HYTR ETF

HYTR

CP High Yield Trend ETF

As of September 17, 2020
MARKET PRICE
$23.31
DAILY CHANGE
$0
NAV
$23.32
RETURN
0%
PREMIUM/DISCOUNT
$-0.01

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.

The HYTR ETF is a defensive fixed income trend following exchange traded fund (ETF) that alternates exposure between the US high yield corporate market and 3-7 year U.S. Treasuries. Offering a public methodology, HYTR ETF tracks to the CP High Yield Trend Index, and is one of the first ETFs utilizing a diversified ensemble model to trend follow high yield corporate bond funds. HYTR ETF aims to provide a defensive diversifier strategy to improve portfolio performance by either boosting returns within a given risk budget, or by reducing portfolio drawdown risk without unduly sacrificing returns.

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 2020-09-17
TickerHYTR
Primary ExchangeNYSE
Cusip66538R722
ISINUS66538R722
Inception Date2020-01-21
Net Assets12245528
Shares Outstanding525000
Volume14
Volume (Avg 3 Month)1638
30 Day Median Mid Bid-Ask Spread0.1708%
Gross Expense Ratio1.48%
Net Expense Ratio (After Waivers)0.97%
Net Expense Ratio (After Waivers Excluding Acquired Fund Expenses)0.60%
Advisor Management Fee0.50%
IOPV TickerHYTR.IV
Related Index TickerHYTREND Index

Performance

Performance

As of 2020-09-17 1 DAY1 MO3 MO6 MO1 YRYTDQTDSINCE INCEPTION
Market Price23.310%0.05%0.81%1.62%N/AN/A2.49%-5.2%
NAV23.32-0.04%0.01%0.68%1.75%N/AN/A2.4%-5.16%

Quarter-End Performance

Not yet Available
Performance quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate, so shares may be worth more or less when redeemed or sold. Current performance may be lower or higher than the performance quoted. Visit www.cpetfs.com for the most recent month-end performance.

Distributions

Fund Distributions

Ex-DateRecord DatePay DateShort-Term Capital GainsLong-Term Capital GainsDividend IncomeTotal Distribution
02/14/2002/18/2002/24/200.09580.0958
03/13/2003/16/2003/23/200.08360.0836
04/15/2004/16/2004/21/200.0140.014
05/15/2005/18/2005/26/200.01050.0105
06/15/2006/16/2006/22/200.01040.0104
07/15/2007/16/2007/21/200.02450.0245
08/14/2008/17/2008/24/200.07170.0717
09/15/2009/16/2009/21/200.08280.0828
There is no assurance that distributions will continue to be paid.

Holdings

Top 10 Holdings

NAMESYMBOLNET ASSET %MARKET PRICE($)SHARES HELDMARKET VALUE
SPDR Bloomberg Barclays High Yield Bond ETFJNK0.3992104.8546518$4877412
iShares iBoxx High Yield Corporate Bond ETFHYG0.398984.2957817$4873395
iShares 3-7 Year Treasury Bond ETFIEI0.1988133.5118191$2428680
US DOLLARS0.011122091$122091
Download Latest Holdings CSV

Portfolio holdings are subject to change at any time and should not be considered investment advice.

Historical Premium/Discount

 Days Traded at PremiumDays Traded At Discount
Calendar Year 201900
Q1 2020369
Q2 20202831

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.

Learn more about the CP High Yield Trend Index