NLSI

1. Summary

• NLSI is an actively managed ETF that holds about 30 long and 30 short positions in U.S. mid- and large-cap stocks, picked by a bottom-up fundamental process. On top of the stock book it sells S&P 500 index (SPX) put spreads to generate monthly income.
• Its stated normal exposure is 120% long and 55% short. That is 1.75x gross and 65% net long. The option overlay adds short-put exposure of up to 100% of net assets on top of this, which the fund does not count in its gross figure.
• It shorts stock directly through a broker. The broker is not named, and the documents don't say whether the account is Reg T or portfolio margin.
• Most relevant for us: NLSI is a net-long, 1.75x fund in NEOS's own trust, not a market neutral 3.0x fund. Its main use to us is cost evidence. Short costs (dividends, interest and borrowing) ran 4.61% of average net assets, annualized, in its first 22 days, against a 0.98% management fee. The documents report them as one lumped figure.

2. Key facts

Distribution data as of October 31, 2026: distribution rate 5.37%; latest distribution $0.2627 per share (0.45%); 30-day SEC yield -0.43% (NLSI-FS, page 1). In the period ended December 31, 2025, $0.06 of the $0.24 paid per share was return of capital (NLSI-PR, page 21, "Financial Highlights").

3. Service providers

Legal counsel: Thompson Hine LLP (NLSI-PR, page 22, back cover).

4. Strategy

• Objective and benchmark. The prospectus objective is to "generate high monthly income with the potential for equity appreciation" (NLSI-PR, page 5, "Investment Objective"). The fact sheet drops the word "high": it says the fund "seeks to generate monthly income with the potential for equity appreciation" (NLSI-FS, page 1). No benchmark index is named in either document.
• Universe. Long and short positions "in mid- and large cap U.S. exchange-traded equity securities" (NLSI-PR, page 5, "Principal Investment Strategies of the Fund"). Equities include common stock, preferred stock and ETFs that hold them (NLSI-PR, page 5). At least 80% of net assets go to equities, and for this test equities include "options on an equity index" (NLSI-PR, page 6). No sector limits are stated beyond the 25% industry limit below.
• How it picks stocks. Mainly fundamental. The adviser uses "a proprietary investment process and publicly available information" (NLSI-PR, page 5, "Long/Short Strategy"). Longs are chosen with "a bottom-up approach", using management quality, earnings and cash flow, shareholder yield, balance sheet strength, trading patterns and sector trends (NLSI-PR, page 6, "Long Portfolio"). Shorts have the opposite traits, such as "poor cash flow, weak balance sheets" (NLSI-PR, page 6, "Short Portfolio"). The prospectus also names "Model Risk", so a quantitative model plays a part (NLSI-PR, page 7).
• Option overlay. A "put spread": the fund sells exchange-listed SPX puts "with a notional value up to 100% of the Fund's net assets" and buys puts (NLSI-PR, page 6, "Options Strategy"). The longer section says it buys "an identical number of Long Puts" (NLSI-PR, page 10, "Additional Information About Investment Strategies"). Notional value means the value of the index amount the options cover. The aim is monthly income, taxed under Section 1256 (60% long-term, 40% short-term) (NLSI-PR, page 6).
• Neutrality targets. None. No beta, dollar or sector neutrality target is stated. The fixed 120/55 mix makes the stock book net long (my inference).
• Net exposure. 65% net long at the stated 120/55 mix (my arithmetic). No range is stated.
• Limits on position size. "The Fund is not limited with respect to the size of a position in a single issuer". It "generally limits" longs to "a range from 3% to 7% of the Fund's total assets" and shorts to "a range of 1.5% to 3%" (NLSI-PR, page 6, "Long Portfolio" and "Short Portfolio"). The fund is non-diversified (NLSI-PR, page 6). A fundamental policy bars more than 25% of total assets in one industry, and NLSI is not on the list of funds exempt from it (NLSI-SAI, page 54, "Investment Restrictions and Policies", item 7).
• Holdings versus limits. On October 31, 2026 the largest holding was Micron Technology at 13.08% (NLSI-FS, page 2, "Top 10 Holdings"). That is above the 3% to 7% guide even if total assets are 155% of net assets (13.08 / 1.55 is about 8.4%, my arithmetic). Five of the top 10 are oil refiners or producers (Marathon Petroleum, Valero, Chevron, Diamondback, Phillips 66). Together they are 24.63% (my arithmetic), close to the 25% industry limit if they count as one industry (my inference). All top 10 weights are positive, so they appear to be longs (my inference).
• Rebalancing. Weekly, "but may rebalance more frequently" (NLSI-PR, page 6, "Long/Short Mix"). After selling a stock, the fund generally won't buy it back "for at least 30 days" (NLSI-PR, page 6).

5. Exposure and leverage

• Stated exposure. The fund "anticipates exposure will remain fixed at 120% long and 55% short" under normal circumstances. It seeks to keep gross exposure "at least at 80%" (NLSI-PR, page 6, "Long/Short Mix"). The prospectus is dated May 1, 2026.
  • Gross: 120% + 55% = 175%, or 1.75x (my arithmetic).
  • Net: 120% - 55% = 65% (my arithmetic).
• Measured exposure. Not stated. The fact sheet gives only the top 10 holdings as of October 31, 2026. They total 55.02% (my arithmetic). No short positions or exposure totals are shown (NLSI-FS, page 2).
• Option exposure not counted in gross. The fund defines gross as "the market value of the Fund's long positions plus the market value of the Fund's short positions" (NLSI-PR, page 6). The short SPX puts, at up to 100% of net assets in notional, sit outside that definition. Counting them at full notional would give up to 275% of net assets in gross terms (my arithmetic). The bought puts offset part of this, and the documents give no delta-adjusted figure (my inference). Delta is how much an option's value moves for a 1-point move in the index.
• How it gets exposure above 100%. Not stated directly. A 120% long book on 100% of capital needs about 20% of extra funding. The 55% of short sale proceeds would cover it (my inference). The SAI says short sale proceeds "will be retained by the broker, to the extent necessary to meet the margin requirements" (NLSI-SAI, page 47, "Short Sales"). No bank borrowing, swaps or futures are described for this fund.
• Borrowing limits. A fund "may borrow money from banks for any purpose in an amount up to 1/3 of the Fund's total assets", with "continuous asset coverage ... of 300% of the amount borrowed" (NLSI-SAI, page 11, "Borrowing"). The SAI mentions a line of credit only as a possible cost: "a commitment or other fee to maintain a line of credit" (NLSI-SAI, page 11). No line of credit is named for NLSI. The fundamental policy allows borrowing only "as permitted under the 1940 Act" (NLSI-SAI, page 53, "Investment Restrictions and Policies", item 2).

6. Shorting, financing and collateral

• How it shorts. Direct short sales. The fund "must borrow those securities to make delivery to the buyer" (NLSI-PR, page 14, "Short Selling Risk"). No swaps or futures are described, so no split between methods is given.
• Who lends the stock and who holds collateral. Not named. Until it replaces a borrowed security, the fund "is required to maintain a segregated account of cash or liquid assets with a broker or custodian to cover the Fund's short position" (NLSI-PR, page 14). The fund's "ability to access the pledged collateral may also be impaired in the event the broker fails" (NLSI-PR, page 14).
• What is posted. Cash or liquid assets. To cover its short position, the fund may hold "cash, cash-like instruments, or high-quality short term fixed income securities", including government securities, money market instruments, repurchase agreements, commercial paper and ETFs holding these (NLSI-PR, page 6, "Long/Short Mix"). Whether long stocks are pledged is not stated.
• Short sale proceeds. Held by the broker as needed for margin (NLSI-SAI, page 47, "Short Sales"). Whether the rest is used to buy longs is not stated. See section 5.
• Segregated or tri-party account. The SAI says a fund will "maintain a segregated account containing cash or liquid securities", sized so that the segregated amount plus collateral at the broker equals the short's current value (NLSI-SAI, page 47, "Short Sales"). No tri-party or special custody account is named.
• Short sale limit. "A Fund may use up to 100% of its portfolio to engage in short sales transactions" (NLSI-SAI, page 47, "Short Sales").
• Other short sale details. The fund pays the lender "amounts equal to any dividends or interest" and may pay "a premium" to borrow (NLSI-SAI, page 47). It "may also use repurchase agreements to satisfy delivery obligations in short sales" (NLSI-SAI, page 47).
• Option collateral. The SAI says written puts "would be covered", meaning the fund "will segregate cash or liquid assets with a value at least equal to the exercise price", or hold a put on the same security with an equal or higher strike (NLSI-SAI, page 34, "Options"). For NLSI's put spread, the bought puts would partly cover the sold puts (my inference). Where option margin is held is not stated.
• Margin type. Not stated. The only margin reference for short sales is to "the margin requirements" (NLSI-SAI, page 47). Neither Reg T nor portfolio margin is named.
• Securities lending. Permitted: "Each Fund may lend portfolio securities to certain borrowers" (NLSI-SAI, page 47, "Securities Lending"). The documents don't say whether NLSI lends.

7. Derivatives and Rule 18f-4

• Derivatives used. Exchange-listed SPX index put options, sold and bought as a put spread (NLSI-PR, page 6, "Options Strategy"). "Options are a derivative investment" (NLSI-PR, page 7, "Derivatives Risk"). Short sales are the other main tool. The SAI permits futures, forwards, swaps and other derivatives for the Trust's funds (NLSI-SAI, page 53, item 6), but the prospectus describes none of these for NLSI.
• Limited derivatives user or full program. Not stated for NLSI. The SAI describes Rule 18f-4 in general terms only: a fund above "a limited specified exposure amount" must keep "a comprehensive derivatives risk management program and appoint a derivatives risk manager" (NLSI-SAI, page 16, "Derivatives Risk"). With short puts up to 100% of net assets in notional, NLSI is likely above the limited user threshold (my inference).
• VaR test and reference portfolio. Not stated. VaR (value at risk) estimates the most a fund could lose over a set period at a set confidence level.
• Commodity pool status (CFTC Rule 4.5). Not stated for NLSI. The SAI discusses commodity pool status only for the bitcoin and ether futures vehicles and the Cayman subsidiaries of other NEOS funds (NLSI-SAI, pages 10, 20 and 52).
• Older cover language. The SAI's "segregate cash or liquid assets" language for written puts and short sales (NLSI-SAI, pages 34 and 47) reflects the pre-18f-4 approach. The SAI does not say how it fits with Rule 18f-4 (my inference).

8. Costs

• Who pays what. The adviser pays all fund operating expenses except the "Excluded Expenses": the management fee, "interest, taxes, brokerage commissions" and order costs, acquired fund fees, deferred tax, extraordinary expenses and any 12b-1 fees (NLSI-PR, page 15, "Fund Management"). The fund also bears "costs of borrowing money, including interest expenses, certain custody expenses" (NLSI-PR, page 15). Dividends on shorts are not named in the Excluded Expenses list, but the fee table footnote puts them in Other Expenses, so the fund pays them (my inference). The adviser pays the distributor and the independent trustees from its own resources (NLSI-SAI, page 65, "Distributor"; NLSI-SAI, page 59).
• Advisory fee earned. $1,708 for December 10 to December 31, 2025 (NLSI-SAI, pages 63 and 64, advisory fee table and footnote 13).
• Expense example. $292 for 1 year and $895 for 3 years per $10,000 (NLSI-PR, page 5, "Example").
• Brokerage commissions. $512 for December 10 to December 31, 2025 (NLSI-SAI, page 72, "Brokerage Transactions", footnote 13).
• Portfolio turnover. 19% for December 10 to December 31, 2025, not annualized. It "excludes in-kind and short sale transactions" (NLSI-PR, page 21, "Financial Highlights" footnotes (d) and (f); NLSI-SAI, page 70).
• Gap between expense ratio and management fee.
  • Fee table: 2.89% - 0.98% = 1.91% (my arithmetic). All of it is estimated short-position cost.
  • Actual first period: 5.59% - 0.98% = 4.61% (my arithmetic). This matches the reported short-cost ratio. The financial highlights show 0.98% for "operational expenses ... excluding dividends, interest, and borrowing expense on securities sold short" (NLSI-PR, page 21).
  • The 4.61% covers 22 days on about $5.6 million and is annualized, so it may not represent a full year (my inference). Because it lumps dividends with interest and borrowing fees, the true financing part can't be isolated.

9. Performance and risk

Cumulative returns from the fact sheet. The fund is under one year old, so 1-year, 3-year and annualized since-inception figures are "--". No benchmark returns are shown.

• Calendar-year returns. Only the first stub period: 2.75% total return at NAV from December 10 to December 31, 2025, not annualized (NLSI-PR, page 21, "Financial Highlights"). The prospectus performance section says "no performance information is presented" because the fund is new (NLSI-PR, page 9, "Performance").
• Risk statistics. None given (no beta, correlation, volatility, Sharpe ratio, drawdown or capture figures).
• Note. A 26.91% six-month return at NAV is large for a long/short fund. It fits a 65% net long book with a concentrated top holding and short puts that gain in rising markets (my inference). The fact sheet itself warns that "High short-term performance may be unusual" (NLSI-FS, page 1).

10. History and structural changes

• Predecessor funds. None stated for NLSI. The SAI names predecessors only for two other NEOS funds (NLSI-SAI, page 5, "General Description of the Trust").
• Reorganizations and 351 conversions. None for NLSI. Section 351 appears only in the rule letting the Trust reject creation orders that would give a buyer 80% or more of shares (NLSI-SAI, page 84, "Taxes").
• Pending change of control. A supplement dated August 13, 2026 says NEOS Investments LLC agreed on August 10, 2026 to be bought by GSAM Neptune Holdings L.P., a subsidiary of The Goldman Sachs Group, Inc. (NLSI-PR, page 1, supplement). The adviser would then be an indirect subsidiary of Goldman. The deal needs Board and shareholder approval of a new advisory agreement and new trustees. It is "expected to close in the fourth quarter of 2026 or first quarter of 2027". No change to objectives, strategies or management fees is anticipated (NLSI-PR, page 2, supplement). The same supplement is bound into the SAI (NLSI-SAI, pages 1 and 2).
• Document dates.
  • The prospectus and SAI are dated May 1, 2026. They predate the August 13, 2026 supplement and the October 31, 2026 fact sheet.
  • The prospectus's 120/55 exposure is a target as of May 1, 2026. The fact sheet doesn't restate it.
  • Only the 22-day 2025 stub period has audited figures. No later annual or semi-annual report was attached.
• Conflicts between documents.
  • Inception date: 12/9/2025 (NLSI-FS, page 1) versus December 10, 2025 (NLSI-PR, pages 5 and 21; NLSI-SAI, page 64, footnote 13).
  • Objective wording: "high monthly income" (NLSI-PR, page 5) versus "monthly income" (NLSI-FS, page 1).
  • Fund name: the SAI's capital loss table lists "NEOS Long/Short High Income ETF" (NLSI-SAI, page 82, "Taxes"). Everywhere else it is "NEOS Long/Short Equity Income ETF". This looks like a typo (my inference).
  • Creations: securities "and/or cash" (NLSI-PR, page 9) versus "generally" cash (NLSI-SAI, page 5).

11. Principal risks

Summary list: NLSI-PR, pages 7 to 9, "Principal Risks of Investing in the Fund". Longer descriptions: NLSI-PR, pages 11 to 14.

• Equity Securities Risk (pages 7 and 12).
• Short Selling Risk (pages 7 and 14). Flag: shorting and counterparties. Losses are "theoretically unlimited". The fund "may not be able to borrow a security that it needs to deliver". Access to pledged collateral may be impaired "in the event the broker fails".
• Model Risk (pages 7 and 13).
• Derivatives Risk (pages 7 and 12). Flag: counterparties. Names "the risk that the counterparty to a derivative transaction may not fulfil its contractual obligations".
• Options Risk (pages 7 and 14). Flag: leverage. Options "enable the Fund to purchase exposure that is significantly greater than the premium paid". Loss from written options "could be unlimited".
• Absence of Prior Active Market Risk (pages 7 and 11).
• Active Management Risk (pages 7 and 11).
• Cybersecurity Risk (pages 7 and 11).
• Exchange Traded Funds ("ETFs") Risk (pages 8, 12 and 13): Not Individually Redeemable; Trading Issues; Market Price Variance Risk; Authorized Participant Risk.
• Issuer Risk (pages 8 and 13). Mentions changes in the condition of "an issuer or counterparty".
• Market and Geopolitical Risk (pages 8 and 13).
• Non-Diversification Risk (pages 8 and 13).
• New Fund Risk (pages 8 and 13).
• Portfolio Turnover Risk (pages 9 and 14).
• Tax Risk (pages 9 and 14).
• Valuation Risk (pages 9 and 14).

There is no principal Leverage Risk, even with a 120% long book and short puts. The word "leverage" does not appear in the prospectus. No principal risk is named for the prime broker beyond the collateral sentence in Short Selling Risk.

12. Relevance to our fund

• How close is its structure and leverage? Not close (my inference). NLSI runs a stated 120/55 book, 1.75x gross and 65% net long, with an SPX put-writing overlay. Our fund is 150/150, 3.0x gross and market neutral. NLSI also holds about 60 stocks, below our 150 or more. It is in NEOS's own trust, not Tidal's platform.
• What does it show about getting 3.0x gross in a 40 Act ETF? (my inference)
  • Little directly. NLSI stays under 2.0x on its stock book, inside the Reg T cap of about 2.0x in fund_context.md. A 120/55 book needs about 60% of capital as Reg T margin on the longs and about 27.5% on top of short proceeds for the shorts, or about 87.5% in total (my arithmetic). So it fits Reg T without portfolio margin.
  • Its extra market exposure comes from index options, not stock leverage. That matches the Tidal call's "more leverage through futures and options" path (S2, S12 in fund_context.md). But NLSI uses options for income and net long exposure, not to build a second stock book.
  • Its gross definition leaves out option notional. A fund can carry large derivative exposure that its headline gross figure does not show. Rule 18f-4 would still count it.
• What does it show about financing, collateral, custody and costs? (my inference)
  • Custody: U.S. Bank, N.A. holds fund assets, while collateral for shorts sits in a segregated account "with a broker or custodian" (NLSI-PR, page 14, "Short Selling Risk"). This fits Tidal's point that shorts are custodied away from the main custodian. The documents don't say which way NLSI does it.
  • Costs are visible, but lumped. Short dividends, interest and borrow fees show up in the expense ratio (4.61% annualized in the stub period; 1.91% estimated for 2026). We can't separate the financing part from dividends. A net-long fund that holds high-yield energy stocks long and weaker names short may have lower short dividends than our book. So these figures are not a direct guide to our cost.
  • Using the formulas in fund_context.md: if short proceeds fund the extra 20% of longs, NLSI has no broker debit. Its cost above the base rate would be about $55 × c + $55 × b per $100 of capital, against $150 × c + $50 × d + $150 × b for our 150/150.
  • Its unitary fee leaves short costs to the fund, the same treatment we saw at AINT on Tidal.

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).
• Measured long, short, gross and net exposure since launch, and option notional.
• Where long stocks bought with short sale proceeds are held, and whether longs are pledged.
• Short dividends, borrow fees and margin interest as separate figures. The 2026 annual report, for the year ending December 31, 2026, should give a full-year figure. It was not attached.
• Whether NLSI is a limited derivatives user. Which VaR test it uses, the reference portfolio, and the derivatives risk manager.
• Commodity pool status under CFTC Rule 4.5.
• Whether the fund lends securities, and through which agent.
• Current net assets, NAV, beta and other risk statistics.
• Whether the Goldman Sachs deal has closed, and whether it changes service providers.

Questions to ask:

• To NEOS: Which broker lends NLSI's shorts? Is it a prime brokerage account under Rule 17f-1, or a tri-party control agreement with U.S. Bank?
• To NEOS: Is the account Reg T or portfolio margin? Are short sale proceeds used to buy the extra 20% of longs?
• To NEOS: How do the 4.61% short costs split between dividends, borrow fees and interest? What was the full-year 2026 figure?
• To NEOS: Which VaR test and reference index did the board approve under Rule 18f-4? How is the short put notional counted?
• To NEOS: Why was Micron 13.08% of the fund on October 31, 2026, against a stated 3% to 7% guide? Do the five energy names in the top 10 count as one industry for the 25% limit?
• To NEOS: Which inception date is right, December 9 or December 10, 2025?
• To Tidal: Would Tidal accept an option overlay of this size inside our fund, and how would it treat option notional in its exposure limits?

Search terms tried for fields left "Not stated" or "Not named":

• Prime broker and margin type: prime broker, borrow, margin, Regulation T, portfolio margin, pledg, segregat. The only "prime broker" hit is a trustee's past job (NLSI-SAI, page 55).
• Leverage cost split: short sale, sold short, dividend near short, interest expense, borrowing, line of credit, swap, box spread, reverse repurchase.
• VaR and 18f-4 status: 18f-4, value at risk, relative VaR, absolute VaR, designated reference portfolio, derivatives risk manager, limited derivatives user.
• Commodity pool: Rule 4.5, commodity pool, commodity pool operator, Commodity Exchange Act.
• Securities lending agent: securities lending, lending agent.
• Clearing broker for options: Options Clearing Corporation, clearing broker, futures commission merchant, FCM.
• Beta and risk data, Morningstar: searched the fact sheet in full; none given.
• Predecessor: predecessor, reorganiz, 351.

14. Documents used

Page numbering.

• NLSI-FS: printed page numbers 1 to 3 match the PDF pages.
• NLSI-PR: PDF pages 1 and 2 are the supplement (printed 1 and 2). PDF pages 3 and 4 are the cover and contents (no printed number). From PDF page 5 on, PDF page = printed page + 4. The fund summary is PDF pages 5 to 10 (printed 1 to 6).
• NLSI-SAI: PDF pages 1 and 2 are the supplement. PDF pages 3 and 4 are the cover and contents. From PDF page 5 to 90, PDF page = printed page + 4. PDF pages 91 to 94 are Appendix A (printed A-1 to A-4). The SAI covers 16 funds; only shared passages or passages naming NLSI were used.

15. Snapshot sources

• Ticker: NLSI-FS, page 1, fund facts table ("Ticker NLSI").
• Fund name: NLSI-FS, page 1, header.
• As of date: "As of 10/31/2026" (NLSI-FS, page 1, header).
• Adviser: NLSI-PR, page 9, "Management" ("NEOS Investment Management, LLC").
• Platform: (my inference). The fund is "a series of NEOS ETF Trust" (NLSI-PR, page 3, cover), and every series in the SAI is a NEOS fund advised by NEOS Investment Management, LLC (NLSI-SAI, page 5, "General Description of the Trust").
• Exchange: NLSI-FS, page 1 ("Exchange Cboe"); NLSI-PR, page 3, cover ("Cboe BZX Exchange, Inc.").
• Inception: NLSI-FS, page 1 ("Inception Date 12/9/2025"). Conflict: the prospectus says "Inception date of the Fund was December 10, 2025" (NLSI-PR, page 21, "Financial Highlights" footnote (a)).
• Net assets: "Net assets, end of period (in thousands) $ 5,626" for the period ended December 31, 2025 (NLSI-PR, page 21, "Financial Highlights"). The fact sheet gives no net assets figure.
• Strategy type: (my inference) from "an equity long / short strategy" (NLSI-PR, page 5, "Principal Investment Strategies of the Fund") and the 120% long, 55% short target, which is net long.
• Long %: "anticipates exposure will remain fixed at 120% long and 55% short" (NLSI-PR, page 6, "Long/Short Mix"). A stated normal level as of May 1, 2026, not a measured figure.
• Short %: same source as Long %.
• Gross: 120% + 55% = 175%, or 1.75x (my arithmetic), from NLSI-PR, page 6, "Long/Short Mix". Excludes SPX put option notional of up to 100% of net assets (NLSI-PR, page 6, "Options Strategy").
• Above 2.0x: based on the 1.75x stated level (my arithmetic). Short put notional is not counted in the fund's gross definition.
• Net: 120% - 55% = 65% (my arithmetic), from NLSI-PR, page 6.
• Short method: "The Fund may have substantial short security positions and must borrow those securities to make delivery to the buyer" (NLSI-PR, page 14, "Short Selling Risk").
• Prime broker or counterparty: the documents say only "a broker" (NLSI-PR, page 14; NLSI-SAI, page 47, "Short Sales").
• Custodian: NLSI-SAI, page 65, "Custodian"; NLSI-PR, page 22, back cover.
• Management fee: NLSI-PR, page 5, "Fund Fees and Expenses" ("Management Fee 0.98%"). Unitary (NLSI-PR, page 15, "Fund Management").
• Total expense ratio: "Total Annual Fund Operating Expenses 2.89%" (NLSI-PR, page 5); "Total Expense Ratio 2.89%" (NLSI-FS, page 1). No waiver line. Based on estimated Other Expenses for the current fiscal year.
• Short costs in expense ratio: "Other Expenses are comprised of dividend, interest and brokerage expenses on short positions" (NLSI-PR, page 5, footnote (1)).
• 3-month return: 12.29% at NAV, 3 months to October 31, 2026 (NLSI-FS, page 1, "Month-End Performance"). The fact sheet also gives 12.73% at NAV for 3 months to September 30, 2026 (NLSI-FS, page 3, "Quarter-End Performance").
• 1-year return: not available. The fund started in December 2025, and the fact sheet shows "--" for 1-Yr (NLSI-FS, page 1). No period end applies.
• Beta: not given in any of the three documents.
• Beta benchmark: not stated, because no beta is given.
• Beta period: not stated, because no beta is given.
• Leverage Method: direct shorts from "must borrow those securities to make delivery to the buyer" (NLSI-PR, page 14) and "The proceeds of the short sale will be retained by the broker, to the extent necessary to meet the margin requirements" (NLSI-SAI, page 47). No document says Reg T, Regulation T or portfolio margin. Index options from "the sale of exchange listed put options ("Short Puts") with a notional value up to 100% of the Fund's net assets and the purchase of put options ("Long Puts")" on the S&P 500 (NLSI-PR, page 6, "Options Strategy").
• Leverage cost: "Ratio of dividends, interest and borrowing expense on securities sold short to average net assets(e) 4.61%", annualized, for the period from December 10, 2025 to December 31, 2025 (NLSI-PR, page 21, "Financial Highlights"). The fee table estimates 1.91% for the current fiscal year, also combined (NLSI-PR, page 5, footnote (1)).
• Short dividend expense: combined with interest and borrowing expense in the same 4.61% ratio (NLSI-PR, page 21).
• 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: 12 of 27, as of November 11, 2026.
• Long/short: stated exposure of 120% long and 55% short (NLSI-PR, page 6, "Long/Short Mix").
• Portfolio margin: POSSIBLE. The fund shorts directly, and short proceeds are "retained by the broker, to the extent necessary to meet the margin requirements" (NLSI-SAI, page 47). No document says Reg T or portfolio margin.
• Cross-collateral: Not stated. Short cover is a segregated account of "cash or liquid assets with a broker or custodian" (NLSI-PR, page 14). Whether long stocks are pledged is not stated.
• Outside Reg T: Not stated.
• Short costs (includes dividends): No. 4.61% annualized for December 10 to December 31, 2025 (NLSI-PR, page 21).
• Over 2.0x: No. 1.75x stated (NLSI-PR, page 6; my arithmetic).
• Tidal: No. The fund is a series of NEOS ETF Trust (NLSI-PR, page 3, cover).
• Score: 1 (my arithmetic).

16. Fund Documents

Fact Sheet

Prospectus

SAI