Cognios Market Neutral Large Cap Fund

Data updated: 2021-02-25

C000199968 — Cognios Market Neutral Large Cap Fund. United States Large Cap Value Equity · $16.94M AUM. Holdings, fees, performance and SEC filings.

C000199968 Fund Overview

Cognios Market Neutral Large Cap Fund is a US mutual fund managed by Trailmark Series Trust, categorised as United States Large Cap Value Equity. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.

Type: US mutual fund
Manager: Trailmark Series Trust
Category: United States Large Cap Value Equity
Assets under management: $16.94M
1-year return: -4.4%
SEC CIK: 0001643838
SEC series ID: S000061741
Share class ID: C000199968

C000199968 Investment Objective and Strategy

Cognios Market Neutral Large Cap Fund describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Trailmark Series Trust.

Investment objective

The Cognios Market Neutral Large Cap Fund (the Market Neutral Fund) seeks long-term growth of capital independent of stock market direction.

Principal investment strategy

The Market Neutral Fund seeks to achieve its investment objective by balancing long and short positions. To do this, the Market Neutral Fund will buy (take long positions in) equity securities of U.S. companies that the Adviser believes are undervalued and more likely to appreciate and, at the same time, borrow and then sell (take short positions in) equity securities of U.S. companies that the Adviser believes are likely to underperform the long positions over time. The Market Neutral Fund generally seeks to purchase and sell short large capitalization U.S. equity common stocks of companies that are constituents of the S&P 500 Index. The Market Neutral Fund may invest across different industries and sectors. Under normal circumstances the Market Neutral Fund invests at least 80% of its assets (defined as net assets plus borrowings for investment purposes) in securities of large cap companies as defined by the S&P 500 Index.

It may also invest up to 20% in issuers of any size. When the Market Neutral Fund takes a long position, it purchases a stock outright. The Market Neutral Fund increases in value when the market price of the stock exceeds the cost per share to acquire the stock. In addition, the Market Neutral Fund will earn dividend income when dividends are paid on stocks owned by the Market Neutral Fund. When the Market Neutral Fund takes a short position, it sells at the current market price a stock it does not own but has borrowed in anticipation that the market price of the stock will decline or underperform the positions in the long book. To complete, or close out, the short sale transaction, the Market Neutral Fund buys the same stock in the market at a later date and returns it to the lender. The Market Neutral Fund will make money if the market price of the borrowed stock goes down further than the borrowing costs, including dividend expenses when stocks held short pay dividends, and the Market Neutral Fund is able to replace the borrowed stock.

While it is not guaranteed, the Adviser expects that dividend income will exceed dividend expense on an annual basis. Alternatively, if the price of the stock goes up after the short sale and before the short position is closed, the Market Neutral Fund will lose money on that position because it will have to pay more to replace the borrowed stock than the Market Neutral Fund received when the Market Neutral Fund sold the stock short. Under normal circumstances, the Market Neutral Fund intends to generally remain market neutral on a Beta -adjusted basis most of the time. As used here, Beta is a statistical measure of the sensitivity of a companys stock price to the movement of a broad stock market index. For the Market Neutral Fund, the Adviser uses a company stock price Beta relative to the S&P 500 Index.

A Beta of 1.0 means a stock generally moves up and down in proportion to the movement of the stock market. A Beta greater than 1.0 means a stock generally moves up and down more than the movement of the stock market. A Beta less than 1.0 means that a stock generally moves up and down less than the movement of the stock market. Beta -adjusted market neutral means that the Adviser will attempt to offset 100% of the Market Neutral Funds long exposure to the Beta of the broad stock market ( i.e. , the up and down movements of the S&P 500 Index) by sizing the short positions based on the relative Beta s of the longs versus the shorts. For example, when the Beta s of the shorts are higher than the Beta s of the longs, fewer dollars of short positions are needed to offset the Beta s of the long book.

In this case, the Market Neutral Fund will be net long on a dollar basis ( i.e. , more dollars invested in the long positions than in the short positions), but will still be market neutral on a Beta -adjusted basis. A Beta -adjusted market neutral strategy typically seeks to derive total returns strictly from stock picking Alpha , with none of the return over time coming from the general up and down movement of the broader stock market. Over time, since the Market Neutral Fund is Beta -adjusted market neutral, the Market Neutral Funds total return is expected to be largely independent of the positive or negative total returns of the broad stock market. An actively managed stock portfolios gross investment return is generally driven by three factors: (i) the overall stock markets return ( i.e.

, in the Market Neutral Funds case, the benchmark is the S&P 500 Total Return Index); (ii) the sensitivity of the portfolio to changes in prices in the overall stock market ( i.e. , the portfolios Beta relative to the stock market); and (iii) the portfolio managers ability to do better or worse than what would be predicted by multiplying the markets return by the portfolios Beta ( i.e. , (i) times (ii) above). This last component (iii) is called Alpha and is the risk-adjusted ( i.e. , Beta -adjusted) outperformance or underperformance of the portfolio relative to the stock market. Since the Market Neutral Fund has generally attempted to hedge out all of the overall markets returns on a Beta -adjusted basis through its short positions, all of the Market Neutral Funds net return is expected to be solely the Alpha generated by the portfolio managers, less all of the Market Neutral Funds fees and expenses.

This Alpha can be generated if the stocks selected for the long book exceed the performance of the S&P 500 Index and/or if the stocks selected for the short book underperform the S&P 500 Index, less all of the Market Neutral Funds fees and expenses. By employing this long/short Beta -adjusted market neutral investment strategy, the Market Neutral Fund seeks to limit its volatility relative to movements in the overall stock market and limit downside risk during market declines. The Market Neutral Fund may achieve a gain if the securities in its long portfolio outperform the securities in its short portfolio, each taken as a whole, even if the short positions generate a loss, as long as the loss in the short portfolio does not exceed the gain in the long portfolio. Conversely, it is expected that the Market Neutral Fund will incur a loss if the securities in its short portfolio outperform the securities in its long portfolio.

The Adviser attempts to achieve returns for the Market Neutral Fund that at least exceed the return on short-term fixed-income securities, with the broader goal of generating attractive risk-adjusted total returns compared to the S&P 500 Index. The Market Neutral Fund may use borrowings for investment purposes, and the Market Neutral Funds use of short positions will add financial leverage to the Market Neutral Fund similar to borrowings. In determining when and to what extent to employ leverage, the Adviser will consider factors such as the relative risks and returns expected from the portfolio as a whole and the costs of such transactions. These loans may be structured as secured or unsecured loans and may have fixed or variable interest rates. The Market Neutral Fund may borrow an amount equal to as much as one-third of the value of its total assets (which includes the amount borrowed).

The Market Neutral Fund will only engage in borrowing when the Adviser believes the return from the additional investments will be greater than the costs associated with the borrowing. The Adviser selects securities for purchase or short sale using its proprietary ROTA/ROME selection and portfolio construction methodology. ROTA/ROME focuses on a companys Return on Tangible Assets (ROTA) and Return on Market Value of Equity (ROME) in order to identify companies whose per share intrinsic value has diverged significantly from the current market price of its stock. ROTA, or Return on Tangible Assets, measures the profits that a company has earned on the capital invested in the business. The portfolio managers believe that companies with higher ROTAs are more attractive investment opportunities than companies with lower ROTAs because a business that has a high ROTA and can maintain that high ROTA over long periods of time most likely has some sort of competitive advantage in the marketplace that gives it an edge over its competition.

ROME, or Return on Market Value of Equity, divides a companys profits by its current stock price. This profit yield is similar in concept to a bonds yield. Like a bond yield, a higher ROME yield generally means that a stock price is lower and cheaper. Similarly, a low ROME yield means the stock price is higher and thus more expensive. The portfolio managers use these two metrics together to determine if a particular stock is an attractive business ( i.e. , ROTA) and whether that stock is cheap or expensive ( i.e. , ROME). The periodic reconstitution and rebalancing of the portfolio according to the Market Neutral Funds quantitative investment strategy may result in significant portfolio turnover. A higher rate of portfolio turnover increases transaction expenses, which may negatively affect the Market Neutral Funds performance.

High portfolio turnover also may result in the realization of substantial net short-term capital gains, which, when distributed, are taxable to shareholders as ordinary income.

C000199968 Performance

Total returns for C000199968 (as of 2026-10-01), from SEC filings.

Period	Total return
1 year	-4.4%

C000199968 Risk Information

Risk metrics for C000199968, derived from monthly returns in SEC filings.

1-year volatility (annualised): 6.8%

C000199968 Costs and Fees

C000199968 costs about $410 per $10,000 invested per year in fund expenses.

Net expense ratio: 4.10%
Gross expense ratio: 4.62%
Portfolio turnover: 137%
Brokerage commissions: 10.14 bps of average net assets (SEC N-CEN)

C000199968 Cashflows

Over the 12 months to 2020-12, Cognios Market Neutral Large Cap Fund had net outflows of $55.45M, from monthly SEC N-PORT filings.

Month	Net flow
2020-12	−$4.29M
2020-11	−$6.82M
2020-10	−$666.55K
2020-09	−$1.53M
2020-08	−$3.59M
2020-07	−$3.83M

C000199968 Debt Constituents

No individual debt constituents are reported in Cognios Market Neutral Large Cap Fund's latest SEC N-PORT filing.

C000199968 Prospectus and SEC Filings

Official Cognios Market Neutral Large Cap Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

Related Funds

Other United States Large Cap Value Equity funds tracked on ABC INVEST:

Data Sources

ABC INVEST compiles this page from public filings made to the U.S. Securities and Exchange Commission (SEC) through EDGAR: portfolio holdings and monthly cashflows from Form N-PORT, expenses and returns from fund prospectuses (Form 485BPOS) and the SEC DERA Risk/Return Summary data sets, annual data from Form N-CEN, and shareholder reports from Form N-CSR.