Syntax Stratified U.S. Total Market Hedged ETF

C000218427 Fund Overview

Syntax Stratified U.S. Total Market Hedged ETF is a US ETF managed by Syntax ETF Trust, categorised as United States Small Cap Blend / Core Equity. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.

• Type: US ETF
• Manager: Syntax ETF Trust
• Category: United States Small Cap Blend / Core Equity
• Assets under management: $32.35M
• 1-year return: 3.7%
• SEC CIK: 0001580843
• SEC series ID: S000068233
• Share class ID: C000218427

C000218427 Investment Objective and Strategy

Syntax Stratified U.S. Total Market Hedged ETF describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Syntax ETF Trust.

Investment objective

The Syntax Stratified U.S. Total Market Hedged ETF (the Fund) seeks to obtain capital growth that meets or exceeds the performance of the S&P Composite 1500 Index (the 1500 Index) over a full market cycle by investing in exchange-traded funds (ETFs) or underlying securities that provide Stratified Weight TM U.S. total equity market exposure to companies in the 1500 Index while seeking risk-managed growth via a defined risk hedging process.

Principal investment strategy

The Fund seeks Stratified Weight TM exposure to a broad range of stocks representative of approximately 90% of the total U.S. market capitalization, principally through the securities in the 1500 Index, through active investments in ETFs, or underlying securities. The Fund seeks to achieve its investment objective by investing in Syntax Stratified Weight ETFs (each a Syntax Underlying Fund and collectively, the Syntax Underlying Funds or Underlying Funds) or by investing in U.S. equity securities using the Stratified Weight methodology (Securities). The Fund will also invest in index options for risk management purposes and to seek to generate additional returns. The strategy used to select the Funds equity investments and its hedging strategy is called the Stratified Defined Risk Strategy.

The equity assets in the Fund are managed by Vantage Consulting Group (the Equity Sub-Adviser) and the options investments in the Fund are managed by Swan Global Investments, LLC (the Options Sub-Adviser). In order to accomplish the Funds hedging strategy (Defined Risk Strategy or DRS), the Options Sub-Adviser utilizes a put options hedging strategy to hedge some of the Funds equity exposure. The put strategy is executed using mostly exchange-traded S&P 500 Index put options that have an inverse relationship to the S&P 500 Index. To seek to generate additional returns or hedge, the Options Sub-Adviser also buys and sells shorter-term (generally 1-3 month) put and call options on equity indices, and engages in various longer-term (12-24 month) spread option strategies. Stratified Weight Methodology.

Stratified-Weight is the weighting methodology by which Syntax, LLC (Syntax) diversifies its indices by hierarchically grouping and distributing the weight of an indexs constituent companies that share Related Business Risks. Related Business Risk occurs when two or more companies provide similar products and/or services or share economic relationships such as having common suppliers, customers or competitors. The process of identifying, grouping, and diversifying holdings across Related Business Risk groups within an index is called stratification, and was designed to correct for business risk concentrations that regularly occur in capitalization-weighted indices and equal-weighted indices. Capitalization weighting can cause an investors ownership to accumulate in the largest, most momentum-driven companies and industries, while equal weighting is intended to permit an investors ownership to accumulate in the industries that have the most company representatives in the index.

Instead of concentrating in the largest companies or the most represented industries, Syntax diversifies (or stratifies) index weight across a fixed number of business risk groups in a manner designed to provide a diversified exposure to all of the business opportunities of an index. The Related Business Risk groups are: Consumer Products & Services; Energy; Financials; Food; Industrials; Information; Information Tools; and Healthcare. Under normal circumstances, the Adviser expects to allocate the equity assets of the Fund among the Syntax Stratified LargeCap ETF, the Syntax Stratified MidCap ETF, and the Syntax Stratified SmallCap ETF in exposures approximating those found in the Syntax U.S. Total Market Index, which are derived from their relative capitalization weighted exposures in the S&P Composite 1500 Index.

Based on historical averages, the Adviser expects these exposures in the equity portion of the Funds portfolio to be between 70% and 96% to the Syntax Underlying Funds or constituents representing S&P 500 (large capitalization) universe exposure, between 3% and 20% to the Syntax Underlying Funds or constituents representing S&P MidCap 400 (mid capitalization) universe exposure, and between 1% and 10% to the Syntax Underlying Funds or constituents representing S&P SmallCap 600 (small capitalization) universe exposure. The Syntax U.S. Total Market Index is reconstituted annually. The Fund, at the Advisers discretion, may, from time to time, own these exposures in weights that are not in their relative positions in the Syntax U.S. Total Market Index or S&P 1500 Index if the Adviser deems it in the interest of the Fund.

The Fund has a policy that under normal circumstances, it will invest at least 80% of holdings in companies that represent U.S. total market exposure as per the investment objective. There is no guarantee that the weights of the individual ETFs will be in the above ranges. The targeted Underlying Funds and/or the Securities for the Stratified Weight equity strategy will comprise the Syntax Stratified LargeCap ETF, the Syntax Stratified MidCap ETF, and the Syntax Stratified SmallCap ETF, or portfolios of securities that hold comparable securities in comparable classes in order to achieve Stratified Weight exposure. The terms LargeCap, MidCap, and SmallCap refer to companies with relatively higher, more moderate, and lower market value, respectively. The Syntax Stratified LargeCap ETF (ticker: SSPY) reweights the constituents of the S&P 500 Index and seek to provide investment results that, before expenses, correspond generally to the total return performance of the publicly traded equity securities of companies comprising the Syntax Stratified LargeCap Index.

SSPY utilizes Syntaxs Stratified Weight methodology to spread exposure more evenly across the business risks in the S&P 500. The goal for each of SSPY and SPYS is to deliver a return that is representative of all the business opportunities in the Syntax Stratified LargeCap Index. By doing this, SSPY and SPYS each address the Related Business Risk concentrations that occur in capitalization-weighted indices. The Syntax Stratified MidCap ETF (ticker: SMDY) reweights the constituents of the S&P MidCap 400 Index and seeks to track, before fees and expenses, the total return performance of the Syntax Stratified MidCap Index. SMDY utilizes Syntaxs Stratified Weight methodology to spread exposure more evenly across the business risks in the S&P MidCap 400 Index. SMDYs goal is to deliver a return that is representative of all the business opportunities in the Syntax Stratified MidCap Index.

By doing this, SMDY addresses the Related Business Risk concentrations that occur in capitalization-weighted indices. The Syntax Stratified SmallCap ETF (ticker: SSLY) reweights the constituents of the S&P SmallCap 600 Index and seeks to track, before fees and expenses, the total return performance of the Syntax Stratified SmallCap Index. SSLY utilizes Syntaxs Stratified Weight methodology to spread exposure more evenly across the business risks in the S&P SmallCap 600 Index. SSLYs goal is to deliver a return that is representative of all the business opportunities in the Syntax Stratified SmallCap Index. By doing this, SSLY addresses the Related Business Risk concentrations that occur in capitalization-weighted indices. Under normal market conditions, the referent indices for each of the Syntax Underlying Funds rebalance quarterly, on the third Friday of each quarter-ending month, and include components allocated across the above referenced Related Business Risk groups.

The Fund will allocate across the Syntax Underlying Funds through the methodology described above. The Fund is actively managed, and the weighting of the Syntax Underlying Funds or the weighting of the Securities is expected to shift over time, based on the outlook of the Adviser and Sub-Adviser who is responsible for setting the periodic allocation of the Fund across its large, mid, and small cap exposure. The Syntax Underlying Funds use a passive, or indexing, approach to try to achieve each Syntax Underlying Funds investment objective. The Adviser may, from time to time, allocate to other Syntax Stratified Weight ETFs that use active and/or passive strategies as applied to comparable U.S. equity investment universes. Defined Risk Strategy. The application of the Defined Risk Strategy involves the purchase and sale of various options, which refer to exchange-traded contracts that give the purchaser of the option the right to buy an underlying reference instrument, such as a specified security or index, from the option seller (in the case of a call option), or to sell a specified reference instrument to the seller of the option (in the case of a put option) at a designated price during the term of the option.

The DRS seeks to protect against large losses by hedging the Funds equity exposure through purchases of protective long-term S&P 500 Index put options that give the Fund the right to sell a security or index at a set (strike) price or sell the long-term put option on an option exchange. A put option contract entitles the purchaser to receive from the seller a cash payment equal to the amount of any depreciation in the value of the reference index below a fixed price as of the valuation date of the option. Generally, S&P 500 Index put options have an inverse relationship to the S&P 500 Index and its sector-specific constituents. In addition to its aim of protecting against large losses through the purchase of long-term S&P 500 Index put options, the application of the DRS also seeks to increase the Funds returns by actively buying and selling shorter-term (typically 1-3 month) put and call options on equity indices.

Call options, which are the opposite of put options, are contracts that entitle the purchaser to receive from the seller a cash payment equal to the amount of any appreciation in the value of the reference index over a fixed price as of the valuation date of the option. In applying the DRS, the Fund will employ various longer-term (typically 12-24 month) spread option strategies. A spread option refers to an option strategy created by the simultaneous purchase and sale of options of the same type, and on the same underlying security, but with different strike prices and/or expiration dates. Spread option strategies involve, for example, buying a twelve-month call option while simultaneously selling an out-of-the-money (referring to an option strike price greater than the current market price of the reference asset) twelve-month call option.

In addition, the Fund will occasionally write short-term (typically 1-3 month) S&P 500 Index call options on a portion of the underlying equity in the Fund. Please see the Additional Strategies Information section of the Prospectus for more information on the Syntax Stratified Weight methodology, the Defined Risk Strategy, and the Underlying Funds.

C000218427 Holdings

Top 4 holdings of Syntax Stratified U.S. Total Market Hedged ETF by percentage of net assets, from the fund's latest SEC N-PORT filing.

View all C000218427 holdings

C000218427 Portfolio Allocation

Asset-class allocation of Syntax Stratified U.S. Total Market Hedged ETF by percentage of net assets, from the latest SEC N-PORT filing.

C000218427 Performance

Total returns for C000218427 (as of 2026-10-01), from SEC filings.

C000218427 Risk Information

Risk metrics for C000218427, derived from monthly returns in SEC filings.

• 1-year volatility (annualised): 12.5%

C000218427 Costs and Fees

C000218427 costs about $65 per $10,000 invested per year in fund expenses.

• Net expense ratio: 0.65%
• Gross expense ratio: 1.29%
• Portfolio turnover: 12%
• Brokerage commissions: 0.63 bps of average net assets (SEC N-CEN)

C000218427 Cashflows

Over the 12 months to 2024-06, Syntax Stratified U.S. Total Market Hedged ETF had net outflows of $5.83M, from monthly SEC N-PORT filings.

C000218427 Debt Constituents

No individual debt constituents are reported in Syntax Stratified U.S. Total Market Hedged ETF's latest SEC N-PORT filing.

C000218427 Prospectus and SEC Filings

Official Syntax Stratified U.S. Total Market Hedged ETF filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

• Prospectus (485BPOS) — filed 2024-04-26
• Prospectus (485BPOS) — filed 2022-04-29
• Prospectus supplement (497) — filed 2023-05-03
• Portfolio holdings (N-PORT) — filed 2024-08-21
• Portfolio holdings (N-PORT) — filed 2024-05-29
• Portfolio holdings (N-PORT) — filed 2024-02-27
• Annual census (N-CEN) — filed 2024-03-13
• Annual census (N-CEN) — filed 2023-03-16

Related Funds

Other United States Small Cap Blend / Core Equity funds tracked on ABC INVEST:

• iShares Core S&P Small-Cap ETF (IJR)
• iShares Russell 2000 ETF (IWM)
• Fidelity Small Cap Index Fund (FSSNX)
• Schwab U.S. Small-Cap ETF (SCHA)
• U.s. Small Cap Portfolio (DFSTX)

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.