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)
500 Damonte Ranch, Parkway Building 700, Unit 700 Reno, Nevada 89521
(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: September 30
Date of reporting period: September 30, 2023
Item 1. Reports to Stockholders.
Rareview Capital LLC
1980 Festival Plaza Drive, Suite 300
Las Vegas, NV 89135
1-888-783-8637
www.rareviewcapital.com
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)
September 30, 2023
TABLE OF CONTENTS
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Annual Shareholder Report | 1
Management’s Discussion of Fund PerformanceSeptember 30, 2023 (Unaudited)
Rareview Dynamic Fixed Income ETF
WHAT IS THE FUND’S INVESTMENT STRATEGY?
The Fund is an actively managed exchange-traded fund. The Fund seeks to achieve its investment objective principally through investments in closed-end funds. Under normal market conditions, the Fund will invest in fixed income closed-end funds trading at a discount or premium to their underlying net asset value and that pay regular periodic cash distributions.
WHAT CONTRIBUTING FACTORS WERE RESPONSIBLE FOR THE FUND’S RELATIVE PERFORMANCE DURING THE PERIOD?
The Fund underperformed during the period.
The Fund gained 2.59% during the fiscal year ended September 30, 2023. Since its inception on October 20, 2020, through September 30, 2023, the Fund gained 0.10%.
Relative to a 50/50 blend1 of Investment Grade and High Yield credit, the Fund underperformed by 4.61% during the fiscal year ended September 30, 2023, and outperformed 1.99% since inception on October 20, 2020.
Performance was positive as the speed of the Federal Reserve tightening slowed, and longer-term interest rates generally stabilized. The discount-to-Net Asset Value widened in most of the Fund’s closed-end fund holdings as the US Treasury yield curve inverted further and the Federal Reserve raised short-term interest rates, which created higher financing costs for the underlying holdings.
A higher allocation to emerging market fixed income positively contributed to performance. Reduced exposure to more risky fixed income detracted from performance on a relative basis. The risk overlay process positively contributed to performance.
1 Investments cannot be made in an index. Unmanaged index returns do not reflect any fees, expenses, or sales charges. Past performance is no guarantee of future results. The 50/50 blend index consists of 50% ICE BofA 5-10 Year US Corporate Index and 50% iBoxx USD Liquid High Yield Index. The ICE BofA 5-10 Year US Corporate Index tracks the performance of US dollar-denominated investment grade rated corporate debt publicly issued in the US domestic market. The Markit iBoxx USD Liquid High Yield Index consists of liquid USD high yield bonds, selected to provide a balanced representation of the broad USD high yield corporate bond universe.
Annual Shareholder Report | 2
Management’s Discussion of Fund PerformanceSeptember 30, 2023 (Unaudited)
Rareview Tax Advantaged Income ETF
WHAT IS THE FUND’S INVESTMENT STRATEGY?
The Fund is an actively managed exchange-traded fund (ETF). The Fund seeks to achieve its investment objective principally through investments in closed-end funds. Under normal market conditions, the Fund will invest in municipal bond closed-end funds trading at a discount or premium to their underlying net asset value and that pay regular periodic cash distributions.
WHAT CONTRIBUTING FACTORS WERE RESPONSIBLE FOR THE FUND’S RELATIVE PERFORMANCE DURING THE PERIOD?
The Fund underperformed during the period.
The Fund lost 4.84% during the fiscal year ended September 30, 2023. Since its inception on October 20, 2020, though September 30, 2023, the Fund lost 6.99%.
Relative to the Bloomberg Barclays U.S. Municipal Bond Index1, the Fund underperformed by 7.50% during the fiscal year ended September 30, 2023, and 4.77% since inception on October 20, 2020.
A rise in interest rates and higher short-term financing costs detracted from performance. The discount-to-Net Asset Value widened in most of the Fund’s closed-end fund holdings as the US Treasury yield curve inverted further and the Federal Reserve raised short-term interest rates, which created higher financing costs for the underlying holdings. The risk overlay process positively contributed to performance.
1 Investments cannot be made in an index. Unmanaged index returns do not reflect any fees, expenses, or sales charges. Past performance is no guarantee of future results. The Bloomberg Barclays U.S. Municipal Index covers the USD-denominated long-term tax-exempt bond market. The index has four main sectors: state and local general obligation bonds, revenue bonds, insured bonds, and pre-refunded bonds.
Annual Shareholder Report | 3
Management’s Discussion of Fund PerformanceSeptember 30, 2023 (Unaudited)
Rareview Inflation/Deflation Income ETF
WHAT IS THE FUND’S INVESTMENT STRATEGY?
The Fund is an actively managed exchange-traded fund that seeks to achieve its investment objective through investments in inflation-protected U.S. Treasury securities (“TIPS”), exchange traded funds that primarily invest in TIPS, or other U.S. Treasury securities. The Fund seeks to achieve its investment objective over a business cycle which it defines as approximately 60 months. The Adviser invests the Fund’s assets in TIPS or ETFs that primarily invest in TIPS when the Adviser believes the market is in an inflationary environment. The Adviser invests in U.S. Treasury securities when the Adviser believes the market is in a deflationary environment. The Fund will also either invest in a combination of cash, cash equivalents, and exchange traded and over-the-counter fixed income derivatives based on the Adviser’s outlook on current interest rates.
WHAT CONTRIBUTING FACTORS WERE RESPONSIBLE FOR THE FUND’S RELATIVE PERFORMANCE DURING THE PERIOD?
The Fund underperformed during the period.
The Fund lost 11.76% during the fiscal year ended September 30, 2023. Since its inception on January 5, 2022, through September 30, 2023, the Fund lost 11.34%.
Relative to the Bloomberg US Aggregate Bond Index1, the Fund underperformed by 12.40% during the fiscal year ended September 30, 2023, and 3.58% since inception on January 5, 2022.
Fixed income securities holdings positively contributed to performance. The yield curve being deeply inverted for a prolonged period and interest rate strategies related to the Federal Reserve tightening cycle ending detracted from performance.
1 Investments cannot be made in an index. Unmanaged index returns do not reflect any fees, expenses, or sales charges. Past performance is no guarantee of future results. The Bloomberg US Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, US dollar-denominated, fixed-rate taxable bond market. The index includes Treasuries, government-related and corporate securities, MBS (agency fixed-rate pass-throughs), ABS and CMBS (agency and non-agency).
Annual Shareholder Report | 4
Management’s Discussion of Fund PerformanceSeptember 30, 2023 (Unaudited)
Rareview Systematic Equity ETF
WHAT IS THE FUND’S INVESTMENT STRATEGY?
The Fund is an actively managed exchange-traded fund that seeks to achieve its investment objective by investing in exchange traded funds that primarily invest in equity securities of domestic, foreign or emerging market issuers of any market capitalization.
WHAT CONTRIBUTING FACTORS WERE RESPONSIBLE FOR THE FUND’S RELATIVE PERFORMANCE DURING THE PERIOD?
The Fund underperformed during the period.
The Fund gained 3.20% during the fiscal year ended September 30, 2023. Since its inception on January 20, 2022, though September 30, 2023, the Fund gained 0.76%.
Relative to the MSCI ACWI Index1, the Fund underperformed by 18.21% during the fiscal year ended September 30, 2023, and outperformed by 4.18% since inception on January 20, 2022.
The Fund used long-term and short-term behavior models to take long and short positions. The Fund seeks to add value by owning regional markets when expected returns are positive and take defensive positions when expected returns are negative.
The underperformance is mostly the result of the benchmark composition of the MSCI ACWI Index¹. The MSCI ACWI Index¹ is predominantly a large cap index with a measured allocation to emerging markets. The Fund allocates 33% of its exposure to US small caps and emerging markets. Large cap developed markets materially outperformed US small caps and emerging markets.
1 Investments cannot be made in an index. Unmanaged index returns do not reflect any fees, expenses, or sales charges. Past performance is no guarantee of future results. The MSCI All Country World Index (ACWI) is a stock index designed to track broad global equity-market performance. The index comprises the stocks of nearly 3,000 companies from 23 developed countries and 25 emerging markets.
Annual Shareholder Report | 5
INVESTMENT OBJECTIVE
Rareview Dynamic Fixed Income ETF seeks total return with an emphasis on providing current income.
FUND PERFORMANCE | Average Annual | Expense Ratio(a) | |
| 1 Year | Inception (10/20/20) | Total |
Rareview Dynamic Fixed Income ETF (RDFI) - | 2.59% | 0.10% | 3.12% |
Rareview Dynamic Fixed Income ETF (RDFI) - | 2.65% | 0.17% | N/A |
50% ICE BofA 5-10Y US Corp TR USD and 50% Markit | 7.20% | -1.89% | N/A |
Hypothetical Growth of a $10,000 Investment (*)
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represent past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed may be worth more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance information current to the most recent month-end, please call 1-888-783-8637 or visit http://www.rareviewcapital.com.
* The chart represents historical performance of a hypothetical investment of $10,000 in Rareview Dynamic Fixed Income ETF and represents the reinvestment of dividends and capital gains in the Fund.
(a) The total expense ratio reflects the gross expense ratio as reported in the Fund’s Prospectus dated February 1, 2023. Please see the Fund’s most recent prospectus for details. Additional information pertaining to the Fund’s expense ratio as of September 30, 2023 can be found in the Financial Highlights.
(b) Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions, including dividends and return of capital, at net asset value during the period, if any, and redemption on the last day of the period at net asset value. This percentage is not an indication of the performance of a shareholder’s investment in the Fund based on market value due to differences between the market price of the shares and the net asset value per share of the Fund.
Annual Shareholder Report | 6
Fund Performance (continued)September 30, 2023 (Unaudited)
Rareview Dynamic Fixed Income ETF
(c) Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all distributions, including dividends and return of capital, at net asset value during the period, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price from any primary listing market (e.g., Cboe BZX) or participating regional exchanges or markets. The composite closing price is the last reported sale price from any of the eligible sources, regardless of volume and not an average price and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund’s closing price on the listing market.
(d) The ICE BofA 5-10 Year U.S. Corp Index is a subset of ICE BofAML U.S. Corporate Index. It measures market performance of USD-denominated investment grade corporate debt publicly issued in the U.S. domestic market with a remaining term to final maturity between 5 and 10 years. It is market capitalization weighted. Index returns, unlike the Fund’s returns, do not reflect any fees or expenses. Investors cannot invest directly in an index.
(e) The Markit iBoxx USD Liquid High Yield Index consists of liquid USD high yield bonds, selected to provide a balanced representation of the USD high yield corporate bond universe. The indices are an integral part of the global Markit iBoxx index families, which provide the marketplace with accurate and objective indices by which to assess the performance of bond markets and investments. The index is market-value weighted with an issuer cap of 3%. Index returns, unlike the Fund’s returns, do not reflect any fees or expenses. Investors cannot invest directly in an index.
Annual Shareholder Report | 7
Fund PerformanceSeptember 30, 2023 (Unaudited)
Rareview Tax Advantaged Income ETF
INVESTMENT OBJECTIVE
Rareview Tax Advantaged Income ETF seeks total return with an emphasis on providing current income, a substantial portion of which will be exempt from federal income taxes.
FUND PERFORMANCE | Average Annual | Expense Ratio(a) | |
| 1 Year | Inception (10/20/20) | Total |
Rareview Tax Advantaged Income ETF (RTAI) - | -4.84% | -6.99% | 3.02% |
Rareview Tax Advantaged Income ETF (RTAI) - | -4.47% | -6.92% | N/A |
Bloomberg Barclays U.S. Municipal Bond TR USD(d) | 2.66% | -2.22% | N/A |
Hypothetical Growth of a $10,000 Investment (*)
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represent past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed may be worth more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance information current to the most recent month-end, please call 1-888-783-8637 or visit http://www.rareviewcapital.com.
* The chart represents historical performance of a hypothetical investment of $10,000 in Rareview Tax Advantaged Income ETF and represents the reinvestment of dividends and capital gains in the Fund.
(a) The total expense ratio reflects the gross expense ratio as reported in the Fund’s Prospectus dated February 1, 2023. Please see the Fund’s most recent prospectus for details. Additional information pertaining to the Fund’s expense ratio as of September 30, 2023 can be found in the Financial Highlights.
(b) 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.
Annual Shareholder Report | 8
Fund Performance (continued)September 30, 2023 (Unaudited)
Rareview Tax Advantaged Income ETF
(c) 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.
(d) The Bloomberg Barclays U.S. Municipal Bond Index covers the USD-denominated long-term tax exempt bond market. The index has four main sectors: state and local general obligation bonds, revenue bonds, insured bonds and prerefunded bonds. Index returns, unlike the Fund’s returns, do not reflect any fees or expenses. Investors cannot invest directly in an index.
Annual Shareholder Report | 9
Fund PerformanceSeptember 30, 2023 (Unaudited)
Rareview Inflation/Deflation ETF
INVESTMENT OBJECTIVE
Rareview Inflation/Deflation ETF seeks a rate of return that exceeds the rate of inflation over a business cycle.
FUND PERFORMANCE | Average Annual | Expense Ratio(a) | |
| 1 Year | Inception (1/5/22) | Total |
Rareview Inflation/Deflation ETF (FLTN) - | -11.76% | -11.34% | 1.94% |
Rareview Inflation/Deflation ETF (FLTN) - | -11.40% | -11.12% | N/A |
Bloomberg U.S. Aggregate Bond Index(d) | 0.64% | -7.76% | N/A |
Hypothetical Growth of a $10,000 Investment (*)
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represent past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed may be worth more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance information current to the most recent month-end, please call 1-888-783-8637 or visit http://www.rareviewcapital.com.
* The chart represents historical performance of a hypothetical investment of $10,000 in Rareview Inflation/Deflation ETF and represents the reinvestment of dividends and capital gains in the Fund.
(a) The total expense ratio reflects the gross expense ratio as reported in the Fund’s Prospectus dated February 1, 2023. Please see the Fund’s most recent prospectus for details. Additional information pertaining to the Fund’s expense ratio as of September 30, 2023 can be found in the Financial Highlights.
(b) 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.
Annual Shareholder Report | 10
Fund Performance (continued)September 30, 2023 (Unaudited)
Rareview Inflation/Deflation ETF
(c) 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.
(d) The Bloomberg U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, US dollar-denominated, fixed-rate taxable bond market. The index includes Treasuries, government-related and corporate securities, securities, MBS (agency fixed-rate pass-throughs), ABS and CMBS (agency and non-agency). Index returns, unlike the Fund’s returns, do not reflect any fees or expenses. Investors cannot invest directly in an index.
Annual Shareholder Report | 11
Fund PerformanceSeptember 30, 2023 (Unaudited)
Rareview Systematic Equity ETF
INVESTMENT OBJECTIVE
Rareview Systematic Equity ETF seeks returns that exceed global developed and emerging markets equities
FUND PERFORMANCE | Average Annual | Expense Ratio(a) | |
| 1 Year | Inception (1/20/22) | Total |
Rareview Systematic Equity ETF (RSEE) - | 3.20% | 0.76% | 1.99% |
Rareview Systematic Equity ETF (RSEE) - | 3.14% | 0.75% | N/A |
MSCI ACWI Index(d) | 21.41% | -3.42% | N/A |
Hypothetical Growth of a $10,000 Investment (*)
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represent past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed may be worth more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance information current to the most recent month-end, please call 1-888-783-8637 or visit http://www.rareviewcapital.com.
* The chart represents historical performance of a hypothetical investment of $10,000 in Rareview Systematic Equity ETF and represents the reinvestment of dividends and capital gains in the Fund.
(a) The total expense ratio reflects the gross expense ratio as reported in the Fund’s Prospectus dated February 1, 2023. Please see the Fund’s most recent prospectus for details. Additional information pertaining to the Fund’s expense ratio as of September 30, 2023 can be found in the Financial Highlights.
(b) 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.
Annual Shareholder Report | 12
Fund Performance (continued)September 30, 2023 (Unaudited)
Rareview Systematic Equity ETF
(c) 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.
(d) The MSCI ACWI Index captures large and mid cap representation across 23 Developed Markets (DM) and 24 Emerging Markets (EM) countries. With 2,933 constituents, the index covers approximately 85% of the global investable equity opportunity set. Index returns, unlike the Fund’s returns, do not reflect any fees or expenses. Investors cannot invest directly in an index.
Annual Shareholder Report | 13
As a Fund shareholder, you may incur two types of costs: (1) transaction costs, including commissions on trading, as applicable; and (2) ongoing costs, including advisory fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other funds.
The expense examples below are based on an investment of $1,000 invested at the beginning of the period and held for the six-month period ended September 30, 2023.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Further, the expenses do not include any brokerage commissions on investors’ purchases or redemptions of Fund shares as described in each Fund’s prospectus. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Annual Shareholder Report | 14
Expense Examples (continued)September 30, 2023 (Unaudited)
|
| Beginning |
| Ending |
| Expenses Paid |
| Annualized |
Rareview Dynamic Fixed Income ETF | Actual | $1,000.00 | | $967.20 | | $7.45 | | 1.51% |
| Hypothetical | 1,000.00 | | 1,017.50 | | 7.64 | | 1.51 |
Rareview Tax Advantaged Income ETF | Actual | 1,000.00 | | 875.10 | | 5.88 | | 1.25 |
| Hypothetical | 1,000.00 | | 1,018.80 | | 6.33 | | 1.25 |
Rareview Inflation/Deflation ETF | Actual | 1,000.00 | | 880.80 | | 4.57 | | 0.97 |
| Hypothetical | 1,000.00 | | 1,020.21 | | 4.91 | | 0.97 |
Rareview Systematic Equity ETF | Actual | 1,000.00 | | 993.30 | | 6.75 | | 1.35 |
| Hypothetical | 1,000.00 | | 1,018.30 | | 6.83 | | 1.35 |
(a) Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183/365 (the number of days in the most recent fiscal half year divided by the number of days in the fiscal year).
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 15
Portfolio of Investments Summary Table | Percentage of |
Closed End Funds | 83.5 |
Financials | 4.1 |
Treasury Bill | 12.4 |
Total | 100.0 |
Portfolio holdings and allocations are subject to change. As of September 30, 2023, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund’s total net assets.
Portfolio of Investments
Shares | | | Fair Value ($) | |
Closed End Funds — 80.1% | | | ||
1,155,124 | | Aberdeen Asia-Pacific Income Fund, Inc. | 2,830,054 | |
306,237 | | BlackRock Credit Allocation Income Trust | 2,964,374 | |
150,049 | | BlackRock Income Trust, Inc. | 1,707,558 | |
82,850 | | BlackRock Municipal Income Trust II | 757,249 | |
72,551 | | BlackRock MuniYield Fund, Inc. | 666,018 | |
51,717 | | BlackRock MuniYield Quality Fund, Inc. | 529,065 | |
79,387 | | BlackRock MuniYield Quality Fund III, Inc. | 758,146 | |
42,567 | | First Trust High Yield Opportunities 2027 Term Fund | 566,992 | |
150,418 | | First Trust Intermediate Duration Preferred & Income Fund | 2,241,228 | |
98,718 | | Franklin, Ltd. Duration Income Trust | 601,193 | |
78,653 | | Invesco Municipal Opportunity Trust | 647,314 | |
53,458 | | Invesco Municipal Trust | 445,840 | |
91,716 | | Invesco Quality Municipal Income Trust | 769,497 | |
467,891 | | Morgan Stanley Emerging Markets Domestic Debt | 1,993,216 | |
99,529 | | Nuveen AMT-Free Municipal Credit Income Fund | 1,026,144 | |
122,485 | | Nuveen Municipal Credit Income Fund | 1,277,519 | |
365,637 | | Nuveen Preferred & Income Securities Fund | 2,255,980 | |
91,475 | | Nuveen Quality Municipal Income Fund | 927,556 | |
22,719 | | Nuveen Variable Rate Preferred & Income Fund | 356,007 | |
96,867 | | PGIM Global High Yield Fund, Inc. | 1,044,226 | |
80,730 | | PGIM High Yield Bond Fund, Inc. | 950,999 | |
118,646 | | Templeton Emerging Markets Income Fund | 546,958 | |
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 16
Portfolio of Investments (continued)September 30, 2023
Rareview Dynamic Fixed Income ETF
Shares | | | Fair Value ($) | |
40,127 | | Western Asset Diversified Income Fund | 531,281 | |
294,850 | | Western Asset Emerging Markets Debt Fund, Inc. | 2,447,255 | |
99,465 | | Western Asset High Income Opportunity Fund, Inc. | 362,053 | |
| | | 29,203,722 | |
Total Closed End Funds (Cost $33,778,361) | 29,203,722 | | ||
| | | ||
Common Stock — 3.9% | | | ||
Financials — 3.9% | | | ||
75,647 | | Annaly Capital Management, Inc. | 1,422,920 | |
Total Common Stock (Cost $1,457,839) | 1,422,920 | | ||
| | | ||
Treasury Bill — 11.9% | | | ||
4,350,000 | | United States Treasury Bill, 5.34%, 10/10/2023(a) | 4,344,922 | |
Total Treasury Bill (Cost $4,344,078) | 4,344,922 | | ||
| | | ||
Total Investments — 95.9% (Cost $39,580,278) | 34,971,564 | | ||
Other Assets in Excess of Liabilities — 4.1% | 1,477,203 | | ||
Net Assets — 100.0% | 36,448,767 | |
(a) The rate represents the effective yield at September 30, 2023.
AMT — Alternative Minimum Tax
Futures Contracts
At September 30, 2023, the Fund’s exchange-traded open futures contracts were as follows:
Futures Contracts Purchased
Description |
| Number |
| Expiration |
| Notional |
| Value ($) |
| Unrealized |
Brazil Real Currency Future | | 22 | | 11/01/23 | | 439,614 | | 436,040 | | (3,574) |
Mexican Peso Currency Future | | 16 | | 12/18/23 | | 453,800 | | 453,760 | | (40) |
| | | | | | | | | | (3,614) |
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 17
Portfolio of Investments Summary Table | Percentage of |
Closed End Funds | 100.0 |
Total | 100.0 |
Portfolio holdings and allocations are subject to change. As of September 30, 2023, 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 — 98.7% | | | ||
148,751 | | BlackRock Municipal Income Trust II | 1,359,584 | |
261,672 | | BlackRock MuniYield Fund, Inc. | 2,402,149 | |
132,979 | | BlackRock MuniYield Quality Fund, Inc. | 1,360,375 | |
186,107 | | BlackRock MuniYield Quality Fund III, Inc. | 1,777,322 | |
96,090 | | Invesco Municipal Opportunity Trust | 790,821 | |
190,482 | | Invesco Municipal Trust | 1,588,620 | |
194,064 | | Invesco Quality Municipal Income Trust | 1,628,197 | |
251,417 | | Nuveen AMT-Free Municipal Credit Income Fund | 2,592,109 | |
255,612 | | Nuveen Municipal Credit Income Fund | 2,666,033 | |
247,117 | | Nuveen Quality Municipal Income Fund | 2,505,766 | |
| | | 18,670,976 | |
Total Closed End Funds (Cost $22,444,395) | 18,670,976 | | ||
| | | ||
Total Investments — 98.7% (Cost $22,444,395) | 18,670,976 | | ||
Other Assets in Excess of Liabilities — 1.3% | 253,209 | | ||
Net Assets — 100.0% | 18,924,185 | |
AMT — Alternative Minimum Tax
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 18
Portfolio of Investments Summary Table | Percentage of |
Exchange-Traded Funds | 76.2 |
Options on Futures | 4.1 |
Treasury Bill | 19.7 |
Total | 100.0 |
Portfolio holdings and allocations are subject to change. As of September 30, 2023, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund’s total net assets.
Portfolio of Investments
Shares | | | Fair Value ($) | |
Exchange-Traded Funds — 73.2% | | | ||
61,943 | | iShares MBS ETF(a) | 5,500,538 | |
120,566 | | Vanguard Intermediate-Term Treasury ETF(b) | 6,890,347 | |
19,215 | | Vanguard Short-Term Treasury ETF | 1,106,784 | |
| | | 13,497,669 | |
Total Exchange-Traded Funds (Cost $13,933,630) | 13,497,669 | | ||
| | | ||
Purchased Options on Futures — 3.9%(c) | | | ||
Total Purchased Options on Futures (Cost $695,761) | 716,513 | | ||
| | | ||
Treasury Bill — 19.0% | | | ||
3,500,000 | | United States Treasury Bill, 5.34%, 10/10/2023(d) | 3,495,914 | |
Total Treasury Bill (Cost $3,495,393) | 3,495,914 | | ||
| | | ||
Total Investments — 96.1% (Cost $18,124,784) | 17,710,096 | | ||
Other Assets in Excess of Liabilities — 3.9% | 717,294 | | ||
Net Assets — 100.0% | 18,427,390 | |
(a) As of September 30, 2023, investment is 29.85% of the Fund’s net assets. See Note 8 in the Notes to Financial Statements.
(b) As of September 30, 2023, investment is 37.39% of the Fund’s net assets. See Note 8 in the Notes to Financial Statements.
(c) See Portfolio of Purchased Options.
(d) The rate represents the effective yield at September 30, 2023.
ETF — Exchange-Traded Fund
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 19
Portfolio of Investments (continued)September 30, 2023
Rareview Inflation/Deflation ETF
Futures Contracts
At September 30, 2023, the Fund’s exchange-traded open futures contracts were as follows:
Futures Contracts Purchased
Description |
| Number |
| Expiration Date |
| Notional |
| Value ($) |
| Unrealized |
2 Year US Treasury Note Future | | 337 | | 12/29/23 | | 68,439,171 | | 68,313,586 | | (125,585) |
3 Month SOFR Future | | 304 | | 6/18/24 | | 72,076,582 | | 71,915,000 | | (161,582) |
| | | | | | | | | | (287,167) |
Futures Contracts Sold
Description |
| Number |
| Expiration Date |
| Notional |
| Value ($) |
| Unrealized |
10 Year US Treasury Note Future | | 141 | | 12/19/23 | | 16,030,174 | | 15,730,313 | | 299,861 |
| | | | | | | | | | 299,861 |
Written Options
Exchange-traded options on futures contracts written as of September 30, 2023 were as follows:
Description | Put/Call | Number | Notional Amount (000) | Premiums | Strike Price ($) | Expiration Date | Value ($) |
|
3 Month SOFR Options | Call | 2,123 | 517,481 | 189,089 | 97.50 | 6/14/24 | (225,569 | ) |
(Total Premiums Received $189,089) | | | | (225,569 | ) |
Portfolio of Purchased Options
Exchange-traded options on futures contracts purchased as of September 30, 2023 were as follows:
Description | Put/Call | Number | Notional | Strike Price ($) | Expiration Date | Value ($) |
|
3 Month SOFR Options | Call | 2,123 | 509,520 | 96.00 | 6/14/24 | 716,513 | |
(Total Cost $695,761) - 3.9% | | | | | 716,513 | |
(e) Notional amount is expressed as the number of contracts multiplied by contract size multiplied by the strike price of the underlying asset.
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 20
Portfolio of Investments Summary Table | Percentage of |
Domestic Equity Exchange-Traded Funds | 48.3 |
Developed and Emerging Markets Exchange-Traded Funds | 32.1 |
Treasury Bill | 19.6 |
Total | 100.0 |
Portfolio holdings and allocations are subject to change. As of September 30, 2023, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund’s total net assets.
Portfolio of Investments
Shares | | | Fair Value ($) | |
Exchange-Traded Funds — 71.2% | | | ||
97,963 | | iShares MSCI Emerging Markets ETF | 3,717,696 | |
25,145 | | iShares Russell 2000 ETF | 4,444,127 | |
139,971 | | Vanguard FTSE Developed Markets ETF | 6,119,532 | |
26,304 | | Vanguard S&P 500 ETF(a) | 10,329,581 | |
| | | 24,610,936 | |
Total Exchange-Traded Funds (Cost $23,168,089) | 24,610,936 | | ||
| | | ||
Treasury Bill — 17.4% | | | ||
6,000,000 | | United States Treasury Bill, 5.15%, 10/10/2023(b) | 5,992,996 | |
Total Treasury Bill (Cost $5,992,110) | 5,992,996 | | ||
| | | ||
Total Investments — 88.6% (Cost $29,160,199) | 30,603,932 | | ||
Other Assets in Excess of Liabilities — 11.4% | 3,941,004 | | ||
Net Assets — 100.0% | 34,544,936 | |
(a) As of September 30, 2023, investment is 29.90% of the Fund’s net assets. See Note 8 in the Notes to Financial Statements.
(b) The rate represents the effective yield at September 30, 2023.
ETF — Exchange-Traded Fund
FTSE — Financial Times Stock Exchange
S&P — Standard and Poor’s
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 21
Portfolio of Investments (continued)September 30, 2023
Rareview Systematic Equity ETF
Futures Contracts
At September 30, 2023, the Fund’s exchange-traded open futures contracts were as follows:
Futures Contracts Purchased
Description |
| Number |
| Expiration Date |
| Notional |
| Value ($) |
| Unrealized |
E-mini S&P 500 Index Future | | 43 | | 12/15/23 | | 9,713,135 | | 9,299,825 | | (413,310) |
MSCI EAFE Index Future | | 55 | | 12/15/23 | | 5,818,014 | | 5,614,125 | | (203,889) |
| | | | | | | | | | (617,199) |
Futures Contracts Sold
Description |
| Number |
| Expiration Date |
| Notional |
| Value ($) |
| Unrealized |
E-mini Russell 2000 Index Future | | 72 | | 12/15/23 | | 6,454,654 | | 6,474,960 | | (20,306) |
MSCI Emerging Markets Index Future | | 114 | | 12/15/23 | | 5,467,284 | | 5,446,350 | | 20,934 |
| | | | | | | | | | 628 |
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 22
| Rareview Dynamic Fixed Income ETF |
| Rareview Tax Advantaged Income ETF |
|
Assets: | | | | |
Investments, at value (Cost $39,580,278 and $22,444,395) | $34,971,564 | | $18,670,976 | |
Cash | 287,043 | | 85,961 | |
Deposits at brokers for derivative contracts | 1,079,752 | | 154,272 | |
Dividends and interest receivable | 171,328 | | 61,871 | |
Receivable for investments sold | 666,749 | | 789,804 | |
Receivable for variation margin on futures contracts | 8,340 | | — | |
Prepaid expenses | 436 | | 209 | |
Total Assets | 37,185,212 | | 19,763,093 | |
Liabilities: | | | | |
Payable for investments purchased | 673,675 | | 797,924 | |
Accrued expenses: | | | | |
Advisory | 26,671 | | 7,053 | |
Administration | 5,234 | | 2,787 | |
Custodian | 205 | | 82 | |
Fund accounting | 5,959 | | 6,325 | |
Legal and audit | 19,545 | | 19,545 | |
Trustee | 1,200 | | 1,200 | |
Other | 3,956 | | 3,992 | |
Total Liabilities | 736,445 | | 838,908 | |
Net Assets | $36,448,767 | | $18,924,185 | |
Net Assets consist of: | | | | |
Paid-in Capital | $50,173,342 | | $26,760,133 | |
Total Distributable Earnings (Loss) | (13,724,575 | ) | (7,835,948 | ) |
Net Assets | $36,448,767 | | $18,924,185 | |
| | | | |
Net Assets: | $36,448,767 | | $18,924,185 | |
| | | | |
Shares of Beneficial Interest Outstanding (unlimited number of shares authorized, | 1,730,000 | | 1,045,000 | |
Net Asset Value (offering and redemption | $21.07 | | $18.11 | |
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 23
Statements of Assets and Liabilities (continued)September 30, 2023
| Rareview Inflation/Deflation ETF |
| Rareview Systematic Equity ETF |
|
Assets: | | | | |
Investments, at value (Cost $18,124,784 and $29,160,199) | $17,710,096 | | $30,603,932 | |
Cash | 37,075 | | 302,749 | |
Deposits at brokers for derivative contracts | 1,069,943 | | 3,657,573 | |
Dividends and interest receivable | 5,418 | | 44,462 | |
Receivable for investments sold | 57,118 | | — | |
Receivable for variation margin on futures contracts | 4,979 | | — | |
Prepaid expenses | 216 | | 582 | |
Total Assets | 18,884,845 | | 34,609,298 | |
Liabilities: | | | | |
Payable for investments purchased | 199,770 | | — | |
Payable for variation margin on futures contracts | — | | 7,563 | |
Written options at value (Premiums received $189,089 | 225,569 | | — | |
Accrued expenses: | | | | |
Advisory | 2,366 | | 25,238 | |
Administration | 2,425 | | 4,466 | |
Custodian | 91 | | 57 | |
Fund accounting | 4,652 | | 4,432 | |
Legal and audit | 18,027 | | 17,527 | |
Trustee | 800 | | 1,600 | |
Other | 3,755 | | 3,479 | |
Total Liabilities | 457,455 | | 64,362 | |
Net Assets | $18,427,390 | | $34,544,936 | |
Net Assets consist of: | | | | |
Paid-in Capital | $21,764,092 | | $34,747,745 | |
Total Distributable Earnings (Loss) | (3,336,702) | | (202,809) | |
Net Assets | $18,427,390 | | $34,544,936 | |
| | | | |
Net Assets: | $18,427,390 | | $34,544,936 | |
| | | | |
Shares of Beneficial Interest Outstanding (unlimited number of shares authorized, | 930,000 | | 1,395,000 | |
Net Asset Value (offering and redemption | $19.81 | | $24.76 | |
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 24
| Rareview Dynamic Fixed Income ETF |
| Rareview Tax Advantaged Income ETF |
|
Investment Income: | | | | |
Dividend income | $2,439,079 | | $894,330 | |
Interest income | 99,494 | | 2,986 | |
Total Investment Income | 2,538,573 | | 897,316 | |
Expenses: | | | | |
Advisory | 394,310 | | 150,192 | |
Administration | 69,105 | | 34,043 | |
Compliance services | 9,000 | | 9,000 | |
Custodian | 3,115 | | 628 | |
Fund accounting | 81,558 | | 82,233 | |
Legal and audit | 28,374 | | 27,870 | |
Printing | 8,844 | | 4,386 | |
Treasurer | 2,700 | | 2,475 | |
Trustee | 4,618 | | 4,555 | |
Other | 14,210 | | 13,633 | |
Total Expenses before fee reductions | 615,834 | | 329,015 | |
Expenses contractually waived and/or reimbursed by the Advisor | (6,178 | ) | (78,585 | ) |
Total Net Expenses | 609,656 | | 250,430 | |
Net Investment Income (Loss) | 1,928,917 | | 646,886 | |
Realized and Unrealized Gains (Losses) from Investments: | | | | |
Net realized gains (losses) from investment and foreign currency transactions | 114,704 | | (870,203 | ) |
Net realized gains (losses) from in-kind transactions | 132,206 | | 76,767 | |
Net realized gains (losses) from futures transactions | (875,223 | ) | (77,778 | ) |
Net realized gains (losses) from written options transactions | (2,219,966 | ) | (670,983 | ) |
Change in unrealized appreciation (depreciation) | 2,199,297 | | (41,969 | ) |
Change in unrealized appreciation (depreciation) on futures | (34 | ) | (19,634 | ) |
Net Realized and Unrealized Gains (Losses) from Investments: | (649,016 | ) | (1,603,800 | ) |
Change in Net Assets Resulting From Operations | $1,279,901 | | $(956,914 | ) |
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 25
Statements of Operations (continued)
| Rareview |
| Rareview |
|
Investment Income: | | | | |
Dividend income | $217,472 | | $562,590 | |
Interest income | 286,447 | | 207,455 | |
Total Investment Income | 503,919 | | 770,045 | |
Expenses: | | | | |
Advisory | 120,673 | | 384,177 | |
Administration | 28,102 | | 63,811 | |
Compliance services | 9,000 | | 9,000 | |
Custodian | 1,317 | | 2,003 | |
Fund accounting | 50,465 | | 50,158 | |
Legal and audit | 24,258 | | 28,383 | |
Printing | 4,536 | | 4,746 | |
Treasurer | 1,800 | | 2,700 | |
Trustee | 3,200 | | 6,400 | |
Other | 14,627 | | 14,251 | |
Total Expenses before fee reductions | 257,978 | | 565,629 | |
Expenses contractually waived and/or reimbursed by the Advisor | (101,777 | ) | (102,421 | ) |
Expenses voluntarily waived by the Administrator | (762 | ) | — | |
Total Net Expenses | 155,439 | | 463,208 | |
Net Investment Income (Loss) | 348,480 | | 306,837 | |
Realized and Unrealized Gains (Losses) from Investments: | | | | |
Net realized gains (losses) from investment and foreign currency transactions | (1,384,887 | ) | 859,515 | |
Net realized gains (losses) from in-kind transactions | 5,841 | | 777,701 | |
Net realized gains (losses) from futures transactions | (437,021 | ) | (817,116 | ) |
Net realized gains (losses) from written options transactions | (354,471 | ) | — | |
Change in unrealized appreciation (depreciation) | (81,417 | ) | 1,933,688 | |
Change in unrealized appreciation (depreciation) on futures | (9,394 | ) | (1,896,302 | ) |
Change in unrealized appreciation (depreciation) on | (83,975 | ) | — | |
Net Realized and Unrealized Gains (Losses) | (2,345,324 | ) | 857,486 | |
Change in Net Assets Resulting From Operations | $(1,996,844 | ) | $1,164,323 | |
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 26
| Rareview Dynamic Fixed |
| Rareview Tax Advantaged |
| ||||
| Year Ended |
| Year Ended |
| Year Ended |
| Year Ended |
|
From Investment Activities: | | | | | | | | |
Operations: | | | | | | | | |
Net investment income (loss) | $1,928,917 | | $1,946,261 | | $646,886 | | $625,777 | |
Net realized gains (losses) from investment, foreign currency, in-kind, futures, written options, and securities sold short transactions | (2,848,279 | ) | (6,104,145 | ) | (1,542,197 | ) | (2,753,892 | ) |
Change in unrealized appreciation (depreciation) on investments, futures, and written options | 2,199,263 | | (7,241,725 | ) | (61,603 | ) | (3,819,302 | ) |
Change in net assets resulting from operations | 1,279,901 | | (11,399,609 | ) | (956,914 | ) | (5,947,417 | ) |
Distributions to Shareholders From: | | | | | | |||
Earnings | (2,448,562 | ) | (4,012,196 | ) | (643,292 | ) | (1,138,829 | ) |
Return of Capital | (233,868 | ) | (16,256 | ) | — | | — | |
Change in net assets from distributions | (2,682,430 | ) | (4,028,452 | ) | (643,292 | ) | (1,138,829 | ) |
Capital Transactions: | | | | | | | | |
Proceeds from shares issued | 6,325,740 | | 3,430,569 | | 5,914,412 | (a) | 6,969,624 | |
Cost of shares redeemed | (7,407,949 | ) | (16,832,922 | ) | (1,121,313 | ) | (3,704,339 | ) |
Change in net assets from capital transactions | (1,082,209 | ) | (13,402,353 | ) | 4,793,099 | | 3,265,285 | |
Change in net assets | (2,484,738 | ) | (28,830,414 | ) | 3,192,893 | | (3,820,961 | ) |
Net Assets: | | | | | | | | |
Beginning of period | 38,933,505 | | 67,763,919 | | 15,731,292 | | 19,552,253 | |
End of period | $36,448,767 | | $38,933,505 | | $18,924,185 | | $15,731,292 | |
Share Transactions: | | | | | | | | |
Issued | 285,000 | | 125,000 | | 300,000 | | 250,000 | |
Redeemed | (330,000 | ) | (650,000 | ) | (55,000 | ) | (150,000 | ) |
Change in shares | (45,000 | ) | (525,000 | ) | 245,000 | | 100,000 | |
(a) Includes variable transaction fees of $929 for the year ended September 30, 2023. See Note 5 in Notes to Financial Statements.
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 27
Statements of Changes in Net Assets (continued)
| Rareview Inflation/ |
| Rareview Systematic |
| ||||
| Year Ended |
| For the period |
| Year Ended |
| For the period |
|
From Investment Activities: | | | | | | | | |
Operations: | | | | | | | | |
Net investment income (loss) | $348,480 | | $53,600 | | $306,837 | | $67,460 | |
Net realized gains (losses) from investment, foreign currency, in-kind, futures, and written options transactions | (2,170,538 | ) | (822,711 | ) | 820,100 | | (664,894 | ) |
Change in unrealized appreciation (depreciation) on investments, futures, and written options | (174,786 | ) | (263,688 | ) | 37,386 | | 789,776 | |
Change in net assets resulting from operations | (1,996,844 | ) | (1,032,799 | ) | 1,164,323 | | 192,342 | |
Distributions to Shareholders From: | | | | | | |||
Earnings | (302,428 | ) | (42,306 | ) | (759,704 | ) | — | |
Return of Capital | (8,473 | ) | — | | — | | — | |
Change in net assets from distributions | (310,901 | ) | (42,306 | ) | (759,704 | ) | — | |
Capital Transactions: | | | | | | | | |
Proceeds from shares issued | 10,198,674 | | 14,226,263 | | 22,717,021 | | 25,587,615 | |
Cost of shares redeemed | (1,483,786 | ) | (1,130,911 | ) | (13,728,441 | ) | (628,220 | ) |
Change in net assets from capital transactions | 8,714,888 | | 13,095,352 | | 8,988,580 | | 24,959,395 | |
Change in net assets | 6,407,143 | | 12,020,247 | | 9,393,199 | | 25,151,737 | |
Net Assets: | | | | | | | | |
Beginning of period | 12,020,247 | | — | | 25,151,737 | | — | |
End of period | $18,427,390 | | $12,020,247 | | $34,544,936 | | $25,151,737 | |
Share Transactions: | | | | | | | | |
Issued | 470,000 | | 575,000 | | 920,000 | | 1,050,000 | |
Redeemed | (65,000 | ) | (50,000 | ) | (550,000 | ) | (25,000 | ) |
Change in shares | 405,000 | | 525,000 | | 370,000 | | 1,025,000 | |
(a) Commencement of operations.
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 28
Rareview Dynamic Fixed Income ETF | Year Ended |
| Year Ended |
| October 20, |
|
Net Asset Value, Beginning of Period | $21.93 | | $29.46 | | $25.00 | |
| | | | | | |
Net Investment Income (Loss) | 1.06 | (b) | 0.93 | (b) | 1.21 | |
Net Realized and Unrealized Gains (Losses) | (0.44 | ) | (6.54 | ) | 4.32 | |
Total from Investment Activities | 0.62 | | (5.61 | ) | 5.53 | |
| | | | | | |
Distributions from Net Investment Income | (1.35 | ) | (1.26 | ) | (1.07 | ) |
Distributions from Net Realized Gains on Investments | — | | (0.65 | ) | — | |
Return of Capital | (0.13 | ) | (0.01 | ) | — | |
Total Distributions | (1.48 | ) | (1.92 | ) | (1.07 | ) |
| | | | | | |
Net Asset Value, End of Period | $21.07 | | $21.93 | | $29.46 | |
Net Assets at End of Period (000’s) | $36,449 | | $38,934 | | $67,764 | |
| | | | | | |
Total Return at NAV(c)(d) | 2.59% | | (20.10)% | | 22.35% | |
Total Return at Market(d)(e) | 2.65% | | (20.16)% | | 22.63% | |
| | | | | | |
Ratio of Net Expenses to Average Net Assets(f)(g) | 1.50% | | 1.47% | | 1.50% | |
Ratio of Gross Expenses to Average Net Assets(f)(g)(h) | 1.52% | | 1.38% | | 1.70% | |
Ratio of Net Investment Income (Loss) to Average | 4.75% | | 3.57% | | 5.11% | |
Portfolio Turnover(d)(j) | 128% | | 132% | | 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) 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.
Annual Shareholder Report | 29
Financial Highlights (continued)
Rareview Tax Advantaged Income ETF | Year Ended |
| Year Ended |
| October 20, |
|
Net Asset Value, Beginning of Period | $19.66 | | $27.93 | | $25.00 | |
| | | | | | |
Net Investment Income (Loss) | 0.65 | (b) | 0.78 | (b) | 0.72 | |
Net Realized and Unrealized Gains (Losses) | (1.54 | ) | (7.72 | ) | 2.88 | |
Total from Investment Activities | (0.89 | ) | (6.94 | ) | 3.60 | |
| ||||||
Distributions from Net Investment Income | (0.66 | ) | (0.76 | ) | (0.67 | ) |
Distributions from Net Realized Gains on Investments | — | | (0.57 | ) | — | |
Total Distributions | (0.66 | ) | (1.33 | ) | (0.67 | ) |
| ||||||
Capital Share Transaction Fees | 0.00 | (c) | — | | — | |
| ||||||
Net Asset Value, End of Period | $18.11 | | $19.66 | | $27.93 | |
Net Assets at End of Period (000’s) | $18,924 | | $15,731 | | $19,552 | |
| ||||||
Total Return at NAV(d)(e) | (4.84)% | | (25.86)% | | 14.49% | |
Total Return at Market(e)(f) | (4.47)% | | (26.20)% | | 14.81% | |
| ||||||
Ratio of Net Expenses to Average Net Assets(g)(h) | 1.25% | | 1.25% | | 1.25% | |
Ratio of Gross Expenses to Average Net Assets(g)(h)(i) | 1.64% | | 1.51% | | 2.03% | |
Ratio of Net Investment Income (Loss) to Average | 3.23% | | 3.20% | | 2.94% | |
Portfolio Turnover(e)(k) | 31% | (l) | 65% | | 78% | |
(a) Commencement of operations.
(b) Calculated based on average shares method.
(c) Less than $0.005.
(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., 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
(g) Annualized for periods less than one year.
(h) Excludes expenses of the investment companies in which the Fund invests.
(i) If applicable, certain fees were waived and/or reimbursed. If such waivers/reimbursements had not occurred, the ratio would have been as indicated.
(j) 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.
(k) Excludes the impact of in-kind transactions.
(l) Portfolio Turnover decreased significantly this year as the variance of municipal bond closed-end funds discount-to-NAV and yield differentials were very low, so therefore tactical rotation for discount-to-NAV capture was less opportunistic during the period.
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 30
Financial Highlights (continued)
Rareview Inflation/Deflation ETF | Year Ended |
| January 5, 2022(a) |
|
Net Asset Value, Beginning of Period | $22.90 | | $25.00 | |
| | | | |
Net Investment Income (Loss)(b) | 0.46 | | 0.15 | |
Net Realized and Unrealized Gains (Losses) on Investments | (3.12 | ) | (2.14 | ) |
Total from Investment Activities | (2.66 | ) | (1.99 | ) |
| | | | |
Distributions from Net Investment Income | (0.42 | ) | (0.11 | ) |
Distributions from Net Realized Gains on Investments | — | | — | |
Return of Capital | (0.01 | ) | — | |
Total Distributions | (0.43 | ) | (0.11 | ) |
| | | | |
Net Asset Value, End of Period | $19.81 | | $22.90 | |
Net Assets at End of Period (000’s) | $18,427 | | $12,020 | |
| | | | |
Total Return at NAV(c)(d) | (11.76)% | | (8.02)% | |
Total Return at Market(d)(e) | (11.40)% | | (8.00)% | |
| | | | |
Ratio of Net Expenses to Average Net Assets(f)(g) | 0.94% | | 0.87% | (h) |
Ratio of Gross Expenses to Average Net Assets(f)(g)(j) | 1.56% | | 1.92% | (i) |
Ratio of Net Investment Income (Loss) to Average Net Assets(f)(k) | 2.11% | | 0.84% | |
Portfolio Turnover(d)(l) | 346% | | 390% | |
(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) The ratio of net expenses to average net assets would have been 0.88% had certain expenses not been voluntarily waived for the period ended September 30, 2022.
(i) The ratio of gross expenses to average net assets would have been 1.93% had certain expenses not been voluntarily waived for the period ended September 30, 2022.
(j) If applicable, certain fees were waived and/or reimbursed. If such waivers/reimbursements had not occurred, the ratio would have been as indicated.
(k) 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.
(l) Excludes the impact of in-kind transactions.
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 31
Financial Highlights (continued)
Rareview Systematic Equity ETF | Year Ended |
| January 20, |
|
Net Asset Value, Beginning of Period | $24.54 | | $25.00 | |
| | | | |
Net Investment Income (Loss)(b) | 0.21 | | 0.11 | |
Net Realized and Unrealized Gains (Losses) on Investments | 0.55 | | (0.57 | )(c) |
Total from Investment Activities | 0.76 | | (0.46 | ) |
| | | | |
Distributions from Net Investment Income | (0.12 | ) | — | |
Distributions from Net Realized Gains on Investments | (0.42 | ) | — | |
Total Distributions | (0.54 | ) | — | |
| | | | |
Net Asset Value, End of Period | $24.76 | | $24.54 | |
Net Assets at End of Period (000’s) | $34,545 | | $25,152 | |
| | | | |
Total Return at NAV(d)(e) | 3.20% | | (1.85)% | |
Total Return at Market(e)(f) | 3.14% | | (1.80)% | |
| | | | |
Ratio of Net Expenses to Average Net Assets(g)(h) | 1.23% | | 0.97% | (i) |
Ratio of Gross Expenses to Average Net Assets(g)(h)(k) | 1.51% | | 1.69% | (j) |
Ratio of Net Investment Income (Loss) to Average Net Assets(g)(l) | 0.82% | | 0.66% | |
Portfolio Turnover(e)(m) | 124% | | 237% | |
(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 Statements 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., 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
(g) Annualized for periods less than one year.
(h) Excludes expenses of the investment companies in which the Fund invests.
(i) The ratio of net expenses to average net assets would have been 0.98% had certain expenses not been voluntarily waived for the period ended September 30, 2022.
(j) The ratio of gross expenses to average net assets would have been 1.70% had certain expenses not been voluntarily waived for the period ended September 30, 2022.
(k) If applicable, certain fees were waived and/or reimbursed. If such waivers/reimbursements had not occurred, the ratio would have been as indicated.
(l) 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.
(m) Excludes the impact of in-kind transactions.
Annual Shareholder Report | 32
(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, as amended (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 (each a “Fund” and collectively, the “Funds”). The Funds are diversified actively-managed exchange-traded 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. The Rareview Inflation/Deflation ETF and the Rareview Systematic Equity ETF are commodity pools under the U.S. Commodity Exchange Act and their advisor, Rareview Capital, LLC, is registered as a commodity pool operator with the Commodity Futures Trading Commission.
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 10,000 Shares, called Creation Units (“Creation Units”). Creation Units are issued and redeemed principally in-kind for securities included in a specified universe. Once created, Shares generally trade in the secondary market at market prices that change throughout the day in amounts less than a Creation Unit. Shares of each Fund may only be purchased or redeemed by certain financial institutions (“Authorized Participants”). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with Foreside Fund Services, LLC (the “Distributor”). Most retail investors do not qualify as Authorized Participants nor have the resources to buy and sell
Annual Shareholder Report | 33
Notes to Financial Statements (continued)September 30, 2023
whole Creation Units. Therefore, they are unable to purchase or redeem the shares directly from the Funds.
The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted 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” including, Accounting Standards Update 2013-08. 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 Rule 2a-5 under the 1940 Act pursuant to 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. If market quotations are not readily available, securities will be valued at their fair market as determined using the fair value procedures approved by the Board. The Board has delegated the execution of these procedures to the advisor as fair value designee. 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 uses 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.).
Annual Shareholder Report | 34
Notes to Financial Statements (continued)September 30, 2023
• 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.
Shares of closed-end funds, unlike those of open-end investment companies, are not redeemable by the Funds 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.
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 options 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. If an option is not traded on the valuation date, exchange traded options are valued at the composite price. Composite option pricing calculates the mean of the highest bid price and lowest ask price across the exchanges where the option is traded.
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.
Most securities listed on a foreign exchange are valued at the last sale price at the close of the exchange on which the security is primarily traded. In certain countries, market maker prices are used since they are the most representative of the daily trading activity. In the case of certain foreign exchanges, the closing price reported by the exchange (which may sometimes be referred to by the exchange or one or more pricing agents as the “official close” or the “official closing price” or other similar term) will be considered the most recent sale price. Securities not traded on a particular day are valued at the mean between the last reported bid and asked quotes or the last sale price where appropriate; otherwise, fair value will be determined in accordance with fair value procedures approved by the Board.
Annual Shareholder Report | 35
Notes to Financial Statements (continued)September 30, 2023
The accounting records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the value of investments, assets and liabilities at the close of each business day. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Funds do not isolate the portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments.
The Funds did not hold any Level 3 investments as of September 30, 2023.
The following table provides the fair value measurement as of September 30, 2023, while the breakdown, by category, of investments is disclosed in the Portfolio of Investments for the Fund:
| | | Level 1 | | Level 2 | | Total | |
Rareview Dynamic Fixed Income ETF | | | | | | | ||
Closed-End Funds | $29,203,722 | | $— | | $29,203,722 | | ||
Common Stock | 1,422,920 | | — | | 1,422,920 | | ||
Treasury Bill | — | | 4,344,922 | | 4,344,922 | | ||
Total Investments | $30,626,642 | | $4,344,922 | | $34,971,564 | | ||
Other Financial Instruments(a) | | | | | | | ||
Liabilities | | | | | | | ||
Futures Contracts | (3,614 | ) | — | | (3,614 | ) | ||
Total Other Financial Instruments | $(3,614 | ) | $— | | $(3,614 | ) | ||
Rareview Tax Advantaged Income ETF | | | | | | |||
Closed-End Funds | $18,670,976 | | $— | | $18,670,976 | | ||
Total Investments | $18,670,976 | | $— | | $18,670,976 | | ||
Rareview Inflation/Deflation ETF | | | | | | | ||
Exchange-Traded Funds | $13,497,669 | | $— | | $13,497,669 | | ||
Purchased Options on Futures | 716,513 | | — | | 716,513 | | ||
Treasury Bill | — | | 3,495,914 | | 3,495,914 | | ||
Total Investments | $14,214,182 | | $3,495,914 | | $17,710,096 | | ||
Other Financial Instruments(a) | | | | | | | ||
Assets | | | | | | | ||
Futures Contracts | 299,861 | | — | | 299,861 | | ||
Liabilities | | | | | | | ||
Futures Contracts | (287,167 | ) | — | | (287,167 | ) | ||
Written Options | (225,569 | ) | — | | (225,569 | ) | ||
Total Other Financial Instruments | $(212,875) | | $— | | $(212,875 | ) |
Annual Shareholder Report | 36
Notes to Financial Statements (continued)September 30, 2023
| | | Level 1 | | Level 2 | | Total | |
Rareview Systematic Equity ETF | | | | | | | ||
Exchange-Traded Funds | $24,610,936 | | $— | | $24,610,936 | | ||
Treasury Bill | — | | 5,992,996 | | 5,992,996 | | ||
Total Investments | $24,610,936 | | $5,992,996 | | $30,603,932 | | ||
Other Financial Instruments(a) | | | | | | | ||
Assets | | | | | | | ||
Futures Contracts | 20,934 | | — | | 20,934 | | ||
Liabilities | | | | | | | ||
Futures Contracts | (637,505 | ) | — | | (637,505 | ) | ||
Total Other Financial Instruments | $(616,571) | | $— | | $(616,571 | ) |
(a) 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.
B. Security Transactions and Related Income
Investment transactions are accounted for no later than the first calculation of the NAV on the business day following the trade date. For financial reporting purposes, however, security transactions are accounted for on the trade date on the last business day of the reporting period. Securities gains and losses are calculated on the identified cost basis. Interest income and expenses are accrued daily. Dividends and dividend expense, less foreign tax withholding, if any, are recorded on the ex-dividend date. Investment income from non-U.S. sources received by the Funds 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.
The Funds may own shares of ETFs that may invest in real estate investments trusts (“REITs”) which report information on the source of their distributions annually. Distributions received from investments in REITs in excess of income from underlying investments are recorded as realized gain and/or as a reduction to the cost of the ETF.
C. Cash
Idle cash may be swept into various interest-bearing overnight demand deposits and is classified as cash on the Statements of Assets and Liabilities. The Funds maintain cash in bank deposit accounts which, at times, may exceed the United States federally insured limit of $250,000. Amounts swept overnight are available on the next business day.
Annual Shareholder Report | 37
Notes to Financial Statements (continued)September 30, 2023
D. Dividends and Distributions to Shareholders
Distributions are recorded on the ex-dividend date. Rareview Dynamic Fixed Income ETF, Rareview Tax Advantaged Income, and Rareview Inflation/Deflation ETF intend to distribute to their shareholders net investment income, if any, at least monthly. Rareview Systematic Equity ETF intends to distribute to its shareholders net investment income, if any, at least semi-annually. The Funds intend to distribute to their shareholders any 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.
In addition, the Funds may utilize equalization accounting for tax purposes and designate earnings and profits, including net realized gains distributed to shareholders on redemption of shares, as a part of the dividends paid deduction for income tax purposes. These reclassifications have no effect on net assets or net asset values per share.
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 Funds may engage in short sales against the box (i.e., where the Funds own 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 their portfolio securities. In a short sale, the Funds sell a borrowed security and has a corresponding obligation to the lender to return the identical security. The Funds may also incur dividend and interest expense on securities sold short. When the Funds engage in a short sale, the Funds record a liability for securities sold short and record 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 Funds also may be required to pay a premium, which would increase the cost of the security sold. There were no open short positions as of September 30, 2023.
G. Derivative Instruments:
All open derivative positions at year 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.
Annual Shareholder Report | 38
Notes to Financial Statements (continued)September 30, 2023
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 September 30, 2023, and the monthly average notional amount for these contracts for the year ended September 30, 2023 were as follows:
| Outstanding |
| Monthly Average | ||||
Futures Contracts: | Long |
| Short |
| Long |
| Short |
Rareview Dynamic Fixed Income ETF | $893,414 |
| $— |
| $3,714,535 |
| $2,931,155 |
Rareview Tax Advantaged Income ETF | — |
| — |
| — |
| 692,035 |
Rareview Inflation/Deflation ETF | 140,515,753 |
| 16,030,174 |
| 80,643,648 |
| 26,101,905 |
Rareview Systematic Equity ETF | 15,531,149 |
| 11,921,938 |
| 21,257,548 |
| 4,200,773 |
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.
Annual Shareholder Report | 39
Notes to Financial Statements (continued)September 30, 2023
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 are 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 September 30, 2023, 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 September 30, 2023, and the monthly average notional amount for these contracts for the year ended September 30, 2023 were as follows:
| Outstanding Notional Amount (000) |
| Monthly | |
Purchased Options Contracts: |
|
|
|
|
Rareview Dynamic Fixed Income ETF | $— |
| $247,474 |
|
Rareview Tax Advantaged Income ETF | — |
| 59,126 |
|
Rareview Inflation/Deflation ETF | 509,520 |
| 550,138 |
|
| Outstanding |
| Monthly | |
Written Options Contracts: |
|
|
|
|
Rareview Dynamic Fixed Income ETF | $— | | $247,799 | |
Rareview Tax Advantaged Income ETF | — | | 59,280 | |
Rareview Inflation/Deflation ETF | 517,481 |
| 531,896 |
|
Annual Shareholder Report | 40
Notes to Financial Statements (continued)September 30, 2023
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 September 30, 2023:
| Assets |
| Liabilities | ||||
| Investments, |
| Unrealized |
| Written |
| Unrealized |
Currency Risk Exposure: | |
|
|
| |
| |
Rareview Dynamic Fixed Income ETF | $— | | $— | | $— | | $3,614 |
Equity Risk Exposure: |
| |
|
|
| |
|
Rareview Systematic | — | | 20,934 |
| — | | 637,505 |
Interest Rate Risk Exposure: | | | | | | | |
Rareview Inflation/ | 716,513 | | 299,861 |
| 225,569 | | 287,167 |
(a) 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.
The following is a summary of the effect of derivative instruments on the Statements of Operations, categorized by risk exposure, for the year ended September 30, 2023:
| Net Realized Gains (Losses) from | Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result from Operations | ||||
| Futures Contracts | Purchased Options | Written Options | Futures Contracts | Purchased Options | Written Options |
Currency Risk Exposure: |
| |
|
| |
|
Rareview Dynamic Fixed | $(3,330) | $— | $— | $(3,614) | $— | $— |
Equity Risk Exposure: | | | | | | |
Rareview Dynamic Fixed | (864,459) | (43,598) | — | (62,974) | — | — |
Rareview Systematic Equity ETF | (817,116) | — | — | (1,896,302) | — | — |
Interest Rate Risk Exposure: | | | | | | |
Rareview Dynamic Fixed | (7,434) | 2,867,404 | (2,219,966) | 66,554 | — | — |
Rareview Tax Advantaged | (77,778) | 941,692 | (670,983) | (19,634) | — | — |
Rareview Inflation/ | (437,021) | (173,768) | (354,471) | (9,394) | 73,796 | (83,975) |
Annual Shareholder Report | 41
Notes to Financial Statements (continued)September 30, 2023
(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 | 1.10%(a) |
(a) Prior to February 1, 2023, the Management Fee Rate was 0.85%.
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 shall be paid 40% of the net management fees.
In addition, the Advisor 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 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 | 0.97%(a) |
Rareview Systematic Equity ETF | 1.35%(b) |
(a) Prior to February 1, 2023, the Expense Cap was 0.87%.
(b) Prior to February 1, 2023, the Expense Cap was 0.97%.
Each Expense Cap will remain in effect through at least January 31, 2024. 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.
Annual Shareholder Report | 42
Notes to Financial Statements (continued)September 30, 2023
The Advisor 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.
As of September 30, 2023, the Advisor may recoup amounts from the Fund as follows:
| Waived/ | Waived/ | Waived/ | Total |
Rareview Dynamic Fixed Income ETF | $— | $— | $6,178 | $6,178 |
Rareview Tax Advantaged Income ETF | 69,755 | 51,481 | 78,585 | 199,821 |
Rareview Inflation/Deflation ETF | — | 65,731 | 101,777 | 167,508 |
Rareview Systematic Equity ETF | — | 71,992 | 102,421 | 174,413 |
B. Administration, Custodian, Transfer Agent and Accounting Fees
Citi Fund Services Ohio, Inc. (“Citi”) serves as the administrator, fund accountant, 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 the Funds and is subject to a minimum monthly fee. CFS voluntarily waived $762 for Rareview Inflation/Deflation ETF during the year. The fee waiver is not subject to recoupment.
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.
Annual Shareholder Report | 43
Notes to Financial Statements (continued)September 30, 2023
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 year ended September 30, 2023, the Funds paid a total of $9,675 to the Treasurer.
F. General
Certain trustees and officers of the Trust are officers, directors and/or trustees of the above companies and, except for the Treasurer, receive no compensation from the Funds for their services.
(4) Investment Transactions
Purchases and sales of investments, excluding in-kind transactions and short-term investments, for the year ended September 30, 2023 were as follows:
| Purchases |
| Sales |
|
Rareview Dynamic Fixed Income ETF | $53,001,026 |
| $46,368,149 |
|
Rareview Tax Advantaged Income ETF | 7,716,625 |
| 6,036,744 |
|
Rareview Inflation/Deflation ETF | 31,240,793 |
| 16,912,472 |
|
Rareview Systematic Equity ETF | 32,814,310 |
| 33,931,332 |
|
Purchases and sales of long-term U.S. government securities for the year ended September 30, 2023 were as follows:
| Purchases |
| Sales |
|
Rareview Inflation/Deflation ETF | $20,677,377 |
| $29,062,619 |
|
Purchases and sales of in-kind transactions for the year ended September 30, 2023 were as follows:
| Purchases |
| Sales |
|
Rareview Dynamic Fixed Income ETF | $5,679,909 |
| $7,003,734 |
|
Rareview Tax Advantaged Income ETF | 5,069,533 |
| 1,110,842 |
|
Rareview Inflation/Deflation ETF | 1,744,950 |
| 816,919 |
|
Rareview Systematic Equity ETF | 14,889,976 |
| 9,677,658 |
|
Purchases and sales of in-kind U.S. government securities for the year ended September 30, 2023 were as follows:
| Purchases |
| Sales |
|
Rareview Inflation/Deflation ETF | $894,689 |
| $— |
|
Annual Shareholder Report | 44
Notes to Financial Statements (continued)September 30, 2023
(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 transaction fees for each Fund are listed below:
| Fee for In-Kind and |
| Maximum |
Rareview Dynamic Fixed Income ETF | $250 |
| 2.00% |
Rareview Tax Advantaged Income ETF | 250 |
| 2.00% |
Rareview Inflation/Deflation ETF | 250 |
| 2.00% |
Rareview Systematic ETF | 250 |
| 2.00% |
(a) As a percentage of the amount invested.
From time to time, settlement of securities related to in-kind contributions or in-kind redemptions may be delayed. In such cases, securities related to in-kind transactions are reflected as a receivable or a payable on the Statements of Assets and Liabilities.
As of September 30, 2023, there were no unsettled in-kind capital transactions.
(6) Federal Income Taxes
It is the policy of each Fund to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined in applicable sections of the Internal Revenue Code of 1986, as amended, and to make distributions of net investment income and net realized capital gains sufficient to relieve it from all, or substantially all, federal income taxes.
Management of the Funds has reviewed the tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including U.S. federal (i.e., all open tax years and the interim tax period since then). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Annual Shareholder Report | 45
Notes to Financial Statements (continued)September 30, 2023
As of and during the year ended September 30, 2023, the Funds did not have a liability for any unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statements of Operations. During the year, the Funds did not incur any interest or penalties.
As of September 30, 2023, the tax cost of securities and the breakdown of unrealized appreciation (depreciation) for each Fund were as follows:
| Tax Cost of | Unrealized | Unrealized | Net Unrealized |
Rareview Dynamic Fixed Income ETF | $39,699,316 | $333,333 | $(5,061,085) | $(4,727,752) |
Rareview Tax Advantaged Income ETF | 22,480,995 | — | (3,810,019) | (3,810,019) |
Rareview Inflation/ | 18,124,394 | 21,656 | (456,706) | (435,050) |
Rareview Systematic | 29,172,078 | 1,443,733 | (11,879) | 1,431,854 |
The difference between book-basis and tax-basis unrealized appreciation (depreciation) is primarily attributable to wash sale activity and mark-to-market on derivative contracts.
The tax character of distributions paid during the fiscal period or year ended September 30, 2022 and September 30, 2023 were as follows:
| Distributions paid from | |||||
| Ordinary | Net | Total | Tax- | Return of | Total |
Rareview Dynamic Fixed Income ETF |
|
|
|
|
|
|
2022 | $3,375,600 | $323,808 | $3,699,408 | $312,788 | $16,256 | $4,028,452 |
2023 | 2,036,011 | — | 2,036,011 | 412,551 | 233,868 | 2,682,430 |
Rareview Tax Advantaged |
|
|
|
|
|
|
2022 | 413,416 | 114,762 | 528,178 | 610,651 | — | 1,138,829 |
2023 | — | — | — | 643,292 | — | 643,292 |
Rareview Inflation/ |
|
|
|
|
|
|
2022 | 42,306 | — | 42,306 | — | — | 42,306 |
2023 | 302,428 | — | 302,428 | — | 8,473 | 310,901 |
Rareview Systematic |
|
|
|
| ||
2022 | — | — | — | — | — | — |
2023 | 166,936 | 592,768 | 166,936 | — | — | 759,704 |
Annual Shareholder Report | 46
Notes to Financial Statements (continued)September 30, 2023
As of September 30, 2023, the components of distributable earnings (accumulated losses) on a tax basis were as follows:
| Undistributed | Undistributed | Undistributed | Distributable | Accumulated | Unrealized | Total |
Rareview Dynamic Fixed Income ETF | $— | $— | $— | $— | $(8,996,823) | $(4,727,752) | $(13,724,575) |
Rareview Tax Advantaged Income ETF | — | — | 49,697 | 49,697 | (4,075,626) | (3,810,019) | (7,835,948) |
Rareview Inflation/Deflation ETF | — | — | — | — | (2,901,652) | (435,050) | (3,336,702) |
Rareview Systematic Equity ETF | 207,361 | — | — | 207,361 | (1,842,024) | 1,431,854 | (202,809) |
As of September 30, 2023, the following Funds have net capital loss carryforwards (“CLCFs”) not subject to expiration as summarized in the table below.
| Short Term | Long Term | Total |
Rareview Dynamic Fixed | $6,613,119 | $2,306,263 | $8,919,382 |
Rareview Tax Advantaged | 2,280,405 | 1,741,285 | 4,021,690 |
Rareview Inflation/Deflation ETF | 2,183,108 | 656,695 | 2,839,803 |
Rareview Systematic Equity ETF | — | 856,612 | 856,612 |
Under current law, capital losses and specified ordinary losses realized after October 31 and non-specified ordinary losses incurred after December 31 (ordinary losses collectively known as “late year ordinary loss”) may be deferred and treated as occurring on the first business day of the following fiscal year.
As of the fiscal year ended September 30, 2023, the Funds deferred losses are as follows:
| Late Year Ordinary Loss Deferred |
| Total |
Rareview Dynamic Fixed Income ETF | $77,441 | | $77,441 |
Rareview Tax Advantaged Income ETF | 53,936 | | 53,936 |
Rareview Inflation/Deflation ETF | 61,328 | | 61,328 |
Annual Shareholder Report | 47
Notes to Financial Statements (continued)September 30, 2023
Permanent Tax Differences:
As of September 30, 2023, the following reclassifications were made on the Statements of Assets and Liabilities, relating primarily to taxable over-distributions, net operating losses and redemptions in-kind:
| Total |
| Paid-in |
Rareview Dynamic Fixed Income ETF | $408,206 | | $(408,206) |
Rareview Tax Advantaged Income ETF | (8,510) | | 8,510 |
Rareview Inflation/Deflation ETF | 18,125 | | (18,125) |
Rareview Systematic Equity ETF | (777,701) | | 777,701 |
(7) Investment Risks
ETF Risk
The NAV of a Fund can fluctuate up or down, and you could lose money investing in the Fund if the prices of the securities owned by the Fund decline. In addition, the Fund may be subject to the following risks: (1) the market price of the Fund’s shares may trade above or below its NAV; (2) an active trading market for the Fund’s shares may not develop or be maintained; or (3) trading of the Fund’s shares may be halted if the listing exchange’s officials deem such action appropriate, the shares are delisted from the exchange, or the activation of market-wide “circuit breakers” (which are tied to large decreases in stock prices) halts stock trading generally.
Market and Geopolitical Risk
The increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region or financial market. Securities in the Fund may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, pandemics, epidemics, terrorism, international conflicts, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years, such as terrorist attacks around the world, natural disasters, social and political discord or debt crises and downgrades, among others, may result in market volatility and may have long term effects on both the U.S. and global financial markets. It is difficult to predict when similar events affecting the U.S. or global financial markets may occur, the effects that such events may have and the duration of those effects. Any such event(s) could have a significant adverse impact on the value and risk profile of the Fund. The COVID-19 global pandemic had negative impacts, and in many cases severe negative impacts, on markets worldwide. It is not known how long such impacts, or any future impacts of other significant
Annual Shareholder Report | 48
Notes to Financial Statements (continued)September 30, 2023
events described above, will or would last, but there could be a prolonged period of global economic slowdown, which may impact your investment. Therefore, the 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. In times of severe market disruptions you could lose your entire investment.
(8) Concentration of Investments
As of September 30, 2023, the Rareview Inflation/Deflation ETF›s investments in iShares MBS ETF and Vanguard Intermediate-Term Treasury ETF represented 29.85% and 37.39% of the Fund’s net assets, respectively. The financial statements of the iShares MBS ETF can be found by accessing the fund’s website at http://www.ishares.com. The financial statements of the Vanguard Intermediate-Term Treasury ETF can be found by accessing the fund’s website at http://www.vanguard.com. As of September 30, 2023, the Rareview Systematic Equity ETF’s investment in Vanguard S&P 500 ETF represented 29.90% of the Fund’s net assets. The financial statements of the Vanguard S&P 500 ETF can be found by accessing the fund›s website at http://www.vanguard.com.
(9) Subsequent Events
Management of the Funds has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date these financial statements were issued. Based upon this evaluation, no additional disclosures or adjustments were required to the financial statements as of September 30, 2023.
Annual Shareholder Report | 49
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders of Rareview ETFs and
Board of Trustees of Collaborative Investment Series Trust
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Rareview Dynamic Fixed Income ETF, Rareview Tax Advantaged Income ETF, Rareview Inflation/Deflation ETF and Rareview Systematic Equity ETF (the “Funds”), each a series of Collaborative Investment Series Trust, as of September 30, 2023, the related statements of operations for the year then ended, the statements of changes in net assets, the related notes, and the financial highlights for each of the periods indicated below (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of September 30, 2023, the results of their operations, the changes in net assets, and the financial highlights for each of the periods indicated below in conformity with accounting principles generally accepted in the United States of America.
Fund Name | Statements of | Statements of | Financial |
Rareview Dynamic Fixed Income ETF and Rareview Tax Advantaged Income ETF | For the year ended September 30, 2023 | For the years ended September 30, 2023 and 2022 | For the years ended September 30, 2023 and 2022, and for the period October 20, 2020 (commencement of operations) through September 30, 2021 |
Rareview Inflation/Deflation ETF | For the year ended September 30, 2023 | For the year ended September 30, 2023 and for the period January 5, 2022 (commencement of operations) through September 30, 2022 | |
Rareview Systematic Equity ETF | For the year ended September 30, 2023 | For the year ended September 30, 2023 and for the period January 20, 2022 (commencement of operations) through September 30, 2022 |
Basis for Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
Annual Shareholder Report | 50
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2023, by correspondence with the custodian and brokers. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more investment companies advised by Rareview Capital, LLC since 2016.
COHEN & COMPANY, LTD.
Milwaukee, Wisconsin
November 28, 2023
Annual Shareholder Report | 51
In connection with the meeting of the Board of Trustees (the “Board”) of Collaborative Investment Series Trust (the “Trust”) held on August 30, 2023 (the “Meeting”), the Board, including a majority of the Trustees who are not “interested persons” as that term is defined in the Investment Company Act of 1940, as amended, discussed the renewal of an investment advisory agreement between Rareview Capital LLC (“Rareview”) and the Trust, with respect to the Rareview Dynamic Fixed Income ETF (“Fixed Income ETF”) and Rareview Tax Advantaged ETF (“Tax Advantaged ETF”) (each a “Fund” and collectively, the “Funds”). In considering the renewal of the investment advisory agreement, the Board received materials specifically relating to the investment advisory agreement.
The Board reviewed and discussed the materials that were provided in advance of the Meeting and deliberated on the renewal of the investment advisory agreement between Rareview and the Trust. The Board relied upon the advice of independent legal counsel and its own business judgment in determining the material factors to be considered in evaluating the investment advisory agreement on behalf of the Fund and the weight to be given to each factor considered. The conclusions reached by the Board were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Trustee may have afforded different weight to the various factors in reaching his or her conclusions with respect to the renewal of the investment advisory agreement.
Nature, Extent and Quality of Services. The Board noted that Rareview was an SEC registered investment adviser with $197.18 million in assets under management as of June 30, 2023. The Board reviewed the background information of the key personnel responsible for the Funds and noted that there were no material changes. The Board discussed the services Rareview provided the Funds, including general portfolio management, asset allocation, trading and risk management. The Board noted that Rareview prepared monthly reports monitoring compliance with each Funds’ investment limitation. The Board noted that Rareview had no material compliance issues nor any material litigation or administrative action in the past 36 months. The Board reviewed Rareview’s policies and procedures for selection of broker-dealers for portfolio transactions, which included quantitative and qualitative factors. The Board recalled that Rareview was previously audited by the SEC in 2021 which identified minor deficiencies related to outside business activities. The Board acknowledged Rareview’s assertion that, currently, there was no outside business activities. The Board concluded that it expected Rareview to continue to provide satisfactory service to the Funds and their shareholders.
Performance.
Fixed Income ETF. The Board observed that the Fixed Income ETF underperformed its benchmark index, 50% ICE BofA 5-10Y US Corp TR USD and 50% Markit iBoxx Liquid High Yield TR USD, with a 0.89% return
Annual Shareholder Report | 52
Approval of Management Agreement (continued)September 30, 2023 (Unaudited)
for the 1-year period but outperformed its benchmark with a 1.77% return since inception. The Board remembered that the inception of the Fund occurred in October 2020, so there were no data for the 5-year and 10-year periods. The Board concluded that the Fund’s performance was acceptable.
Tax Advantaged Income ETF. The Board observed that the Tax Advantaged Income ETF underperformed its benchmark index, the Bloomberg Municipal TR USD, with a -4.24 return for the 1-year period and -3.63% return since inception. The Board remembered that the inception of the Fund occurred in October 2020, so there were no data for the 5-year and 10-year periods. The Board concluded that the Fund’s performance was acceptable and agreed to continue to monitor performance.
Fees and Expenses.
Fixed Income ETF. The Board noted that the advisory fee and net expense ratio with respect to the Fixed Income ETF was 0.97%, which was the lowest of the range of its actively managed peer group. The Board noted Rareview’s intention to renew the expense limitation agreement for an additional year and concluded that the advisory fee was not unreasonable.
Tax Advantaged Income ETF. The Board noted that the advisory fee and net expense ratio with respect to the Tax Advantaged Income ETF was 0.75%, which was within the range of its peer group. The Board noted Rareview’s intention to renew the expense limitation agreement for an additional year and concluded that the advisory fee was not unreasonable.
Profitability. The Board reviewed the profitability analysis provided by Rareview and noted that there was a net loss for Rareview with regard to its management of the Funds. After discussion, the Board determined that excessive profitability was not an issue for Rareview at this time.
Economies of Scale. The Board considered whether economies of scale would be realized in connection with the services provided to the Funds by Rareview. The Board noted that there were no breakpoints 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 the Funds continued 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 renewal of the investment advisory agreement was in the best interests of the Funds and their shareholders.
Annual Shareholder Report | 53
OTHER FEDERAL INCOME TAX INFORMATION
During the fiscal year or period ended September 30, 2023, the Funds declared long-term realized gain distributions in the following amounts:
| Long-Term Capital Gains |
Rareview Systematic Equity ETF | $592,768 |
During the fiscal year or period ended September 30, 2023, the following percentage of the total ordinary income distributions paid by the Fund qualifies for the distributions received deduction available to corporate shareholders:
| Distributions Received |
Rareview Dynamic Fixed Income ETF | 16.54% |
Rareview Systematic Equity ETF | 7.12% |
For the fiscal year or period ended September 30, 2023, distributions paid by the Funds may be subject to a maximum tax rate of 15%, as provided by the Jobs and Growth Relief Reconciliation Act of 2003. The Funds intend to designate the maximum amount allowable as taxed at a maximum rate of 15%. Complete information will be reported in conjunction with your 2023 Form 1099-DIV.
During the fiscal year or period ended September 30, 2023, the percentage of Qualified Dividend Income is as follows:
| Qualified Dividend Income |
Rareview Dynamic Fixed Income ETF | 28.03% |
Rareview Systematic Equity ETF | 100.00% |
During the fiscal year or period ended September 30, 2023, the following Funds designated the maximum amount allowable as interest-related dividends for certain non-U.S. resident investors:
| Qualified Interest Income |
Rareview Dynamic Fixed Income ETF | 2.28% |
Rareview Inflation/Deflation ETF | 54.14% |
Rareview Systematic Equity ETF | 3.80% |
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.
Annual Shareholder Report | 54
Additional Information (continued)September 30, 2023 (Unaudited)
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 the Funds’ 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.
Annual Shareholder Report | 55
Name Address* and | Position(s) | Term of | Principal | Number of | Other |
Dean Drulias, Esq. | Trustee | Indefinite/ | Attorney | 12 | Trustee for |
Shawn Orser | Trustee | Indefinite/ | CEO, Seaside Advisory (6/2016-Present) | 12 | Trustee for Belpointe PREP Manager, LLC. 2021- Present |
Fredrick Stoleru | Trustee | Indefinite/ | COO of Belpointe Prep, LLC since September 2022, Chief Executive Officer and President of Atlas Resources LLC since February 2017, Vice President and General Partner of Atlas Growth Partners, L.P. since 2013, Principal at Hepco Capital Management (2018-2022) | 12 | None |
Ronald Young Jr. | Trustee | Indefinite/ | President – Young Consulting, Inc. (2008-Present); President – Tri State LED, Inc. (2010-Present) | 12 | Trustee for Belpointe PREP Manager, LLC. 2021- Present |
Annual Shareholder Report | 56
Board of Trustees and Trust Officers (Unaudited) (continued)
Interested Trustees and Officers
Name, Address* and | Position(s) | Term of | Principal | Number of | Other |
Gregory Skidmore**** | Trustee and President | Indefinite/ November 2017 - present | CEO, Belpointe Asset Management, LLC since 2007. | 12 | None |
Kyle R Bubeck | Chief | Since October 2021 | President and Founder of Beacon Compliance Consulting Inc. (since 2010) | N/A | N/A |
William McCormick | Treasurer | Since October 2021 | Senior Wealth Advisor – Belpointe Asset Management (since 2019); Wealth Advisor – Advisory Services Network (2016-2019) | N/A | N/A |
Brad Rundbaken Year of Birth: 1970 | Secretary | Since October 2021 | Manager – Collaborative Fund Services, LLC (since 2018); Wealth Advisor – Belpointe Asset Management (2015-2018) | N/A | N/A |
* The address for each Trustee and Officer listed is 500 Damonte Ranch Parkway Building 700, Unit 700, Reno, NV 89521.
** The term of office for each Trustee and officer listed above will continue indefinitely until the individual resigns or is removed.
*** The term “Fund Complex” applies only to the Collaborative Investment Series Trust as of September 30, 2023.
**** Gregory Skidmore is considered an Interested Trustee as defined in the 1940 Act because of his ownership in Collaborative Fund Services, LLC.
The Funds' SAI references additional information about the Trustees and is available free of charge, upon request, by calling toll free 1-866-904-0406.
Annual Shareholder Report | 57
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 information? | 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 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 |
Annual Shareholder Report | 58
Reasons we can share your | 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 1-888-783-8637 |
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 affiliates or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only: •sharing for affiliates’ everyday business purposes – information about your creditworthiness. •affiliates from using your information to market to you. •sharing for nonaffiliates to market to you. State laws and individual companies may give you additional rights to limit sharing. |
Annual Shareholder Report | 59
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial and non-financial companies. •The Collaborative Investment Series Trust does not share with affiliates. |
Non-affiliates | Companies not related by common ownership or control. They can be financial and non-financial companies. •The Collaborative Investment Series Trust does not share with non-affiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. •The Collaborative Investment Series Trust doesn’t jointly market. |
This report is provided for the general information of the Funds' shareholders. It is not authorized for distribution unless preceded or accompanied by an effective prospectus, which contains more complete information about the Funds.
11/23
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
Tuttle Capital Management LLC
155 Lockwood Rd
Riverside, CT 06878
1-866-904-0406
www.spcxetf.com
Annual Shareholder Report
The SPAC and New Issue ETF (SPCX)
September 30, 2023
TABLE OF CONTENTS
1 | |
2 | |
3 | |
4 | |
9 | |
10 | |
11 | |
12 | |
13 | |
24 | |
25 | |
27 | |
29 |
Annual Shareholder Report | 1
Dear Shareholders,
On behalf of the entire team, we want to express our appreciation for the confidence you have placed in The SPAC and New Issue ETF (“SPCX” or the “Fund”). The following information pertains to the fiscal period of October 1, 2022 through September 30, 2023. SPCX is the first actively-managed ETF that focuses on Special Purpose Acquisition Companies (SPACs). A SPAC is a blank check company that has not yet merged with an operating company for the purpose of effecting a merger, asset acquisition, share exchange/purchase or reorganization. SPACs have pre-determined time frames to merge (typically two years) or the SPAC will liquidate. A SPAC generally offers a unit comprised of common stock and a warrant to purchase common stock over a fixed time frame.
The Fund had negative performance during the fiscal period ended September 30, 2023. The market price for SPCX decreased 10.62% while the IndexIQ Merger Arbitrage Index, a broad market index of newly listed IPOs, increased 0.40% over the same period.
While the stock market has come back a bit from a difficult 2022 the SPAC market continues to struggle. Some of this is related to the fact that the IPO market still has not come back either. Interest in SPACs should dovetail interest in IPOs as SPACs are an alternative way for companies to go public. Other factors include the rise in interest rates. Often, SPAC investors will use SPACs as an alternative to bonds, trying to buy SPACs below NAV and eventually selling at NAV. With T-Bills yielding over 5% SPACs are not as attractive. Finally, there are still too many SPACs chasing too few deals, and some of the deals that have been done didn’t end well. That all being said, markets always go in cycles, what is out of favor one day comes back into favor the next. We feel the same way about the SPAC market. We believe SPCX’s actively-managed approach allows for not only a more defensive posture in the near-term but gives us optionality to quickly capitalize on opportunities should market conditions warrant.
We appreciate your investment in SPCX.
Sincerely,
Matthew Tuttle
Chief Executive Officer
Tuttle Capital Management, LLC
Past performance is no guarantee of future results. Investment return and principal value will vary. Investors’ shares when redeemed may be worth more or less than original cost. Returns do not reflect the deduction of taxes a shareholder would pay on distributions or redemption of Fund’s shares. The Fund’s prospectus contains more complete information, including fees, expenses and risks involved in investing in newly public companies and should be read carefully before investing.
Annual Shareholder Report | 2
INVESTMENT OBJECTIVE
The SPAC and New Issue ETF seeks to provide total return.
FUND PERFORMANCE | Average Annual | Expense Ratio(a) | |
| 1 Year | Inception | Total |
The SPAC and New Issue ETF (SPCX) - Total Return | -9.99% | -1.77% | 1.31% |
The SPAC and New Issue ETF (SPCX) - Total Return | -10.62% | -1.90% | N/A |
IndexIQ Merger Arbitrage(d) | 0.40% | -1.66% | N/A |
Hypothetical Growth of a $10,000 Investment (*)
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represent past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed may be worth more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance information current to the most recent month-end, please call 1-866-904-0406 or visit http://www.spcxetf.com
*The chart represents historical performance of a hypothetical investment of $10,000 in The SPAC and New Issue ETF and represents the reinvestment of dividends and capital gains in the Fund.
(a) The total expense ratio reflects the gross expense ratio as reported in the Fund’s Prospectus dated February 1, 2023. Please see the Fund’s most recent prospectus for details. Additional information pertaining to the Fund’s expense ratio as of September 30, 2023 can be found in the Financial Highlights.
(b) 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.
(c) 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.
(d) The IQ Merger Arbitrage Index seeks to achieve capital appreciation by investing in global companies for which there has been a public announcement of a takeover by an acquirer. This differentiated approach is based on a passive strategy of owning certain announced takeover targets with the goal of generating returns that are representative of global merger arbitrage activity. The Index also includes short exposure to global equities as a partial equity market hedge. Index returns, unlike the Fund’s returns, do not reflect any fees or expenses. Investors cannot invest directly in an index.
Annual Shareholder Report | 3
As a Fund shareholder, you may incur two types of costs: (1) transaction costs, including commissions on trading, as applicable; and (2) ongoing costs, including advisory fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other funds.
The expense examples below are based on an investment of $1,000 invested at the beginning of the period and held for the six-month period ended September 30, 2023.
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.
|
| Beginning | Ending | Expenses | Annualized |
The SPAC and New Issue ETF | Actual | $1,000.00 | $ 991.40 | $4.74 | 0.95% |
Hypothetical | 1,000.00 | 1,020.31 | 4.81 | 0.95 |
(a) Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183/365 (the number of days in the most recent fiscal half year divided by the number of days in the fiscal year).
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 4
Portfolio of Investments Summary Table | Percentage of |
Communication Services | 3.0 |
Consumer Discretionary | 2.2 |
Exchange-Traded Fund | 5.3 |
Financials | 84.6 |
Health Care | 1.3 |
Information Technology | 1.4 |
Private Investments | 0.8 |
Rights | 0.3 |
Warrants | 1.1 |
Total | 100.0 |
Portfolio holdings and allocations are subject to change. As of September 30, 2023, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund’s total net assets.
Portfolio of Investments
Shares/Units | | | Fair Value ($) | | |
| Common Stocks — 85.4% | | | ||
| Communication Services — 2.8% | | | ||
| 45,000 | | ESH Acquisition Corp., Class A(a) | 455,400 | |
| | | | 455,400 | |
| Consumer Discretionary — 2.0% | | | ||
| 119,012 | | Alliance Entertainment(a) | 132,104 | |
| 20,000 | | Haymaker Acquisition Corp. 4(a) | 203,400 | |
| | | | 335,504 | |
| Financials — 78.1% | | | ||
| 24,069 | | A SPAC II Acquisition Corp.(a) | 259,223 | |
| 74,315 | | Acropolis Infrastructure Acquisition Corp., Class A(a) | 763,957 | |
| 25,000 | | Andretti Acquisition Corp.(a) | 268,750 | |
| 18,740 | | Arrowroot Acquisition Corp., Class A(a) | 196,583 | |
| 19,219 | | Athena Technology Acquisition Corp. II, Class A(a) | 207,181 | |
| 44,897 | | Aura FAT Projects Acquisition Corp., Class A(a) | 483,092 | |
| 22,349 | | Banyan Acquisition Corp., Class A(a) | 235,335 | |
| 36,000 | | BlueRiver Acquisition Corp., Class A(a) | 379,980 | |
| 50,571 | | Bluescape Opportunities Acquisition Corp., Class A(a) | 507,227 | |
| 10,000 | | Cartica Acquisition Corp., Class A(a) | 107,600 | |
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 5
Portfolio of Investments (continued)September 30, 2023
The SPAC and New Issue ETF
Shares/Units | | | Fair Value ($) | | |
| Financials — 78.1% (continued) | | | ||
| 18,553 | | Churchill Capital Corp. V(a) | 192,951 | |
| 41,762 | | Churchill Capital Corp. VII, Class A(a) | 436,413 | |
| 11,386 | | Clean Energy Special Situations Corp.(a) | 119,667 | |
| 52,694 | | Coliseum Acquisition Corp., Class A(a) | 560,664 | |
| 25,714 | | Concord Acquisition Corp. II, Class A(a) | 264,340 | |
| 16,163 | | EF Hutton Acquisition Corp. I(a) | 170,681 | |
| 15,000 | | Fintech Ecosystem Development Corp., Class A(a) | 159,600 | |
| 50,000 | | Forest Road Acquisition Corp. II, Class A(a) | 517,500 | |
| 25,000 | | Golden Star Acquisition Corp.(a) | 257,500 | |
| 18,914 | | Integrated Rail and Resources Acquisition Corp., Class A(a) | 205,784 | |
| 42,948 | | International Media Acquisition Corp.(a) | 3,011 | |
| 35,000 | | Israel Acquisitions Corp., Class A(a) | 369,250 | |
| 35,150 | | Kernel Group Holdings, Inc., Class A(a) | 372,590 | |
| 10,027 | | Keyarch Acquisition Corp.(a) | 106,788 | |
| 54,957 | | Newbury Street Acquisition Corp.(a) | 577,049 | |
| 12,000 | | Pono Capital Three, Inc., Class A(a) | 126,600 | |
| 14,369 | | Pono Capital Two, Inc., Class A(a) | 153,174 | |
| 45,087 | | Project Energy Reimagined Acquisition Corp.(a) | 472,512 | |
| 25,094 | | Screaming Eagle Acquisition Corp., Class A(a) | 262,483 | |
| 35,064 | | SHUAA Partners Acquisition Corp. I, Class A(a) | 387,107 | |
| 40,000 | | SilverBox Corp. III, Class A(a) | 409,200 | |
| 50,000 | | SK Growth Opportunities Corp., Class A(a) | 537,000 | |
| 57,800 | | Spree Acquisition Corp. 1, Ltd.(a) | 624,240 | |
| 27,640 | | Thunder Bridge Capital Partners IV, Inc., Class A(a) | 283,310 | |
| 67,033 | | TortoiseEcofin Acquisition Corp. III, Class A(a) | 702,506 | |
| 102,623 | | Twelve Seas Investment Co. II, Class A(a) | 1,070,357 | |
| 14,885 | | Valuence Merger Corp. I, Class A(a) | 165,372 | |
| | | | 12,916,577 | |
| Health Care — 1.2% | | | ||
| 15,000 | | HH&L Acquisition Co., Class A(a) | 159,300 | |
| 4,500 | | Keen Vision Acquisition Corp.(a) | 46,035 | |
| | | | 205,335 | |
| Information Technology — 1.3% | | | ||
| 20,000 | | Compass Digital Acquisition Corp.(a) | 209,800 | |
| | | | 209,800 | |
| Total Common Stocks (Cost $13,869,077) | 14,122,616 | | ||
| | | |
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 6
Portfolio of Investments (continued)September 30, 2023
The SPAC and New Issue ETF
Shares/Units | | | Fair Value ($) | | |
| Exchange-Traded Fund — 4.9% | | | ||
| 16,000 | | BondBloxx Bloomberg Six Month Target Duration US Treasury ETF | 804,320 | |
| Total Exchange-Traded Fund (Cost $804,320) | 804,320 | | ||
| | | | ||
| Private Investments — 0.7% | | | ||
| 59,668 | | Clean Energy Special Situations Corp. - | 93,796 | |
| 19,889 | | Clean Energy Special Situations Corp. - | 31,265 | |
| | | | 125,061 | |
| Total Private Investments (Cost $198,894) | 125,061 | | ||
| | | | | |
| Rights — 0.3% | | | ||
| 32,020 | | A SPAC II Acquisition Corp., 1/02/2026(a) | 2,882 | |
| 40,000 | | Aurora Technology Acquisition Corp., 1/01/2024(a) | 5,600 | |
| 11,386 | | Clean Energy Special Situations Corp., 1/01/2024(a) | — | |
| 69,024 | | Deep Medicine Acquisition Corp., 1/12/2029(a) | 20,707 | |
| 16,893 | | EF Hutton Acquisition Corp. I, 12/31/2025(a) | 2,720 | |
| 35,000 | | ESH Acquisition Corp., 12/31/2023(a) | 8,540 | |
| 10,528 | | Keyarch Acquisition Corp.(a) | 1,263 | |
| 26,370 | | NorthView Acquisition Corp., 12/31/2026(a) | 4,483 | |
| | | | 46,195 | |
| Total Rights (Cost $207) | 46,195 | | ||
| | | | | |
| Warrants — 1.0% | | | ||
| 16,010 | | A SPAC II Acquisition Corp., 5/03/2027(a) | 402 | |
| 26,848 | | Acropolis Infrastructure Acquisition Corp., 3/31/2026(a) | 1,611 | |
| 425,000 | | Alliance Entertainment(a)(e) | 8,074 | |
| 12,229 | | Allego NV, 3/16/2027(a) | 4,537 | |
| 12,221 | | Alpha Tau Medical, Ltd., 3/07/2027(a) | 3,087 | |
| 5,428 | | Alvotech SA, 6/15/2027(a) | 7,599 | |
| 7,649 | | Ares Acquistion Corp., Class A, 12/31/2027(a) | 5,055 | |
| 15,030 | | Athena Technology Acquisition Corp. II, 10/17/2028(a) | 1,954 | |
| 50,000 | | Aura FAT Projects Acquisition Corp., 6/02/2027(a) | 1,400 | |
| 40,000 | | Aurora Technology Acquisition Corp., 2/07/2028(a) | 676 | |
| 16,095 | | Banyan Acquisition Corp., 9/30/2028(a) | 2,921 | |
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 7
Portfolio of Investments (continued)September 30, 2023
The SPAC and New Issue ETF
Shares/Units | | | Fair Value ($) | | |
| Warrants — 1.0% (continued) | | | ||
| 8,538 | | BigBear.ai Holdings, Inc., 12/31/2028(a) | 3,842 | |
| 5,870 | | Churchill Capital Corp. V, 10/29/2027(a) | 1,086 | |
| 70,160 | | Clean Energy Special Situations Corp., 4/12/2026(a) | 5,051 | |
| 16,893 | | EF Hutton Acquisition Corp. I, 12/08/2027(a) | 473 | |
| 47,224 | | Fathom Digital Manufacturing C, 12/31/2027(a) | 9 | |
| 42,500 | | Freightos, Ltd., 1/23/2028(a) | 5,738 | |
| 7,095 | | Golden Arrow Merger Corp., 7/31/2026(a) | 257 | |
| 13,561 | | Hyzon Motors, Inc., Class C, 10/02/2025(a) | 1,085 | |
| 16,897 | | Integrated Rail And Resources Acquisition Corp., 11/12/2026(a) | 4,307 | |
| 35,000 | | Israel Acquisitions Corp., 2/28/2028(a) | 4,813 | |
| 15,764 | | Kernel Group Holdings, Inc., Class A, 1/31/2027(a) | 938 | |
| 6,000 | | Keyarch Acquisition Corp., 7/25/2028(a) | 240 | |
| 33,750 | | LIV Capital Acquisition Corp. II, 2/16/2027(a) | 743 | |
| 40,204 | | Metals Acquisition, Ltd., 6/16/2028(a) | 80,809 | |
| 8,781 | | Moringa Acquisition Corp., 2/10/2026(a) | 292 | |
| 10,402 | | New Vista Acquisition Corp., 12/31/2027(a) | —(f) | |
| 19,770 | | Newbury Street Acquisition Corp., 12/31/2027(a) | 2,873 | |
| 13,185 | | NorthView Acquisition Corp., 10/21/2023(a) | 488 | |
| 12,478 | | Nubia Brand International Corp., 11/16/2026(a) | 824 | |
| 11,868 | | P3 Health Partners, Inc., 1/31/2027(a) | 2,018 | |
| 12,000 | | Pono Capital Three, Inc., Class A, 4/03/2028(a) | 540 | |
| 14,369 | | Pono Capital Two, Inc., Class A, 9/23/2027(a) | 483 | |
| 21,244 | | SatixFy Communications, Ltd., 10/26/2027(a) | 321 | |
| 26,276 | | Schultze Special Purpose Acquisition Corp. II, 3/25/2028(a) | 131 | |
| 9,220 | | Screaming Eagle Acquisition Corp., 12/15/2027(a) | 1,484 | |
| 4,289 | | Selina Hospitality PLC, 10/27/2027(a) | 54 | |
| 25,249 | | SHUAA Partners Acquisition Corp. I, 3/02/2027(a) | 1,268 | |
| 683 | | Solid Power, Inc., 12/31/2026(a) | 164 | |
| 10,263 | | Sonder Holdings, Inc., 1/31/2028(a) | 164 | |
| 28,900 | | Spree Acquisition Corp. 1, Ltd., 12/22/2028(a) | 725 | |
| 13,333 | | Target Global Acquisition I Corp., 12/31/2027(a) | 800 | |
| 13,635 | | Twelve Seas Investment Co. II, 3/02/2028(a) | 479 | |
| 8,978 | | Valuence Merger Corp. I, 3/01/2027(a) | 413 | |
| 29,698 | | Worldwide Webb Acquisition Corp., 10/20/2026(a) | 751 | |
| | | | 160,979 | |
| Total Warrants (Cost $78,515) | 160,979 | | ||
| | | |
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 8
Portfolio of Investments (continued)September 30, 2023
The SPAC and New Issue ETF
| | Fair Value ($) | |
| Total Investments — 92.3% (Cost $14,951,013) | 15,259,171 | |
| Other Assets in Excess of Liabilities — 7.7% | 1,272,930 | |
| Net Assets — 100.0% | 16,532,101 | |
(a) Non-income producing security.
(b) Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of September 30, 2023. The total of all such securities represents 0.76% of the net assets of the Fund.
(c) 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 September 30, 2023 was $125,061 which represented 0.76% of the net assets of the Fund.
(d) Each unit represents one share and ½ warrant.
(e) Warrant expires five years after initial business combination.
(f) Amount less than $0.05.
The illiquid restricted securities held as of September 30, 2023 are identified below.
Security | Acquisition | Acquisition | Shares | Fair | Percentage |
Clean Energy Special Situations Corp. - Founder Shares | 8/12/2021 | 153,894 | 59,668 | 93,796 | 0.6 |
Clean Energy Special Situations Corp. - Private Placement Units | 8/12/2021 | 45,000 | 19,889 | 31,265 | 0.2 |
(g) Acquisition date represents the initial purchase date of the security.
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 9
| The SPAC and | |
Assets: | | |
Investments, at value (Cost $14,951,013) | $15,259,171 | |
Cash | 1,552,161 | |
Receivable for investments sold | 465,180 | |
Receivable due from advisor | 99,295 | |
Prepaid expenses | 117 | |
Total Assets | 17,375,924 | |
Liabilities: | | |
Payable for investments purchased | 804,320 | |
Accrued expenses: | | |
Administration | 2,723 | |
Custodian | 257 | |
Fund accounting | 5,586 | |
Trustee | 800 | |
Other | 30,137 | |
Total Liabilities | 843,823 | |
Net Assets | $16,532,101 | |
Net Assets consist of: | | |
Paid-in Capital | $22,916,642 | |
Total Distributable Earnings (Loss) | (6,384,541 | ) |
Net Assets | $16,532,101 | |
| | |
Net Assets: | $16,532,101 | |
Shares of Beneficial Interest Outstanding | 700,000 | |
Net Asset Value (offering and redemption price per share): | $23.62 | |
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 10
| The SPAC and | |
Investment Income: | | |
Interest income | $249 | |
Total Investment Income | 249 | |
Expenses: | | |
Advisory | 173,368 | |
Administration | 41,776 | |
Compliance services | 9,000 | |
Custodian | 2,724 | |
Fund accounting | 73,954 | |
Legal and audit | 59,295 | |
Printing | 13,368 | |
Treasurer | 4,350 | |
Trustee | 3,600 | |
Other | 12,046 | |
Total Expenses before fee reductions | 393,481 | |
Expenses contractually waived and/or reimbursed by the Advisor | (195,405 | ) |
Total Net Expenses | 198,076 | |
Net Investment Income (Loss) | (197,827 | ) |
Realized and Unrealized Gains (Losses) from Investments: | | |
Net realized gains (losses) from investment transactions | (2,371,406 | ) |
Net realized gains (losses) from in-kind transactions | (7,355 | ) |
Change in unrealized appreciation (depreciation) on investments | (29,526 | ) |
Net Realized and Unrealized Gains (Losses) from Investments: | (2,408,287 | ) |
Change in Net Assets Resulting From Operations | $(2,606,114 | ) |
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 11
| The SPAC and New Issue ETF | |||
| Year Ended |
| Year Ended |
|
From Investment Activities: | | | | |
Operations: | | | | |
Net investment income (loss) | $(197,827 | ) | $(442,292 | ) |
Net realized gains (losses) from | (2,378,761 | ) | (5,733,181 | ) |
Change in unrealized appreciation | (29,526 | ) | 2,929,266 | |
Change in net assets resulting from operations | (2,606,114 | ) | (3,246,207 | ) |
Distributions to Shareholders From: | | | | |
Earnings | — | | (813,499 | ) |
Change in net assets from distributions | — | | (813,499 | ) |
Capital Transactions: | | | | |
Proceeds from shares issued | 3,142,129 | | 7,520,485 | |
Proceeds for NAV error(a) | 93,250 | | 37,627 | |
Cost of shares redeemed | (14,272,778 | ) | (58,766,552 | ) |
Change in net assets from capital transactions | (11,037,399 | ) | (51,208,440 | ) |
Change in net assets | (13,643,513 | ) | (55,268,146 | ) |
Net Assets: | | | | |
Beginning of period | 30,175,614 | | 85,443,760 | |
End of period | $16,532,101 | | $30,175,614 | |
Share Transactions: | | | | |
Issued | 125,000 | | 275,000 | |
Redeemed | (575,000 | ) | (2,100,000 | ) |
Change in shares | (450,000 | ) | (1,825,000 | ) |
(a) See Note 2 in Notes to Financial Statements.
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 12
The SPAC and New Issue ETF | Year Ended |
| Year Ended |
| December 15, |
|
Net Asset Value, Beginning of Period | $26.24 | | $28.72 | | $25.00 | |
| | | | | | |
Net Investment Income (Loss)(b) | (0.23 | ) | (0.25 | ) | (0.26 | ) |
Net Realized and Unrealized Gains (Losses) on Investments | (2.50 | ) | (1.89 | ) | 3.98 | (c) |
Total from Investment Activities | (2.73 | ) | (2.14 | ) | 3.72 | |
| | | | | | |
Distributions from Net Investment Income | — | | (0.36) | | — | |
Distributions from Net Realized Gains on Investments | — | | — | | — | |
Total Distributions | — | | (0.36) | | — | |
| | | | | | |
Impact of NAV error | 0.11 | | 0.02 | | — | |
Net Asset Value, End of Period | $23.62 | | $26.24 | | $28.72 | |
Net Assets at End of Period (000’s) | $16,532 | | $30,176 | | $85,444 | |
| | | | | | |
Total Return at NAV(d)(e) | (9.99)% | (f) | (7.47)% | (g) | 14.88% | |
Total Return at Market(e)(h) | (10.62)% | | (7.74)% | | 14.96% | |
| | | | | | |
Ratio of Net Expenses to Average Net Assets(i) | 0.95% | | 0.95% | | 0.95% | |
Ratio of Gross Expenses to Average Net Assets(i)(j) | 1.89% | | 1.31% | | 1.13% | |
Ratio of Net Investment Income (Loss) to Average Net Assets(i) | (0.95)% | | (0.88)% | | (0.90)% | |
Portfolio Turnover(e)(k) | 62% | | 51% | | 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) As a result of the Adara Acquisition Corps business combination with Alliance Entertainment, the Adara Acquisition Corp founders shares held by the fund were subject to an involuntary haircut to its number of shares backdated to the Business Combination closing on February 10, 2023. The share haircut result in an overstated NAV error from February 10, 2023 to September 8, 2023. The impact of the NAV error on Total Return at NAV was (0.51)%.
(g) A reduction in position of a private placement security resulted in an overstated NAV error from September 14, 2021 through February 7, 2022. The impact of the NAV error on Total Return at NAV was (0.07)%.
(h) 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.
(i) Annualized for periods less than one year.
(j) If applicable, certain fees were waived and/or reimbursed. If such waivers/reimbursements had not occurred, the ratio would have been as indicated.
(k) Excludes the impact of in-kind transactions.
Annual Shareholder Report | 13
(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, as amended (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 “Fund”). The Fund is a diversified actively-managed exchange-traded fund. 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.
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 (“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”). 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 policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The Fund is an investment company
Annual Shareholder Report | 14
Notes to Financial Statements (continued)September 30, 2023
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” including, Accounting Standards Update 2013-08. 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.
Payment from affiliate – For the year ended September 30, 2023, the Fund will be reimbursed $93,250 from the Advisor as a result of an NAV error. For the year ended September 30, 2022, the Fund was reimbursed $37,627 from the Administrator as a result of a trading error. These are included in capital transactions on the Fund’s Statements of Changes in Net Assets.
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 Rule 2a-5 under the 1940 Act pursuant to 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. If market quotations are not readily available, securities will be valued at their fair market as determined using the fair value procedures approved by the Board. The Board has delegated the execution of these procedures to the advisor as fair value designee. 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 uses 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.).
Annual Shareholder Report | 15
Notes to Financial Statements (continued)September 30, 2023
• Level 3 - Significant unobservable pricing inputs at the measurement date (including the Fund’s 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.
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 summarizes the Fund’s investments, based on their valuation inputs, as of September 30, 2023, while the breakdown, by category, of investments is disclosed in the Portfolio of Investments for the Fund:
| Level 1 | | Level 2 | | Level 3 | | Total |
The SPAC and | | | | | | | |
Common Stocks(a) | $14,122,616 | | $— | | $— | | $14,122,616 |
Exchange-Traded Fund | 804,320 | | — | | — | | 804,320 |
Private Investments | — | | — | | 125,061 | | 125,061 |
Rights | 46,195 | | — | | — | | 46,195 |
Warrants | 160,979 | | — | (b) | — | | 160,979 |
Total Investments | 15,134,110 | | — | | 125,061 | | 15,259,171 |
(a) Please see the Portfolio of Investments for industry classifications.
(b) Amount less than $0.05.
The following table is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value.
| | The SPAC and | |
Balance as of September 30, 2022 | | $3,874,576 | |
Purchases During the Period | | — | |
Change in Unrealized Appreciation (Depreciation) | | (2,884,337 | ) |
Sales During the Period | | — | |
Realized Gains (Losses) | | (725,000 | ) |
Transfers In (Out) of Level 3 | | (140,178 | )(a) |
Balance as of September 30, 2023 | | $125,061 | |
The total change in unrealized appreciation (depreciation) attributable to Level 3 investments held at year end is ($57,598) for the year ended September 30, 2023.
Annual Shareholder Report | 16
Notes to Financial Statements (continued)September 30, 2023
The following is a summary of quantitative information about significant unobservable valuation inputs approved by the advisor in accordance with procedures adopted by the Board for Level 3 Fair Value Measurements for investments held at September 30, 2023.
Type of Assets | Fair Value at | Valuation | Unobservable | Value | Weighted |
SPAC Founder Shares and Private Placement Units | $125,061 | Discount to | Discount | 85% discount | 85% discount |
(a) Adara Acquisition Corp. completed a Business Combination with Alliance Entertainment (AENT) on February 10, 2023. The Alliance Entertainment shares and warrants had a 6 month lock-up period before full conversion to publicly traded shares and warrants. As of September 30, 2023, the lock-up period had expired, and the shares and warrants were valued at 100% of the price of the AENT shares and warrants.
(b) A change to the unobservable input may result in a significant change to the value of the investment as follows:
Unobservable Input | Impact to Value if Input Increases | Impact to Value if Input Decreases |
Discount for | Decrease | Increase |
B. Security Transactions and Related Income
Investment transactions are accounted for no later than the first calculation of the NAV on the business day following the trade date. For financial reporting purposes, however, security transactions are accounted for on the trade date on the last business day of the reporting period. Securities’ gains and losses are calculated on the identified cost basis. Interest income and expenses are accrued daily. Dividends and dividend expense, less foreign tax withholding, if any, are recorded on the ex-dividend date. Investment income from non-U.S. sources received by the 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 the United States federally insured limit of $250,000. Amounts swept overnight are available on the next business day.
D. Dividends and Distributions to Shareholders
Distributions are recorded on the ex-dividend date. The Fund intends to distribute to its shareholders net investment income and net realized capital gains, if any, at least annually. The amount of dividends from net investment income and net realized gains is determined in accordance with federal income
Annual Shareholder Report | 17
Notes to Financial Statements (continued)September 30, 2023
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.
(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 0.83% of its average daily net assets, calculated daily and paid monthly.
The Advisor has contractually agreed to reduce its fees and to reimburse expenses, at least through January 31, 2024 to ensure that Net Annual Fund Operating Expenses (exclusive of any (i) front-end or contingent deferred loads, (ii) brokerage fees and commissions, (iii) acquired fund fees and expenses, (iv) fees and expenses associated with instruments in other collective investment vehicles or derivative instruments (including for example options and swap fees and expenses); (v) borrowing costs (such as interest and dividend expense on securities sold short), (vi) taxes, (vii) other fees related to underlying investments, (such as option fees and expenses or swap fees and expenses); or (viii) 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)) will not exceed 0.95%. This expense limitation agreement may be terminated at any time, by the Board upon sixty days written notice to the Advisor. The expense limitation agreement will automatically terminate, if the Investment Advisory Agreement is terminated. Fee waivers and expense reimbursements are subject to possible recoupment from the Fund in future years on a rolling three-year basis (within the three years after the fees have been waived or reimbursed) if such recoupment can be achieved within the foregoing expense limits or the expense limits in place at the time of recoupment.
Annual Shareholder Report | 18
Notes to Financial Statements (continued)September 30, 2023
As of September 30, 2023, the Advisor may recoup amounts from the Fund as follows:
| Waived/ | Waived/ | Waived/ | Total |
The SPAC and New Issue ETF | $154,955 | $182,529 | $195,405 | $532,889 |
B. Administration, Custodian, Transfer Agent and Accounting Fees
Citi Fund Services Ohio, Inc. (“Citi”) serves as the administrator, fund accountant, 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.
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 Fund’s net assets at month-end and is paid by the Fund on a quarterly basis. During the year ended September 30, 2023, the Fund paid a total of $4,350 to the Treasurer.
F. General
Certain trustees and officers of the Trust are officers, directors and/or trustees of the above companies and, except for the Treasurer, receive no compensation from the Fund for their services.
(4) Investment Transactions
Purchases and sales of investments, excluding in-kind transactions and short-term investments, for the year ended September 30, 2023 were as follows:
Annual Shareholder Report | 19
Notes to Financial Statements (continued)September 30, 2023
| Purchases | Sales |
The SPAC and New Issue ETF | $11,714,696 | $21,256,256 |
Purchases and sales of in-kind transactions for the year ended September 30, 2023 were as follows:
| Purchases | Sales |
The SPAC and New Issue ETF | $1,485,797 | $1,169,354 |
There were no purchases or sales of U.S. government securities during the year ended September 30, 2023.
(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 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 transaction fees for the Fund are listed below:
| Fee for | Maximum |
The SPAC and New Issue ETF | $250 | 2.00% |
(a) As a percentage of the amount invested.
From time to time, settlement of securities related to in-kind contributions or in-kind redemptions may be delayed. In such cases, securities related to in-kind transactions are reflected as a receivable or a payable on the Statement of Assets and Liabilities.
As of September 30, 2023, there were no unsettled in-kind capital transactions.
Annual Shareholder Report | 20
Notes to Financial Statements (continued)September 30, 2023
(6) Federal Income Taxes
It is the policy of the Fund to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined in applicable sections of the Internal Revenue Code of 1986, as amended, and to make distributions of net investment income and net realized capital gains sufficient to relieve it from all, or substantially all, federal income taxes.
Management of the Fund has reviewed the tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including U.S. federal (i.e., all open tax years and the interim tax period since then). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
As of and during the year ended September 30, 2023, the Fund did not have a liability for any unrecognized tax benefits. The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statement of Operations. During the year, the Fund did not incur any interest of penalties.
As of September 30, 2023, the tax cost of securities and the breakdown of unrealized appreciation (depreciation) for the Fund were as follows:
| Tax Cost of | Unrealized | Unrealized | Net Unrealized |
The SPAC and | $15,432,875 | $756,968 | $(930,672) | $(173,704) |
The difference between book-basis and tax-basis unrealized appreciation (depreciation) is primarily attributable to wash sale activity and investments in passive foreign investment companies.
The tax character of distributions paid during the fiscal year ended September 30, 2022 and September 30, 2023 were as follows:
| Distributions paid from | |||
| Ordinary Income | Net Capital Gains | Total Taxable Distributions | Total |
The SPAC and New Issue ETF |
|
|
|
|
2022 | $813,499 | $— | $813,499 | $813,499 |
2023 | — | — | — | — |
Annual Shareholder Report | 21
Notes to Financial Statements (continued)September 30, 2023
As of September 30, 2023, the components of distributable earnings (accumulated losses) on a tax basis were as follows:
| Undistributed Ordinary | Undistributed Capital | Distributable | Accumulated | Unrealized | Total |
The SPAC and New Issue ETF | $109,483 | $— | $109,483 | $(6,320,319) | $(173,704) | $(6,384,540) |
As of September 30, 2023 the Fund has net capital loss carryforwards (“CLCFs”) not subject to expiration as summarized in the table below.
| Short Term | Long Term | Total |
The SPAC and New Issue ETF | $2,438,041 | $3,882,278 | $6,320,319 |
Permanent Tax Differences:
As of September 30, 2023, the following reclassifications were made on the Statement of Assets and Liabilities, relating primarily to redemptions in-kind:
| Total Distributable | Paid-in |
The SPAC and New Issue ETF | $14,288 | $(14,288) |
(7) Investment Risks
ETF Risk
The NAV of a Fund can fluctuate up or down, and you could lose money investing in the Fund if the prices of the securities owned by the Fund decline. In addition, the Fund may be subject to the following risks: (1) the market price of the Fund’s shares may trade above or below its NAV; (2) an active trading market for the Fund’s shares may not develop or be maintained; or (3) trading of the Fund’s shares may be halted if the listing exchange’s officials deem such action appropriate, the shares are delisted from the exchange, or the activation of market-wide “circuit breakers” (which are tied to large decreases in stock prices) halts stock trading generally.
Market and Geopolitical Risk
The increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region or financial market. Securities in the Fund may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, pandemics, epidemics, terrorism, international conflicts, regulatory events and governmental or quasi-governmental actions.
Annual Shareholder Report | 22
Notes to Financial Statements (continued)September 30, 2023
The occurrence of global events similar to those in recent years, such as terrorist attacks around the world, natural disasters, social and political discord or debt crises and downgrades, among others, may result in market volatility and may have long term effects on both the U.S. and global financial markets. It is difficult to predict when similar events affecting the U.S. or global financial markets may occur, the effects that such events may have and the duration of those effects. Any such event(s) could have a significant adverse impact on the value and risk profile of the Fund. The COVID-19 global pandemic had negative impacts, and in many cases severe negative impacts, on markets worldwide. It is not known how long such impacts, or any future impacts of other significant events described above, will or would last, but there could be a prolonged period of global economic slowdown, which may impact your investment. Therefore, the 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. In times of severe market disruptions you could lose your entire investment.
SPAC Risk
The Fund invests 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. The 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.
Annual Shareholder Report | 23
Notes to Financial Statements (continued)September 30, 2023
(8) 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 September 30, 2023.
Annual Shareholder Report | 24
Report of Independent Registered Public Accounting Firm
To the Shareholders of The SPAC and New Issue ETF and
Board of Trustees of Collaborative Investment Series Trust
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the portfolio of investments, of The SPAC and New Issue ETF (the “Fund”), a series of Collaborative Investment Series Trust, as of September 30, 2023, the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the related notes, and the financial highlights for the years ended September 30, 2023 and 2022, and for the period December 15, 2020 (commencement of operations) through September 30, 2021 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of September 30, 2023, the results of its operations for the year then ended, the changes in net assets for each of the two years in the period then ended, and the financial highlights for the years ended September 30, 2023 and 2022, and for the period December 15, 2020 (commencement of operations) through September 30, 2021, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2023, by correspondence with the custodian and brokers. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as auditor of one or more investment companies advised by Tuttle Capital Management, LLC since 2018.
COHEN & COMPANY, LTD.
Milwaukee, Wisconsin
November 28, 2023
Annual Shareholder Report | 25
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.spcxetf.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.
LIQUIDITY RISK MANAGEMENT PROGRAM
The Fund has adopted and implemented a written liquidity risk management program as required by Rule 22e-4 (the “Liquidity Rule”) under the 1940 Act. The program is reasonably designed to assess and manage the Fund’s liquidity risk, taking into consideration, among other factors, the Fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions; its short and long-term cash flow projections; and its cash holdings and access to other funding sources.
The Trust’ s Liquidity Risk Management Program Committee (the “Committee”) reviewed the Fund’s investments and determined that the Fund held adequate levels of cash and highly liquid investments to meet shareholder redemption activities in accordance with applicable requirements. Accordingly, the Committee concluded that (i) the Fund’s liquidity risk management program
Annual Shareholder Report | 26
Additional Information (continued)September 30, 2023 (Unaudited)
is reasonably designed to prevent violations of the Liquidity Rule and (ii) the Fund’s liquidity risk management program has been effectively implemented.
TAILORED SHAREHOLDER REPORTS FOR MUTUAL FUNDS AND ETFS
Effective January 24, 2023, the SEC adopted rule and form amendments to require mutual funds and ETFs to transmit concise and visually engaging streamlined annual and semiannual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semiannual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. At this time, management is evaluating the impact of these amendments on the shareholder reports for the Fund.
Annual Shareholder Report | 27
Name Address* and | Position(s) | Term of | Principal | Number of | Other |
Dean Drulias, Esq. | Trustee | Indefinite/ | Attorney | 12 | Trustee for |
Shawn Orser | Trustee | Indefinite/ | CEO, Seaside Advisory | 12 | Trustee for |
Fredrick Stoleru | Trustee | Indefinite/ | COO of Belpointe Prep, LLC since September 2022, Chief Executive Officer and President of Atlas Resources LLC since February 2017, Vice President and General Partner of Atlas Growth Partners, L.P. since 2013, Principal at Hepco Capital Management (2018-2022) | 12 | None |
Ronald Young Jr. | Trustee | Indefinite/ | President – Young Consulting, Inc. (2008-Present); President – Tri State LED, Inc. (2010-Present) | 12 | Trustee for |
Annual Shareholder Report | 28
Board of Trustees and Trust Officers (Unaudited) (continued)
Interested Trustees and Officers
Name, Address* and | Position(s) | Term of | Principal | Number of | Other |
Gregory Skidmore**** | Trustee and President | Indefinite/ November 2017 - present | President, Belpointe | 12 | None |
Kyle R Bubeck | Chief | Since October 2021 | President and Founder of Beacon Compliance Consulting Inc. (since 2010) | N/A | N/A |
William McCormick | Treasurer | Since October 2021 | Senior Wealth Advisor – | N/A | N/A |
Brad Rundbaken Year of Birth: 1970 | Secretary | Since October 2021 | Manager – | N/A | N/A |
* The address for each Trustee and Officer listed is 500 Damonte Ranch Parkway Building 700, Unit 700, Reno, NV 89521.
** The term of office for each Trustee and officer listed above will continue indefinitely until the individual resigns or is removed.
*** The term “Fund Complex” applies only to the Collaborative Investment Series Trust as of September 30, 2023.
****Gregory Skidmore is considered an Interested Trustee as defined in the 1940 Act because of his ownership in Collaborative Fund Services, LLC.
The Fund’s SAI references additional information about the Trustees and is available free of charge, upon request, by calling toll free 1-866-904-0406.
Annual Shareholder Report | 29
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 information? | 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 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 |
Annual Shareholder Report | 30
Reasons we can share your | 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 1-866-904-0406 |
What we do: | |
How does the Collaborative Investment Series Trust protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. Our service providers are held accountable for adhering to strict policies and procedures to prevent any misuse of your nonpublic personal information. |
How does the Collaborative Investment Series Trust collect my personal information? | We collect your personal information, for example, when you •open an account or deposit money •direct us to buy securities or direct us to sell your securities •seek advice about your investments We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only: •sharing for affiliates’ everyday business purposes – information about your creditworthiness. •affiliates from using your information to market to you. •sharing for nonaffiliates to market to you. State laws and individual companies may give you additional rights to limit sharing. |
Annual Shareholder Report | 31
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial and non-financial companies. •The Collaborative Investment Series Trust does not share with affiliates. |
Non-affiliates | Companies not related by common ownership or control. They can be financial and non-financial companies. •The Collaborative Investment Series Trust does not share with non-affiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. •The Collaborative Investment Series Trust doesn’t jointly market. |
This report is provided for the general information of the 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.
11/23
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
Retireful, LLC
120 N. Washington, Suite 300
Lansing, MI 48933
1-866-464-6608
www.mohrfunds.com
Annual Shareholder Report
Mohr Growth ETF (MOHR)
Mindful Conservative ETF (MFUL)
Adaptive Core ETF (RULE)
Mohr Sector Nav ETF (SNAV)
September 30, 2023
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11 | |
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18 | |
20 | |
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44 |
TABLE OF CONTENTS
Annual Shareholder Report | 1
The Mohr Growth ETF maintained a defensive posture in 1st quarter 2023. The market, supported by a select group of tech stocks, moved higher albeit with a high level of volatility. The lack of breadth among those stocks participating in performance coupled with continued turbulence, prevented foundational, sustained trends from taking shape. This trendless volatility led the Mohr Growth ETF to stay defensive.
Based on continued volatility and overall range-bound performance of the equity market, the Mohr Growth ETF maintained defensive allocation into 2nd quarter 2023. The pricing activity of the index breached the upper bounds of the long-term range, putting into motion a dollar cost-averaged allocation to full market risk through the end of the quarter. Performance opportunities were limited relative to the level of market exposure throughout 2nd quarter 2023.
3rd quarter 2023 was characterized by rising longer term yields and volatility in equities, especially in the latter half of the quarter. The ETF performed in-line with the overall market as market volatility limited opportunities for technology-driven momentum and trending exposure.
Annual Shareholder Report | 2
Management's Discussion of Fund PerformanceSeptember 30, 2023 (Unaudited)
Mindful Conservative ETF
The Mindful Conservative ETF held firm in ultra-short Treasury bills from 1st quarter 2023 until mid 2nd quarter 2023. These bills offered the portfolio stable value and a yield that’s growing higher as interest rates rise. Given the historic slaughter of the bond market and extreme volatility in all stocks, defensives included, the portfolio determined the safest harbor was ultra-short U.S. government paper.
Significant downdrafts and volatility in the fixed income space prevented the Mindful Conservative ETF portfolio from taking any positions. Both stock and bond markets exhibited significant negative volatility and showed no durable trends to which our quantitative software would allocate.
As markets anticipated the end to the Fed tightening cycle, fixed income volatility subsided, and equities extended beyond long-term upper bounds. This presented the opportunity to assume full risk using a dollar-cost averaging approach. By end of Q2, the portfolio was fully engaged with software analytics. Performance opportunities were limited relative to the level of market exposure throughout Q2 2023.
Q3 2023 was characterized by rising longer term yields and volatility in equities, especially in the latter half of the quarter. The ETF performed in-line with the overall market as market volatility limited opportunities for technology-driven momentum and trending exposure.
Annual Shareholder Report | 3
Management's Discussion of Fund PerformanceSeptember 30, 2023 (Unaudited)
Adaptive Core ETF
Throughout 1st quarter 2023, the Adaptive Core ETF held steady in its defensive positioning based on the quantitative software’s analysis of continued trendless volatility. The persistent downtrends in equities and bonds meant there were no durable upward trends that would signal to buy.
Defensive positioning continued into 2nd quarter 2023 as the quantitative software’s analysis evaluated a volatile and trendless market environment. Range-bound behavior in equities resulted in a lack of durable upward trends that would typically signal a buying opportunity.
The pricing activity of the index breached the upper bounds of the long-term range, putting into motion a dollar cost-averaged allocation to full market risk through the end of 2nd quarter.
Adaptive Core ETF performed in-line with the overall market in 3rd quarter 2023 as market volatility limited opportunities for technology-driven momentum and trending exposure.
Annual Shareholder Report | 4
Management's Discussion of Fund PerformanceSeptember 30, 2023 (Unaudited)
Mohr Sector Nav ETF
The Mohr Sector NAV ETF launched January 10, 2023. The start of Q1 was the onset of an upward trend, with Mohr Sector NAV ETF inception date occurring late into this upward cycle and thus missing a portion of this opportunity. The quantitative software’s analysis has been actively engaged across all sectors since inception. Volatility has persisted and has served as a headwind in establishing sustainable trends among the sectors.
2nd quarter 2023 represented the first full quarter of active engagement across all sectors. Concentration in performance among select mega-cap tech stocks persisted throughout Q2 2023. The ETF captured good performance but, as a sector-focused ETF, could not specifically invest in the 7 stocks that accounted for a large portion of the full index performance.
3rd quarter 2023 was characterized by rising longer term yields and volatility in equities, especially in the latter half of the quarter. The ETF performed in-line with the overall market as market volatility pushed exposure more heavily into broad market constituents as opposed to single sector exposure.
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 5
INVESTMENT OBJECTIVE
Mohr Growth ETF seeks to provide capital appreciation.
FUND PERFORMANCE | Average Annual | Expense | |
| 1 Year | Inception (11/2/21) | Total |
Mohr Growth ETF (MOHR) - Total Return | -6.01% | -14.83% | 1.06% |
Mohr Growth ETF (MOHR) - Total Return | -6.13% | -14.88% | N/A |
S&P 500 Index(d) | 21.62% | -2.36% | N/A |
Hypothetical Growth of a $10,000 Investment (*)
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represent past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed may be worth more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance information current to the most recent month-end, please call 1-866-464-6608 or visit http://www.mohrfunds.com.
*The chart represents historical performance of a hypothetical investment of $10,000 in Mohr Growth ETF and represents the reinvestment of dividends and capital gains in the Fund.
(a) The total expense ratio reflects the gross expense ratio as reported in the Fund’s Prospectus dated February 1, 2023. Please see the Fund’s most recent prospectus for details. Additional information pertaining to the Fund’s expense ratio as of September 30, 2023 can be found in the Financial Highlights.
(b) Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions, including dividends and return of capital, at net asset value during the period, if any, and redemption on the last day of the period at net asset value. This percentage is not an indication of the performance of a shareholder’s investment in the Fund based on market value due to differences between the market price of the shares and the net asset value per share of the Fund.
(c) Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all distributions, including dividends and return of capital, at net asset value during the period, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price from any primary listing market (e.g., Cboe BZX) or participating regional exchanges or markets. The composite closing price is the last reported sale price from any of the eligible sources, regardless of volume and not an average price and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund’s closing price on the listing market.
(d) The S&P 500 Index measures the performance of 500 widely held stocks in US equity market. Standard and Poor’s chooses member companies for the index based on market size, liquidity and industry group representation. Included are the stocks of industrial, financial, utility and transportation companies. Since mid 1989, this composition has been more flexible and the number of issues in each sector has varied. It is market capitalization-weighted. Index returns, unlike the Fund’s returns, do not reflect any fees or expenses. Investors cannot invest directly in an index.
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 6
Fund PerformanceSeptember 30, 2023 (Unaudited)
Mindful Conservative ETF
INVESTMENT OBJECTIVE
Mindful Conservative ETF seeks current income.
FUND PERFORMANCE | Average Annual | Expense | |
| 1 Year | Inception (11/2/21) | Total |
Mindful Conservative ETF (MFUL) - Total Return (at Net Asset Value)(b) | -0.49% | -8.03% | 1.12% |
Mindful Conservative ETF (MFUL) - Total Return (at Market Value)(c) | -0.64% | -8.08% | N/A |
Dow Jones U.S. Moderately Conservative Portfolio Index(d) | 6.32% | -6.05% | N/A |
Hypothetical Growth of a $10,000 Investment (*)
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represent past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed may be worth more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance information current to the most recent month-end, please call 1-866-464-6608 or visit http://www.mohrfunds.com.
*The chart represents historical performance of a hypothetical investment of $10,000 in Mindful Conservative ETF and represents the reinvestment of dividends and capital gains in the Fund.
(a) The total expense ratio reflects the gross expense ratio as reported in the Fund’s Prospectus dated February 1, 2023. Please see the Fund’s most recent prospectus for details. Additional information pertaining to the Fund’s expense ratio as of September 30, 2023 can be found in the Financial Highlights.
(b) Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions, including dividends and return of capital, at net asset value during the period, if any, and redemption on the last day of the period at net asset value. This percentage is not an indication of the performance of a shareholder’s investment in the Fund based on market value due to differences between the market price of the shares and the net asset value per share of the Fund.
(c) Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all distributions, including dividends and return of capital, at net asset value during the period, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price from any primary listing market (e.g., Cboe BZX) or participating regional exchanges or markets. The composite closing price is the last reported sale price from any of the eligible sources, regardless of volume and not an average price and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund’s closing price on the listing market.
(d) Dow Jones U.S. Moderately Conservative Portfolio Index is designed to measure a portfolio of equities, bonds, and cash, representative of an investor’s risk profile. The equities position represents 40%, which is a mix of Dow Jones U.S. Indexes. Bonds and cash represent the remaining 60% of the portfolio. Index returns, unlike the Fund’s returns, do not reflect any fees or expenses. Investors cannot invest directly in an index.
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 7
Fund PerformanceSeptember 30, 2023 (Unaudited)
Adaptive Core ETF
INVESTMENT OBJECTIVE
Adaptive Core ETF seeks current income.
FUND PERFORMANCE | Average Annual | Expense | |
| 1 Year | Inception (11/2/21) | Total |
Adaptive Core ETF (RULE) - Total Return | -3.37% | -13.93% | 1.13% |
Adaptive Core ETF (RULE) - Total Return | -3.34% | -13.91% | N/A |
S&P 500 Index(d) | 21.62% | -2.36% | N/A |
Hypothetical Growth of a $10,000 Investment (*)
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represent past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed may be worth more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance information current to the most recent month-end, please call 1-866-464-6608 or visit http://www.mohrfunds.com.
*The chart represents historical performance of a hypothetical investment of $10,000 in Adaptive Core ETF and represents the reinvestment of dividends and capital gains in the Fund.
(a) The total expense ratio reflects the gross expense ratio as reported in the Fund’s Prospectus dated February 1, 2023. Please see the Fund’s most recent prospectus for details. Additional information pertaining to the Fund’s expense ratio as of September 30, 2023 can be found in the Financial Highlights.
(b) Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions, including dividends and return of capital, at net asset value during the period, if any, and redemption on the last day of the period at net asset value. This percentage is not an indication of the performance of a shareholder’s investment in the Fund based on market value due to differences between the market price of the shares and the net asset value per share of the Fund.
(c) Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all distributions, including dividends and return of capital, at net asset value during the period, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price from any primary listing market (e.g., Cboe BZX) or participating regional exchanges or markets. The composite closing price is the last reported sale price from any of the eligible sources, regardless of volume and not an average price and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund’s closing price on the listing market.
(d) The S&P 500 Index measures the performance of 500 widely held stocks in US equity market. Standard and Poor’s chooses member companies for the index based on market size, liquidity and industry group representation. Included are the stocks of industrial, financial, utility and transportation companies. Since mid 1989, this composition has been more flexible and the number of issues in each sector has varied. It is market capitalization-weighted. Index returns, unlike the Fund’s returns, do not reflect any fees or expenses. Investors cannot invest directly in an index.
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 8
Fund PerformanceSeptember 30, 2023 (Unaudited)
Mohr Sector Nav ETF
INVESTMENT OBJECTIVE
Mohr Sector Nav ETF seeks to provide capital appreciation.
FUND PERFORMANCE (AS OF SEPTEMBER 30, 2023) | Average | Expense |
| Inception (1/10/23) | Total |
Mohr Sector Nav ETF (SNAV) - Total Return (at Net Asset Value)(b) | 3.43% | 0.98% |
Mohr Sector Nav ETF (SNAV) - Total Return (at Market Value)(c) | 3.32% | N/A |
S&P 500 Index(d) | 10.72% | N/A |
Hypothetical Growth of a $10,000 Investment (*)
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represent past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed may be worth more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance information current to the most recent month-end, please call 1-866-464-6608 or visit http://www.mohrfunds.com.
*The chart represents historical performance of a hypothetical investment of $10,000 in Mohr Sector Nav ETF and represents the reinvestment of dividends and capital gains in the Fund.
(a) The total expense ratio reflects the gross expense ratio as reported in the Fund’s Prospectus dated January 2, 2023. Please see the Fund’s most recent prospectus for details. Additional information pertaining to the Fund’s expense ratio as of September 30, 2023 can be found in the Financial Highlights.
(b) 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.
(c) 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.
(d) The S&P 500 Index measures the performance of 500 widely held stocks in US equity market. Standard and Poor’s chooses member companies for the index based on market size, liquidity and industry group representation. Included are the stocks of industrial, financial, utility and transportation companies. Since mid 1989, this composition has been more flexible and the number of issues in each sector has varied. It is market capitalization-weighted. Index returns, unlike the Fund’s returns, do not reflect any fees or expenses. Investors cannot invest directly in an index.
Annual Shareholder Report | 9
As a Fund shareholder, you may incur two types of costs: (1) transaction costs, including commissions on trading, as applicable; and (2) ongoing costs, including advisory fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other funds.
The expense examples below are based on an investment of $1,000 invested at the beginning of the period and held for the six-month period ended September 30, 2023.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Further, the expenses do not include any brokerage commissions on investors’ purchases or redemptions of Fund shares as described in each Fund’s prospectus. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Annual Shareholder Report | 10
Expense Examples (continued)September 30, 2023 (Unaudited)
| | Beginning | Ending | Expenses Paid | Annualized |
Mohr Growth ETF | Actual | $1,000.00 | $945.70 | $4.73 | 0.97% |
| Hypothetical | 1,000.00 | 1,020.21 | 4.91 | 0.97 |
Mindful Conservative ETF | Actual | 1,000.00 | 984.80 | 4.93 | 0.99 |
| Hypothetical | 1,000.00 | 1,020.10 | 5.01 | 0.99 |
Adaptive Core ETF | Actual | 1,000.00 | 965.70 | 5.27 | 1.07 |
| Hypothetical | 1,000.00 | 1,019.70 | 5.42 | 1.07 |
Mohr Sector Nav ETF | Actual | 1,000.00 | 1,027.70 | 6.05 | 1.19 |
| Hypothetical | 1,000.00 | 1,019.10 | 6.02 | 1.19 |
(a) Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183/365 (the number of days in the most recent fiscal half year divided by the number of days in the fiscal year).
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 11
Portfolio of Investments Summary Table | Percentage of |
Consumer Discretionary | 14.2 |
Consumer Staples | 2.8 |
Energy | 14.4 |
Exchange-Traded Funds | 23.7 |
Financials | 18.6 |
Health Care | 2.9 |
Industrials | 2.7 |
Information Technology | 15.8 |
Utilities | 4.9 |
Total | 100.0 |
Portfolio holdings and allocations are subject to change. As of September 30, 2023, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund’s total net assets.
Portfolio of Investments
| Shares | | | Fair Value ($) | |
| Common Stocks — 72.1% | | | ||
| Consumer Discretionary — 13.4% | | | ||
| 16,412 | | Amazon.com, Inc.(a) | 2,086,293 | |
| 752 | | Booking Holdings, Inc.(a) | 2,319,130 | |
| 9,989 | | Lowe’s Cos., Inc. | 2,076,114 | |
| 1,795 | | MercadoLibre, Inc.(a) | 2,275,845 | |
| 9,954 | | Tesla, Inc.(a) | 2,490,690 | |
| | | | 11,248,072 | |
| Consumer Staples — 2.6% | | | ||
| 3,869 | | Costco Wholesale Corp. | 2,185,830 | |
| | | | 2,185,830 | |
| Energy — 13.6% | | | ||
| 14,624 | | Hess Corp. | 2,237,472 | |
| 16,489 | | Marathon Petroleum Corp. | 2,495,445 | |
| 35,445 | | Occidental Petroleum Corp. | 2,299,672 | |
| 33,583 | | ONEOK, Inc. | 2,130,170 | |
| 38,525 | | Schlumberger NV | 2,246,007 | |
| | | | 11,408,766 | |
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 12
Portfolio of InvestmentsSeptember 30, 2023
Mohr Growth ETF
| Shares | | | Fair Value ($) | |
| Financials — 17.6% | | | ||
| 16,486 | | Allstate Corp. (The) | 1,836,705 | |
| 5,583 | | Aon PLC, Class A | 1,810,120 | |
| 27,728 | | Apollo Global Management, Inc. | 2,488,865 | |
| 22,132 | | Blackstone, Inc. | 2,371,223 | |
| 34,572 | | KKR & Co., Inc. | 2,129,635 | |
| 40,752 | | Nasdaq, Inc. | 1,980,140 | |
| 17,378 | | PNC Financial Services Group (The) | 2,133,497 | |
| | | | 14,750,185 | |
| Health Care — 2.7% | | | ||
| 5,186 | | McKesson Corp. | 2,255,132 | |
| | | | 2,255,132 | |
| Industrials — 2.6% | | | ||
| 4,779 | | United Rentals, Inc. | 2,124,600 | |
| | | | 2,124,600 | |
| Information Technology — 15.0% | | | ||
| 11,432 | | Arista Networks, Inc.(a) | 2,102,688 | |
| 2,516 | | Broadcom, Inc. | 2,089,739 | |
| 11,004 | | CDW Corp. | 2,220,167 | |
| 31,260 | | Cognizant Technology Solutions Corp., Class A | 2,117,552 | |
| 10,398 | | Crowdstrike Holdings, Inc., Class A(a) | 1,740,417 | |
| 4,036 | | ServiceNow, Inc.(a) | 2,255,963 | |
| | | | 12,526,526 | |
| Utilities — 4.6% | | | ||
| 46,283 | | Dominion Energy, Inc. | 2,067,462 | |
| 28,413 | | Edison International | 1,798,259 | |
| | | | 3,865,721 | |
| Total Common Stocks (Cost $61,039,134) | 60,364,832 | |
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 13
Portfolio of InvestmentsSeptember 30, 2023
Mohr Growth ETF
| Shares | | | Fair Value ($) | |
| Exchange-Traded Funds — 22.5% | | | ||
| 47,514 | | iShares MSCI USA Quality Factor ETF | 6,261,870 | |
| 127,578 | | Pacer US Cash Cows 100 ETF | 6,306,181 | |
| 82,182 | | VanEck Morningstar Wide Moat ETF | 6,232,683 | |
| | | | 18,800,734 | |
| Total Exchange-Traded Funds (Cost $19,426,787) | 18,800,734 | | ||
| | | | ||
| Total Investments — 94.6% (Cost $80,465,921) | 79,165,566 | | ||
| Other Assets in Excess of Liabilities — 5.4% | 4,545,726 | | ||
| Net Assets — 100.0% | 83,711,292 | |
(a) Non-income producing security.
ETF — Exchange-Traded Fund
PLC — Public Limited Company
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 14
Portfolio of Investments Summary Table | Percentage of |
Exchange-Traded Funds | 100.0 |
Total | 100.0 |
Portfolio holdings and allocations are subject to change. As of September 30, 2023, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund’s total net assets.
Portfolio of Investments
| Shares | | | Fair Value ($) | |
| Exchange-Traded Funds — 55.9% | | | ||
| 110,034 | | Fidelity Corporate Bond ETF | 4,809,586 | |
| 82,804 | | Goldman Sachs Access Treasury 0-1 Year ETF | 8,289,508 | |
| 12,878 | | Invesco Exchange-Traded Fund Trust-Invesco S&P 500 Top 50 ETF | 437,337 | |
| 82,348 | | iShares 0-3 Month Treasury Bond ETF | 8,289,973 | |
| 6,019 | | iShares Convertible Bond ETF | 446,670 | |
| 3,305 | | iShares MSCI USA Quality Factor ETF | 435,566 | |
| 53,070 | | PIMCO Active Bond Exchange-Traded Fund | 4,664,853 | |
| 90,263 | | SPDR Bloomberg 1-3 Month T-Bill ETF | 8,287,949 | |
| 6,453 | | SPDR Bloomberg Convertible Securities ETF | 437,513 | |
| 165,985 | | SPDR Portfolio Long Term Treasury ETF | 4,340,508 | |
| 125,944 | | SPDR SSgA Global Allocation ETF | 4,812,093 | |
| 6,272 | | Vanguard Intermediate-Term Corporate Bond ETF | 476,547 | |
| | | | 45,728,103 | |
| Total Exchange-Traded Funds (Cost $46,493,530) | 45,728,103 | | ||
| | | | ||
| Total Investments — 55.9% (Cost $46,493,530) | 45,728,103 | | ||
| Other Assets in Excess of Liabilities — 44.1% | 36,053,628 | | ||
| Net Assets — 100.0% | 81,781,731 | |
ETF — Exchange-Traded Fund
S&P — Standard and Poor’s
SPDR — Standard & Poor’s Depositary Receipts
SSgA — State Street Global Advisors
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 15
Portfolio of Investments Summary Table | Percentage of |
Energy | 3.8 |
Exchange-Traded Funds | 7.2 |
Financials | 17.8 |
Health Care | 20.9 |
Industrials | 30.4 |
Information Technology | 16.6 |
Materials | 3.3 |
Total | 100.0 |
Portfolio holdings and allocations are subject to change. As of September 30, 2023, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund’s total net assets.
Portfolio of Investments
| Shares | | | Fair Value ($) | |
| Common Stocks — 88.3% | | | ||
| Energy — 3.6% | | | ||
| 14,297 | | Phillips 66 | 1,717,784 | |
| | | | 1,717,784 | |
| Financials — 17.0% | | | ||
| 16,034 | | Blackstone, Inc. | 1,717,883 | |
| 27,390 | | Charles Schwab Corp. (The) | 1,503,711 | |
| 7,956 | | CME Group, Inc. | 1,592,950 | |
| 28,902 | | Fidelity National Information Services, Inc. | 1,597,414 | |
| 26,464 | | KKR & Co., Inc. | 1,630,182 | |
| | | | 8,042,140 | |
| Health Care — 19.9% | | | ||
| 5,746 | | Cigna Group (The) | 1,643,758 | |
| 6,196 | | Danaher Corp. | 1,537,228 | |
| 3,850 | | Elevance Health, Inc. | 1,676,367 | |
| 2,881 | | Eli Lilly & Co. | 1,547,472 | |
| 4,414 | | Vertex Pharmaceuticals, Inc.(a) | 1,534,924 | |
| 8,574 | | Zoetis, Inc. | 1,491,704 | |
| | | | 9,431,453 | |
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 16
Portfolio of InvestmentsSeptember 30, 2023
Adaptive Core ETF
| Shares | | | Fair Value ($) | |
| Industrials — 28.9% | | | ||
| 7,400 | | AMETEK, Inc. | 1,093,424 | |
| 6,144 | | Automatic Data Processing, Inc. | 1,478,124 | |
| 3,332 | | Cintas Corp. | 1,602,725 | |
| 36,216 | | Copart, Inc.(a) | 1,560,547 | |
| 7,150 | | Eaton Corp. PLC | 1,524,952 | |
| 16,484 | | Emerson Electric Co. | 1,591,860 | |
| 3,885 | | Old Dominion Freight Line, Inc. | 1,589,509 | |
| 36,304 | | Uber Technologies, Inc.(a) | 1,669,621 | |
| 3,538 | | United Rentals, Inc. | 1,572,889 | |
| | | | 13,683,651 | |
| Information Technology — 15.8% | | | ||
| 11,122 | | Applied Materials, Inc. | 1,539,841 | |
| 8,888 | | Arista Networks, Inc.(a) | 1,634,770 | |
| 7,820 | | CDW Corp. | 1,577,763 | |
| 27,176 | | Dell Technologies, Inc., Class C | 1,872,427 | |
| 1,962 | | NVIDIA Corp. | 853,450 | |
| | | | 7,478,251 | |
| Materials — 3.1% | | | ||
| 9,457 | | Nucor Corp. | 1,478,602 | |
| | | | 1,478,602 | |
| Total Common Stocks (Cost $42,595,043) | 41,831,881 | | ||
| | | | | |
| Exchange-Traded Funds — 6.8% | | | ||
| 17,621 | | SPDR Bloomberg 1-3 Month T-Bill ETF | 1,617,960 | |
| 32,161 | | WisdomTree Floating Rate Treasury Fund ETF | 1,618,342 | |
| | | | 3,236,302 | |
| Total Exchange-Traded Funds (Cost $3,240,036) | 3,236,302 | | ||
| | | | ||
| Total Investments — 95.1% (Cost $45,835,079) | 45,068,183 | | ||
| Other Assets in Excess of Liabilities — 4.9% | 2,333,644 | | ||
| Net Assets — 100.0% | 47,401,827 | |
(a) Non-income producing security.
ETF — Exchange-Traded Fund
PLC — Public Limited Company
SPDR — Standard & Poor’s Depositary Receipts
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 17
Portfolio of Investments Summary Table | Percentage of |
Exchange-Traded Funds | 100.0 |
Total | 100.0 |
Portfolio holdings and allocations are subject to change. As of September 30, 2023, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund’s total net assets.
Portfolio of Investments
| Shares | | | Fair Value ($) | |
| Exchange-Traded Funds — 63.3% | | | ||
| 63,902 | | SPDR S&P 500 ETF Trust(a) | 27,316,827 | |
| 38,608 | | Vanguard Energy ETF | 4,893,178 | |
| 21,283 | | Vanguard Health Care ETF | 5,003,633 | |
| | | | 37,213,638 | |
| Total Exchange-Traded Funds (Cost $37,819,506) | 37,213,638 | | ||
| | | | ||
| Total Investments — 63.3% (Cost $37,819,506) | 37,213,638 | | ||
| Other Assets in Excess of Liabilities — 36.7% | 21,610,069 | | ||
| Net Assets — 100.0% | 58,823,707 | |
(a) As of September 30, 2023, investment is 46.44% of the Fund’s net assets. See Note 8 in the Notes to Financial Statements.
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.
Annual Shareholder Report | 18
| Mohr |
| Mindful |
| Adaptive |
|
Assets: | | | | | | |
Investments, at value (Cost $80,465,921, $46,493,530 and $45,835,079) | $79,165,566 | | $45,728,103 | | $45,068,183 | |
Cash | 667,314 | | 15,245,809 | | 852,050 | |
Dividends and interest receivable | 64,327 | | 17,422 | | 15,779 | |
Receivable for investments sold | 3,882,855 | | 20,857,187 | | 1,508,845 | |
Prepaid expenses | 1,597 | | 1,377 | | 911 | |
Total Assets | 83,781,659 | | 81,849,898 | | 47,445,768 | |
Liabilities: | | | | | | |
Accrued expenses: | | | | | | |
Advisory | 49,806 | | 47,788 | | 28,168 | |
Administration | 8,024 | | 8,192 | | 4,589 | |
Custodian | 539 | | 217 | | 389 | |
Fund accounting | 4,336 | | 4,308 | | 4,470 | |
Printing | 2,820 | | 2,820 | | 2,811 | |
Trustee | 3,000 | | 3,000 | | 2,123 | |
Other | 1,842 | | 1,842 | | 1,391 | |
Total Liabilities | 70,367 | | 68,167 | | 43,941 | |
Net Assets | $83,711,292 | | $81,781,731 | | $47,401,827 | |
Net Assets consist of: | | | | | | |
Paid-in Capital | $104,773,897 | | $85,888,007 | | $57,510,092 | |
Total Distributable Earnings (Loss) | (21,062,605 | ) | (4,106,276 | ) | (10,108,265 | ) |
Net Assets | $83,711,292 | | $81,781,731 | | $47,401,827 | |
| | | | | | |
Net Assets: | $83,711,292 | | $81,781,731 | | $47,401,827 | |
Shares of Beneficial Interest Outstanding (unlimited number of shares authorized, no par value): | 4,550,000 | | 3,850,000 | | 2,525,000 | |
Net Asset Value (offering and redemption price per share): | $18.40 | | $21.24 | | $18.77 | |
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 19
Statements of Assets and Liabilities (continued)September 30, 2023
| | Mohr | |
Assets: | | | |
Investments, at value (Cost $37,819,506) | | $37,213,638 | |
Cash | | 11,051,350 | |
Dividends and interest receivable | | 222,115 | |
Receivable for investments sold | | 15,391,560 | |
Prepaid expenses | | 242 | |
Total Assets | | 63,878,905 | |
Liabilities: | | | |
Payable for investments purchased | | 5,000,385 | |
Accrued expenses: | | | |
Advisory | | 35,015 | |
Administration | | 6,002 | |
Custodian | | 238 | |
Fund accounting | | 4,687 | |
Printing | | 1,908 | |
Trustee | | 2,400 | |
Other | | 4,563 | |
Total Liabilities | | 5,055,198 | |
Net Assets | | $58,823,707 | |
Net Assets consist of: | | | |
Paid-in Capital | | $59,130,364 | |
Total Distributable Earnings (Loss) | | (306,657 | ) |
Net Assets | | $58,823,707 | |
| | | |
Net Assets: | | $58,823,707 | |
Shares of Beneficial Interest Outstanding (unlimited number of shares authorized, no par value): | | 2,275,000 | |
Net Asset Value (offering and redemption price per share): | | $25.86 | |
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 20
| Mohr |
| Mindful |
| Adaptive |
|
Investment Income: | | | | | | |
Dividend income | $2,456,913 | | $3,563,861 | | $1,526,412 | |
Total Investment Income | 2,456,913 | | 3,563,861 | | 1,526,412 | |
Expenses: | | | | | | |
Advisory | 763,281 | | 640,134 | | 441,038 | |
Administration | 130,849 | | 109,738 | | 75,607 | |
Compliance services | 9,000 | | 9,000 | | 9,000 | |
Custodian | 3,826 | | 2,492 | | 2,727 | |
Fund accounting | 54,647 | | 51,542 | | 51,099 | |
Legal and audit | 27,124 | | 22,034 | | 22,003 | |
Printing | 6,224 | | 5,958 | | 5,943 | |
Treasurer | 5,625 | | 4,750 | | 4,350 | |
Trustee | 12,800 | | 12,400 | | 9,923 | |
Other | 21,008 | | 22,682 | | 18,405 | |
Total Net Expenses | 1,034,384 | | 880,730 | | 640,095 | |
Net Investment Income (Loss) | 1,422,529 | | 2,683,131 | | 886,317 | |
Realized and Unrealized Gains (Losses) from Investments: | | | | | | |
Net realized gains (losses) from investment transactions | (7,233,795 | ) | (2,208,433 | ) | (2,426,020 | ) |
Net realized gains (losses) from in-kind transactions | 50,128 | | (15,362 | ) | (14,069 | ) |
Change in unrealized appreciation (depreciation) on investments | (236,605 | ) | (727,127 | ) | (128,165 | ) |
Net Realized and Unrealized Gains (Losses) from Investments: | (7,420,272 | ) | (2,950,922 | ) | (2,568,254 | ) |
Change in Net Assets Resulting From Operations | $(5,997,743 | ) | $(267,791 | ) | $(1,681,937 | ) |
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 21
Statements of Operations (continued)September 30, 2023
| | Mohr | |
Investment Income: | | | |
Dividend income | | $492,900 | |
Total Investment Income | | 492,900 | |
Expenses: | | | |
Advisory | | 177,810 | |
Administration | | 30,482 | |
Compliance services | | 6,000 | |
Custodian | | 1,161 | |
Fund accounting | | 28,877 | |
Legal and audit | | 32,917 | |
Printing | | 7,925 | |
Treasurer | | 2,327 | |
Trustee | | 5,440 | |
Other | | 15,925 | |
Total Net Expenses | | 308,864 | |
Net Investment Income (Loss) | | 184,036 | |
Realized and Unrealized Gains (Losses) from Investments: | | | |
Net realized gains (losses) from investment transactions | | 91,377 | |
Net realized gains (losses) from in-kind transactions | | 281,327 | |
Change in unrealized appreciation (depreciation) on investments | | (605,868 | ) |
Net Realized and Unrealized Gains (Losses) from Investments: | | (233,164 | ) |
Change in Net Assets Resulting From Operations | | $(49,128 | ) |
(a) For the period from the commencement of operations on January 10, 2023 through September 30, 2023.
Annual Shareholder Report | 22
| Mohr Growth ETF | | Mindful Conservative ETF |
| ||||
| Year Ended | For the period | Year Ended | For the period | | |||
From Investment Activities: | | | | | | | | |
Operations: | | | | | | | | |
Net investment income (loss) | $1,422,529 | | $(208,708 | ) | $2,683,131 | | $(180,410 | ) |
Net realized gains (losses) from investment and in-kind transactions | (7,183,667 | ) | (13,790,847 | ) | (2,223,795 | ) | (3,393,924 | ) |
Change in unrealized appreciation (depreciation) on investments | (236,605 | ) | (1,063,750 | ) | (727,127 | ) | (38,300 | ) |
Change in net assets resulting from operations | (5,997,743 | ) | (15,063,305 | ) | (267,791 | ) | (3,612,634 | ) |
Distributions to Shareholders From: | | | | | | |||
Earnings | — | | — | | (284,819 | ) | — | |
Change in net assets from distributions | — | | — | | (284,819 | ) | — | |
Capital Transactions: | | | | | | | | |
Proceeds from shares issued | 30,409,626 | | 138,969,589 | | 31,180,168 | | 108,012,107 | |
Cost of shares redeemed | (59,620,630 | ) | (4,986,245 | ) | (44,657,428 | ) | (8,587,872 | ) |
Change in net assets from capital transactions | (29,211,004 | ) | 133,983,344 | | (13,477,260 | ) | 99,424,235 | |
Change in net assets | (35,208,747 | ) | 118,920,039 | | (14,029,870 | ) | 95,811,601 | |
Net Assets: | | | | | | | | |
Beginning of period | 118,920,039 | | — | | 95,811,601 | | — | |
End of period | $83,711,292 | | $118,920,039 | | $81,781,731 | | $95,811,601 | |
Share Transactions: | | | | | | | | |
Issued | 1,550,000 | | 6,325,000 | | 1,450,000 | | 4,875,000 | |
Redeemed | (3,075,000 | ) | (250,000 | ) | (2,075,000 | ) | (400,000 | ) |
Change in shares | (1,525,000 | ) | 6,075,000 | | (625,000 | ) | 4,475,000 | |
(a) Commencement of operations.
Annual Shareholder Report | 23
Statements of Changes in Net Assets (continued)
| Adaptive Core ETF | | Mohr Sector Nav ETF |
| ||
| Year Ended | | For the period | | For the period | |
From Investment Activities: | | | | | | |
Operations: | | | | | | |
Net investment income (loss) | $886,317 | | $(72,570 | ) | $184,036 | |
Net realized gains (losses) from investment and in-kind transactions | (2,440,089 | ) | (7,746,415 | ) | 372,704 | |
Change in unrealized appreciation (depreciation) on investments | (128,165 | ) | (638,731 | ) | (605,868 | ) |
Change in net assets resulting from operations | (1,681,937 | ) | (8,457,716 | ) | (49,128 | ) |
Distributions to Shareholders From: | | | | | | |
Earnings | (5,848 | ) | — | | — | |
Change in net assets from distributions | (5,848 | ) | — | | — | |
Capital Transactions: | | | | | | |
Proceeds from shares issued | 21,063,902 | | 84,467,679 | | 65,916,006 | |
Cost of shares redeemed | (41,437,604 | ) | (6,546,649 | ) | (7,043,171 | ) |
Change in net assets from capital transactions | (20,373,702 | ) | 77,921,030 | | 58,872,835 | |
Change in net assets | (22,061,487 | ) | 69,463,314 | | 58,823,707 | |
Net Assets: | | | | | | |
Beginning of period | 69,463,314 | | — | | — | |
End of period | $47,401,827 | | $69,463,314 | | $58,823,707 | |
Share Transactions: | | | | | | |
Issued | 1,075,000 | | 3,900,000 | | 2,550,000 | |
Redeemed | (2,125,000 | ) | (325,000 | ) | (275,000 | ) |
Change in shares | (1,050,000 | ) | 3,575,000 | | 2,275,000 | |
(a) Commencement of operations.
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 24
Mohr Growth ETF | | Year Ended | | November 2, 2021(a) | |
Net Asset Value, Beginning of Period | | $19.58 | | $25.00 | |
| | | | | |
Net Investment Income (Loss)(b) | | 0.25 | | (0.08 | ) |
Net Realized and Unrealized Gains (Losses) on Investments | | (1.43 | ) | (5.34 | ) |
Total from Investment Activities | | (1.18 | ) | (5.42 | ) |
| | | | | |
Net Asset Value, End of Period | | $18.40 | | $19.58 | |
Net Assets at End of Period (000’s) | | $83,711 | | $118,920 | |
| | | | | |
Total Return at NAV(c)(d) | | (6.01 | )% | (21.70 | )% |
Total Return at Market(d)(e) | | (6.13 | )% | (21.68 | )% |
| | | | | |
Ratio of Operating Expenses to Average Net Assets(f)(g) | | 0.95 | % | 1.02 | % |
Ratio of Net Investment Income (Loss) to Average Net Assets(f)(h) | | 1.31 | % | (0.40 | )% |
Portfolio Turnover(d)(i) | | 442 | %(j) | 1,223 | % |
(a) Commencement of operations.
(b) Calculated based on average shares method.
(c) Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at net asset value. This percentage is not an indication of the performance of a shareholder’s investment in the Fund based on market value due to differences between the market price of the shares and the net asset value per share of the Fund.
(d) Not annualized for periods less than one year.
(e) Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price from any primary listing market (e.g., Cboe BZX) or participating regional exchanges or markets. The composite closing price is the last reported sale price from any of the eligible sources, regardless of volume and not an average price and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund’s closing price on the listing market.
(f) Annualized for periods less than one year.
(g) Excludes expenses of the investment companies in which the Fund invests.
(h) Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the underlying investment companies.
(i) Excludes the impact of in-kind transactions.
(j) Portfolio Turnover decreased significantly this year due to the Fund holding higher positions in cash or cash alternatives for a longer period of time than usual due to risk mitigation. As a result, trading activity was reduced dramatically compared to more active periods.
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 25
Financial Highlights (continued)
Mindful Conservative ETF | | Year Ended | | November 2, 2021(a) | |
Net Asset Value, Beginning of Period | | $21.41 | | $25.00 | |
| |||||
Net Investment Income (Loss)(b) | | 0.63 | | (0.09 | ) |
Net Realized and Unrealized Gains (Losses) on Investments | | (0.74 | ) | (3.50 | ) |
Total from Investment Activities | | (0.11 | ) | (3.59 | ) |
| | | | | |
Distributions from Net Investment Income | | (0.06 | ) | — | |
Distributions from Net Realized Gains on Investments | | — | | — | |
Total Distributions | | (0.06 | ) | — | |
| |||||
Net Asset Value, End of Period | | $21.24 | | $21.41 | |
Net Assets at End of Period (000’s) | | $81,782 | | $95,812 | |
| |||||
Total Return at NAV(c)(d) | | (0.49 | )% | (14.36 | )% |
Total Return at Market(d)(e) | | (0.64 | )% | (14.32 | )% |
| |||||
Ratio of Operating Expenses to Average | | 0.96 | % | 1.05 | % |
Ratio of Net Investment Income (Loss) to Average Net Assets(f)(h) | | 2.94 | % | (0.47 | )% |
Portfolio Turnover(d)(i) | | 260 | %(j) | 665 | % |
(a) Commencement of operations.
(b) Calculated based on average shares method.
(c) Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at net asset value. This percentage is not an indication of the performance of a shareholder’s investment in the Fund based on market value due to differences between the market price of the shares and the net asset value per share of the Fund.
(d) Not annualized for periods less than one year.
(e) Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price from any primary listing market (e.g., Cboe BZX) or participating regional exchanges or markets. The composite closing price is the last reported sale price from any of the eligible sources, regardless of volume and not an average price and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund’s closing price on the listing market.
(f) Annualized for periods less than one year.
(g) Excludes expenses of the investment companies in which the Fund invests.
(h) Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the underlying investment companies
(i) Excludes the impact of in-kind transactions.
(j) Portfolio Turnover decreased significantly this year due to the Fund holding higher positions in cash or cash alternatives for a longer period of time than usual due to risk mitigation. As a result, trading activity was reduced dramatically compared to more active periods.
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 26
Financial Highlights (continued)
Adaptive Core ETF | | Year Ended | | November 2, 2021(a) | |
Net Asset Value, Beginning of Period | | $19.43 | | $25.00 | |
| |||||
Net Investment Income (Loss)(b) | | 0.28 | | (0.04 | ) |
Net Realized and Unrealized Gains (Losses) on Investments | | (0.94 | ) | (5.53 | ) |
Total from Investment Activities | | (0.66 | ) | (5.57 | ) |
| |||||
Distributions from Net Investment Income | | — | (c) | — | |
Distributions from Net Realized Gains on Investments | | — | | — | |
Total Distributions | | — | (c) | — | |
| |||||
Net Asset Value, End of Period | | $18.77 | | $19.43 | |
Net Assets at End of Period (000’s) | | $47,402 | | $69,463 | |
| |||||
Total Return at NAV(d)(e) | | (3.37 | )% | (22.28 | )% |
Total Return at Market(e)(f) | | (3.34 | )% | (22.28 | )% |
| |||||
Ratio of Operating Expenses to Average Net Assets(g)(h) | | 1 .02 | % | 1 .09 | % |
Ratio of Net Investment Income (Loss) to Average Net Assets(g)(i) | | 1 .41 | % | (0 .23 | )% |
Portfolio Turnover(e)(j) | | 425 | %(k) | 1,180 | % |
(a) Commencement of operations.
(b) Calculated based on average shares method.
(c) Amount is less than $0.005.
(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., 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.
(g) Annualized for periods less than one year.
(h) Excludes expenses of the investment companies in which the Fund invests.
(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.
(k) Portfolio Turnover decreased significantly this year due to the Fund holding higher positions in cash or cash alternatives for a longer period of time than usual due to risk mitigation. As a result, trading activity was reduced dramatically compared to more active periods.
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 27
Financial Highlights (continued)
Mohr Sector Nav ETF | | January 10, 2023(a) | |
Net Asset Value, Beginning of Period | | $25.00 | |
| | | |
Net Investment Income (Loss)(b) | | 0.14 | |
Net Realized and Unrealized Gains (Losses) on Investments(c) | | 0.72 | |
Total from Investment Activities | | 0.86 | |
| | | |
Net Asset Value, End of Period | | $25.86 | |
Net Assets at End of Period (000’s) | | $58,824 | |
| | | |
Total Return at NAV(d)(e) | | 3.43 | % |
Total Return at Market(e)(f) | | 3.32 | % |
| | | |
Ratio of Operating Expenses to Average Net Assets(g)(h) | | 1.21 | % |
Ratio of Net Investment Income (Loss) to Average Net Assets(g)(i) | | 0.72 | % |
Portfolio Turnover(e)(j) | | 537 | % |
(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 Statements 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., 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.
(g) Annualized for periods less than one year.
(h) Excludes expenses of the investment companies in which the Fund invests.
(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 | 28
(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, Adaptive Core ETF, and Mohr Sector Nav ETF (each a “Fund” and collectively, the “Funds”). The Funds are diversified actively-managed exchange-traded funds. The Funds’ prospectus provides a description of the Funds’ investment objectives, policies, and strategies. The assets of the Funds are segregated and a shareholder’s interest is limited to the Fund in which shares are held. Mohr Sector Nav ETF commenced operations on January 10, 2023.
Under the Trust’s organizational documents, its officers and Board of Trustees (the “Board”) are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Trust may enter into contracts with vendors and others that provide for general indemnifications. The Trust’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust. However, based on experience, the Trust expects that risk of loss to be remote.
(2) Significant Accounting Policies
Shares of the Funds are listed and traded on the Cboe BZX Exchange, Inc. (“Cboe”). Market prices for the Shares may be different from their net asset value (“NAV”). The Funds issue and redeem Shares on a continuous basis at NAV only in large blocks of Shares, currently 25,000 Shares, called Creation Units (“Creation Units”). Creation Units are issued and redeemed principally in-kind for securities included in a specified universe. Once created, Shares generally trade in the secondary market at market prices that change throughout the day in amounts less than a Creation Unit. Shares of each Fund may only be purchased or redeemed by certain financial institutions (“Authorized Participants”). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with 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 Funds.
Annual Shareholder Report | 29
Notes to Financial Statements (continued)September 30, 2023
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” including, Accounting Standards Update 2013-08. 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 Rule 2a-5 under the 1940 Act pursuant to 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. If market quotations are not readily available, securities will be valued at their fair market as determined using the fair value procedures approved by the Board. The Board has delegated the execution of these procedures to the advisor as fair value designee. 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 uses a three-tier fair value hierarchy that is dependent upon the various “inputs” used to determine the value of the Funds’ investments. The valuation techniques described below maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. These inputs are summarized in the three broad levels listed below:
• Level 1 - Quoted prices in active markets for identical assets that the Funds have the ability to access.
• Level 2 - Other observable pricing inputs at the measurement date (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
• Level 3 - Significant unobservable pricing inputs at the measurement date (including the Funds’ own assumptions in determining the fair value of investments).
Annual Shareholder Report | 30
Notes to Financial Statements (continued)September 30, 2023
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.
Common stocks and exchange-traded funds (“ETFs”) traded on a recognized securities exchange are valued at that day’s last traded price or official closing price, as applicable, on the exchange where the fund is primarily traded. Funds traded on a recognized exchange for which there were no sales on that day may be valued at the last traded price. In each of these situations, valuations are typically categorized as Level 1 in the fair value hierarchy.
The Funds did not hold any Level 2 or Level 3 investments as of September 30, 2023.
The following table summarizes the Funds’ investments, based on their valuation inputs, as of September 30, 2023, 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(a) | | $60,364,832 | | | | $60,364,832 | |
Exchange-Traded Funds | | 18,800,734 | | | | 18,800,734 | |
Total Investments | | $79,165,566 | | | | $79,165,566 | |
Mindful Conservative ETF | | | | | | | |
Exchange-Traded Funds | | $45,728,103 | | | | $45,728,103 | |
Total Investments | | $45,728,103 | | | | $45,728,103 | |
Adaptive Core ETF | | | | | | | |
Common Stocks(a) | | $41,831,881 | | | | $41,831,881 | |
Exchange-Traded Funds | | 3,236,302 | | | | 3,236,302 | |
Total Investments | | $45,068,183 | | | | $45,068,183 | |
Mohr Sector Nav ETF | | | | | | | |
Exchange-Traded Funds | | $37,213,638 | | | | $37,213,638 | |
Total Investments | | $37,213,638 | | | | $37,213,638 | |
(a) 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
Annual Shareholder Report | 31
Notes to Financial Statements (continued)September 30, 2023
are calculated on the identified cost basis. Interest income and expenses are accrued daily. Dividends and dividend expense, less foreign tax withholding, if any, are recorded on the ex-dividend date. Investment income from non-U.S. sources received by the Funds 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 their current interpretation of tax rules in the foreign markets in which they invest.
The Funds may own shares of ETFs that may invest in real estate investments trusts (‘’REITs’’) which report information on the source of their distributions annually. Distributions received from investments in REITs in excess of income from underlying investments are recorded as realized gain and/or as a reduction to the cost of the ETF.
C. Cash
Idle cash may be swept into various interest-bearing overnight demand deposits and is classified as cash on the Statements of Assets and Liabilities. The Funds maintain cash in bank deposit accounts which, at times, may exceed the United States federally insured limit of $250,000. Amounts swept overnight are available on the next business day.
D. Dividends and Distributions to Shareholders
Distributions are recorded on the ex-dividend date. The Funds intend to distribute to their shareholders net investment income and net realized capital gains, if any, at least annually. The amount of dividends from net investment income and net realized gains is determined in accordance with federal income tax regulations, which may differ from GAAP. These “book/tax” differences are considered either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., distributions and income received from pass-through investments), such amounts are reclassified within the capital accounts based on their nature for federal income tax purposes; temporary differences do not require reclassification.
In addition, the Funds may utilize equalization accounting for tax purposes and designate earnings and profits, including net realized gains distributed to shareholders on redemption of shares, as a part of the dividends paid deduction for income tax purposes. These reclassifications have no effect on net assets or net asset values per share.
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.
Annual Shareholder Report | 32
Notes to Financial Statements (continued)September 30, 2023
(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 0.10% of each Fund’s average daily net assets.
B. Administration, Custodian, Transfer Agent and Accounting Fees
Citi Fund Services Ohio, Inc. (‘’Citi’’) serves as the administrator, fund accountant, and dividend disbursing agent for the Funds pursuant to a Services Agreement. Citibank, N.A. serves as the custodian and transfer agent of the Funds pursuant to a Global Custodial and Agency Services Agreement.
Collaborative Fund Services LLC (‘’CFS’’) provides the Funds with various management and legal administrative services. For these services, the Funds pay CFS an administrative fee that is computed daily and paid monthly, based on the aggregate daily net assets of each Fund and is subject to a minimum monthly fee.
C. Distribution and Shareholder Services Fees
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 year or period ended September 30, 2023, the Funds paid a total of $17,052 to the Treasurer.
F. General
Certain trustees and officers of the Trust are officers, directors and/or trustees of the above companies and, except for the Treasurer, receive no compensation from the Funds for their services.
Annual Shareholder Report | 33
Notes to Financial Statements (continued)September 30, 2023
(4) Investment Transactions
Purchases and sales of investments, excluding in-kind transactions and short-term investments, for the year or period ended September 30, 2023 were as follows:
| Purchases |
| Sales | ||||
Mohr Growth ETF | | $402,195,049 |
| | | $356,829,099 |
|
Mindful Conservative ETF | | 222,047,421 |
| | | 257,359,239 |
|
Adaptive Core ETF | | 218,937,046 |
| | | 193,764,697 | |
Mohr Sector Nav ETF | | 173,870,783 |
| | | 189,769,721 |
|
Purchases and sales of in-kind transactions for the year or period ended September 30, 2023 were as follows:
| Purchases |
| Sales | ||||
Mohr Growth ETF | | $17,501,105 |
| | | $44,388,762 |
|
Mindful Conservative ETF | | 28,957,307 |
| | | 39,347,930 |
|
Adaptive Core ETF | | 11,765,173 |
| | | 27,305,930 |
|
Mohr Sector Nav ETF | | 60,340,422 |
| | | 6,994,681 |
|
There were no purchases or sales of U.S. government securities during the year or period ended September 30, 2023.
(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 transaction fees for each Fund are listed below:
| Fee for |
| Maximum Additional | ||||
Mohr Growth ETF | | $250 | |
| | 2.00% | |
Mindful Conservative ETF | | 250 | |
| | 2.00% | |
Adaptive Core ETF | | 250 | |
| | 2.00% | |
Mohr Sector NAV ETF | | 250 | |
| | 2.00% | |
(a) As a percentage of the amount invested.
Annual Shareholder Report | 34
Notes to Financial Statements (continued)September 30, 2023
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 September 30, 2023, there were no unsettled in-kind capital transactions.
(6) Federal Income Taxes
It is the policy of each Fund to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined in applicable sections of the Internal Revenue Code of 1986, as amended, and to make distributions of net investment income and net realized capital gains sufficient to relieve it from all, or substantially all, federal income taxes.
Management of the Funds has reviewed the tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including U.S. federal (i.e., all open tax years and the interim tax period since then). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
As of and during the year or period ended September 30, 2023, the Funds did not have a liability for any unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statements of Operations. During the year, the Funds did not incur any interest or penalties.
As of September 30, 2023, the tax cost of securities and the breakdown of unrealized appreciation (depreciation) for each Fund were as follows:
| Tax Cost of Securities | Unrealized Appreciation | Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) |
Mohr Growth ETF | $80,644,926 | $981,065 | $(2,460,425) | $(1,479,360) |
Mindful Conservative ETF | 47,088,414 | 38,816 | (1,399,127) | (1,360,311) |
Adaptive Core ETF | 45,887,176 | 610,462 | (1,429,455) | (818,993) |
Mohr Sector Nav ETF | 39,303,334 | — | (2,089,696) | (2,089,696) |
The difference between book-basis and tax-basis unrealized appreciation (depreciation) is primarily attributable to wash sale activity.
Annual Shareholder Report | 35
Notes to Financial Statements (continued)September 30, 2023
The tax character of distributions paid during the fiscal period or year ended September 30, 2022 and September 30, 2023 were as follows:
| Distributions paid from | |||||||||||
| Ordinary Income | Net Capital Gains | Total Taxable Distributions | Total Distributions Paid | ||||||||
Mohr Growth ETF | |
| | |
| | |
| | |
| |
2022 | | $— | | | $— | | | $— | | | $— | |
2023 | | — | | | — | | | — | | | — | |
Mindful Conservative ETF | |
| | |
| | |
| | |
| |
2022 | | — | | | — | | | — | | | — | |
2023 | 284,819 | | | — | | | 284,819 | | | 284,819 | | |
Adaptive Core ETF | |
| | |
| | |
| | |
| |
2022 | | — | | | — | | | — | | | — | |
2023 | | 5,848 | | | — | | | 5,848 | | | 5,848 | |
Mohr Sector Nav ETF | |
| | |
| | |
| | |
| |
2023 | | — | | | — | | | — | | | — | |
As of September 30, 2023, the components of distributable earnings (accumulated losses) on a tax basis were as follows:
| Undistributed | Undistributed | Distributable | Accumulated | Unrealized | Total |
Mohr Growth ETF | $1,231,798 | $— | $1,231,798 | $(20,815,043) | $(1,479,360) | $(21,062,605) |
Mindful Conservative ETF | 2,237,866 | — | 2,237,866 | (4,983,831) | (1,360,311) | (4,106,276) |
Adaptive Core ETF | 819,623 | — | 819,623 | (10,108,895) | (818,993) | (10,108,265) |
Mohr Sector Nav ETF | 1,783,039 | — | 1,783,039 | — | (2,089,696) | (306,657) |
As of September 30, 2023, the Funds have net capital loss carryforwards (“CLCFs”) not subject to expiration as summarized in the table below.
| Short Term |
| Long Term |
| Total |
Mohr Growth ETF | $20,815,043 | | $— | | $20,815,043 |
Mindful Conservative ETF | 4,983,831 | | — | | 4,983,831 |
Adaptive Core ETF | 10,108,895 | | — | | 10,108,895 |
Mohr Sector Nav ETF | — | | — | | — |
Annual Shareholder Report | 36
Notes to Financial Statements (continued)September 30, 2023
Under current law, capital losses and specified ordinary losses realized after October 31 and non-specified ordinary losses incurred after December 31 (ordinary losses collectively known as “late year ordinary loss”) may be deferred and treated as occurring on the first business day of the following fiscal year. As of the fiscal year ended September 30, 2023, the Funds had no deferred losses.
Permanent Tax Differences:
As of September 30, 2023, the following reclassifications were made on the Statements of Assets and Liabilities, relating primarily to redemptions in-kind:
| Total |
| Paid-in | ||||
Mohr Growth ETF | | $(29,560) | | | | $29,560 | |
Mindful Conservative ETF | | 49,870 | | | | (49,870) | |
Adaptive Core ETF | | 23,562 | | | | (23,562) | |
Mohr Sector Nav ETF | | (257,529) | | | | 257,529 | |
(7) Investment Risks
ETF Risk
The NAV of a Fund can fluctuate up or down, and you could lose money investing in the Fund if the prices of the securities owned by the Fund decline. In addition, the Fund may be subject to the following risks; (1) the market price of the Fund’s shares may trade above or below its NAV; (2) an active trading market for the Fund’s shares may not develop or be maintained; or (3) trading of the Fund’s shares may be halted if the listing exchange’s officials deem such action appropriate, the shares are delisted from the exchange, or the activation of market-wide “circuit breakers” (which are tied to large decreases in stock prices) halts stock trading generally.
Market and Geopolitical Risk
The increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region or financial market. Securities in the Fund may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, pandemics, epidemics, terrorism, international conflicts, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years, such as terrorist attacks around the world, natural disasters, social and political discord or debt crises and downgrades, among others, may result in market volatility and may have long term effects on both the U.S. and global financial markets. It is difficult to predict when similar events affecting the U.S. or global financial markets may occur, the effects that such events may have and the duration of those effects. Any such event(s) could have a significant adverse impact on the
Annual Shareholder Report | 37
Notes to Financial Statements (continued)September 30, 2023
value and risk profile of the Fund. The COVID-19 global pandemic had negative impacts, and in many cases severe negative impacts, on markets worldwide. It is not known how long such impacts, or any future impacts of other significant events described above, will or would last, but there could be a prolonged period of global economic slowdown, which may impact your investment. Therefore, the 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. In times of severe market disruptions you could lose your entire investment.
(8) Concentration of Investments
As of September 30, 2023, the Mohr Sector Nav ETF’s investment in SPDR S&P 500 ETF Trust represented 46.44% of the Fund’s net assets. The financial statements of the SPDR S&P 500 ETF Trust can be found by accessing the fund’s website at http://www.ssga.com.
(9) Subsequent Events
Effective November 1,2023, Tuttle Capital Management LLC will no longer serve as investment sub-advisor to the Funds. Subsequent to this date, Retireful, LLC will assume all sub-advisor duties for the funds and will retain the fees currently paid to Tuttle Capital Management, LLC for sub-advisory services.
Management of the Funds has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date these financial statements were issued. Based upon this evaluation, no additional disclosures or adjustments were required to the financial statements as of September 30, 2023.
Annual Shareholder Report | 38
To the Shareholders of Mohr Funds and
Board of Trustees of Collaborative Investment Series Trust
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Mohr Growth ETF, Mindful Conservative ETF, Adaptive Core ETF, and Mohr Sector Nav ETF (the “Funds”), each a series of Collaborative Investment Series Trust, as of September 30, 2023, the related statements of operations, the statements of changes in net assets, the related notes, and the financial highlights for each of the periods indicated below (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of September 30, 2023, the results of their operations, the changes in net assets, and the financial highlights for each of the periods indicated below in conformity with accounting principles generally accepted in the United States of America.
Fund Name | Statements of | Statements of | Financial |
Mohr Growth ETF, Mindful Conservative ETF, and Adaptive Core ETF | For the year ended September 30, 2023 | For the year ended September 30, 2023, and for the period November 2, 2021 (commencement of operations) through September 30, 2022 | |
Mohr Sector Nav ETF | For the period January 10, 2023 (commencement of operations) through September 30, 2023 |
Basis for Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.
Annual Shareholder Report | 39
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2023, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the Funds’ auditor since 2022.
COHEN & COMPANY, LTD.
Milwaukee, Wisconsin
November 28, 2023
Annual Shareholder Report | 40
OTHER FEDERAL INCOME TAX INFORMATION
During the fiscal year or period ended September 30, 2023, the following percentage of the total ordinary income distributions paid by the Fund qualifies for the distributions received deduction available to corporate shareholders:
| Distributions Received Deduction |
Mindful Conservative ETF | 5.39% |
Adaptive Core ETF | 12.05% |
For the fiscal year or period ended September 30, 2023, distributions paid by the Funds may be subject to a maximum tax rate of 15%, as provided by the Jobs and Growth Relief Reconciliation Act of 2003. The Funds intend to designate the maximum amount allowable as taxed at a maximum rate of 15%. Complete information will be reported in conjunction with your 2023 Form 1099-DIV.
During the fiscal year or period ended September 30, 2023, the percentage of Qualified Dividend Income is as follows:
| Qualified Dividend Income |
Mindful Conservative ETF | 4.90% |
Adaptive Core ETF | 10.40% |
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 1-866-464-6608, 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 Fund’s 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.
Annual Shareholder Report | 41
Additional Information (continued)September 30, 2023 (Unaudited)
The Funds’ proxy information is also available on the SEC’s website at http://www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 is available without charge, upon request by calling 1-866-464-6608 or referring to the SEC’s web site at http://www.sec.gov.
LIQUIDITY RISK MANAGEMENT PROGRAM
The Funds have adopted and implemented a written liquidity risk management program as required by Rule 22e-4 (the “Liquidity Rule”) under the 1940 Act. The program is reasonably designed to assess and manage the Funds’ liquidity risk, taking into consideration, among other factors, the Funds’ investment strategy and the liquidity of their portfolio investments during normal and reasonably foreseeable stressed conditions; their short and long-term cash flow projections; and their cash holdings and access to other funding sources.
The Trust’s Liquidity Risk Management Program Committee (the “Committee”) reviewed the Funds’ investments and determined that the Funds held adequate levels of cash and highly liquid investments to meet shareholder redemption activities in accordance with applicable requirements. Accordingly, the Committee concluded that (i) the Funds’ liquidity risk management program is reasonably designed to prevent violations of the Liquidity Rule and (ii) the Funds’ liquidity risk management program has been effectively implemented.
TAILORED SHAREHOLDER REPORTS FOR MUTUAL FUNDS AND ETFS
Effective January 24, 2023, the SEC adopted rule and form amendments to require mutual funds and ETFs to transmit concise and visually engaging streamlined annual and semiannual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semiannual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. At this time, management is evaluating the impact of these amendments on the shareholder reports for the Funds.
Annual Shareholder Report | 42
Name Address* and | Position(s) | Term of | Principal | Number of | Other |
Dean Drulias, Esq. | Trustee | Indefinite/ | Attorney | 12 | Trustee for Belpointe PREP Manager, LLC. |
Shawn Orser | Trustee | Indefinite/ | CEO, Seaside Advisory (6/2016-Present) | 12 | Trustee for Belpointe PREP Manager, LLC. 2021- Present |
Fredrick Stoleru | Trustee | Indefinite/ | COO of Belpointe Prep, LLC since September 2022, Chief Executive Officer and President of Atlas Resources LLC | 12 | None |
Ronald Young Jr. | Trustee | Indefinite/ | President – Young Consulting, Inc. (2008-Present); President – Tri State LED, Inc. (2010-Present) | 12 | Trustee for Belpointe PREP Manager, LLC. 2021- Present |
Annual Shareholder Report | 43
Board of Trustees and Trust Officers (Unaudited) (continued)
Interested Trustees and Officers
Name, Address* and | Position(s) | Term of | Principal | Number of | Other |
Gregory Skidmore**** | Trustee and President | Indefinite/ November | President, Belpointe Asset Management, LLC since 2007. | 12 | None |
Kyle R Bubeck | Chief | Since October 2021 | President and Founder of Beacon Compliance Consulting Inc. | N/A | N/A |
William McCormick | Treasurer | Since October 2021 | Senior Wealth Advisor – Belpointe Asset Management (since 2019); Wealth Advisor – Advisory Services Network (2016 to 2019) | N/A | N/A |
Brad Rundbaken Year of Birth: 1970 | Secretary | Since October 2021 | Manager – Collaborative Fund Services, LLC (since 2018); Wealth Advisor – Belpointe Asset Management (2015 to 2018) | N/A | N/A |
* The address for each Trustee and Officer listed is 500 Damonte Ranch Parkway Building 700, Unit 700, Reno, NV 89521.
** The term of office for each Trustee and officer listed above will continue indefinitely until the individual resigns or is removed.
*** The term “Fund Complex” applies only to the Collaborative Investment Series Trust as of September 30, 2023.
**** Gregory Skidmore is considered an Interested Trustee as defined in the 1940 Act because of his ownership in Collaborative Fund Services, LLC.
The Funds’ SAI references additional information about the Trustees and is available free of charge, upon request, by calling toll free 1-866-904-0406.
Annual Shareholder Report | 44
PRIVACY NOTICE
COLLABORATIVE INVESTMENT SERIES TRUST
FACTS | WHAT DOES THE COLLABORATIVE INVESTMENT SERIES TRUST DO WITH YOUR PERSONAL INFORMATION? |
| |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some, but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
| |
What? | The types of personal information we collect and share depends on the product or service that you have with us. This information can include: •Social Security number and wire transfer instructions •account transactions and transaction history •investment experience and purchase history When you are no longer our customer, we continue to share your information as described in this notice. |
| |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons the Collaborative Investment Series Trust chooses to share; and whether you can limit this sharing. |
Reasons we can share your | Do we share | Can you limit |
For our everyday business purposes - such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus. | YES | NO |
For our marketing purposes - to offer our products and services to you. | NO | We don’t |
For joint marketing with other financial companies. | NO | We don’t |
For our affiliates’ everyday business purposes - information about your transactions and records. | NO | We don’t |
Annual Shareholder Report | 45
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 1-866-464-6608 |
What we do: | |
How does the Collaborative Investment Series Trust protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. Our service providers are held accountable for adhering to strict policies and procedures to prevent any misuse of your nonpublic personal information. |
How does the Collaborative Investment Series Trust collect my personal information? | We collect your personal information, for example, when you •open an account or deposit money •direct us to buy securities or direct us to sell your securities •seek advice about your investments We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only: •sharing for affiliates’ everyday business purposes – information about your creditworthiness. •affiliates from using your information to market to you. •sharing for nonaffiliates to market to you. State laws and individual companies may give you additional rights to limit sharing. |
Annual Shareholder Report | 46
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial and non-financial companies. •The Collaborative Investment Series Trust does not share with affiliates. |
Non-affiliates | Companies not related by common ownership or control. They can be financial and non-financial companies. •The Collaborative Investment Series Trust does not share with non-affiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. •The Collaborative Investment Series Trust doesn’t jointly market. |
This report is provided for the general information of the Funds’ shareholders. It is not authorized for distribution unless preceded or accompanied by an effective prospectus, which contains more complete information about the Funds.
11/23
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
Goose Hollow Capital Management LLC
82 North Summit Street, Suite 2B
Tenafly, NJ 07670
1-866-898-6447
www.gham.co
Annual Shareholder Report
Goose Hollow Tactical Allocation ETF
(GHTA)
September 30, 2023
TABLE OF CONTENTS
1 | |
2 | |
4 | |
5 | |
7 | |
8 | |
9 | |
10 | |
11 | |
23 | |
24 | |
26 | |
28 | |
30 |
Annual Shareholder Report | 1
Dear Shareholders,
On behalf of the entire team, we want to express our appreciation for the confidence you have placed in The Goose Hollow Tactical Asset Allocation ETF (“GHTA” or the “Fund”). The following information pertains to the fiscal period of October 1, 2022 through September 30, 2023. GHTA aims to materially outperform the traditional 60/40 portfolio. While the 60/40 portfolio has historically performed well, we believe that the current environment augurs for a tactical approach and investors would do well to utilize active management.
The Fund has outperformed the benchmark during the fiscal period ended September 30, 2023. GHTA posted returns of 14.05% (based on NAV), while the blended benchmark that is 60% MSCI World Index/40% Bloomberg U.S. Aggregate Bond Index returned 13.85% over the same period. MSCI World is designed to measure the equity market performance of developed markets, including the United States. The Bloomberg U.S. Aggregate Bond Index comprises the total U.S. investment grade bond market. We outperformed our benchmark by being underweight of duration for most of this period and owning more cash in the fund.
For the period, the largest positive contributors to the Fund’s returns were from holdings in IShares MSCI Germany (EWG), Vanguard Information Technology Fund (VGT), IShares MSCI Sweden, and Vanguard S&P 500 (VOO). The negative contributions were from extending duration early and in commodity longs.
We expect a soft landing in the US economy as personal consumption has held up well and fiscal policy has been supportive. We expect fixed income volatility to come down as rates are close to neutral. This will bring equity volatility down with it. While we cannot forecast geopolitics, we expect further de-escalation of the conflict in Ukraine and in the Middle East. We think the upside in the US market is limited given the current valuations and overseas equity markets are attractive. We expect the dollar to decline next year.
We appreciate your investment in GHTA.
Sincerely,
Krishna Kumar
Managing Member
Goose Hollow Capital Management, LLC
Annual Shareholder Report | 2
INVESTMENT OBJECTIVE
The Goose Hollow Tactical Allocation ETF seeks to provide total return.
FUND PERFORMANCE | Average Annual | Expense Ratio(a) | |
| 1 Year | Inception (11/16/21) | Total |
Goose Hollow Tactical Allocation ETF (GHTA) - Total Return (at Net Asset Value)(b) | 14.05% | 1.83% | 1.12% |
Goose Hollow Tactical Allocation ETF (GHTA) - Total Return (at Market Value)(c) | 14.06% | 1.83% | N/A |
60% MSCI World Index and 40% Bloomberg U.S. Aggregate Bond Index(d)(e) | 13.85% | -5.64% | N/A |
Hypothetical Growth of a $10,000 Investment (*)
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represent past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed may be worth more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance information current to the most recent month-end, please call 1-866-898-6447 or visit http://www.gham.co.
* The chart represents historical performance of a hypothetical investment of $10,000 in Goose Hollow Tactical Allocation ETF and represents the reinvestment of dividends and capital gains in the Fund.
(a) The total expense ratio reflects the gross expense ratio as reported in the Fund’s Prospectus dated February 1, 2023. Please see the Fund’s most recent prospectus for details. Additional information pertaining to the Fund’s expense ratio as of September 30, 2023 can be found in the Financial Highlights.
(b) 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.
(c) 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
Annual Shareholder Report | 3
Fund Performance (continued)September 30, 2023 (Unaudited)
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.
(d) The MSCI World Index is a broad global equity index that represents the performance of large and mid-cap companies in 23 developed markets around the world. The index covers approximately 85% of the free float-adjusted market capitalization in each country represented. Index returns, unlike the Fund’s returns, do not reflect any fees or expenses. Investors cannot invest directly in an index.
(e) The Bloomberg U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, US dollar-denominated, fixed-rate taxable bond market. The index includes Treasuries, government-related and corporate securities, MBS (agency fixed-rate pass-throughs), ABS and CMBS (agency and non-agency). Index returns, unlike the Fund’s returns, do not reflect any fees or expenses. Investors cannot invest directly in an index.
Annual Shareholder Report | 4
As a Fund shareholder, you may incur two types of costs: (1) transaction costs, including commissions on trading, as applicable; and (2) ongoing costs, including advisory fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other funds.
The expense examples below are based on an investment of $1,000 invested at the beginning of the period and held for the six-month period ended September 30, 2023.
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.
|
|
|
| Beginning |
| Ending |
| Expenses Paid |
| Annualized | |
Goose Hollow Tactical Allocation ETF | | Actual | | $1,000.00 | | $982.10 | | $ 4.52 | | 0.91% | |
| Hypothetical | | 1,000.00 | | 1,020.51 | | 4.61 | | 0.91 | |
(a) Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183/365 (the number of days in the most recent fiscal half year divided by the number of days in the fiscal year).
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 5
Portfolio of Investments Summary Table | Percentage of |
Investment Trust | 1.4 |
Exchange-Traded Funds | 90.5 |
Financials | 5.7 |
Preferred Stock | 2.4 |
Purchased Options | 0.0(a) |
Total | 100.0 |
Portfolio holdings and allocations are subject to change. As of September 30, 2023, 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 ($) |
| Investment Trust — 1.4% | | ||
| 30,000 | | Grayscale Bitcoin Trust BTC(b) | 575,700 |
| Total Investment Trust (Cost $592,011) | 575,700 | ||
| | | | |
| Common Stock — 5.6% | | ||
| Financials — 5.6% | | ||
| 245,482 | | AGNC Investment Corp. | 2,317,350 |
| Total Common Stock (Cost $2,520,815) | 2,317,350 | ||
| | | | |
| Exchange-Traded Funds — 89.8% | | ||
| 33,191 | | Invesco Solar ETF(b) | 1,718,962 |
| 56,900 | | iShares 20+ Year Treasury Bond ETF | 5,046,461 |
| 80,000 | | iShares China Large-Cap ETF | 2,122,400 |
| 77,488 | | iShares MSCI ACWI ETF | 7,157,567 |
| 216,800 | | iShares MSCI Hong Kong ETF | 3,718,120 |
| 10,000 | | iShares MSCI Sweden ETF | 329,700 |
| 201,405 | | iShares Treasury Floating Rate Bond ETF | 10,219,290 |
| 12,539 | | SPDR Gold Shares(b) | 2,149,812 |
| 30,000 | | VanEck Gold Miners ETF | 807,300 |
| 51,649 | | Vanguard Extended Duration Treasury ETF | 3,616,979 |
| | | | 36,886,591 |
| Total Exchange-Traded Funds (Cost $38,012,091) | 36,886,591 | ||
| | | | |
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 6
Portfolio of Investments (continued)September 30, 2023
Goose Hollow Tactical Allocation ETF
| Shares | | | Fair Value ($) |
| Preferred Stock — 2.4% | | ||
| Financials - 2.4% | | ||
| 442,638 | | Federal National Mortgage Association, 8.25% | 982,656 |
| Total Preferred Stock (Cost $1,080,889) | 982,656 | ||
| | | ||
| Purchased Options — 0.0%(a)(c) | | ||
| Total Purchased Options (Cost $28,954) | 7,000 | ||
| | | ||
| Total Investments — 99.2% (Cost $42,234,760) | 40,769,297 | ||
| Other Assets in Excess of Liabilities — 0.8% | 310,985 | ||
| Net Assets — 100.0% | 41,080,282 |
(a) Represents less than 0.05%.
(b) Non-income producing security.
(c) See Portfolio of Purchased Options.
ETF — Exchange-Traded Fund
SPDR — Standard & Poor’s Depositary Receipts
Portfolio of Purchased Options
Exchange-traded equity options purchased as of September 30, 2023 were as follows:
Description |
| Put/Call |
| Number of |
| Notional |
| Strike Price |
| Expiration |
| Value ($) |
Banco Bradesco | | Call | | 200 | | 60 | | 3.00 | | 1/19/24 | | 3,000 |
Itau Unibanco | | Call | | 800 | | 560 | | 7.00 | | 1/19/24 | | 4,000 |
(Total Cost $28,954) — 0.0% | | 7,000 |
(d) 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.
Annual Shareholder Report | 7
| Goose Hollow Tactical Allocation ETF |
|
Assets: | | |
Investments, at value (Cost $42,234,760) | $40,769,297 | |
Cash | 114,980 | |
Deposits at brokers for derivative contracts | 193,824 | |
Dividends and interest receivable | 29,458 | |
Prepaid expenses | 342 | |
Total Assets | 41,107,901 | |
Liabilities: | | |
Accrued expenses: | | |
Advisory | 10,896 | |
Administration | 4,304 | |
Custodian | 431 | |
Fund accounting | 4,552 | |
Printing | 3,824 | |
Trustee | 1,200 | |
Other | 2,412 | |
Total Liabilities | 27,619 | |
Net Assets | $41,080,282 | |
Net Assets consist of: | | |
Paid-in Capital | $41,715,963 | |
Total Distributable Earnings (Loss) | (635,681 | ) |
Net Assets | $41,080,282 | |
| | |
Net Assets: | $41,080,282 | |
Shares of Beneficial Interest Outstanding | 1,625,000 | |
Net Asset Value (offering and redemption price per share): | $25.28 | |
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 8
| Goose Hollow | |
| For the Year Ended |
|
Investment Income: | | |
Dividend income | $978,476 | |
Interest income | 2,524 | |
Total Investment Income | 981,000 | |
Expenses: | | |
Advisory | 276,402 | |
Administration | 48,772 | |
Compliance services | 9,000 | |
Custodian | 3,030 | |
Fund accounting | 51,149 | |
Legal and audit | 32,594 | |
Printing | 4,138 | |
Treasurer | 2,550 | |
Trustee | 4,800 | |
Other | 19,518 | |
Total Expenses before fee reductions | 451,953 | |
Expenses contractually waived and/or reimbursed by the Advisor | (162,149 | ) |
Total Net Expenses | 289,804 | |
Net Investment Income (Loss) | 691,196 | |
Realized and Unrealized Gains (Losses) from Investments: | | |
Net realized gains (losses) from investment and foreign currency transactions | 776,901 | |
Net realized gains (losses) from in-kind transactions | 1,020,530 | |
Net realized gains (losses) from futures transactions | (61,783 | ) |
Change in unrealized appreciation (depreciation) | (957,398 | ) |
Net Realized and Unrealized Gains (Losses) | 778,250 | |
Change in Net Assets Resulting From Operations | $1,469,446 | |
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 9
| Goose Hollow Tactical Allocation ETF | |||
| Year Ended |
| For the period |
|
From Investment Activities: | | | | |
Operations: | | | | |
Net investment income (loss) | $691,196 | | $8,489 | |
Net realized gains (losses) from | 1,735,648 | | (68,863 | ) |
Change in unrealized appreciation (depreciation) on investments | (957,398 | ) | (508,065 | ) |
Change in net assets resulting | 1,469,446 | | (568,439 | ) |
Distributions to Shareholders From: | | | | |
Earnings | (81,324 | ) | (5,002 | ) |
Change in net assets from distributions | (81,324 | ) | (5,002 | ) |
Capital Transactions: | | | | |
Proceeds from shares issued | 54,105,372 | | 11,142,566 | |
Cost of shares redeemed | (24,982,337 | ) | — | |
Change in net assets from | 29,123,035 | | 11,142,566 | |
Change in net assets | 30,511,157 | | 10,569,125 | |
Net Assets: | | | | |
Beginning of period | 10,569,125 | | — | |
End of period | $41,080,282 | | $10,569,125 | |
Share Transactions: | | | | |
Issued | 2,125,000 | | 475,000 | |
Redeemed | (975,000 | ) | — | |
Change in shares | 1,150,000 | | 475,000 | |
(a) Commencement of operations.
See notes which are an integral part of the Financial Statements.
Annual Shareholder Report | 10
| Goose Hollow Tactical Allocation ETF | | ||
| Year Ended |
| November 16, 2021(a) |
|
Net Asset Value, Beginning of Period | $22.25 |
| $24.63 |
|
| ||||
Net Investment Income (Loss)(b) | 0.55 | | 0.06 | |
Net Realized and Unrealized Gains (Losses) | 2.58 | (c) | (2.34 | ) |
Total from Investment Activities | 3.13 |
| (2.28 | ) |
| ||||
Distributions from Net Investment Income | (0.06 | ) | (0.10 | ) |
Distributions from Net Realized Gains | (0.04 | ) | — |
|
Total Distributions | (0.10 | ) | (0.10 | ) |
| ||||
Net Asset Value, End of Period | $25.28 |
| $22.25 |
|
Net Assets at End of Period (000’s) | $41,080 |
| $10,569 |
|
| ||||
Total Return at NAV(d)(e) | 14.05 | % | (9.30 | )% |
Total Return at Market(e)(f) | 14.06 | % | (9.29 | )% |
| ||||
Ratio of Net Expenses to | 0.89 | % | 0.84 | % |
Ratio of Gross Expenses to | 1.39 | % | 3.51 | % |
Ratio of Net Investment Income (Loss) | 2.12 | % | 0.28 | % |
Portfolio Turnover(e)(k) | 450 | % | 392 | % |
(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., 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.
(g) Annualized for periods less than one year.
(h) Excludes expenses of the investment companies in which the Fund invests.
(i) If applicable, certain fees were waived and/or reimbursed. If such waivers/reimbursements had not occurred, the ratio would have been as indicated.
(j) 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.
(k) Excludes the impact of in-kind transactions.
Annual Shareholder Report | 11
(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, as amended (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. 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.
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’’). 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 policies consistently followed by the Fund in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America
Annual Shareholder Report | 12
Notes to Financial Statements (continued)September 30, 2023
(‘’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’’ including, Accounting Standards Update 2013-08. 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 Rule 2a-5 under the 1940 Act pursuant to 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. If market quotations are not readily available, securities will be valued at their fair market as determined using the fair value procedures approved by the Board. The Board has delegated the execution of these procedures to the advisor as fair value designee. 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 uses 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).
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.
Annual Shareholder Report | 13
Notes to Financial Statements (continued)September 30, 2023
Exchange-traded funds (‘’ETFs’’) and preferred stocks 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 and preferred stocks 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. Exchange traded options contracts are valued at the last quoted sales price on the primary exchange for that option as recorded by an approved pricing vendor. If an option is not traded on the valuation date, exchange traded options are valued at the composite price. Composite option pricing calculates the mean of the highest bid price and lowest ask price across the exchanges where the option is traded.
The Fund did not hold any Level 2 or Level 3 investments as of September 30, 2023.
The following table summarizes the Fund’s investments, based on their valuation inputs, as of September 30, 2023, while the breakdown, by category, of investments is disclosed in the Portfolio of Investments for the Fund:
| | Level 1 | | Total Investments |
Goose Hollow Tactical Allocation ETF | | | | |
Investment Trust | | $575,700 | | $575,700 |
Common Stock(a) | | 2,317,350 | | 2,317,350 |
Exchange-Traded Funds | | 36,886,591 | | 36,886,591 |
Preferred Stock(a) | | 982,656 | | 982,656 |
Purchased Options | | 7,000 | | 7,000 |
Total Investments | | $40,769,297 | | $40,769,297 |
(a) Please see the Portfolio of Investments for industry classifications.
B. Security Transactions and Related Income
Investment transactions are accounted for no later than the first calculation of the NAV on the business day following the trade date. For financial reporting purposes, however, security transactions are accounted for on the trade date on the last business day of the reporting period. Securities’ gains and losses are calculated on the identified cost basis. Interest income and expenses are accrued daily. Dividends and dividend expense, less foreign tax withholding, if any, are recorded on the ex-dividend date. Investment income from non-U.S. sources received by the 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
Annual Shareholder Report | 14
Notes to Financial Statements (continued)September 30, 2023
repatriation. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
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.
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 the United States federally insured limit of $250,000. Amounts swept overnight are available on the next business day.
D. Dividends and Distributions to Shareholders
Distributions are recorded on the ex-dividend date. The Fund intends to distribute to its shareholders net investment income and net realized capital gains, if any, at least annually. The amount of dividends from net investment income and net realized gains is determined in accordance with federal income tax regulations, which may differ from GAAP. These “book/tax” differences are considered either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., distributions and income received from pass-through investments), such amounts are reclassified within the capital accounts based on their nature for federal income tax purposes; temporary differences do not require reclassification.
In addition, the Fund may utilize equalization accounting for tax purposes and designate earnings and profits, including net realized gains distributed to shareholders on redemption of shares, as a part of the dividends paid deduction for income tax purposes. These reclassifications have no effect on net assets or net asset values per share.
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 year 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.
Annual Shareholder Report | 15
Notes to Financial Statements (continued)September 30, 2023
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 amounts 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. As of September 30, 2023, the Fund did not hold any futures contracts. The monthly average notional amount for the contracts held during the year ended September 30, 2023 were as follows:
| Monthly Average | ||
Futures Contracts: | Long |
| Short |
Goose Hollow Tactical Allocation ETF | $1,033,409 |
| $— |
Options Contracts:
Purchased Options Contracts – The Fund pays a premium which is included in “Investments, at value” on the Statement 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 Fund bears the risk of loss of the premium and change in value should the counterparty not perform under the contract. The gross notional amount of purchased options contracts outstanding as of September 30, 2023, and the monthly average notional amount for the contracts held during the year ended September 30, 2023 were as follows:
| Outstanding Notional Amount (000) |
| Monthly Average Notional Amount (000) |
Purchased Options Contracts: |
|
|
|
Goose Hollow Tactical Allocation ETF | $620 |
| $482 |
Annual Shareholder Report | 16
Notes to Financial Statements (continued)September 30, 2023
Written Options Contracts – The Fund receives 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 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 Fund bears 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. The Fund did not hold any written options contracts during the year ended September 30, 2023.
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 September 30, 2023:
| | Assets |
|
| Investments, |
Equity Risk Exposure: | | |
Goose Hollow Tactical Allocation ETF | | $7,000 |
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the year ended September 30, 2023:
| Net Realized Gains (Losses) from |
| Net Change in Unrealized Appreciation | |
| Futures Contracts | Purchased Options(a) |
| Purchased |
Currency Risk Exposure: |
| | | |
Goose Hollow | $(61,783) | $— | | $— |
Equity Risk Exposure: | | | | |
Goose Hollow | — | 2,721 | | (21,954) |
(a) These are included with gain/(loss) on investments on the Statement of Operations.
Annual Shareholder Report | 17
Notes to Financial Statements (continued)September 30, 2023
(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.
The Advisor has contractually agreed to reduce its fees and to reimburse expenses, at least through January 31, 2024 to ensure that Net Annual Fund Operating Expenses (exclusive of any (i) front-end or contingent deferred loads, (ii) brokerage fees and commissions, (iii) acquired fund fees and expenses, (iv) fees and expenses associated with instruments in other collective investment vehicles or derivative instruments (including for example options and swap fees and expenses); (v) borrowing costs (such as interest and dividend expenses on securities sold short), (vi) taxes, (vii) other fees related to underlying investments, (such as option fees and expenses or swap fees and expenses); or (viii) 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)) will not exceed 0.99%(a). Fee waivers and expense reimbursements are subject to possible recoupment from the Fund in future years on a rolling three-year basis (within the three years after the fees have been waived or reimbursed) 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. Fee waiver and reimbursement arrangements can decrease the Fund’s expenses and boost its performance. This expense imitation agreement may be terminated at any time, by the Board upon sixty days written notice to the advisor.
(a) Prior to July 1, 2023, the Expense Cap was 0.84%.
As of September 30, 2023, the Advisor may recoup amounts from the Fund as follows:
| Waived/Reimbursed | Waived/Reimbursed | Total |
Goose Hollow Tactical Allocation ETF | $80,007 | $162,149 | $242,156 |
B. Administration, Custodian, Transfer Agent and Accounting Fees
Citi Fund Services Ohio, Inc. (‘’Citi’’) serves as the administrator, fund accountant, and dividend disbursing agent for the Fund pursuant to a Services Agreement.
Annual Shareholder Report | 18
Notes to Financial Statements (continued)September 30, 2023
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.
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 year ended September 30, 2023, the Fund paid a total of $2,550 to the Treasurer.
F. General
Certain trustees and officers of the Trust are officers, directors and/or trustees of the above companies and, except for the Treasurer, receive no compensation from the Fund for their services.
(4) Investment Transactions
Purchases and sales of investments, excluding in-kind transactions and short-term investments, for the year ended September 30, 2023 were as follows:
|
| Purchases |
| Sales |
Goose Hollow Tactical Allocation ETF | | $142,479,221 | | $137,608,895 |
Purchases and sales of in-kind transactions for the year ended September 30, 2023 were as follows:
|
| Purchases |
| Sales |
Goose Hollow Tactical Allocation ETF | | $49,843,186 | | $23,938,010 |
There were no purchases or sales of U.S. government securities during the year ended September 30, 2023.
Annual Shareholder Report | 19
Notes to Financial Statements (continued)September 30, 2023
(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 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 transaction fees for the Fund are listed below:
| Fee for |
| Maximum Additional Variable Charge for Cash Purchases(a) |
Goose Hollow Tactical Allocation ETF | $250 |
| 2.00% |
(a) As a percentage of the amount invested.
From time to time, settlement of securities related to in-kind contributions or in-kind redemptions may be delayed. In such cases, securities related to in-kind transactions are reflected as a receivable or a payable on the Statement of Assets and Liabilities.
As of September 30, 2023, there were no unsettled in-kind capital transactions.
(6) Federal Income Taxes
It is the policy of the Fund to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined in applicable sections of the Internal Revenue Code of 1986, as amended, and to make distributions of net investment income and net realized capital gains sufficient to relieve it from all, or substantially all, federal income taxes.
Management of the Fund has reviewed the tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including U.S. federal (i.e., all open tax years and the interim tax period since then). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
As of and during the year ended September 30, 2023, the Fund did not have a liability for any unrecognized tax benefits. The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statement of Operations. During the year, the Fund did not incur any interest or penalties.
Annual Shareholder Report | 20
Notes to Financial Statements (continued)September 30, 2023
As of September 30, 2023, the tax cost of securities and the breakdown of unrealized appreciation (depreciation) for the Fund were as follows:
|
| Tax Cost of |
| Unrealized |
| Unrealized |
| Net Unrealized |
Goose Hollow Tactical Allocation ETF | | $42,298,437 | | $36,932 | | $(1,566,072) | | $(1,529,140) |
The difference between book-basis and tax-basis unrealized appreciation (depreciation) is primarily attributable to wash sale activity.
The tax character of distributions paid during the fiscal period or year ended September 30, 2022 and September 30, 2023 were as follows:
| | Distributions paid from | ||||||
|
| Ordinary |
| Net Capital |
| Total |
| Total |
Goose Hollow Tactical Allocation ETFª | |
| |
| |
| |
|
2022 | | $5,002 | | $— | | $5,002 | | $5,002 |
2023 | | 81,324 | | — | | 81,324 | | 81,324 |
As of September 30, 2023, the components of distributable earnings (accumulated losses) on a tax basis were as follows:
|
| Undistributed |
| Undistributed |
| Distributable |
| Accumulated |
| Unrealized |
| Total |
Goose Hollow Tactical Allocation ETF | $893,459 | | $— | | $893,459 | | $— | | $(1,529,140) | | $(635,681) |
During the year ended September 30, 2023, the Fund utilized capital loss carry forwards, not subject to expiration, to offset realized capital gains:
|
| Total |
Goose Hollow Tactical Allocation ETF | | $10,998 |
Under current law, capital losses and specified ordinary losses realized after October 31 and non-specified ordinary losses incurred after December 31 (ordinary losses collectively known as “late year ordinary loss”) may be deferred and treated as occurring on the first business day of the following fiscal year. As of the fiscal year ended September 30, 2023, the Fund had no deferred losses.
Annual Shareholder Report | 21
Notes to Financial Statements (continued)September 30, 2023
Permanent Tax Differences:
As of September 30, 2023, the following reclassifications were made on the Statement of Assets and Liabilities, relating primarily to redemptions in-kind and equalization:
| Total | Paid-in |
Goose Hollow Tactical Allocation ETF | $(1,450,421) | $1,450,421 |
(7) Investment Risks
ETF Risk
The NAV of a Fund can fluctuate up or down, and you could lose money investing in the Fund if the prices of the securities owned by the Fund decline. In addition, the Fund may be subject to the following risks: (1) the market price of the Fund’s shares may trade above or below its NAV; (2) an active trading market for the Fund’s shares may not develop or be maintained; or (3) trading of the Fund’s shares may be halted if the listing exchange’s officials deem such action appropriate, the shares are delisted from the exchange, or the activation of market-wide “circuit breakers” (which are tied to large decreases in stock prices) halts stock trading generally.
Market and Geopolitical Risk
The increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region or financial market. Securities in the Fund may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, pandemics, epidemics, terrorism, international conflicts, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years, such as terrorist attacks around the world, natural disasters, social and political discord or debt crises and downgrades, among others, may result in market volatility and may have long term effects on both the U.S. and global financial markets. It is difficult to predict when similar events affecting the U.S. or global financial markets may occur, the effects that such events may have and the duration of those effects. Any such event(s) could have a significant adverse impact on the value and risk profile of the Fund. The COVID-19 global pandemic had negative impacts, and in many cases severe negative impacts, on markets worldwide. It is not known how long such impacts, or any future impacts of other significant events described above, will or would last, but there could be a prolonged period of global economic slowdown, which may impact your investment. Therefore, the 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
Annual Shareholder Report | 22
Notes to Financial Statements (continued)September 30, 2023
negatively affected. Changes in market conditions and interest rates can have the same impact on all types of securities and instruments. In times of severe market disruptions you could lose your entire investment.
(8) 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 September 30, 2023.
Annual Shareholder Report | 23
To the Shareholders of Goose Hollow Tactical Allocation ETF and
Board of Trustees of Collaborative Investment Series Trust
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the portfolio of investments, of Goose Hollow Tactical Allocation ETF (the “Fund”), a series of Collaborative Investment Series Trust, as of September 30, 2023, the related statements of operations for the year then ended, the statements of changes in net assets and the financial highlights for the year ended September 30, 2023, and for the period November 16, 2021 (commencement of operations) through September 30, 2022, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of September 30, 2023, the results of its operations for the year then ended and the changes in net assets and the financial highlights for the year ended September 30, 2023, and for the period November 16, 2021 (commencement of operations) through September 30, 2022, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audit in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.
Our audit included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2023, by correspondence with the custodian and brokers. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audit provides a reasonable basis for our opinion.
We have served as the Fund’s auditor since 2022.
COHEN & COMPANY, LTD.
Milwaukee, Wisconsin
November 28, 2023
Annual Shareholder Report | 24
Renewal of the Investment Advisory Agreement with Goose Hollow Capital Management LLC
In connection with the meeting of the Board of Trustees (the “Board”) of Collaborative Investment Series Trust (the “Trust”) held on August 30, 2023 (the “Meeting”), the Board, including a majority of the Trustees who are not “interested persons” as that term is defined in the Investment Company Act of 1940, as amended, discussed the renewal of an investment advisory agreement between Goose Hollow Capital Management LLC (“GHCM”) and the Trust, with respect to the Goose Hollow Tactical Allocation ETF (the “Fund”). In considering the renewal of the investment advisory agreement, the Board received materials specifically relating to the investment advisory agreement.
The Board reviewed and discussed the materials that were provided in advance of the Meeting and deliberated on the renewal of the investment advisory agreement between GHCM and the Trust. The Board relied upon the advice of independent legal counsel and its own business judgment in determining the material factors to be considered in evaluating the investment advisory agreement on behalf of the Fund and the weight to be given to each factor considered. The conclusions reached by the Board were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Trustee may have afforded different weight to the various factors in reaching his or her conclusions with respect to the renewal of the investment advisory agreement.
Nature, Extent and Quality of Services. The Board noted that GHCM was an investment adviser with $70 million in assets under management as of June 30, 2023. The Board reviewed the background information of the key personnel responsible for the Fund. The Board discussed the services GHCM provided the Fund, which included making investment decisions using macro-economic analysis with a focus on longer-term price changes. The Board noted that GHCM used a third-party firm for its risk management software that monitored position risk using various measures. The Board acknowledged that GHCM conducted daily monitoring and utilized internal investment checklists before making investment decisions as a practice for monitoring compliance. The Board reviewed GHCM’s best execution policy in selecting broker-dealers and noted that GHCM had a management committee that provided oversight of the firm’s brokerage practices. The Board noted that GHCM had no material compliance issues, no SEC or state regulator examination or investigation nor any material litigation or administrative action in the past 36 months. The Board concluded that it expected GHCM to continue to provide satisfactory service to the Fund and its shareholders.
Performance. The Board observed that the Fund outperformed its benchmark index, Bloomberg Cash Index, with a 16.95% return for the 1-year period. The Board remembered that the inception of the Fund occurred in November 2021, so there were no data for the 5-year and 10-year periods. The Board concluded that the Fund’s performance was satisfactory.
Annual Shareholder Report | 25
Approval of Management Agreement (continued)September 30, 2023 (Unaudited)
Fees and Expenses. The Board noted that the Fund’s advisory fee of 0.85% and net expense ratio of 1.14% were below the averages of its peer group. The Board discussed and considered the Fund’s advisory fee relative to its peer group. The Board concluded that the advisory fee was not unreasonable.
Profitability. The Board reviewed the profitability analysis provided by GHCM and noted that there was a net loss for GHCM with regard to its management of the Fund. After discussion, the Board determined that excessive profitability was not an issue for GHCM at this time.
Economies of Scale. The Board considered whether economies of scale would be realized in connection with the services provided to the Fund by GHCM. The Board discussed GHCM’s position on breakpoints and noted GHCM would continue to monitor the Fund’s asset levels as the Fund continued to grow.
Conclusion. Having requested and received such information from GHCM 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 renewal of the investment advisory agreement was in the best interests of the Fund and its shareholders.
Annual Shareholder Report | 26
OTHER FEDERAL INCOME TAX INFORMATION
During the fiscal year or period ended September 30, 2023, the following percentage of the total ordinary income distributions paid by the Fund qualifies for the distributions received deduction available to corporate shareholders:
| Distributions Received Deduction |
Goose Hollow Tactical Allocation ETF | 2.59% |
For the fiscal year or period ended September 30, 2023, distributions paid by the Funds may be subject to a maximum tax rate of 15%, as provided by the Jobs and Growth Relief Reconciliation Act of 2003. The Funds intend to designate the maximum amount allowable as taxed at a maximum rate of 15%. Complete information will be reported in conjunction with your 2023 Form 1099-DIV.
During the fiscal year or period ended September 30, 2023, the percentage of Qualified Dividend Income is as follows:
| Qualified |
Goose Hollow Tactical Allocation ETF | 8.50% |
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.
Annual Shareholder Report | 27
Additional Information (continued)September 30, 2023 (Unaudited)
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.
LIQUIDITY RISK MANAGEMENT PROGRAM
The Fund has adopted and implemented a written liquidity risk management program as required by Rule 22e-4 (the “Liquidity Rule”) under the 1940 Act. The program is reasonably designed to assess and manage the Fund’s liquidity risk, taking into consideration, among other factors, the Fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions; its short and long-term cash flow projections; and its cash holdings and access to other funding sources.
The Trust’ s Liquidity Risk Management Program Committee (the “Committee”) reviewed the Fund’s investments and determined that the Fund held adequate levels of cash and highly liquid investments to meet shareholder redemption activities in accordance with applicable requirements. Accordingly, the Committee concluded that (i) the Fund’s liquidity risk management program is reasonably designed to prevent violations of the Liquidity Rule and (ii) the Fund’s liquidity risk management program has been effectively implemented.
TAILORED SHAREHOLDER REPORTS FOR MUTUAL FUNDS AND ETFS
Effective January 24, 2023, the SEC adopted rule and form amendments to require mutual funds and ETFs to transmit concise and visually engaging streamlined annual and semiannual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. At this time, management is evaluating the impact of these amendments on the shareholder reports for the Fund.
Annual Shareholder Report | 28
Name Address* and | Position(s) | Term of | Principal | Number of | Other |
Dean Drulias, Esq. | Trustee | Indefinite/ November 2017 - present | Attorney | 12 | Trustee for Belpointe PREP Manager, LLC. |
Shawn Orser | Trustee | Indefinite/ November 2017 - present | CEO, Seaside Advisory (6/2016-Present) | 12 | Trustee for Belpointe PREP Manager, LLC. 2021- Present |
Fredrick Stoleru | Trustee | Indefinite/ November 2017 - present | COO of Belpointe Prep, LLC since September 2022, Chief Executive Officer and President of Atlas Resources LLC since February 2017, Vice President and General Partner of Atlas Growth Partners, L.P. since 2013, | 12 | None |
Ronald Young Jr. | Trustee | Indefinite/ March 2020 - present | President – Young Consulting, Inc. (2008-Present); President – Tri State LED, Inc. (2010-Present) | 12 | Trustee for Belpointe PREP Manager, LLC. 2021- Present |
Annual Shareholder Report | 29
Board of Trustees and Trust Officers (Unaudited) (continued)
Name, Address* and | Position(s) | Term of | Principal | Number of | Other |
Gregory Skidmore**** | Trustee and President | Indefinite/ November 2017 - present | President, Belpointe Asset Management, LLC since 2007. | 12 | None |
Kyle R Bubeck | Chief Compliance Officer | Since October 2021 | President and Founder of Beacon Compliance Consulting Inc. | N/A | N/A |
William McCormick | Treasurer | Since October 2021 | Senior Wealth Advisor – Belpointe Asset Management (since 2019); Wealth Advisor – Advisory Services Network | N/A | N/A |
Brad Rundbaken | Secretary | Since October 2021 | Manager – Collaborative Fund Services, LLC | N/A | N/A |
* The address for each Trustee and Officer listed is 500 Damonte Ranch Parkway Building 700, Unit 700, Reno, NV 89521.
** The term of office for each Trustee and officer listed above will continue indefinitely until the individual resigns or is removed.
*** The term “Fund Complex” applies only to the Collaborative Investment Series Trust as of September 30, 2023.
****Gregory Skidmore is considered an Interested Trustee as defined in the 1940 Act because of his ownership in Collaborative Fund Services, LLC.
The Fund’s SAI references additional information about the Trustees and is available free of charge, upon request, by calling toll free 1-866-904-0406.
Annual Shareholder Report | 30
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 | Do we share information? | 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 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 |
Annual Shareholder Report | 31
Reasons we can share your | 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 1-866-898-6447 |
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 affiliates or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only: •sharing for affiliates’ everyday business purposes – information about your creditworthiness. •affiliates from using your information to market to you. •sharing for nonaffiliates to market to you. State laws and individual companies may give you additional rights to limit sharing. |
Annual Shareholder Report | 32
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial and non-financial companies. •The Collaborative Investment Series Trust does not share with affiliates. |
Non-affiliates | Companies not related by common ownership or control. They can be financial and non-financial companies. •The Collaborative Investment Series Trust does not share with non-affiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. •The Collaborative Investment Series Trust doesn’t jointly market. |
This report is provided for the general information of the 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.
11/23
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
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:
2023: $149,500
2022: $143,000
(b) Audit-Related Fees billed to the registrant by its principal accountants for the two most recent fiscal years:
2023: $─
2022: $─
(c) Tax Fees billed to the registrant by its principal accountants for the two most recent fiscal years:
2023: $31,000
2022: $28,000
Fees for 2023 and 2022 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, $─.
(d) All other fees billed to the registrant by its principal accountants for the two most recent fiscal years:
2023: $─
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.
(e)(2)
2023 0%
2022 0%
(f) Not applicable.
(g)
2023: $─
2022: $─
(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.
(i) Not applicable.
(j) Not applicable.
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 13. Exhibits.
(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 | November 24, 2023 |
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 | November 24, 2023 |
By (Signature and Title) | /s/ William McCormick | |
Bill McCormick, Treasurer and Principal Financial Officer of the Trust |
Date | November 25, 2023 |