TFA TACTICAL INCOME FUND
SCHEDULE OF INVESTMENTS
March 31, 2023 (Unaudited)
| EXCHANGE-TRADED FUNDS - 76.51% | Shares | Value | ||||||
| Asset Allocation Fund - 2.84% | ||||||||
| SPDR Bloomberg Convertible Securities ETF | 20,400 | $ | 1,368,228 | |||||
| Debt Funds - 70.98% | ||||||||
| Direxion Daily 20 Year Plus Treasury Bull 3x Shares | 431,800 | 3,834,384 | ||||||
| FolioBeyond Rising Rates ETF (b) | 77,100 | 2,404,749 | ||||||
| Invesco Senior Loan ETF (b) | 148,600 | 3,090,880 | ||||||
| iShares 0-5 Year TIPS Bond ETF (b) | 32,800 | 3,254,744 | ||||||
| iShares 3-7 Year Treasury Bond ETF | 11,700 | 1,376,505 | ||||||
| iShares 7-10 Year Treasury Bond ETF (b) | 20,800 | 2,061,696 | ||||||
| iShares 10-20 Year Treasury Bond ETF | 18,000 | 2,061,720 | ||||||
| iShares 20+ Year Treasury Bond ETF | 19,400 | 2,063,578 | ||||||
| iShares Core U.S. Aggregate Bond ETF (b) | 6,600 | 657,624 | ||||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF (b) | 5,600 | 613,816 | ||||||
| iShares iBoxx High Yield Corporate Bond ETF | 8,500 | 642,175 | ||||||
| iShares International Treasury Bond ETF | 42,182 | 1,696,138 | ||||||
| iShares JP Morgan USD Emerging Markets Bond ETF | 13,300 | 1,147,524 | ||||||
| iShares National Muni Bond ETF | 12,900 | 1,389,846 | ||||||
| iShares TIPS Bond ETF | 5,200 | 573,300 | ||||||
| SPDR Bloomberg High Yield Bond ETF | 2,260 | 209,773 | ||||||
| SPDR Bloomberg International Treasury Bond ETF | 73,566 | 1,700,846 | ||||||
| SPDR FTSE International Government Inflation-Protected Bond ETF | 40,279 | 1,740,859 | ||||||
| Vanguard Intermediate-Term Treasury ETF | 28,419 | 1,704,003 | ||||||
| Vanguard Total International Bond ETF | 40,700 | 1,991,044 | ||||||
| 34,215,204 | ||||||||
| Equity Funds - 2.69% | ||||||||
| iShares Mortgage Real Estate ETF | 59,500 | 1,299,480 | ||||||
| TOTAL EXCHANGE-TRADED FUNDS (Cost $36,502,026) | 36,882,912 | |||||||
| SHORT-TERM INVESTMENTS - 23.74% | ||||||||
| Fidelity Government Portfolio - Institutional Class, 4.72% (a) (b) | 174,543 | 174,543 | ||||||
| First American Treasury Obligations Fund - Institutional Class, 4.72% (a) | 11,267,331 | 11,267,331 | ||||||
| SHORT-TERM INVESTMENTS (Cost $11,441,874) | 11,441,874 | |||||||
| INVESTMENTS AT VALUE (Cost $47,943,901) - 100.25% | $ | 48,324,786 | ||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS, NET - (0.25%) | (121,756 | ) | ||||||
| NET ASSETS - 100.00% | $ | 48,203,030 | ||||||
Percentages are stated as a percent of net assets.
| (a) | Rate shown represents the 7-day effective yield at March 31, 2023, is subject to change and resets daily. |
| (b) | All or a portion of the security is segregated as collateral. |
The following abbreviations are used in this portfolio:
ETF - Exchange-Traded Fund
TIPS - Treasury Inflation-Protected Securities
The accompanying notes are an integral part of these financial statements.
TACTICAL GROWTH ALLOCATION FUND
SCHEDULE OF INVESTMENTS
March 31, 2023 (Unaudited)
| COMMON STOCK - 25.16% | Shares | Value | ||||||
| Aerospace & Defense - 0.99% | ||||||||
| Raytheon Technologies Corp. | 3,108 | $ | 304,366 | |||||
| Chemicals - 0.77% | ||||||||
| Mosaic Co. | 5,166 | 237,016 | ||||||
| Commercial Services - 0.74% | ||||||||
| Global Payments, Inc. | 2,182 | 229,634 | ||||||
| Computers - 2.24% | ||||||||
| Apple, Inc. | 4,186 | 690,271 | ||||||
| Diversified Financial Services - 1.21% | ||||||||
| Intercontinental Exchange, Inc. | 3,582 | 373,567 | ||||||
| Environmental Control - 1.00% | ||||||||
| Waste Management, Inc. | 1,887 | 307,902 | ||||||
| Healthcare - Products - 2.58% | ||||||||
| Danaher Corp. | 1,588 | 400,240 | ||||||
| Thermo Fisher Scientific, Inc. | 686 | 395,390 | ||||||
| 795,630 | ||||||||
| Healthcare - Services - 1.63% | ||||||||
| Elevance Health, Inc. | 1,090 | 501,193 | ||||||
| Insurance - 1.38% | ||||||||
| Berkshire Hathaway, Inc. - Class B (a) | 1,374 | 424,250 | ||||||
| Internet - 5.35% | ||||||||
| Alphabet, Inc. - Class A (a) | 6,815 | 706,920 | ||||||
| Amazon.com, Inc. (a) | 6,062 | 626,144 | ||||||
| Meta Platforms, Inc. - Class A (a) | 1,489 | 315,579 | ||||||
| 1,648,643 | ||||||||
| Media - 0.86% | ||||||||
| Walt Disney Co. (a) | 2,641 | 264,443 | ||||||
| Oil & Gas - 2.47% | ||||||||
| Diamondback Energy, Inc. | 2,783 | 376,178 | ||||||
| Enterprise Products Partners, LP | 14,899 | 385,884 | ||||||
| 762,062 | ||||||||
| Semiconductors - 2.08% | ||||||||
| Broadcom, Inc. | 508 | 325,902 | ||||||
| QUALCOMM, Inc. | 2,483 | 316,781 | ||||||
| 642,683 | ||||||||
| Software - 1.86% | ||||||||
| Microsoft Corp. | 1,993 | 574,582 | ||||||
| TOTAL COMMON STOCK (Cost $6,956,655) | 7,756,242 | |||||||
TACTICAL GROWTH ALLOCATION FUND
SCHEDULE OF INVESTMENTS
March 31, 2023 (Unaudited)
| EXCHANGE-TRADED FUNDS - 53.67% | Shares | Value | ||||||
| Alternative Fund - 3.76% | ||||||||
| First Trust Exchange-Traded Fund III-First Trust Long/Short Equity ETF (b) | 22,780 | $ | 1,157,452 | |||||
| Asset Allocation Fund - 11.87% | ||||||||
| HCM Defender 100 Index ETF (a) | 49,239 | 1,938,539 | ||||||
| HCM Defender 500 Index ETF | 49,025 | 1,721,233 | ||||||
| 3,659,772 | ||||||||
| Commodity Fund - 0.43% | ||||||||
| abrdn Physical Silver ETF Trust (a) | 3,705 | 85,623 | ||||||
| Invesco DB Commodity Index Tracking Fund (b) | 820 | 19,467 | ||||||
| SPDR Gold Shares (a) | 156 | 28,582 | ||||||
| 133,672 | ||||||||
| Debt Funds - 17.87% | ||||||||
| First Trust Enhanced Short Maturity ETF | 5,336 | 317,545 | ||||||
| iShares 10-20 Year Treasury Bond ETF | 3,690 | 422,653 | ||||||
| iShares Core U.S. Aggregate Bond ETF (b) | 1,120 | 111,597 | ||||||
| iShares International Treasury Bond ETF | 14,200 | 570,982 | ||||||
| iShares JP Morgan USD Emerging Markets Bond ETF | 2,180 | 188,090 | ||||||
| SPDR Bloomberg 1-3 Month T-Bill ETF | 25,968 | 2,384,382 | ||||||
| SPDR Bloomberg International Treasury Bond ETF | 25,104 | 580,404 | ||||||
| SPDR FTSE International Government Inflation-Protected Bond ETF | 12,900 | 557,538 | ||||||
| Vanguard Total International Bond ETF (b) | 2,430 | 118,876 | ||||||
| WisdomTree PutWrite Strategy Fund (b) | 8,200 | 254,528 | ||||||
| 5,506,595 | ||||||||
| Equity Funds - 19.74% | ||||||||
| AGF US Market Neutral Anti-Beta Fund (b) | 11,800 | 240,720 | ||||||
| Direxion Daily S&P 500 Bear 1x Shares | 5,094 | 78,906 | ||||||
| FT Cboe Vest Fund of Buffer ETFs (a) (b) | 11,100 | 260,517 | ||||||
| FT Cboe Vest US Equity Moderate Buffer ETF - March (a) | 5,900 | 179,225 | ||||||
| Global X S&P 500 Covered Call ETF (b) | 6,200 | 251,100 | ||||||
| Invesco QQQ Trust Series 1 | 4,109 | 1,318,701 | ||||||
| iShares Core MSCI Emerging Markets ETF | 2,330 | 113,681 | ||||||
| iShares MSCI Global Gold Miners ETF | 1,036 | 26,076 | ||||||
| iShares S&P 500 Value ETF | 2,340 | 355,118 | ||||||
| JPMorgan Nasdaq Equity Premium Income ETF | 620 | 27,956 | ||||||
| ProShares Ultra Dow30 | 4,500 | 286,830 | ||||||
| ProShares Ultra QQQ | 8,900 | 441,173 | ||||||
| ProShares Ultra S&P500 (b) | 8,300 | 416,660 | ||||||
| Schwab Fundamental International Small Company Index ETF | 1,500 | 49,695 | ||||||
| SPDR Dow Jones Global Real Estate ETF | 2,800 | 115,248 | ||||||
| Sprott Gold Miners ETF | 1,011 | 28,551 | ||||||
| Technology Select Sector SPDR Fund | 189 | 28,541 | ||||||
| Vanguard FTSE Developed Markets ETF (b) | 7,600 | 343,292 | ||||||
| Vanguard Information Technology ETF | 74 | 28,525 | ||||||
| Vanguard Mega Cap Growth ETF | 120 | 24,541 | ||||||
| Vanguard Total Stock Market ETF (b) | 7,200 | 1,469,520 | ||||||
| 6,084,576 | ||||||||
| TOTAL EXCHANGE-TRADED FUNDS (Cost $17,203,145) | 16,542,067 | |||||||
TACTICAL GROWTH ALLOCATION FUND
SCHEDULE OF INVESTMENTS
March 31, 2023 (Unaudited)
| SHORT-TERM INVESTMENTS - 20.77% | Shares | Value | ||||||
| Fidelity Government Portfolio - Institutional Class, 4.72% (b) (c) | 91,997 | $ | 91,997 | |||||
| First American Treasury Obligations Fund - Institutional Class, 4.72% (c) | 6,308,309 | 6,308,309 | ||||||
| SHORT-TERM INVESTMENTS (Cost $6,400,306) | 6,400,306 | |||||||
| INVESTMENTS AT VALUE (Cost $30,560,106) - 99.60% | $ | 30,698,615 | ||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES, NET - 0.40% | 122,915 | |||||||
| NET ASSETS - 100.00% | $ | 30,821,530 | ||||||
Percentages are stated as a percent of net assets.
| (a) | Non-income producing security. |
| (b) | All or a portion of the security is segregated as collateral. |
| (c) | Rate shown represents the 7-day effective yield at March 31, 2023, is subject to change and resets daily. |
The following abbreviations are used in this portfolio:
ETF - Exchange-Traded Fund
LP - Limited Partnership
The accompanying notes are an integral part of these financial statements.
TFA QUANTITATIVE FUND
SCHEDULE OF INVESTMENTS
March 31, 2023 (Unaudited)
| EXCHANGE-TRADED FUNDS - 59.82% | Shares | Value | ||||||
| Alternative Fund - 4.57% | ||||||||
| First Trust Exchange-Traded Fund III-First Trust Long/Short Equity ETF (b) | 26,600 | $ | 1,351,546 | |||||
| Debt Funds - 9.16% | ||||||||
| PIMCO Enhanced Short Maturity Active Exchange-Traded Fund | 790 | 78,408 | ||||||
| SPDR Bloomberg 1-3 Month T-Bill ETF (b) | 25,000 | 2,295,500 | ||||||
| WisdomTree PutWrite Strategy Fund (b) | 10,700 | 332,128 | ||||||
| 2,706,036 | ||||||||
| Equity Funds - 46.09% | ||||||||
| AGF US Market Neutral Anti-Beta Fund (b) | 15,800 | 322,320 | ||||||
| FT Cboe Vest Fund of Buffer ETFs (a) (b) | 61,300 | 1,438,711 | ||||||
| Global X S&P 500 Covered Call ETF (b) | 8,200 | 332,100 | ||||||
| Invesco QQQ Trust Series 1 | 11,702 | 3,755,523 | ||||||
| iShares Biotechnology ETF | 16,932 | 2,186,937 | ||||||
| iShares US Technology ETF | 24,068 | 2,233,751 | ||||||
| ProShares Ultra Dow30 | 5,800 | 369,692 | ||||||
| ProShares Ultra QQQ | 8,400 | 416,388 | ||||||
| ProShares Ultra S&P 500 (b) | 31,200 | 1,566,240 | ||||||
| Vanguard Total Stock Market ETF (b) | 4,900 | 1,000,090 | ||||||
| 13,621,752 | ||||||||
| TOTAL EXCHANGE-TRADED FUNDS (Cost $17,638,213) | 17,679,334 | |||||||
| SHORT-TERM INVESTMENTS - 40.27% | ||||||||
| Fidelity Government Portfolio - Institutional Class, 4.72% (b) (c) | 45,012 | 45,012 | ||||||
| First American Treasury Obligations Fund - Institutional Class, 4.72% (c) | 11,855,059 | 11,855,059 | ||||||
| SHORT-TERM INVESTMENTS (Cost $11,900,071) | 11,900,071 | |||||||
| INVESTMENTS AT VALUE (Cost $29,538,284) - 100.09% | $ | 29,579,405 | ||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS, NET - (0.09%) | (27,557 | ) | ||||||
| NET ASSETS - 100.00% | $ | 29,551,848 | ||||||
Percentages are stated as a percent of net assets.
| (a) | Non-income producing security. |
| (b) | All or a portion of the security is segregated as collateral. |
| (c) | Rate shown represents the 7-day effective yield at March 31, 2023, is subject to change and resets daily. |
The following abbreviations are used in this portfolio:
ETF - Exchange-Traded Fund
The accompanying notes are an integral part of these financial statements.
TFA AlphaGen Growth Fund
SCHEDULE OF INVESTMENTS
March 31, 2023 (Unaudited)
| EXCHANGE-TRADED FUNDS - 61.48% | Shares | Value | ||||||
| Asset Allocation Fund - 2.89% | ||||||||
| SPDR Bloomberg Convertible Securities ETF | 15,800 | $ | 1,059,706 | |||||
| Debt Funds - 12.00% | ||||||||
| iShares JP Morgan USD Emerging Markets Bond ETF | 6,900 | 595,332 | ||||||
| ProShares UltraShort 20+ Year Treasury | 4,700 | 131,412 | ||||||
| ProShares Short 7-10 Treasury | 9,800 | 273,077 | ||||||
| SPDR Bloomberg 1-3 Month T-Bill ETF (b) | 36,100 | 3,314,702 | ||||||
| SPDR Bloomberg High Yield Bond ETF | 990 | 91,891 | ||||||
| 4,406,414 | ||||||||
| Equity Funds - 46.59% | ||||||||
| iShares S&P Mid-Cap 400 Growth ETF | 4,100 | 293,191 | ||||||
| Consumer Staples Select Sector SPDR Fund | 4,000 | 298,840 | ||||||
| Financial Select Sector SPDR Fund | 9,200 | 295,780 | ||||||
| FT Cboe Vest Fund of Buffer ETFs (a) | 126,000 | 2,957,220 | ||||||
| Industrial Select Sector SPDR Fund | 5,800 | 586,844 | ||||||
| iShares MSCI Japan ETF | 10,500 | 616,245 | ||||||
| iShares MSCI United Kingdom ETF | 19,600 | 632,296 | ||||||
| iShares MSCI USA Min Vol Factor ETF | 4,100 | 298,234 | ||||||
| iShares S&P 500 Value ETF | 2,000 | 303,520 | ||||||
| ProShares Ultra QQQ | 38,800 | 1,923,316 | ||||||
| ProShares Ultra S&P500 (b) | 103,600 | 5,200,720 | ||||||
| Vanguard Total Stock Market ETF (b) | 18,100 | 3,694,210 | ||||||
| 17,100,416 | ||||||||
| TOTAL EXCHANGE-TRADED FUNDS (Cost $22,283,512) | 22,566,536 | |||||||
| SHORT-TERM INVESTMENTS - 38.73% | ||||||||
| Fidelity Government Portfolio - Institutional Class, 4.72% (b) (c) | 199,155 | 199,155 | ||||||
| First American Treasury Obligations Fund - Institutional Class, 4.72% (c) | 14,019,421 | 14,019,421 | ||||||
| SHORT-TERM INVESTMENTS (Cost $14,218,576) | 14,218,576 | |||||||
| INVESTMENTS AT VALUE (Cost $36,502,088) - 100.21% | $ | 36,785,112 | ||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS, NET - (0.21%) | (76,596 | ) | ||||||
| NET ASSETS - 100.00% | $ | 36,708,516 | ||||||
Percentages are stated as a percent of net assets.
| (a) | Non-income producing security. |
| (b) | All or a portion of the security is segregated as collateral. |
| (c) | Rate shown represents the 7-day yield at March 31, 2023, is subject to change and resets daily. |
The following abbreviations are used in this portfolio:
ETF - Exchange-Traded Fund
The accompanying notes are an integral part of these financial statements.
Tactical Investment Series Trust
NOTES TO THE SCHEDULES OF INVESTMENTS
March 31, 2023 (Unaudited)
The following is a summary of significant accounting policies consistently followed by the TFA Tactical Income Fund (“Income Fund”), Tactical Growth Allocation Fund (“Growth Fund”), TFA Quantitative Fund (“Quantitative Fund”) and TFA AlphaGen Growth Fund (“AlphaGen Fund”), (each a “Fund” and collectively, the “Funds”), each a diversified series of the Tactical Investment Series Trust (the “Trust”). The policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The Funds are investment companies that follow the accounting and reporting guidance of Accounting Standards Codification Topic 946 applicable to investment companies.
SECURITY VALUATIONS
All investments in securities are recorded at their estimated fair value, as described below.
Processes and Structure
The Funds’ Board of Trustees (the “Board”) has adopted guidelines for valuing securities including in circumstances in which market quotes are not readily available and has delegated to Tactical Fund Advisors, LLC (the “Adviser”) the responsibility for determining fair value prices, subject to review by the Board.
Fair Value Pricing Policy
The SEC recently adopted Rule 2a-5 under the 1940 Act, which establishes an updated regulatory framework for registered investment company fair valuation practices. The rule became effective on September 8, 2022. Under the new rule a greater number of the Funds’ securities may be subject to fair value pricing. The Funds’ fair value policies and procedures and valuation practices were updated to comply with Rule 2a-5. Specifically, the Board designated the Adviser as the Funds’ “Valuation Designee” to make fair value determinations. The Adviser acts through its Rule 2a-5 Committee (the “Valuation Committee”) in accordance with the Trust’s and the Adviser’s policies and procedures (collectively, the “Valuation Procedures”). While fair value determinations will be based upon all available factors that the Valuation Designee deems relevant at the time of the determination, fair value represents only a good faith approximation of the value of an asset or liability.
If market quotations are not readily available, the security will be valued at fair value (the amount which the owner might reasonably expect to receive for the security upon its current sale) as determined in good faith by the Valuation Designee (“Fair Value Pricing”), subject to oversight by the Board. The Valuation Designee must use reasonable diligence in determining whether market quotations are readily available. If, for example, the Valuation Designee determines that one source of market value is unreliable, the Valuation Designee must diligently seek market quotations from other sources, such as other brokers or pricing services, before concluding that market quotations are not available. Fair Value Pricing is not permitted when market quotations are readily available.
Fixed income securities generally are valued using market quotations provided by a pricing service. If the Adviser decides that a price provided by the pricing service does not accurately reflect the fair market value of the securities, when prices are not readily available from a pricing service, or when restricted or illiquid securities are being valued, securities are valued at fair value as determined in good faith by the Adviser, in conformity with guidelines adopted by and subject to review of the Board. Short term investments in fixed income securities with maturities of less than 60 days when acquired, or which subsequently are within 60 days of maturity, may be valued by using the amortized cost method of valuation, when the Board has determined that it will represent fair value.
The Fund’s policies regarding fair value pricing are intended to result in a calculation of a Fund’s net asset value that fairly reflects portfolio security values as of the time of pricing. A portfolio security’s fair value price may differ from the price next available for that portfolio security using a Fund’s normal pricing procedure, and may differ substantially from the price at which the portfolio security may ultimately be traded or sold. If such fair value price differs from the price that would have been determined using a Fund’s normal pricing procedures, a shareholder may receive more or less proceeds or shares from redemptions or purchases of Fund shares, respectively, than a shareholder would have otherwise received if the portfolio security was priced using a Fund’s normal pricing procedures. The performance of a Fund may also be affected if a portfolio security’s fair value price were to differ from the security’s price using a Fund’s normal pricing procedures.
Fair Value Measurements
GAAP defines fair value as the price that each Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date and also establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. The three-tier hierarchy seeks to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect each Fund’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
Tactical Investment Series Trust
NOTES TO THE SCHEDULES OF INVESTMENTS
March 31, 2023 (Unaudited)(continued)
Equity securities (common stocks and exchange-traded funds/notes (“ETFs”/”ETNs”)) – Securities traded on a national securities exchange (or reported on the NASDAQ national market) are stated at the last reported sales price on the day of valuation. To the extent these securities are actively traded, and valuation adjustments are not applied, they are categorized in Level 1 of the fair value hierarchy. Certain foreign securities may be fair valued using a pricing service that considers the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, exchange-traded funds, and the movement of the certain indexes of securities based on a statistical analysis of the historical relationship and that are categorized in Level 2. Preferred stock and other equities traded on inactive markets or valued by reference to similar instruments are also categorized in Level 2.
Valuation of Fund of Funds – The Funds may invest in portfolios of open-end or closed-end investment companies (the “Underlying Funds”). The Underlying Funds value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value based upon the methods established by the board of directors of the Underlying Funds. The shares of many closed-end investment companies, after their initial public offering, frequently trade at a price per share, which is different than the net asset value per share. The difference represents a market premium or market discount of such shares. There can be no assurances that the market discount or market premium on shares of any closed-end investment company purchased by a Fund will not change.
Money market funds – Money market funds are generally priced at the ending NAV provided by the service agent of the money market fund. The money market funds will be categorized as Level 1 within the fair value hierarchy.
Hierarchy of Fair Value Inputs
The Funds utilize various methods to measure the fair value of most of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. The three levels of inputs are as follows:
| ● | Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access. |
| ● | Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates, and similar data. |
| ● | Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available. |
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in the security.
Tactical Investment Series Trust
NOTES TO THE SCHEDULES OF INVESTMENTS
March 31, 2023 (Unaudited)(continued)
The following tables present information about each Fund’s investments measured at fair value as of March 31, 2023, by major security type:
| Income Fund | ||||||||||||||||
| Financial Instruments – Assets | ||||||||||||||||
| Security Classification (1) | Level 1 | Level 2 | Level 3 | Totals | ||||||||||||
| Exchange-Traded Funds (2) | $ | 36,882,912 | $ | — | $ | — | $ | 36,882,912 | ||||||||
| Short-Term Investments | 11,441,874 | — | — | 11,441,874 | ||||||||||||
| Total Assets | $ | 48,324,786 | $ | — | $ | — | $ | 48,324,786 | ||||||||
| Growth Fund | ||||||||||||||||
| Financial Instruments – Assets | ||||||||||||||||
| Security Classification (1) | Level 1 | Level 2 | Level 3 | Totals | ||||||||||||
| Common Stock (2) | $ | 7,756,242 | $ | — | $ | — | $ | 7,756,242 | ||||||||
| Exchange-Traded Funds (2) | 16,542,067 | — | — | 16,542,067 | ||||||||||||
| Short-Term Investments | 6,400,306 | — | — | 6,400,306 | ||||||||||||
| Total Assets | $ | 30,698,615 | $ | — | $ | — | $ | 30,698,615 | ||||||||
| Quantitative Fund | ||||||||||||||||
| Financial Instruments – Assets | ||||||||||||||||
| Security Classification (1) | Level 1 | Level 2 | Level 3 | Totals | ||||||||||||
| Exchange-Traded Funds (2) | $ | 17,679,334 | $ | — | $ | — | $ | 17,679,334 | ||||||||
| Short-Term Investments | 11,900,071 | — | — | 11,900,071 | ||||||||||||
| Total Assets | $ | 29,579,405 | $ | — | $ | — | $ | 29,579,405 | ||||||||
| AlphaGen Fund | ||||||||||||||||
| Financial Instruments – Assets | ||||||||||||||||
| Security Classification (1) | Level 1 | Level 2 | Level 3 | Totals | ||||||||||||
| Exchange-Traded Funds (2) | $ | 22,566,536 | $ | — | $ | — | $ | 22,566,536 | ||||||||
| Short-Term Investments | 14,218,576 | — | — | 14,218,576 | ||||||||||||
| Total Assets | $ | 36,785,112 | $ | — | $ | — | $ | 36,785,112 | ||||||||
(1) As of and for the three month period ended March 31, 2023, the Funds held no securities that were considered to be “Level 3” securities (those valued using significant unobservable inputs). Therefore, a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value is not applicable.
(2) All common stock and ETFs held in the Funds are Level 1 securities. For a detailed break-out of common stock by industry and ETFs by investment type, please refer to the Schedules of Investments.
Tactical Investment Series Trust
NOTES TO THE SCHEDULES OF INVESTMENTS
March 31, 2023 (Unaudited)(continued)
INVESTMENT RISKS
Equity Risk: The net asset value of the Funds will fluctuate based on changes in the value of its holdings in U.S. and foreign equity securities. Equity prices can fall rapidly in response to developments affecting a specific company or industry, or to changing economic, political or market conditions.
Small and Medium Capitalization Stock Risk: The earnings and prospects of small and medium sized companies are more volatile than larger companies and may experience higher failure rates than larger companies. Small and medium sized companies normally have a lower trading volume than larger companies, which may tend to make their market price fall more disproportionately than larger companies in response to selling pressures and may have limited markets, product lines, or financial resources and lack management experience.
Large Capitalization Risk: The Underlying Funds invest in large-capitalization companies. Large Capitalization Companies may be less able than smaller capitalization companies to adapt to changing market conditions. Large-capitalization companies may be more mature and subject to more limited growth potential compared with smaller capitalization companies. During different market cycles, the performance of large capitalization companies has trailed the overall performance of the broader securities markets.
Exchange-Traded Fund Risk: The Fund may invest in ETFs as part of its principal investment strategies. ETFs are subject to investment advisory and other expenses, which will be indirectly paid by a Fund. As a result, your cost of investing in a Fund will be higher than the cost of investing directly in ETFs and may be higher than other mutual funds that invest directly in stocks and bonds. ETFs are listed on national stock exchanges and are traded like stocks listed on an exchange. The market price for a Fund’s shares may deviate from a Fund’s net asset value, particularly during times of market stress, with the result that investors may pay significantly more or receive significantly less for Fund shares than the Fund’s net asset value, which is reflected in the bid and ask price for Fund shares or in the closing price.
Leverage Risk: The use of leverage by the funds or ETFs in which the Funds invest, such as borrowing money to purchase securities, will cause a fund to incur additional expenses and magnify the funds’ gains or losses. Investments in derivative instruments, such as futures, options and swap agreements, have the economic effect of creating financial leverage in a fund’s portfolio because such investments may give rise to losses that exceed the amount the funds have invested in those instruments. Financial leverage will magnify, sometimes significantly, investment exposure to any increase or decrease in prices associated with a particular reference asset resulting in increased volatility in the value of the fund’s portfolio. Accordingly, the value of the Funds’ portfolios are likely to experience greater volatility over short-term periods.
Underlying Fund Risk: Other investment companies including mutual funds and ETFs in which the Fund invests are subject to investment advisory and other expenses, which will be indirectly paid by the Funds. As a result, the cost of investing in the Funds will be higher than the cost of investing directly in the underlying funds and may be higher than other mutual funds that invest directly in stocks and bonds. Each of the underlying funds is subject to its own specific risks, but the Adviser expects the principal investments risks of such underlying funds will be similar to the risks of investing in the Funds.
TAX MATTERS
For U.S. Federal income tax purposes, the cost of securities owned, gross appreciation, gross depreciation, and net unrealized appreciation/(depreciation) of investments on March 31, 2023 were as follows:
| Fund | Cost | Gross Appreciation | Gross Depreciation | Net Depreciation | |||||||||||||
| Income Fund | $ | 48,655,846 | $ | 446,301 | $ | (777,361 | ) | $ | (331,060 | ) | |||||||
| Growth Fund | 31,764,214 | 1,033,027 | (2,098,626 | ) | (1,065,599 | ) | |||||||||||
| Quantitative Fund | 32,053,979 | 261,090 | (2,735,664 | ) | (2,474,574 | ) | |||||||||||
| AlphaGen Fund | 37,751,970 | 304,756 | (1,271,614 | ) | (966,858 | ) | |||||||||||