HTUS

1. Summary

• HTUS is an actively managed market-timing ETF. A model built from more than 40 signals sets its exposure to the S&P 500 each day. It is not a stock-picking long/short fund and holds no single-stock long/short book.
• Since an October 5, 2026 supplement, its target exposure runs from about 0% to about 200% of net assets, and it does not aim to be net short. Before that, the prospectus allowed up to 200% long or up to 100% short.
• It gets exposure above 100% with S&P 500 futures and S&P 500 index options on top of S&P 500 ETFs. No document names a prime broker. The N-PORT for July 31, 2026 lists Clear Street and Interactive Brokers as derivatives counterparties, likely its clearing brokers (my inference). Its earlier short sales were of ETFs, not single stocks.
• Measured exposure on July 31, 2026: 116.5% long (80.0% SPDR S&P 500 ETF plus 36.5% E-mini S&P 500 futures), no short equity positions, 1.17x gross (my arithmetic, from the N-PORT). S&P 500 index options and VIX futures are not counted.
• Most relevant for us: HTUS shows a 40 Act ETF reaching up to about 2.0x market exposure with exchange-traded index futures instead of borrowing. The financing cost of that leverage does not appear in its 0.96% expense ratio. But index futures can't build the single-stock 150/150 book our fund needs.

2. Key facts

3. Service providers

Other: Northern Lights Compliance Services, LLC provides the trust's chief compliance officer. Practus, LLP is trust counsel (HTUS-SAI, page 31).

4. Strategy

• Objective and benchmark. The fund "seeks long-term capital appreciation" (HTUS-PR, page 7, "Investment Objective"). The fact sheet benchmark is "S&P 500 (TR)" (HTUS-FS, page 1, "Fund Management"). The fact sheet says the fund "seeks to generate alpha relative to the S&P 500 Index while not exceeding the volatility of the Index" (HTUS-FS, page 1, intro paragraph).
• Universe. At least 80% of net assets in "securities and instruments issued by or economically tied to U.S. issuers" (HTUS-PR, page 3, October 5, 2026 supplement). Exposure is to the U.S. large-cap market as measured by the S&P 500. The fund gets it through "one or more exchange-traded funds" tracking the S&P 500, plus S&P 500 futures and options (HTUS-PR, page 3). No sector or stock selection.
• How it picks positions. Fully quantitative market timing, with adviser oversight. Signals are combined into an "ensemble" spanning "statistical, behavioral and sentiment, technical, fundamental, and economic data sources" (HTUS-PR, page 3). The adviser uses "statistical methods, machine learning and other artificial intelligence techniques" (HTUS-PR, page 3). The combined signal "is generated twice each trading day, both near the open and close of the market" (HTUS-PR, page 3). The fact sheet says the model "Combines 40+ indicators to arrive at daily market exposure" (HTUS-FS, page 1, "HTUS - How It Works").
• Neutrality targets. None. The fund is directional. It "does not seek to maintain negative net exposure to the U.S. Equity Market" (HTUS-PR, page 3).
• Net exposure. Target range "from approximately 0% to 200% of the Fund's net assets" (HTUS-PR, page 3). The fact sheet calls 100% "a neutral position" (HTUS-FS, page 1, "HTUS - How It Works").
• Limits on position size. The fund is "diversified" under the 40 Act (HTUS-SAI, page 5, "Diversification"). Fundamental policy bars investing "25% or more of its total assets" in one industry, looking through ETFs to their holdings (HTUS-SAI, page 22, "Investment Limitations").
• Separate income strategies. The fact sheet (as of September 30, 2026) says "Two additional option overlays seek to generate incremental income for the Fund" (HTUS-FS, page 1, intro paragraph). The February 28, 2026 prospectus describes one: buying and writing listed options on individual U.S. stocks or indices ("Equity Options") to exploit mispricing (HTUS-PR, page 8, "Principal Investment Strategies"). The October 5, 2026 supplement replaced that whole section and does not mention Equity Options. It adds VIX futures, long or short, "Separately from the Fund's Targeted Market Exposure" (HTUS-PR, page 3).

5. Exposure and leverage

• Measured exposure, July 31, 2026 (HTUS-NP, Part C). The fact sheet, prospectus and SAI give no exposure figures. The N-PORT does. Net assets $156,159,958.61 (Item B.1.c). Futures are counted at notional on the trade date plus unrealized gain or loss. Option strike notional is contracts times 100 times strike. All percentages are my arithmetic.

• Long: 80.0% ETF plus 36.5% index futures is 116.5%. Short: 0.0%. Gross 1.17x. Net 116.5%.
• Counting all four VIX futures gives 125.6%, or 1.26x gross.
• SPX options are left out. The N-PORT withholds their delta ("XXXX" in Item C.11), so their market exposure can't be measured. All SPX options expire August 31 or September 4, 2026.
• Treasury bills, the sweep vehicle and cash total 19.9% of net assets. This likely backs futures and option margin (my inference).
• Borrowings were zero (Item B.2.c). No securities were on loan (Items B.4 and C.12).
• This date predates the October 5, 2026 supplement. Exposure on other dates is not given.
• Stated limits, current. "ranging from approximately 0% to 200% of the Fund's net assets" and no negative net exposure (HTUS-PR, page 3, October 5, 2026 supplement). The fact sheet agrees: "ranging from 0% in the most defensive environments to 200% in the most favorable" (HTUS-FS, page 1, "HTUS - How It Works").
• Stated limits, before October 5, 2026. Long "up to 200% of its net assets" and short "no more than 100% of its net assets" (HTUS-PR, page 8, "Principal Investment Strategies"). The SAI, dated February 28, 2026, still says the fund "intends to engage regularly in short sales" of underlying ETFs (HTUS-SAI, page 18, "Short Sales"). That SAI predates the October 5, 2026 change.
• Gross. At the 200% maximum with no shorts, gross market exposure would be about 2.0x (my arithmetic). Option overlays and VIX futures would add notional exposure on top (my inference). At July 31, 2026 the N-PORT measures the VIX futures (9.1% gross) but not the options' delta-adjusted exposure (see above).
• How it gets exposure above 100%. Index derivatives. "The Fund uses the Market Instruments detailed above as a capital-efficient means of obtaining and adjusting its Targeted Market Exposure, including exposure above 100% of the Fund's net assets" (HTUS-PR, page 4, October 5, 2026 supplement). The Market Instruments are S&P 500 futures, S&P 500-related ETFs and S&P 500 index options (HTUS-PR, page 3).
• Borrowing limits. "While the Fund does not anticipate doing so, the Fund may borrow money for investment purposes" (HTUS-SAI, page 5, "Borrowing"). The fund "must maintain continuous asset coverage ... of 300% of all amounts borrowed" (HTUS-SAI, page 5). Temporary borrowing up to 5% of total assets is also allowed (HTUS-SAI, page 5). No line of credit is named.
• Reverse repos (permitted only). "The Fund may enter into reverse repurchase agreements without limit", but does not expect to exceed "33 1/3% of its assets" (HTUS-SAI, page 18, "Reverse Repurchase Agreements").

6. Shorting, financing and collateral

• How it shorts now. No short-selling program is described in the current strategy. The October 5, 2026 supplement removed the short-exposure language and says the fund does not seek negative net exposure (HTUS-PR, page 3). Below-100% exposure can come from holding Cash Instruments, which can be up to 100% of assets (HTUS-PR, page 4). Short positions are possible in VIX futures (HTUS-PR, page 3). No split between methods is given.
• What it held short, July 31, 2026. No short sales of ETFs or stocks and no short equity index futures. The only short positions were 257 VIX futures sold (August and September 2026, $4,658,632.70 or 3.0% of net assets) and 30 SPX 7020 puts written (strike notional $21,060,000 or 13.5%) (HTUS-NP, Part C) (my arithmetic).
• How it shorted before. Short positions in S&P 500 futures, S&P 500 options, S&P 500 ETFs, and "short sales" of pooled vehicles giving leveraged VIX futures exposure (HTUS-PR, page 8, "Principal Investment Strategies"). The predecessor fund paid "security sold short fees" in the year ended November 30, 2021 (HTUS-PR, page 28, "Financial Highlights" footnote h).
• Who lends the stock. Not named. For short sales, "The proceeds of the short sale will be retained by the broker, to the extent necessary to meet the margin requirements, until the short position is closed out" (HTUS-SAI, page 18, "Short Sales").
• Collateral for short sales. A "segregated account containing cash or liquid securities" which, plus the amount "deposited with the broker as collateral", equals the current value of the security sold short (HTUS-SAI, page 18). "The Fund may use up to 100% of its portfolio to engage in short sales transactions and collateralize its open short positions" (HTUS-SAI, page 18).
• Collateral for futures. Initial margin is a "performance bond or good-faith deposit", and variation margin is paid "to and from the futures commission merchant daily" (HTUS-SAI, page 13, "Futures and Options on Futures"). To cover futures, the fund "may maintain with its custodian bank (and marked-to-market on a daily basis), a segregated account consisting of cash or liquid securities" (HTUS-SAI, page 11, "Futures and Options on Futures"). The N-PORT lists Clear Street (SPX options, VIX futures) and Interactive Brokers (E-mini S&P 500 futures) as counterparties at July 31, 2026, likely the brokers holding margin (HTUS-NP, Item C.11.b) (my inference). Treasury bills, the BBH sweep vehicle and cash totaled 19.9% of net assets that day (HTUS-NP, Item B.2.f and Part C) (my arithmetic). How much of that sat with the brokers versus BBH is not stated.
• Collateral for options. "the Fund will segregate liquid assets at least equal in value to the maximum potential loss for the Fund" (HTUS-PR, page 11, "Options Risk").
• Whether long positions are pledged. Not stated, except that up to 15% of assets may be pledged for emergency borrowing (HTUS-SAI, page 5, "Borrowing").
• Short sale proceeds used to buy longs. Not stated. The SAI says proceeds are kept by the broker as margin (HTUS-SAI, page 18).
• Segregated or tri-party account. Segregated accounts at the "custodian bank" are described for futures and reverse repos (HTUS-SAI, pages 11 and 18). No tri-party account is named.
• Securities lending. None: "the Fund is not currently authorized to do so" (HTUS-SAI, page 31, "Securities Lending"). No securities were on loan at July 31, 2026 (HTUS-NP, Items B.4 and C.12).

7. Derivatives and Rule 18f-4

• Derivatives used. "The Fund uses futures contracts" (HTUS-PR, page 10, "Derivatives Risk"). Current strategy names S&P 500 futures, S&P 500 index options and options on S&P 500 ETFs, and VIX futures (HTUS-PR, page 3, October 5, 2026 supplement). Options on individual stocks were part of the February 28, 2026 strategy (HTUS-PR, page 8) but are not in the October 5, 2026 replacement text. At July 31, 2026 the fund held E-mini S&P 500 futures, SPX index options and VIX futures, and no single-stock options (HTUS-NP, Part C). The VIX futures were held directly, before the October 5, 2026 supplement that adds them to the strategy text.
• Permitted only. Swaps, forwards, options on futures, repurchase and reverse repurchase agreements (HTUS-SAI, pages 14, 18 and 22).
• Limited derivatives user or full program. Not stated. The prospectus only says the rule's VaR limit and risk program "apply unless the Fund qualifies as a" limited derivatives user (HTUS-PR, page 17, "Derivatives Risk"). With futures used to reach up to 200% exposure, derivatives exposure would far exceed the 10% limited-user threshold, so the fund likely runs a full program (my inference). The N-PORT leaves Item B.9 (limited derivatives users) blank and fills Item B.10 (funds subject to the VaR limit), which fits a full program (HTUS-NP, Items B.9 and B.10) (my inference). No derivatives risk manager is named.
• 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 name the test. The N-PORT does: relative VaR, with "S&P 500 (TR)" (identifier "500TR") as the designated index (HTUS-NP, Item B.10.b), as of July 31, 2026. The median VaR and VaR ratio fields are blank in this copy (HTUS-NP, Item B.10).
• Commodity pool status (CFTC Rule 4.5). "The Adviser has filed a notice of eligibility for exclusion from the definition of the term “commodity pool operator” in accordance with CFTC Rule 4.5" (HTUS-SAI, page 11, "Futures and Options on Futures"). The fund "is not deemed to be a commodity pool operator or a commodity pool" (HTUS-SAI, page 8).

8. Costs

• Who pays what. The fund pays the 0.91% fee plus Excluded Expenses (HTUS-PR, page 7, footnote 1). The adviser pays Ultimus, BBH and the compliance provider (HTUS-SAI, pages 30 and 31). Adviser fees earned: $468,034 for fiscal 2024 and $915,563 for fiscal 2025 (HTUS-SAI, page 29). Payment timing conflict: "paid monthly" (HTUS-PR, page 22, "Adviser") versus "paid quarterly" (HTUS-SAI, page 29).
• Fact sheet conflict. The fact sheet lists 0.91% + 0.05% acquired fund fees + 0.05% other expenses but a total of 0.96% (HTUS-FS, page 1, "Key Facts"). Those three add to 1.01% (my arithmetic). The prospectus shows other expenses of 0.00% (HTUS-PR, page 7).
• Expense example. $98 for 1 year, $306 for 3, $531 for 5 and $1,178 for 10 years per $10,000 (HTUS-PR, page 7, "Example").
• Brokerage commissions. $19,412 in fiscal 2025 and $12,877 in fiscal 2024 (HTUS-SAI, page 35, "Portfolio Transactions and Brokerage"). Fiscal 2025 adviser fees imply average net assets of about $100.6 million, so commissions were about 0.02% of average net assets (my arithmetic).
• Portfolio turnover by year. 71% (fiscal 2025), 112% (2024), 46% (11 months to October 31, 2023, not annualized), 215% (year ended November 30, 2022), 393% (2021), 833% (2020) (HTUS-PR, page 28, "Financial Highlights"; HTUS-SAI, page 16, "Portfolio Turnover").
• Gap between total expense ratio and management fee. 0.96% minus 0.91% is 0.05% (my arithmetic). It equals the acquired fund fees from the underlying ETFs (HTUS-PR, page 7). No interest, short or borrowing cost shows in the fee table.

9. Performance and risk

Returns as of September 30, 2026. Periods over one year are annualized (HTUS-FS, page 2, "Annualized Returns as of 9/30/2026").

• Calendar-year returns (HTUS-PR, page 13, "Annual Total Returns as of 12/31"; predecessor fund before June 2, 2023): 2016 7.68%, 2017 12.04%, 2018 -5.91%, 2019 18.30%, 2020 11.68%, 2021 24.89%, 2022 -11.06%, 2023 31.13%, 2024 24.54%, 2025 16.32%.
• Best and worst quarter. 18.79% in Q2 2020 and -23.42% in Q1 2020 (HTUS-PR, page 13).
• Average annual returns to December 31, 2025 (before taxes): 16.32% for 1 year, 16.11% for 5 years, 12.21% for 10 years. S&P 500: 17.88%, 14.42% and 14.82% (HTUS-PR, page 14, "Average Annual Total Returns").
• Fiscal-year total returns (HTUS-PR, page 28, "Financial Highlights"): 18.11% (fiscal 2025), 42.99% (2024), 5.61% (11 months to October 31, 2023), -3.07% (year ended November 30, 2022), 23.60% (2021), 9.99% (2020).
• Risk statistics, 5-year rolling NAV returns against the S&P 500 TR, with the SPDR Bloomberg 1-3 Month T-Bill ETF as the risk-free rate, as of the September 30, 2026 fact sheet (HTUS-FS, page 2, "Risk Statistics - Rolling 5-Yr"):
  • Alpha 4.09%
  • Beta 1.00
  • Sharpe ratio 0.81 (S&P 500 TR 0.59)
  • R squared 0.96
  • Upside capture 107.60%, downside capture 91.16%
• Not stated. Volatility, correlation and maximum drawdown.
• Note. A beta of 1.00 over five years suggests average market exposure near 100% (my inference).

10. History and structural changes

• Predecessor fund. Hull Tactical US ETF, a series of Exchange Traded Concepts Trust, which "commenced operations on June 24, 2015". HTAA was its "sole sub-adviser" (HTUS-PR, page 14, footnote 1).
• Reorganization. On June 2, 2023 the fund "acquired all of the net assets of the Predecessor Fund pursuant to a plan of reorganization" (HTUS-PR, page 7, footnote 1). HTUS became a series of Capitol Series Trust (HTUS-SAI, page 3). The fiscal year changed from November 30 to October 31 in 2023 (HTUS-PR, page 28).
• 351 conversion. None. Section 351 appears only in a rule letting the trust reject creation orders that would give a buyer 80% or more of shares (HTUS-SAI, page 46).
• Strategy changes.
  • January 4, 2021: strategy expanded to allow S&P 500 options (HTUS-PR, page 13, "Performance Information").
  • January 31, 2022: expanded to allow Equity Options (HTUS-PR, page 13).
  • October 5, 2026: Principal Investment Strategies "deleted in its entirety and replaced" (HTUS-PR, page 3). Changes: target range now 0% to 200% with no negative net exposure; signal now twice a day instead of once "towards the close" (HTUS-PR, page 8); VIX futures replace VIX pooled vehicles; the single-stock Equity Options paragraph is gone; adds machine learning and artificial intelligence language.
• Portfolio manager changes. Euan Sinclair added as co-portfolio manager "Effective in October 2026". Petra Bakosova now uses the name Petra Mullenix (HTUS-PR, page 1, supplement dated October 28, 2026).
• Document dates. The prospectus and SAI are dated February 28, 2026. Both supplements came later (October 5 and October 28, 2026). The fact sheet is as of September 30, 2026, so it predates both supplements.
• Conflicts between documents.
  • Exposure limits: up to 200% long or 100% short (HTUS-PR, page 8) versus 0% to 200%, no net short (HTUS-PR, page 3, supplement). The supplement governs.
  • Short sales: the SAI says the fund "intends to engage regularly in short sales" (HTUS-SAI, page 18). The supplement's strategy text does not mention short sales. The SAI was not supplemented on this point.
  • Single-stock options: the fact sheet says "Two additional option overlays" (HTUS-FS, page 1), but the October 5 supplement drops the Equity Options paragraph. The unchanged risk sections still refer to the fund's "single name options strategy" (HTUS-PR, page 10, "Equity Securities Risk").
  • Other expenses: 0.05% (HTUS-FS, page 1) versus 0.00% (HTUS-PR, page 7).
  • Portfolio manager name: "Petra Bakosova" (HTUS-FS, page 1) versus "Petra Mullenix" (HTUS-PR, page 1). The fact sheet is older.
  • The October 28, 2026 supplement amends both the prospectus and the SAI, but it is bound only in the prospectus file (HTUS-PR, page 1).

11. Principal risks

Summary list: HTUS-PR, pages 9 to 13, "Principal Investment Risks". The first five are in order of importance; the rest are alphabetical (HTUS-PR, page 9). Longer descriptions: HTUS-PR, pages 15 to 21, "Additional Principal Risk Information". The October 5, 2026 supplement did not change the risk sections.

• Model and Data Risk (page 9)
• Management Risk (page 9)
• Operational Risk (page 9). Flag: counterparties. Names "counterparty or third-party errors".
• Market Risk (page 10)
• Derivatives Risk (page 10; also pages 16 and 17). Flag: leverage. Covers futures and Rule 18f-4.
• Cash Transactions Risk (page 10)
• Counterparty Risk (page 10; also page 17). Flag: counterparties.
• Early Close/Trading Halt Risk (page 10)
• Equity Securities Risk (page 10)
• Futures Contracts Risk (page 10; also pages 17 and 18). Flag: leverage. "daily variation margin calls that could be substantial in the event of adverse price movements."
• Illiquid Investments Risk (page 10)
• Interest Rate Risk (page 10)
• Investment Focus Risk (page 10)
• Issuer-Specific Risk (page 10). Flag: shorting. Refers to exposure "via its short positions".
• Large-Capitalization Risk (page 11)
• Leveraging Risk (page 11; also page 18). Flag: leverage and shorting. Names "short sales and investments in ETFs that use leverage".
• Limited Authorized Participants, Market Makers and Liquidity Providers Risk (page 11)
• Options Risk (page 11; also page 19). Flag: leverage. Written puts can cause losses well beyond the premium.
• Options Premium Tax Risk (page 11)
• Portfolio Turnover Risk (page 11)
• Secondary Market Liquidity Risk (page 12)
• Short Sales Risk (page 12; also page 20). Flag: shorting. "the loss on a short sale is theoretically unlimited." The longer version names "costs of borrowing and margin account maintenance costs" and recall risk from the securities lender.
• Smaller Fund Risk (page 12)
• Trading Risk (page 12)
• Underlying ETF Risk (page 12)
• U.S. Government Securities Risk (page 13)
• VIX Investment Vehicle Risk (page 13)

The longer section adds Underlying Leveraged and Inverse ETF Risk (page 21), which is not in the summary list. Flag: leverage.

No principal risk names a prime broker or futures commission merchant failure specifically.

12. Relevance to our fund

• How close is its structure and leverage? Not close (my inference). HTUS is a directional market-timing fund on the S&P 500, not an equity market neutral fund. It holds no single-stock long or short book. Its maximum is about 200% long and, since October 5, 2026, 0% short. Our fund needs 150% long and 150% short in at least 150 stocks. HTUS is on the Ultimus platform (Capitol Series Trust), not Tidal.
• What does it show about 3.0x gross in a 40 Act ETF? (my inference)
  • It shows a 40 Act ETF running up to about 2.0x market exposure through exchange-traded index futures, with no bank borrowing and no prime broker. This fits the futures and options path Tidal raised (S2, S12 in fund_context.md). Measured use was lower: 116.5% long and 1.17x gross on July 31, 2026, with index futures supplying 36.5% (HTUS-NP, Part C) (my arithmetic).
  • But index futures add or remove market exposure. They don't create stock-specific longs and shorts. For a 150/150 book, futures could only replace part of the short side with an index hedge (for example 150% long stocks, 100% short stocks, 50% short index futures). That changes the product from a pure stock long/short book and leaves factor risk between the stock longs and the index.
  • Under the Feb 28, 2026 prospectus HTUS could reach 200% long or 100% short. Its October 2026 move to 0% to 200% with no net short makes it less useful as a shorting precedent.
  • fund_context.md lists HTUS under "single-stock options". The October 5, 2026 supplement dropped the single-stock options paragraph, and that strategy was for income, not leverage. No single-stock options were held at July 31, 2026 (HTUS-NP, Part C). The precedents table may need updating.
• What does it show about financing, collateral, custody and costs? (my inference)
  • Custody: assets sit at BBH. Futures margin goes to a futures commission merchant, with extra cover in a segregated account at the custodian bank (HTUS-SAI, pages 11 and 13). The fund documents don't name the FCM. The N-PORT points to Clear Street and Interactive Brokers (HTUS-NP, Item C.11.b). This is a cleaner custody setup than direct shorting, which fund_context.md says must be "custodied away" from the main custodian.
  • Costs: the 0.96% expense ratio shows no leverage cost. Financing on futures is built into the futures price, so it reduces returns without appearing as an expense. This is the same trap as hidden swap costs in fund_context.md. The leverage cost formulas there have no futures row; the cost would be about the notional above 100% times the futures' implied financing spread over the base rate.
  • Short costs: when the predecessor shorted ETFs (fiscal 2021), "security sold short fees" added about 0.05% to the expense ratio (my arithmetic, from HTUS-PR, page 28). That is a small, visible data point on short costs at modest scale.
  • Fee model: the adviser pays custody, administration and transfer agency out of the 0.91% fee, and the fund pays interest, borrowing and brokerage (HTUS-SAI, pages 29 to 31). So any leverage cost beyond futures pricing would sit outside the headline fee.

13. Gaps and open questions

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

• Measured long, short, gross and net exposure on any date other than July 31, 2026 (see section 5), and the history of the daily Targeted Market Exposure.
• Whether Clear Street and Interactive Brokers are the FCMs or only executing brokers (HTUS-NP, Item C.11.b names them as counterparties). The margin amounts posted, and how much sits at the custodian versus the brokers.
• The delta-adjusted exposure of the SPX options. The N-PORT withholds deltas (HTUS-NP, Item C.11).
• The broker that lent stock or ETF shares when the fund shorted.
• The derivatives risk manager and the median VaR figures. The test is relative VaR against the S&P 500 (TR) (HTUS-NP, Item B.10.b).
• Any dollar figure for futures financing or interest. The annual report for fiscal 2025 is "incorporated by reference in the SAI" (HTUS-PR, page 28) but was not attached. The fiscal 2026 report (year ended October 31, 2026) was not attached.
• Whether single-stock option overlays continue after October 5, 2026. None were held at July 31, 2026 (HTUS-NP, Part C).

Questions to ask:

• To the fund: What was the daily range and average of Targeted Market Exposure in fiscal 2025 and 2026? How often was it above 150%?
• To the fund: Are Interactive Brokers and Clear Street your FCMs for the E-mini and VIX futures? Is futures margin held at the FCM or at BBH in a segregated or tri-party account?
• To the fund: What median VaR ratio to the S&P 500 (TR) has HTUS run under the relative VaR test?
• To the fund: Do the "Two additional option overlays" on the fact sheet still run after the October 5, 2026 supplement? Will the SAI's "intends to engage regularly in short sales" language be updated?
• To the fund: Why does the fact sheet show 0.05% other expenses when the prospectus shows 0.00%?
• To Tidal: Would Tidal accept index futures for part of the short side of a 150/150 book? How would that affect the market neutral label and the VaR test?

Search terms tried for fields left "Not stated":

• Prime broker and FCM: prime broker, broker, borrow, margin, Regulation T, portfolio margin, futures commission merchant, clearing broker, StoneX, Wedbush, Interactive Brokers, Goldman, Morgan Stanley, Marex, Pershing, Clear Street. (In the fund documents, Pershing and Clear Street appear only as record holders of fund shares, HTUS-SAI, page 36. The N-PORT later named Clear Street and Interactive Brokers as derivatives counterparties, HTUS-NP, Item C.11.b.)
• Exposure: leverage, long, short, Targeted Market Exposure, net, gross.
• Leverage cost and short dividends: interest expense, dividend expense, short sale, sold short, borrowing, line of credit, swap, box spread, reverse repurchase.
• Rule 18f-4: 18f-4, Derivatives Rule, value-at-risk, VaR, derivatives risk manager, limited derivatives user, relative VaR, absolute VaR, designated reference portfolio, derivatives risk management program.
• Collateral: collateral, segregat, earmark, pledge, tri-party.
• Holdings count: not found on the fact sheet or in the summary prospectus. Taken from the N-PORT (HTUS-NP, Part C).
• Volatility and drawdown: fact sheet risk statistics only.

14. Documents used

Both the prospectus and SAI cover only HTUS.

Page numbering.

• HTUS-FS: no printed page numbers. Page 1 and page 2 are the PDF pages.
• HTUS-PR: PDF pages 1 and 2 are the October 28, 2026 supplement (printed 1 and 2). PDF pages 3 and 4 are the October 5, 2026 supplement (printed 1 and 2). PDF page 5 is the cover and PDF page 6 the contents (no printed numbers). From PDF page 7 on, PDF page = printed page + 6 (PDF page 28 is printed page 22). PDF page 30 is the back cover.
• HTUS-SAI: PDF page 1 is the cover (no printed number). PDF pages 2 to 50 match printed pages 2 to 50. PDF pages 51 to 55 are printed A-1 to A-5, and PDF page 56 is printed B-1.
• HTUS-NP: text copy with no page numbers. Cited by item number.

15. Snapshot sources

• Ticker: HTUS-FS, page 1, header ("CBOE : HTUS") and "Key Facts".
• Fund name: HTUS-FS, page 1, intro paragraph ("The Hull Tactical US ETF (HTUS)").
• As of date: HTUS-FS, page 1, header ("AS OF SEPTEMBER 30, 2026").
• Adviser: HTUS-FS, page 1, "Fund Management" ("HTAA, LLC"); HTUS-PR, page 14, "Investment Adviser".
• Platform: (my inference). HTUS is a series of Capitol Series Trust, whose officers share Ultimus's address and whose administrator is Ultimus Fund Solutions, LLC (HTUS-SAI, page 23, "Trustees and Officers of the Trust"; HTUS-SAI, page 30, "Administrator and Fund Accountant").
• Exchange: HTUS-FS, page 1, "Key Facts" ("CBOE"); HTUS-PR, page 5, cover ("CBOE BZX EXCHANGE, INC.").
• Inception: HTUS-FS, page 1, "Key Facts" ("06/24/2015"). This is the predecessor fund's start date; the current fund took over on June 2, 2023 (HTUS-PR, page 14, footnote 1).
• Net assets: HTUS-FS, page 1, "Key Facts" ("AUM $168.45mm"), as of September 30, 2026.
• Strategy type: (my inference) from the fact sheet title "Tactical Asset Allocation to the S&P 500 Index" (HTUS-FS, page 1) and the 0% to 200% exposure range (HTUS-PR, page 3, October 5, 2026 supplement).
• Long %: SPDR S&P 500 ETF Trust, 167,329 shares at $124,999,782.87 (80.0%), plus 150 long E-mini S&P 500 futures expiring September 2026 at $56,965,335.43 (36.5%), is 116.5% of net assets of $156,159,958.61 (my arithmetic, from HTUS-NP, Item B.1.c and Part C), as of July 31, 2026. Futures are at notional on the trade date ($56,394,375) plus unrealized gain ($570,960.43). Not counted: six SPX index option lines, because the N-PORT withholds their delta ("XXXX" in Item C.11), and four VIX futures (see Gross). This date differs from As of date (September 30, 2026). It also predates the October 5, 2026 supplement.
• Short %: no short sales of ETFs or stocks and no short equity index futures at July 31, 2026 (HTUS-NP, Part C). The short positions held were 257 VIX futures sold, expiring August and September 2026, at $4,658,632.70 or 3.0% of net assets, and 30 SPX 7020 puts written, expiring August 31, 2026, with strike notional of $21,060,000 or 13.5% (my arithmetic, from HTUS-NP, Items C.2 and C.11). Neither is counted, for the reasons given under Long %. Strike notional is contracts times 100 times strike (my arithmetic).
• Gross: 116.5% plus 0.0% is 116.5%, or 1.17x (my arithmetic), as of July 31, 2026. Adding all four VIX futures (long $9,485,228.70 and short $4,658,632.70, together 9.1%) gives 125.6%, or 1.26x (my arithmetic). SPX options are not counted. Their strike notional totals $81,440,000, or 52.2% of net assets, but the N-PORT withholds their deltas, so their market exposure can't be measured (my arithmetic, from HTUS-NP, Item C.11). The stated range is "approximately 0% to 200% of the Fund's net assets" (HTUS-PR, page 3).
• Above 2.0x: No, from the gross figure above, as of July 31, 2026. The stated maximum is about 200% (HTUS-PR, page 3).
• Net: 116.5% minus 0.0% is 116.5% (my arithmetic), as of July 31, 2026. The fund "does not seek to maintain negative net exposure" (HTUS-PR, page 3).
• Short method: (my inference). The current strategy names S&P 500 futures and index options for adjusting exposure and VIX futures for long or short positions (HTUS-PR, page 3), and says "The Fund uses futures contracts" (HTUS-PR, page 10, "Derivatives Risk"). It does not describe direct short sales of stocks. Before October 5, 2026 it also shorted ETFs (HTUS-PR, page 8).
• Prime broker or counterparty: no prime broker is named in any document. The SAI says only "the broker" and "a futures commission merchant" (HTUS-SAI, pages 18 and 11). The N-PORT lists "Clear Street" as counterparty for all six SPX option lines and all four VIX futures, and "INTERACTIVE BROKERS" for the E-mini S&P 500 futures (HTUS-NP, Item C.11.b), as of July 31, 2026. These look like the fund's clearing brokers or FCMs (my inference). The N-PORT lists the issuers separately as The Options Clearing Corporation, Cboe Futures Exchange and Chicago Mercantile Exchange (HTUS-NP, Item C.1.a).
• Custodian: HTUS-SAI, page 31, "Custodian and Transfer Agent".
• Management fee: HTUS-PR, page 7, "Fees and Expenses"; HTUS-FS, page 1, "Key Facts".
• Total expense ratio: HTUS-PR, page 7 ("Total Annual Fund Operating Expenses ... 0.96%"); HTUS-FS, page 1 ("Total Annual Expenses 0.96%"). No waiver line, so net equals gross.
• Short costs in expense ratio: the fee table has no line for short sale dividends, borrow fees or interest (HTUS-PR, page 7). Interest and brokerage are Excluded Expenses (HTUS-PR, page 7, footnote 1).
• 3-month return: 4.58% for the 3 months May to July 2026, compounded from monthly total returns of 5.03328%, -0.836252% and 0.410213% (my arithmetic, from HTUS-NP, Item B.5.a). The period ends July 31, 2026, which differs from As of date and from the 1-year return's period end (both September 30, 2026). The N-PORT numbers the months 1 to 3 without naming them; Month 3 is read as the month ending on the report date (my inference). The fact sheet gives YTD, 1, 3, 5 and 10 year and since-inception returns only (HTUS-FS, page 2, "Annualized Returns as of 9/30/2026").
• 1-year return: 19.35% at NAV, 1 year to September 30, 2026 (HTUS-FS, page 2, "Annualized Returns as of 9/30/2026").
• Beta: HTUS-FS, page 2, "Risk Statistics - Rolling 5-Yr" ("Beta 1.00").
• Beta benchmark: HTUS-FS, page 2, "Risk Statistics - Rolling 5-Yr" ("compared against the S&P500 TR").
• Beta period: HTUS-FS, page 2, "Risk Statistics - Rolling 5-Yr" ("based on the 5-Yr rolling NAV returns").
• Leverage Method: "The Fund uses the Market Instruments detailed above as a capital-efficient means of obtaining and adjusting its Targeted Market Exposure, including exposure above 100% of the Fund's net assets" (HTUS-PR, page 4, October 5, 2026 supplement). The instruments are "S&P 500 futures contracts, S&P 500 related ETFs, and S&P 500 Index Options" (HTUS-PR, page 3). VIX futures, single-stock options, borrowing and reverse repos are permitted or past uses only and are not listed (see sections 5 and 6).
• Leverage cost: no interest, borrowing or financing figure in any document. Net expense ratio was 0.91% for fiscal years ended October 31, 2024 and 2025, equal to the management fee (HTUS-PR, page 28, "Financial Highlights"). Futures financing would sit inside futures prices (my inference). The N-PORT for July 31, 2026 gives no financing figure either, and shows zero borrowings (HTUS-NP, Item B.2.c).
• Short dividend expense: no figure for any recent year. The only data point is the predecessor fund's year ended November 30, 2021, when "security sold short fees" added about 0.05% (my arithmetic, HTUS-PR, page 28, footnote h). The documents don't say whether those fees were dividends, borrow fees or both. The N-PORT for July 31, 2026 shows no short sales of ETFs or stocks (HTUS-NP, Part C).
• 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: 19 of 27, as of November 11, 2026.
• Long/short: No. A market-timing fund with no single-stock long/short book. It held no short ETF, stock or equity index futures on July 31, 2026 (HTUS-NP, Part C).
• Portfolio margin: UNLIKELY. Exposure comes from "S&P 500 futures contracts, S&P 500 related ETFs, and S&P 500 Index Options" (HTUS-PR, page 3). It shorted ETFs only before October 5, 2026 (HTUS-PR, page 8).
• Cross-collateral: Not stated.
• Outside Reg T: Not stated.
• Short costs (includes dividends): Not stated. No interest, borrowing or financing figure appears in any document (HTUS-PR, page 28).
• Over 2.0x: No. 1.17x on July 31, 2026 (HTUS-NP, Part C; my arithmetic).
• Tidal: No. The fund is a series of Capitol Series Trust, on the Ultimus platform (HTUS-SAI, pages 23 and 30).
• Score: 0 (my arithmetic).

16. Fund Documents

Fact Sheet

Prospectus

SAI