10-Q: Dynamic Shares Trust Reports Q2 2024 Results: NAV Per Share Increases Amid Market Volatility

Dynamic Shares Trust's Dynamic Short Short-Term Volatility Futures ETF saw an increase in NAV per share during the second quarter of 2024, driven by lower market volatility and a decrease in VIX futures prices.

Summary

• Dynamic Shares Trust reported its financial results for the quarter ended June 30, 2024.
• The Dynamic Short Short-Term Volatility Futures ETF's net asset value (NAV) per share increased by 3.86% during the quarter.
• This increase was attributed to lower market volatility and a decrease in the 30-day weighted average VIX futures price.
• The Fund's actively managed portfolio of short positions in VIX Futures Contracts aims for a notional exposure ranging from -0.1 to -0.5 under normal circumstances.
• The Fund had 200,005 shares outstanding at the end of the period, compared to 250,005 at the beginning.
• Net investment income for the quarter was $28,235, while net realized gain was $180,986.
• There was a change in net unrealized depreciation of $(55,053).
• The net income from operations was $154,168 for the quarter.
• The Fund continuously offers and redeems its Shares in blocks of 50,000 Shares (each such block a Creation Unit).
• The Fund's management fee is 1.85% per annum of its average daily net assets.

Sentiment

Score: 6

Explanation: The sentiment is neutral. While the NAV per share increased, the fund also experienced a decrease in overall net assets and faces several risks associated with its investment strategy.

Positives

• The Fund's NAV per share increased by 3.86% during the quarter.
• The Fund experienced net investment income of $28,235.
• The Fund had a net realized gain of $180,986.
• The Fund's actively managed strategy allows it to adjust to changing market conditions.

Negatives

• The Fund experienced a change in net unrealized depreciation of $(55,053).
• The Fund's strategy involves risks associated with inverse and leveraged returns, which can be impacted by compounding effects.
• The Fund's NAV decreased from $7,328,788 to $6,088,032 during the quarter.

Risks

• The Fund is subject to correlation and compounding risk, which can cause its performance to differ from its benchmark.
• The Fund faces counterparty risk when entering into futures contracts.
• The Fund's use of leverage can magnify losses.
• The Fund may invest in less liquid derivatives, which can be difficult or costly to buy or sell.
• The Fund is exposed to contango and backwardation risk, which can impact performance during rolling of futures contracts.
• The Fund is subject to equity market volatility risk through its holdings of VIX futures contracts.
• The Fund's performance is sensitive to changes in the VIX index and VIX futures prices.
• The Fund's strategy involves risks associated with inverse and leveraged returns, which can be impacted by compounding effects.
• The Fund is subject to risks associated with natural disasters and epidemics, which can disrupt economies and markets.

Future Outlook

The document contains forward-looking statements regarding the Fund's investment strategy and potential future performance, but cautions that actual results may differ materially due to various risks and uncertainties.

Industry Context

This announcement relates to the volatility-linked ETF market, where funds aim to provide exposure to volatility through futures contracts. These funds are often used by investors seeking to hedge against market downturns or to profit from increased volatility.

Comparison to Industry Standards

• It is difficult to compare the fund's performance directly to industry standards without knowing the specific benchmark it is designed to track.
• Similar volatility-linked products include VXX and UVXY, which track different VIX futures indexes and have different leverage factors.
• The fund's management fee of 1.85% is relatively high compared to some other ETFs, but may be justified by its active management strategy.

Stakeholder Impact

• Shareholders experienced an increase in NAV per share, but also face risks associated with the Fund's investment strategy.
• Authorized Participants are able to create and redeem Creation Units, providing liquidity to the market.
• The Sponsor receives a management fee for its services.

Key Dates

Keywords

Volatility Futures, VIX, ETF, Dynamic Shares, Futures Contracts, Net Asset Value, Financial Performance, Investment, Derivatives