Cover
Cover - shares | 6 Months Ended | |
Jun. 30, 2024 | Aug. 14, 2024 | |
Cover [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Quarterly Report | true | |
Document Transition Report | false | |
Document Period End Date | Jun. 30, 2024 | |
Document Fiscal Period Focus | Q2 | |
Document Fiscal Year Focus | 2024 | |
Current Fiscal Year End Date | --12-31 | |
Entity File Number | 001-40369 | |
Entity Registrant Name | DYNAMIC SHARES TRUST | |
Entity Central Index Key | 0001771951 | |
Entity Tax Identification Number | 32-6540728 | |
Entity Incorporation, State or Country Code | DE | |
Entity Address, Address Line One | c/o Dynamic Shares LLC | |
Entity Address, Address Line Two | 401 W. Superior Street | |
Entity Address, Address Line Three | Suite 300 | |
Entity Address, City or Town | Chicago | |
Entity Address, State or Province | IL | |
Entity Address, Postal Zip Code | 60654 | |
City Area Code | 312 | |
Local Phone Number | 216-2890 | |
Title of 12(b) Security | Dynamic Short Short-Term Volatility Futures ETF | |
Trading Symbol | WEIX | |
Security Exchange Name | NYSEArca | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Non-accelerated Filer | |
Entity Small Business | true | |
Entity Emerging Growth Company | true | |
Elected Not To Use the Extended Transition Period | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 250,005 |
Statements of Financial Conditi
Statements of Financial Condition - USD ($) | Jun. 30, 2024 | Dec. 31, 2023 |
Assets | ||
Investments at value and cost | $ 2,738,281 | $ 4,131,023 |
Cash | 100 | 100 |
Segregated collateral with brokers for futures contracts | 3,319,073 | 2,719,814 |
Unrealized on open futures contracts | 21,691 | 81,947 |
Interest receivable | 19,350 | 24,587 |
Total assets | 6,098,495 | 6,957,471 |
Liabilities | ||
Payable to Sponsor | 8,561 | 10,261 |
Professional Fees | 1,902 | 4,315 |
Total liabilities | 10,463 | 14,576 |
Shareholders’ equity | ||
Shareholders’ equity | 6,088,032 | 6,942,895 |
Total liabilities and shareholders’ equity | 6,098,495 | 6,957,471 |
Net assets | $ 6,088,032 | $ 6,942,895 |
Shares outstanding | 200,005 | 250,005 |
Net asset value per share | $ 30.44 | $ 27.77 |
Market value per share | $ 30.45 | $ 27.79 |
Dynamic Short Short Term Volatility Futures ETF [Member] | ||
Assets | ||
Investments at value and cost | $ 2,738,281 | $ 4,131,023 |
Cash | 100 | 100 |
Segregated collateral with brokers for futures contracts | 3,319,073 | 2,719,814 |
Unrealized on open futures contracts | 21,691 | 81,947 |
Interest receivable | 19,350 | 24,587 |
Total assets | 6,098,495 | 6,957,471 |
Liabilities | ||
Payable to Sponsor | 8,561 | 10,261 |
Professional Fees | 1,902 | 4,315 |
Total liabilities | 10,463 | 14,576 |
Shareholders’ equity | ||
Shareholders’ equity | 6,088,032 | 6,942,895 |
Total liabilities and shareholders’ equity | 6,098,495 | 6,957,471 |
Net assets | $ 6,088,032 | $ 6,942,895 |
Shares outstanding | 200,005 | 250,005 |
Net asset value per share | $ 30.44 | $ 27.77 |
Market value per share | $ 30.45 | $ 27.79 |
Schedule of Investments (Unaudi
Schedule of Investments (Unaudited) - USD ($) | Jun. 30, 2024 | Dec. 31, 2023 | ||
Schedule of Investments [Line Items] | ||||
Goldman Sachs Financial Square Government Fund - Institutional Shares (cost $4,131,023), 5.23% | $ 2,738,281 | [1] | $ 4,131,023 | [2] |
Shares | 2,738,281 | [1] | 4,131,023 | [2] |
Other Assets Less Liabilities - 40.5% | $ 3,349,751 | $ 2,811,872 | ||
Net assets | 6,088,032 | 6,942,895 | ||
Unrealized Appreciation (Depreciation) | 21,691 | 81,947 | ||
VIX Futures CBOE Expires July 2024 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Original Notional | (685,711) | |||
Notional Value at Year End | (673,094) | |||
Unrealized Appreciation (Depreciation) | 12,617 | |||
VIX Futures CBOE Expires August 2024 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Original Notional | (531,981) | |||
Notional Value at Year End | (522,907) | |||
Unrealized Appreciation (Depreciation) | 9,074 | |||
VIX Futures - Cboe, Expires January 2024 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Original Notional | (869,657) | |||
Notional Value at Year End | (814,970) | |||
Unrealized Appreciation (Depreciation) | 54,687 | |||
VIX Futures Cboe Expires February 2024 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Original Notional | (654,371) | |||
Notional Value at Year End | (627,111) | |||
Unrealized Appreciation (Depreciation) | 27,260 | |||
Dynamic Short Short Term Volatility Futures ETF [Member] | ||||
Schedule of Investments [Line Items] | ||||
Goldman Sachs Financial Square Government Fund - Institutional Shares (cost $4,131,023), 5.23% | $ 2,738,281 | [3] | $ 4,131,023 | [4] |
Shares | 2,738,281 | [3] | 4,131,023 | [4] |
Other Assets Less Liabilities - 40.5% | $ 3,349,751 | $ 2,811,872 | ||
Net assets | 6,088,032 | 6,942,895 | ||
Unrealized Appreciation (Depreciation) | 21,691 | 81,947 | ||
Dynamic Short Short Term Volatility Futures ETF [Member] | VIX Futures CBOE Expires July 2024 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Original Notional | (685,711) | |||
Notional Value at Year End | (673,094) | |||
Unrealized Appreciation (Depreciation) | 12,617 | |||
Dynamic Short Short Term Volatility Futures ETF [Member] | VIX Futures CBOE Expires August 2024 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Original Notional | (531,981) | |||
Notional Value at Year End | (522,907) | |||
Unrealized Appreciation (Depreciation) | $ 9,074 | |||
Dynamic Short Short Term Volatility Futures ETF [Member] | VIX Futures - Cboe, Expires January 2024 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Original Notional | (869,657) | |||
Notional Value at Year End | (814,970) | |||
Unrealized Appreciation (Depreciation) | 54,687 | |||
Dynamic Short Short Term Volatility Futures ETF [Member] | VIX Futures Cboe Expires February 2024 [Member] | ||||
Schedule of Investments [Line Items] | ||||
Original Notional | (654,371) | |||
Notional Value at Year End | (627,111) | |||
Unrealized Appreciation (Depreciation) | $ 27,260 | |||
[1]Represents 7-day SEC annualized yield as of June 30, 2024.[2]Represents 7-day SEC annualized yield as of December 31, 2023.[3]Represents 7-day SEC annualized yield as of June 30, 2024.[4]Represents 7-day SEC annualized yield as of December 31, 2023. |
Schedule of Investments (Unau_2
Schedule of Investments (Unaudited) (Parenthetical) | Jun. 30, 2024 USD ($) Contracts | Dec. 31, 2023 USD ($) Contracts | |
Percentage of investments | 5.21% | 5.23% | [1] |
Investment Owned, Cost | $ | $ 2,738,281 | $ 4,131,023 | |
Other assets less liabilities | 55% | 40.50% | |
Net Assets | 100% | 100% | |
VIX Futures CBOE Expires July 2024 [Member] | |||
Number of Contracts | (48) | ||
VIX Futures CBOE Expires August 2024 [Member] | |||
Number of Contracts | (35) | ||
VIX Futures - Cboe, Expires January 2024 [Member] | |||
Number of Contracts | (58) | ||
VIX Futures Cboe Expires February 2024 [Member] | |||
Number of Contracts | (41) | ||
Dynamic Short Short Term Volatility Futures ETF [Member] | |||
Percentage of investments | 5.21% | 5.23% | |
Investment Owned, Cost | $ | $ 2,738,281 | $ 4,131,023 | |
Other assets less liabilities | 55% | 40.50% | |
Net Assets | 100% | 100% | |
Dynamic Short Short Term Volatility Futures ETF [Member] | VIX Futures CBOE Expires July 2024 [Member] | |||
Number of Contracts | (48) | ||
Dynamic Short Short Term Volatility Futures ETF [Member] | VIX Futures CBOE Expires August 2024 [Member] | |||
Number of Contracts | (35) | ||
Dynamic Short Short Term Volatility Futures ETF [Member] | VIX Futures - Cboe, Expires January 2024 [Member] | |||
Number of Contracts | (58) | ||
Dynamic Short Short Term Volatility Futures ETF [Member] | VIX Futures Cboe Expires February 2024 [Member] | |||
Number of Contracts | (41) | ||
Money Market Funds [Member] | |||
Percentage of investments | 45% | 59.50% | |
Money Market Funds [Member] | Dynamic Short Short Term Volatility Futures ETF [Member] | |||
Percentage of investments | 45% | 59.50% | |
[1]Represents 7-day SEC annualized yield as of December 31, 2023. |
Statements of Operations (Unaud
Statements of Operations (Unaudited) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | |
Investment Income | ||||
Interest | $ 71,746 | $ 39,474 | $ 154,425 | $ 63,901 |
Expenses | ||||
Management fee | 27,715 | 15,690 | 60,514 | 28,974 |
Professional fees | 15,796 | 31,069 | ||
Total expenses | 43,511 | 15,690 | 91,583 | 28,974 |
Management fee waived | (9,696) | |||
Net management fee | 43,511 | 15,690 | 91,583 | 19,278 |
Net investment income | 28,235 | 23,784 | 62,842 | 44,623 |
Realized and unrealized gain (loss) on futures contracts | ||||
Net realized gain | 180,986 | 788,700 | 537,475 | 887,934 |
Change in net unrealized appreciation (depreciation) | (55,053) | (33,574) | (60,256) | 59,091 |
Net realized and unrealized gain | 125,933 | 755,126 | 477,219 | 947,025 |
Net increase in net assets resulting from operations | 154,168 | 778,910 | 540,061 | 991,648 |
Dynamic Short Short Term Volatility Futures ETF [Member] | ||||
Investment Income | ||||
Interest | 71,746 | 39,474 | 154,425 | 63,901 |
Expenses | ||||
Management fee | 27,715 | 15,690 | 60,514 | 28,974 |
Professional fees | 15,796 | 31,069 | ||
Total expenses | 43,511 | 15,690 | 91,583 | 28,974 |
Management fee waived | (9,696) | |||
Net management fee | 43,511 | 15,690 | 91,583 | 19,278 |
Net investment income | 28,235 | 23,784 | 62,842 | 44,623 |
Realized and unrealized gain (loss) on futures contracts | ||||
Net realized gain | 180,986 | 788,700 | 537,475 | 887,934 |
Change in net unrealized appreciation (depreciation) | (55,053) | (33,574) | (60,256) | 59,091 |
Net realized and unrealized gain | 125,933 | 755,126 | 477,219 | 947,025 |
Net increase in net assets resulting from operations | $ 154,168 | $ 778,910 | $ 540,061 | $ 991,648 |
Statement of Changes in Shareho
Statement of Changes in Shareholders' Equity (Unaudited) - USD ($) | Dynamic Short Short Term Volatility Futures ETF [Member] | Total |
Shareholders’ equity, beginning of period at Dec. 31, 2022 | $ 2,722,929 | $ 2,722,929 |
Shares outstanding, beginning shares at Dec. 31, 2022 | 150,005 | 150,005 |
Proceeds from shares redeemed | ||
Net investment income | 44,623 | 44,623 |
Net realized gain | 887,934 | 887,934 |
Change in net unrealized appreciation (depreciation) | 59,091 | 59,091 |
Net increase in net assets resulting from operations | $ 991,648 | $ 991,648 |
Shares Issued, shares | ||
Shares redeemed, shares | ||
Shareholders’ equity, end of period at Jun. 30, 2023 | $ 3,714,577 | $ 3,714,577 |
Shares outstanding, ending shares at Jun. 30, 2023 | 150,005 | 150,005 |
Shareholders’ equity, beginning of period at Mar. 31, 2023 | $ 2,935,667 | $ 2,935,667 |
Shares outstanding, beginning shares at Mar. 31, 2023 | 150,005 | 150,005 |
Proceeds from shares redeemed | ||
Net investment income | 23,784 | 23,784 |
Net realized gain | 788,700 | 788,700 |
Change in net unrealized appreciation (depreciation) | (33,574) | (33,574) |
Net increase in net assets resulting from operations | $ 778,910 | $ 778,910 |
Shares Issued, shares | ||
Shares redeemed, shares | ||
Shareholders’ equity, end of period at Jun. 30, 2023 | $ 3,714,577 | $ 3,714,577 |
Shares outstanding, ending shares at Jun. 30, 2023 | 150,005 | 150,005 |
Shareholders’ equity, beginning of period at Dec. 31, 2023 | $ 6,942,895 | $ 6,942,895 |
Shares outstanding, beginning shares at Dec. 31, 2023 | 250,005 | 250,005 |
Proceeds from shares redeemed | $ (1,394,924) | $ (1,394,924) |
Net investment income | 62,842 | 62,842 |
Net realized gain | 537,475 | 537,475 |
Change in net unrealized appreciation (depreciation) | (60,256) | (60,256) |
Net increase in net assets resulting from operations | $ 540,061 | $ 540,061 |
Shares Issued, shares | ||
Shares redeemed, shares | (50,000) | (50,000) |
Shareholders’ equity, end of period at Jun. 30, 2024 | $ 6,088,032 | $ 6,088,032 |
Shares outstanding, ending shares at Jun. 30, 2024 | 200,005 | 200,005 |
Shareholders’ equity, beginning of period at Mar. 31, 2024 | $ 7,328,788 | $ 7,328,788 |
Shares outstanding, beginning shares at Mar. 31, 2024 | 250,005 | 250,005 |
Proceeds from shares redeemed | $ (1,394,924) | $ (1,394,924) |
Net investment income | 28,235 | 28,235 |
Net realized gain | 180,986 | 180,986 |
Change in net unrealized appreciation (depreciation) | (55,053) | (55,053) |
Net increase in net assets resulting from operations | $ 154,168 | $ 154,168 |
Shares Issued, shares | ||
Shares redeemed, shares | (50,000) | (50,000) |
Shareholders’ equity, end of period at Jun. 30, 2024 | $ 6,088,032 | $ 6,088,032 |
Shares outstanding, ending shares at Jun. 30, 2024 | 200,005 | 200,005 |
Statements of Cash Flows (Unaud
Statements of Cash Flows (Unaudited) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | |
Cash flow from operating activities | ||||
Net increase in net assets resulting from operations | $ 154,168 | $ 778,910 | $ 540,061 | $ 991,648 |
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | ||||
Net purchases of short term investments | 1,392,743 | (19,292) | ||
Change in net unrealized appreciation (depreciation) | 60,256 | (59,091) | ||
Decrease (Increase) in interest receivable | 5,237 | (8,621) | ||
Increase (Decrease) in payable to Sponsor | (4,114) | 4,902 | ||
Net cash provided by (used in) operating activities | 1,994,183 | 909,546 | ||
Cash flow from proceeds from financing activities | ||||
Proceeds from addition of shares | (1,394,924) | |||
Net increase (decrease) in cash | 599,259 | 909,546 | ||
Cash, beginning of period | 2,719,914 | 1,176,259 | ||
Cash, end of period | 3,319,173 | 2,085,805 | 3,319,173 | 2,085,805 |
Cash Represents: | ||||
Cash | 100 | 100 | ||
Segregated collateral with brokers for futures contracts | 3,319,073 | 2,085,705 | 3,319,073 | 2,085,705 |
Dynamic Short Short Term Volatility Futures ETF [Member] | ||||
Cash flow from operating activities | ||||
Net increase in net assets resulting from operations | 154,168 | 778,910 | 540,061 | 991,648 |
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | ||||
Net purchases of short term investments | 1,392,743 | (19,292) | ||
Change in net unrealized appreciation (depreciation) | 60,256 | (59,091) | ||
Decrease (Increase) in interest receivable | 5,237 | (8,621) | ||
Increase (Decrease) in payable to Sponsor | (4,114) | 4,902 | ||
Net cash provided by (used in) operating activities | 1,994,183 | 909,546 | ||
Cash flow from proceeds from financing activities | ||||
Proceeds from addition of shares | (1,394,924) | |||
Net increase (decrease) in cash | 599,259 | 909,546 | ||
Cash, beginning of period | 2,719,914 | 1,176,259 | ||
Cash, end of period | 3,319,173 | 2,085,805 | 3,319,173 | 2,085,805 |
Cash Represents: | ||||
Cash | 100 | 100 | ||
Segregated collateral with brokers for futures contracts | $ 3,319,073 | $ 2,085,705 | $ 3,319,073 | $ 2,085,705 |
ORGANIZATION
ORGANIZATION | 6 Months Ended |
Jun. 30, 2024 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
ORGANIZATION | NOTE 1— ORGANIZATION Dynamic Shares Trust (the “Trust”) is a Delaware statutory trust organized on March 8, 2019 and is currently organized into a single series, Dynamic Short Short-Term Volatility Futures ETF (the “Fund”), which commenced investment operations on January 12, 2022. The Fund issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in the ownership of the Fund. The Shares of the Fund are listed on the NYSE Arca, Inc. (“NYSE Arca”). The Fund seeks to achieve its investment objective, under normal circumstances, by obtaining investment exposure to an actively managed portfolio of short positions in futures contracts with monthly expirations (“VIX Futures Contracts”), which are based on the Chicago Board Options Exchange, Incorporated (“CBOE”) Volatility Index (the “VIX Index” or “VIX”). The Fund expects that the notional exposure of its portfolio of short positions in VIX Futures Contracts will range from - 0.1 0.5 The Trust and the Fund had no operations prior to January 12, 2022, other than matters relating to its organization, the registration of the Fund under the Securities Act of 1933, as amended, and the sale and issuance to Dynamic Shares, LLC, a Delaware limited liability company (the “Sponsor”) of five Shares at an aggregate purchase price of $ 100 The Fund continuously offers and redeems its Shares in blocks of 50,000 The Sponsor also serves as the Trust’s commodity pool operator. Wilmington Trust Company serves as the Trustee of the Trust (the “Trustee”). The Fund is a commodity pool, as defined under the Commodity Exchange Act (the “CEA”), and the applicable regulations of the Commodity Futures Trading Commission (the “CFTC”) and are operated by the Sponsor, a commodity pool operator registered with the CFTC. The Trust is not an investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). DYNAMIC SHARES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) June 30, 2024 (unaudited) |
SIGNIFICANT ACCOUNTING POLICIES
SIGNIFICANT ACCOUNTING POLICIES | 6 Months Ended |
Jun. 30, 2024 | |
Accounting Policies [Abstract] | |
SIGNIFICANT ACCOUNTING POLICIES | NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES Pursuant to rules and regulations of the U.S. Securities and Exchange Commission (“SEC”), these financial statements are presented for the Trust as a whole, as the SEC registrant and the Fund individually. The liabilities and expenses incurred, contracted for or otherwise existing with respect to each series of the Trust shall be enforceable only against the assets of each series of the Trust and not against the assets of the Trust generally or any other series. The Fund is an investment company, as defined by Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” As such, the Fund follows the investment company accounting and reporting guidance. The following is a summary of significant accounting policies followed by the Fund, as applicable, in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the U.S. Securities and Exchange Commission (“SEC”). In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. However, while the Fund became a reporting company under the Securities Exchange Act of 1934 (the “Exchange Act”) on April 28, 2021, prior to January 12, 2022, the Fund had not commenced investment operations. Emerging Growth Company The Trust is an “emerging growth company,” as defined in the Jumpstart Our Business Startups (“JOBS”) Act of 2012. It will remain an emerging growth company until the earlier of (1) the beginning of the first fiscal year following the fifth anniversary of its initial public offering, (2) the beginning of the first fiscal year after annual gross revenue is $ 1.07 1.0 700 For as long as the Trust remains an “emerging growth company,” it may take advantage of certain exemptions from the various reporting requirements that are applicable to public companies that are not “emerging growth companies” including, but not limited to, not being required to comply with the auditor attestation requirements of Section 404 of the Sarbanes-Oxley Act, reduced disclosure obligations regarding executive compensation and financial statements in our periodic reports and proxy statements, and exemptions from the requirements of holding a nonbinding advisory vote to approve executive compensation and shareholder approval of any golden parachute payments not previously approved. The Trust will take advantage of these reporting exemptions until it is no longer an “emerging growth company.” DYNAMIC SHARES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) June 30, 2024 (unaudited) In addition, Section 107 of the JOBS Act also provides that an emerging growth company can take advantage of the extended transition period provided in Section 7(a)(2)(B) of the Securities Act for complying with new or revised accounting standards. In other words, an emerging growth company can delay the adoption of certain accounting standards until those standards would otherwise apply to private companies. The Trust intends to take advantage of the benefits of the extended transition period. Use of Estimates & Indemnifications 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 and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets resulting from operations. Actual results could differ from those estimates. In the normal course of business, the Trust enters into contracts that contain a variety of representations which provide general indemnifications. The Trust’s maximum exposure under these arrangements cannot be known; however, the Trust expects any risk of material or significant loss to be remote. Basis of Presentation Pursuant to rules and regulations of the SEC, these financial statements are presented for the Trust as a whole, as the SEC registrant. However, the debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to the Fund shall be enforceable only against the assets of the Fund and not against the assets of the Trust generally or any other series of the Trust. Accordingly, the assets of the Fund include only those funds and other assets that are paid to, held by or distributed to the Trust for the purchase of Shares in the Fund. Statements of Cash Flows The cash amounts shown in the Statements of Cash Flows are the amounts reported as cash in the Statements of Financial Condition dated June 30, 2024 and June 30, 2023, and represents cash and segregated cash balances with brokers for futures contracts. DYNAMIC SHARES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) June 30, 2024 (unaudited) Final Net Asset Value for Fiscal Period The cut-off times and the times of the calculation of the Fund’s final net asset value for creation and redemption of fund shares for the period ended June 30, 2024 were typically as follows. All times are Eastern Standard Time: SUMMARY OF CUT-OFF TIMES AND THE TIMES OF THE CALCULATION OF THE FUNDS FINAL NET ASSET VALUE FOR CREATION AND REDEMPTION OF FUND SHARES Create/Redeem * NAV Calculation Dynamic Short Short-Term Volatility Futures ETF 2:00 4:00 * Although the Fund’s shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the period ended June 30, 2024. Market value per Share is determined at the close of the applicable primary listing exchange and may differ from when the Fund’s NAV per Share is calculated. For financial reporting purposes, the Fund values transactions based upon the final closing price in the United States. Investment Valuation Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations. Derivatives (e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts are generally valued at the last settled price on the applicable exchange on which that future trades. For financial reporting purposes, all futures contracts are valued at last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would be generally determined based on available inputs relating to the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with normal industry standards. The Sponsor may fair value an asset of the Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy. Fair value pricing may require subjective determinations about the value of an investment. While the Fund’s policy is intended to result in a calculation of the Fund’s NAV that fairly reflects investment values as of the time of pricing, the Fund cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that the Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale). DYNAMIC SHARES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) June 30, 2024 (unaudited) Fair Value of Financial Instruments The Fund discloses the fair value of its investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The disclosure requirements establish a fair value hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of the Fund (observable inputs); and (2) the Fund’s own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the disclosure requirements hierarchy are as follows: Level I – Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date. Level II – Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly. Level II assets include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated inputs). Level III – Unobservable pricing input at the measurement date for the asset or liability. Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available. In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest input level that is significant to the fair value measurement in its entirety. Fair value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly. The following table summarizes the valuation of investments as of June 30, 2024 using the fair value hierarchy: SUMMARY OF THE VALUATION OF INVESTMENTS USING THE FAIR VALUE HIERARCHY Level I – Quoted Prices Money Market Fund Futures Contracts * Dynamic Short Short-Term Volatility Futures ETF $ 2,738,281 $ 21,691 Dynamic Shares Trust (combined) $ 2,738,281 $ 21,691 * Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Amounts shown for futures is unrealized appreciation as presented in the Statements of Financial Condition. DYNAMIC SHARES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) June 30, 2024 (unaudited) The following table summarizes the valuation of investments as of December 31, 2023 using the fair value hierarchy: Level I – Quoted Prices Money Market Fund Futures Contracts * Dynamic Short Short-Term Volatility Futures ETF $ 4,131,023 $ 81,947 Dynamic Shares Trust (combined) $ 4,131,023 $ 81,947 * Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Amounts shown for futures is unrealized appreciation as presented in the Statements of Financial Condition. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities. Investment Transactions and Related Income Investment transactions are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized appreciation (depreciation) on open contracts are reflected in the Statements of Financial Condition and changes in the unrealized appreciation (depreciation) between periods are reflected in the Statements of Operations. Interest income is recognized on an accrual basis and includes, where applicable, the amortization of premium or discount, and is reflected as Interest Income in the Statements of Operations. Brokerage Commissions and Futures Account Fees The Fund pays its brokerage commissions, including applicable exchange fees, NFA fees, give up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for the Fund’s investment in CFTC regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis. Federal Income Tax The Fund is registered as a series of a Delaware statutory trust and is treated as a partnership for U.S. federal income tax purposes. Accordingly, the Fund does not expect to incur U.S. federal income tax liability; rather, each beneficial owner of the Fund’s Shares is required to take into account its allocable share of the Fund’s income, gain, loss, deductions and other items for its Fund’s taxable year ending with or within the beneficial owner’s taxable year. Management of the Fund has reviewed all open tax years and major jurisdictions (i.e., the last three tax year ends and the interim tax period since then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Fund is also 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. On an ongoing basis, management monitors its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary based on factors including, but not limited to, on-going analysis of tax law, regulation, and interpretations thereof. DYNAMIC SHARES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) June 30, 2024 (unaudited) |
RESTATEMENTS OF FINANCIAL STATE
RESTATEMENTS OF FINANCIAL STATEMENTS | 6 Months Ended |
Jun. 30, 2024 | |
Accounting Changes and Error Corrections [Abstract] | |
RESTATEMENTS OF FINANCIAL STATEMENTS | NOTE 3 – RESTATEMENTS OF FINANCIAL STATEMENTS The Fund has restated its Statements of Operations, Statements of Changes in Shareholders’ Equity, Statements of Cash Flows and Notes to Financial Statements to include the Trust in these statements for the fiscal periods ended June 30, 2023. |
INVESTMENTS
INVESTMENTS | 6 Months Ended |
Jun. 30, 2024 | |
Investments, Debt and Equity Securities [Abstract] | |
INVESTMENTS | NOTE 4 – INVESTMENTS Short-Term Investments The Fund may purchase U.S. Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities with original maturities of one year or less. A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. Accounting for Derivative Instruments In seeking to achieve the Fund’s investment objective, the Sponsor uses a mathematical approach to investing. Using this approach, the Sponsor determines the type, quantity and mix of investment positions, including derivative positions, which the Sponsor believes in combination, should produce returns consistent with the objective of the Fund. All open derivative positions at period end are reflected on the Fund’s Schedule of Investments. Following is a description of the derivative instruments used by the Fund during the reporting period, including the primary underlying risk exposures related to each instrument type. Futures Contracts A derivative refers to any financial instrument whose value is derived, at least in part, from the price of an underlying security, asset, rate, or index. The use of derivatives presents risk different from, and possibly greater than, the risks associated with investing directly in traditional securities. Changes in the value of a derivative may not correlate perfectly with the underlying security, asset, rate or index. Gains or losses in a derivative may be magnified and may be much greater than the derivative’s original cost. Generally speaking, a futures contract obligates the seller to deliver (and the purchaser to accept) the future delivery of a specified quantity and type of asset at a specified time and place. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery, or by cash settlement at expiration of contract. Upon entering into a futures contract, the Fund is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is affected. The initial margin is segregated as cash and/or securities balances with brokers for futures contracts, as disclosed in the Statements of Financial Condition, and is restricted as to its use. The Fund maintains collateral at the broker in the form of cash and/or securities. Pursuant to the futures contract, the Fund generally agrees to receive from or pay to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. The Fund will realize a gain or loss upon closing of a futures transaction. DYNAMIC SHARES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) June 30, 2024 (unaudited) The Fund invests in and has investment exposure to an actively managed portfolio of short positions in VIX Futures Contracts, which are based on the CBOE VIX Index. VIX Futures Contracts, which are types of derivative contracts, are unlike traditional futures contracts and are not based on a tradable reference asset. The VIX Index is not directly investable, and the settlement price of a VIX Futures Contract is based on the calculation that determines the level of the VIX Index. Futures contracts involve, to varying degrees, elements of market risk and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure the Fund has in the particular classes of instruments. Additional risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts and the market value of the underlying Index or commodity and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal but some counterparty risk to the Fund since futures contracts are exchange-traded and the credit risk resides with the Fund’s clearing broker or clearinghouse itself. Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified times during the trading day. Futures contracts prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting the Fund to substantial losses. If trading is not possible, or if the Fund determines not to close a futures position in anticipation of adverse price movements, the Fund will be required to make daily cash payments of variation margin. The risk the Fund will be unable to close out a futures position will be minimized by entering into such transactions on a national exchange with an active and liquid secondary market. The following tables indicate the location of derivative related items on the Statements of Financial Condition as well as the effect of derivative instruments on the Statements of Operations during the reporting period. SUMMARY OF LOCATION OF DERIVATIVE RELATED ITEMS ON THE STATEMENTS OF FINANCIAL CONDITION AS WELL AS THE EFFECT OF DERIVATIVE INSTRUMENTS Fair Value of Derivative Instruments as of June 30, 2024 Asset Derivatives Liability Derivatives Derivatives Statements of Unrealized Statements of Unrealized Dynamic Short Short-Term Volatility Futures ETF Equity risk Unrealized on open futures contracts $ 21,691 - - Dynamic Shares Trust (combined) Equity risk Unrealized on open futures contracts $ 21,691 - - Fair Value of Derivative Instruments as of December 31, 2023 Asset Derivatives Liability Derivatives Derivatives Statements of Unrealized Statements of Unrealized Dynamic Short Short-Term Volatility Futures ETF Equity risk Unrealized on open futures contracts $ 81,947 - - Dynamic Shares Trust (combined) Equity risk Unrealized on open futures contracts $ 81,947 - - The Effect of Derivative Instruments on the Statements of Operations For the three months ended June 30, 2024 Derivatives Location of Realized Gain Change in Dynamic Short Short-Term Volatility Futures ETF Equity risk Realized and unrealized gain (loss) on investment activity $ 180,986 $ (55,053 ) Dynamic Shares Trust (combined) Equity risk Realized and unrealized gain (loss) on investment activity $ 180,986 $ (55,053 ) For the six months ended June 30, 2024 Derivatives Location of Realized Gain Change in Dynamic Short Short-Term Volatility Futures ETF Equity risk Realized and unrealized gain (loss) on investment activity $ 537,475 $ (60,256 ) Dynamic Shares Trust (combined) Equity risk Realized and unrealized gain (loss) on investment activity $ 537,475 $ (60,256 ) DYNAMIC SHARES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) June 30, 2024 (unaudited) For the three months ended June 30, 2023 Derivatives Location of Realized Gain Change in Dynamic Short Short-Term Volatility Futures ETF Equity risk Realized and unrealized gain (loss) on investment activity $ 788,700 $ (33,574 ) Dynamic Shares Trust (combined) (Note 3) Equity risk Realized and unrealized gain (loss) on investment activity $ 788,700 $ (33,574 ) For the six months ended June 30, 2023 Derivatives Location of Realized Gain Change in Dynamic Short Short-Term Volatility Futures ETF Equity risk Realized and unrealized gain (loss) on investment activity $ 887,934 $ 59,091 Dynamic Shares Trust (combined) (Note 3) Equity risk Realized and unrealized gain (loss) on investment activity $ 887,934 $ 59,091 The following table represents the average notional values, which serve as an indicator of volume for the futures during the fiscal period ended June 30, 2024: SCHEDULE OF AVERAGE NOTIONAL VALUE Derivative Type Type Average Notional Futures Equity risk $ (1,402,091 ) |
AGREEMENTS
AGREEMENTS | 6 Months Ended |
Jun. 30, 2024 | |
Agreements | |
AGREEMENTS | NOTE 5 – AGREEMENTS Management Fee Dynamic Shares LLC, a Delaware limited liability company formed on June 4, 2018, is the Sponsor of the Trust and the Fund (the “Sponsor”). The Fund pays the Sponsor a management fee (the “Management Fee”), monthly in arrears, in an amount equal to 1.85 The Management Fee is paid in consideration of the Sponsor’s trading advisory services and the other services provided to the Fund that the Sponsor pays directly or indirectly. From the Management Fee, the Sponsor pays all of the routine operational, administrative and other ordinary expenses of the Fund, generally as determined by the Sponsor, including but not limited to, (i) the Administrator, Custodian, Distributor, Transfer Agent, accounting and auditing fees and expenses; and (ii) the normal and expected expenses incurred in connection with the continuous offering of Shares of the Fund after the commencement of its trading operations. Fees associated with the Fund’s trading operations may include expenses such as tax preparation expenses, legal fees not in excess of $ 100,000 15,273 DYNAMIC SHARES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) June 30, 2024 (unaudited) From April 1, 2022 through April 1, 2023, the Sponsor voluntarily agreed to lower the rate of the Management Fee to 0.50 Non-Recurring Fees and Expenses The Fund pays all its non-recurring and unusual fees and expenses, if any, as determined by the Sponsor. Non-recurring and unusual fees and expenses are fees and expenses that are unexpected or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other material expenses which are not currently anticipated obligations of the Fund. Routine operational, administrative and other ordinary expenses are not deemed extraordinary expenses. The Administrator The Nottingham Company (“Nottingham”), serves as the Administrator of the Fund. The Trust, on its own behalf and on behalf of the Fund, and Nottingham have entered into an administration and accounting agreement (the “Administration and Accounting Agreement”) in connection therewith. Pursuant to the terms of the Administration and Accounting Agreement and under the supervision and direction of the Sponsor and the Trust, Nottingham prepares and files certain regulatory filings on behalf of the Fund. Nottingham also may perform other services for the Fund pursuant to the Administration and Accounting Agreement as mutually agreed upon by the Sponsor, the Trust and Nottingham from time to time. The Administrator’s fees are paid by the Sponsor from the management fee earned. The Custodian Midwest Institutional Trust Services (“MITS”), formerly BMO Harris Bank N.A., serves as the Custodian of the Fund’s assets, and MITS has entered into a custody agreement (the “Custody Agreement”) in connection therewith. Pursuant to the terms of the Custody Agreement, MITS is responsible for the holding and safekeeping of assets delivered to it by the Fund, and performing various administrative duties in accordance with instructions delivered to MITS by the Fund. The Transfer Agent Nottingham Shareholder Services, LLC, serves as the Transfer Agent of the Fund for Authorized Participants and will enter into a dividend disbursing and transfer agent agreement (the “Transfer Agent Agreement”). Pursuant to the terms of the Transfer Agent Agreement, the Transfer Agent will be responsible for processing purchase and redemption orders and maintaining records of ownership of the Fund. The Transfer Agent fees are paid by the Sponsor from the management fee earned. DYNAMIC SHARES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) June 30, 2024 (unaudited) The Distributor Capital Investment Group, Inc., serves as the Distributor of the Fund and will assist the Sponsor and the Administrator with functions and duties relating to distribution and marketing, which include the following: taking creation and redemption orders, and consulting with the marketing staff of the Sponsor and its affiliates with respect to compliance matters in connection with marketing efforts. |
CREATION AND REDEMPTION OF CREA
CREATION AND REDEMPTION OF CREATION UNITS | 6 Months Ended |
Jun. 30, 2024 | |
Creation And Redemption Of Creation Units | |
CREATION AND REDEMPTION OF CREATION UNITS | Note 6 – CREATION AND REDEMPTION OF CREATION UNITS The Fund issues and redeems shares from time to time, but only in one or more Creation Units. A Creation Unit is a block of 50,000 Transaction Fees on Creation and Redemption Transactions The manner by which Creation Units are purchased and redeemed is dictated by the terms of the Authorized Participant Agreement and Authorized Participant Handbook. By placing a purchase order, an Authorized Participant agrees to deposit cash with the Custodian of the Fund. If permitted by the Sponsor in its sole discretion, an Authorized Participant also agrees to enter into or arrange for an exchange of futures for related position or block trade with the Fund whereby the Authorized Participant would also transfer to the Fund a number and type of exchange-traded futures contracts at or near the closing settlement price for such contracts on the purchase order date. Similarly, the Sponsor in its sole discretion may agree with an Authorized Participant to use an exchange of futures for related position to effect an order to redeem Creation Units. Authorized Participants pay a fixed transaction fee of up to $ 500 DYNAMIC SHARES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) June 30, 2024 (unaudited) |
FINANCIAL HIGHLIGHTS
FINANCIAL HIGHLIGHTS | 6 Months Ended |
Jun. 30, 2024 | |
Investment Company [Abstract] | |
FINANCIAL HIGHLIGHTS | NOTE 7 – FINANCIAL HIGHLIGHTS Selected Data for a Share Outstanding Throughout each Period SUMMARY OF SELECTED DATA FOR A SHARE OUTSTANDING Dynamic Short Short-Term Volatility Futures ETF FINANCIAL HIGHLIGHTS Three Months Ended Six Months Ended June 30, June 30, 2024 2023 2024 2023 Per Share Operating Performance Net asset value, beginning of period $ 29.31 $ 19.57 $ 27.77 $ 18.15 Net investment income (a) 0.14 0.16 0.27 0.30 Net realized and unrealized gain (a) 0.99 5.03 2.40 6.31 Net asset value, end of period $ 30.44 $ 24.76 $ 30.44 $ 24.76 Market value per share, beginning of period $ 29.34 $ 19.57 $ 27.79 $ 18.13 Market value per share, end of period $ 30.45 $ 24.74 $ 30.45 $ 24.74 Total Return, at net asset value (b) 3.86 % 26.52 % 9.61 % 36.42 % Total Return, at market value (b) 3.78 % 26.42 % 9.57 % 36.46 % Ratios to Average Net Assets (c) Gross expense 2.85 % 1.85 % 2.77 % 1.85 % Net expense 2.85 % 1.85 % 2.77 % 1.25 % Net investment income (loss) 1.85 % 2.91 % 1.90 % 2.90 % (a) Calculated using the average shares method. (b) Not annualized (c) Annualized |
RISK
RISK | 6 Months Ended |
Jun. 30, 2024 | |
Risk | |
RISK | NOTE 8 – RISK Correlation and Compounding Risk The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day (as measured from NAV calculation time to NAV calculation time). The return of the Fund for a period longer than a single day is the result of its return for each day compounded over the period and usually will differ in amount and possibly even direction from one-half the maximum inverse (-0.5x) of the Fund’s benchmark for the period. The Fund will lose money if its benchmark performance is flat over time, and it is possible for the Fund to lose money over time even if the performance of its benchmark decreases, as a result of daily rebalancing, the benchmark’s volatility, compounding, and other factors. Compounding is the cumulative effect of applying investment gains and losses and income to the principal amount invested over time. Gains or losses experienced over a given period will increase or reduce the principal amount invested from which the subsequent period’s returns are calculated. The effects of compounding will likely cause the performance of the Fund to differ from the Fund’s stated multiple times the return of its benchmark for the same period. The effect of compounding becomes more pronounced as benchmark volatility and holding period increase. The impact of compounding will impact each shareholder differently depending on the period of time an investment in the Fund is held and the volatility of the benchmark during the holding period of such investment. Longer holding periods, higher benchmark volatility, inverse exposure and greater leverage each affect the impact of compounding on the Fund’s returns. Daily compounding of the Fund’s investment returns can dramatically and adversely affect its longer-term performance during periods of high volatility. Volatility may be at least as important to the Fund’s return for a period as the return of the Fund’s underlying benchmark. While the Fund seeks to meet its investment objective, there is no guarantee the Fund will do so. Factors that may affect the Fund’s ability to meet its investment objective include: (1) the Sponsor’s ability to purchase and sell financial instruments in a manner that correlates to the Fund’s objective; (2) an imperfect correlation between the performance of the financial instruments held by the Fund and the performance of the applicable benchmark; (3) bid-ask spreads on such financial instruments; (4) fees, expenses, transaction costs, financing costs associated with the use of financial instruments and commission costs; (5) holding or trading instruments in a market that has become illiquid or disrupted; (6) the Fund’s Share prices being rounded to the nearest cent and/or valuation methodology; (7) changes to a benchmark Index that are not disseminated in advance; (8) the need to conform the Fund’s portfolio holdings to comply with investment restrictions or policies or regulatory or tax law requirements; (9) early and unanticipated closings of the markets on which the holdings of the Fund trade, resulting in the inability of the Fund to execute intended portfolio transactions; (10) accounting standards; and (11) differences caused by the Fund obtaining exposure to only a representative sample of the components of a benchmark, over weighting or under weighting certain components of a benchmark or obtaining exposure to assets that are not included in a benchmark. DYNAMIC SHARES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) June 30, 2024 (unaudited) A number of factors may affect the Fund’s ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that the Fund will achieve a high degree of correlation. Failure to achieve a high degree of correlation may prevent the Fund from achieving its investment objective. In order to achieve a high degree of correlation with their underlying benchmarks, the Fund seeks to rebalance its portfolios daily to keep exposure consistent with their investment objectives. Being materially under- or over-exposed to the benchmark may prevent the Fund from achieving a high degree of correlation with such benchmark. Market disruptions or closure, large amounts of assets into or out of the Fund, regulatory restrictions, extreme market volatility, and other factors will adversely affect the Fund’s ability to adjust exposure to requisite levels. The target amount of portfolio exposure is impacted dynamically by the benchmarks’ movements during each day. Other things being equal, more significant movement in the value of its benchmark up or down will require more significant adjustments to the Fund’s portfolio. Because of this, it is unlikely that the Fund will be perfectly exposed (i.e., -0.5x) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed is higher on days when the benchmark levels are volatile near the close of the trading day. Counterparty Risk The Fund may use derivatives such as swap agreements and forward contracts (collectively referred to herein as “derivatives”) in the manner described herein as a means to achieve its investment objectives. The use of derivatives by the Fund exposes the Fund to counterparty risks. Regulatory Treatment Derivatives are generally traded in OTC markets and have only recently become subject to comprehensive regulation in the United States. Cash-settled forwards are generally regulated as “swaps”, whereas physically settled forwards are generally not subject to regulation (in the case of commodities other than currencies) or subject to the federal securities laws (in the case of securities). Title VII of the Dodd-Frank Act (“Title VII”) created a regulatory regime for derivatives, with the CFTC responsible for the regulation of swaps and the SEC responsible for the regulation of “security-based swaps.” The SEC requirements have largely yet to be made effective, but the CFTC requirements are largely in place. The CFTC requirements have included rules for some of the types of transactions in which the Fund will engage, including mandatory clearing and exchange trading, reporting, and margin for OTC swaps. Title VII also created new categories of regulated market participants, such as “swap dealers,” “security-based swap dealers,” “major swap participants,” and “major security-based swap participants” who are, or will be, subject to significant new capital, registration, recordkeeping, reporting, disclosure, business conduct and other regulatory requirements. The regulatory requirements under Title VII continue to be developed and there may be further modifications that could materially and adversely impact the Fund, the markets in which the Fund trades and the counterparties with which the Fund engages in transactions. DYNAMIC SHARES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) June 30, 2024 (unaudited) As noted, the CFTC rules may not apply to all of the swap agreements and forward contracts that may be entered into by the Fund. Investors, therefore, may not receive the protection of CFTC regulation or the statutory scheme of the CEA in connection with the Fund’s swap agreements or forward contracts. The lack of regulation in these markets could expose investors to significant losses under certain circumstances, including in the event of trading abuses or financial failure by participants. Counterparty Credit Risk When the Fund enters into futures contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations. The counterparty for futures contracts traded on United States and most foreign futures exchanges as well as certain swaps is the clearing house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., some foreign exchanges, which may become applicable in the future), it may be backed by a consortium of banks or other financial institutions. The Sponsor attempts to minimize certain of these market and credit risks by normally: ● executing and clearing trades with creditworthy counterparties, as determined by the Sponsor; ● limiting the outstanding amounts due from counterparties to the Fund; ● not posting margin directly with a counterparty; ● requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Fund, as marked to market daily, subject to certain minimum thresholds; and ● limiting the amount of margin or premium posted at a Futures Commission Merchant (“FCM”). DYNAMIC SHARES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) June 30, 2024 (unaudited) Any OTC derivatives of the type that may be utilized by the Fund are generally less liquid than futures contracts because they are not traded on an exchange, do not have uniform terms and conditions, and are generally entered into based upon the creditworthiness of the parties and the availability of credit support, such as collateral, and in general, are not transferable without the consent of the counterparty. These agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. For example, if the level of the Fund’s benchmark has a dramatic intraday move that would cause a material decline in the Fund’s NAV, the terms of the swap may permit the counterparty to immediately close out the transaction with the Fund. In that event, it may not be possible for the Fund to enter into another swap or to invest in other financial instruments necessary to achieve the desired exposure consistent with the Fund’s objective. This, in turn, may prevent the Fund from achieving its investment objective, particularly if the level of the Fund’s benchmark reverses all or part of its intraday move by the end of the day. The Sponsor regularly reviews the performance of its counterparties for, among other things, creditworthiness and execution quality. In addition, the Sponsor periodically considers the addition of new counterparties and the counterparties used by the Fund may change at any time. Each day, the Fund discloses its portfolio holdings as of the prior Business Day. The Fund’s portfolio holdings identifies its counterparties, as applicable. This portfolio holdings information may be accessed through the web on the Sponsor’s website at www.dynamicsharesetf.com. The information on the Sponsor’s website is for information only and is not incorporated by reference herein. Each counterparty and/or any of its affiliates may be an Authorized Participant or shareholder of the Fund, subject to applicable law. Leverage Risk The Fund’s investment in derivative instruments generally requires a small investment relative to the amount of investment exposure assumed. As a result, such investments may give rise to losses that exceed the amount invested in those instruments. The more the Fund invests in derivative instruments that give rise to leverage, the more this leverage will magnify any losses on those investments. Leverage will cause the value of the Fund’s Shares to be more volatile than if the Fund did not use leverage. This is because leverage tends to exaggerate the effect of any increase or decrease in the value of the Fund’s portfolio or other investments. The use of leverage also may cause the Fund to liquidate portfolio positions when it would not be advantageous to do so to satisfy its obligations or to meet segregation requirements. Certain types of leveraging transactions, such as short sales that are not “against the box,” could theoretically be subject to unlimited losses in cases where the Fund, for any reason, is unable to close out the transaction. In addition, to the extent the Fund borrows money, interest costs on such borrowed money may not be recovered by any appreciation of the financial instruments purchased with the borrowed funds and could exceed the Fund’s investment income, resulting in greater losses. The cost of investing in such instruments generally increases as interest rates increase, which will lower the Fund’s return. DYNAMIC SHARES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) June 30, 2024 (unaudited) Liquidity Risk The Fund will invest in derivatives and other instruments that may be less liquid than other types of investments. Investments that are less liquid or that trade less can be more difficult or costlier to buy, or to sell, compared to other more liquid or active investments. This liquidity risk is a factor of the trading volume of a particular investment, as well as the size and liquidity of the market for such an investment. The derivatives in which the Fund invests may not always be liquid. The large size of the positions which the Fund may acquire increases the risk of illiquidity both by making its positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Fund will typically invest in financial instruments related to one index. A lack of liquidity could have a negative effect on the Fund’s ability to achieve its investment objective and may result in losses to Fund shareholders. “Contango” and “Backwardation” Risk The futures contracts held by the Fund, as the futures contracts near expiration, are generally replaced by contracts that have a later expiration. Thus, for example, a contract purchased and held in November 2019 may specify a January 2020 expiration. As that contract nears expiration, it may be replaced by selling the January 2020 contract and purchasing the contract expiring in March 2020. This process is referred to as “rolling.” Rolling may have a positive or negative impact on performance. For example, historically, the prices of certain types of futures contracts have frequently been higher for contracts with shorter-term expirations than for contracts with longer-term expirations, which is referred to as “backwardation.” In these circumstances, absent other factors, the sale of the January 2020 contract would take place at a price that is higher than the price at which the March 2020 contract is purchased, thereby creating a gain in connection with rolling. While certain types of futures contracts have historically exhibited consistent periods of backwardation, backwardation will likely not exist in these markets at all times. The presence of contango (where prices of contracts are higher in the distant delivery months than in the nearer delivery months due to the costs of long-term storage of a physical commodity prior to delivery or other factors) in certain futures contracts at the time of rolling would be expected to positively affect the Fund. Similarly, the presence of backwardation in certain futures contracts at the time of rolling such contracts would be expected to adversely affect the Fund. Since the introduction of VIX futures contracts, there have frequently been periods where VIX futures prices reflect higher expected volatility levels further out in time. This can result in a loss from “rolling” the VIX futures to maintain the constant weighted average maturity of the applicable VIX Futures Index. DYNAMIC SHARES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) June 30, 2024 (unaudited) Natural Disaster/Epidemic Risk Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks mentioned herein, and result in significant breakdowns, delays, shutdowns, social isolation, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Fund and its investments. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and increase the difficulty of modeling market conditions, potentially reducing the accuracy of financial projections. Under these circumstances, the Fund may have difficulty achieving its investment objective which may adversely impact performance. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Fund’s Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Fund’s investments. For instance, prior to the COVID-19 epidemic, the Sponsor anticipated a lower “breakeven amount” for the Fund because the Sponsor expected interest income from the Fund’s investments to offset the Fund’s estimated fees, costs and expenses. Due to market conditions following the COVID-19 epidemic, the Fund’s interest income is assumed to be zero, and the amount of trading income the Fund needs to achieve to breakeven is higher than the Sponsor anticipated prior to the COVID-19 epidemic. Additionally, during the peak of the COVID-19 epidemic, certain state and local governments enacted stay-at-home/shelter-at-home orders, causing certain agents of the Sponsor and its third party service providers to enact business continuity measures, such as requiring or permitting employees to work from home. These factors can cause substantial market volatility, exchange trading suspensions and closures and can impact the ability of the Fund to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market. A widespread crises may also affect the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these events could have significant impact on the Fund’s performance, resulting in losses to your investment. Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks The Russian Federation’s invasion of Ukraine in February 2022 (the “Ukraine War”), various nations, including the U.S., have instituted economic sanctions and other responsive measures, which have resulted in an increased level of global economic and political uncertainty. Given the evolving nature of the Ukraine War, and the related sanctions, potential governmental actions, and economic impact, the scope and magnitude of any such potential effects remain uncertain. |
CONCENTRATION OF RISK
CONCENTRATION OF RISK | 6 Months Ended |
Jun. 30, 2024 | |
Risks and Uncertainties [Abstract] | |
CONCENTRATION OF RISK | NOTE 9 – CONCENTRATION OF RISK The Fund currently invests a significant portion of its assets in the Goldman Sachs Financial Square Government Fund. The Fund may redeem its investment at any time if the Advisor determines that it is in the best interest of the Fund and its shareholders to do so. The financial statements of the Goldman Sachs Financial Square Government Fund, including the portfolio of investments, can be found at www.sec.gov, and should be read in conjunction with the Fund’s financial statements. |
SUBSEQUENT EVENTS
SUBSEQUENT EVENTS | 6 Months Ended |
Jun. 30, 2024 | |
Subsequent Events [Abstract] | |
SUBSEQUENT EVENTS | NOTE 10 – SUBSEQUENT EVENTS Management has evaluated subsequent events existing in the Trust’s and the Fund’s financial statements through the date the financial statements were issued. Management has determined that there are no material events that would require disclosure in the Trust’s or the Fund’s financial statements through this date. |
SIGNIFICANT ACCOUNTING POLICI_2
SIGNIFICANT ACCOUNTING POLICIES (Policies) | 6 Months Ended |
Jun. 30, 2024 | |
Accounting Policies [Abstract] | |
Emerging Growth Company | Emerging Growth Company The Trust is an “emerging growth company,” as defined in the Jumpstart Our Business Startups (“JOBS”) Act of 2012. It will remain an emerging growth company until the earlier of (1) the beginning of the first fiscal year following the fifth anniversary of its initial public offering, (2) the beginning of the first fiscal year after annual gross revenue is $ 1.07 1.0 700 For as long as the Trust remains an “emerging growth company,” it may take advantage of certain exemptions from the various reporting requirements that are applicable to public companies that are not “emerging growth companies” including, but not limited to, not being required to comply with the auditor attestation requirements of Section 404 of the Sarbanes-Oxley Act, reduced disclosure obligations regarding executive compensation and financial statements in our periodic reports and proxy statements, and exemptions from the requirements of holding a nonbinding advisory vote to approve executive compensation and shareholder approval of any golden parachute payments not previously approved. The Trust will take advantage of these reporting exemptions until it is no longer an “emerging growth company.” DYNAMIC SHARES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) June 30, 2024 (unaudited) In addition, Section 107 of the JOBS Act also provides that an emerging growth company can take advantage of the extended transition period provided in Section 7(a)(2)(B) of the Securities Act for complying with new or revised accounting standards. In other words, an emerging growth company can delay the adoption of certain accounting standards until those standards would otherwise apply to private companies. The Trust intends to take advantage of the benefits of the extended transition period. |
Use of Estimates & Indemnifications | Use of Estimates & Indemnifications 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 and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets resulting from operations. Actual results could differ from those estimates. In the normal course of business, the Trust enters into contracts that contain a variety of representations which provide general indemnifications. The Trust’s maximum exposure under these arrangements cannot be known; however, the Trust expects any risk of material or significant loss to be remote. |
Basis of Presentation | Basis of Presentation Pursuant to rules and regulations of the SEC, these financial statements are presented for the Trust as a whole, as the SEC registrant. However, the debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to the Fund shall be enforceable only against the assets of the Fund and not against the assets of the Trust generally or any other series of the Trust. Accordingly, the assets of the Fund include only those funds and other assets that are paid to, held by or distributed to the Trust for the purchase of Shares in the Fund. |
Statements of Cash Flows | Statements of Cash Flows The cash amounts shown in the Statements of Cash Flows are the amounts reported as cash in the Statements of Financial Condition dated June 30, 2024 and June 30, 2023, and represents cash and segregated cash balances with brokers for futures contracts. DYNAMIC SHARES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) June 30, 2024 (unaudited) |
Final Net Asset Value for Fiscal Period | Final Net Asset Value for Fiscal Period The cut-off times and the times of the calculation of the Fund’s final net asset value for creation and redemption of fund shares for the period ended June 30, 2024 were typically as follows. All times are Eastern Standard Time: SUMMARY OF CUT-OFF TIMES AND THE TIMES OF THE CALCULATION OF THE FUNDS FINAL NET ASSET VALUE FOR CREATION AND REDEMPTION OF FUND SHARES Create/Redeem * NAV Calculation Dynamic Short Short-Term Volatility Futures ETF 2:00 4:00 * Although the Fund’s shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the period ended June 30, 2024. Market value per Share is determined at the close of the applicable primary listing exchange and may differ from when the Fund’s NAV per Share is calculated. For financial reporting purposes, the Fund values transactions based upon the final closing price in the United States. |
Investment Valuation | Investment Valuation Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations. Derivatives (e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts are generally valued at the last settled price on the applicable exchange on which that future trades. For financial reporting purposes, all futures contracts are valued at last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would be generally determined based on available inputs relating to the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with normal industry standards. The Sponsor may fair value an asset of the Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy. Fair value pricing may require subjective determinations about the value of an investment. While the Fund’s policy is intended to result in a calculation of the Fund’s NAV that fairly reflects investment values as of the time of pricing, the Fund cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that the Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale). DYNAMIC SHARES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) June 30, 2024 (unaudited) |
Fair Value of Financial Instruments | Fair Value of Financial Instruments The Fund discloses the fair value of its investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The disclosure requirements establish a fair value hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of the Fund (observable inputs); and (2) the Fund’s own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the disclosure requirements hierarchy are as follows: Level I – Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date. Level II – Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly. Level II assets include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated inputs). Level III – Unobservable pricing input at the measurement date for the asset or liability. Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available. In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest input level that is significant to the fair value measurement in its entirety. Fair value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly. The following table summarizes the valuation of investments as of June 30, 2024 using the fair value hierarchy: SUMMARY OF THE VALUATION OF INVESTMENTS USING THE FAIR VALUE HIERARCHY Level I – Quoted Prices Money Market Fund Futures Contracts * Dynamic Short Short-Term Volatility Futures ETF $ 2,738,281 $ 21,691 Dynamic Shares Trust (combined) $ 2,738,281 $ 21,691 * Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Amounts shown for futures is unrealized appreciation as presented in the Statements of Financial Condition. DYNAMIC SHARES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) June 30, 2024 (unaudited) The following table summarizes the valuation of investments as of December 31, 2023 using the fair value hierarchy: Level I – Quoted Prices Money Market Fund Futures Contracts * Dynamic Short Short-Term Volatility Futures ETF $ 4,131,023 $ 81,947 Dynamic Shares Trust (combined) $ 4,131,023 $ 81,947 * Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Amounts shown for futures is unrealized appreciation as presented in the Statements of Financial Condition. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities. |
Investment Transactions and Related Income | Investment Transactions and Related Income Investment transactions are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized appreciation (depreciation) on open contracts are reflected in the Statements of Financial Condition and changes in the unrealized appreciation (depreciation) between periods are reflected in the Statements of Operations. Interest income is recognized on an accrual basis and includes, where applicable, the amortization of premium or discount, and is reflected as Interest Income in the Statements of Operations. |
Brokerage Commissions and Futures Account Fees | Brokerage Commissions and Futures Account Fees The Fund pays its brokerage commissions, including applicable exchange fees, NFA fees, give up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for the Fund’s investment in CFTC regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis. |
Federal Income Tax | Federal Income Tax The Fund is registered as a series of a Delaware statutory trust and is treated as a partnership for U.S. federal income tax purposes. Accordingly, the Fund does not expect to incur U.S. federal income tax liability; rather, each beneficial owner of the Fund’s Shares is required to take into account its allocable share of the Fund’s income, gain, loss, deductions and other items for its Fund’s taxable year ending with or within the beneficial owner’s taxable year. Management of the Fund has reviewed all open tax years and major jurisdictions (i.e., the last three tax year ends and the interim tax period since then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Fund is also 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. On an ongoing basis, management monitors its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary based on factors including, but not limited to, on-going analysis of tax law, regulation, and interpretations thereof. |
SIGNIFICANT ACCOUNTING POLICI_3
SIGNIFICANT ACCOUNTING POLICIES (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
Accounting Policies [Abstract] | |
SUMMARY OF CUT-OFF TIMES AND THE TIMES OF THE CALCULATION OF THE FUNDS FINAL NET ASSET VALUE FOR CREATION AND REDEMPTION OF FUND SHARES | The cut-off times and the times of the calculation of the Fund’s final net asset value for creation and redemption of fund shares for the period ended June 30, 2024 were typically as follows. All times are Eastern Standard Time: SUMMARY OF CUT-OFF TIMES AND THE TIMES OF THE CALCULATION OF THE FUNDS FINAL NET ASSET VALUE FOR CREATION AND REDEMPTION OF FUND SHARES Create/Redeem * NAV Calculation Dynamic Short Short-Term Volatility Futures ETF 2:00 4:00 * Although the Fund’s shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the period ended June 30, 2024. |
SUMMARY OF THE VALUATION OF INVESTMENTS USING THE FAIR VALUE HIERARCHY | The following table summarizes the valuation of investments as of June 30, 2024 using the fair value hierarchy: SUMMARY OF THE VALUATION OF INVESTMENTS USING THE FAIR VALUE HIERARCHY Level I – Quoted Prices Money Market Fund Futures Contracts * Dynamic Short Short-Term Volatility Futures ETF $ 2,738,281 $ 21,691 Dynamic Shares Trust (combined) $ 2,738,281 $ 21,691 * Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Amounts shown for futures is unrealized appreciation as presented in the Statements of Financial Condition. DYNAMIC SHARES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) June 30, 2024 (unaudited) The following table summarizes the valuation of investments as of December 31, 2023 using the fair value hierarchy: Level I – Quoted Prices Money Market Fund Futures Contracts * Dynamic Short Short-Term Volatility Futures ETF $ 4,131,023 $ 81,947 Dynamic Shares Trust (combined) $ 4,131,023 $ 81,947 * Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Amounts shown for futures is unrealized appreciation as presented in the Statements of Financial Condition. |
INVESTMENTS (Tables)
INVESTMENTS (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
Investments, Debt and Equity Securities [Abstract] | |
SUMMARY OF LOCATION OF DERIVATIVE RELATED ITEMS ON THE STATEMENTS OF FINANCIAL CONDITION AS WELL AS THE EFFECT OF DERIVATIVE INSTRUMENTS | The following tables indicate the location of derivative related items on the Statements of Financial Condition as well as the effect of derivative instruments on the Statements of Operations during the reporting period. SUMMARY OF LOCATION OF DERIVATIVE RELATED ITEMS ON THE STATEMENTS OF FINANCIAL CONDITION AS WELL AS THE EFFECT OF DERIVATIVE INSTRUMENTS Fair Value of Derivative Instruments as of June 30, 2024 Asset Derivatives Liability Derivatives Derivatives Statements of Unrealized Statements of Unrealized Dynamic Short Short-Term Volatility Futures ETF Equity risk Unrealized on open futures contracts $ 21,691 - - Dynamic Shares Trust (combined) Equity risk Unrealized on open futures contracts $ 21,691 - - Fair Value of Derivative Instruments as of December 31, 2023 Asset Derivatives Liability Derivatives Derivatives Statements of Unrealized Statements of Unrealized Dynamic Short Short-Term Volatility Futures ETF Equity risk Unrealized on open futures contracts $ 81,947 - - Dynamic Shares Trust (combined) Equity risk Unrealized on open futures contracts $ 81,947 - - The Effect of Derivative Instruments on the Statements of Operations For the three months ended June 30, 2024 Derivatives Location of Realized Gain Change in Dynamic Short Short-Term Volatility Futures ETF Equity risk Realized and unrealized gain (loss) on investment activity $ 180,986 $ (55,053 ) Dynamic Shares Trust (combined) Equity risk Realized and unrealized gain (loss) on investment activity $ 180,986 $ (55,053 ) For the six months ended June 30, 2024 Derivatives Location of Realized Gain Change in Dynamic Short Short-Term Volatility Futures ETF Equity risk Realized and unrealized gain (loss) on investment activity $ 537,475 $ (60,256 ) Dynamic Shares Trust (combined) Equity risk Realized and unrealized gain (loss) on investment activity $ 537,475 $ (60,256 ) DYNAMIC SHARES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) June 30, 2024 (unaudited) For the three months ended June 30, 2023 Derivatives Location of Realized Gain Change in Dynamic Short Short-Term Volatility Futures ETF Equity risk Realized and unrealized gain (loss) on investment activity $ 788,700 $ (33,574 ) Dynamic Shares Trust (combined) (Note 3) Equity risk Realized and unrealized gain (loss) on investment activity $ 788,700 $ (33,574 ) For the six months ended June 30, 2023 Derivatives Location of Realized Gain Change in Dynamic Short Short-Term Volatility Futures ETF Equity risk Realized and unrealized gain (loss) on investment activity $ 887,934 $ 59,091 Dynamic Shares Trust (combined) (Note 3) Equity risk Realized and unrealized gain (loss) on investment activity $ 887,934 $ 59,091 |
SCHEDULE OF AVERAGE NOTIONAL VALUE | The following table represents the average notional values, which serve as an indicator of volume for the futures during the fiscal period ended June 30, 2024: SCHEDULE OF AVERAGE NOTIONAL VALUE Derivative Type Type Average Notional Futures Equity risk $ (1,402,091 ) |
FINANCIAL HIGHLIGHTS (Tables)
FINANCIAL HIGHLIGHTS (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
Investment Company [Abstract] | |
SUMMARY OF SELECTED DATA FOR A SHARE OUTSTANDING | Selected Data for a Share Outstanding Throughout each Period SUMMARY OF SELECTED DATA FOR A SHARE OUTSTANDING Dynamic Short Short-Term Volatility Futures ETF FINANCIAL HIGHLIGHTS Three Months Ended Six Months Ended June 30, June 30, 2024 2023 2024 2023 Per Share Operating Performance Net asset value, beginning of period $ 29.31 $ 19.57 $ 27.77 $ 18.15 Net investment income (a) 0.14 0.16 0.27 0.30 Net realized and unrealized gain (a) 0.99 5.03 2.40 6.31 Net asset value, end of period $ 30.44 $ 24.76 $ 30.44 $ 24.76 Market value per share, beginning of period $ 29.34 $ 19.57 $ 27.79 $ 18.13 Market value per share, end of period $ 30.45 $ 24.74 $ 30.45 $ 24.74 Total Return, at net asset value (b) 3.86 % 26.52 % 9.61 % 36.42 % Total Return, at market value (b) 3.78 % 26.42 % 9.57 % 36.46 % Ratios to Average Net Assets (c) Gross expense 2.85 % 1.85 % 2.77 % 1.85 % Net expense 2.85 % 1.85 % 2.77 % 1.25 % Net investment income (loss) 1.85 % 2.91 % 1.90 % 2.90 % (a) Calculated using the average shares method. (b) Not annualized (c) Annualized |
ORGANIZATION (Details Narrative
ORGANIZATION (Details Narrative) | 6 Months Ended |
Jun. 30, 2024 USD ($) Integer shares | |
Number of shares in block | shares | 50,000 |
Dynamic Shares LLC [Member] | |
Aggregate purchase price | $ | $ 100 |
Minimum [Member] | |
Notional exposure of portfolio of short positions in VIX Futures Contracts under normal circumstances | 0.1 |
Maximum [Member] | |
Notional exposure of portfolio of short positions in VIX Futures Contracts under normal circumstances | 0.5 |
SUMMARY OF CUT-OFF TIMES AND TH
SUMMARY OF CUT-OFF TIMES AND THE TIMES OF THE CALCULATION OF THE FUNDS FINAL NET ASSET VALUE FOR CREATION AND REDEMPTION OF FUND SHARES (Details) - Exchange Traded Funds [Member] | 6 Months Ended | |
Jun. 30, 2024 | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Create redeem cut off description | 2:00 | [1] |
Nav calculation time description | 4:00 | |
[1]Although the Fund’s shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the period ended June 30, 2024. |
SUMMARY OF THE VALUATION OF INV
SUMMARY OF THE VALUATION OF INVESTMENTS USING THE FAIR VALUE HIERARCHY (Details) - Fair Value, Inputs, Level 1 [Member] - USD ($) | Jun. 30, 2024 | Dec. 31, 2023 | ||
Money Market Funds [Member] | ||||
Platform Operator, Crypto Asset [Line Items] | ||||
Dynamic short shortterm volatility futures ETF | $ 2,738,281 | $ 4,131,023 | ||
Money Market Funds [Member] | Dynamic Short Short Term Volatility Futures ETF [Member] | ||||
Platform Operator, Crypto Asset [Line Items] | ||||
Dynamic short shortterm volatility futures ETF | 2,738,281 | 4,131,023 | ||
Future [Member] | ||||
Platform Operator, Crypto Asset [Line Items] | ||||
Dynamic short shortterm volatility futures ETF | 21,691 | [1] | 81,947 | [2] |
Future [Member] | Dynamic Short Short Term Volatility Futures ETF [Member] | ||||
Platform Operator, Crypto Asset [Line Items] | ||||
Dynamic short shortterm volatility futures ETF | $ 21,691 | [1] | $ 81,947 | [2] |
[1]Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Amounts shown for futures is unrealized appreciation as presented in the Statements of Financial Condition.[2]Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Amounts shown for futures is unrealized appreciation as presented in the Statements of Financial Condition. |
SIGNIFICANT ACCOUNTING POLICI_4
SIGNIFICANT ACCOUNTING POLICIES (Details Narrative) $ in Thousands | 6 Months Ended |
Jun. 30, 2024 USD ($) | |
Accounting Policies [Abstract] | |
Revenues | $ 1,070,000 |
Non convertible debt securities | 1,000,000 |
Equity method investment, quoted market value | $ 700,000 |
SUMMARY OF LOCATION OF DERIVATI
SUMMARY OF LOCATION OF DERIVATIVE RELATED ITEMS ON THE STATEMENTS OF FINANCIAL CONDITION AS WELL AS THE EFFECT OF DERIVATIVE INSTRUMENTS (Details) - Not Designated as Hedging Instrument, Economic Hedge [Member] - USD ($) | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | Dec. 31, 2023 | |
Unrealized Appreciation | $ 21,691 | $ 21,691 | $ 81,947 | ||
Unrealized depreciation | |||||
Realized Gain loss on Derivatives Recognized in Income | 180,986 | $ 788,700 | 537,475 | $ 887,934 | |
Change in unrealized appreciation depreciation on derivatives recognized in income | (55,053) | (33,574) | (60,256) | 59,091 | |
Dynamic Short Short Term Volatility Futures ETF [Member] | |||||
Unrealized Appreciation | 21,691 | 21,691 | 81,947 | ||
Unrealized depreciation | |||||
Realized Gain loss on Derivatives Recognized in Income | 180,986 | 788,700 | 537,475 | 887,934 | |
Change in unrealized appreciation depreciation on derivatives recognized in income | $ (55,053) | $ (33,574) | $ (60,256) | $ 59,091 |
SCHEDULE OF AVERAGE NOTIONAL VA
SCHEDULE OF AVERAGE NOTIONAL VALUE (Details) | 6 Months Ended |
Jun. 30, 2024 USD ($) | |
Investments, Debt and Equity Securities [Abstract] | |
Type | Equity risk |
Notional amount | $ (1,402,091) |
AGREEMENTS (Details Narrative)
AGREEMENTS (Details Narrative) - USD ($) | 3 Months Ended | 6 Months Ended | 12 Months Ended | |
Jun. 04, 2018 | Mar. 31, 2024 | Jun. 30, 2024 | Apr. 02, 2023 | |
Agreements | ||||
Percentage of management fee | 1.85% | 0.50% | ||
Management fee description | the Sponsor pays all of the routine operational, administrative and other ordinary expenses of the Fund, generally as determined by the Sponsor, including but not limited to, (i) the Administrator, Custodian, Distributor, Transfer Agent, accounting and auditing fees and expenses; and (ii) the normal and expected expenses incurred in connection with the continuous offering of Shares of the Fund after the commencement of its trading operations. Fees associated with the Fund’s trading operations may include expenses such as tax preparation expenses, legal fees not in excess of $100,000 per annum, ongoing SEC registration fees not exceeding 0.021% per annum of the NAV of the Fund and Financial Industry Regulatory Authority (“FINRA”) filing fees, individual Schedule K-1 preparation and mailing fees not exceeding 0.10% per annum of the net assets of the Fund, and report preparation and mailing expenses. | |||
Legal fees | $ 100,000 | |||
Net reimburseable amount | $ 15,273 |
CREATION AND REDEMPTION OF CR_2
CREATION AND REDEMPTION OF CREATION UNITS (Details Narrative) | 6 Months Ended |
Jun. 30, 2024 USD ($) shares | |
Number of shares in block, shares | shares | 50,000 |
Maximum [Member] | |
Fixed transaction fee | $ | $ 500 |
SUMMARY OF SELECTED DATA FOR A
SUMMARY OF SELECTED DATA FOR A SHARE OUTSTANDING (Details) - $ / shares | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | ||
Net Asset Value Per Share, Beginning Balance | $ 27.77 | ||||
Net Asset Value Per Share, Ending Balance | $ 30.44 | 30.44 | |||
Dynamic Short Short Term Volatility Futures ETF [Member] | |||||
Net Asset Value Per Share, Beginning Balance | 29.31 | $ 19.57 | 27.77 | $ 18.15 | |
Investment Company, Investment Income (Loss), Per Share | [1] | 0.14 | 0.16 | 0.27 | 0.30 |
Investment Company, Gain (Loss) on Investment, Per Share | [1] | 0.99 | 5.03 | 2.40 | 6.31 |
Net Asset Value Per Share, Ending Balance | 30.44 | 24.76 | 30.44 | 24.76 | |
Market value per share, beginning of period | 29.34 | 19.57 | 27.79 | 18.13 | |
Market value per share, end of period | $ 30.45 | $ 24.74 | $ 30.45 | $ 24.74 | |
Total Return, at net asset value | [2] | 3.86% | 26.52% | 9.61% | 36.42% |
Total Return, at market value | [2] | 3.78% | 26.42% | 9.57% | 36.46% |
Gross Expense | [3] | 2.85% | 1.85% | 2.77% | 1.85% |
Net expense | [3] | 2.85% | 1.85% | 2.77% | 1.25% |
Net investment income (loss) | [3] | 1.85% | 2.91% | 1.90% | 2.90% |
[1]Calculated using the average shares method.[2]Not annualized[3]Annualized |