UNITED STATES SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: | 811-22172 |
Exact name of registrant as specified in charter: | World Funds Trust |
Address of principal executive offices: | 8730 Stony Point Parkway, Suite 205 Richmond, VA 23235 |
Name and address of agent for service | The Corporation Trust Co., Corporation Trust Center, 1209 Orange St., Wilmington, DE 19801
With Copy to:
John H. Lively Practus LLP 11300 Tomahawk Creek Parkway, Ste. 310 Leawood, KS 66211 |
Registrant's telephone number, including area code: | (804) 267-7400 |
Date of fiscal year end: | October 31 |
Date of reporting period: | October 31, 2021 |
Item #1. Reports to Stockholders. | |
INDEX | Cboe Vest S&P 500® Buffer Strategy Fund Cboe Vest S&P 500® Enhanced Growth Strategy Fund, Cboe Vest S&P 500® Dividend Aristocrats Target Income Fund, Cboe Vest Bitcoin Strategy Managed Volatility Fund (collectively, the “Cboe Vest Funds”) |
ANNUAL REPORT
The Cboe Vest Family of Funds
Cboe Vest S&P 500® Buffer Strategy Fund
Cboe Vest S&P 500® Enhanced Growth Strategy Fund
Cboe Vest S&P 500® Dividend Aristocrats Target Income Fund
For the year ended October 31, 2021
Cboe Vest Bitcoin Strategy Managed Volatility Fund
For the Period August 13, 2021* to October 31, 2021
*Commencement of Operations
1
ANNUAL REPORT
The Cboe Vest Family of Funds
Dear Shareholder:
We are pleased to present the Cboe Vest Funds’ Annual Report to Shareholders for the fiscal year ending October 31, 2021. Below is this year’s performance for our Funds:
For the one-year period ending October 31, 2021, the net asset value (“NAV”) per Institutional Class Share of the Cboe Vest S&P 500® Buffer Strategy Fund increased by 19.62%, compared to an increase of 21.19% for the CBOE S&P 500® Buffer Protect Balanced Series Index (SPRO).
For the one-year period ended October 31, 2021, the NAV per Institutional Class Share of the Cboe Vest S&P 500® Enhanced Growth Strategy Fund increased by 25.99%, compared to an increase of 27.27% for the CBOE S&P 500® Enhanced Growth Index Balanced Series (SPEN).
For the one-year period ending October 31, 2021, the NAV per Institutional Class Share of the Cboe Vest S&P 500® Dividend Aristocrats Target Income Fund increased by 34.02%, compared with an increase of 35.37% for the CBOE S&P 500® Dividend Aristocrats Target Income Index (SPAI).
For the period from Fund inception on August 13, 2021 through October 31, 2021, the NAV per Institutional Class Share of the Cboe Vest Bitcoin Strategy Managed Volatility Fund increased by 22.90%.
For the years/periods ended October 31, 2021, the variances between the Funds’ performances and their benchmark indices’ performances are attributed as follows:
| | Sources of Variance | |||||||
Fund Name | Ticker | Benchmark | Inception | Fund NAV | Benchmark | Variance | Expense | Commission | Other |
Cboe Vest S&P 500 Buffer Strategy | BUIGX | SPRO | 8/24/16 | 19.62% | 21.19% | -1.39% | -0.95% | -0.07% | -0.37% |
Cboe Vest S&P 500 Enhanced Growth Strategy | ENGIX | SPEN | 12/21/16 | 25.99% | 27.27% | -1.38% | -0.95% | -0.06% | -0.37% |
Cboe Vest S&P 500 Dividend Aristocrats Target Income | KNGIX | SPAI | 9/11/17 | 34.02% | 35.37% | -1.35% | -0.95% | -0.02% | -0.38% |
Cboe Vest Bitcoin Strategy Managed Volatility Fund | BTCVX | None** | 8/13/21 | 22.90% | NA | NA | NA | NA | NA |
*Other sources of variance are due primarily to the effects of non-commission trading costs, basket optimization, imperfect exposure, and differences in valuation methodology between the Fund and the index.
** For this comparison purpose, this Fund does not have a benchmark index.
Stock Market Performance
For the one-year period ended October 31, 2021, the S&P 500® Index gained 42.9%. All eleven sectors within the S&P 500® Index were up during the period. The top three sectors were Energy, Financials, and Information Technology, returning 111.1%, 72.0%, and 46.9%, respectively. The bottom three sectors were Utilities, Consumer Staples, and Health Care, returning 10.7%, 19.0%, and 33.8%, respectively.
Across the market capitalization spectrum, large cap stocks, as measured by the S&P 500® Index, underperformed mid-cap and small-cap stocks. For the one-year period ended October 31, 2021, the S&P 400® Midcap Index returned 48.9%, and the Russell 2000® Small-Cap Index returned 50.8%, exceeding the S&P 500® Index by 6.0% and 7.9%, respectively.
2
ANNUAL REPORT
The Cboe Vest Family of Funds |
Shareholder Letter - continuedOctober 31, 2021 |
For the year ended October 31, 2021, the S&P 500® Index produced a dividend yield of 2.1%, which exceeded the average 10-Year U.S. Treasury note yield of 1.3% by 0.8%. During the same period, the 10-Year Treasury yield rose from 0.9% at the beginning of the period to 1.6% at the end.
Benchmark Indices vs. S&P 500 Index
The Cboe Vest S&P 500® Buffer Strategy Fund’s benchmark index (SPRO) underperformed the S&P 500 Index by 21.72% for the period. The Fund and its benchmark index each hold twelve laddered one-year Buffer Protection strategies, with one commencing every month and resetting twelve months hence.
Over each fiscal year, SPRO performance is impacted by the performance of each of 24 monthly tranches. Of these, 12 tranches were initiated during the prior fiscal year and terminated during the current fiscal year, and the remaining 12 tranches were initiated during the current fiscal year and are still open as of this fiscal year end.
For the twelve tranches that closed during the current fiscal year, the S&P 500 was already up by an average of 5.2% when the fiscal year began (i.e., from tranche inception through 10/31/20.) This ranged from -5% to +36% across these 12 tranches. This determines where each of these tranches begin this fiscal year, relative to their caps and buffers. Then, during the current fiscal year (from 10/31/20 to tranche close), on average the S&P 500 was up 25.7%. This ranged from +9% to +39% across these 12 tranches. For these 12 tranches, all twelve closed out at their caps, none closed out in the upside participation zone (i.e., where the S&P 500 returned between 0% and the cap), none closed out in the buffer zone (i.e., where the S&P 500 returned between -10% and 0%), and none closed out below the buffer zone (i.e., where the S&P 500 returned less than -10%.)
For the other twelve tranches, those opened during the current fiscal year, on average the S&P 500 was up 12.7% from the tranche opening date through the end of this fiscal year (10/31/21.) This ranged from +2% to +29% across these 12 tranches. These twelve tranches are still open as of the end of this fiscal year. As of 10/31/21, five of these tranches are currently at their caps, seven are currently in the upside participation zone, none are currently in the buffer zone, and none are below the buffer zone.
The Cboe Vest S&P 500® Enhanced Growth Strategy Fund’s benchmark index (SPEN) underperformed the S&P 500 Index by 15.64% for the period. The Fund and its benchmark index each hold twelve laddered one-year Enhanced Growth strategies, with one commencing every month and resetting twelve months hence.
Over each fiscal year, SPEN performance is impacted by the performance of each of 24 monthly tranches. Of these, 12 tranches were initiated during the prior fiscal year and terminated during the current fiscal year, and the remaining 12 tranches were initiated during the current fiscal year and are still open as of this fiscal year end.
For the twelve tranches that closed during the current fiscal year, the S&P 500 was already up by an average of 5.2% when the fiscal year began (i.e., from tranche inception through 10/31/20.) This ranged from -5% to +36% across these 12 tranches. This determines where each of these tranches begin this fiscal year, relative to their caps. Then, during the current fiscal year (from 10/31/20 to tranche close), on average the S&P 500 was up 25.7%. This ranged from +9% to +39% across these 12 tranches. For these 12 tranches, all twelve closed out at their caps, none closed out in the 2:1 upside participation zone, and none closed out in the 1:1 downside participation zone (i.e., where the S&P 500 had a negative return.)
For the other twelve tranches, those opened during the current fiscal year, on average the S&P 500 was up 12.7% from the tranche opening date through the end of this fiscal year (10/31/21.) This ranged from +2% to +29% across these 12 tranches. These twelve tranches are still open as of the end of this fiscal year. As of 10/31/21, eight tranches are currently at their caps, four are currently in the 2:1 upside participation zone, and none are currently in the 1:1 downside participation zone.
3
ANNUAL REPORT
The Cboe Vest Family of Funds |
Shareholder Letter - continuedOctober 31, 2021 |
The Cboe Vest S&P 500® Dividend Aristocrats Target Income Fund’s benchmark index (SPAI) underperformed the S&P 500 Index by 7.54% for the period. The Fund and its benchmark index each hold a portfolio of US Large Cap stocks that have increased their dividends for the last 25 years consecutively, along with a partial overwrite strategy that is reset weekly. During the period, the benchmark index underperformed the S&P 500 due primarily to the benchmark index’s relative overweighting in weaker sectors, such as Consumer Staples, and underweighting in stronger sectors, such as Information Technology and Communication Services.
Cboe Vest Bitcoin Strategy Managed Volatility Fund
The Cboe Vest Bitcoin Strategy Managed Volatility Fund seeks to achieve total return by constructing a dynamic portfolio with the aim of both managing the volatility of the Fund and reducing the impact on the Fund’s portfolio of significant market downturns during periods of high volatility in the price of Bitcoin. This fund seeks to achieve these objectives by allocating its assets among exchange-traded futures contracts linked to Bitcoin that are cash-settled in U.S. dollars (“Bitcoin Futures”) and any one or more of the following: U.S. Treasuries, other U.S. government obligations, money market funds, cash and cash-like equivalents (e.g., high quality commercial paper and similar instruments that are rated investment grade or, if unrated, of comparable quality, as the Adviser determines), treasury inflation-protected securities, and repurchase agreements (“Cash Investments”).
During the period from the Fund’s inception on August 13, 2021 through October 31, 2021 the percentage of the Fund’s net assets allocated to Bitcoin Futures ranged from approximately 58% to 73% which contributed to the majority of the Fund’s performance during that period.
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ANNUAL REPORT
THE CBOE VEST FAMILY OF FUNDS |
Important Disclosure Statement |
The Funds’ prospectuses contains important information about the Funds’ investment objectives, potential risks, management fees, charges and expenses, and other information and should be read and considered carefully before investing. The Funds’ past performance does not guarantee future results. The investment return and principal value of an investment in the Funds’ will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. You may obtain a current copy of the Funds’ prospectuses by calling 1-855-505-8378. Distributed by Foreside Fund Services, LLC, Portland, ME.
Current performance of Funds may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling 1-855-505-8378. Information provided with respect to the Funds’ Portfolio Holdings, Sector Weightings, Number of Holdings and Expense Ratios are as of October 31, 2021 and are subject to change at any time.
5
ANNUAL REPORT
CBOE Vest S&P 500® Buffer Strategy Fund |
|
| Cboe Vest S&P 500® | | Cboe S&P 500® | | S&P 500® Index | |||||||
Share Class | Inception | Total | Average | Average | | Total | Average | Average | | Total | Average | Average |
Institutional | 08/23/16 | 19.62% | 10.24% | 9.59% | | 21.19% | 11.28% | 10.58% | | 42.91% | 18.93% | 17.61% |
Investor | 12/08/16 | 19.34% | N/A | 9.48% | | 21.19% | N/A | 10.80% | | 42.91% | N/A | 17.96% |
A | 07/24/18 | 19.40% | N/A | 9.52% | | 21.19% | N/A | 11.11% | | 42.91% | N/A | 18.28% |
A (with Load) | 07/24/18 | 12.53% | N/A | 7.56% | | N/A | N/A | N/A | | N/A | N/A | N/A |
C | 07/24/18 | 18.43% | N/A | 8.51% | | 21.19% | N/A | 11.11% | | 42.91% | N/A | 18.28% |
Y | 07/24/18 | 19.98% | N/A | 10.05% | | 21.19% | N/A | 11.11% | | 42.91% | N/A | 18.28% |
The total return and average annual return do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. Past performance is not predictive of future performance.
The Cboe® S&P 500® Buffer Protect Balanced Series Index, a composite of the twelve (12) Cboe® S&P 500® Buffer Protect Balanced Index Monthly Series that correspond to each month of the year, will effectively be comprised of 72 FLexible EXchange® Options (“FLEX Options”) with varying strikes and expiration dates.
The S&P 500® Index is a broad-based unmanaged index of 500 stocks, which is widely recognized as representative of the equity market in general.
6
ANNUAL REPORT
Cboe Vest S&P 500® Buffer Strategy Fund
Portfolio Composition as of October 31, 2021 (unaudited)
Holdings by Industry/Asset Class |
| % of |
Money Market Fund | | 0.10% |
Purchased Options: | | |
Call Options | | 103.11% |
Put Options | | 3.05% |
Total Investments | | 106.26% |
Options Written: | | |
Call Options | | (4.53%) |
Put Options | | (1.73%) |
| | (6.26%) |
See Notes to Financial Statements
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ANNUAL REPORT
Cboe Vest S&P 500® Buffer Strategy Fund |
Schedule of InvestmentsOctober 31, 2021 |
|
| Shares |
| Fair Value |
MONEY MARKET FUND – 0.10% | | | | |
Federated Treasury Obligations Fund - Institutional Class 0.01%* | | | | |
(Cost: $328,161) | | 328,161 | | $328,161 |
PURCHASED OPTIONS(A) – 106.16% | | | | |
CALL OPTIONS – 103.11% | | | | |
Description |
| Number of |
| Notional |
| Exercise |
| Expiration |
| Value |
SPDR S&P 500 ETF Trust | | 3,219 | | $147,832,575 | | $0.01 | | 11/17/2021 | | $147,830,553 |
SPDR S&P 500 ETF Trust | | 2,280 | | 104,709,000 | | 0.01 | | 12/21/2022 | | 103,356,383 |
SPDR S&P 500 ETF Trust | | 461 | | 21,171,425 | | 0.01 | | 1/18/2023 | | 20,897,935 |
SPDR S&P 500 ETF Trust | | 344 | | 15,798,200 | | 0.01 | | 2/15/2023 | | 15,594,121 |
SPDR S&P 500 ETF Trust | | 468 | | 21,492,900 | | 0.01 | | 5/17/2023 | | 21,177,388 |
SPDR S&P 500 ETF Trust | | 260 | | 11,940,500 | | 0.01 | | 6/21/2023 | | 11,730,305 |
| | 456 | | 20,941,800 | | 0.01 | | 8/17/2023 | | 20,573,151 |
TOTAL CALL OPTIONS | | 341,159,836 | ||||||||
(Cost: $266,613,710) | | | | | | | | | | |
| | | | | | | | | | |
PUT OPTIONS – 3.05% | | | | | | | | | | |
Description |
| Number of |
| Notional |
| Exercise |
| Expiration |
| Value | |
SPDR S&P 500 ETF Trust | | 624 | | $28,657,200 | | $356.28 | | 11/18/2021 | | $6,522 | |
SPDR S&P 500 ETF Trust | | 624 | | 28,657,200 | | 370.17 | | 12/16/2021 | | 39,021 | |
SPDR S&P 500 ETF Trust | | 624 | | 28,657,200 | | 383.89 | | 1/19/2022 | | 145,544 | |
SPDR S&P 500 ETF Trust | | 624 | | 28,657,200 | | 392.39 | | 2/16/2022 | | 268,160 | |
SPDR S&P 500 ETF Trust | | 624 | | 28,657,200 | | 397.26 | | 3/16/2022 | | 397,517 | |
SPDR S&P 500 ETF Trust | | 624 | | 28,657,200 | | 416.07 | | 4/20/2022 | | 713,541 | |
SPDR S&P 500 ETF Trust | | 624 | | 28,657,200 | | 410.86 | | 5/18/2022 | | 770,533 | |
SPDR S&P 500 ETF Trust | | 624 | | 28,657,200 | | 422.11 | | 6/15/2022 | | 1,010,754 | |
SPDR S&P 500 ETF Trust | | 624 | | 28,657,200 | | 434.55 | | 7/20/2022 | | 1,350,169 | |
SPDR S&P 500 ETF Trust | | 624 | | 28,657,200 | | 439.18 | | 8/17/2022 | | 1,528,965 | |
SPDR S&P 500 ETF Trust | | 624 | | 28,657,200 | | 447.88 | | 9/21/2022 | | 1,832,925 | |
SPDR S&P 500 ETF Trust | | 624 | | 28,657,200 | | 452.41 | | 10/19/2022 | | 2,029,153 | |
TOTAL PUT OPTIONS | | 10,092,804 | | ||||||||
(Cost: $23,383,716) | | | | | | | | | | | |
TOTAL PURCHASED OPTIONS – 106.16% | | 351,252,640 | | ||||||||
(Cost: $289,997,426) | | | | | | | | | | | |
See Notes to Financial Statements
8
ANNUAL REPORT
Cboe Vest S&P 500® Buffer Strategy Fund |
Schedule of Investments - continuedOctober 31, 2021 |
Description |
| Number of |
| Notional |
| Exercise |
| Expiration |
| Value | |
TOTAL INVESTMENTS – 106.26% | | | | ||||||||
(Cost: $290,325,587) | | $351,580,801 | | ||||||||
Liabilities in excess of other assets – (6.26%) | | (20,707,262 | ) | ||||||||
NET ASSETS – 100.00% | | $330,873,539 | |
*Effective 7 day yield as of October 31, 2021
(A)All or a portion of the purchased options are held as collateral for the options written
See Notes to Financial Statements
9
ANNUAL REPORT
Cboe Vest S&P 500® Buffer Strategy Fund |
Schedule of Options WrittenOctober 31, 2021 |
OPTIONS WRITTEN – (6.26%) | | | | | | | | | | | |
| | | | | | | | | | | |
CALL OPTIONS – (4.53%) | | | | | | | | | | | |
Description |
| Number of |
| Notional |
| Exercise |
| Expiration |
| Value | |
SPDR S&P 500 ETF Trust | | 624 | | $(28,657,200 | ) | $406.69 | | 11/16/2021 | | $(3,297,805 | ) |
SPDR S&P 500 ETF Trust | | 624 | | (28,657,200 | ) | 425.95 | | 12/14/2021 | | (2,258,557 | ) |
SPDR S&P 500 ETF Trust | | 624 | | (28,657,200 | ) | 439.51 | | 1/19/2022 | | (1,677,113 | ) |
SPDR S&P 500 ETF Trust | | 624 | | (28,657,200 | ) | 457.17 | | 2/16/2022 | | (1,030,003 | ) |
SPDR S&P 500 ETF Trust | | 624 | | (28,657,200 | ) | 459.11 | | 3/16/2022 | | (1,116,466 | ) |
SPDR S&P 500 ETF Trust | | 624 | | (28,657,200 | ) | 470.98 | | 4/20/2022 | | (824,656 | ) |
SPDR S&P 500 ETF Trust | | 624 | | (28,657,200 | ) | 467.34 | | 5/18/2022 | | (1,087,054 | ) |
SPDR S&P 500 ETF Trust | | 624 | | (28,657,200 | ) | 470.70 | | 6/15/2022 | | (1,111,256 | ) |
SPDR S&P 500 ETF Trust | | 624 | | (28,657,200 | ) | 486.69 | | 7/20/2022 | | (744,575 | ) |
SPDR S&P 500 ETF Trust | | 624 | | (28,657,200 | ) | 493.97 | | 8/17/2022 | | (675,745 | ) |
SPDR S&P 500 ETF Trust | | 624 | | (28,657,200 | ) | 503.40 | | 9/21/2022 | | (556,798 | ) |
SPDR S&P 500 ETF Trust | | 624 | | (28,657,200 | ) | 505.67 | | 10/19/2022 | | (596,205 | ) |
TOTAL CALL OPTIONS WRITTEN | | (14,976,233 | ) | ||||||||
(Premiums received: $6,179,560) | | | | ||||||||
PUT OPTIONS – (1.73%) | | | | | | | | | | | |
Description |
| Number of |
| Notional |
| Exercise |
| Expiration |
| Value | |
SPDR S&P 500 ETF Trust | | 624 | | $(28,657,200 | ) | $320.65 | | 11/17/2021 | | $(2,081 | ) |
SPDR S&P 500 ETF Trust | | 624 | | (28,657,200 | ) | 333.15 | | 12/15/2021 | | (18,389 | ) |
SPDR S&P 500 ETF Trust | | 624 | | (28,657,200 | ) | 345.50 | | 1/19/2022 | | (63,716 | ) |
SPDR S&P 500 ETF Trust | | 624 | | (28,657,200 | ) | 353.15 | | 2/16/2022 | | (130,009 | ) |
SPDR S&P 500 ETF Trust | | 624 | | (28,657,200 | ) | 357.53 | | 3/16/2022 | | (201,440 | ) |
SPDR S&P 500 ETF Trust | | 624 | | (28,657,200 | ) | 374.46 | | 4/20/2022 | | (360,177 | ) |
SPDR S&P 500 ETF Trust | | 624 | | (28,657,200 | ) | 369.77 | | 5/18/2022 | | (405,928 | ) |
SPDR S&P 500 ETF Trust | | 624 | | (28,657,200 | ) | 379.90 | | 6/15/2022 | | (552,230 | ) |
SPDR S&P 500 ETF Trust | | 624 | | (28,657,200 | ) | 391.10 | | 7/20/2022 | | (761,595 | ) |
SPDR S&P 500 ETF Trust | | 624 | | (28,657,200 | ) | 395.26 | | 8/17/2022 | | (890,213 | ) |
SPDR S&P 500 ETF Trust | | 624 | | (28,657,200 | ) | 403.09 | | 9/21/2022 | | (1,096,162 | ) |
SPDR S&P 500 ETF Trust | | 624 | | (28,657,200 | ) | 407.17 | | 10/19/2022 | | (1,226,473 | ) |
TOTAL PUT OPTIONS WRITTEN – (1.73%) | | (5,708,413 | ) | ||||||||
(Premiums received: $15,236,979) | | | | ||||||||
| | | | ||||||||
TOTAL OPTIONS WRITTEN – (6.26%) | | $(20,684,646 | ) | ||||||||
(Premiums received: $21,416,539) | | | |
See Notes to Financial Statements
10
ANNUAL REPORT
Cboe Vest S&P 500® Buffer Strategy Fund |
Schedule of Options WrittenAs of October 31, 2021 |
The table below discloses both gross information and net information about instruments and transactions eligible for offset in the Statements of Assets and Liabilities and instruments and transactions that are subject to an agreement similar to a master netting agreement held at counterparties.
Assets:
| | Gross |
| Gross |
| Net Amounts |
| Gross Amounts not | | Net Amount | | ||
Financial |
| Collateral |
| ||||||||||
Description | | | | | | | | | | | | | |
Purchased | | $351,252,640 | | $ — | | $351,252,640 | | $(20,684,646 | ) | $ — | | $330,567,994 | |
Liabilities:
| | Gross |
| Gross |
| Net Amounts |
| Gross Amounts not | | Net Amount | | ||
Financial |
| Collateral |
| ||||||||||
Description | | | | | | | | | | | | | |
Written | | $(20,684,646) | | $ — | | $(20,684,646 | ) | $20,684,646 | | $ — | | $ — | |
Actual cash amounts required at each counterparty are based on the notional amounts or the number of contracts outstanding and may exceed the cash presented in the collateral tables. The master netting agreements allow the clearing brokers to net any collateral held in or on behalf of the Fund or liabilities or payment obligations of the clearing brokers to the Fund against any liabilities or payment obligations of the Fund to the clearing brokers. The Fund may be required to deposit financial collateral (including cash collateral) at the clearing brokers and counterparties to continually meet the original and maintenance requirements established by the clearing brokers and counter parties. Such requirements are specific to the respective clearing broker or counterparty.
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ANNUAL REPORT
CBOE Vest S&P 500® Enhanced Growth Strategy Fund |
|
Cboe Vest S&P 500® Enhanced Growth Strategy Fund | | Cboe S&P 500® | | S&P 500® Index | ||||||||||
Share Class |
| Inception |
| Total Return |
| Average |
| Total Return |
| Average |
| Total Return |
| Average |
| | | | | | | | | | | | | | |
Institutional | | 12/21/16 | | 25.99% | | 13.51% | | 27.27% | | 14.76% | | 42.91% | | 17.88% |
Investor | | 01/31/17 | | 25.57% | | 13.27% | | 27.27% | | 14.75% | | 42.91% | | 18.15% |
A | | 01/31/17 | | 24.57% | | 12.99% | | 27.27% | | 14.75% | | 42.91% | | 18.15% |
A (with Load) | | 01/31/17 | | 17.41% | | 11.59% | | N/A | | N/A | | N/A | | N/A |
C | | 07/24/18 | | 24.64% | | 11.59% | | 27.27% | | 14.34% | | 42.91% | | 18.28% |
Y | | 07/24/18 | | 26.18% | | 13.17% | | 27.27% | | 14.34% | | 42.91% | | 18.28% |
The total return does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. Past performance is not predictive of future performance.
The Cboe S&P 500® Enhanced Growth Index Balanced Series is designed to provide target outcome returns linked to the U.S. domestic stock market.
The S&P 500® Index is a broad-based unmanaged index of 500 stocks, which is widely recognized as reprentative of the equity market in general.
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ANNUAL REPORT
Cboe Vest S&P 500® Enhanced Growth Strategy Fund
Portfolio Composition as of October 31, 2021 (unaudited)
Holdings by Industry/Asset Class |
| % of | |
Purchased Options: | | | |
Call Options | | 114.26% | |
Total Investments | | 114.26% | |
Options Written: | | | |
Call Options | | (14.26% | ) |
| | (14.26% | ) |
See Notes to Financial Statements
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ANNUAL REPORT
Cboe Vest S&P 500® Enhanced Growth Strategy Fund |
Schedule of InvestmentsOctober 31, 2021 |
PURCHASED OPTIONS(A) – 114.26% | | | | | | | | | | ||
| | | | | | | | | | | |
CALL OPTIONS – 114.26% | | | | | | | | | | | |
Description |
| Number of |
| Notional |
| Exercise |
| Expiration |
| Value | |
SPDR S&P 500 ETF Trust | | 856 | | $39,311,800 | | $0.01 | | 11/17/2021 | | $39,311,262 | |
SPDR S&P 500 ETF Trust | | 149 | | 6,842,825 | | 356.28 | | 11/17/2021 | | 1,536,043 | |
SPDR S&P 500 ETF Trust | | 932 | | 42,802,100 | | 0.01 | | 12/15/2021 | | 42,801,515 | |
SPDR S&P 500 ETF Trust | | 149 | | 6,842,825 | | 370.17 | | 12/15/2021 | | 1,337,136 | |
SPDR S&P 500 ETF Trust | | 149 | | 6,842,825 | | 383.89 | | 1/19/2022 | | 1,144,025 | |
SPDR S&P 500 ETF Trust | | 149 | | 6,842,825 | | 392.39 | | 2/16/2022 | | 1,047,659 | |
SPDR S&P 500 ETF Trust | | 149 | | 6,842,825 | | 397.26 | | 3/16/2022 | | 1,007,401 | |
SPDR S&P 500 ETF Trust | | 149 | | 6,842,825 | | 416.07 | | 4/20/2022 | | 789,093 | |
SPDR S&P 500 ETF Trust | | 149 | | 6,842,825 | | 410.86 | | 5/18/2022 | | 881,512 | |
SPDR S&P 500 ETF Trust | | 149 | | 6,842,825 | | 422.11 | | 6/15/2022 | | 772,728 | |
SPDR S&P 500 ETF Trust | | 149 | | 6,842,825 | | 434.55 | | 7/20/2022 | | 651,189 | |
SPDR S&P 500 ETF Trust | | 149 | | 6,842,825 | | 439.18 | | 8/17/2022 | | 627,264 | |
SPDR S&P 500 ETF Trust | | 149 | | 6,842,825 | | 447.86 | | 9/21/2022 | | 557,096 | |
SPDR S&P 500 ETF Trust | | 149 | | 6,842,825 | | 452.41 | | 10/19/2022 | | 539,973 | |
TOTAL CALL OPTIONS | | 93,003,896 | | ||||||||
(Cost: $58,504,299) | | | | | | | | | | | |
TOTAL PURCHASED OPTIONS – 114.26% | | 93,003,896 | | ||||||||
(Cost: $58,504,299) | | | | | | | | | | | |
TOTAL INVESTMENTS – 114.26% | | | | ||||||||
(Cost: $58,504,299) | | | | | | | | | | 93,003,896 | |
Liabilities in excess of other assets – (14.26%) | | (11,608,965 | ) | ||||||||
NET ASSETS – 100.00% | | $81,394,931 | |
(A)All or a portion of the purchased options are held as collateral for options written.
See Notes to Financial Statements
14
ANNUAL REPORT
Cboe Vest S&P 500® Enhanced Growth Strategy Fund |
Schedule of Options WrittenOctober 31, 2021 |
OPTIONS WRITTEN – (14.26%) | | | | | | | | | | ||
| | | | | | | | | | | |
CALL OPTIONS – (14.26%) | | | | | | | | | | ||
Description |
| Number of |
| Notional |
| Exercise |
| Expiration |
| Value | |
SPDR S&P 500 ETF Trust | | 298 | | $(13,685,650 | ) | $390.18 | | 11/17/2021 | | $(2,064,350 | ) |
SPDR S&P 500 ETF Trust | | 298 | | (13,685,650 | ) | 404.99 | | 12/15/2021 | | (1,666,031 | ) |
SPDR S&P 500 ETF Trust | | 298 | | (13,685,650 | ) | 419.47 | | 1/18/2022 | | (1,304,194 | ) |
SPDR S&P 500 ETF Trust | | 298 | | (13,685,650 | ) | 432.24 | | 2/15/2022 | | (1,052,758 | ) |
SPDR S&P 500 ETF Trust | | 298 | | (13,685,650 | ) | 436.01 | | 3/15/2022 | | (1,036,402 | ) |
SPDR S&P 500 ETF Trust | | 298 | | (13,685,650 | ) | 453.05 | | 4/20/2022 | | (720,411 | ) |
SPDR S&P 500 ETF Trust | | 298 | | (13,685,650 | ) | 448.16 | | 5/18/2022 | | (891,099 | ) |
SPDR S&P 500 ETF Trust | | 298 | | (13,685,650 | ) | 455.84 | | 6/15/2022 | | (795,319 | ) |
SPDR S&P 500 ETF Trust | | 298 | | (13,685,650 | ) | 469.70 | | 7/20/2022 | | (592,669 | ) |
SPDR S&P 500 ETF Trust | | 298 | | (13,685,650 | ) | 476.14 | | 8/17/2022 | | (548,805 | ) |
SPDR S&P 500 ETF Trust | | 298 | | (13,685,650 | ) | 485.21 | | 9/21/2022 | | (468,602 | ) |
SPDR S&P 500 ETF Trust | | 298 | | (13,685,650 | ) | 489.13 | | 10/19/2022 | | (464,874 | ) |
TOTAL CALL OPTIONS WRITTEN | | (11,605,514 | ) | ||||||||
(Premiums received: $6,145.722) | | | | ||||||||
| | | | | | | | | | | |
TOTAL OPTIONS WRITTEN – (14.26%) | | $(11,605,514 | ) | ||||||||
(Premiums received: $6,145,722) | | | |
See Notes to Financial Statements
15
ANNUAL REPORT
Cboe Vest S&P 500® Enhanced Growth Strategy Fund |
Schedule of Options WrittenAs of October 31, 2021 |
The table below discloses both gross information and net information about instruments and transactions eligible for offset in the Statements of Assets and Liabilities and instruments and transactions that are subject to an agreement similar to a master netting agreement held at counterparties.
Assets:
| | Gross |
| Gross |
| Net Amounts |
| Gross Amounts not offset | | Net Amount | | ||
Financial |
| Collateral |
| ||||||||||
Description | | | | | | | | | | | | | |
Purchased Options | | $93,003,896 | | $ — | | $93,003,896 | | $(11,605,514 | ) | $ — | | $81,398,382 | |
Liabilities:
| | Gross |
| Gross |
| Net Amounts |
| Gross Amounts not offset | | Net Amount | | ||
Financial |
| Collateral |
| ||||||||||
Description | | | | | | | | | | | | | |
Written | | $(11,605,514 | ) | $ — | | $(11,605,514 | ) | $11,605,514 | | $ — | | $ — | |
Actual cash amounts required at each counterparty are based on the notional amounts or the number of contracts outstanding and may exceed the cash presented in the collateral tables. The master netting agreements allow the clearing brokers to net any collateral held in or on behalf of the Fund or liabilities or payment obligations of the clearing brokers to the Fund against any liabilities or payment obligations of the Fund to the clearing brokers. The Fund may be required to deposit financial collateral (including cash collateral) at the clearing brokers and counterparties to continually meet the original and maintenance requirements established by the clearing brokers and counter parties. Such requirements are specific to the respective clearing broker or counterparty.
16
ANNUAL REPORT
CBOE Vest S&P 500® Dividend Aristocrats Target Income Fund |
|
Cboe Vest S&P 500® Dividend Aristocrats | | CBOE Vest S&P 500® | | S&P 500® Index | ||||||||||
Share Class |
| Inception |
| Total Return |
| Average |
| Total Return |
| Average |
| Total Return |
| Average |
| | | | | | | | | | | | | | |
Institutional | | 09/11/17 | | 34.02% | | 13.17% | | 35.37% | | 14.27% | | 42.91% | | 18.18% |
Investor | | 09/11/17 | | 33.74% | | 12.87% | | 35.37% | | 14.27% | | 42.91% | | 18.18% |
A | | 09/11/17 | | 33.60% | | 12.90% | | 35.37% | | 14.27% | | 42.91% | | 18.18% |
A (with Load) | | 09/11/17 | | 25.92% | | 11.30% | | N/A | | N/A | | N/A | | N/A |
C | | 09/11/17 | | 32.75% | | 12.03% | | 35.37% | | 14.27% | | 42.91% | | 18.18% |
Y | | 07/24/18 | | 34.24% | | 13.94% | | 35.37% | | 14.56% | | 42.91% | | 18.28% |
The CBOE S&P 500® Dividend Aristocrats Target Income Index is designed to track the performance of a hypothetical buy-write strategy on constituents of the S&P 500® Dividend Aristocrat Index.
The S&P 500® Index is a broad-based unmanaged index of 500 stocks, which is widely recognized as reprentative of the equity market in general.
17
ANNUAL REPORT
Cboe Vest S&P 500® Dividend Aristocrats Target Income Fund
Portfolio Composition as of October 31, 2021 (unaudited)
Holdings by Industry/Asset Class |
| % of | |
Common Stocks: | | | |
Industrial | | 19.41% | |
Materials | | 13.18% | |
Financial | | 11.40% | |
Food & Staple Retailing | | 10.61% | |
Health Care | | 10.23% | |
Consumer Discretionary | | 9.06% | |
Household Products | | 5.62% | |
Real Estate | | 4.61% | |
Utilities | | 4.58% | |
Energy | | 3.46% | |
Information Technology | | 2.97% | |
Beverages | | 2.90% | |
Telecommunication Services | | 1.37% | |
Money Market Fund | | 0.43% | |
Total Investments | | 99.83% | |
Options Written: | | | |
Call Options | | (0.02% | ) |
| | (0.02% | ) |
See Notes to Financial Statements
18
ANNUAL REPORT
Cboe Vest S&P 500® Dividend Aristocrats Target Income Fund |
Schedule of InvestmentsOctober 31, 2021 |
| | Shares |
| Value | |
COMMON STOCKS(A) – 99.40% | | | | | |
| | | | | |
BEVERAGES – 2.90% | | | | | |
Brown-Forman Corp. - Class B | | 15,489 | | $1,051,548 | |
The Coca-Cola Co. | | 19,643 | | 1,107,276 | |
| | | | 2,158,824 | |
| | | | | |
CONSUMER DISCRETIONARY – 9.06% | | | | | |
Genuine Parts Co. | | 8,661 | | 1,135,544 | |
Leggett & Platt, Inc. | | 23,117 | | 1,083,032 | |
Lowe’s Cos., Inc. | | 5,520 | | 1,290,686 | |
McDonald’s Corp. | | 4,602 | | 1,130,021 | |
Target Corp. | | 4,282 | | 1,111,693 | |
VF Corp. | | 13,515 | | 984,973 | |
| | | | 6,735,949 | |
| | | | | |
ENERGY – 3.46% | | | | | |
Chevron Corp. | | 11,389 | | 1,303,927 | |
Exxon Mobil Corp. | | 19,754 | | 1,273,540 | |
| | | | 2,577,467 | |
| | | | | |
FINANCIAL – 11.40% | | | | | |
Aflac Inc. | | 20,935 | | 1,123,582 | |
Chubb Ltd. | | 6,676 | | 1,304,357 | |
Cincinnati Financial Corp. | | 9,698 | | 1,177,725 | |
Franklin Resources, Inc. | | 38,119 | | 1,200,367 | |
People’s United Financial, Inc. | | 72,676 | | 1,245,667 | |
S&P Global Inc. | | 2,659 | | 1,260,791 | |
T. Rowe Price Group, Inc. | | 5,385 | | 1,167,899 | |
| | | | 8,480,388 | |
| | | | | |
FOOD & STAPLE RETAILING – 10.61% | | | | | |
Archer-Daniels-Midland Co. | | 19,211 | | 1,234,115 | |
Hormel Foods Corp. | | 23,653 | | 1,000,995 | |
McCormick & Co., Inc.(B) | | 12,996 | | 1,042,669 | |
The Procter & Gamble Co. | | 7,950 | | 1,136,770 | |
Sysco Corp. | | 15,302 | | 1,176,724 | |
Walgreens Boots Alliance, Inc. | | 24,110 | | 1,133,652 | |
Walmart Inc. | | 7,828 | | 1,169,660 | |
| | | | 7,894,585 | |
| | | | | |
See Notes to Financial Statements
19
ANNUAL REPORT
Cboe Vest S&P 500® Dividend Aristocrats Target Income Fund |
Schedule of Investments - continuedOctober 31, 2021 |
| | Shares |
| Value | |
HEALTH CARE – 10.23% | | | | | |
Abbott Laboratories | | 9,235 | | $1,190,299 | |
AbbVie Inc. | | 9,527 | | 1,092,461 | |
Becton, Dickinson and Co. | | 4,442 | | 1,064,259 | |
Cardinal Health, Inc. | | 19,026 | | 909,633 | |
Johnson & Johnson | | 6,513 | | 1,060,838 | |
Medtronic PLC | | 8,705 | | 1,043,381 | |
West pHarmaceutical Services, Inc. | | 2,914 | | 1,252,670 | |
| | | | 7,613,541 | |
| | | | | |
HOUSEHOLD PRODUCTS – 5.62% | | | | | |
The Clorox Co. | | 6,028 | | 982,624 | |
Colgate-Palmolive Co. | | 12,879 | | 981,251 | |
Kimberly-Clark Corp. | | 8,262 | | 1,069,846 | |
PepsiCo, Inc. | | 7,114 | | 1,149,623 | |
| | | | 4,183,344 | |
| | | | | |
INDUSTRIAL – 19.41% | | | | | |
3M Co. | | 5,599 | | 1,000,429 | |
A.O. Smith Corp. | | 15,933 | | 1,164,224 | |
Caterpillar Inc. | | 5,310 | | 1,083,293 | |
Cintas Corp. | | 2,818 | | 1,220,476 | |
Dover Corp. | | 6,777 | | 1,145,855 | |
Emerson Electric Co. | | 10,957 | | 1,062,939 | |
Expeditors International of Washington, Inc. | | 8,530 | | 1,051,408 | |
General Dynamics Corp. | | 5,825 | | 1,181,019 | |
Illinois Tool Works Inc. | | 4,935 | | 1,124,538 | |
Pentair PLC | | 16,203 | | 1,198,536 | |
Roper Technologies, Inc. | | 2,246 | | 1,095,756 | |
Stanley Black & Decker, Inc. | | 5,478 | | 984,561 | |
W.W. Grainger, Inc. | | 2,436 | | 1,128,136 | |
| | | | 14,441,170 | |
| | | | | |
INFORMATION TECHNOLOGY – 2.97% | | | | | |
Automatic Data Processing, Inc. | | 5,417 | | 1,216,062 | |
International Business Machines Corp. | | 7,964 | | 996,297 | |
| | | | 2,212,359 | |
| | | | | |
MATERIALS – 13.18% | | | | | |
Air Products & Chemicals, Inc. | | 3,850 | | 1,154,269 | |
Albermarle Corp. | | 5,830 | | 1,460,240 | |
Amcor PLC | | 99,337 | | 1,198,998 | |
Ecolab Inc. | | 5,170 | | 1,148,877 | |
Linde PLC | | 3,736 | | 1,192,531 | |
Nucor Corp. | | 11,816 | | 1,319,256 | |
See Notes to Financial Statements
20
ANNUAL REPORT
Cboe Vest S&P 500® Dividend Aristocrats Target Income Fund |
Schedule of Investments - continuedOctober 31, 2021 |
| | Shares |
| Value | |
PPG Industries, Inc. | | 6,833 | | $1,097,175 | |
The Sherwin-Williams Co. | | 3,891 | | 1,231,930 | |
| | | | 9,803,276 | |
| | | | | |
REAL ESTATE – 4.61% | | | | | |
Essex Property Trust, Inc. | | 3,365 | | 1,143,865 | |
Federal Realty Investment Trust | | 9,584 | | 1,153,434 | |
Realty Income Corp. | | 15,873 | | 1,133,808 | |
| | | | 3,431,107 | |
| | | | | |
TELECOMMUNICATION SERVICES – 1.37% | | | | | |
AT&T Inc. | | 40,317 | | 1,018,407 | |
| | | | | |
UTILITIES – 4.58% | | | | | |
Atmos Energy Corp. | | 11,227 | | 1,034,231 | |
Consolidated Edison, Inc. | | 15,121 | | 1,140,123 | |
NextEra Energy, Inc. | | 14,423 | | 1,230,715 | |
| | | | 3,405,069 | |
| | | | | |
TOTAL COMMON STOCKS – 99.40% | | 73,955,486 | | ||
(Cost: $51,523,351) | | | | | |
| | | | | |
MONEY MARKET FUND – 0.43% | | | | | |
Federated Treasury Obligations Fund - Institutional Class 0.01%* | | 320,887 | | 320,887 | |
(Cost: $320,887) | | | | | |
| | | | | |
TOTAL INVESTMENTS – 99.83% | | | | | |
(Cost: $51,844,238) | | 74,276,373 | | ||
Other assets, net of liabilities – 0.17% | | 128,846 | | ||
NET ASSETS – 100.00% | | $74,405,219 | |
*Effective 7 day yield as of October 31, 2021
(A)All or a portion of securities are held as collateral for options written
(B)Non-voting shares
See Notes to Financial Statements
21
ANNUAL REPORT
Cboe Vest S&P 500® Dividend Aristocrats Target Income Fund |
Schedule of Options WrittenOctober 31, 2021 |
OPTIONS WRITTEN – (0.02%) | | | | | | | | | | | |
| | | | | | | | | | | |
| | Number of |
| Notional |
| Exercise |
| Expiration |
|
| |
CALL OPTIONS – (0.02%) | | | | | | | | | | | |
| | | | | | | | | | | |
Abbvie Inc. | | 4 | | $(45,868 | ) | $115.00 | | 11/5/2021 | | $(476 | ) |
Abbott Labs | | 3 | | (38,667 | ) | 129.00 | | 11/5/2021 | | (318 | ) |
Archer-Daniels | | 7 | | (44,968 | ) | 64.00 | | 11/5/2021 | | (560 | ) |
Automatic Data | | 2 | | (44,898 | ) | 225.00 | | 11/5/2021 | | (346 | ) |
Aflac Inc. | | 8 | | (42,936 | ) | 54.00 | | 11/5/2021 | | (400 | ) |
Becton Dickinson | | 2 | | (47,918 | ) | 240.00 | | 11/5/2021 | | (1,103 | ) |
Cardinal Health | | 9 | | (43,029 | ) | 47.50 | | 11/5/2021 | | (540 | ) |
Caterpillar Inc. | | 2 | | (40,802 | ) | 205.00 | | 11/5/2021 | | (460 | ) |
Colgate-Palmolive | | 6 | | (45,714 | ) | 76.00 | | 11/5/2021 | | (402 | ) |
The Clorox Co. | | 3 | | (48,903 | ) | 162.50 | | 11/5/2021 | | (1,222 | ) |
Consolidated Edison, Inc. | | 6 | | (45,240 | ) | 76.00 | | 11/5/2021 | | (348 | ) |
Emerson Electric Co. | | 4 | | (38,804 | ) | 97.00 | | 11/5/2021 | | (580 | ) |
General Dynamics Corp. | | 2 | | (40,550 | ) | 202.50 | | 11/5/2021 | | (438 | ) |
Hormel Foods Corp. | | 10 | | (42,320 | ) | 42.00 | | 11/5/2021 | | (520 | ) |
IBM | | 3 | | (37,530 | ) | 125.00 | | 11/5/2021 | | (402 | ) |
Illinois Tool Works Inc. | | 2 | | (45,574 | ) | 227.50 | | 11/5/2021 | | (450 | ) |
Johnson & Johnson | | 3 | | (48,864 | ) | 162.50 | | 11/5/2021 | | (432 | ) |
Kimberly-Clark Corp. | | 3 | | (38,847 | ) | 130.00 | | 11/5/2021 | | (267 | ) |
The Coca-Cola Co. | | 7 | | (39,459 | ) | 56.50 | | 11/5/2021 | | (196 | ) |
Lowe’s Cos., Inc. | | 2 | | (46,764 | ) | 235.00 | | 11/5/2021 | | (436 | ) |
McDonald’s Corp. | | 2 | | (49,110 | ) | 245.00 | | 11/5/2021 | | (428 | ) |
Medtronic PLC | | 4 | | (47,944 | ) | 120.00 | | 11/5/2021 | | (104 | ) |
3M Co. | | 2 | | (35,736 | ) | 177.50 | | 11/5/2021 | | (458 | ) |
Nucor Corp. | | 4 | | (44,660 | ) | 112.00 | | 11/5/2021 | | (1,072 | ) |
PepsiCo, Inc. | | 3 | | (48,480 | ) | 160.00 | | 11/5/2021 | | (555 | ) |
The Procter & Gamble Co. | | 3 | | (42,897 | ) | 143.00 | | 11/5/2021 | | (280 | ) |
PPG Industries, Inc. | | 3 | | (48,171 | ) | 160.00 | | 11/5/2021 | | (708 | ) |
S&P Global Inc. | | 1 | | (47,416 | ) | 475.00 | | 11/5/2021 | | (635 | ) |
Sysco Corp. | | 5 | | (38,450 | ) | 77.00 | | 11/5/2021 | | (430 | ) |
AT&T Inc. | | 17 | | (42,942 | ) | 25.50 | | 11/5/2021 | | (255 | ) |
Target Corp. | | 2 | | (51,924 | ) | 260.00 | | 11/5/2021 | | (474 | ) |
VF Corp. | | 6 | | (43,728 | ) | 73.00 | | 11/5/2021 | | (612 | ) |
Walgreens Boots | | 9 | | (42,318 | ) | 47.00 | | 11/5/2021 | | (576 | ) |
Walmart Inc. | | 3 | | (44,826 | ) | 150.00 | | 11/5/2021 | | (315 | ) |
Exxon Mobil Corp. | | 7 | | (45,129 | ) | 65.00 | | 11/5/2021 | | (466 | ) |
TOTAL CALL OPTIONS WRITTEN – (0.02%) | | (17,264 | ) | ||||||||
(Premiums received: $17,136) | | | | | | | | | | | |
| | | | | | | | | | | |
TOTAL OPTIONS WRITTEN – (0.02%) | | $(17,264 | ) | ||||||||
(Premiums received: $17,136) | | | |
See Notes to Financial Statements
22
ANNUAL REPORT
Cboe Vest S&P 500® Dividend Aristocrats Target Income Fund |
Schedule of Options WrittenAs of October 31, 2021 |
The table below discloses both gross information and net information about instruments and transactions eligible for offset in the Statements of Assets and Liabilities and instruments and transactions that are subject to an agreement similar to a master netting agreement held at counterparties.
Liabilities:
| | Gross |
| Gross |
| Net |
| Gross Amounts not offset | | Net Amount | | ||
Financial |
| Collateral |
| ||||||||||
Description | | | | | | | | | | | | | |
Written | | $(17,264) | | $ — | | $(17,264) | | $17,264 | | $ — | | $ — | |
Actual cash amounts required at each counterparty are based on the notional amounts or the number of contracts outstanding and may exceed the cash presented in the collateral tables. The master netting agreements allow the clearing brokers to net any collateral held in or on behalf of the Fund or liabilities or payment obligations of the clearing brokers to the Fund against any liabilities or payment obligations of the Fund to the clearing brokers. The Fund may be required to deposit financial collateral (including cash collateral) at the clearing brokers and counterparties to continually meet the original and maintenance requirements established by the clearing brokers and counter parties. Such requirements are specific to the respective clearing broker or counterparty.
23
ANNUAL REPORT
Cboe Vest Bitcoin Target Volatility Strategy Fund
Portfolio Composition as of October 31, 2021 (unaudited)
Consolidated Holdings by Industry/Asset Class |
| % of | |
Money Market Fund | | 72.38% | |
Total Investments | | 72.38% | |
See Notes to Financial Statements
24
ANNUAL REPORT
Cboe Vest Bitcoin Target Volatility Strategy Fund |
Consolidated Schedule of InvestmentsOctober 31, 2021 |
| | | | Shares |
| Fair Value |
72.38% | | MONEY MARKET FUND | | | | |
| | Federated Treasury Obligations Fund - Institutional Class 0.01%* | | | | |
| | (Cost: $602,912) | | 602,912 | | $602,912 |
| | | | | | |
| | TOTAL MONEY MARKET FUND | | | | 602,912 |
| | (Cost: $602,912) | | | | |
72.38% | | TOTAL INVESTMENTS | | | | | | | | |
| | (Cost: $602,912) | | 602,912 | ||||||
27.62% | | Other assets, net of liabilities | | 236,898 | ||||||
100.00% | | NET ASSETS | | $839,810 |
*Effective 7 day yield as of October 31, 2021
Consolidated Schedule of Futures Contracts | | | | | | | ||||
Number of |
| Descriptions |
| Expiration |
| Notional |
| Value at |
| Unrealized |
| | | | | | | | | | |
1 | | CME Bitcoin Future(1) | | 11/26/2021 | | $220,163 | | $315,050 | | $94,887 |
27 | | CME Micro Bitcoin(1) | | 11/26/2021 | | $119,023 |
| $170,127 |
| $51,104 |
| | | | | | | | | | |
| | | | | | | | | | |
TOTAL FUTURES CONTRACTS | | $145,991 | ||||||||
| | | | | | |
(1)All or a portion of this investment is a holding of the Cboe Vest Cayman Subsidiary I.
[This page intentionally left blank.]
See Notes to Financial Statements
27
ANNUAL REPORT
See Notes to Financial Statements
26
ANNUAL REPORT
THE CBOE VEST FAMILY OF FUNDS |
Statements of Assets and Liabilities |
THE CBOE VEST FAMILY OF FUNDS |
October 31, 2021 |
| | Cboe Vest |
| Cboe Vest |
| Cboe Vest |
| Cboe Vest | |
ASSETS | | | | | | | | | |
Investments at fair value* (Note 1) | | $351,580,801 | | $93,003,896 | | $74,276,373 | | $602,912 | |
Cash deposits with brokers | | 3,984 | | 3,670 | | 2,043 | | 46,384 | |
Unrealized appreciation of open futures contracts | | — | | — | | — | | 145,991 | |
Receivable for securities sold | | — | | — | | 863,345 | | — | |
Receivable for capital stock sold | | 208,328 | | 172 | | 10,471 | | 6,823 | |
Dividends and interest receivable | | 6 | | 1 | | 110,631 | | 2 | |
Receivable from investment manager for expense limitation agreement | | — | | 1,944 | | 3,430 | | 24,262 | |
Receivable from investment manager for shareholder servicing(C) | | — | | — | | — | | 10,417 | |
Prepaid expenses | | 55,398 |
| 14,782 |
| 31,533 |
| 6,725 | |
TOTAL ASSETS | | 351,848,517 |
| 93,024,465 |
| 75,297,826 |
| 843,516 | |
LIABILITIES | | | | | | | | | |
Liabilities in excess of bank balance | | — | | 6,579 | | — | | — | |
Call options written, at fair value(A) (Note 1) | | 14,976,233 | | 11,605,514 | | 17,264 | | — | |
Put options written, at fair value(B) (Note 1) | | 5,708,413 | | — | | — | | — | |
Payable for capital stock redeemed | | 117,730 | | — | | 3,000 | | — | |
Payable for securities purchased | | — | | — | | 806,945 | | — | |
Accrued advisory fees | | 149,077 | | — | | — | | — | |
Accrued 12b-1 fees | | 223 | | 9,555 | | 49,192 | | 4 | |
Accrued administration, fund accounting, and transfer agent fees | | 22,049 | | 4,573 | | 4,079 | | 1,098 | |
Accrued professional fees | | — | | 2,002 | | — | | — | |
Other accrued expenses | | 1,253 |
| 1,311 |
| 12,127 |
| 2,604 | |
TOTAL LIABILITIES | | 20,974,978 |
| 11,629,534 |
| 892,607 |
| 3,706 | |
NET ASSETS | | $330,873,539 |
| $81,394,931 |
| $74,405,219 |
| $839,810 | |
| | | | | | | | | |
Net Assets Consist of: | | | | | | | | | |
Paid-in-capital | | $292,867,399 | | $56,473,647 | | $58,960,349 | | $697,977 | |
Distributable earnings | | 38,006,140 |
| 24,921,284 |
| 15,444,870 |
| 141,833 | |
Net Assets | | $330,873,539 |
| $81,394,931 |
| $74,405,219 |
| $839,810 | |
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE | | | | | | | | | |
Net Assets | | | | | | | | | |
Institutional Class | | $175,600,613 | | $2,967,155 | | $41,892,167 | | $291,568 | |
Investor Class | | 20,015,353 | | 78,219,738 | | 5,518,600 | | 57,128 | |
Class A | | 3,507,701 | | 199,748 | | 4,352,153 | | — | |
Class C | | 3,897,399 | | 6,791 | | 2,724,961 | | — | |
Class Y | | 127,852,473 |
| 1,499 |
| 19,917,338 |
| 491,114 | |
Total | | $330,873,539 |
| $81,394,931 |
| $74,405,219 |
| $839,810 | |
See Notes to Financial Statements
29
ANNUAL REPORT
See Notes to Financial Statements
28
ANNUAL REPORT
THE CBOE VEST FAMILY OF FUNDS |
Statements of Assets and Liabilities - continued |
| | Cboe Vest |
| Cboe Vest |
| Cboe Vest |
| Cboe Vest | |
Shares Outstanding | | | | | | | | | |
Institutional Class | | 11,028,277 | | 182,747 | | 3,017,412 | | 11,864 | |
Investor Class | | 1,266,836 | | 4,870,015 | | 398,187 | | 2,327 | |
Class A | | 221,745 | | 12,583 | | 313,729 | | — | |
Class C | | 252,733 | | 433 | | 197,235 | | — | |
Class Y | | 7,990,939 |
| 92 |
| 1,431,381 |
| 19,999 | |
Total | | 20,760,530 |
| 5,065,870 |
| 5,357,944 |
| 34,190 | |
Net Asset Value and Redemption Price Per Share | | | | | | | | | |
Institutional Class | | $15.92 | | $16.24 | | $13.88 | | $24.58 | |
Investor Class*** | | 15.80 | | 16.06 | | 13.86 | | 24.55 | |
Class A*** | | 15.82 | | 15.87 | | 13.87 | | — | |
Class C*** | | 15.42 | | 15.68 | | 13.82 | | — | |
Class Y | | 16.00 | | 16.34 | **** | 13.91 | | 24.56 | |
Maximum Offering Price Per Share** | | | | | | | | | |
Class A | | $16.79 |
| $16.84 |
| $14.72 |
| $— | |
| | | | | | | | | |
*Identified cost of: | | $290,325,587 |
| $58,504,299 |
| $51,844,238 |
| $602,912 | |
(A)Premiums received of: | | $6,179,560 |
| $6,145,722 |
| $17,136 | | | |
(B)Premiums received of: | | $15,236,979 | | | | | | | |
(C)Investment manager will reimburse the Fund for shareholder servicing set up fees and fees that exceed 0.25%. | | | | | | | | | |
**Maximum offering price per share includes sales charge of 5.75%.
***May be subject to a 2% redemption fee if redeemed with in 30 days of purchase.
****NAV per share does not recalculate due to rounding.
THE CBOE VEST FAMILY OF FUNDS |
October 31, 2021 |
See Notes to Financial Statements
31
ANNUAL REPORT
See Notes to Financial Statements
30
ANNUAL REPORT
THE CBOE VEST FAMILY OF FUNDS |
Statements of Operations |
| | Cboe Vest |
| Cboe Vest |
| Cboe Vest |
| Cboe Vest | |
| | | | | | | | | |
INVESTMENT INCOME | | | | | | | | | |
Dividend | | $129,225 | | $— | | $1,643,902 | | $— | |
Interest | | 100 |
| 19 |
| 29 |
| 6 | |
Other income | | — |
| — |
| — |
| 58 | |
Total investment income | | 129,325 |
| 19 |
| 1,643,931 |
| 64 | |
| | | | | | | | | |
EXPENSES | | | | | | | | | |
Investment management fees (Note 2) | | 2,112,122 | | 588,818 | | 504,047 | | 1,238 | |
12b-1 fees (Note 2) | | | | | | | | | |
Investor Class | | 53,178 | | 183,792 | | 11,030 | | 4 | |
Class A | | 7,994 | | 490 | | 10,861 | | — | |
Class C | | 36,122 | | 38 | | 27,883 | | — | |
Recordkeeping and administrative services (Note 2) | | 116,149 | | 31,158 | | 26,610 | | 38 | |
Accounting fees (Note 2) | | 127,475 | | 34,153 | | 27,434 | | 2,120 | |
Custody fees | | 4,000 | | 4,718 | | 47,066 | | 2,604 | |
Transfer agent fees (Note 2) | | 49,495 | | 18,447 | | 13,179 | | 22 | |
Audit and tax fees | | 41,431 | | 10,477 | | 9,028 | | — | |
Legal fees | | 62,470 | | 19,741 | | 9,805 | | 3,963 | |
Filing and registration fees | | 98,034 | | 24,500 | | 43,000 | | 500 | |
Trustee fees | | 17,581 | | 4,922 | | 4,080 | | 7,503 | |
Compliance fees | | 15,866 | | 4,393 | | 3,650 | | 4 | |
Shareholder reports | | 51,739 | | 15,611 | | 23,856 | | 7,723 | |
Shareholder servicing | | | | | | | | | |
Institutional Class | | 152,535 | | 7,818 | | 38,954 | | 9 | |
Investor Class | | 35,461 | | 113,686 | | 11,030 | | 20 | |
Class A | | 3,763 | | 7 | | 3,081 | | — | |
Class C | | 3,525 | | 6 | | 254 | | — | |
Insurance | | 9,876 | | 4,503 | | 4,294 | | — | |
Interest expense | | 4,936 | | 406 | | 4,056 | | 101 | |
Other | | 28,719 |
| 10,799 |
| 19,657 |
| 1,463 | |
Total expenses | | 3,032,471 | | 1,078,483 | | 842,855 | | 27,312 | |
Investment management fee waivers and reimbursed expenses (Note 2) | | (442,883 | ) | (147,925 | ) | (193,606 | ) | (25,445 | ) |
Net expenses | | 2,589,588 |
| 930,558 |
| 649,249 |
| 1,867 | |
| | | | | | | | | |
Net investment income (loss) | | (2,460,263 | ) | (930,539 | ) | 994,682 |
| (1,803 | ) |
*Inception Date August 13, 2021 | | | | | | | | | |
THE CBOE VEST FAMILY OF FUNDS |
For the year/period ended October 31, 2021 |
See Notes to Financial Statements
33
ANNUAL REPORT
See Notes to Financial Statements
32
ANNUAL REPORT
THE CBOE VEST FAMILY OF FUNDS |
Statements of Operations - continued |
THE CBOE VEST FAMILY OF FUNDS |
For the year/period ended October 31, 2021 |
| | Cboe Vest |
| Cboe Vest |
| Cboe Vest |
| Cboe Vest | |
REALIZED AND UNREALIZED GAIN (LOSS) | | | | | | | | | |
Net realized gain (loss) on investments^ | | 31,903,169 | | — | | 1,974,961 | | — | |
Net realized gain (loss) on put options purchased | | (21,330,422 | ) | — | | — | | — | |
Net realized gain (loss) on call options purchased | | 17,195,022 | | 18,284,094 | | — | | — | |
Net realized gain (loss) on futures contracts | | — | | — | | — | | (2,355 | ) |
Net realized gain (loss) on put options written | | 18,609,451 | | — | | — | | — | |
Net realized gain (loss) on call options written | | (28,869,728 | ) | (19,191,269 | ) | 543,599 |
| — | |
Net realized gain (loss) on investments, options purchased and written | | 17,507,492 |
| (907,175 | ) | 2,518,560 |
| (2,355 | ) |
Net change in unrealized appreciation (depreciation) of investments | | — | | — | | 15,174,475 | | — | |
Net change in unrealized appreciation (depreciation) on put options purchased | | (9,888,653 | ) | — | | — | | — | |
Net change in unrealized appreciation (depreciation) on call options purchased | | 51,441,095 | | 28,050,296 | | — | | — | |
Net change in unrealized appreciation (depreciation) on futures contracts | | — | | — | | — | | 145,991 | |
Net change in unrealized appreciation (depreciation) on put options written | | 302,913 | | — | | — | | — | |
Net change in unrealized appreciation (depreciation) on call options written | | (8,194,641 | ) | (8,932,891 | ) | (21 | ) | — | |
Net change in unrealized appreciation (depreciation) on investments, options purchased and written | | 33,660,714 |
| 19,117,405 |
| 15,174,454 |
| 145,991 | |
| | | | | | | | | |
Net realized and unrealized gain (loss) | | 51,168,206 |
| 18,210,230 |
| 17,693,014 |
| 143,636 | |
| | | | | | | | | |
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | | $48,707,943 |
| $17,279,691 |
| $18,687,696 |
| $141,833 | |
*Inception Date August 13, 2021
^Includes realized gains (losses) as a result of in-kind redemptions (Note 3)
See Notes to Financial Statements
35
ANNUAL REPORT
See Notes to Financial Statements
34
ANNUAL REPORT
THE CBOE VEST FAMILY OF FUNDS |
Statements of Changes in Net Assets |
THE CBOE VEST FAMILY OF FUNDS |
|
| | Cboe Vest S&P 500® | | Cboe Vest S&P 500® | | Cboe Vest S&P 500® | | Cboe Vest | | ||||||
| | For the |
| For the | | For the |
| For the | | For the |
| For the | | For the | |
| | | | | | | | | | | | | | | |
Increase (decrease) in Net Assets | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
OPERATIONS | | | | | | | | | | | | | | | |
Net investment income (loss) | | $(2,460,263 | ) | $(1,137,449 | ) | $(930,539 | ) | $(235,021 | ) | $994,682 | | $1,053,778 | | $(1,803 | ) |
Net realized gain (loss) on investments, options purchased and written and futures contracts^ | | 17,507,492 | | (8,276,280 | ) | (907,175 | ) | (863,948 | ) | 2,518,560 | | (1,933,859 | ) | (2,355 | ) |
Net increase (decrease) in unrealized appreciation (depreciation) of investments, options purchased, options written and futures contracts | | 33,660,714 |
| 19,568,987 |
| 19,117,405 |
| 3,803,070 |
| 15,174,454 |
| (1,046,360 | ) | 145,991 | |
Increase (decrease) in net assets from operations | | 48,707,943 |
| 10,155,258 |
| 17,279,691 |
| 2,704,101 |
| 18,687,696 |
| (1,926,441 | ) | 141,833 | |
| | | | | | | | | | | | | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | | | |
Institutional Class | | — | | (1,115,084 | ) | — | | (510,305 | ) | (1,886,204 | ) | (1,762,872 | ) | — | |
Investor Class | | — | | (79,777 | ) | — | | (2,364,655 | ) | (206,753 | ) | (144,293 | ) | — | |
Class A | | — | | (27,098 | ) | — | | (25,275 | ) | (202,831 | ) | (185,194 | ) | — | |
Class C | | — | | (12,386 | ) | — | | (1,151 | ) | (109,503 | ) | (73,324 | ) | — | |
Class Y | | — | | (477,879 | ) | — | | (82 | ) | (885,408 | ) | (549,556 | ) | — | |
Return of Capital | | | | | | | | | | | | | | | |
Institutional Class | | (18,399 | ) | — | | — | | (249 | ) | — | | (96,951 | ) | — | |
Investor Class | | — | | — | | — | | (1,155 | ) | — | | (7,936 | ) | — | |
Class A | | — | | — | | — | | (12 | ) | — | | (10,185 | ) | — | |
Class C | | — | | — | | — | | (1 | ) | — | | (4,032 | ) | — | |
Class Y | | (125,531 | ) | — |
| — |
| — |
| — |
| (30,224 | ) | — | |
Decrease in net assets from distributions | | (143,930 | ) | (1,712,224 | ) | — |
| (2,902,885 | ) | (3,290,699 | ) | (2,864,567 | ) | — | |
| | | | | | | | | | | | | | | |
CAPITAL STOCK TRANSACTIONS (NOTE 5) | | | | | | | | | | | | | | | |
Shares sold | | | | | | | | | | | | | | | |
Institutional Class | | 70,661,146 | | 141,725,541 | | 745,339 | | 2,279,372 | | 9,385,169 | | 11,946,388 | | 241,450 | |
Investor Class | | 6,292,542 | | 15,583,950 | | 7,970,692 | | 38,894,969 | | 1,710,758 | | 1,015,061 | | 56,547 | |
Class A | | 715,335 | | 785,731 | | 18,230 | | 47,545 | | 291,727 | | 870,611 | | — | |
Class C | | 569,406 | | 1,417,231 | | 5,000 | | — | | 146,000 | | 907,000 | | — | |
Class Y | | 152,914,821 | | 39,068,686 | | — | | — | | 3,323,896 | | 828,085 | | 399,980 | |
See Notes to Financial Statements
37
ANNUAL REPORT
See Notes to Financial Statements
36
ANNUAL REPORT
THE CBOE VEST FAMILY OF FUNDS |
Statements of Changes in Net Assets - continued |
THE CBOE VEST FAMILY OF FUNDS |
|
| | Cboe Vest S&P 500® | | Cboe Vest S&P 500® | | Cboe Vest S&P 500® | | Cboe Vest | | ||||||
| | For the |
| For the | | For the |
| For the | | For the |
| For the | | For the | |
Distributions reinvested | | | | | | | | | | | | | | | |
Institutional Class | | 17,983 | | 1,078,109 | | — | | 508,836 | | 1,823,772 | | 1,752,901 | | — | |
Investor Class | | — | | 78,569 | | — | | 2,361,845 | | 203,909 | | 150,639 | | — | |
Class A | | — | | 27,098 | | — | | 25,287 | | 202,127 | | 193,316 | | — | |
Class C | | — | | 12,386 | | — | | 1,152 | | 80,351 | | 59,926 | | — | |
Class Y | | 125,530 | | 477,879 | | — | | 82 | | 885,305 | | 579,780 | | — | |
Shares redeemed | | | | | | | | | | | | | | | |
Institutional Class | | (74,778,443 | )(A) | (61,455,955 | ) | (4,679,723 | ) | (4,002,930 | ) | (11,545,234 | )(A) | (27,273,371 | ) | — | |
Investor Class | | (9,507,474 | )(B) | (2,990,313 | )(B) | (7,859,674 | )(B) | (12,817,627 | )(B) | (642,050 | )(B) | (1,289,783 | ) | — | |
Class A | | (476,516 | ) | (1,554,251 | ) | (88,226 | ) | (213,181 | )(C) | (1,465,304 | ) | (1,115,366 | ) | — | |
Class C | | (538,096 | ) | (1,184,784 | )(D) | — | | (14,419 | ) | (635,343 | ) | (56,169 | ) | — | |
Class Y | | (99,167,056 | ) | (11,909,910 | ) | — |
| — |
| (962,713 | ) | (830,768 | ) | — | |
Increase (decrease) in net assets from capital stock transactions | | 46,829,178 |
| 121,159,967 |
| (3,888,362 | ) | 27,070,931 |
| 2,802,370 |
| (12,261,750 | ) | 697,977 | |
| | | | | | | | | | | | | | | |
NET ASSETS | | | | | | | | | | | | | | | |
Increase (decrease) during period | | 95,393,191 | | 129,603,001 | | 13,391,329 | | 26,872,147 | | 18,199,367 | | (17,052,758 | ) | 839,810 | |
Beginning of period | | 235,480,348 |
| 105,877,347 |
| 68,003,602 |
| 41,131,455 |
| 56,205,852 |
| 73,258,610 |
| — | |
End of period | | $330,873,539 |
| $235,480,348 |
| $81,394,931 |
| $68,003,602 |
| $74,405,219 |
| $56,205,852 |
| $839,810 | |
| | | | | | | | | | | | | | | |
(A)Includes redemption fees of: | | $1,691 | | | | | | | | $330 | | | | | |
(B)Includes redemption fees of: | | $412 | | $2,921 | | $1,989 | | $5,872 | | $568 | | $599 | | | |
(C)Includes redemption fees of: | | | | | | | | | | | | $190 | | | |
(D)Includes redemption fees of: | | | | $112 | | | | | | | | | | | |
*Inception date.
^Includes realized gains (losses) as a result of in-kind redemptions (Note 3)
See Notes to Financial Statements
38
ANNUAL REPORT
Cboe VEST S&P 500® BUFFER STRATEGY FUND |
Financial HighlightsSelected Per Share Data Throughout Each Period |
| | Institutional Class | | ||||||||
| | For the year ended October 31, | | ||||||||
| | 2021 |
| 2020 |
| 2019 |
| 2018 |
| 2017 | |
Net asset value, beginning | | $13.31 |
| $12.68 |
| $11.60 |
| $11.21 |
| $9.88 | |
Investment activities | | | | | | | | | | | |
Net investment income | | (0.14 | ) | (0.09 | ) | — | (4) | (0.11 | ) | (0.11 | ) |
Net realized and unrealized gain (loss) on investments | | 2.75 |
| 0.85 |
| 1.08 |
| 0.50 |
| 1.44 | |
Total from investment activities | | 2.61 |
| 0.76 |
| 1.08 |
| 0.39 |
| 1.33 | |
Distributions | | | | | | | | | | | |
Net investment income | | — | | (0.09 | ) | — | | — | | — | |
Net realized gain | | — |
| (0.04 | ) | — |
| — |
| — | |
Return of capital | | (0.00 | )(4) | — |
| — |
| — |
| — | |
Total distributions | | (0.00 | ) | (0.13 | ) | — |
| — |
| — | |
Paid-in capital from | | — | (4) | — |
| — |
| — |
| — | |
Net asset value, end of year | | $15.92 |
| $13.31 |
| $12.68 |
| $11.60 |
| $11.21 | |
Total Return | | 19.62 | % | 6.03 | % | 9.31 | % | 3.48 | % | 13.46 | % |
Ratios/Supplemental Data | | | | | | | | | | | |
Ratio to average net assets | | | | | | | | | | | |
Expenses, gross | | 1.05 | % | 1.07 | %(5) | 1.28 | %(5) | 1.73 | % | 3.27 | % |
Expenses, net of waiver | | 0.95 | % | 0.96 | %(5) | 0.96 | %(5) | 0.95 | % | 1.08 | % |
Net investment income | | (0.91 | %) | (0.68 | %) | 0.03 | % | (0.92 | %) | (1.05 | %) |
Portfolio turnover rate | | 72.58 | % | 120.89 | %(6) | 1.61 | % | 0.00 | %(3) | 0.00 | %(2) |
Net assets, end of year (000’s) | | $175,601 | | $150,789 | | $64,605 | | $30,428 | | $10,614 | |
(1)Per share amounts calculated using the average number of shares outstanding during the period.
(2)Ratio is zero due to the Fund not having activity with any long-term securities during the period.
(3)Ratio is zero due to the Fund not holding any long-term securities at any month end during the period.
(4)Less than $0.01 per share.
(5)Gross and net expenses reflect the effect of interest expense which is excluded from the Fund’s expense limitation agreement. Gross and net expenses excluding interest expense would have been 1.06% and 0.95%, respectively for the year ended October 31, 2020 and 1.27% and 0.95%, respectively for the year ended October 31, 2019.
(6)Significant increase in the portfolio turnover rate is due to ETF trading.
See Notes to Financial Statements
39
ANNUAL REPORT
Cboe VEST S&P 500® BUFFER STRATEGY FUND |
Financial HighlightsSelected Per Share Data Throughout Each Period |
| | Investor Class | | ||||||||
| | For the year ended October 31, | | For the | | ||||||
| | 2021 |
| 2020 |
| 2019 |
| 2018 |
| ||
| | | | | | | | | | | |
Net asset value, beginning | | $13.24 |
| $12.58 |
| $11.54 |
| $11.18 |
| $10.20 | |
Investment activities | | | | | | | | | | | |
Net investment income (loss)(1) | | (0.17 | ) | (0.13 | ) | (0.04 | ) | (0.14 | ) | (0.13 | ) |
Net realized and unrealized gain (loss) on investments | | 2.73 |
| 0.86 |
| 1.08 |
| 0.50 |
| 1.11 | |
Total from investment activities | | 2.56 |
| 0.73 |
| 1.04 |
| 0.36 |
| 0.98 | |
Distributions | | | | | | | | | | | |
Net investment income | | — | | (0.03 | ) | — | | — | | — | |
Net realized gain | | — |
| (0.04 | ) | — |
| — |
| — | |
Total distributions | | — |
| (0.07 | ) | — |
| — |
| — | |
Paid-in capital from redemption fees | | — | (4) | — | (4) | — | (4) | — |
| — | |
Net asset value, end of period | | $15.80 |
| $13.24 |
| $12.58 |
| $11.54 |
| $11.18 | |
Total Return** | | 19.34 | % | 5.85 | % | 9.01 | % | 3.22 | % | 9.61 | % |
Ratios/Supplemental Data | | | | | | | | | | | |
Ratio to average net assets*** | | | | | | | | | | | |
Expenses, gross | | 1.37 | % | 1.43 | %(5) | 1.71 | %(5) | 2.20 | % | 3.74 | % |
Expenses, net of waiver (Note 2) | | 1.20 | % | 1.21 | %(5) | 1.20 | %(5) | 1.20 | % | 1.38 | % |
Net investment income (loss) | | (1.15 | %) | (1.00 | %) | (0.31 | %) | (1.17 | %) | (1.35 | %) |
Portfolio turnover rate** | | 72.58 | % | 120.89 | %(6) | 1.61 | % | 0.00 | %(3) | 0.00 | %(2) |
Net assets, end of period (000’s) | | $20,015 | | $19,570 | | $5,510 | | $8,880 | | $1,330 | |
(1)Per share amounts calculated using the average number of shares outstanding during the period.
(2)Ratio is zero due to the Fund not having activity with any long-term securities during the period.
(3)Ratio is zero due to the Fund not holding any long-term securities at any month end during the period.
(4)Less than $0.01 per share.
(5)Gross and net expenses reflect the effect of interest expense which is excluded from the Fund’s expense limitation agreement. Gross and net expenses excluding interest expense would have been 1.42% and 1.20%, respectively for the year ended October 31, 2020 and 1.71% and 1.20%, respectively for the year ended October 31, 2019.
(6)Significant increase in the portfolio turnover rate is due to ETF trading.
*Inception date.
**Total return and portfolio turnover rate are for the period indicated and have not been annualized for periods less than one year.
***Ratio to average net assets have been annualized for periods less than one year.
See Notes to Financial Statements
40
ANNUAL REPORT
Cboe VEST S&P 500® BUFFER STRATEGY FUND |
Financial HighlightsSelected Per Share Data Throughout Each Period |
| | Class A | | ||||||
| | For the years ended October 31, | | For the | | ||||
| | 2021 |
| 2020 |
| 2019 |
| | |
Net asset value, beginning of period | | $13.25 |
| $12.63 |
| $11.59 |
| $11.85 | |
Investment activities | | | | | | | | | |
Net investment income (loss)(1) | | (0.17 | ) | (0.10 | ) | (0.02 | ) | (0.04 | ) |
Net realized and unrealized gain (loss) on investments | | 2.74 |
| 0.83 |
| 1.06 |
| (0.22 | ) |
Total from investment activities | | 2.57 |
| 0.73 |
| 1.04 |
| (0.26 | ) |
Distributions | | | | | | | | | |
Net investment income | | — | | (0.07 | ) | — | | — | |
Net realized gain | | — |
| (0.04 | ) | — |
| — | |
Total distributions | | — |
| (0.11 | ) | — |
| — | |
Net asset value, end of period | | $15.82 |
| $13.25 |
| $12.63 |
| $11.59 | |
Total Return** | | 19.40 | % | 5.82 | % | 8.97 | % | (2.19 | %) |
Ratios/Supplemental Data | | | | | | | | | |
Ratio to average net assets*** | | | | | | | | | |
Expenses, gross | | 1.32 | % | 1.23 | %(3) | 1.41 | %(3) | 2.24 | % |
Expenses, net of waiver (Note 2) | | 1.20 | % | 1.21 | %(3) | 1.21 | %(3) | 1.20 | % |
Net investment income (loss) | | (1.15 | %) | (0.78 | %) | (0.13 | %) | (1.18 | %) |
Portfolio turnover rate** | | 72.58 | % | 120.89 | %(4) | 1.61 | % | 0.00 | %(2) |
Net assets, end of period (000’s) | | $3,508 | | $2,727 | | $3,320 | | $15 | |
(1)Per share amounts calculated using the average number of shares outstanding during the period.
(2)Ratio is zero due to the Fund not holding any long-term securities at any month end during the period.
(3)Gross and net expenses reflect the effect of interest expense which is excluded from the Fund’s expense limitation agreement. Gross and net expenses excluding interest expense would have been 1.22% and 1.20%, respectively for the year ended October 31, 2020 and 1.40% and 1.20%, respectively for the year ended October 31, 2019.
(4)Significant increase in the portfolio turnover rate is due to ETF trading.
*Inception date.
**Total return and portfolio turnover rate are for the period indicated and have not been annualized for periods less than one year.
***Ratio to average net assets have been annualized for periods less than one year.
See Notes to Financial Statements
41
ANNUAL REPORT
Cboe VEST S&P 500® BUFFER STRATEGY FUND |
Financial HighlightsSelected Per Share Data Throughout Each Period |
| | Class C | | ||||||
| | For the years ended October 31, | | For the period July 24, 2018* to October 31, 2018 | | ||||
| | 2021 |
| 2020 |
| 2019 |
| | |
Net asset value, beginning of period | | $13.02 |
| $12.44 |
| $11.50 |
| $11.85 | |
Investment activities | | | | | | | | | |
Net investment income (loss)(1) | | (0.28 | ) | (0.20 | ) | (0.10 | ) | (0.06 | ) |
Net realized and unrealized gain (loss) | | 2.68 |
| 0.82 |
| 1.04 |
| (0.29 | ) |
Total from investment activities | | 2.40 |
| 0.62 |
| 0.94 |
| (0.35 | ) |
Distributions | | | | | | | | | |
Net investment income | | — | | — | (4) | — | | — | |
Net realized gain | | — |
| (0.04 | ) | — |
| — | |
Total distributions | | — |
| (0.04 | ) | — |
| — | |
Paid-in capital from redemption fees | | — |
| — | (4) | — |
| — | |
Net asset value, end of period | | $15.42 |
| $13.02 |
| $12.44 |
| $11.50 | |
Total Return** | | 18.43 | % | 5.06 | % | 8.17 | % | (2.95 | %) |
Ratios/Supplemental Data | | | | | | | | | |
Ratio to average net assets*** | | | | | | | | | |
Expenses, gross | | 2.05 | % | 2.03 | %(3) | 2.16 | %(3) | 3.53 | % |
Expenses, net of waiver (Note 2) | | 1.95 | % | 1.96 | %(3) | 1.96 | %(3) | 1.95 | % |
Net investment income (loss) | | (1.91 | %) | (1.59 | %) | (0.84 | %) | (1.93 | %) |
Portfolio turnover rate** | | 72.58 | % | 120.89 | %(5) | 1.61 | % | 0.00 | %(2) |
Net assets, end of period (000’s) | | $3,897 | | $3,269 | | $2,910 | | $81 | |
(1)Per share amounts calculated using the average number of shares outstanding during the period.
(2)Ratio is zero due to the Fund not holding any long-term securities at any month end during the period.
(3)Gross and net expenses reflect the effect of interest expense which is excluded from the Fund’s expense limitation agreement. Gross and net expenses excluding interest expense would have been 2.02% and 1.95%, respectively for the year ended October 31, 2020 and 2.15% and 1.95%, respectively for the year ended October 31, 2019.
(4)Less than $0.01 per share.
(5)Significant increase in the portfolio turnover rate is due to ETF trading.
*Inception date.
**Total return and portfolio turnover rate are for the period indicated and have not been annualized for periods less than one year.
***Ratio to average net assets have been annualized for periods less than one year.
See Notes to Financial Statements
42
ANNUAL REPORT
Cboe VEST S&P 500® BUFFER STRATEGY FUND |
Financial HighlightsSelected Per Share Data Throughout Each Period |
| | Class Y | | ||||||
| | For the years ended October 31, | | For the | | ||||
| | 2021 |
| 2020 |
| 2019 |
| | |
Net asset value, beginning of period | | $13.36 |
| $12.71 |
| $11.60 |
| $11.85 | |
Investment activities | | | | | | | | | |
Net investment income (loss)(1) | | (0.10 | ) | (0.05 | ) | 0.04 | | (0.02 | ) |
Net realized and unrealized gain (loss) | | 2.77 |
| 0.84 |
| 1.07 |
| (0.23 | ) |
Total from investment activities | | 2.67 |
| 0.79 |
| 1.11 |
| (0.25 | ) |
Distributions | | | | | | | | | |
Net investment income | | — | | (0.10 | ) | — | | — | |
Net realized gain | | — |
| (0.04 | ) | — |
| — | |
Return of capital | | (0.03 | ) | — |
| — |
| — | |
Total distributions | | (0.03 | ) | (0.14 | ) | — |
| — | |
Net asset value, end of period | | $16.00 |
| $13.36 |
| $12.71 |
| $11.60 | |
Total Return** | | 19.98 | % | 6.30 | % | 9.57 | % | (2.11 | %) |
Ratios/Supplemental Data | | | | | | | | | |
Ratio to average net assets*** | | | | | | | | | |
Expenses, gross | | 0.96 | % | 0.97 | %(3) | 1.14 | %(3) | 1.25 | % |
Expenses, net of waiver (Note 2) | | 0.70 | % | 0.71 | %(3) | 0.71 | %(3) | 0.71 | % |
Net investment income (loss) | | (0.66 | %) | (0.41 | %) | 0.34 | % | (0.69 | %) |
Portfolio turnover rate** | | 72.58 | % | 120.89 | %(4) | 1.61 | % | 0.00 | %(2) |
Net assets, end of period (000’s) | | $127,852 | | $59,125 | | $29,532 | | $1 | |
(1)Per share amounts calculated using the average number of shares outstanding during the period.
(2)Ratio is zero due to the Fund not holding any long-term securities at any month end during the period.
(3)Gross and net expenses reflect the effect of interest expense which is excluded from the Fund’s expense limitation agreement. Gross and net expenses excluding interest expense would have been 0.96% and 0.70%, respectively for the year ended October 31, 2020 and 1.13% and 0.70%, respectively for the year ended October 31, 2019.
(4)Significant increase in the portfolio turnover rate is due to ETF trading.
*Inception date
**Total return and portfolio turnover rate are for the period indicated and have not been annualized for periods less than one year.
***Ratio to average net assets have been annualized for periods less than one year.
See Notes to Financial Statements
43
ANNUAL REPORT
Cboe VEST S&P 500® ENHANCED GROWTH STRATEGY FUND |
Financial HighlightsSelected Per Share Data Throughout Each Period |
| | Institutional Class | | ||||||||
| | For the year ended October 31, | | Period | | ||||||
| | 2021 |
| 2020 |
| 2019 |
| 2018 |
| | |
Net asset value, beginning | | $12.89 |
| $12.98 |
| $12.00 |
| $11.50 |
| $10.00 | |
Investment activities | | | | | | | | | | | |
Net investment | | (0.14 | ) | (0.01 | ) | 0.03 | | (0.11 | ) | (0.11 | ) |
Net realized and unrealized gain (loss) on investments | | 3.49 |
| 0.86 |
| 1.57 |
| 0.61 |
| 1.61 | |
Total from investment activities | | 3.35 |
| 0.85 |
| 1.60 |
| 0.50 |
| 1.50 | |
Distributions | | | | | | | | | | | |
Net investment income | | — | | (0.06 | ) | — | | — | | — | |
Net realized gain | | — | | (0.88 | ) | (0.62 | ) | — | | — | |
Return of Capital | | — |
| — | (B) | — |
| — |
| — | |
Total distributions | | — |
| (0.94 | ) | (0.62 | ) | — |
| — | |
Paid-in capital from redemption fees | | — |
| — |
| — | (B) | — |
| — | |
Net asset value, end | | $16.24 |
| $12.89 |
| $12.98 |
| $12.00 |
| $11.50 | |
Total Return ** | | 25.99 | % | 6.72 | % | 14.71 | % | 4.35 | % | 15.00 | % |
Ratios/Supplemental Data | | | | | | | | | | | |
Ratio to average net | | | | | | | | | | | |
Expenses, gross | | 1.14 | % | 1.17 | %(A) | 1.45 | %(A) | 1.75 | % | 1.69 | % |
Expenses, net of waiver (Note 2) | | 0.95 | % | 0.96 | %(A) | 0.96 | %(A) | 0.96 | % | 1.13 | % |
Net investment | | (0.95 | %) | (0.09 | %) | 0.26 | % | (0.96 | %) | (1.13 | %) |
Portfolio turnover rate ** | | 11.15 | % | 124.54 | (4)% | 15.91 | % | 0.00 | %(3) | 0.00 | %(2) |
Net assets, end of | | $2,967 | | $5,718 | | $7,247 | | $4,949 | | $5,164 | |
(1)Per share amounts calculated using the average number of shares outstanding during the period.
(2)Ratio is zero due to the Fund not having activity with any long-term securities during the period.
(3)Ratio is zero due to the Fund not holding any long-term securities at any month end during the year.
(4)Significant increase in the portfolio turnover rate is due to ETF trading.
(A)Gross and net expenses reflect the effect of interest expense which is excluded from the Fund’s expense limitation agreement. Gross and net expenses excluding interest expense would have been 1.16% and 0.95%, respectively for the year ended October 31, 2020 and 1.44% and 0.95%, respectively for the year ended October 31, 2019.
(B)Less than $0.01 per share.
*Inception date
**Total return and portfolio turnover rate are for the period indicated and have not been annualized for periods less than one year.
*** Ratio to average net assets have been annualized for periods less than one year.
See Notes to Financial Statements
44
ANNUAL REPORT
Cboe VEST S&P 500® ENHANCED GROWTH STRATEGY FUND |
Financial HighlightsSelected Per Share Data Throughout Each Period |
| | Investor Class | | ||||||||
| | For the year ended October 31, | | Period | | ||||||
| | 2021 |
| 2020 |
| 2019 |
| 2018 |
| | |
Net asset value, beginning | | $12.79 |
| $12.89 |
| $11.94 |
| $11.47 |
| $10.12 | |
Investment activities | | | | | | | | | | | |
Net investment income (loss)(1) | | (0.18 | ) | (0.07 | ) | — | (B) | (0.14 | ) | (0.11 | ) |
Net realized and unrealized gain (loss) on investments | | 3.45 |
| 0.88 |
| 1.57 |
| 0.61 |
| 1.46 | |
Total from | | 3.27 |
| 0.81 |
| 1.57 |
| 0.47 |
| 1.35 | |
Distributions | | | | | | | | | | | |
Net investment income | | — | | (0.03 | ) | — | | — | | — | |
Net realized gain | | — | | (0.88 | ) | (0.62 | ) | — | | — | |
Return of Capital | | — |
| — | (B) | — |
| — |
| — | |
Total distributions | | — |
| (0.91 | ) | (0.62 | ) | — |
| — | |
Paid-in capital from redemption fees | | — | (B) | — | (B) | — | (B) | — |
| — | |
Net asset value, end of period | | $16.06 |
| $12.79 |
| $12.89 |
| $11.94 |
| $11.47 | |
Total Return** | | 25.57 | % | 6.46 | % | 14.53 | % | 4.10 | % | 13.34 | % |
Ratios/Supplemental Data | | | | | | | | | | | |
Ratio to average net assets*** | | | | | | | | | | | |
Expenses, gross | | 1.39 | % | 1.40 | %(A) | 1.69 | %(A) | 2.06 | % | 1.79 | % |
Expenses, net of waiver (Note 2) | | 1.20 | % | 1.21 | %(A) | 1.21 | %(A) | 1.21 | % | 1.36 | % |
Net investment | | (1.20 | %) | (0.55 | %) | (0.03 | %) | (1.21 | %) | (1.36 | %) |
Portfolio turnover rate** | | 11.15 | % | 124.54 | %(4) | 15.91 | % | 0.00 | %(3) | 0.00 | %(2) |
Net assets, end of | | $78,220 | | $62,059 | | $33,492 | | $32,292 | | $32,995 | |
(1)Per share amounts calculated using the average number of shares outstanding during the period.
(2)Ratio is zero due to the Fund not having activity with any long-term securities during the period.
(3)Ratio is zero due to the Fund not holding any long-term securities at any month end during the year.
(4)Significant increase in the portfolio turnover rate is due to ETF trading.
(A)Gross and net expenses reflect the effect of interest expense which is excluded from the Fund’s expense limitation agreement. Gross and net expenses excluding interest expense would have been 1.39% and 1.20%, respectively for the year ended October 31, 2020 and 1.68% and 1.20%, respectively for the year ended October 31, 2019.
(B)Less than $0.01 per share.
*Inception date.
**Total return and portfolio turnover rate are for the period indicated and have not been annualized for periods less than one year.
***Ratio to average net assets have been annualized for periods less than one year.
See Notes to Financial Statements
45
ANNUAL REPORT
Cboe VEST S&P 500® ENHANCED GROWTH STRATEGY FUND |
Financial HighlightsSelected Per Share Data Throughout Each Period |
| | Class A | | ||||||||
| | For the year ended October 31, | | Period | | ||||||
| | 2021 |
| 2020 |
| 2019 |
| 2018 |
| | |
Net asset value, beginning | | $12.74 |
| $12.87 |
| $11.92 |
| $11.46 |
| $10.12 | |
Investment activities | | | | | | | | | | | |
Net investment | | (0.18 | ) | (0.03 | ) | 0.02 | | (0.14 | ) | (0.11 | ) |
Net realized and unrealized gain (loss) on investments | | 3.31 |
| 0.81 |
| 1.55 |
| 0.60 |
| 1.45 | |
Total from | | 3.13 |
| 0.78 |
| 1.57 |
| 0.46 |
| 1.34 | |
Distributions | | | | | | | | | | | |
Net investment income | | — | | (0.03 | ) | — | | — | | — | |
Net realized gain | | — | | (0.88 | ) | (0.62 | ) | — | | — | |
Return of Capital | | — |
| — | (B) | — |
| — |
| — | |
Total distributions | | — |
| (0.91 | ) | (0.62 | ) | — |
| — | |
Paid-in capital from redemption fees | | — |
| — |
| — | (B) | — |
| — | |
Net asset value, end | | $15.87 |
| $12.74 |
| $12.87 |
| $11.92 |
| $11.46 | |
Total Return** | | 24.57 | % | 6.23 | % | 14.56 | % | 4.01 | % | 13.24 | % |
Ratios/Supplemental Data | | | | | | | | | | | |
Ratio to average net assets*** | | | | | | | | | | | |
Expenses, gross | | 1.24 | % | 1.29 | %(A) | 1.41 | %(A) | 1.59 | % | 2.36 | % |
Expenses, net of waiver (Note 2) | | 1.20 | % | 1.21 | %(A) | 1.21 | %(A) | 1.21 | % | 1.39 | % |
Net investment | | (1.20 | %) | (0.25 | %) | 0.13 | % | (1.21 | %) | (1.39 | %) |
Portfolio turnover rate** | | 11.15 | % | 124.54 | %(4) | 15.91 | % | 0.00 | %(3) | 0.00 | %(2) |
Net assets, end of | | $200 | | $224 | | $375 | | $1 | | $1 | |
(1)Per share amounts calculated using the average number of shares outstanding during the period.
(2)Ratio is zero due to the Fund not having activity with any long-term securities during the period.
(3)Ratio is zero due to the Fund not holding any long-term securities at any month end during the year.
(4)Significant increase in the portfolio turnover rate is due to ETF trading.
(A)Gross and net expenses reflect the effect of interest expense which is excluded from the Fund’s expense limitation agreement. Gross and net expenses excluding interest expense would have been 1.28% and 1.20%, respectively for the year ended October 31, 2020 and 1.40% and 1.20%, respectively for the year ended October 31, 2019.
(B)Less than $0.01 per share.
*Inception date.
**Total return and portfolio turnover rate are for the period indicated and have not been annualized for periods less than one year.
***Ratio to average net assets have been annualized for periods less than one year.
See Notes to Financial Statements
46
ANNUAL REPORT
Cboe VEST S&P 500® ENHANCED GROWTH STRATEGY FUND |
Financial HighlightsSelected Per Share Data Throughout Each Period |
| | Class C | | ||||||
| | For the years ended October 31, | | Period | | ||||
| | 2021 |
| 2020 |
| 2019 |
| | |
Net asset value, beginning of period | | $12.58 |
| $12.82 |
| $11.97 |
| $12.44 | |
Investment activities | | | | | | | | | |
Net investment income (loss)(1) | | (0.29 | ) | (0.06 | ) | (0.05 | ) | (0.07 | ) |
Net realized and unrealized gain (loss) | | 3.39 |
| 0.70 |
| 1.52 |
| (0.40 | ) |
Total from investment activities | | 3.10 |
| 0.64 |
| 1.47 |
| (0.47 | ) |
Distributions | | | | | | | | | |
Net realized gain | | — | | (0.88 | ) | (0.62 | ) | — | |
Return of Capital | | — |
| — | (B) | — |
| — | |
Total distributions | | — |
| (0.88 | ) | (0.62 | ) | — | |
Net asset value, end of period | | $15.68 |
| $12.58 |
| $12.82 |
| $11.97 | |
Total Return** | | 24.64 | % | 5.06 | % | 13.62 | % | (3.78 | %) |
Ratios/Supplemental Data | | | | | | | | | |
Ratio to average net assets*** | | | | | | | | | |
Expenses, gross | | 2.15 | % | 2.20 | %(A) | 2.11 | % | 2.94 | % |
Expenses, net of waiver (Note 2) | | 1.95 | % | 1.96 | %(A) | 1.95 | % | 1.98 | % |
Net investment income (loss) | | (1.95 | %) | (0.50 | %) | (0.40 | %) | (2.00 | %) |
Portfolio turnover rate** | | 11.15 | % | 124.54 | %(2) | 15.91 | % | 0.00 | %(3) |
Net assets, end of period (000’s) | | $7 | | $1 | | $17 | | $1 | |
(1)Per share amounts calculated using the average number of shares outstanding during the period.
(2)Significant increase in the portfolio turnover rate is due to ETF trading.
(3)Ratio is zero due to the Fund not holding any long-term securities at any month end during the year.
(A)Gross and net expenses reflect the effect of interest expense which is excluded from the Fund’s expense limitation agreement. Gross and net expenses excluding interest expense would have been 2.19% and 1.95%, respectively for the year ended October 31, 2020.
(B)Less than $0.01 per share
*Inception date.
**Total return and portfolio turnover rate are for the period indicated and have not been annualized for periods less than one year.
***Ratio to average net assets have been annualized for periods less than one year.
See Notes to Financial Statements
47
ANNUAL REPORT
Cboe VEST S&P 500® ENHANCED GROWTH STRATEGY FUND |
Financial HighlightsSelected Per Share Data Throughout Each Period |
| | Class Y | | ||||||
| | For the years ended October 31, | | Period | | ||||
| | 2021 |
| 2020 |
| 2019 |
| | |
Net asset value, beginning of period | | $12.95 |
| $13.02 |
| $12.01 |
| $12.44 | |
Investment activities | | | | | | | | | |
Net investment income (loss)(1) | | (0.11 | ) | 0.01 | | 0.06 | | (0.03 | ) |
Net realized and unrealized gain (loss) on investments | | 3.50 |
| 0.88 |
| 1.57 |
| (0.40 | ) |
Total from investment activities | | 3.39 |
| 0.89 |
| 1.63 |
| (0.43 | ) |
Distributions | | | | | | | | | |
Net investment income | | — | | (0.08 | ) | — | | — | |
Net realized gain | | — |
| (0.88 | ) | (0.62 | ) | — | (A) |
Total distributions | | — |
| (0.96 | ) | (0.62 | ) | — | |
Net asset value, end of period | | $16.34 |
| $12.95 |
| $13.02 |
| $12.01 | |
Total Return** | | 26.18 | % | 7.03 | % | 14.97 | % | (3.46 | %) |
Ratios/Supplemental Data | | | | | | | | | |
Ratio to average net assets*** | | | | | | | | | |
Expenses, gross | | 0.80 | % | 0.73 | %(B) | 0.96 | %(B) | 1.60 | % |
Expenses, net of waiver (Note 2) | | 0.70 | % | 0.71 | %(B) | 0.71 | %(B) | 0.73 | % |
Net investment income (loss) | | (0.70 | %) | 0.09 | % | 0.47 | % | (0.76 | %) |
Portfolio turnover rate** | | 11.15 | % | 124.54 | %(2) | 15.91 | % | 0.00 | %(3) |
Net assets, end of period (000’s) | | $1 | | $1 | | $1 | | $1 | |
(1)Per share amounts calculated using the average number of shares outstanding during the period.
(2)Significant increase in the portfolio turnover rate is due to ETF trading.
(3)Ratio is zero due to the Fund not holding any long-term securities at any month end during the year.
(A)Less than $0.01 per share
(B)Gross and net expenses reflect the effect of interest expense which is excluded from the Fund’s expense limitation agreement. Gross and net expenses excluding interest expense would have been 0.72% and 0.70%, respectively for the year ended October 31, 2020 and 0.95% and 0.70%, respectively for the year ended October 31, 2019.
*Inception date.
**Total return and portfolio turnover rate are for the period indicated and have not been annualized for periods less than one year.
***Ratio to average net assets have been annualized for periods less than one year.
See Notes to Financial Statements
48
ANNUAL REPORT
Cboe VEST S&P 500® Dividend Aristocrats Target Income FUND |
Financial HighlightsSelected Per Share Data Throughout Each Period |
| | Institutional Class | | ||||||||
| | For the year ended October 31, | | Period | | ||||||
| | 2021 |
| 2020 |
| 2019 |
| 2018 |
| | |
| | | | | | | | | | | |
Net asset value, beginning | | $10.88 |
| $11.47 |
| $10.36 |
| $10.25 |
| $10.00 | |
Investment activities | | | | | | | | | | | |
Net investment income (loss)(1) | | 0.20 | | 0.18 | | 0.17 | | 0.16 | | 0.01 | |
Net realized and unrealized gain (loss) on investments(2) | | 3.44 |
| (0.28 | ) | 1.45 |
| 0.40 |
| 0.24 | |
Total from investment activities | | 3.64 |
| (0.10 | ) | 1.62 |
| 0.56 |
| 0.25 | |
Distributions | | | | | | | | | | | |
Net investment income | | (0.20 | ) | (0.16 | ) | (0.18 | ) | (0.15 | ) | — | |
Net realized gain | | (0.44 | ) | (0.30 | ) | (0.33 | ) | (0.30 | ) | — | |
Return of Capital | | — |
| (0.03 | ) | — |
| — |
| — | |
Total distributions | | (0.64 | ) | (0.49 | ) | (0.51 | ) | (0.45 | ) | — | |
Paid-in capital from redemption fees | | — | (4) | — |
| — |
| — |
| — | |
Net asset value, end of period | | $13.88 |
| $10.88 |
| $11.47 |
| $10.36 |
| $10.25 | |
Total Return** | | 34.02 | % | (0.72 | %) | 16.02 | % | 5.45 | % | 2.50 | % |
Ratios/Supplemental Data | | | | | | | | | | | |
Ratio to average net assets*** | | | | | | | | | | | |
Expenses, gross | | 1.21 | %(3) | 1.25 | %(3) | 1.40 | %(3) | 2.21 | % | 2.89 | % |
Expenses, net of waiver (Note 2) | | 0.96 | %(3) | 0.96 | %(3) | 0.96 | %(3) | 0.95 | % | 0.95 | % |
Net investment income (loss) | | 1.49 | % | 1.67 | % | 1.53 | % | 1.55 | % | 1.11 | % |
Portfolio turnover rate** | | 126.11 | % | 169.87 | % | 185.19 | % | 205.91 | % | 9.77 | % |
Net assets, end of period (000’s) | | $41,892 | | $33,271 | | $50,376 | | $21,603 | | $5,572 | |
(1)Per share amounts calculated using the average number of shares outstanding throughout the period.
(2)Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gains and losses in the Statement of Operations due to share transactions for the period.
(3)Gross and net expenses reflect the effect of interest expense which is excluded from the Fund’s expense limitation agreement. Gross and net expenses excluding interest expense would have been 1.20% and 0.95%, respectively for the year ended October 31, 2021 and 1.24% and 0.95%, respectively for the year ended October 31, 2020 and 1.39% and 0.95%, respectively for the year ended October 31, 2019.
(4)Less than $0.01 per share.
*Inception date
**Total return and portfolio turnover rate are for the period indicated and have not been annualized for periods less than one year.
***Ratio to average net assets have been annualized for periods less than one year.
See Notes to Financial Statements
49
ANNUAL REPORT
Cboe VEST S&P 500® Dividend Aristocrats Target Income FUND |
Financial HighlightsSelected Per Share Data Throughout Each Period |
| | Investor Class | | ||||||||
| | For the year ended October 31, | | Period | | ||||||
| | 2021 |
| 2020 |
| 2019 |
| 2018 |
| | |
Net asset value, beginning | | $10.86 |
| $11.45 |
| $10.35 |
| $10.23 |
| $10.00 | |
Investment activities | | | | | | | | | | | |
Net investment income (loss)(1) | | 0.16 | | 0.16 | | 0.14 | | 0.14 | | 0.01 | |
Net realized and unrealized gain (loss) on investments(2) | | 3.45 |
| (0.29 | ) | 1.45 |
| 0.40 |
| 0.22 | |
Total from investment activities | | 3.61 |
| (0.13 | ) | 1.59 |
| 0.54 |
| 0.23 | |
Distributions | | | | | | | | | | | |
Net investment income | | (0.17 | ) | (0.13 | ) | (0.16 | ) | (0.12 | ) | — | |
Net realized gain | | (0.44 | ) | (0.30 | ) | (0.33 | ) | (0.30 | ) | — | |
Return of Capital | | — |
| (0.03 | ) | — |
| — |
| — | |
Total distributions | | (0.61 | ) | (0.46 | ) | (0.49 | ) | (0.42 | ) | — | |
Paid-in capital from redemption fees | | — | (A) | — | (A) | — |
| — |
| — | |
Net asset value, end of period | | $13.86 |
| $10.86 |
| $11.45 |
| $10.35 |
| $10.23 | |
Total Return** | | 33.74 | % | (1.00 | %) | 15.71 | % | 5.28 | % | 2.30 | % |
Ratios/Supplemental Data | | | | | | | | | | | |
Ratio to average net assets*** | | | | | | | | | | | |
Expenses, gross | | 1.60 | %(3) | 1.65 | %(3) | 1.81 | %(3) | 2.56 | % | 2.69 | % |
Expenses, net of waiver (Note 2) | | 1.21 | %(3) | 1.21 | %(3) | 1.21 | %(3) | 1.20 | % | 1.20 | % |
Net investment income (loss) | | 1.23 | % | 1.44 | % | 1.29 | % | 1.32 | % | 0.78 | % |
Portfolio turnover rate** | | 126.11 | % | 169.87 | % | 185.19 | % | 205.91 | % | 9.77 | % |
Net assets, end of period (000’s) | | $5,519 | | $3,312 | | $3,676 | | $1,828 | | $197 | |
(1)Per share amounts calculated using the average number of shares outstanding throughout the period.
(2)Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gains and losses in the Statement of Operations due to share transactions for the period.
(3)Gross and net expenses reflect the effect of interest expense which is excluded from the Fund’s expense limitation agreement. Gross and net expenses excluding interest expense would have been 1.59% and 1.20%, respectively for the year ended October 31, 2021 and 1.64% and 1.20%, respectively for the year ended October 31, 2020 and 1.80% and 1.20%, respectively for the year ended October 31, 2019.
(A)Less than $0.01 per share
*Inception date.
**Total return and portfolio turnover rate are for the period indicated and have not been annualized for periods less than one year.
***Ratio to average net assets have been annualized for periods less than one year.
See Notes to Financial Statements
50
ANNUAL REPORT
Cboe VEST S&P 500® Dividend Aristocrats Target Income FUND |
Financial HighlightsSelected Per Share Data Throughout Each Period |
| | Class A | | ||||||||
| | For the year ended October 31, | | Period | | ||||||
| | 2021 |
| 2020 |
| 2019 |
| 2018 |
| | |
Net asset value, beginning | | $10.88 |
| $11.46 |
| $10.36 |
| $10.24 |
| $10.00 | |
Investment activities | | | | | | | | | | | |
Net investment income (loss)(1) | | 0.16 | | 0.16 | | 0.14 | | 0.14 | | 0.01 | |
Net realized and unrealized gain (loss) on investments(2) | | 3.44 |
| (0.28 | ) | 1.45 |
| 0.40 |
| 0.23 | |
Total from investment activities | | 3.60 |
| (0.12 | ) | 1.59 |
| 0.54 |
| 0.24 | |
Distributions | | | | | | | | | | | |
Net investment income | | (0.17 | ) | (0.13 | ) | (0.16 | ) | (0.12 | ) | — | |
Net realized gain | | (0.44 | ) | (0.30 | ) | (0.33 | ) | (0.30 | ) | — | |
Return of Capital | | — |
| (0.03 | ) | — |
| — |
| — | |
Total distributions | | (0.61 | ) | (0.46 | ) | (0.49 | ) | (0.42 | ) | — | |
Paid-in capital from redemption fees | | — |
| — | (A) | — |
| — |
| — | |
Net asset value, end of period | | $13.87 |
| $10.88 |
| $11.46 |
| $10.36 |
| $10.24 | |
Total Return** | | 33.60 | % | (0.91 | %) | 15.74 | % | 5.29 | % | 2.40 | % |
Ratios/Supplemental Data | | | | | | | | | | | |
Ratio to average net assets*** | | | | | | | | | | | |
Expenses, gross | | 1.42 | %(3) | 1.48 | %(3) | 1.65 | %(3) | 2.42 | % | 2.97 | % |
Expenses, net of waiver (Note 2) | | 1.21 | %(3) | 1.21 | %(3) | 1.21 | %(3) | 1.20 | % | 1.20 | % |
Net investment income (loss) | | 1.26 | % | 1.44 | % | 1.28 | % | 1.35 | % | 0.88 | % |
Portfolio turnover rate** | | 126.11 | % | 169.87 | % | 185.19 | % | 205.91 | % | 9.77 | % |
Net assets, end of period (000’s) | | $4,352 | | $4,274 | | $4,568 | | $2,345 | | $833 | |
(1)Per share amounts calculated using the average number of shares outstanding throughout the period.
(2)Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gains and losses in the Statement of Operations due to share transactions for the period.
(3)Gross and net expenses reflect the effect of interest expense which is excluded from the Fund’s expense limitation agreement. Gross and net expenses excluding interest expense would have been 1.41% and 1.20%, respectively for the year ended October 31, 2021 and 1.47% and 1.20%, respectively for the year ended October 31, 2020 and 1.64% and 1.20%, respectively for the year ended October 31, 2019.
(A)Less than $0.01 per share
*Inception date.
**Total return and portfolio turnover rate are for the period indicated and have not been annualized for periods less than one year.
***Ratio to average net assets have been annualized for periods less than one year.
See Notes to Financial Statements
51
ANNUAL REPORT
Cboe VEST S&P 500® Dividend Aristocrats Target Income FUND |
Financial HighlightsSelected Per Share Data Throughout Each Period |
| | Class C | | ||||||||
| | For the year ended October 31, | | Period | | ||||||
| | 2021 |
| 2020 |
| 2019 |
| 2018 |
| | |
Net asset value, beginning | | $10.83 |
| $11.42 |
| $10.34 |
| $10.23 |
| $10.00 | |
Investment activities | | | | | | | | | | | |
Net investment income (loss)(1) | | 0.07 | | 0.08 | | 0.06 | | 0.07 | | — | |
Net realized and unrealized gain (loss) on investments(2) | | 3.43 |
| (0.28 | ) | 1.43 |
| 0.39 |
| 0.23 | |
Total from investment activities | | 3.50 |
| (0.20 | ) | 1.49 |
| 0.46 |
| 0.23 | |
Distributions | | | | | | | | | | | |
Net investment income | | (0.07 | ) | (0.07 | ) | (0.08 | ) | (0.05 | ) | — | |
Net realized gain | | (0.44 | ) | (0.30 | ) | (0.33 | ) | (0.30 | ) | — | |
Return of Capital | | — |
| (0.02 | ) | — |
| — |
| — | |
Total distributions | | (0.51 | ) | (0.39 | ) | (0.41 | ) | (0.35 | ) | — | |
Net asset value, end of period | | $13.82 |
| $10.83 |
| $11.42 |
| $10.34 |
| $10.23 | |
Total Return** | | 32.75 | % | (1.70 | %) | 14.71 | % | 4.48 | % | 2.30 | % |
Ratios/Supplemental Data | | | | | | | | | | | |
Ratio to average net assets*** | | | | | | | | | | | |
Expenses, gross | | 2.11 | %(3) | 2.17 | %(3) | 2.35 | %(3) | 3.08 | % | 2.23 | % |
Expenses, net of waiver (Note 2) | | 1.96 | %(3) | 1.96 | %(3) | 1.96 | %(3) | 1.95 | % | 1.95 | % |
Net investment income (loss) | | 0.51 | % | 0.71 | % | 0.54 | % | 0.63 | % | (0.27 | %) |
Portfolio turnover rate** | | 126.11 | % | 169.87 | % | 185.19 | % | 205.91 | % | 9.77 | % |
Net assets, end of period (000’s) | | $2,725 | | $2,469 | | $1,699 | | $394 | | $238 | |
(1)Per share amounts calculated using the average number of shares outstanding throughout the period.
(2)Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gains and losses in the Statement of Operations due to share transactions for the period.
(3)Gross and net expenses reflect the effect of interest expense which is excluded from the Fund’s expense limitation agreement. Gross and net expenses excluding interest expense would have been 2.10% and 1.95%, respectively for the year ended October 31, 2021 and 2.16% and 1.95%, respectively for the year ended October 31, 2020 and 2.34% and 1.95%, respectively for the year ended October 31, 2019.
*Inception date.
**Total return and portfolio turnover rate are for the period indicated and have not been annualized for periods less than one year.
***Ratio to average net assets have been annualized for periods less than one year.
See Notes to Financial Statements
52
ANNUAL REPORT
Cboe VEST S&P 500® Dividend Aristocrats Target Income FUND |
Financial HighlightsSelected Per Share Data Throughout Each Period |
| | Class Y | | ||||||
| | For the years ended October 31, | | Period | | ||||
| | 2021 |
| 2020 |
| 2019 |
| | |
Net asset value, beginning | | $10.91 |
| $11.48 |
| $10.38 |
| $10.65 | |
Investment activities | | | | | | | | | |
Net investment income (loss)(1) | | 0.23 | | 0.21 | | 0.19 | | 0.04 | |
Net realized and unrealized gain (loss) on investments(2) | | 3.44 |
| (0.27 | ) | 1.45 |
| (0.18 | ) |
Total from investment activities | | 3.67 |
| (0.06 | ) | 1.64 |
| (0.14 | ) |
Distributions | | | | | | | | | |
Net investment income | | (0.23 | ) | (0.18 | ) | (0.21 | ) | (0.04 | ) |
Net realized gain | | (0.44 | ) | (0.30 | ) | (0.33 | ) | (0.09 | ) |
Return of Capital | | — |
| (0.03 | ) | — |
| — | |
Total distributions | | (0.67 | ) | (0.51 | ) | (0.54 | ) | (0.13 | ) |
Net asset value, end of period | | $13.91 |
| $10.91 |
| $11.48 |
| $10.38 | |
Total Return** | | 34.24 | % | (0.39 | %) | 16.24 | % | (1.40 | %) |
Ratios/Supplemental Data | | | | | | | | | |
Ratio to average net assets*** | | | | | | | | | |
Expenses, gross | | 1.11 | %(3) | 1.15 | %(3) | 1.34 | %(3) | 2.63 | %(A) |
Expenses, net of waiver (Note 2) | | 0.71 | %(3) | 0.71 | %(3) | 0.70 | %(3) | 0.71 | % |
Net investment income (loss) | | 1.73 | % | 1.94 | % | 1.79 | % | 1.55 | % |
Portfolio turnover rate** | | 126.11 | % | 169.87 | % | 185.19 | % | 205.91 | % |
Net assets, end of period (000’s) | | $19,917 | | $12,880 | | $12,940 | | $10,440 | |
(1)Per share amounts calculated using the average number of shares outstanding throughout the period.
(2)Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gains and losses in the Statement of Operations due to share transactions for the period.
(3)Gross and net expenses reflect the effect of interest expense which is excluded from the Fund’s expense limitation agreement. Gross and net expenses excluding interest expense would have been 1.10% and 0.70%, respectively for the year ended October 31, 2021 and 1.14% and 0.70%, respectively for the year ended October 31, 2020 and 1.33% and 0.70%, respectively for the year ended October 31, 2019.
*Inception date.
**Total return and portfolio turnover rate are for the period indicated and have not been annualized for periods less than one year.
***Ratio to average net assets have been annualized for periods less than one year.
See Notes to Financial Statements
53
ANNUAL REPORT
Cboe Vest Bitcoin Strategy Managed Volatility Fund |
Financial Highlights (Consolidated)Selected Per Share Data Throughout Each Period |
| | Institutional | |
| | Period | |
| | | |
Net asset value, beginning of period | | $20.00 | |
Investment activities | | | |
Net investment income (loss)(1) | | (0.07 | ) |
Net realized and unrealized gain (loss) on investments(2) | | 4.65 | |
Total from investment activities | | 4.58 | |
Net asset value, end of period | | $24.58 | |
Total Return** | | 22.90 | % |
Ratios/Supplemental Data | | | |
Ratio to average net assets*** | | | |
Expenses, gross | | 22.98 | %(3) |
Expenses, net of waiver (Note 2) | | 1.65 | %(3) |
Net investment income (loss) | | (1.60 | )% |
Portfolio turnover rate** | | 0.00 | % |
Net assets, end of period (000’s) | | $292 | |
(1)Per share amounts calculated using the average number of shares outstanding throughout the period.
(2)Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gains and losses in the Consolidated Statement of Operations due to share transactions for the period.
(3)Gross and net expenses reflect the effect of interest expense which is excluded from the Fund’s expense limitation agreement. Gross and net expenses excluding interest and subsidiary expenses would have been 22.78% and 1.45%, respectively for the period ended October 31, 2021.
*Inception date
**Total return and portfolio turnover rate are for the period indicated and have not been annualized for periods less than one year.
***Ratio to average net assets have been annualized for periods less than one year.
See Notes to Financial Statements
54
ANNUAL REPORT
Cboe Vest Bitcoin Strategy Managed Volatility Fund |
Financial Highlights (Consolidated)Selected Per Share Data Throughout Each Period |
| | Investor Class | |
| | Period | |
Net asset value, beginning of period | | $20.00 | |
Investment activities | | | |
Net investment income (loss)(1) | | (0.09 | ) |
Net realized and unrealized gain (loss) on investments(2) | | 4.64 | |
Total from investment activities | | 4.55 | |
Net asset value, end of period | | $24.55 | |
Total Return** | | 22.75 | % |
Ratios/Supplemental Data | | | |
Ratio to average net assets*** | | | |
Expenses, gross | | 19.75 | %(3) |
Expenses, net of waiver (Note 2) | | 1.90 | %(3) |
Net investment income (loss) | | (1.86 | )% |
Portfolio turnover rate** | | 0.00 | % |
Net assets, end of period (000’s) | | $57 | |
(1)Per share amounts calculated using the average number of shares outstanding throughout the period.
(2)Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gains and losses in the Consolidated Statement of Operations due to share transactions for the period.
(3)Gross and net expenses reflect the effect of interest expense which is excluded from the Fund’s expense limitation agreement. Gross and net expenses excluding interest and subsidiary expenses would have been 19.55% and 1.70%, respectively for the period ended October 31, 2021.
*Inception date
**Total return and portfolio turnover rate are for the period indicated and have not been annualized for periods less than one year.
***Ratio to average net assets have been annualized for periods less than one year.
See Notes to Financial Statements
55
ANNUAL REPORT
Cboe Vest Bitcoin Strategy Managed Volatility Fund |
Financial Highlights (Consolidated)Selected Per Share Data Throughout Each Period |
| | Class Y | |
| | Period | |
Net asset value, beginning of period | | $20.00 | |
Investment activities | | | |
Net investment income (loss)(1) | | (0.06 | ) |
Net realized and unrealized gain (loss) on investments(2) | | 4.62 | |
Total from investment activities | | 4.56 | |
Net asset value, end of period | | $24.56 | |
Total Return** | | 22.80 | % |
Ratios/Supplemental Data | | | |
Ratio to average net assets*** | | | |
Expenses, gross | | 21.74 | %(3) |
Expenses, net of waiver (Note 2) | | 1.45 | %(3) |
Net investment income (loss) | | (1.40 | )% |
Portfolio turnover rate** | | 0.00 | % |
Net assets, end of period (000’s) | | $491 | |
(1)Per share amounts calculated using the average number of shares outstanding throughout the period.
(2)Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gains and losses in the Consolidated Statement of Operations due to share transactions for the period.
(3) Gross and net expenses reflect the effect of interest expense which is excluded from the Fund’s expense limitation agreement. Gross and net expenses excluding interest and subsidiary expenses would have been 21.54% and 1.25%, respectively for the period ended October 31, 2021.
*Inception date
**Total return and portfolio turnover rate are for the period indicated and have not been annualized for periods less than one year.
***Ratio to average net assets have been annualized for periods less than one year.
56
ANNUAL REPORT
THE CBOE VEST FAMILY OF FUNDS |
Notes to Financial StatementsOctober 31, 2021 |
NOTE 1 – ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Cboe Vest S&P 500® Buffer Strategy Fund (“Buffer”), the Cboe Vest S&P 500® Enhanced Growth Strategy Fund (“Enhanced Growth”), and the Cboe Vest Bitcoin Strategy Managed Volatility Fund (“Bitcoin”) are each non-diversified series of the World Funds Trust (“WFT” or “Trust”) which is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management company. The Cboe Vest S&P 500 Dividend Aristocrats Target Income Fund (“Dividend Aristocrats”) is a diversified series of the Trust. WFT was organized as a Delaware statutory trust on April 9, 2007 and may issue its shares of beneficial interest in separate series and issue classes of any series or divide shares of any series into two or more classes. Buffer’s inception dates were August 24, 2016 for Institutional Class, December 7, 2016 for Investor Class and July 24, 2018 for Classes A, C, and Y. Enhanced Growth’s inception dates were December 21, 2016 for Institutional Class, January 31, 2017 for Investor Class and Class A and July 24, 2018 for Classes C and Y. Dividend Aristocrat’s inception dates were September 11, 2017 for Institutional Class, Investor Class, Classes A and C and July 24, 2018 for Class Y. Bitcoin’s inception date was August 13, 2021 for Institutional Class, Investor Class and Class Y.
The investment objectives of the Buffer, Enhanced Growth, Dividend Aristocrats and Bitcoin Funds (collectively the “Funds”) are as follows:
Fund | Objective |
Buffer | to track, before fees and expenses, the performance of the Cboe S&P 500® Buffer Protect Index Balanced Series (the “SPRO Index”). |
Enhanced Growth | to track, before fees and expenses, the performance of the Cboe S&P 500® Enhanced Growth Index Balanced Series (the “SPEN Index”). |
Dividend Aristocrats | to track the price and yield performance, before fees and expenses, of the Cboe S&P 500® Dividend Aristocrats Target Income Index (the “Cboe Aristocrats Index”). |
Bitcoin | to seek total return. |
The following is a summary of significant accounting policies consistently followed by the Funds. The policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services – Investment Companies”.
Security Valuation
The Funds’ securities are valued at fair value. Investments in securities traded on national securities exchanges are valued at the last reported sale price. For securities traded on the NASDAQ National Market System, the NASDAQ Official Closing Price will be used. Other securities traded in the over-the-counter market and listed securities for which no sales are reported on a given date are valued at the last reported bid price. Debt securities are valued by appraising them at prices supplied by a pricing agent approved by the Trust, which prices may reflect broker-dealer supplied valuations and electronic data processing techniques. Short-term debt securities (less than 60 days to maturity) are valued at their fair value using amortized cost. Investments in investment companies and money market funds are valued at net asset value per share. Other assets for which market prices are not readily available are valued at their fair value as determined in good faith by the administrator, in consultation with Cboe Vest℠ Financial, LLC (the “Adviser”), under procedures set by the Board of Trustees (the “Board”). Generally, trading in corporate bonds, U.S. government securities and money market instruments is substantially completed each day at various times before the scheduled close of the New York Stock Exchange (“NYSE”). The value of these securities used in computing the net asset value (“NAV”) is determined at such times.
57
ANNUAL REPORT
THE CBOE VEST FAMILY OF FUNDS |
Notes to Financial Statements - continuedOctober 31, 2021 |
FLEX Options are valued by a pricing service which utilizes an options pricing model. Factors used by the model may include observable and unobservable inputs, including the strike price and maturity date of the option, implied volatility and the level of the underlying reference entity. FLEX Options are European-style options and can only be exercised on the expiration date.
Futures contracts are valued at the settlement price determined by the applicable U.S. exchange on the date with respect to which the NAV is being determined, or if no settlement price is available, at the last sale price as of the close of business prior to the NAV determination on such day.
The Funds have a policy that contemplates the use of fair value pricing to determine the NAV per share of the Funds when market prices are unavailable as well as under special circumstances, such as: (i) if the primary market for a portfolio security suspends or limits trading or price movements of the security; and (ii) when an event occurs after the close of the exchange on which a portfolio security is principally traded that is likely to have changed the value of the security. Since most of the Funds’ investments are traded on U.S. securities exchanges, it is anticipated that the use of fair value pricing will be limited.
When the Funds use fair value pricing to determine the NAV per share of the Funds, securities will not be priced on the basis of quotations from the primary market in which they are traded, but rather may be priced by another method that the Board believes accurately reflects fair value. Any method used will be approved by the Board and results will be monitored to evaluate accuracy. The Funds’ policy is intended to result in a calculation of the Funds’ NAV that fairly reflects security values as of the time of pricing.
Various inputs are used in determining the value of the Funds’ investments. GAAP established a three-tier hierarchy of inputs to establish a classification of fair value measurements for disclosure purposes. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Funds’ own assumptions in determining fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the investments by inputs used to value the Funds’ investments as of October 31, 2021:
| | Level 1 | | Level 2 | | Level 3 | | Total | |
Buffer | | | | | | | | | |
Assets | | | | | | | | | |
Money Market Fund | | $328,161 | | $— | | $— | | $328,161 | |
Call Options Purchased | | — | | 341,159,836 | | — | | 341,159,836 | |
Put Options Purchased | | — |
| 10,092,804 |
| — |
| 10,092,804 | |
| | $328,161 |
| $351,252,640 |
| $— |
| $351,580,801 | |
| | | | | | | | | |
Liabilities | | | | | | | | | |
Call Options Written | | $— | | $(14,976,233 | ) | $— | | $(14,976,233 | ) |
Put Options Written | | — |
| (5,708,413 | ) | — |
| (5,708,413 | ) |
| | $— |
| $(20,684,646 | ) | $— |
| $(20,684,646 | ) |
| | | | | | | | | |
58
ANNUAL REPORT
THE CBOE VEST FAMILY OF FUNDS |
Notes to Financial Statements - continuedOctober 31, 2021 |
| | Level 1 | | Level 2 | | Level 3 | | Total | |
Enhanced Growth | | | | | | | | | |
Assets | | | | | | | | | |
Call Options Purchased | | $— |
| $93,003,896 |
| $— |
| $93,003,896 | |
| | | | | | | | | |
Liabilities | | | | | | | | | |
Call Options Written | | $— |
| $(11,605,514 | ) | $— |
| $(11,605,514 | ) |
| | | | | | | | | |
Dividend Aristocrats | | | | | | | | | |
Assets | | | | | | | | | |
Common Stocks | | $73,955,486 | | $— | | $— | | $73,955,486 | |
Money Market Fund | | 320,887 |
| — |
| — |
| 320,887 | |
| | $74,276,373 |
| $— |
| $— |
| $74,276,373 | |
| | | | | | | | | |
Liabilities | | | | | | | | | |
Call Options Written | | $— |
| $(17,264 | ) | $— |
| $(17,264 | ) |
| | | | | | | | | |
Bitcoin | | | | | | | | | |
Money Market Fund | | $602,912 |
| $— |
| $— |
| $602,912 | |
| | $602,912 |
| $— |
| $— |
| $602,912 | |
| | | | | | | | | |
Other Financial Instruments | | | | | | | | | |
Futures Contracts* | | $145,991 |
| — |
| — |
| $145,991 | |
*Other financial instruments are derivative instruments such as futures contracts and are valued at the unrealized appreciation (depreciation) of the instrument.
Refer to each Fund’s Schedules of Investments for a listing of the securities by security type.
Security Transactions and Income
Security transactions are accounted for on the trade date. Dividend income is recorded on the ex-dividend date. Interest income is recorded on an accrual basis. Discount or premiums are accreted or amortized to interest income using the effective interest method. The cost of securities sold is determined generally on a specific identification basis.
Cash
Cash, if any, consist of overnight deposits with the custodian bank which earn interest at the current market rate.
Cash Deposits with Brokers and Due to Broker
Cash deposits with brokers are held as collateral for options written. Additionally, for the year ended October 31, 2021, $3,984, $3,670, $2,043 and $46,384 were the cash deposits with brokers for Buffer, Enhanced Growth Dividend Aristocrats and Bitcoin, respectively. There were no due to broker amounts for the Funds for the year ended October 31, 2021.
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Accounting Estimates
In preparing financial statements in conformity with GAAP, management makes estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosures of contingent assets and liabilities at the date of the financial statements, as well as the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Federal Income Taxes
Each Fund intends to continue to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its taxable income to its shareholders. Each Fund also intends to distribute sufficient net investment income and net capital gains, if any, so that it will not be subject to excise tax on undistributed income and gains. Therefore, no federal income tax or excise provision is required.
Management has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions to be taken in the Funds’ tax returns. The Funds have no examinations in progress and management is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. Interest and penalties, if any, associated with any federal or state income tax obligations are recorded as income tax expense when incurred.
Reclassification of Capital Accounts
Certain components of net assets are reclassified relating to permanent differences between financial and tax reporting. These reclassifications are caused primarily by differences in the timing of the recognition of certain components of income, expenses or realized capital gains for federal income tax purposes and have no effect on net assets or net asset value per share. For the year ended October 31, 2021, such reclassifications were due to the write off of net operating loss for Buffer and Enhanced Growth, and capital gains from redemptions in-kind for Buffer.
| | Buffer |
| Enhanced Growth | |
Paid in capital | | $25,949,167 | | $(497,889 | ) |
Total distributable earnings | | (25,949,167 | ) | 497,889 | |
Class Net Asset Values and Expenses
All income, expenses not attributable to a particular class, and realized and unrealized gains, are allocated to each class proportionately on a daily basis for purposes of determining the net asset value of each class. Each class bears different distribution expenses. Ratios are calculated by adjusting the expense and net investment income ratios for the Funds for the entire period for the effect of expenses applicable for each class. Expenses incurred by the Trust that do not relate to a specific fund of the Trust are allocated to the individual funds based on each fund’s relative net assets or another appropriate basis as determined by the Board.
The Buffer, Enhanced Growth and Dividend Aristocrats Funds currently offer Class A, Class C, Class Y, Investor Class and Institutional Class Shares. The Bitcoin Fund currently offers Class Y, Investor Class and Institutional Class Shares. Class A Shares include a maximum front-end sales charge of 5.75%. Class A, Class C and Investor Class Shares include a maximum 2.00% redemption fee on the proceeds of certain redemptions on shares held for 30 days or less.
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Derivatives
The Funds utilize derivatives to achieve their investment strategies. These are financial instruments that derive their performance from the performance of an underlying asset or index. Derivatives can be volatile and involve various types and degrees of risks, depending upon the characteristics of a particular derivative. Derivatives may entail investment exposures that are greater than their cost would suggest, meaning that a small investment in a derivative could have a large potential impact on the performance of the Funds. The Funds could experience a loss if derivatives do not perform as anticipated, or are not correlated with the performance of other investments which are used to hedge or if the Funds are unable to liquidate a position because of an illiquid secondary market. The market for many derivatives is, or suddenly can become, illiquid. Changes in liquidity may result in significant, rapid and unpredictable changes in the prices for derivatives. Buffer and Enhanced Growth use FLEX Options, whose customized exercise prices and expiration dates allow the Funds to more precisely implement its investment strategy than through what could be achieved through the use of standardized option contracts. Options are subject to equity price risk that arises from the possibility that equity security prices will fluctuate affecting the value of the options. The Bitcoin Fund may invest in exchange-traded Bitcoin futures contracts (either directly or through the Cboe Vest Subsidiary). Futures contracts involve the risk of mispricing or improper valuation and the risk that changes in the value of a futures contract may not correlate perfectly with the underlying indicator. A liquid secondary market may not always exist for the Fund’s futures contract positions at any time. The following are the derivatives held by each fund on October 31, 2021:
Fund | Derivative | Fair Value | |
Buffer | Purchased Options - Call | $341,159,836 | |
| Purchased Options - Put | 10,092,804 | |
| | $351,252,640 | * |
| | | |
Enhanced Growth | Purchased Options - Call | $93,003,896 | * |
| | | |
Bitcoin | Futures Contracts | $145,991 | **** |
Fund | Derivative | Fair Value Liability Derivatives | |
Buffer | Written Options – Call | $(14,976,233 | )** |
| Written Options – Put | (5,708,413 | )*** |
| | $(20,684,646 | ) |
| | | |
Enhanced Growth | Written Options – Call | $(11,605,514 | )** |
| | | |
Dividend Aristocrats | Written Options – Call | $(17,264 | )** |
*Statements of Assets and Liabilities location: Investments at fair value
**Statements of Assets and Liabilities location: Call options written, at fair value
***Statements of Assets and Liabilities location: Put options written, at fair value
****Statements of Assets and Liabilities location: Unrealized appreciation of futures contracts
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The effect of derivative instruments on the Statements of Operations and whose underlying risk exposure is equity price risk for the Buffer, Enhanced Growth and Dividend Aristocrats Funds and commodity risk for the Bitcoin Fund, for the year/period ended October 31, 2021 are as follows:
Fund | Derivative | Realized Gain |
| Change in | |
Buffer | Purchased Options - Put | $(21,330,422 | ) | $(9,888,653 | ) |
| Purchased Options - Call | 17,195,022 | | 51,441,095 | |
| Written Options – Put | 18,609,451 | | 302,913 | |
| Written Options – Call | (28,869,728 | ) | (8,194,641 | ) |
Enhanced Growth | Purchased Options - Call | 18,284,094 | | 28,050,296 | |
| Written Options – Call | (19,191,269 | ) | (8,932,891 | ) |
| | | | | |
Dividend Aristocrats | Written Options – Call | 543,599 | | (21 | ) |
| | | | | |
Bitcoin | Futures Contracts | (2,355 | ) | 145,991 | |
*Statements of Operations location: Net realized gain (loss) on put options purchased, call options purchased, put options written, call options written and futures contracts, respectively.
**Statements of Operations location: Net change in unrealized appreciation (depreciation) on put options purchased, call options purchased, put options written, call options written and futures contracts, respectively.
The following indicates the average monthly volume for the year/period:
| Average monthly notional value of: | | |
Fund | Derivative | Notional Value | |
Buffer | Purchased Options | $596,293,782 | |
| Written Options | (603,519,180 | ) |
| | | |
Enhanced Growth | Purchased Options | 160,843,166 | |
| Written Options | (160,843,166 | ) |
| | | |
Dividend Aristocrats | Written Options | (1,707,114 | ) |
| | | |
Bitcoin | Futures Contracts | 314,936 | |
Options
Call options give the owner the right to buy a stock at a specific price (also called the strike price) over a given period of time. Put options give the owner the right, but not the obligation, to sell a stock at a specific price over a given period of time. A purchaser (holder) of an option pays a non-refundable premium to the seller (writer) of an option to obtain the right to buy/sell a specified amount of a security at a fixed price (the exercise price) during a specified period (exercise period). Conversely, the seller (writer) of an option, upon payment by the holder of the premium, has the obligation to sell/buy the security from the holder of the option at the exercise price during the exercise period. When an option is exercised, the premium originally received decreases the cost
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basis of the underlying security (or increases the proceeds on the security sold short) and the Funds realize a gain or loss from the sale of the security (or closing of the short sale). Options are not treated as hedging instruments under GAAP.
Buffer and Enhanced Growth use FLEX Options, which are customized equity or index option contracts that trade on an exchange, but that provide investors with the ability to customize key contract terms like exercise prices, styles and expiration dates. Like standardized exchange-traded options, FLEX Options are guaranteed for settlement by The Options Clearing Corporation (“OCC”), a market clearinghouse. The OCC guarantees performance by each of the counterparties to the FLEX Options, becoming the “buyer for every seller and the seller for every buyer,” protecting clearing members and options traders from counterparty risk. FLEX Options provide investors with the ability to customize key terms, while achieving price discovery in competitive, transparent auctions markets and avoiding the counterparty exposure of Over-the-Counter (“OTC”) options positions. The Funds bear the risk that the OCC will be unable or unwilling to perform its obligations under the FLEX Options contracts. Additionally, FLEX Options may be less liquid than certain other securities such as standardized options. In a less liquid market for the FLEX Options, the Funds may have difficulty closing out certain FLEX Options positions at desired times and prices. The value of the FLEX Options may change with the implied volatility of the Reference Exchange Traded Funds (“ETF”), the S&P 500® Index and the securities comprising the S&P 500® Index. No one can predict whether implied volatility will rise or fall in the future.
The methodology for the Funds’ strategies were created by the Chicago Board Options Exchange (“Cboe”).
Buffer is designed to measure the returns of a hypothetical portfolio of exchange traded FLexible EXchange® Options (“FLEX Options”) that reference the S&P 500® Index and are designed to track the returns of a “Buffer Protect” options strategy. A Buffer Protect options strategy is a type of “target outcome” strategy. A target outcome strategy seeks to target returns from an investment that is bought at inception of the strategy and held for a specific period of time. A Buffer Protect options strategy is an investment in a portfolio of options linked to an underlying asset that, when bought at inception of the strategy and held to the expiration of the options, seeks to target returns that buffer protect against downside losses due to decline in the underlying asset, while providing participation up to a maximum capped gain in the underlying asset.
Enhanced Growth is designed to measure the returns of a hypothetical portfolio of exchange traded FLexible EXchange® Options (“FLEX Options”) that reference the S&P 500® Index and are designed to track the returns of an “Enhanced Growth” options strategy. An Enhanced Growth options strategy is a type of “target outcome” strategy. A target outcome strategy seeks to target returns from an investment that is bought at inception of the strategy and held for a specific period of time. An Enhanced Growth options strategy is an investment in a portfolio of options linked to an underlying asset that, when bought at inception of the strategy and held to the expiration of the options, seeks to target returns that, over a period of approximately one year, provides two-to-one enhanced returns on the price appreciation of the underlying asset up to a capped level, while providing one-to-one exposure to any losses from price depreciation.
Dividend Aristocrats is designed with the primary goal of generating an annualized level of income that is approximately 3.5% over the annual dividend yield of the S&P 500® Index and a secondary goal of generating price returns that are proportional to the price returns of the S&P 500® Index. The Index investment strategy includes, (1) buying an equally weighted portfolio of stocks of companies (“Stock Portfolio”) that are the members of the S&P 500® Dividend Aristocrats® Index (“SPDAUDT Index”) and (2) partially writing hypothetical weekly U.S. exchange-traded covered call options on each of the stocks.
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Purchased option contracts – When the Funds purchase a call or put option, an amount equal to the total premium (the premium plus commission) paid by the Fund is recorded as an asset in the Funds’ Statement of Assets and Liabilities and is subsequently marked-to-market daily. Premiums paid in the purchase of options that expire are treated as realized losses. Premiums paid in the purchase of call options that are exercised will increase the cost of the underlying security purchased. Premiums paid in the purchase of put options that are exercised will decrease the proceeds used to calculate the realized capital gain or loss on the sale of the underlying security.
Written option contracts – When the Funds write a call or put option, an amount equal to the net premium (the premium less the commission) received by the Funds are recorded in the Funds’ Statement of Assets and Liabilities and is subsequently marked-to-market daily. Premiums received from writing call and put options that expire are treated as realized capital gains. Premiums received from writing call options that are exercised will increase the proceeds used to calculate the realized capital gain or loss on the sale of the underlying security. Premiums received from writing put options that are exercised will decrease the basis of the underlying security purchased.
If a closing purchase or sale transaction is used to terminate a Fund’s obligation on an option, a capital gain or loss will be realized, depending upon whether the price of the closing transaction is more or less than the premium previously paid on the option purchased or received on the option written.
Underlying Investment in Other Investment Companies
Buffer and Enhanced Growth seek to achieve their investment objectives by investing a portion of their assets in the SPDR S&P 500 ETF Trust (the “ETF”). The Funds may redeem their investments from the ETF at any time if the Adviser determines that it is in the best interest of the Funds and their shareholders to do so. As of October 31, 2021, none of the Funds respective net assets were invested in the ETF.
Futures Contracts
Futures contracts are financial contracts, the value of which depends on, or is derived from an underlying reference asset. In the case of Bitcoin Futures, the underlying reference asset is Bitcoin. A futures contract provides for the future sale by one party and purchase by another party of a specified amount of a specific financial instrument (e.g., units of a stock index) for a specified price, date, time and place designated at the time the contract is made. Brokerage fees are paid when a futures contract is bought or sold and margin deposits must be maintained.
Consolidation of Subsidiary
The Bitcoin Fund may invest up to 25% of its total assets in its subsidiary, Cboe Vest Cayman Subsidiary I, a wholly-owned and controlled subsidiary formed under the laws of the Cayman Islands. The Consolidated Schedule of Investments, Statement of Assets and Liabilities, Statement of Operations, Statements of Changes in Net Assets and Financial Highlights of the Bitcoin Fund include the accounts of the Cboe Vest Cayman Subsidiary I. All inter-company accounts and transactions have been eliminated in the consolidation for the Bitcoin Fund. The Cboe Vest Cayman Subsidiary I is advised by the Adviser and acts as an investment vehicle in order to effect certain investments consistent with the Bitcoin Fund’s investment objectives and policies specified in the Bitcoin Fund’s prospectus and statement of additional information. The Cboe Vest Cayman Subsidiary I will generally invest in derivatives, including futures, and other investments intended to serve as margin or collateral for futures positions. The inception date of the Cboe Vest Cayman Subsidiary I was August 13, 2021. As of October 31, 2021, net assets of the Bitcoin Fund were $839,810, of which $192,589, or approximately 22.93%, represented the Bitcoin Fund’s ownership of the shares of the Cboe Vest Cayman Subsidiary I.
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NOTE 2 – INVESTMENT ADVISORY AND DISTRIBUTION AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
Effective November 22, 2019 for Buffer and Dividend Aristocrats, December 19, 2019 for Enhanced Growth, and August 1, 2021 for Bitcoin pursuant to an Investment Advisory Agreement, the Adviser provides investment advisory services, computed at an annual rate based on the average daily net assets of each Fund. For the Bitcoin Fund the rate is 1.00% and for the Buffer, Enhanced Growth and Dividend Aristocrats Funds the rate is computed in accordance with the following fee schedule:
Asset Breakpoint | Rate |
$0-$249,999,999.99 | 0.75% |
$250,000,000-$749,999,999.99 | 0.65% |
$750,000,000-$1,499,999,999.99 | 0.60% |
$1,500,000,000-$4,999,999,999.99 | 0.55% |
>$5,000,000,000 | 0.50% |
The Adviser has entered into a written expense limitation agreement under which it has agreed to limit the total expenses of the Funds (exclusive of interest, fees payable pursuant to Rule 12b-1 Plans, taxes, acquired fund fees and expenses, brokerage commissions, extraordinary expenses and dividend expense on short sales) to an annual rate of 0.95% of the average daily net assets of each class of shares of the Buffer, Enhanced Growth and Dividend Aristocrats and 1.45% of the average daily net assets of each class of shares of Bitcoin, except for the Class Y Shares where the Adviser has agreed to limit the total expenses to 0.70% for Buffer, Enhanced Growth and Dividend Aristocrats and 1.25% for Bitcoin. The Adviser may not terminate this expense limitation agreement prior to February 28, 2022 for Buffer, Enhanced Growth and Dividend Aristocrats and February 28, 2023 for Bitcoin. Each waiver or reimbursement of an expense by the Adviser is subject to repayment by the Funds within three years following the date such waiver and/or reimbursement was made, provided that the Funds are able to make the repayment without exceeding the expense limitation in place at the time of the waiver or reimbursement and at the time the waiver or reimbursement is recouped.
For the period/year ended October 31, 2021, the Adviser earned and waived advisory fees pursuant to the expense limitation arrangements as described below:
Fund |
| Fee |
| Management |
| Management |
Buffer | | 0.74% | | $2,112,122 | | $442,883 |
Enhanced Growth | | 0.75% | | 588,818 | | 147,925 |
Dividend Aristocrats | | 0.75% | | 504,047 | | 193,606 |
Bitcoin | | 1.00% | | 1,238 |
| 25,445 |
The total amount of recoverable reimbursements as of October 31, 2021 and expiration dates are as follows:
| | Recoverable Reimbursements and Expiration Dates | ||||||
Fund |
| 2022 |
| 2023 |
| 2024 |
| Total |
Buffer | | $226,080 | | $264,305 | | $442,883 | | $933,268 |
Enhanced Growth | | 180,359 | | 94,509 | | 147,925 | | 422,793 |
Dividend Aristocrats | | 265,279 | | 207,065 | | 193,606 | | 665,950 |
Bitcoin | | — | | — | | 25,445 | | 25,445 |
The Board has adopted a Distribution and Service Plan for the Funds’ Investor Class, Class A and Class C Shares (collectively, the “12b-1 Plans”) in accordance with Rule 12b-1 under the 1940 Act. Pursuant to the 12b-1 Plan, the Funds may finance from the assets of a particular Class certain activities
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or expenses that are intended primarily to result in the sale of shares of such class. The Funds finance these distribution and service activities through payments made to First Dominion Capital Corp. (“Distributor”). The fee paid to the Distributor by each class is computed on an annualized basis reflecting the average daily net assets of a class, up to a maximum of 0.25% for Investor Class and Class A Shares expenses and 1.00% for Class C Shares expenses. Because these fees are paid out of a class’s assets on an ongoing basis, over time these fees will increase the cost of your investment and may cost more than paying other types of sales charges.
The Funds have adopted a shareholder services plan with respect to their Investor Class, Institutional Class, Class A and Class C Shares. Under the shareholder services plan, the Funds may pay an authorized firm on an annualized basis, up to 0.25% of average daily net assets attributable to their customers who are shareholders. For this fee, the authorized firms may provide a variety of services, including but not limited to: (i) arranging for bank wires; (ii) responding to inquiries from shareholders concerning their investment in the Funds; (iii) assisting shareholders in changing dividend options, account designations and addresses; (iv) providing information periodically to shareholders showing their position in shares; (v) forwarding shareholder communications from the Funds such as proxies, shareholder reports, annual reports, and dividend distribution and tax notices to shareholders; (vi) processing purchase, exchange and redemption requests from shareholder and placing orders with the Funds or their service providers; (vii) providing subaccounting with respect to shares beneficially owned by shareholders; and (viii) processing dividend payments from the Funds on behalf of shareholders.
Because the Funds have adopted the shareholder services plan to compensate authorized firms for providing the types of services described above, the Funds believe the shareholder services plan is not covered by Rule 12b-1 under the 1940 Act, which relates to payment of distribution fees. The Funds, however, follow the procedural requirements of Rule 12b-1 in connection with the implementation and administration of the shareholder services plan.
For the year/period ended October 31, 2021, the following expenses were incurred:
Fund | Class | Type of Plan | Fees Incurred |
Buffer | Institutional | Shareholder servicing | $152,535 |
Buffer | Investor | Shareholder servicing | 35,461 |
Buffer | A | Shareholder servicing | 3,763 |
Buffer | C | Shareholder servicing | 3,525 |
Buffer | Investor | 12b-1 | 53,178 |
Buffer | A | 12b-1 | 7,994 |
Buffer | C | 12b-1 | 36,122 |
Enhanced Growth | Institutional | Shareholder servicing | 7,818 |
Enhanced Growth | Investor | Shareholder servicing | 113,686 |
Enhanced Growth | A | Shareholder servicing | 7 |
Enhanced Growth | C | Shareholder servicing | 6 |
Enhanced Growth | Investor | 12b-1 | 183,792 |
Enhanced Growth | A | 12b-1 | 490 |
Enhanced Growth | C | 12b-1 | 38 |
Dividend Aristocrats | Institutional | Shareholder servicing | 38,954 |
Dividend Aristocrats | Investor | Shareholder servicing | 11,030 |
Dividend Aristocrats | A | Shareholder servicing | 3,081 |
Dividend Aristocrats | C | Shareholder servicing | 254 |
Dividend Aristocrats | Investor | 12b-1 | 11,030 |
Dividend Aristocrats | A | 12b-1 | 10,861 |
Dividend Aristocrats | C | 12b-1 | 27,883 |
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Fund | Class | Type of Plan | Fees Incurred |
Bitcoin | Institutional | Shareholder servicing | 9 |
Bitcoin | Investor | Shareholder servicing | 20 |
Bitcoin | Investor | 12b-1 | 4 |
Commonwealth Fund Services, Inc. (“CFS”) acts as the Funds’ administrator, transfer and dividend disbursing agent and pricing agent. CFS provides shareholder, recordkeeping, administrative and blue-sky filing services. For the year/period ended October 31, 2021, the following fees were paid to CFS by the Funds:
Fund |
| Administration |
| Transfer Agent |
| Accounting |
Buffer | | $104,197 | | $30,435 | | $105,167 |
Enhanced Growth | | 27,855 | | 12,912 | | 28,013 |
Dividend Aristocrats | | 23,792 | | 8,229 | | 24,168 |
Bitcoin | | 38 | | 22 | | 2,120 |
The amounts reflected on the Statements of Operations for Administration, Transfer Agent and Accounting fees may include out of pocket expenses not paid to CFS.
Certain officers of the Trust are also officers and/or directors of CFS. Additionally, Practus LLP, serves as legal counsel to the Trust. John H. Lively, Secretary of the Trust, is Managing Partner of Practus LLP. Tina H. Bloom is Assistant Secretary of the Trust and Partner of Practus LLP. Officers and/or directors of CFS, Mr. Lively and Ms. Bloom receive no special compensation from the Trust or the Fund for serving as officers of the Trust.
NOTE 3 – INVESTMENT TRANSACTIONS
The cost of purchases and proceeds from the sales of securities excluding short-term securities and in-kind transactions for the period/year ended October 31, 2021, were as follows:
Fund |
| Purchases |
| Sales |
Buffer | | $276,998,131 | | $245,536,842 |
Enhanced Growth | | 16,655,172 | | 44,125,312 |
Dividend Aristocrats | | 85,044,807 | | 83,525,972 |
Bitcoin | | 203,429 | | 154,284 |
For the year ended October 31, 2021, in-kind transactions associated with redemptions were $87,676,162 and the related realized gains were $27,477,695.
NOTE 4 – DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL
Distributions from net investment income and realized gains, if any, are recorded on the ex-dividend date. Income distributions and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
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The tax character of distributions for the period/year ended October 31, 2021 for Buffer, Enhanced Growth, Dividend Aristocrats and Bitcoin, and for the year ended October 31, 2020 for Buffer, Enhanced Growth and Dividend Aristocrats were as follows:
| | Year/Period ended October 31, 2021 | ||||||
| | Buffer |
| Enhanced |
| Dividend |
| Bitcoin |
Distributions paid from: | | | | | | | | |
Ordinary income | | $— | | $— | | $1,016,684 | | $— |
Return of capital | | 143,930 | | — | | — | | — |
Realized gains | | — |
| — |
| 2,274,016 |
| — |
| | $143,930 |
| $— |
| $3,290,700 |
| $— |
| | Year ended October 31, 2020 | ||||
| | Buffer |
| Enhanced |
| Dividend |
Distributions paid from: | | | | | | |
Ordinary income | | $1,712,224 | | $2,901,468 | | $2,299,050 |
Realized gains | | — | | — | | 416,189 |
Return of capital | | — |
| 1,417 |
| 149,328 |
| | $1,712,224 |
| $2,902,885 |
| $2,864,567 |
As of October 31, 2021, the components of distributable earnings on a tax basis were as follows:
Year/period ended October 31, 2021 | | ||||||||
| | Buffer |
| Enhanced |
| Dividend Aristocrats |
| Bitcoin | |
Accumulated net investment income (loss) | | $— | | $— | | $1,018,606 | | $141,833 | |
Accumulated net realized gain (loss) | | (23,980,966 | ) | (4,118,521 | ) | (1,118,593 | ) | — | |
Net unrealized appreciation (depreciation) | | 61,987,106 |
| 29,039,805 |
| 15,544,857 |
| — | |
| | $38,006,140 |
| $24,921,284 |
| $15,444,870 |
| $141,833 | |
Under current tax law, late-year ordinary losses realized after December 31 of a Fund’s fiscal year may be deferred and treated as occurring on the first business day of the following fiscal year for tax purposes. The Funds elected to defer late year ordinary losses as follows:
Fund |
|
| |
Buffer | | $2,069,194 | |
Enhanced Growth | | 783,724 | |
As of October 31, 2021, Buffer had a capital loss carryforward of $21,911,772 that may be carried forward indefinitely of which all is considered short term and Enhanced Growth had a capital loss carryforward of $3,334,797 that may be carried forward indefinitely of which all is considered short term. The difference between book basis and tax basis distributable earnings is attributable primarily to the tax deferral of wash sales and straddle loss deferrals.
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Cost of securities for Federal Income tax purposes, inclusive of premiums received from written options, and the related tax-based net unrealized appreciation (depreciation) consists of:
Fund |
| Cost |
| Gross |
| Gross |
| Net Unrealized |
Buffer | | $268,909,048 | | $84,074,711 | | $(22,087,605 | ) | $61,987,106 |
Enhanced Growth | | 52,358,577 | | 34,499,597 | | (5,459,792 | ) | 29,039,805 |
Dividend Aristocrats | | 58,714,252 | | 22,852,625 | | (7,307,768 | ) | 15,544,857 |
Bitcoin | | 602,912 | | — | | — | | — |
NOTE 5 – CAPITAL STOCK TRANSACTIONS
Capital stock transactions were:
Buffer | | ||||||||||
| | Year ended October 31, 2021 | | ||||||||
| | Institutional |
| Investor |
| Class A |
| Class C |
| Class Y | |
Shares sold | | 4,717,009 | | 427,486 | | 48,154 | | 38,786 | | 10,027,584 | |
Shares reinvested | | 1,250 | | — | | — | | — | | 8,699 | |
Shares redeemed | | (5,018,754 | ) | (638,828 | ) | (32,178 | ) | (37,129 | ) | (6,469,959 | ) |
Net increase (decrease) | | (300,495 | ) | (211,342 | ) | 15,976 |
| 1,657 |
| 3,566,324 | |
Buffer | | ||||||||||
| | Year ended October 31, 2020 | | ||||||||
| | Institutional |
| Investor |
| Class A |
| Class C |
| Class Y | |
Shares sold | | 11,054,032 | | 1,282,057 | | 62,045 | | 110,469 | | 3,012,724 | |
Shares reinvested | | 81,439 | | 5,898 | | 2,061 | | 943 | | 36,057 | |
Shares redeemed | | (4,903,177 | ) | (247,670 | ) | (121,199 | ) | (94,163 | ) | (947,825 | ) |
Net increase (decrease) | | 6,232,294 |
| 1,040,285 |
| (57,093 | ) | 17,249 |
| 2,100,956 | |
Enhanced Growth | ||||||||||||
| | Year ended October 31, 2021 | ||||||||||
| | Institutional Class |
| Investor |
| Class A |
| Class C |
| Class Y | ||
Shares sold | | 50,505 | | 549,381 | | 1,179 | | 342 | | — | ||
Shares redeemed | | (311,183 | ) | (531,943 | ) | (6,213 | ) | — |
| — | ||
Net increase (decrease) | | (260,678 | ) | 17,438 |
| (5,034 | ) | 342 |
| — |
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Enhanced Growth | ||||||||||||
| | Year ended October 31, 2020 | ||||||||||
| | Institutional Class |
| Investor |
| Class A |
| Class C |
| Class Y | ||
Shares sold | | 180,950 | | 3,114,228 | | 3,666 | | — | | — | ||
Shares reinvested | | 40,416 | | 188,796 | | 2,024 | | 92 | | 7 | ||
Shares redeemed | | (336,064 | ) | (1,048,839 | ) | (17,224 | ) | (1,312 | ) | — | ||
Net increase (decrease) | | (114,698 | ) | 2,254,185 |
| (11,534 | ) | (1,220 | ) | 7 |
Dividend Aristocrats | | ||||||||||
| | Year ended October 31, 2021 | | ||||||||
| | Institutional |
| Investor |
| Class A |
| Class C |
| Class Y | |
Shares sold | | 710,157 | | 126,995 | | 21,566 | | 10,880 | | 254,115 | |
Shares reinvested | | 140,108 | | 15,614 | | 15,585 | | 6,194 | | 67,546 | |
Shares redeemed | | (889,864 | ) | (49,297 | ) | (116,341 | ) | (47,750 | ) | (71,320 | ) |
Net increase (decrease) | | (39,599 | ) | 93,312 |
| (79,190 | ) | (30,676 | ) | 250,341 | |
Dividend Aristocrats | | ||||||||||
| | Year ended October 31, 2020 | | ||||||||
| | Institutional Class |
| Investor |
| Class A |
| Class C |
| Class Y | |
Shares sold | | 1,073,854 | | 93,329 | | 76,247 | | 78,747 | | 78,131 | |
Shares reinvested | | 161,282 | | 13,960 | | 17,891 | | 5,557 | | 53,551 | |
Shares redeemed | | (2,569,498 | ) | (123,611 | ) | (99,813 | ) | (5,100 | ) | (77,513 | ) |
Net increase (decrease) | | (1,334,362 | ) | (16,322 | ) | (5,675 | ) | 79,204 |
| 54,169 | |
Bitcoin | ||||||
| | Period ended October 31, 2021 | ||||
| | Institutional |
| Investor |
| Class Y |
Shares sold | | 11,864 | | 2,327 | | 19,999 |
Shares reinvested | | — | | — | | — |
Shares redeemed | | — |
| — |
| — |
Net increase (decrease) | | 11,864 |
| 2,327 |
| 19,999 |
NOTE 6 – SECTOR RISK
If a Fund has significant investments in the securities of issuers in industries within a particular sector, any development affecting that sector will have a greater impact on the value of the net assets of the Fund than would be the case if the Fund did not have significant investments in that sector. In addition, this may increase the risk of loss of an investment in the Fund and increase the volatility of the Fund’s NAV per share. From time to time, circumstances may affect a particular sector and the companies within such sector. For instance, economic or market factors, regulation or deregulation, and technological or other developments may negatively impact all companies in a particular sector and therefore the value of the Fund’s portfolio will be adversely affected. As of October 31, 2021, Dividend Aristocrats had 19.41% of the value of its net assets invested in securities within the Industrial sector.
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Note 7 – Bitcoin Risks
The following risk are specifically attributable to making investments in Bitcoin. Each of these risks could adversely impact the value of an investment in the Fund.
•New Technology Adoption Risks. Investing in Bitcoin represents an investment in a new technological innovation with a limited history. The limited market trading history may limit the ability of the Adviser to assess opportunities and risks.
•Industry Uncertainty Risks. Bitcoin and the marketplace for Bitcoin is relatively new, which means that this type of investment is subject to a high degree of uncertainty. Uncertainty surrounding the adoption of Bitcoin, growth in its usage and in the blockchain for various applications and an accommodating regulatory environment creates a risk for the Fund.
•Bitcoin Volatility Risks. Bitcoin trading prices are volatile. As a result, Bitcoin may be more likely to fluctuate in value due to changing investor confidence in future appreciation in the price of Bitcoin. Historically realized volatility may not be indicative of future volatility. Due to this limitation, changes in market conditions, or other factors, the actual realized volatility of the Fund for any particular period may be materially higher or lower than the volatility targeted by the Adviser. The return of the Fund for any given period could be directionally different than the price direction of Bitcoin or Bitcoin Futures depending on allocation decisions made by the Adviser in its attempt to implement the Managed Volatilty Strategy.
•Regulatory Risks. While the Bitcoin and the trading platforms and infrastructure on which Bitcoin is traded is largely unregulated, both domestic and foreign regulators and governments have given significant attention to fraud and other manipulative acts that have occurred related to Bitcoin. To the extent that future regulatory actions or policies limit or restrict Bitcoin usage, Bitcoin trading or the ability to convert Bitcoin to government currencies, the demand for Bitcoin may be reduced, which may adversely affect an investment in the Fund. Moreover, additional regulation or changes to existing regulation may also require changes to the Fund’s investment strategies.
•Excess Supply Risks. Newly created Bitcoin are generated through a process referred to as “mining,” and such Bitcoin are referred to as “newly mined Bitcoin.” If entities engaged in Bitcoin mining choose not to hold the newly mined Bitcoin, and, instead, make them available for sale, this increase in the supply of such Bitcoin can create downward pressure on the price of Bitcoin. The supply of Bitcoin is constrained or formulated by its protocol, such that the number of newly minted Bitcoins is reduced over time until Bitcoin issuance halts completely with a total of 21 million Bitcoins in existence.
•Disruptions and Failures at Bitcoin. Bitcoin trading platforms operate websites on which users can trade Bitcoin for U.S. dollars, other government currencies or other digital assets. Bitcoin trading platforms have a limited history with a record of disruptions. In many of these instances, the customers of such trading platforms were not compensated or made whole for the partial or complete losses of their funds held at the trading platforms. The potential for instability of Bitcoin trading platforms and the closure or temporary shutdown of trading platforms due to fraud, business failure, hackers, distributed denial of service attacks or malware, or government-mandated regulation may reduce confidence in Bitcoin, which may result in greater volatility in Bitcoin.
•Risks Associated with Demand for Specific Digital Assets. As the market for Bitcoin evolves, it is possible that a digital asset other than Bitcoin held by the Fund could have features that make it more desirable to a material portion of the digital asset user base, resulting in a reduction in demand for Bitcoin held by the Fund (and thus negatively impacting the value of the Fund). Bitcoin hold a “first-to-market” advantage over other
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digital assets. Despite the market first-mover advantage of Bitcoin, it is possible that other digital assets could become materially popular due to either a perceived or exposed shortcoming of a network protocol that is not immediately addressed or a perceived advantage of an alternative digital assets that includes features not incorporated into Bitcoins held by the Fund. In such circumstances, the demand for the Bitcoin held by the Fund could be negatively impacted. Decreased demand for Bitcoin may adversely affect its price, which may adversely affect an investment in the Fund.
•Competition from central bank digital currencies (“CBDCs”). Central banks have introduced digital forms of legal tender. China’s CBDC project, known as Digital Currency Electronic Payment, has reportedly been tested in a live pilot program conducted in multiple cities in China. A recent study published by the Bank for International Settlements estimated that at least 36 central banks have published retail or wholesale CBDC work ranging from research to pilot projects. Whether or not they incorporate blockchain or similar technology, CBDCs, as legal tender in the issuing jurisdiction, could have an advantage in competing with, or replacing, bitcoin and other cryptocurrencies as a medium of exchange or store of value. Central banks and other governmental entities have also announced cooperative initiatives and consortia with private sector entities, with the goal of leveraging blockchain and other technology to reduce friction in cross-border and interbank payments and settlement, and commercial banks and other financial institutions have also recently announced a number of initiatives of their own to incorporate new technologies, including blockchain and similar technologies, into their payments and settlement activities, which could compete with, or reduce the demand for, Bitcoin. As a result of any of the foregoing factors, the value of Bitcoin could decrease, which could adversely affect an investment in the Fund.
•Risks from Decreased Incentives for Miners. Miners generate revenue from both newly created Bitcoin (known as the “block reward”) and from fees taken upon verification of transactions. If the aggregate revenue from transaction fees and the block reward is below a miner’s cost, the miner may cease operations. An acute cessation of mining operations would reduce the collective processing power on the blockchain. A large-scale cessation, either due to policy intervention or other reasons, may also cause higher volatility in Bitcoin price, lower process power of the bitcoin network, and higher transaction costs. Any reduction in confidence in the transaction verification process or mining processing power may adversely impact the price of Bitcoin. Furthermore, the block reward will decrease over time. As the block reward continues to decrease over time, the mining incentive structure will transition to a higher reliance on transaction verification fees in order to incentivize miners to continue to dedicate processing power to the blockchain. If transaction verification fees become too high, the marketplace may be reluctant to use Bitcoin. Decreased demand for Bitcoin may adversely affect its price, which may adversely affect an investment in the Fund.
•Risks of Changes to Bitcoin Network. A small group of individuals can propose refinements or improvements to the Bitcoin Network’s source code through one or more software upgrades that alter the protocols and software that govern the Bitcoin network and the properties of Bitcoin, including the irreversibility of transactions and limitations on the mining of new Bitcoin. However, if less than a substantial majority of users and miners consent to the proposed modification, and the modification is not compatible with the software prior to its modification, the consequence would be what is known as a “fork” (i.e., “split”) of the Bitcoin network (and the blockchain), with one prong running the pre-modified software and the other running the modified software. The effect of such a fork would be the existence of two versions of the Bitcoin network running in parallel, but with each version’s Bitcoin (the asset) lacking interchangeability. It is possible, however, that a substantial number of Bitcoin users and miners could adopt an incompatible version of Bitcoin while resisting community-led efforts to merge the two chains. It is unclear how such actions will affect the long-term viability of Bitcoin and, accordingly, may adversely affect an investment in the Fund.
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•Risks Associated with Intellectual Property Rights. Third parties may assert intellectual property claims relating to the holding and transfer of certain Bitcoin and their source code. Regardless of the merit of any intellectual property or other legal action, any threatened action that reduces confidence in the Bitcoin network’s long-term viability or the ability of end-users to hold and transfer Bitcoin may adversely affect an investment in the Fund.
NOTE 8 – CONTROL PERSONS AND PRINCIPAL SECURITIES HOLDERS
A principal shareholder is any person who owns (either of record or beneficially) 5% or more of the outstanding shares of the Fund. A control person is one who owns, (either directly or indirectly), more than 25% of the voting securities of the Fund or acknowledges the existence of such control. As a controlling shareholder, each of these persons could control the outcome of any proposal submitted to the shareholders for approval, including changes to the Fund’s fundamental policies or the terms of the management agreements with the Adviser. At October 31, 2021, one shareholder owned 58% of the Bitcoin Fund’s outstanding shares.
NOTE 9 – RECENT MARKET EVENTS
In early 2020, an outbreak of the novel strain of coronavirus (“COVID-19”) emerged globally. As a result, there have been mandates from federal, state and local authorities resulting in an overall decline in economic activity. The ultimate impact of COVID-19 on the financial performance of the Funds’ investments is not reasonably estimable at this time.
NOTE 10 – SUBSEQUENT EVENTS
Effective December 1, 2021, the Funds’ principal underwriter is Foreside Fund Services, LLC.
Subsequent to the date of the financial statements, Dividend Aristocrats has made the following distributions to the shareholders of record:
Fund |
| Record Date |
| Ex-Dividend Date |
| Character |
| Amount |
Dividend Aristocrats | | October 29, 2021 | | November 1, 2021 | | Net investment income | | $48,936 |
Dividend Aristocrats | | October 29, 2021 | | November 1, 2021 | | Short-term capital gain | | 312,368 |
Dividend Aristocrats | | November 30, 2021 | | December 1, 2021 | | Net investment income | | 120,549 |
Dividend Aristocrats | | November 30, 2021 | | December 1, 2021 | | Short-term capital gain | | 122,554 |
Management has evaluated all transactions and events subsequent to the date of the Statements of Assets and Liabilities through the date on which these financial statements were issued and, except as noted above, has noted no additional items require disclosure.
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ANNUAL REPORT
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Report of Independent Registered Public Accounting Firm |
To the Shareholders of Cboe Vest S&P 500® Buffer Strategy Fund, Cboe Vest S&P 500® Enhanced Growth Strategy Fund, Cboe Vest S&P 500® Dividend Aristocrats Target Income Fund and Cboe Vest Bitcoin Strategy Managed Volatility Fund and Board of Trustees of World Funds Trust
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, options written and futures contracts, of the funds listed below (the “Funds”), each a series of World Funds Trust, as of October 31, 2021, the related statements of operations, the statements of changes in net assets, the related notes, and the financial highlights for each of the periods indicated below (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of October 31, 2021, the results of their operations, the changes in net assets, and the financial highlights for each of the periods indicated below in conformity with accounting principles generally accepted in the United States of America.
Fund Name | Statements of | Statement(s) of | Financial Highlights |
Cboe Vest S&P 500® Buffer Strategy Fund | For the year ended October 31, 2021 | For the years ended October 31, 2021 and 2020 | For the years ended October 31, 2021, 2020, 2019, 2018 and 2017 |
Cboe Vest S&P 500® Enhanced Growth Strategy Fund | For the year ended October 31, 2021 | For the years ended October 31, 2021 and 2020 | For the years ended October 31, 2021, 2020, 2019, 2018 and for the period from December 21, 2016 (commencement of operations) through October 31, 2017 |
Cboe Vest S&P 500® Dividend Aristocrats Target Income Fund | For the year ended October 31, 2021 | For the years ended October 31, 2021 and 2020 | For the years ended October 31, 2021, 2020, 2019, 2018 and for the period from September 11, 2017 (commencement of operations) through October 31, 2017 |
Cboe Vest Bitcoin Strategy Managed Volatility Fund* | For the period from August 13, 2021 (commencement of operations) through October 31, 2021 |
*The financial statements referred to above are Consolidated Financial Statements.
Basis for Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.
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Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of October 31, 2021, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the Funds’ auditor since 2016.
COHEN & COMPANY, LTD.
Cleveland, Ohio
December 30, 2021
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ANNUAL REPORT
World Funds Trust (the “Trust”) |
Supplemental Information (unaudited) |
Information pertaining to the trustees and executive officers of the Trust is set forth below. The names, addresses and ages of the trustees and officers of the Trust, together with information as to their principal occupations during the past five years, are listed below. The Statement of Additional Information (the “SAI”) includes additional information about the trustees and is available without charge upon request by calling, toll-free, 1-800-673-0550.
The mailing address of each Trustee and officer is 8730 Stony Point Parkway, Suite 205, Richmond, VA, 23235, unless otherwise indicated.
NON-INTERESTED TRUSTEES
NAME, AGE | TERM OF | PRINCIPAL | NUMBER OF FUNDS IN FUND COMPLEX OVERSEEN BY TRUSTEE | OTHER DIRECTORSHIPS |
David J. Urban (66) Trustee | Indefinite, Since June 2010 | Dean, Jones College of Business, Middle Tennessee State University since July 2013. | 20 | Independent Trustee for the nine series of the ETF Opportunities Trust (registered investment company) |
Mary Lou H. Ivey (63) Trustee | Indefinite, Since June 2010 | Accountant, Harris, Hardy & Johnstone, P.C., (accounting firm), since 2008. | 20 | Independent Trustee for the nine series of the ETF Opportunities Trust (registered investment company) |
Theo H. Pitt, Jr. (85) Trustee | Indefinite, Since August 2013 | Senior Partner, Community Financial Institutions Consulting (bank consulting) since 1997 to present. | 20 | Independent Trustee of Chesapeake Investment Trust for the one series of that trust; Leeward Investment Trust for the one series of that trust; Hillman Capital Management Investment Trust for the one series of that trust; Starboard Investment Trust for the 17 series of that trust; and ETF Opportunities Trust for the nine series of that trust; (all registered investment companies) |
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OFFICERS WHO ARE NOT TRUSTEES
NAME, AGE | TERM OF | PRINCIPAL OCCUPATION(S) DURING |
David A. Bogaert (58) President | Indefinite, Since August 2017 | Managing Director of Business Development, Commonwealth Fund Services, Inc. (fund administration and transfer agency), |
Karen M. Shupe (57) Treasurer and Principal Executive Officer | Indefinite, Since June 2008 | Managing Director of Fund Operations, Commonwealth Fund Services, Inc., 2003 to present. |
Ann T. MacDonald (67) Assistant Treasurer and Principal Financial Officer | Indefinite, Since November 2015 | Managing Director, Fund Accounting and Administration, Commonwealth Fund Services, Inc., 2003 to present. |
John H. Lively (52) Secretary | Indefinite, Since November 2013 | Attorney, Practus LLP, (law firm), May 2018 to present; Attorney, The Law Offices of John H. Lively & Associates, Inc. (law firm), March 2010 to May 2018. |
Tina H. Bloom (53) Assistant Secretary | Indefinite, Since November 2018 | Attorney, Practus LLP, May 2018 to present; Attorney, The Law Offices of John H. Lively & Associates, Inc., November 2017 to May 2018; Director of Fund Administration of Ultimus Fund Solutions, LLC (fund administration and transfer agency) from 2011-2017. |
Holly B. Giangiulio (59) Assistant Secretary | Indefinite, Since November 2015 | Managing Director, Corporate Operations, Commonwealth Fund Services, Inc., January 2015 to present. |
Julian G. Winters (52) Chief Compliance Officer | Indefinite, Since August 2013 | Managing Member of Watermark Solutions, LLC (investment compliance and consulting) since March 2007. |
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to securities held in the Funds’ portfolio is available, without charge and upon request, by calling 1-800-673-0550 or on the SEC’s website at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent twelve months ended June 30 is available on or through the SEC’s website at www.sec.gov.
QUARTERLY PORTFOLIO HOLDINGS
The Funds file with the SEC a complete schedule of its portfolio holdings, as of the close of the first and third quarters of its fiscal year, on “Form N-PORT”. These filings are available, without charge and upon request, by calling 1-800-673-0550 or on the SEC’s website at www.sec.gov.
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Supplemental Information (unaudited) - continued |
FUND’S LIQUIDITY RISK MANAGEMENT PROGRAM (unaudited)
The Funds have adopted and implemented a written liquidity risk management program as required by Rule 22e-4 under the 1940 Act. The program is reasonably designed to assess and manage the Funds’ liquidity risk, taking into consideration the Funds’ investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions; its short and long-term cash flow projections; and its cash holdings. The Funds’ Board of Trustees approved the appointment of the Adviser as the Funds’ Liquidity Risk Management Administrator. The Adviser has appointed representatives from its compliance, trading, and portfolio management departments to assist in the program’s administration and oversight and for reporting to the Board on at least an annual basis regarding the program’s operation and effectiveness. The Liquidity Risk Management Administrator performed an assessment with respect to the Buffer, Enhanced Growth and Dividend Aristocrats Funds of those Funds’ liquidity risk profile, considering information gathered and its actual experience in administering the program over the 12 months ended November 30, 2020 in order to prepare a written report to the Board of Trustees for consideration at its meeting held on May 26, 2021. The report concluded that (i) the Funds did not experience significant liquidity challenges during the covered period; (ii) the Funds’ investment strategies remain appropriate for an open-end fund; and (iii) the Funds’ liquidity risk management program is reasonably designed to assess and manage each Fund’s liquidity risk.
INVESTMENT ADVISORY AGREEMENT APPROVALS – Cboe Vest Bitcoin Strategy Managed Volatility Fund
At a special meeting held on July 29, 2021 (the “Meeting”), the Board of Trustees (the “Board”) of the World Funds Trust (the “Trust”) considered the approval of the proposed investment advisory agreement (the “Cboe Vest Bitcoin Advisory Agreement”) between the Trust and Cboe Vest Financial, LLC (“Cboe Vest”) and the proposed investment advisory agreement between Cboe Vest Cayman Subsidiary (the “Cboe Vest Subsidiary”) and Cboe Vest (together with the Cboe Vest Bitcoin Advisory Agreement, the “Agreements”), each in regard to the Cboe Vest Bitcoin Strategy Managed Volatility Fund (the “Fund”). The Board reflected on its discussions regarding the Agreements and the manner in which the Fund was to be managed with representatives of Cboe Vest earlier in the Meeting. Mr. Lively referred the Board to the Meeting Materials, which included, among other things, the memorandum from Counsel addressing the duties of Trustees regarding the approval of the Agreements, a letter from Counsel to Cboe Vest and Cboe Vest’s responses to that letter (the “15c Response”), financial information for Cboe Vest, a copy of Cboe Vest’s Form ADV, and a fee comparison analysis for the Fund and comparable mutual funds.
Mr. Lively discussed the types of information and factors that should be considered by the Board in order to make an informed decision regarding the approval of the Agreements, including the following material factors: (i) the nature, extent, and quality of the services to be provided by Cboe Vest; (ii) the investment performance of the Fund and Cboe Vest; (iii) the costs of the services to be provided and profits to be realized by Cboe Vest from the relationship with the Fund; (iv) the extent to which economies of scale would be realized if the Fund grows and whether advisory fee levels reflect those economies of scale for the benefit of the Fund’s investors; and (v) the practices of Cboe Vest regarding possible conflicts of interest.
In assessing these factors and reaching its decisions, the Board took into consideration information specifically prepared or presented at this Meeting. The Board requested or was provided with information and reports relevant to the approval of the Agreements, including: (i) information regarding the services and support to be provided by Cboe Vest to the Fund and its shareholders; (ii) the presentation by management of Cboe Vest addressing the investment philosophy, investment strategy, personnel and operations to be utilized in managing the Fund; (iii) information pertaining to the compliance structure of Cboe Vest; (iv) disclosure information contained in the Fund’s registration statement and the Form ADV and/or policies and procedures of Cboe Vest; and (v) the memorandum
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Supplemental Information (unaudited) - continued |
from Counsel that summarized the fiduciary duties and responsibilities of the Board in reviewing and approving the Agreements, including the material factors set forth above and the types of information included in each factor that should be considered by the Board in order to make an informed decision.
Mr. Lively reminded the Board that it also requested and received various informational materials including, without limitation: (i) documents containing information about Cboe Vest, including financial information, a description of personnel and the services to be provided by Cboe Vest to the Fund, information on investments, performance, expenses of the Fund, Cboe Vest’s compliance program, current legal matters, and other general information; and (ii) comparative expense and performance information for other funds with strategies similar to the Fund prepared by an independent third party.
In deciding whether to approve the Agreements, the Trustees considered numerous factors, including:
1.The nature, extent, and quality of the services to be provided by Cboe Vest.
In this regard, the Board considered the responsibilities of Cboe Vest under the Agreements. The Board reviewed the services to be provided by Cboe Vest to the Fund and the Cboe Vest Subsidiary including, without limitation, the process for formulating investment recommendations and assuring compliance with the Fund’s investment objectives and limitations; the coordination of services for the Fund among the service providers, and the anticipated efforts of Cboe Vest to promote the Fund and grow assets. The Board considered: Cboe Vest’s staffing, personnel, and methods of operating; the education and experience of its personnel; its financial condition; and its compliance programs, policies and procedures. After reviewing the foregoing and further information from Cboe Vest, the Board concluded that the quality, extent, and nature of the services to be provided by Cboe Vest was satisfactory and adequate for the Fund and the Cboe Vest Subsidiary.
2.Investment Performance of the Fund and Cboe Vest.
The Board noted that the Fund had not yet commenced operations in the Trust. The Trustees further noted that Cboe Vest has not managed investments for other clients with investment objectives similar to those of the Fund in the past year.
3.The costs of services to be provided and profits to be realized by Cboe Vest from the relationship with the Fund.
In this regard, the Board considered: the financial condition of Cboe Vest and the level of commitment to the Fund by Cboe Vest; the projected profitability of the Fund to Cboe Vest; and the proposed expenses of the Fund, including the nature and frequency of advisory fee payments. The Board also considered potential benefits for Cboe Vest in managing the Fund. The Board compared the fees and expenses of the Fund (including the advisory fee) to other funds comparable to it in terms of the type of fund, the style of investment management, the size of fund and the nature of the investment strategy and markets invested in, among other factors. The Board noted that Cboe Vest has contractually agreed to limit the Fund’s annual operating expenses to an annual rate of 1.45% of the average daily net assets of each class of shares of the Fund, except for the Class Y shares where the Adviser has agreed to limit the total expenses to 1.25%, until February 28, 2023. The Trustees considered that this 1.45% expense ratio was higher than the 1.41% median net expense ratio of the peer group of funds selected by Broadridge from Morningstar’s Systematic Trend category but lower than the 1.47% median net expense ratio of the category overall. The Board also noted that the Fund’s projected gross and net advisory fee payable to Cboe Vest under the Cboe Vest Bitcoin Advisory Agreement was lower than the median of its peer group and category. The Board further noted that Cboe Vest will not receive any additional compensation specific to its services to be rendered to the Cboe Vest Subsidiary. The Board determined that the advisory fees were within an acceptable range in light of the services to be rendered by Cboe Vest. Following this
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Supplemental Information (unaudited) - continued |
comparison and upon further consideration and discussion of the foregoing, the Board concluded that the projected profitability and fees to be paid to Cboe Vest were fair and reasonable.
4.The extent to which economies of scale would be realized as the Fund grows and whether advisory fee levels reflect these economies of scale for the benefit of the Fund’s investors.
In this regard, the Board considered the Fund’s fee arrangements with Cboe Vest. The Board noted that the advisory fee would stay the same as asset levels increased, although it noted that Cboe Vest had entered into an expense limitation arrangement pursuant to which it has agreed to limit the Fund’s expenses, until February 28, 2023, to an annual rate of 1.45% of the average daily net assets of each class of shares of the Fund, except for the Class Y shares where the Adviser has agreed to limit the total expenses to 1.25%, excluding certain expenses. The Board considered the Adviser’s representation that this arrangement is effectively better for shareholders of the Fund than breakpoints in that it allows shareholders to immediately benefit without having to have assets grow significantly. Following further discussion of the Fund’s projected asset levels and expectations for growth, the Board determined that the Fund’s fee arrangements with Cboe Vest were fair and reasonable and reasonable in relation to the nature and quality of the services to be provided by Cboe Vest and that the expense limitation arrangements provided potential savings or protection for the benefit of the Fund’s shareholders.
5.Possible conflicts of interest and other benefits.
In evaluating the possibility for conflicts of interest, the Board considered such matters as: the experience and ability of the advisory personnel assigned to the Fund; the basis of decisions to buy or sell securities for the Fund; the method for allocating purchases and sales of portfolio securities; the substance and administration of Cboe Vest’s Code of Ethics and other relevant policies described in Cboe Vest’s Form ADV. Following further consideration and discussion, the Board indicated that Cboe Vest’s standards and practices relating to the identification and mitigation of potential conflicts of interest, as well as the benefits to be derived by Cboe Vest from managing the Fund were satisfactory.
The Board did not identify any particular information that was most relevant to its consideration to approve the Agreements and each Trustee may have afforded different weight to the various factors. After additional consideration of the factors delineated in the memorandum provided by Counsel and further discussion and careful review by the Board, the Board determined that the compensation payable under the Agreements was fair, reasonable, and within a range of what could have been negotiated at arms-length in light of all the surrounding circumstances, and they approved the Agreements for initial two-year terms.
See Notes to Financial Statements
80
ANNUAL REPORT
THE CBOE VEST FAMILY OF FUNDS |
Fund Expenses (unaudited) |
Fund Expenses Example
As a shareholder, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, distribution (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Cboe Vest Family of Funds and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the six months, May 1, 2021, and held for the six months ended October 31, 2021.
Actual Expenses Example
The first line of the table below provides information about actual account values and actual expenses. You may use the information in these lines, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000= 8.6), then multiply the result by the under the heading entitled “Expenses Paid During the Six months” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below also provides information about hypothetical account values and hypothetical expenses based on of the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as contingent deferred sales charges on certain redemptions. Therefore, the hypothetical account values are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Beginning | Ending | Annualized | Expenses |
Buffer | | | | |
Institutional Class Actual | $1,000.00 | $1,052.91 | 0.95% | $4.92 |
Institutional Class Hypothetical** | $1,000.00 | $1,020.25 | 0.95% | $4.84 |
Investor Class Actual | $1,000.00 | $1,051.93 | 1.20% | $6.21 |
Investor Class Hypothetical** | $1,000.00 | $1,019.00 | 1.20% | $6.11 |
Class A Actual | $1,000.00 | $1,051.86 | 1.20% | $6.21 |
Class A Hypothetical** | $1,000.00 | $1,019.00 | 1.20% | $6.11 |
Class C Actual | $1,000.00 | $1,047.55 | 1.95% | $10.06 |
Class C Hypothetical** | $1,000.00 | $1,015.25 | 1.95% | $9.91 |
Class Y Actual | $1,000.00 | $1,054.02 | 0.70% | $3.62 |
Class Y Hypothetical** | $1,000.00 | $1,021.50 | 0.70% | $3.57 |
See Notes to Financial Statements
81
ANNUAL REPORT
THE CBOE VEST FAMILY OF FUNDS |
Fund Expenses (unaudited) - continued |
| Beginning | Ending | Annualized | Expenses |
Enhanced Growth | | | | |
Institutional Class Actual | $1,000.00 | $1,067.72 | 0.95% | $4.95 |
Institutional Class Hypothetical** | $1,000.00 | $1,020.25 | 0.95% | $4.84 |
Investor Class Actual | $1,000.00 | $1,066.40 | 1.20% | $6.25 |
Investor Class Hypothetical** | $1,000.00 | $1,019.00 | 1.20% | $6.11 |
Class A Actual | $1,000.00 | $1,065.82 | 1.20% | $6.25 |
Class A Hypothetical** | $1,000.00 | $1,019.00 | 1.20% | $6.11 |
Class C Actual | $1,000.00 | $1,062.33 | 1.95% | $10.14 |
Class C Hypothetical** | $1,000.00 | $1,015.25 | 1.95% | $9.91 |
Class Y Actual | $1,000.00 | $1,069.37 | 0.70% | $3.65 |
Class Y Hypothetical** | $1,000.00 | $1,021.50 | 0.70% | $3.57 |
Dividend Aristocrats | | | | |
Institutional Class Actual | $1,000.00 | $1,049.31 | 0.96% | $4.96 |
Institutional Class Hypothetical** | $1,000.00 | $1,020.20 | 0.96% | $4.89 |
Investor Class Actual | $1,000.00 | $1,048.78 | 1.21% | $6.25 |
Investor Class Hypothetical** | $1,000.00 | $1,018.95 | 1.21% | $6.16 |
Class A Actual | $1,000.00 | $1,048.04 | 1.21% | $6.25 |
Class A Hypothetical** | $1,000.00 | $1,018.95 | 1.21% | $6.16 |
Class C Actual | $1,000.00 | $1,044.24 | 1.96% | $10.10 |
Class C Hypothetical** | $1,000.00 | $1,015.20 | 1.96% | $9.96 |
Class Y Actual | $1,000.00 | $1,050.51 | 0.71% | $3.67 |
Class Y Hypothetical** | $1,000.00 | $1,021.45 | 0.71% | $3.62 |
Bitcoin | | | | |
Institutional Class Actual | $1,000.00 | $1,229.00 | 1.45% | $3.50 |
Institutional Class Hypothetical** | $1,000.00 | $1,017.75 | 1.45% | $3.17 |
Investor Class Actual | $1,000.00 | $1,227.50 | 1.70% | $4.10 |
Investor Class Hypothetical** | $1,000.00 | $1,016.50 | 1.70% | $3.71 |
Class Y Actual | $1,000.00 | $1,228.00 | 1.25% | $3.01 |
Class Y Hypothetical** | $1,000.00 | $1,018.75 | 1.25% | $2.73 |
^Beginning account values are as follows:
Actual: | |
Buffer | 5/1/2021 |
Enhanced Growth | 5/1/2021 |
Dividend Aristocrats | 5/1/2021 |
Bitcoin | 8/13/2021 |
Hypothetical: | |
Buffer | 5/1/2021 |
Enhanced Growth | 5/1/2021 |
Dividend Aristocrats | 5/1/2021 |
Bitcoin | 5/1/2021 |
*Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value for the period, multiplied by 184 days for the Buffer, Enhanced and Dividend Aristocrat Funds and 79 days for the Bitcoin Fund, and 184 days for the Hypothetical in the most recent fiscal period divided by 365 days in the current year.
**5% return before expenses.
See Notes to Financial Statements
82
ANNUAL REPORT
THE CBOE VEST FAMILY OF FUNDS |
Privacy Notice |
The following is a description of the Funds’ policies regarding disclosure of nonpublic personal information that you provide to the Funds or that the Funds collect from other sources. In the event that you hold shares of the Funds through a broker-dealer or other financial intermediary, the privacy policy of your financial intermediary would govern how your nonpublic personal information would be shared with unaffiliated third parties.
Categories of Information the Funds Collect. The Funds collect the following nonpublic personal information about you:
•Information the Funds receive from you on or in applications or other forms, correspondence, or conversations (such as your name, address, phone number, social security number, assets, income and date of birth); and
•Information about your transactions with the Funds, its affiliates, or others (such as your account number and balance, payment history, parties to transactions, cost basis information, and other financial information).
Categories of Information the Funds Disclose. The Funds do not disclose any non-public personal information about their current or former shareholders to unaffiliated third parties, except as required or permitted by law. The Funds are permitted by law to disclose all of the information it collects, as described above, to their service providers (such as the Funds’ custodian, administrator and transfer agent) to process your transactions and otherwise provide services to you.
Confidentiality and Security. The Funds restrict access to your nonpublic personal information to those persons who require such information to provide products or services to you. The Funds maintain physical, electronic, and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
The Funds’ Privacy Notice is not part of the annual report.
Investment Adviser:
Cboe Vest℠ Financial, LLC
1765 Greensboro Station Pl, 9th Floor
McLean, Virginia 22102
Distributor:
Foreside Fund Services, LLC
Three Canal Plaza, Suite 100
Portland, Maine 04101
Independent Registered Public Accounting Firm:
Cohen & Company, Ltd.
1350 Euclid Avenue, Suite 800
Cleveland, Ohio 44115
Legal Counsel:
Practus, LLP
11300 Tomahawk Creek Parkway, Suite 310
Leawood, Kansas 66211
Transfer Agent, Fund Accounting and Fund Administration:
Commonwealth Fund Services, Inc.
8730 Stony Point Parkway, Suite 205
Richmond, Virginia 23235
1-800-673-0550 (Toll Free)
ITEM 2. | CODE OF ETHICS. |
(a) The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.
(b) There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description.
(c) The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item's instructions.
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
(a)(1) The registrant does not have an audit committee financial expert serving on its audit committee.
(a)(2) Not applicable.
(a)(3) At this time, the registrant believes that the collective experience provided by the members of the audit committee together offer the registrant adequate oversight for the registrant's level of financial complexity.
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
(a) The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $61,250 for 2021 and $44,250 for 2020.
(b) The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item are $0 for 2021 and $0 for 2020.
(c) The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $20,000 for 2021 and $12,000 for 2020. The nature of the services comprising these fees include preparation of excise filings and income tax returns and assistance with calculation of required income, capital gain and excise distributions.
(d) The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are and $0 for 2020 and $0 for 2019.
(e)(1) Disclose the audit committee's pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
Pursuant to its charter, the registrant's Audit Committee must pre-approve all audit and non-audit services to be provided to the registrant. The Audit Committee also pre-approves any non-audit services provided by the registrant's principal accountant to the Cboe Vest Funds.
(e)(2) The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows:
(b) NA
(c) 0%
(d) NA
(f) The percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees was zero percent (0%).
(g) The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $0 for 2021 and $0 for 2020.
(h) Not applicable. The Audit Committee pre-approved all non-audit services rendered to the registrant's investment adviser and any control affiliates that provide ongoing services to the registrant.
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable.
ITEM 6. | SCHEDULE OF INVESTMENTS. |
Schedule filed under Item 1 of the Form.
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-ENDMANAGEMENT INVESTMENT COMPANY AND AFFILIATEDPURCHASERS. |
Not applicable.
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
Not applicable.
ITEM 11. | CONTROLS AND PROCEDURES. |
(a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a- 15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d- 15(b)).
(b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
ITEM 12. | DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 13. | EXHIBITS. |
(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a)(3) Not applicable. There were no solicitations to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by this report by or on behalf of the registrant.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: World Funds Trust
By (Signature and Title)*: | /s/ Karen Shupe |
Karen Shupe Principal Executive Officer
| |
Date: January 4, 2022 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)*: | /s/ Karen Shupe |
Karen Shupe Principal Executive Officer
| |
Date: January 4, 2022 | |
By (Signature and Title)*: | /s/ Ann MacDonald |
Ann MacDonald Principal Financial Officer | |
Date: January 4, 2022 |
* Print the name and title of each signing officer under his or her signature.