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Name

As of 10/11/2023

Price

Aum/Mkt Cap

YIELD

Annualized forward dividend yield. Multiplies the most recent dividend payout amount by its frequency and divides by the previous close price.

Exp Ratio

Expense ratio is the fund’s total annual operating expenses, including management fees, distribution fees, and other expenses, expressed as a percentage of average net assets.

Watchlist

ASYMmetric Smart S&P 500 ETF

ASPY | Active ETF

$25.46

$19.9 M

0.92%

$0.23

0.99%

Vitals

YTD Return

-3.4%

1 yr return

-4.1%

3 Yr Avg Return

N/A

5 Yr Avg Return

N/A

Net Assets

$19.9 M

Holdings in Top 10

22.8%

52 WEEK LOW AND HIGH

$25.5
$24.92
$27.21

Expenses

OPERATING FEES

Expense Ratio 0.99%

SALES FEES

Front Load N/A

Deferred Load N/A

TRADING FEES

Turnover N/A

Redemption Fee N/A

Min Investment

Standard (Taxable)

N/A

IRA

N/A

Fund Classification

Fund Type

Exchange Traded Fund

Name

As of 10/11/2023

Price

Aum/Mkt Cap

YIELD

Annualized forward dividend yield. Multiplies the most recent dividend payout amount by its frequency and divides by the previous close price.

Exp Ratio

Expense ratio is the fund’s total annual operating expenses, including management fees, distribution fees, and other expenses, expressed as a percentage of average net assets.

Watchlist

ASYMmetric Smart S&P 500 ETF

ASPY | Active ETF

$25.46

$19.9 M

0.92%

$0.23

0.99%

ASPY - Profile

Distributions

  • YTD Total Return -3.4%
  • 3 Yr Annualized Total Return N/A
  • 5 Yr Annualized Total Return N/A
  • Capital Gain Distribution Frequency N/A
  • Net Income Ratio N/A
DIVIDENDS
  • Dividend Yield 0.9%
  • Dividend Distribution Frequency Annual

Fund Details

  • Legal Name
    ASYMmetric Smart S&P 500 ETF
  • Fund Family Name
    N/A
  • Inception Date
    Mar 09, 2021
  • Shares Outstanding
    N/A
  • Share Class
    N/A
  • Currency
    USD
  • Domiciled Country
    US
  • Manager
    Charles Ragauss

Fund Description

The Fund employs a passive management or indexing investment approach designed to track the total return performance, before fees and expenses, of the Index. The Index is based on proprietary ASYMmetric Risk Management Technology developed and maintained by ASYMmetric Investment Solutions, LLC (the “Index Provider”), an affiliate of ASYMmetric ETFs, LLC, the Fund’s investment adviser (the “Adviser”).
The Index seeks to deliver a return that is asymmetric to the S&P 500 Index. It is an asymmetric version of the S&P 500 Index. Asymmetric returns are defined as the ability to generate positive returns in bear markets and to capture the majority of the upside in a bull market.
The Index is a rules-based, quantitative long/short hedging strategy that seeks to provide protection against bear market losses, by being net short, and to capture the majority of bull market gains, by being net long, with respect to the S&P 500 Index. The Index is powered by the Index Provider’s ASYMmetric Risk Management Technology, which relies on mathematical formulas to dynamically manage the Index’s net exposure in three market risk environments: 
●
Risk-On: Market prices are trending up and have low volatility as determined by actual price fluctuations over a prior period (“realized volatility”), which is termed a “Risk-On” market environment;
●
Risk-Elevated: Market prices are trending down and have low realized volatility, which is termed a “Risk-Elevated” market environment; and
●
Risk-Off: Market prices are trending down and have high realized volatility, which is termed a “Risk-Off” market environment.
 The ASYMmetric Risk Management Technology is designed to dynamically manage, as of each monthly Index rebalancing and reconstitution date, the Index’s net exposure to its market to: 
● Capture the majority of the upside of the market in a bull market, by being net long;
● Protect capital by paring back net exposure during periods of heightened market uncertainty, by being market neutral; and
● Profit in bear markets, by being net short.
The Index achieves its long exposure through investment in securities in the S&P 500 Index that have low volatility relative to the index as a whole (the “Long Book”). These securities are sorted according to Global Industry Classification Standard (“GICS”) sector and ranked from lowest to highest volatility within each sector. The weights of each sector in the Long Book match the sector weights of the S&P 500 Index. The weightings of each Long Book sector multiplied by the Index’s target of 50 Index components equals the number of securities within each sector of the Long Book (rounded to the nearest whole number). Thus, a fixed number of securities from each sector will compose the Long Book. Each Long Book sector’s fixed number of securities is drawn from those with the lowest realized volatility in the corresponding GICS sector. These securities are then equal weighted within each sector of the Long Book. While the Long Book is initially targeted to have 50 component equity securities, rounding effects in the weighting process will cause the actual number of Index components to range from approximately 48 to 52 component securities.
In order to effect its short exposure to the market, the Index utilizes cash-settled short selling of shares of the SPDR S&P 500 ETF Trust (“SPY”) (the “Short Book”). Hypothetical proceeds from the Index’s short sales are maintained in cash. The Index’s net exposure to its market ranges between 75% long and -25% short where net exposure is the difference between the Index’s Long Book and its Short Book.
The Index always maintains a Long Book. Using the Index Provider’s ASYMmetric Risk Management Technology, the Index’s Short Book and resulting cash position are increased or decreased in accordance with the congruency of two indicators of market risk environment as described below. The Index’s cash position represents proceeds from hypothetical short sales plus the cash portion of the Long Book, if any, when the Long Book securities’ weight is less than 100%.
Price Indicator Determination of Market Risk Environments. Market risk environments are quantitatively determined by the congruence of two proprietary price-based indicators that measure, monitor and quantify market risk. These indicators are called the “Price Momentum Indicator” and the “Price Volatility Indicator.”
The Price Momentum Indicator is driven by the 200-business day moving average of the S&P 500 Index. The Price Momentum Indicator is designed to identify historical market price trends (up or down).
The Price Volatility Indicator is driven by the Index Provider’s PriceVol™ proprietary measure of the realized (i.e., historical as opposed to anticipated) volatility of the Index’s market. PriceVol measures the dispersion of prices of the securities comprising the S&P 500 Index. PriceVol is engineered to measure market risk (high or low) based on actual market price movements and not expected price movements. In contrast to PriceVol, the Cboe Volatility Index (“VIX Index”) is an example of a measure of expected, as opposed to realized, volatility where the VIX Index reflects price movements of options with a 30-day average maturity on the performance of the S&P 500 Total Return Index (“S&P 500 Index”).
The congruence of the output of the Price Momentum and Price Volatility Indicators is used to classify monthly the Index’s market condition as either Risk-On, Risk-Elevated, or Risk-Off market environments, as outlined in the table below. The market is in a Risk-On environment when the market is trending up - above its 200-business day moving average - and realized volatility is low. The market is in a Risk-Elevated environment when the market is below its 200-business day moving average, but realized volatility has not spiked. The market is in a Risk-Off environment when the market is trending down, below its 200-business day moving average, and realized volatility has spiked. 
Price Momentum
Indicator
Price Volatility
Indicator
Indicated
Market Risk Environment
Market Trending Up Realized Volatility Low
Risk-On (Bull Market)
Market Trending Down Realized Volatility Low
Risk-Elevated (Uncertain Market)
Market Trending Down Realized Volatility High
Risk-Off (Bear Market)
Index Net Exposure Determination. The market risk environment classification systematically determines the targeted net exposure of the Index. In the Risk-On environment, the targeted net exposure of the Index is 75%. In the Risk-Elevated environment, the targeted net exposure of the index is 0%. In the Risk-Off environment, the targeted net exposure of the Index is -25%.
Weightings of Index Components. The weighting of the Index’s Long Book, Short Book, and cash component are formulaically determined based on the table below, which indicates the various weighting outcomes in each of the three potential market risk environments. The cash component of the Index, which is a neutral risk exposure, is equal to the hypothetical short sale proceeds of the Short Book plus the cash portion of the Long Book in a Risk-Elevated or a Risk-Off environment. 
Weighting of Index Components
Risk
Environment
Long Book
Weight
(Long Book Securities Component)
Short Book
Weight
Cash Weight
(Long Book Cash Component and Short Sale Proceeds)
Targeted Net
Exposure
Risk-On 100% 0% to 25% 0% to 25% 75%
Risk-Elevated 35% 0% to 35% 65% to 100% 0%
Risk-Off 20% 0% to 45% 80% to 125% -25%
The precise weightings of the Long Book securities and the Short Book to gain the targeted net exposure shown in the table above is determined utilizing a calculation of the “net beta-adjusted exposure” of the Index’s Long Book securities where the Long Book exposure is multiplied by a fraction that represents the volatility correlation or “beta” of the Long Book to the full Index market. Then the targeted net exposure of the Index is subtracted from the net beta-adjusted Long Book exposure to establish the actual Short Book weight.
Under normal market conditions, the Fund will invest at least 80% of its total assets in securities and cash included in the Index’s Long Book. In tracking the Index, the Fund will generally hold its assets in Long Book securities and, when indicated, a Long Book cash component. To replicate the Index’s Short Book, the Fund will invest in cash-settled futures on SPY or on the S&P 500 Index and, to a lesser extent, in cash-settled cleared swaps, options and short sales. The Fund will replicate the Index’s Long Book cash component by holding cash, which may be invested in U.S. Treasury bills or notes having less than three months to maturity or money market funds invested in such U.S. Treasuries (“cash equivalents”). The Fund will not be replicating the Index’s cash position representing proceeds from hypothetical short sale transactions unless the Fund invests in cash-settled short sales.
The Index was developed by the Index Provider, an affiliate of the Adviser. The Index Calculation Agent is Solactive AG, which is not affiliated with the Index Provider, the Fund, the Adviser or the Fund’s sub-adviser, Toroso Investments, LLC (the “Subadviser”). The Index Calculation Agent provides information to the Fund about the constituents of the Index and does not provide investment advice with respect to the desirability of investing in, purchasing or selling securities.
Read More

ASPY - Performance

Return Ranking - Trailing

Period ASPY Return Category Return Low Category Return High Rank in Category (%)
YTD -3.4% -11.7% 17.0% 95.85%
1 Yr -4.1% -27.2% 22.0% 16.75%
3 Yr N/A* -19.9% 23.4% N/A
5 Yr N/A* -13.4% 13.1% N/A
10 Yr N/A* -7.3% 11.5% N/A

* Annualized

Return Ranking - Calendar

Period ASPY Return Category Return Low Category Return High Rank in Category (%)
2023 -11.7% -54.0% 40.9% N/A
2022 N/A -22.5% 24.1% N/A
2021 N/A -19.4% 24.1% N/A
2020 N/A -8.4% 12.9% N/A
2019 N/A -14.0% 7.1% N/A

Total Return Ranking - Trailing

Period ASPY Return Category Return Low Category Return High Rank in Category (%)
YTD -3.4% -25.0% 17.0% 96.37%
1 Yr -4.1% -27.2% 22.0% 17.28%
3 Yr N/A* -19.9% 23.4% N/A
5 Yr N/A* -13.2% 14.1% N/A
10 Yr N/A* -6.9% 11.5% N/A

* Annualized

Total Return Ranking - Calendar

Period ASPY Return Category Return Low Category Return High Rank in Category (%)
2023 -10.9% -54.0% 40.9% N/A
2022 N/A -22.5% 24.1% N/A
2021 N/A -19.4% 24.1% N/A
2020 N/A -8.4% 12.9% N/A
2019 N/A -14.0% 15.9% N/A

ASPY - Holdings

Concentration Analysis

ASPY Category Low Category High ASPY % Rank
Net Assets 19.9 M 818 K 5.18 B 76.29%
Number of Holdings 49 3 2670 66.13%
Net Assets in Top 10 5.32 M -175 M 1.1 B 62.37%
Weighting of Top 10 22.83% 1.5% 100.0% 81.61%

Top 10 Holdings

  1. CF Industries Holdings Inc 2.59%
  2. Consolidated Edison Inc 2.48%
  3. Realty Income Corp 2.32%
  4. Domino's Pizza Inc 2.25%
  5. Huntington Ingalls Industries Inc 2.22%
  6. J M Smucker Co/The 2.21%
  7. NetApp Inc 2.20%
  8. Activision Blizzard Inc 2.20%
  9. Valero Energy Corp 2.18%
  10. Verizon Communications Inc 2.18%

Asset Allocation

Weighting Return Low Return High ASPY % Rank
Stocks 		99.51% -2.90% 119.13% 85.56%
Cash 		0.49% -67.46% 106.99% 13.51%
Preferred Stocks 		0.00% 0.00% 7.60% 88.65%
Other 		0.00% -35.22% 39.56% 84.32%
Convertible Bonds 		0.00% -0.02% 4.68% 85.95%
Bonds 		0.00% -48.31% 152.17% 82.35%

Stock Sector Breakdown

Weighting Return Low Return High ASPY % Rank
Utilities 		0.00% 0.00% 21.71% 26.06%
Technology 		0.00% 0.00% 43.24% 17.58%
Real Estate 		0.00% 0.00% 10.93% 36.36%
Industrials 		0.00% 0.00% 31.93% 56.36%
Healthcare 		0.00% 0.00% 100.00% 52.12%
Financial Services 		0.00% 0.00% 83.83% 63.64%
Energy 		0.00% 0.00% 32.57% 41.21%
Communication Services 		0.00% 0.00% 32.32% 22.42%
Consumer Defense 		0.00% 0.00% 33.38% 15.15%
Consumer Cyclical 		0.00% 0.00% 88.83% 85.45%
Basic Materials 		0.00% 0.00% 28.58% 53.33%

Stock Geographic Breakdown

Weighting Return Low Return High ASPY % Rank
US 		99.51% -24.26% 116.70% 85.41%
Non US 		0.00% -43.01% 97.78% 91.89%

ASPY - Expenses

Operational Fees

ASPY Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Expense Ratio 0.99% 0.40% 11.46% 95.38%
Management Fee 0.95% 0.00% 2.50% 29.74%
12b-1 Fee N/A 0.00% 1.00% 21.30%
Administrative Fee N/A 0.03% 1.54% N/A

Sales Fees

ASPY Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Front Load N/A 2.50% 5.75% N/A
Deferred Load N/A 1.00% 4.00% N/A

Trading Fees

ASPY Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Max Redemption Fee N/A 0.50% 2.00% N/A

Related Fees

Turnover provides investors a proxy for the trading fees incurred by mutual fund managers who frequently adjust position allocations. Higher turnover means higher trading fees.

ASPY Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Turnover N/A 0.00% 479.00% N/A

ASPY - Distributions

Dividend Yield Analysis

ASPY Category Low Category High ASPY % Rank
Dividend Yield 0.92% 0.00% 11.11% 22.05%

Dividend Distribution Analysis

ASPY Category Low Category High Category Mod
Dividend Distribution Frequency Annual Annually Monthly Annually

Net Income Ratio Analysis

ASPY Category Low Category High ASPY % Rank
Net Income Ratio N/A -3.33% 2.88% 10.47%

Capital Gain Distribution Analysis

ASPY Category Low Category High Capital Mode
Capital Gain Distribution Frequency Annually Annually Annually

Distributions History

View More +

ASPY - Fund Manager Analysis

Managers

Charles Ragauss

Start Date

Tenure

Tenure Rank

Mar 09, 2021

1.23

1.2%

Mr. Ragauss currently serves as Director of Product Management at CSat Investment Advisory, having joined the it in April 2016. Prior to joiningCSat Investment Advisory, Mr. Ragauss was Assistant Vice President at Huntington National Bank (“Huntington”), where he was Product Manager for the Huntington Funds and Huntington Strategy Shares ETFs, a combined fund complex of almost $4 billion in assets under management. At Huntington, he led ETF development bringing to market some of the first actively managed ETFs. Mr. Ragauss joined Huntington in 2010. Mr. Ragauss attended Grand Valley State University where he received his Bachelor of Business Administration in Finance and International Business, as well as a minor in French. He is a member of both the National and West Michigan CFA societies and holds the CFA designation.

Michael Venuto

Start Date

Tenure

Tenure Rank

Mar 09, 2021

1.23

1.2%

Mr. Venuto is a co-founder and has been the Chief Investment Officer of the Toroso Investments, LLC since 2012. Mr. Venuto is an ETF industry veteran with over a decade of experience in the design and implementation of ETF-based investment strategies. Previously, he was Head of Investments at Global X Funds where he provided portfolio optimization services to institutional clients. Before that, he was Senior Vice President at Horizon Kinetics where his responsibilities included new business development, investment strategy and client and strategic initiatives.

Tenure Analysis

Category Low Category High Category Average Category Mode
0.07 23.55 5.99 7.93

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