UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-23306
Collaborative Investment Series Trust
(Exact name of registrant as specified in charter)
500 Damonte Ranch, Parkway Building 700, Unit 700 Reno, Nevada 89521
(Address of principal executive offices) (Zip code)
Citi Fund Services Ohio, Inc., 4400 Easton Commons, Suite 200, Columbus, OH 43219
(Name and address of agent for service)
Registrant’s telephone number, including area code: (440) 922-0066
Date of fiscal year end: September 30
Date of reporting period: March 31, 2023
Item 1. Report to Stockholders.
The Registrant is filing this amendment to its Form N-CSRS for the period ended March 31, 2023, originally filed with the Securities and Exchange Commission on June 2, 2023, (Accession Number 0001839882-23-014802) to amend Item 1 “Report to Stockholders”.
The purpose of this filing is to amend The SPAC and New Issue's reported information to reflect the impact associated with a subsequently identified net asset value adjustment and such related disclosures.
Except as set forth above, the amendment does not amend, update or change any other items or disclosure found in the original Form N-CSR filing.
Goose Hollow Capital Management LLC
82 North Summit Street, Suite 2B
Tenafly, NJ 07670
1-866-898-6447
www.gham.co
Semi-Annual
Shareholder Report
Goose Hollow Tactical Allocation ETF
(GHTA)
March 31, 2023
Semi-Annual Shareholder Report | 1
Expense ExamplesMarch 31, 2023 (Unaudited)
As a Fund shareholder, you may incur two types of costs: (1) transaction costs, including commissions on trading, as applicable; and (2) ongoing costs, including advisory fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The expense examples below are based on an investment of $1,000 invested at the beginning of the period and held for the six-month period ending March 31, 2023.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Semi-Annual Shareholder Report | 2
Expense Examples (continued)March 31, 2023 (Unaudited)
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Further, the expenses do not include any brokerage commissions on investors’ purchases or redemptions of Fund shares as described in the Fund’s prospectus. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | |
| | Beginning
Account Value
10/1/2022 | Ending
Account Value
3/31/2023 | Expenses Paid
During Period(a) | Annualized
Expense
Ratio |
Goose Hollow Tactical Allocation ETF | Actual | $ 1,000.00 | $ 1,161.30 | $ 4.53 | 0.84% |
| Hypothetical | 1,000.00 | 1,020.74 | 4.23 | 0.84 |
(a) Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 182/365 (the number of days in the most recent fiscal half year divided by the number of days in the fiscal year).
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 3
Portfolio of InvestmentsMarch 31, 2023 (Unaudited)
Goose Hollow Tactical Allocation ETF
| | | |
Portfolio of Investments Summary Table | Percentage of
Total Investments (%) |
Exchange-Traded Funds | | 94.9 | |
Financials | | 3.3 | |
Options on Futures | | 0.1 | |
Preferred Stock | | 1.7 | |
Total | | 100.0 | |
Portfolio holdings and allocations are subject to change. As of March 31, 2023, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund’s total net assets.
Portfolio of Investments
| | | | | |
| Shares | | | Fair Value ($) | |
| Common Stock — 3.2% | | |
| Financials — 3.2% | | |
| 116,720 | | AGNC Investment Corp. | 1,176,538 | |
| Total Common Stock (Cost $1,280,342) | 1,176,538 | |
| | | | | |
| Exchange-Traded Funds — 92.5% | | |
| 41,454 | | Energy Select Sector SPDR Fund ETF | 3,433,635 | |
| 20,726 | | Invesco Solar ETF(a) | 1,608,959 | |
| 5,223 | | iShares 0-3 Month Treasury Bond ETF | 525,329 | |
| 150,794 | | iShares MSCI Brazil ETF | 4,128,740 | |
| 17,564 | | iShares MSCI Japan Small Capital ETF | 1,198,743 | |
| 63,456 | | iShares MSCI Saudi Arabia ETF | 2,457,651 | |
| 85,589 | | Quadratic Interest Rate Volatility and Inflation Hedge ETF | 1,944,582 | |
| 23,744 | | SPDR Bloomberg 1-3 Month T-Bill ETF | 2,180,174 | |
| 31,090 | | SPDR S&P Oil & Gas Exploration & Production ETF | 3,966,773 | |
| 80,328 | | Vanguard Intermediate-Term Treasury ETF | 4,816,467 | |
| 131,309 | | Vanguard Short-Term Treasury ETF | 7,686,828 | |
| | | | 33,947,881 | |
| Total Exchange-Traded Funds (Cost $33,520,964) | 33,947,881 | |
| | | |
| Purchased Options on Futures — 0.1% | | |
| Total Purchased Options on Futures (Cost $40,891) | 18,600 | |
| | | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 4
Portfolio of Investments (continued)March 31, 2023 (Unaudited)
Goose Hollow Tactical Allocation ETF
| | | | | |
| Shares | | | Fair Value ($) | |
| Preferred Stock — 1.6% | | |
| 345,630 | | Federal National Mortgage Association, 8.25% | 594,484 | |
| Total Preferred Stock (Cost $878,870) | 594,484 | |
| | | |
| Total Investments — 97.4% (Cost $35,721,067) | 35,737,503 | |
| Other Assets in Excess of Liabilities — 2.6% | 942,721 | |
| Net Assets — 100.0% | $36,680,224 | |
(a) Non-income producing security.
ETF — Exchange-Traded Fund
S&P — Standard and Poor’s
SPDR — Standard & Poor’s Depositary Receipts
Futures Contracts
At March 31, 2023, the Fund’s open futures contracts were as follows:
Futures Contracts Purchased
| | | | | |
Description | Number of
Contracts | Expiration Date | Notional
Amount ($) | Value ($) | Unrealized
Appreciation
(Depreciation) ($) |
Japanese Yen Future | 20 | 6/16/23 | 1,895,899 | 1,905,625 | 9,726 |
| | | | | 9,726 |
Purchased Options
Exchanged-traded options on futures contracts purchased as of March 31, 2023 were as follows:
| | | | | | |
Description | Put/Call | Number of Contracts | Notional
Amount
(000)($)(a) | Strike Price ($) | Expiration Date | Value ($) |
Banco Bradesco
SA Options | Call | 200 | 50 | 2.50 | 6/16/23 | 5,000 |
Banco Bradesco
SA Options | Call | 200 | 60 | 3.00 | 1/19/24 | 4,000 |
Itau Unibanco Holding SA Options | Call | 800 | 560 | 7.00 | 1/19/24 | 9,600 |
(Total Cost $40,891) | | | | | 18,600 |
(a) Notional amount is expressed as the number of contracts multiplied by contract size multiplied by the strike price of the underlying asset.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 5
Statement of Assets and LiabilitiesMarch 31, 2023 (Unaudited)
| | |
| Goose Hollow
Tactical
Allocation
ETF |
Assets: | | |
Investments, at value (Cost $35,721,067) | $35,737,503 | |
Cash | 531,123 | |
Deposits at broker for derivative contracts | 386,497 | |
Dividends and interest receivable | 17,265 | |
Receivable for capital shares issued | 34,432 | |
Prepaid expenses | 755 | |
Total Assets | 36,707,575 | |
Liabilities: | | |
Payable for variation margin on futures contracts | 3,750 | |
Accrued expenses: | | |
Advisory | 9,402 | |
Administration | 3,268 | |
Compliance services | 1 | |
Custodian | 258 | |
Fund accounting | 6,742 | |
Printing | 3,033 | |
Trustee | 560 | |
Other | 337 | |
Total Liabilities | 27,351 | |
Net Assets | $36,680,224 | |
Net Assets consist of: | | |
Paid-in Capital | $35,061,194 | |
Total Distributable Earnings (Accumulated Deficit) | 1,619,030 | |
Net Assets | $36,680,224 | |
| | |
Net Assets: | $36,680,224 | |
Shares of Beneficial Interest Outstanding
(unlimited number of shares authorized, no par value): | 1,425,000 | |
Net Asset Value (offering and redemption price per share): | $25.74 | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 6
Statement of OperationsFor the period ended March 31, 2023 (Unaudited)
| | |
| Goose Hollow
Tactical
Allocation
ETF |
Investment Income: | | |
Dividend income | $361,345 | |
Total Investment Income | 361,345 | |
Expenses: | | |
Advisory | 92,727 | |
Administration | 16,363 | |
Compliance services | 4,501 | |
Custodian | 1,055 | |
Fund accounting | 21,624 | |
Legal and audit | 13,731 | |
Printing | 2,296 | |
Treasurer | 1,200 | |
Trustee | 1,760 | |
Other | 5,813 | |
Total Expenses before fee reductions | 161,070 | |
Expenses contractually waived and/or reimbursed by the Advisor | (68,836 | ) |
Total Net Expenses | 92,234 | |
Net Investment Income (Loss) | 269,111 | |
Realized and Unrealized Gains (Losses) from Investments: | | |
Net realized gains (losses) from investment transactions | 880,755 | |
Net realized gains (losses) from in-kind transactions | 457,038 | |
Net realized gains (losses) from futures transactions | 132,605 | |
Change in unrealized appreciation (depreciation) on investments | 524,501 | |
Change in unrealized appreciation (depreciation) on futures | 9,726 | |
Net Realized and Unrealized Gains (Losses) from Investments: | 2,004,625 | |
Change in Net Assets Resulting From Operations | $2,273,736 | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 7
Statements of Changes in Net Assets
| | | | |
| Goose Hollow Tactical Allocation ETF |
| Six Months
Ended
March 31,
2023
(Unaudited) | | For the period
November 16,
2021(a)
through
September 30,
2022 |
From Investment Activities: | | | | |
Operations: | | | | |
Net investment income (loss) | $269,111 | | $8,489 | |
Net realized gains (losses) from investment, in-kind, and futures transactions | 1,470,398 | | (68,863 | ) |
Change in unrealized appreciation
(depreciation) on investments and futures | 534,227 | | (508,065 | ) |
Change in net assets resulting from operations | 2,273,736 | | (568,439 | ) |
Distributions to Shareholders From: | | | | |
Earnings | (81,324 | ) | (5,002 | ) |
Change in net assets from distributions | (81,324 | ) | (5,002 | ) |
Capital Transactions: | | | | |
Proceeds from shares issued | 32,157,108 | | 11,142,566 | |
Cost of shares redeemed | (8,238,421 | ) | — | |
Change in net assets from capital transactions | 23,918,687 | | 11,142,566 | |
Change in net assets | 26,111,099 | | 10,569,125 | |
Net Assets: | | | | |
Beginning of period | 10,569,125 | | — | |
End of period | $36,680,224 | | $10,569,125 | |
Share Transactions: | | | | |
Issued | 1,275,000 | | 475,000 | |
Redeemed | (325,000 | ) | — | |
Change in shares | 950,000 | | 475,000 | |
(a) Commencement of operations.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 8
| | | | |
Goose Hollow Tactical Allocation ETF | Six Months Ended
March 31,
2023
(Unaudited) | November 16, 2021(a)
through
September 30, 2022 |
Net Asset Value, Beginning of Period | $22.25 | | $24.63 | |
| | | | |
Net Investment Income (Loss)(b) | 0.31 | | 0.06 | |
Net Realized and Unrealized Gains (Losses) on Investments | 3.27 | | (2.34 | ) |
Total from Investment Activities | 3.58 | | (2.28 | ) |
| | | | |
Distributions from Net Investment Income | (0.05 | ) | (0.10 | ) |
Distributions from Net Realized Gains on Investments | (0.04 | ) | — | |
Total Distributions | (0.09 | ) | (0.10 | ) |
| | | | |
Net Asset Value, End of Period | $25.74 | | $22.25 | |
Net Assets at End of Period (000’s) | $36,680 | | $10,569 | |
| | | | |
Total Return at NAV(c)(d) | 16.13 | % | (9.30 | )% |
Total Return at Market(d)(e) | 16.72 | % | (9.29 | )% |
| | | | |
Ratio of Net Expenses to Average Net Assets(f)(g) | 0.84 | % | 0.84 | % |
Ratio of Gross Expenses to Average Net Assets(f)(g)(h) | 1.47 | % | 3.51 | % |
Ratio of Net Investment Income (Loss) to Average Net Assets(f)(i) | 2.45 | % | 0.28 | % |
Portfolio Turnover(d)(j) | 287 | % | 392 | % |
(a) Commencement of operations.
(b) Calculated based on average shares method.
(c) Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at net asset value. This percentage is not an indication of the performance of a shareholder’s investment in the Fund based on market value due to differences between the market price of the shares and the net asset value per share of the Fund.
(d) Not annualized for periods less than one year.
(e) Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price from any primary listing market (e.g., Cboe BZX) or participating regional exchanges or markets. The composite closing price is the last reported sale price from any of the eligible sources, regardless of volume and not an average price and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund’s closing price on the listing market.
(f) Annualized for periods less than one year.
(g) Excludes expenses of the investment companies in which the Fund invests.
(h) If applicable, certain fees were waived and/or reimbursed. If such waivers/reimbursements had not occurred, the ratio would have been as indicated.
(i) Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the underlying investment companies.
(j) Excludes the impact of in-kind transactions.
Semi-Annual Shareholder Report | 9
Notes to Financial StatementsMarch 31, 2023 (Unaudited)
(1) Organization
Collaborative Investment Series Trust (the “Trust”) was organized on July 26, 2017 as a Delaware statutory trust. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”) as an open-end management investment company and thus is determined to be an investment company for accounting purposes. The Trust is comprised of several funds and is authorized to issue an unlimited number of shares of beneficial interest (“Shares”) in one or more series representing interests in separate portfolios of securities. The accompanying financial statements are those of Goose Hollow Tactical Allocation ETF (the “Fund”). The Fund is a diversified actively-managed exchange-traded fund. The Fund’s prospectus provides a description of the Fund’s investment objectives, policies, and strategies. The assets of the Fund are segregated and a shareholder’s interest is limited to the Fund in which shares are held.
Under the Trust’s organizational documents, its officers and Board of Trustees (the “Board”) are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Trust may enter into contracts with vendors and others that provide for general indemnifications. The Trust’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust. However, based on experience, the Trust expects that risk of loss to be remote.
(2) Significant Accounting Policies
Shares of the Fund are listed and traded on the Cboe BZX Exchange, Inc. (“Cboe”). Market prices for the Shares may be different from their net asset value (“NAV”). The Fund issues and redeems Shares on a continuous basis at NAV only in large blocks of Shares, currently 25,000 Shares, called Creation Units (“Creation Units”). Creation Units are issued and redeemed principally in-kind for securities included in a specified universe. Once created, Shares generally trade in the secondary market at market prices that change throughout the day in amounts less than a Creation Unit. Shares of the Fund may only be purchased or redeemed by certain financial institutions (“Authorized Participants”). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with ACA Foreside (the “Distributor”). Most retail investors do not qualify as Authorized Participants nor have the resources to buy and sell whole Creation Units. Therefore, they are unable to purchase or redeem the shares directly from the Fund.
The following is a summary of significant policies consistently followed by the Fund in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America
Semi-Annual Shareholder Report | 10
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
(“GAAP”). The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services - Investment Companies”. The preparation of financial Statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.
A. Investment Valuations
The Fund holds investments at fair value. Fair value is defined as the price that would be expected to be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The valuation techniques used to determine fair value are further described below.
Security values are ordinarily obtained through the use of independent pricing services in accordance with Rule 2a-5 under the 1940 Act pursuant to procedures adopted by the Board. Pursuant to these procedures, the Fund may use a pricing service, bank, or broker-dealer experienced in such matters to value the Fund’s securities. When reliable market quotations are not readily available for any security, the fair value of that security will be determined by a committee established by the Board in accordance with Rule 2a-5 under the 1940 Act pursuant to procedures adopted by the Board. The fair valuation process is designed to value the subject security at the price the Fund would reasonably expect to receive upon its current sale. Additional consideration is given to securities that have experienced a decrease in the volume or level of activity or to circumstances that indicate that a transaction is not orderly.
The Trust uses a three-tier fair value hierarchy that is dependent upon the various “inputs” used to determine the value of the Fund’s investments. The valuation techniques described below maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. These inputs are summarized in the three broad levels listed below:
• Level 1 - Quoted prices in active markets for identical assets that the Fund has the ability to access.
• Level 2 - Other observable pricing inputs at the measurement date (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
• Level 3 - Significant unobservable pricing inputs at the measurement date (including the Fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.
Semi-Annual Shareholder Report | 11
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
Exchange-traded funds (“ETFs”) and preferred stocks traded on a recognized securities exchange are valued at that day’s last traded price or official closing price, as applicable, on the exchange where the fund is primarily traded. Funds and preferred stocks traded on a recognized exchange for which there were no sales on that day may be valued at the last traded price. In each of these situations, valuations are typically categorized as Level 1 in the fair value hierarchy.
Exchange-traded futures contracts are valued at their settlement price on the exchange on which they are traded and are typically categorized as Level 1 in the fair value hierarchy. Exchange traded options contracts are valued at the closing price on the primary exchange for that option as recorded by an approved pricing vendor.
The Fund did not hold any Level 2 or Level 3 investments as of March 31, 2023.
The following table summarizes the Fund’s investments, based on their valuation inputs, as of March 31, 2023, while the breakdown, by category, of investments is disclosed in the Portfolio of Investments for the Fund:
| | | |
| Level 1 | | Total Investments |
Goose Hollow Tactical Allocation ETF | | | |
Common Stock | $1,176,538 | | $1,176,538 |
Exchange-Traded Funds | 33,947,881 | | 33,947,881 |
Purchased Options on Futures | 18,600 | | 18,600 |
Preferred Stock | 594,484 | | 594,484 |
Total Investments | $35,737,503 | | $35,737,503 |
Other Financial Instruments(a) | | | |
Asset | | | |
Futures Contract | 9,726 | | 9,726 |
Total Other Financial Instruments | $9,726 | | $9,726 |
(a) Other financial instruments include derivative instruments, such as futures contracts which are valued at the unrealized appreciation (depreciation) on the instrument and written options, which are valued at fair value.
B. Security Transactions and Related Income
Investment transactions are accounted for no later than the first calculation of the NAV on the business day following the trade date. For financial reporting purposes, however, security transactions are accounted for on the trade date on the last business day of the reporting period. Securities gains and losses are calculated on the identified cost basis. Interest income and expenses are accrued daily. Dividends and dividend expense, less foreign tax withholding, if any, are recorded on the ex-dividend date. Investment income from non-U.S. sources received by the Fund is generally subject to non-U.S. withholding
Semi-Annual Shareholder Report | 12
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
taxes at rates ranging up to 30%. Such withholding taxes may be reduced or eliminated under the terms of applicable U.S. income tax treaties. The Fund may be subject to foreign taxes on gains in investments or currency repatriation. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
The Fund may own shares of ETFs that may invest in real estate investments trusts (“REITs”) and master limited partnerships (“MLPs”) which report information on the source of their distributions annually. Distributions received from investments in REITs or MLPs in excess of income from underlying investments are recorded as realized gain and /or as a reduction to the cost of the ETF.
C. Cash
Idle cash may be swept into various interest-bearing overnight demand deposits and is classified as cash on the Statement of Assets and Liabilities. The Fund maintains cash in bank deposit accounts which, at times, may exceed the United States federally insured limit of $250,000. Amounts swept overnight are available on the next business day.
D. Dividends and Distributions to Shareholders
Distributions are recorded on the ex-dividend date. The Fund intends to distribute to its shareholders net investment income and net realized capital gains, if any, at least annually. The amount of dividends from net investment income and net realized gains is determined in accordance with federal income tax regulations, which may differ from GAAP. These “book/tax” differences are considered either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., distributions and income received from pass-through investments), such amounts are reclassified within the capital accounts based on their nature for federal income tax purposes; temporary differences do not require reclassification.
The Fund may utilize earnings and profits distributed to shareholders on redemption of shares as part of the dividends paid deduction.
E. Allocation of Expenses
Expenses directly attributable to a Fund are charged to that Fund. Expenses not directly attributable to a Fund are allocated proportionally among all Funds within the Trust in relation to the net assets of each Fund or on another reasonable basis.
F. Derivative Instruments:
All open derivative positions at period end are reflected on the Fund’s Portfolio of Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposure related to each instrument type.
Semi-Annual Shareholder Report | 13
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
Futures Contracts:
The Fund may enter into futures contracts for the purpose of hedging existing portfolio securities or securities they intend to purchase against fluctuations in fair value caused by changes in prevailing market interest conditions. Upon entering into futures contracts, the Fund is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount (initial margin deposit). Subsequent payments, known as “variation margin”, are made or received each day, depending on the daily fluctuations in the fair value of the underlying security. The Fund recognizes an unrealized gain or loss equal to the daily variation margin. Should market conditions move unexpectedly, the Fund may not achieve the anticipated benefits of the futures contracts and may realize a loss. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures and foreign currency risk related to currency futures) and exposure to loss in excess of the amounts reflected on the Statement of Assets and Liabilities as variation margin. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in market value of the securities held by the Fund and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. The gross notional amount of futures contracts outstanding as of March 31, 2023, and the monthly average notional amount for the contracts held during the period ended March 31, 2023 were as follows:
| | | | |
| Outstanding Notional Amount | Monthly Average Notional Amount |
Futures Contracts: | Long | Short | Long | Short |
Goose Hollow Tactical Allocation ETF | $2,113,254 | $— | $1,382,693(a) | $— |
(a) For the period when the Fund held long futures contracts from October 1, 2022 through January 31, 2023 and March 1, 2023 through March 31, 2023.
Options Contracts:
Purchased Options Contracts – The Fund pays a premium which is included in “Investments, at value” on the Statement of Assets and Liabilities and marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. When a put option is exercised or closed, premiums paid for purchasing options are offset against proceeds to determine the realized gain/loss on the transaction. The Fund bears the risk of loss of the premium and change in value should the counterparty not perform under the contract.
Written Options Contracts – The Fund receives a premium which is recorded as a liability and is subsequently adjusted to the current value of the options written. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are
Semi-Annual Shareholder Report | 14
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
either exercised or closed are offset against the proceeds received or the amount paid on the transaction to determine realized gains or losses. The risk associated with writing an option is that the Fund bears the market risk of an unfavorable change in the price of an underlying asset and is required to buy or sell an underlying asset under the contractual terms of the option at a price different from the current value.
The gross notional amount of purchased and written options outstanding as of March 31, 2023, and the monthly average notional amount for these contracts for the period ended March 31, 2023 were as follows:
| | |
| Outstanding Notional Amount | Monthly Average Notional Amount |
Purchased Options Contracts: | | |
Goose Hollow Tactical Allocation ETF | $670,000 | $670,000(a) |
(a) For the period when the Fund held purchased options contracts from January 1, 2023 through March 31, 2023.
Summary of Derivative Instruments:
The following is a summary of the fair value of derivative instruments on the Statements of Assets and Liabilities, categorized by risk exposure, as of March 31, 2023:
| | |
| Assets |
| Investments, at Value for Purchased Options | Unrealized Appreciation (Depreciation) on Futures Contracts(a) |
Risk Exposure: | | |
Goose Hollow Tactical Innovation ETF | $18,600 | $9,726 |
(a) For futures contracts, the amounts represent their cumulative appreciation (depreciation) as reported on the Portfolio of Investments. Only the current day’s variation margin, if any, is reported within the Statement of Assets and Liabilities as variation margin on futures contracts.
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended March 31, 2023:
| |
| Net Realized Gains (Losses) from |
| Futures Contracts |
Foreign Currency Risk Exposure: | |
Goose Hollow Tactical Allocation ETF | $132,605 |
Semi-Annual Shareholder Report | 15
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
| |
| Net Change in Unrealized Appreciation (Depreciation)
on Derivatives Recognized
as a Result from Operations |
| Futures Contracts |
Foreign Currency Risk Exposure: | |
Goose Hollow Tactical Allocation ETF | $9,726 |
(3) Investment Advisory and Other Contractual Services
A. Investment Advisory Fees
Goose Hollow Capital Management, LLC (the “Advisor”), serves as the Fund’s investment advisor pursuant to an investment advisory agreement. Subject at all times to the oversight and approval of the Board, the Advisor is responsible for the overall management of the Fund. The Fund pays the Advisor a management fee of 0.85% of its average daily net assets, calculated daily and paid monthly.
The Advisor has contractually agreed to reduce its fees and to reimburse expenses, at least through January 31, 2024 to ensure that Net Annual Fund Operating Expenses (exclusive of any (i) front-end or contingent deferred loads, (ii) brokerage fees and commissions, (iii) acquired fund fees and expenses, (iv) fees and expenses associated with instruments in other collective investment vehicles or derivative instruments (including for example options and swap fees and expenses); (v) borrowing costs (such as interest and dividend expenses on securities sold short), (vi) taxes, (vii) other fees related to underlying investments, (such as option fees and expenses or swap fees and expenses); or (viii) extraordinary expenses such as litigation (which may include indemnification of Fund officers and trustees or contractual indemnification of Fund service providers (other than the advisor)) will not exceed 0.84%. Fee waivers and expense reimbursements are subject to possible recoupment from the Fund in future years on a rolling three-year basis (within the three years after the fees have been waived or reimbursed) if such recoupment can be achieved within the foregoing expense limits or the expense limits in place at the time of recoupment. Fee waiver and reimbursement arrangements can decrease the Fund’s expenses and boost its performance. This expense imitation agreement may be terminated at any time, by the Board upon sixty days’ written notice to the advisor.
As of March 31, 2023, the Advisor may recoup amounts from the Fund as follows:
| | | |
| Waived/Reimbursed
FY 2022
Expires 09/30/2025 | Waived/Reimbursed
FY 2023
Expires 09/30/2026 | Total |
Goose Hollow Tactical Allocation ETF | $80,007 | $68,836 | $148,843 |
Semi-Annual Shareholder Report | 16
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
B. Administration, Custodian, Transfer Agent and Accounting Fees
Citi Fund Services Ohio, Inc. (“Citi”) serves as the administrator, fund accountant, and dividend disbursing agent for the Fund pursuant to a Services Agreement. Citibank, N.A. serves as the custodian and transfer agent of the Fund pursuant to a Global Custodial and Agency Services Agreement.
Collaborative Fund Services LLC (“CFS”) provides the Fund with various management and legal administrative services. For these services, the Fund pays CFS an administrative fee that is computed daily and paid monthly, based on the aggregate daily net assets of the Fund and is subject to a minimum monthly fee.
C. Distribution and Shareholder Services Fees
ACA Foreside is the principal underwriter and distributor for the Fund’s Shares. The Distributor is compensated by the Advisor in accordance with a Distribution Services Agreement between the Advisor and the Distributor.
D. Compliance Services
Beacon Compliance Consulting provides compliance services to the Trust and receives a monthly fee paid by the Fund for these services.
E. Treasurer Fees
The Treasurer of the Trust receives a fee that is calculated monthly using the Fund’s net assets at month-end and is paid by the Fund on a quarterly basis. During the period ended March 31, 2023, the Fund paid a total of $1,200 to the Treasurer.
F. General
Certain trustees and officers of the Trust are officers, directors and/or trustees of the above companies and, except for the Treasurer, receive no compensation from the Fund for their services.
(4) Investment Transactions
Purchases and sales of investments, excluding in-kind transactions and short-term investments, for the period ended March 31, 2023 were as follows:
| | |
| Purchases | Sales |
Goose Hollow Tactical Allocation ETF | $64,301,925 | $61,325,186 |
Purchases and sales of in-kind transactions for the period ended March 31, 2023 were as follows:
| | |
| Purchases | Sales |
Goose Hollow Tactical Allocation ETF | $29,449,894 | $7,769,715 |
There were no purchases or sales of U.S. government securities during the period ended March 31, 2023.
Semi-Annual Shareholder Report | 17
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
(5) Capital Share Transactions
Shares are issued and redeemed by the Fund only in aggregations of a specified number of shares or multiples thereof at NAV. Except when aggregated in Creation Units, shares of the Fund are not redeemable. Transactions in shares for the Fund are disclosed in detail on the Statements of Changes in Net Assets.
The consideration for the purchase of Creation Units of a Fund generally consists of the in-kind deposit of a designated basket of securities, which constitutes an optimized representation of the securities of that Fund’s specified universe, and an amount of cash. Investors purchasing and redeeming Creation Units may be charged a transaction fee to cover the transfer and other transactional costs it incurs to issue or redeem Creation Units. The transaction fees for the Fund are listed below:
| | |
| Fee for
In-Kind and
Cash Purchases | Maximum Additional
Variable Charge for
Cash Purchases(a) |
Goose Hollow Tactical Allocation ETF | $250 | 2.00% |
(a) As a percentage of the amount invested.
From time to time, settlement of securities related to in-kind contributions or in-kind redemptions may be delayed. In such cases, securities related to in-kind transactions are reflected as a receivable or a payable on the Statement of Assets and Liabilities.
As of March 31, 2023, there were no unsettled in-kind capital transactions.
(6) Investment Risks
ETF Risk
The NAV of the Fund can fluctuate up or down, and you could lose money investing in the Fund if the prices of the securities owned by the Fund decline. In addition, the Fund may be subject to the following risks: (1) the market price of the Fund’s shares may trade above or below its NAV; (2) an active trading market for the Fund’s shares may not develop or be maintained; or (3) trading of the Fund’s shares may be halted if the listing exchange’s officials deem such action appropriate, the shares are delisted from the exchange, or the activation of market-wide “circuit breakers” (which are tied to large decreases in stock prices) halts stock trading generally.
Market and Geopolitical Risk
The increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region or financial market. Securities in the Fund may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular
Semi-Annual Shareholder Report | 18
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
products or resources, natural disasters, climate-change and climate-related events, pandemics, epidemics, terrorism, international conflicts, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years, such as terrorist attacks around the world, natural disasters, social and political discord or debt crises and downgrades, among others, may result in market volatility and may have long term effects on both the U.S. and global financial markets. It is difficult to predict when similar events affecting the U.S. or global financial markets may occur, the effects that such events may have and the duration of those effects. Any such event(s) could have a significant adverse impact on the value and risk profile of the Fund. The coronavirus (COVID-19) global pandemic and the aggressive responses taken by many governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines or similar restrictions, as well as the forced or voluntary closure of, or operational changes to, many retail and other businesses, had negative impacts, and in many cases severe negative impacts, on markets worldwide. It is not known how long such impacts, or any future impacts of other significant events described above, will or would last, but there could be a prolonged period of global economic slowdown, which may impact your investment. Therefore, the Fund could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns. During a general market downturn, multiple asset classes may be negatively affected. Changes in market conditions and interest rates can have the same impact on all types of securities and instruments. In times of severe market disruptions, you could lose your entire investment.
(7) Subsequent Events
Management of the Fund has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date these financial statements were issued. Based upon this evaluation, no additional disclosures or adjustments were required to the financial statements as of March 31, 2023.
Semi-Annual Shareholder Report | 19
Additional InformationMarch 31, 2023 (Unaudited)
PORTFOLIO HOLDINGS
The Fund files a complete schedule of investments with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-PORT. The Form N-PORT filing must be made within 60 days of the end of the quarter. These filings are available on the SEC’s web site at http://www.sec.gov. You may also obtain copies by calling the Fund at 1-866-898-6447, free of charge.
PREMIUM/DISCOUNT INFORMATION
The Fund’s website at http://www.gham.co shows the previous day’s closing NAV and closing market price for the Fund’s ETF Shares. The website also discloses, in the Premium/Discount section, how frequently the Fund’s ETF Shares traded at a premium or discount to NAV (based on closing NAVs and market prices) and the magnitudes of such premiums and discounts.
PROXY VOTING
The Fund’s proxy voting policies, procedures and voting records relating to common stock securities in the Fund’s investment portfolio are available without charge, upon request, by calling the Fund’s toll-free telephone number 1-866-898-6447. The Fund will send this information within three business days of receipt of the request, by first class mail or other means designed to ensure prompt delivery.
The Fund’s proxy information is also available on the SEC’s website at http://www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 is available without charge, upon request by calling 1-866-898-6447 or referring to the SEC’s web site at http://www.sec.gov.
Semi-Annual Shareholder Report | 20
PRIVACY NOTICE
COLLABORATIVE INVESTMENT SERIES TRUST
| |
FACTS | WHAT DOES THE COLLABORATIVE INVESTMENT SERIES TRUST DO WITH YOUR PERSONAL INFORMATION? |
| |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some, but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
| |
What? | The types of personal information we collect and share depends on the product or service that you have with us. This information can include: •Social Security number and wire transfer instructions •account transactions and transaction history •investment experience and purchase history When you are no longer our customer, we continue to share your information as described in this notice. |
| |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons the Collaborative Investment Series Trust chooses to share; and whether you can limit this sharing. |
| | |
Reasons we can share your personal information: | Do we share information? | Can you limit
sharing? |
For our everyday business purposes -
such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus. | YES | NO |
For our marketing purposes - to offer our products and services to you. | NO | We don’t share |
For joint marketing with other
financial companies. | NO | We don’t share |
For our affiliates’ everyday business purposes - information about your transactions and records. | NO | We don’t share |
Semi-Annual Shareholder Report | 21
| | |
Reasons we can share your personal information: | Do we share information? | Can you limit
sharing? |
For our affiliates’ everyday business purposes - information about your credit worthiness. | NO | We don’t share |
For our affiliates to market to you | NO | We don’t share |
For non-affiliates to market to you | NO | We don’t share |
QUESTIONS? | Call 1-800-595-4866 |
| |
What we do: |
How does the Collaborative Investment Series Trust protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. Our service providers are held accountable for adhering to strict policies and procedures to prevent any misuse of your nonpublic personal information. |
How does the Collaborative Investment Series Trust collect my personal information? | We collect your personal information, for example, when you •open an account or deposit money •direct us to buy securities or direct us to sell your securities •seek advice about your investments We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit
all sharing? | Federal law gives you the right to limit only: •sharing for affiliates’ everyday business purposes – information about your creditworthiness. •affiliates from using your information to market to you. •sharing for nonaffiliates to market to you. State laws and individual companies may give you additional rights to limit sharing. |
Semi-Annual Shareholder Report | 22
| |
Definitions |
Affiliates | Companies related by common ownership or control. They can be financial and non-financial companies. •The Collaborative Investment Series Trust does not share with affiliates. |
Non-affiliates | Companies not related by common ownership or control. They can be financial and non-financial companies. •The Collaborative Investment Series Trust does not share with non-affiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. •The Collaborative Investment Series Trust doesn’t jointly market. |
Semi-Annual Shareholder Report | 23
This Page Was Left Blank Intentionally
This Page Was Left Blank Intentionally
This report is provided for the general information of the Fund’s shareholders. It is not authorized for distribution unless preceded or accompanied by an effective prospectus, which contains more complete information about the Fund.
5/23
Investment Advisor
Goose Hollow Capital Management LLC
82 North Summit Street, Suite 2B
Tenafly, NJ 07670
Distributor
ACA Foreside
Three Canal Plaza, Suite 100
Portland, ME 04101
Custodian and Transfer Agent
Citibank, N.A.
388 Greenwich Street
New York, NY 10048
Legal Counsel
Thompson Hine LLP
41 South High Street, Suite 1700
Columbus, OH 43215
Independent Registered Public Accounting Firm
Cohen & Company, Ltd.
342 North Water Street, Suite 830
Milwaukee, WI 53202
Administrator, Accountant and Dividend Disbursing Agent
Citi Fund Services Ohio, Inc.
4400 Easton Commons, Suite 200
Columbus, OH 43219
Retireful, LLC
120 N. Washington, Suite 300
Lansing, MI 48933
1-866-464-6608
www.mohrfunds.com
Semi-Annual
Shareholder Report
Mohr Growth ETF (MOHR)
Mindful Conservative ETF (MFUL)
Adaptive Core ETF (RULE)
Mohr Sector Nav ETF (SNAV)
March 31, 2023
Semi-Annual Shareholder Report | 1
Expense ExamplesMarch 31, 2023 (Unaudited)
As a Fund shareholder, you may incur two types of costs: (1) transaction costs, including commissions on trading, as applicable; and (2) ongoing costs, including advisory fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The expense examples below are based on an investment of $1,000 invested at the beginning of the period and held for the six-month period ending March 31, 2023.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Further, the expenses do not include any brokerage commissions on investors’ purchases or redemptions of Fund shares as described in each Fund’s prospectus. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Semi-Annual Shareholder Report | 2
Expense Examples (continued)March 31, 2023 (Unaudited)
| | | | | | | | | | | | | | |
| | | | Beginning
Account Value
10/1/2022 | | Ending
Account Value
3/31/2023 | | Expenses Paid
During Period(a) | | Annualized
Expense
Ratio |
Mohr Growth ETF | | Actual | | $1,000.00
| | $993.80
| | | $4.62
| | | | 0.93 | % |
| | Hypothetical | | 1,000.00 | | 1,020.29 | | | 4.68 | | | | 0.93 | |
Mindful Conservative ETF | | Actual | | 1,000.00 | | 1,010.40 | | | 4.71 | | | | 0.94 | |
| | Hypothetical | | 1,000.00 | | 1,020.24 | | | 4.73 | | | | 0.94 | |
Adaptive Core ETF | | Actual | | 1,000.00 | | 1,000.60 | | | 4.84 | | | | 0.97 | |
| | Hypothetical | | 1,000.00 | | 1,020.09 | | | 4.89 | | | | 0.97 | |
Mohr Sector Nav ETF | | Actual | | 1,000.00 | | 1,006.40 | | | 2.86 | | | | 1.30 | |
| | Hypothetical | | 1,000.00 | | 1,018.45 | | | 6.54 | | | | 1.30 | |
(a) Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 182/365 (the number of days in the most recent fiscal half year divided by the number of days in the fiscal year).
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 3
Portfolio of InvestmentsMarch 31, 2023 (Unaudited)
Mohr Growth ETF
| | |
Portfolio of Investments Summary Table | | Percentage
of Total Investments (%) |
Communication Services | | 1.7 |
Consumer Discretionary | | 3.3 |
Consumer Staples | | 0.9 |
Financials | | 3.0 |
Health Care | | 2.2 |
Industrials | | 1.0 |
Information Technology | | 6.7 |
Utilities | | 1.0 |
Exchange-Traded Funds | | 80.2 |
Total | | 100.0 |
Portfolio holdings and allocations are subject to change. As of March 31, 2023, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund’s total net assets.
Portfolio of Investments
| | | | | | |
| Shares | | | | Fair Value ($) | |
| Common Stocks — 14.1% | | | |
| Communication Services — 1.2% | | | |
| 6,032 | | Alphabet, Inc., Class C(a) | | 627,328 | |
| 4,067 | | Nexstar Media Group, Inc. | | 702,208 | |
| | | | | 1,329,536 | |
| Consumer Discretionary — 2.3% | | | |
| 6,855 | | Airbnb, Inc., Class A(a) | | 852,762 | |
| 9,397 | | DR Horton, Inc. | | 917,993 | |
| 4,030 | | Tesla, Inc.(a) | | 836,064 | |
| | | | | 2,606,819 | |
| Consumer Staples — 0.7% | | | |
| 15,151 | | Kroger Co. (The) | | 748,005 | |
| | | 748,005 | |
| Financials — 2.1% | | | |
| 29,279 | | Cerence, Inc.(a) | | 822,447 | |
| 1,521 | | MSCI, Inc. | | 851,289 | |
| 22,801 | | Synchrony Financial | | 663,053 | |
| | | | | 2,336,789 | |
| Health Care — 1.6% | | | |
| 2,817 | | Eli Lilly & Co. | | 967,414 | |
| 3,841 | | Seagen, Inc.(a) | | 777,687 | |
| | | | | 1,745,101 | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 4
Portfolio of Investments (continued)March 31, 2023 (Unaudited)
Mohr Growth ETF
| | | | | | |
| Shares | | | | Fair Value ($) | |
| Industrials — 0.8% | | | |
| 3,656 | | FedEx Corp. | | 835,359 | |
| | | 835,359 | |
| Information Technology — 4.7% | | | |
| 16,961 | | Daqo New Energy Corp., ADR(a) | | 794,453 | |
| 72,343 | | Fastly, Inc., Class A(a) | | 1,284,812 | |
| 6,917 | | Fiserv, Inc.(a) | | 781,828 | |
| 69,883 | | Kratos Defense & Security Solutions, Inc.(a) | 942,023 | |
| 1,421 | | Monolithic Power Systems, Inc. | | 711,267 | |
| 8,632 | | Okta, Inc.(a) | | 744,424 | |
| | | | | 5,258,807 | |
| Utilities — 0.7% | | | |
| 18,286 | | Exelon Corp. | | 766,001 | |
| Total Common Stocks (Cost $15,226,546) | | 15,626,417 | |
| | | | | | |
| Exchange-Traded Funds — 56.9% | | | |
| 10,141 | | Invesco S&P MidCap Momentum ETF | | 765,646 | |
| 5,685 | | iShares MSCI USA Momentum
Factor ETF | | 790,442 | |
| 5,950 | | iShares Russell Top 200 Growth ETF | | 826,634 | |
| 20,942 | | JPMorgan US Quality Factor ETF | | 863,439 | |
| 195 | | Nuveen ESG Large-Cap Growth ETF | | 10,869 | |
| 624,023 | | SPDR Bloomberg 1-3 Month T-Bill ETF(b) | | 57,297,792 | |
| 6,032 | | Technology Select Sector SPDR
Fund ETF | | 910,892 | |
| 2,237 | | Vanguard Information Technology ETF | | 862,296 | |
| 3,690 | | Vanguard Small-Cap Growth ETF | | 798,553 | |
| | | | | 63,126,563 | |
| Total Exchange-Traded Funds (Cost $62,903,306) | | 63,126,563 | |
| | | | |
| Total Investments — 71.0% (Cost $78,129,852) | | 78,752,980 | |
| Other Assets in Excess of Liabilities — 29.0% | | 32,139,795 | |
| Net Assets — 100.0% | | 110,892,775 | |
(a) Non-income producing security.
(b) As of March 31, 2023, investment is 51.67% of the Fund’s net assets. See Note 7 in the Notes to Financial Statements.
ADR — American Depositary Receipt
ETF — Exchange-Traded Fund
S&P — Standard and Poor’s
SPDR — Standard & Poor’s Depositary Receipts
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 5
Portfolio of InvestmentsMarch 31, 2023 (Unaudited)
Mindful Conservative ETF
| | |
Portfolio of Investments Summary Table | | Percentage
of Total Investments (%) |
Exchange-Traded Funds | | 100.0 |
Total | | 100.0 |
Portfolio holdings and allocations are subject to change. As of March 31, 2023, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund’s total net assets.
Portfolio of Investments
| | | | | | |
| Shares | | | | Fair Value ($) | |
| Exchange-Traded Funds — 98.8% | | | |
| 277,085 | | Goldman Sachs Access Treasury 0-1 Year ETF(a) | | 27,747,292 | |
| 56,240 | | Invesco Balanced Multi-Asset
Allocation ETF | | 836,531 | |
| 67,834 | | Invesco Preferred ETF | | 778,734 | |
| 20,997 | | iShares Core Moderate Allocation ETF | | 836,940 | |
| 8,139 | | iShares Core U.S. Aggregate Bond ETF | | 810,970 | |
| 6,789 | | iShares MSCI USA Quality Factor ETF | | 842,277 | |
| 7,631 | | iShares TIPS Bond ETF | | 841,318 | |
| 34,639 | | iShares US Treasury Bond ETF | | 809,860 | |
| 302,110 | | SPDR Bloomberg 1-3 Month T-Bill ETF(b) | | 27,739,740 | |
| 21,416 | | SPDR SSGA Global Allocation ETF | | 837,070 | |
| 29,125 | | SPDR SSGA Multi-Asset Real Return ETF | | 803,268 | |
| 10,481 | | Vanguard Intermediate-Term Bond ETF | | 804,312 | |
| 14,059 | | Vanguard Intermediate-Term
Treasury ETF | | 842,978 | |
| 12,757 | | Vanguard Long-Term Treasury ETF | | 835,711 | |
| 4,092 | | Vanguard Mega Cap Growth ETF | | 836,855 | |
| 10,619 | | Vanguard Short-Term Bond ETF | | 812,247 | |
| 532,694 | | WisdomTree Floating Rate
Treasury Fund(c) | | 26,778,527 | |
| | | | | 93,794,630 | |
| Total Exchange-Traded Funds (Cost $93,654,659) | | 93,794,630 | |
| | | | |
| Total Investments — 98.8% (Cost $93,654,659) | | 93,794,630 | |
| Other Assets in Excess of Liabilities — 1.2% | | 1,114,315 | |
| Net Assets — 100.0% | | 94,908,945 | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 6
Portfolio of Investments (continued)March 31, 2023 (Unaudited)
Mindful Conservative ETF
(a) As of March 31, 2023, investment is 29.24% of the Fund’s net assets. See Note 7 in the Notes to Financial Statements.
(b) As of March 31, 2023, investment is 29.23% of the Fund’s net assets. See Note 7 in the Notes to Financial Statements.
(c) As of March 31, 2023, investment is 28.21% of the Fund’s net assets. See Note 7 in the Notes to Financial Statements.
ETF — Exchange-Traded Fund
SPDR — Standard & Poor’s Depositary Receipts
TIPS — Treasury Inflation-Protected Security
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 7
Portfolio of InvestmentsMarch 31, 2023 (Unaudited)
Adaptive Core ETF
| | |
Portfolio of Investments Summary Table | | Percentage
of Total Investments (%) |
Consumer Discretionary | | 1.3 |
Consumer Staples | | 1.3 |
Financials | | 0.6 |
Health Care | | 3.5 |
Industrials | | 1.2 |
Information Technology | | 0.7 |
Materials | | 0.7 |
Utilities | | 1.3 |
Exchange-Traded Funds | | 89.4 |
Total | | 100.0 |
Portfolio holdings and allocations are subject to change. As of March 31, 2023, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund’s total net assets.
Portfolio of Investments
| | | | | | |
| Shares | | | | Fair Value ($) | |
| Common Stocks — 7.0% | | | |
| Consumer Discretionary — 0.8% | | | |
| 554 | | Chemed Corp. | | 297,913 | |
| 2,958 | | Thor Industries, Inc. | | 235,575 | |
| | | | | 533,488 | |
| Consumer Staples — 0.9% | | | |
| 2,488 | | Ingredion, Inc. | | 253,104 | |
| 2,029 | | Procter & Gamble Co. (The) | | 301,692 | |
| | | | | 554,796 | |
| Financials — 0.4% | | | |
| 2,857 | | Ensign Group, Inc. (The), 0.23% | | 272,958 | |
| | | | | 272,958 | |
| Health Care — 2.3% | | | |
| 909 | | Domino’s Pizza, Inc. | | 299,852 | |
| 1,965 | | Quest Diagnostics, Inc. | | 278,008 | |
| 1,064 | | Stryker Corp. | | 303,740 | |
| 890 | | West Pharmaceutical Services, Inc. | | 308,358 | |
| 1,669 | | Zoetis, Inc. | | 277,789 | |
| | | | | 1,467,747 | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 8
Portfolio of Investments (continued)March 31, 2023 (Unaudited)
Adaptive Core ETF
| | | | | | |
| Shares | | | | Fair Value ($) | |
| Industrials — 0.8% | | | |
| 2,145 | | Expeditors International of
Washington, Inc. | | 236,207 | |
| 8,810 | | Hilltop Holdings, Inc. | | 261,393 | |
| | | | | 497,600 | |
| Information Technology — 0.5% | | | |
| 3,596 | | Microchip Technology, Inc., 1.51% | | 301,273 | |
| | | | | 301,273 | |
| Materials — 0.5% | | | |
| 6,290 | | Newmont Corp., 4.49% | | 308,336 | |
| | | | | 308,336 | |
| Utilities — 0.8% | | | |
| 5,324 | | New Jersey Resources Corp. | | 283,237 | |
| 4,478 | | NorthWestern Corp. | | 259,097 | |
| | | | | 542,334 | |
| Total Common Stocks (Cost $4,479,939) | | 4,478,532 | |
| | | | | | |
| Exchange-Traded Funds — 58.7% | | | |
| 5,176 | | Consumer Discretionary Select Sector SPDR Fund ETF | | 774,019 | |
| 8,086 | | iShares 0-5 Year TIPS Bond ETF | | 802,374 | |
| 22,121 | | iShares Core Conservative Allocation ETF | | 773,350 | |
| 8,347 | | PIMCO Enhanced Low Duration Active Exchange-Traded Fund | | 792,005 | |
| 8,992 | | ProShares S&P 500 Dividend Aristocrats ETF | | 820,430 | |
| 358,595 | | SPDR Bloomberg 1-3 Month T-Bill ETF(a) | | 32,926,193 | |
| 13,300 | | Vanguard Short-Term Treasury ETF | | 778,582 | |
| | | | | 37,666,953 | |
| Total Exchange-Traded Funds (Cost $37,557,765) | | 37,666,953 | |
| | | | |
| Total Investments — 65.7% (Cost $42,037,704) | | 42,145,485 | |
| Other Assets in Excess of Liabilities — 34.3% | | 22,009,651 | |
| Net Assets — 100.0% | | 64,155,136 | |
(a) As of March 31, 2023, investment is 51.32% of the Fund’s net assets. See Note 7 in the Notes to Financial Statements.
ETF — Exchange-Traded Fund
S&P — Standard and Poor’s
SPDR — Standard & Poor’s Depositary Receipts
TIPS — Treasury Inflation-Protected Security
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 9
Portfolio of InvestmentsMarch 31, 2023 (Unaudited)
Mohr Sector Nav ETF
| | |
Portfolio of Investments Summary Table | | Percentage of
Fair Value (%) |
Exchange-Traded Funds | | 100.0 |
Total | | 100.0 |
Portfolio holdings and allocations are subject to change. As of March 31, 2023, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund’s total net assets.
Portfolio of Investments
| | | | | | |
| Shares | | | | Fair Value ($) | |
| Exchange-Traded Funds — 98.6% | | | |
| 27,740 | | Energy Select Sector SPDR Fund ETF | | 2,297,704 | |
| 23,746 | | Industrial Select Sector SPDR Fund ETF | | 2,402,620 | |
| 30,667 | | Materials Select Sector SPDR Fund ETF | | 2,473,600 | |
| 23,040 | | SPDR S&P 500 ETF Trust(a) | | 9,432,347 | |
| 18,312 | | Technology Select Sector SPDR
Fund ETF | | 2,765,295 | |
| 9,317 | | Vanguard Consumer Discretionary ETF | | 2,353,008 | |
| 11,518 | | Vanguard Consumer Staples ETF | | 2,228,963 | |
| 7,080 | | Vanguard Information Technology ETF | | 2,729,128 | |
| | | | | 26,682,665 | |
| Total Exchange-Traded Funds (Cost $25,923,274) | | 26,682,665 | |
| | | | |
| Total Investments — 98.6% (Cost $25,923,274) | | 26,682,665 | |
| Other Assets in Excess of Liabilities — 1.4% | | 365,220 | |
| Net Assets — 100.0% | | 27,047,885 | |
(a) As of March 31, 2023, investment is 34.87% of the Fund’s net assets. See Note 7 in the Notes to Financial Statements.
ETF — Exchange-Traded Fund
S&P — Standard and Poor’s
SPDR — Standard & Poor’s Depositary Receipts
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 10
Statements of Assets and LiabilitiesMarch 31, 2023 (Unaudited)
| | | | | | | |
| | Mohr
Growth
ETF | | Mindful Conservative ETF | | Adaptive
Core
ETF |
Assets: | | | | | | | |
Investments, at value (Cost $78,129,852, $93,654,659, and $42,037,704) | | $78,752,980 | | $93,794,630 | | $42,145,485 | |
Cash | | 32,230,071 | | 1,187,922 | | 22,058,928 | |
Dividends and interest receivable | | 1,421 | | — | | 4,658 | |
Receivable for investments sold | | 855,367 | | — | | — | |
Prepaid expenses and other assets | 9,091 | | 11,693 | | 7,346 | |
Total Assets | | 111,848,930 | | 94,994,245 | | 64,216,417 | |
Liabilities: | | | | | | | |
Payable for investments purchased | 859,422 | | — | | — | |
Accrued expenses: | | | | | | | |
24F-2 fees | | 300 | | 475 | | 253 | |
Advisory | | 66,346 | | 56,359 | | 38,347 | |
Administration | | 10,859 | | 9,662 | | 6,334 | |
Compliance services | | 1 | | 1 | | 1 | |
Custodian | | 197 | | 100 | | 358 | |
Fund accounting | | 6,913 | | 5,903 | | 4,136 | |
Legal and audit | | 7,819 | | 9,089 | | 9,120 | |
Printing | | 473 | | 582 | | 605 | |
Trustee | | 3,825 | | 3,129 | | 2,127 | |
Total Liabilities | | 956,155 | | 85,300 | | 61,281 | |
Net Assets | | $110,892,775 | | $94,908,945 | | $64,155,136 | |
Net Assets consist of: | | | | | | | |
Paid-in Capital | | $126,708,101 | | $97,826,180 | | $72,562,308 | |
Total Distributable Earnings (Accumulated Deficit) | | (15,815,326 | ) | (2,917,235 | ) | (8,407,172 | ) |
Net Assets | | $110,892,775 | | $94,908,945 | | $64,155,136 | |
| | | | | | | |
Net Assets: | | $110,892,775 | | $94,908,945 | | $64,155,136 | |
Shares of Beneficial Interest Outstanding (unlimited number of shares authorized,
no par value): | | 5,700,000 | | 4,400,000 | | 3,300,000 | |
Net Asset Value (offering and redemption price per share): | | $19.45 | | $21.57 | | $19.44 | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 11
Statements of Assets and Liabilities (continued)March 31, 2023 (Unaudited)
| | | |
| | Mohr Sector Nav ETF |
Assets: | | | |
Investments, at value (Cost $25,923,274) | | $26,682,665 | |
Cash | | 355,428 | |
Dividends and interest receivable | | 26,556 | |
Prepaid expenses and other assets | | 4,370 | |
Total Assets | | 27,069,019 | |
Liabilities: | | | |
Accrued expenses: | | | |
24F-2 fees | | 228 | |
Advisory | | 13,511 | |
Administration | | 2,316 | |
Compliance services | | 421 | |
Custodian | | 526 | |
Fund accounting | | 1,957 | |
Legal and audit | | 1,080 | |
Trustee | | 1,095 | |
Total Liabilities | | 21,134 | |
Net Assets | | $27,047,885 | |
Net Assets consist of: | | | |
Paid-in Capital | | $26,593,222 | |
Total Distributable Earnings (Accumulated Deficit) | | 454,663 | |
Net Assets | | $27,047,885 | |
| | | |
Net Assets: | | $27,047,885 | |
Shares of Beneficial Interest Outstanding (unlimited number of shares authorized, no par value): | | 1,075,000 | |
Net Asset Value (offering and redemption price per share): | | $25.16 | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 12
Statements of OperationsMarch 31, 2023 (Unaudited)
| | | | | | | |
| | Mohr Growth ETF | | Mindful Conservative ETF | | Adaptive Core ETF |
Investment Income: | | | | | | | |
Dividend income | | $1,034,193 | | $1,622,638 | | $599,304 | |
Total Investment Income | | 1,034,193 | | 1,622,638 | | 599,304 | |
Expenses: | | | | | | | |
Advisory | | 419,562 | | 331,834 | | 241,294 | |
Administration | | 71,925 | | 56,886 | | 41,365 | |
Compliance services | | 4,501 | | 4,501 | | 4,501 | |
Custodian | | 73 | | 441 | | 296 | |
Fund accounting | | 25,424 | | 22,156 | | 19,730 | |
Legal and audit | | 14,470 | | 11,423 | | 11,423 | |
Printing | | 1,868 | | 1,839 | | 1,841 | |
Treasurer | | 3,000 | | 2,375 | | 2,250 | |
Trustee | | 7,225 | | 6,530 | | 5,127 | |
Other | | 8,647 | | 7,922 | | 7,606 | |
Total Net Expenses | | 556,695 | | 445,907 | | 335,433 | |
Net Investment Income (Loss) | | 477,498 | | 1,176,731 | | 263,871 | |
Realized and Unrealized Gains (Losses) from Investments: | | | | | | | |
Net realized gains (losses) from investment transactions | | (2,884,554 | ) | (369,816 | ) | (958,712 | ) |
Net realized gains (losses) from in-kind transactions | | (59,846 | ) | (14,066 | ) | (8,953 | ) |
Change in unrealized appreciation (depreciation) on investments | | 1,686,878 | | 178,271 | | 746,512 | |
Net Realized and Unrealized Gains (Losses) from Investments: | | (1,257,522 | ) | (205,611 | ) | (221,153 | ) |
Change in Net Assets Resulting From Operations | | $(780,024 | ) | $971,120 | | $42,718 | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 13
Statements of Operations (continued)March 31, 2023 (Unaudited)
| | | |
| | Mohr Sector Nav ETF(a) |
Investment Income: | | | |
Dividend income | | $93,842 | |
Total Investment Income | | 93,842 | |
Expenses: | | | |
Advisory | | 31,207 | |
Administration | | 5,350 | |
Compliance services | | 1,921 | |
Custodian | | 526 | |
Fund accounting | | 4,647 | |
Legal and audit | | 9,239 | |
Printing | | 1,879 | |
Treasurer | | 675 | |
Trustee | | 1,095 | |
Other | | 2,393 | |
Total Net Expenses | | 58,932 | |
Net Investment Income (Loss) | | 34,910 | |
Realized and Unrealized Gains (Losses) from Investments: | | | |
Net realized gains (losses) from investment transactions | | (523,670 | ) |
Net realized gains (losses) from in-kind transactions | | 184,032 | |
Change in unrealized appreciation (depreciation) on investments | | 759,391 | |
Net Realized and Unrealized Gains (Losses) from Investments: | | 419,753 | |
Change in Net Assets Resulting From Operations | | $454,663 | |
(a) For the period from the commencement of operations on January 10, 2023 through March 31, 2023.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 14
Statements of Changes in Net Assets
| | | | | | | | | |
| | Mohr Growth ETF | | Mindful Conservative ETF |
| | Six Months
Ended
March 31,
2023
(Unaudited) | | For the period
November 2, 2021(a)
through
September 30, 2022 | | Six Months
Ended
March 31,
2023
(Unaudited) | | For the period
November 2, 2021(a)
through
September 30, 2022 |
From Investment
Activities: | | | | | | | | | |
Operations: | | | | | | | | | |
Net investment
income (loss) | | $477,498 | | $(208,708 | ) | $1,176,731 | | $(180,410 | ) |
Net realized gains (losses) from investment and in-kind transactions | | (2,944,400 | ) | (13,790,847 | ) | (383,882 | ) | (3,393,924 | ) |
Change in unrealized appreciation (depreciation) on investments | | 1,686,878 | | (1,063,750 | ) | 178,271 | | (38,300 | ) |
Change in net assets resulting from operations | | (780,024 | ) | (15,063,305 | ) | 971,120 | | (3,612,634 | ) |
Distributions to
Shareholders From: | | | | | | | | | |
Earnings | | — | | — | | (284,819 | ) | — | |
Change in net assets from distributions | | — | | — | | (284,819 | ) | — | |
Capital Transactions: | | | | | | | | | |
Proceeds from shares issued | | 26,884,002 | | 138,969,589 | | 29,006,264 | | 108,012,107 | |
Cost of shares
redeemed | | (34,131,242 | ) | (4,986,245 | ) | (30,595,221 | ) | (8,587,872 | ) |
Change in net assets from capital
transactions | | (7,247,240 | ) | 133,983,344 | | (1,588,957 | ) | 99,424,235 | |
Change in net assets | | (8,027,264 | ) | 118,920,039 | | (902,656 | ) | 95,811,601 | |
Net Assets: | | | | | | | | | |
Beginning of period | | 118,920,039 | | — | | 95,811,601 | | — | |
End of period | | $110,892,775 | | $118,920,039 | | $94,908,945 | | $95,811,601 | |
Share Transactions: | | | | | | | | | |
Issued | | 1,375,000 | | 6,325,000 | | 1,350,000 | | 4,875,000 | |
Redeemed | | (1,750,000 | ) | (250,000 | ) | (1,425,000 | ) | (400,000 | ) |
Change in shares | | (375,000 | ) | 6,075,000 | | (75,000 | ) | 4,475,000 | |
(a) Commencement of operations.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 15
Statements of Changes in Net Assets (continued)March 31, 2023 (Unaudited)
| | | | | | | |
| | Adaptive Core ETF | | Mohr Sector Nav ETF |
| | Six Months
Ended
March 31,
2023
(Unaudited) | | For the period
November 2, 2021(a)
through
September 30, 2022 | | For the period
January 10, 2023(a)
through
March 31, 2023 (Unaudited) |
From Investment Activities: | | | | | | | |
Operations: | | | | | | | |
Net investment income (loss) | | $263,871 | | $(72,570 | ) | $34,910 | |
Net realized gains (losses) from
investment and in-kind transactions | | (967,665 | ) | (7,746,415 | ) | (339,638 | ) |
Change in unrealized appreciation (depreciation) on investments | | 746,512 | | (638,731 | ) | 759,391 | |
Change in net assets resulting from operations | | 42,718 | | (8,457,716 | ) | 454,663 | |
Distributions to Shareholders From: | | | | | | | |
Earnings | | (5,848 | ) | — | | — | |
Change in net assets from distributions | | (5,848 | ) | — | | — | |
Capital Transactions: | | | | | | | |
Proceeds from shares issued | | 19,046,170 | | 84,467,679 | | 31,108,039 | |
Cost of shares redeemed | | (24,391,218 | ) | (6,546,649 | ) | (4,514,817 | ) |
Change in net assets from
capital transactions | | (5,345,048 | ) | 77,921,030 | | 26,593,222 | |
Change in net assets | | (5,308,178 | ) | 69,463,314 | | 27,047,885 | |
Net Assets: | | | | | | | |
Beginning of period | | 69,463,314 | | — | | — | |
End of period | | $64,155,136 | | $69,463,314 | | $27,047,885 | |
Share Transactions: | | | | | | | |
Issued | | 975,000 | | 3,900,000 | | 1,250,000 | |
Redeemed | | (1,250,000 | ) | (325,000 | ) | (175,000 | ) |
Change in shares | | (275,000 | ) | 3,575,000 | | 1,075,000 | |
(a) Commencement of operations.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 16
| | | | |
Mohr Growth ETF | Six Months Ended
March 31, 2023
(Unaudited) | | November 2, 2021(a)
through
September 30, 2022 |
Net Asset Value, Beginning of Period | $19.58 | | $25.00 | |
| | | | |
Net Investment Income (Loss)(b) | 0.08 | | (0.08) | |
Net Realized and Unrealized Gains (Losses) on Investments | (0.21 | ) | (5.34 | ) |
Total from Investment Activities | (0.13 | ) | (5.42 | ) |
| | | | |
Distributions from Net Investment Income | — | | — | |
Distributions from Net Realized Gains
on Investments | — | | — | |
Total Distributions | — | | — | |
| | | | |
Net Asset Value, End of Period | $19.45 | | $19.58 | |
Net Assets at End of Period (000’s) | $110,893 | | $118,920 | |
| | | | |
Total Return at NAV(c)(d) | (0.62)% | | (21.70)% | |
Total Return at Market(d)(e) | (0.66)% | | (21.68)% | |
| | | | |
Ratio of Operating Expenses to Average
Net Assets(f)(g) | 0.93% | | 1.02% | |
Ratio of Net Investment Income (Loss) to Average Net Assets(f)(h) | 0.80% | | (0.40)% | |
Portfolio Turnover(d)(i) | 50% | | 1,223% | |
(a) Commencement of operations.
(b) Calculated based on average shares method.
(c) Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at net asset value. This percentage is not an indication of the performance of a shareholder’s investment in the Fund based on market value due to differences between the market price of the shares and the net asset value per share of the Fund.
(d) Not annualized for periods less than one year.
(e) Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price from any primary listing market (e.g., Cboe BZX) or participating regional exchanges or markets. The composite closing price is the last reported sale price from any of the eligible sources, regardless of volume and not an average price and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund’s closing price on the listing market.
(f) Annualized for periods less than one year.
(g) Excludes expenses of the investment companies in which the Fund invests.
(h) Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the underlying investment companies.
(i) Excludes the impact of in-kind transactions.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 17
Financial Highlights (continued)
| | | | |
Mindful Conservative ETF | Six Months Ended
March 31, 2023
(Unaudited) | | November 2, 2021(a)
through
September 30, 2022 |
Net Asset Value, Beginning of Period | $21.41 | | $25.00 | |
| | | | |
Net Investment Income (Loss)(b) | 0.27 | | (0.09) | |
Net Realized and Unrealized Gains (Losses) on Investments | (0.05 | ) | (3.50 | ) |
Total from Investment Activities | 0.22 | | (3.59 | ) |
| | | | |
Distributions from Net Investment Income | (0.06 | ) | — | |
Distributions from Net Realized Gains on Investments | — | | — | |
Total Distributions | (0.06 | ) | — | |
| | | | |
Net Asset Value, End of Period | $21.57 | | $21.41 | |
Net Assets at End of Period (000’s) | $94,909 | | $95,812 | |
| | | | |
Total Return at NAV(c)(d) | 1.04% | | (14.36)% | |
Total Return at Market(d)(e) | 0.90% | | (14.32)% | |
| | | | |
Ratio of Operating Expenses to Average
Net Assets(f)(g) | 0.94% | | 1.05% | |
Ratio of Net Investment Income (Loss) to Average Net Assets(f)(h) | 2.48% | | (0.47)% | |
Portfolio Turnover(d)(i) | 36% | | 665% | |
(a) Commencement of operations.
(b) Calculated based on average shares method.
(c) Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at net asset value. This percentage is not an indication of the performance of a shareholder’s investment in the Fund based on market value due to differences between the market price of the shares and the net asset value per share of the Fund.
(d) Not annualized for periods less than one year.
(e) Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price from any primary listing market (e.g., Cboe BZX) or participating regional exchanges or markets. The composite closing price is the last reported sale price from any of the eligible sources, regardless of volume and not an average price and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund’s closing price on the listing market.
(f) Annualized for periods less than one year.
(g) Excludes expenses of the investment companies in which the Fund invests.
(h) Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the underlying investment companies.
(i) Excludes the impact of in-kind transactions.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 18
Financial Highlights (continued)
| | | | |
Adaptive Core ETF | Six Months Ended
March 31, 2023
(Unaudited) | | November 2, 2021(a)
through
September 30, 2022 |
Net Asset Value, Beginning of Period | $19.43 | | $25.00 | |
| | | | |
Net Investment Income (Loss)(b) | 0.07 | | (0.04 | ) |
Net Realized and Unrealized Gains (Losses) on Investments | (0.06 | ) | (5.53 | ) |
Total from Investment Activities | 0.01 | | (5.57 | ) |
| | | | |
Distributions from Net Investment Income | 0.00 | (c) | — | |
Distributions from Net Realized Gains on Investments | — | | — | |
Total Distributions | 0.00 | | — | |
| | | | |
Net Asset Value, End of Period | $19.44 | | $19.43 | |
Net Assets at End of Period (000’s) | $64,155 | | $69,463 | |
| | | | |
Total Return at NAV(d)(e) | 0.06% | | (22.28)% | |
Total Return at Market(e)(f) | 0.06% | | (22.28)% | |
| | | | |
Ratio of Operating Expenses to Average
Net Assets(g)(h) | 0.97% | | 1.09% | |
Ratio of Net Investment Income (Loss) to Average Net Assets(g)(i) | 0.77% | | (0.23)% | |
Portfolio Turnover(e)(j) | 45% | | 1,180% | |
(a) Commencement of operations.
(b) Calculated based on average shares method.
(c) Amount is less than $0.005.
(d) Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at net asset value. This percentage is not an indication of the performance of a shareholder’s investment in the Fund based on market value due to differences between the market price of the shares and the net asset value per share of the Fund.
(e) Not annualized for periods less than one year.
(f) Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price from any primary listing market (e.g., Cboe BZX) or participating regional exchanges or markets. The composite closing price is the last reported sale price from any of the eligible sources, regardless of volume and not an average price and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund’s closing price on the listing market.
(g) Annualized for periods less than one year.
(h) Excludes expenses of the investment companies in which the Fund invests.
(i) Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the underlying investment companies.
(j) Excludes the impact of in-kind transactions.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 19
Financial Highlights (continued)
| | |
Mohr Sector Nav ETF | January 10, 2023(a)
through
March 31, 2023
(Unaudited) |
Net Asset Value, Beginning of Period | $25.00 | |
| | |
Net Investment Income (Loss)(b) | 0.04 | |
Net Realized and Unrealized Gains (Losses) on Investments | 0.12 | |
Total from Investment Activities | 0.16 | |
| | |
Distributions from Net Investment Income | — | |
Distributions from Net Realized Gains on Investments | — | |
Total Distributions | — | |
| | |
Net Asset Value, End of Period | $25.16 | |
Net Assets at End of Period (000’s) | $27,048 | |
| | |
Total Return at NAV(c)(d) | 0.64% | |
Total Return at Market(d)(e) | 0.64% | |
| | |
Ratio of Operating Expenses to Average Net Assets(f)(g) | 1.30% | |
Ratio of Net Investment Income (Loss) to Average Net Assets(f)(h) | 0.77% | |
Portfolio Turnover(d)(i) | 201% | |
(a) Commencement of operations.
(b) Calculated based on average shares method.
(c) Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at net asset value. This percentage is not an indication of the performance of a shareholder’s investment in the Fund based on market value due to differences between the market price of the shares and the net asset value per share of the Fund.
(d) Not annualized for periods less than one year.
(e) Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price from any primary listing market (e.g., Cboe BZX) or participating regional exchanges or markets. The composite closing price is the last reported sale price from any of the eligible sources, regardless of volume and not an average price and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund’s closing price on the listing market.
(f) Annualized for periods less than one year.
(g) Excludes expenses of the investment companies in which the Fund invests.
(h) Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the underlying
(i) Excludes the impact of in-kind transactions.
Semi-Annual Shareholder Report | 20
Notes to Financial StatementsMarch 31, 2023 (Unaudited)
(1) Organization
Collaborative Investment Series Trust (the “Trust”) was organized on July 26, 2017 as a Delaware statutory trust. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”) as an open-end management investment company and thus is determined to be an investment company for accounting purposes. The Trust is comprised of several funds and is authorized to issue an unlimited number of shares of beneficial interest (“Shares”) in one or more series representing interests in separate portfolios of securities. The accompanying financial statements are those of Mohr Growth ETF, Mindful Conservative ETF, Adaptive Core ETF, and Mohr Sector Nav ETF (each a “Fund” and collectively, the “Funds”). The Funds are diversified actively-managed exchange-traded funds. The Funds’ prospectus provides a description of the Funds’ investment objectives, policies, and strategies. The assets of the Funds are segregated and a shareholder’s interest is limited to the Fund in which shares are held. The Mohr Sector Nav ETF commenced operations on January 10, 2023.
Under the Trust’s organizational documents, its officers and Board of Trustees (the “Board”) are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Trust may enter into contracts with vendors and others that provide for general indemnifications. The Trust’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust. However, based on experience, the Trust expects that risk of loss to be remote.
(2) Significant Accounting Policies
Shares of the Funds are listed and traded on the Cboe BZX Exchange, Inc. (“Cboe”). Market prices for the Shares may be different from their net asset value (“NAV”). The Funds issue and redeem Shares on a continuous basis at NAV only in large blocks of Shares, currently 25,000 Shares, called Creation Units (“Creation Units”). Creation Units are issued and redeemed principally in-kind for securities included in a specified universe. Once created, Shares generally trade in the secondary market at market prices that change throughout the day in amounts less than a Creation Unit. Shares of each Fund may only be purchased or redeemed by certain financial institutions (“Authorized Participants”). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with ACA Foreside (the “Distributor”). Most retail investors do not qualify as Authorized Participants nor have the resources to buy and sell whole Creation Units. Therefore, they are unable to purchase or redeem the shares directly from the Funds.
Semi-Annual Shareholder Report | 21
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services – Investment Companies”. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.
A. Investment Valuations
The Funds hold investments at fair value. Fair value is defined as the price that would be expected to be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The valuation techniques used to determine fair value are further described below.
Security values are ordinarily obtained through the use of independent pricing services in accordance with Rule 2a-5 under the 1940 Act pursuant to procedures adopted by the Board. Pursuant to these procedures, the Funds may use a pricing service, bank, or broker-dealer experienced in such matters to value the Funds’ securities. When reliable market quotations are not readily available for any security, the fair value of that security will be determined by a committee established by the Board in accordance with Rule 2a-5 under the 1940 Act pursuant to procedures adopted by the Board. The fair valuation process is designed to value the subject security at the price the Funds would reasonably expect to receive upon its current sale. Additional consideration is given to securities that have experienced a decrease in the volume or level of activity or to circumstances that indicate that a transaction is not orderly.
The Trust uses a three-tier fair value hierarchy that is dependent upon the various “inputs” used to determine the value of the Funds’ investments. The valuation techniques described below maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. These inputs are summarized in the three broad levels listed below:
• Level 1 - Quoted prices in active markets for identical assets that the Funds have the ability to access.
• Level 2 - Other observable pricing inputs at the measurement date (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
• Level 3 - Significant unobservable pricing inputs at the measurement date (including the Funds’ own assumptions in determining the fair value of investments).
Semi-Annual Shareholder Report | 22
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.
Common stocks and exchange-traded funds (“ETFs”) traded on a recognized securities exchange are valued at that day’s last traded price or official closing price, as applicable, on the exchange where the fund is primarily traded. Funds traded on a recognized exchange for which there were no sales on that day may be valued at the last traded price. In each of these situations, valuations are typically categorized as Level 1 in the fair value hierarchy.
The Funds did not hold any Level 2 or Level 3 investments as of March 31, 2023.
The following table summarizes the Funds’ investments, based on their valuation inputs, as of March 31, 2023, while the breakdown, by category, of investments is disclosed in the Portfolio of Investments for the Funds:
| | | |
| Level 1 | | Total Investments |
Mohr Growth ETF | | | |
Common Stocks(a) | $15,626,417 | | $15,626,417 |
Exchange-Traded Funds | 63,126,563 | | 63,126,563 |
Total Investments | $78,752,980 | | $78,752,980 |
| | | |
Mindful Conservative ETF | | | |
Exchange-Traded Funds | $93,794,630 | | $93,794,630 |
Total Investments | $93,794,630 | | $93,794,630 |
| | | |
Adaptive Core ETF | | | |
Common Stocks(a) | $4,478,532 | | $4,478,532 |
Exchange-Traded Funds | 37,666,953 | | 37,666,953 |
Total Investments | $42,145,485 | | $42,145,485 |
| | | |
Mohr Sector Nav ETF | | | |
Exchange-Traded Funds | $26,682,665 | | $26,682,665 |
Total Investments | $26,682,665 | | $26,682,665 |
(a) Please see the Portfolio of Investments for industry classifications.
B. Security Transactions and Related Income
Investment transactions are accounted for no later than the first calculation of the NAV on the business day following the trade date. For financial reporting purposes, however, security transactions are accounted for on the trade date on the last business day of the reporting period. Securities’ gains and losses are calculated on the identified cost basis. Interest income and expenses are accrued daily. Dividends and dividend expense, less foreign tax withholding, if
Semi-Annual Shareholder Report | 23
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
any, are recorded on the ex-dividend date. Investment income from non-U.S. sources received by the Funds are generally subject to non-U.S. withholding taxes at rates ranging up to 30%. Such withholding taxes may be reduced or eliminated under the terms of applicable U.S. income tax treaties. The Funds may be subject to foreign taxes on gains in investments or currency repatriation. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
The Funds may own shares of ETFs that may invest in real estate investments trusts (“REITs”) which report information on the source of their distributions annually. Distributions received from investments in REITs in excess of income from underlying investments are recorded as realized gain and/or as a reduction to the cost of the ETF.
C. Cash
Idle cash may be swept into various interest-bearing overnight demand deposits and is classified as cash on the Statements of Assets and Liabilities. The Funds maintain cash in bank deposit accounts which, at times, may exceed the United States federally insured limit of $250,000. Amounts swept overnight are available on the next business day.
D. Dividends and Distributions to Shareholders
Distributions are recorded on the ex-dividend date. The Funds intend to distribute to their shareholders net investment income and net realized capital gains, if any, at least annually. The amount of dividends from net investment income and net realized gains is determined in accordance with federal income tax regulations, which may differ from GAAP. These “book/tax” differences are considered either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., distributions and income received from pass-through investments), such amounts are reclassified within the capital accounts based on their nature for federal income tax purposes; temporary differences do not require reclassification.
The Funds may utilize earnings and profits distributed to shareholders on redemption of shares as part of the dividends paid deduction.
E. Allocation of Expenses
Expenses directly attributable to a fund are charged to that fund. Expenses not directly attributable to a fund are allocated proportionally among all Funds within the Trust in relation to the net assets of each fund or on another reasonable basis.
(3) Investment Advisory and Other Contractual Services
A. Investment Advisory Fees
Retireful, LLC (the “Advisor”), serves as the Funds’ investment advisor pursuant to an investment advisory agreement. Subject at all times to the oversight and
Semi-Annual Shareholder Report | 24
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
approval of the Board, the Advisor is responsible for the overall management of the Funds. The Funds pay the Advisor a management fee of 0.70% of each Fund’s average daily net assets, calculated daily and paid monthly.
Tuttle Capital Management, LLC (“Tuttle”) serves as subadvisor for the Funds and is paid for its services directly by the Advisor, not the Funds. Tuttle’s contractual fee is 0.15% of Mohr Growth ETF’s, Mindful Conservative ETF’s, and Adaptive Core ETF’s and .08% of Mohr Sector Nav ETF’s average daily net assets.
B. Administration, Custodian, Transfer Agent and Accounting Fees
Citi Fund Services Ohio, Inc. (“Citi”) serves as administrator, fund accountant, and dividend disbursing agent for the Funds pursuant to a Services Agreement. Citibank, N.A. serves as the custodian and transfer agent of the Funds pursuant to a Global Custodial and Agency Services Agreement.
Collaborative Fund Services LLC (“CFS”) provides the Funds with various management and legal administrative services. For these services, the Funds pay CFS an administrative fee that is computed daily and paid monthly, based on the aggregate daily net assets of each Fund and is subject to a minimum monthly fee.
C. Distribution and Shareholder Services Fees
ACA Foreside is the principal underwriter and distributor for the Funds’ Shares. The Distributor is compensated by the Advisor in accordance with a Distribution Services Agreement between the Advisor and the Distributor.
D. Compliance Services
Beacon Compliance Consulting provides compliance services to the Trust and receives a monthly fee paid by the Funds for these services.
E. Treasurer Fees
The Treasurer of the Trust receives a fee that is calculated monthly using each Fund’s net assets at month-end and is paid by the Funds on a quarterly basis. During the period ended March 31, 2023, the Funds paid a total of $8,300 to the Treasurer.
F. General
Certain trustees and officers of the Trust are officers, directors and/or trustees of the above companies and, except for the Treasurer, receive no compensation from the Funds for their services.
Semi-Annual Shareholder Report | 25
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
(4) Investment Transactions
Purchases and sales of investments, excluding in-kind transactions and short-term investments, for the period ended March 31, 2023 were as follows:
| | | | | |
| | Purchases | | Sales | |
Mohr Growth ETF | | $52,419,997 | | $34,208,989 | |
Mindful Conservative ETF | | 33,012,825 | | 34,228,209 | |
Adaptive Core ETF | | 25,227,365 | | 16,979,248 | |
Mohr Sector Nav ETF | | 40,578,822 | | 39,873,350 | |
Purchases and sales of in-kind transactions for the period ended March 31, 2023 were as follows:
| | | | | |
| | Purchases | | Sales | |
Mohr Growth ETF | | $14,027,407 | | $20,335,458 | |
Mindful Conservative ETF | | 27,033,864 | | 26,205,830 | |
Adaptive Core ETF | | 9,773,051 | | 13,659,374 | |
Mohr Sector Nav ETF | | 30,052,141 | | 4,494,701 | |
There were no purchases or sales of U.S. government securities during the period ended March 31, 2023.
(5) Capital Share Transactions
Shares are issued and redeemed by each Fund only in aggregations of a specified number of shares or multiples thereof at NAV. Except when aggregated in Creation Units, shares of each Fund are not redeemable. Transactions in shares for each Fund are disclosed in detail on the Statements of Changes in Net Assets.
The consideration for the purchase of Creation Units of a Fund generally consists of the in-kind deposit of a designated basket of securities, which constitutes an optimized representation of the securities of that Fund’s specified universe, and an amount of cash. Investors purchasing and redeeming Creation Units may be charged a transaction fee to cover the transfer and other transactional costs it incurs to issue or redeem Creation Units. The transaction fees for each Fund are listed below:
| | | | |
| | Fee for
In-Kind and Cash
Purchases | | Maximum
Additional
Variable
Charge for Cash
Purchases(a) |
Mohr Growth ETF | | $250 | | 2.00% |
Mindful Conservative ETF | | 250 | | 2.00% |
Adaptive Core ETF | | 250 | | 2.00% |
Mohr Sector NAV ETF | | 250 | | 2.00% |
(a) As a percentage of the amount invested.
Semi-Annual Shareholder Report | 26
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
From time to time, settlement of securities related to in-kind contributions or in-kind redemptions may be delayed. In such cases, securities related to in-kind transactions are reflected as a receivable or a payable on the Statements of Assets and Liabilities.
(6) Investment Risks
ETF Risk
The NAV of a Fund can fluctuate up or down, and you could lose money investing in the Fund if the prices of the securities owned by the Fund decline. In addition, a Fund may be subject to the following risks; (1) the market price of the Fund’s shares may trade above or below its NAV; (2) an active trading market for the Fund’s shares may not develop or be maintained; or (3) trading of the Fund’s shares may be halted if the listing exchange’s officials deem such action appropriate, the shares are delisted from the exchange, or the activation of market-wide “circuit breakers” (which are tied to large decreases in stock prices) halts stock trading generally.
Market and Geopolitical Risk
The increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region or financial market. Securities in the Funds may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, climate-change and climate-related events, pandemics, epidemics, terrorism, international conflicts, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years, such as terrorist attacks around the world, natural disasters, social and political discord or debt crises and downgrades, among others, may result in market volatility and may have long term effects on both the U.S. and global financial markets. It is difficult to predict when similar events affecting the U.S. or global financial markets may occur, the effects that such events may have and the duration of those effects. Any such event(s) could have a significant adverse impact on the value and risk profile of the Funds. The coronavirus (COVID-19) global pandemic and the aggressive responses taken by many governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines or similar restrictions, as well as the forced or voluntary closure of, or operational changes to, many retail and other businesses, had negative impacts, and in many cases severe negative impacts, on markets worldwide. It is not known how long such impacts, or any future impacts of other significant events described above, will or would last, but there could be a prolonged period of global economic slowdown, which may impact your investment. Therefore, the Funds could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns. During a general market downturn, multiple asset classes may be
Semi-Annual Shareholder Report | 27
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
negatively affected. Changes in market conditions and interest rates can have the same impact on all types of securities and instruments. In times of severe market disruptions, you could lose your entire investment.
(7) Concentration of Investments
As of March 31, 2023, the Mohr Growth ETF’s, Mindful Conservative ETF’s and Adaptive Core ETF’s investment in the SPDR Bloomberg 1-3 Month T-Bill ETF represented 51.67%, 29.23%, and 51.32% of each of the Fund’s net assets, respectively. The financial statements of the SPDR Bloomberg 1-3 Month T-Bill ETF can be found by accessing the Fund’s website at http://www.ssga.com. As of March 31, 2023, the Mindful Conservative ETF’s investment in Goldman Sachs Access Treasury 0-1 Year ETF and WisdomTree Floating Rate Treasury Fund represented 29.24% and 28.21% of the Fund’s net assets, respectively. The financial statements of the Goldman Sachs Access Treasury 0-1 Year ETF can be found by accessing the Fund’s website at http://www.gsam.com and the financial statements of the WisdomTree Floating Rate Treasury Fund can be found by accessing the Fund’s website at http://www.wisdomtree.com. As of March 31, 2023, the Mohr Sector Nav ETF’s investment in SPDR S&P 500 ETF Trust represented 34.87% of the Fund’s net assets, respectively. The financial statements of the SPDR S&P 500 ETF Trust can be found by accessing the fund’s website at http://www.ssga.com.
(8) Subsequent Events
Management of the Funds has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date these financial statements were issued. Based upon this evaluation, no additional disclosures or adjustments were required to the financial statements as of March 31, 2023.
Semi-Annual Shareholder Report | 28
Approval of Management AgreementMarch 31, 2023 (Unaudited)
October 14, 2022 Special Meeting
Retireful, LLC (“Retireful”) - Mohr Sector Nav ETF
Nature, Extent and Quality of Service. The Trustees noted that Retireful had over $800 million in assets under management as of September 1, 2022. The Board discussed the background information of Mr. Mohr, noting his education and financial industry experience. They discussed the adviser’s process and noted the role of Tuttle as the proposed sub-adviser to the Fund. They noted that the adviser would regularly monitor the Fund’s holdings to ensure compliance with its investment limitations, select the investments for Mohr Sector Nav ETF, and provide oversight of Tuttle. The Trustees further noted that there were no material compliance, regulatory or litigation issues reported during the previous two years. The Trustees concluded that they expected that the adviser would provide a high level of service to the Fund and its shareholders.
Performance. The Trustees noted that the backtested performance of the strategy to be used by the adviser for the Fund had outperformed its peer group average, Morningstar category average and index over all periods presented in the report. The Board concluded that the adviser had the potential to provide satisfactory performance for the Fund.
Fees and Expenses. The Trustees noted that the adviser’s annual fee with respect to Mohr Sector Nav ETF Fund was 0.70%, which was below the peer group average. They further observed that the net expense ratio of the Fund was estimated to be 0.98%, which was approximately in line with the peer group average and the Morningstar category average. The Trustees concluded the advisory fee was not unreasonable.
Economies of Scale. The Trustees noted that based on estimated assets over the initial two-year term of the investment advisory agreement, it was premature to make a determination about economies of scale. The Trustees agreed that the uncertainty of fund related expenses, as well as the adviser’s operational expenses, over a two-year period make meaningful negotiation of breakpoints impractical, and they appreciated the adviser’s willingness to discuss future breakpoints as Mohr Sector Nav ETF’s assets increase.
Conclusion. Having requested and received such information from Retireful as the Board believed to be reasonably necessary to evaluate the terms of the investment advisory agreement, and as assisted by the advice of independent counsel, the Board determined that approval of the approval of the advisory agreement was in the best interests of the Fund and its future shareholders.
Semi-Annual Shareholder Report | 29
Additional InformationMarch 31, 2023 (Unaudited)
PORTFOLIO HOLDINGS
The Funds file a complete schedule of investments with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-PORT. The Form N-PORT filing must be made within 60 days of the end of the quarter. These filings are available on the SEC’s web site at http://www.sec.gov. You may also obtain copies by calling the Fund at 1-866-464-6608, free of charge.
PREMIUM/DISCOUNT INFORMATION
The Funds’ website at http://www.mohrfunds.com shows the previous day’s closing NAV and closing market price for the Funds’ ETF Shares. The website also discloses, in the Premium/Discount section, how frequently the Funds’ ETF Shares traded at a premium or discount to NAV (based on closing NAVs and market prices) and the magnitudes of such premiums and discounts.
PROXY VOTING
The Funds’ proxy voting policies, procedures and voting records relating to common stock securities in each Fund’s investment portfolio are available without charge, upon request, by calling the Funds’ toll-free telephone number 1-866-464-6608. The Funds will send this information within three business days of receipt of the request, by first class mail or other means designed to ensure prompt delivery.
The Funds’ proxy information is also available on the SEC’s website at http://www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 is available without charge, upon request by calling 1-866-464-6608 or referring to the SEC’s web site at http://www.sec.gov.
Semi-Annual Shareholder Report | 30
PRIVACY NOTICE
COLLABORATIVE INVESTMENT SERIES TRUST
| |
FACTS | WHAT DOES THE COLLABORATIVE INVESTMENT SERIES TRUST DO WITH YOUR PERSONAL INFORMATION? |
| |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some, but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
| |
What? | The types of personal information we collect and share depends on the product or service that you have with us. This information can include: •Social Security number and wire transfer instructions •account transactions and transaction history •investment experience and purchase history When you are no longer our customer, we continue to share your information as described in this notice. |
| |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons the Collaborative Investment Series Trust chooses to share; and whether you can limit this sharing. |
| | |
Reasons we can share your personal information: | Do we share information? | Can you limit
sharing? |
For our everyday business purposes -
such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus. | YES | NO |
For our marketing purposes - to offer our products and services to you. | NO | We don’t share |
For joint marketing with other financial companies. | NO | We don’t share |
For our affiliates’ everyday business purposes - information about your transactions and records. | NO | We don’t share |
Sem-Annual Shareholder Report | 31
| | |
Reasons we can share your personal information: | Do we share information? | Can you limit
sharing? |
For our affiliates’ everyday business purposes - information about your credit worthiness. | NO | We don’t share |
For our affiliates to market to you | NO | We don’t share |
For non-affiliates to market to you | NO | We don’t share |
QUESTIONS? | Call 1-800-595-4866 |
| |
What we do: |
How does the Collaborative Investment Series Trust protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. Our service providers are held accountable for adhering to strict policies and procedures to prevent any misuse of your nonpublic personal information. |
How does the Collaborative Investment Series Trust collect my personal information? | We collect your personal information, for example, when you •open an account or deposit money •direct us to buy securities or direct us to sell your securities •seek advice about your investments We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only: •sharing for affiliates’ everyday business purposes – information about your creditworthiness. •affiliates from using your information to market to you. •sharing for nonaffiliates to market to you. State laws and individual companies may give you additional rights to limit sharing. |
Semi-Annual Shareholder Report | 32
| |
Definitions |
Affiliates | Companies related by common ownership or control. They can be financial and non-financial companies. •The Collaborative Investment Series Trust does not share with affiliates. |
Non-affiliates | Companies not related by common ownership or control. They can be financial and non-financial companies. •The Collaborative Investment Series Trust does not share with non-affiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. •The Collaborative Investment Series Trust doesn’t jointly market. |
Semi-Annual Shareholder Report | 33
This Page Was Left Blank Intentionally
Investment Advisor
Retireful, Llc
120 N. Washington, Suite 300
Lansing, MI 48933
Investment Subadvisor
Tuttle Capital Management, Llc
155 Lockwood Rd.
Riverside, CT 06878
Distributor
Aca Foreside
Three Canal Plaza, Suite 100
Portland, ME 04101
Custodian and Transfer Agent
Citibank, N.a.
388 Greenwich Street
New York, NY 10048
Legal Counsel
Thompson Hine Llp
41 South High Street, Suite 1700
Columbus, OH 43215
Independent Registered Public Accounting Firm
Cohen & Company, Ltd.
342 North Water Street, Suite 830
Milwaukee, WI 53202
Administrator, Accountant and Dividend Disbursing Agent
Citi Fund Services Ohio, Inc.
4400 Easton Commons, Suite 200
Columbus, OH 43219
This report is provided for the general information of the Funds’ shareholders. It is not authorized for distribution unless preceded or accompanied by an effective prospectus, which contains more complete information about the Funds.
5/23
Rareview Capital LLC
1980 Festival Plaza Drive, Suite 300
Las Vegas, NV 89135
1-888-783-8637
www.rareviewcapital.com
Semi-Annual
Shareholder Report
Rareview Dynamic Fixed Income ETF (RDFI)
Rareview Tax Advantaged Income ETF (RTAI)
Rareview Inflation/Deflation ETF (FLTN)
Rareview Systematic Equity ETF (RSEE)
March 31, 2023
Semi-Annual Shareholder Report | 1
Expense ExamplesMarch 31, 2023 (Unaudited)
As a Fund shareholder, you may incur two types of costs: (1) transaction costs, including commissions on trading, as applicable; and (2) ongoing costs, including advisory fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The expense examples below are based on an investment of $1,000 invested at the beginning of the period and held for the six-month period ended March 31, 2023.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Further, the expenses do not include any brokerage commissions on investors’ purchases or redemptions of Fund shares as described in each Fund’s prospectus. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Semi-Annual Shareholder Report | 2
Expense Examples (continued)March 31, 2023 (Unaudited)
| | | | | | | | | | |
| | | | Beginning
Account Value
10/1/2022 | | Ending
Account Value
3/31/2023 | | Expenses Paid
During Period(a) | | Annualized
Expense
Ratio |
Rareview Dynamic Fixed Income ETF | | Actual | | $1,000.00
| | $1,060.60
| | $7.65
| | 1.49% |
| | Hypothetical | | 1,000.00 | | 1,017.50 | | 7.49 | | 1.49 |
Rareview Tax Advantaged Income ETF | | Actual | | 1,000.00 | | 1,087.40 | | 6.51 | | 1.25 |
| | Hypothetical | | 1,000.00 | | 1,018.70 | | 6.29 | | 1.25 |
Rareview Inflation/
Deflation ETF | | Actual | | 1,000.00 | | 1,001.80 | | 4.54 | | 0.91 |
| | Hypothetical | | 1,000.00 | | 1,020.39 | | 4.58 | | 0.91 |
Rareview Systematic Equity ETF | �� | Actual | | 1,000.00 | | 1,039.00 | | 5.64 | | 1.11 |
| | Hypothetical | | 1,000.00 | | 1,019.40 | | 5.59 | | 1.11 |
(a) Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 182/365 (the number of days in the most recent fiscal half year divided by the number of days in the fiscal year).
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 3
Portfolio of InvestmentsMarch 31, 2023 (Unaudited)
Rareview Dynamic Fixed Income ETF
| | |
Portfolio of Investments Summary Table | | Percentage of Total
Investments (%) |
Closed End Funds | | 94.1 |
Exchange-Traded Fund | | 2.7 |
Treasury Bill | | 3.2 |
Total | | 100.0 |
Portfolio holdings and allocations are subject to change. As of March 31, 2023, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund’s total net assets.
Portfolio of Investments
| | | | | | |
| Shares | | | | Fair Value ($) | |
| Closed End Funds — 87.5% | | | |
| 1,037,680 | | Aberdeen Asia-Pacific Income
Fund, Inc. | | 2,760,229 | |
| 30,904 | | BlackRock Core Bond Trust | | 335,000 | |
| 327,477 | | BlackRock Credit Allocation
Income Trust | | 3,369,738 | |
| 181,264 | | BlackRock Income Trust, Inc. | | 2,282,114 | |
| 106,629 | | BlackRock Municipal Income Trust II | | 1,144,129 | |
| 129,948 | | BlackRock MuniYield Fund, Inc. | | 1,396,941 | |
| 110,826 | | BlackRock MuniYield Quality
Fund III, Inc. | | 1,256,767 | |
| 90,724 | | BlackRock MuniYield Quality Fund, Inc. | | 1,074,172 | |
| 151,237 | | Cohen & Steers Tax-Advantaged
Preferred Securities & Income Fund | | 2,702,605 | |
| 160,846 | | First Trust Intermediate Duration
Preferred & Income Fund | | 2,538,150 | |
| 75,641 | | Invesco Municipal Trust | | 750,359 | |
| 139,243 | | Invesco Quality Municipal Income Trust | | 1,389,645 | |
| 390,575 | | Morgan Stanley Emerging Markets Domestic Debt Fund, Inc. | | 1,765,399 | |
| 178,272 | | Nuveen AMT-Free Municipal Credit Income Fund | | 2,100,044 | |
| 120,352 | | Nuveen AMT-Free Quality Municipal Income Fund | | 1,338,314 | |
| 202,643 | | Nuveen Municipal Credit Income Fund | | 2,421,584 | |
| 390,992 | | Nuveen Preferred & Income
Securities Fund | | 2,525,808 | |
| 113,285 | | Nuveen Quality Municipal Income Fund | | 1,306,176 | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 4
Portfolio of Investments (continued)March 31, 2023 (Unaudited)
Rareview Dynamic Fixed Income ETF
| | | | | | |
| Shares | | | | Fair Value ($) | |
| 11,711 | | Nuveen Variable Rate Preferred & Income Fund | | 185,502 | |
| 122,528 | | Putnam Premier Income Trust | | 436,200 | |
| 125,350 | | Western Asset Diversified Income Fund | | 1,667,155 | |
| 230,059 | | Western Asset Emerging Markets Debt Fund, Inc. | | 1,976,207 | |
| | | | | 36,722,238 | |
| Total Closed End Funds (Cost $39,898,532) | | 36,722,238 | |
| | | | | | |
| Exchange-Traded Fund — 2.4% | | | |
| 10,956 | | iShares MBS ETF | | 1,037,862 | |
| Total Exchange-Traded Fund (Cost $1,036,746) | | 1,037,862 | |
| | | | |
| Treasury Bill — 3.0% | | | |
| 1,256,000 | | United States Treasury Bill, 4.27%, 5/11/2023(a) | | 1,249,836 | |
| Total Treasury Bill (Cost $1,249,504) | | 1,249,836 | |
| | | | | | |
| Total Investments — 92.9% (Cost $42,184,782) | | 39,009,936 | |
| Other Assets in Excess of Liabilities — 7.1% | | 2,968,388 | |
| Net Assets — 100.0% | | $41,978,324 | |
(a) The rate represents the effective yield at March 31, 2023.
AMT — Alternative Minimum Tax
ETF — Exchange-Traded Fund
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 5
Portfolio of InvestmentsMarch 31, 2023 (Unaudited)
Rareview Tax Advantaged Income ETF
| | |
Portfolio of Investments Summary Table | | Percentage of Total
Investments (%) |
Closed End Funds | | 100.0 |
Total | | 100.0 |
Portfolio holdings and allocations are subject to change. As of March 31, 2023, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund’s total net assets.
Portfolio of Investments
| | | | | | |
| Shares | | | | Fair Value ($) | |
| Closed End Funds — 98.8% | | | |
| 145,905 | | BlackRock Municipal Income Trust II | | 1,565,561 | |
| 256,664 | | BlackRock MuniYield Fund, Inc. | | 2,759,138 | |
| 182,545 | | BlackRock MuniYield Quality Fund III, Inc. | | 2,070,060 | |
| 130,432 | | BlackRock MuniYield Quality Fund, Inc. | | 1,544,315 | |
| 186,784 | | Invesco Municipal Trust | | 1,852,897 | |
| 190,350 | | Invesco Quality Municipal Income Trust | | 1,899,693 | |
| 246,605 | | Nuveen AMT-Free Municipal Credit
Income Fund | | 2,905,007 | |
| 80,520 | | Nuveen AMT-Free Quality Municipal
Income Fund | | 895,383 | |
| 250,720 | | Nuveen Municipal Credit Income Fund | | 2,996,104 | |
| 242,387 | | Nuveen Quality Municipal Income Fund | | 2,794,722 | |
| | | | | 21,282,880 | |
| Total Closed End Funds (Cost $22,129,093) | | 21,282,880 | |
| | | | | | |
| Total Investments — 98.8% (Cost $22,129,093) | | 21,282,880 | |
| Other Assets in Excess of Liabilities — 1.2% | | 253,911 | |
| Net Assets — 100.0% | | $21,536,791 | |
AMT — Alternative Minimum Tax
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 6
Portfolio of InvestmentsMarch 31, 2023 (Unaudited)
Rareview Inflation/Deflation ETF
| | |
Portfolio of Investments Summary Table | | Percentage of Total
Investments (%) |
Exchange-Traded Funds | | 21.6 |
Options on Futures | | 0.8 |
Treasury Bill | | 7.5 |
Treasury Notes | | 70.1 |
Total | | 100.0 |
Portfolio holdings and allocations are subject to change. As of March 31, 2023, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund’s total net assets.
Portfolio of Investments
| | | | | | |
| Shares | | | | Fair Value ($) | |
| Exchange-Traded Funds — 19.8% | | | |
| 36,717 | | PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund | | 3,516,754 | |
| 10,907 | | United States Natural Gas Fund, LP | | 75,695 | |
| | | | | 3,592,449 | |
| Total Exchange-Traded Funds (Cost $3,645,265) | | 3,592,449 | |
| | | | |
| Purchased Options on Futures — 0.7% | | | |
| Total Purchased Options on Futures (Cost $122,206) | | 126,100 | |
| | | | |
| Treasury Bill — 6.9% | | | |
| 1,262,000 | | United States Treasury Bill, 4.27%, 5/11/2023(a) | | 1,255,891 | |
| Total Treasury Bill (Cost $1,255,626) | | 1,255,891 | |
| | | | | | |
| Treasury Notes — 64.3% | | | |
| 5,685,000 | | United States Treasury Note, 4.13%, 9/30/2027(b) | | 5,792,926 | |
| 5,884,000 | | United States Treasury Note, 3.50%, 2/15/2033(c) | | 5,894,113 | |
| | | | | 11,687,039 | |
| Total Treasury Notes (Cost $11,318,268) | | 11,687,039 | |
| | | | | | |
| Total Investments — 91.7% (Cost $16,341,365) | | 16,661,479 | |
| Other Assets in Excess of Liabilities — 8.3% | | 1,510,440 | |
| Net Assets — 100.0% | | $18,171,919 | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 7
Portfolio of Investments (continued)March 31, 2023 (Unaudited)
Rareview Inflation/Deflation ETF
(a) The rate represents the effective yield at March 31, 2023.
(b) As of March 31, 202, investment is 31.88% of the Fund’s net assets. See Note 7 in the Notes to Financial Statements.
(c) As of March 31, 202, investment is 32.44% of the Fund’s net assets. See Note 7 in the Notes to Financial Statements.
LP — Limited Partnership
Futures Contracts
At March 31, 2023, the Fund’s open futures contracts were as follows:
Futures Contracts Purchased
| | | | | | | | | |
Description | Number
of
Contracts | | Expiration Date | | Notional
Amount ($) | | Value ($) | | Unrealized
Appreciation
(Depreciation) ($) |
2 Year US Treasury Note Future | 224 | | 6/30/23 | | 45,880,770 | | 46,245,500 | | 364,730 |
| | | | | | | | | 364,730 |
Futures Contracts Sold
| | | | | | | | | | |
Description | Number
of
Contracts | | Expiration Date | | Notional
Amount ($) | | Value ($) | | Unrealized
Appreciation
(Depreciation) ($) | |
10 Year US Treasury Note Future | 92 | | 6/21/23 | | 10,879,034 | | 11,144,938 | | (265,904 | ) |
| | | | | | | | | (265,904 | ) |
Written Options
Exchange-traded options on futures contracts written as of March 31, 2023 were as follows:
| | | | | | | | | | | | | | | |
Description | | Put/Call | | Number of Contracts | | Notional Amount (000)
($)(d) | | Premiums
Received ($) | | Strike Price ($) | | Expiration Date | | Value ($) | |
3 Month SOFR Options | | Call | | 208 | | 50,960 | | 56,827 | | 98.00 | | 12/15/23 | | (59,800 | ) |
(Total Premiums Received $56,827) | | | | | | | | | | | | | | (59,800 | ) |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 8
Portfolio of Investments (continued)March 31, 2023 (Unaudited)
Rareview Inflation/Deflation ETF
Purchased Options
Exchanged-traded options on futures contracts purchased as of March 31, 2023 were as follows:
| | | | | | | | | | | | |
Description | | Put/Call | | Number of Contracts | | Notional
Amount
(000)
($)(a) | | Strike Price ($) | | Expiration Date | | Value ($) |
3 Month SOFR Options | | Call | | 208 | | 50,440 | | 97.00 | | 12/15/23 | | 126,100 |
(Total Cost $122,206) | | | | | | | | | | | | 126,100 |
(a) Notional amount is expressed as the number of contracts multiplied by contract size multiplied by the strike price of the underlying asset.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 9
Portfolio of InvestmentsMarch 31, 2023 (Unaudited)
Rareview Systematic Equity ETF
| | |
Portfolio of Investments Summary Table | | Percentage of Total
Investments (%) |
Domestic Equity Exchange-Traded Funds | | 60.3 |
Emerging Markets Exchange-Traded Funds | | 39.7 |
Total | | 100.0 |
Portfolio holdings and allocations are subject to change. As of March 31, 2023, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund’s total net assets.
Portfolio of Investments
| | | | | | |
| Shares | | | | Fair Value ($) | |
| Exchange-Traded Funds — 69.0% | | | |
| 164,047 | | Vanguard FTSE Developed Markets ETF | | 7,410,003 | |
| 108,861 | | Vanguard FTSE Emerging Markets ETF | | 4,397,984 | |
| 33,601 | | Vanguard S&P 500 ETF(a) | | 12,636,329 | |
| 27,988 | | Vanguard Small-Cap ETF | | 5,305,405 | |
| | | | | 29,749,721 | |
| Total Exchange-Traded Funds (Cost $27,720,200) | | 29,749,721 | |
| | | | |
| Total Investments — 69.0% (Cost $27,720,200) | | 29,749,721 | |
| Other Assets in Excess of Liabilities — 31.0% | | 13,379,151 | |
| Net Assets — 100.0% | | $43,128,872 | |
(a) As of March 31, 2023, investment is 29.30% of the Fund’s net assets. See Note 7 in the Notes to Financial Statements.
ETF — Exchange-Traded Fund
FTSE — Financial Times Stock Exchange
S&P — Standard and Poor’s
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 10
Portfolio of Investments (continued)March 31, 2023 (Unaudited)
Rareview Systematic Equity ETF
Futures Contracts
At March 31, 2023, the Fund’s open futures contracts were as follows:
Futures Contracts Purchased
| | | | | | | | | |
Description | Number
of
Contracts | | Expiration Date | | Notional
Amount ($) | | Value | | Unrealized
Appreciation
(Depreciation) ($) |
E-mini S&P 500 Future | 55 | | 6/19/23 | | 10,712,453 | | 11,378,813 | | 666,360 |
MSCI EAFE Index Future | 64 | | 6/19/23 | | 6,435,942 | | 6,708,800 | | 272,858 |
MSCI Emerging Markets Index Future | 79 | | 6/19/23 | | 3,870,389 | | 3,932,225 | | 61,836 |
E-mini Russell 2000 Index Future | 54 | | 6/19/23 | | 4,676,494 | | 4,896,450 | | 219,956 |
| | | | | | | | | 1,221,010 |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 11
Statements of Assets and LiabilitiesMarch 31, 2023 (Unaudited)
| | | | | |
| | Rareview Dynamic Fixed Income ETF | | Rareview Tax Advantaged Income ETF |
Assets: | | | | | |
Investments, at value (Cost $42,184,782 and $22,129,093) | | $39,009,936 | | $21,282,880 | |
Cash | | 263,705 | | 71,780 | |
Deposits at brokers for derivative contracts | | 2,896,924 | | 381,420 | |
Dividends and interest receivable | | 137,727 | | — | |
Prepaid expenses and other assets | | 3,502 | | 3,167 | |
Total Assets | | 42,311,794 | | 21,739,247 | |
Liabilities: | | | | | |
Dividends and interest payable | | — | | 171,279 | |
Payable for investments purchased | | 272,462 | | — | |
Accrued expenses: | | | | | |
24F-2 fees | | 16 | | 144 | |
Advisory | | 34,167 | | 6,264 | |
Administration | | 5,988 | | 2,967 | |
Compliance services | | 1 | | 1 | |
Custodian | | 1,271 | | 1,574 | |
Fund accounting | | 7,643 | | 8,335 | |
Legal and audit | | 8,982 | | 9,332 | |
Printing | | 1,741 | | 1,898 | |
Trustee | | 1,199 | | 662 | |
Total Liabilities | | 333,470 | | 202,456 | |
Net Assets | | $41,978,324 | | $21,536,791 | |
Net Assets consist of: | | | | | |
Paid-in Capital | | $53,542,138 | | $26,353,371 | |
Total Distributable Earnings (Accumulated Deficit) | | (11,563,814 | ) | (4,816,580 | ) |
Net Assets | | $41,978,324 | | $21,536,791 | |
| | | | | |
Net Assets: | | $41,978,324 | | $21,536,791 | |
Shares of Beneficial Interest Outstanding
(unlimited number of shares authorized,
no par value): | | 1,850,000 | | 1,025,000 | |
Net Asset Value (offering and redemption price per share): | | $22.69 | | $21.01 | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 12
Statements of Assets and Liabilities (continued)March 31, 2023 (Unaudited)
| | | | | |
| | Rareview Inflation/Deflation ETF | | Rareview Systematic Equity ETF |
Assets: | | | | | |
Investments, at value (Cost $16,341,365 and $27,720,200) | | $16,661,479 | | $29,749,721 | |
Cash | | 177,885 | | 4,453,803 | |
Deposits at brokers for derivative contracts | | 1,474,046 | | 8,804,438 | |
Dividends and interest receivable | | 18,927 | | — | |
Receivable for investments sold | | 56,827 | | — | |
Receivable for variation margin on futures contracts | | — | | 267,673 | |
Prepaid expenses and other assets | | 3,598 | | 3,296 | |
Total Assets | | 18,392,762 | | 43,278,931 | |
Liabilities: | | | | | |
Payable for investments purchased | | 122,206 | | 99,491 | |
Payable for variation margin on
futures contracts | | 18,813 | | | |
Written options at fair value
(Premiums received $56,827 and $—) | | 59,800 | | — | |
Accrued expenses: | | | | | |
24F-2 fees | | 4 | | 71 | |
Advisory | | 3,643 | | 30,411 | |
Administration | | 2,411 | | 5,443 | |
Compliance services | | 1 | | 1 | |
Custodian | | 85 | | 50 | |
Fund accounting | | 1,823 | | 3,706 | |
Legal and audit | | 9,582 | | 7,507 | |
Printing | | 1,875 | | 1,762 | |
Trustee | | 600 | | 1,617 | |
Total Liabilities | | 220,843 | | 150,059 | |
Net Assets | | $18,171,919 | | $43,128,872 | |
Net Assets consist of: | | | | | |
Paid-in Capital | | $19,240,788 | | $42,169,744 | |
Total Distributable Earnings (Accumulated Deficit) | (1,068,869 | ) | 959,128 | |
Net Assets | | $18,171,919 | | $43,128,872 | |
| | | | | |
Net Assets: | | $18,171,919 | | $43,128,872 | |
Shares of Beneficial Interest Outstanding (unlimited number of shares authorized,
no par value): | | 800,000 | | 1,725,000 | |
Net Asset Value (offering and redemption price per share): | | $22.71 | | $25.00 | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 13
Statements of OperationsFor the Period Ended March 31, 2023 (Unaudited)
| | | | | |
| | Rareview Dynamic Fixed Income ETF | | Rareview Tax Advantaged Income ETF |
Investment Income: | | | | | |
Dividend income | | $1,335,589 | | $451,850 | |
Interest income | | 50,080 | | 130 | |
Total Investment Income | | 1,385,669 | | 451,980 | |
Expenses: | | | | | |
Advisory | | 202,260 | | 73,535 | |
Administration | | 35,447 | | 16,668 | |
Compliance services | | 4,501 | | 4,501 | |
Custodian | | 2,743 | | 1,716 | |
Fund accounting | | 36,915 | | 38,034 | |
Legal and audit | | 14,596 | | 14,442 | |
Printing | | 3,558 | | 2,657 | |
Treasurer | | 1,350 | | 1,275 | |
Trustee | | 2,217 | | 1,617 | |
Other | | 6,983 | | 6,397 | |
Total Expenses before fee reductions | | 310,570 | | 160,842 | |
Expenses contractually waived and/or reimbursed by the Advisor | | — | | (38,094 | ) |
Total Net Expenses | | 310,570 | | 122,748 | |
Net Investment Income (Loss) | | 1,075,099 | | 329,232 | |
Realized and Unrealized Gains (Losses)
from Investments: | | | | | |
Net realized gains (losses) from investment and foreign currency transactions | | 623,941 | | (735,494 | ) |
Net realized gains (losses) from
in-kind transactions | | 39,255 | | 30,251 | |
Net realized gains (losses) from
futures transactions | | (798,005 | ) | (77,778 | ) |
Net realized gains (losses) from written options transactions | | (2,219,966 | ) | (670,983 | ) |
Change in unrealized appreciation (depreciation) on investments | | 3,732,690 | | 2,885,237 | |
Change in unrealized appreciation (depreciation) on futures | | 3,580 | | (19,634 | ) |
Net Realized and Unrealized Gains (Losses) from Investments: | | 1,381,495 | | 1,411,599 | |
Change in Net Assets Resulting
From Operations | | $2,456,594 | | $1,740,831 | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 14
Statements of Operations (continued)For the Period Ended March 31, 2023 (Unaudited)
| | | | | |
| | Rareview Inflation/Deflation ETF | | Rareview Systematic Equity ETF |
Investment Income: | | | | | |
Dividend income | | $10,678 | | $296,939 | |
Interest income | | 237,614 | | 45,775 | |
Total Investment Income | | 248,292 | | 342,714 | |
Expenses: | | | | | |
Advisory | | 57,881 | | 174,806 | |
Administration | | 13,479 | | 31,454 | |
Compliance services | | 4,501 | | 4,501 | |
Custodian | | 917 | | 1,469 | |
Fund accounting | | 16,825 | | 18,625 | |
Legal and audit | | 13,164 | | 15,580 | |
Printing | | 2,783 | | 2,880 | |
Treasurer | | 900 | | 1,350 | |
Trustee | | 1,400 | | 3,217 | |
Other | | 6,691 | | 6,816 | |
Total Expenses before fee reductions | | 118,541 | | 260,698 | |
Expenses contractually waived and/or reimbursed by the Advisor | | (45,786 | ) | (54,148 | ) |
Expenses voluntarily waived by the Administrator | | (762 | ) | — | |
Total Net Expenses | | 71,993 | | 206,550 | |
Net Investment Income (Loss) | | 176,299 | | 136,164 | |
Realized and Unrealized Gains (Losses) from Investments: | | | | | |
Net realized gains (losses) from investment transactions | | (363,117 | ) | 786,382 | |
Net realized gains (losses) from in-kind transactions | | — | | 162,139 | |
Net realized gains (losses) from futures transactions | | 210,827 | | (2,096,355 | ) |
Net realized gains (losses) from written options transactions | | (568,866 | ) | — | |
Change in unrealized appreciation (depreciation) on investments | | 583,802 | | 1,239,744 | |
Change in unrealized appreciation (depreciation) on futures | | 98,826 | | 1,221,010 | |
Change in unrealized appreciation (depreciation) on written options | | (2,973 | ) | — | |
Net Realized and Unrealized Gains (Losses) from Investments: | | (41,501 | ) | 1,312,920 | |
Change in Net Assets Resulting
From Operations | | $134,798 | | $1,449,084 | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 15
Statements of Changes in Net Assets
| | | | | | | | |
| Rareview Dynamic Fixed Income ETF | | Rareview Tax Advantaged Income ETF |
| Six Months
Ended
March 31,
2023
(Unaudited) | | Year Ended
September 30,
2022 | | Six Months
Ended
March 31,
2023
(Unaudited) | | Year Ended
September 30, 2022 |
From Investment Activities: | | | | | | | | |
Operations: | | | | | | | | |
Net investment income (loss) | $1,075,099 | | $2,587,964 | | $329,232 | | $625,777 | |
Net realized gains (losses) from investment, in-kind, futures, and written options transactions | (2,354,775 | ) | (6,665,219 | ) | (1,454,004 | ) | (2,753,892 | ) |
Change in unrealized appreciation (depreciation) on investments, futures, and written options | 3,736,270 | | (7,322,355 | ) | 2,865,603 | | (3,819,302 | ) |
Change in net assets resulting from operations | 2,456,594 | | (11,399,610 | ) | 1,740,831 | | (5,947,417 | ) |
Distributions to Shareholders From: | | | | | | | | |
Earnings | (1,056,289 | ) | (4,028,452 | ) | (330,179 | ) | (1,138,829 | ) |
Change in net assets from distributions | (1,056,289 | ) | (4,028,452 | ) | (330,179 | ) | (1,138,829 | ) |
Capital Transactions: | | | | | | | | |
Proceeds from shares issued | 4,996,033 | | 3,430,570 | | 4,894,304 | | 6,969,624 | |
Cost of shares redeemed | (3,351,519 | ) | (16,832,922 | ) | (499,457 | ) | (3,704,339 | ) |
Change in net assets from capital transactions | 1,644,514 | | (13,402,352 | ) | 4,394,847 | | 3,265,285 | |
Change in net assets | 3,044,819 | | (28,830,414 | ) | 5,805,499 | | (3,820,961 | ) |
Net Assets: | | | | | | | | |
Beginning of period | 38,933,505 | | 67,763,919 | | 15,731,292 | | 19,552,253 | |
End of period | $41,978,324 | | $38,933,505 | | $21,536,791 | | $15,731,292 | |
Share Transactions: | | | | | | | | |
Issued | 225,000 | | 125,000 | | 250,000 | | 250,000 | |
Redeemed | (150,000 | ) | (650,000 | ) | (25,000 | ) | (150,000 | ) |
Change in shares | 75,000 | | (525,000 | ) | 225,000 | | 100,000 | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 16
Statements of Changes in Net Assets (continued)
| | | | | | | | |
| Rareview Inflation/
Deflation ETF | | Rareview Systematic
Equity ETF |
| Six Months
Ended
March 31,
2023
(Unaudited) | | For the period
January 5, 2022(a)
through
September 30, 2022 | | Six Months
Ended
March 31,
2023
(Unaudited) | | For the period
January 20, 2022(a)
through
September 30, 2022 |
From Investment Activities: | | | | | | | | |
Operations: | | | | | | | | |
Net investment income (loss) | $176,299 | | $53,600 | | $136,164 | | $67,460 | |
Net realized gains (losses) from investment, in-kind, futures, and written options transactions | (721,156 | ) | (822,711 | ) | (1,147,834 | ) | (664,894 | ) |
Change in unrealized appreciation (depreciation) on investments, futures, and written options | 679,655 | | (263,688 | ) | 2,460,754 | | 789,776 | |
Change in net assets resulting from operations | 134,798 | | (1,032,799 | ) | 1,449,084 | | 192,342 | |
Distributions to Shareholders From: | | | | | | | | |
Earnings | (148,112 | ) | (42,306 | ) | (660,229 | ) | — | |
Change in net assets from distributions | (148,112 | ) | (42,306 | ) | (660,229 | ) | — | |
Capital Transactions: | | | | | | | | |
Proceeds from shares issued | 6,741,939 | | 14,226,263 | | 20,871,401 | | 25,587,615 | |
Cost of shares redeemed | (576,953 | ) | (1,130,911 | ) | (3,683,121 | ) | (628,220 | ) |
Change in net assets from capital transactions | 6,164,986 | | 13,095,352 | | 17,188,280 | | 24,959,395 | |
Change in net assets | 6,151,672 | | 12,020,247 | | 17,977,135 | | 25,151,737 | |
Net Assets: | | | | | | | | |
Beginning of period | 12,020,247 | | — | | 25,151,737 | | — | |
End of period | $18,171,919 | | $12,020,247 | | $43,128,872 | | $25,151,737 | |
Share Transactions: | | | | | | | | |
Issued | 300,000 | | 575,000 | | 850,000 | | 1,050,000 | |
Redeemed | (25,000 | ) | (50,000 | ) | (150,000 | ) | (25,000 | ) |
Change in shares | 275,000 | | 525,000 | | 700,000 | | 1,025,000 | |
(a) Commencement of operations.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 17
| | | | | | |
Rareview Dynamic Fixed Income ETF | Six Months Ended
March 31, 2023
(Unaudited) | | Year Ended
September 30, 2022 | | October 20, 2020(a)
through
September 30, 2021 | |
Net Asset Value, Beginning of Period | $21.93 | | $29.46 | | $25.00 | |
| | | | | | |
Net Investment Income (Loss) | 0.58 | (b) | 0.93 | (b) | 1.21 | |
Net Realized and Unrealized Gains (Losses) on Investments | 0.75 | | (6.54 | ) | 4.32 | |
Total from Investment Activities | 1.33 | | (5.61 | ) | 5.53 | |
| | | | | | |
Distributions from Net Investment Income | (0.57 | ) | (1.26 | ) | (1.07 | ) |
Distributions from Net Realized Gains
on Investments | — | | (0.65 | ) | — | |
Return of Capital | — | | (0.01 | ) | — | |
Total Distributions | (0.57 | ) | (1.92 | ) | (1.07 | ) |
| | | | | | |
Net Asset Value, End of Period | $22.69 | | $21.93 | | $29.46 | |
Net Assets at End of Period (000’s) | $41,978 | | $38,934 | | $67,764 | |
| | | | | | |
Total Return at NAV(c)(d) | 6.06% | | (20.10)% | | 22.35% | |
Total Return at Market(d)(e) | 6.01% | | (20.16)% | | 22.63% | |
| | | | | | |
Ratio of Net Expenses to Average
Net Assets(f)(g) | 1.49% | | 1.47% | | 1.50% | |
Ratio of Gross Expenses to Average
Net Assets(f)(g)(h) | 1.49% | | 1.38% | | 1.70% | |
Ratio of Net Investment Income (Loss) to Average Net Assets(f)(i) | 5.15% | | 3.57% | | 5.11% | |
Portfolio Turnover(d)(j) | 71% | | 132% | | 74% | |
(a) Commencement of operations.
(b) Calculated based on average shares method.
(c) Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at net asset value. This percentage is not an indication of the performance of a shareholder’s investment in the Fund based on market value due to differences between the market price of the shares and the net asset value per share of the Fund.
(d) Not annualized for periods less than one year.
(e) Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price from any primary listing market (e.g., Cboe BZX) or participating regional exchanges or markets. The composite closing price is the last reported sale price from any of the eligible sources, regardless of volume and not an average price and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund’s closing price on the listing market.
(f) Annualized for periods less than one year.
(g) Excludes expenses of the investment companies in which the Fund invests.
(h) Before fee reductions or recoupment of fees previously reimbursed by the Advisor. If such waivers/reimbursements or recoupment had not occurred, the ratio would have been as indicated.
(i) Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the underlying investment companies.
(j) Excludes the impact of in-kind transactions.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 18
Financial Highlights (continued)
| | | | | | |
Rareview Tax Advantaged Income ETF | Six Months Ended
March 31, 2023
(Unaudited) | | Year Ended
September 30, 2022 | | October 20, 2020(a)
through
September 30, 2021 |
Net Asset Value, Beginning of Period | $19.66 | | $27.93 | | $25.00 | |
Net Investment Income (Loss) | 0.34 | (b) | 0.78 | (b) | 0.72 | |
Net Realized and Unrealized Gains (Losses) on Investments | 1.37 | | (7.72 | ) | 2.88 | |
Total from Investment Activities | 1.71 | | (6.94 | ) | 3.60 | |
| | | | | | |
Distributions from Net Investment Income | (0.36 | ) | (0.76 | ) | (0.67 | ) |
Distributions from Net Realized Gains
on Investments | — | | (0.57 | ) | — | |
Total Distributions | (0.36 | ) | (1.33 | ) | (0.67 | ) |
| | | | | | |
Net Asset Value, End of Period | $21.01 | | $19.66 | | $27.93 | |
Net Assets at End of Period (000’s) | $21,537 | | $15,731 | | $19,552 | |
| | | | | | |
Total Return at NAV(c)(d) | 8.74% | | (25.86)% | | 14.49% | |
Total Return at Market(d)(e) | 8.97% | | (26.20)% | | 14.81% | |
| | | | | | |
Ratio of Net Expenses to Average
Net Assets(f)(g) | 1.25% | | 1.25% | | 1.25% | |
Ratio of Gross Expenses to Average
Net Assets(f)(g)(h) | 1.64% | | 1.51% | | 2.03% | |
Ratio of Net Investment Income (Loss) to Average Net Assets(f)(i) | 3.35% | | 3.20% | | 2.94% | |
Portfolio Turnover(d)(j) | 28% | | 65% | | 78% | |
(a) Commencement of operations.
(b) Calculated based on average shares method.
(c) Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at net asset value. This percentage is not an indication of the performance of a shareholder’s investment in the Fund based on market value due to differences between the market price of the shares and the net asset value per share of the Fund.
(d) Not annualized for periods less than one year.
(e) Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price from any primary listing market (e.g., Cboe BZX) or participating regional exchanges or markets. The composite closing price is the last reported sale price from any of the eligible sources, regardless of volume and not an average price and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund’s closing price on the listing market.
(f) Annualized for periods less than one year.
(g) Excludes expenses of the investment companies in which the Fund invests.
(h) Before fee reductions or recoupment of fees previously reimbursed by the Advisor. If such waivers/reimbursements or recoupment had not occurred, the ratio would have been as indicated.
(i) Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the underlying investment companies.
(j) Excludes the impact of in-kind transactions.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 19
Financial Highlights (continued)
| | | | |
Rareview Inflation/Deflation ETF | Six Months Ended
March 31, 2023
(Unaudited) | | January 5, 2022(a)
through
September 30, 2022 | |
Net Asset Value, Beginning of Period | $22.90 | | $25.00 | |
| | | | |
Net Investment Income (Loss)(b) | 0.25 | | 0.15 | |
Net Realized and Unrealized Gains
(Losses) on Investments | (0.22 | ) | (2.14 | ) |
Total from Investment Activities | 0.03 | | (1.99 | ) |
| | | | |
Distributions from Net Investment Income | (0.22 | ) | (0.11 | ) |
Distributions from Net Realized Gains
on Investments | — | | — | |
Total Distributions | (0.22 | ) | (0.11 | ) |
| | | | |
Net Asset Value, End of Period | $22.71 | | $22.90 | |
Net Assets at End of Period (000’s) | $18,172 | | $12,020 | |
| | | | |
Total Return at NAV(c)(d) | 0.18% | | (8.02)% | |
Total Return at Market(d)(e) | 0.27% | | (8.00)% | |
| | | | |
Ratio of Net Expenses to Average Net Assets(f)(g) | 0.91% | | 0.87% | (h) |
Ratio of Gross Expenses to Average Net Assets(f)(g)(j) | 1.49% | | 1.92% | (i) |
Ratio of Net Investment Income (Loss) to Average
Net Assets(f)(k) | 2.22% | | 0.84% | |
Portfolio Turnover(d)(l) | 184% | | 390% | |
(a) Commencement of operations.
(b) Calculated based on average shares method.
(c) Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at net asset value. This percentage is not an indication of the performance of a shareholder’s investment in the Fund based on market value due to differences between the market price of the shares and the net asset value per share of the Fund.
(d) Not annualized for periods less than one year.
(e) Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price from any primary listing market (e.g., Cboe BZX) or participating regional exchanges or markets. The composite closing price is the last reported sale price from any of the eligible sources, regardless of volume and not an average price and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund’s closing price on the listing market.
(f) Annualized for periods less than one year.
(g) Excludes expenses of the investment companies in which the Fund invests.
(h) The ratio of net expenses to average net assets would have been 0.88% had certain expenses not been voluntarily waived for the period ended September 30, 2022.
(i) The ratio of gross expenses to average net assets would have been 1.93% had certain expenses not been voluntarily waived for the period ended September 30, 2022.
(j) If applicable, certain fees were waived and/or reimbursed. If such waivers/reimbursements had not occurred, the ratio would have been as indicated.
(k) Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the underlying investment companies.
(l) Excludes the impact of in-kind transactions.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 20
Financial Highlights (continued)
| | | | |
Rareview Systematic Equity ETF | Six Months Ended
March 31, 2023
(Unaudited) | | January 20, 2022(a)
through
September 30, 2022 |
Net Asset Value, Beginning of Period | $24.54 | | $25.00 | |
| | | | |
Net Investment Income (Loss)(b) | 0.09 | | 0.11 | |
Net Realized and Unrealized Gains
(Losses) on Investments | 0.84 | | (0.57 | )(c) |
Total from Investment Activities | 0.93 | | (0.46 | ) |
| | | | |
Distributions from Net Investment Income | (0.05 | ) | — | |
Distributions from Net Realized Gains on Investments | (0.42 | ) | — | |
Total Distributions | (0.47 | ) | — | |
| | | | |
Net Asset Value, End of Period | $25.00 | | $24.54 | |
Net Assets at End of Period (000’s) | $43,129 | | $25,152 | |
| | | | |
Total Return at NAV(d)(e) | 3.90% | | (1.85)% | |
Total Return at Market(e)(f) | 3.93% | | (1.80)% | |
| | | | |
Ratio of Net Expenses to Average Net Assets(g)(h) | 1.12% | | 0.97% | (i) |
Ratio of Gross Expenses to Average Net Assets(g)(h)(k) | 1.41% | | 1.69% | (j) |
Ratio of Net Investment Income (Loss) to Average
Net Assets(g)(l) | 0.74% | | 0.66% | |
Portfolio Turnover(e)(m) | 88% | | 237% | |
(a) Commencement of operations.
(b) Calculated based on average shares method.
(c) Realized and unrealized gains per share are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not accord with the aggregate gains and losses in the Statements of Operations due to share transactions for the period.
(d) Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at net asset value. This percentage is not an indication of the performance of a shareholder’s investment in the Fund based on market value due to differences between the market price of the shares and the net asset value per share of the Fund.
(e) Not annualized for periods less than one year.
(f) Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price from any primary listing market (e.g., Cboe BZX) or participating regional exchanges or markets. The composite closing price is the last reported sale price from any of the eligible sources, regardless of volume and not an average price and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund’s closing price on the listing market.
(g) Annualized for periods less than one year.
(h) Excludes expenses of the investment companies in which the Fund invests.
(i) The ratio of net expenses to average net assets would have been 0.98% had certain expenses not been voluntarily waived for the period ended September 30, 2022.
(j) The ratio of gross expenses to average net assets would have been 1.70% had certain expenses not been voluntarily waived for the period ended September 30, 2022.
(k) If applicable, certain fees were waived and/or reimbursed. If such waivers/reimbursements had not occurred, the ratio would have been as indicated.
(l) Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the underlying investment companies.
(m) Excludes the impact of in-kind transactions.
Semi-Annual Shareholder Report | 21
Notes to Financial StatementsMarch 31, 2023 (Unaudited)
(1) Organization
Collaborative Investment Series Trust (the “Trust”) was organized on July 26, 2017 as a Delaware statutory trust. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”) as an open-end management investment company and thus is determined to be an investment company for accounting purposes. The Trust is comprised of several funds and is authorized to issue an unlimited number of shares of beneficial interest (“Shares”) in one or more series representing interests in separate portfolios of securities. The accompanying financial statements are those of the Rareview Dynamic Fixed Income ETF, Rareview Tax Advantaged Income ETF, Rareview Inflation/Deflation ETF, and Rareview Systematic Equity ETF (each a “Fund” and collectively, the “Funds”). The Funds are diversified actively-managed exchange-traded funds. The Funds’ prospectus provides a description of each Fund’s investment objectives, policies, and strategies. The assets of each Fund are segregated and a shareholder’s interest is limited to the Fund in which shares are held. The Rareview Inflation/Deflation ETF and the Rareview Systematic Equity ETF are commodity pools under the U.S. Commodity Exchange Act and their advisor, Rareview Capital, LLC, is registered as a commodity pool operator with the Commodity Futures Trading Commission.
Under the Trust’s organizational documents, its officers and Board of Trustees (the “Board”) are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Trust may enter into contracts with vendors and others that provide for general indemnifications. The Trust’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust. However, based on experience, the Trust expects that risk of loss to be remote.
(2) Significant Accounting Policies
Shares of the Funds are listed and traded on the Cboe BZX Exchange, Inc. (“Cboe”). Market prices for the Shares may be different from their net asset value (“NAV”). The Funds issue and redeem Shares on a continuous basis at NAV only in large blocks of Shares, currently 25,000 Shares, called Creation Units (“Creation Units”). Creation Units are issued and redeemed principally in-kind for securities included in a specified universe. Once created, Shares generally trade in the secondary market at market prices that change throughout the day in amounts less than a Creation Unit. Shares of each Fund may only be purchased or redeemed by certain financial institutions (“Authorized Participants”). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with ACA Foreside (the “Distributor”). Most retail investors do not qualify as Authorized Participants nor have the resources to buy and sell whole Creation Units. Therefore, they are unable to purchase or redeem the shares directly from the Funds.
Semi-Annual Shareholder Report | 22
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services – Investment Companies”. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.
A. Investment Valuations
The Funds hold investments at fair value. Fair value is defined as the price that would be expected to be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The valuation techniques used to determine fair value are further described below.
Security values are ordinarily obtained through the use of independent pricing services in accordance with Rule 2a-5 under the 1940 Act pursuant to procedures adopted by the Board. Pursuant to these procedures, the Funds may use a pricing service, bank, or broker-dealer experienced in such matters to value the Funds’ securities. When reliable market quotations are not readily available for any security, the fair value of that security will be determined by a committee established by the Board in accordance with Rule 2a-5 under the 1940 Act pursuant to procedures adopted by the Board. The fair valuation process is designed to value the subject security at the price the Funds would reasonably expect to receive upon its current sale. Additional consideration is given to securities that have experienced a decrease in the volume or level of activity or to circumstances that indicate that a transaction is not orderly.
The Trust uses a three-tier fair value hierarchy that is dependent upon the various “inputs” used to determine the value of the Funds’ investments. The valuation techniques described below maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. These inputs are summarized in the three broad levels listed below:
• Level 1 - Quoted prices in active markets for identical assets that the Funds have the ability to access.
• Level 2 - Other observable pricing inputs at the measurement date (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
• Level 3 - Significant unobservable pricing inputs at the measurement date (including the Funds’ own assumptions in determining the fair value of investments).
Semi-Annual Shareholder Report | 23
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.
Shares of closed-end funds, unlike those of open-end investment companies, are not redeemable by the Funds on a daily basis. A closed-end fund’s value increases or decreases due to various factors, including but not limited to general market conditions, the market’s confidence in the closed-end fund advisor’s ability to generate desired investment returns, and investor confidence in the closed-end fund’s underlying assets. A closed-end fund’s shares that are traded on an exchange may be bought or sold at a market price that is lower or higher than the per-share value of the closed-end fund’s underlying assets; when this occurs, the shares are considered to be traded at a discount or premium, respectively. Common stocks, closed-end funds and exchange-traded funds (“ETFs”) traded on a recognized securities exchange are valued at that day’s last traded price or official closing price, as applicable, on the exchange where the fund is primarily traded. Funds traded on a recognized exchange for which there were no sales on that day may be valued at the last traded price. In each of these situations, valuations are typically categorized as Level 1 in the fair value hierarchy.
Exchange-traded futures contracts are valued at their settlement price on the exchange on which they are traded and are typically categorized as Level 1 in the fair value hierarchy. Exchange traded options contracts are valued at the closing price or last sale price on the primary instrument for that option as recorded by an approved pricing service and are typically categorized as Level 1 in the fair value hierarchy.
Fixed income securities, including those with a remaining maturity of 60 days or less, are generally categorized as Level 2 securities in the fair value hierarchy.
Most securities listed on a foreign exchange are valued at the last sale price at the close of the exchange on which the security is primarily traded. In certain countries, market maker prices are used since they are the most representative of the daily trading activity. In the case of certain foreign exchanges, the closing price reported by the exchange (which may sometimes be referred to by the exchange or one or more pricing agents as the “official close” or the “official closing price” or other similar term) will be considered the most recent sale price. Securities not traded on a particular day are valued at the mean between the last reported bid and asked quotes or the last sale price where appropriate; otherwise, fair value will be determined in accordance with fair value procedures approved by the Board.
The accounting records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the value of investments, assets and liabilities at the close of each business day. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective
Semi-Annual Shareholder Report | 24
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
dates of such transactions. The Funds do not isolate the portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments.
The Funds did not hold any Level 3 investments as of March 31, 2023.
The following table summarizes the Funds’ investments, based on their valuation inputs, as of March 31, 2023, while the breakdown, by category, of investments is disclosed in the Portfolio of Investments for the Funds:
| | | | | |
| Level 1 | | Level 2 | | Total Investments |
Rareview Dynamic Fixed
Income ETF | | | | | |
Closed-End Funds | $36,722,238 | | $— | | $36,722,238 |
Exchange-Traded Fund | 1,037,862 | | — | | 1,037,862 |
Treasury Bill | — | | 1,249,836 | | 1,249,836 |
Total Investments | $37,760,100 | | $1,249,836 | | $39,009,936 |
| | | | | |
Rareview Tax Advantaged
Income ETF | | | | | |
Closed-End Funds | $21,282,880 | | $— | | $21,282,880 |
Total Investments | $21,282,880 | | $— | | $21,282,880 |
| | | | | |
Rareview Inflation/Deflation ETF | | | | | |
Exchange-Traded Funds | $3,592,449 | | — | | $3,592,449 |
Purchased Options on Futures | 126,100 | | — | | 126,100 |
Treasury Bill | — | | 1,255,891 | | 1,255,891 |
Treasury Notes | — | | 11,687,039 | | 11,687,039 |
Total Investments | $3,718,549 | | $12,942,930 | | $16,661,479 |
Other Financial Instruments(a) | | | | | |
Assets | | | | | |
Futures Contracts | 364,730 | | — | | 364,730 |
Liabilities | | | | | |
Futures Contracts | (265,904) | | — | | (265,904) |
Written Options | (59,800) | | — | | (59,800) |
Total Other Financial Instruments | $39,026 | | $— | | $39,026 |
| | | | | |
Semi-Annual Shareholder Report | 25
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
| | | | | |
| Level 1 | | Level 2 | | Total Investments |
Rareview Systematic Equity ETF | | | | | |
Exchange-Trade Funds | $29,749,721 | | $— | | $29,749,721 |
Total Investments | $29,749,721 | | $— | | $29,749,721 |
Other Financial Instruments(a) | | | | | |
Assets | | | | | |
Futures Contracts | 1,221,010 | | — | | 1,221,010 |
Total Other Financial Instruments | $1,221,010 | | $— | | $1,221,010 |
(a) Other financial instruments include derivative instruments, such as futures contracts which are valued at the unrealized appreciation (depreciation) on the instrument and written options, which are valued at fair value.
B. Security Transactions and Related Income
Investment transactions are accounted for no later than the first calculation of the NAV on the business day following the trade date. For financial reporting purposes, however, security transactions are accounted for on the trade date on the last business day of the reporting period. Securities’ gains and losses are calculated on the identified cost basis. Interest income and expenses are accrued daily. Dividends and dividend expense, less foreign tax withholding, if any, are recorded on the ex-dividend date. Investment income from non-U.S. sources received by the Funds are generally subject to non-U.S. withholding taxes at rates ranging up to 30%. Such withholding taxes may be reduced or eliminated under the terms of applicable U.S. income tax treaties. The Funds may be subject to foreign taxes on gains in investments or currency repatriation. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
The Funds may own shares of ETFs that may invest in real estate investments trusts (“REITs”) which report information on the source of their distributions annually. Distributions received from investments in REITs in excess of income from underlying investments are recorded as realized gain and/or as a reduction to the cost of the ETF.
C. Cash
Idle cash may be swept into various interest-bearing overnight demand deposits and is classified as cash on the Statements of Assets and Liabilities. The Funds maintain cash in bank deposit accounts which, at times, may exceed the United States federally insured limit of $250,000. Amounts swept overnight are available on the next business day.
Semi-Annual Shareholder Report | 26
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
D. Dividends and Distributions to Shareholders
Distributions are recorded on the ex-dividend date. Rareview Dynamic Fixed Income ETF, Rareview Tax Advantaged Income, and Rareview Inflation/Deflation ETF intend to distribute to their shareholders net investment income, if any, at least monthly. Rareview Systematic Equity ETF intends to distribute to its shareholders net investment income, if any, at least semi-annually. The Funds intend to distribute to their shareholders any net realized capital gains, if any, at least annually. The amount of dividends from net investment income and net realized gains is determined in accordance with federal income tax regulations, which may differ from GAAP. These “book/tax” differences are considered either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., distributions and income received from pass-through investments), such amounts are reclassified within the capital accounts based on their nature for federal income tax purposes; temporary differences do not require reclassification.
The Funds may utilize earnings and profits distributed to shareholders on redemption of shares as part of the dividends paid deduction.
E. Allocation of Expenses
Expenses directly attributable to a Fund are charged to that Fund. Expenses not directly attributable to a Fund are allocated proportionally among all Funds within the Trust in relation to the net assets of each Fund or on another reasonable basis.
F. Short Sales
The Funds may engage in short sales against the box (i.e., where the Funds own or have unconditional rights to acquire at no additional cost a security substantially similar to the security sold short) for hedging purposes to limit exposure to a possible market decline in the value of their portfolio securities. In a short sale, the Funds sell a borrowed security and have a corresponding obligation to the lender to return the identical security. The Funds may also incur dividend and interest expense on securities sold short. When the Funds engage in a short sale, the Funds record a liability for securities sold short and record an asset equal to the proceeds received. The amount of the liability is subsequently marked to market to reflect the market value of the securities sold short. To borrow the security, the Funds also may be required to pay a premium, which would increase the cost of the security sold. There were no open short positions as of March 31, 2023.
G. Derivative Instruments:
All open derivative positions at period end are reflected on each Fund’s Portfolio of Investments. The following is a description of the derivative instruments utilized by the Funds, including the primary underlying risk exposure related to each instrument type.
Semi-Annual Shareholder Report | 27
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
Futures Contracts:
The Funds may enter into futures contracts for the purpose of hedging existing portfolio securities or securities they intend to purchase against fluctuations in fair value caused by changes in prevailing market interest conditions. Upon entering into futures contracts, the Funds are required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount (initial margin deposit). Subsequent payments, known as “variation margin”, are made or received each day, depending on the daily fluctuations in the fair value of the underlying security. The Funds recognize an unrealized gain or loss equal to the daily variation margin. Should market conditions move unexpectedly, the Funds may not achieve the anticipated benefits of the futures contracts and may realize a loss. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the amounts reflected on the Statements of Assets and Liabilities as variation margin. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in market value of the securities held by the Funds and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. The gross notional amount of futures contracts outstanding as of March 31, 2023, and the monthly average notional amount for these contracts for the period ended March 31, 2023 were as follows:
| | | | | | | |
| Outstanding
Notional Amount | | Monthly Average
Notional Amount |
Futures Contracts: | Long | | Short | | Long | | Short |
Rareview Dynamic Fixed
Income ETF | $— | | $— | | $14,557,978(a) | | $10,890,836(b) |
Rareview Tax Advantaged Income ETF | — | | — | | — | | 8,304,420(c) |
Rareview Inflation/Deflation ETF | 49,482,789 | | 10,879,034 | | 75,012,672(d) | | 35,391,995(e) |
Rareview Systematic Equity ETF | 30,269,304 | | 4,144,294 | | 21,138,142(f) | | 10,657,907(g) |
(a) For the period when the Fund held long futures contracts from December 1, 2022 through December 31, 2022 and February 1, 2023 through February 28, 2023.
(b) For the period when the Fund held short futures contracts from December 1, 2022 through December 31, 2022 and February 1, 2023 through February 28, 2023.
(c) For the period when the Fund held short futures contracts from October 1, 2022 through October 31, 2022.
(d) For the period when the Fund held long futures contracts from October 1, 2022 through March 31, 2023.
(e) For the period when the Fund held short futures contracts from October 1, 2022 through November 30, 2023 and January 1, 2023 through March 31, 2023.
(f) For the period when the Fund held long futures contracts from October 1, 2022 through March 31, 2023.
(g) For the period when the Fund held short futures contracts from October 1, 2022 through December 31, 2022 and March 1, 2023 through March 31, 2023.
Semi-Annual Shareholder Report | 28
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
Options Contracts:
Purchased Options Contracts – The Funds pay a premium which is included in “Investments, at value” on the Statements of Assets and Liabilities and marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. When a put option is exercised or closed, premiums paid for purchasing options are offset against proceeds to determine the realized gain/loss on the transaction. The Funds bear the risk of loss of the premium and change in value should the counterparty not perform under the contract.
Written Options Contracts – The Funds receive a premium which is recorded as a liability and is subsequently adjusted to the current value of the options written. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are either exercised or closed are offset against the proceeds received or the amount paid on the transaction to determine realized gains or losses. The risk associated with writing an option is that the Funds bear the market risk of an unfavorable change in the price of an underlying asset and are required to buy or sell an underlying asset under the contractual terms of the option at a price different from the current value. As of March 31, 2023, the Funds hold deposits at brokers for written options collateral, which is reported on the Statements of Assets and Liabilities.
The gross notional amount of purchased and written options outstanding as of March 31, 2023, and the monthly average notional amount for these contracts for the period ended March 31, 2023 were as follows:
| | | | |
| | Outstanding
Notional Amount | | Monthly Average
Notional Amount |
Purchased Options Contracts: | | | | |
Rareview Dynamic Fixed Income ETF | | $— | | $2,969,686,250(a) |
Rareview Tax Advantaged Income ETF | | — | | 709,507,500(b) |
Rareview Inflation/Deflation ETF | | 1,231,165,825 | | 1,052,825,294(c) |
| | | | |
| | Outstanding
Notional Amount | | Monthly Average
Notional Amount |
Written Options Contracts: | | | | |
Rareview Inflation/Deflation ETF | | 1,263,852,781 | | 1,263,852,781(d) |
(a) For the period when the Fund held purchased options contracts from November 1, 2022 through November 31, 2022.
(b) For the period when the Fund held purchased options contracts from November 1, 2022 through November 31, 2022.
(c) For the period when the Fund held purchased options contracts from October 1, 2022 through March 31, 2023.
(d) For the period when the Fund held written options contracts from March 1, 2023 through March 31, 2023.
Semi-Annual Shareholder Report | 29
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
Summary of Derivative Instruments:
The following is a summary of the fair value of derivative instruments on the Statements of Assets and Liabilities, categorized by risk exposure, as of March 31, 2023:
| | | | | | | | |
| | Assets | | Liabilities |
| | Investments, at Value for Purchased Options | | Unrealized Appreciation (Depreciation) on Futures Contracts(a) | | Written Options, at Value | | Unrealized Appreciation (Depreciation) on Futures Contracts(a) |
Interest Rate Risk Exposure: | | | | | | | | |
Rareview Inflation/Deflation ETF | | 126,100 | | 364,730 | | 59,800 | | 265,904 |
Equity Risk Exposure: | | | | | | | | |
Rareview Systematic Equity ETF | | — | | 1,221,010 | | — | | — |
(a) For futures contracts, the amounts represent their cumulative appreciation (depreciation) as reported on the Portfolios of Investments. Only the current day’s variation margin, if any, is reported within the Statements of Assets and Liabilities as variation margin on futures contracts.
The following is a summary of the effect of derivative instruments on the Statements of Operations, categorized by risk exposure, for the period ended March 31, 2023:
| | | | | | | | |
| | Net Realized Gains (Losses) from | | Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a
Result from Operations |
| | Futures Contracts | | Written Options | | Futures Contracts | | Written Options |
Interest Rate Risk Exposure: | | | | | | | | |
Rareview Dynamic Fixed
Income ETF | | $(798,005) | | $(2,219,966) | | $3,580 | | $— |
Rareview Tax Advantaged
Income ETF | | (77,778) | | (670,983) | | (19,634) | | — |
Rareview Inflation/Deflation ETF | | 210,827 | | (568,866) | | 98,826 | | (2,973) |
Equity Risk Exposure: | �� | | | | | | | |
Rareview Systematic Equity ETF | | (2,096,355) | | — | | 1,221,010 | | — |
Semi-Annual Shareholder Report | 30
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
(3) Investment Advisory and Other Contractual Services
A. Investment Advisory Fees
Rareview Capital, LLC (the “Advisor”), serves as the Funds’ investment advisor pursuant to an investment advisory agreement. Subject at all times to the oversight and approval of the Board, the Advisor is responsible for the overall management of the Funds. Each Fund pays the Advisor a management fee, based on a percentage of its average daily net assets, calculated daily and paid monthly.
| | |
Fund | | Management Fee Rate |
Rareview Dynamic Fixed Income ETF | | 0.97% |
Rareview Tax Advantaged Income ETF | | 0.75% |
Rareview Inflation/Deflation ETF | | 0.73% |
Rareview Systematic Equity ETF | | 1.10%(a) |
(a) Prior to February 1, 2023, the Management Fee Rate was 0.85%.
GST Management LLC, (“GST”) serves as subadvisor for Rareview Systematic Equity ETF and is paid for its services directly by the Advisor, not the Fund. GST shall be paid 40% of the net management fees.
In addition, the Advisor has contractually agreed to waive a portion or all of its management fees and/or reimburse each Fund’s expenses (excluding front-end or contingent deferred loads, Rule 12b-1 fees, shareholder servicing fees, acquired fund fees and expenses, taxes, leverage/borrowing interest, interest expense, dividends on securities sold short, brokerage or other transactional expenses and extraordinary expenses) in order to limit the Total Annual Operating Expenses after fee waivers and/or expense reimbursements to a specific percentage of each Fund’s average daily net assets (the “Expense Cap”).
| | |
Fund | | Expense Cap |
Rareview Dynamic Fixed Income ETF | | 1.50% |
Rareview Tax Advantaged Income ETF | | 1.25% |
Rareview Inflation/Deflation ETF | | 0.97%(a) |
Rareview Systematic Equity ETF | | 1.35%(b) |
(a) Prior to February 1, 2023, the Expense Cap was 0.87%
(b) Prior to February 1, 2023, the Expense Cap was 0.97%
Each Expense Cap will remain in effect through at least January 31, 2024. The Expense Cap may be terminated earlier only upon approval by the Board, on 60 days’ written notice to the Advisor. More information about each Fund’s fee waiver and Expense Cap agreement is available in the “Management of the Fund” section of each Fund’s prospectus.
Semi-Annual Shareholder Report | 31
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
The Advisor may request recoupment of previously waived fees and reimbursed Fund expenses from the applicable Fund for three years from the date they were waived or reimbursed, provided that after payment of the recoupment, the Total Annual Fund Operating Expenses do not exceed the lesser of the Expense Cap: (i) in effect at the time of the waiver or reimbursement; or (ii) in effect at the time of recoupment.
As of March 31, 2023, the Advisor may recoup amounts from the Funds as follows:
| | | | | | | | |
| | Waived/Reimbursed FY 2021 Expires 9/30/2024 | | Waived/Reimbursed FY 2022 Expires 9/30/2025 | | Waived/Reimbursed FY 2023 Expires 9/30/2026 | | Total |
Rareview Dynamic Fixed Income ETF | | $— | | $— | | $— | | $— |
Rareview Tax Advantaged Income ETF | | 69,755 | | 51,481 | | 38,094 | | 159,330 |
Rareview Inflation/Deflation ETF | | — | | 65,731 | | 45,786 | | 111,517 |
Rareview Systematic Equity ETF | | — | | 71,992 | | 54,147 | | 126,139 |
B. Administration, Custodian, Transfer Agent and Accounting Fees
Citi Fund Services Ohio, Inc. (“Citi”) serves as administrator, fund accountant, and dividend disbursing agent for the Funds pursuant to a Services Agreement. Citibank, N.A. serves as the custodian and transfer agent of the Funds pursuant to a Global Custodial and Agency Services Agreement.
Collaborative Fund Services LLC (“CFS”) provides the Funds with various management and legal administrative services. For these services, the Funds pay CFS an administrative fee that is computed daily and paid monthly, based on the aggregate daily net assets of each Fund and is subject to a minimum monthly fee.
C. Distribution and Shareholder Services Fees
ACA Foreside is the principal underwriter and distributor for the Funds’ Shares. The Distributor is compensated by the Advisor in accordance with a Distribution Services Agreement between the Advisor and the Distributor.
D. Compliance Services
Beacon Compliance Consulting provides compliance services to the Trust and receives a monthly fee paid by the Funds for these services.
Semi-Annual Shareholder Report | 32
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
E. Treasurer Fees
The Treasurer of the Trust receives a fee that is calculated monthly using each Fund’s net assets at month-end and is paid by the Funds on a quarterly basis. During the period ended March 31, 2023, the Funds paid a total of $4,875 to the Treasurer.
F. General
Certain trustees and officers of the Trust are officers, directors and/or trustees of the above companies and, except for the Treasurer, receive no compensation from the Funds for their services.
(4) Investment Transactions
Purchases and sales of investments, excluding in-kind transactions and short-term investments, for the period ended March 31, 2023 were as follows:
| | | | |
| | Purchases | | Sales |
Rareview Dynamic Fixed Income ETF | | $34,467,629 | | $25,765,319 |
Rareview Tax Advantaged Income ETF | | 6,304,762 | | 5,246,940 |
Rareview Inflation/Deflation ETF | | 30,037,237 | | 22,580,422 |
Rareview Systematic Equity ETF | | 23,144,220 | | 25,115,586 |
Purchases and sales of in-kind transactions for the period ended March 31, 2023 were as follows:
| | | | |
| | Purchases | | Sales |
Rareview Dynamic Fixed Income ETF | | $4,415,018 | | $3,108,474 |
Rareview Tax Advantaged Income ETF | | 4,673,217 | | 495,963 |
Rareview Inflation/Deflation ETF | | 1,006,884 | | — |
Rareview Systematic Equity ETF | | 13,958,676 | | 2,651,170 |
Purchases and sales of long-term U.S. government securities for the period ended March 31, 2023 were as follows:
| | | | |
| | Purchases | | Sales |
Rareview Inflation/Deflation ETF | | $21,572,066 | | $17,265,937 |
(5) Capital Share Transactions
Shares are issued and redeemed by each Fund only in aggregations of a specified number of shares or multiples thereof at NAV. Except when aggregated in Creation Units, shares of each Fund are not redeemable. Transactions in shares for each Fund are disclosed in detail on the Statements of Changes in Net Assets.
Semi-Annual Shareholder Report | 33
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
The consideration for the purchase of Creation Units of a Fund generally consists of the in-kind deposit of a designated basket of securities, which constitutes an optimized representation of the securities of that Fund’s specified universe, and an amount of cash. Investors purchasing and redeeming Creation Units may be charged a transaction fee to cover the transfer and other transactional costs it incurs to issue or redeem Creation Units. The transaction fees for each Fund are listed below:
| | | | |
| | Fee for
In-Kind and
Cash Purchases | | Maximum Additional Variable
Charge for
Cash Purchases(a) |
Rareview Dynamic Fixed Income ETF | | $250 | | 2.00% |
Rareview Tax Advantaged Income ETF | | 250 | | 2.00% |
Rareview Inflation/Deflation ETF | | 250 | | 2.00% |
Rareview Systematic Equity ETF | | 250 | | 2.00% |
(a) As a percentage of the amount invested.
From time to time, settlement of securities related to in-kind contributions or in-kind redemptions may be delayed. In such cases, securities related to in-kind transactions are reflected as a receivable or a payable on the Statements of Assets and Liabilities.
As of March 31, 2023, there were no unsettled in-kind capital transactions.
(6) Investment Risks
ETF Risk
The NAV of a Fund can fluctuate up or down, and you could lose money investing in the Fund if the prices of the securities owned by the Fund decline. In addition, a Fund may be subject to the following risks: (1) the market price of the Fund’s shares may trade above or below its NAV; (2) an active trading market for the Fund’s shares may not develop or be maintained; or (3) trading of the Fund’s shares may be halted if the listing exchange’s officials deem such action appropriate, the shares are delisted from the exchange, or the activation of market-wide “circuit breakers” (which are tied to large decreases in stock prices) halts stock trading generally.
Market and Geopolitical Risk
The increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region or financial market. Securities in the Funds may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, climate-change and climate-related
Semi-Annual Shareholder Report | 34
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
events, pandemics, epidemics, terrorism, international conflicts, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years, such as terrorist attacks around the world, natural disasters, social and political discord or debt crises and downgrades, among others, may result in market volatility and may have long term effects on both the U.S. and global financial markets. It is difficult to predict when similar events affecting the U.S. or global financial markets may occur, the effects that such events may have and the duration of those effects. Any such event(s) could have a significant adverse impact on the value and risk profile of the Funds. The coronavirus (COVID-19) global pandemic and the aggressive responses taken by many governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines or similar restrictions, as well as the forced or voluntary closure of, or operational changes to, many retail and other businesses, had negative impacts, and in many cases severe negative impacts, on markets worldwide. It is not known how long such impacts, or any future impacts of other significant events described above, will or would last, but there could be a prolonged period of global economic slowdown, which may impact your investment. Therefore, the Funds could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns. During a general market downturn, multiple asset classes may be negatively affected. Changes in market conditions and interest rates can have the same impact on all types of securities and instruments. In times of severe market disruptions, you could lose your entire investment.
(7) Concentration of Investments
As of March 31, 2023, the Rareview Systematic Equity ETF’s investment in Vanguard S&P 500 ETF represented 29.30% of the Fund’s net assets. The financial statements of the Vanguard S&P 500 ETF can be found by accessing the fund’s website at https://vanguard.com. As of March 31, 2023 the Rareview Inflation/Deflation ETF’s investment in United States Treasury Note expiring 9/30/2027 and United States Treasury Note expiring 2/15/2033 represented 31.88% and 32.44% of the Fund’s net assets, respectively.
(8) Subsequent Events
Management of the Funds has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date these financial statements were issued. Based upon this evaluation, no additional disclosures or adjustments were required to the financial statements as of March 31, 2023.
Semi-Annual Shareholder Report | 35
Approval of Management AgreementMarch 31, 2023 (Unaudited)
November 18, 2022 Regular Meeting
Rareview Systematic Equity ETF
Rareview Capital LLC
Nature, Extent and Quality of Service. The Trustees noted that Rareview Capital, LLC (“Rareview”) was founded in 2016 and was registered with the SEC as an investment adviser with approximately $160 million in assets under management as of September 30, 2022. They further noted that Rareview provided discretionary and non-discretionary investment advisory services to investment companies and separately managed accounts, with approximately $100 million advised in exchange-traded funds (“ETFs”) and $60 million in separately managed accounts. The Trustees reviewed the background information on the key investment personnel that were responsible for servicing the Fund including Mr. Azous, taking into account their education and financial industry experience. They discussed Rareview’s research process and acknowledged the process allowed the Rareview to rebalance the Fund tactically and strategically. They discussed the utilization of a sub-adviser, and that that the sub-adviser’s signals regarding execution of Rareview Systematic Equity ETF’s (the “Fund”) strategy is key to its operations, but that the adviser maintains oversight of the sub-adviser’s investment activities, monitors the Fund’s risk characteristics, and ensures that the Fund’s strategy remaines in compliance with the Fund’s prospectus. They noted that the adviser retains ultimate authority but collaborates with the sub-adviser to select broker-dealers and discussed the adviser’s multi-factor process for broker-dealer selection. The Trustees expressed its satisfaction with Rareview’s overall experience, operations, and compliance culture.
Performance. The Trustees reviewed performance data provided by the adviser regarding the Fund. The Trustees noted the Fund’s since inception returns and that they had significantly outperformed the benchmark index. The Trustees discussed the benchmark provided by the adviser, the MSCI ACWI Index, and the reasonableness of using this index as a benchmark for fund performance. The Trustees contemplated the adviser’s use of the index and agreed that the use of the index was reasonable given the Fund’s strategy, and the global nature of the Fund’s equity exposure. The Trustees acknowledged the strong performance of the Fund and agreed that Rareview should continue to advise the Fund.
Fees and Expenses. The Trustees discussed the proposed advisory fee of 1.10% and the expected total expense ratio(after waiver) of 1.35%. They compared the Fund’s advisory fee and expense ratio to the Fund’s peer group and noted that although both are slightly higher than the peer group’s average advisory fee and net expense ratio of 0.96% and 1.31%, respectively, given the “hedge fund” like nature of the Fund’s long/short strategy, as well as its uniqueness
Semi-Annual Shareholder Report | 36
Approval of Management Agreement (continued)March 31, 2022 (Unaudited)
relative to other available ETFs in the market, that the proposed fees are reasonable. The Trustees noted the additional compliance and operational resources provided by the adviser in managing the Fund. The Board concluded that Rareview’s proposed advisory fees and the overall fees on behalf of the Fund were not unreasonable.
Profitability. The Trustees reviewed profitability analysis for the Fund and noted that the Fund is currently not profitable for Rareview in its current fee structure. The Trustees discussed Rareview’s position that the new fee structure will allow the Fund to be profitable for the adviser. The Trustees noted that they may have to consider alternatives for the Fund in the event that the adviser decided to no longer serve as the Fund’s adviser, including seeking a new adviser or potentially consider the liquidation of the Fund. The Trustees then reviewed the expected profitability of the adviser under the new fee structure. The Trustees acknowledged that the profitability estimates were based on assumptions that may not materialize. After a discussion, the Trustees determined that the estimated profitability for the Fund was reasonable.
Economies of Scale. The Trustees considered whether economies of scale will be realized in connection with the advisory services provided to the Fund. They noted that based on the Fund’s current and projected asset size and profit levels, the absence of breakpoints was acceptable at this time. The Trustees discussed the advisers marketing and distribution of the Fund through multiple channels, including through enhanced marketing efforts. The Trustees discussed Rareview’s position on breakpoints and agreed to continue to monitor the Fund’s asset levels and revisit the matter as the Fund continues to grow in assets.
Conclusion. Having requested and received such information from Rareview as the Board believed to be reasonably necessary to evaluate the terms of the investment advisory agreement, and as assisted by the advice of independent counsel, the Board determined that approval of the advisory agreement was in the best interests of the Fund and its shareholders.
Semi-Annual Shareholder Report | 37
Additional InformationMarch 31, 2023 (Unaudited)
PORTFOLIO HOLDINGS
The Funds file a complete schedule of investments with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-PORT. The Form N-PORT filing must be made within 60 days of the end of the quarter. These filings are available on the SEC’s web site at http://www.sec.gov. You may also obtain copies by calling the Funds at 1-888-783-8637, free of charge.
PREMIUM/DISCOUNT INFORMATION
The Funds’ website at http://www.rareviewcapital.com shows the previous day’s closing NAV and closing market price for the Funds’ ETF Shares. The website also discloses, in the Premium/Discount section, how frequently the Funds’ ETF Shares traded at a premium or discount to NAV (based on closing NAVs and market prices) and the magnitudes of such premiums and discounts.
PROXY VOTING
The Funds’ proxy voting policies, procedures and voting records relating to common stock securities in the Funds’ investment portfolio are available without charge, upon request, by calling the Funds’ toll-free telephone number 1-888-783-8637. The Funds will send this information within three business days of receipt of the request, by first class mail or other means designed to ensure prompt delivery.
The Funds’ proxy information is also available on the SEC’s website at http://www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 is available without charge, upon request by calling 1-888-783-8637 or referring to the SEC’s web site at http://www.sec.gov.
Semi-Annual Shareholder Report | 38
PRIVACY NOTICE
COLLABORATIVE INVESTMENT SERIES TRUST
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FACTS | WHAT DOES THE COLLABORATIVE INVESTMENT SERIES TRUST DO WITH YOUR PERSONAL INFORMATION? |
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Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some, but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
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What? | The types of personal information we collect and share depends on the product or service that you have with us. This information can include: •Social Security number and wire transfer instructions •account transactions and transaction history •investment experience and purchase history When you are no longer our customer, we continue to share your information as described in this notice. |
| |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons the Collaborative Investment Series Trust chooses to share; and whether you can limit this sharing. |
| | |
Reasons we can share your personal information: | Do we share information? | Can you limit
sharing? |
For our everyday business purposes -
such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus. | YES | NO |
For our marketing purposes - to offer our products and services to you. | NO | We don’t share |
For joint marketing with other financial companies. | NO | We don’t share |
For our affiliates’ everyday business purposes - information about your transactions and records. | NO | We don’t share |
Sem-Annual Shareholder Report | 39
| | |
Reasons we can share your personal information: | Do we share information? | Can you limit
sharing? |
For our affiliates’ everyday business purposes - information about your credit worthiness. | NO | We don’t share |
For our affiliates to market to you | NO | We don’t share |
For non-affiliates to market to you | NO | We don’t share |
QUESTIONS? | Call 1-800-595-4866 |
| |
What we do: |
How does the Collaborative Investment Series Trust protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. Our service providers are held accountable for adhering to strict policies and procedures to prevent any misuse of your nonpublic personal information. |
How does the Collaborative Investment Series Trust collect my personal information? | We collect your personal information, for example, when you •open an account or deposit money •direct us to buy securities or direct us to sell your securities •seek advice about your investments We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only: •sharing for affiliates’ everyday business purposes – information about your creditworthiness. •affiliates from using your information to market to you. •sharing for nonaffiliates to market to you. State laws and individual companies may give you additional rights to limit sharing. |
Semi-Annual Shareholder Report | 40
| |
Definitions |
Affiliates | Companies related by common ownership or control. They can be financial and non-financial companies. •The Collaborative Investment Series Trust does not share with affiliates. |
Non-affiliates | Companies not related by common ownership or control. They can be financial and non-financial companies. •The Collaborative Investment Series Trust does not share with non-affiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. •The Collaborative Investment Series Trust doesn’t jointly market. |
Investment Advisor
Rareview Capital LLC
1980 Festival Plaza Drive, Suite 300
Las Vegas, NV 89135
Investment Subadvisor
Rareview Systematic Equity ETF
GST Management, LLC
9 East 96th Street, 9B
New York, NY 10128
Distributor
ACA Foreside
Three Canal Plaza, Suite 100
Portland, ME 04101
Custodian and Transfer Agent
Citibank, N.A.
388 Greenwich Street
New York, NY 10048
Legal Counsel
Thompson Hine LLP
41 South High Street, Suite 1700
Columbus, OH 43215
Independent Registered Public Accounting Firm
Cohen & Company, Ltd.
342 North Water Street, Suite 830
Milwaukee, WI 53202
Administrator, Accountant and Dividend Disbursing Agent
Citi Fund Services Ohio, Inc.
4400 Easton Commons, Suite 200
Columbus, OH 43219
This report is provided for the general information of the Funds’ shareholders. It is not authorized for distribution unless preceded or accompanied by an effective prospectus, which contains more complete information about the Funds.
5/23
Tuttle Capital Management, LLC
155 Lockwood Rd.
Riverside, CT 06878
1-866-904-0406
www.spcxetf.com
Semi-Annual
Shareholder Report
The SPAC and New Issue ETF
March 31, 2023
Semi-Annual Shareholder Report | 1
Expense ExamplesMarch 31, 2023 (Unaudited)
As a Fund shareholder, you may incur two types of costs: (1) transaction costs, including commissions on trading, as applicable; and (2) ongoing costs, including advisory fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The expense examples below are based on an investment of $1,000 invested at the beginning of the period and held for the six-month period ended March 31, 2023.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Further, the expenses do not include any brokerage commissions on investors’ purchases or redemptions of Fund shares as described in the Fund’s prospectus. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Semi-Annual Shareholder Report | 2
Expense Examples (continued)March 31, 2023 (Unaudited)
| | | | | | | | |
| | Beginning
Account Value
10/1/2022 | | Ending
Account Value
3/31/2023 | | Expenses Paid
During Period(a) | | Annualized
Expense
Ratio |
The SPAC and New Issue ETF | Actual | $1,000.00
| | $890.90
| | $4.48 | | 0.95% |
| Hypothetical | 1,000.00 | | 1,020.19 | | 4.78 | | 0.95 |
(a) Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 182/365 (the number of days in the most recent fiscal half year divided by the number of days in the fiscal year).
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 3
Portfolio of InvestmentsMarch 31, 2023 (Unaudited)
The SPAC and New Issue ETF
| | |
Portfolio of Investments Summary Table | | Percentage of Total
Investments (%) |
Financials | | 95.9 |
Private Investments | | 2.8 |
Rights | | 0.2 |
Warrants | | 1.1 |
Total | | 100.0 |
Portfolio holdings and allocations are subject to change. As of March 31, 2023, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund’s total net assets.
Portfolio of Investments
| | | | | | |
| Shares/Units | | | Fair Value ($) | |
| Common Stocks — 89.9% | | | |
| Financials — 89.9% | | | |
| 24,069 | | A SPAC II Acquisition Corp.(a) | | 250,077 | |
| 74,315 | | Acropolis Infrastructure Acquisition Corp., Class A(a) | | 752,811 | |
| 18,740 | | Arrowroot Acquisition Corp., Class A(a) | | 192,085 | |
| 19,219 | | Athena Technology Acquisition Corp. II, Class A(a) | | 196,995 | |
| 44,897 | | Aura FAT Projects Acquisition Corp.(a) | | 472,765 | |
| 40,000 | | Aurora Technology Acquisition Corp., Class A(a) | | 414,800 | |
| 22,349 | | Banyan Acquisition Corp., Class A(a) | | 232,430 | |
| 40,000 | | Blue Whale Acquisition Corp. I, Class A(a) | | 397,600 | |
| 36,000 | | BlueRiver Acquisition Corp., Class A(a) | | 365,760 | |
| 50,571 | | Bluescape Opportunities Acquisition Corp., Class A(a) | | 504,699 | |
| 18,553 | | Churchill Capital Corp. V(a) | | 187,014 | |
| 41,762 | | Churchill Capital Corp. VII, Class A(a) | | 423,467 | |
| 52,694 | | Coliseum Acquisition Corp., Class A(a) | | 538,533 | |
| 25,714 | | Concord Acquisition Corp. II, Class A(a) | | 260,740 | |
| 59,657 | | Conyers Park III Acquisition Corp.,
Class A(a) | | 603,132 | |
| 16,163 | | EF Hutton Acquisition Corp. I(a) | | 164,701 | |
| 77,143 | | FAST Acquisition Corp. II, Class A(a) | | 787,629 | |
| 50,000 | | Forest Road Acquisition Corp. II,
Class A(a) | | 497,000 | |
| 18,914 | | Integrated Rail and Resources Acquisition Corp., Class A(a) | | 198,219 | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 4
Portfolio of Investments (continued)March 31, 2023 (Unaudited)
The SPAC and New Issue ETF
| | | | | | |
| Shares/Units | | | Fair Value ($) | |
| Financials — 89.9% (continued) | | | |
| 35,000 | | Israel Acquisitions Corp., Class A(a) | | 358,050 | |
| 35,150 | | Kernel Group Holdings, Inc., Class A(a) | | 362,045 | |
| 10,027 | | Keyarch Acquisition Corp.(a) | | 103,479 | |
| 51,356 | | Logistics Innovation Technologies Corp., Class A(a) | | 521,263 | |
| 95,612 | | Metals Acquisition Corp., Class A(a) | | 977,154 | |
| 54,957 | | Newbury Street Acquisition Corp.(a) | | 563,309 | |
| 22,836 | | Newhold Investment Corp. II, Class A(a) | | 232,014 | |
| 12,000 | | Pono Capital Three, Inc.(a) | | 122,520 | |
| 14,369 | | Pono Capital Two, Inc.(a) | | 150,443 | |
| 30,745 | | RMG Acquisition Corp. III(a) | | 308,065 | |
| 43,906 | | Schultze Special Purpose Acquisition Corp. II, Class A(a) | | 458,379 | |
| 25,094 | | Screaming Eagle Acquisition Corp., Class A(a) | | 254,704 | |
| 54,822 | | Senior Connect Acquisition Corp. I, Class A(a) | | 550,961 | |
| 35,064 | | SHUAA Partners Acquisition Corp. I, Class A(a) | | 367,471 | |
| 57,800 | | Spree Acquisition Corp. 1, Ltd.(a) | | 602,276 | |
| 11,386 | | Springwater Special Situations Corp.(a) | | 115,568 | |
| 62,640 | | Thunder Bridge Capital Partners IV, Inc., Class A(a) | | 633,917 | |
| 67,033 | | TortoiseEcofin Acquisition Corp. III(a) | | 685,077 | |
| 74,226 | | TPG Pace Beneficial II Corp.(a) | | 740,040 | |
| 57,623 | | Twelve Seas Investment Co. II(a) | | 590,060 | |
| 14,885 | | Valuence Merger Corp. I, Class A(a) | | 157,334 | |
| | | | | 16,294,586 | |
| Total Common Stocks (Cost $15,894,660) | | 16,294,586 | |
| | | | | | |
| Private Investments — 2.7% | | | |
| 255,379 | | Adara Acquisition Corp. –
Founder Shares(a)(b)(c) | | 353,466 | |
| 59,668 | | Springwater Special Situations Corp. – Founder Shares(a)(b)(c) | | 94,783 | |
| 19,889 | | Springwater Special Situations Corp. – Private Placement Units(a)(b)(c)(e) | | 31,594 | |
| | | | | 479,843 | |
| Total Private Investments (Cost $623,895) | | 479,843 | |
| | | | | | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 5
Portfolio of Investments (continued)March 31, 2023 (Unaudited)
The SPAC and New Issue ETF
| | | | | | |
| Shares/Units | | | Fair Value ($) | |
| Rights — 0.2% | | | | |
| 32,020 | | A SPAC II Acquisition Corp., 01/02/2026(a) | | 2,722 | |
| 40,000 | | Aurora Technology Acquisition Corp., 01/01/2024(a) | | 4,100 | |
| 69,024 | | Deep Medicine Acquisition Corp., 01/12/2029(a) | | 9,677 | |
| 16,893 | | EF Hutton Acquisition Corp. I, 12/31/2025(a) | | 2,027 | |
| 42,948 | | International Media Acquisition Corp.(a) | | 4,295 | |
| 10,528 | | Keyarch Acquisition Corp.(a) | | 1,684 | |
| 26,370 | | Northview Acquisition Corp., 12/31/2026(a) | | 4,483 | |
| 11,386 | | Springwater Special Situations Corp., 01/01/2024(a) | | — | |
| | | | | 28,988 | |
| Total Rights (Cost $825) | | 28,988 | |
| | | | | | |
| Warrants — 1.0% | | | |
| 16,010 | | A SPAC II Acquisition Corp., 05/03/2027(a) | | 480 | |
| 26,848 | | Acropolis Infrastructure Acquisition Corp., 03/31/2026(a) | | 4,575 | |
| 425,000 | | Adara Sponsor LLC, 01/13/2049(a)(b)(c)(f) | | 22,950 | |
| 12,229 | | Allego NV, 03/16/2027(a) | | 3,027 | |
| 12,221 | | Alpha Tau Medical, Ltd., 03/07/2027(a) | | 3,422 | |
| 5,428 | | Alvotech SA, 06/15/2027(a) | | 12,864 | |
| 7,649 | | Ares Acquisition Corp., Class A, 12/31/2027(a) | | 6,731 | |
| 15,030 | | Athena Technology Acquisition Corp. II, 10/17/2028(a) | | 1,354 | |
| 50,000 | | Aura FAT Projects Acquisition Corp., 06/02/2027(a) | | 2,125 | |
| 40,000 | | Aurora Technology Acquisition Corp., 02/07/2028(a) | | 948 | |
| 16,095 | | Banyan Acquisition Corp., 09/30/2028(a) | | 708 | |
| 8,538 | | BigBear.ai Holdings, Inc., 12/31/2028(a) | | 2,305 | |
| 5,870 | | Churchill Capital Corp. V, 10/29/2027(a) | | 1,097 | |
| 16,893 | | EF Hutton Acquisition Corp. I, 12/08/2027(a) | | 794 | |
| 47,224 | | Fathom Digital Manufacturing C, 12/31/2027(a) | | 1,884 | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 6
Portfolio of Investments (continued)March 31, 2023 (Unaudited)
The SPAC and New Issue ETF
| | | | | | |
| Shares/Units | | | Fair Value ($) | |
| Warrants — 1.0% (continued) | | | |
| 42,500 | | Freightos, Ltd., 01/23/2028(a) | | 8,496 | |
| 7,095 | | Golden Arrow Merger Corp., 07/31/2026(a) | | 356 | |
| 37,500 | | Hammerhead Energy, Inc., 01/03/2028(a) | | 43,875 | |
| 13,561 | | Hyzon Motors, Inc., Class C, 10/02/2025(a) | | 929 | |
| 16,897 | | Integrated Rail And Resources Acquisition Corp., 05/21/2023(a) | | 4,459 | |
| 35,000 | | Israel Acquisitions Corp., 02/28/2028(a) | | 4,901 | |
| 15,764 | | Kernel Group Holdings, Inc., Class A, 01/31/2027(a) | | 1,892 | |
| 6,000 | | Keyarch Acquisition Corp., 07/25/2028(a) | | 300 | |
| 33,750 | | LIV Capital Acquisition Corp. II, 02/16/2027(a) | | 1,721 | |
| 40,204 | | Metals Acquisition Corp., 07/12/2026(a) | | 29,349 | |
| 8,781 | | Moringa Acquisition Corp., 02/10/2026(a) | | 783 | |
| 10,402 | | New Vista Acquisition Corp., 12/31/2027(a)(g) | | — | |
| 19,770 | | Newbury Street Acquisition Corp., 12/31/2027(a) | | 890 | |
| 16,151 | | Newhold Investment Corp. II, 10/21/2023(a) | | 1,777 | |
| 13,185 | | NorthView Acquisition Corp., 08/02/2027(a) | | 989 | |
| 12,478 | | Nubia Brand International Corp., 11/16/2026(a) | | 2,993 | |
| 11,868 | | P3 Health Partners, Inc., 11/19/2026(a) | | 949 | |
| 21,244 | | SatixFy Communications, Ltd., 10/26/2027(a) | | 1,275 | |
| 26,276 | | Schultze Special Purpose Acquisition Corp. II, 03/25/2028(a) | | 2,102 | |
| 9,220 | | Screaming Eagle Acquisition Corp., 12/15/2027(a) | | 2,028 | |
| 4,289 | | Selina Hospitality PLC, 10/25/2027(a) | | 386 | |
| 25,249 | | SHUAA Partners Acquisition Corp. I, 03/02/2027(a) | | 3,787 | |
| 683 | | Solid Power, Inc., 12/08/2026(a) | | 301 | |
| 10,263 | | Sonder Holdings, Inc., 01/31/2028(a) | | 739 | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 7
Portfolio of Investments (continued)March 31, 2023 (Unaudited)
The SPAC and New Issue ETF
| | | | | | |
| Shares/Units | | | Fair Value ($) | |
| Warrants — 1.0% (continued) | | | |
| 28,900 | | Spree Acquisition Corp. 1, Ltd., 12/22/2028(a) | | 769 | |
| 70,160 | | Springwater Special Situations Corp., 04/12/2026(a) | | 2,175 | |
| 13,333 | | Target Global Acquisition I Corp., 12/31/2027(a) | | 1,733 | |
| 13,635 | | Twelve Seas Investment Co. II, 03/02/2028(a) | | 678 | |
| 8,978 | | Valuence Merger Corp. I, 03/01/2027(a) | | 315 | |
| 29,698 | | Worldwide Webb Acquisition Corp., 10/20/2026(a) | | 2,322 | |
| | | | | 188,533 | |
| Total Warrants (Cost $78,515) | | 188,533 | |
| | | | |
| Total Investments — 93.8% (Cost $16,597,895) | | 16,991,950 | |
| Other Assets in Excess of Liabilities — 6.2% | | 1,125,292 | |
| Net Assets — 100.0% | | 18,117,242 | |
(a) Non-income producing security.
(b) Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of March 31, 2023. The total of all such securities represents 2.78% of the net assets of the Fund.
(c) Security which is restricted to resale. The Fund’s advisor has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. The aggregate value of these securities at March 31, 2023 was $502,793 which represented 2.78% of the total investments of the Fund.
(d) This position represents a private placement investment in a SPAC sponsor. The return on this investment is subject to a waterfall upon the consummation of a deal and may be paid in cash and/or SPAC shares and/or warrants.
(e) Each unit represents one share and ½ warrant.
(f) Warrant expires five years after initial business combination.
(g) Amount less than $0.05.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 8
Portfolio of Investments (continued)March 31, 2023 (Unaudited)
The SPAC and New Issue ETF
The illiquid restricted securities held as of March 31, 2023 are identified below.
| | | | | | | | | | |
Security | | Acquisition Date(a) | | Acquisition Cost
($) | | Shares or Units | | Fair Value
($) | | Percentage of Net Assets (%) |
Adara Acquisition Corp. – Founder Shares | | 1/14/2021 | | 425,000 | | 255,379 | | 353,466 | | 2.0 |
Springwater Special Situations Corp. – Founder Shares | | 8/12/2021 | | 153,894 | | 59,668 | | 94,783 | | 0.5 |
Springwater Special Situations Corp. – Private Placement Units | | 8/12/2021 | | 45,000 | | 19,889 | | 31,594 | | 0.2 |
Adara Acquisition Corp.(a) | | 1/14/2021 | | — | | 425,000 | | 22,950 | | 0.1 |
(a) Acquisition date represents the initial purchase date of the security.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 9
Statement of Assets and LiabilitiesMarch 31, 2023 (Unaudited)
| | |
| The SPAC and New Issue ETF |
Assets: | | |
Investments, at value (Cost $16,597,895) | $16,991,950 | |
Cash | 1,025,243 | |
Receivable for investments sold | 46,395 | |
Receivable due from advisor | 67,019 | |
Prepaid expenses and other assets | 3,543 | |
Total Assets | 18,134,150 | |
Liabilities: | | |
Accrued expenses: | | |
Administration | 3,399 | |
Compliance services | 1 | |
Custodian | 921 | |
Fund accounting | 9,041 | |
Legal and audit | 2,128 | |
Trustee | 984 | |
Other | 434 | |
Total Liabilities | 16,908 | |
Net Assets | $18,117,242 | |
Net Assets consist of: | | |
Paid-in Capital | $24,685,963 | |
Total Distributable Earnings (Accumulated Deficit) | (6,568,721 | ) |
Net Assets | $18,117,242 | |
| | |
Net Assets: | $18,117,242 | |
Shares of Beneficial Interest Outstanding
(unlimited number of shares authorized, no par value): | 775,000 | |
Net Asset Value (offering and redemption price per share): | $23.38 | |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 10
Statement of OperationsFor the period ended March 31, 2023 (Unaudited)
| | |
| The SPAC and New Issue ETF |
Investment Income: | | |
Interest income | $150 | |
Total Investment Income | 150 | |
Expenses: | | |
Advisory | 100,996 | |
Administration | 24,337 | |
Compliance services | 4,501 | |
Custodian | 1,727 | |
Fund accounting | 33,206 | |
Legal and audit | 25,943 | |
Printing | 5,978 | |
Treasurer | 2,250 | |
Trustee | 2,184 | |
Other | 4,622 | |
Total Expenses before fee reductions | 205,744 | |
Expenses contractually waived and/or reimbursed by the Advisor | (90,450 | ) |
Total Net Expenses | 115,294 | |
Net Investment Income (Loss) | (115,144 | ) |
Realized and Unrealized Gains (Losses) from Investments: | | |
Net realized gains (losses) from investment transactions | (2,709,880 | ) |
Net realized gains (losses) from in-kind transactions | (7,355 | ) |
Change in unrealized appreciation (depreciation) on investments | 56,372 | |
Net Realized and Unrealized Gains (Losses) from Investments: | (2,660,863 | ) |
Change in Net Assets Resulting From Operations | $(2,776,007 | ) |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 11
Statements of Changes in Net Assets
| | | | |
| The SPAC and New Issue ETF |
| Six Months Ended
March 31,
2023
(Unaudited) | | Year Ended
September 30, 2022 | |
From Investment Activities: | | | | |
Operations: | | | | |
Net investment income (loss) | $(115,144 | ) | $(442,292 | ) |
Net realized gains (losses) from investment and in-kind transactions | (2,717,235 | ) | (5,733,181 | ) |
Change in unrealized appreciation (depreciation) on investments | 56,372 | | 2,929,266 | |
Change in net assets resulting from operations | (2,776,007 | ) | (3,246,207 | ) |
Distributions to Shareholders From: | | | | |
Earnings | — | | (813,499 | ) |
Change in net assets from distributions | — | | (813,499 | ) |
Capital Transactions: | | | | |
Proceeds from shares issued | 3,142,129 | | 7,520,485 | |
Proceeds for NAV error(a) | 60,000 | | 37,627 | |
Cost of shares redeemed | (12,484,494 | ) | (58,766,552 | ) |
Change in net assets from capital transactions | (9,282,365 | ) | (51,208,440 | ) |
Change in net assets | (12,058,372 | ) | (55,268,146 | ) |
Net Assets: | | | | |
Beginning of period | 30,175,614 | | 85,443,760 | |
End of period | $18,117,242 | | $30,175,614 | |
Share Transactions: | | | | |
Issued | 125,000 | | 275,000 | |
Redeemed | (500,000 | ) | (2,100,000 | ) |
Change in shares | (375,000 | ) | (1,825,000 | ) |
(a) See Note 2 in Notes to Financial Statements.
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 12
| | | | | | | |
The SPAC and New Issue ETF | | Six Months Ended
March 31, 2023
(Unaudited) | | Year Ended
September 30, 2022 | | December 15, 2020(a)
through
September 30, 2021 | |
Net Asset Value,
Beginning of Period | | $26.24 | | $28.72 | | $25.00 | |
| | | | | | | |
Net Investment Income (Loss)(b) | | (0.12 | ) | (0.25 | ) | (0.26 | ) |
Net Realized and Unrealized Gains (Losses) on Investments | | (2.80 | ) | (1.89 | ) | 3.98 | |
Total from Investment Activities(c) | | (2.92 | ) | (2.14 | ) | 3.72 | |
| | | | | | | |
Distributions from Net Investment Income | | — | | (0.36 | ) | — | |
Distributions from Net Realized Gains on Investments | | — | | — | | — | |
Total Distributions | | — | | (0.36 | ) | — | |
| | | | | | | |
Impact of NAV error | | 0.06 | | 0.02 | | — | |
Net Asset Value, End of Period | | $23.38 | | $26.24 | | $28.72 | |
Net Assets at End of Period (000’s) | $18,117 | | $30,176 | | $85,444 | |
| | | | | | | |
Total Return at NAV(d)(e) | | (10.91 | )%(f) | (7.47 | )%(g) | 14.88 | % |
Total Return at Market(e)(h) | | (8.79 | )% | (7.74 | )% | 14.96 | % |
| | | | | | | |
Ratio of Operating Expenses to Average Net Assets(i) | | 0.95 | % | 0.95 | % | 0.95 | % |
Ratio of Gross Expenses to Average Net Assets(i)(j) | | 1.69 | % | 1.31 | % | 1.13 | % |
Ratio of Net Investment Income (Loss) to Average Net Assets(i) | | (0.95 | )% | (0.88 | )% | (0.90 | )% |
Portfolio Turnover(e)(k) | | 29 | % | 51 | % | 124 | % |
See notes which are an integral part of the Financial Statements.
Semi-Annual Shareholder Report | 13
Financial Highlights (continued)
(a) Commencement of operations.
(b) Calculated based on average shares method.
(c) Realized and unrealized gains per share are balancing amounts necessary to reconcile the change in net asset value per share for the period and may not accord with the aggregate gains and losses in the Statement of Operations due to share transactions for the period.
(d) Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at net asset value. This percentage is not an indication of the performance of a shareholder’s investment in the Fund based on market value due to differences between the market price of the shares and the net asset value per share of the Fund.
(e) Not annualized for periods less than one year.
(f) As a result of the Adara Acquisition Corps business combination with Alliance Entertainment, the Adara Acquisition Corp founders shares held by the fund were subject to an involuntary haircut to its number of shares backdated to the Business Combination closing on February 10, 2023. The share haircut result in an overstated NAV error from February 10, 2023 to March 31, 2023. The impact of the NAV error on Total Return at NAV was (1.70)%.
(g) A reduction in position of a private placement security resulted in an overstated NAV error from September 14, 2021 through February 7, 2022. The impact of the NAV error on Total Return at NAV was (0.07)%.
(h) Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price from any primary listing market (e.g., Nasdaq) or participating regional exchanges or markets. The composite closing price is the last reported sale price from any of the eligible sources, regardless of volume and not an average price and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund’s closing price on the listing market.
(i) Annualized for periods less than one year.
(j) If applicable, certain fees were waived and/or reimbursed. If such waivers/reimbursements had not occurred, the ratio would have been as indicated.
(k) Excludes the impact of in-kind transactions.
Semi-Annual Shareholder Report | 14
Notes to Financial StatementsMarch 31, 2023 (Unaudited)
(1) Organization
Collaborative Investment Series Trust (the “Trust”) was organized on July 26, 2017 as a Delaware statutory trust. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”) as an open-end management investment company and thus is determined to be an investment company for accounting purposes. The Trust is comprised of several funds and is authorized to issue an unlimited number of shares of beneficial interest (“Shares”) in one or more series representing interests in separate portfolios of securities. The accompanying financial statements are those of The SPAC and New Issue ETF (the “Fund”). The Fund is a diversified actively-managed exchange-traded fund. The Fund’s prospectus provides a description of the Fund’s investment objectives, policies, and strategies. The assets of the Fund are segregated and a shareholder’s interest is limited to the Fund in which shares are held.
Under the Trust’s organizational documents, its officers and Board of Trustees (the “Board”) are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Trust may enter into contracts with vendors and others that provide for general indemnifications. The Trust’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust. However, based on experience, the Trust expects that risk of loss to be remote.
(2) Significant Accounting Policies
Shares of the Fund are listed and traded on the Nasdaq Stock Exchange (“Nasdaq”). Market prices for the Shares may be different from their net asset value (“NAV”). The Fund issues and redeems Shares on a continuous basis at NAV only in large blocks of Shares, currently 25,000 Shares, called Creation Units (“Creation Units”). Creation Units are issued and redeemed principally in-kind for securities included in a specified universe. Once created, Shares generally trade in the secondary market at market prices that change throughout the day in amounts less than a Creation Unit. Shares of the Fund may only be purchased or redeemed by certain financial institutions (“Authorized Participants”). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with ACA Foreside (the “Distributor”). Most retail investors do not qualify as Authorized Participants nor have the resources to buy and sell whole Creation Units. Therefore, they are unable to purchase or redeem the shares directly from the Fund.
The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The Fund is an investment company
Semi-Annual Shareholder Report | 15
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services – Investment Companies”. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.
Payment from affiliate - For the period ended March 31, 2023, the Fund will be reimbursed $60,000 from the Advisor as a result of a NAV error. For the year ended September 30, 2022, the Fund was reimbursed $37,627 from the Administrator as a result of a trading error. These are included in capital transactions on the Fund’s Statements of Changes in Net Assets.
A. Investment Valuations
The Fund holds investments at fair value. Fair value is defined as the price that would be expected to be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The valuation techniques used to determine fair value are further described below.
Security values are ordinarily obtained through the use of independent pricing services in accordance with Rule 2a-5 under the 1940 Act pursuant to procedures adopted by the Board. Pursuant to these procedures, the Fund may use a pricing service, bank, or broker-dealer experienced in such matters to value the Fund’s securities. When reliable market quotations are not readily available for any security, the fair value of that security will be determined by a committee established by the Board in accordance with Rule 2a-5 under the 1940 Act pursuant to procedures adopted by the Board. The fair valuation process is designed to value the subject security at the price the Fund would reasonably expect to receive upon its current sale. Additional consideration is given to securities that have experienced a decrease in the volume or level of activity or to circumstances that indicate that a transaction is not orderly.
The Trust uses a three-tier fair value hierarchy that is dependent upon the various “inputs” used to determine the value of the Fund’s investments. The valuation techniques described below maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. These inputs are summarized in the three broad levels listed below:
• Level 1 - Quoted prices in active markets for identical assets that the Fund has the ability to access.
• Level 2 - Other observable pricing inputs at the measurement date (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
• Level 3 - Significant unobservable pricing inputs at the measurement date (including the Fund’s own assumptions in determining the fair value of investments).
Semi-Annual Shareholder Report | 16
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.
Common stocks, closed-end funds, and exchange-traded funds (“ETFs”) traded on a recognized securities exchange are valued at that day’s last traded price or official closing price, as applicable, on the exchange where the fund is primarily traded. Funds traded on a recognized exchange for which there were no sales on that day may be valued at the last traded price. In each of these situations, valuations are typically categorized as Level 1 in the fair value hierarchy.
The following table summarizes the Fund’s investments, based on their valuation inputs, as of March 31, 2023, while the breakdown, by category, of investments is disclosed in the Portfolio of Investments for the Fund:
| | | | | | | | |
| | Level 1 | | Level 2 | | Level 3 | | Total Investments |
The SPAC and New Issue ETF | | | | | | | | |
Common Stocks(a) | | $16,294,586 | | $— | | $— | | $16,294,586 |
Private Investments | | — | | — | | 479,843 | | 479,843 |
Rights | | 28,988 | | — | | — | | 28,988 |
Warrants | | 165,583 | | — | (b) | 22,950 | | 188,533 |
Total Investments | | $16,489,157 | | $— | | $502,793 | | $16,991,950 |
(a) Please see the Portfolio of Investments for industry classifications.
(b) Amount less than $0.05.
The following table is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value.
| | |
| The SPAC and New Issue ETF | |
Balance as of September 30, 2022 | $3,874,576 | |
Purchases During the Period | — | |
Change in Unrealized Appreciation (Depreciation) | (2,646,783 | ) |
Sales During the Period | — | |
Realized Gains (Losses) | (725,000 | ) |
Transfers In (Out) of Level 3 | — | |
Balance as of March 31, 2023 | 502,793 | |
The total change in unrealized appreciation (depreciation) attributable to Level 3 investments held at period end is ($1,515,107) for the period ended March 31, 2023.
The following is a summary of quantitative information about significant unobservable valuation inputs approved by the Fair Value Committee in accordance with procedures adopted by the Board for Level 3 Fair Value Measurements for investments held at March 31, 2023.
Semi-Annual Shareholder Report | 17
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
| | | | | |
Type of Assets | Fair Value at March 31, 2023 | Valuation Techniques | Unobservable Input(s)(a) | Value Range | Weighted Average |
SPAC Founder Shares, Private Placement Units, Private Investments and Warrants | $502,793 | Discount
to Public Share Price | Discount
for lack of marketability | 85% - 90% of Public Share Price | 89.7%
of Public Share Price |
(a) A change to the unobservable input may result in a significant change to the value of the investment as follows:
| | |
Unobservable Input | Impact to Value
if Input Increases | Impact to value
if Input Decreases |
Discount for
lack of marketability | Decrease | Increase |
B. Security Transactions and Related Income
Investment transactions are accounted for no later than the first calculation of the NAV on the business day following the trade date. For financial reporting purposes, however, security transactions are accounted for on the trade date on the last business day of the reporting period. Securities’ gains and losses are calculated on the identified cost basis. Interest income and expenses are accrued daily. Dividends and dividend expense, less foreign tax withholding, if any, are recorded on the ex-dividend date. Investment income from non-U.S. sources received by the Fund is generally subject to non-U.S. withholding taxes at rates ranging up to 30%. Such withholding taxes may be reduced or eliminated under the terms of applicable U.S. income tax treaties. The Fund may be subject to foreign taxes on gains in investments or currency repatriation. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
C. Cash
Idle cash may be swept into various interest-bearing overnight demand deposits and is classified as cash on the Statement of Assets and Liabilities. The Fund maintains cash in bank deposit accounts which, at times, may exceed the United States federally insured limit of $250,000. Amounts swept overnight are available on the next business day.
D. Dividends and Distributions to Shareholders
Distributions are recorded on the ex-dividend date. The Fund intends to distribute to its shareholders net investment income and net realized capital gains, if any, at least annually. The amount of dividends from net investment income and net realized gains is determined in accordance with federal income tax regulations, which may differ from GAAP. These “book/tax” differences are considered either temporary or permanent in nature. To the extent these
Semi-Annual Shareholder Report | 18
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
differences are permanent in nature (e.g., distributions and income received from pass-through investments), such amounts are reclassified within the capital accounts based on their nature for federal income tax purposes; temporary differences do not require reclassification.
The Fund may utilize earnings and profits distributed to shareholders on redemption of shares as part of the dividends paid deduction.
E. Allocation of Expenses
Expenses directly attributable to a Fund are charged to that Fund. Expenses not directly attributable to a Fund are allocated proportionally among all Funds within the Trust in relation to the net assets of each Fund or on another reasonable basis.
(3) Investment Advisory and Other Contractual Services
A. Investment Advisory Fees
Tuttle Capital Management, LLC (the “Advisor”), serves as the Fund’s investment advisor pursuant to an investment advisory agreement. Subject at all times to the oversight and approval of the Board, the Advisor is responsible for the overall management of the Fund. The Fund pays the Advisor a management fee of 0.83% of its average daily net assets, calculated daily and paid monthly.
The Advisor has contractually agreed to reduce its fees and to reimburse expenses, at least through January 31, 2024 to ensure that Net Annual Fund Operating Expenses (exclusive of any (i) front-end or contingent deferred loads, (ii) brokerage fees and commissions, (iii) acquired fund fees and expenses, (iv) fees and expenses associated with instruments in other collective investment vehicles or derivative instruments (including for example options and swap fees and expenses); (v) borrowing costs (such as interest and dividend expense on securities sold short), (vi) taxes, (vii) other fees related to underlying investments, (such as option fees and expenses or swap fees and expenses); or (viii) extraordinary expenses such as litigation (which may include indemnification of Fund officers and trustees or contractual indemnification of Fund service providers’ (other than the Advisor)) will not exceed 0.95%. This expense limitation agreement may be terminated at any time, by the Board upon sixty days’ written notice to the Advisor. The expense limitation agreement will automatically terminate, if the Investment Advisory Agreement is terminated. Fee waivers and expense reimbursements are subject to possible recoupment from the Fund in future years on a rolling three-year basis (within the three years after the fees have been waived or reimbursed) if such recoupment can be achieved within the foregoing expense limits or the expense limits in place at the time of recoupment.
Semi-Annual Shareholder Report | 19
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
As of March 31, 2023, the Advisor may recoup amounts from the Fund as follows:
| | | | | | | |
| Waived/Reimbursed
FY 2021
Expires 9/30/2024 | | Waived/Reimbursed
FY 2022
Expires 9/30/2025 | | Waived/Reimbursed
FY 2023
Expires 9/30/2026 | | Total |
The SPAC and New Issue ETF | $154,955 | | $182,529 | | $90,450 | | $427,934 |
B. Administration, Custodian, Transfer Agent and Accounting Fees
Citi Fund Services Ohio, Inc. (“Citi”) serves as administrator, fund accountant, and dividend disbursing agent for the Fund pursuant to a Services Agreement. Citibank, N.A. serves as the custodian and transfer agent of the Fund pursuant to a Global Custodial and Agency Services Agreement.
Collaborative Fund Services LLC (“CFS”) provides the Fund with various management and legal administrative services. For these services, the Fund pays CFS an administrative fee that is computed daily and paid monthly, based on the aggregate daily net assets of the Fund and is subject to a minimum monthly fee.
C. Distribution and Shareholder Services Fees
ACA Foreside is the principal underwriter and distributor for the Fund’s Shares. The Distributor is compensated by the Advisor in accordance with a Distribution Services Agreement between the Advisor and the Distributor.
D. Compliance Services
Beacon Compliance Consulting provides compliance services to the Trust and receives a monthly fee paid by the Fund for these services.
E. Treasurer Fees
The Treasurer of the Trust receives a fee that is calculated monthly using the net assets at month-end and is paid by the Fund on a quarterly basis. During the period ended March 31, 2023, the Fund paid a total of $2,550 to the Treasurer.
F. General
Certain trustees and officers of the Trust are officers, directors and/or trustees of the above companies and, except for the Treasurer, receive no compensation from the Fund for their services.
Semi-Annual Shareholder Report | 20
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
(4) Investment Transactions
Purchases and sales of investments, excluding in-kind transactions and short-term investments, for the period ended March 31, 2023 were as follows:
| | |
| Purchases | Sales |
The SPAC and New Issue ETF | $6,261,158 | $13,817,412 |
Purchases and sales of in-kind transactions for the period ended March 31, 2023 were as follows:
| | |
| Purchases | Sales |
The SPAC and New Issue ETF | $1,477,862 | $1,169,354 |
There were no purchases or sales of U.S. government securities during the period ended March 31, 2023.
(5) Capital Share Transactions
Shares are issued and redeemed by the Fund only in aggregations of a specified number of shares or multiples thereof at NAV. Except when aggregated in Creation Units, shares of the Fund are not redeemable. Transactions in shares for the Fund are disclosed in detail on the Statements of Changes in Net Assets.
The consideration for the purchase of Creation Units of a Fund generally consists of the in-kind deposit of a designated basket of securities, which constitutes an optimized representation of the securities of that Fund’s specified universe, and an amount of cash. Investors purchasing and redeeming Creation Units may be charged a transaction fee to cover the transfer and other transactional costs it incurs to issue or redeem Creation Units. The transaction fees for the Fund are listed below:
| | | |
| Fee for
In-Kind and
Cash Purchases | | Maximum Additional Variable Charge for Cash Purchases(a) |
The SPAC and New Issue ETF | $250 | | 2.00% |
(a) As a percentage of the amount invested.
From time to time, settlement of securities related to in-kind contributions or in-kind redemptions may be delayed. In such cases, securities related to in-kind transactions are reflected as a receivable or a payable on the Statement of Assets and Liabilities.
As of March 31, 2023, there were no unsettled in-kind capital transactions.
Semi-Annual Shareholder Report | 21
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
(7) Investment Risks
ETF Risk
The NAV of the Fund can fluctuate up or down, and you could lose money investing in the Fund if the prices of the securities owned by the Fund decline. In addition, a Fund may be subject to the following risks: (1) the market price of the Fund’s shares may trade above or below its NAV; (2) an active trading market for a Fund’s shares may not develop or be maintained; or (3) trading of the Fund’s shares may be halted if the listing exchange’s officials deem such action appropriate, the shares are delisted from the exchange, or the activation of market-wide “circuit breakers” (which are tied to large decreases in stock prices) halts stock trading generally.
Market and Geopolitical Risk
The increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region or financial market. Securities in the Fund may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, climate-change and climate-related events, pandemics, epidemics, terrorism, international conflicts, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years, such as terrorist attacks around the world, natural disasters, social and political discord or debt crises and downgrades, among others, may result in market volatility and may have long term effects on both the U.S. and global financial markets. It is difficult to predict when similar events affecting the U.S. or global financial markets may occur, the effects that such events may have and the duration of those effects. Any such event(s) could have a significant adverse impact on the value and risk profile of the Fund. The coronavirus (COVID-19) global pandemic and the aggressive responses taken by many governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines or similar restrictions, as well as the forced or voluntary closure of, or operational changes to, many retail and other businesses, had negative impacts, and in many cases severe negative impacts, on markets worldwide. It is not known how long such impacts, or any future impacts of other significant events described above, will or would last, but there could be a prolonged period of global economic slowdown, which may impact your investment. Therefore, the Fund could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns. During a general market downturn, multiple asset classes may be negatively affected. Changes in market conditions and interest rates can have the same impact on all types of securities and instruments. In times of severe market disruptions, you could lose your entire investment.
Semi-Annual Shareholder Report | 22
Notes to Financial Statements (continued)March 31, 2023 (Unaudited)
SPAC Risk
The Fund invests in SPACs and companies that have completed an IPO. SPACs are companies that may be unseasoned and lack a trading or operational history, a track record of reporting to investors, and widely available research coverage. The Fund may purchase SPACs through an IPO. IPOs are thus often subject to extreme price volatility and speculative trading. These stocks may have above-average price appreciation in connection with the IPO. In addition, IPOs may share similar illiquidity risks of private equity and venture capital. The free float shares held by the public in an IPO are typically a small percentage of the market capitalization. The ownership of many IPOs often includes large holdings by venture capital and private equity investors who seek to sell their shares in the public market in the months following an IPO when shares restricted by lock-up are released, causing greater volatility and possible downward pressure during the time that locked-up shares are released. Public stockholders of SPACs may not be afforded a meaningful opportunity to vote on a proposed initial business combination because certain stockholders, including stockholders affiliated with the management of the SPAC, may have sufficient voting power, and a financial incentive, to approve such a transaction without support from public stockholders. As a result, a SPAC may complete a business combination even though a majority of its public stockholders do not support such a combination.
(8) Subsequent Events
Management of the Fund has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date these financial statements were issued. Based upon this evaluation, no additional disclosures or adjustments were required to the financial statements as of March 31, 2023.
Semi-Annual Shareholder Report | 23
Approval of Management AgreementMarch 31, 2023 (Unaudited)
November 18, 2022 Regular Meeting
The SPAC and New Issue ETF (“SPAC”)
Tuttle Capital Management, LLC
Nature, Extent and Quality of Service. The Board noted that Tuttle was founded in 2012 and was registered with the U.S. Securities and Exchange Commission (“SEC”) as an investment adviser with $300 million in assets under management as of November 2022. The Trustees further noted that Tuttle currently served as the adviser or sub adviser to five mutual funds or ETFs, and one collective trust. They reviewed the background information on the key investment personnel who would be responsible for servicing the Fund, taking into account their education and financial industry experience. The Trustees also expressed their satisfaction with Tuttle’s use of a pre-trade and post-trade testing as a method to ensure compliance with the Fund’s investment policies and regulations. Mr. Tuttle discussed the adviser’s role in monitoring and evaluating the SPAC market place, as well as providing best execution and placing trades. The Trustees, acknowledged the experience and accomplishments of Tuttle. They expressed satisfaction with Tuttle’s overall experience, operations, and compliance culture. In response to a question, the chief compliance officer noted no issues with Tuttle’s compliance program.
Performance. The Trustees reviewed performance data provided by the adviser in connection with the Fund. The Trustees noted that although the Fund’s 1 year returns of -7.47% were outperformed by the Fund’s index, the IndexIQ Merger Arbitrage, the Fund’s since inception returns had significantly outperformed the index at a rate of 3.47% and -3.33% respectively. After discussion, the Trustees determined that the Fund’s performance was reasonable.
Fees and Expenses. The Trustees noted that the management fee for Tuttle’s services was 0.95%, and a net expense ratio of .95%. They compared the Fund’s advisory fee and expense ratio to the Fund’s peer group and noted that although both are lower than the peer group’s average advisory fee and net expense ratio of 1.34% and 1.44%, respectively, given the uniqueness of SPAC ETF’s, as well as the event driven funds in the Morning Star Event Driven Category, as well as its uniqueness relative to other available ETFs in the market, that the fee was not unreasonable.
Profitability. The Trustees reviewed the profit analysis provided by Tuttle and noted that Tuttle made a modest profit while advising the Fund. They further noted that Tuttle continues to project making a profit in terms of actual dollars and as a percentage in connection with its relationship to the Fund. The Trustees noted that the profits expected by the adviser are in line with those charged by Tuttle for similar services provided to other Funds, and they agreed that the profits were not excessive.
Economies of Scale. The Trustees considered the Fund in relation to achieving economies of scale in connection with the advisory services provided to the
Semi-Annual Shareholder Report | 24
Approval of Management Agreement (continued)March 31, 2023 (Unaudited)
Fund. They noted Tuttle’s desire to market directly to retail investors, and the efforts being made by the staff at Tuttle responsible for those activities. Although the Trustees noted that Tuttle does not expect to see capacity limitations or other obstacles to growth, the Trustees were cautious regarding Tuttle’s assertion that Tuttle expects to achieve Fund growth through the use of marketing directly to retail investors, the Trustees acknowledged Tuttle’s assertion that they do not expect economies of scale for the Fund. In relying on Tuttle’s assertions regarding the Fund, and that economies of scale will not be reached, the Trustees moved forward.
Conclusion. Having requested and received such information from Tuttle as the Board believed to be reasonably necessary to evaluate the terms of the investment advisory agreement, and as assisted by the advice of independent counsel, the Board determined that approval of the advisory agreement was in the best interests of the Fund and its future shareholders.
Semi-Annual Shareholder Report | 25
Additional InformationMarch 31, 2023 (Unaudited)
PORTFOLIO HOLDINGS
The Fund files a complete schedule of investments with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-PORT. The Form N-PORT filing must be made within 60 days of the end of the quarter. These filings are available on the SEC’s web site at http://www.sec.gov. You may also obtain copies by calling the Fund at 1-866-904-0406, free of charge.
PREMIUM/DISCOUNT INFORMATION
The Fund’s website at http://www.spcxetf.com shows the previous day’s closing NAV and closing market price for the Fund’s ETF Shares. The website also discloses, in the Premium/Discount section, how frequently the Fund’s ETF Shares traded at a premium or discount to NAV (based on closing NAVs and market prices) and the magnitudes of such premiums and discounts.
PROXY VOTING
The Fund’s proxy voting policies, procedures and voting records relating to common stock in the Fund’s investment portfolio are available without charge, upon request, by calling the Fund’s toll-free telephone number 1-866-904-0406. The Fund will send this information within three business days of receipt of the request, by first class mail or other means designed to ensure prompt delivery.
The Fund’s proxy information is also available on the SEC’s website at http://www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 is available without charge, upon request by calling 1-866-904-0406 or referring to the SEC’s web site at http://www.sec.gov.
Semi-Annual Shareholder Report | 26
PRIVACY NOTICE
COLLABORATIVE INVESTMENT SERIES TRUST
| |
FACTS | WHAT DOES THE COLLABORATIVE INVESTMENT SERIES TRUST DO WITH YOUR PERSONAL INFORMATION? |
| |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some, but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
| |
What? | The types of personal information we collect and share depends on the product or service that you have with us. This information can include: •Social Security number and wire transfer instructions •account transactions and transaction history •investment experience and purchase history When you are no longer our customer, we continue to share your information as described in this notice. |
| |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons the Collaborative Investment Series Trust chooses to share; and whether you can limit this sharing. |
| | |
Reasons we can share your personal information: | Do we share information? | Can you limit
sharing? |
For our everyday business purposes - such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus. | YES | NO |
For our marketing purposes - to offer our products and services to you. | NO | We don’t share |
For joint marketing with other financial companies. | NO | We don’t share |
For our affiliates’ everyday business purposes - information about your transactions and records. | NO | We don’t share |
Semi-Annual Shareholder Report | 27
| | |
Reasons we can share your personal information: | Do we share information? | Can you limit
sharing? |
For our affiliates’ everyday business purposes - information about your credit worthiness. | NO | We don’t share |
For our affiliates to market to you | NO | We don’t share |
For non-affiliates to market to you | NO | We don’t share |
QUESTIONS? | Call 1-800-595-4866 |
| |
What we do: |
How does the Collaborative Investment Series Trust protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. Our service providers are held accountable for adhering to strict policies and procedures to prevent any misuse of your nonpublic personal information. |
How does the Collaborative Investment Series Trust collect my personal information? | We collect your personal information, for example, when you •open an account or deposit money •direct us to buy securities or direct us to sell your securities •seek advice about your investments We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only: •sharing for affiliates’ everyday business purposes – information about your creditworthiness. •affiliates from using your information to market to you. •sharing for nonaffiliates to market to you. State laws and individual companies may give you additional rights to limit sharing. |
Semi-Annual Shareholder Report | 28
| |
Definitions |
Affiliates | Companies related by common ownership or control. They can be financial and non-financial companies. •The Collaborative Investment Series Trust does not share with affiliates. |
Non-affiliates | Companies not related by common ownership or control. They can be financial and non-financial companies. •The Collaborative Investment Series Trust does not share with non-affiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. •The Collaborative Investment Series Trust doesn’t jointly market. |
Semi-Annual Shareholder Report | 29
This Page Was Left Blank Intentionally
Investment Advisor
Tuttle Capital Management, LLC
155 Lockwood Rd.
Riverside, CT 06878
Distributor
ACA Foreside
Three Canal Plaza, Suite 100
Portland, ME 04101
Custodian and Transfer Agent
Citibank, N.A.
388 Greenwich Street
New York, NY 10048
Legal Counsel
Thompson Hine LLP
41 South High Street, Suite 1700
Columbus, OH 43215
Independent Registered Public Accounting Firm
Cohen & Company, Ltd.
342 North Water Street, Suite 830
Milwaukee, WI 53202
Administrator, Accountant and Dividend Disbursing Agent
Citi Fund Services Ohio, Inc.
4400 Easton Commons, Suite 200
Columbus, OH 43219
This report is provided for the general information of the Fund’s shareholders. It is not authorized for distribution unless preceded or accompanied by an effective prospectus, which contains more complete information about the Fund.
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Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) The schedules of investments are included as part of the report to shareholders filed under Item 1of this form.
(b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
(a) The registrant’s Principal Executive Officer and Principal Financial Officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act) are effective in design and operation and are sufficient to form the basis of the certifications required by Rule 30a-2 under the Act, based on their evaluation of these disclosure controls and procedures within 90 days of the filing of this report on Form N-CSR.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that have materially affected or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) Not applicable.
(a)(2) Certifications pursuant to Rule 30a-2(a) are attached hereto.
(a)(3) Not applicable.
(a)(4) Not applicable.
(b) Certifications pursuant to Rule 30a-2(b) are furnished herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant
has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant)
Collaborative Investment Series Trust
By (Signature and Title)
/s/ Gregory Skidmore
Gregory Skidmore, Trustee, President and Principal Executive Officer of the Trust
Date
February 8, 2024
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)
/s/ Gregory Skidmore
Gregory Skidmore, Trustee, President and Principal Executive Officer of the Trust
Date
February 8, 2024
By (Signature and Title)
/s/ William J. McCormick
Bill McCormick, Treasurer and Principal Financial Officer of the Trust
Date
February 9, 2024
