LHA Market State Alpha Seeker ETF
Active ETF
MSVX
Price as of:
$22.38
- $0.00
- 0.00%
Primary Theme
N/A
fund company
Name
As of 12/20/2024Price
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
Vitals
YTD Return
-6.1%
1 yr return
-4.8%
3 Yr Avg Return
-1.7%
5 Yr Avg Return
N/A
Net Assets
$10.6 M
Holdings in Top 10
101.7%
52 WEEK LOW AND HIGH
$22.4
$21.56
$24.82
Expenses
OPERATING FEES
Expense Ratio 1.26%
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 12/20/2024Price
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
MSVX - Profile
Distributions
- YTD Total Return -6.1%
- 3 Yr Annualized Total Return -1.7%
- 5 Yr Annualized Total Return N/A
- Capital Gain Distribution Frequency N/A
- Net Income Ratio -1.14%
- Dividend Yield 3.8%
- Dividend Distribution Frequency Annual
Fund Details
-
Legal NameLHA Market State Alpha Seeker ETF
-
Fund Family NameLittle Harbor Advisors
-
Inception DateMay 13, 2020
-
Shares Outstanding1725001
-
Share ClassN/A
-
CurrencyUSD
-
Domiciled CountryUS
-
ManagerD. Matthew Thompson
Fund Description
The Fund is an actively-managed exchange-traded fund (“ETF”) and seeks to achieve its objective principally by investing long or short in instruments linked directly or indirectly to the performance and/or volatility of the S&P 500® Index based on statistical analyses, described below, that seek to estimate the direction of the U.S. equity market. Such instruments may include index-based and other actively-managed ETFs; leveraged, inverse, and inverse-leveraged ETFs; exchange-traded notes (“ETNs”); options; and futures contracts. The Fund may also invest the remainder of its portfolio directly or indirectly in cash and cash equivalents.
The Fund seeks to achieve its objective by estimating the direction of the U.S. equity market and then using those estimates to select the Fund’s investments in long or short S&P 500 Index linked instruments and CBOE Volatility Index® (the “VIX® Index”) linked instruments. The Fund’s strategy primarily relies on proprietary statistical analyses of the volatility of the S&P 500. Thompson Capital Management LLC (“Thompson Capital”) developed, owns, and maintains these statistical analyses. Little Harbor Advisors, LLC, the Fund’s investment adviser (the “Adviser”), has an exclusive license to employ the Thompson Capital statistical analyses. Portfolio net exposure is based on a proprietary process to quantify market risk by comparing volatility expectations across various time frames, as expressed by 30-day and 90-day implied volatility indexes and VIX futures. In general, a “long volatility” environment is one in which near-term volatility expectations are above longer-term volatility expectations. Similarly, a “short volatility” environment is characterized by lower near-term volatility expectations relative to longer-term expectations.
Each day, Thompson Capital’s quantitative analyses seek to estimate the direction and magnitude of U.S. equity market volatility based on the movement of the VIX® Index, which utilizes real-time prices of options on the S&P 500 to reflect investors’ consensus view of future (30-day) expected stock market volatility, and VIX Index futures and options prices. Such estimates are used by the Fund’s investment adviser to determine the extent to which the Fund’s exposure to the S&P 500 Index and/or the VIX Index will be long or short, or in cash. Based on the direction and strength of signals from Thompson Capital’s quantitative analyses, the investment adviser determines on a discretionary basis in which instrument(s) to invest.
The Fund may invest in derivative instruments, such as options or futures contracts, to gain long or short exposure to the S&P 500 or VIX Index. Specifically, the Fund may invest in ETFs, ETNs, or derivative instruments linked to the returns of the S&P 500 or in VIX Index options or futures contracts (long or short). A futures contract is a standardized agreement to buy or sell a specific quantity of an underlying instrument (e.g., the S&P 500 or VIX Index) at a specific price at a specific future time. Investments in derivative instruments, such as futures contracts, have the economic effect of creating financial leverage in the Fund’s portfolio because such investments may give rise to losses that exceed the amount the Fund has invested in those instruments. Financial leverage will magnify, sometimes significantly, the Fund’s exposure to any increase or decrease in prices associated with a particular reference asset resulting in increased volatility in the value of the Fund’s portfolio. The Fund’s strategy may result in returns for a single day or longer periods of time that are significantly higher or lower than the returns of the broader U.S. equity market.
The Fund may also purchase put or call options (or option spreads) on the VIX Index, the S&P 500, or in ETNs or ETFs that seek exposure to short-term VIX Index futures contracts. An ETN is an exchange-traded debt obligation of an investment bank, and the returns of an ETN are linked to the performance of a market index or derivatives linked to such index, such as VIX Index futures contracts. Because the Fund only purchases options and option spreads and does not sell (write) uncovered (naked) options, losses from the Fund’s investments in options or option spreads are limited to the amount of the net premiums paid. The Fund’s investments in such options or option spreads will generally involve premiums of less than 2% of the Fund’s net assets during a given month.
Purchasing a call option gives the buyer the right to purchase shares of the reference asset at a specified price (“strike price”) until a specified date (“expiration date”) (American-style options) or at the expiration date (European-style options). The buyer of the call option pays an amount (premium) for buying the option. In the event the reference asset appreciates above the strike price, the buyer can exercise the option and receive the reference asset (for American-style options) or receive the difference between the value of the reference asset and the strike price (for European-style options) (which gain is offset by the premium initially paid), and in the event the reference asset declines in value, the call option may end up worthless and the Fund’s loss is limited to the amount of premium it paid. The Fund’s investments in call options and put options (described below) on the S&P 500 or the VIX Index are generally expected to be European-style options.
Purchasing a put option gives the buyer the right to sell shares of a reference asset at a strike price until the expiration date (American-style options) or at the expiration date (European-style options). The buyer of the put option pays an amount (premium) for buying the option. In the event the reference asset declines in value below the strike price and the Fund exercises its put option, the Fund will be entitled to deliver the reference asset (for American-style options) or receive the difference between the strike price and the value of the reference asset (for European-style options) (which gain is offset by the premium originally paid by the Fund), and in the event the reference asset closes above the strike price as of the expiration date, the put option may end up worthless and the Fund’s loss is limited to the amount of premium it paid.
A call spread entails the purchase of a call option and the sale of a call option on the same reference asset with the same expiration date but a higher strike price. A put spread entails the purchase of a put option and the sale of a put option on the same reference asset with the same expiration date but a lower strike price. The premium received from the sale of the call or put options is generally expected to offset the cost to the Fund of the purchased options in exchange for limiting the maximum return from such options.
The Fund may also invest in leveraged, inverse, and inverse-leveraged ETFs. Leveraged ETFs seek to provide investment results that match a multiple of the performance of an underlying index (e.g., three times the performance) for a single day. Inverse ETFs seek to provide investment results that match a negative (i.e., the opposite) of the performance of an underlying index for a single day. Inverse-leveraged ETFs seek to provide investment results that match a negative multiple of the performance of an underlying index for a single day. Leveraged, inverse, and inverse-leveraged ETFs typically rely on derivative instruments to seek to obtain their investment objectives.
The Fund’s strategy may result in the active and frequent trading of the Fund’s investments, which may result in significant portfolio turnover.
MSVX - Performance
Return Ranking - Trailing
| Period | MSVX Return | Category Return Low | Category Return High | Rank in Category (%) |
|---|---|---|---|---|
| YTD | -6.1% | -11.1% | 36.1% | 97.96% |
| 1 Yr | -4.8% | -11.1% | 37.5% | 97.28% |
| 3 Yr | -1.7%* | -8.8% | 22.4% | 91.67% |
| 5 Yr | N/A* | -3.2% | 23.4% | 51.33% |
| 10 Yr | N/A* | -3.7% | 10.9% | 61.33% |
* Annualized
Return Ranking - Calendar
| Period | MSVX Return | Category Return Low | Category Return High | Rank in Category (%) |
|---|---|---|---|---|
| 2023 | -4.0% | -17.3% | 43.8% | 91.84% |
| 2022 | -0.7% | -54.0% | 17.4% | 13.64% |
| 2021 | 5.8% | -40.0% | 54.1% | 55.56% |
| 2020 | N/A | -47.6% | 88.4% | N/A |
| 2019 | N/A | -20.3% | 62.6% | N/A |
Total Return Ranking - Trailing
| Period | MSVX Return | Category Return Low | Category Return High | Rank in Category (%) |
|---|---|---|---|---|
| YTD | -6.1% | -11.1% | 36.1% | 97.96% |
| 1 Yr | -4.8% | -11.1% | 37.5% | 97.28% |
| 3 Yr | -1.7%* | -8.8% | 22.4% | 91.67% |
| 5 Yr | N/A* | -3.2% | 23.4% | N/A |
| 10 Yr | N/A* | -3.7% | 10.9% | N/A |
* Annualized
Total Return Ranking - Calendar
| Period | MSVX Return | Category Return Low | Category Return High | Rank in Category (%) |
|---|---|---|---|---|
| 2023 | -0.5% | -14.5% | 43.8% | 94.56% |
| 2022 | -0.6% | -54.0% | 50.3% | 21.97% |
| 2021 | 6.2% | -40.0% | 61.6% | 65.08% |
| 2020 | N/A | -29.9% | 91.0% | N/A |
| 2019 | N/A | -17.9% | 79.4% | N/A |
MSVX - Holdings
Concentration Analysis
| MSVX | Category Low | Category High | MSVX % Rank | |
|---|---|---|---|---|
| Net Assets | 10.6 M | 1.08 M | 6.67 B | 91.84% |
| Number of Holdings | 5 | 3 | 2730 | 92.52% |
| Net Assets in Top 10 | 11.2 M | -4.86 M | 2.41 B | 84.35% |
| Weighting of Top 10 | 101.70% | -9.9% | 110.8% | 1.36% |
Top 10 Holdings
- United States Treasury Bill 60.16%
- First American Treasury Obligations Fund 21.10%
- First American Government Obligations Fund 21.10%
- SPXW US 09/30/24 P5735 0.00%
- SP500 EMINI FUT Dec24 -0.65%
Asset Allocation
| Weighting | Return Low | Return High | MSVX % Rank | |
|---|---|---|---|---|
| Bonds | 60.16% | 0.00% | 108.68% | 5.44% |
| Cash | 42.19% | 0.00% | 109.95% | 23.81% |
| Stocks | 0.00% | -0.13% | 113.26% | 94.56% |
| Preferred Stocks | 0.00% | -1.13% | 6.36% | 51.02% |
| Convertible Bonds | 0.00% | -0.02% | 4.48% | 46.04% |
| Other | -0.65% | -57.63% | 99.50% | 77.55% |
Bond Sector Breakdown
| Weighting | Return Low | Return High | MSVX % Rank | |
|---|---|---|---|---|
| Cash & Equivalents | 42.19% | 0.00% | 86.52% | 8.16% |
| Securitized | 0.00% | 0.00% | 13.59% | 34.78% |
| Corporate | 0.00% | 0.00% | 79.13% | 39.86% |
| Municipal | 0.00% | 0.00% | 0.07% | 32.61% |
| Government | 0.00% | 0.00% | 58.54% | 50.72% |
| Derivative | -0.65% | -57.63% | 99.49% | 77.55% |
Bond Geographic Breakdown
| Weighting | Return Low | Return High | MSVX % Rank | |
|---|---|---|---|---|
| US | 60.16% | 0.00% | 95.89% | 5.44% |
| Non US | 0.00% | 0.00% | 12.79% | 44.90% |
MSVX - Expenses
Operational Fees
| MSVX Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
|---|---|---|---|---|
| Expense Ratio | 1.26% | 0.42% | 9.95% | 93.20% |
| Management Fee | 1.10% | 0.00% | 2.50% | 38.10% |
| 12b-1 Fee | 0.00% | 0.00% | 1.00% | 12.82% |
| Administrative Fee | N/A | 0.03% | 1.54% | N/A |
Sales Fees
| MSVX 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
| MSVX 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.
| MSVX Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
|---|---|---|---|---|
| Turnover | N/A | 0.00% | 446.00% | N/A |
MSVX - Distributions
Dividend Yield Analysis
| MSVX | Category Low | Category High | MSVX % Rank | |
|---|---|---|---|---|
| Dividend Yield | 3.82% | 0.00% | 27.22% | 21.23% |
Dividend Distribution Analysis
| MSVX | Category Low | Category High | Category Mod | |
|---|---|---|---|---|
| Dividend Distribution Frequency | Annual | Annual | SemiAnnual | Annual |
Net Income Ratio Analysis
| MSVX | Category Low | Category High | MSVX % Rank | |
|---|---|---|---|---|
| Net Income Ratio | -1.14% | -3.33% | 2.16% | 60.69% |
Capital Gain Distribution Analysis
| MSVX | Category Low | Category High | Capital Mode | |
|---|---|---|---|---|
| Capital Gain Distribution Frequency | Annually | Semi-Annually | Annually |
Distributions History
| Date | Amount | Type |
|---|---|---|
| Dec 14, 2023 | $0.854 | OrdinaryDividend |
| Dec 15, 2022 | $0.028 | OrdinaryDividend |
| Dec 15, 2021 | $0.094 | OrdinaryDividend |
| Dec 30, 2020 | $0.459 | OrdinaryDividend |
MSVX - Fund Manager Analysis
Managers
D. Matthew Thompson
Start Date
Tenure
Tenure Rank
May 13, 2020
2.05
2.1%
Matt Thompson has over 15 years of securities and futures management experience. Previously, Matt served in business development and financial modeling roles for a Chicago-based start-up derivatives exchange. From 2008 through 2012, Matt co-developed a proprietary VIX futures strategy that began trading in October 2011. In 2013, Matt began trading the strategy as a principal of Advocate Asset Management, LLC, and subsequently for a registered CTA, Typhon Capital Management. Matt is a member of the CFA Society of Chicago.
Michael Thompson
Start Date
Tenure
Tenure Rank
May 13, 2020
2.05
2.1%
Michael Thompson, CFA. Michael Thompson joined the Adviser as a portfolio manager in 2020, leading the investment function and overseeing all strategies as CIO and portfolio manager, Mike has over 23 years of experience constructing and managing portfolios with a focus on volatility and risk management strategies. Early in his career, his work included portfolio management roles at The Northern Trust, William Blair and Premier Asset Management LLC, a $500M investment advisor spun out of Northern Trust. Mike later provided derivatives modeling expertise to a start-up derivatives exchange in Chicago before being recruited by a family office where he co-developed a VIX trading strategy that began trading on a proprietary basis using VIX ETPs in October 2011 with his brother, D. Matthew Thompson, while employed at Hills Capital as a portfolio manager. In 2013, Mike began trading the VIX strategy directly in the futures market for the proprietary trading desk of ED&F Man Ltd and as a Commodity Trading Advisor, first as a principal of Advocate Asset Management LLC and subsequently for Typhon Capital Management LLC. In 2015, Mike reconnected with his RIA roots in his role as Chief Investment Officer at Kaizen Advisory LLC, where he helped to launch the securities products currently managed by TCM. Mike is a member of the CFA Society of Chicago.
Tenure Analysis
| Category Low | Category High | Category Average | Category Mode |
|---|---|---|---|
| 0.07 | 23.55 | 5.96 | 7.93 |