Ultimus Managers Trust
225 Pictoria Drive, Suite 450
Cincinnati, Ohio 45246
July 22, 2021
FILED VIA EDGAR
Division of Investment Management
United States Securities and Exchange Commission
100 F Street, N.E.
Washington, DC 20549
| Re: | Response to Staff’s Comments on Form N-1A for Ultimus Managers Trust (the “Trust”), on behalf of its series, the US Value ETF (the “Fund”) (File Nos. 811-22680; 333-180308) |
Dear Elena Stojic:
Set forth below is a summary of oral comments provided by Ms. Stojic of the staff (the “Staff”) of the Securities and Exchange Commission (the “Commission”), relating to the Trust’s Post-Effective Amendment No. 180, filed on April 30, 2021 (Accession No. 0001398344-21-009224). For your convenience, a summary of the staff’s comments are set out below in italics, and each comment is followed by the Trust’s response.
Prospectus
General Comment
| 1. | Please provide all bracketed information as it is material to the staff’s review. |
Response: The Fund has finalized all bracketed disclosures. Attached is Appendix A, which shows the redline of Items 1 through 13 compared to the April 30, 2021 filing.
Risk/Return Summary: Fee Table
| 2. | Please add the phrase “and sell” to the first sentence of the paragraph preceding the fee table. |
Response: The Fund has revised the first sentence leading in to the fee table as follows:
“This table describes the fees and expenses that you may pay if you buy, hold, and sell shares of the Fund.”
| 3. | Please provide the completed fee table in the correspondence. |
Response: The completed fee table and Expense Example are listed below:
Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment)
| Management Fees | 0.60% |
| Other Expenses1 | 0.65% |
| Total Annual Fund Operating Expenses | 1.25% |
| Fee Waiver and/or Expense Reimbursement2 | (0.60)% |
| Total Annual Fund Operating Expenses (After Fee Waiver and/or Expense Reimbursement) | 0.65% |
| 1 | Other Expenses are based on estimated amounts for the current fiscal year. |
| 2 | Lyrical Asset Management LP (the “Adviser”) has contractually agreed, until April 1, 2023, to reduce Management Fees and reimburse Other Expenses to the extent necessary to limit Total Annual Fund Operating Expenses of the Fund (exclusive of brokerage costs, taxes, interest, borrowing costs such as interest and dividend expenses on securities sold short, costs to organize the Fund, acquired fund fees and expenses, and extraordinary expenses such as litigation and merger or reorganization costs and other expenses not incurred in the ordinary course of the Fund’s business) to an amount not exceeding 0.65% of the average daily net assets of the Fund’s shares. Management Fee reductions and expense reimbursements by the Adviser are subject to repayment by the Fund for a period of 3 years after the date that such fees and expenses were waived or reimbursed, provided that the repayments do not cause Total Annual Fund Operating Expenses to exceed (i) the expense limitation then in effect, if any, and (ii) the expense limitation in effect at the time the expenses to be repaid were incurred. Prior to April 1, 2023, this agreement may not be modified or terminated without the approval of the Fund’s Board of Trustees (the “Board”). This agreement will terminate automatically if the Fund’s investment advisory agreement with the Adviser is terminated. |
Expense Example:
This Example is intended to help you compare the cost of investing in the Fund with the cost of investing in other funds. The Example assumes that you invest $10,000 in the Fund for the time periods indicated and then sell all of your shares at the end of those periods. The Example also assumes that your investment has a 5% return each year, the Fund’s operating expenses remain the same, and the expense reduction/reimbursement described above remains in place for the contractual period only. This example does not include brokerage commissions that you may pay to buy and sell Shares. Although your actual costs may be higher or lower, based on these assumptions your costs would be:
| 1 year | 3 years | |
| $ 66 | $ 274 |
| 4. | With respect to the expense limitation agreement referenced in Footnote 2 to the Expense Table, please confirm that date of the initial term will be at least one year from effectiveness of the registration statement. |
Response: The Fund confirms that the Expense Limitation Agreement has a termination date of April 1, 2023, which is more than one year from the anticipated effectiveness of the Fund’s registration statement.
Risk/Return Summary: Principal Investment Strategies
| 5. | Please tell us in correspondence any diligence the advisers did on the index from an investment and investability perspective or any diligence on the index creator from a compliance perspective. |
| o | Response: The Lyrical U.S. Value Index (the “Index”), developed by Lyrical Asset Management LP, (the “Adviser”), seeks to create a passively managed proxy for deep value investing by using propriety investment screens to identify 200 stocks from a universe of potential investment candidates of the cheapest quintile (e.g., bottom one-fifth) of the top 1,000 US stocks by market capitalization, based on one year forward median analyst projected price to earnings ratio, per FactSet Research Systems Inc. (“FactSet”). Cheapest is defined as the lowest projected forward price-to-earnings ratio for the next twelve months (“NTM P/E”). The NTM P/E is determined using the greater of the non-GAAP or GAAP median consensus estimate of forward price-to-earnings ratio available as of each quarter-end. Each stock in the cheapest quintile is then equally weighted as compared to other stocks within the Index. As a result, it is anticipated that the Index will be comprised primarily of mid-capitalization US companies. |
| o | The Index’s written methodology is contained in The US Value ETF Rule Set (the “Index Rule Set”) and is owned by the Adviser. The Adviser and the Index Provider will run the Index Rule Set quarterly, with each party reviewing the results. While the Adviser has applied the Index Rule Set for the period from December 31, 1997 to June 30, 2021, it has had the Index Provider independently run the Index Rule Set for the same period. The Index Rule Set is reviewed quarterly and updated as needed. |
Prior to engaging Alerian as the index provider, Lyrical conducted a comprehensive vendor due diligence review through which it assessed Alerian’s management team, experience and capabilities, financial stability, compliance procedures, business continuity and cyber-security programs, and the quality of the service team. Lyrical has conducted several lengthy interviews with Alerian, and reviewed available information as well as performing independent research through web searches and discussions with people in the ETF industry. Lyrical has reviewed the index provider’s privacy, cybersecurity, confidentiality and business continuity policies and practices and available financial information. In making the final selection of Alerian, Lyrical considered a number of factors, including client references and detailed discussions as to objectives and responsibilities expected.
| 6. | Please revise the investment strategies disclosure to briefly explain the investment thesis behind the index and how the index is designed to implement the thesis. |
Response: Please see the response to Comment 7.
| 7. | We note your disclosure that the index is compromised of the cheapest quintile of the US companies, the index appears to assume that lowered valued companies will increase in value over time. However, it is unclear how long it typically takes for markets to appropriately value underpriced securities and if the fund’s holding period will be sufficiently long to take advantage of changing perceptions. Similarly, some securities may be cheap because of long-term business/industry dynamics, including unsustainable earnings. Please consider the need for enhanced item 4 and Item 9 disclosure on these topics as they related to the index design and the fund’s risks. |
Response:
The Fund has added the following to its Item 4 Disclosure:
“The Lyrical U.S. Value Index (the “Index”), developed by Lyrical Asset Management LP, (the “Adviser”), seeks to create a passively managed proxy for deep value investing by using propriety investment screens to identify 200 stocks from a universe of potential investment candidates of the cheapest quintile (e.g., bottom one-fifth) of the top 1,000 US stocks by market capitalization, based on one year forward median analyst projected price to earnings ratio, per per FactSet Research Systems Inc. (“FactSet”). Cheapest is defined as the lowest projected forward price-to-earnings ratio for the next twelve months (“NTM P/E”). The NTM P/E is determined using the greater of the non-GAAP or GAAP median consensus estimate of forward price-to-earnings ratio available as of each quarter-end. Each stock in the cheapest quintile is then equally weighted as compared to other stocks within the Index. As a result, it is anticipated that the Index will be comprised primarily of mid-capitalization US companies.
GKD Index Partners LLC d/b/a Alerian (the “Index Provider”), who is not affiliated with the Adviser or the Fund, compiles and calculates the Index. The Index and the Fund are each reconstituted and rebalanced on a quarterly basis. The Index was established on July 22, 2021. The capitalization range of the Index was $5 billion to $500 billion as of June 30, 2021. The components of the Index, and the degree to which these components represent certain industries, may change over time.
The Fund employs an indexing investment approach designed to track the performance of the Index. The Fund attempts to replicate the Index by investing all, or substantially all, of its assets in the stocks that make up the Index, holding stock of each company in the Index in approximately the same proportion as its weighting in the Index.
The Fund will concentrate its investments (i.e., invest 25% or more of the value of its total assets) in securities of issuers in an industry or group of industries to approximately the same extent that the Index reflects a concentration in that industry or group of industries. The components of the Index and the percentages represented by various sectors in the Index may change over time, thus the Fund’s portfolio holdings, and the extent to which it concentrates its investments, are likely to change over time. The Index’s methodology does not focus on industries and
instead screens individual companies. As a result, it is possible, but not likely, that the Index may, at times, be concentrated in or more industries.”
The Fund has added the following to its Item 9 Disclosure:
“The Index, developed by Lyrical Asset Management LP, (the “Adviser”), seeks to create a passively managed proxy for deep value investing by using propriety investment screens to identify 200 stocks from a universe of potential investment candidates of the cheapest quintile (e.g., bottom one-fifth) of the top 1,000 US stocks by market capitalization, based on one year forward median analyst projected price to earnings ratio, per FactSet. Cheapest is defined as the lowest projected forward price-to-earnings ratio for the next twelve months (“NTM P/E”). The NTM P/E is determined using the greater of the non-GAAP or GAAP median consensus estimate of forward price-to-earnings ratio available as of each quarter-end. Each stock in the cheapest quintile is then equally weighted as compared to other stocks within the Index. As a result, it is anticipated that the Index will be comprised primarily of mid-capitalization US companies.
The Index Provider, who is not affiliated with the Adviser or the Fund, compiles and calculates the Index. The Index and the Fund are each reconstituted and rebalanced on a quarterly basis. The Index was established on July 22, 2021. The capitalization range of the Index was $5 billion to $500 billion as of June 30, 2021. The components of the Index, and the degree to which these components represent certain industries, may change over time.
The Adviser believes that many “value indices” are constituted as much by growth “anti-factors” as by value
factors, which skews their constituents needlessly to companies who both are cheap and have lesser growth attributes. The Index
was created by the Adviser to provide a different approach to identify deep value within the top 1,000 US stocks and to focus more
on deep value as opposed to anti-growth. The Index’s holdings are reconstituted at the end of each fiscal quarter as companies
may appreciated out of the cheapest quintile and replaced with those newly in the cheapest quintile, and then the Index is rebalanced
so holdings have equal weights.
As with any investment, there are uncertainties regarding how a particular stock will perform overtime. The value of the stocks in the Index may not appreciate quickly or at all. However, the Adviser believes that over a longer period of time (i.e., at least 12-months), the cheapness of stock, in and of itself is, on the average, a substantial benefit to stock performance historically and, in the manager’s view, this tendency should persist over time. The median consensus determination is provided by a third-party source, Factset, based on analyst earnings data it gathers, and then verified by both the Index Provider and Lyrical. Companies that are expected not to be profitable would have infinite forward price-earnings ratios, precluding them from being in the cheapest quintile.
The Fund employs an indexing investment approach designed to track the performance of the Index. The Fund attempts to replicate the Index by investing all, or substantially all, of its assets in the stocks that make up the Index, holding stock of each company in the Index in
approximately the same proportion as its weighting in the Index.
The Adviser uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. The Fund does not try to “beat” the index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. Indexing may eliminate the chance that the Fund will substantially outperform the Index but also may reduce some of the risks of active management, such as poor security selection. Indexing seeks to achieve lower costs and better after-tax performance by keeping portfolio turnover low in comparison to actively managed investment companies.
The Fund will concentrate its investments (i.e., invest 25% or more of the value of its total assets) in securities of issuers in an industry or group of industries to approximately the same extent that the Index reflects a concentration in that industry or group of industries. The components of the Index and the percentages represented by various sectors in the Index may change over time, thus the Fund’s portfolio holdings, and the extent to which it concentrates its investments, are likely to change over time. The Index’s methodology does not focus on industries and instead screens individual companies. As a result, it is possible, but not likely, that the Index may, at times, be concentrated in or more industries.”
| 8. | Please provide the index methodology and a model portfolio with correspondence. |
Response: The Index, developed by Lyrical Asset Management LP, (the “Adviser”), seeks to create a passively managed proxy for deep value investing by using investment screens to identify 200 stocks from a universe of potential investment candidates of the cheapest quintile (e.g., bottom one-fifth) of the top 1,000 US stocks by market capitalization, based on one year forward median analyst projected price to earnings ratio, per FactSet. Attached is Appendix B, which shows a model portfolio.
| 9. | Please explain in the principal strategies the index’s rebalance and reconstitution process, including the frequency thereof, and explaining how and when the index changes. |
Response: The Fund has added the requested disclosure as follows:
Please see the response to Comment 7 above.
10. Please provide the approximate market cap range of the index constituents as of a recent date.
Response: The approximate market cap range of the Index constituents was $5 billion – $500 billion as of June 30, 2021. The Fund has added this disclosure to the prospectus (Please see the response to Comment 7 above).
11. Please provide the number of index constituents and explain the term “quintile” in plain English.
Response: Please see the response to Comment 7 above.
12. Please fully identify the index provider and disclose whether it is affiliated with the adviser.
Response: The Fund has added the requested disclosure as follows (see the response to Comment 7 above):
“GKD Index Partners LLC d/b/a Alerian (the “Index Provider”), who is not affiliated with the Adviser or the Fund, compiles and calculates the Index.”
13. Please disclose how the median consensus estimate is determined (i.e., who views make the determination) and are they publicly available third-party sources. Also, how does the index deal with companies that are not expected to be profitable in the next 12-months?
Response: The following disclosure has been added to the Item 9 response (see the response to Comment 7 above):
“The median consensus determination is provided by a third-party source, Factset, based on analyst earnings data it gathers, and then verified by both the Index Provider and Lyrical. Companies that are expected not to be profitable would have infinite forward price-earnings ratios, precluding them from being in the cheapest quintile.”
Factset’s median consensus determination information is available to their customers but said informaton is not freely available to the public.
14. In the second to last paragraph in the principal investment strategies section, please identify any industries in which the index/fund intends to be concentrated at launch.
Response: The Index’s methodology does not focus on industries and instead screens individual companies. As a result, it is possible, but not likely, that the Index will become concentrated in or more industries. For reference, the five highest industry weights of the Index as of June 30, 2021, were: Regional Banks 9.00%, Major Banks 5.00%, Life/Health Insurance 4.00%, Oil & Gas Pipelines 4.00%, Finance/Rental/Leasing 4.00%.
The Fund has added the following to the Item 4 and Item 9 Disclosure:
“The Index’s methodology does not focus on industries and instead screens individual companies. As a result, it is possible, but not likely, that the Index may, at times, be concentrated in or more industries.”
Risk/Return Summary: Risks
15. Please consider whether a concentration risk is appropriate for the fund, stating the risks related to a policy that the fund will concentrate to the extent the index concentrates.
Response: The Fund does not believe that the Index presents industry concentration risk. Please see the response to Comment 14.
16. Index Style risk—Please be more specific about some of the circumstances that likely would cause the index to underperform the overall market. Please also identify risks commonly associated with value investing.
Response: The Fund has added the requested disclosure as follows:
Additional Item 4 Risk Disclosure added:
“Value Securities Risk. Securities issued by companies that may be perceived as undervalued may fail to appreciate for long periods of time and may never realize their full potential value. Value securities have generally performed better than non-value securities during periods of economic recovery (although there is no assurance that they will continue to do so). Value securities may go in and out of favor over time.”
Additional Item 9 Risk Disclosure added:
“Value Securities Risk. Value securities are those issued by companies that may be perceived as undervalued. Value securities may fail to appreciate for long periods of time and may never realize their full potential value. Value securities have generally performed better than non-value securities during periods of economic recovery (although there is no assurance that they will continue to do so). Although the Fund’s Index uses a rules-based proprietary index methodology that is designed to identify stocks with attractive valuations, there is no guarantee that this methodology will be successful or that these stocks will continue to be good “values.” “Value” stocks can perform differently from the market as a whole and other types of stocks and can continue to be undervalued by the market for long periods of time.”
17. Mid-cap company risk—If the fund intends to invest principally in mid-cap companies, please include corresponding disclosure in the principal strategies disclosures.
Response: The requested disclosure has been added to the Items 4 and 9 disclosures, Please see the response to Comment 7.
Management
| 18. | Please provide information for the Fund’s portfolio managers. |
Response: The Fund has added the requested disclosure.
Investment Objectives, Principal Investment Strategies, Related Risks and Disclosure of Portfolio Holdings
| 19. | Between “investment objective” and “Principal Risks of Investing” sections of the Fund’s Item 9 disclosures, please provide the information required by Item 9(b) and describe how the fund intends to implement its investment objective. |
Response: The Fund has added the requested disclosure as follows:
Please see the response to Comment 7.
Shareholder Information
| 20. | .Please provide the bracketed transactions fees for the Fund. |
Response: The Fund has added the requested disclosure as follows:
The Transaction Fees for the Fund are listed in the table below.
| Fee for In-Kind and Cash Purchases | Maximum Additional Variable Charge for Cash Purchases* |
| $250 | 200 basis points (2.0)% |
*As a percentage of the amount invested.
Financial Highlights Information
| 21. | .Please state the Fund’s fiscal year end. |
Response: The Fund’s fiscal year-end is November 30 and the Fund’s registration statement has been updated accordingly.
Thank you for your comments. Please contact me at (513) 587-3454 if you have any questions.
Sincerely,
/s/ David James
_______________________
David James
cc: Thomas W. Steed III, Esq. at Kilpatrick Townsend & Stockton LLP
APPENDIX A
The Fund’s Prospectus (redlined against (a) filing)
APPENDIX B
Model Portfolio for the Index
As of June 30, 2021
| P/E Rank | Company Symbol | Company Name | Market Cap | CUSIP | Weight | Price |
| 1 | X | United States Steel Corporation | 6,471.9 | 912909108 | 0.50% | $ 24.00 |
| 2 | VTRS | Viatris, Inc. | 17,271.7 | 92556V106 | 0.50% | $ 14.29 |
| 3 | OGN | Organon & Co. | 7,671.4 | 68622V106 | 0.50% | $ 30.26 |
| 4 | EQH | Equitable Holdings, Inc. | 13,040.9 | 29452E101 | 0.50% | $ 30.45 |
| 5 | CLF | Cleveland-Cliffs Inc | 10,767.1 | 185899101 | 0.50% | $ 21.56 |
| 6 | UNM | Unum Group | 5,800.4 | 91529Y106 | 0.50% | $ 28.40 |
| 7 | BHC | Bausch Health Companies Inc. | 10,508.2 | 071734107 | 0.50% | $ 29.32 |
| 8 | LNC | Lincoln National Corporation | 11,963.1 | 534187109 | 0.50% | $ 62.84 |
| 9 | STLD | Steel Dynamics, Inc. | 12,588.7 | 858119100 | 0.50% | $ 59.60 |
| 10 | OVV | Ovintiv Inc | 8,215.0 | 69047Q102 | 0.50% | $ 31.47 |
| 11 | ET | Energy Transfer, L.P. | 28,738.2 | 29273V100 | 0.50% | $ 10.63 |
| 12 | GPOR | Gulfport Energy Corp | 10,409.7 | 402635502 | 0.50% | $ 64.70 |
| 13 | AGNC | AGNC Investment Corp. | 8,865.7 | 00123Q104 | 0.50% | $ 16.89 |
| 14 | OMF | OneMain Holdings, Inc. | 8,056.5 | 68268W103 | 0.50% | $ 59.91 |
| 15 | PHM | PulteGroup, Inc. | 14,432.5 | 745867101 | 0.50% | $ 54.57 |
| 16 | LPX | Louisiana-Pacific Corporation | 6,164.9 | 546347105 | 0.50% | $ 60.29 |
| 17 | PSXP | Phillips 66 Partners LP | 9,010.3 | 718549207 | 0.50% | $ 39.46 |
| 18 | LEN | Lennar Corporation Class A | 27,396.8 | 526057104 | 0.50% | $ 99.35 |
| 19 | SC | Santander Consumer USA Holdings, Inc. | 11,115.2 | 80283M101 | 0.50% | $ 36.32 |
| 20 | ATH | Athene Holding Ltd. Class A | 12,942.6 | G0684D107 | 0.50% | $ 67.50 |
| 21 | LYB | LyondellBasell Industries NV | 34,395.0 | N53745100 | 0.50% | $ 102.87 |
| 22 | SLM | SLM Corp | 6,760.9 | 78442P106 | 0.50% | $ 20.94 |
| 23 | NXST | Nexstar Media Group, Inc. Class A | 6,321.0 | 65336K103 | 0.50% | $ 147.88 |
| 24 | HPE | Hewlett Packard Enterprise Co. | 19,040.4 | 42824C109 | 0.50% | $ 14.58 |
| 25 | AER | AerCap Holdings NV | 6,694.9 | N00985106 | 0.50% | $ 51.21 |
| 26 | DHI | D.R. Horton, Inc. | 32,576.9 | 23331A109 | 0.50% | $ 90.37 |
| 27 | TOL | Toll Brothers, Inc. | 7,132.4 | 889478103 | 0.50% | $ 57.81 |
| 28 | ALLY | Ally Financial Inc | 18,474.7 | 02005N100 | 0.50% | $ 49.84 |
| 29 | PRU | Prudential Financial, Inc. | 40,373.2 | 744320102 | 0.50% | $ 102.47 |
| 30 | WDC | Western Digital Corporation | 21,810.3 | 958102105 | 0.50% | $ 71.17 |
| 31 | C | Citigroup Inc. | 146,243.6 | 172967424 | 0.50% | $ 70.75 |
| 32 | NLY | Annaly Capital Management, Inc. | 12,418.7 | 035710409 | 0.50% | $ 8.88 |
| 33 | OLN | Olin Corporation | 7,364.8 | 680665205 | 0.50% | $ 46.26 |
| 34 | NUE | Nucor Corporation | 28,706.3 | 670346105 | 0.50% | $ 95.93 |
| 35 | XEC | Cimarex Energy Co. | 7,449.7 | 171798101 | 0.50% | $ 72.45 |
| 36 | PAG | Penske Automotive Group, Inc. | 6,101.6 | 70959W103 | 0.50% | $ 75.49 |
| 37 | MU | Micron Technology, Inc. | 95,297.9 | 595112103 | 0.50% | $ 84.98 |
| 38 | MET | MetLife, Inc. | 52,393.6 | 59156R108 | 0.50% | $ 59.85 |
| 39 | HPQ | HP Inc. | 36,265.9 | 40434L105 | 0.50% | $ 30.19 |
| 40 | FNF | Fidelity National Financial, Inc. - FNF Group | 12,562.2 | 31620R303 | 0.50% | $ 43.46 |
| 41 | ABBV | AbbVie, Inc. | 198,947.3 | 00287Y109 | 0.50% | $ 112.64 |
| 42 | BMY | Bristol-Myers Squibb Company | 149,271.1 | 110122108 | 0.50% | $ 66.82 |
| 43 | FSK | FS KKR Capital Corp. | 6,133.1 | 302635206 | 0.50% | $ 21.51 |
| 44 | WES | Western Midstream Partners, LP | 8,847.8 | 958669103 | 0.50% | $ 21.42 |
| 45 | AA | Alcoa Corporation | 6,878.9 | 013872106 | 0.50% | $ 36.84 |
| 46 | AMG | Affiliated Managers Group, Inc. | 6,420.8 | 008252108 | 0.50% | $ 154.21 |
| 47 | COF | Capital One Financial Corporation | 69,840.9 | 14040H105 | 0.50% | $ 154.69 |
| 48 | JEF | Jefferies Financial Group Inc. | 8,446.5 | 47233W109 | 0.50% | $ 34.20 |
| 49 | BPOP | Popular, Inc. | 6,048.6 | 733174700 | 0.50% | $ 75.05 |
| 50 | RE | Everest Re Group, Ltd. | 10,101.5 | G3223R108 | 0.50% | $ 252.01 |
| 51 | LUMN | Lumen Technologies, Inc. | 15,021.2 | 550241103 | 0.50% | $ 13.59 |
| 52 | PAA | Plains All American Pipeline, L.P. | 8,202.6 | 726503105 | 0.50% | $ 11.36 |
| 53 | SHLX | Shell Midstream Partners LP | 5,808.9 | 822634101 | 0.50% | $ 14.77 |
| 54 | SYF | Synchrony Financial | 28,219.2 | 87165B103 | 0.50% | $ 48.52 |
| 55 | GM | General Motors Company | 85,836.2 | 37045V100 | 0.50% | $ 59.17 |
| 56 | M | Macy's Inc | 5,910.1 | 55616P104 | 0.50% | $ 18.96 |
| 57 | DFS | Discover Financial Services | 36,065.1 | 254709108 | 0.50% | $ 118.29 |
| 58 | ARW | Arrow Electronics, Inc. | 8,442.5 | 042735100 | 0.50% | $ 113.83 |
| 59 | T | AT&T Inc. | 205,489.2 | 00206R102 | 0.50% | $ 28.78 |
| 60 | IVZ | Invesco Ltd. | 12,334.6 | G491BT108 | 0.50% | $ 26.73 |
| 61 | ALL | Allstate Corporation | 39,045.7 | 020002101 | 0.50% | $ 130.44 |
| 62 | WHR | Whirlpool Corporation | 13,653.5 | 963320106 | 0.50% | $ 218.02 |
| 63 | CAH | Cardinal Health, Inc. | 16,564.6 | 14149Y108 | 0.50% | $ 57.09 |
| 64 | GS | Goldman Sachs Group, Inc. | 129,122.2 | 38141G104 | 0.50% | $ 379.53 |
| 65 | UTHR | United Therapeutics Corporation | 8,036.8 | 91307C102 | 0.50% | $ 179.41 |
| 66 | FANG | Diamondback Energy, Inc. | 16,993.8 | 25278X109 | 0.50% | $ 93.89 |
| 67 | BEN | Franklin Resources, Inc. | 16,133.3 | 354613101 | 0.50% | $ 31.99 |
| 68 | AN | AutoNation, Inc. | 7,630.3 | 05329W102 | 0.50% | $ 94.81 |
| 69 | ACI | Albertsons Companies, Inc. Class A | 9,171.6 | 013091103 | 0.50% | $ 19.66 |
| 70 | CC | Chemours Co. | 5,760.3 | 163851108 | 0.50% | $ 34.80 |
| 71 | PCG | PG&E Corporation | 20,188.5 | 69331C108 | 0.50% | $ 10.17 |
| 72 | HUN | Huntsman Corporation | 5,879.1 | 447011107 | 0.50% | $ 26.52 |
| 73 | PFG | Principal Financial Group, Inc. | 17,188.5 | 74251V102 | 0.50% | $ 63.19 |
| 74 | RF | Regions Financial Corporation | 19,398.7 | 7591EP100 | 0.50% | $ 20.18 |
| 75 | VOYA | Voya Financial, Inc. | 7,455.7 | 929089100 | 0.50% | $ 61.50 |
| 76 | MCK | McKesson Corporation | 29,578.5 | 58155Q103 | 0.50% | $ 191.24 |
| 77 | JBL | Jabil Inc. | 8,648.1 | 466313103 | 0.50% | $ 58.12 |
| 78 | FAF | First American Financial Corporation | 6,842.4 | 31847R102 | 0.50% | $ 62.35 |
| 79 | GILD | Gilead Sciences, Inc. | 86,362.7 | 375558103 | 0.50% | $ 68.86 |
| 80 | KEY | KeyCorp | 20,041.2 | 493267108 | 0.50% | $ 20.65 |
| 81 | F | Ford Motor Company | 58,263.0 | 345370860 | 0.50% | $ 14.86 |
| 82 | CFG | Citizens Financial Group, Inc. | 19,537.4 | 174610105 | 0.50% | $ 45.87 |
| 83 | AIG | American International Group, Inc. | 40,847.5 | 026874784 | 0.50% | $ 47.60 |
| 84 | MO | Altria Group Inc | 88,238.4 | 02209S103 | 0.50% | $ 47.68 |
| 85 | FHN | First Horizon Corporation | 9,545.0 | 320517105 | 0.50% | $ 17.28 |
| 86 | HBAN | Huntington Bancshares Incorporated | 21,077.6 | 446150104 | 0.50% | $ 14.27 |
| 87 | NRG | NRG Energy, Inc. | 9,863.6 | 629377508 | 0.50% | $ 40.30 |
| 88 | MPLX | MPLX LP | 30,484.3 | 55336V100 | 0.50% | $ 29.61 |
| 89 | APA | APA Corp. | 8,175.6 | 03743Q108 | 0.50% | $ 21.63 |
| 90 | HLF | Herbalife Nutrition Ltd. | 6,223.9 | G4412G101 | 0.50% | $ 52.73 |
| 91 | THO | Thor Industries, Inc. | 6,256.4 | 885160101 | 0.50% | $ 113.00 |
| 92 | WLK | Westlake Chemical Corporation | 11,543.5 | 960413102 | 0.50% | $ 90.09 |
| 93 | FLEX | Flex Ltd. | 8,736.2 | Y2573F102 | 0.50% | $ 17.87 |
| 94 | DOW | Dow, Inc. | 47,269.5 | 260557103 | 0.50% | $ 63.28 |
| 95 | WBA | Walgreens Boots Alliance Inc | 45,475.8 | 931427108 | 0.50% | $ 52.61 |
| 96 | AFL | Aflac Incorporated | 36,471.0 | 001055102 | 0.50% | $ 53.66 |
| 97 | DXC | DXC Technology Co. | 9,922.2 | 23355L106 | 0.50% | $ 38.94 |
| 98 | SNV | Synovus Financial Corp. | 6,520.6 | 87161C501 | 0.50% | $ 43.88 |
| 99 | MRNA | Moderna, Inc. | 94,351.0 | 60770K107 | 0.50% | $ 234.98 |
| 100 | CVS | CVS Health Corporation | 109,854.4 | 126650100 | 0.50% | $ 83.44 |
| 101 | BWA | BorgWarner Inc. | 11,642.2 | 099724106 | 0.50% | $ 48.54 |
| 102 | RNR | RenaissanceRe Holdings Ltd. | 7,356.4 | G7496G103 | 0.50% | $ 148.82 |
| 103 | RGA | Reinsurance Group of America, Incorporated | 7,750.3 | 759351604 | 0.50% | $ 114.00 |
| 104 | BERY | Berry Global Group Inc | 8,798.2 | 08579W103 | 0.50% | $ 65.22 |
| 105 | JHG | Janus Henderson Group PLC | 6,688.9 | G4474Y214 | 0.50% | $ 38.81 |
| 106 | WU | Western Union Company | 9,400.5 | 959802109 | 0.50% | $ 22.97 |
| 107 | WAL | Western Alliance Bancorp | 9,607.6 | 957638109 | 0.50% | $ 92.85 |
| 108 | ZION | Zions Bancorporation, N.A. | 8,659.3 | 989701107 | 0.50% | $ 52.86 |
| 109 | HIG | Hartford Financial Services Group, Inc. | 22,135.1 | 416515104 | 0.50% | $ 61.97 |
| 110 | BG | Bunge Limited | 11,053.1 | G16962105 | 0.50% | $ 78.15 |
| 111 | BAP | Credicorp Ltd. | 9,659.9 | G2519Y108 | 0.50% | $ 121.11 |
| 112 | COG | Cabot Oil & Gas Corporation | 6,978.1 | 127097103 | 0.50% | $ 17.46 |
| 113 | DVN | Devon Energy Corporation | 19,758.7 | 25179M103 | 0.50% | $ 29.19 |
| 114 | FL | Foot Locker, Inc. | 6,381.4 | 344849104 | 0.50% | $ 61.63 |
| 115 | LEA | Lear Corporation | 10,540.7 | 521865204 | 0.50% | $ 175.28 |
| 116 | ORI | Old Republic International Corporation | 7,591.3 | 680223104 | 0.50% | $ 24.91 |
| 117 | BLDR | Builders FirstSource, Inc. | 8,836.3 | 12008R107 | 0.50% | $ 42.66 |
| 118 | MOS | Mosaic Company | 12,119.0 | 61945C103 | 0.50% | $ 31.91 |
| 119 | CI | Cigna Corporation | 81,349.5 | 125523100 | 0.50% | $ 237.07 |
| 120 | VZ | Verizon Communications Inc. | 231,968.0 | 92343V104 | 0.50% | $ 56.03 |
| 121 | PFE | Pfizer Inc. | 219,205.7 | 717081103 | 0.50% | $ 39.16 |
| 122 | CNA | CNA Financial Corporation | 12,357.7 | 126117100 | 0.50% | $ 45.49 |
| 123 | STT | State Street Corporation | 28,614.4 | 857477103 | 0.50% | $ 82.28 |
| 124 | EPD | Enterprise Products Partners L.P. | 52,728.4 | 293792107 | 0.50% | $ 24.13 |
| 125 | JAZZ | Jazz Pharmaceuticals Public Limited Company | 10,831.6 | G50871105 | 0.50% | $ 177.64 |
| 126 | PPL | PPL Corporation | 21,520.9 | 69351T106 | 0.50% | $ 27.97 |
| 127 | VIAC | ViacomCBS Inc. Class B | 27,372.5 | 92556H206 | 0.50% | $ 45.20 |
| 128 | ARCC | Ares Capital Corporation | 8,638.1 | 04010L103 | 0.50% | $ 19.59 |
| 129 | AMP | Ameriprise Financial, Inc. | 28,846.4 | 03076C106 | 0.50% | $ 248.88 |
| 130 | HBI | Hanesbrands Inc. | 6,518.0 | 410345102 | 0.50% | $ 18.67 |
| 131 | MTB | M&T Bank Corporation | 18,694.7 | 55261F104 | 0.50% | $ 145.31 |
| 132 | ABC | AmerisourceBergen Corporation | 23,517.5 | 03073E105 | 0.50% | $ 114.49 |
| 133 | ACGL | Arch Capital Group Ltd. | 15,716.9 | G0450A105 | 0.50% | $ 38.94 |
| 134 | CE | Celanese Corporation | 17,075.1 | 150870103 | 0.50% | $ 151.60 |
| 135 | STX | Seagate Technology Holdings PLC | 20,124.8 | G7997R103 | 0.50% | $ 87.93 |
| 136 | FITB | Fifth Third Bancorp | 26,912.6 | 316773100 | 0.50% | $ 38.23 |
| 137 | Y | Alleghany Corporation | 9,290.5 | 017175100 | 0.50% | $ 667.07 |
| 138 | TSN | Tyson Foods, Inc. Class A | 21,742.5 | 902494103 | 0.50% | $ 73.76 |
| 139 | DELL | Dell Technologies Inc Class C | 27,667.2 | 24703L202 | 0.50% | $ 99.67 |
| 140 | AMKR | Amkor Technology, Inc. | 5,779.8 | 031652100 | 0.50% | $ 23.67 |
| 141 | PXD | Pioneer Natural Resources Company | 39,647.1 | 723787107 | 0.50% | $ 162.52 |
| 142 | CACC | Credit Acceptance Corporation | 7,588.4 | 225310101 | 0.50% | $ 454.11 |
| 143 | TFC | Truist Financial Corporation | 74,638.9 | 89832Q109 | 0.50% | $ 55.50 |
| 144 | CMA | Comerica Incorporated | 9,960.0 | 200340107 | 0.50% | $ 71.34 |
| 145 | RS | Reliance Steel & Aluminum Co. | 9,613.5 | 759509102 | 0.50% | $ 150.90 |
| 146 | MMP | Magellan Midstream Partners, L.P. | 10,920.8 | 559080106 | 0.50% | $ 48.91 |
| 147 | SF | Stifel Financial Corp. | 6,816.2 | 860630102 | 0.50% | $ 64.86 |
| 148 | WRK | WestRock Company | 14,162.7 | 96145D105 | 0.50% | $ 53.22 |
| 149 | BK | Bank of New York Mellon Corporation | 44,926.2 | 064058100 | 0.50% | $ 51.23 |
| 150 | EVR | Evercore Inc Class A | 5,764.5 | 29977A105 | 0.50% | $ 140.77 |
| 151 | DCP | DCP Midstream LP | 6,394.6 | 23311P100 | 0.50% | $ 30.69 |
| 152 | MRK | Merck & Co., Inc. | 196,918.2 | 58933Y105 | 0.50% | $ 77.77 |
| 153 | OC | Owens Corning | 10,226.8 | 690742101 | 0.50% | $ 97.90 |
| 154 | IP | International Paper Company | 24,017.5 | 460146103 | 0.50% | $ 61.31 |
| 155 | INTC | Intel Corporation | 226,693.3 | 458140100 | 0.50% | $ 56.14 |
| 156 | KSS | Kohl's Corporation | 8,610.0 | 500255104 | 0.50% | $ 55.11 |
| 157 | GL | Globe Life Inc. | 9,815.8 | 37959E102 | 0.50% | $ 95.25 |
| 158 | JPM | JPMorgan Chase & Co. | 470,870.6 | 46625H100 | 0.50% | $ 155.54 |
| 159 | FCNCA | First Citizens BancShares, Inc. Class A | 7,337.5 | 31946M103 | 0.50% | $ 832.74 |
| 160 | WFC | Wells Fargo & Company | 187,209.5 | 949746101 | 0.50% | $ 45.29 |
| 161 | REGN | Regeneron Pharmaceuticals, Inc. | 58,476.3 | 75886F107 | 0.50% | $ 558.54 |
| 162 | BC | Brunswick Corporation | 7,760.2 | 117043109 | 0.50% | $ 99.62 |
| 163 | DKS | Dick's Sporting Goods, Inc. | 6,565.8 | 253393102 | 0.50% | $ 100.19 |
| 164 | USB | U.S. Bancorp | 84,867.0 | 902973304 | 0.50% | $ 56.97 |
| 165 | STWD | Starwood Property Trust, Inc. | 7,510.4 | 85571B105 | 0.50% | $ 26.17 |
| 166 | KNX | Knight-Swift Transportation Holdings Inc. Class A | 7,524.1 | 499049104 | 0.50% | $ 45.46 |
| 167 | KR | Kroger Co. | 28,626.7 | 501044101 | 0.50% | $ 38.31 |
| 168 | EIX | Edison International | 21,939.1 | 281020107 | 0.50% | $ 57.82 |
| 169 | LB | L Brands, Inc. | 20,097.4 | 501797104 | 0.50% | $ 72.06 |
| 170 | NVAX | Novavax, Inc. | 15,731.0 | 670002401 | 0.50% | $ 212.31 |
| 171 | SSB | South State Corporation | 5,811.1 | 840441109 | 0.50% | $ 81.76 |
| 172 | BOKF | BOK Financial Corporation | 6,023.7 | 05561Q201 | 0.50% | $ 86.60 |
| 173 | FCX | Freeport-McMoRan, Inc. | 54,385.7 | 35671D857 | 0.50% | $ 37.11 |
| 174 | UHS | Universal Health Services, Inc. Class B | 11,417.5 | 913903100 | 0.50% | $ 146.43 |
| 175 | EWBC | East West Bancorp, Inc. | 10,170.2 | 27579R104 | 0.50% | $ 71.69 |
| 176 | IBM | International Business Machines Corporation | 130,981.5 | 459200101 | 0.50% | $ 146.59 |
| 177 | ALV | Autoliv Inc. | 8,546.4 | 052800109 | 0.50% | $ 97.76 |
| 178 | PB | Prosperity Bancshares, Inc.(R) | 6,673.0 | 743606105 | 0.50% | $ 71.80 |
| 179 | PRI | Primerica, Inc. | 6,039.5 | 74164M108 | 0.50% | $ 153.14 |
| 180 | TRV | Travelers Companies, Inc. | 37,652.1 | 89417E109 | 0.50% | $ 149.71 |
| 181 | OMC | Omnicom Group Inc | 17,204.3 | 681919106 | 0.50% | $ 79.99 |
| 182 | CB | Chubb Limited | 71,473.8 | H1467J104 | 0.50% | $ 158.94 |
| 183 | EOG | EOG Resources, Inc. | 48,696.0 | 26875P101 | 0.50% | $ 83.44 |
| 184 | PBCT | People's United Financial, Inc. | 7,329.6 | 712704105 | 0.50% | $ 17.14 |
| 185 | EMN | Eastman Chemical Company | 15,938.3 | 277432100 | 0.50% | $ 116.75 |
| 186 | THC | Tenet Healthcare Corporation | 7,153.9 | 88033G407 | 0.50% | $ 66.99 |
| 187 | MS | Morgan Stanley | 170,597.4 | 617446448 | 0.50% | $ 91.69 |
| 188 | DVA | DaVita Inc. | 12,789.7 | 23918K108 | 0.50% | $ 120.43 |
| 189 | BAC | Bank of America Corp | 353,312.9 | 060505104 | 0.50% | $ 41.23 |
| 190 | DISH | DISH Network Corporation Class A | 12,076.4 | 25470M109 | 0.50% | $ 41.80 |
| 191 | ALXN | Alexion Pharmaceuticals, Inc. | 40,603.5 | 015351109 | 0.50% | $ 183.71 |
| 192 | TPX | Tempur Sealy International Inc | 7,718.5 | 88023U101 | 0.50% | $ 39.19 |
| 193 | TAP | Molson Coors Beverage Company Class B | 10,766.6 | 60871R209 | 0.50% | $ 53.69 |
| 194 | INGR | Ingredion Incorporated | 6,061.3 | 457187102 | 0.50% | $ 90.50 |
| 195 | CNC | Centene Corporation | 42,498.9 | 15135B101 | 0.50% | $ 72.93 |
| 196 | HOG | Harley-Davidson, Inc. | 7,041.0 | 412822108 | 0.50% | $ 45.82 |
| 197 | FOXA | Fox Corporation Class A | 12,139.2 | 35137L105 | 0.50% | $ 37.13 |
| 198 | BBY | Best Buy Co., Inc. | 28,799.4 | 086516101 | 0.50% | $ 114.98 |
| 199 | WSM | Williams-Sonoma, Inc. | 11,992.8 | 969904101 | 0.50% | $ 159.65 |
| 200 | MHK | Mohawk Industries, Inc. | 13,397.2 | 608190104 | 0.50% | $ 192.19 |