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 811-22961
EA Series Trust
(Exact name of registrant as specified in charter)
19 E. Eagle Road
Havertown, PA 19083
(Address of principal executive offices) (Zip code)
19 E. Eagle Road
Havertown, PA 19083
(Name and address of agent for service)
(215) 330-4476
Registrant’s telephone number, including area code
Date of fiscal year end: March 31, 2025
Date of reporting period: September 30, 2024
Item 1. Report to Stockholders.
(a)
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| Relative Sentiment Tactical Allocation ETF Ticker: MOOD Listed on: The Nasdaq Stock Market LLC | September 30, 2024 Semi-Annual Shareholder Report www.relativesentimentetfs.com |
This semi-annual shareholder report contains important information about the Relative Sentiment Tactical Allocation ETF (the “Fund”) for the period of April 1, 2024 to September 30, 2024 (the “Period”). You can find additional information about the Fund at www.relativesentimentetfs.com. You can also request this information by contacting us at (215) 330-4476.
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| WHAT WERE THE FUND COSTS FOR THE PERIOD? (based on a hypothetical $10,000 investment) |
| COST OF $10,000 INVESTMENT | COST PAID AS A PERCENTAGE OF $10,000 INVESTMENT |
| $34 | 0.65% |
| | | | | | | | | | | | | | | | | | | | |
| KEY FUND STATISTICS (as of Period End) |
| Net Assets | | $18,043,561 | | Advisory Fees | | $52,923 |
| # of Portfolio Holdings | | 8 | | Portfolio Turnover Rate* | | 66% |
| | | | | | |
| *Portfolio turnover is not annualized and is calculated without regard to short-term securities having a maturity of less than one year. Excludes impact of in-kind transactions. |
| | | | | |
SECTOR WEIGHTING
(as a % of Net Assets) |
| Fixed Income ETFs | 44.0% |
| Currency Derivative ETFs | 20.1% |
| Domestic Stock ETFs | 18.5% |
| Global Stock ETFs | 16.9% |
| Cash & Cash Equivalents | 0.5% |
| | | | | |
TOP HOLDINGS (as a % of Net Assets) |
| Invesco DB US Dollar Index Bullish Fund | 20.1% |
| Vanguard Total Stock Market ETF | 18.5% |
| Vanguard FTSE Developed Markets ETF | 16.9% |
| Schwab US TIPS ETF | 15.3% |
| iShares 1-3 Year Treasury Bond ETF | 15.3% |
| iShares Core U.S. Aggregate Bond ETF | 13.3% |
Availability of Additional Information
For additional information about the Fund, including its prospectus, financial information, holdings, and proxy information, visit www.relativesentimentetfs.com. You can also request information by calling (215) 330-4476.
Householding
Householding is an option available to certain investors of the Fund. Householding is a method of delivery, based on the preference of the individual investor, in which a single copy of certain shareholder documents can be delivered to investors who share the same address, even if their accounts are registered under different names. Householding for the Fund is available through certain broker-dealers. If you are interested in enrolling in householding and receiving a single copy of prospectuses and other shareholder documents or you are currently enrolled in householding and wish to change your householding status, please contact your broker-dealer.
Semi-Annual Shareholder Report: September 30, 2024
(b) Not applicable
Item 2. Code of Ethics.
Not applicable for semi-annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable for semi-annual reports.
Item 6. Investments.
(a)
| | |
| RELATIVE SENTIMENT TACTICAL ALLOCATION ETF |
| SCHEDULE OF INVESTMENTS |
| September 30, 2024 (Unaudited) |
| | | | | | | | | | | | | | |
| EXCHANGE TRADED FUNDS - 99.5% |
| Shares |
| Value |
Invesco DB US Dollar Index Bullish Fund (a) |
| 128,712 | |
| $ | 3,627,104 | |
| iShares 1-3 Year Treasury Bond ETF |
| 33,277 | |
| 2,766,983 | |
| iShares Core U.S. Aggregate Bond ETF |
| 23,745 | |
| 2,404,656 | |
| Schwab U.S. TIPS ETF |
| 51,640 | |
| 2,769,453 | |
| Vanguard FTSE Developed Markets ETF |
| 57,811 | |
| 3,052,999 | |
| Vanguard Total Stock Market ETF |
| 11,798 | |
| 3,340,722 | |
TOTAL EXCHANGE TRADED FUNDS (Cost $17,420,910) | | |
| 17,961,917 | |
|
|
|
|
|
| SHORT-TERM INVESTMENTS - 14.5% | |
|
|
|
| Investments Purchased with Proceeds from Securities Lending - 14.0% |
| |
First American Government Obligations Fund - Class X, 4.82% (b) |
| 2,529,300 | |
| 2,529,300 | |
|
|
|
|
|
| Money Market Funds - 0.5% |
| |
| |
First American Government Obligations Fund - Class X, 4.82% (b) |
| 78,507 | |
| 78,507 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $2,607,807) | | |
| 2,607,807 | |
|
|
|
|
|
TOTAL INVESTMENTS - 114.0% (Cost $20,028,717) | | |
| $ | 20,569,724 | |
| Liabilities in Excess of Other Assets - (14.0)% | | |
| (2,526,163) | |
| TOTAL NET ASSETS - 100.0% |
| |
| $ | 18,043,561 | |
Percentages are stated as a percent of net assets.
| | | | | | | | |
| (a) |
| All or a portion of this security is on loan as of September 30, 2024. The total market value of these securities was $2,471,386 which represented 13.7% of net assets. |
| (b) |
| The rate shown represents the 7-day effective yield as of September 30, 2024. |
(b) Not applicable.
The accompanying notes are an integral part of these financial statements.
1
RELATIVE SENTIMENT TACTICAL ALLOCATION ETF
Item 7. Financial Statements and Financial Highlights for Open-End Management Investment
Companies.
STATEMENT OF ASSETS AND LIABILITIES
September 30, 2024 (Unaudited)
| | | | | | | | | | | |
| Assets: | | | |
Investments in securities, at value(1) (See Note 2) | | | $ | 20,569,724 | |
| Receivable for fund shares sold | | | 5,503,302 | |
| Dividends and interest receivable | | | 10,509 | |
| Securities lending income receivable (See Note 5) | | | 2,043 | |
| Total assets | | | 26,085,578 | |
| | | |
| Liabilities: | | | |
| Payable for fund shares redeemed | | | 5,503,302 | |
| Due to securities lending agent (See Note 5) | | | 2,529,300 | |
| Accrued investment advisory fees (See Note 4) | | | 9,415 | |
| Total liabilities | | | 8,042,017 | |
| Net Assets | | | $ | 18,043,561 | |
| | | | |
| Net Assets Consist of: | | | |
| Paid-in capital | | | $ | 16,164,049 | |
| Total distributable earnings (accumulated deficit) | | | 1,879,512 | |
| Net Assets: | | | $ | 18,043,561 | |
| | | |
| Calculation of Net Asset Value Per Share: | | | |
| Net Assets | | | $ | 18,043,561 | |
| Shares Outstanding (unlimited shares of beneficial interest authorized, no par value) | 590,000 | |
| Net Asset Value per Share | | | $ | 30.58 | |
| | | | |
| Cost of Investments in Securities | | | $ | 20,028,717 | |
| | | |
(1) Includes loaned securities with a value of | | | $ | 2,471,386 | |
The accompanying notes are an integral part of these financial statements.
1
RELATIVE SENTIMENT TACTICAL ALLOCATION ETF
STATEMENT OF OPERATIONS
For the Period Ended September 30, 2024 (Unaudited)
| | | | | |
| Investment Income: | |
| Dividend income | $ | 171,641 | |
| Securities lending income, net (See Note 5) | 3,027 | |
| Interest Income | 1,654 | |
| Total investment income | 176,322 | |
| |
| Expenses: | |
| Investment advisory fees (See Note 4) | 52,923 | |
| Net expenses | 52,923 | |
| |
| Net Investment Income (Loss) | 123,399 | |
| |
| Realized and Unrealized Gain (Loss) on Investments: | |
| Net realized gain (loss) on: | |
| Investments | 1,388,747 | |
| 1,388,747 | |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments | (79,854) | |
| (79,854) | |
| Net realized and unrealized gain (loss) on investments: | 1,308,893 | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 1,432,292 | |
The accompanying notes are an integral part of these financial statements.
2
RELATIVE SENTIMENT TACTICAL ALLOCATION ETF
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | | | | | | | |
| | | For the Period Ended September 30, 2024 (Unaudited) | | For the Year Ended March 31, 2024 |
| Increase (Decrease) in Net Assets from: | | | | |
| Operations: | | | | |
| Net investment income (loss) | | $ | 123,399 | | | $ | 270,985 | |
| Net realized gain (loss) on investments | | 1,388,747 | | | 786,216 | |
| Net change in unrealized appreciation (depreciation) on investments | | (79,854) | | | 392,729 | |
| Net increase (decrease) in net assets resulting from operations | | 1,432,292 | | | 1,449,930 | |
| | | | |
| Distributions to Shareholders: | | | | |
| Distributable earnings | | — | | | (178,877) | |
| Total distributions to shareholders | | — | | | (178,877) | |
| | | | |
| Capital Share Transactions: | | | | |
| Proceeds from shares sold | | 27,030,749 | | | 39,380,121 | |
| Payments for shares redeemed | | (25,298,474) | | | (32,123,406) | |
| Net increase (decrease) in net assets derived from net change in capital share transactions | | 1,732,275 | | | 7,256,715 | |
| Net Increase (Decrease) in Net Assets | | 3,164,567 | | | 8,527,768 | |
| | | | |
| Net Assets: | | | | |
| Beginning of period | | 14,878,994 | | | 6,351,226 | |
| End of period | | $ | 18,043,561 | | | $ | 14,878,994 | |
| | | | |
| Changes in Shares Outstanding: | | | | |
| Shares outstanding, beginning of period | | 530,000 | | | 250,000 | |
| Shares sold | | 990,000 | | | 1,500,000 | |
| Shares repurchased | | (930,000) | | | (1,220,000) | |
| Shares outstanding, end of period | | 590,000 | | | 530,000 | |
The accompanying notes are an integral part of these financial statements.
3
RELATIVE SENTIMENT TACTICAL ALLOCATION ETF
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net Asset Value, Beginning of Period | | Net Investment Income (Loss)(1) | | Net Realized and Unrealized Gain (Loss) on Investments | | Net Increase (Decrease) in Net Asset Value Resulting from Operations | | Distributions from Net Investment Income | | Total Distributions | | Net Asset Value, End of Period | | Total Return(2) | | Net Assets, End of Period (000’s) | | Net Expenses (3)(4)(5) | | Net Investment Income (Loss)(3) | | Portfolio Turnover Rate(6) |
| For the Period Ended September 30, 2024 (Unaudited) | | $28.07 | | 0.22 | | 2.29 | | 2.51 | | 0.00 | | 0.00 | | $30.58 | | 8.93% | | $18,044 | | 0.65% | | 1.52% | | 66% |
| For the Year Ended March 31, 2024 | | $25.40 | | 0.60 | | 2.43 | | 3.03 | | (0.36) | | (0.36) | | $28.07 | | 12.00% | | $14,879 | | 0.65% | | 2.31% | | 192% |
For the Period May 19, 2022(7) to March 31, 2023 | | $25.00 | | 0.50 | | 0.24 | | 0.74 | | (0.34) | | (0.34) | | $25.40 | | 3.07% | | $6,351 | | 0.65% | | 2.33% | | 252% |
| | |
| (1) Net investment income per share represents net investment income divided by the daily average shares of beneficial interest outstanding throughout the period. |
| (2) All returns reflect reinvested dividends, if any, but do not reflect the impact of taxes. Total return for a period of less than one year is not annualized. |
| (3) For periods of less than one year, these ratios are annualized. |
| (4) Net expenses include effects of any reimbursement or recoupment. |
| (5) Net expenses do not include expenses of the investment companies in which the Fund invests. |
| (6) Portfolio turnover is not annualized and is calculated without regard to short-term securities having a maturity of less than one year. Excludes the impact of in-kind transactions. |
| (7) Commencement of operations. |
The accompanying notes are an integral part of these financial statements.
4
RELATIVE SENTIMENT TACTICAL ALLOCATION ETF
NOTES TO THE FINANCIAL STATEMENTS
September 30, 2024 (Unaudited)
NOTE 1 – ORGANIZATION
Relative Sentiment Tactical Allocation ETF (the “Fund”) is a series of the EA Series Trust (the “Trust”), which was organized as a Delaware statutory trust on October 11, 2013. The Trust is registered with the Securities and Exchange Commission (“SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and the offering of the Fund’s shares (“Shares”) is registered under the Securities Act of 1933, as amended (the “Securities Act”). The Fund is a non-diversified ETF and commenced operations on May 18, 2022. The Fund qualifies as an investment company as defined in the Financial Accounting Standards Codification Topic 946-Financial Services- Investment Companies. The Fund’s investment objective is to seek long-term capital appreciation.
Shares of the Fund are listed and traded on The Nasdaq Stock Market, LLC. Market prices for the shares may be different from their net asset value (“NAV”). The Fund issues and redeems shares on a continuous basis at NAV only in blocks of 10,000 shares, called “Creation Units.” Creation Units are issued and redeemed principally in-kind for securities included in a specified universe. Once created, shares generally trade in the secondary market at market prices that change throughout the day in share amounts less than a Creation Unit. Except when aggregated in Creation Units, shares are not redeemable securities of the Fund. Shares of the Fund may only be purchased or redeemed by certain financial institutions (“Authorized Participants”). An Authorized Participant is a participant of a clearing agency registered with the SEC, which has a written agreement with the Trust or one of its service providers that allows the authorized participant to place orders for the purchase and redemption of creation units. Most retail investors do not qualify as Authorized Participants nor have the resources to buy and sell whole Creation Units. Therefore, they are unable to purchase or redeem the shares directly from the Fund. Rather, most retail investors may purchase shares in the secondary market with the assistance of a broker and are subject to customary brokerage commissions or fees.
Authorized Participants may be required to pay a transaction fee to compensate the Trust or its custodian for costs incurred in connection with creation and redemption transactions. Certain transactions consisting all or partially of cash may also be subject to a variable charge, which is payable to the relevant Fund, of up to 2.00% of the value of the order in addition to the transaction fee. A Fund may determine to waive the variable charge on certain orders when such waiver is determined to be in the best interests of Fund shareholders. Transaction fees received by a Fund, if any, are displayed in the Capital Share Transactions sections of the Statements of Changes in Net Assets.
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently followed by the Fund. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).
A.Security Valuation. Equity securities that are traded on a national securities exchange, except those listed on the NASDAQ Global Market® (“NASDAQ”) are valued at the last reported sale price on the exchange on which the security is principally traded. Securities traded on NASDAQ will be valued at the NASDAQ Official Closing Price (“NOCP”). If, on a particular day, an exchange-traded or NASDAQ security does not trade, then the most recent quoted bid for exchange-traded or the mean between the most recent quoted bid and ask price for NASDAQ securities will be used. Equity securities that are not traded on a listed exchange are generally valued at the last sale price in the over-the-counter market. If a non-exchange traded security does not trade on a particular day, then the mean between the last quoted closing bid and asked price will be used. Prices denominated in foreign currencies are converted to U.S. dollar equivalents at the current exchange rate, which approximates fair value. Redeemable securities issued by open-end investment companies are valued at the investment company’s applicable net asset value, with the exception of exchange-traded open-end investment companies which are priced as equity securities.
Subject to its oversight, the Trust’s Board of Trustees (the “Board”) has delegated primary responsibility for determining or causing to be determined the value of the Fund’s investments to Empowered Funds, LLC dba EA Advisers (the “Adviser”), pursuant to the Trust’s valuation policy and procedures, which have been adopted by the Trust and approved by the Board. In accordance with Rule 2a-5 under the 1940 Act, the Board designated the Adviser as the “valuation designee” of the Fund. If the Adviser, as valuation designee, determines that reliable market quotations are not readily available for an investment, the investment is valued at fair value as determined in
RELATIVE SENTIMENT TACTICAL ALLOCATION ETF
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
September 30, 2024 (Unaudited)
good faith by the Adviser in accordance with the Trust’s fair valuation policy and procedures. The Adviser will provide the Board with periodic reports, no less frequently than quarterly, that discuss the functioning of the valuation process, if applicable, and that identify issues and valuation problems that have arisen, if any. As appropriate, the Adviser and the Board will review any securities valued by the Adviser in accordance with the Trust’s valuation policies during these periodic reports. The use of fair value pricing by the Fund may cause the net asset value of its shares to differ significantly from the net asset value that would be calculated without regard to such considerations. As of September 30, 2024, the Fund did not hold any securities that required fair valuation due to unobservable inputs.
As described above, the Fund may use various methods to measure the fair value of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of inputs are:
Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.
Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability and would be based on the best information available.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
The following is a summary of the fair value classification of the Fund’s investments as of September 30, 2024:
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| DESCRIPTION | | LEVEL 1 | | LEVEL 2 | | LEVEL 3 | | TOTAL |
| Assets | | | | | | | | |
| Exchange Traded Funds | | $ | 17,961,917 | | | $ | — | | | $ | — | | | $ | 17,961,917 | |
| Investments Purchased with Proceeds from Securities Lending | | 2,529,300 | | | — | | | — | | | 2,529,300 | |
| Money Market Funds | | 78,507 | | | — | | | — | | | 78,507 | |
| Total Investments in Securities | | $ | 20,569,724 | | | $ | — | | | $ | — | | | $ | 20,569,724 | |
Refer to the Schedule of Investments for additional information.
During the fiscal period ended September 30, 2024, the Fund did not invest in any Level 3 investments and recognized no transfers to/from Level 3. Transfers between levels are recognized at the end of the reporting period.
RELATIVE SENTIMENT TACTICAL ALLOCATION ETF
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
September 30, 2024 (Unaudited)
B.Foreign Currency. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts using the spot rate of exchange at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions.The Fund isolates the portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. That portion of gains (losses) attributable to the changes in market prices and the portion of gains (losses) attributable to changes in foreign exchange rates are included on the “Statement of Operations” under “Net realized gain (loss) – Foreign currency” and “Change in Net Unrealized Appreciation (Depreciation) – Foreign Currency,” respectively.
The Fund reports net realized foreign exchange gains or losses that arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.
C.Federal Income Taxes. The Fund intends to continue to comply with the requirements of subchapter M of the Internal Revenue Code of 1986, as amended, as necessary to qualify as a regulated investment company and distribute substantially all net taxable investment income and net realized gains to shareholders in a manner which results in no tax cost to the Fund. Therefore, no federal income tax provision is required. As of and during the fiscal period ended September 30, 2024, the Fund did not have any tax positions that did not meet the “more-likely-than-not” threshold of being sustained by the applicable tax authority. As of and during the fiscal period ended September 30, 2024, the Fund did not have liabilities for any unrecognized tax benefits. The Fund would/will recognize interest and penalties, if any, related to unrecognized tax benefits on uncertain tax positions as income tax expense in the Statement of Operations. During the fiscal period ended September 30, 2024, the Fund did not incur any interest or penalties. The Fund is subject to examination by U.S. taxing authorities for the tax periods since the Fund’s commencement of operations.
The Fund may be subject to taxes imposed on realized and unrealized gains on securities of certain foreign countries in which the Fund invests. The foreign tax expense, if any, was recorded on an accrual basis and is included in “Net realized gain (loss) on investments” and “Net increase (decrease) in unrealized appreciation or depreciation on investments” on the accompanying Statements of Operations. The amount of foreign tax owed, if any, is included in“Payable for foreign taxes” on the accompanying Statements of Assets and Liabilities and is comprised of and taxes on unrealized gains.
D.Security Transactions and Investment Income. Investment securities transactions are accounted for on the trade date. Gains and losses realized on sales of securities are determined on a specific identification basis. Dividend income is recorded on the ex-dividend date, net of any foreign taxes withheld at source. Interest income is recorded on an accrual basis. Withholding taxes on foreign dividends have been provided for in accordance with the Fund’s understanding of the applicable tax rules and regulations.
Distributions to shareholders from net investment income for the Fund are declared and paid on a quarterly basis and distributions to shareholders from net realized gains on securities normally are declared and paid on an annual basis. Distributions are recorded on the ex-dividend date. The Fund may distribute more frequently, if necessary, for tax purposes.
E.Use of Estimates. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of 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 period. Actual results could differ from those estimates.
RELATIVE SENTIMENT TACTICAL ALLOCATION ETF
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
September 30, 2024 (Unaudited)
F.Share Valuation. The NAV per share of the Fund is calculated by dividing the sum of the value of the securities held by the Fund, plus cash and other assets, minus all liabilities (including estimated accrued expenses) by the total number of shares outstanding for the Fund, rounded to the nearest cent. The Fund’s shares will not be priced on the days on which the New York Stock Exchange (“NYSE”) is closed for regular trading. The offering and redemption price per share for the Fund is equal to the Fund’s net asset value per share.
G.Guarantees and Indemnifications. In the normal course of business, the Fund enters into contracts with service providers that contain general indemnification clauses. Additionally, as is customary, the Trust’s organizational documents permit the Trust to indemnify its officers and trustees against certain liabilities under certain circumstances. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be against the Fund that have not yet occurred. As of the date of this Report, no claim has been made for indemnification pursuant to any such agreement of the Fund.
H.Reclassification of Capital Accounts. GAAP requires that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share. In addition, the Fund’s realized net capital gains resulting from in-kind redemptions, in which shareholders exchanged Fund shares for securities held by the Funds rather than for cash. Because such gains are not taxable to the Fund, and are not distributed to shareholders, they have been reclassified from distributable earnings to paid-in capital. For the fiscal year ended March 31, 2024, the following table shows the reclassifications made:
| | | | | | | | | | | | | | | | | |
| Distributable Earnings | | Paid-in
Capital | |
| $(898,122) | | $898,122 | |
NOTE 3 – RISKS
Markets may perform poorly and the returns from the securities in which the Fund invests may underperform returns from the general securities markets. Securities markets may experience periods of high volatility and reduced liquidity in response to governmental actions or intervention, economic or market developments, or other external factors. The value of a company’s securities may rise or fall in response to company, market, economic or other news.
Investment Risk. When you sell your Shares, they could be worth less than what you paid for them. The Fund could lose money due to short-term market movements and over longer periods during market downturns. Securities may decline in value due to factors affecting securities markets generally or particular asset classes or industries represented in the markets. The value of a security may decline due to general market conditions, economic trends or events that are not specifically related to the issuer of the security or to factors that affect a particular industry or group of industries. During a general downturn in the securities markets, multiple asset classes may be negatively affected. Therefore, you may lose money by investing in the Fund.
Equity Investing Risk. An investment in the Fund involves risks similar to those of investing in any fund holding equity securities, such as market fluctuations, changes in interest rates and perceived trends in stock prices. The values of equity securities could decline generally or could underperform other investments. In addition, securities may decline in value due to factors affecting a specific issuer, market or securities markets generally.
Quantitative Security Selection & Model Risk. Data for some investors’ holdings or sentiments may be less available and/or less current than data used by other investment advisory firms. The Sub-Adviser uses quantitative analyses, and its processes could be adversely affected if erroneous or outdated data is utilized. Moreover, the data utilized to evaluate investor sentiment will reflect data that is collected by regulators and other third-parties. This data may be incomplete or incorrect and therefore could be inaccurate in whole or in part. If the data is incomplete or incorrect, any decisions made in reliance thereon may lead to the inclusion or exclusion of securities that would have been excluded or included had the data been more comprehensive. In addition, securities selected using a quantitative analysis could perform differently from the financial
RELATIVE SENTIMENT TACTICAL ALLOCATION ETF
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
September 30, 2024 (Unaudited)
markets as a whole as a result of the characteristics used in the analysis, the weight placed on each characteristic, and changes in the characteristic’s historical trends.
Management Risk. The Fund is actively managed and may not meet its investment objective based on the Adviser’s or Sub-Adviser’s success or failure to implement investment strategies for the Fund.
Large-Capitalization Companies Risk. Large-capitalization companies may trail the returns of the overall stock market. Large-capitalization stocks tend to go through cycles of doing better - or worse - than the stock market in general. These periods have, in the past, lasted for as long as several years.
Foreign Investment Risk. Returns on investments in underlying ETFs that invest foreign securities could be more volatile than, or trail the returns on, ETFs that invest in U.S. securities. Investments in or exposures to foreign securities are subject to special risks, including risks associated with foreign securities generally, including differences in information available about issuers of securities and investor protection standards applicable in other jurisdictions; capital controls risks, including the risk of a foreign jurisdiction imposing restrictions on the ability to repatriate or transfer currency or other assets; currency risks; political, diplomatic and economic risks; regulatory risks; and foreign market and trading risks, including the costs of trading and risks of settlement in foreign jurisdictions.
Geopolitical/Natural Disaster Risks. The Fund’s investments are subject to geopolitical and natural disaster risks, such as war, terrorism, trade disputes, political or economic dysfunction within some nations, public health crises and related geopolitical events, as well as environmental disasters, epidemics and/or pandemics, which may add to instability in world economies and volatility in markets. The impact may be short-term or may last for extended periods.
Bond Risks. In general, the Fund will be subject to bond and fixed income risks. When relative sentiment in equities is “bearish,” those risks will be heightened, because the Fund will invest a higher percentage of its assets in underlying bond ETFs.
Changes in interest rates generally will cause the value of fixed-income and bond instruments held by underlying ETFs to vary inversely to such changes. For example, as interest rates increase, bond prices generally will decrease. The historically low interest rate environment heightens the risks associated with rising interest rates. Prices of longer-term fixed-income instruments generally fluctuate more than the prices of shorter-term fixed income instruments as interest rates change. Fixed-income instruments that are fixed-rate are generally more susceptible than floating rate loans to price volatility related to changes in prevailing interest rates. The prices of floating rate fixed-income instruments tend to have less fluctuation in response to changes in interest rates, but will have some fluctuation, particularly when the next interest rate adjustment on such security is further away in time or adjustments are limited in amount over time. Underlying ETFs may invest in short-term securities that, when interest rates decline, affect the ETF’s yield as these securities mature or are sold and the ETF purchases new short-term securities with lower yields. An obligor’s willingness and ability to pay interest or to repay principal due in a timely manner may be affected by, among other factors, its cash flow.
Currency Exchange Rate Risk. Changes in currency exchange rates and the relative value of non-U.S. currencies will affect the value of the Fund’s investment and the value of your Shares. Currency exchange rates can be very volatile and can change quickly and unpredictably. As a result, the value of an investment in the Fund may also change quickly, unpredictably, and without warning, and you may lose money.
Capital Controls and Sanctions Risk. Economic conditions, such as volatile currency exchange rates and interest rates, political events, military action and other conditions may, without prior warning, lead to foreign government intervention (including intervention by the U.S. government with respect to foreign governments, economic sectors, foreign companies and related securities and interests) and the imposition of capital controls and/or sanctions, which may also include retaliatory actions of one government against another government, such as seizure of assets. Capital controls and/or sanctions include the prohibition of, or restrictions on, the ability to own or transfer currency, securities or other assets, which may potentially include derivative instruments related thereto. Capital controls and/or sanctions may also impact the ability of the Fund to buy, sell, transfer, receive, deliver or otherwise obtain exposure to, foreign securities or currency, negatively impact the value
RELATIVE SENTIMENT TACTICAL ALLOCATION ETF
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
September 30, 2024 (Unaudited)
and/or liquidity of such instruments, adversely affect the trading market and price for shares of the Fund, and cause the Fund to decline in value.
Non-Diversification Risk. Because the Fund is non-diversified, it may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Shares and greater risk of loss.
High Portfolio Turnover Risk. The Fund’s investment strategy is expected to result in higher turnover rates. This may increase the Fund’s brokerage commission costs, which could negatively impact the performance of the Fund. Rapid portfolio turnover also exposes shareholders to a higher current realization of short-term capital gains, distributions of which would generally be taxed to you as ordinary income and thus cause you to pay higher taxes.
Fund of Funds Risk. Because it invests primarily in other funds, the Fund’s investment performance largely depends on the investment performance of the selected underlying exchange-traded funds (ETFs) and exchange-traded products (ETPs). An investment in the Fund is subject to the risks associated with the ETFs and ETPs that then-currently comprise the Fund’s portfolio. At times, certain of the segments of the market represented by the Fund’s ETFs and ETPs may be out of favor and underperform other segments. The Fund will indirectly pay a proportional share of the expenses of the underlying ETFs and ETPs in which it invests (including operating expenses and management fees), which are identified in the fee schedule above as “Acquired Fund Fees and Expenses.”
Machine Learning Risk. The Fund relies on publicly available “machine learning” selection processes as well as data and information supplied by third parties that are utilized in those processes. To the extent the machine learning process does not perform as designed or as intended, the Fund’s strategy may not be successfully implemented and the Fund may lose value. If the input data is incorrect or incomplete, any decisions made in reliance thereon may lead to the inclusion or exclusion of securities that would have been excluded or included had the data been correct and complete.
See the Fund’s Prospectus and Statement of Additional Information regarding the risks of investing in shares of the Fund.
NOTE 4 – COMMITMENTS AND OTHER RELATED PARTY TRANSACTIONS.
Empowered Funds, LLC dba EA Advisers (the “Adviser”) serves as the investment adviser to the Fund. Pursuant to an investment advisory agreement (the “Advisory Agreement”) between the Trust, on behalf of the Fund, and the Adviser, the Adviser provides investment advice to the Fund and oversees the day-to-day operations of the Fund, subject to the direction and control of the Board and the officers of the Trust. Under the Advisory Agreement, the Adviser is also responsible for arranging transfer agency, custody, fund administration and accounting, and other non-distribution related services necessary for the Fund to operate. The Adviser administers the Fund’s business affairs, provides office facilities and equipment and certain clerical, bookkeeping and administrative services. The Adviser agrees to pay all expenses incurred by the Fund except for the fee paid to the Adviser pursuant to the Advisory Agreement, payments under any distribution plan adopted pursuant to Rule 12b-1, brokerage expenses, acquired fund fees and expenses, taxes (including tax-related services), interest (including borrowing costs), litigation expense (including class action-related services) and other non-routine or extraordinary expenses. The Adviser is entitled to receive an advisory fee based the Fund’s average daily net assets for the services and facilities it provides payable at the annual rate of 0.75%. The Fund’s investment adviser has contractually agreed to waive receipt of its management fees and/or assume expenses of the Fund so that the total annual operating expenses of the Fund (excluding payments under the Fund’s Rule 12b-1 distribution and service plan (if any), acquired fund fees and expenses, brokerage expenses, taxes (including tax-related services), interest (including borrowing costs), litigation expense (including class action-related services) and other non-routine or extraordinary expenses) do not exceed 0.65% of the Fund’s average daily net assets.
Relative Sentiment Technologies, LLC, serves as a non-discretionary investment sub-adviser to the Fund. Pursuant to an investment sub-advisory agreement (the “Sub-Advisory Agreement”) among the Trust, the Adviser and the Sub-Adviser, the Sub-Adviser is responsible for determining the investment exposures for the Fund, subject to the overall supervision and oversight of the Adviser and the Board.
RELATIVE SENTIMENT TACTICAL ALLOCATION ETF
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
September 30, 2024 (Unaudited)
U.S. Bancorp Fund Services, LLC (“Fund Services” or “Administrator”), doing business as U.S. Bank Global Fund Services, acts as the Funds’ Administrator and, in that capacity, performs various administrative and accounting services for the Funds. The Administrator prepares various federal and state regulatory filings, reports and returns for the Funds, including regulatory compliance monitoring and financial reporting; prepares reports and materials to be supplied to the trustees; monitors the activities of the Funds’ Custodian, transfer agent and fund accountant. Fund Services also serves as the transfer agent and fund accountant to the Funds. U.S. Bank N.A. (the “Custodian”), an affiliate of the Administrator, serves as the Funds’ Custodian.
The Custodian acts as the securities lending agent (the “Securities Lending Agent”) for the Fund.
NOTE 5 – SECURITIES LENDING
The Fund may lend up to 331/3% of the value of the securities in its portfolio to brokers, dealers and financial institutions (but not individuals) under terms of participation in a securities lending program administered by the Securities Lending Agent. The securities lending agreement requires that loans are collateralized at all times in an amount equal to at least 102% of the value of any domestic loaned securities at the time of the loan, plus accrued interest. The use of loans of foreign securities, which are denominated and payable in U.S. dollars, shall be collateralized in an amount equal to 105% of the value of any loaned securities at the time of the loan plus accrued interest. The Fund receives compensation in the form of fees and earns interest on the cash collateral. The amount of fees depends on a number of factors including the type of security and length of the loan. The Fund continues to receive interest payments or dividends on the securities loaned during the borrowing period. Gain or loss on the value of securities loaned that may occur during the term of the loan will be for the account of the Fund. The Fund has the right under the terms of the securities lending agreement to recall the securities from the borrower on demand.
The securities lending agreement provides that, in the event of a borrower’s material default, the Securities Lending Agent shall take all actions the Securities Lending Agent deems appropriate to liquidate the collateral, purchase replacement securities at the Securities Lending Agent’s expense or pay the Fund an amount equal to the market value of the loaned securities, subject to certain limitations which are set forth in detail in the securities lending agreement between the Fund and the Securities Lending Agent.
During the fiscal period, the Fund loaned securities and received cash collateral for the loans. The cash collateral was invested by the Securities Lending Agent in accordance with the Trust approved investment guidelines. Those guidelines require the cash collateral to be invested in readily marketable, high quality, short-term obligations; however, such investments are subject to risk of payment delays or default on the part of the issuer or counterparty or otherwise may not generate sufficient interest to support the costs associated with securities lending. The Fund could also experience delays in recovering its securities and possible loss of income or value if the borrower fails to return the borrowed securities, although the Fund is indemnified from this risk by contract with the Securities Lending Agent. For the fiscal period ended September 30, 2024, the value of the securities on loan and payable for collateral due to broker were as follows:
| | | | | | | | | | | |
Value of Securities
on Loan | | Payable for
Collateral Received* | Percentage of Net Assets of Securities On Loan |
| $2,471,386 | | $2,529,300 | 13.7% |
| | | | | |
| * | The cash collateral received was invested in the First American Money Market Government Obligations Fund as shown on the Schedule of Investments. The investment objective is to seek maximum current income to the extent consistent with the preservation of capital and maintenance of liquidity. |
The interest income earned by the Fund on the investment of cash collateral received from borrowers for the securities loaned to them (“Securities lending income, net”) would have been reflected in the Fund’s Statement of Operations. Net securities lending income earned on collateral investments and recognized by the Fund during the current fiscal period ended September 30, 2024 was $3,027.
RELATIVE SENTIMENT TACTICAL ALLOCATION ETF
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
September 30, 2024 (Unaudited)
Due to the absence of a master netting agreement related to the Fund’s participation in securities lending, no additional offsetting disclosures have been made on behalf of the Fund for the total borrowings listed above.
NOTE 6 – PURCHASES AND SALES OF SECURITIES
For the fiscal period ended September 30, 2024, purchases and sales of securities for the Fund, excluding short-term securities and in-kind transactions, were as follows:
| | | | | | | | |
| Purchases | | Sales |
| $ | 36,955,169 | | | $ | 10,718,316 | |
For the fiscal period ended September 30, 2024, in-kind transactions associated with creations and redemptions were as follows:
| | | | | | | | |
| Purchases | | Sales |
| $ | 552,348 | | | $ | 24,954,462 | |
For the fiscal period ended September 30, 2024, short-term and long-term gains on in-kind transactions were as follows:
| | | | | | | | |
| Short-Term | | Long-Term |
| $ | 849,948 | | | $ | 98,452 | |
There were no purchases or sales of U.S. Government securities during the fiscal period.
NOTE 7 – TAX INFORMATION
The components of tax basis cost of investments and net unrealized appreciation (depreciation) for federal income tax purposes at March 31, 2024 were as follows:
| | | | | | | | | | | |
| Tax cost of Investments | | | $ | 14,291,255 | |
| Gross tax unrealized appreciation | | | $ | 626,855 | |
| Gross tax unrealized depreciation | | | (28,286) |
| Net tax unrealized appreciation (depreciation) | | | $ | 598,569 | |
| Undistributed ordinary income | | | 18,496 |
| Undistributed long-term gain | | | - |
| Total distributable earnings | | | 18,496 |
| Other accumulated gain (loss) | | | (169,845) |
| Total accumulated gain (loss) | | | $ | 447,220 | |
The difference between book and tax-basis cost is attributable to wash sales. Under tax law, certain capital and foreign currency losses realized after October 31st and within the taxable year are deemed to arise on the first business day of the Fund’s next taxable year.
For the fiscal year ended March 31, 2024, the Fund did not defer, on a tax basis, any qualified late year losses or post-October capital losses.
At March 31, 2024, the Fund had the following capital loss carryforwards that do not expire:
| | | | | | | | | | | |
| Unlimited Short-Term | | Unlimited
Long-Term |
| $(169,845) | | $— |
RELATIVE SENTIMENT TACTICAL ALLOCATION ETF
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
September 30, 2024 (Unaudited)
NOTE 8 – DISTRIBUTIONS TO SHAREHOLDERS
The tax character of distributions paid by the Fund during the fiscal period ended September 30, 2024, and fiscal year ended March 31, 2024, were as follows:
| | | | | | | | |
Fiscal Period Ended
September 30, 2024 | | Fiscal Year Ended
March 31, 2024 |
| Ordinary Income | | Ordinary Income |
| $— | | $178,877 |
NOTE 9 – SUBSEQUENT EVENTS
In preparing these financial statements, management of the Fund has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued. There were no other transactions that occurred during the period subsequent to September 30, 2024, that materially impacted the amounts or disclosures in the Fund’s financial statements.
RELATIVE SENTIMENT TACTICAL ALLOCATION ETF
FEDERAL TAX INFORMATION (UNAUDITED)
For the fiscal year ended March 31, 2024, certain dividends paid by the Fund may be subject to a maximum tax rate of 23.8%, as provided for by the Tax Cuts and Jobs Act of 2017. The percentage of dividends declared from ordinary income designated as qualified dividend income was 75.81%.
For corporate shareholders, the percent of ordinary income distributions qualifying for the corporate dividends received deduction for the fiscal year ended March 31, 2024 was 20.89%.
The percentage of taxable ordinary income distributions that are designated as short-term capital gain distributions under the Internal Revenue Section 871 (k)(2)(C) for the Fund was 0.00%.
Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment
Companies.
There were no matters concerning changes in and disagreements with Accountants on accounting and financial disclosures required by Item 304 of Regulation S-K.
Item 9. Proxy Disclosures for Open-End Management Investment Companies.
There were no matters submitted during the period covered by the report to a vote of shareholders.
Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management
Investment Companies
Not applicable. The Independent Trustees are paid by the Adviser out of the advisory fee. See Note 4 to the Financial Statements under Item 7.
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contracts.
Not applicable.
Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 13. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
Item 15. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees.
Item 16. Controls and Procedures.
(a) The Registrant’s President (principal executive officer) and Treasurer (principal financial officer) have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d‑15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider.
(b) There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
Item 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable to open-end investment companies.
Item 18. Recovery of Erroneously Awarded Compensation.
There have been no required recovery of erroneously awarded incentive based compensation to an executive officer from the registrant that required an accounting restatement.
Item 19. Exhibits.
| | | | | |
| (a) | (1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit.Not applicable. |
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) | EA Series Trust | |
| | |
| By (Signature and Title) | /s/ Michael D. Barolsky | |
| | Michael D. Barolsky, President (principal executive officer) | |
| | |
| Date: | December 4, 2024 | |
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/ Michael D. Barolsky | |
| | Michael D. Barolsky, President (principal executive officer) | |
| | | |
| Date: | December 4, 2024 | |
| | | |
| By (Signature and Title) | /s/ Sean R. Hegarty | |
| | Sean Hegarty, Treasurer (principal financial officer) | |
| | | |
| Date: | December 4, 2024 | |
