ZSPY — ASYMmetric Smart Alpha S&P 500 ETF

ZSPY Fund Overview

ZSPY — ASYMmetric Smart Alpha S&P 500 ETF is a US ETF managed by ASYMmetric ETFs Trust, categorised as United States Large 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: ASYMmetric ETFs Trust
• Category: United States Large Cap Blend / Core Equity
• Assets under management: $794.67K
• Ticker: ZSPY
• SEC CIK: 0001833032
• SEC series ID: S000079449
• Share class ID: C000240486

ZSPY Investment Objective and Strategy

ASYMmetric Smart Alpha S&P 500 ETF describes its objective and strategy as follows, from its latest prospectus filed with the SEC by ASYMmetric ETFs Trust.

Investment objective

ASYMmetric Smart Alpha S&P 500 ETF (the Fund) seeks to track the total return performance, before fees and expenses, of the ASYMmetric Smart Alpha 500 Index (the Index).

Principal investment strategy

The Fund employs a passive management or indexing investment approach designed to track the total return performance, before fees and expenses, of the Index. The Index is based on proprietary ASYMmetric Risk Management Technology developed and maintained by ASYMmetric Investment Solutions, LLC (the Index Provider), an affiliate of ASYMmetric ETFs, LLC, the Funds investment adviser (the Adviser). The Index is a rules-based, quantitative leveraged strategy that seeks to: ? generate returns up to two times the performance of the S&P 500 Total Return Index (S&P 500 Index) in a bull market by leveraging its net exposure (the difference between the aggregate long and short positions) to individual securities and futures, and ? provide protection against losses in a bear market by limiting its net exposure using futures to hedge.

The Fund will use leverage and hedging to achieve its investment goals of maximizing alpha while minimizing market risk. Leverage is an investment strategy used by a Fund to increase its assets available for investment using borrowings, derivatives, or similar instruments or techniques. A bull market is typically characterized by a period of material increase in the overall U.S. stock market, and a bear market is typically characterized by a period of material decrease in the overall U.S. stock market. The Index is powered by the Index Providers ASYMmetric Risk Management Technology, which relies on mathematical formulas to dynamically manage the Indexs net exposure in three market risk environments: ? Risk-On : Market prices are trending up and have low realized volatility (below the Risk-Off or bear market threshold) as determined by actual price fluctuations over a prior period (realized volatility), which is termed a Risk-On market environment; ?

Risk-Elevated : Market prices are trending down and have low realized volatility (below the Risk-Off or bear market threshold), which is termed a Risk-Elevated market environment; and ? Risk-Off : Market prices are trending down and have high realized volatility (above the Risk-Off or bear market threshold), which is termed a Risk-Off market environment. The ASYMmetric Risk Management Technology is designed to dynamically manage, as of each monthly Index rebalancing and reconstitution date, the Indexs net exposure to its market to: ? Generate two times the performance of the S&P 500 Index in a bull market, by using leverage to be 200% exposed to the S&P 500 Index; ? Protect capital by paring back net exposure during periods of heightened market uncertainty, by being market neutral; and ?

Profit in bear markets, by being net short (by investing in more short positions than long positions in its portfolio). The Index achieves its long exposure by investing in individual securities and futures (the Long Book). The Index seeks to achieve two times the performance of the S&P 500 Index in a bull market by leveraging its exposure 90% to individual securities and 110% to futures. In order to effect its short exposure to the market, the Index utilizes cash-settled short selling of shares of the SPDR S&P 500 ETF Trust (SPY) (the Short Book). The Indexs exposure to its market ranges between 200% long and -25% short where net exposure is the difference between the Indexs Long Book and its Short Book. Under normal market conditions, the Fund will invest at least 80% of its net assets, plus borrowings for investment purposes, in investments that provide exposure to the S&P 500 Index.

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. In tracking the Index, the Fund will replicate the Long Book through investments in individual securities that are included in or track the S&P 500 Index, respectively. The Fund will achieve the appropriate amount of leverage in the Long Book and replicate the Short Book, as determined by the Index, by investing primarily in futures on the S&P 500 Index. The Funds long and short positions are determined at each rebalance based on the market risk environment measured by two price indicator components of the Index: the Price Momentum Indicator and Price Volatility Indicator.

The Funds exposure is then fine-tuned using Volatility Adjusted Exposure (VAE). Each of the price indicators and VAE components of the Index are described below. Price Indicator Determination of Market Risk Environments. Market risk environments are quantitatively determined by the congruence of the two proprietary price-based indicators that measure, monitor and quantify market risk. The Price Momentum Indicator is driven by the 200-business day moving average of the S&P 500 Index. The Price Momentum Indicator is designed to identify historical market price trends (up or down). The Price Volatility Indicator is driven by the Index Providers PriceVol proprietary measure of the realized ( i.e. , historical as opposed to anticipated) volatility of the Indexs market. PriceVol measures the dispersion of prices of the securities comprising the S&P 500 Index.

PriceVol is engineered to measure market risk (high or low) based on actual market price movements and not expected price movements. The congruence of the output of the Price Momentum and Price Volatility Indicators is used to classify monthly the Indexs market condition as either Risk-On, Risk-Elevated, or Risk-Off market environments, as indicated in the table below. The market is in a Risk-On environment when the market is trending up, above its 200-business day moving average, and realized volatility is low. The market is in a Risk-Elevated environment when the market is below its 200-business day moving average, but realized volatility has not spiked. The market is in a Risk-Off environment when the market is trending down, below its 200-business day moving average, and realized volatility has spiked.

Price Momentum Indicator Price Volatility Indicator Indicated Market Risk Environment Market Trending Up Realized Volatility Low Risk-On (Bull Market) Market Trending Down Realized Volatility Low Risk-Elevated (Uncertain Market) Market Trending Down Realized Volatility High Risk-Off (Bear Market) Index Net Exposure Determination. The market risk environment classification systematically determines the targeted long, short and net exposure of the Index. In a Risk-On environment, the targeted net exposure of the Index is 200%. In a Risk-Elevated environment, the targeted net exposure of the index is 0%. In a Risk-Off environment, the targeted net exposure of the Index is -25%. Risk Environment Target Exposures Risk Environment Target Long Exposure Target Short Exposure Target Net Exposure Risk-On 200% 0% 200% Risk-Elevated 35% -35% 0% Risk-Off 0% -25% -25% Volatility Adjusted Exposure.

VAE uses PriceVol to measure and group market volatility into three categories - low, moderate, and high. VAE increases portfolio exposure when volatility is low or moderate and decreases portfolio exposure when volatility is high by adjusting Target Short Exposure for incrementally greater profit or greater protection, as appropriate. VAE is designed to position the portfolio to capture more of the upside and less of the downside of the market. When market volatility is low, VAE reduces the Target Short Exposure to 0%. When market volatility is moderate, VAE reduces Target Short Exposure by 50%. When market volatility is high, VAE keeps Target Short Exposure at 100%. The table below illustrates how VAE adjusts Target Short Exposure in a Risk-Elevated environment. Risk-Elevated Environment Market Volatility (PriceVol) VAE Adjuster (% of Target Short Exposure) Target Short Exposure VAE Adjusted Short Exposure VAE Adjusted Net Exposure Low 0% -35% 0% 35% Moderate 50% -35% -17.5% 17.5% High 100% -35% -35% 0% Weightings of Index Components.

The weighting of the Indexs Long Book and Short Book are formulaically determined based on the table below, which indicates the various weighting outcomes in each of the three potential market risk environments. Weighting of Index Components Risk Environment Long Book Weight (Long Book Securities Component) Short Book Weight Target Net Exposure Risk-On 200% 0% 200% Risk-Elevated 35% 0% to -35% 0% Risk-Off 0% 0% to -25% -25% The Index was developed by the Index Provider, an affiliate of the Adviser. The Index Calculation Agent is Solactive AG, which is not affiliated with the Index Provider, the Fund, the Adviser or the Funds sub-adviser, Toroso Investments, LLC (the Subadviser). The Index Calculation Agent provides information to the Fund about the constituents of the Index and does not provide investment advice with respect to the desirability of investing in, purchasing or selling securities.

As of December 31, 2022, the Index was comprised of 504 components.

ZSPY Costs and Fees

ZSPY costs about $95 per $10,000 invested per year in fund expenses.

• Net expense ratio: 0.95%
• Gross expense ratio: 0.95%

ZSPY Cashflows

Over the 12 months to 2023-09, ASYMmetric Smart Alpha S&P 500 ETF had net inflows of $749.98K, from monthly SEC N-PORT filings.

ZSPY Debt Constituents

No individual debt constituents are reported in ASYMmetric Smart Alpha S&P 500 ETF's latest SEC N-PORT filing.

ZSPY Prospectus and SEC Filings

Official ASYMmetric Smart Alpha S&P 500 ETF filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

• Prospectus (485BPOS) — filed 2023-01-25
• Portfolio holdings (N-PORT) — filed 2023-10-27
• Portfolio holdings (N-PORT) — filed 2023-08-14
• Portfolio holdings (N-PORT) — filed 2023-05-03

Related Funds

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

• Vanguard Total Stock Market Index Fund (VTSMX)
• Vanguard 500 Index Fund (VFINX)
• iShares Core S&P 500 ETF (IVV)
• Fidelity 500 Index Fund (FXAIX)
• Vanguard Institutional Index Fund (VINIX)

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.