LSLT — Salt Low truBeta US Market ETF

LSLT Fund Overview

LSLT — Salt Low truBeta US Market ETF is a US ETF managed by ETF Series Solutions, categorised as United States Real Estate. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.

• Type: US ETF
• Manager: ETF Series Solutions
• Category: United States Real Estate
• Assets under management: $8.13M
• Ticker: LSLT
• SEC CIK: 0001540305
• SEC series ID: S000067251
• Share class ID: C000216326

LSLT Investment Objective and Strategy

Salt Low truBeta US Market ETF describes its objective and strategy as follows, from its latest prospectus filed with the SEC by ETF Series Solutions.

Investment objective

The Salt Low truBeta TM US Market ETF (the Fund) seeks to track the performance, before fees and expenses, of the Salt Low truBeta TM US Market Index (the Index).

Principal investment strategy

The Fund uses a passive management (or indexing) approach to track the performance, before fees and expenses, of the Index. Salt Financial Indices LLC (Index Provider), a wholly-owned subsidiary of Salt Financial LLC, the Funds investment adviser (Adviser), is responsible for maintaining the Index. The Index Provider uses an objective, rules-based methodology to measure the performance of an equal-weighted portfolio of approximately 100 large and mid-capitalization U.S.-listed stocks with the lowest levels of variability in their historical beta calculations (Beta Variability) and forecasted beta of less than 1.00. Beta is a calculation of an investments systematic risk relative to the market. The Index was developed in 2018. Salt Low truBeta TM US Market Index Construction of the Index begins with the constituents of the Solactive US Large & Mid Cap Index (the Equity Universe), generally the 1,000 largest U.S.-listed common stocks and real estate investment trusts (REITs).

Companies in the Equity Universe are then screened to keep only the 500 stocks with the highest average daily traded value over the past 30 days. The remaining stocks (the Index Universe) are analyzed using a proprietary algorithm developed by the Adviser to calculate each stocks truBeta forecast, i.e. , its projected beta for the subsequent quarter. A stocks truBeta forecast is calculated based on a stocks historical long-, medium-, and short-term performance, combined with machine learning ( i.e. , a quantitative modeling process that is automatically adjusted based on past results in an attempt to improve accuracy), to evaluate and compare its risk and return to those of the broader U.S. equity market. A stock with a truBeta of 1.00 would be expected to demonstrate a risk and return profile equivalent with the broader U.S.

equity market ( i.e. , the stocks price will move proportionately with levels of the broader market). A stock with a truBeta of less than 1.00 would be expected to be less volatile than the broader U.S. equity market and consequently, outperform the market in a declining market and underperform the market in a rising market. The Index Universe is then further screened to keep only stocks with a truBeta score of less than 1.00. A Beta Variability score is calculated for the remaining stocks (the Eligible Components) based on the absolute difference between the short-term and medium-term data points used to generate the truBeta estimate. A lower score indicates less variability in beta over time. The Index is initially constructed of the 100 Eligible Components with the lowest Beta Variability score, equally-weighted, and subject to a maximum 30% of the number of constituents in the Index being from a single sector.

If more than 30% of the constituents would be from a single sector, the Eligible Component with the next lowest Beta Variability score not from the sector is selected instead of the Eligible Component that would have caused the Index to exceed the 30% limit. As of April 6, 2020, a significant portion of the Index is comprised of companies in the consumer staples, financial, health care, and utilities sectors. The Index is rebalanced quarterly on the third Friday of March, June, September, and December (each, an Effective Date) based on truBeta forecasts and Beta Variability scores utilizing data as of five business days prior to the Effective Date of the applicable rebalance month (each, a Selection Date). Each rebalance of the Index utilizes constituent prices at the close of trading on the Selection Date for weighting purposes.

To minimize turnover at each quarterly rebalance, stocks remain in the Index unless their truBeta score on the Selection Date is 1.00 or higher, regardless of their Beta Variability score. Additions to the Index at each rebalance are selected using the same process as the initial selection, ranking the Eligible Components not already in the Index by their Beta Variability score and selecting Eligible Components starting with the lowest Beta Variability score to arrive at a total of 100 components. As of April 6, 2020 , the Index had an average truBeta of approximately 0.73. Consequently, the Index is expected to be less volatile than the broader U.S. equity market. The Funds Investment Strategy The Fund attempts to invest all, or substantially all, of its assets in the component securities that make up the Index.

Under normal circumstances, at least 80% of the Funds total assets (exclusive of any collateral held from securities lending) will be invested in the component securities of the Index. The Adviser expects that, over time, the correlation between the Funds performance and that of the Index, before fees and expenses, will be 95% or better. The Fund will generally use a replication strategy to achieve its investment objective, meaning it generally will invest in all of the component securities of the Index in approximately the same proportion as in the Index. However, the Fund may use a representative sampling strategy, meaning it may invest in a sample of the securities in the Index whose risk, return and other characteristics closely resemble the risk, return and other characteristics of the Index as a whole, when the Funds sub-adviser believes it is in the best interests of the Fund ( e.g.

, when replicating the Index involves practical difficulties or substantial costs, an Index constituent becomes temporarily illiquid, unavailable, or less liquid, or as a result of legal restrictions or limitations that apply to the Fund but not to the Index). The Fund generally may invest up to 20% of its total assets (exclusive of any collateral held from securities lending) in securities or other investments not included in the Index, but which the Funds sub-adviser believes will help the Fund track the Index. For example, the Fund may invest in securities that are not components of the Index to reflect various corporate actions and other changes to the Index (such as reconstitutions, additions, and deletions). To the extent the Index concentrates ( i.e. , holds more than 25% of its total assets) in the securities of a particular industry or group of related industries, the Fund will concentrate its investments to approximately the same extent as the Index.

The Fund is non-diversified and therefore may invest a larger percentage of its assets in the securities of a single issuer or small number of issuers than diversified funds.

LSLT Costs and Fees

LSLT costs about $29 per $10,000 invested per year in fund expenses.

• Net expense ratio: 0.29%
• Gross expense ratio: 0.29%
• Portfolio turnover: 31%
• Brokerage commissions: 1.42 bps of average net assets (SEC N-CEN)

LSLT Cashflows

Over the 12 months to 2020-09, Salt Low truBeta US Market ETF had net inflows of $6.01M, from monthly SEC N-PORT filings.

LSLT Debt Constituents

No individual debt constituents are reported in Salt Low truBeta US Market ETF's latest SEC N-PORT filing.

LSLT Prospectus and SEC Filings

Official Salt Low truBeta US Market ETF filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

• Prospectus (485BPOS) — filed 2020-05-08
• Prospectus (485BPOS) — filed 2019-12-17
• Portfolio holdings (N-PORT) — filed 2020-11-27
• Portfolio holdings (N-PORT) — filed 2020-08-21
• Portfolio holdings (N-PORT) — filed 2020-05-27
• Annual census (N-CEN) — filed 2020-03-13

Related Funds

Other United States Real Estate funds tracked on ABC INVEST:

• Vanguard Real Estate Index Fund (VGSIX)
• Vanguard Real Estate II Index Fund (VRTPX)
• Schwab U.S. REIT ETF (SCHH)
• Cohen & Steers Real Estate Securities Fund (CSEIX)
• The Real Estate Select Sector SPDR Fund (XLRE)

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.