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Name

As of 03/25/2024

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

$10.64

$24.7 M

0.30%

$0.03

2.17%

Vitals

YTD Return

7.0%

1 yr return

9.5%

3 Yr Avg Return

-4.1%

5 Yr Avg Return

0.0%

Net Assets

$24.7 M

Holdings in Top 10

70.4%

52 WEEK LOW AND HIGH

$10.7
N/A
N/A

Expenses

OPERATING FEES

Expense Ratio 2.17%

SALES FEES

Front Load N/A

Deferred Load N/A

TRADING FEES

Turnover 160.00%

Redemption Fee 2.00%


Min Investment

Standard (Taxable)

$5,000

IRA

$5,000


Fund Classification

Fund Type

Open End Mutual Fund


Name

As of 03/25/2024

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

$10.64

$24.7 M

0.30%

$0.03

2.17%

CAPTX - Profile

Distributions

  • YTD Total Return 7.0%
  • 3 Yr Annualized Total Return -4.1%
  • 5 Yr Annualized Total Return 0.0%
  • Capital Gain Distribution Frequency Annually
  • Net Income Ratio -0.72%
DIVIDENDS
  • Dividend Yield 0.3%
  • Dividend Distribution Frequency None

Fund Details

  • Legal Name
    Canterbury Portfolio Thermostat Fund
  • Fund Family Name
    Canterbury Investment Management
  • Inception Date
    Jul 29, 2016
  • Shares Outstanding
    N/A
  • Share Class
    Instl
  • Currency
    USD
  • Domiciled Country
    US
  • Manager
    Kimberly Custer

Fund Description

The Fund is designed to pursue risk-adjusted growth by maintaining an efficient portfolio exhibiting lower or decreasing portfolio volatility throughout variable market environments. “Risk-adjusted growth” means the return of an investment (its “growth”) relative to the risk or “volatility” experienced. The Fund seeks to grow investments with lower volatility/fluctuations in order to achieve the greatest return for a given level of risk. An efficient portfolio is a portfolio that seeks to match existing market conditions to avoid substantial declines in value and produce long-term growth.

To achieve its investment objective of obtaining long-term, risk adjusted growth, the Fund’s investment strategies aim to limit risk, as defined by “volatility” and “drawdown” (or declines). The Fund is an adaptive strategy, meaning that it adjusts its holdings and allocations to move in concert with ever-changing market environments. As markets fluctuate, risks within the markets change, whether going from a low volatility environment to a high volatility environment or vice versa. The Fund seeks long-term, risk adjusted growth by attempting to limit portfolio declines during highly volatile bear markets. By limiting declines, the portfolio has a smaller “base” to compound. As an example, a -10% decline only requires an 11% return to breakeven, but a -50% decline requires a 100% to breakeven. The Fund aims to limit declines and provide stable growth and achieve long-term, risk-adjusted growth, meaning growth adjusted for the volatility seen in the portfolio.

The Fund employs a tactical methodology to adjust the portfolio’s asset allocation and diversification to the changing market conditions. The Fund will invest in broadly diversified liquid securities traded on major exchanges, comprised of both exchange traded funds (“ETFs”) and individual exchange-listed securities. The Fund will invest in any debt, equity, and alternative security deemed appropriate and necessary to improve the portfolio’s composition. Exposure to these types of securities is obtained indirectly through the use of ETFs and directly through investments in exchange listed securities of individual issuers. The term “alternative security” or “Alternative” as used in this prospectus refers to an ETF that is invested in commodities, currencies, or is a 1x inverse ETF. Under normal circumstances, the Fund invests more than 50% of its assets, and may invest up to 100% of its assets, in ETFs, and the portion of the Fund’s investments that are invested in this manner are subject to the attendant risks of a fund of funds structure. Depending on market conditions, the Fund may invest up to 50% of its assets in listed securities of individual issuers. The portfolio management team will adjust allocation ranges when investment considerations are identified to warrant such actions to meet the Fund’s objectives. The fund does not invest in alternative securities that are not ETFs.

Canterbury Investment Management, LLC, the Fund’s investment adviser (the “Adviser”), uses a proprietary comprehensive portfolio management strategy called the Canterbury

Portfolio Thermostat (the “Portfolio Thermostat Strategy”) to manage the Fund’s assets. The Portfolio Thermostat Strategy is a systematic, actively managed but rules-based process designed to manage the asset allocation and diversification of portfolio holdings in order to create and maintain an efficient portfolio. The Adviser actively manages the Fund’s holdings and allocations based on a rules-based methodology. It is active management in that the Adviser is selecting which securities go into or leave the portfolio, as opposed to “buy and hold” strategy. Those securities are chosen based on a rules-based methodology. In other words, there is a process for how those securities are chosen. The Adviser rates and ranks each ETF and each individual security according to a combination of technical indicators. The overriding factor that determines which security is selected is how the security correlates with the other securities held in the portfolio and the impact of an investment in that security on the portfolio’s volatility, as measured by the adviser’s proprietary Canterbury Volatility Index.

Through the employment of the Portfolio Thermostat Strategy, the Fund will be able to access, through the active management of various investments, asset classes and investment styles to assist in maintaining low and/or decreasing portfolio volatility under varying market conditions. The Fund may select its portfolio holdings from an expansive universe of securities that would qualify as a “go anywhere” strategy. Because it has a “go anywhere” strategy, the Fund is unconstrained with respect to market capitalization, investment style (such as growth or value), or geography (whether domestic, international or emerging markets). For example, securities characterized as “growth stocks” and “value stocks” may or may not be used within the Fund’s strategy, depending on the technical characteristics of those securities. The Fund does not regard growth potential, or Price to Earnings multiples when selecting its holdings. While the Fund has the authority to invest directly in any security in which its underlying ETFs are eligible to invest, the Fund currently intends to achieve exposure to fixed income, currencies, commodities, and inverse securities exclusively through investments in ETFs when needed as a risk management tool. The number of the Fund’s holdings, the percentage of Fund assets allocated to each holding and the diversification of the Fund’s holdings are based on several factors, such as the current state of the market environment and the availability of asset classes and investment styles required to successfully implement the Portfolio Thermostat Strategy.

Overview of the Portfolio Thermostat Strategy

The Portfolio Thermostat Strategy is a comprehensive portfolio management process that seeks to maintain low and consistent portfolio volatility throughout all market conditions, through a rules-based methodology which incorporates a group of technical and volatility indicators.

The strategy is broken down into three major steps:

(1) Analyze and identify the current macro market environment. A macro market environment refers to whether the global equity markets are bullish, bearish, or transitional. A bullish environment is a period when most stocks are trending higher by displaying a series of higher highs in price and higher lows in price and generally low or decreasing volatility. A bearish environment is a period when most stocks are in a downtrend, experiencing lower lows in price and lower highs in price and generally high or increasing volatility. A transitional period refers to when a bull

period begins to display certain bearish characteristics, such as increasing volatility and no longer putting in higher highs and higher lows. The same is also true for a bear market that is beginning to display bullish characteristics. The overall market trend “Bullish”, “Transitional” or “Bearish” -determines portfolio allocation in the sense that as a go-anywhere strategy, the Fund’s allocation will differ in each of those 3 market environments. As an example, in a Bullish market environment, the Fund may have minimal exposure to non-equity ETFs or securities. On the contrary, in a Bearish market environment, the Fund may have larger exposure to inverse securities and other alternative ETFs to limit the portfolio’s volatility in an environment where most equity securities are exhibiting high volatility and high risk.

(2) Classify securities into diverse investment classes. Securities are allocated between two investment categories: the “Global Equity Market Universe” (“Global Equities”) and “Bonds and Alternatives to Global Equities” (“Bonds and Alternatives”). The strategy classifies its universe of investments, from which it makes its security selection, into these two classes. Securities in the Global Equities tend to correlate with the macro market environment and thus the “Market State”1 ,while those classified as Alternatives tend to be less connected, or not connected, to the systematic fluctuations (market specific risk) of global equities (stocks). For example, if the market environment is bullish, the Global Equities class will tend to be bullish as well, meaning that it will have low or decreasing volatility), while Bonds and Alternatives will tend to be either bearish (have high or increasing volatility) or are not directly affected. The reverse would be true if the market environment is bearish.

The Fund’s universe of investments is created to be as representative as possible of major style indices, geographic regions, individual countries, market sectors, and industries within market sectors, and is constructed of ETFs and individual listed securities. To give examples, as it relates to equity securities, stocks chosen for the Fund are typically domestic or an ADR listed on major US exchanges. The ETFs that are used are broad ranging and representative of many asset classes. To name a few examples, as it relates to ETFs:

Major Style Indexes: large cap/mid cap/small cap growth & value index ETF
1 “Market State” is a proprietary term that the Adviser uses to gauge the overall efficiency of the domestic stock market environment. The Market State indicator is constructed of long-term volatility, and short-term technical indicators. The Market State is intended to provide an overview the market’s level of risk, whether high, low or transitional. Based on the combination of technical and volatility indicators, there are 12 possible Market States, which are divided into 3 different Market Environments (5 low risk, 3 transitional, 4 high risk). Market States are updated every day and can change quickly or seldom. Markets are liquid and dynamic, therefore, there is no timetable for when they change. Markets tend to adhere to existing trends, which tends to limit major shifts in Market State Environments. That being said, Market Staes can change at any time.
Geographic regions: MSCI EAFE, Europe, Emerging Markets, Asia Pacific, Latin America
Individual Countries: Mexico, Japan, Brazil, South Korea, Vietnam, China, India, Switzerland, Italy
Market Sectors: S&P 500 11 Sectors (info tech, communications, financials, real estate, industrials, consumer discretionary, consumer staples, utilities, basic materials, health care, and energy)
Industries within market sectors: Biotech, homebuilders, retailers, food and beverage, semiconductors, insurance, banks

When compiling the universe, the Fund’s investment strategy seeks to cover the broadest possible range of ETFs and individual listed securities available, while seeking to avoid duplication of issuers and investment categories already included in the Fund’s portfolio. The Fund managers will, at their discretion, add or remove any securities to or from the Fund’s universe of investments that are deemed to be potentially appropriate to meet the Fund’s objectives.

ETFs or mutual funds that use various derivatives, sometimes referred to as leverage, may be included in the universe of potential Fund holdings as long as the ETF or mutual fund does not exceed a 1x1 relationship to the underlying index or asset class. Any ETF or mutual fund that uses “leverage” to create more volatility (such as a 2x1 or 3x1) for the purpose of creating a “multiplier effect” has been determined to be inappropriate for meeting the Fund’s objectives and will not be included in the universe of potential holdings.

On average, the Fund will typically hold between 12-14 holdings, although it could be as few as 9 or as many as 15. Those holdings will be a combination of ETFs and individual listed stock securities. The Fund’s individual ETF holdings will range in size from about 5-9% on average and will represent between 50% and 100% of the Fund’s assets. The Fund’s exposure to individual listed stock securities may be up to 50% of the Fund’s holdings. No effort will be made to differentiate between the total number of positions split between stocks and ETFs. The maximum total portfolio holding percentage directly invested in listed securities of individual issuers is limited to 50%, while the minimum total holding percentage directly invested in listed securities of individual issuers is 0%.

The Fund’s allocation between listed securities of individual issuers and ETFs is determined by a number of factors, including the current Market State rating (based on Canterbury’s proprietary, mathematical Market State indicators). the portfolio’s current level of volatility (as defined by the Canterbury Volatility Index), and a “benefit of diversification” score (a technical formula that the Adviser uses to quantify security correlations within the portfolio). The primary purpose of listed security holdings of individual issuers within the portfolio is to increase the portfolio’s volatility during more efficient market environments and raise the portfolio’s volatility to an optimum range during periods of low volatility in the markets. When markets are efficient, and volatility in the markets is low, the Fund may exhibit volatility that is too low – below the optimum range --due to being diversified primarily with ETFs. Markets like the S&P 500 are unbalanced. As an example, the Information Technology sector represents 28% of the S&P 500’s capitalization. The Fund would not take a 28% position in XLK (the Technology Select Sector SPDR Fund), and instead would be relatively equally diversified across its ETF holdings. This can make volatility in the Fund too low to generate desired returns. The addition of individual listed securities to the Fund’s portfolio allows the Fund to broaden its universe and take positions in securities that will have a higher level of volatility (although still efficient levels) than ETFs which are diversified across several underlying holdings. Targeted exposure of the Fund’s portfolio to individual issuers will theoretically raise portfolio volatility to more optimum levels during low volatility periods, while at the same time not putting the fund in a position of being vastly overweight in one sector, like the markets currently are with respect to technology stocks.

Both the ETF and listed security holdings of individual issuers are evaluated based on their individual security Market State rating, their risk-adjusted ranking, and how they correlate with other securities within the portfolio.

(3) Optimize the combination of securities that collectively will help achieve an efficient portfolio with low or decreasing volatility in the current market environment. This is done through the following steps:

(a) For each investment class, securities are identified for purchase or sale through a two-step “rating” and then “ranking” process. Each security is rated as either a Buy, Hold, or Sell. The rating is determined by three technical factors: (i) long-term factors based on various moving averages (which identify long-term trends, momentum, areas of support or resistance), (ii) short-term factors based on short-term moving averages, relative strength, and volume, and (iii) volatility factors that identify change in volatility, the velocity of the change, and the direction. A Buy or Sell rating is triggered when the algorithmic combination of these three factors indicate either low or decreasing volatility (Buy) or high or increasing volatility (Sell).

(b) Securities are then ranked against each other, using a technical indicator, based on their relative strength, which is weighted according to their volatility. For example, if one security has twice as much volatility as another, then that security’s relative strength would be reduced by half to convert relative strength ranking to a risk-adjusted basis.

Both the rating and ranking of a security is dependent upon the market environment. Just as the market will go through bull (of low or decreasing volatility) and bear (of high or increasing volatility) markets, securities will also go through bull and bear periods. The rating and ranking system is responsive to the changes in a security’s volatility and is designed to determine not only which securities are appropriate or inappropriate for maintaining low portfolio volatility (through its rating), but also which are mostly likely to perform most strongly in the given environment (through its ranking).

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CAPTX - Performance

Return Ranking - Trailing

Period CAPTX Return Category Return Low Category Return High Rank in Category (%)
YTD 7.0% -0.9% 18.0% 21.15%
1 Yr 9.5% -2.9% 76.2% 62.83%
3 Yr -4.1%* -22.2% 11.1% 95.11%
5 Yr 0.0%* -11.3% 21.1% 97.61%
10 Yr N/A* -4.7% 9.9% N/A

* Annualized

Return Ranking - Calendar

Period CAPTX Return Category Return Low Category Return High Rank in Category (%)
2023 0.0% -18.9% 60.2% 89.87%
2022 -11.8% -48.5% 0.1% 20.70%
2021 1.0% -19.0% 48.3% 64.16%
2020 -3.5% -16.5% 52.8% 92.56%
2019 12.8% -8.5% 27.3% 34.76%

Total Return Ranking - Trailing

Period CAPTX Return Category Return Low Category Return High Rank in Category (%)
YTD 7.0% -0.9% 18.0% 21.15%
1 Yr 9.5% -2.9% 76.2% 62.83%
3 Yr -4.1%* -22.2% 11.1% 95.11%
5 Yr 0.0%* -11.3% 21.1% 97.61%
10 Yr N/A* -4.7% 9.9% N/A

* Annualized

Total Return Ranking - Calendar

Period CAPTX Return Category Return Low Category Return High Rank in Category (%)
2023 0.6% -11.7% 61.8% 92.95%
2022 -11.8% -48.5% 4.6% 37.00%
2021 1.0% -14.2% 48.3% 89.82%
2020 -3.3% -11.7% 77.4% 94.88%
2019 14.1% -3.9% 30.2% 52.86%

NAV & Total Return History


CAPTX - Holdings

Concentration Analysis

CAPTX Category Low Category High CAPTX % Rank
Net Assets 24.7 M 1.67 M 13.2 B 91.70%
Number of Holdings 16 2 1954 77.73%
Net Assets in Top 10 16.7 M 1.26 M 10.4 B 89.08%
Weighting of Top 10 70.41% 0.4% 149.2% 57.21%

Top 10 Holdings

  1. Morgan Stanley Institutional Liquidity Fund - Government Portfolio 10.47%
  2. ProShares Short Russell 2000 7.03%
  3. Technology Select Sector SPDR Fund 6.94%
  4. ProShares Short MSCI Emerging Markets 6.88%
  5. Communication Services Select Sector SPDR Fund 6.84%
  6. iShares Global 100 ETF 6.78%
  7. ProShares Short Financials 6.63%
  8. ProShares Short Real Estate 6.34%
  9. O'Reilly Automotive, Inc. 6.30%
  10. ProShares Short Dow30 6.20%

Asset Allocation

Weighting Return Low Return High CAPTX % Rank
Stocks
89.57% 0.00% 137.56% 49.78%
Cash
10.47% -33.22% 99.05% 32.31%
Preferred Stocks
0.00% 0.00% 5.36% 22.27%
Other
0.00% -29.71% 128.17% 39.74%
Convertible Bonds
0.00% 0.00% 8.92% 58.08%
Bonds
0.00% 0.00% 106.59% 44.54%

Stock Sector Breakdown

Weighting Return Low Return High CAPTX % Rank
Consumer Defense
15.73% 0.00% 37.51% 10.26%
Industrials
15.67% 0.00% 23.85% 9.74%
Healthcare
14.36% 0.00% 38.63% 26.67%
Utilities
13.10% 0.00% 91.12% 8.72%
Technology
11.32% 0.00% 85.77% 72.31%
Energy
10.11% 0.00% 60.89% 19.49%
Financial Services
6.69% 0.00% 98.22% 80.51%
Basic Materials
5.83% 0.00% 56.73% 27.18%
Consumer Cyclical
3.56% 0.00% 25.83% 76.92%
Communication Services
2.09% 0.00% 21.61% 72.82%
Real Estate
1.54% 0.00% 99.45% 68.72%

Stock Geographic Breakdown

Weighting Return Low Return High CAPTX % Rank
US
89.57% 0.00% 137.56% 47.60%
Non US
0.00% -1.94% 41.50% 27.07%

CAPTX - Expenses

Operational Fees

CAPTX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Expense Ratio 2.17% 0.49% 5.69% 28.82%
Management Fee 0.90% 0.00% 1.50% 49.78%
12b-1 Fee N/A 0.00% 1.00% N/A
Administrative Fee N/A 0.05% 0.70% 46.96%

Sales Fees

CAPTX 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% 1.00% N/A

Trading Fees

CAPTX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Max Redemption Fee 2.00% 0.50% 2.00% 3.23%

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.

CAPTX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Turnover 160.00% 1.75% 441.00% 70.43%

CAPTX - Distributions

Dividend Yield Analysis

CAPTX Category Low Category High CAPTX % Rank
Dividend Yield 0.30% 0.00% 24.73% 71.62%

Dividend Distribution Analysis

CAPTX Category Low Category High Category Mod
Dividend Distribution Frequency None Annual Monthly Quarterly

Net Income Ratio Analysis

CAPTX Category Low Category High CAPTX % Rank
Net Income Ratio -0.72% -2.01% 13.72% 79.91%

Capital Gain Distribution Analysis

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

Distributions History

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CAPTX - Fund Manager Analysis

Managers

Kimberly Custer


Start Date

Tenure

Tenure Rank

Aug 02, 2016

5.83

5.8%

Kimberly J. Custer, CMT, the Chief Compliance Officer and Chief Portfolio Strategist of Canterbury Investment Management, LLC. Ms. Custer co-founded Canterbury Investment Management, LLC.in 2003 and has served as the Chief Compliance Officer and Chief Portfolio Strategist since 2003. As Chief Portfolio Strategist, Kim oversees and coordinates all aspects of the Adviser’s investment strategy and is responsible for the coordination of Canterbury Investment Management, LLC's investment strategy with each client’s investment objectives and the timely execution of all portfolio adjustments. Ms. Custer earned a bachelor’s degree in financial counseling and planning from Purdue University

Thomas Hardin


Start Date

Tenure

Tenure Rank

Aug 02, 2016

5.83

5.8%

Thomas L. Hardin, CMT, the Chief Executive Officer and Chief Investment Officer of the Adviser, is responsible for the day-to day management of the Fund. Mr. Hardin co-founded the Adviser in 2003 and has served as the Chief Executive Officer and Chief Investment Officer since 2003. Mr. Hardin received his bachelor's degree in business from Skidmore College in Saratoga Springs, New York.

Brandon Bischof


Start Date

Tenure

Tenure Rank

Aug 28, 2020

1.76

1.8%

Brandon J Bischof, CMT, the Co-Chief Portfolio Strategist of Canterbury Investment Management, LLC. Mr. Bischof graduated Magna Cum Lude with a degree in Finance, from Xavier University, Cincinnati, OH.

Tenure Analysis

Category Low Category High Category Average Category Mode
0.07 33.83 6.59 13.0