LHA Market State™ Shares
Active Management for Tactical Investing
LHA Market State® Alpha Seeker ETF (Ticker Symbol: MSVX)
The LHA Market State™ Alpha Seeker ETF (Ticker Symbol: MSVX) seeks to provide positive returns, across multiple market cycles, that are generally not correlated to the US equity or fixed income markets.
- Uses an actively managed quantitative program to invest in the behavior of volatility.
- Employs a rules-based risk management approach to make tactical long/short allocations to equity futures & options, VIX futures & options, and ETFs utilizing a rules-based risk management approach. (VIX is the Cboe Volatility Index.)
- Designed to be an investment program across multiple market cycles for the purposes of portfolio diversification.
|FUND DATA & PRICING|
|Net Assets as of 08/10/2020||$29.24m|
|Median 30 Day Spread||1.12%|
Data as of 08/10/2020
IOPV, or Indicative Optimized Portfolio Value, is a calculation disseminated by Solactive AG which approximates the Fund's NAV every fifteen seconds throughout the trading day.
Median 30 Day Spread is a calculation of Fund’s median bid-ask spread, expressed as a percentage rounded to the nearest hundredth, computed by: identifying the Fund’s national best bid and national best offer as of the end of each 10 second interval during each trading day of the last 30 calendar days; dividing the difference between each such bid and offer by the midpoint of the national best bid and national best offer; and identifying the median of those values
|PERFORMANCE||Quarter end returns as of 06/30/2020|
|Quarter||1 Year||3 Year||Since Inception|
The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when sold or redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted. Performance current to the most recent month-end can be obtained by calling (781) 639-3000 (ext.147). Please note that performance shown for periods that are less than one year are not annualized.
Short term performance, in particular, is not a good indication of the fund's future performance, and an investment should not be made based solely on returns.
|EX- Date||Record Date||Payable Date||Amount|
|TOP HOLDINGS: August 11th|
|Percentage of Net Assets||Name||Identifier||Shares Held||Market Value|
|54.09%||Cash & Other||Cash&Other||15,814,606||15,814,606.43|
|40.14%||S&P500 EMINI FUT Sep20||ESU0 INDEX||70||11,734,450.00|
|37.66%||UNITED STATES TREAS BILLS||9127962Y4||11,019,000||11,009,073.75|
|6.41%||UNITED STATES TREAS BILLS||912796UC1||1,876,000||1,875,069.82|
|0.98%||CBOE MAR PUT OPT 8/20 27||VIX 200819P00027000||700||287,000.00|
|0.67%||CBOE MAR PUT OPT 8/20 24||VIX 200819P00024000||1,100||195,250.00|
|0.17%||CBOE S&P CLL OPT 8/20 3355||SPXW 200810C03355000||100||49,500.00|
|0.09%||CBOE MAR CLL OPT 10/20 40||VIX 201021C00040000||100||26,500.00|
|-0.02%||CBOE S&P CLL OPT 8/20 3365||SPXW 200810C03365000||-50||-5,500.00|
|-0.03%||CBOE S&P CLL OPT 8/20 3360||SPXW 200810C03360000||-100||-10,000.00|