Investor Letter - June 2021 Long/Short Equity ETF (CBLS) Sustainable Equity ETF (CBSE) - www.changebridgefunds.com
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www.changebridgefunds.com Investor Letter – June 2021 Long/Short Equity ETF (CBLS) Sustainable Equity ETF (CBSE)
Performance Table: June 30, 2021
Total Return %
Fund Name
Symbol 1 Month 3 Month Year-to-Date Since Inception
Changebridge Capital Sustainable Equity ETF (NAV) 1.87% 4.32% 25.61% 49.60%
Changebridge Capital Sustainable Equity ETF (MKT) CBSE 1.96% 4.12% 25.54% 49.65%
S&P 500 Index SPX 2.33% 8.55% 15.24% 22.64%
Changebridge Capital Long/Short Equity ETF (NAV) -1.75% -2.49% 11.18% 29.30%
Changebridge Capital Long/Short Equity ETF (MKT) CBLS -2.07% -2.90% 11.03% 29.27%
Wilshire Liquid Alternative Equity Hedge Index WLIQAEHT 0.01% 3.85% 9.38% 13.35%
Performance data shown above represents past performance and is no guarantee of and not indicative of future results. Total return and value will vary, and
you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. Returns include changes in share price and
reinvestment of dividends and capital gains, if any. Please go to https://changebridgefunds.com for full month-end and quarter-end performance. The
inception date of each fund is 11/13/2020.
Market Returns are based upon the midpoint of the bid/ask spread at 4:00 p.m. Eastern Time, when the NAV is normally calculated for ETFs. Your return
may differ if you trade shares at other times. After-tax returns are calculated based on NAV using the highest individual federal income tax rate and does not
reflect the impact of state and local taxes. Actual after-tax returns will depend on an investor's tax situation and may be different from those shown. After-
tax would not be relevant to shares owned through a tax-deferred account such as an IRA or 401(k) plan. The return After Taxes on Distributions and Sales
of Fund Shares may exceed the Return Before Taxes due to an assumed tax benefit from the pass-through of foreign tax credits and/or from losses on a sale
of Fund shares at the end of the measurement period.
Changebridge Long/Short Equity ETF Expense Ratio: 2.10% Changebridge Sustainable Equity ETF Expense Ratio: 0.85%
Monthly Performance and Market Review:
In June of 2021, the Changebridge Capital Long/Short Equity ETF (CBLS) returned -1.75, underperforming its
benchmark Wilshire Liquid Alternative Equity Hedge Index by 1.76%. For the year-to-date, CBLS was up 11.18%,
outperforming it’s benchmark by 1.80%.
The Changebridge Capital Sustainable Equity ETF (CBSE) returned 1.87% during the month, underperforming its
benchmark S&P 500 Index by 0.46%. For the year-to-date, CBSE was up 25.61%, outperforming it’s benchmark
by 10.37%.
June marks the halfway point of 2021, offering an opportunity for us to reflect on broad market movements in what
has been an eventful first half of the year. Despite a global pandemic, mass vaccination effort, unprecedented
monetary and fiscal stimulus, a contentious White House transition, global supply chain disruptions, rapid rises in
commodity costs, and a series of Reddit-fueled manias, broad US Equity markets appear generally unphased.
• The S&P 500 (measured by the SPX Index) is up 15.24%
• The Russell 2000, an indicator of small cap performance (as measured by the IWM fund) is up 17.38%
• The Nasdaq Index (measured by the CCMP Index) is up 12.92%
• The Dow Jones Industrial Average (measured by the INDU Index) is up 13.79%
• 10-year Treasury prices (measured by the IEF fund) are down 3.41%
• Crude Oil Prices (measured by a Generic 1st CL Futures Index 1) are up 50.6%
1
The referenced indices are shown for general market comparisons and are not meant to represent the Fund. Investors cannot
directly invest in an index; unmanaged index returns do not reflect any fees, expenses or sales charges.In assessing the differences in performance among these asset classes, a few observations stand out to us. First and foremost, the correlation between US Equity prices and Treasury prices has diverged. With short term interest rates hovering close to zero, the historic relationship between these two prominent asset classes appears to be breaking down. This presents investors with a unique opportunity: the search for alternative sources of capital appreciation, without disproportionately higher risk. Defining “risk” can be a complex task, but for our purpose let’s think about risk through the lens of equity market exposure, or beta, which measures the fluctuation in a stock relative to changes in the overall stock market. This means that if the broad equity market were to decline by 10%, higher beta investments (those with a beta calculation based on historical observations over 1.0) would decline by greater than 10%. As investors shift from historically defensive US-Treasuries to other asset classes in pursuit of higher risk-adjusted returns, investors may seek alternative strategies (such as CBLS) partly because of their potential to have a lower correlation to the rest of their portfolio. The second noteworthy observation from the first half of 2021 is the impressive rally in crude oil and commodities broadly. Just over one year removed from crude oil futures closing at negative $37/barrel in April 2020 on account of some market dislocations, we have witnessed a complete reversal of fortunes. Conversations have shifted to supply constraints, the need to move more product around the globe, and the difficulty in extracting natural resources due to social distancing safety restrictions. While this has driven increased attention and interest in investments in the commodity sector, the team at Changebridge has identified securities within the commodity complex we believe are positioned to benefit while also reducing greenhouse gas emissions. It is certainly feasible, from our perspective, that the recent spike in commodity prices may catalyze the next generation of cleaner forms of alternative energy. It seems plausible to us that market participants are in the process of digesting meaningful change. These periods tend to present themselves as opportunities for savvy investors to think about the next stages of the market cycle. We believe active management continues to have bright prospects, and hold the Active ETF structure as a powerful tool for investors to utilize. Contributors & Detractors: As we do each month, we would like to highlight securities that meaningfully impacted performance in each of the two strategies. We believe investors deserve transparency into performance drivers as well as changes in our investment thesis, so we have highlighted contributors and detractors amongst the following categories: securities owned in the funds (long positions) which were amongst the top three contributors/detractors in CBSE, the top three long contributors/detractors in CBLS, and the top three contributors/detractors in CBLS amongst securities sold short (short positions). With a heightened preference for portfolio transparency, we also provide a comprehensive portfolio attribution by security for the month of May in the appendix. Top long contributors (CBSE and CBLS) Crispr Therapeutics AG (CRSP) is a biotechnology company developing gene editing solutions for a variety of diseases. Their leading candidates are currently for rare diseases beta thalassemia and sickle cell disease, where patient data appears strong thus far. In oncology, their B-cell malignancy study is also off to a positive start in a Phase 1 trial, and the company has recently announced a partnership with ViaCyte around solutions for Type 1 Diabetes. While admittedly difficult to evaluate the stock price on the basis of near-term financials, the potential for an immensely innovative / platform company to potentially revolutionize aspects of healthcare, combined with the preponderance of evidence suggesting they are making progress provides a highly asymmetrical risk/reward opportunity for shareholders. In the recent month, peer Intellia Therapeutics reported impressive top line results in a (gene-editing) clinical trial, driving optimism into the sector broadly. We continue to believe that CRSP has among the broadest suites of gene editing solutions, and that the current valuation fails to reflect the potential of CRSP as a platform company, rather than a legacy biotech.
Criteo SA (CRTO) is a global marketing technology company undergoing a significant business transformation. After bringing in a new management team, headlined by Megan Clarken (CEO) and Sarah Glickmann (CFO), CRTO is transitioning its legacy business into an emerging advertising model for retailers. While the legacy business was focused on “ad retargeting” (the practice of strategically placing advertisements for products that users recently viewed) CRTO’s emerging business helps e-commerce platforms better monetize their own digital real estate. Amazon was the first mover in this space, possessing the size and scale to leverage customer data to offer advertisements within its retail platform. Criteo engages with businesses that lack the scale to create their own advertising platform, yet they have an untapped opportunity to monetize their platform. Criteo brings years of experience and proven success, with this new business growing 40% annually, now comprising 25% of overall firm revenues. We believe this new business segment (as a standalone) might be worth more than the market value of the entire company today. While the legacy business is in decline, it generates meaningful free cash flow, and investors seem to be getting that for a compelling valuation on a sum of the parts basis. During June, (Google) Chrome announced it would be delaying its shift away from cookies for nearly 2 years, thus likely providing the legacy business for CRTO an additional 2 years of free cash flow generation. While we view this as a positive development, we believe CRTO’s new Retail Media segment will surpass their legacy retargeting business in the coming years. TransMedics Group (TMDX) is a medical device company that is attempting to revolutionize the way organ transplants are stored and transported. Their proprietary Organ Care System (OCS) replicates the physiological conditions within a human body - in a portable box. The three initial target organs are lung, liver, and heart. Lung is currently FDA approved and heart will face an FDA panel in the future. Recent data out of the liver trial has been promising, leading to improving investor sentiment and eager anticipation of an upcoming heart review. The market for organ transplantation is unique from many other medical device markets because it is highly concentrated among a few hospital systems. In the US, 55 centers have an estimated 70% market share, creating an opportunity for TMDX to grow rapidly if their devices are FDA approved. This company has a ~$900m market cap, but with an ~$8b total addressable market, we think it has a long runway ahead. Earlier this year, TMDX received upbeat results from an FDA panel for its OCS Heart product and currently awaits a full FDA approval. More recently, they announced positive data around their OCS Liver product, as well as a formal FDA panel date to discuss the liver product. We continue to see meaningful upside as the calendar of upcoming catalysts begins to ramp. Top long detractors (CBSE and CBLS) Sharps Compliance (SMED) is a provider of responsible medical waste management services. Their medical waste disposal services encompass route-based pickup, mail-back, and a kiosk-based infrastructure for safe and convenient disposal and recycling of medical waste and unused medication. Covid-19 and the ensuing vaccination efforts are underway, and the US is focused on quickly and safely disseminating vaccines to its population. One of the lesser discussed ramifications of this effort is the safe disposal of used vaccination needles. SMED is the number 2 provider of responsible medical waste removal and is the leader in the retail pharmacy channel. The current vaccination efforts are likely to produce a surge in demand for SMED’s unique services, one that we believe will persist for years. Prior to Covid-19, SMED was growing revenue at over 10% annually for the prior 4 years, with expanding operating margins as the business scaled. While the stock has appreciated, we believe consensus estimates for revenue and operating income are still too conservative. In recent months, concerns around Russell index rebalancing as well as slowing vaccination rates among Americans 18+ have negatively impacted sentiment around SMED. However, recent studies have suggested booster shots are highly likely, and potentially occurring more frequently than we had previously modeled. This could indicate incremental upside to our internal projections for SMED. LCI Industries (LCII) is a manufacturer of recreational vehicle and boating equipment. Their broad suite of products runs the gamut for OEM’s (original equipment manufacturers). This puts LCII in the enviable position of being able to acquire other parts manufacturers, integrate them with cost synergy, and sell their parts into existing customers. This acquisitive mindset, alongside longstanding management, has served LCII well for decades. While the markets for RV’s and boats have historically been cyclical in nature, consolidation among both OEM’s as well as dealers has
enabled the industry to practice improved inventory management. The last year proved to be a stellar period for outdoor equipment in general, and LCII in particular, as their scale enabled them to keep up with rapidly growing demand. In the most recent month, concerns around the duration of the RV cycle likely cause the stock price to decline. We believe these concerns to be transitory in nature, and continue to view LCII as a best-in-class operator in long-term growth end markets. Dana Inc (DAN) is a manufacturer of components and systems for automotive, heavy truck off-highway, and engine markets. The company has historically been known to sell into somewhat less-efficient vehicles, however has in recent years transformed the business model to sell into the electric vehicle marketplace. In fact, in the most recently reported quarter, DAN indicated that half of its backlog represented electric vehicle customers. Further, DAN has implemented a number of social initiatives to improve its relationship with employees and customers. Over the last few years, organic growth has been in the low single digits and has not shown meaningful signs of improvement, while acquisitions have provided a boost to overall revenue figures. These trends held until the onset of Covid-19. In the most recent month, so-called “value” stocks have underperformed, as well as those potentially correlated with a return to normalcy. As recent concerns around a “delta variant” have grown, sentiment around DAN stock has been impacted negatively. While we continue to believe there is an emerging EV opportunity for DAN, we are cognizant of the potential for sentiment shifts to persist. Top short contributors (CBLS only) Campbell Soup (CPB) is a producer of convenience food items, including soups, snacks, and pre-packaged food items. Their brands include Campbell’s, Pepperidge Farms, V8, and Prego, to name a few. While these are well- known brands, many appear to be in secular, long-term decline. Prior to Covid-19, Campbell’s was losing share to private label options, which tend to offer similar products at lower price points, and are a preferred revenue source for the groceries that distribute CPB’s items. During Covid, however, pantry stocking shifted from a price-conscious practice to a price-agnostic one, and CPB benefitted as grocery shelves were largely emptied. Our contention was that this would be a temporary phenomenon, and that as we return to some form of “normalcy” the prior trends would resume, and that consumers who stocked their pantries with long shelf-life items (such as Campbell’s soup) would actually purchase less that they had prior to the pandemic. Additionally, the pent-up demand for dining-out would likely serve as an impetus to shift spending further away from CPB and related grocery items. During the most recent quarter, CPB missed expectations on both a gross and operating margin basis, as the impact of inflation has affected them directly. The stock sold off accordingly as a result. Dish Network Corp (DISH) provides a direct broadcast satellite subscription television and audio service throughout the United States. Their core business, satellite television subscriptions, has been in decline for years, and shows no signs of rebounding. They have undertaken new investments in an effort to diversify away from the legacy satellite television service, such as an ambitious nationwide 5G project, and the acquisition of Boost Mobile. While we cannot rule out the potential success of DISH’s new ventures, we believe they will require a tremendous buildout expense and may take years to reach fruition. AT&T recently agreed to sell its DirecTV business (a direct competitor to DISH) at an estimated enterprise value of $16.25b, far below the $67b that AT&T paid for the business in 2015, one proxy for the headwinds facing the category in recent years. Earlier this year, DISH announced a partnership with Amazon’s AWS to power its 5G efforts – a similar agreement to that of Verizon and AWS. Market participants viewed this as a validation of DISH’s 5G efforts and the stock rallied in the month. In the last month, we believe analysts and investors have absorbed this news somewhat more realistically. We remain skeptical of the initiative considering the required spend, which may hinder financial returns from this massive undertaking. Kar Auction Services Inc (KAR) provides wholesale vehicle auction services. Their largest platform, ADESA, is a marketplace for used vehicle transactions. For years, they have ceded share to digital auction marketplaces such as ACV Auctions. In an effort to combat this trend, KAR has made a number of acquisitions into the digital auction marketplace at what appear to be full valuations. They recently acquired Backlot Cars at what appears to be over 7x trailing revenue. For reference, KAR currently trades at less than 2x revenue. They are also facing a difficult used car sourcing dynamic. As drivers largely stayed home in 2020, miles driven was down meaningfully and many
people chose to purchase their car off-lease, rather than return it. At the same time, new car production is down meaningfully as auto manufacturers face a global semiconductor shortage. The confluence of this event has drastically reduced the available inventory of used cars that go to auction. Further, retail marketplaces such as Carvana and Carmax have been aggressively sourcing their own inventory directly from consumers, rather than through auctions. We believe many of these trends are likely to persist into the future. While KAR’s Q1 earnings report beat expectations, and drove the stock price higher, the aforementioned difficult marketplace dynamics for KAR appear to have worsened in the recent month, and market participants have taken note. Top short detractors (CBLS only) Smith & Wesson (SWBI) is a manufacturer of firearms. After struggling to turnover dealer inventory for a number of years, the company was offered a perfect storm for demand in 2020: Covid-19 and the resulting stimulus checks and fear of the unknown, as well as a Democrat-controlled White House and Congress. When Democrats are elected, the gun enthusiast community tends to anticipate future gun restrictions and purchases in advance of any new regulations. Both of these unique circumstances gave SWBI an opportunity to clean up inventory and reset the slate for future products. In reporting their calendar year Q1 earnings, SWBI demonstrated the strength of this demand recovery, by reporting an impressive beat-and-raise quarter. However, looking forward, the setup into 2H ’21 and ’22 appears difficult. With demand pulled forward into ’20 and 1H ’21, we believe it likely that gun sales retreat, following a consistent pattern with prior Democrat-held election outcomes, and recent channel checks have reflected such a deceleration. While valuations are not demanding on a relative basis to the S&P 500, operating margin expectations appear optimistic, especially in light of the potential tail risk of new regulations permanently hampering gun sales; and valuations relative to the company’s own history are beyond normal ranges. Roku Inc (ROKU) is a manufacturer and marketer of devices to enable Over-The-Top (OTT) streaming services, in addition to a providing its own channel of content distribution. ROKU has been a beneficiary of both cord-cutting trends and increases in content distribution via new mediums, such as Netflix, Hulu, Disney Plus, and a slew of other properties. Their recent year has been an impressive one, reporting meaningful growth in users and an impressive monetization of those users. We believe the stay-at-home mandates of Covid-19 resulted in a goldilocks environment for streaming services. Anecdotally, we have heard the term “running out of Netflix” a number of times, and even noted that it was trending on Twitter. This situation, an abundance of time to watch programming, but a lack of programming on existing networks, created a prime opportunity for ROKU to demonstrate its value- add to consumers. As we begin to enter a period of “normalization” we believe the setup becomes incrementally tougher for ROKU. In the last month, so-called “growth” stocks have rallied, bringing ROKU along with them. DoorDash (DASH) is a platform for restaurant food delivery. The company has developed a platform to connect diners, restaurants, and delivery drivers in one automated system. Covid-19 and the resulting lockdowns and social distancing efforts proved to benefit such a business model, with revenue growing 226% in ’20. Despite this impressive sales growth, operating margins were largely unaffected as DASH continued to invest in its own systems and marketing to gain market share. While this may be a sensible strategy, the setup in ’21 appears to be less supportive. Given the potential for restaurants to re-open more broadly in ’21, DASH now faces a stronger competitive threat from its primary customers: restaurants. Given expectations are for continued growth over and above the revenue presented in ’20, these targets strike us as potentially aggressive. Further, in a shorter than standard lockup period, DASH shares were eligible for sale earlier than the usual 180-day period post-IPO. Earlier this year, DASH recently reported an impressive Q1, however our job as analysts is to look to the future: it remains difficult to forecast continued takeout growth in the near term, as social distancing restrictions are lifted and the option to dine-out at restaurants returns. As was the case with ROKU, the recent rally in “growth stocks” has served to benefit GRUB in the recent month. New Positions: Positions established and held through the month of June include:
New long positions (CBSE and CBLS) Quipt Home Medical Corp (QIPT) is a healthcare services company that distributes durable medical equipment to home health providers. Their products consist largely of respiratory equipment, as well as sleep and mobility devices, and their customers are primarily Medicare and Private payors, as well as Medicaid and out-of-pocket. The company recently uplisted to the Nasdaq and is in the process of expanding its Board of Advisors, while also implementing more environmentally efficient delivery vehicles and recycling initiatives. Further, their management team has been purchasing stock personally, representing an alignment of interests with shareholders. Historically, the market for durable medical equipment to home health providers has been largely at the whims of various reimbursement rates from the Centers for Medicare & Medicaid Services (CMS). During Covid-19, with hospitals largely overcrowded, an initiative was put in place to shift lower acuity patients from a hospital setting to the home, and new reimbursement standards were set to bring home care closer to parity with hospital care. Further, reimbursement rates for oxygen equipment improved as of April 2021. With an aging population, we believe the end market for QIPT is likely to grow for years to come. Additionally, management has proven adept at acquiring smaller competitors at 4-5x earnings before interest, taxes, depreciation, and amortization (EBITDA) and integrating these businesses efficiently. With organic growth rates in the low teens and sufficient cash to continue making acquisitions, we believe QIPT offers a unique growth opportunity at a below-peer valuation level. New short positions (CBLS) Beyond Meat (BYND) is a producer of plant-based meat alternatives. Their primary products are a beef substitute and a sausage substitute. BYND relies on two primary sources of revenue: restaurant partnerships and grocery channels. When BYND entered the plant-based meat scene, they were among a small group of companies revolutionizing the “veggie burger” and the excitement was palpable. Fast forward a few years, and grocery shelves are stocked with dozens of private label (and often cheaper) plant-based meat alternatives. Since April of 2020, grocery store sales velocity (same-store-sales) have trended lower and have reached the point of zero growth. While that alone would likely be a difficult hurdle for a stock to overcome, especially one that trades at 14x 2021 revenue estimates, excitement around potential restaurant and consumer packaged goods (CPG) partnerships has provided a bull thesis for shareholders. Despite the optimism, a recent report from Bloomberg shows that consumer excitement around plant-based alternatives at quick service restaurants is waning. Without either grocery store growth or restaurant excitement, we question the viability of BYND stock at valuation levels that imply many years of future growth. Fastly (FSLY) is a CDN (Content Delivery Manager) that provides internet infrastructure services. The company powers the back-end for many of the most popular websites on the internet. While there is a large runway for growth, this is a hyper-competitive space with generally declining pricing power. For instance, Cloudflare (NET) offers a competing service at a lower price and is able to do so with more POP’s (Points of Presence). More POP’s correlate with faster delivery speeds. While Cloudflare was not necessarily known as an enterprise provider, they did enter the enterprise market in 2018 and are growing faster than FSLY, with less customer concentration than FSLY. Further FSLY acquired Signal Sciences in October ’20, likely boosting ’21 revenue. This acquisition laps in a few months, which could result in further revenue deceleration. Despite intense competition and slowing growth, FSLY trades at >17x ’21 revenue estimates, leaving room for multiple contraction. Despite reporting mixed Q1 numbers, and selling off meaningfully, FSLY has rallied alongside a broad market rally. We saw this as an opportunity to revisit a business model that we believe to have tremendous competitive pressure, at a higher valuation than when we had previously covered our position. Novavax Inc (NVAX) is a developer of vaccines for infectious diseases, such as influenza and Covid-19. Prior to Covid-19, NVAX had spent the last decade attempting to bring a flu vaccine through the FDA process, and then to market. In Q4 19, they had published phase 3 data for their flu shot that appeared promising, however after years of development, the addressable market was limited to individuals aged 65+. Further, while their data was impressive, Sanofi had also updated its flu vaccine to show improved efficacy levels as well. In our opinion, this rendered NVAX’s feat somewhat less impactful. The onset of Covid-19 provided NVAX a tremendous opportunity
to provide a potential solution to the global pandemic. NVAX has developed a Covid-19 vaccine with impressive efficacy data in existing studies, and it is hopeful to be on the market in late 2021. While impressive, they will be at best the 6th vaccine to hit the market, with vaccination rates in the US slowing, and a meaningful head start for PFE, MRNA, JNJ and AZN globally. By our rough estimates, when the NVAX drug comes to market, about 20% of the world’s population will have already been vaccinated. We find it difficult to assume more than 50% of the global population eventually receives a vaccination, and even more unlikely that as we approach that 50% threshold, that pricing for vaccinations remains at current levels. Additionally, NVAX has already indicated difficult in attaining the necessary raw materials to manufacture highly sensitive vaccinations. They are hardly alone in this predicament. With Wall Street estimates meaningfully higher than our internal models, and a valuation suggesting vaccinations and boosters continue for many years to come, we believe the risk/reward to be asymmetrically skewed to the downside. Please feel free to reach out to us via our website, www.changebridgefunds.com, follow us on LinkedIn (Changebridge Capital), and on Twitter (@changebridgecap). Thanks for your trust,
Appendix A: Holdings and Attribution for CBSE (6/1/21 - 6/30/21) Name Beginning Weight % Ending Weight % Average Weight % Contribution % CBSE (NAV) 100.00 100.00 100.00 2.07 CRISPR THERAPEUT 2.26 3.63 2.50 0.92 CRITEO SA-ADR 4.05 4.82 4.37 0.87 TRANSMEDICS GROU 2.71 3.44 3.00 0.80 THRYV HOLDINGS I 2.57 3.11 2.79 0.59 SPROUT SOCIAL-A 1.65 2.09 1.92 0.48 MAGNITE INC 1.92 2.14 2.06 0.27 STERLING CONSTRU 3.24 3.41 3.36 0.23 CIVEO CORP 1.77 3.15 3.03 0.21 SKYLINE CHAMPION 3.77 3.89 3.80 0.21 ALIBABA GRP-ADR 2.71 3.01 2.72 0.16 QUIPT HOME MEDIC 2.92 0.50 0.15 SCIENTIFIC GAMES 2.08 2.18 2.14 0.14 ESTEE LAUDER 1.99 2.02 1.95 0.08 TAIWAN SEMIC-ADR 2.41 2.42 2.40 0.06 SEMLER SCIENTIFI 3.00 2.99 2.97 0.05 ASML HOLDING-NY 2.16 2.16 2.18 0.05 SERVICE CORP INT 2.15 2.33 2.15 0.03 US Dollar Spot 4.95 5.83 4.71 0.00 ICF INTERNATIONA 2.68 2.62 2.78 0.00 REDFIN CORP 2.04 0.18 -0.01 IMAX CORP 2.28 2.23 2.31 -0.01 SOLARIS OIL IN-A 2.68 2.57 2.73 -0.03 CHESAPEAKE ENERG 2.00 2.84 2.35 -0.04 CINEMARK HOLDING 1.33 1.26 1.32 -0.04 LIVERAMP HOLDING 1.08 0.81 -0.05 LIBERTY LATI-C 2.84 2.73 2.80 -0.05 FIRST REPUBLIC B 2.69 2.58 2.64 -0.06 SONY GROUP-ADR 2.93 2.81 2.87 -0.07 LUXFER HOLDINGS 2.81 2.68 2.71 -0.08 PLANET FITNESS-A 2.20 2.53 2.19 -0.11 CVS HEALTH CORP 3.52 3.34 3.44 -0.12 H&R BLOCK INC 3.06 2.85 3.02 -0.13 PURPLE INNOVATIO 1.94 0.00 1.85 -0.14 BRIGHTVIEW HOLDI 3.29 3.00 3.21 -0.23 PETCO HEALTH AND 0.52 -0.24 PROGYNY INC 3.37 2.67 3.22 -0.27 EXPEDIA GROUP IN 3.89 3.53 3.71 -0.29 DANA INC 2.80 2.18 -0.30 LCI INDUSTRIES 2.73 2.36 2.51 -0.31 SHARPS COMPLIANC 2.48 1.84 2.09 -0.61 Performance data represents past performance and is no guarantee of and not indicative of future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. The net asset value "NAV" calculation for fund performance and security attribution reflects unaudited estimates from the Fund's administrator and calculations by Bloomberg's Performance Attribution Model. Returns include changes in share price and reinvestment of dividends and capital gains, if any. Please go to https://changebridgefunds.com/sustainable-equity-cbse/ for full month-end and quarter-end performance. The Fund's inception date is 11/13/2020.
Appendix B: Holdings and Attribution for CBLS (6/1/21 - 6/30/21) Name Beginning Weight % Ending Weight % Average Weight % Contribution % CBLS (NAV) 100.00 100.00 100.00 -1.87 CRITEO SA-ADR 4.23 5.23 4.61 0.91 CRISPR THERAPEUT 2.03 3.43 2.27 0.84 TRANSMEDICS GROU 2.79 3.67 3.11 0.81 THRYV HOLDINGS I 2.56 3.22 2.81 0.59 SPROUT SOCIAL-A 1.77 2.31 2.07 0.50 MAGNITE INC 1.95 2.27 2.12 0.27 STERLING CONSTRU 3.46 3.78 3.61 0.25 SCIENTIFIC GAMES 3.32 3.61 3.45 0.23 CIVEO CORP 1.79 3.28 3.08 0.21 SKYLINE CHAMPION 3.82 4.10 3.89 0.21 QUIPT HOME MEDIC 2.97 0.51 0.14 ALIBABA GRP-ADR 2.41 2.80 2.45 0.14 CAMPBELL SOUP CO -1.95 -1.87 -1.89 0.12 DISH NETWORK-A -3.21 -2.74 -2.87 0.11 TAIWAN SEMIC-ADR 2.56 2.66 2.57 0.07 SEMLER SCIENTIFI 3.18 3.29 3.17 0.05 KAR AUCTION SERV -2.68 -2.50 -2.55 0.05 ASML HOLDING-NY 2.31 2.40 2.35 0.05 LOGITECH INTER-R -2.28 -2.11 -2.30 0.03 HORMEL FOODS CRP -1.66 -1.67 -1.66 0.03 US Dollar Spot 33.42 33.33 33.76 0.00 ICF INTERNATIONA 2.84 2.89 2.97 0.00 REDFIN CORP 2.08 0.19 -0.01 IMAX CORP 2.32 2.35 2.37 -0.01 TRANSACT TECH 0.94 0.94 0.89 -0.02 CARTER'S INC -2.11 -2.17 -2.14 -0.02 SOLARIS OIL IN-A 2.76 2.74 2.83 -0.03 CHESAPEAKE ENERG 2.02 2.96 2.40 -0.04 CINEMARK HOLDING 1.40 1.38 1.40 -0.04 IBM -2.74 -2.84 -2.80 -0.05 FIRST REPUBLIC B 2.67 2.65 2.63 -0.06 LIBERTY LATI-C 2.99 2.99 2.98 -0.06 LIVERAMP HOLDING 1.30 0.97 -0.06 UNIVERSAL DISPLA -2.11 -2.10 -2.09 -0.06 SONY GROUP-ADR 3.23 3.21 3.19 -0.08 LUXFER HOLDINGS 2.95 2.93 2.88 -0.08 FLUTTER ENT-ADR 1.83 2.26 1.98 -0.09 PLANET FITNESS-A 2.27 2.69 2.28 -0.11 CVS HEALTH CORP 3.39 3.33 3.33 -0.12 BEYOND MEAT INC -1.38 -0.24 -0.12 PLUG POWER INC -1.10 -0.18 -0.85 -0.12 H&R BLOCK INC 3.22 3.10 3.19 -0.13 PURPLE INNOVATIO 1.97 0.00 1.90 -0.14 FASTLY INC -CL A -2.28 -1.28 -0.19 PETCO HEALTH AND 0.52 -0.24 BRIGHTVIEW HOLDI 3.41 3.23 3.35 -0.24 PROGYNY INC 3.09 2.51 2.97 -0.24 EXPEDIA GROUP IN 4.03 3.79 3.87 -0.30 LCI INDUSTRIES 2.78 2.50 2.58 -0.30 DANA INC 2.93 2.28 -0.31 NIKE INC -CL B -1.49 0.00 -1.77 -0.33 DOCUSIGN INC -2.14 -0.38 -0.33 NOVAVAX INC -2.22 -1.63 -0.38 DOORDASH INC-A -2.53 -2.65 -2.55 -0.44 SHARPS COMPLIANC 2.50 1.92 2.13 -0.60 ROKU INC -2.32 -2.79 -2.41 -0.73 SMITH & WESSON B -2.20 -3.22 -2.49 -1.41 Performance data represents past performance and is no guarantee of and not indicative of future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. The net asset value "NAV" calculation for fund performance and security attribution reflects unaudited estimates from the Fund's administrator and calculations by Bloomberg's Performance Attribution Model. Returns include changes in share price and reinvestment of dividends and capital gains, if any. Please go to https://changebridgefunds.com/long-short-equity-cbls/ for full month-end and quarter-end performance. The Fund's inception date is 11/13/2020.
CHANGEBRIDGE CAPITAL, LLC Investors should consider the investment objectives, risks, charges, and
expenses of the funds carefully before investing. This and other information
180 Canal Street, Suite 600 are contained in the Fund’s prospectus, which may be obtained by visiting
www.changebridgefunds. com or by calling 617-717-2912. Please read the
Boston, MA 02114 prospectus carefully before you invest.
info@changebridgecapital.com Investing involves risk. Principal loss is possible. As an ETF, the funds may trade
www.changebridgefunds.com at a premium or discount to NAV. Shares of any ETF are bought and sold at
market price (not NAV) and are not individually redeemed from the Fund.
(617) 717-2910 Market Returns are based upon the midpoint of the bid/ask spread at 4:00
p.m. Eastern Time, when the NAV is normally calculated for ETFs. Your return
may differ if you trade shares at other times. The equity securities held in the
Funds’ portfolio may experience sudden, unpredictable drops in value or long
periods of decline in value. This may occur because of factors that affect
securities markets generally or factors affecting specific issuers, industries, or
sectors in which the Funds invest. The Funds are considered to be non-
diversified, which means that they may invest more of their assets in the
securities of a single issuer or a smaller number of issuers than if they were
diversified funds. As a result, the Funds may be more exposed to the risks
associated with and developments affecting an individual issuer or a smaller
number of issuers than funds that invest more widely. This may increase the
Funds’ volatility and cause the performance of a relatively smaller number of
issuers to have a greater impact on Fund performance.
Applying ESG criteria to the investment process may exclude securities of
certain issuers for non-investment reasons and therefore the Funds may forgo
some market opportunities available to funds that do not use ESG criteria.
Short selling is an investment strategy utilized in CBLS, which involves the sale
of securities borrowed from a third party. The short seller profits if the borrowed
security’s price declines. If a shorted security increases in value, a higher price
must be paid to buy the stock back to cover the short sale, resulting in a loss.
The Fund may incur expenses related to short selling, including compensation,
interest or dividends, and transaction costs payable to the security lender,
whether the price of the shorted security increases or decreases. The amount
the Fund could lose on a short sale is theoretically unlimited. Short selling also
involves counterparty risk – the risk associated with the third-party ceasing
operations or failing to sell the security back.
The Funds are new with a limited operating history.
The Changebridge ETFs are Distributed by Foreside Fund Services, LLC.You can also read
