Fund Objectives

The Salt High truBeta™ US Market Fund seeks to track the investment results of The Salt High truBeta™ US Market Index. Learn more about the Index that SLT is designed to track.


Fund Information

Fund Symbol SLT
CUSIP 26922A479
Expense Ratio 0.29%
Exchange CBOE BZX Exchange, Inc
Inception Date 5/15/2018
Index Salt High truBeta™ US Market Index
Index Symbol (Bloomberg) SFMGXT
Lead Market Maker Virtu Americas LLC

Why SLT?

  • Because you are bullish and seek more exposure to market-sensitive sectors.

  • Target US large and midcap stocks expected to move more than the broader market.

  • Seeks to achieve increased market exposure without using margin borrowing or leveraged ETFs.

Net Asset Value

(as of 11/20/2019)
index 0
Total Assets $14,020,252.54
Shares Outstanding 525,000
NAV $26.71
Change $-0.24
Change % -0.88%

Price

(as of 11/20/2019)
index 0
Price $26.71
Change $-0.23
Change % -0.85%
Premium/Discount 0.03%

Market price is the price at which shares in the ETF can be brought or sold on the exchanges during trading hours, while the net asset value (NAV) represents the value of each share's portion of the fund's underlying assets and cash at the end of the trading day.

The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when sold or redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted. Click here for standardized performance.

Month End Performance

(as of 10/31/2019)
Cumulative (%) Annualized (%)
SLT 1 MO 3 MO 6 MO YTD Since Inception
(05/15/2018)
1 YR Since Inception
(05/15/2018)
SLT NAV 2.83 -1.52 -2.94 24.84 3.92 12.44 2.66
SLT MKT 2.66 -1.74 -3.04 25.39 3.85 12.29 2.61

Quarter End Performance

(as of 09/30/2019)
Cumulative (%) Annualized (%)
SLT 1 MO 3 MO 6 MO YTD Since Inception
(05/15/2018)
1 YR Since Inception
(05/15/2018)
SLT NAV 2.94 -1.66 -0.06 21.40 1.06 -1.39 0.77
SLT MKT 2.93 -1.54 0.02 22.15 1.16 -1.90 0.84

Expense ratio: 0.29%

*Performance for periods greater than one year are annualized.

Short term performance in particular, is not a good indication of the fund’s future performance and an investment should not be made based solely on returns.

The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when sold or redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted.

Market price is the price at which shares in the ETF can be bought or sold on the exchanges during trading hours, while the net asset value (NAV) represents the value of each share’s portion of the fund’s underlying assets and cash at the end of the trading day.

Salt Financial shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Total Returns are calculated using the daily 4:00pm net asset value (NAV). Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times.

Fund Top Holdings

(as of 11/21/2019)
Name Ticker Weight Shares Held
TESLA INC TSLA 1.37% 546
ADVANCED MICRO DEVICES INC AMD 1.29% 4410
APPLE INC AAPL 1.18% 630
LAM RESEARCH CORP LRCX 1.15% 588
STATE STR CORP STT 1.15% 2205
NVIDIA CORP NVDA 1.14% 756
SKYWORKS SOLUTIONS INC SWKS 1.12% 1638
KLA CORP KLAC 1.12% 903
APPLIED MATLS INC AMAT 1.12% 2625
SQUARE INC SQ 1.12% 2331

Fund holdings and sector allocations are subject to change at any time and should not be considered a recommendation to buy or sell any security.

Distributions

Ex Date Record Date Payable Date Income Short Term Capital Gain Long Term Capital Gain Return of Capital Total Distribution
12/18/2018 12/19/2018 12/20/2018 $0.06601 $0.05709 $0.00 $0.00 $0.12310
  • Gain exposure to higher beta US stocks based on truBeta forecasts of market sensitivity.
  • Use tactically to increase exposure to high beta stocks.
  • Use strategically for more aggressive equity allocations
Beta describes the sensitivity of an individual stock to movements in the broader market. The beta coefficient is the slope of the line created by regressing the returns of the individual stock on the returns of the market. Alternatively, beta can be calculated as the ratio of how the stock moves with the market (covariance) to the variance of the market. A stock with an estimated beta of 1.0 tends to vary in the same direction and magnitude as the market. A stock with a beta of 1.2 would be expected to vary 20% more than the market (higher volatility); one with a beta of 0.8 would tend to move 20% less than the market (lower volatility).
truBeta™ is our beta forecast for the next quarter. It uses this micro-forecasting in its methodology to gauge sensitivity of a stock to the market, producing what we believe to be a more accurate estimate than traditional approaches. It uses a blend of intraday, daily, and monthly historical return data to estimate beta over the next quarter.
Salt Financial LLC is the fund’s adviser and index provider with Penserra Capital Management LLC serving as a sub-adviser.
The index is administered by Salt Financial LLC with calculation services provided by Solactive AG.
The expense ratio for the fund is 0.29% on an annualized basis.
The fund will pay any dividends declared by the component companies in the fund on the ex-date accordingly.
The fund is listed on the Cboe BZX Exchange, Inc. under the ticker “SLT” and generally trades based on market prices for the components in the fund. You can compare market prices to the an intraday estimate of the fund’s Net Asset Value (NAV) known as the IOPV or IIV, which has a unique symbol[*].
Your broker, advisor or trading desk is responsible for trade execution, either on an exchange or off-exchange through an Authorized Participant (AP). Salt Financial does not act as a broker-dealer and therefore cannot accept or control execution of your ETF trades.
Leveraged or “geared” funds use derivatives to magnify the daily return on a stock index by specific amount (i.e. 2x or 3x). Since they reset their leverage multiplier each day, returns for leveraged ETFs over periods longer than one day may be significantly different from the stated daily multiplier. SLT, which seeks to track the Salt High truBeta™ US Market Index, seeks to magnify exposure by concentrating the portfolio in stocks with higher sensitivity to market movements as estimated by Salt’s proprietary truBeta™ forecast. The fund will fluctuate with the performance of the underlying stocks but does not “reset” its exposure like a leveraged ETF.
No. SLT does not provide specific a multiple of daily or any other period return versus SPY. It simple targets securities more likely to move more than the index and in the same direction (up or down depending on market movements). The fund does not have a precise leverage multiplier but avoids the side effects of daily reset leverage in seeking to target higher exposure to the market for periods generally longer than one day.

Fund Objectives

The Salt Low truBeta™ US Market Fund seeks to track the investment results of The Salt Low truBeta™ US Market Index. Learn more about the Index that LSLT is designed to track.


Fund Information

Fund Symbol LSLT
CUSIP 79590A107
Gross Expense Ratio 0.29%
Net Expense Ratio 0%*
Exchange CBOE BZX Exchange, Inc
Inception Date 3/12/2019
Index Salt Low truBeta™ US Market Index
Index Symbol (Bloomberg) SFSTBT
Lead Market Maker Virtu Americas LLC

Why LSLT?

  • Low-cost* access to stocks with the potential for lower sensitivity to market moves.

  • Targets US large and midcap stocks with historically lower volatility than the broader market.

  • Consider for a core equity position with upside participation and the potential for less risk.

Net Asset Value

(as of 11/20/2019)
index 1
Total Assets $9,146,569.39
Shares Outstanding 325,000
NAV $28.14
Change $0.02
Change % 0.08%

Price

(as of 11/20/2019)
index 1
Price $28.16
Change $0.01
Change % 0.04%
Premium/Discount 0.06%

Market price is the price at which shares in the ETF can be brought or sold on the exchanges during trading hours, while the net asset value (NAV) represents the value of each share's portion of the fund's underlying assets and cash at the end of the trading day.

The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when sold or redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted. Click here for standardized performance.

*The Adviser has contractually agreed to waive the Fund’s full unitary management fee of 0.29% of the Fund’s average daily net assets on the first $100 million in net assets until at least May 31, 2020 (the “Fee Waiver”) and to contribute to the Fund’s assets an amount equal to an annual rate of 0.05% of the Fund’s average daily net assets on the first $100 million in net assets.

Month End Performance

(as of 10/31/2019)
Cumulative (%) Annualized (%)
LSLT 1 MO 3 MO 6 MO YTD Since Inception
(03/12/2019)
1 YR Since Inception
(03/12/2019)
LSLT NAV -0.74 2.70 6.54 - 11.65 - -
LSLT MKT -0.77 2.58 6.48 - 11.62 - -

Quarter End Performance

(as of 09/30/2019)
Cumulative (%) Annualized (%)
LSLT 1 MO 3 MO 6 MO YTD Since Inception
(03/12/2019)
1 YR Since Inception
(03/12/2019)
LSLT NAV 1.33 4.77 9.88 - 12.48 - -
LSLT MKT 1.25 4.83 9.89 - 12.48 - -

Gross Expense ratio: 0.29%

Net Expense Ratio: 0.00%*

*Performance for periods greater than one year are annualized.

*The Adviser has contractually agreed to waive the Fund’s full unitary management fee of 0.29% of the Fund’s average daily net assets on the first $100 million in net assets until at least May 31, 2020 (the “Fee Waiver”) and to contribute to the Fund’s assets an amount equal to an annual rate of 0.05% of the Fund’s average daily net assets on the first $100 million in net assets.

Short term performance in particular, is not a good indication of the fund’s future performance and an investment should not be made based solely on returns.

The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when sold or redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted.

Market price is the price at which shares in the ETF can be bought or sold on the exchanges during trading hours, while the net asset value (NAV) represents the value of each share’s portion of the fund’s underlying assets and cash at the end of the trading day.

Salt Financial shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Total Returns are calculated using the daily 4:00pm net asset value (NAV). Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times.

Fund Top Holdings

(as of 11/21/2019)
Name Ticker Weight Shares Held
UNITEDHEALTH GROUP INC UNH 1.17% 390
CVS HEALTH CORP CVS 1.16% 1417
PHILIP MORRIS INTL INC PM 1.15% 1261
ALTRIA GROUP INC MO 1.14% 2158
WESTERN UN CO WU 1.14% 3861
COUSINS PPTYS INC CUZ 1.13% 2548
RESMED INC RMD 1.13% 689
FISERV INC FISV 1.11% 884
KEURIG DR PEPPER INC KDP 1.10% 3302
AGNC INVT CORP AGNC 1.09% 5759

Fund holdings and sector allocations are subject to change at any time and should not be considered a recommendation to buy or sell any security.

Distributions

Ex Date Record Date Payable Date Income Short Term Capital Gain Long Term Capital Gain Return of Capital Total Distribution
- - - - - - - -
Nearly all forecasting techniques take data from the past and attempt to extrapolate to the future. In general, a shorter forecast horizon with more data points will lead to a more accurate forecast. Using today’s temperature to forecast tomorrow’s weather is more effective than using a seasonal average or temperature from months ago. Financial markets are no different.

At Salt Financial, we use rich data from the recent past to forecast how a portfolio is likely to behave in the near future, creating products that dynamically adapt to deliver consistent exposure to the underlying market for investors. We call this technique “micro-forecasting” and it lies at the heart of everything we do.

truBeta™ is our beta forecast for the next quarter. It uses this micro-forecasting in its methodology to gauge sensitivity of a stock to the market, producing what we believe to be a more accurate estimate than traditional approaches. It uses a blend of intraday, daily, and monthly historical return data to estimate beta over the next quarter.
We estimate Beta Variability as the absolute difference between the short-term (intraday over the past two months) and medium-term (daily over the past year) beta estimates used as inputs to generate the truBeta™ forecast. A lower score indicates more stability in beta, which we believe produces a more consistent and accurate beta that best isolates the premium that can be earned from owning low beta stocks over time.
The Low truBeta™ US Market Index (the “Index”) is designed to be less sensitive to overall market moves with lower volatility. It aims to capture the potential premium from holding lower beta versus higher beta stocks over a full market cycle, using truBeta™ to maintain consistency with its investment objective.
Salt’s truBeta™ estimates are the most important component of the Low Volatility methodology. The high-level description includes the following steps:

  1. Start with top 1000 stocks by market capitalization.
  2. Filter on 30-day average daily volume to keep the 500 most liquid stocks.
  3. Calculate truBeta™ scores for the remaining 500 stocks. Eliminate all stocks at or above a truBeta™ estimate of 1.0.
  4. Calculate a Beta Variability score for each remaining stock. A lower score indicates more stability in beta over time.
  5. Rank the top 1000 stocks by Beta Variability, capping sector concentration at 30%.
  6. Equal weight the portfolio and rebalance quarterly. Current index components remain in the index unless their truBeta™ estimate rises to 1.0 or above, helping reduce turnover.
The truBeta™ methodology uses intraday returns in its calculation but collects multiple days of these returns over a few months to help forecast beta over the next quarter. Research has shown that intraday returns can help forecast a stock’s sensitivity over periods longer than one day.
The Index is designed to provide magnified exposure to the broader market by selecting higher beta stocks. The Index limits exposure to no more than 30 of the 100 components in a single sector to avoid over concentration. In the absence of the cap, the portfolio may be too exposed to a narrow segment of the market. Note: depending on market capitalization, sector weight may be higher than 30% as the cap only limits the number of components and not the aggregate size.
No. Although the SPDR S&P 500 ETF (SPY) is used as a tradable proxy for the market in calculating truBeta™, the Index is not based on S&P 500 constituents. The Index uses the Solactive US Large and Midcap Index as its initial selection universe, which consists of the top 1000 US stocks ranked by free-float market capitalization. It is nearly identical in construction to the Russell 1000 with a correlation of 99.99% and very similar in exposure to the S&P 500 with a correlation of 98.87%.

The selection universe begins with the top 1000 stocks by market cap but further filters the universe to keep only the 500 most liquid. Although there will be substantial overlap in this universe with the top 500 by market cap, this additional filter tends to eliminate some of the less liquid large stocks and replaces them with more liquid stocks that are smaller in size. This process both optimizes the Index for liquidity and maximizes the opportunity to include some mid-cap stocks that exhibit performance characteristics that best meet the investment objective.
Not necessarily. Although the Index is designed to provide lower beta exposure to the broad market, not all sectors will be represented at each quarterly rebalance. The top 5 sectors in the Index have been Consumer Staples, Health Care, Financials, Utilities, and Consumer Discretionary. The Index has contained no fewer than 9 and an average of 9.7 sectors represented in each quarterly iteration.
The objective of the Index is to target lower volatility and beta stability. We find equal weighting best balances the investment objective with the need to optimize liquidity by limiting the initial position size to only 1% of the portfolio.
One of the benefits of truBeta™ is what we believe is its high level of “responsiveness” to changes in stock leadership, sector activity, and market risk attitudes that fluctuate from quarter to quarter. However, this high responsiveness is balanced with a “buffer rule” to reduce turnover quarter to quarter, only removing stocks with truBeta™ scores that have risen to a level of 1.0 or higher, regardless of Beta Variability score.
The price return version of the Index is SFSTB and the gross total return version is SFSTBT.
Both indices are available on terminals from Bloomberg and Reuters and other market data service providers.