BTAL

1. Summary

• BTAL is an actively managed, rules-based ETF. It goes long the lowest-beta U.S. stocks and short the highest-beta U.S. stocks in each sector, with equal dollars on each side. Its aim is a steady negative beta to the U.S. market, so it works as an equity hedge.
• The N-PORT for June 30, 2026 shows 99.7% long and 100.4% short, counting stocks and swaps: 2.00x gross and -0.8% net (my arithmetic). The fact sheet's sector weights add up to about 99.5% long and 92.3% short on October 31, 2026, or about 1.92x gross, if those weights are percent of net assets (my arithmetic, my inference).
• It shorts mostly by borrowing and selling stock through an unnamed broker. The prospectus says "a portion" of its shorts is expected to come through swaps. On June 30, 2026 about 20% of the short exposure was in a swap, and the fund also held a long swap. Both swaps were with Morgan Stanley (my arithmetic, from the N-PORT). No prime broker is named, and no document says Reg T or portfolio margin.
• Most relevant for us: BTAL is a 15-year-old, $345 million dollar-neutral ETF that ran at 2.00x gross on June 30, 2026 (N-PORT). It reports its short costs inside the expense ratio (0.80% for fiscal 2026, with dividends, interest and brokerage lumped together). It shows no route to 3.0x gross.

2. Key facts

3. Service providers

Others: Foreside Fund Officer Services, LLC provides the chief compliance officer and principal financial officer (BTAL-PR, page 27, "Compliance Support"). Willkie Farr & Gallagher LLP is legal counsel (BTAL-SAI, page 28, "Legal Counsel").

4. Strategy

• Objective and benchmark. "The Fund seeks to provide a consistent negative beta exposure to the U.S. equity market." (BTAL-PR, page 5, "Investment Objective"). The objective is non-fundamental and can change with 60 days' notice (BTAL-PR, page 12). Beta measures how much a stock or fund moves with the market. The prospectus compares returns with the Dow Jones U.S. Thematic Market Neutral Low Beta Index (the "Index") and the S&P 500 (BTAL-PR, page 9, "Performance Information").
• Universe. The Index universe is the Dow Jones U.S. Index, made up of the "top 1,000 eligible securities by market capitalization," including REITs, that meet a trading volume test. Stocks are sorted into the 11 GICS sectors (BTAL-PR, page 6, "Principal Investment Strategies"). At least 80% of net assets go into long and short U.S. equities, which may include exposure "through derivatives" (BTAL-PR, page 6). On October 31, 2026, average market cap was $57.83 billion long and $76.45 billion short; median was $18.61 billion long and $15.85 billion short (BTAL-FS, page 1, "Portfolio Characteristics").
• How it picks stocks. Quantitative and rules-based. The Index takes "approximately the 20% of securities with the lowest betas within each sector as equal-weighted long positions" and the 20% with the highest betas as equal-weighted shorts (BTAL-PR, page 6). A stock's beta is measured against the S&P 500 over the last 52 weeks (BTAL-PR, page 6, "Concepts to Understand"). The fund generally follows the Index but may depart from it when a reconstitution would raise risks such as momentum exposure (BTAL-PR, page 6). The fund has been active since February 14, 2022; before that it tracked the Index (BTAL-PR, page 9).
• Neutrality targets. Dollar neutral within sectors (BTAL-PR, page 6). "The Index maintains sector neutrality" by setting the number of names per sector from the universe's sector mix (BTAL-PR, page 6). It is not beta neutral: it aims for negative beta. The prospectus adds that "the beta of the Fund (i.e., the relative volatility of the Fund as compared to the market) will vary over time and may not be equal to zero" (BTAL-PR, page 7, "Market Neutral Style Risk").
• Net exposure. About zero in dollars. At each quarterly reconstitution "the Index will be reset to dollar neutrality (i.e., equal dollar amounts of both long and short positions)" (BTAL-PR, page 6). No range around zero is stated.
• Limits on position size. Equal weights within the Index (BTAL-PR, page 6). The fund is "diversified" under the 40 Act: for 75% of total assets, no more than 5% in one issuer (BTAL-SAI, page 17). It may not "hold more than 25% of its assets in the stocks of a single industry or group of industries" (BTAL-SAI, page 17, "Fundamental Investment Policies"). No other numeric limit is stated.

5. Exposure and leverage

• Measured exposure, June 30, 2026 (BTAL-NP, Items B.1 and C; net assets $282,859,479.51; all my arithmetic):
  • Long stocks $235,088,659, or 83.1% of net assets. Long swap notional $46,818,843, or 16.6%. Total long 99.7%.
  • Short stocks $227,203,478, or 80.3%. Short swap notional $56,831,071, or 20.1%. Total short 100.4%.
  • Gross 200.1%, or 2.00x. Net -0.8%.
  • Cash and cash equivalents of $281,335,612, or 99.5% of net assets, sat outside the holdings list (BTAL-NP, Item B.2.f). That fits short sale proceeds held in cash (my inference).
• Fact sheet, October 31, 2026. No long, short, gross or net total is given. The fact sheet's sector weightings add up as follows (BTAL-FS, page 1, "Portfolio Sector Weightings"):
  • Long: 99.54% (my arithmetic).
  • Short: -92.33% (my arithmetic).
  • Gross: 191.87%, or about 1.92x (my arithmetic).
  • Net: +7.21% (my arithmetic).
  • The fact sheet doesn't say what base these weights use. They don't sum to 100% on either side, so they are likely percent of net assets (my inference). The gap from dollar neutral fits October's 10.08% NAV gain, when shorts would have shrunk against longs (my inference). The long sum of 99.54% is close to the N-PORT's 99.7% total long including the swap, not its 83.1% in stocks alone, so the sector weights likely include swap exposure (my inference).
• Stated targets or limits. Dollar neutral, reset quarterly (BTAL-PR, page 6). No gross target or cap is stated. The only stated limit is the VaR rule: "If the Fund's value at risk (VAR) exceeds regulatory limits, the Fund will reduce its gross leverage to comply with applicable regulatory requirements." (BTAL-PR, page 6, "Principal Investment Strategies").
• How it gets exposure above 100%. Through shorting and swaps: "The Fund's use of short selling and swap agreements allows the Fund to obtain investment exposures greater than its NAV by a significant amount, i.e., use leverage." (BTAL-PR, page 8, "Leverage Risk"). Short sale proceeds "are typically held in cash, which earns interest at a negotiated rate" (BTAL-PR, page 12). The documents don't say proceeds are used to buy longs. So the long book appears to be funded by the fund's own capital, which fits about 100% long (my inference).
• Borrowing limits. "Except as a temporary measure for extraordinary or emergency purposes, the Fund does not currently intend to borrow money in amounts in excess of 5% of the value of the Fund's total assets." (BTAL-SAI, page 6, "Borrowing"). The fundamental policy allows borrowing only as the 40 Act permits (BTAL-SAI, page 16). No asset coverage figure and no line of credit are named.

6. Shorting, financing and collateral

• How it shorts. Mainly direct short sales: "In a short sale, the Fund borrows the security from a lender and then sells the security in the general market." (BTAL-PR, page 12, "More Information About Dividend, Interest and Brokerage Expenses on Short Positions"). Also swaps: "A portion of the short positions of the Fund is expected to be obtained through swap agreements." (BTAL-PR, page 15, "Short Position Risk"). The fund documents don't give the split. On June 30, 2026 direct shorts were 80.3% of net assets and the short swap 20.1%, so about 80% of short exposure was direct (my arithmetic, from BTAL-NP, Part C). The fund also held a long swap of 16.6% (BTAL-NP, Item C.11). The SAI names "equity or equity index swap agreements" and says "Most, if not all, swap agreements entered into by the Fund will be two-party contracts." (BTAL-SAI, page 14, "Swap Agreements").
• Who lends the stock and who holds collateral. Stock is borrowed "from a lender" (BTAL-PR, page 12). "The net proceeds of the short sale will be retained by the broker, to the extent necessary to meet margin requirements, until the short position is closed out." (BTAL-SAI, page 13, "Short Sales"). The broker and lenders are not named.
• What is posted. When shorting, the fund "may maintain a segregated account of cash and/or liquid assets with its custodian to satisfy collateral requirements" (BTAL-PR, page 7, "Short Sale Risk"). The fund "may, however, pledge portfolio securities as the Adviser deems appropriate in connection with any borrowings and in connection with hedging transactions, short sales and similar investment strategies" (BTAL-SAI, page 6, "Borrowing"). So long stocks may be pledged, but whether they are is not stated. For swaps, the fund "may be required to post margin or collateral in an amount equal to its net obligations under a swap agreement" (BTAL-PR, page 15, "Leverage Risk").
• Short sale proceeds used to buy longs. Not stated. Proceeds "are typically held in cash" (BTAL-PR, page 12). On June 30, 2026 the fund held $281,335,612 of cash and cash equivalents, 99.5% of net assets, which fits proceeds kept in cash (BTAL-NP, Item B.2.f; my inference).
• Segregated or tri-party account. A segregated account "with its custodian" is described as possible ("may maintain") (BTAL-PR, page 7). No tri-party or control agreement is named.
• Swap financing. "the Fund will pay financing charges to the counterparty (based on the notional amount of long exposures)" and on shorts will receive interest that "will generally equal what the Fund would receive on the proceeds from direct short sales". The fund also pays the counterparty any dividends on shorted names (BTAL-PR, page 14, "Swap Agreement Risks"). The fund documents give no rate or spread. The N-PORT gives swap terms for June 30, 2026 (BTAL-NP, Item C.11):
  • Long swap: Morgan Stanley pays the return on the Dow Jones U.S. Low Beta Total Return Index (DJTLABT). The fund pays a floating rate on FEDL01 (the federal funds rate) with a "Floating rate Spread" of 3.98.
  • Short swap: the fund pays the return on the Dow Jones U.S. High Beta Total Return Index (DJTSABT). It receives a floating rate on FEDL01 with a "Floating rate Spread" of 3.23.
  • Both are custom swaps ending 2027-09-28, reset daily, with no upfront payments.
  • The filing gives no units for the spreads. Read as percentage points over the federal funds rate, they would be far above normal swap spreads, so they may be all-in rates entered in the spread field (my inference). This needs confirming with AGF.
• Recall risk. "A lender may request that borrowed securities be returned to it on short notice" (BTAL-PR, page 17, "Short Sale Risk"). For swap shorts, a recall at the counterparty's lender may force the fund to close the swap (BTAL-PR, page 15).
• Securities lending. Not described. The only mention is a tax note that the dividends-received deduction "may also be reduced as a result of the Fund's securities lending activities" (BTAL-SAI, page 39, "Taxation"). Whether BTAL lends, and through which agent, is not stated. The N-PORT lists no securities lending borrowers and no holdings on loan on June 30, 2026 (BTAL-NP, Items B.4 and C.12).
• Permitted only. Stock index futures and options on them, index options, options on securities, repurchase and reverse repurchase agreements, U.S. government securities, and when-issued securities (BTAL-SAI, pages 8 to 16, "Investment Policies, Techniques and Related Risks"). None is described as a principal strategy.

7. Derivatives and Rule 18f-4

• Derivatives used or permitted. The principal strategy says the fund "may use derivatives, including swap agreements and futures contracts, consistent with its investment objective" (BTAL-PR, page 6). The prospectus treats swaps as part of how it shorts (BTAL-PR, pages 8 and 15). On June 30, 2026 the fund held two total return swaps with Morgan Stanley, one long and one short, and no futures or options (BTAL-NP, Part C). Futures, index options and options on securities are permitted (BTAL-SAI, pages 8, 9 and 12). Short sales also count under the derivatives rule: "The Fund is required to comply with the derivatives rule when they engage in short sales." (BTAL-SAI, page 14).
• Limited derivatives user or full program. Not stated directly. The SAI explains the rule and the "limited derivatives users" exception without saying which applies (BTAL-SAI, page 7, "Derivatives Regulatory Matters"). The strategy's plan to cut gross leverage when VaR "exceeds regulatory limits" (BTAL-PR, page 6) implies BTAL is under the VaR limit and runs a full program, not a limited derivatives user (my inference). No derivatives risk manager is named. The N-PORT leaves its limited derivatives user section blank (BTAL-NP, Item B.9), which supports this.
• VaR test and reference portfolio. VaR (value at risk) estimates the most a fund could lose over a set period at a set confidence level. The fund documents don't say whether BTAL uses the relative or absolute test. The N-PORT's VaR section shows "N/A" for a designated index and gives no median VaR (BTAL-NP, Item B.10). That fits the absolute test, but the filing doesn't say so (my inference). No reference portfolio is named.
• Commodity pool status (CFTC Rule 4.5). Rule 4.5 isn't named, but the SAI describes its de minimis test (5% of NAV in initial margin and premiums, or 100% of NAV in net notional). "Because the Fund is expected to engage only in a de minimis amount of such transactions, the Adviser has claimed such an exclusion." (BTAL-SAI, page 7, "Derivatives Regulatory Matters").

8. Costs

• Who pays what. The adviser pays its own costs and the salaries of interested trustees and officers. The trust pays everything else, including custody, administration, audit, legal, index licensing fees and brokerage, subject to the expense cap (BTAL-SAI, page 25, "Investment Advisory Agreement"). The adviser, not the fund, pays the distributor (BTAL-SAI, page 28, "Distributor"). The fund has a 12b-1 plan of up to 0.25%, but the fee table shows 0.00% (BTAL-SAI, page 28; BTAL-PR, page 5).
• Fees and waivers in dollars. Advisory fees paid and waivers by the adviser (BTAL-SAI, page 26):
  • Fiscal 2026: $1,540,274 paid; $(948,102) waived or reimbursed.
  • Fiscal 2025: $1,570,439; $(865,371).
  • Fiscal 2024: $1,160,058; $(757,399).
• Short costs by year. Expense ratio after waivers, minus the ratio before short costs (BTAL-PR, page 28, "Financial Highlights"; all my arithmetic):
  • Fiscal 2026: 1.25% minus 0.45% = 0.80%.
  • Fiscal 2025: 1.40% minus 0.45% = 0.95%.
  • Fiscal 2024: 1.58% minus 0.45% = 1.13%.
  • Fiscal 2023: 1.43% minus 0.45% = 0.98%.
  • Fiscal 2022: 1.54% minus 0.45% = 1.09%.
• Brokerage commissions. $497,880.53 in fiscal 2026, $478,206.64 in fiscal 2025 and $314,533.11 in fiscal 2024 (BTAL-SAI, page 19, "Portfolio Transactions and Brokerage"). The adviser expects commissions "in connection with short positions" (BTAL-SAI, page 17). Fiscal 2026 commissions were about 0.15% of average net assets (my arithmetic, using average net assets of about $342 million implied by the 0.45% fee on $1,540,274).
• Portfolio turnover. Including short sales: 295% (2026), 340% (2025), 267% (2024), 367% (2023), 321% (2022). Excluding short sales: 68%, 93%, 76%, 118%, 145% (BTAL-PR, page 28, "Financial Highlights").
• Gap between expense ratio and management fee. 1.25% minus 0.45% = 0.80% (my arithmetic). The whole gap is short costs. The fund's ordinary other expenses of 0.28% are fully offset by the 0.28% waiver (my arithmetic). The fact sheet shows an "Adjusted Expense Ratio" of 0.45% that excludes these short costs (BTAL-FS, page 1, "Fees & Expenses").

9. Performance and risk

Returns from the fact sheet (BTAL-FS, page 1, "Performance (%)"). Periods over one year are annualized.

• Prospectus returns to December 31, 2025 (before taxes): 1 year -20.60%, 5 years -3.06%, 10 years -2.21%. Index: -22.49%, -4.70%, -2.79%. S&P 500: 17.88%, 14.42%, 14.82% (BTAL-PR, page 10, "Average Annual Total Returns"). Year to date to September 30, 2026: -16.49% (BTAL-PR, page 9).
• Calendar-year returns (BTAL-PR, page 9, bar chart, read from text and page image): 2016 -4.73%; 2017 -2.79%; 2018 15.05%; 2019 1.71%; 2020 -13.76%; 2021 -7.33%; 2022 20.90%; 2023 -14.85%; 2024 12.99%; 2025 -20.60%. Best quarter 18.48% (June 30, 2022); worst quarter -19.03% (December 31, 2020).
• Fiscal-year NAV returns (years to June 30): 2026 -35.40%; 2025 -6.23%; 2024 10.77%; 2023 -12.71%; 2022 28.66% (BTAL-PR, page 28, "Financial Highlights").
• Risk statistics. No fund-level beta, correlation, volatility, Sharpe ratio, drawdown or capture figures. The fact sheet gives book-level betas as of October 31, 2026: 0.59 for the long book and 1.30 for the short book (BTAL-FS, page 1, "Portfolio Characteristics"). Weighting these by the sector sums in section 5 gives a rough fund beta of about -0.61 (0.59 × 99.54% minus 1.30 × 92.33%) (my arithmetic). This is not a document figure and assumes the weights are percent of net assets (my inference).
• Note. Returns track the Index closely and run opposite to the S&P 500. That is what a negative-beta hedge should do in a rising market (my inference).

10. History and structural changes

• Predecessor funds. None stated. "predecessor" returns no hits in the prospectus or SAI.
• Reorganizations and 351 conversions. None. Section 351 appears only in a rule letting the trust reject creation orders that would give a buyer 80% or more of shares (BTAL-SAI, page 47).
• Strategy change. Until February 13, 2022 the fund tracked the Index. "Effective February 14, 2022, BTAL changed from a passive index-tracking strategy to an active, rules-based strategy" (BTAL-FS, page 1, performance footnote; also BTAL-PR, page 9).
• Name change. "AGFiQ U.S. Market Neutral Anti-Beta Fund was renamed AGF U.S. Market Neutral Anti-Beta Fund on January 27th, 2023." (BTAL-FS, page 2).
• Trust name change. FQF Trust became AGF Investments Trust on October 19, 2019 (BTAL-SAI, page 5).
• Adviser name. The adviser is "AGF Investments LLC (formerly FFCM LLC)" (BTAL-FS, page 1, fee footnote). The date of that change is not stated.
• Auditor change. Fiscal 2022 was audited by "the Fund's prior independent registered public accounting firm"; Cohen & Company, Ltd. audited fiscal 2023 to 2026 (BTAL-PR, page 28).
• Document dates. The prospectus and SAI are dated November 1, 2026. The fact sheet's data is as of October 31, 2026. All three postdate the fiscal year ended June 30, 2026. No annual report was attached. The N-PORT reports holdings as of June 30, 2026 and was signed July 30, 2026 (BTAL-NP, Item A.3 and signature block).
• Conflicts between documents.
  • Inception: September 13, 2011 (BTAL-FS, page 1) versus "September 12, 2011" (BTAL-PR, page 10).
  • Adviser ownership: "indirect majority-owned" (BTAL-PR, page 19) versus "wholly-owned" (BTAL-SAI, page 24).
  • Expense cap end: "November 1, 2027" (BTAL-PR, page 5) versus "November 1, 20279" in one sentence of the SAI, which is likely a typo (BTAL-SAI, page 26). The same SAI page also says "until at least November 1, 2027".
  • The longer Single Factor Risk text still says the fund "seeks to track the performance of a securities index" (BTAL-PR, page 18). This conflicts with its active status since 2022 (BTAL-SAI, page 6, "The Fund is not an index fund.").
  • The fact sheet's risk list includes tracking error risk and industry concentration risk (BTAL-FS, page 2). Neither is a named principal risk in the prospectus summary (BTAL-PR, pages 7 to 9).
  • Net assets at June 30, 2026: $280,067 thousand in the audited financial highlights (BTAL-PR, page 28) versus $282,859,479.51 in the unaudited N-PORT (BTAL-NP, Item B.1). The gap is about $2.8 million (my arithmetic). Year-end audit adjustments are a possible cause (my inference).

11. Principal risks

Summary list: BTAL-PR, pages 7 to 9, "Principal Investment Risks". Longer descriptions: BTAL-PR, pages 13 to 18.

• Single Factor Risk (page 7; also page 18).
• Anti-Beta Risk (page 7; also page 13).
• Market Neutral Style Risk (page 7; also page 16). Beta "may not be equal to zero".
• Short Sale Risk (page 7; also page 17). Flag: shorting. Loss is "potentially unlimited". Also covers the custodian segregated account and lender recalls.
• Cash Transactions Risk (page 7; also page 13).
• Derivatives Risk (page 7; also pages 13 to 15). Flag: counterparties and leverage. "The Fund does not specifically limit its counterparty risk with respect to any single counterparty." (page 13). Sub-risks on pages 14 and 15: Swap Agreement Risks, Counterparty Credit Risk ("A swap counterparty may also increase its collateral requirements"), Leverage Risk, Short Position Risk (recalls through the swap counterparty) and Liquidity Risk.
• ETF Risks (page 8): Authorized Participants Concentration Risk; Premium/Discount and Bid/Ask Risk; Secondary Market Trading Risk; Trading Halt Risk.
• Equity Investing Risk (page 8).
• Large-Capitalization Securities Risk (page 8).
• Leverage Risk (page 8; also page 15). Flag: leverage. From "short selling and swap agreements".
• Liquidity Risk (page 8; also pages 15 and 16). Flag: leverage. The longer text covers cash needed for margin and collateral payments to counterparties (page 16).
• Market Risk (page 8; also page 16).
• Mid-Capitalization Securities Risk (page 9).
• Portfolio Turnover Risk (page 9).
• Portfolio Management Risk (page 9).
• REIT Risk (page 9).

No principal risk is named for the prime broker's own credit or for broker margin changes on direct shorts.

12. Relevance to our fund

• How close is its structure and leverage? (my inference)
  • Close in design: a dollar-neutral, sector-neutral, quantitative U.S. long/short book with 200 names a side in liquid large and mid caps. This fits our book assumptions in fund_context.md (liquid U.S. stocks, at least 150 positions, spread across sectors).
  • Different in aim: BTAL targets negative beta, not zero beta.
  • Different in leverage: it ran at 2.00x gross on June 30, 2026 (BTAL-NP), and about 1.92x by the fact sheet's sector sums on October 31, 2026 (my arithmetic). That is about 100/100, not 150/150.
  • Different wrapper: its own trust (AGF Investments Trust), not Tidal's platform.
• What does it show about 3.0x gross in a 40 Act ETF? (my inference)
  • Not much directly. BTAL stays near 2.0x, in line with the Reg T cap and with Tidal's view that "100-100 is the best you can do" (fund_context.md).
  • Its prospectus ties gross leverage to the Rule 18f-4 VaR limit: it "will reduce its gross leverage" if VaR exceeds the limit (BTAL-PR, page 6). A 150/150 book would face the same test. An anti-beta book, with a high-beta short side, likely uses more VaR room per dollar of gross than a beta-neutral book (my inference).
  • BTAL permits swaps for "a portion" of its shorts (BTAL-PR, page 15). That is the "Stocks plus swap overlay" route in fund_context.md. On June 30, 2026 it used swaps on both sides with Morgan Stanley: 16.6% long and 20.1% short, on index baskets rather than single stocks (BTAL-NP, Item C.11). Gross still stayed at 2.00x, so the swaps replaced part of the stock book rather than adding leverage.
• What does it show about financing, collateral, custody and costs? (my inference)
  • Custody: JPMorgan Chase Bank is custodian, administrator, fund accountant and transfer agent. Collateral may sit in a segregated account at the custodian, while the broker keeps short proceeds needed for margin. This matches the split Tidal described: shorts held away from the main custodian, longs and collateral at the bank.
  • Short proceeds stay in cash and earn "a negotiated rate". The documents don't say they are used to buy longs, and the N-PORT shows cash of 99.5% of net assets on June 30, 2026 (BTAL-NP, Item B.2.f). At 150/150 we would need to use them, or borrow, to fund the extra 50% of longs.
  • Costs: short costs are visible in the expense ratio, at 0.80% to 1.13% a year over fiscal 2022 to 2026 (my arithmetic). But they lump short dividends with borrow fees and brokerage. Under fund_context.md's first trap, most of that is likely dividends, not financing. So the 0.80% overstates BTAL's true financing cost, and the true borrow cost (b) can't be read from these documents.
  • Using the direct-shorts formula in fund_context.md, BTAL at 100/100 pays about $100 × c + $100 × b above the base rate per $100, with no broker debit. Our 150/150 adds $50 × d and raises the c and b terms by half.
  • Brokerage: commissions of about 0.15% of net assets a year, with 295% turnover including shorts (my arithmetic). A quarterly-rebalanced, 400-name book carries real trading cost. Our fund should budget for it outside the expense ratio.

13. Gaps and open questions

What the documents don't answer, for a 150/150 fund:

• The prime broker's name and the margin type (Reg T or portfolio margin).
• Swap financing spreads. The N-PORT gives "spreads" of 3.98 and 3.23 over FEDL01 with no units (see section 6). The swap share of shorts (about 20%) and the counterparty (Morgan Stanley) are known for June 30, 2026.
• Measured long, short and gross exposure after June 30, 2026, and the base for the fact sheet's sector weights.
• Whether long stocks are pledged to the broker, and whether the custodian segregated account is in use.
• Short dividends, borrow fees and brokerage on shorts as separate figures. The annual report for fiscal 2026 (Form N-CSR) should split them, but it wasn't attached.
• Which Rule 18f-4 VaR test (relative or absolute) the fund uses, its reference portfolio, and how close it runs to the limit.
• Whether the fund lends securities, and through which agent. None was on loan on June 30, 2026 (BTAL-NP, Item C.12).
• A fund-level beta and other risk statistics.

Questions to ask:

• To AGF: Which broker lends BTAL's shorts? Is the account Reg T or portfolio margin? Is it held under Rule 17f-1, or through a control agreement with JPMorgan?
• To AGF: Are the N-PORT swap "spreads" of 3.98 (long swap) and 3.23 (short swap) all-in rates, or spreads over the federal funds rate? Is Morgan Stanley still the only swap counterparty, and is it also the prime broker for direct shorts?
• To AGF: Why does the N-PORT show net assets of $282,859,479.51 at June 30, 2026, against $280,067 thousand in the audited financial highlights?
• To AGF: What were short dividends, net borrow fees and short rebate income in fiscal 2026, separately?
• To AGF: Which VaR test and reference index did the board approve? How often has the fund cut gross leverage to meet it?
• To AGF: Are the fact sheet's sector weightings percent of net assets?
• To Tidal: Would Tidal accept a BTAL-style setup (custodian segregated account plus broker-held proceeds) with portfolio margin to reach 150/150?

Search terms tried for fields left "Not stated":

• Prime broker and margin type: prime broker, borrow, margin, Regulation T, portfolio margin, pledge, segregat, tri-party, triparty.
• Swap counterparties and spreads: swap, counterparty, financing, rebate.
• Leverage cost split: short sale, sold short, dividend, interest, borrowing, line of credit, asset coverage, box spread, reverse repurchase.
• VaR test: value at risk, VaR, 18f-4, derivatives risk manager, limited derivatives user.
• Securities lending agent: securities lending, lend.
• Beta and risk data: beta, Morningstar, rating.
• Predecessor and reorganization: predecessor, reorganiz, 351, CUSIP (prospectus and SAI).
• N-PORT (BTAL-NP): all 405 holdings in Part C parsed by script, plus Items A.2, A.3, B.1, B.2, B.4, B.5, B.9, B.10 and Part E. Searched for Morgan Stanley, Goldman and prime broker; the banks appear only as counterparty (Morgan Stanley) and as stock holdings.

14. Documents used

Page numbering.

• BTAL-FS: no printed page numbers. PDF pages 1 and 2.
• BTAL-PR: PDF pages 1 to 4 are the cover, a blank page, contents and a blank page (no printed numbers). From PDF page 5 on, PDF page = printed page + 4. The fund summary is PDF pages 5 to 11 (printed 1 to 7).
• BTAL-SAI: PDF page = printed page from page 3 on. Pages 1 and 2 (cover and contents) have no printed number.
• The file name of the fact sheet contains "ann", but its content is a two-page fact sheet, not an annual report.
• BTAL-NP: an EDGAR web page saved as page source, with no page numbers. It is cited by Form N-PORT item number.

15. Snapshot sources

• Ticker: BTAL-FS, page 1, "Trading Information" ("Ticker Symbol BTAL").
• Fund name: BTAL-FS, page 1, header. Matches BTAL-PR, page 1, cover.
• As of date: "As of October 31, 2026" (BTAL-FS, page 1, header); "As Of Date 10/31/2026" (BTAL-FS, page 1, "ETF Facts").
• Adviser: BTAL-PR, page 10, "Management" ("Investment Adviser: AGF Investments LLC"); BTAL-FS, page 1, fee footnote.
• Platform: BTAL is the only series in its prospectus and SAI. The trust shares the adviser's address and its officers are mostly adviser staff (BTAL-SAI, page 1, cover; BTAL-SAI, page 19, "Trustees and Officers"). "Own trust" is (my inference).
• Exchange: BTAL-FS, page 1, "Trading Information" ("Exchange NYSE ARCA"); BTAL-PR, page 1, cover.
• Inception: BTAL-FS, page 1, "Trading Information" ("Inception Date 09/13/2011"). Conflict: BTAL-PR, page 10, gives "September 12, 2011".
• Net assets: $345,499,145 as of October 31, 2026 (BTAL-FS, page 1, "ETF Facts"), rounded to $345.5 million (my arithmetic).
• Strategy type: (my inference) from the name and the objective "to provide a consistent negative beta exposure to the U.S. equity market" (BTAL-PR, page 5, "Investment Objective").
• Long %: long common stock of $235,088,659 plus the long swap notional of $46,818,843, divided by net assets of $282,859,479.51, is 99.7% (my arithmetic, from BTAL-NP, Items B.1, C.3 and C.11), as of June 30, 2026. The fact sheet's long sector weights sum to 99.54% on October 31, 2026, on an unstated base (BTAL-FS, page 1, "Portfolio Sector Weightings").
• Short %: short common stock of $227,203,478 plus the short swap notional of $56,831,071 is 100.4% of net assets (my arithmetic, from BTAL-NP, Items B.1, C.3 and C.11), as of June 30, 2026. The fact sheet's short sector weights sum to -92.33% on October 31, 2026 (my arithmetic), same caveat.
• Gross: 99.7% plus 100.4% is 200.1%, or 2.00x, as of June 30, 2026 (my arithmetic, from BTAL-NP). The fact sheet's sector sums give about 1.92x on October 31, 2026 (my arithmetic), only if the weights are percent of net assets (my inference). See section 5.
• Above 2.0x: 200.1% is above 2.0x by 0.1 points (my arithmetic, from BTAL-NP), so effectively at the limit. The fact sheet's October 31, 2026 sector sums would give No.
• Net: "on a dollar neutral basis, within sectors" (BTAL-PR, page 6, "Principal Investment Strategies"); reset quarterly to "equal dollar amounts of both long and short positions" (BTAL-PR, page 6). Measured net was 99.7% minus 100.4%, or -0.8%, on June 30, 2026 (my arithmetic, from BTAL-NP). Sector sums give +7.21% on October 31, 2026 (my arithmetic).
• Short method: direct short sales (BTAL-PR, page 12) and "A portion of the short positions of the Fund is expected to be obtained through swap agreements." (BTAL-PR, page 15, "Short Position Risk").
• Prime broker or counterparty: "Morgan Stanley" is the counterparty on both swaps held on June 30, 2026 (BTAL-NP, Item C.11). For direct shorts the fund documents say only "the broker" (BTAL-SAI, page 13) and "a lender" (BTAL-PR, page 12), so the prime broker is not named.
• Custodian: "JPMorgan Chase Bank, N.A., (“Custodian”)" (BTAL-SAI, page 27, "Information About Other Service Providers"); BTAL-PR, page 27.
• Management fee: BTAL-PR, page 5, "Annual Fund Operating Expenses" ("Management Fees 0.45%"); BTAL-PR, page 19; BTAL-FS, page 1.
• Total expense ratio: "Total Annual Fund Operating Expenses After Fee Waiver and Expense Reimbursement" 1.25% (BTAL-PR, page 5); "Net Expense Ratio" 1.25% (BTAL-FS, page 1, "Fees & Expenses").
• Short costs in expense ratio: "Dividend, Interest and Brokerage Expenses on Short Positions 0.80%" is a line inside Other Expenses (BTAL-PR, page 5). The prospectus says these are included "because the Fund engages in short sales as a primary investment strategy" (BTAL-PR, page 12).
• 3-month return: 7.57% at NAV, 3 months to October 31, 2026 (BTAL-FS, page 1, "Performance (%)").
• 1-year return: -7.95% at NAV, 1 year to October 31, 2026 (BTAL-FS, page 1, "Performance (%)"). The fact sheet also gives -22.35% at NAV for 1 year to September 30, 2026.
• Beta: no fund-level beta is given. The fact sheet gives 0.59 for the long book and 1.30 for the short book (BTAL-FS, page 1, "Portfolio Characteristics").
• Beta benchmark: not stated for the fund. Stock betas are measured against the S&P 500 (BTAL-PR, page 6, "Concepts to Understand").
• Beta period: not stated for the fund. Stock betas use "the last 52 weeks" (BTAL-PR, page 6, "Concepts to Understand").
• Leverage Method: direct shorts from "the Fund borrows the security from a lender and then sells the security in the general market" (BTAL-PR, page 12) and "The net proceeds of the short sale will be retained by the broker, to the extent necessary to meet margin requirements" (BTAL-SAI, page 13). Swap overlay from "A portion of the short positions of the Fund is expected to be obtained through swap agreements." (BTAL-PR, page 15) and "The Fund's use of short selling and swap agreements allows the Fund to obtain investment exposures greater than its NAV" (BTAL-PR, page 8). The N-PORT confirms the swaps: on June 30, 2026 the fund held a long and a short total return swap with Morgan Stanley alongside its direct long and short stock book (BTAL-NP, Part C). No document says Reg T, Regulation T or portfolio margin.
• Leverage cost: 0.80% for fiscal year ended June 30, 2026, from "Dividend, Interest and Brokerage Expenses on Short Positions" (BTAL-PR, page 5). Matches 1.25% minus 0.45% in the Financial Highlights (BTAL-PR, page 28) (my arithmetic). It lumps short dividends with interest and brokerage. Swap financing is not in this figure. The N-PORT gives swap rate terms, but their units are unclear (BTAL-NP, Item C.11; see section 6).
• Short dividend expense: combined in the 0.80% line above (BTAL-PR, page 5).
• Ranking properties (Rank to Score): from the ranking of the 27 LS peers prepared November 11, 2026, using only the project's fund profiles. Each of the seven criteria scores Yes = 1, Partly = 0.5, No or Not stated = 0. Funds sort first by Portfolio margin (YES, LIKELY, POSSIBLE, UNLIKELY, NO), then by Score, then Tidal funds first, then higher gross exposure (my inference).
• Rank: 4 of 27, as of November 11, 2026.
• Long/short: dollar-neutral long and short book, reset quarterly (BTAL-PR, page 6); 200 long and 200 short positions on October 31, 2026 (BTAL-FS, page 1).
• Portfolio margin: POSSIBLE. The fund shorts directly through "the broker" (BTAL-SAI, page 13), and no document says Reg T or portfolio margin. On June 30, 2026 the direct stock book was 83.1% long and 80.3% short, about 1.63x; gross reaches 2.00x only with the swaps (BTAL-NP, Part C; my arithmetic).
• Cross-collateral: Partly. The fund "may, however, pledge portfolio securities as the Adviser deems appropriate in connection with any borrowings and in connection with hedging transactions, short sales and similar investment strategies" (BTAL-SAI, page 6, "Borrowing"). Whether it does is not stated.
• Outside Reg T: Not stated.
• Short costs (includes dividends): No. 0.80% for the fiscal year ended June 30, 2026, combining dividends, interest and brokerage on short positions (BTAL-PR, page 5).
• Over 2.0x: 200.1% on June 30, 2026 (BTAL-NP; my arithmetic).
• Tidal: No. AGF Investments Trust is the adviser's own trust (BTAL-SAI, page 1, cover).
• Score: 2.5 (my arithmetic).

16. Fund Documents

Fact Sheet

Prospectus

SAI