SLT — Salt High truBeta US Market ETF

SLT Fund Overview

SLT — Salt High 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: $7.95M
• Ticker: SLT
• SEC CIK: 0001540305
• SEC series ID: S000061862
• Share class ID: C000200290

SLT Investment Objective and Strategy

Salt High 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 truBeta TM High Exposure ETF (the Fund) seeks to track the performance, before fees and expenses, of the Salt truBeta TM High Exposure 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. The Index was developed in 2017 by Salt Financial LLC, the Funds investment adviser and index provider (the Adviser), and 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 highest forecasted systematic risk relative to the market (known as beta). Salt truBeta TM High Exposure 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.

Those 500 stocks are then analyzed using a proprietary algorithm developed by the Adviser to calculate each stocks truBetaTM forecast, i.e., its projected beta for the subsequent quarter, and to eliminate stocks whose performance is weakly correlated with the broader U.S. equity market (the remaining securities are referred to as the Index Universe). A stocks truBeta forecast is calculated using a machine learning process (i.e., a quantitative model that is automatically adjusted based on past results to improve accuracy) that compares the stocks historical long-, medium-, and short-term risk and returns to those of the broader U.S. equity market (using the SPDR S&P 500 ETF (SPY) as a market proxy). A stock with a truBeta of 1.00 would be expected to demonstrate a risk and return profile identical to that of the broader U.S.

equity market. A stock with a truBeta of more than 1.00 would be expected to be more volatile than the broader U.S. equity market and consequently, exhibit outsized reactions to market events (i.e., outperform the market in a rising market and underperform the market in a declining market). At the time of each rebalance of the Index, the Index is constructed of the 100 stocks in the Index Universe with the highest truBeta, 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 stock with the lowest truBeta score in such sector will be removed from the Index and replaced with the stock with the next highest truBeta forecast not already included in the Index. This process is repeated until each sector complies with the sector concentration constraint.

As of March 12, 2018, the Index had an average truBeta of approximately 1.27. Consequently, the Index is expected to be significantly more volatile than the broader U.S. equity market. The Index is rebalanced quarterly on the third Friday of March, June, September, and December (each, an Effective Date) based on truBeta forecasts utilizing data as of five business days prior to the Effective Date of the applicable rebalance month. Each rebalance of the Index utilizes constituent prices at the close of trading five business days prior to the Effective Date for weighting purposes. 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.

SLT Costs and Fees

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

• Net expense ratio: 0.29%
• Gross expense ratio: 0.29%
• Portfolio turnover: 202%
• Brokerage commissions: 10.47 bps of average net assets (SEC N-CEN)

SLT Cashflows

Over the 12 months to 2020-09, Salt High truBeta US Market ETF had net inflows of $17.71M, from monthly SEC N-PORT filings.

SLT Debt Constituents

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

SLT Prospectus and SEC Filings

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

• Prospectus (485BPOS) — filed 2020-05-08
• Prospectus (485BPOS) — filed 2019-05-14
• Prospectus supplement (497) — filed 2019-01-18
• 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
• Annual census (N-CEN) — filed 2019-03-18

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.