The Approach

The Hedged Equity-Index Option portfolio seeks to capture the majority of the return of the US stock market with less risk than other equity investments. The portfolio is comprised large cap stocks with call options sold against the SPDR S&P 500 exchange traded fund in an effort decrease volatility and to increase current income. The stocks are selected utilizing our quantitative models and the options are selected based on our proprietary option selling model. We have found through our own research that selling call options against a broad-based and liquid index such as the S&P 500 provided better overall outcomes compared to selling call options against individual stocks.

The Features

Covered call strategies provide an alternative to traditional, long-only equity strategies while historically delivering similar returns and lower volatility than the S&P 500. Covered call strategies may not perform as well as unhedged equity strategies when the market is trending up but provided better performance when the market was either flat or down. In addition to selling call options, the manager may also hedge the portfolio by using inverse ETFs to provide additional protection against declining markets.

Data as of 07/01/2020

PERFORMANCE

MONTH END AS OF: 05/31/2020
1 Month 3 Month YTD Since Inception 1 Year 3 Years 5 Years
Fund NAV TBD TBD TBD 0.79% TBD TBD TBD
Market Price TBD TBD TBD 0.51% TBD TBD TBD
QUARTER END AS OF: 03/31/2020
1 Month 3 Month YTD Since Inception 1 Year 3 Years 5 Years
Fund NAV TBD TBD TBD TBD TBD TBD TBD
Market Price TBD TBD TBD TBD TBD TBD TBD

The performance quoted represents past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor's shares, when sold or redeemed, may be worth more or less than the original cost. Shares are bought and sold at market price (not NAV) and are not individually redeemed from the fund. Current performance may be lower or higher than the performance quoted.

SIXH Holdings as of 07/01/2020

COMPANY NAME TICKER CUSIP SHARES MARKET VALUE % OF NET ASSET VALUES
ISHARES SHORT TREASURY BOND SHV 464288679 85026 9,414,078.72 4.973%
LILLY (ELI) & CO LLY 532457108 43659 7,129,514.70 3.766%
TARGET CORP TGT 87612E106 58806 6,995,561.76 3.695%
WALMART INC WMT 931142103 54648 6,540,819.12 3.455%
BIOGEN INC BIIB 09062X103 21087 5,583,204.99 2.949%
AMAZON.COM INC AMZN 023135106 1782 5,129,843.40 2.710%
PROCTER & GAMBLE CO PG 742718109 39501 4,739,329.98 2.503%
COLGATE-PALMOLIVE CO CL 194162103 64746 4,728,400.38 2.498%
U S BANCORP USB 902973304 130086 4,680,494.28 2.472%
METLIFE INC MET 59156R108 129195 4,587,714.45 2.423%
CHARTER COMMUNICATIONS INC CHTR 16119P108 8613 4,495,210.83 2.374%
WALGREENS BOOTS ALLIANCE INC WBA 931427108 109296 4,468,020.48 2.360%
COSTCO WHOLESALE CORP COST 22160K105 14553 4,435,026.75 2.343%
PHILIP MORRIS INTERNATIONAL PM 718172109 63261 4,427,637.39 2.339%
WELLS FARGO & CO WFC 949746101 176418 4,426,327.62 2.338%
INTEL CORP INTC 458140100 75141 4,419,042.21 2.334%
VERIZON COMMUNICATIONS INC VZ 92343V104 79893 4,367,750.31 2.307%
GILEAD SCIENCES INC GILD 375558103 57321 4,359,835.26 2.303%
PFIZER INC PFE 717081103 120285 4,058,415.90 2.144%
MORGAN STANLEY MS 617446448 57321 2,729,052.81 1.442%
UNITED PARCEL SERVICE-CL B UPS 911312106 23760 2,718,619.20 1.436%
NVIDIA CORP NVDA 67066G104 7128 2,717,193.60 1.435%
LOWES COS INC LOW 548661107 19899 2,698,901.37 1.426%
ABBVIE INC ABBV 00287Y109 26433 2,620,567.62 1.384%
ADOBE INC ADBE 00724F101 5940 2,612,471.40 1.380%
APPLE INC AAPL 037833100 7128 2,595,376.08 1.371%
CATERPILLAR INC CAT 149123101 20493 2,583,347.58 1.365%
GENERAL DYNAMICS CORP GD 369550108 17226 2,534,633.64 1.339%
QUALCOMM INC QCOM 747525103 28215 2,533,142.70 1.338%
FACEBOOK INC FB 30303M102 10395 2,469,332.25 1.304%
NETFLIX INC NFLX 64110L106 5049 2,451,996.36 1.295%
KRAFT HEINZ CO/THE KHC 500754106 77220 2,445,557.40 1.292%
AMERICAN TOWER CORP AMT 03027X100 9207 2,443,445.73 1.291%
MICROSOFT CORP MSFT 594918104 11880 2,431,836.00 1.285%
NIKE INC -CL B NKE 654106103 24948 2,429,935.20 1.284%
AMGEN INC AMGN 031162100 9504 2,424,660.48 1.281%
TEXAS INSTRUMENTS INC TXN 882508104 19305 2,409,264.00 1.273%
GOLDMAN SACHS GROUP INC GS 38141G104 12177 2,405,809.89 1.271%
BANK OF NEW YORK MELLON CORP BK 064058100 63855 2,400,309.45 1.268%
RAYTHEON TECHNOLOGIES CORP RTX 75513E101 38907 2,397,060.27 1.266%
HOME DEPOT INC HD 437076102 9504 2,358,417.60 1.246%
3M CO MMM 88579Y101 15147 2,354,298.21 1.244%
AT&T INC T 00206R102 76923 2,299,997.70 1.215%
MERCK & CO. INC. MRK 58933Y105 29403 2,296,962.36 1.213%
JPMORGAN CHASE & CO JPM 46625H100 24354 2,271,254.04 1.200%
BANK OF AMERICA CORP BAC 060505104 97416 2,265,896.16 1.197%
PEPSICO INC PEP 713448108 16929 2,240,722.44 1.184%
COCA-COLA CO KO 191216100 49896 2,236,338.72 1.181%
KINDER MORGAN INC KMI 49456B101 149094 2,222,991.54 1.174%
INTERNATIONAL BUSINESS MACHINES CORP IBM 459200101 18117 2,147,589.18 1.134%
ALLSTATE CORP ALL 020002101 21978 2,099,558.34 1.109%
JOHNSON & JOHNSON JNJ 478160104 14850 2,084,643.00 1.101%
CHEVRON CORP CVX 166764100 23760 2,081,851.20 1.100%
LOCKHEED MARTIN CORP LMT 539830109 5643 2,033,850.06 1.074%
JULY 20 CALLS ON SPX SPX 07/17/20 C3045 -284 -2,953,600.00 -1.560%
JULY 20 CALLS ON SPX SPX 07/17/20 C2995 -284 -4,075,400.00 -2.153%

Fund holdings and sector allocations are subject to change and are not a recommendation to buy or sell any security. Holdings are reflective of trading and creation/redemption activity as of the date indicated.

DISTRIBUTIONS

Month Ex Date Record Date Pay Date Dividend Short Term Capital Gains
June 06/30/2020 07/01/2020 07/06/2020 0.0474

There is no guarantee distributions will be paid.

PREMIUM DISCOUNT TABLE

Second Quarter 2020
Days traded at nav 0
Days traded at premium 17
Days traded at discount 19

PREMIUM AND DISCOUNT GRAPH

Carefully consider the Funds’ investment objectives, risk factors, charges and expenses before investing. This and additional information can be found in the Funds’ prospectus or summary prospectuses, which may be obtained by visiting https://6meridianfunds.com/investor-materials. Investors should read it carefully before investing or sending money.

The Funds are distributed by SEI Investments Distribution Co. which is not affiliated with Exchange Traded Concepts, LLC or any of its affiliates.

Investing involves risk, including possible loss of principal.

The funds are non-diversified.

The funds are actively managed and there is no guarantee the securities selected or the strategies employed will achieve the intended results. The funds rely heavily on quantitative models as well as data and information supplied by third parties that are utilized by the models. To the extent the models do not perform as designed or as intended, the Funds’ strategies may not be successfully implemented and the Funds may lose value. If the models or data are incorrect or incomplete, any decisions made in reliance thereon may lead to the inclusion or exclusion of securities that would have been excluded or included had the models or data been correct and complete.

Small cap risk for SIXH, SIXL, SIXS: Investments in smaller companies typically exhibit higher volatility.

REIT risk for SIXL, SIXS: In addition to the normal risks associated with investing, narrowly focused investments typically exhibit higher volatility. REIT investments are subject to changes in economic conditions, credit risk and interest rate fluctuations.

SIXH-specific risk: By writing covered call options in return for the receipt of premiums, the Fund will give up the opportunity to benefit from potential increases in the value of the reference index above the exercise prices of such options, but will continue to bear the risk of declines in the value of the reference index. The premiums received from the options may not be sufficient to offset any losses sustained from the volatility of the underlying stocks over time. In addition, the Fund’s ability to sell the securities underlying the options will be limited while the options are in effect unless the Fund cancels out the option positions through the purchase of offsetting identical options prior to the expiration of the written options.

An inverse ETF is designed to lose value as the underlying benchmark increases in value, a result that is opposite from traditional mutual funds, and shareholders of inverse ETFs will lose money when the value of the underlying benchmark rises.

Definition of index call option copied from the prospectus: As the seller of an index call option, the Fund receives a premium from the purchaser. The purchaser of the index call option has the right to any appreciation in the value of the index over the exercise price upon the exercise of the call option or the expiration date. If, at expiration, the purchaser exercises the index option sold by the Fund, the Fund will pay the purchaser the difference between the cash value of the index and the exercise price of the index option. The premium, the exercise price and the market value of the index determine the gain or loss realized by the Fund as the seller of the index call option.

A covered call refers to transaction in the financial market in which the investor selling call options owns the equivalent amount of the underlying security. To execute this an investor holding a long position in an asset then writes (sells) call options on that same asset to generate an income stream.

Beta is a measure of the volatility, or systematic risk, of a security or portfolio, in comparison to the market as a whole.