Impact Shares MSCI Global Climate Select ETF

C000231164 Fund Overview

Impact Shares MSCI Global Climate Select ETF is a US ETF managed by Tidal Trust III, categorised as Emerging Markets 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: Tidal Trust III
• Category: Emerging Markets Blend / Core Equity
• Assets under management: $3.74M
• SEC CIK: 0001722388
• SEC series ID: S000073897
• Share class ID: C000231164

C000231164 Investment Objective and Strategy

Impact Shares MSCI Global Climate Select ETF describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Tidal Trust III.

Investment objective

The Impact Shares MSCI Global Climate Select ETF (the Fund) seeks investment results that, before fees and expenses, track the performance of the MSCI ACWI Climate Pathway Select Index (the Underlying Index).

Principal investment strategy

The Fund will, under normal circumstances, invest at least 80% of its total assets plus any borrowings for investment purposes (the 80% basket) in equity securities that are component securities of the Underlying Index (Component Securities). The Fund may invest the remaining 20% of its total assets (the 20% basket) in securities and instruments not included in the Underlying Index, but which the Adviser believes will help the Fund track the Underlying Index. For example, the Fund may invest in securities that are not components of the Underlying Index to reflect various corporate actions (such as mergers) and other actual or expected changes in the Underlying Index (such as reconstitutions, additions and deletions). The Fund may invest in any country, including the United States, other developed countries and emerging market countries.

The Fund may invest in securities of any type (including equity and debt securities) and of companies of any market capitalization (including small-, mid- and large-capitalization companies), market sector or industry. The Fund may use the 20% basket to invest in securities issued by other investment companies, including other exchange-traded funds. The Fund also may invest in warrants and may also use derivatives, primarily swaps (including equity, variance and volatility swaps), options and futures contracts on securities, interest rates and/or currencies, within the 20% basket to help track the Underlying Index and as substitutes for direct investments. The Fund may also use derivatives such as swaps, options (including options on futures), futures, and foreign currency transactions (e.g., foreign currency swaps, futures and forwards) within the 20% basket to hedge various investments for risk management and speculative purposes.

In addition, the Funds 20% basket may be invested in cash and cash equivalents. Unlike many investment companies, the Fund does not try to beat the index it tracks. The Fund uses a passive management strategy designed to track the total return performance of the Underlying Index. The Adviser may use a representative sampling indexing strategy to manage the Fund. Representative sampling is an indexing strategy that involves investing in a representative sample of securities that collectively has an investment profile similar to the Underlying Index. The securities selected are expected to have, in the aggregate, investment characteristics (based on factors such as market capitalization and industry weightings), fundamental characteristics (such as return variability, leverage and price to earnings ratios) and liquidity measures similar to those of the Underlying Index.

The Fund may or may not hold all of the securities in the Underlying Index. Tracking error is the difference between the performance (return) of the Funds portfolio and that of the Underlying Index. The Adviser expects that, over time, the Funds tracking error will not exceed 5%. Funds that employ a representative sampling strategy may incur tracking error risk to a greater extent than funds that seek to replicate an index. The Fund concentrates its investments in a particular industry or group of industries to approximately the same extent as the Underlying Index is so concentrated. The Fund is a non-diversified fund as defined in the Investment Company Act of 1940, as amended (the 1940 Act), but intends to adhere to the diversification requirements applicable to regulated investment companies (RICs) under Subchapter M of the Internal Revenue Code of 1986, as amended (the Code).

The Fund is not intended to be a complete investment program. The Underlying Index is designed to provide exposure to companies across developed and emerging market countries that the Index Provider believes can potentially benefit from the transition to a lower-carbon economy or are setting or have committed to credible emission reduction targets and have a track record of decarbonizing. The Underlying Index is constructed using a rules-based methodology to select companies with specific characteristics (described below) from the MSCI ACWI Index (the Parent Index). The Parent Index is a free-float market-capitalization weighted index composed of large- and mid-capitalization securities of publicly-traded companies covering approximately 85% of the global investable equity opportunity across 23 developed market and 27 emerging market countries.

To be eligible for inclusion in the Parent Index, companies must meet specific requirements including size and liquidity criteria. MSCI, Inc. (MSCI or the Index Provider) constructs the Underlying Index using company ratings and research provided by MSCI ESG Research LLC (MSCI ESG Research). In particular, the Index Provider uses MSCI ESG Researchs ESG Controversies Scores, ESG Ratings, ESG Business Involvement Screening Research and Climate Change Metrics to construct the Underlying Index. The following is a summary of the methodology used in constructing the Underlying Index, more detailed information about the methodology can be found at the Index Providers website at www.msci.com (the contents of which are not incorporated by reference in this prospectus). The Underlying Index excludes companies from the Parent Index that either (i) have an MSCI ESG Rating below BB, (ii) fail to comply with the United Nations Global Compact Principles (iii) are involved in certain controversial businesses, or (iv) are involved in severe environmental or very severe environmental, social or governance controversies.

After screening, the Underlying Index is optimized to meet certain climate objectives when selecting final index constituents and weights, including (i) maximizing the overall low carbon transition score, (ii) lowering the weighted average carbon intensity, (iii) increasing the weight of index constituents with creditable emission reduction targets, and (iv) improving the ESG score of the Underlying Index relative to the Parent Index. Additional constraints and diversification objectives are set to maintain replicability and investibility characteristics similar to the Parent Index while restricting the number of index constituents to 400. As of September 30, 2021, the Underlying Index was comprised of 275 index constituents with market capitalizations ranging from $254.9 million to $2,361.3 billion.

The components of the Underlying Index are likely to change over time. The Underlying Index is re-constituted semi-annually to coincide with the MSCI Semi-Annual Index Reviews of the Parent Index in May and November. In between reviews, any security removed from the Parent Index will be simultaneously removed from the Underlying Index. Charitable Contribution to United Nations Capital Development Fund The Adviser is a tax-exempt organization under Section 501(c)(3) of the Internal Revenue Code of 1986, as amended (the Code). The Adviser intends to make charitable contributions to the United Nations Capital Development Fund (UNCDF) equal to the excess, if any, of the Advisers fees with respect to the Fund over the Advisers operating expenses and a reserve for working capital. The UNCDF, in its sole discretion, may use any portion of the Advisers charitable contributions made directly to the UNCDF to support its own programs or may make its own donations to identified charitable organizations that support the UNCDFs mission.

C000231164 Costs and Fees

C000231164 costs about $30 per $10,000 invested per year in fund expenses.

• Net expense ratio: 0.30%
• Gross expense ratio: 0.62%

C000231164 Cashflows

Over the 12 months to 2022-03, Impact Shares MSCI Global Climate Select ETF had net inflows of $3.85M, from monthly SEC N-PORT filings.

C000231164 Debt Constituents

No individual debt constituents are reported in Impact Shares MSCI Global Climate Select ETF's latest SEC N-PORT filing.

C000231164 Prospectus and SEC Filings

Official Impact Shares MSCI Global Climate Select ETF filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

• Prospectus (485BPOS) — filed 2021-10-29
• Portfolio holdings (N-PORT) — filed 2022-05-27
• Portfolio holdings (N-PORT) — filed 2022-02-25

Related Funds

Other Emerging Markets Blend / Core Equity funds tracked on ABC INVEST:

• Strategic Advisers Fidelity Emerging Markets Fund (FGOMX)
• iShares MSCI South Korea ETF (EWY)
• Strategic Advisers Emerging Markets Fund (FSAMX)
• iShares MSCI Taiwan ETF (EWT)
• iShares MSCI Brazil ETF (EWZ)

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.