainty.
(7) Subsequent Events
Management of the Fund 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 March 31, 2022.
Annual Shareholder Report | 19
Approval of Management AgreementMarch 31, 2022 (Unaudited)
Consideration and Approval of Proposed Management Agreement with Goose Hollow Capital Management, LLC with respect to the Goose Hollow Tactical Allocation ETF
Nature, Extent and Quality of Service. The Board noted that Goose Hollow was founded by Mr. Kumar, had recently applied to registered as an investment adviser with the Securities and Exchange Commission, and was registered with the national futures association as a commodity trading adviser. The Board reviewed the background information on the key investment personnel who would be responsible for servicing the Fund taking into account their education and financial industry experience. The Board acknowledged that Goose Hollow’s investment decisions were based on a macro analysis with a focus on long term prices.
Performance. The Board noted that Goose Hollow had provided back-tested performance information that indicated that the Fund would have hypothetically returned 10.40%, -2.80%, 17.60%, and 7.40% for 2017, 2018, 2019, and 2020, respectively. The Board further noted that the Fund’s hypothetical performance would have outperformed the Fund’s benchmark for all of the comparison periods except for the 2020 comparison period. They acknowledged the limitations of back-tested performance data, noting that (i) in generating the data, no market risk was involved because no actual trading was done; (ii) because the data was created with the benefit of hindsight, it may be difficult to account for all factors that would have affected Goose Hollow’s decision-making process; (iii) assumptions used to generate the data may not be indicative of current or future market conditions and (iv) due to the benefit of hindsight, back-tested performance tends to show favorable results.
Fees and Expenses. The Board acknowledged that the Goose Hollow had a proposed management fee of 0.85%, which was lower than the peer group average of 0.96%. The Board further noted that the Fund’s net expense ratio of 1.15% was lower than the Fund’s peer group average net expense ratio of 1.31%. The Board concluded that Goose Hollow’s fees and expenses were not unreasonable.
Profitability. The Board reviewed the profit analysis provided by Goose Hollow, noting that the year one and two profitability estimates. The Board further noted that these estimates were based on an assumption of $20 million in assets under management for year one and $60 million in assets under management for year two. They acknowledged that while Goose Hollow projected making a profit in terms of actual dollars and percentage in connection with its relationship to the Fund if estimated asset levels were achieved, they agreed that the projected profits were not excessive.
Annual Shareholder Report | 20
Approval of Management Agreement (continued)March 31, 2022 (Unaudited)
Economies of Scale. The Board considered whether economies of scale would be realized in connection with the advisory services provided to the Fund. They noted that based on the Fund’s projected asset size and profit level, the absence of breakpoints was acceptable at this time.
Conclusion. Having requested and received such information from Goose Hollow as the Board believed to be reasonably necessary to evaluate the terms of the investment advisory agreement, and as assisted by the advice of independent counsel, the Board determined that approval of the advisory agreement was in the best interests of the Fund and its future shareholders.
Annual Shareholder Report | 21
Additional InformationMarch 31, 2022 (Unaudited)
PORTFOLIO HOLDINGS
The Fund files 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 1-866-898-6447, free of charge.
PREMIUM/DISCOUNT INFORMATION
The Fund’s website at http://www.gham.co shows the previous day’s closing NAV and closing market price for the Fund’s ETF Shares. The website also discloses, in the Premium/Discount section, how frequently the Fund’s 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 Fund’s proxy voting policies, procedures and voting records relating to common stock securities in the Fund’s investment portfolio are available without charge, upon request, by calling the Fund’s toll-free telephone number 1-866-898-6447. The Fund 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 Fund’s proxy information is also available on the SEC’s website at http://www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 is available without charge, upon request by calling 1-866-898-6447 or referring to the SEC’s web site at http://www.sec.gov.
Annual Shareholder Report | 22
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 personal information: | Do we share information? | Can you limit |
For our everyday business purposes - | YES | NO |
For our marketing purposes - to offer our products and services to you. | NO | We don’t share |
For joint marketing with other | NO | We don’t share |
For our affiliates’ everyday business purposes - information about your transactions and records. | NO | We don’t share |
Annual Shareholder Report | 23
Reasons we can share your personal information: | Do we share information? | Can you limit |
For our affiliates’ everyday business purposes - information about your credit worthiness. | NO | We don’t share |
For our affiliates to market to you | NO | We don’t share |
For non-affiliates to market to you | NO | We don’t share |
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 | 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 | 24
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. |
Annual Shareholder Report | 25
This Page Was Left Blank Intentionally
This report is provided for the general information of the Fund’s shareholders. It is not authorized for distribution unless preceded or accompanied by an effective prospectus, which contains more complete information about the Fund.
5/22
Investment Advisor
Goose Hollow Capital Management LLC
82 North Summit Street, Suite 2B
Tenafly, NJ 07670
Distributor
Foreside Fund Services, LLC
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
Retireful, LLC
120 N. Washington, Suite 300
Lansing, MI 48933
1-866-464-6608
www.mohrfunds.com
Semi-Annual
Shareholder Report
Mohr Growth ETF (MOHR)
Mindful Conservative ETF (MFUL)
Adaptive Core ETF (RULE)
March 31, 2022
1 | |
3 | |
3 | |
5 | |
6 | |
8 | |
9 | |
10 | |
11 | |
14 | |
22 | |
26 | |
27 |
TABLE OF CONTENTS
Semi-Annual Shareholder Report | 1
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 entire period ended March 31, 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.
Semi-Annual Shareholder Report | 2
Expense Examples (continued)March 31, 2022 (Unaudited)
|
|
|
| Beginning |
| Ending |
| Expenses |
| Annualized | ||||
Mohr Growth ETF | | Actual(a) | | $1,000.00 | | $925.20 | | | $5.74 | (b) | | | 1.45 | % |
| | Hypothetical | | 1,000.00 | | 1,017.70 | | | 7.29 | (c) | | | 1.45 | |
| | | | | | | | | | | | | | |
Mindful Conservative ETF | | Actual(a) | | 1,000.00 | | 924.20 | | | 10.95 | (b) | | | 2.77 | |
| | Hypothetical | | 1,000.00 | | 1,011.12 | | | 13.89 | (c) | | | 2.77 | |
| | | | | | | | | | | | | | |
Adaptive Core ETF | | Actual(a) | | 1,000.00 | | 910.40 | | | 7.42 | (b) | | | 1.89 | |
| | Hypothetical | | 1,000.00 | | 1,015.51 | | | 9.50 | (c) | | | 1.89 | |
(a) Information shown reflects values for the stub period of 150 days from November 2, 2021 (commencement of operations) to March 31, 2022 and has been calculated using expense ratios and rates of returns for the same period.
(b) Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the period from November 2, 2021 (commencement of operations) to March 31, 2022, divided by the number of days in the fiscal year.
(c) Expenses are equal to the Fund’s annualized expense ratio multiplied by the average hypothetical account value over the period, multiplied by 182/365 (the number of days in the more 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.
Semi-Annual Shareholder Report | 3
Portfolio of Investments Summary Table |
| Percentage of |
Communication Services | | 8.3 |
Consumer Discretionary | | 0.1 |
Consumer Staples | | 3.3 |
Energy | | 14.2 |
Financials | | 8.3 |
Industrials | | 7.5 |
Information Technology | | 2.6 |
Materials | | 11.2 |
Utilities | | 5.4 |
Exchange-Traded Funds | | 39.1 |
Total | | 100.0 |
Portfolio holdings and allocations are subject to change. As of March 31, 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 — 58.9% | | | | ||
| Communication Services — 8.0% | | | | ||
| 1,860 | | Charter Communications, Inc., Class A(a) | | 1,014,667 | |
| 1,296 | | Take-Two Interactive Software, Inc.(a) | | 199,247 | |
| 23,600 | | Twitter, Inc.(a) | | 913,084 | |
| | | | | 2,126,998 | |
| Consumer Discretionary — 0.1% | | | | ||
| 1,375 | | Trip.com Group, Ltd., ADR(a) | | 31,790 | |
| Consumer Staples — 3.2% | | | | ||
| 21,798 |
| Kraft Heinz Co. (The) |
| 858,623 |
|
| Energy — 13.7% | | | | ||
| 35,128 | | Baker Hughes Co. | | 1,279,010 | |
| 16,181 | | Devon Energy Corp. | | 956,783 | |
| 13,253 | | Hess Corp. | | 1,418,601 | |
| | | | | 3,654,394 | |
| Financials — 8.0% | | | | ||
| 52,417 | | People’s United Financial, Inc. | | 1,047,816 | |
| 9,456 | | Progressive Corp. (The) | | 1,077,889 | |
| | | | | 2,125,705 | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 4
Portfolio of Investments (continued)March 31, 2022 (Unaudited)
Mohr Growth ETF
| Shares | | | | Fair Value ($) | |
| Industrials — 7.3% | | | | ||
| 9,439 | | Leidos Holdings, Inc. | | 1,019,601 | |
| 6,915 | | Quanta Services, Inc. | | 910,083 | |
| | | | | 1,929,684 | |
| Information Technology — 2.5% | | | | ||
| 6,190 |
| DocuSign, Inc.(a) |
| 663,073 |
|
| Materials — 10.8% | | | | ||
| 10,241 | | CF Industries Holdings, Inc. | | 1,055,438 | |
| 12,205 | | Nucor Corp. | | 1,814,273 | |
| | | | | 2,869,711 | |
| Utilities — 5.3% | | | | ||
| 19,323 | | Xcel Energy, Inc. | | 1,394,541 | |
| Total Common Stocks (Cost $14,830,984) | | 15,654,519 | | ||
| | | | | | |
| Exchange-Traded Funds — 37.7% | | | | ||
| 54,889 | | First Trust Global Tactical Commodity Strategy Fund | | 1,560,494 | |
| 32,471 | | Invesco Exchange-Traded Fund Trust-Invesco S&P 500® Quality ETF | | 1,620,628 | |
| 4,815 | | Invesco Exchange-Traded Fund Trust-Invesco S&P 500® Top 50 ETF | | 1,692,376 | |
| 16,339 | | iShares ESG Aware MSCI USA ETF | | 1,655,958 | |
| 18,787 | | ProShares S&P 500 Dividend Aristocrats ETF | | 1,783,074 | |
| 21,891 | | Schwab U.S. Dividend Equity ETF | | 1,726,981 | |
| | | | | 10,039,511 | |
| Total Exchange-Traded Funds (Cost $10,000,109) | | 10,039,511 | | ||
| | | | | ||
| Total Investments — 96.6% (Cost $24,831,093) |
| 25,694,030 |
| ||
| Other Assets in Excess of Liabilities — 3.4% |
| 905,393 |
| ||
| Net Assets — 100.0% |
| 26,599,423 |
|
(a) Non-income producing security.
ADR — American Depositary Receipt
ETF — Exchange-Traded Fund
S&P — Standard and Poor’s
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 5
Portfolio of Investments Summary Table |
| Percentage of Fair Value (%) |
Exchange-Traded Funds | | 100.0 |
Total | | 100.0 |
Portfolio holdings and allocations are subject to change. As of March 31, 2022, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund’s total net assets.
Portfolio of Investments
| Shares | | | | Fair Value ($) | |
| Exchange-Traded Funds — 62.9% | | | | ||
| 12,868 | | Fidelity Corporate Bond ETF | | 651,121 | |
| 19,810 | | First Trust Morningstar Dividend Leaders ETF | | 741,686 | |
| 15,021 | | First Trust Rising Dividend Achievers ETF | | 736,029 | |
| 4,098 | | iShares Convertible Bond ETF | | 341,445 | |
| 12,850 | | iShares Core Growth Allocation ETF | | 693,386 | |
| 3,847 | | iShares Core Total USD Bond Market ETF | | 190,927 | |
| 28,990 | | iShares Preferred & Income Securities ETF | | 1,055,816 | |
| 3,244 | | iShares S&P 100 ETF | | 676,439 | |
| 4,730 | | SPDR Bloomberg Convertible Securities ETF | | 363,973 | |
| | | | | 5,450,822 | |
| Total Exchange-Traded Funds (Cost $5,362,487) | | 5,450,822 | | ||
| | | | | ||
| Total Investments — 62.9% (Cost $5,362,487) | | 5,450,822 | | ||
| Other Assets in Excess of Liabilities — 37.1% | | 3,213,952 | | ||
| Net Assets — 100.0% | | 8,664,774 | |
ETF — Exchange-Traded Fund
S&P — Standard and Poor’s
SPDR — Standard & Poor’s Depositary Receipts
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 6
Portfolio of Investments Summary Table |
| Percentage of Fair Value (%) |
Consumer Discretionary | | 3.8 |
Consumer Staples | | 8.4 |
Energy | | 10.3 |
Financials | | 16.6 |
Health Care | | 4.2 |
Industrials | | 4.0 |
Information Technology | | 12.5 |
Materials | | 5.5 |
Exchange-Traded Funds | | 34.7 |
Total | | 100.0 |
Portfolio holdings and allocations are subject to change. As of March 31, 2022, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund’s total net assets.
Portfolio of Investments
| Shares | | | | Fair Value ($) | |
| Common Stocks — 64.8% | | | | ||
| Consumer Discretionary — 3.8% | | | | ||
| 5,514 | | Polaris, Inc. | | 580,735 | |
| Consumer Staples — 8.3% | | | | ||
| 7,236 | | Archer-Daniels-Midland Co. | | 653,121 | |
| 9,742 | | Kellogg Co. | | 628,262 | |
| | | | | 1,281,383 | |
| Energy — 10.2% | | | | ||
| 32,611 | | Marathon Oil Corp. | | 818,862 | |
| 8,772 | | Marathon Petroleum Corp. | | 750,006 | |
| | | | | 1,568,868 | |
| Financials — 16.5% | | | | ||
| 16,122 | | American Equity Investment Life Holding Co. | | 643,429 | |
| 14,148 | | Bank of America Corp. | | 583,181 | |
| 9,838 | | Brown & Brown, Inc. | | 710,992 | |
| 9,024 | | Zions Bancorp NA | | 591,613 | |
| | | | | 2,529,215 | |
| Health Care — 4.2% | | | | ||
| 187 | | AbbVie, Inc. | | 30,315 | |
| 17,401 | | Organon Co. | | 607,817 | |
| | | | | 638,132 | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 7
Portfolio of Investments (continued)March 31, 2022 (Unaudited)
Adaptive Core ETF
| Shares | | | | Fair Value ($) | |
| Industrials — 3.9% | | | | ||
| 10,135 | | Fastenal Co. | | 602,019 | |
| Information Technology — 12.4% | | | | ||
| 7,519 | | Micron Technology, Inc. | | 585,655 | |
| 1,564 | | Monolithic Power Systems, Inc. | | 759,604 | |
| 6,305 | | Seagate Technology Holdings PLC | | 566,819 | |
| | | | | 1,912,078 | |
| Materials — 5.5% | | | | ||
| 5,645 | | Nucor Corp. | | 839,129 | |
| Total Common Stocks (Cost $9,971,418) | | 9,951,559 | | ||
| | | | | | |
| Exchange-Traded Funds— 34.4% | | | | ||
| 29,670 | | First Trust Global Tactical Commodity Strategy Fund | | 843,518 | |
| 52,380 | | Invesco Balanced Multi-Asset Allocation ETF(a) | | 855,549 | |
| 20,326 | | iShares Core Moderate Allocation ETF | | 873,408 | |
| 1,080 | | iShares MSCI USA Min Vol Factor ETF | | 83,776 | |
| 5,440 | | Vanguard Dividend Appreciation ETF | | 882,150 | |
| 5,413 | | Vanguard Mega Cap ETF | | 860,883 | |
| 14,061 |
| WisdomTree U.S. Quality Dividend Growth Fund |
| 895,264 |
|
| | | 5,294,548 | | ||
| Total Exchange-Traded Funds (Cost $5,273,785) | | 5,294,548 | | ||
| | | | | ||
| Total Investments — 99.2% (Cost $15,245,203) |
| 15,246,107 |
| ||
| Other Assets in Excess of Liabilities — 0.8% |
| 116,456 |
| ||
| Net Assets — 100.0% |
| 15,362,563 |
|
(a) This security or a partial position of this security was on loan as of March 31, 2022. The total value of securities on loan as of March 31, 2022 was $228,669.
ETF — Exchange-Traded Fund
PLC — Public Limited Company
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 8
|
| Mohr |
| Mindful |
| Adaptive | |
Assets: | | | | | | | |
Investments, at value (Cost $24,831,093, $5,362,487 and $15,245,203) | | $25,694,030 | | $5,450,822 | | $15,246,107 | (a) |
Cash | | 926,661 | | 3,027,429 | | 141,419 | |
Cash collateral from securities loaned | | — | | — | | 235,200 | |
Dividends and interest receivable | | 15,112 | | 1,309 | | 8,083 | |
Receivable for capital shares issued | | — | | 214,537 | | — | |
Receivable for securities lending income | | 608 | | 197 | | 1,019 | |
Prepaid expenses |
| 445 |
| 100 |
| 114 |
|
Total Assets |
| 26,636,856 |
| 8,694,394 |
| 15,631,942 |
|
Liabilities: | | | | | | | |
Upon return of securities loaned | | — | | — | | 235,200 | |
Accrued expenses: | | | | | | | |
Advisory | | 14,668 | | 4,483 | | 8,397 | |
Administration | | 2,000 | | 1,000 | | 1,200 | |
Custodian | | 6,000 | | 5,500 | | 5,800 | |
Fund accounting | | 2,760 | | 2,362 | | 2,509 | |
Legal and audit | | 7,135 | | 11,321 | | 11,321 | |
Printing | | 2,920 | | 3,039 | | 3,039 | |
Trustee | | 668 | | 668 | | 668 | |
Other | | 1,282 | | 1,247 | | 1,245 | |
Total Liabilities | | 37,433 | | 29,620 | | 269,379 | |
Net Assets | | $26,599,423 | | $8,664,774 | | $15,362,563 | |
Net Assets consist of: | | | | | | | |
Paid in Capital | | $28,420,773 | | $9,085,308 | | $16,603,904 | |
Total Distributable Earnings/(Deficit) | | (1,821,350 | ) | (420,534 | ) | (1,241,341 | ) |
Net Assets | | $26,599,423 | | $8,664,774 | | $15,362,563 | |
| | | | | | | |
Net Assets: | | $26,599,423 | | $8,664,774 | | $15,362,563 | |
Shares of Beneficial Interest Outstanding (unlimited number of shares authorized, no par value): | | 1,150,000 | | 375,000 | | 675,000 | |
| |||||||
Net Asset Value (offering and redemption price per share): | | $23.13 | | $23.11 | | $22.76 | |
(a) Includes securities on loan of $228,669.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 9
|
| Mohr |
| Mindful |
| Adaptive | |
Investment Income: | | | | | | | |
Dividend income | | $120,865 | | $22,802 | | $96,542 | |
Securities lending income | | 608 | | 416 | | 1,548 | |
Total Investment Income | | 121,473 | | 23,218 | | 98,090 | |
Expenses: | | | | | | | |
Advisory | | 42,052 | | 13,131 | | 24,010 | |
Administration | | 8,268 | | 5,000 | | 5,648 | |
Compliance services | | 373 | | 373 | | 373 | |
Custodian | | 6,539 | | 5,825 | | 6,643 | |
Fund accounting | | 7,561 | | 6,320 | | 6,787 | |
Legal and audit | | 14,493 | | 13,292 | | 13,292 | |
Printing | | 3,107 | | 3,107 | | 3,107 | |
Treasurer | | 225 | | 150 | | 150 | |
Trustee | | 1,433 | | 1,433 | | 1,433 | |
Other | | 4,180 | | 4,009 | | 4,218 | |
Total Net Expenses | | 88,231 | | 52,640 | | 65,661 | |
Net Investment Income (Loss) | | 33,242 | | (29,422 | ) | 32,429 | |
Realized and Unrealized Gains (Losses) from Investments: | | | | | | | |
Net realized gains (losses) from investment transactions | | (2,717,529 | ) | (479,447 | ) | (1,274,674 | ) |
Change in unrealized appreciation/(depreciation) on investments | | 862,937 | | 88,335 | | 904 | |
Net Realized and Unrealized Gains (Losses) from Investments: | | (1,854,592 | ) | (391,112 | ) | (1,273,770 | ) |
Change in Net Assets Resulting From Operations | | $(1,821,350 | ) | $(420,534 | ) | $(1,241,341 | ) |
(a) For the period from the commencement of operations on November 2, 2021 through March 31, 2022.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 10
| | Mohr |
| Mindful |
| Adaptive | |
|
| For the period |
| For the period |
| For the period | |
From Investment Activities: | | | | | | | |
Operations: | | | | | | | |
Net investment income (loss) | | $33,242 | | $(29,422 | ) | $32,429 | |
Net realized gains (losses) from investment transactions | | (2,717,529 | ) | (479,447 | ) | (1,274,674 | ) |
Change in unrealized appreciation/(depreciation) on investments | | 862,937 | | 88,335 | | 904 | |
Change in net assets resulting from operations | | (1,821,350 | ) | (420,534 | ) | (1,241,341 | ) |
Capital Transactions: | | | | | | | |
Proceeds from shares issued | | 28,420,773 | | 9,085,308 | | 16,603,904 | |
Change in net assets from capital transactions | | 28,420,773 | | 9,085,308 | | 16,603,904 | |
Change in net assets | | 26,599,423 | | 8,664,774 | | 15,362,563 | |
Net Assets: | | | | | | | |
Beginning of period | | — | | — | | — | |
End of period | | $26,599,423 | | $8,664,774 | | $15,362,563 | |
Share Transactions: | | | | | | | |
Issued | | 1,150,000 | | 375,000 | | 675,000 | |
Change in shares | | 1,150,000 | | 375,000 | | 675,000 | |
(a) Commencement of operations.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 11
Mohr Growth ETF | November 2, 2021(a) | |
Net Asset Value, Beginning of Period | $25.00 | |
| | |
Net Investment Income (Loss)(b) | 0.05 | |
Net Realized and Unrealized Gains (Losses) from Investments | (1.92 | ) |
Total from Investment Activities | (1.87 | ) |
| | |
Distributions from Net Investment Income | — | |
Distributions from Net Realized Gains from Investments | — | |
Total Distributions | — | |
| | |
Net Asset Value, End of Period | $23.13 | |
Net Assets at End of Period (000’s) | $26,599 | |
| | |
Total Return at NAV(c)(d) | (7.48)% | |
Total Return at Market(d)(e) | (7.28)% | |
| | |
Ratio of Operating Expenses to Average Net Assets(f)(g) | 1.45% | |
Ratio of Net Investment Income (Loss) to Average Net Assets(f)(h) | 0.55% | |
Portfolio Turnover(d)(i) | 396% | |
(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.
Semi-Annual Shareholder Report | 12
Financial Highlights (continued)
Mindful Conservative ETF | November 2, 2021(a) | |
Net Asset Value, Beginning of Period | $25.00 | |
| | |
Net Investment Income (Loss)(b) | (0.15 | ) |
Net Realized and Unrealized Gains (Losses) from Investments | (1.74 | ) |
Total from Investment Activities | (1.89 | ) |
| | |
Distributions from Net Investment Income | — | |
Distributions from Net Realized Gains from Investments | — | |
Total Distributions | — | |
| | |
Net Asset Value, End of Period | $23.11 | |
Net Assets at End of Period (000’s) | $8,665 | |
| | |
Total Return at NAV(c)(d) | (7.58)% | |
Total Return at Market(d)(e) | (7.48)% | |
| | |
Ratio of Operating Expenses to Average Net Assets(f)(g) | 2.77% | |
Ratio of Net Investment Income (Loss) to Average Net Assets(f)(h) | (1.55)% | |
Portfolio Turnover(d)(i) | 687% | |
(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.
Semi-Annual Shareholder Report | 13
Financial Highlights (continued)
Adaptive Core 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) from Investments | (2.33 | ) |
Total from Investment Activities | (2.24 | ) |
| | |
Distributions from Net Investment Income | — | |
Distributions from Net Realized Gains from Investments | — | |
Total Distributions | — | |
| | |
Net Asset Value, End of Period | $22.76 | |
Net Assets at End of Period (000’s) | $15,363 | |
| | |
Total Return at NAV(c)(d) | (8.96)% | |
Total Return at Market(d)(e) | (8.72)% | |
| | |
Ratio of Net Expenses to Average Net Assets(f)(g) | 1.89% | |
Ratio of Net Investment Income (Loss) to Average Net Assets(f)(h) | 0.93% | |
Portfolio Turnover(d)(i) | 500% | |
(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.
Semi-Annual Shareholder Report | 14
(1) Organization
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 (the “Funds”). Mohr Growth ETF is a diversified actively-managed exchange-traded fund whose investment objective is to seek to provide capital appreciation. Mindful Conservative ETF and Adaptive Core ETF are diversified actively-managed exchange-traded funds whose investment objective is to seek to provide current income. 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 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 Foreside Fund Services, LLC (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 a Fund.
Semi-Annual Shareholder Report | 15
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
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 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).
Semi-Annual Shareholder Report | 16
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
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 during the period ended March 31, 2022.
The following table provides the fair value measurement as of March 31, 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) | $15,654,519 | | $15,654,519 | |
Exchange-Traded Funds | 10,039,511 | | 10,039,511 | |
Total Investments | $25,694,030 | | $25,694,030 | |
| | | | |
Mindful Conservative ETF | | | | |
Exchange-Traded Funds | $5,450,822 | | $5,450,822 | |
Total Investments | $5,450,822 | | $5,450,822 | |
| | | | |
Adaptive Core ETF | | | | |
Common Stocks(1) | $9,951,559 | | $9,951,559 | |
Exchange-Traded Funds | 5,294,548 | | 5,294,548 | |
Total Investments | $15,246,107 | | $15,246,107 |
(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, less foreign tax withholding, if any, are recorded on the ex-dividend date. Investment income from non-U.S. sources received by a Fund is 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 Funds may be subject to foreign taxes
Semi-Annual Shareholder Report | 17
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
on gains in investments or currency repatriation. The Funds accrue such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
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 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 its shareholders any 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 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.
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) a Fund may at any time call the loan and obtain the return of securities loaned, (3) a Fund will
Semi-Annual Shareholder Report | 18
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
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 their 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. Adaptive Core ETF had securities on loan of $228,669, accounted for as secured borrowings with cash collateral of overnight and continuous maturities in the amount of $235,200 as of March 31, 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 each 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 0.12% of the Funds’ average daily net assets, computed daily and paid monthly, and is subject to a minimum monthly fee of $1,000 per Fund.
Semi-Annual Shareholder Report | 19
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
C. Distribution and Shareholder Services Fees
Foreside Fund Services, LLC 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.
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 March 31, 2022, the Funds paid a total of $525 to the Treasurer.
F. General
Certain trustees and officers of the Trust are officers, directors and/or trustees of the above companies, 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 March 31, 2022 were as follows:
| Purchases | Sales |
Mohr Growth ETF | $49,049,462 | $49,231,284 |
Mindful Conservative ETF | 15,639,564 | 16,908,630 |
Adaptive Core ETF | 41,911,054 | 40,521,396 |
Purchases and sales of in-kind transactions for the period ended March 31, 2022 were as follows:
| Purchases | Sales |
Mohr Growth ETF | $27,730,443 | $— |
Mindful Conservative ETF | 7,111,000 | — |
Adaptive Core ETF | 15,130,236 | — |
There were no purchases or sales of U.S. government securities during the period ended March 31, 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.
Semi-Annual Shareholder Report | 20
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
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 may be charged a transaction fee to cover the transfer and other transactional costs it incurs to issue or redeem Creation Units. The standard transaction fee charge is $250.
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.
As of March 31, 2022, there were no unsettled in-kind capital transactions.
(6) 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 a 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 Risk
Overall market risks may also affect the value of the Funds. Factors such as domestic economic growth and market conditions, interest rate levels and political events affect the securities markets. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issue, recessions and depressions, or other events could have a significant impact on the Funds and their investments and could result in increased premiums or discounts to the Funds’ NAV, and may impair market liquidity, thereby increasing liquidity risk. 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.
Semi-Annual Shareholder Report | 21
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
An outbreak of infectious respiratory illness caused by a novel coronavirus known as COVID-19 was first detected in China in December 2019 and has now been detected globally. This coronavirus has resulted in travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, prolonged quarantines, cancellations, supply chain disruptions, and lower consumer demand, as well as general concern and uncertainty. The impact of COVID-19, and other infectious illness outbreaks that may arise in the future, could adversely affect the economies of many nations or the entire global economy, individual issuers and capital markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illnesses in emerging market countries may be greater due to generally less established healthcare systems. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The duration of the COVID-19 outbreak and its effects cannot be determined with certainty.
(7) 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 March 31, 2022.
Semi-Annual Shareholder Report | 22
Consideration and Approval of Management Agreement between Collaborative
Investment Series Trust and Retireful, LLC with respect to the Mohr Growth ETF,
Mindful Conservative ETF and Adaptive Core ETF
Nature, Extent and Quality of Service. The Board noted that Retireful was founded in 2017 and recently apply for registration as an investment adviser with the Securities and Exchange Commission. The Board reviewed the background information on the key investment personnel who would be responsible for servicing each Fund taking into account their education and financial industry experience. The Board noted that Dan Mohr would serve as portfolio manager for each Fund and Mark De Angelis would serve as the adviser’s chief compliance officer. They noted that Retireful would delegate certain items to the Funds’ sub-adviser, but Retireful would oversee the placement of orders and monitor compliance with the Funds’ prospectus.
Performance.
Adaptive Core ETF
The Board noted that Retireful did not manage any other ETFs that implemented a similar strategy. They further noted that Retireful provided back-tested performance information that hypothetically would have returned 6.79%, 20.62%, and 52.72% for the 2018, 2019, and 2020, respectively. The Board acknowledged that the Fund’s hypothetical back-tested performance would have outperformed the Fund’s benchmark for all of the comparison periods. They acknowledged the limitations of back-tested performance data, noting that (i) in generating the data, no market risk was involved because no actual trading was done; (ii) because the data was created with the benefit of hindsight, it may be difficult to account for all factors that would have affected Retireful’s decision-making process; (iii) assumptions used to generate the data may not be indicative of current or future market conditions and (iv) due to the benefit of hindsight, back-tested performance tends to show favorable results.
Mindful Conservative ETF
The Board reviewed the Fund’s proposed investment objective and investment strategy and noted that the Fund would invest in bonds, convertible securities, and other fixed income instruments. They further noted that Retireful provided back-tested performance information that hypothetically would have returned 3.64%, 16.55%, and 29.05% for the 2018, 2019, and 2020, respectively. The Board acknowledged that the Fund’s hypothetical back-tested performance would have outperformed the Fund’s benchmark for all of the comparison periods. They acknowledged the limitations of back-tested performance data, noting that (i) in generating the data, no market risk was involved because no actual trading was done; (ii) because the data was created with the benefit of hindsight, it may be difficult to account for all factors that would have affected Retireful’s decision-making process; (iii) assumptions used to generate the data
Semi-Annual Shareholder Report | 23
Approval of Management Agreement (continued)March 31, 2022 (Unaudited)
may not be indicative of current or future market conditions and (iv) due to the benefit of hindsight, back-tested performance tends to show favorable results.
Mohr Growth ETF
The Board reviewed the Fund’s proposed investment objective and investment strategy and noted that the Fund would invest in asset classes and investment styles such as blend, global, growth, value, and technology. They further noted that Retireful provided back-tested performance information that hypothetically would have returned 5.58%, 35.04%, and 65.83% for the 2018, 2019, and 2020, respectively. The Board acknowledged that the Fund’s hypothetical back-tested performance would have outperformed the Fund’s benchmark for all of the comparison periods. They acknowledged the limitations of back-tested performance data, noting that (i) in generating the data, no market risk was involved because no actual trading was done; (ii) because the data was created with the benefit of hindsight, it may be difficult to account for all factors that would have affected Retireful’s decision-making process; (iii) assumptions used to generate the data may not be indicative of current or future market conditions and (iv) due to the benefit of hindsight, back-tested performance tends to show favorable results.
Fees and Expenses.
Adaptive Core ETF
The Board acknowledged that the Retireful had a proposed management fee of 0.70%, which was lower than the peer group average of 0.89%. The Board further noted that the Fund’s net expense ratio of 0.91% was lower than the Fund’s peer group average net expense ratio of 1.42%. The Board concluded that Retireful’s fees and expenses on behalf of the Adaptive Core ETF were not unreasonable.
Mindful Conservative ETF
The Board acknowledged that the Retireful had a proposed management fee of 0.70%, which was lower than the peer group average of 0.81%. The Board further noted that the Fund’s net expense ratio of 1.07% was lower than the Fund’s peer group average net expense ratio of 1.68%. The Board concluded that Retireful’s fees and expenses on behalf of the Mindful Conservative ETF were not unreasonable.
Mohr Growth ETF
The Board acknowledged that the Retireful had a proposed management fee of 0.70%, which was lower than the peer group average of 0.81%. The Board further noted that the Fund’s net expense ratio of 0.91% was lower than the Fund’s peer group average net expense ratio of 1.33%. The Board concluded that Retireful’s fees and expenses on behalf of the Mohr Growth ETF were not unreasonable.
Semi-Annual Shareholder Report | 24
Approval of Management Agreement (continued)March 31, 2022 (Unaudited)
Profitability. The Board reviewed the profit analysis provided by Retireful, noting the year one and two profitability of each Fund based on an assumption of $150 million in assets under management. The Board acknowledged that these percentages was an estimate based on projected asset growth over the first 24 months of operations. They noted that while Retireful projected making a profit in terms of actual dollars and percentage in connection with its relationship to each Fund if estimated asset levels were achieved, they agreed that the projected profits were not excessive.
Economies of Scale. The Board considered whether economies of scale would be realized in connection with the advisory services provided to the Funds. They noted that based on each Fund’s projected asset size and profit level, the absence of breakpoints was acceptable at this time. The Board discussed Retireful’s position on breakpoints and agreed to continue to monitor each Fund’s asset levels and revisit the matter as each Fund continues to grow.
Conclusion. Having requested and received such information from Retireful as the Board believed to be reasonably necessary to evaluate the terms of the investment advisory agreement, and as assisted by the advice of independent counsel, the Board determined that approval of the advisory agreement was in the best interests of the Mohr ETFs and their future shareholders.
Consideration and Approval of Proposed Sub-Advisory Agreement between
Retireful, LLC and Tuttle Capital Management, LLC with respect to the Mohr
Growth ETF, Mindful Conservative ETF and Adaptive Core ETF
Nature, Extent and Quality of Service. The Board noted that Tuttle was founded in 2012 and was registered with the SEC as an investment adviser with $280 million in assets under management as of May 31, 2021. The Board further noted that Tuttle currently served as the adviser or sub-adviser to ten funds. The Board reviewed the background information on the key investment personnel who would be responsible for servicing each Fund taking into account their education and financial industry experience. They indicated their satisfaction with Tuttle’s use of a pre-trade and post-trade testing as a method to ensure compliance with each Fund’s investment policies and regulations. The Board expressed its satisfaction with Tuttle’s overall experience, operations, and compliance culture.
Performance. The Board noted that Tuttle was only going to provide execution services for the Mohr ETFs. They further noted the back-tested performance data that was provided by Retireful. The Trustees acknowledged that based on the back-tested performance, the Funds were likely to provide shareholders positive returns.
Fees and Expenses. The Board considered Tuttle’s proposed sub-advisory fee of 0.15%, noting that the proposed sub-advisory fee was in line with the amounts charged by Tuttle to other mutual funds and ETFs for similar services. The
Semi-Annual Shareholder Report | 25
Approval of Management Agreement (continued)March 31, 2022 (Unaudited)
Board concluded that Tuttle’s fees and expenses on behalf of the Mohr ETFs were not unreasonable.
Profitability. The Board reviewed the profit analysis provided by Tuttle, noting that the year one and two profitability of each Fund. The Board acknowledged that these percentages was an estimate based on projected asset growth over the first 24 months of operations. They noted that while Tuttle projected making a profit in terms of actual dollars and percentage in connection with its relationship to each Fund if estimated asset levels were achieved, they agreed that the projected profits were not excessive.
Economies of Scale. The Board considered whether economies of scale would be realized in connection with the advisory services provided to the Funds. They noted that based on the Funds’ projected asset size and profit level, the absence of breakpoints was acceptable at this time. They further agreed that economies of scale were primarily a Fund level issue and had been considered with respect to the Funds’ overall advisory agreement and advisory fee.
Conclusion. Having requested and received such information from Tuttle as the Board believed to be reasonably necessary to evaluate the terms of the investment advisory agreement, and as assisted by the advice of independent counsel, the Board determined that approval of the advisory agreement was in the best interests of the Mohr ETFs and their future shareholders.
Semi-Annual Shareholder Report | 26
PORTFOLIO HOLDINGS
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.
Sem-Annual Shareholder Report | 27
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 personal information: | Do we share information? | Can you limit |
For our everyday business purposes - | YES | NO |
For our marketing purposes - to offer our products and services to you. | NO | We don’t share |
For joint marketing with other | NO | We don’t share |
For our affiliates’ everyday business purposes - information about your transactions and records. | NO | We don’t share |
Semi-Annual Shareholder Report | 28
Reasons we can share your personal information: | Do we share information? | Can you limit |
For our affiliates’ everyday business purposes - information about your credit worthiness. | NO | We don’t share |
For our affiliates to market to you | NO | We don’t share |
For non-affiliates to market to you | NO | We don’t share |
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 | 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. |
Semi-Annual Shareholder Report | 29
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. |
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
Foreside Fund Services, LLC
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
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.
5/22
NextGen ETFs, LLC
812 Expedition Trail
Helena, MT 59602
1-866-505-1107
www.NextGen-Funds.com
Semi-Annual
Shareholder Report
The NextGen Trend and
Defend ETF (TRDF)
March 31, 2022
TABLE OF CONTENTS
Expense Examples | 1 |
Portfolio of Investments | 3 |
Statement of Assets and Liabilities | 4 |
Statement of Operations | 5 |
Statement of Changes in Net Assets | 6 |
Financial Highlights | 7 |
Notes to Financial Statements | 8 |
Approval of Management Agreement | 16 |
Additional Information | 19 |
Privacy Policy | 20 |
Semi-Annual Shareholder Report | 1
Expense ExamplesMarch 31, 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 entire period ended March 31, 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 the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the 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.
Semi-Annual Shareholder Report | 2
Expense Examples (continued)March 31, 2022 (Unaudited)
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 the 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.
|
|
|
| Beginning |
| Ending |
| Expenses |
| Annualized | ||||
The NextGen Trend and Defend ETF | | Actual(a) | | $1,000.00 | | $938.40 | | | $2.03 | (b) | | | 0.89 | % |
| | Hypothetical | | 1,000.00 | | 1,020.49 | | | 4.48 | (c) | | | 0.89 | |
(a) Information shown reflects values for the stub period of 86 days from January 5, 2022 (commencement of operations) to March 31, 2022 and has been calculated using expense ratios and rates of returns for the same period.
(b) Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the period from January 5, 2022 (commencement of operations) to March 31, 2022, divided by the number of days in the fiscal year.
(c) Expenses are equal to the Fund’s annualized expense ratio multiplied by the average hypothetical account value over the period, multiplied by 182/365 (the number of days in the more recent fiscal half-year divided by the number of days in the fiscal year).
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 3
Portfolio of InvestmentsMarch 31, 2022 (Unaudited)
The NextGen Trend and Defend ETF
Portfolio of Investments Summary Table |
| Percentage of Fair Value (%) |
Exchange-Traded Funds | | 100.0 |
Total | | 100.0 |
Portfolio holdings and allocations are subject to change. As of March 31, 2022, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund’s total net assets.
Portfolio of Investments
| Shares | | | Fair Value ($) | |
| Exchange-Traded Funds — 97.9% | | | ||
| 8,982 | | SPDR Bloomberg 1-3 Month T-Bill ETF(a) | 821,224 | |
| 2,086 | | Vanguard S&P 500 ETF | 866,045 | |
| | | | 1,687,269 | |
| Total Exchange-Traded Funds (Cost $1,676,195) | 1,687,269 | | ||
| | | | ||
| Total Investments — 97.9% (Cost $1,676,195) | 1,687,269 | | ||
| Other Assets in Excess of Liabilities — 2.1% | 36,703 | | ||
| Net Assets — 100.0% | 1,723,972 | |
(a) Non-income producing security.
ETF — Exchange-Traded Fund
S&P — Standard and Poor’s
SPDR — Standard & Poor’s Depositary Receipts
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 4
Statement of Assets and LiabilitiesMarch 31, 2022 (Unaudited)
| The NextGen Trend and Defend ETF | |
Assets: | | |
Investments, at value (Cost $1,676,195) | $1,687,269 | |
Cash | 41,414 | |
Receivable due from advisor | 6,452 | |
Prepaid expenses | 50 | |
Total Assets | 1,735,185 | |
Liabilities: | | |
Accrued expenses: | | |
Administration | 1,000 | |
Custodian | 2,500 | |
Exchange listing fee | 1,067 | |
Fund accounting | 2,096 | |
Legal and audit | 2,665 | |
Trustee | 1,012 | |
Other | 873 | |
Total Liabilities | 11,213 | |
Net Assets | $1,723,972 | |
Net Assets consist of: | | |
Paid in Capital | $1,819,725 | |
Total Distributable Earnings/(Deficit) | (95,753 | ) |
Net Assets | $1,723,972 | |
| | |
Net Assets: | $1,723,972 | |
Shares of Beneficial Interest Outstanding | 75,000 | |
Net Asset Value (offering and redemption price per share): | $22.99 | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 5
Statement of OperationsFor the Period Ended March 31, 2022 (Unaudited)
| The NextGen Trend and Defend ETF(a) | |||
Investment Income: | | | | |
Dividend income | | | $2,866 | |
Total Investment Income | | | 2,866 | |
Expenses: | | | | |
Advisory | | | 2,921 | |
Administration | | | 3,000 | |
Compliance services | | | 373 | |
Custodian | | | 2,510 | |
Exchange listing fee | | | 1,067 | |
Fund accounting | | | 3,432 | |
Legal and audit | | | 3,555 | |
Printing | | | 3,234 | |
Treasurer | | | 150 | |
Trustee | | | 1,012 | |
Other | | | 1,547 | |
Total Expenses before fee reductions | | | 22,801 | |
Expenses contractually waived and/or reimbursed by the Advisor | | | (19,523 | ) |
Total Net Expenses | | | 3,278 | |
Net Investment Income (Loss) | | | (412 | ) |
Realized and Unrealized Gains (Losses) from Investments: | | | | |
Net realized gains (losses) from investment transactions | | | (106,415 | ) |
Change in unrealized appreciation/(depreciation) on investments | | 11,074 | | |
Net Realized and Unrealized Gains (Losses) from Investments: | | (95,341 | ) | |
Change in Net Assets Resulting From Operations | | | $(95,753 | ) |
(a) For the period from the commencement of operations on January 5, 2022 through March 31, 2022.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 6
Statement of Changes in Net Assets
| | The NextGen Trend and Defend ETF | |||
|
| For the period | |||
From Investment Activities: | | | | | |
Operations: | | | | | |
Net investment income (loss) | | | | $(412 | ) |
Net realized gains (losses) from investment transactions | | | | (106,415 | ) |
Change in unrealized appreciation/(depreciation) on investments | | 11,074 | | ||
Change in net assets resulting from operations | | | | (95,753 | ) |
Capital Transactions: | | | | | |
Proceeds from shares issued | | | | 1,819,725 | |
Change in net assets from capital transactions | | | | 1,819,725 | |
Change in net assets | | | | 1,723,972 | |
Net Assets: | | | | | |
Beginning of period | | | | — | |
End of period | | | | $1,723,972 | |
Share Transactions: | | | | | |
Issued | | | | 75,000 | |
Change in shares | | | | 75,000 | |
(a) Commencement of operations.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 7
Financial Highlights
The NextGen Trend and Defend ETF | January 5, 2022(a) | |
Net Asset Value, Beginning of Period | $24.50 | |
| ||
Net Investment Income (Loss)(b) | (0.01 | ) |
Net Realized and Unrealized Gains (Losses) from Investments | (1.50 | ) |
Total from Investment Activities | (1.51 | ) |
| ||
Distributions from Net Investment Income | — | |
Distributions from Net Realized Gains from Investments | — | |
Total Distributions | — | |
| ||
Net Asset Value, End of Period | $22.99 | |
Net Assets at End of Period (000’s) | $1,724 | |
| ||
Total Return at NAV(c)(d) | (6.16)% | |
Total Return at Market(d)(e) | (6.04)% | |
| ||
Ratio of Net Expenses to Average Net Assets(f)(g) | 0.89% | |
Ratio of Gross Expenses to Average Net Assets(f)(g)(h) | 6.19% | |
Ratio of Net Investment Income (Loss) to Average Net Assets(f)(i) | (0.11)% | |
Portfolio Turnover(d)(j) | 411% | |
(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) If applicable, certain fees were waived and/or reimbursed. If such waivers/reimbursements had not occurred, the ratio would have been as indicated.
(i) 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.
(j) Excludes the impact of in-kind transactions.
Semi-Annual Shareholder Report | 8
Notes to Financial StatementsMarch 31, 2022 (Unaudited)
(1) Organization
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 The NextGen Trend and Defend ETF (the “Fund”). The Fund is a diversified actively-managed exchange-traded fund whose investment objective is seeking capital appreciation with a secondary objective of generating positive returns in significant market declines. The Fund’s prospectus provides a description of the Fund’s investment objectives, policies, and strategies. The assets of the Fund are segregated and a shareholder’s interest is limited to the Fund in which shares are held. The Fund commenced operations on January 5, 2022.
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 Fund. 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 Fund 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 Fund issues and redeems Shares on a continuous basis at NAV only in large blocks of Shares, currently 25,000 Shares, called “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 the 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 Foreside Fund Services, LLC (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 Fund.
Semi-Annual Shareholder Report | 9
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. These policies are in conformity with generally accepted accounting principles in the United States of America (“GAAP”). The 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 Fund holds 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 Fund may use a pricing service, bank, or broker-dealer experienced in such matters to value the Fund’s 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 Fund 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 Fund’s 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 Fund has 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 Fund’s own assumptions in determining the fair value of investments).
Semi-Annual Shareholder Report | 10
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.
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 Fund did not hold any Level 2 or Level 3 investments during the period ended March 31, 2022.
The following table provides the fair value measurement as of March 31, 2022, while the breakdown, by category, of investments is disclosed in the Portfolio of Investments for the Fund:
| Level 1 | | Total | ||||
The NextGen Trend and Defend ETF | | | | | | | |
Exchange-Traded Funds |
| $1,687,269 |
| |
| $1,687,269 |
|
Total Investments |
| $1,687,269 |
| |
| $1,687,269 |
|
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, less foreign tax withholding, if any, are recorded on the ex-dividend date. Investment income from non-U.S. sources received by the Fund is 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 Fund may be subject to foreign taxes on gains in investments or currency repatriation. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
C. Cash
Idle cash may be swept into various interest bearing overnight demand deposits and is classified as cash on the Statement of Assets and Liabilities. The Fund maintains cash in bank deposit accounts which, at times, may exceed United States federally insured limit of $250,000. Amounts swept overnight are available on the next business day.
Semi-Annual Shareholder Report | 11
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
D. Dividends and Distributions to Shareholders
Distributions are recorded on the ex-dividend date. The Fund intends to distribute to its shareholders any 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 Fund 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.
The Fund 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.
(3) Investment Advisory and Other Contractual Services
A. Investment Advisory Fees
NextGen ETFs, LLC (the “Advisor”), serves as the Fund’s 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 Fund. The Fund pays the Advisor a management fee of 0.80% of its average daily net assets, calculated daily and paid monthly.
Tuttle Capital Management, LLC (“Tuttle”) serves as subadvisor for the Fund and is paid for its services directly by the Advisor, not the Fund. Tuttle’s contractual fee is 0.08% of the Fund’s average daily net assets.
The Advisor has contractually agreed to reduce its fees and/or reimburse the expenses for the Fund (excluding front-end or contingent deferred loads, brokerage fees and commissions, acquired fund fees and expenses, fees and expenses associated with instruments in other collective investment vehicles or derivative instruments (including for example options and swap fees and expenses), borrowing costs (such as interest and dividend expense on securities sold short), taxes, other fees related to underlying investments (such
Semi-Annual Shareholder Report | 12
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
as option fees and expenses or swap fees and expenses), or extraordinary expenses such as litigation (which may include indemnification of Fund officers and Trustees or contractual indemnification of Fund Service providers (other than the Advisor)) in order to ensure that net annual fund operating expenses will not exceed 0.89% of the Fund’s average daily net assets (“Expense Cap”). These fee waivers and expense reimbursements are subject to possible recoupment from the Fund within the three years of the date on which the waiver or reimbursement occurs, if such recoupment can be achieved within the lesser of the foregoing expense limits or the expense limits in place at the time of recoupment. The Expense Cap will remain in effect for the Fund until at least April 30, 2023. The Expense Cap may be terminated earlier only upon approval by the Board, on 60 days’ written notice to the Advisor. More information about the Fund’s fee waiver and Expense Cap agreement is available in the “Management of the Fund” section of the Fund’s prospectus.
As of March 31, 2022, the Advisor may recoup amounts from the Fund as follows:
| Expires 9/30/2025 | Total |
The NextGen Trend and Defend ETF | $19,523 | $19,523 |
B. Administration, Custodian, Transfer Agent and Accounting Fees
Citi Fund Services Ohio, Inc. (“Citi”) serves as administrator and dividend disbursing agent for the Fund pursuant to a Services Agreement. Citibank, N.A. serves as the custodian and transfer agent of the Fund pursuant to a Global Custodial and Agency Services Agreement.
Collaborative Fund Services LLC (“CFS”) provides the Fund with various management and legal administrative services. For these services, the Fund pays CFS an administrative fee that is computed daily and paid monthly, based on the aggregate daily net assets of the Fund and is subject to a minimum monthly fee of $1,000.
C. Distribution and Shareholder Services Fees
Foreside Fund Services, LLC is the principal underwriter and distributor for the Fund’s Shares. The Distributor is compensated by the Advisor in accordance with a Distribution Services Agreement between the Advisor and the Distributor.
D. Compliance Services
Beacon Compliance Consulting provides compliance services to the Trust and receives a monthly fee paid by the Fund for these services.
E. Treasurer Fees
The Treasurer of the Trust receives a fee that is calculated monthly using the net assets at month-end and is paid by the Fund on a quarterly basis. During the period ended March 31, 2022, the Fund paid a total of $150 to the Treasurer.
Semi-Annual Shareholder Report | 13
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
F. General
Certain trustees and officers of the Trust are officers, directors and/or trustees of the above companies, except for the Treasurer, receive no compensation from the Fund for their services.
(4) Investment Transactions
Purchases and sales of investments, excluding in-kind transactions and short-term investments, for the period ended March 31, 2022 were as follows:
| Purchases | Sales |
The NextGen Trend and Defend ETF | $6,421,245 | $5,861,979 |
Purchases and sales of in-kind transactions for the period ended March 31, 2022 were as follows:
| Purchases | Sales |
The NextGen Trend and Defend ETF | $1,223,345 | $— |
There were no purchases or sales of U.S. government securities during the period ended March 31, 2022.
(5) Capital Share Transactions
Shares are issued and redeemed by the Fund only in aggregations of a specified number of shares or multiples thereof at NAV. Except when aggregated in Creation Units, shares of the Fund are not redeemable. Transactions in shares for the Fund are disclosed in detail on the Statement 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 may be charged a transaction fee to cover the transfer and other transactional costs it incurs to issue or redeem Creation Units. The standard transaction fee charge is $250.
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 Statement of Assets and Liabilities.
As of March 31, 2022, there were no unsettled in-kind capital transactions.
Semi-Annual Shareholder Report | 14
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
(6) 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 a 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 Risk
Overall market risks may also affect the value of the Fund. Factors such as domestic economic growth and market conditions, interest rate levels and political events affect the securities markets. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issue, recessions and depressions, or other events could have a significant impact on the Fund and their investments and could result in increased premiums or discounts to the Fund’s NAV, and may impair market liquidity, thereby increasing liquidity risk. The Fund 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.
An outbreak of infectious respiratory illness caused by a novel coronavirus known as COVID-19 was first detected in China in December 2019 and has now been detected globally. This coronavirus has resulted in travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, prolonged quarantines, cancellations, supply chain disruptions, and lower consumer demand, as well as general concern and uncertainty. The impact of COVID-19, and other infectious illness outbreaks that may arise in the future, could adversely affect the economies of many nations or the entire global economy, individual issuers and capital markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illnesses in emerging market countries may be greater due to generally less established healthcare systems. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The duration of the COVID-19 outbreak and its effects cannot be determined with certainty.
Semi-Annual Shareholder Report | 15
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
(7) Subsequent Events
Management of the Fund 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 March 31, 2022.
Semi-Annual Shareholder Report | 16
Approval of Management AgreementMarch 31, 2022 (Unaudited)
Consideration and Approval of Proposed Management Agreement with
NextGen ETFs, LLC with respect to the NextGen Trend and Defend ETF
Nature, Extent and Quality of Service. The Trustees noted that NextGen was founded in 2021 to serve as the adviser to the NextGen Trend and Defend ETF and institutional separately managed accounts. They reviewed the background information of the key investment personnel responsible for servicing the Fund and took into consideration their diverse education and financial industry experience. The Trustees noted that the adviser would employ a rules-based, quantitative methodology that considers various inputs when determining whether to buy, sell, or hold a security. They further noted that the adviser intended to delegate trading to a sub-adviser but would provide oversight of the sub-adviser’s trading execution. The Trustees acknowledged the Fund’s key risks and the actions taken by the adviser to mitigate those risks. The Trustees, based upon their review, concluded that the adviser would likely provide a high level of service to the Fund and its shareholders.
Performance. The Board noted that although the Fund was not operational and without historical performance, the adviser would employ the same investment strategy that it utilized for its separately managed accounts. The Trustees noted that the adviser’s separately managed accounts returned approximately 41.91% for the one-year period ended December 31, 2021. The Trustees agreed that the adviser should be provided an opportunity to implement the Fund’s strategy.
Fees and Expenses. The Trustees noted that the adviser’s proposed advisory fee was 0.80% and the Fund had an estimated net expense ratio of 1.00%. They further noted that the advisory fee and net expense ratio were both lower than the Fund’s peer group average of 0.88% and 1.22%, respectively. They further noted that the adviser had entered into an expense limitation agreement whereby it would waive its advisory fee or reimburse fund expenses in order to limit the Fund’s net expense ratio to 1.00%. Accordingly, the Trustees determined that the Fund’s proposed advisory fee was not unreasonable.
Profitability. The Trustees reviewed the profitability analysis provided by the adviser in connection with the services provided to the Fund. They noted that the adviser estimated that it would receive a profit in connection with its relationship with the Fund. The Trustees noted that the profits were reasonable in terms of actual dollars and as a percentage of revenue.
Economies of Scale. The Trustees considered whether economies of scale would be realized in connection with the advisory services provided to the Fund. They noted that based on the Fund’s projected asset size and profit level, the absence of breakpoints was acceptable at this time. The Trustees discussed the adviser’s position on breakpoints and agreed to monitor the Fund’s asset levels and revisit the matter as the Fund grows.
Semi-Annual Shareholder Report | 17
Approval of Management Agreement (continued)March 31, 2022 (Unaudited)
Conclusion. Having requested and received such information from NextGen as the Trustees believed to be reasonably necessary to evaluate the terms of the investment advisory agreement, and as assisted by the advice of independent counsel, the Trustees determined that approval of the advisory agreement was in the best interests of the Fund and its future shareholders.
Consideration and Approval of Proposed Sub-Advisory Agreement with
NextGen ETFs, LLC and Tuttle Capital Management, LLC with respect to the
NextGen Trend and Defend ETF
Nature, Extent and Quality of Service. The Board noted that Tuttle was founded in 2012 and was registered with the SEC as an investment adviser with $140 million in assets under management as of October 2021. The Trustees further noted that Tuttle currently served as the adviser or sub-adviser to eight mutual funds or ETF. They reviewed the background information on the key investment personnel who would be responsible for servicing the Fund, taking into account their education and financial industry experience. The Trustees also expressed their satisfaction with Tuttle’s use of a pre-trade and post-trade testing as a method to ensure compliance with the Fund’s investment policies and regulations. They expressed its satisfaction with Tuttle’s overall experience, operations, and compliance culture.
Performance. The Trustees acknowledged that Tuttle would serve as the Fund’s trading sub-adviser and that NextGen would retain overall investment discretion for the execution of the Fund’s strategy. They noted that Tuttle implemented a best execution committee that reviewed Tuttle’s brokerage execution on a quarterly basis. The Trustees further noted that Tuttle demonstrated the ability to provide positive returns for the mutual fund and ETFs were Tuttle served as adviser or sub-adviser. They agreed that Tuttle should be allowed to serve as the Fund’s sub-adviser.
Fees and Expenses. The Trustees noted that the proposed sub-advisory fee was 0.08% of the Fund’s net management fee was lower than the average sub-advisory fee charged by Tuttle for serving as a sub-adviser for other ETFs. They further noted the adviser not the Fund was responsible for paying the sub-adviser. The Trustees agreed that the sub-advisory fee was not unreasonable.
Profitability. The Trustees reviewed the profit analysis provided by Tuttle and noted that because the Fund had not yet commenced operations, the profitability analysis provided was an estimate based on projected asset growth over the first 24 months of operations. They further noted that while Tuttle projected making a profit in terms of actual dollars and percentage in connection with its relationship to the Fund if estimated asset levels were achieved, they agreed that the projected profits were not excessive.
Semi-Annual Shareholder Report | 18
Approval of Management Agreement (continued)March 31, 2022 (Unaudited)
Economies of Scale. The Trustees considered whether the sub-adviser had realized economies of scale with respect to the sub-advisory services provided to the Fund. The Trustee agreed that this was primarily an adviser level issue and had been considered with respect to the overall advisory agreement, taking into consideration the impact of the sub-advisory expense and the breakpoints in the sub-advisory fee.
Conclusion. Having requested and received such information from Tuttle as the Board believed to be reasonably necessary to evaluate the terms of the investment advisory agreement, and as assisted by the advice of independent counsel, the Board determined that approval of the advisory agreement was in the best interests of the Fund and its future shareholders.
Semi-Annual Shareholder Report | 19
Additional InformationMarch 31, 2022 (Unaudited)
PORTFOLIO HOLDINGS
The Fund files 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 1-866-505-1107, free of charge.
PREMIUM/DISCOUNT INFORMATION
The Fund’s website at http://www.nextgen-funds.com shows the previous day’s closing NAV and closing market price for the Fund’s ETF Shares. The website also discloses, in the Premium/Discount section, how frequently the Fund’s 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 Fund’s proxy voting policies, procedures and voting records relating to common stock securities in the Fund’s investment portfolio are available without charge, upon request, by calling the Fund’s toll-free telephone number 1-866-505-1107. The Fund 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 Fund’s proxy information is also available on the SEC’s website at http://www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 is available without charge, upon request by calling 1-866-505-1107 or referring to the SEC’s web site at http://www.sec.gov.
Semi-Annual Shareholder Report | 20
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 |
Semi-Annual Shareholder Report | 21
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. |
Semi-Annual Shareholder Report | 22
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. |
Investment Advisor
NextGen ETFs, LLC
812 Expedition Trail
Helena, MT 59602
Investment Subadvisor
Tuttle Capital Management, LLC
155 Lockwood Rd.
Riverside, CT 06878
Distributor
Foreside Fund Services, LLC
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
This report is provided for the general information of the Fund’s shareholders. It is not authorized for distribution unless preceded or accompanied by an effective prospectus, which contains more complete information about the Fund.
5/22
Rareview Capital LLC
1980 Festival Plaza Drive, Suite 300
Las Vegas, NV 89135
1-888-783-8637
www.rareviewcapital.com
Semi-Annual
Shareholder Report
Rareview Dynamic Fixed Income ETF (RDFI)
Rareview Tax Advantaged Income ETF (RTAI)
Rareview Inflation/Deflation ETF (FLTN)
Rareview Systematic Equity ETF (RSEE)
March 31, 2022
1 | |
3 | |
3 | |
7 | |
10 | |
13 | |
15 | |
17 | |
19 | |
21 | |
25 | |
38 | |
42 | |
43 |
TABLE OF CONTENTS
Semi-Annual Shareholder Report | 1
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 entire period ended March 31, 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.
Semi-Annual Shareholder Report | 2
Expense Examples (continued)March 31, 2022 (Unaudited)
|
|
|
| Beginning |
| Ending |
| Expenses Paid |
| Annualized | ||||
Rareview Dynamic Fixed | | Actual | | $1,000.00 | | $905.70 | | | $7.13 | (a) | | | 1.50 | % |
| | Hypothetical | | 1,000.00 | | 1,017.45 | | | 7.54 | (a) | | | 1.50 | |
Rareview Tax Advantaged | | Actual | | 1,000.00 | | 872.40 | | | 5.84 | (a) | | | 1.25 | |
| | Hypothetical | | 1,000.00 | | 1,018.70 | | | 6.29 | (a) | | | 1.25 | |
Rareview Inflation/ | | Actual(b) | | 1,000.00 | (c) | 990.50 | | | 2.04 | (d) | | | 0.87 | |
| | Hypothetical | | 1,000.00 | (c) | 1,020.59 | | | 4.38 | (a) | | | 0.87 | |
Rareview Systematic Equity ETF | | Actual(e) | | 1,000.00 | (c) | 1,005.80 | | | 1.89 | (f) | | | 0.97 | |
| | Hypothetical | | 1,000.00 | (c) | 1,020.09 | | | 4.89 | (a) | | | 0.97 | |
(a) Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 182/365 (the number of days in the more recent fiscal half-year divided by the number of days in the fiscal year).
(b) Information shown reflects values for the stub period of 86 days from January 5, 2022 (commencement of operations) to March 31, 2022 and has been calculated using expense ratios and rates of returns for the same period.
(c) Beginning account value from the commencement of operations.
(d) Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the period from January 5, 2022 (commencement of operations) to March 31, 2022 divided by the number of days in the fiscal year.
(e) Information shown reflects values for the stub period of 71 days from January 20, 2022 (commencement of operations) to March 31, 2022 and has been calculated using expense ratios and rates of returns for the same period.
(f) Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the period from January 20, 2022 (commencement of operations) to March 31, 2022 divided by the number of days in the fiscal year.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 3
Portfolio of Investments Summary Table | ||
Closed End Funds | | 52.4 |
Exchange-Traded Funds | | 23.2 |
Options on Futures | | 24.4 |
Total | | 100.0 |
Portfolio holdings and allocations are subject to change. As of March 31, 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 ($) | | |||
| Closed End Funds — 65.7% | | ||||
| 536,742 | | Aberdeen Asia-Pacific Income | | 1,814,188 | |
| 172,195 | | Angel Oak Financial Strategies Income Term Trust | | 2,718,959 | |
| 111,546 | | Apollo Tactical Income Fund, Inc. | | 1,601,801 | |
| 934 | | Ares Dynamic Credit Allocation | | 13,487 | |
| 49,813 | | BlackRock Core Bond Trust | | 647,569 | |
| 63,064 | | BlackRock Credit Allocation | | 792,084 | |
| 21,994 | | BlackRock MuniHoldings Fund, Inc. | | 312,975 | |
| 1,000 | | BlackRock MuniHoldings Investment Quality Fund | | 12,260 | |
| 249,431 | | BlackRock MuniVest Fund, Inc. | | 2,035,357 | |
| 61,485 | | BlackRock MuniYield Quality | | 771,637 | |
| 212,750 | | Blackstone Strategic Credit Fund | | 2,776,387 | |
| 1,700 | | DoubleLine Opportunistic Credit Fund | | 28,492 | |
| 93,990 | | DoubleLine Yield Opportunities Fund | | 1,574,332 | |
| 135,900 | | Eaton Vance Municipal Bond Fund | | 1,562,850 | |
| 328,440 | | Morgan Stanley Emerging Markets Domestic Debt Fund, Inc. | | 1,638,916 | |
| 73,652 | | Nuveen AMT-Free Quality Municipal Income Fund | | 967,787 | |
| 668,529 | | Nuveen Credit Strategies Income Fund | | 4,131,509 | |
| 62,194 | | Nuveen Municipal Credit | | 839,619 | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 4
Portfolio of Investments (continued)March 31, 2022 (Unaudited)
Rareview Dynamic Fixed Income ETF
| Shares | Fair Value ($) | | |||
| 85,641 | | Nuveen New Jersey Quality Municipal Income Fund | | 1,145,877 | |
| 63,753 | | Nuveen New York AMT-Free Quality Municipal Income | | 773,961 | |
| 65,317 | | Nuveen Quality Municipal Income Fund | | 872,635 | |
| 453,749 | | Nuveen Senior Income Fund | | 2,572,757 | |
| 258 | | PGIM Global High Yield Fund, Inc. | | 3,449 | |
| 188 | | PGIM High Yield Bond Fund, Inc. | | 2,698 | |
| 46,041 | | PIMCO Dynamic Income | | 782,237 | |
| 237,209 | | Western Asset Emerging Markets | | 2,545,253 | |
| 113,654 | | Western Asset Managed Municipals Fund, Inc. | | 1,320,659 | |
| | | | | 34,259,735 | |
| Total Closed End Funds (Cost $38,360,740) | | 34,259,735 | | ||
| | | | | ||
| Exchange-Traded Funds — 29.2% | | | | ||
| 42,878 | | iShares iBoxx $ Investment Grade Corporate Bond ETF | | 5,185,665 | |
| 49,115 | | iShares MBS ETF | | 5,003,345 | |
| 45,592 | | iShares National Muni Bond ETF | | 4,998,707 | |
| | | | | 15,187,717 | |
| Total Exchange-Traded Funds (Cost $15,215,049) | | 15,187,717 | | ||
| | | | | ||
| | |||||
| Total Purchased Options on Futures (Cost $5,729,165) | | 15,961,875 | | ||
| | | | | ||
| Total Investments — 125.5% (Cost $59,304,954) | | 65,409,327 | | ||
| Liabilities in Excess of Other Assets — (25.5%) | | (13,299,482 | ) | ||
| Net Assets — 100.0% | | 52,109,845 | |
AMT — Alternative Minimum Tax
ETF — Exchange-Traded Fund
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 5
Portfolio of Investments (continued)March 31, 2022 (Unaudited)
Rareview Dynamic Fixed Income ETF
Futures Contracts
At March 31, 2022, the Fund’s open futures contracts were as follows:
Futures Contracts Sold
Description |
| Number of |
| Expiration |
| Notional |
| Value and | |
iBoxx iShares Bond Future | | 36 | | 5/2/22 | | 5,199,480 | | (65,177 | ) |
| | | | | | | | (65,177 | ) |
Written Options
Exchange-traded options on futures contracts written as of March 31, 2022 were as follows:
Premiums |
| | |||||||||||||
Euro$ 1Y | | Call | | 8,250 | | 2,040,586 | | 198,412 | | 98.94 | | 4/14/22 | | (51,562 | ) |
Euro$ 1Y | | Call | | 17,050 | | 4,219,874 | | 625,598 | | 99.00 | | 4/14/22 | | (106,563 | ) |
IMM Euro$ | | Put | | 1,200 | | 297,188 | | 103,860 | | 99.06 | | 5/13/22 | | (1,800,000 | ) |
IMM Euro$ | | Put | | 1,200 | | 297,000 | | 73,860 | | 99.00 | | 5/13/22 | | (1,620,000 | ) |
IMM Euro$ | | Put | | 800 | | 197,875 | | 149,240 | | 98.94 | | 6/13/22 | | (990,000 | ) |
IMM Euro$ | | Put | | 800 | | 198,000 | | 189,240 | | 99.00 | | 6/13/22 | | (1,105,000 | ) |
IMM Euro$ | | Put | | 2,200 | | 540,031 | | 1,977,910 | | 98.19 | | 12/19/22 | | (5,390,000 | ) |
IMM Euro$ | | Put | | 2,200 | | 539,344 | | 1,679,590 | | 98.06 | | 12/19/22 | | (4,853,750 | ) |
(Total Premiums Received $4,997,710) | | | | | | | | | | | | | | (15,916,875 | ) |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 6
Portfolio of Investments (continued)March 31, 2022 (Unaudited)
Rareview Dynamic Fixed Income ETF
Purchased Options
Exchanged-traded options on futures contracts purchased as of March 31, 2022 were as follows:
Description |
| Put/ |
| Number |
| Notional |
| Strike |
| Expiration |
| Value ($) | |
Euro$ 1Y Midcurve Options | | Call | | 8,250 | | 2,038,008 | | 98.81 | | 4/14/22 | | 51,562 | |
Euro$ 1Y Midcurve Options | | Call | | 17,050 | | 4,214,546 | | 98.88 | | 4/14/22 | | 106,563 | |
IMM Euro$ Futures Options | | Put | | 1,200 | | 297,375 | | 99.13 | | 5/13/22 | | 1,987,500 | |
IMM Euro$ Futures Options | | Put | | 1,200 | | 296,813 | | 98.94 | | 5/13/22 | | 1,440,000 | |
IMM Euro$ Futures Options | | Put | | 800 | | 198,125 | | 99.06 | | 6/13/22 | | 1,225,000 | |
IMM Euro$ Futures Options | | Put | | 800 | | 197,750 | | 98.88 | | 6/13/22 | | 880,000 | |
IMM Euro$ Futures Options | | Put | | 2,200 | | 540,719 | | 98.31 | | 12/19/22 | | 5,926,250 | |
IMM Euro$ Futures Options | | Put | | 2,200 | | 538,656 | | 97.94 | | 12/19/22 | | 4,345,000 | |
(Total Cost $5,729,165) | | | | | | | | | | | | 15,961,875 | |
(a) Notional amount is expressed as the number of contracts multiplied by contract size, multiplied by the strike price of the underlying asset.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 7
Closed End Funds | | 70.8 |
Exchange-Traded Fund | | 4.3 |
Options on Futures | | 24.9 |
Total | | 100.0 |
Portfolio holdings and allocations are subject to change. As of March 31, 2022, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund’s total net assets.
Portfolio of Investments
| Shares | Fair Value ($) | | |||
| Closed End Funds — 88.8% | | ||||
| 84,082 | | BlackRock MuniHoldings Fund, Inc. | | 1,196,487 | |
| 900 | | BlackRock MuniHoldings Investment | | 11,034 | |
| 191,745 | | BlackRock MuniVest Fund, Inc. | | 1,564,639 | |
| 113,632 | | BlackRock MuniYield Quality Fund III, Inc. | | 1,426,082 | |
| 182,371 | | Eaton Vance Municipal Bond Fund | | 2,097,266 | |
| 200,682 | | Nuveen AMT-Free Quality Municipal | | 2,636,961 | |
| 57,430 | | Nuveen California Quality Municipal | | 753,482 | |
| 39,098 | | Nuveen Municipal Credit Opportunities Fund | | 527,823 | |
| 73,792 | | Nuveen New Jersey Quality Municipal | | 987,337 | |
| 96,375 | | Nuveen New York AMT-Free Quality | | 1,169,993 | |
| 186,278 | | Nuveen Quality Municipal Income Fund | | 2,488,674 | |
| 159,757 | | Western Asset Managed Municipals | | 1,856,376 | |
| | | | | 16,716,154 | |
| Total Closed End Funds (Cost $19,297,627) | | 16,716,154 | | ||
| | | | | ||
| Exchange-Traded Fund — 5.4% | | | | ||
| 9,236 | | iShares National Muni Bond ETF | | 1,012,635 | |
| Total Exchange-Traded Fund (Cost $1,013,286) | | 1,012,635 | | ||
| | | | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 8
Portfolio of Investments (continued)March 31, 2022 (Unaudited)
Rareview Tax Advantaged Income ETF
| Shares | Fair Value ($) | | |||
| | |||||
| Total Purchased Options on Futures (Cost $2,148,050) | | 5,882,944 | | ||
| | | | | ||
| Total Investments — 125.5% (Cost $22,458,963) | | 23,611,733 | | ||
| Liabilities in Excess of Other Assets — (25.5%) | | (4,790,466 | ) | ||
| Net Assets — 100.0% | | 18,821,267 | |
AMT — Alternative Minimum Tax
ETF — Exchange-Traded Fund
Written Options
Exchange-traded options on futures contracts written as of March 31, 2022 were as follows:
|
| Premiums |
| | |||||||||||
Euro$ 1Y | | Call | | 2,000 | | 494,688 | | 71,480 | | 98.94 | | 4/14/22 | | (12,500 | ) |
Euro$ 1Y | | Call | | 4,871 | | 1,205,572 | | 191,427 | | 99.00 | | 4/14/22 | | (30,444 | ) |
IMM Euro$ | | Put | | 800 | | 197,875 | | 138,592 | | 98.94 | | 6/13/22 | | (990,000 | ) |
IMM Euro$ | | Put | | 800 | | 198,000 | | 178,592 | | 99.00 | | 6/13/22 | | (1,105,000 | ) |
IMM Euro$ | | Put | | 800 | | 196,375 | | 718,592 | | 98.19 | | 12/19/22 | | (1,960,000 | ) |
IMM Euro$ | | Put | | 800 | | 196,125 | | 608,592 | | 98.06 | | 12/19/22 | | (1,765,000 | ) |
(Total Premiums Received $1,907,275) | | | | | | | | | | | | | | (5,862,944 | ) |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 9
Portfolio of Investments (continued)March 31, 2022 (Unaudited)
Rareview Tax Advantaged Income ETF
Purchased Options
Exchanged-traded options on futures contracts purchased as of March 31, 2022 were as follows:
Description |
| Put/ |
| Number |
| Notional |
| Strike |
| Expiration |
| Value | |
Euro$ 1Y Midcurve Options | | Call | | 2,000 | | 494,063 | | 98.81 | | 4/14/22 | | 12,500 | |
Euro$ 1Y Midcurve Options | | Call | | 4,871 | | 1,204,050 | | 98.88 | | 4/14/22 | | 30,444 | |
IMM Euro$ Futures Options | | Put | | 800 | | 198,125 | | 99.06 | | 6/13/22 | | 1,225,000 | |
IMM Euro$ Futures Options | | Put | | 800 | | 197,750 | | 98.88 | | 6/13/22 | | 880,000 | |
IMM Euro$ Futures Options | | Put | | 800 | | 196,625 | | 98.31 | | 12/19/22 | | 2,155,000 | |
IMM Euro$ Futures Options | | Put | | 800 | | 195,875 | | 97.94 | | 12/19/22 | | 1,580,000 | |
(Total Cost $2,148,050) | | | | | | | | | | | | 5,882,944 | |
(a) Notional amount is expressed as the number of contracts multiplied by contract size, multiplied by the strike price of the underlying asset.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 10
Percentage of | ||
Exchange-Traded Fund | | 3.9 |
Options on Futures | | 38.7 |
Treasury Note | | 57.4 |
Total | | 100.0 |
Portfolio holdings and allocations are subject to change. As of March 31, 2022, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund’s total net assets.
Portfolio of Investments
| Shares | Fair Value ($) | | |||
| | |||||
| 3,250 | | United States Oil Fund, LP(a) | | 240,890 | |
| Total Exchange-Traded Fund (Cost $245,243) | | 240,890 | | ||
| | | | | | |
| Purchased Options on Futures — 29.7% | | | | ||
| Total Purchased Options on Futures (Cost $1,034,774) | | 2,386,030 | | ||
| | | | | | |
| Treasury Note — 44.0% | | | | ||
| 3,685,000 | | United States Treasury Note, 0.38%, 4/15/24 | | 3,542,062 | |
| Total Treasury Note (Cost $3,599,336) | | 3,542,062 | | ||
| | | | | | |
| Total Investments — 76.7% (Cost $4,879,353) | | 6,168,982 | | ||
| Other Assets in Excess of Liabilities — 23.3% | | 1,879,002 | | ||
| Net Assets — 100.0% | | 8,047,984 | |
(a) Non-income producing security.
LP — Limited Partnership
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 11
Portfolio of Investments (continued)March 31, 2022 (Unaudited)
Rareview Inflation/Deflation ETF
Futures Contracts
At March 31, 2022, the Fund’s open futures contracts were as follows:
Futures Contracts Purchased
Description |
| Number of |
| Expiration |
| Notional |
| Value and |
2 Year US Treasury | | 17 | | 6/30/22 | | 3,602,672 | | 653 |
| | | | | | | | 653 |
Written Options
Exchange-traded options on futures contracts written as of March 31, 2022 were as follows:
| Put/ |
| Notional |
| Premiums |
|
|
| | ||||||
Euro$ 1Y Midcurve Options | | Call | | 333 | | 82,470 | | 11,526 | | 99.06 | | 4/14/22 | | (2,081 | ) |
Euro$ 1Y Midcurve Options | | Call | | 2,077 | | 514,058 | | 72,869 | | 99.00 | | 4/14/22 | | (12,981 | ) |
Euro$ 1Y Midcurve Options | | Call | | 1,426 | | 352,711 | | 46,773 | | 98.94 | | 4/14/22 | | (8,913 | ) |
IMM Euro$ | | Put | | 310 | | 76,677 | | 109,955 | | 98.94 | | 6/13/22 | | (383,625 | ) |
IMM Euro$ | | Put | | 310 | | 76,725 | | 131,079 | | 99.00 | | 6/13/22 | | (428,188 | ) |
IMM Euro$ | | Put | | 328 | | 80,514 | | 290,523 | | 98.19 | | 12/19/22 | | (803,600 | ) |
IMM Euro$ | | Put | | 328 | | 80,411 | | 249,523 | | 98.06 | | 12/19/22 | | (723,650 | ) |
(Total Premiums Received $912,248) | | | | | | | | | | | | | | (2,363,038 | ) |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 12
Portfolio of Investments (continued)March 31, 2022 (Unaudited)
Rareview Inflation/Deflation ETF
Exchange-traded equity options written as of March 31, 2022 were as follows:
Description |
| Put/ |
| Number |
| Notional |
| Premiums |
| Strike |
| Expiration |
| Value ($) | |
Teucrium Corn Fund Options | | Call | | 82 | | 287 | | 2,046 | | 35.00 | | 5/20/22 | | (2,050 | ) |
(Total Premiums Received $2,046) | | | | | | | | | | | | | | (2,050 | ) |
Purchased Options
Exchanged-traded options on futures contracts purchased as of March 31, 2022 were as follows:
Description |
| Put/ |
| Number |
| Notional |
| Strike |
| Expiration |
| Value | |
Euro$ 1Y Midcurve Options | | Call | | 333 | | 82,365 | | 98.94 | | 4/14/22 | | 2,081 | |
Euro$ 1Y Midcurve Options | | Call | | 2,077 | | 513,409 | | 98.88 | | 4/14/22 | | 12,981 | |
Euro$ 1Y Midcurve Options | | Call | | 1,093 | | 270,005 | | 98.81 | | 4/14/22 | | 6,831 | |
IMM Euro$ Futures Options | | Put | | 310 | | 76,773 | | 99.06 | | 6/13/22 | | 474,688 | |
IMM Euro$ Futures Options | | Put | | 310 | | 76,628 | | 98.88 | | 6/13/22 | | 341,000 | |
IMM Euro$ Futures Options | | Put | | 328 | | 80,616 | | 98.31 | | 12/19/22 | | 883,551 | |
IMM Euro$ Futures Options | | Put | | 328 | | 80,309 | | 97.94 | | 12/19/22 | | 647,800 | |
(Total Cost $1,016,324) | | | | | | | | | | | | 2,368,932 | |
Exchanged-traded equity options purchased as of March 31, 2022 were as follows:
Description |
| Put/ |
| Number |
| Notional |
| Strike |
| Expiration |
| Value | |
Teucrium Corn Fund Options | | Call | | 82 | | 230 | | 28.00 | | 5/20/22 | | 10,168 | |
Teucrium Corn Fund Options | | Call | | 126 | | 391 | | 31.00 | | 5/20/22 | | 6,930 | |
(Total Cost $18,450) | | | | | | | | | | | | 17,098 | |
(a) Notional amount is expressed as the number of contracts multiplied by contract size, multiplied by the strike price of the underlying asset.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 13
Exchange-Traded Funds | | 100.0 |
Total | | 100.0 |
Portfolio holdings and allocations are subject to change. As of March 31, 2022, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund’s total net assets.
Portfolio of Investments
| Fair Value ($) | | ||||
| Exchange-Traded Funds — 72.2% | | ||||
| 25,991 | | iShares MSCI EAFE ETF | | 1,912,938 | |
| 26,206 | | iShares MSCI Emerging Markets ETF | | 1,183,201 | |
| 6,705 | | iShares Russell 2000 ETF | | 1,376,335 | |
| 7,172 | | SPDR S&P 500 ETF Trust | | 3,239,162 | |
| | | | | 7,711,636 | |
| Total Exchange-Traded Funds (Cost $7,690,954) | | 7,711,636 | | ||
| | | | | ||
| Total Investments — 72.2% (Cost $7,690,954) | | 7,711,636 | | ||
| Other Assets in Excess of Liabilities — 27.8% | | 2,974,879 | | ||
| Net Assets — 100.0% | | 10,686,515 | |
ETF — Exchange-Traded Fund
S&P — Standard and Poor’s
SPDR — Standard & Poor’s Depositary Receipts
Futures Contracts
At March 31, 2022, the Fund’s open futures contracts were as follows:
Futures Contracts Purchased
Description |
| Number of |
| Expiration |
| Notional |
| Value and | |
S&P 500 E-mini Future | | 13 | | 6/20/22 | | 2,944,988 | | 117,362 | |
Mini MSCI EAFE | | 16 | | 6/20/22 | | 1,715,520 | | (30,881 | ) |
| | | | | | | | 86,481 | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 14
Portfolio of Investments (continued)March 31, 2022 (Unaudited)
Rareview Systematic Equity ETF
Futures Contracts Sold
Description |
| Number of |
| Expiration |
| Notional |
| Value and | |
Russell 2000 Mini | | 19 | | 6/20/22 | | 1,963,080 | | 8,035 | |
Mini MSCI Emerging | | 38 | | 6/20/22 | | 2,138,450 | | (6,748 | ) |
Micro E-mini Russell 2000 Index Future | | 4 | | 6/20/22 | | 41,328 | | 149 | |
| | | | | | | | 1,436 | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 15
|
| Rareview |
| Rareview Tax | |
Assets: | | | | | |
Investments, at value (Cost $59,304,954 | | $65,409,327 | | $23,611,733 | |
Cash | | 14,142,445 | | 1,514,061 | |
Deposits at brokers for derivatives contracts | | 2,916,893 | | 967,710 | |
Dividends and interest receivable | | 146,905 | | 59,141 | |
Receivable for capital shares issued | | 452,014 | | — | |
Receivable for investments sold | | 1,700,666 | | 11,826 | |
Receivable for variation margin on | | 20,160 | | — | |
Prepaid expenses | | 1,634 | | 742 | |
Total Assets | | 84,790,044 | | 26,165,213 | |
Liabilities: | | | | | |
Payable for investments purchased | | 16,692,477 | | 1,450,472 | |
Written options at value (Premiums received $4,997,710 and $1,907,275) | | 15,916,875 | | 5,862,944 | |
Accrued expenses: | | | | | |
Advisory | | 40,835 | | 3,167 | |
Administration | | 7,411 | | 2,768 | |
Custodian | | 1,000 | | 278 | |
Fund accounting | | 3,645 | | 4,006 | |
Trustee | | 1,983 | | 898 | |
Other | | 15,973 | | 19,413 | |
Total Liabilities | | 32,680,199 | | 7,343,946 | |
Net Assets | | $52,109,845 | | $18,821,267 | |
Net Assets consist of: | | | | | |
Paid in Capital | | $58,522,823 | | $22,177,348 | |
Total Distributable Earnings/(Deficit) | | (6,412,978 | ) | (3,356,081 | ) |
Net Assets | | $52,109,845 | | $18,821,267 | |
| | | | | |
Net Assets: | | $52,109,845 | | $18,821,267 | |
Shares of Beneficial Interest Outstanding | | 2,050,000 | | 800,000 | |
Net Asset Value (offering and redemption | | $25.42 | | $23.53 | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 16
Statements of Assets and Liabilities (continued)March 31, 2022 (Unaudited)
|
| Rareview |
| Rareview | |
Assets: | | | | | |
Investments, at value (Cost $4,879,353 and $7,690,954) | | $6,168,982 | | $7,711,636 | |
Cash | | 150,809 | | 738,346 | |
Deposits at brokers for derivatives contracts | | 708,872 | | 2,244,520 | |
Dividends and interest receivable | | 6,378 | | 9,797 | |
Receivable due from advisor | | 2,726 | | 1,993 | |
Receivable for investments sold | | 3,629,737 | | — | |
Prepaid expenses and other assets | | 2,490 | | 4,022 | |
Total Assets | | 10,669,994 | | 10,710,314 | |
Liabilities: | | | | | |
Payable for investments purchased | | 245,243 | | — | |
Payable for variation margin on | | 6,015 | | 19,367 | |
Written options at value (Premiums received $914,294 and —) | | 2,365,088 | | — | |
Accrued expenses: | | | | | |
Administration | | 1,000 | | 1,000 | |
Custodian | | 584 | | 476 | |
Fund accounting | | 1,961 | | 1,655 | |
Trustee | | 1,516 | | 879 | |
Other | | 603 | | 422 | |
Total Liabilities | | 2,622,010 | | 23,799 | |
Net Assets | | $8,047,984 | | $10,686,515 | |
Net Assets consist of: | | | | | |
Paid in Capital | | $8,130,381 | | $10,512,748 | |
Total Distributable Earnings/(Deficit) | | (82,397 | ) | 173,767 | |
Net Assets | | $8,047,984 | | $10,686,515 | |
| | | | | |
Net Assets: | | $8,047,984 | | $10,686,515 | |
Shares of Beneficial Interest Outstanding | | 325,000 | | 425,000 | |
Net Asset Value (offering and redemption price per share): | | $24.76 | | $25.14 | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 17
|
| Rareview |
| Rareview Tax | |
Investment Income: | | | | | |
Dividend income | | $1,899,325 | | $452,217 | |
Interest income | | — | | 32 | |
Total Investment Income | | 1,899,325 | | 452,249 | |
Expenses: | | | | | |
Advisory | | 293,144 | | 80,142 | |
Administration | | 49,790 | | 18,166 | |
Compliance services | | 373 | | 373 | |
Custodian | | 2,922 | | 766 | |
Fund accounting | | 19,788 | | 21,696 | |
Legal and audit | | 14,503 | | 15,223 | |
Printing | | 2,834 | | 2,834 | |
Treasurer | | 375 | | 150 | |
Trustee | | 3,983 | | 2,099 | |
Offering costs | | 10,221 | | 8,021 | |
Other | | 7,390 | | 6,008 | |
Total Expenses before fee reductions or | | 405,323 | | 155,478 | |
Expenses contractually waived and/or | | — | | (21,939 | ) |
Recoupment of prior expenses reimbursed by | | 46,987 | | — | |
Total Net Expenses | | 452,310 | | 133,539 | |
Net Investment Income (Loss) | | 1,447,015 | | 318,710 | |
Realized and Unrealized Gains (Losses) | | | | | |
Net realized gains (losses) from investment transactions | | (2,090,344 | ) | (347,570 | ) |
Net realized gains (losses) from | | 453,666 | | (218,824 | ) |
Net realized gains (losses) from | | 253,367 | | 26,483 | |
Net realized gains (losses) from written | | (188,171 | ) | (23,754 | ) |
Change in unrealized appreciation/ | | 5,594,772 | | 1,023,941 | |
Change in unrealized appreciation/ | | (65,177 | ) | — | |
Change in unrealized appreciation/ | | (10,839,700 | ) | (3,934,326 | ) |
Net Realized and Unrealized Gains (Losses) | | (6,881,587 | ) | (3,474,050 | ) |
Change in Net Assets Resulting | | $(5,434,572 | ) | $(3,155,340 | ) |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 18
Statements of Operations (continued)For the Period Ended March 31, 2022 (Unaudited)
|
| Rareview |
| Rareview | |
Investment Income: | | | | | |
Dividend income | | $12,227 | | $12,109 | |
Interest income | | 4,389 | | — | |
Total Investment Income | | 16,616 | | 12,109 | |
Expenses: | | | | | |
Advisory | | 10,617 | | 11,902 | |
Administration | | 3,000 | | 3,000 | |
Compliance services | | 373 | | 373 | |
Custodian | | 584 | | 476 | |
Fund accounting | | 3,678 | | 3,212 | |
Legal and audit | | 5,150 | | 4,225 | |
Printing | | 1,486 | | 3,397 | |
Treasurer | | 150 | | 150 | |
Trustee | | 1,516 | | 879 | |
Other | | 2,717 | | 2,280 | |
Total Expenses before fee reductions | | 29,271 | | 29,894 | |
Expenses contractually waived and/or | | (16,441 | ) | (16,041 | ) |
Total Net Expenses | | 12,830 | | 13,853 | |
Net Investment Income (Loss) | | 3,786 | | (1,744 | ) |
Realized and Unrealized Gains (Losses) | | | | | |
Net realized gains (losses) from | | 66,652 | | 1,131 | |
Net realized gains (losses) from | | — | | (5,323 | ) |
Net realized gains (losses) from | | 70,569 | | 71,104 | |
Net realized gains (losses) from written | | (62,892 | ) | — | |
Change in unrealized appreciation/ | | 1,289,629 | | 20,682 | |
Change in unrealized appreciation/ | | 653 | | 87,917 | |
Change in unrealized appreciation/ | | (1,450,794 | ) | — | |
Net Realized and Unrealized Gains (Losses) from Investments: | | (86,183 | ) | 175,511 | |
Change in Net Assets Resulting | | $(82,397 | ) | $173,767 | |
(a) For the period from the commencement of operations on January 5, 2022 through March 31, 2022.
(b) For the period from the commencement of operations on January 20, 2022 through March 31, 2022.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 19
| | Rareview Dynamic Fixed |
| Rareview Tax Advantaged | |||||
|
| Six Months |
| For the |
| Six Months |
| For the | |
From Investment | | | | | | | | | |
Operations: | | | | | | | | | |
Net investment | | $1,447,015 | | $1,291,807 | | $318,710 | | $262,788 | |
Net realized gains | | (1,571,482 | ) | 1,308,157 | | (563,665 | ) | 495,726 | |
Change in unrealized | | (5,310,105 | ) | 430,135 | | (2,910,385 | ) | 107,486 | |
Change in net assets | | (5,434,572 | ) | 3,030,099 | | (3,155,340 | ) | 866,000 | |
Distributions to | | | | | | | | | |
Earnings | | (2,942,878 | ) | (960,195 | ) | (840,931 | ) | (225,810 | ) |
Change in net assets | | (2,942,878 | ) | (960,195 | ) | (840,931 | ) | (225,810 | ) |
Capital Transactions: | | | | | | | | | |
Proceeds from | | 3,430,570 | | 66,437,443 | | 6,969,623 | | 18,912,063 | |
Cost of shares redeemed | | (10,707,194 | ) | (743,428 | ) | (3,704,338 | ) | — | |
Change in net assets from capital | | (7,276,624 | ) | 65,694,015 | | 3,265,285 | | 18,912,063 | |
Change in net assets | | (15,654,074 | ) | 67,763,919 | | (730,986 | ) | 19,552,253 | |
Net Assets: | | | | | | | | | |
Beginning of period | | 67,763,919 | | — | | 19,552,253 | | — | |
End of period | | $52,109,845 | | $67,763,919 | | $18,821,267 | | $19,552,253 | |
Share Transactions: | | | | | | | | | |
Issued | | 125,000 | | 2,325,000 | | 250,000 | | 700,000 | |
Redeemed | | (375,000 | ) | (25,000 | ) | (150,000 | ) | — | |
Change in shares | | (250,000 | ) | 2,300,000 | | 100,000 | | 700,000 | |
(a) Commencement of operations.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 20
Statements of Changes in Net Assets (continued)
| | Rareview |
| Rareview | |
|
| For the period |
| For the period | |
From Investment Activities: | | | | | |
Operations: | | | | | |
Net investment income (loss) | | $3,786 | | $(1,744 | ) |
Net realized gains (losses) from | | 74,329 | | 66,912 | |
Change in unrealized appreciation/(depreciation) on investments | | (160,512 | ) | 108,599 | |
Change in net assets resulting from operations | | (82,397 | ) | 173,767 | |
Capital Transactions: | | | | | |
Proceeds from shares issued | | 8,130,381 | | 11,140,968 | |
Cost of shares redeemed | | — | | (628,220 | ) |
Change in net assets from capital transactions | | 8,130,381 | | 10,512,748 | |
Change in net assets | | 8,047,984 | | 10,686,515 | |
Net Assets: | | | | | |
Beginning of period | | — | | — | |
End of period | | $8,047,984 | | $10,686,515 | |
Share Transactions: | | | | | |
Issued | | 325,000 | | 450,000 | |
Redeemed | | — | | (25,000 | ) |
Change in shares | | 325,000 | | 425,000 | |
(a) Commencement of operations.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 21
Rareview Dynamic Fixed Income ETF | Six Months Ended |
| October 20, 2020(a) | |
Net Asset Value, Beginning of Period | $29.46 | | $25.00 | |
| ||||
Net Investment Income (Loss) | 0.67 | (b) | 1.21 | |
Net Realized and Unrealized Gains (Losses) from Investments | (3.32 | ) | 4.32 | |
Total from Investment Activities | (2.65 | ) | 5.53 | |
| ||||
Distributions from Net Investment Income | (0.74 | ) | (1.07 | ) |
Distributions from Net Realized Gains | (0.65 | ) | — | |
Total Distributions | (1.39 | ) | (1.07 | ) |
| ||||
Net Asset Value, End of Period | $25.42 | | $29.46 | |
Net Assets at End of Period (000’s) | $52,110 | | $67,764 | |
| | | | |
Total Return at NAV(c)(d) | (9.43)% | | 22.35% | |
Total Return at Market(d)(e) | (9.60)% | | 22.63% | |
| ||||
Ratio of Net Expenses to Average | 1.50% | | 1.50% | |
Ratio of Gross Expenses to Average Net Assets(f)(g)(h) | 1.34% | | 1.70% | |
Ratio of Net Investment Income (Loss) to Average Net Assets(f)(i) | 4.80% | | 5.11% | |
Portfolio Turnover(d)(j) | 57% | | 74% | |
(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) Before fee reductions or recoupment of fees previously reimbursed by the Advisor. If such waivers/reimbursements or recoupment had not occurred, the ratio would have been as indicated.
(i) 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.
(j) Excludes the impact of in-kind transactions.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 22
Financial Highlights (continued)
Rareview Tax Advantaged Income ETF | Six Months Ended |
| October 20, 2020(a) | |
Net Asset Value, Beginning of Period | $27.93 | | $25.00 | |
| ||||
Net Investment Income (Loss) | 0.39 | (b) | 0.72 | |
Net Realized and Unrealized Gains (Losses) from Investments | (3.83 | ) | 2.88 | |
Total from Investment Activities | (3.44 | ) | 3.60 | |
| ||||
Distributions from Net Investment Income | (0.39 | ) | (0.67 | ) |
Distributions from Net Realized Gains | (0.57 | ) | — | |
Total Distributions | (0.96 | ) | (0.67 | ) |
| ||||
Net Asset Value, End of Period | $23.53 | | $27.93 | |
Net Assets at End of Period (000’s) | $18,821 | | $19,552 | |
| ||||
Total Return at NAV(c)(d) | (12.76)% | | 14.49% | |
Total Return at Market(d)(e) | (12.95)% | | 14.81% | |
| ||||
Ratio of Net Expenses to Average | 1.25% | | 1.25% | |
Ratio of Gross Expenses to Average | 1.46% | | 2.03% | |
Ratio of Net Investment Income (Loss) to Average Net Assets(f)(i) | 2.98% | | 2.94% | |
Portfolio Turnover(d)(j) | 11% | | 78% | |
(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) If applicable, certain fees were waived and/or reimbursed. If such waivers/reimbursements had not occurred, the ratio would have been as indicated.
(i) 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.
(j) Excludes the impact of in-kind transactions.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 23
Financial Highlights (continued)
Rareview Inflation/Deflation ETF | January 5, 2022(a) | |
Net Asset Value, Beginning of Period | $25.00 | |
| ||
Net Investment Income (Loss)(b) | 0.01 | |
Net Realized and Unrealized Gains (Losses) from Investments | (0.25 | ) |
Total from Investment Activities | (0.24 | ) |
| ||
Distributions from Net Investment Income | — | |
Distributions from Net Realized Gains from Investments | — | |
Total Distributions | — | |
| ||
Net Asset Value, End of Period | $24.76 | |
Net Assets at End of Period (000’s) | $8,048 | |
| ||
Total Return at NAV(c)(d) | (0.95)% | |
Total Return at Market(d)(e) | (0.88)% | |
| ||
Ratio of Net Expenses to Average Net Assets(f)(g) | 0.87% | |
Ratio of Gross Expenses to Average Net Assets(f)(g)(h) | 1.98% | |
Ratio of Net Investment Income (Loss) to Average Net Assets(f)(i) | 0.26% | |
Portfolio Turnover(d)(j) | 108% | |
(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) If applicable, certain fees were waived and/or reimbursed. If such waivers/reimbursements had not occurred, the ratio would have been as indicated.
(i) 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.
(j) Excludes the impact of in-kind transactions.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 24
Financial Highlights (continued)
Rareview Systematic Equity ETF | January 20, 2022(a) | |
Net Asset Value, Beginning of Period | $25.00 | |
| ||
Net Investment Income (Loss)(b) | (0.01 | ) |
Net Realized and Unrealized Gains (Losses) from Investments | 0.15 | |
Total from Investment Activities | 0.14 | |
| ||
Distributions from Net Investment Income | — | |
Distributions from Net Realized Gains from Investments | — | |
Total Distributions | — | |
| ||
Net Asset Value, End of Period | $25.14 | |
Net Assets at End of Period (000’s) | $10,687 | |
| ||
Total Return at NAV(c)(d) | 0.58% | |
Total Return at Market(d)(e) | 0.84% | |
| ||
Ratio of Net Expenses to Average Net Assets(f)(g) | 0.97% | |
Ratio of Gross Expenses to Average Net Assets(f)(g)(h) | 2.09% | |
Ratio of Net Investment Income (Loss) to Average Net Assets(f)(i) | (0.12)% | |
Portfolio Turnover(d)(j) | 3% | |
(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) If applicable, certain fees were waived and/or reimbursed. If such waivers/reimbursements had not occurred, the ratio would have been as indicated.
(i) 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.
(j) Excludes the impact of in-kind transactions.
Semi-Annual Shareholder Report | 25
(1) Organization
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 the Rareview Dynamic Fixed Income ETF, Rareview Tax Advantaged Income ETF, Rareview Inflation/Deflation ETF, and Rareview Systematic Equity ETF (the “Funds”). The Funds’ prospectus provides a description of each Fund’s investment objectives, policies, and strategies. The assets of each Fund are segregated and a shareholder’s interest is limited to the Fund in which shares are held. Rareview Inflation/Deflation ETF commenced operations on January 5, 2022. Rareview Systematic Equity ETF commenced operations on January 20, 2022.
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 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 Foreside Fund Services, LLC (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 a Fund.
Semi-Annual Shareholder Report | 26
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
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 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).
Semi-Annual Shareholder Report | 27
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.
Shares of closed-end funds, unlike those of open-end investment companies, are not redeemable by the fund on a daily basis. A closed-end fund’s value increases or decreases due to various factors, including but not limited to general market conditions, the market’s confidence in the closed-end fund advisor’s ability to generate desired investment returns, and investor confidence in the closed-end fund’s underlying assets. A closed-end fund’s shares that are traded on an exchange may be bought or sold at a market price that is lower or higher than the per-share value of the closed-end fund’s underlying assets; when this occurs, the shares are considered to be traded at a discount or premium, respectively. Common stocks, closed-end funds 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.
Fixed income securities, including those with a remaining maturity of 60 days or less, are generally categorized as Level 2 securities in the fair value hierarchy.
Exchange-traded futures contracts are valued at their settlement price on the exchange on which they are traded and are typically categorized as Level 1 in the fair value hierarchy. Exchange traded option contracts are valued at the closing price or last sale price on the primary instrument for that option as recorded by an approved pricing service and are typically categorized as Level 1 in the fair value hierarchy.
The Funds did not hold any Level 3 investments during the period ended March 31, 2022.
Semi-Annual Shareholder Report | 28
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
The following table provides the fair value measurement as of March 31, 2022, while the breakdown, by category, of investments is disclosed in the Portfolio of Investments for the Funds:
| Level 1 | | Level 2 | | Total |
Rareview Dynamic Fixed | | | | | |
Closed End Funds | $34,259,735 | | $— | | $34,259,735 |
Exchange-Traded Funds | 15,187,717 | | — | | 15,187,717 |
Purchased Options on Futures | 15,961,875 | | — | | 15,961,875 |
Total Investment Securities | $65,409,327 | | $— | | $65,409,327 |
Other Financial Instruments(1) | | | | | |
Futures Contracts | (65,177) | | — | | (65,177) |
Written Options | (15,916,875) | | — | | (15,916,875) |
Total Investments | $49,427,275 | | $— | | $49,427,275 |
| | | | | |
Rareview Tax Advantaged | | | | | |
Closed End Funds | $16,716,154 | | $— | | $16,716,154 |
Exchange-Traded Fund | 1,012,635 | | — | | 1,012,635 |
Purchased Options on Futures | 5,882,944 | | — | | 5,882,944 |
Total Investment Securities | $23,611,733 | | $— | | $23,611,733 |
Other Financial Instruments(1) | | | | | |
Written Options | (5,862,944) | | — | | (5,862,944) |
Total Investments | $17,748,789 | | $— | | $17,748,789 |
| | | | | |
Rareview Inflation/Deflation ETF | | | | | |
Exchange-Traded Fund | $240,890 | | $— | | $240,890 |
Purchased Options on Futures | 2,368,932 | | 17,098 | | 2,386,030 |
Treasury Note | — | | 3,542,062 | | 3,542,062 |
Total Investment Securities | $2,609,822 | | $3,559,160 | | $6,168,982 |
Other Financial Instruments(1) | | | | | |
Futures Contracts | 653 | | — | | 653 |
Written Options | (2,363,038) | | (2,050) | | (2,365,088) |
Total Investments | $247,437 | | $3,557,110 | | $3,804,547 |
| | | | | |
Rareview Systematic Equity ETF | | | | | |
Exchange-Traded Funds | $7,711,636 | | $— | | $7,711,636 |
Total Investment Securities | $7,711,636 | | $— | | $7,711,636 |
Other Financial Instruments(1) | | | | | |
Futures Contracts | 87,917 | | — | | 87,917 |
Total Investments | $7,799,553 | | $— | | $7,799,553 |
(1) Other financial instruments include derivative instruments, such as futures contracts which are valued at the unrealized appreciation/(depreciation) on the instrument and written options, which are valued at fair value.
Semi-Annual Shareholder Report | 29
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
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, less foreign tax withholding, if any, are recorded on the ex-dividend date. Investment income from non-U.S. sources received by a Fund is 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 Funds may be subject to foreign taxes on gains in investments or currency repatriation. The Funds accrue such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
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 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. Rareview Dynamic Fixed Income ETF, Rareview Tax Advantaged Income ETF, and Rareview Inflation/Deflation ETF intend to distribute to their shareholders any net investment income, if any, at least monthly. Rareview Systematic Equity ETF intends to distribute to its shareholders any net investment income, if any, at least semi-annually. The Funds intend to distribute to their shareholders any net realized cap 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 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.
The Funds may utilize earnings and profits distributed to shareholders on redemption of shares as part of the dividends paid deduction.
Semi-Annual Shareholder Report | 30
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
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. Derivative Instruments:
All open derivative positions at period end are reflected on each Fund’s Portfolio of Investments. The following is a description of the derivative instruments utilized by the Funds, including the primary underlying risk exposure related to each instrument type.
Futures Contracts:
The Funds may enter into futures contracts for the purpose of hedging existing portfolio securities or securities they intend to purchase against fluctuations in fair value caused by changes in prevailing market interest conditions. Upon entering into futures contracts, the Funds are required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount (initial margin deposit). Subsequent payments, known as “variation margin”, are made or received each day, depending on the daily fluctuations in the fair value of the underlying security. The Funds recognize an unrealized gain or loss equal to the daily variation margin. Should market conditions move unexpectedly, the Funds may not achieve the anticipated benefits of the futures contracts and may realize a loss. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the amounts reflected on the Statements of Assets and Liabilities as variation margin. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in market value of the securities held by the Funds and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. The gross notional amount of futures contracts outstanding as of March 31, 2022, and the monthly average notional amount for these contracts for the period ended March 31, 2022 were as follows:
| | Outstanding | | Monthly Average | ||||
Futures Contracts: | | Long | | Short | | Long | | Short |
Rareview Dynamic Fixed | | $— | | $5,199,480 | | $1,428,281(a) | | $30,162,563 |
Rareview Tax Advantaged | | — | | — | | 1,142,625(a) | | 10,243,994(b) |
Rareview Inflation/Deflation ETF | | 3,602,672 | | — | | 2,086,992(c) | | 2,485,242(d) |
Rareview Systematic Equity ETF | | 4,660,508 | | 4,142,858 | | 2,966,297(c) | | 7,640,465(e) |
(a) For the period when the Fund held long futures contracts from January 1, 2022 through
Semi-Annual Shareholder Report | 31
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
January 31, 2022.
(b) For the period when the Fund held short futures contracts from October 1, 2021 through February 28, 2022.
(c) For the period when the Fund held long futures contracts from January 1, 2022 through January 31, 2022 and March 1, 2022 through March 31, 2022.
(d) For the period when the Fund held short futures contracts from January 1, 2022 through February 28, 2022.
(e) For the period when the Fund held short futures contracts from February 1, 2022 through March 31, 2022.
Options Contracts:
Purchased Options Contracts – The Funds pay a premium which is included in “Investments, at value” on the Statements of Assets and Liabilities and marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. When a put option is exercised or closed, premiums paid for purchasing options are offset against proceeds to determine the realized gain/loss on the transaction. The Funds bear the risk of loss of the premium and change in value should the counterparty not perform under the contract.
Written Options Contracts – The Funds receive a premium which is recorded as a liability and is subsequently adjusted to the current value of the options written. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are either exercised or closed are offset against the proceeds received or the amount paid on the transaction to determine realized gains or losses. The risk associated with writing an option is that the Funds bear the market risk of an unfavorable change in the price of an underlying asset and is required to buy or sell an underlying asset under the contractual terms of the option at a price different from the current value. As of March 31, 2022, the Funds hold deposits at brokers for written options collateral, which is reported on the Statements of Assets and Liabilities.
The gross notional amount of purchased and written options outstanding as of March 31, 2022, and the monthly average notional amount for these contracts for the period ended March 31, 2022 were as follows:
| | Outstanding | | Monthly Average |
Purchased Options Contracts: | | | | |
Rareview Dynamic Fixed Income ETF | | $8,321,992 | | $2,149,090 |
Rareview Tax Advantaged Income ETF | | 2,486,488 | | 662,881 |
Rareview Inflation/Deflation ETF | | 1,180,726 | | 528,047(a) |
Semi-Annual Shareholder Report | 32
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
| | Outstanding | | Monthly Average |
Written Options Contracts: | | | | |
Rareview Dynamic Fixed Income ETF | | $8,329,898 | | $2,149,076 |
Rareview Tax Advantaged Income ETF | | 2,488,635 | | 662,764 |
Rareview Inflation/Deflation ETF | | 1,263,853 | | 783,787(b) |
(a) For the period when the Fund held purchased options contracts from January 1, 2022 through March 31, 2022.
(b) For the period when the Fund held written options contracts from February 1, 2022 through March 31, 2022.
Summary of Derivative Instruments:
The following is a summary of the fair value of derivative instruments on the Statements of Assets and Liabilities, categorized by risk exposure, as of March 31, 2022:
| | Assets | | Liabilities | ||||
Fund | | Investments, | | Unrealized | | Written | | Unrealized |
Interest Rate Risk Exposure: | | | | | | | | |
Rareview Dynamic Fixed Income ETF | | $15,961,875 | | $— | | $15,916,875 | | $65,177 |
Rareview Tax Advantaged Income ETF | | 5,882,944 | | — | | 5,862,944 | | — |
Rareview Inflation/Deflation ETF | | 2,368,932 | | 653 | | 2,363,038 | | — |
Equity Risk Exposure: | | | | | | | | |
Rareview Inflation/Deflation ETF | | 17,098 | | — | | 2,050 | | — |
Rareview Systematic Equity ETF | | — | | 125,546 | | — | | 37,629 |
(1) For futures contracts, the amounts represent their cumulative appreciation/(depreciation) as reported on the Portfolios of Investments. Only the current day’s variation margin, if any, is reported within the Statements of Assets and Liabilities as variation margin on futures contracts.
Semi-Annual Shareholder Report | 33
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
The following is a summary of the effect of derivative instruments on the Statements of Operations, categorized by risk exposure, for the period ended March 31, 2022:
| | Net Realized Gains (Losses) from | ||||
Fund | | Futures | | Purchased | | Written |
Interest Rate Risk Exposure: | | | | | | |
Rareview Dynamic Fixed Income ETF | | $253,367 | | $180,811 | | $(188,171) |
Rareview Tax Advantaged Income ETF | | 26,483 | | (15,672) | | (23,754) |
Rareview Inflation/Deflation ETF | | 70,569 | | 71,257 | | (62,892) |
Equity Risk Exposure: | | | | | | |
Rareview Systematic Equity ETF | | 71,104 | | — | | — |
| | Net Change in Unrealized | ||||
Fund | | Futures | | Purchased | | Written |
Interest Rate Risk Exposure: | | | | | | |
Rareview Dynamic Fixed Income ETF | | $(65,177) | | $10,043,788 | | $(10,839,700) |
Rareview Tax Advantaged Income ETF | | — | | 3,683,843 | | (3,934,326) |
Rareview Inflation/Deflation ETF | | 653 | | 1,352,608 | | (1,450,790) |
Equity Risk Exposure | | | | | | |
Rareview Inflation/Deflation ETF | | — | | (1,352) | | (4) |
Rareview Systematic Equity ETF | | 87,917 | | — | | — |
(3) Investment Advisory and Other Contractual Services
A. Investment Advisory Fees
Rareview Capital, 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. Each Fund pays the Advisor a management fee, based on a percentage of its average daily net assets, calculated daily and paid monthly.
Fund | | Management Fee Rate |
Rareview Dynamic Fixed Income ETF | | 0.97% |
Rareview Tax Advantaged Income ETF | | 0.75% |
Rareview Inflation/Deflation ETF | | 0.73% |
Rareview Systematic Equity ETF | | 0.85% |
Semi-Annual Shareholder Report | 34
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
GST Management LLC, (“GST”) serves as subadvisor for Rareview Systematic Equity ETF and is paid for its services directly by the Advisor, not the Fund. GST’s contractual fee is 0.40% of the Fund’s average daily net assets.
In addition, the Adviser has contractually agreed to waive a portion or all of its management fees and/or reimburse each Fund’s expenses (excluding front-end or contingent deferred loads, Rule 12b-1 fees, shareholder servicing fees, acquired fund fees and expenses, taxes, leverage/borrowing interest, interest expense, dividends on securities sold short, brokerage or other transactional expenses and extraordinary expenses) in order to limit the Total Annual Fund Operating Expenses after fee waivers and/or expense reimbursements to a specific percentage of each Fund’s average daily net assets (the “Expense Cap”).
Fund | | Expense Cap |
Rareview Dynamic Fixed Income ETF | | 1.50% |
Rareview Tax Advantaged Income ETF | | 1.25% |
Rareview Inflation/Deflation ETF | | 0.87% |
Rareview Systematic Equity ETF | | 0.97% |
Each Expense Cap will remain in effect through at least January 31, 2023. The Expense Cap may be terminated earlier only upon approval by the Board, on 60 days’ written notice to the Advisor. More information about each Fund’s fee waiver and Expense Cap agreement is available in the “Management of the Fund” section of each Fund’s prospectus.
The Adviser may request recoupment of previously waived fees and reimbursed Fund expenses from the applicable Fund for three years from the date they were waived or reimbursed, provided that after payment of the recoupment, the Total Annual Fund Operating Expenses do not exceed the lesser of the Expense Cap: (i) in effect at the time of the waiver or reimbursement; or (ii) in effect at the time of recoupment.
During the period ended March 31, 2022, the Adviser recouped $46,987of the previous fiscal year waivers from Rareview Dynamic Fixed Income ETF.
As of March 31, 2022, the Advisor may recoup amounts from the Funds as follows:
| | Expires | | Expires | | Total |
Rareview Dynamic Fixed Income ETF | | $ 1,685 | | $— | | $ 1,685 |
Rareview Tax Advantaged Income ETF | | 69,755 | | 21,939 | | 91,694 |
Rareview Inflation/Deflation ETF | | — | | 16,441 | | 16,441 |
Rareview Systematic Equity ETF | | — | | 16,041 | | 16,041 |
Semi-Annual Shareholder Report | 35
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
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 of $1,000 per Fund.
C. Distribution and Shareholder Services Fees
Foreside Fund Services, LLC 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.
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 March 31, 2022, the Funds paid a total of $825 to the Treasurer.
F. General
Certain trustees and officers of the Trust are officers, directors and/or trustees of the above companies, 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 March 31, 2022 were as follows:
| | Purchases | | Sales |
Rareview Dynamic Fixed Income ETF | | $31,647,334 | | $34,118,940 |
Rareview Tax Advantaged Income ETF | | 2,110,567 | | 3,392,597 |
Rareview Inflation/Deflation ETF | | 2,016,397 | | 7,366,367 |
Rareview Systematic Equity ETF | | 849,909 | | 161,830 |
Semi-Annual Shareholder Report | 36
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
Purchases and sales of in-kind transactions for the period ended March 31, 2022 were as follows:
| | Purchases | | Sales |
Rareview Dynamic Fixed Income ETF | | $2,865,411 | | $10,216,489 |
Rareview Tax Advantaged Income ETF | | 6,713,803 | | 3,184,670 |
Rareview Inflation/Deflation ETF | | 5,599,818 | | — |
Rareview Systematic Equity ETF | | 7,412,983 | | 405,917 |
Purchases and sales of long-term U.S. government securities for the period ended March 31, 2022 were as follows:
| | Purchases | | Sales |
Rareview Inflation/Deflation ETF | | $3,596,042 | | $— |
(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 may be charged a transaction fee to cover the transfer and other transactional costs it incurs to issue or redeem Creation Units. The standard transaction fee charge is $250.
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.
As of March 31, 2022, there were no unsettled in-kind capital transactions.
(6) 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 a 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
Semi-Annual Shareholder Report | 37
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
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 Risk
Overall market risks may also affect the value of the Funds. Factors such as domestic economic growth and market conditions, interest rate levels and political events affect the securities markets. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issue, recessions and depressions, or other events could have a significant impact on the Funds and their investments and could result in increased premiums or discounts to the Funds’ NAV, and may impair market liquidity, thereby increasing liquidity risk. 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.
An outbreak of infectious respiratory illness caused by a novel coronavirus known as COVID-19 was first detected in China in December 2019 and has now been detected globally. This coronavirus has resulted in travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, prolonged quarantines, cancellations, supply chain disruptions, and lower consumer demand, as well as general concern and uncertainty. The impact of COVID-19, and other infectious illness outbreaks that may arise in the future, could adversely affect the economies of many nations or the entire global economy, individual issuers and capital markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illnesses in emerging market countries may be greater due to generally less established healthcare systems. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The duration of the COVID-19 outbreak and its effects cannot be determined with certainty.
(7) 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 March 31, 2022.
Semi-Annual Shareholder Report | 38
Consideration and Approval of Management Agreement between Collaborative Investment Series Trust and Rareview Capital, LLC with respect to the Rareview Inflation/Deflation ETF, Rareview Systematic Equity ETF
Nature, Extent and Quality of Service. The Trustees noted that Rareview was founded in 2016 and was registered with the SEC as an investment adviser with approximately $145 million in assets under management as of September 30, 2021. They further noted that Rareview provided advisory services to investment companies and separately managed accounts. The Trustees reviewed the background information on the key investment personnel who would be responsible for servicing the Funds including Mr. Azous, taking into account their education and financial industry experience. They discussed the adviser’s research process and acknowledged the process allowed the adviser to rebalance the Fund tactically and strategically. They commented that the adviser would utilize a sub-adviser’s signals for the execution of Rareview Systematic Equity ETF’s strategy but maintained oversight of the sub-adviser’s investment activities, monitored the Fund’s risk characteristics, and ensured that the Fund’s strategy remained in compliance with the Fund’s prospectus. They noted that the adviser retained ultimate authority but collaborated with the sub-adviser to select broker-dealers and discussed the adviser’s multi-factor process for broker-dealer selection. The Trustees expressed its satisfaction with Rareview’s overall experience, operations, and compliance culture.
Performance. The Trustees noted that although neither Fund was operational, the adviser managed both the Rareview Dynamic Fixed Income ETF and Rareview Tax Advantaged Income ETF. They further noted that both the Rareview Dynamic Fixed Income ETF and Rareview Tax Advantaged Income ETF returned 22.35% and 14.49% for the since inception period, respectively. The Trustees’ acknowledged that the adviser’s existing ETFs both ranked in the top 1% in both of their Morningstar categories. They reviewed hypothetical back-tested performance data provided by the adviser on behalf of Rareview Systematic Equity ETF. The Trustees commented that the hypothetical back-tested data indicated that the Fund would have returned 18.42% on an annual basis from its inception in April 1, 2003. They acknowledged the limitations of back-tested performance data, noting that (i) in generating the data, no market risk was involved because no actual trading was done; (ii) because the data was created with the benefit of hindsight, it may be difficult to account for all factors that would have affected Rareview’s decision-making process; (iii) assumptions used to generate the data may not be indicative of current or future market conditions and (iv) due to the benefit of hindsight, back-tested performance tends to show favorable results. The Trustees acknowledged the strong performance of the adviser’s existing funds and agreed that the adviser should be given an opportunity to advise each Fund.
Semi-Annual Shareholder Report | 39
Approval of Management Agreement (continued)March 31, 2022 (Unaudited)
Fees and Expenses.
Rareview Inflation/Deflation ETF. The Trustees reviewed the proposed advisory fee of 0.73% and net expense ratio of 0.87%. The Trustees noted that the proposed advisory fee was lower than the Rareview Dynamic Fixed Income ETF and Rareview Tax Advantaged Income ETF’s advisory fees of 0.97% and 0.75%, respectively. The Trustees considered the peer group’s average advisory fee charged and noted that at 0.82% it was slightly higher than the Fund’s proposed advisory fee. They reviewed the Fund’s net expense ratio of 0.87% and acknowledged that it was lower than the average net expense ratio for the Fund’s peer group. The Trustees concluded that Rareview’s proposed advisory fees and the overall fees on behalf of the Rareview Inflation/Deflation ETF were not unreasonable.
Rareview Systematic Equity ETF. The Trustees acknowledged the proposed advisory fee of 0.85% and net expense ratio of 0.97%. They compared the Fund’s advisory fee and expense ratio to the Fund’s peer group and noted that both were lower than the peer group’s average advisory fee and net expense ratio of 1.12% and 0.98%, respectively. The Trustees reviewed the advisory fee’s charged by Rareview for managing its other ETFs and noted that the Fund’s advisory fee was higher than the Rareview Inflation/Deflation ETF but lower than the Rareview Dynamic Fixed Income ETF and Rareview Tax Advantaged Income ETF. The Board concluded that Rareview’s proposed advisory fees and the overall fees on behalf of the Rareview Systematic Equity ETF were not unreasonable.
Profitability. The Trustees reviewed profitability analysis for each Fund and noted that the adviser did not anticipate earning a profit for the Rareview Systematic Equity ETF during its first year of operation and anticipated earning a modest profit in connection with the Rareview Inflation/Deflation ETF. They further noted the adviser anticipated earning a profit in year two for both Funds. The Trustees acknowledged that the profitability estimates were based assumptions that may not materialize. The Trustees determined that the estimated profitability for Rareview with regard to each Fund was not unreasonable.
Economies of Scale. The Board considered whether economies of scale would be realized in connection with the advisory services provided to the Funds. They noted that based on each Fund’s projected asset size and profit level, the absence of breakpoints was acceptable at this time. The Board discussed Rareview’s position on breakpoints and agreed to continue to monitor each Fund’s asset levels and revisit the matter as each Fund continues to grow.
Conclusion. Having requested and received such information from Rareview as the Board believed to be reasonably necessary to evaluate the terms of the investment advisory agreement, and as assisted by the advice of independent counsel, the Board determined that approval of the advisory agreement was in the best interests of the Fund and its future shareholders.
Semi-Annual Shareholder Report | 40
Approval of Management Agreement (continued)March 31, 2022 (Unaudited)
Consideration and Approval of Proposed Sub-Advisory Agreement between Rareview Capital, LLC and GST Management, LLC with respect to the Rareview Systematic Equity ETF
Nature, Extent and Quality of Service. The Trustees noted that GST was founded in 2017 to provide discretionary and non-discretionary investment advisory services to registered investment companies and separately managed accounts. They further noted that GST was in the process of registering with the SEC as an investment adviser and would be fully registered before the Fund became operational. They reviewed the background information of Mr. Jones and took into consideration his diverse education and financial industry experience. The Trustees noted that GST, as the sub-adviser, would provide the adviser non-discretionary signals that the adviser utilizes when determining whether to buy, sell, or hold a security. The Trustees, based upon their review, concluded that the sub-adviser would likely provide a high level of service to the Fund and its shareholders.
Performance. The Trustees reviewed sub-adviser’s hypothetical back-tested performance and noted that the sub-adviser’s strategy would have returned approximately 18.42% on an annual basis from the since inception period beginning April 1, 2003. They acknowledged the limitations of back-tested performance data and noted that (i) in generating the data, no market risk was involved because no actual trading was done; (ii) because the data was created with the benefit of hindsight, it may be difficult to account for all factors that would have affected the sub-adviser’s decision-making process; (iii) assumptions used to generate the data may not be indicative of current or future market conditions and (iv) due to the benefit of hindsight, back-tested performance tends to show favorable results. The Trustees agreed that the sub-adviser should be given an opportunity to sub-advise the Fund.
Fees and Expenses. The Trustees noted that sub-adviser would receive 40% of the Fund’s net management fee. They compared the proposed sub-advisory fee to the fees charged by the sub-adviser for managing other accounts and noted that Fund’s sub-advisory was lower than the fees typically charged by the sub-adviser. The Trustees agreed that the sub-advisory fee was not unreasonable.
Profitability. The Trustees reviewed the profitability analysis provided by the sub-adviser in connection with the services provided to the Fund. They noted that the sub-adviser estimated that it would receive a profit in connection with its relationship with the Fund. The Trustees noted that the profits were reasonable in terms of actual dollars and as a percentage of revenue.
Economies of Scale. The Trustees considered whether the sub-adviser had realized economies of scale with respect to the sub-advisory services provided to the Fund. The Trustee agreed that this was primarily an adviser level issue
Semi-Annual Shareholder Report | 41
Approval of Management Agreement (continued)March 31, 2022 (Unaudited)
and had been considered with respect to the overall advisory agreement, taking into consideration the impact of the sub-advisory expense and the breakpoints in the sub-advisory fee.
Conclusion. Having requested and received such information from GST as the Board believed to be reasonably necessary to evaluate the terms of the investment advisory agreement, and as assisted by the advice of independent counsel, the Board determined that approval of the advisory agreement was in the best interests of the Fund and its future shareholders.
Semi-Annual Shareholder Report | 42
PORTFOLIO HOLDINGS
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 Funds at 1-888-783-8637, free of charge.
PREMIUM/DISCOUNT INFORMATION
The Funds’ website at http://www.rareviewcapital.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 1-888-783-8637. 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 1-888-783-8637 or referring to the SEC’s web site at http://www.sec.gov.
Sem-Annual Shareholder Report | 43
PRIVACY NOTICE
COLLABORATIVE INVESTMENT SERIES TRUST
FACTS | WHAT DOES THE COLLABORATIVE INVESTMENT SERIES TRUST DO WITH YOUR PERSONAL INFORMATION? |
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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. |
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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. |
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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 personal information: | Do we share information? | Can you limit |
For our everyday business purposes - | YES | NO |
For our marketing purposes - to offer our products and services to you. | NO | We don’t share |
For joint marketing with other financial companies. | NO | We don’t share |
For our affiliates’ everyday business purposes - information about your transactions and records. | NO | We don’t share |
Semi-Annual Shareholder Report | 44
Reasons we can share your personal information: | Do we share information? | Can you limit |
For our affiliates’ everyday business purposes - information about your credit worthiness. | NO | We don’t share |
For our affiliates to market to you | NO | We don’t share |
For non-affiliates to market to you | NO | We don’t share |
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. |
Semi-Annual Shareholder Report | 45
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. |
Investment Advisor
Rareview Capital LLC
1980 Festival Plaza Drive, Suite 300
Las Vegas, NV 89135
Investment Subadvisor
Rareview Systematic Equity ETF
GST Management, LLC
9 East 96th Street, 9B
New York, NY 10128
Distributor
Foreside Fund Services, LLC
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
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.
5/22
Tuttle Capital Management, LLC
155 Lockwood Rd.
Riverside, CT 06878
1-866-904-0406
www.sarketf.com
Semi-Annual
Shareholder Report
Tuttle Capital Short Innovation ETF (SARK)
March 31, 2022
Semi-Annual Shareholder Report | 1
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 entire period ended March 31, 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 the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the 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 the 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.
Semi-Annual Shareholder Report | 2
Expense Examples (continued)March 31, 2022 (Unaudited)
|
| Beginning | Ending | Expenses | Annualized |
Tuttle Capital Short Innovation ETF | Actual(a) | $ 1,000.00 | $ 1,542.30 | $ 3.84(b) | 0.75% |
| Hypothetical | 1,000.00 | 1,021.19 | 3.78(c) | 0.75 |
(a) Information shown reflects values for the stub period of 147 days from November 5, 2021 (commencement of operations) to March 31, 2022 and has been calculated using expense ratios and rates of returns for the same period.
(b) Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the period from November 5, 2021 (commencement of operations) to March 31, 2022, divided by the number of days in the fiscal year.
(c) Expenses are equal to the Fund’s annualized expense ratio multiplied by the average hypothetical account value over the period, multiplied by 182/365 (the number of days in the more 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.
Semi-Annual Shareholder Report | 3
Total Return Swap Agreements
Pay/ | Financing | Description | Counterparty | Expiration | Payment | Notional | Value | Upfront | Unrealized |
Pay | 3.93 | Ark Innovation ETF | Cowen | 11/10/22 | At Maturity | 169,621,476 | (15,564,525) | — | (15,564,525) |
Pay | 5.43 | Ark Innovation ETF | Scotia | 11/10/22 | At Maturity | 158,561,547 | (7,862,766) | — | (7,862,766) |
| | | | | | | (23,427,291) | — | (23,427,291) |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 4
| Tuttle Capital |
Assets: | |
Cash | $223,384,780 |
Cash collateral from swap agreements | 158,826,968 |
Receivable due from advisor | 54,231 |
Prepaid expenses and other assets | 17,757 |
Total Assets | 382,283,736 |
Liabilities: | |
Payable for capital shares redeemed | 4,626,770 |
Unrealized depreciation on swap agreements | 23,427,291 |
Accrued expenses: | |
Advisory | 184,892 |
Administration | 25,123 |
Custodian | 706 |
Fund accounting | 9,650 |
Trustee | 1,081 |
Other | 6,075 |
Total Liabilities | 28,281,588 |
Net Assets | $354,002,148 |
Net Assets consist of: | |
Paid in Capital | $325,953,417 |
Total Distributable Earnings/(Deficit) | 28,048,731 |
Net Assets | $354,002,148 |
| |
Net Assets: | $354,002,148 |
Shares of Beneficial Interest Outstanding | 7,650,000 |
Net Asset Value (offering and redemption price per share): | $46.27 |
|
|
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 5
| Tuttle Capital |
Expenses: | |
Advisory | 503,416 |
Administration | 69,985 |
Compliance services | 373 |
Custodian | 941 |
Fund accounting | 28,740 |
Legal and audit | 26,891 |
Printing | 4,965 |
Treasurer | 500 |
Trustee | 3,681 |
Other | 5,915 |
Total Expenses before fee reductions | 645,407 |
Expenses contractually waived and/or reimbursed by the Advisor | (54,231) |
Total Net Expenses | 591,176 |
Net Investment Income (Loss) | (591,176) |
Realized and Unrealized Gains (Losses) from Investments: | |
Net realized gains (losses) from swap transactions | 52,067,198 |
Change in unrealized appreciation/(depreciation) on swap agreements | (23,427,291) |
Net Realized and Unrealized Gains (Losses) from Investments: | 28,639,907 |
Change in Net Assets Resulting From Operations | $28,048,731 |
(a) For the period from the commencement of operations on November 5, 2021 through March 31, 2022.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 6
| Tuttle Capital |
| For the period |
From Investment Activities: | |
Operations: | |
Net investment (loss) | $(591,176) |
Net realized gains (losses) from investment transactions | 52,067,198 |
Change in unrealized appreciation/(depreciation) on investments | (23,427,291) |
Change in net assets resulting from operations | 28,048,731 |
Capital Transactions: | |
Proceeds from shares issued | 693,364,616 |
Cost of shares redeemed | (367,411,199) |
Change in net assets from capital transactions | 325,953,417 |
Change in net assets | 354,002,148 |
Net Assets: | |
Beginning of period | — |
End of period | $354,002,148 |
Share Transactions: | |
Issued | 15,425,000 |
Redeemed | (7,775,000) |
Change in shares | 7,650,000 |
(a) Commencement of operations.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 7
Tuttle Capital Short Innovation ETF | November 5, 2021(a) | |
Net Asset Value, Beginning of Period | $30.00 | |
| | |
Net Investment Income (Loss)(b) | (0.14 | ) |
Net Realized and Unrealized Gains (Losses) from Investments | 16.41 | |
Total from Investment Activities | 16.27 | |
| | |
Distributions from Net Investment Income | — | |
Distributions from Net Realized Gains from Investments | — | |
Total Distributions | — | |
| | |
Net Asset Value, End of Period | $46.27 | |
Net Assets at End of Period (000’s) | $354,002 | |
| | |
Total Return at NAV(c)(d) | 54.23% | |
Total Return at Market(d)(e) | 54.20% | |
| | |
Ratio of Net Expenses to Average Net Assets(f) | 0.75% | |
Ratio of Gross Expenses to Average Net Assets(f)(g) | 0.82% | |
Ratio of Net Investment Income (Loss) to Average Net Assets(f) | (0.75)% | |
Portfolio Turnover(d)(h) | —% | |
(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., Nasdaq) 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) If applicable, certain fees were waived and/or reimbursed. If such waivers/reimbursements had not occurred, the ratio would have been as indicated.
(h) Excludes the impact of in-kind transactions.
Semi-Annual Shareholder Report | 8
(1) Organization
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 Tuttle Capital Short Innovation ETF (the “Fund”). The Fund is a non-diversified exchange-traded fund whose investment objective is to seek to provide a daily investment result that is inverse to the performance of the ARK Innovation ETF. The Fund’s prospectus provides a description of the Fund’s investment objectives, policies, and strategies. The assets of the Fund are segregated and a shareholder’s interest is limited to the Fund in which shares are held. The Fund commenced operations on November 5, 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 Fund. 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 Fund are listed and traded on the Nasdaq Stock Exchange, Inc. (“NASDAQ”). Market prices for the Shares may be different from their net asset value (“NAV”). The Fund issues and redeems Shares on a continuous basis at NAV only in large blocks of Shares, currently 25,000 Shares, called “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 the 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 Foreside Fund Services, LLC (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 Fund.
Semi-Annual Shareholder Report | 9
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. These policies are in conformity with generally accepted accounting principles in the United States of America (“GAAP”). The 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 Fund holds 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 Fund may use a pricing service, bank, or broker-dealer experienced in such matters to value the Fund’s 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 Fund 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 Fund’s 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 Fund has 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 Fund’s own assumptions in determining the fair value of investments).
Semi-Annual Shareholder Report | 10
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.
Swaps are priced daily based on the underlying index and are typically categorized as Level 2 in the fair value hierarchy.
The Fund did not hold any Level 3 investments during the period ended March 31, 2022.
The following table provides the fair value measurement as of March 31, 2022, while the breakdown, by category, of investments is disclosed in the Portfolio of Investments for the Fund:
| | Level 2 | | Total |
Tuttle Capital Short Innovation ETF | | | | |
Other Financial Instruments(1) | | | | |
Swap Agreements | | $(23,427,291) | | $(23,427,291) |
Total Investments | | $(23,427,291) | | $(23,427,291) |
(1) Other financial instruments include derivative instruments, such as swap agreements, which are valued at fair value.
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, less foreign tax withholding, if any, are recorded on the ex-dividend date. Investment income from non-U.S. sources received by the Fund is 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 Fund may be subject to foreign taxes on gains in investments or currency repatriation. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
C. Cash
Idle cash may be swept into various interest bearing overnight demand deposits and is classified as cash on the Statement of Assets and Liabilities. The Fund maintains cash in bank deposit accounts which, at times, may exceed United States federally insured limit of $250,000. Amounts swept overnight are available on the next business day.
Semi-Annual Shareholder Report | 11
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
D. Dividends and Distributions to Shareholders
Distributions are recorded on the ex-dividend date. The Fund intends to distribute to its shareholders any 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 Fund 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. Derivative Instruments:
All open derivative positions at period end are reflected on the Fund’s Portfolio of Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposure related to each instrument type.
Swap Agreements:
The Fund may enter into swap agreements (“swaps”) in an attempt to obtain a particular desired return at a lower cost to the Fund than if it had been invested directly in an instrument that yielded that desired return. Swap agreements are two-party contracts entered into primarily by institutional investors for periods ranging from a few weeks to more than one year. In a standard swap transaction, two parties agree to exchange the returns (or differentials in rates of returns) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount,” i.e., the return on or increase in value of a particular dollar amount invested in a “basket” of securities representing a particular index. The “notional amount” of the swap agreement is only a fictive basis on which to calculate the obligations the parties to a swap agreement have agreed to exchange. The Fund’s obligations (or rights) under a swap agreement will generally be equal only to the amount to be paid or received under the agreement based on the relative values of the positions held by each party to the agreement (the “net amount”).
Semi-Annual Shareholder Report | 12
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
Total Return Swaps:
The Fund may enter into total return swaps to gain or mitigate exposure to the underlying securities or indices. In “long” total return swaps, the counterparty will generally agree to pay the Fund the amount, if any, by which the notional amount of the swaps would have increased in value had it been invested in the particular instruments, plus an amount equal to any dividends or interest that would have been received on those instruments. The Fund will agree to pay to the counterparty an amount equal to a fixed or floating rate of interest on the notional amount of the swaps plus the amount, if any, by which the notional amount would have decreased in value had it been invested in such instruments plus, in certain instances, commissions or trading spreads on the notional amount. Total return swaps do not involve the delivery of securities or other underlying instruments. Until a total return swap is settled in cash, the gain or loss on the notional amount plus dividends or interest on the instruments less the interest paid by the Fund on the notional amount is recorded as “unrealized appreciation or depreciation on swap agreements” and, when cash is exchanged, the gain or loss realized is recorded as “realized gains or losses from swap transactions.” The Fund may enter into total return swaps that provide the opposite return of its benchmark index or security (“short” the index or security). Its operations are similar to those swaps disclosed above except that the counterparty pays interest to the Fund on the notional amount outstanding and that dividends or interest on the underlying instruments reduce the value of the swaps plus, in certain instances, the Fund will agree to pay to the counterparty commissions or trading spreads on the notional amount. These amounts are netted against any unrealized appreciation or depreciation to determine the value of the swaps.
The primary risks associated with the use of swaps are an imperfect correlation between the prices of financial instruments and movements in the prices of the underlying investments and the inability of counterparties to perform under the agreement. The counterparty to any swap agreement will typically be a bank, investment banking firm or broker-dealer. The Fund will bear the counterparty risk, i.e., the risk of loss of the net amount, if any, expected to be received under a swap in the event of the default or bankruptcy of the swap counterparty. The notional value of the swap agreements outstanding as of March 31, 2022, and the monthly average notional amount for the period ended March 31, 2022 were as follows:
| Outstanding | | Monthly |
Swap Agreements: | | | |
Tuttle Capital Short Innovation ETF | $328,183,023 | | $232,167,191(a) |
(a) For the period when the Fund held swap agreements from November 5, 2021 through March 31, 2022.
Semi-Annual Shareholder Report | 13
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
The Fund has entered into master netting arrangements, established within the International Swap Dealers Association, Inc. master agreement, which allows the Fund to make (or to have an entitlement to receive) a single net payment in the event of default (closeout netting) for outstanding payables and receivables for certain positions for each individual counterparty. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements do not apply to amounts owed to/from different counterparties. The amounts shown in the Statement of Assets and Liabilities do not take into consideration the effects of legally enforceable master netting agreements and, for financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to master netting arrangements in the Statement of Assets and Liabilities.
As of March 31, 2022, the Fund’s derivative assets and liabilities by type were as follows:
| Assets |
| Liabilities |
Derivative Financial Instruments: | | | |
Swap agreements | $— | | $23,427,291 |
Total derivative assets and liabilities in the Statement of Assets and Liabilities | — | | 23,427,291 |
Derivatives not subject to a master netting agreement or similar agreement (“MNA”) | — | | — |
Total assets and liabilities subject to a MNA | $— | | $23,427,291 |
The following table presents the Fund’s derivative liabilities by counterparty net of amounts available for offset under MNA and net of the related collateral as of March 31, 2022:
Counterparty | Derivative |
| Derivatives |
| Non-cash |
| Cash |
| Net Amount |
Cowen | $15,564,525 | | $— | | $— | | $(15,564,525) | | $— |
Scotia | 7,862,766 | | — | | — | | (7,862,766) | | — |
Total | $23,427,291 | | $— | | $— | | $(23,427,291) | | $— |
(1) The actual collateral received or pledged may be in excess of the amounts shown in the table. The table only reflects collateral amounts up to the amount of the financial instrument disclosed on the Statement of Assets and Liabilities.
Semi-Annual Shareholder Report | 14
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
Summary of Derivative Instruments:
The following is a summary of the fair value of derivative instruments on the Statement of Assets and Liabilities, categorized by risk exposure, as of March 31, 2022:
| | Assets | | Liabilities |
Fund |
| Unrealized |
| Unrealized |
Equity Swap Risk Exposure: | | | | |
Tuttle Capital Short Innovation ETF | | $— | | $23,427,291 |
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, as of March 31, 2022:
| | Net Realized Gains | | Net Change in |
Fund |
| Swap Agreements |
| Swap Agreements |
Equity Swap Risk Exposure: | | | | |
Tuttle Capital Short Innovation ETF | | $52,067,198 | | $(23,427,291) |
(3) Investment Advisory and Other Contractual Services
A. Investment Advisory Fees
Tuttle Capital Management, LLC (the “Advisor”), serves as the Fund’s 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 Fund. The Fund pays the Advisor a management fee of 0.65% of its average daily net assets, calculated daily and paid monthly.
The Advisor has contractually agreed to reduce its fees and/or reimburse the expenses for the Fund (excluding front-end or contingent deferred loads, brokerage fees and commissions, acquired fund fees and expenses, fees and expenses associated with instruments in other collective investment vehicles or derivative instruments (including for example options and swap fees and expenses), borrowing costs (such as interest and dividend expense on securities sold short), taxes, other fees related to underlying investments (such as option fees and expenses or swap fees and expenses), or extraordinary expenses such as litigation (which may include indemnification of Fund officers and Trustees or contractual indemnification of Fund Service providers (other
Semi-Annual Shareholder Report | 15
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
than the Advisor)) in order to ensure that net annual fund operating expenses will not exceed 0.75% of the Fund’s average daily net assets (“Expense Cap”). These fee waivers and expense reimbursements are subject to possible recoupment from the Fund within the three years of the date on which the waiver or reimbursement occurs, if such recoupment can be achieved within the lesser of the foregoing expense limits or the expense limits in place at the time of recoupment. The Expense Cap will remain in effect for the Fund until at least March 31, 2023. The Expense Cap may be terminated earlier only upon approval by the Board, on 60 days’ written notice to the Advisor. More information about the Fund’s fee waiver and Expense Cap agreement is available in the “Management of the Fund” section of the Fund’s prospectus.
As of March 31, 2022, the Advisor may recoup amounts from the Fund as follows:
| Expires | Total |
Tuttle Capital Short Innovation ETF | $54,231 | $54,231 |
B. Administration, Custodian, Transfer Agent and Accounting Fees
Citi Fund Services Ohio, Inc. (“Citi”) serves as administrator and dividend disbursing agent for the Fund pursuant to a Services Agreement. Citibank, N.A. serves as the custodian and transfer agent of the Fund pursuant to a Global Custodial and Agency Services Agreement.
Collaborative Fund Services LLC (“CFS”) provides the Fund with various management and legal administrative services. For these services, the Fund pays CFS an administrative fee that is computed daily and paid monthly, based on the aggregate daily net assets of the Fund and is subject to a minimum monthly fee of $1,000.
C. Distribution and Shareholder Services Fees
Foreside Fund Services, LLC is the principal underwriter and distributor for the Fund’s Shares. The Distributor is compensated by the Advisor in accordance with a Distribution Services Agreement between the Advisor and the Distributor.
D. Compliance Services
Beacon Compliance Consulting provides compliance services to the Trust and receives a monthly fee paid by the Fund for these services.
E. Treasurer Fees
The Treasurer of the Trust receives a fee that is calculated monthly using the net assets at month-end and is paid by the Fund on a quarterly basis. During the period ended March 31, 2022, the Fund paid a total of $500 to the Treasurer.
Semi-Annual Shareholder Report | 16
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
F. General
Certain trustees and officers of the Trust are officers, directors and/or trustees of the above companies, except for the Treasurer, receive no compensation from the Fund for their services.
(4) Investment Transactions
There were no purchases and sales of investments for the period ended March 31, 2022.
There were no purchases and sales of in-kind transactions for the period ended March 31, 2022
(5) Capital Share Transactions
Shares are issued and redeemed by the Fund only in aggregations of a specified number of shares or multiples thereof at NAV. Except when aggregated in Creation Units, shares of the Fund are not redeemable. Transactions in shares for the Fund are disclosed in detail on the Statement 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 may be charged a transaction fee to cover the transfer and other transactional costs it incurs to issue or redeem Creation Units. The standard transaction fee charge is $250.
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 Statement of Assets and Liabilities.
As of March 31, 2022, there were no unsettled in-kind capital transactions.
(6) 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 Risk
Overall market risks may also affect the value of the Fund. Factors such as domestic economic growth and market conditions, interest rate levels and
Semi-Annual Shareholder Report | 17
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
political events affect the securities markets. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issue, recessions and depressions, or other events could have a significant impact on the Fund and their investments and could result in increased premiums or discounts to the Fund’s NAV, and may impair market liquidity, thereby increasing liquidity risk. The Fund 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.
An outbreak of infectious respiratory illness caused by a novel coronavirus known as COVID-19 was first detected in China in December 2019 and has now been detected globally. This coronavirus has resulted in travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, prolonged quarantines, cancellations, supply chain disruptions, and lower consumer demand, as well as general concern and uncertainty. The impact of COVID-19, and other infectious illness outbreaks that may arise in the future, could adversely affect the economies of many nations or the entire global economy, individual issuers and capital markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illnesses in emerging market countries may be greater due to generally less established healthcare systems. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The duration of the COVID-19 outbreak and its effects cannot be determined with certainty.
Swap Risk
Swaps are subject to tracking risk because they may not be perfect substitutes for the instruments they are intended to hedge or replace. Over the counter swaps are subject to counterparty default. Leverage inherent in derivatives will tend to magnify the Fund’s losses.
(7) Subsequent Events
The Board approved the reorganization of the Fund into a new series of Investment Managers Series Trust II at a meeting held on February 16, 2022. The reorganization is subject to the approval of the Fund’s shareholders. Fund shareholders will receive a combined prospectus/proxy statement with more information regarding the reorganization.
Management of the Fund 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 March 31, 2022.
Semi-Annual Shareholder Report | 18
Consideration and Approval of Proposed Management Agreement with Tuttle Capital Management, LLC with respect to the Tuttle Capital Short Innovation ETF*
Nature, Extent and Quality of Service. The Board noted that Tuttle was founded in 2012 and was registered with the SEC as an investment adviser with $250 million in assets under management as of June 30, 2021. The Board further noted that Tuttle currently served as the adviser or sub-adviser to ten funds. The Board reviewed the background information on the key investment personnel who would be responsible for servicing the Fund taking into account their education and financial industry experience. They also expressed their satisfaction with Tuttle’s use of a pre-trade and post-trade testing as a method to ensure compliance with the Fund’s investment policies and regulations. They noted that Tuttle was not the subject of any ongoing examinations or litigation. The Board expressed its satisfaction with Tuttle’s overall experience, operations, and compliance culture.
Performance. The Board noted the performance of other ETFs that were managed by Tuttle. and acknowledged that the Fund’s proposed strategy was similar to the strategy employed by the Short De-SPAC ETF in that it would use a total return swap to achieve an inverse return. The Board further noted that the Short De-SPAC ETF had provided a one month return of 22.83% for the period ended July 31, 2021. The Board considered Tuttle’s ability to track the De-SPAC index and acknowledged that Tuttle had consistently provided an inverse return of the De-SPAC Index’s returns. After a discussion, the Board concluded that Tuttle was qualified, and should be allowed the opportunity, to advise the Short ARKK ETF.
Fees and Expenses. The Board reviewed the proposed advisory fee of 0.65% with estimated net expenses of 0.75%. The Board noted that the Fund’s proposed advisory fee was lower than the Fund’s peer group average management fee of 0.75% and net expense ratio of 0.94%. After a discussion, the Board concluded that the adviser’s fees and expenses on behalf of the Short ARKK ETF were not unreasonable.
Profitability. The Board reviewed the profit analysis provided by Tuttle, noting that because the Funds had not yet commenced operations, the profitability analysis provided was an estimate based on projected asset growth over the first 24 months of operations. The Board acknowledged that Tuttle’s assertion that implementing and managing an inverse strategy required a significant amount of daily oversight. They noted that while Tuttle projected making a profit in terms of actual dollars and percentage in connection with its relationship to the Fund if estimated asset levels were achieved, they agreed that the projected profits were not excessive.
Semi-Annual Shareholder Report | 19
Approval of Management Agreement (continued)March 31, 2022 (Unaudited)
Economies of Scale. The Board considered whether economies of scale would be realized in connection with the advisory services provided to the Fund. They noted that based on the Fund’s projected asset size and profit level, the absence of breakpoints was acceptable at this time. The Board discussed Tuttle’s position on breakpoints and agreed to continue to monitor the Fund’s asset levels and revisit the matter as the Fund continues to grow.
Conclusion. Having requested and received such information from Tuttle as the Board believed to be reasonably necessary to evaluate the terms of the investment advisory agreement, and as assisted by the advice of independent counsel, the Board determined that approval of the advisory agreement was in the best interests of the Fund and its future shareholders.
*At a meeting on August 20, 2021, the Board approved the investment advisory agreement between the Trust and Tuttle Capital Management, LLC with respect to the Short ARKK ETF. At a meeting on November 5, 2021, the Board approved to change the name of the Fund from Short ARKK ETF to Tuttle Capital Short Innovation ETF. The Board’s discussions, as included above, represent the same underlying advisory agreement.
Semi-Annual Shareholder Report | 20
PORTFOLIO HOLDINGS
The Fund files 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 1-866-904-0406, free of charge.
PREMIUM/DISCOUNT INFORMATION
The Fund’s website at http://www.sarketf.com shows the previous day’s closing NAV and closing market price for the Fund’s ETF Shares. The website also discloses, in the Premium/Discount section, how frequently the Fund’s 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 Fund’s proxy voting policies, procedures and voting records relating to common stock securities in the Fund’s investment portfolio are available without charge, upon request, by calling the Fund’s toll-free telephone number 1-866-904-0406. The Fund 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 Fund’s proxy information is also available on the SEC’s website at http://www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 is available without charge, upon request by calling 1-866-904-0406 or referring to the SEC’s web site at http://www.sec.gov.
Semi-Annual Shareholder Report | 21
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 personal information: | Do we share information? | Can you limit |
For our everyday business purposes - | YES | NO |
For our marketing purposes - to offer our products and services to you. | NO | We don’t share |
For joint marketing with other | NO | We don’t share |
For our affiliates’ everyday business purposes - information about your transactions and records. | NO | We don’t share |
Semi-Annual Shareholder Report | 22
Reasons we can share your personal information: | Do we share information? | Can you limit |
For our affiliates’ everyday business purposes - information about your credit worthiness. | NO | We don’t share |
For our affiliates to market to you | NO | We don’t share |
For non-affiliates to market to you | NO | We don’t share |
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 | 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. |
Semi-Annual Shareholder Report | 23
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. |
Semi-Annual Shareholder Report | 24
This Page Was Left Blank Intentionally
Semi-Annual Shareholder Report | 25
This Page Was Left Blank Intentionally
This report is provided for the general information of the Fund’s shareholders. It is not authorized for distribution unless preceded or accompanied by an effective prospectus, which contains more complete information about the Fund.
5/22
Investment Advisor
Tuttle Capital Management, LLC
155 Lockwood Rd.
Riverside, CT 06878
Distributor
Foreside Fund Services, LLC
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
Tuttle Capital Management, LLC
155 Lockwood Rd.
Riverside, CT 06878
1-866-904-0406
www.spcxetf.com
www.despacetfs.com
Semi-Annual
Shareholder Report
The SPAC and New Issue ETF (SPCX)
The De-SPAC ETF (DSPC)
The Short De-SPAC ETF (SOGU)
March 31, 2022
1 | |
3 | |
3 | |
10 | |
12 | |
14 | |
15 | |
16 | |
19 | |
22 | |
35 | |
36 |
TABLE OF CONTENTS
Semi-Annual Shareholder Report | 1
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 March 31, 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.
Semi-Annual Shareholder Report | 2
Expense Examples (continued)March 31, 2022 (Unaudited)
|
| Beginning |
| Ending |
| Expenses |
| Annualized |
The SPAC and New Issue ETF | Actual | $1,000.00 | | $981.20 | | $4.69 | | 0.95% |
| Hypothetical | 1,000.00 | | 1,020.19 | | 4.78 | | 0.95 |
The De-SPAC ETF | Actual | 1,000.00 | | 620.60 | | 3.03 | | 0.75 |
| Hypothetical | 1,000.00 | | 1,021.19 | | 3.78 | | 0.75 |
The Short De-SPAC ETF | Actual | 1,000.00 | | 1,270.20 | | 5.38 | | 0.95 |
| Hypothetical | 1,000.00 | | 1,020.19 | | 4.78 | | 0.95 |
(a) Expenses are equal to each Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 182/365 (the number of days in the more recent fiscal half-year divided by the number of days in the fiscal year).
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 3
Portfolio of Investments Summary Table |
| Percentage of |
Financials | | 85.2 |
Health Care | | 0.7 |
Private Investments | | 11.3 |
Private Investment in Public Equity | | 1.3 |
Private Investment in Warrants | | 0.2 |
Rights | | 0.1 |
Warrants | | 1.2 |
Total | | 100.0 |
Portfolio holdings and allocations are subject to change. As of March 31, 2022, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund’s total net assets.
Portfolio of Investments
| Shares | | | | Fair Value ($) | |
| Common Stocks — 82.5% | | | | ||
| Financials — 81.9% | | | | ||
| 211,607 | | Accelerate Acquisition Corp.(a) | | 2,065,284 | |
| 73,740 | | Acropolis Infrastructure Acquisition Corp., Class A(a) | | 716,015 | |
| 81,087 | | Adara Acquisition Corp.(a) | | 801,140 | |
| 64,133 | | AEA-Bridges Impact Corp., Class A(a) | | 634,917 | |
| 165,208 | | Apollo Strategic Growth Capital(a) | | 1,643,820 | |
| 69,743 | | Ares Acquisition Corp.(a) | | 684,179 | |
| 26,764 | | Athena Technology Acquisition Corp. II, Class A(a) | | 261,484 | |
| 48,392 | | Atlas Crest Investment Corp. II(a) | | 475,209 | |
| 40,000 | ��� | Aurora Technology Acquisition Corp., Class A(a) | | 394,800 | |
| 50,000 | | Austerlitz Acquisition Corp. II, Class A(a) | | 489,000 | |
| 84,447 | | Avanti Acquisition Corp.(a) | | 832,647 | |
| 36,562 | | Banyan Acquisition Corp.(a) | | 365,986 | |
| 145,998 | | CC Neuberger Principal Holdings II(a) | | 1,448,300 | |
| 38,252 | | Churchill Capital Corp. V(a) | | 376,017 | |
| 48,427 | | Class Acceleration Corp.(a) | | 473,616 | |
| 118,072 | | Cohn Robbins Holdings Corp.(a) | | 1,173,636 | |
| 27,594 | | Crucible Acquisition Corp.(a) | | 270,697 | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 4
Portfolio of Investments (continued)March 31, 2022 (Unaudited)
The SPAC and New Issue ETF
| Shares | | | | Fair Value ($) | |
| 75,000 | | Decarbonization Plus Acquisition Corp. IV, Class A(a) | | 745,500 | |
| 93,250 | | E.Merge Technology Acquisition Corp., Class A(a) | | 923,175 | |
| 49,187 | | Fintech Acquisition Corp. VI(a) | | 484,492 | |
| 56,038 | | Fortistar Sustainable Solutions Corp., Class A(a) | | 548,612 | |
| 83,278 | | Fortress Capital Acquisition Corp.(a) | | 822,787 | |
| 14,650 | | FutureTech II Acquisition Corp.(a) | | 146,793 | |
| 21,698 | | G Squared Ascend I, Inc.(a)(b) | | 213,725 | |
| 73,027 | | G&P Acquisition Corp., Class A(a) | | 724,793 | |
| 28,632 | | Global Consumer Acquisition Corp.(a) | | 286,034 | |
| 63,537 | | GO Acquisition Corp.(a) | | 629,016 | |
| 25,967 | | Gobi Acquisition Corp.(a) | | 252,399 | |
| 22,912 | | Golden Arrow Merger Corp.(a) | | 223,850 | |
| 86,828 | | Good Works II Acquisition Corp.(a) | | 855,256 | |
| 60,018 | | Hudson Executive Investment Corp. II(a) | | 587,576 | |
| 36,416 | | Hudson Executive Investment Corp. III(a) | | 355,784 | |
| 30,939 | | Integrated Rail and Resources Acquisition Corp., Class A(a) | | 307,843 | |
| 52,877 | | International Media Acquisition Corp., Class A(a) | | 524,011 | |
| 56,249 | | Isleworth Healthcare Acquisition Corp.(a) | | 556,865 | |
| 37,017 | | Kadem Sustainable Impact Corp.(a) | | 360,546 | |
| 57,492 | | Kernel Group Holdings, Inc., Class A(a) | | 563,997 | |
| 12,000 | | Keyarch Acquisition Corp.(a) | | 119,160 | |
| 41,697 | | Lux Health Tech Acquisition Corp., Class A(a) | | 411,132 | |
| 120,612 | | Metals Acquisition Corp., Class A(a) | | 1,201,296 | |
| 6,374 | | Motive Capital Corp. II(a) | | 65,015 | |
| 81,261 | | New Vista Acquisition Corp.(a) | | 795,545 | |
| 71,170 | | Newbury Street Acquisition Corp.(a) | | 693,908 | |
| 29,572 | | NewHold Investment Corp. II, Class A(a) | | 290,101 | |
| 38,236 | | Nubia Brand International Corp.(a) | | 382,360 | |
| 49,757 | | Oaktree Acquisition Corp. II, Class A(a) | | 495,082 | |
| 23,409 | | Peridot Acquisition Corp. II(a) | | 228,940 | |
| 50,000 | | Pioneer Merger Corp., Class A(a) | | 490,000 | |
| 5,000 | | PowerUp Acquisition Corp.(a) | | 50,250 | |
| 42,672 | | Primavera Capital Acquisition Corp.(a) | | 428,000 | |
| 68,737 | | Property Solutions Acquisition Corp. II(a) | | 672,248 | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 5
Portfolio of Investments (continued)March 31, 2022 (Unaudited)
The SPAC and New Issue ETF
| Shares | | | | Fair Value ($) | |
| 7,000 | | Redwoods Acquisition Corp.(a) | | 70,210 | |
| 17,808 | | Relativity Acquisition Corp.(a) | | 179,327 | |
| 63,387 | | RMG Acquisition Corp. III(a) | | 621,193 | |
| 56,842 | | Schultze Special Purpose Acquisition Corp. II(a) | | 572,967 | |
| 58,382 | | ScION Tech Growth II(a) | | 572,144 | |
| 32,500 | | Screaming Eagle Acquisition Corp.(a) | | 325,000 | |
| 40,632 | | Shelter Acquisition Corp. I(a) | | 403,882 | |
| 57,354 | | SHUAA Partners Acquisition Corp. I(a) | | 574,687 | |
| 54,791 | | Sierra Lake Acquisition Corp., Class A(a) | | 539,691 | |
| 79,471 | | Silver Spike Acquisition Corp. II(a)(b) | | 778,021 | |
| 57,800 | | Spree Acquisition Corp. 1, Ltd.(a) | | 575,110 | |
| 18,617 | | Springwater Special Situations Corp.(a) | | 183,377 | |
| 519 | | SVF Investment Corp., Class A(a) | | 5,086 | |
| 74,626 | | Twelve Seas Investment Co. II(a) | | 729,096 | |
| 41,644 | | VectoIQ Acquisition Corp. II(a) | | 409,777 | |
| 36,302 | | VY Global Growth(a) | | 359,390 | |
| 59,397 | | Worldwide Webb Acquisition Corp., Class A(a) | | 585,060 | |
| | | | | 37,026,856 | |
| Health Care — 0.6% | | | | ||
| 167,317 | | Talkspace, Inc.(a) | | 291,132 | |
| Total Common Stocks (Cost $41,012,080) | | 37,317,988 | | ||
| | | | | ||
| Private Investments — 10.9% | | | | ||
| 255,379 | | Adara Acquisition Corp. – Founder Shares(a)(c)(d) | | 2,018,516 | |
| 250,000 | | Global Consumer Acquisition Corp. – Founder Shares(a)(c)(d) | | 2,016,000 | |
| N/A | | Silver Spike Sponsor II, LLC(a)(c)(d)(e) | | 270,000 | |
| 59,668 | | Springwater Special Situations Corp. – Founder Shares(a)(c)(d) | | 476,867 | |
| 19,889 | | Springwater Special Situations Corp. – Private Placement Units(a)(c)(d)(f) | | 158,953 | |
| Total Private Investment (Cost $1,348,894) | | 4,940,336 | | ||
| | | | | | |
| Private Investment in Public Equity — 1.3% | | | | ||
| 200,000 | | Shapeways Holdings, Inc.(a) | | 572,000 | |
| Total Private Investment in Public Equity | | 572,000 | | ||
| | | | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 6
Portfolio of Investments (continued)March 31, 2022 (Unaudited)
The SPAC and New Issue ETF
| Shares | | | | Fair Value ($) | |
| Private Investment in Warrants — 0.2% | | | | ||
| 425,000 | | Adara Acquisition Corp.(a)(c)(d)(g) | | 108,833 | |
| Total Private Investment in Warrants (Cost $—) | | 108,833 | | ||
| | | | | | |
| Rights — 0.1% | | | | ||
| 40,000 | | Aurora Technology Acquisition Corp., 01/01/2024(a) | | 5,640 | |
| 69,024 | | Deep Medicine Acquisition Corp., 01/12/2029(a) | | 12,411 | |
| 55,619 | | International Media Acquisition Corp.(a) | | 6,062 | |
| 26,370 | | Northview Acquisition, 12/31/2022(a) | | 3,726 | |
| | | 27,839 | | ||
| Total Rights (Cost $–) | | 27,839 | | ||
| | | | | ||
| Warrants — 1.1% | | | | ||
| 76,649 | | Accelerate Acquisition Corp., 12/31/2027(a) | | 29,533 | |
| 26,848 | | Acropolis Infrastructure Acquisition Corp., 03/31/2026 | | 12,761 | |
| 12,229 | | Allego NV, 03/14/2025 | | 12,840 | |
| 15,823 | | Alpha Tau Medical, Ltd., 07/03/2027 | | 9,652 | |
| 21,937 | | Apollo Strategic Growth, 10/29/2027(a) | | 30,054 | |
| 12,485 | | Ares Acquisition Corp., Class A, 12/31/2027(a) | | 5,144 | |
| 15,030 | | Athena Technology Acquisition Corp. II, 10/17/2028 | | 3,009 | |
| 15,112 | | Atlas Crest Investment Corp. II, 02/28/2026(a) | | 4,987 | |
| 40,000 | | Aurora Technology Acquisition Corp., 07/02/2028 | | 3,200 | |
| 11,057 | | BigBear.ai Holdings, Inc., 12/31/2028(a) | | 9,730 | |
| 16,672 | | CC Neuberger Principal Holdings II - CW25, 07/29/2025(a) | | 16,672 | |
| 9,580 | | Churchill Capital Corp. V, 10/29/2027(a) | | 5,844 | |
| 22,976 | | Class Acceleration Corp., Class A, 03/31/2028(a) | | 4,253 | |
| 9,197 | | Crucible Acquisition Corp., 12/26/2025(a) | | 2,852 | |
| 37,500 | | Decarbonization Plus Acquisition Corp. IV, 12/31/2028(a) | | 21,750 | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 7
Portfolio of Investments (continued)March 31, 2022 (Unaudited)
The SPAC and New Issue ETF
| Shares | | | | Fair Value ($) | |
| 21,244 | | Endurance Acquisition Corp., 02/27/2023 | | 5,311 | |
| 47,224 | | Fathom Digital Manufacturing C, 12/31/2027(a) | | 35,890 | |
| 14,162 | | Fortress Capital Acquisition Corp., 12/31/2027(a) | | 5,675 | |
| 12,122 | | G Squared Ascend I, Inc., Class A, 12/31/2027(a) | | 4,849 | |
| 42,500 | | Gesher I Acquisition Corp., 04/16/2028 | | 14,233 | |
| 26,860 | | Global Consumer Acquisition Corp., Class C, 12/31/2027(a) | | 6,661 | |
| 9,186 | | Golden Arrow Merger Corp., 07/31/2026(a) | | 1,840 | |
| 15,697 | | Hudson Executive Investment Corp. II, 01/31/2027(a) | | 5,869 | |
| 7,316 | | Hudson Executive Investment Corp. III, 12/31/2028(a) | | 2,891 | |
| 17,560 | | Hyzon Motors, Inc., Class C, 10/02/2025(a) | | 29,852 | |
| 16,897 | | Integrated Rail And Resources Acquisition Corp., 05/21/2023 | | 5,541 | |
| 58,139 | | Kadem Sustainable Impact Corp., 03/16/2026(a) | | 10,023 | |
| 25,733 | | Kernel Group Holdings, Inc., Class A, 01/31/2027(a) | | 6,433 | |
| 33,750 | | LIV Capital Acquisition Corp. II, 02/16/2027 | | 6,416 | |
| 40,204 | | Metals Acquisition Corp., 07/12/2023(a) | | 36,184 | |
| 14,332 | | Moringa Acquisition Corp., 02/10/2026(a) | | 2,866 | |
| 16,975 | | New Vista Acquisition Corp., 12/31/2027(a) | | 6,588 | |
| 32,272 | | Newbury Street Acquisition C, 12/31/2027(a) | | 8,604 | |
| 16,151 | | Newhold Investment Corp. II, 10/21/2023 | | 4,332 | |
| 13,185 | | NorthView Acquisition Corp., 02/08/2027 | | 2,255 | |
| 7,217 | | Oaktree Acquisition Corp. II, 09/15/2027(a) | | 4,691 | |
| 15,372 | | P3 Health Partners, Inc., 11/19/2026(a) | | 24,595 | |
| 4,452 | | Peridot Acquisition Corp. II, Class A, 04/30/2028(a) | | 1,692 | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 8
Portfolio of Investments (continued)March 31, 2022 (Unaudited)
The SPAC and New Issue ETF
| Shares | | | | Fair Value ($) | |
| 18,182 | | Property Solutions Acquisition Corp., 03/01/2026(a) | | 5,000 | |
| 23,887 | | ScION Tech Growth II, 01/28/2026(a) | | 7,166 | |
| 30,767 | | Sierra Lake Acquisition Corp., 03/31/2028 | | 7,513 | |
| 23,172 | | Silver Spike Acquisition Corp. II, 02/26/2026(a) | | 7,183 | |
| 908 | | Solid Power, Inc., 12/08/2026(a) | | 2,161 | |
| 13,292 | | Sonder Holdings, Inc., 01/31/2028 | | 9,437 | |
| 28,900 | | Spree Acquisition Corp. 1, Ltd., 12/22/2028 | | 5,780 | |
| 70,160 | | Springwater Special Situations Corp., 04/12/2026(a) | | 28,050 | |
| 10,548 | | SVF Investment Corp. - CW27, 12/31/2027(a) | | 5,907 | |
| 13,333 | | Target Global Acquisition I Corp., 12/31/2027 | | 3,600 | |
| 22,262 | | Twelve Seas Investment Co. II, 03/02/2028(a) | | 5,566 | |
| 8,338 | | VectoIQ Acquisition Corp. II, 12/31/2027(a) | | 3,800 | |
| 29,698 | | Worldwide Webb Acquisition Corp., 03/27/2023 | | 11,329 | |
| | | | | 508,064 | |
| Total Warrants (Cost $180,376) | | 508,064 | | ||
| | | | | | |
| Total Investments — 96.1% (Cost $44,541,350) | | 43,475,060 | | ||
| Other Assets in Excess of Liabilities — 3.9% | | 1,741,492 | | ||
| Net Assets — 100.0% | | 45,216,552 | |
(a) Non-income producing security.
(b) This security or a partial position of this security was on loan as of March 31, 2022. The total value of securities on loan as of March 31, 2022 was $681,575.
(c) Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of March 31, 2022. The total of all such securities represent 11.17% of the net assets of the Fund.
(d) Security which is restricted to resale. The Fund’s Advisor has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. The aggregate value of these securities at March 31, 2022 was $5,049,169 which represented 11.17% of the total investments of the Fund.
(e) This position represents a private placement investment in a SPAC sponsor. The return on this investment is subject to a waterfall upon the consummation of a deal and may be paid in cash and/or SPAC shares and/or warrants.
(f) Each unit represents one share and ½ warrant.
(g) Warrant expires five years after initial business combination.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 9
Portfolio of Investments (continued)March 31, 2022 (Unaudited)
The SPAC and New Issue ETF
The illiquid restricted securities held as of March 31, 2022 are identified below.
Security |
| Acquisition |
| Acquisition |
| Shares |
| Fair |
| Percentage of Net Assets (%) |
Adara Acquisition Corp. — Founder Shares | | 01/14/2021 | | — | | 255,379 | | 2,018,516 | | 4.5 |
Global Consumer Acquisition Corp. — Founder Shares | | 06/01/2021 | | 500,000 | | 250,000 | | 2,016,000 | | 4.5 |
Silver Spike Sponsor II, LLC(e) | | 02/12/2021 | | 225,000 | | N/A | | 270,000 | | 0.6 |
Springwater Special Situations Corp. — Founder Shares | | 08/12/2021 | | — | | 59,668 | | 476,867 | | 1.1 |
Adara Acquisition Corp.(g) | | 01/14/2021 | | 425,000 | | 425,000 | | 108,833 | | 0.2 |
Springwater Special Situations Corp. — Private Placement Units | | 08/12/2021 | | 200,000 | | 19,889 | | 158,953 | | 0.3 |
(a) Acquisition date represents the initial purchase date of the security.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 10
Portfolio of Investments Summary Table |
| Percentage of Fair Value (%) |
Communication Services | | 3.5 |
Consumer Discretionary | | 15.6 |
Financials | | 3.8 |
Health Care | | 8.3 |
Industrials | | 32.3 |
Information Technology | | 31.8 |
Real Estate | | 4.7 |
Total | | 100.0 |
Portfolio holdings and allocations are subject to change. As of March 31, 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 — 99.8% | | | ||
| Communication Services — 3.5% | | | ||
| 13,234 | | Genius Sports, Ltd. (a) | | 60,877 |
| Consumer Discretionary — 15.6% | | | ||
| 18,966 | | Grab Holdings, Ltd.(a) | | 66,381 |
| 2,599 | | Lucid Group, Inc.(a) | | 66,015 |
| 12,751 | | Sonder Holdings, Inc.(a) | | 60,567 |
| 7,099 | | Super Group SGHC, Ltd.(a) | | 76,030 |
| | | | | 268,993 |
| Financials — 3.8% | | | ||
| 6,965 | | SoFi Technologies, Inc. (a) | | 65,819 |
| Health Care — 8.3% | | | ||
| 10,060 | | Cano Health, Inc. (a) | | 63,881 |
| 19,526 | | Ginkgo Bioworks Holdings, Inc. (a) | | 78,690 |
| | | | | 142,571 |
| Industrials — 32.2% | | | ||
| 6,806 | | Alight, Inc., Class A(a) | | 67,719 |
| 16,271 | | Astra Space, Inc.(a) | | 62,806 |
| 15,001 | | Aurora Innovation, Inc.(a) | | 83,855 |
| 10,430 | | Hyzon Motors, Inc.(a) | | 66,648 |
| 7,734 | | Microvast Holdings, Inc.(a) | | 51,818 |
| 8,411 | | Proterra, Inc.(a) | | 63,251 |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 11
Portfolio of Investments (continued)March 31, 2022 (Unaudited)
The De-SPAC ETF
| Shares | | | | Fair Value ($) |
| 7,280 | | Stem, Inc.(a) | | 80,153 |
| 10,789 | | Virgin Orbit Holdings, Inc.(a) | | 78,760 |
| | | | | 555,010 |
| Information Technology — 31.7% | | | ||
| 7,984 | | Core Scientific, Inc.(a) | | 65,708 |
| 14,815 | | Embark Technology, Inc.(a) | | 87,260 |
| 4,830 | | IonQ, Inc.(a) | | 61,631 |
| 12,671 | | ironSource, Ltd., Class A(a) | | 60,821 |
| 8,496 | | Matterport, Inc.(a) | | 68,988 |
| 7,606 | | Mirion Technologies, Inc.(a) | | 61,380 |
| 7,556 | | Navitas Semiconductor Corp.(a) | | 77,676 |
| 14,214 | | Payoneer Global, Inc.(a) | | 63,394 |
| | | | | 546,858 |
| Real Estate — 4.7% | | | ||
| 11,770 | | WeWork, Inc., Class A(a) | | 80,271 |
| Total Common Stocks (Cost $1,910,018) | | 1,720,399 | ||
| | | | ||
| Total Investments — 99.8% (Cost $1,910,018) | | 1,720,399 | ||
| Other Assets in Excess of Liabilities — 0.2% | | 2,906 | ||
| | | | ||
| Net Assets — 100.0% | | 1,723,305 |
(a) Non-income producing security.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 12
Total Return Swap Agreements
Pay/ | | Financing | | Description | | Counter- | | Expiration | | Payment | | Notional | | Value | | Upfront | | Unrealized |
Pay | | 1.43 | | Alight, Inc., Class A | | Cowen | | 5/20/22 | | At | | 868,772 | | (49,296) | | — | | (49,296) |
Pay | | 5.93 | | Astra Space, Inc., Class A | | Cowen | | 5/20/22 | | At | | 756,530 | | (96,141) | | — | | (96,141) |
Pay | | 3.43 | | Aurora Innovation, Inc., Class A | | Cowen | | 5/20/22 | | At | | 922,066 | | (215,449) | | — | | (215,449) |
Pay | | 1.43 | | Cano Health, Inc., Class A | | Cowen | | 5/20/22 | | At | | 747,494 | | (118,475) | | — | | (118,475) |
Pay | | 5.43 | | Core Scientific, Inc. | | Cowen | | 5/20/22 | | At | | 796,335 | | (104,824) | | — | | (104,824) |
Pay | | 7.93 | | Embark Technology, Inc. | | Cowen | | 5/20/22 | | At | | 908,561 | | (276,806) | | — | | (276,806) |
Pay | | 1.43 | | Genius Sports, Ltd. | | Cowen | | 5/20/22 | | At | | 848,798 | | 23,417 | | — | | 23,417 |
Pay | | 37.93 | | Ginkgo Bioworks Holdings, Inc. Class A | | Cowen | | 5/20/22 | | At | | 844,444 | | (230,523) | | — | | (230,523) |
Pay | | 2.43 | | Grab Holdings, Ltd., Class A | | Cowen | | 5/20/22 | | At | | 817,644 | | (82,695) | | — | | (82,695) |
Pay | | 9.93 | | Hyzon Motors, Inc., Class A | | Cowen | | 5/20/22 | | At | | 804,738 | | (100,395) | | — | | (100,395) |
Pay | | 38.93 | | IonQ, Inc. | | Cowen | | 5/20/22 | | At | | 823,283 | | (29,266) | | — | | (29,266) |
Pay | | 1.93 | | ironSource, Ltd., Class A | | Cowen | | 5/20/22 | | At | | 835,697 | | 11,033 | | — | | 11,033 |
Pay | | 8.43 | | Lucid Group, Inc. | | Cowen | | 5/20/22 | | At | | 829,214 | | (69,755) | | — | | (69,755) |
Pay | | 2.93 | | Matterport, Inc., Class A | | Cowen | | 5/20/22 | | At | | 815,440 | | (120,378) | | — | | (120,378) |
Pay | | 29.93 | | Microvast Holdings, Inc. | | Cowen | | 5/20/22 | | At | | 723,237 | | 10,076 | | — | | 10,076 |
Pay | | 2.43 | | Mirion Technologies, Inc., Class A | | Cowen | | 5/20/22 | | At | | 860,011 | | 27,283 | | — | | 27,283 |
Pay | | 6.43 | | Navitas Semiconductor Corp. | | Cowen | | 5/20/22 | | At | | 874,046 | | (180,501) | | — | | (180,501) |
Pay | | 1.93 | | Payoneer Global, Inc. | | Cowen | | 5/20/22 | | At | | 810,994 | | (48,597) | | — | | (48,597) |
Pay | | 1.93 | | Proterra, Inc. | | Cowen | | 5/20/22 | | At | | 830,504 | | (27,284) | | — | | (27,284) |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 13
Portfolio of Investments (continued)March 31, 2022 (Unaudited)
The Short De-SPAC ETF
Pay/ | | Financing | | Description | | Counter- | | Expiration | | Payment | | Notional | | Value | | Upfront | | Unrealized |
Pay | | 1.93 | | SoFi Technologies, Inc. | | Cowen | | 5/20/22 | | At | | 860,597 | | (31,844) | | — | | (31,844) |
Pay | | 29.93 | | Sonder Holdings, Inc., Class A | | Cowen | | 5/20/22 | | At | | 807,842 | | (21,739) | | — | | (21,739) |
Pay | | 1.43 | | Stem, Inc. | | Cowen | | 5/20/22 | | At | | 865,772 | | (220,673) | | — | | (220,673) |
Pay | | 6.68 | | Super Group SGHC, Ltd. | | Cowen | | 5/20/22 | | At | | 815,851 | | (216,499) | | — | | (216,499) |
Pay | | 29.93 | | Virgin Orbit Holdings, Inc. | | Cowen | | 5/20/22 | | At | | 851,430 | | (224,765) | | — | | (224,765) |
Pay | | 2.93 | | WeWork, Inc. | | Cowen | | 5/20/22 | | At | | 878,953 | | (209,593) | | — | | (209,593) |
| | | | | | | | | | | | | | (2,603,689) | | — | | (2,603,689) |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 14
| | The SPAC | | The | | The Short | |
Assets: | | | | | | | |
Investments, at value (Cost $44,541,350, $1,910,018 and $—) | | $43,475,060 | (a) | $1,720,399 | | $— | |
Cash | | 2,288,497 | | 10,725 | | 12,434,255 | |
Cash collateral from securities loaned | | 696,950 | | — | | — | |
Cash collateral from swap agreements | | — | | — | | 13,590,000 | |
Receivable due from advisor | | — | | 11,677 | | — | |
Receivable for capital shares issued | | 40,127 | | 1,177 | | — | |
Receivable for securities lending income | | 4,778 | | — | | — | |
Unrealized appreciation on swap agreements | | — | | — | | 71,809 | |
Prepaid expenses and other assets | | 5,731 | | 457 | | 2,200 | |
Total Assets | | 46,511,143 | | 1,744,435 | | 26,098,264 | |
Liabilities: | | | | | | | |
Payable for investments purchased | | 559,985 | | — | | — | |
Unrealized depreciation on swap agreements | | — | | — | | 2,675,498 | |
Upon return of securities loaned | | 696,950 | | — | | — | |
Accrued expenses: | | | | | | | |
Advisory | | 13,657 | | — | | 7,828 | |
Administration | | 4,725 | | 1,000 | | 2,691 | |
Custodian | | 6,502 | | 2,500 | | 200 | |
Fund accounting | | 3,007 | | 2,352 | | 2,207 | |
Legal and audit | | 6,725 | | 9,233 | | 8,175 | |
Printing | | 500 | | 5,141 | | 5,107 | |
Trustee | | 2,419 | | 793 | | 720 | |
Other | | 121 | | 111 | | 302 | |
Total Liabilities | | 1,294,591 | | 21,130 | | 2,702,728 | |
Net Assets | | $45,216,552 | | $1,723,305 | | $23,395,536 | |
Net Assets consist of: | | | | | | | |
Paid in Capital | | $49,494,887 | | $3,063,579 | | $16,587,130 | |
Total Distributable Earnings/(Deficit) | | (4,278,335 | ) | (1,340,274 | ) | 6,808,406 | |
Net Assets | | $45,216,552 | | $1,723,305 | | $23,395,536 | |
| | | | | | | |
Net Assets: | | $45,216,552 | | $1,723,305 | | $23,395,536 | |
Shares of Beneficial Interest Outstanding | | | | | | | |
(unlimited number of shares authorized, no par value): | | 1,625,000 | | 125,000 | | 650,000 | |
Net Asset Value (offering and redemption price per share): | | $27.83 | | $13.79 | | $35.99 | |
(a) Includes securities on loan of $681,575.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 15
| | The SPAC | | The | | The Short | |
Investment Income: | | | | | | | |
Interest income | | $93 | | $— | | $— | |
Securities lending income | | 32,011 | | 5,787 | | — | |
Total Investment Income | | 32,104 | | 5,787 | | — | |
Expenses: | | | | | | | |
Advisory | | 265,811 | | 6,653 | | 107,534 | |
Administration | | 38,431 | | 6,500 | | 14,338 | |
Compliance services | | 373 | | 373 | | 373 | |
Custodian | | 13,432 | | 4,116 | | 653 | |
Exchange listing fee | | 2,800 | | 2,800 | | 2,800 | |
Fund accounting | | 19,670 | | 12,329 | | 14,097 | |
Legal and audit | | 14,245 | | 9,163 | | 14,373 | |
Printing | | 8,548 | | 3,517 | | 3,506 | |
Treasurer | | 225 | | 150 | | 225 | |
Trustee | | 4,418 | | 1,593 | | 1,520 | |
Other | | 9,200 | | 5,270 | | 6,071 | |
Total Expenses before fee reductions | | 377,153 | | 52,464 | | 165,490 | |
Expenses contractually waived and/or reimbursed by the Advisor | | (73,958 | ) | (45,821 | ) | (51,901 | ) |
Total Net Expenses | | 303,195 | | 6,643 | | 113,589 | |
Net Investment Income (Loss) | | (271,091 | ) | (856 | ) | (113,589 | ) |
Realized and Unrealized Gains (Losses) from Investments: | | | | | | | |
Net realized gains (losses) from investment transactions | | (889,950 | ) | (1,124,679 | ) | — | |
Net realized gains (losses) from in-kind transactions | | (1,636,301 | ) | 139,712 | | — | |
Net realized gains (losses) from swap transactions | | — | | — | | 9,425,336 | |
Change in unrealized appreciation/(depreciation) on investments | | 1,525,292 | | (74,225 | ) | — | |
Change in unrealized appreciation/(depreciation) on swap agreements | | — | | — | | (3,446,191 | ) |
Net Realized and Unrealized Gains (Losses) from Investments: | | (1,000,959 | ) | (1,059,192 | ) | 5,979,145 | |
Change in Net Assets Resulting From Operations | | $(1,272,050 | ) | $(1,060,048 | ) | $5,865,556 | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 16
| | The SPAC and | | The De-SPAC ETF |
| ||||
| | Six Months | | For the period | | Six Months | | For the period | |
From Investment Activities: | | | | | | | | | |
Operations: | | | | | | | | | |
Net investment income (loss) | | $(271,091 | ) | $(777,532 | ) | $(856 | ) | $1,932 | |
Net realized gains (losses) from investment transactions | | (2,526,251 | ) | 28,892 | | (984,967 | ) | (67,436 | ) |
Change in unrealized appreciation/(depreciation) on investments | | 1,525,292 | | (2,591,582 | ) | (74,225 | ) | (115,394 | ) |
Change in net assets resulting from operations | | (1,272,050 | ) | (3,340,222 | ) | (1,060,048 | ) | (180,898 | ) |
Distributions to Shareholders From: | | | | | | | | | |
Earnings | | (813,499 | ) | — | | (3,048 | ) | (2,710 | ) |
Change in net assets from distributions | | (813,499 | ) | — | | (3,048 | ) | (2,710 | ) |
Capital Transactions: | | | | | | | | | |
Proceeds from shares issued | | 757,740 | | 235,054,636 | | 4,442,114 | | 4,267,772 | |
Cost of shares redeemed | | (38,899,399 | ) | (146,270,654 | ) | (3,884,225 | ) | (1,855,652 | ) |
Change in net assets from capital transactions | | (38,141,659 | ) | 88,783,982 | | 557,889 | | 2,412,120 | |
Change in net assets | | (40,227,208 | ) | 85,443,760 | | (505,207 | ) | 2,228,512 | |
Net Assets: | | | | | | | | | |
Beginning of period | | 85,443,760 | | — | | 2,228,512 | | — | |
End of period | | $45,216,552 | | $85,443,760 | | $1,723,305 | | $2,228,512 | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 17
Statements of Changes in Net Assets (continued)
| | The SPAC and | | The De-SPAC ETF |
| ||||
| | Six Months | | For the period | | Six Months | | For the period | |
Share Transactions: | | | | | | | | | |
Issued | | 25,000 | | 7,950,000 | | 250,000 | | 175,000 | |
Redeemed | | (1,375,000 | ) | (4,975,000 | ) | (225,000 | ) | (75,000 | ) |
Change in shares | | (1,350,000 | ) | 2,975,000 | | 25,000 | | 100,000 | |
(a) Commencement of operations.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 18
Statements of Changes in Net Assets (continued)
| | The Short De-SPAC ETF |
| ||
|
| Six Months |
| For the period | |
From Investment Activities: | | | | | |
Operations: | | | | | |
Net investment income (loss) | | $(113,589 | ) | $(56,457 | ) |
Net realized gains (losses) from investment transactions | | 9,425,336 | | 156,805 | |
Change in unrealized appreciation/(depreciation) on investments | | (3,446,191 | ) | 842,502 | |
Change in net assets resulting from operations | | 5,865,556 | | 942,850 | |
Capital Transactions: | | | | | |
Proceeds from shares issued | | 22,391,426 | | 29,854,425 | |
Cost of shares redeemed | | (24,696,466 | ) | (10,962,255 | ) |
Change in net assets from capital transactions | | (2,305,040 | ) | 18,892,170 | |
Change in net assets | | 3,560,516 | | 19,835,020 | |
Net Assets: | | | | | |
Beginning of period | | 19,835,020 | | — | |
End of period | | $23,395,536 | | $19,835,020 | |
Share Transactions: | | | | | |
Issued | | 675,000 | | 1,150,000 | |
Redeemed | | (725,000 | ) | (450,000 | ) |
Change in shares | | (50,000 | ) | 700,000 | |
(a) Commencement of operations.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 19
The SPAC and New Issue ETF | | Six Months | | December 15, | |
Net Asset Value, Beginning of Period | | $28.72 | | $25.00 | |
| |||||
Net Investment Income (Loss) | | (0.12 | )(b) | (0.26 | ) |
Net Realized and Unrealized Gains (Losses) from Investments | | (0.41 | ) | 3.98 | (c) |
Total from Investment Activities | | (0.53 | ) | 3.72 | |
| |||||
Distributions from Net Investment Income | | (0.36 | ) | — | |
Distributions from Net Realized Gains from Investments | | — | | — | |
Total Distributions | | (0.36 | ) | — | |
| |||||
Net Asset Value, End of Period | | $27.83 | | $28.72 | |
Net Assets at End of Period (000’s) | | $45,217 | | $85,444 | |
| |||||
Total Return at NAV(d)(e) | | (1.88)% | | 14.88% | |
Total Return at Market(e)(f) | | (2.04)% | | 14.96% | |
| |||||
Ratio of Net Expenses to Average Net Assets(g) | | 0.95% | | 0.95% | |
Ratio of Gross Expenses to Average Net Assets(g)(h) | | 1.18% | | 1.13% | |
Ratio of Net Investment Income (Loss) to Average Net Assets(g) | | (0.85)% | | (0.90)% | |
Portfolio Turnover(e)(i) | | 30% | | 124% | |
(a) Commencement of operations.
(b) Calculated based on average shares method.
(c) Realized and unrealized gains per share are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not accord with the aggregate gains and losses in the Statement of Operations due to share transactions for the period.
(d) 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.
(e) Not annualized for periods less than one year.
(f) 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., Nasdaq) 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.
(g) Annualized for periods less than one year.
(h) If applicable, certain fees were waived and/or reimbursed. If such waivers/reimbursements had not occurred, the ratios would have been as indicated.
(i) Excludes the impact of in-kind transactions.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 20
Financial Highlights (continued)
The De-SPAC ETF | | Six Months | | May 18, | |
Net Asset Value, Beginning of Period | | $22.29 |
| $25.00 | |
| |||||
Net Investment Income (Loss) | | (0.01 | )(b) | 0.01 | |
Net Realized and Unrealized Gains (Losses) from Investments | | (8.43 | ) | (2.70 | ) |
Total from Investment Activities | | (8.44 | ) | (2.69 | ) |
| |||||
Distributions from Net Investment Income | | (0.06 | ) | (0.02 | ) |
Distributions from Net Realized Gains from Investments | | — |
| — | |
Total Distributions | | (0.06 | ) | (0.02 | ) |
| |||||
Net Asset Value, End of Period | | $13.79 |
| $22.29 | |
Net Assets at End of Period (000’s) | | $1,723 |
| $2,229 | |
| |||||
Total Return at NAV(c)(d) | | (37.94)% | | (10.79)% | |
Total Return at Market(d)(e) | | (38.00)% | | (10.69)% | |
| |||||
Ratio of Net Expenses to Average Net Assets(f) | | 0.75% | | 0.75% | |
Ratio of Gross Expenses to Average Net Assets(f)(g) | | 5.92% | | 5.93% | |
Ratio of Net Investment Income (Loss) to Average Net Assets(f) | | (0.10)% | | 0.19% | |
Portfolio Turnover(d)(h) | | 85% | | 44% | |
(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., Nasdaq Inc.) 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) If applicable, certain fees were waived and/or reimbursed. If such waivers/reimbursements had not occurred, the ratios would have been as indicated.
(h) Excludes the impact of in-kind transactions.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 21
Financial Highlights (continued)
The Short De-SPAC ETF | | Six Months | | May 17, | |
Net Asset Value, Beginning of Period | | $28.34 |
| $30.00 | |
| |||||
Net Investment Income (Loss) | | (0.16 | )(b) | (0.08 | ) |
Net Realized and Unrealized Gains (Losses) from Investments | | 7.81 |
| (1.58 | ) |
Total from Investment Activities | | 7.65 |
| (1.66 | ) |
| |||||
Distributions from Net Investment Income | | — | | — | |
Distributions from Net Realized Gains from Investments | | — |
| — | |
Total Distributions | | — |
| — | |
| |||||
Net Asset Value, End of Period | | $35.99 |
| $28.34 | |
Net Assets at End of Period (000’s) | | $23,396 |
| $19,835 | |
| | | | | |
Total Return at NAV(c)(d) | | 27.02% | | (5.55)% | |
Total Return at Market(d)(e) | | 26.44% | | (5.57)% | |
| |||||
Ratio of Net Expenses to Average Net Assets(f) | | 0.95% | | 0.95% | |
Ratio of Gross Expenses to Average Net Assets(f)(g) | | 1.39% | | 1.89% | |
Ratio of Net Investment Income (Loss) to Average Net Assets(f) | | (0.95)% | | (0.95)% | |
Portfolio Turnover(d)(h) | | —% | | —% | |
(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.
(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., Nasdaq Inc.) 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) If applicable, certain fees were waived and/or reimbursed. If such waivers/reimbursements had not occurred, the ratios would have been as indicated.
(h) Excludes the impact of in-kind transactions.
Semi-Annual Shareholder Report | 22
(1) Organization
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 The SPAC and New Issue ETF, The De-SPAC ETF, and The Short De-SPAC ETF (the “Funds”). The SPAC and New Issue ETF is a diversified exchange-traded fund whose investment objective is to seek to provide total return. The De-SPAC ETF is an exchange-traded fund whose investment objective is to provide results that correspond to the performance of the De-SPAC Index (the “Index”). The Short De-SPAC ETF is an exchange-traded fund whose investment objective is to provide inverse results of the Index. 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.
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 Nasdaq Stock Exchange (“NASDAQ”). 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 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 Foreside Fund Services, LLC (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 a Fund.
Semi-Annual Shareholder Report | 23
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
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 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 value their 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.).
Semi-Annual Shareholder Report | 24
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
• Level 3 - Significant unobservable pricing inputs at the measurement date (including the Funds’ own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.
Swaps are priced daily based on the underlying index and are typically categorized as Level 2 in the fair value hierarchy.
Common stocks, closed-end funds, 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 following table provides the fair value measurement as of March 31, 2022, while the breakdown, by category, of investments is disclosed in the Portfolio of Investments for each Fund:
| | Level 1 | | Level 2 | | Level 3 | | Total Investments | |
The SPAC and New Issue ETF | | | | | | | | | |
Common Stocks(1) | | $37,317,988 | | $— | | $— | | $37,317,988 | |
Private Investments | | — | | — | | 4,940,336 | | 4,940,336 | |
Private Investment in Public Equity | | — | | 572,000 | | — | | 572,000 | |
Private Investment in Warrants | | — | | — | | 108,833 | | 108,833 | |
Rights | | 27,839 | | — | | — | | 27,839 | |
Warrants | | 508,064 | | — | | — | | 508,064 | |
Total Investments | | $37,853,891 | | $572,000 | | $5,049,169 | | $43,475,060 | |
The De-SPAC ETF | | | | | | | | | |
Common Stocks(1) | | $1,720,399 | | $— | | $— | | $1,720,399 | |
Total Investments | | $1,720,399 | | $— | | $— | | $1,720,399 | |
The Short De-SPAC ETF | | | | | | | | | |
Other Financial Instruments(2) | | | | | | | | | |
Swap Agreements | | $— | | $(2,603,689 | ) | $— | | $(2,603,689 | ) |
Total Investments | | $— | | $(2,603,689 | ) | $— | | $(2,603,689 | ) |
(1) Please see the Portfolio of Investments for industry classifications.
(2) Other financial instruments include derivative instruments, such as swap agreements, which are valued at fair value.
Semi-Annual Shareholder Report | 25
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
The following table is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value.
| The SPAC and New Issue ETF | |
Balance as of September 30, 2021 | $6,663,125 | |
Purchases During the Period | — | |
Change in Unrealized Appreciation/(Depreciation) | (1,040,852 | ) |
Sales During the Period | (1,104 | ) |
Realized Gains (Losses) | — | |
Transfers In/(Out) of Level 3 | (572,000 | ) |
Balance as of March 31, 2022 | $5,049,169 | |
The total change in unrealized appreciation/(depreciation) attributable to Level 3 investments shown above is included in the Statements of Operations for the period ended March 31, 2022.
The Funds recognize transfers between fair value hierarchy levels at the reporting period end. There were transfers from Level 3 to Level 2 in The SPAC and New Issue ETF as of March 31, 2022 related to a security that had previously had a trading restriction.
The following is a summary of quantitative information about significant unobservable valuation inputs approved by the Fair Value Committee in accordance with procedures adopted by the Board for Level 3 Fair Value Measurements for investments held at March 31, 2022.
Type of Assets | Fair Value at March 31, 2022 | Valuation Techniques | Unobservable Input(s) | Discount |
SPAC Founder Shares, Private Placement Units and Warrant | $5,049,169 | Market | Discount for | 20% |
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, less foreign tax withholding, if any, are recorded on the ex-dividend date. Investment income from non-U.S. sources received by a Fund is 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 Funds may be subject to foreign taxes on gains in investments or currency repatriation. The Funds accrue such taxes,
Semi-Annual Shareholder Report | 26
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
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 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 its shareholders any 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 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.
Semi-Annual Shareholder Report | 27
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
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 their 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 SPAC and New Issue ETF has securities on loan of $681,575, accounted for as secured borrowings with cash collateral of overnight and continuous maturities in the amount of $696,950 as of March 31, 2022.
G. Derivative Instruments:
All open derivative positions at period end are reflected on each Fund’s Portfolio of Investments. The following is a description of the derivative instruments utilized by the Funds, including the primary underlying risk exposure related to each instrument type.
Swap Agreements
The SPAC and New Issue ETF and The Short De-SPAC ETF may enter into swap agreements (“swaps”) in an attempt to obtain a particular desired return at a lower cost to the Fund than if it had been invested directly in an instrument that yielded that desired return. Swap agreements are two-party contracts entered into primarily by institutional investors for periods ranging from a few weeks to more than one year. In a standard swap transaction, two parties agree to exchange the returns (or differentials in rates of returns) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount,” i.e., the return on or increase in value of a particular dollar amount invested in a “basket” of securities representing a particular index. The “notional amount” of the swap agreement is only a fictive basis on which to calculate the obligations the parties to a swap agreement have agreed to exchange. The Fund’s obligations (or rights) under a swap agreement will generally be equal only to the amount to be paid or received under the agreement based on the relative values of the positions held by each party to the agreement (the “net amount”).
Total Return Swaps
The SPAC and New Issue ETF and The Short De-SPAC ETF may enter into total return swaps to gain or mitigate exposure to the underlying securities or indices. In “long” total return swaps, the counterparty will generally agree to pay the Fund the amount, if any, by which the notional amount of the swaps would
Semi-Annual Shareholder Report | 28
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
have increased in value had it been invested in the particular instruments, plus an amount equal to any dividends or interest that would have been received on those instruments. Each Fund will agree to pay to the counterparty an amount equal to a fixed or floating rate of interest on the notional amount of the swaps plus the amount, if any, by which the notional amount would have decreased in value had it been invested in such instruments plus, in certain instances, commissions or trading spreads on the notional amount. Total return swaps do not involve the delivery of securities or other underlying instruments. Until a total return swap is settled in cash, the gain or loss on the notional amount plus dividends or interest on the instruments less the interest paid by the Fund on the notional amount is recorded as “unrealized appreciation or depreciation on swap agreements” and, when cash is exchanged, the gain or loss realized is recorded as “realized gains or losses from swap transactions.” Each Fund may enter into total return swaps that provide the opposite return of its benchmark index or security (“short” the index or security). Its operations are similar to those swaps disclosed above except that the counterparty pays interest to the Fund on the notional amount outstanding and that dividends or interest on the underlying instruments reduce the value of the swaps plus, in certain instances, the Fund will agree to pay to the counterparty commissions or trading spreads on the notional amount. These amounts are netted against any unrealized appreciation or depreciation to determine the value of the swaps.
The primary risks associated with the use of swaps are an imperfect correlation between the prices of financial instruments and movements in the prices of the underlying investments and the inability of counterparties to perform under the agreement. The counterparty to any swap agreement will typically be a bank, investment banking firm or broker-dealer. Each Fund will bear the counterparty risk, i.e., the risk of loss of the net amount, if any, expected to be received under a swap in the event of the default or bankruptcy of the swap counterparty. The notional value of the swap agreements outstanding as of March 31, 2022, and the monthly average notional amount for the period ended March 31, 2022 were as follows:
| Outstanding Notional Amount | | Monthly Average Notional Amount |
Swap Agreements: | | | |
The Short De-SPAC ETF | $20,798,253 | | $25,569,711 |
The Short De-SPAC ETF has entered into master netting arrangements, established within the International Swap Dealers Association, Inc. master agreement, which allows the Fund to make (or to have an entitlement to receive) a single net payment in the event of default (closeout netting) for outstanding payables and receivables for certain positions for each individual counterparty. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting
Semi-Annual Shareholder Report | 29
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
agreements do not apply to amounts owed to/from different counterparties. The amounts shown in the Statements of Assets and Liabilities do not take into consideration the effects of legally enforceable master netting agreements and, for financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to master netting arrangements in the Statements of Assets and Liabilities.
As of March 31, 2022, the Fund’s derivative assets and liabilities by type were as follows:
| Assets | | Liabilities |
Derivative Financial Instruments: | | | |
Swap agreements | $71,809 | | $2,675,498 |
Total derivative assets and liabilities in the Statement of Assets and Liabilities | 71,809 | | 2,675,498 |
Derivatives not subject to a master netting agreement or similar agreement (“MNA”) | — | | — |
Total assets and liabilities subject to a MNA | $71,809 | | $2,675,498 |
The following table presents the Fund’s derivative liabilities by counterparty net of amounts available for offset under MNA and net of the related collateral as of March 31, 2022:
Counterparty | Derivative Assets Subject to a MNA by Counterparty |
| Derivatives Available |
| Non-cash Collateral Received(1) |
| Cash Collateral Received(1) |
| Net Amount of Derivative Assets |
Cowen | $71,809 | | $(71,809) | | $— | | $— | | $— |
Total | $71,809 | | $(71,809) | | $— | | $— | | $— |
Counterparty | Derivative Liabilities Subject to a MNA by Counterparty |
| Derivatives Available |
| Non-cash Collateral Pledged(1) |
| Cash Collateral Pledged(1) |
| Net Amount of Derivative Liabilities |
Cowen | $2,675,498 | | $(71,809) | | $— | | $(2,603,689) | | $— |
Total | $2,675,498 | | $(71,809) | | $— | | $(2,603,689) | | $— |
(1) The actual collateral received or pledged may be in excess of the amounts shown in the table. The table only reflects collateral amounts up to the amount of the financial instrument disclosed on the Statement of Assets and Liabilities.
Semi-Annual Shareholder Report | 30
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
Summary of Derivative Instruments:
The following is a summary of the fair value of derivative instruments on the Statements of Assets and Liabilities, categorized by risk exposure, as of March 31, 2022:
| Assets |
| Liabilities |
Fund | Unrealized Appreciation on Swap Agreements |
| Unrealized Depreciation on Swap Agreements |
Equity Swap Risk Exposure | | | |
The Short De-SPAC ETF | $71,809 | | $2,675,498 |
The following is a summary of the effect of derivative instruments on the Statements of Operations, categorized by risk exposure, as of March 31, 2022:
Fund | Net Realized Gains (Losses) from Swap Agreements |
| Net Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized as a Result from Operations Swap Agreements |
Equity Swap Risk Exposure | | | |
The Short De-SPAC ETF | $9,425,336 | | $(3,446,191) |
(3) Investment Advisory and Other Contractual Services
A. Investment Advisory Fees
Tuttle Capital Management, 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. Each Fund pays the Advisor a management fee, based on a percentage of each Fund’s average daily net assets, which is calculated daily and paid monthly.
Fund | Management |
The SPAC and New Issue ETF | 0.83% |
The De-SPAC ETF | 0.75% |
The Short De-SPAC ETF | 0.90% |
The Advisor has contractually agreed to reduce its fees and/or reimburse the expenses for the Funds (excluding front-end or contingent deferred loads, brokerage fees and commissions, acquired fund fees and expenses, fees and expenses associated with instruments in other collective investment vehicles
Semi-Annual Shareholder Report | 31
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
or derivative instruments (including for example options and swap fees and expenses), borrowing costs (such as interest and dividend expense on securities sold short), taxes, other fees related to underlying investments (such as option fees and expenses or swap fees and expenses), or extraordinary expenses such as litigation (which may include indemnification of Fund officers and Trustees or contractual indemnification of Fund Service providers (other than the Advisor)) in order to ensure that net annual fund operating expenses will not exceed a specific percentage of each Fund’s average daily net assets (“Expense Cap”). For The SPAC and New Issue ETF, the term “Operating Expenses” with respect to the Fund, is defined to include all expenses necessary or appropriate for the operation of the Fund and including the Advisor’s investment advisory or management fee detailed in the Investment Advisory Agreement, but does not include any front-end or contingent deferred loads, taxes, leverage interest, borrowing interest, brokerage commissions, expenses incurred in connection with any merger or reorganization, dividend expense on securities sold short, acquired (underlying) fund fees and expenses or extraordinary expenses such as litigation.
The Expense Cap for The SPAC and New Issue ETF and The Short De-SPAC ETF is 0.95%. The Expense Cap for The De-SPAC ETF is 0.75%. These fee waivers and expense reimbursements are subject to possible recoupment from each Fund within the three years of the date on which the waiver or reimbursement occurs, if such recoupment can be achieved within the lesser of the foregoing expense limits or the expense limits in place at the time of recoupment. The Expense Cap will remain in effect for the Funds until at least January 31, 2023. The Expense Cap may be terminated earlier only upon approval by the Board or the Advisor, on 60 days’ written notice to the Advisor. More information about the Funds’ fee waiver and Expense Cap agreement is available in the “Management of the Funds” section of the Funds’ prospectus.
As of March 31, 2022, the Advisor may recoup amounts from the Funds as follows:
| Expires 9/30/2024 | Expires 9/30/2025 | Total | |||
The SPAC and New Issue ETF | $154,955 | | $73,958 | | $228,913 | |
The De-SPAC ETF | 53,929 | | 45,821 | | 99,750 | |
The Short De-SPAC ETF | 55,894 | | 51,901 | | 107,795 | |
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 0.12% of the Funds’ average daily net assets, calculated daily and paid monthly, and is subject to a minimum monthly fee of $1,000 per Fund.
Semi-Annual Shareholder Report | 32
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
C. Distribution and Shareholder Services Fees
Foreside Fund Services, LLC 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.
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 the net assets at month-end and is paid by the Funds on a quarterly basis. During the period ended March 31, 2022, the Funds paid a total of $600 to the Treasurer.
F. General
Certain trustees and officers of the Trust are officers, directors and/or trustees of the above companies, 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 March 31, 2022 were as follows:
Fund | Purchases | Sales | ||
The SPAC and New Issue ETF | $18,577,994 | | $25,194,755 | |
The De-SPAC ETF | 1,754,477 | | 3,234,452 | |
The Short De-SPAC ETF | — | | — | |
Purchases and sales of in-kind transactions for the period ended March 31, 2022 were as follows:
Fund | Purchases | Sales | ||
The SPAC and New Issue ETF | $250,992 | | $31,254,275 | |
The De-SPAC ETF | 4,461,052 | | 2,429,915 | |
The Short De-SPAC ETF | — | | — | |
There were no purchases or sales of U.S. government securities during the period ended March 31, 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.
Semi-Annual Shareholder Report | 33
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
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 may be charged a transaction fee to cover the transfer and other transactional costs it incurs to issue or redeem Creation Units. The standard transaction fee charge is $250.
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.
As of March 31, 2022, there were no unsettled in-kind capital transactions.
(6) 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 a 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 Risk
Overall market risks may also affect the value of the Funds. Factors such as domestic economic growth and market conditions, interest rate levels and political events affect the securities markets. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issue, recessions and depressions, or other events could have a significant impact on the Funds and their investments and could result in increased premiums or discounts to the Funds’ net asset value, and may impair market liquidity, thereby increasing liquidity risk. 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.
An outbreak of infectious respiratory illness caused by a novel coronavirus known as COVID-19 was first detected in China in December 2019 and has now been detected globally. This coronavirus has resulted in travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation
Semi-Annual Shareholder Report | 34
Notes to Financial Statements (continued)March 31, 2022 (Unaudited)
and delivery, prolonged quarantines, cancellations, supply chain disruptions, and lower consumer demand, as well as general concern and uncertainty. The impact of COVID-19, and other infectious illness outbreaks that may arise in the future, could adversely affect the economies of many nations or the entire global economy, individual issuers and capital markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illnesses in emerging market countries may be greater due to generally less established healthcare systems. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The duration of the COVID-19 outbreak and its effects cannot be determined with certainty.
SPAC Risk
The Funds invest in SPACs and companies that have completed an IPO. SPACs are companies that may be unseasoned and lack a trading or operational history, a track record of reporting to investors, and widely available research coverage. A Fund may purchase SPACs through an IPO. IPOs are thus often subject to extreme price volatility and speculative trading. These stocks may have above-average price appreciation in connection with the IPO. In addition, IPOs may share similar illiquidity risks of private equity and venture capital. The free float shares held by the public in an IPO are typically a small percentage of the market capitalization. The ownership of many IPOs often includes large holdings by venture capital and private equity investors who seek to sell their shares in the public market in the months following an IPO when shares restricted by lock-up are released, causing greater volatility and possible downward pressure during the time that locked-up shares are released. Public stockholders of SPACs may not be afforded a meaningful opportunity to vote on a proposed initial business combination because certain stockholders, including stockholders affiliated with the management of the SPAC, may have sufficient voting power, and a financial incentive, to approve such a transaction without support from public stockholders. As a result, a SPAC may complete a business combination even though a majority of its public stockholders do not support such a combination.
(7) Subsequent Events
The Board approved the reorganization of the Funds into a new series of Investment Managers Series Trust II at a meeting held on February 16, 2022. The reorganization is subject to the approval of the Funds’ shareholders. Fund shareholders will receive a combined prospectus/proxy statement with more information regarding the reorganization.
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 March 31, 2022.
Semi-Annual Shareholder Report | 35
PORTFOLIO HOLDINGS
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 1-866-904-0406, free of charge.
PREMIUM/DISCOUNT INFORMATION
The Funds’ websites at http://www.spcxetf.com and http://www.despacetfs.com show the previous day’s closing NAV and closing market price for the Funds’ ETF Shares. The websites also disclose, 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 in each Fund’s investment portfolio are available without charge, upon request, by calling the Funds’ toll-free telephone number 1-866-904-0406. 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 1-866-904-0406 or referring to the SEC’s web site at http://www.sec.gov.
Semi-Annual Shareholder Report | 36
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. |
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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 personal information: | Do we share information? | Can you limit |
For our everyday business purposes - | YES | NO |
For our marketing purposes - to offer our products and services to you. | NO | We don’t share |
For joint marketing with other financial companies. | NO | We don’t share |
For our affiliates’ everyday business purposes - information about your transactions and records. | NO | We don’t share |
Sem-Annual Shareholder Report | 37
Reasons we can share your personal information: | Do we share information? | Can you limit |
For our affiliates’ everyday business purposes - information about your credit worthiness. | NO | We don’t share |
For our affiliates to market to you | NO | We don’t share |
For non-affiliates to market to you | NO | We don’t share |
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. |
Semi-Annual Shareholder Report | 38
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. |
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Investment Advisor
Tuttle Capital Management, LLC
155 Lockwood Rd.
Riverside, CT 06878
Distributor
Foreside Fund Services, LLC
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
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.
5/22
Item 2. Code of Ethics.
(a) As of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s Principal Executive Officer and Principal Financial Officer.
(b) Not applicable.
(c) During the period covered by the report, with respect to the registrant’s code of ethics that applies to its Principal Executive Officer and Principal Financial Officer: there have been no amendments to a provision that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item 2.
(d) During the period covered by the report, with respect to the registrant’s code of ethics that applies to its Principal Executive Officer and Principal Financial Officer: there have been no waivers granted from a provision that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item 2.
(e) Not applicable.
Item 3. Audit Committee Financial Expert.
The registrant’s board of Trustees has determined that Fred Stoleru is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Mr. Stoleru is independent for purposes of this Item 3.
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees billed to the registrant by its principal accountants for the two most recent fiscal years:
Period ended 2022: $ -
(b) Audit-Related Fees billed to the registrant by its principal accountants for the two most recent fiscal years:
Period ended 2022: $ -
(c) Tax Fees billed to the registrant by its principal accountants for the two most recent fiscal years:
Period ended 2022: $ -
Fees for 2021 related to the review of the registrant’s tax returns. Amount requiring approval of the registrant’s audit committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, $0.
(d) All other fees billed to the registrant by its principal accountants for the two most recent fiscal years:
Period Ended 2022: $ -
Amount requiring approval of the registrant’s audit committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, $0 and $0 respectively.
(e)(1) The Registrant’s audit committee has reviewed the scope and plan of the independent public accountants’ annual and interim examinations, approve the services (other than the annual audit) to be performed for the Registrant by the independent public accountants and approve the fees and other compensation payable to the independent accountants.
(f) Not applicable.
(g) Not applicable.
(h) The registrant’s Audit Committee has considered whether the provision of non-audit services that were rendered to registrant’s investment adviser (not including any sub adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provide ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal account’s independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) The schedules of investments are included as part of the report to shareholders filed under Item 1 of this form.
(b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
(a) The registrant’s Principal Executive Officer and Principal Financial Officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act) are effective in design and operation and are sufficient to form the basis of the certifications required by Rule 30a-2 under the Act, based on their evaluation of these disclosure controls and procedures within 90 days of the filing of this report on Form N-CSR.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that have materially affected or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 12. Exhibits.
(a)(1) | The code of ethics that is the subject of the disclosure required by Item 2 is attached hereto. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) are attached hereto. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) are furnished herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Collaborative Investment Series Trust |
By (Signature and Title) | /s/ Gregory Skidmore |
Gregory Skidmore, Trustee, President and Principal Executive Officer of the Trust |
Date | 6/3/2022 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Gregory Skidmore |
Gregory Skidmore, Trustee, President and Principal Executive Officer of the Trust |
Date | 6/3/2022 |
By (Signature and Title) | /s/ Bill McCormick |
Bill McCormick, Treasurer and Principal Financial Officer of the Trust |
Date | 6/4/2022 |