HYTR
CP High Yield Trend ETF
| As of July 27, 2021 |
| $24.2 |
| -$0.03 |
| $24.2 |
| -0.12% |
| $0 |
Overview
HYTR is a defensive fixed income exchange traded fund (ETF) that seeks to provide exposure to the US high yield corporate market in favorable environments and aims to reduce risk during market turbulence. The fund’s trend following strategy alternates exposure between high yield corporate bonds, and low duration U.S. Treasuries according to quantitative model signals.
The Fund seeks to provide investment results that track, before fees and expenses, the performance of the CP High Yield Trend Index.
Tax advantaged
ETF wrapper has potential to minimize capital gain events resulting from internal active management
Robust model
Ensemble of trend following signals adds model diversification
Liquidity
Deep liquidity of underlying holdings translates to deep liquidity for this alternative ETF
Strategy
At the time of each Index rebalance, index components are weighted using a blend of quantitative rules to determine allocations to two asset classes via ETFs: US high yield corporate bonds, and US 3-7 year treasuries.
The index uses an ensemble of models: a 75%/25% blend of simple moving averages and time series lookback returns (using time series momentum principles) against a “reference index,” the closing price of the HYG ETF, to decide “target allocation.” A “final allocation” is produced by filtering the target allocation through a series of two steps: 1. creating a “Banded Weight” by maintaining maximum daily allocation change bands of 20% per day 2. Iterative rounding of “Banded Weights” to even weights in 20% increments while delaying day-over-day allocation adjustments in the condition the absolute day-over-day change in “Rounded Weight” (equal to “Banded Weight” rounded to 20% increments) exceeds the absolute day-over-day change in “Banded Weight” by 5%.
The objective of these steps is to prevent the day over day allocation change from being greater than 20% of total portfolio weight, while likewise reducing unnecessary turnover from the target allocation rounding function. The goal is to reduce trading frequency due to idiosyncrasies within the timing signal. The system rounds allocations to increments of 20% (so the only possible weights are 0%, 20%, 40%, 60%, 80%, and 100%) in order to reduce turnover and transaction costs coming from small allocation changes.
FUND DETAILS | As Of 2021-07-27 |
|---|---|
| Ticker | HYTR |
| Primary Exchange | NYSE |
| Cusip | 66538R722 |
| ISIN | US66538R722 |
| Inception Date | 2020-01-21 |
| Net Assets | 11492771 |
| Shares Outstanding | 500000 |
| Volume | 292 |
| Volume (Avg 3 Month) | 5459 |
| 30 Day Median Mid Bid-Ask Spread | 0.1654% |
| Gross Expense Ratio | 1.48% |
| Net Expense Ratio (After Waivers) | 0.97% |
| Net Expense Ratio (After Waivers Excluding Acquired Fund Expenses) | 0.60% |
| Advisor Management Fee | 0.50% |
| IOPV Ticker | HYTR.IV |
| Related Index Ticker | HYTREND Index |
Performance
Performance
| As of 2021-07-27 | 1 DAY | 1 MO | 3 MO | 6 MO | 1 YR | YTD | QTD | SINCE INCEPTION | |
|---|---|---|---|---|---|---|---|---|---|
| Market Price | 24.2 | -0.12% | 0.1% | 1.47% | 2.77% | 7.23% | 2.34% | 0.02% | 1.07% |
| NAV | 24.2 | -0.08% | 0.1% | 1.51% | 2.81% | 7.14% | 2.34% | -0.02% | 1.07% |
Quarter-End Performance
| As of 2021-06-30 | 1 MO | 3 MO | 6 MO | 1 YR | YTD | QTD | SINCE INCEPTION | |
|---|---|---|---|---|---|---|---|---|
| Market Price | 24.27 | 1.19% | 1.91% | 2.32% | 9.85% | 2.32% | 1.91% | 1.12% |
| NAV | 24.28 | 1.28% | 1.91% | 2.37% | 9.75% | 2.37% | 1.91% | 1.15% |
Distributions
Fund Distributions
| Ex-Date | Record Date | Pay Date | Short-Term Capital Gains | Long-Term Capital Gains | Dividend Income | Total Distribution |
|---|---|---|---|---|---|---|
| 02/14/20 | 02/18/20 | 02/24/20 | 0.0958 | 0.0958 | ||
| 03/13/20 | 03/16/20 | 03/23/20 | 0.0836 | 0.0836 | ||
| 04/15/20 | 04/16/20 | 04/21/20 | 0.014 | 0.014 | ||
| 05/15/20 | 05/18/20 | 05/26/20 | 0.0105 | 0.0105 | ||
| 06/15/20 | 06/16/20 | 06/22/20 | 0.0104 | 0.0104 | ||
| 07/15/20 | 07/16/20 | 07/21/20 | 0.0245 | 0.0245 | ||
| 08/14/20 | 08/17/20 | 08/24/20 | 0.0717 | 0.0717 | ||
| 09/15/20 | 09/16/20 | 09/21/20 | 0.0828 | 0.0828 | ||
| 10/15/20 | 10/16/20 | 10/21/20 | 0.0707 | 0.0707 | ||
| 11/13/20 | 11/16/20 | 11/23/20 | 0.0997 | 0.0997 | ||
| 12/15/20 | 12/16/20 | 12/21/20 | 0.1701 | 0.1701 | ||
| 02/12/21 | 02/16/21 | 02/22/21 | 0.0717 | 0.0717 | ||
| 03/15/21 | 03/16/21 | 03/22/21 | 0.0748 | 0.0748 | ||
| 04/15/21 | 04/16/21 | 04/21/21 | 0.0699 | 0.0699 | ||
| 05/14/21 | 05/17/21 | 05/24/21 | 0.071 | 0.071 | ||
| 06/15/21 | 06/16/21 | 06/21/21 | 0.067 | 0.067 | ||
| 07/15/21 | 07/16/21 | 07/21/21 | 0.0742 | 0.0742 |
Holdings
Top 10 Holdings
| NAME | SYMBOL | NET ASSET % | MARKET PRICE($) | SHARES HELD | MARKET VALUE |
|---|---|---|---|---|---|
| US DOLLARS | 0.002 | 1 | 23520.5 | $23520 | |
| ISHARES IBOXX HIGH YLD CO | HYG | 0.498 | 87.7 | 65266 | $5723828 |
| SPDR BBG BARC HIGH YIELD | JNK | 0.5009 | 109.63 | 52511 | $5756781 |
Portfolio holdings are subject to change at any time and should not be considered investment advice.
Historical Premium/Discount
| Days Traded at Premium | Days Traded At Discount | |
|---|---|---|
| Calendar Year 2020 | 72 | 114 |
| Q1 2021 | 15 | 17 |
| Q2 2021 | 9 | 19 |
The Adviser has contractually agreed to waive its fees and reimburse expenses of the Fund, until at least January 31, 2022 to ensure that total annual fund operating expenses after fee waiver and/or reimbursement will not exceed 0.60% of the Fund’s net assets. This is excluding (i) of any front-end or contingent deferred loads; (ii) brokerage fees and commissions; (iii) acquired fund fees and expenses; (iv) fees and expenses associated with investments in other collective investment vehicles or derivative instruments (including for example option and swap fees and expenses); (v) borrowing costs (such as interest and dividend expense on securities sold short); (vi) taxes; and (vii) extraordinary expenses, such as litigation expenses (which may include indemnification of Fund officers and Trustees, contractual indemnification of Fund service providers,other than the Adviser). This fee waiver and expense reimbursement are subject to possible recoupment from the Fund 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 in place at the time of recapture. This agreement may be terminated only by the Trust’s Board of Trustees on 60 days’ written notice to the Adviser.
