UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
| Investment Company Act file number | 811-22680 |
| Ultimus Managers Trust |
| (Exact name of registrant as specified in charter) |
| 225 Pictoria Drive, Suite 450 Cincinnati, Ohio | 45246 | |
| (Address of principal executive offices) | (Zip code) |
Karen Jacoppo-Wood
| Ultimus Fund Solutions, LLC 225 Pictoria Drive, Suite 450 Cincinnati, Ohio 45246 |
| (Name and address of agent for service) |
| Registrant’s telephone number, including area code: | (513) 587-3400 |
| Date of fiscal year end: | May 31 | |
| Date of reporting period: | May 31, 2024 |
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
| Item 1. | Reports to Stockholders. |
| (a) |
|
Kempner Multi-Cap Deep Value Fund Investor Class (FAKDX) Annual Shareholder Report - May 31, 2024 |
|
Fund Overview
This contains important information about Kempner Multi-Cap Deep Value Fund for the period of June 1, 2023 to May 31, 2024. You can find additional information about the Fund at www.kempnercapital.com. You can also request this information by contacting us at (800) 665-9778. |
What were the Fund’s costs for the last year?
(based on a hypothetical $10,000 investment)
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | ||
| Investor Class | $121 | 1.21% |
|
How did the Fund perform during the reporting period?
The Fund was positioned well this past year for the market’s perception that interest rates would eventually decline as the Financials sector represented the largest contribution to the YOY return with almost 30%.
Next, an eclectic group of stocks such as General Motors, International Flavors & Fragrances, defense company L3Harris Technologies, Specialty Pharma Company Viatris, Walt Disney, Acuity Brands, and eBay made up about 20% of the total return.
Three semiconductor stocks considered beneficiaries of the AI revolution had phenomenal returns and added a full 15% to the FY return and the Energy sector came out to about 12%.
|
| How has the Fund performed over the last ten years? |
| Total Return Based on $10,000 Investment |
|
|
| Average Annual Total Returns | ||||||
| 1 Year | 5 Years | 10 Years | ||||
| Kempner Multi-Cap Deep Value Fund - Investor Class | 32.27% | 11.03% | 6.69% | |||
| S&P 500® Value Index | 24.03% | 13.79% | 10.19% | |||
| MSCI World Index | 24.92% | 12.76% | 9.13% | |||
The Fund's past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.
| Fund Statistics | ||
| Net Assets | $93,118,087 | |
| Number of Portfolio Holdings | 41 | |
| Advisory Fee | $482,352 | |
| Portfolio Turnover | 37% | |
What did the Fund invest in?
| Asset Weighting (% of total investments) |
|
|
| Sector Weighting (% of net assets) |
|
|
| Top 10 Holdings (% of net assets) | ||
| Holding Name | % of Net Assets | |
| Micron Technology, Inc. | ||
| Citigroup, Inc. | ||
| BP plc - ADR | ||
| CONMED Corporation | ||
| Bank of America Corporation | ||
| Taiwan Semiconductor Manufacturing Company Ltd. - ADR | ||
| Equitable Holdings, Inc. | ||
| Walt Disney Company (The) | ||
| International Flavors & Fragrances, Inc. | ||
| Shell plc - ADR | ||
Material Fund Changes
No material changes occured during the year ended May 31, 2024.
|
Kempner Multi-Cap Deep Value Fund - Investor Class (FAKDX) Annual Shareholder Report - May 31, 2024
Where can I find additional information about the Fund? Additional information is available on the Adviser's website (www.kempnercapital.com), including its:
|
||||
| ● | Financial information | |||
| ● | Holdings | |||
| ● | Proxy voting information | |||
| TSR-AR 053124-FAKDX | ||||
|
Evolutionary Tree Innovators Fund I Class Shares (INVNX) Annual Shareholder Report - May 31, 2024 |
 |
|
Fund Overview
This contains important information about Evolutionary Tree Innovators Fund for the period of June 1, 2023 to May 31, 2024. You can find additional information about the Fund at www.mutualfund.evolutionarytree.com/resources- materials. You can also request this information by contacting us at (833) 517-1010. |
What were the Fund’s costs for the last year?
(based on a hypothetical $10,000 investment)
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | ||
| I Class Shares | $97 | 0.97% |
|
How did the Fund perform during the reporting period?
The Evolutionary Tree Innovators Fund delivered positive investment results for the fiscal year. The equity market has been strong as investors gain comfort the Fed may be done raising rates and the economy shows resilience. However, we continue to see a narrow market, driven by a handful of stocks, primarily NVIDIA. There is also a divergence between large-cap and small-cap stocks, which has created headwinds for the Fund. Large-caps, especially mega-cap tech stocks, are driving the market in the short term, while investors are shunning small and mid-cap stocks. We believe eventually investors will realize that companies further down the market-cap spectrum are attractively valued. This “broadening out” of the market would be a positive for the Fund, as the portfolio comprises both large-cap and small-to-mid-cap holdings.
While the Fund does own a few of the Magnificent 7 stocks, such as Microsoft, Amazon, and Meta Platforms, the Fund is underweight relative to this favored group of stocks, with the absence of NVIDIA being the largest headwind. The outsized contribution by NVIDIA is tied to interest by investors in the first phase of the AI opportunity—the AI hardware buildout. We take a broader view: that there will be multiple waves of opportunity over time. We see opportunity longer term from AI for the public cloud providers, enterprise software platforms, and vertical-specific tech companies. We believe the Fund is well positioned in these areas. Investors have rotated away from some of these areas, especially software, to focus almost solely on AI hardware “plays”. Rather than chase NVIDIA, we are choosing to stay focused on these attractive areas.
The collection of companies owned in the Fund are driving healthy business growth (20%+ revenue growth). We believe a “broadening out” of the market may eventually aid small and mid-cap stocks. While it is frustrating that so few stocks are driving the market, we believe this dynamic overlooks the healthy fundamentals of the holdings in the Fund. |
| How has the Fund performed since inception? |
| Total Return Based on $10,000 Investment |
|
|
| Average Annual Total Returns | ||||
| 1 Year | Since Inception (9/9/2020) | |||
| Evolutionary Tree Innovators Fund - I Class Shares | 18.54% | -2.62% | ||
| S&P 500® Index | 28.19% | 14.31% | ||
The Fund's past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.
| Fund Statistics | ||
| Net Assets | $27,860,804 | |
| Number of Portfolio Holdings | 32 | |
| Advisory Fee (net of waivers) | $0 | |
| Portfolio Turnover | 57% | |
What did the Fund invest in?
| Asset Weighting (% of total investments) |
|
|
| Sector Weighting (% of net assets) |
|
|
Material Fund Changes
No material changes occured during the year ended May 31, 2024.
|
Evolutionary Tree Innovators Fund - I Class Shares (INVNX) Annual Shareholder Report - May 31, 2024
Where can I find additional information about the Fund? Additional information is available on the Fund's website (www.mutualfund.evolutionarytree.com/resources-materials), including its:
| ||
| ● | Prospectus | |
| ● | Financial information | |
| ● | Holdings | |
| ● | Proxy voting information | |
TSR-AR 053124-INVNX
|
Evolutionary Tree Innovators Fund A Class Shares (INVTX) Annual Shareholder Report - May 31, 2024 |
 |
|
Fund Overview
This contains important information about Evolutionary Tree Innovators Fund for the period of June 1, 2023 to May 31, 2024. You can find additional information about the Fund at www.mutualfund.evolutionarytree.com/resources- materials. You can also request this information by contacting us at (833) 517-1010. |
What were the Fund’s costs for the last year?
(based on a hypothetical $10,000 investment)
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | ||
| A Class Shares | $122 | 1.22% |
|
How did the Fund perform during the reporting period?
The Evolutionary Tree Innovators Fund delivered positive investment results for the fiscal year. The equity market has been strong as investors gain comfort the Fed may be done raising rates and the economy shows resilience. However, we continue to see a narrow market, driven by a handful of stocks, primarily NVIDIA. There is also a divergence between large-cap and small-cap stocks, which has created headwinds for the Fund. Large-caps, especially mega-cap tech stocks, are driving the market in the short term, while investors are shunning small and mid-cap stocks. We believe eventually investors will realize that companies further down the market-cap spectrum are attractively valued. This “broadening out” of the market would be a positive for the Fund, as the portfolio comprises both large-cap and small-to-mid-cap holdings.
While the Fund does own a few of the Magnificent 7 stocks, such as Microsoft, Amazon, and Meta Platforms, the Fund is underweight relative to this favored group of stocks, with the absence of NVIDIA being the largest headwind. The outsized contribution by NVIDIA is tied to interest by investors in the first phase of the AI opportunity—the AI hardware buildout. We take a broader view: that there will be multiple waves of opportunity over time. We see opportunity longer term from AI for the public cloud providers, enterprise software platforms, and vertical-specific tech companies. We believe the Fund is well positioned in these areas. Investors have rotated away from some of these areas, especially software, to focus almost solely on AI hardware “plays”. Rather than chase NVIDIA, we are choosing to stay focused on these attractive areas.
The collection of companies owned in the Fund are driving healthy business growth (20%+ revenue growth). We believe a “broadening out” of the market may eventually aid small and mid-cap stocks. While it is frustrating that so few stocks are driving the market, we believe this dynamic overlooks the healthy fundamentals of the holdings in the Fund. |
| How has the Fund performed since inception? |
| Total Return Based on $10,000 Investment* |
|
|
| Average Annual Total Returns | ||||
| 1 Year | Since Inception (2/28/2022) | |||
| Evolutionary Tree Innovators Fund - A Class Shares | ||||
| Without Load | 18.27% | -1.94% | ||
| With Load | 11.48% | -4.48% | ||
| S&P 500® Index | 28.19% | 10.47% | ||
The Fund's past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.
| * | Reflects the maximum sales charge applicable to A Class Shares. |
| Fund Statistics | ||
| Net Assets | $27,860,804 | |
| Number of Portfolio Holdings | 32 | |
| Advisory Fee (net of waivers) | $0 | |
| Portfolio Turnover | 57% | |
What did the Fund invest in?
| Asset Weighting (% of total investments) |
|
|
| Sector Weighting (% of net assets) |
|
|
Material Fund Changes
No material changes occured during the year ended May 31, 2024.
|
Evolutionary Tree Innovators Fund - A Class Shares (INVTX) Annual Shareholder Report - May 31, 2024
Where can I find additional information about the Fund? Additional information is available on the Fund's website (www.mutualfund.evolutionarytree.com/resources-materials), including its:
| ||
| ● | Prospectus | |
| ● | Financial information | |
| ● | Holdings | |
| ● | Proxy voting information | |
TSR-AR 053124-INVTX
|
Adler Value Fund Institutional Class (ADLVX) Annual Shareholder Report - May 31, 2024 |
 |
|
Fund Overview
This contains important information about Adler Value Fund for the period of June 1, 2023 to May 31, 2024. You can find additional information about the Fund at www.adlervaluefund.com/fund-literature. You can also request this information by contacting us at (800) 408-4682. |
What were the Fund’s costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | ||
| Adler Value Fund - Institutional Class | $125 | 1.25% |
|
How did the Fund perform during the reporting period?
As the year progressed, the market narrative began to evolve around inflation, the U.S. economy and the likelihood and number of 2024 cuts in the federal funds rate. With continued U.S. job growth/low U.S. unemployment and U.S. inflation above the Federal Reserve’s 2% target, the U.S. capital markets began to reflect expectations for fewer 2024 federal funds rate cuts. This development was balanced against continued growth (albeit at a slower pace) in the U.S. economy. This competition between the level of interest rates (higher for longer) and the relative strength of the U.S. economy (continued growth vs. possibility of a recession) remained a durable theme in U.S. equity markets.
For the year ended May 31, 2024, the Fund’s performance reflected its differences with the S&P 500. The Fund owns no Megacap companies (defined by S&P as the top 50 market capitalization companies in the S&P 500) or Information Technology companies. Megacap companies represent 43% of the S&P 500. Information Technology represents 31% of the S&P 500. The Fund’s holdings in the S&P 500 represent 42% of the Fund’s assets. The median market capitalization of the S&P 500 is $92 billion. The Fund’s median market capitalization is $31 billion. |
| How has the Fund performed since inception? |
| Total Return Based on $10,000 Investment |
|
|
The Fund's past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.
| Fund Statistics | ||
| Net Assets | $3,707,631 | |
| Number of Portfolio Holdings | 37 | |
| Advisory Fee (net of waivers) | $0 | |
| Portfolio Turnover | 31% | |
What did the Fund invest in?
| Asset Weighting (% of total investments) |
|
|
| Sector Weighting (% of net assets) |
|
|
Material Fund Changes
No material changes occured during the year ended May 31, 2024.
|
Adler Value Fund - Institutional Class (ADLVX) Annual Shareholder Report - May 31, 2024
Where can I find additional information about the Fund? Additional information is available on the Fund’s website (www.adlervaluefund.com/fund-literature), including its:
|
||||
| ● | Prospectus | |||
| ● | Financial information | |||
| ● | Holdings | |||
| ● | Proxy voting information | |||
| TSR-AR 053124-ADLVX | ||||
|
Kempner Multi-Cap Deep Value Fund Institutional Class (FIKDX) Annual Shareholder Report - May 31, 2024 |
|
Fund Overview
This contains important information about Kempner Multi-Cap Deep Value Fund for the period of June 1, 2023 to May 31, 2024. You can find additional information about the Fund at www.kempnercapital.com. You can also request this information by contacting us at (800) 665-9778. |
What were the Fund’s costs for the last year?
(based on a hypothetical $10,000 investment)
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | ||
| Institutional Class | $96 | 0.96% |
|
How did the Fund perform during the reporting period?
The Fund was positioned well this past year for the market’s perception that interest rates would eventually decline as the Financials sector represented the largest contribution to the YOY return with almost 30%.
Next, an eclectic group of stocks such as General Motors, International Flavors & Fragrances, defense company L3Harris Technologies, Specialty Pharma Company Viatris, Walt Disney, Acuity Brands, and eBay made up about 20% of the total return.
Three semiconductor stocks considered beneficiaries of the AI revolution had phenomenal returns and added a full 15% to the FY return and the Energy sector came out to about 12%.
|
| How has the Fund performed over the last ten years? |
| Total Return Based on $500,000 Investment |
|
|
| Average Annual Total Returns | ||||||
| 1 Year | 5 Years | 10 Years | ||||
| Kempner Multi-Cap Deep Value Fund - Institutional Class | 32.55% | 11.30% | 6.95% | |||
| S&P 500® Value Index | 24.03% | 13.79% | 10.19% | |||
| MSCI World Index | 24.92% | 12.76% | 9.13% | |||
The Fund's past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.
| Fund Statistics | ||
| Net Assets | $93,118,087 | |
| Number of Portfolio Holdings | 41 | |
| Advisory Fee | $482,352 | |
| Portfolio Turnover | 37% | |
What did the Fund invest in?
| Asset Weighting (% of total investments) |
|
|
| Sector Weighting (% of net assets) |
|
|
| Top 10 Holdings (% of net assets) | ||
| Holding Name | % of Net Assets | |
| Micron Technology, Inc. | ||
| Citigroup, Inc. | ||
| BP plc - ADR | ||
| CONMED Corporation | ||
| Bank of America Corporation | ||
| Taiwan Semiconductor Manufacturing Company Ltd. - ADR | ||
| Equitable Holdings, Inc. | ||
| Walt Disney Company (The) | ||
| International Flavors & Fragrances, Inc. | ||
| Shell plc - ADR | ||
Material Fund Changes
No material changes occured during the year ended May 31, 2024.
|
Kempner Multi-Cap Deep Value Fund - Institutional Class (FIKDX) Annual Shareholder Report - May 31, 2024
Where can I find additional information about the Fund? Additional information is available on the Adviser's website (www.kempnercapital.com), including its:
|
||||
| ● | Financial information | |||
| ● | Holdings | |||
| ● | Proxy voting information | |||
| TSR-AR 053124-FIKDX | ||||
|
Wavelength Fund (WAVLX) Annual Shareholder Report - May 31, 2024 |
 |
|
Fund Overview
The Wavelength Fund seeks to generate attractive total returns in fixed income markets using a systematic, factor-based approach that applies to quantitative tools to process fundamental market and economic information.
This contains important information about Wavelength Fund for the period of June 1, 2023 to May 31, 2024. You can find additional information about the Fund at www.wavelengthfunds.com/fund-resources. You can also request this information by contacting us at (866) 896-9292.
|
What were the Fund’s costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | ||
| Wavelength Fund | $99 | 0.99% |
|
How did the Fund perform during the reporting period?
During the fiscal year ended May 31, 2024, the Fund generated positive results and outperformed the Bloomberg US Aggregate Bond Index. With markets in transition, the Fund managed heightened levels of volatility effectively through its targeted balance and diversification, and returns were generated actively across a broad set of fixed income markets that included government, inflation-linked, corporate, and emerging market exposures. The Fund's use of its current investment strategies did not cause performance to materially deviate from the manager's expectations given the uncertainty of the markets and the underlying factors driving them over the period.
|
How has the Fund performed over the last ten years?
Over the last ten years, the Fund has generated positive results and outperformed the Bloomberg US Aggregate Bond Index. While volatility has increased in markets over the period, the Fund has targeted a similar level of volatility as the Bloomberg US Aggregate Bond Index and generated a differentiated return for investors over the economic cycle.
Total Return Based on $10,000 Investment
The Fund's past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. |
| Fund Statistics | ||
| Net Assets | $68,812,750 | |
| Number of Portfolio Holdings | 30 | |
| Advisory Fee (net of waivers) | $575,126 | |
| Portfolio Turnover | 49% | |
| Past performance does not guarantee future results. Call (866) 896-9292 or visit www.wavelengthfunds.com/fund-resources for current month-end performance. |
|
Asset Weighting (% of total investments)
|
|
 |
|
What did the Fund invest in?
The Fund invested in a wide range of markets using predominantly exchange-traded funds and futures instruments. |
| Top 10 Holdings (% of net assets) | ||
| Holding Name | % of Net Assets | |
| Invesco Senior Loan ETF | ||
| SPDR Bloomberg Short Term High Yield Bond ETF | ||
| Vanguard Mortgage-Backed Securities ETF | ||
| iShares Broad USD High Yield Corporate Bond ETF | ||
| Vanguard Short-Term Inflation-Protected Securities ETF | ||
| VanEck Emerging Markets High Yield Bond ETF | ||
| iShares TIPS Bond ETF | ||
| Vanguard Emerging Markets Government Bond ETF | ||
| VanEck Vectors J.P. Morgan EM Local Currency Bond ETF | ||
| iShares J.P. Morgan USD Emerging Markets Bond ETF | ||
|
Where can I find additional information about the Fund? Additional information is available on the Fund's website (www.wavelengthfunds.com/fund-resources), |
| |||
| ● | Prospectus | |||
| ● | Financial information | |||
| ● | Holdings | |||
| ● | Proxy voting information | |||
| Available at the following firms: | |||||
| Equitable | Charles Schwab | Commonwealth | E*Trade | ||
| Fidelity | Interactive Brokers | LPL | Morgan Stanley | ||
| Pershing | R.W. Baird | SEI | TDA | ||
|
Wavelength Fund (WAVLX) Annual Shareholder Report - May 31, 2024 |
TSR-AR 053124-WAVLX
| (b) | Not applicable |
| Item 2. | Code of Ethics. |
As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. Pursuant to Item 12(a)(1), a copy of registrant’s code of ethics is filed as an exhibit to this Form N-CSR. During the period covered by this report, the code of ethics has not been amended, and the registrant has not granted any waivers, including implicit waivers, from the provisions of the code of ethics.
| Item 3. | Audit Committee Financial Expert. |
The registrant’s board of trustees has determined that the registrant has at least one audit committee financial expert serving on its audit committee. The name of the audit committee financial expert is Janine L. Cohen. Ms. Cohen is “independent” for purposes of this Item.
| Item 4. | Principal Accountant Fees and Services. |
| (a) | Audit Fees. The aggregate fees billed for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or for services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $58,000 and $66,000 with respect to the registrant’s fiscal years ended May 31, 2024 and 2023, respectively. |
| (b) | Audit-Related Fees. No fees were billed in either of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. |
| (c) | Tax Fees. The aggregate fees billed for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning were $12,400 and $15,500 with respect to the registrant’s fiscal years ended May 31, 2024 and 2023, respectively. The services comprising these fees are the preparation of the registrant’s federal income and excise tax returns. |
| (d) | All Other Fees. No fees were billed in either of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. |
| (e)(1) | The audit committee has not adopted pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. |
| (e)(2) | None of the services described in paragraph (b) through (d) of this Item were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. |
| (f) | Less than 50% of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees. |
| (g) | During the fiscal years ended May 31, 2024 and 2023, aggregate non-audit fees of $12,400 and $15,500, respectively, were billed by the registrant’s accountant for services rendered to the registrant. No non-audit fees were billed in either of the last two fiscal years by the registrant’s accountant for services rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant. |
| (h) | The principal accountant has not provided any non-audit services to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant. |
| (i) | Not applicable |
| (j) | Not applicable |
| Item 5. | Audit Committee of Listed Registrants. |
Not applicable
| Item 6. | Investments. |
| (a) | The Registrant(s) schedule(s) of investments is included in the Financial Statements under Item 7 of this form. |
| (b) | Not applicable |
| Item 7. | Financial Statements and Financial Highlights for Open-End Management Investment Companies |
| (a) |
Institutional Class (ADLVX)
FINANCIAL STATEMENTS
May 31, 2024
Managed by
Adler Asset Management, LLC
For information or assistance in opening an account,
please call toll-free 1-800-408-4682.
| ADLER VALUE FUND SCHEDULE OF INVESTMENTS May 31, 2024 |
| COMMON STOCKS — 87.7% | Shares | Value | ||||||
| Communications — 1.2% | ||||||||
| Cable & Satellite — 1.2% | ||||||||
| Altice USA, Inc. - Class A (a) | 9,000 | $ | 22,320 | |||||
| Comcast Corporation - Class A | 600 | 24,018 | ||||||
| 46,338 | ||||||||
| Consumer Discretionary — 6.5% | ||||||||
| E-Commerce Discretionary — 6.5% | ||||||||
| Alibaba Group Holding Ltd. - ADR | 1,500 | 117,510 | ||||||
| Coupang, Inc. (a) | 5,500 | 125,070 | ||||||
| 242,580 | ||||||||
| Consumer Staples — 4.9% | ||||||||
| Retail - Consumer Staples — 2.3% | ||||||||
| Walgreens Boots Alliance, Inc. | 5,300 | 85,966 | ||||||
| Wholesale - Consumer Staples — 2.6% | ||||||||
| Sysco Corporation | 1,300 | 94,666 | ||||||
| Financials — 41.2% | ||||||||
| Banking — 6.6% | ||||||||
| Citigroup, Inc. | 2,200 | 137,082 | ||||||
| Citizens Financial Group, Inc. | 3,000 | 105,870 | ||||||
| 242,952 | ||||||||
| Broker-Dealers — 8.9% | ||||||||
| Charles Schwab Corporation (The) | 2,700 | 197,856 | ||||||
| XP, Inc. - Class A | 7,015 | 133,215 | ||||||
| 331,071 | ||||||||
| Insurance — 25.7% | ||||||||
| Aflac, Inc. | 2,700 | 242,649 | ||||||
| Equitable Holdings, Inc. | 5,200 | 215,748 | ||||||
| Jackson Financial, Inc. - Class A | 6,500 | 494,065 | ||||||
| 952,462 | ||||||||
| Health Care — 12.8% | ||||||||
| Biotech & Pharma — 4.6% | ||||||||
| Bayer AG - ADR | 5,250 | 40,530 | ||||||
| Viatris, Inc. | 12,435 | 131,811 | ||||||
| 172,341 | ||||||||
| Health Care Facilities & Services — 5.6% | ||||||||
| Cigna Group (The) | 600 | 206,772 | ||||||
| Medical Equipment & Devices — 2.6% | ||||||||
| Medtronic plc | 1,200 | 97,644 | ||||||
1
| ADLER VALUE FUND SCHEDULE OF INVESTMENTS (Continued) |
| COMMON STOCKS — 87.7% (Continued) | Shares | Value | ||||||
| Materials — 8.0% | ||||||||
| Containers & Packaging — 6.6% | ||||||||
| Berry Global Group, Inc. | 2,100 | $ | 125,748 | |||||
| O-I Glass, Inc. (a) | 9,200 | 116,748 | ||||||
| 242,496 | ||||||||
| Metals & Mining — 1.4% | ||||||||
| Barrick Gold Corporation | 3,100 | 52,979 | ||||||
| Technology — 8.1% | ||||||||
| Technology & Electronics — 1.8% | ||||||||
| Corning, Inc. | 1,800 | 67,068 | ||||||
| Technology Services — 6.3% | ||||||||
| Nuvei Corporation | 7,200 | 231,840 | ||||||
| Utilities — 5.0% | ||||||||
| Electric Utilities — 5.0% | ||||||||
| PG&E Corporation | 10,000 | 185,400 | ||||||
| Total Common Stocks (Cost $2,471,821) | $ | 3,252,575 | ||||||
| PREFERRED STOCKS — 3.0% | ||||||||
| Financials — 3.0% | ||||||||
| Banking — 3.0% | ||||||||
| Itau Unibanco Holding S.A. - ADR (Cost $87,847) | 18,300 | $ | 109,617 |
2
| ADLER VALUE FUND SCHEDULE OF INVESTMENTS (Continued) |
| PURCHASED OPTION | Notional | |||||||||||||||
| CONTRACTS — 2.3% | Strike Price | Contracts* | Value | Value | ||||||||||||
| Call Option Contracts — 2.3% | ||||||||||||||||
| Altice USA, Inc. - Class A, 01/17/25 | $ | 2.00 | 25 | $ | 6,200 | $ | 2,700 | |||||||||
| Coupang, Inc., 06/21/24 | 17.50 | 20 | 45,480 | 10,900 | ||||||||||||
| Coupang, Inc., 01/17/25 | 15.00 | 20 | 45,480 | 17,560 | ||||||||||||
| Hertz Global Holdings, Inc., 06/21/24 | 12.50 | 10 | 4,360 | 25 | ||||||||||||
| Hertz Global Holdings, Inc., 06/21/24 | 15.00 | 5 | 2,180 | 12 | ||||||||||||
| Hertz Global Holdings, Inc., 06/21/24 | 17.50 | 20 | 8,720 | 50 | ||||||||||||
| Nuvei Corporation, 06/21/24 | 15.00 | 25 | 80,500 | 46,250 | ||||||||||||
| Viatris, Inc., 01/17/25 | 12.00 | 90 | 95,400 | 4,500 | ||||||||||||
| Walgreens Boots Alliance, Inc., 07/19/24 | 27.50 | 10 | 16,220 | 30 | ||||||||||||
| Walgreens Boots Alliance, Inc., 01/17/25 | 22.50 | 30 | 48,660 | 1,980 | ||||||||||||
| Walgreens Boots Alliance, Inc., 01/17/25 | 25.00 | 10 | 16,220 | 400 | ||||||||||||
| XP, Inc. - Class A, 01/17/25 | 20.00 | 5 | 9,495 | 1,225 | ||||||||||||
| Total Purchased Option Contracts (Cost $54,749) | $ | 378,915 | $ | 85,632 | ||||||||||||
| MONEY MARKET FUNDS — 6.7% | Shares | Value | ||||||
| Federated Hermes Treasury Obligations Fund - Service Shares, 4.94% (b)(c) (Cost $248,504) | 248,504 | $ | 248,504 | |||||
| Investments at Value — 99.7% (Cost $2,862,921) | $ | 3,696,328 | ||||||
| Other Assets in Excess of Liabilities — 0.3% | 11,303 | |||||||
| Net Assets — 100.0% | $ | 3,707,631 | ||||||
| (a) | Non-income producing security. | |
| (b) | The rate shown is the 7-day effective yield as of May 31, 2024. | |
| (c) | A portion of this security is held as collateral in a segregated account. | |
| * | Each option contract has a multiplier of 100 shares. |
ADR - American Depositary Receipt
AG - Aktiengesellschaft
plc - Public Limited Company
S.A. - Société anonyme
See accompanying notes to financial statements.
3
ADLER VALUE FUND
STATEMENT OF ASSETS AND LIABILITIES
May 31, 2024
| ASSETS | ||||
| Investments in securities: | ||||
| At cost | $ | 2,862,921 | ||
| At value (Note 2) | $ | 3,696,328 | ||
| Receivable from Adviser (Note 4) | 14,552 | |||
| Dividends receivable | 7,249 | |||
| Other assets | 2,978 | |||
| Total assets | 3,721,107 | |||
| LIABILITIES | ||||
| Payable to administrator (Note 4) | 7,760 | |||
| Other accrued expenses | 5,716 | |||
| Total liabilities | 13,476 | |||
| CONTINGENCIES AND COMMITMENTS (Note 7) | — | |||
| NET ASSETS | $ | 3,707,631 | ||
| NET ASSETS CONSIST OF: | ||||
| Paid-in capital | $ | 3,142,732 | ||
| Distributable earnings | 564,899 | |||
| NET ASSETS | $ | 3,707,631 | ||
| PRICING OF INSTITUTIONAL SHARES (Note 2) | ||||
| Net assets applicable to Institutional Shares | $ | 3,707,631 | ||
| Shares of Institutional Shares outstanding (no par value, unlimited number of shares authorized) |
140,521 | |||
| Net asset value, offering and redemption price per share (Note 2) | $ | 26.38 | ||
See accompanying notes to financial statements.
4
ADLER VALUE FUND
STATEMENT OF OPERATIONS
For the Year Ended May 31, 2024
| INVESTMENT INCOME | ||||
| Dividends | $ | 115,617 | ||
| Foreign withholding tax on dividends | (2,109 | ) | ||
| Total investment income | 113,508 | |||
| EXPENSES | ||||
| Management fees (Note 4) | 39,022 | |||
| Administration fees (Note 4) | 34,050 | |||
| Fund accounting fees (Note 4) | 32,190 | |||
| Legal fees | 27,567 | |||
| Trustees’ fees and expenses (Note 4) | 19,869 | |||
| Audit and tax services fees | 16,515 | |||
| Transfer agent fees (Note 4) | 12,720 | |||
| Compliance fees and expenses (Note 4) | 12,219 | |||
| Registration and filing fees | 11,417 | |||
| Custodian and bank service fees | 9,436 | |||
| Shareholder reporting expenses | 8,198 | |||
| Postage and supplies | 4,343 | |||
| Insurance expense | 2,763 | |||
| Other expenses | 9,423 | |||
| Total expenses | 239,732 | |||
| Less fee reductions and expense reimbursements by the Adviser (Note 4) | (190,955 | ) | ||
| Net expenses | 48,777 | |||
| NET INVESTMENT INCOME | 64,731 | |||
| REALIZED AND UNREALIZED GAINS ON INVESTMENTS | ||||
| Net realized gains on investments transactions | 58,610 | |||
| Net change in unrealized appreciation (depreciation) on investments | 574,917 | |||
| NET REALIZED AND UNREALIZED GAINS ON INVESTMENTS | 633,527 | |||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 698,258 | ||
See accompanying notes to financial statements.
5
ADLER VALUE FUND
STATEMENTS OF CHANGES IN NET ASSETS
| Year Ended May 31, 2024 |
|
|
Year Ended May 31, 2023 |
| ||||
| FROM OPERATIONS | ||||||||
| Net investment income | $ | 64,731 | $ | 48,746 | ||||
| Net realized gains (losses) from investment transactions | 58,610 | (372,214 | ) | |||||
| Net change in unrealized appreciation (depreciation) on investments | 574,917 | (250,698 | ) | |||||
| Net increase (decrease) in net assets resulting from operations | 698,258 | (574,166 | ) | |||||
| DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2) | ||||||||
| Institutional Shares | (48,830 | ) | (257,382 | ) | ||||
| FROM CAPITAL SHARE TRANSACTIONS | ||||||||
| Institutional Shares | ||||||||
| Proceeds from shares sold | 27,850 | 216,250 | ||||||
| Net asset value of shares issued in reinvestment of distributions to shareholders | 44,722 | 234,404 | ||||||
| Payments for shares redeemed | (665,352 | ) | (170,487 | ) | ||||
| Net increase (decrease) in Institutional Shares net assets from capital share transactions | (592,780 | ) | 280,167 | |||||
| TOTAL INCREASE (DECREASE) IN NET ASSETS | 56,648 | (551,381 | ) | |||||
| NET ASSETS | ||||||||
| Beginning of year | 3,650,983 | 4,202,364 | ||||||
| End of year | $ | 3,707,631 | $ | 3,650,983 | ||||
| CAPITAL SHARES ACTIVITY | ||||||||
| Institutional Shares | ||||||||
| Shares sold | 1,159 | 8,738 | ||||||
| Shares reinvested | 1,784 | 9,775 | ||||||
| Shares redeemed | (26,021 | ) | (6,643 | ) | ||||
| Net increase (decrease) in shares outstanding | (23,078 | ) | 11,870 | |||||
| Shares outstanding, beginning of year | 163,599 | 151,729 | ||||||
| Shares outstanding, end of year | 140,521 | 163,599 | ||||||
See accompanying notes to financial statements.
6
| ADLER VALUE FUND INSTITUTIONAL SHARES FINANCIAL HIGHLIGHTS |
Per Share Data for a Share Outstanding Throughout Each Period
| Year Ended May 31, 2024 |
Year Ended May 31, 2023 |
Year Ended May 31, 2022 |
Year Ended May 31, 2021 |
Period Ended May 31, 2020(a) |
Period Ended July 31, 2019(b) |
|||||||||||||||||||
| Net asset value at beginning of period | $ | 22.32 | $ | 27.70 | $ | 30.50 | $ | 19.82 | $ | 20.41 | $ | 20.00 | ||||||||||||
| Income (loss) from investment operations: | ||||||||||||||||||||||||
| Net investment income | 0.40 | (c) | 0.31 | (c) | 0.95 | (c)(d) | 0.07 | (c) | 0.49 | (e) | 0.15 | |||||||||||||
| Net realized and unrealized gains (losses) on investments | 3.96 | (4.03 | ) | (1.35 | ) | 10.92 | (0.88 | ) | 0.26 | |||||||||||||||
| Total from investment operations | 4.36 | (3.72 | ) | (0.40 | ) | 10.99 | (0.39 | ) | 0.41 | |||||||||||||||
| Less distributions from: | ||||||||||||||||||||||||
| Net investment income | (0.30 | ) | — | (2.30 | ) | (0.31 | ) | (0.20 | ) | — | ||||||||||||||
| Net realized gains | — | (1.66 | ) | (0.10 | ) | — | — | — | ||||||||||||||||
| Total distributions | (0.30 | ) | (1.66 | ) | (2.40 | ) | (0.31 | ) | (0.20 | ) | — | |||||||||||||
| Net asset value at end of period | $ | 26.38 | $ | 22.32 | $ | 27.70 | $ | 30.50 | $ | 19.82 | $ | 20.41 | ||||||||||||
| Total return (f) | 19.59 | % | (13.84 | %) | (1.64 | %) | 55.78 | % | (2.01 | %)(g) | 2.05 | %(g) | ||||||||||||
| Net assets at end of period (000’s) | $ | 3,708 | $ | 3,651 | $ | 4,202 | $ | 3,795 | $ | 1,458 | $ | 1,447 | ||||||||||||
7
| ADLER VALUE FUND INSTITUTIONAL SHARES FINANCIAL HIGHLIGHTS (Continued) |
Per Share Data for a Share Outstanding Throughout Each Period
| Year Ended May 31, 2024 |
Year Ended May 31, 2023 |
Year Ended May 31, 2022 |
Year Ended May 31, 2021 |
Period Ended May 31, 2020(a) |
Period Ended July 31, 2019(b) |
|||||||||||||||||||
| Ratios/ supplementary data: | ||||||||||||||||||||||||
| Ratio of total expenses to average net assets | 6.15 | % | 5.88 | % | 5.65 | % | 8.42 | % | 13.01 | %(h) | 11.82 | %(h) | ||||||||||||
| Ratio of net expenses to average net assets (i) | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | %(h) | 1.26 | %(h)(j) | ||||||||||||
| Ratio of net investment income to average net assets (i) | 1.66 | % | 1.25 | % | 3.23 | %(d) | 0.27 | % | 2.93 | %(e)(h) | 0.81 | %(h) | ||||||||||||
| Portfolio turnover rate | 31 | % | 23 | % | 45 | % | 0 | %(k) | 4 | %(g) | 0 | % | ||||||||||||
| (a) | Fund changed fiscal year to May 31. | |
| (b) | Represents the period from the commencement of operations (August 16, 2018) through July 31, 2019. | |
| (c) | Per share net investment income has been determined on the basis of average number of shares outstanding during the period. | |
| (d) | During the year ended May 31, 2022, the Fund received a large special dividend distribution from Meredith Corporation. Had the Fund not received this special dividend distribution, the net investment income per share and ratio of net investment income to average net assets would have been $0.82 and 2.79% lower, respectively. | |
| (e) | During the period ended May 31, 2020, the Fund received a large special dividend distribution from NortonLifeLock, Inc. Had the Fund not received this special dividend distribution, the net investment income per share and ratio of net investment income to average net assets would have been $0.33 and 1.97%(h) lower, respectively. | |
| (f) | Total return is a measure of the change in value of an investment in the Fund over the periods covered. The returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions, if any, or the redemption of Fund shares. The total returns would be lower if the Adviser had not reduced fees and reimbursed expenses (Note 4). | |
| (g) | Not annualized. | |
| (h) | Annualized. | |
| (i) | Ratio was determined after management fee reductions and expense reimbursements (Note 4). | |
| (j) | Includes federal excise taxes of 0.01% of average net assets with respect to the period ended July 31, 2019. | |
| (k) | Percentage rounds to less than 1%. |
See accompanying notes to financial statements.
8
| ADLER VALUE FUND May 31, 2024 |
1. Organization
Adler Value Fund (the “Fund”) is a non-diversified series of Ultimus Managers Trust (the “Trust”), an open-end investment company established as an Ohio business trust under a Declaration of Trust dated February 28, 2012. Other series of the Trust are not incorporated in this report.
The investment objective of the Fund is to seek to achieve long-term growth of capital.
The Fund currently offers one class of shares: Institutional Class shares (sold without any sales loads or distribution fees and subject to a $2,500 initial investment for all accounts, except for an IRA for which the minimum initial investment is $1,000).
2. Significant Accounting Policies
The Fund follows accounting and reporting guidance under Financial Accounting Standards Board Accounting Standards Codification Topic 946, “Financial Services – Investment Companies.” The following is a summary of the Fund’s significant accounting policies used in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).
Regulatory update – Tailored Shareholder Reports for Mutual Funds and Exchange-Traded Funds (“ETFs”) – Effective January 24, 2023, the Securities and Exchange Commission (the “SEC”) adopted rule and form amendments to require mutual funds and ETFs to transmit concise and visually engaging streamlined annual and semiannual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semiannual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. The Fund has implemented the rule and form requirements, as applicable, and is currently adhering to the requirements.
Securities valuation – The Fund values its portfolio securities at market value as of the close of regular trading on the New York Stock Exchange (the “NYSE”) (normally 4:00 p.m. Eastern Time) on each day the NYSE is open for business. The Fund generally values its listed securities on the basis of the security’s last sale price on the security’s primary exchange, if available, otherwise at the exchange’s most recently quoted mean price. NASDAQ-listed securities are valued at the NASDAQ Official Closing Price. Option contracts are valued at the closing price on the exchanges on which they are primarily traded; if no closing price is available at the time of valuation, the option will be valued at the mean of the closing bid and ask prices for that day. Investments representing shares of money market funds and other open-end investment companies not traded on an exchange are valued at their net asset value (“NAV”) as reported by such companies. When using a quoted price and when the market is considered active, the security will be classified as Level 1 within the fair value hierarchy (see next page). In the event that market quotations are not readily available or are considered unreliable due to market or other events, the Fund values its securities and other assets at fair value in accordance with
9
| ADLER VALUE FUND NOTES TO FINANCIAL STATEMENTS (Continued) |
procedures established by and under the general supervision of the Board of Trustees of the Trust (the “Board”). Under these procedures, the securities will be classified as Level 2 or 3 within the fair value hierarchy, depending on the inputs used. Unavailable or unreliable market quotes may be due to the following factors: a substantial bid-ask spread; infrequent sales resulting in stale prices; insufficient trading volume; small trade sizes; a temporary lapse in any reliable pricing source; and actions of the securities or futures markets, such as the suspension or limitation of trading. As a result, the prices of securities used to calculate the Fund’s NAV may differ from quoted or published prices for the same securities.
GAAP establishes a single authoritative definition of fair value, sets out a framework for measuring fair value, and requires additional disclosures about fair value measurements.
Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below:
| ● | Level 1 – quoted prices in active markets for identical securities |
| ● | Level 2 – other significant observable inputs |
| ● | Level 3 – significant unobservable inputs |
The inputs or methods used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. 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.
The following is a summary of the Fund’s investments based on the inputs used to value the investments as of May 31, 2024:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Common Stocks | $ | 3,252,575 | $ | — | $ | — | $ | 3,252,575 | ||||||||
| Preferred Stocks | 109,617 | — | — | 109,617 | ||||||||||||
| Purchased Option Contracts | 6,910 | 78,722 | — | 85,632 | ||||||||||||
| Money Market Funds | 248,504 | — | — | 248,504 | ||||||||||||
| Total | $ | 3,617,606 | $ | 78,722 | $ | — | $ | 3,696,328 | ||||||||
Refer to the Fund’s Schedule of Investments for a listing of the common and preferred stocks by sector and industry type. The Fund did not have any assets or liabilities that were measured at fair value on a recurring basis using significant unobservable inputs (Level 3) as of or during the year ended May 31, 2024.
Share valuation – The NAV per share of each class of the Fund is calculated daily by dividing the total value of the assets attributable to that class, less liabilities attributable to that class, by the number of shares outstanding of that class. The offering price and redemption price per share of each class of the Fund is equal to the NAV per share of such class.
10
| ADLER VALUE FUND NOTES TO FINANCIAL STATEMENTS (Continued) |
Investment income – Dividend income is recorded on the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair value of the security received. Interest income is accrued as earned. Withholding taxes on foreign dividends, if any, have been recorded in accordance with the Fund’s understanding of the applicable country’s tax rules and rates.
Investment transactions – Investment transactions are accounted for on the trade date. Realized gains and losses on investments sold are determined on a specific identification basis.
Common expenses – Common expenses of the Trust are allocated among the Fund and the other series of the Trust based on the relative net assets of each series, the number of series in the Trust, or the nature of the services performed and the relative applicability to each series.
Distributions to shareholders – Distributions to shareholders arising from net investment income and realized capital gains, if any, are declared and paid annually to shareholders. The amount of distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from GAAP. Dividends and distributions to shareholders are recorded on the ex-dividend date.
For the years ended May 31, 2024 and 2023, the tax character of distributions paid to shareholders was as follows:
| Years Ended |
Ordinary Income |
Long-Term Capital Gains |
Total Distributions |
|||||||||
| 5/31/2024 | $ | 48,830 | $ | — | $ | 48,830 | ||||||
| 5/31/2023 | $ | — | $ | 257,382 | $ | 257,382 | ||||||
Purchased option contracts – The Fund may use option contracts in any manner consistent with its investment objectives and as long as its use is consistent with relevant provisions of the Investment Company Act of 1940 (the “1940 Act”), as amended. The Fund may use options for speculative purposes as well as for the purpose of seeking to reduce the overall investment risk that would otherwise be associated with the securities in which the Fund invests. When the Fund purchases a call or put option, an amount equal to the total premium (the premium plus the commission) paid by the Fund is recorded as an asset on the Fund’s Statement of Assets and Liabilities and is subsequently marked-to-market daily. Premiums paid in the purchase of options which expire are treated as realized losses. Premiums paid in the purchase of call options which are exercised increase the cost of the security purchased. Premiums paid in the purchase of put options which are exercised decrease the proceeds used to calculate the realized capital gain or loss on the sale of the security.
Estimates – The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements and the reported amounts of increase (decrease) in net assets from operations during the reporting period. Actual results could differ from those estimates.
11
| ADLER VALUE FUND NOTES TO FINANCIAL STATEMENTS (Continued) |
Federal income tax – The Fund has qualified and intends to continue to qualify as a regulated investment company under the Internal Revenue Code of 1986, as amended (the “Code”). Qualification generally will relieve the Fund of liability for federal income taxes to the extent 100% of its net investment income and net realized capital gains are distributed in accordance with the Code.
In order to avoid imposition of the excise tax applicable to regulated investment companies, it is also the Fund’s intention to declare as dividends in each calendar year amounts equal to at least 98% of its net investment income (earned during the calendar year) and 98.2% of its net realized capital gains (earned during the 12 months ended October 31) plus undistributed amounts from prior years.
The following information is computed on a tax basis for each item as of May 31, 2024:
| Tax cost of investments | $ | 2,862,924 | ||
| Gross unrealized appreciation | $ | 1,084,102 | ||
| Gross unrealized depreciation | (250,698 | ) | ||
| Net unrealized appreciation | 833,404 | |||
| Undistributed ordinary income | 45,099 | |||
| Accumulated capital and other losses | (313,604 | ) | ||
| Distributable earnings | $ | 564,899 | ||
The difference between the federal income tax cost of investments and the financial statement cost of investments is due to certain timing differences in the recognition of capital gains or losses under income tax regulations and GAAP. These “book/tax” differences are temporary in nature and are due to the tax deferral of losses on wash sales.
During the year ended May 31, 2024, the Fund utilized $58,610 of long-term capital loss carryforwards (“CLCFs”) against current year realized capital gains.
As of May 31, 2024, the Fund had short-term CLCFs of $222,205 and $91,399, respectively, for federal income tax purposes. These CLCFs, which do not expire, may be utilized in future years to offset net realized capital gains, if any.
The Fund recognizes the tax benefits or expenses of uncertain tax positions only when the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has reviewed the Fund’s tax positions for all open tax periods (generally, three years) and has concluded that no provision for unrecognized tax benefits or expenses is required in these financial statements. The Fund identifies its major tax jurisdiction as U.S. federal.
The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expenses on the Statement of Operations. During the year ended May 31, 2024, the Fund did not incur any interest or penalties.
12
| ADLER VALUE FUND NOTES TO FINANCIAL STATEMENTS (Continued) |
3. Investment Transactions
During the year ended May 31, 2024, cost of purchases and proceeds from sales of investment securities, other than short-term investments, were $954,589 and $1,111,963, respectively.
4. Transactions with Related Parties
INVESTMENT ADVISORY AGREEMENT
The Fund’s investments are managed by Adler Asset Management, LLC (the “Adviser”) pursuant to the terms of an Investment Advisory Agreement. Under the Investment Advisory Agreement, the Fund pays the Adviser a management fee, computed and accrued daily and paid monthly, at the annual rate of 1.00% of its average daily net assets.
Pursuant to an Expense Limitation Agreement (“ELA”) between the Fund and the Adviser, the Adviser has agreed, until December 1, 2025, to reduce its management fees and reimburse other expenses to limit total annual operating expenses (exclusive of brokerage costs; taxes; interest; borrowing costs such as interest and dividends expenses on securities sold short; costs to organize the Fund; acquired fund fees and expenses; and extraordinary expenses such as litigation and merger or reorganization costs and other expenses not incurred in the ordinary course of the Fund’s business) to an amount not exceeding 1.25% of the Fund’s average daily net assets of the Institutional Class shares. Accordingly, during the year ended May 31, 2024, the Adviser did not collect any of its management fees in the amount of $39,022 and reimbursed other operating expenses totaling $151,933.
Under the terms of the ELA, management fee reductions and expense reimbursements by the Adviser are subject to repayment by the Fund for a period of 36 months after such fees and expenses were incurred, provided that the repayments do not cause the Fund’s total annual operating expenses to exceed the lesser of: (i) the expense limitation then in effect, if any, and (ii) the expense limitation in effect at the time the expenses to be repaid were incurred. As of May 31, 2024, the Adviser may seek recoupment of management fee reductions and expense reimbursements no later than the dates as stated below:
| May 31, 2025 | $ | 180,253 | ||
| May 31, 2026 | 180,714 | |||
| May 31, 2027 | 190,955 | |||
| Total | $ | 551,922 | ||
OTHER SERVICE PROVIDERS
Ultimus Fund Solutions, LLC (“Ultimus”) provides administration, fund accounting, and transfer agency services to the Fund. The Fund pays Ultimus fees in accordance with the agreements for such services. In addition, the Fund pays out-of-pocket expenses including, but not limited to, postage, supplies, and certain costs related to the pricing of the Fund’s portfolio securities.
13
| ADLER VALUE FUND NOTES TO FINANCIAL STATEMENTS (Continued) |
Under the terms of a Consulting Agreement with the Trust, Northern Lights Compliance Services, LLC (“NLCS”) provides an Anti-Money Laundering Officer and Chief Compliance Officer to the Trust, as well as related compliance services. Under the terms of the agreement, NLCS receives fees from the Fund. NLCS is a wholly-owned subsidiary of Ultimus.
Under the terms of a Distribution Agreement with the Trust, Ultimus Fund Distributors, LLC (the “Distributor”) serves as principal underwriter to the Fund. The Distributor is a wholly-owned subsidiary of Ultimus. The Distributor is compensated by the Adviser (not the Fund) for acting as principal underwriter.
Certain officers of the Trust are also officers of Ultimus and are not paid by the Fund for serving in such capacities.
TRUSTEE COMPENSATION
Each member of the Board (a “Trustee”) who is not an “interested person” (as defined by the 1940 Act, as amended) of the Trust (“Independent Trustee”) receives an annual retainer and meeting fees, plus reimbursement for travel and other meeting-related expenses.
PRINCIPAL HOLDER OF FUND SHARES
As of May 31, 2024, the following shareholder owned of record 25% or more of the outstanding shares of the Fund:
| NAME OF RECORD OWNER | % Ownership |
| David R. Adler | 72% |
A beneficial owner of 25% or more of the Fund’s outstanding shares may be considered a controlling person. That shareholder’s vote could have a more significant effect on matters presented at a shareholders’ meeting.
5. Derivative Transactions
The location on the Statement of Assets and Liabilities of the derivative positions of the Fund are as follows:
| Average | ||||||||||||||||||
| Fair Value | Monthly Notional Value During the Year Ended |
|||||||||||||||||
| Type of Derivative | Risk | Location | Asset Derivatives |
Liability Derivatives |
May 31, 2024* |
|||||||||||||
| Equity call options purchased | Equity | Investments in securities at value | $ | 85,632 | $ | — | $ | 575,565 | ||||||||||
| * | The average monthly notional value generally represents the Fund’s derivative activity throughout the year. |
14
| ADLER VALUE FUND NOTES TO FINANCIAL STATEMENTS (Continued) |
Realized and unrealized gains and losses associated with transactions in derivative instruments for the Fund during the year ended May 31, 2024 are recorded in the following locations on the Statement of Operations:
| Type of Derivative | Risk | Location | Realized Losses |
Location | Change in Unrealized Appreciation (Depreciation) |
|||||||||||||
| Equity call options purchased | Equity | Net realized gains on investment transactions | $ | (60,626 | ) | Net change in unrealized appreciation (depreciation) on investments | $ | 67,601 | ||||||||||
6. Sector Risk
If the Fund has significant investments in the securities of issuers in industries within a particular sector, any development affecting that sector will have a greater impact on the value of the net assets of the Fund than would be the case if the Fund did not have significant investments in that sector. In addition, this may increase the risk of loss of an investment in the Fund and increase the volatility of the Fund’s net asset value per share. From time to time, a particular set of circumstances may affect this sector or companies within the sector. For instance, economic or market factors, regulation or deregulation, or other developments may negatively impact all companies in a particular sector and therefore the value of the Fund’s portfolio will be adversely affected. As of May 31, 2024, the Fund had 44.2% of the value of its net assets invested in stocks within the Financials sector.
7. Contingencies and Commitments
The Fund indemnifies the Trust’s officers and Trustees for certain liabilities that might arise from their performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts that contain a variety of representations, warranties, and general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
8. Subsequent Events
The Fund is required to recognize in the financial statements the effects of all subsequent events that provide additional evidence about conditions that existed as of the date of the Statement of Assets and Liabilities. For non-recognized subsequent events that must be disclosed to keep the financial statements from being misleading, the Fund is required to
15
| ADLER VALUE FUND NOTES TO FINANCIAL STATEMENTS (Continued) |
disclose the nature of the event as well as an estimate of its financial effect, or a statement that such an estimate cannot be made. Management has evaluated subsequent events through the issuance of these financial statements and has noted no such events.
16
| ADLER VALUE FUND REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders of Adler Value Fund and
Board of Trustees of Ultimus Managers Trust
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Adler Value Fund (the “Fund”), a series of Ultimus Managers Trust, as of May 31, 2024, the related statement of operations for the year then ended, the statements of changes in net assets and the financial highlights for each of the two years in the period then ended, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2024, the results of its operations for the year then ended, and the changes in net assets and the financial highlights for each of the two years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
The Fund’s financial highlights for the years and period ended May 31, 2022, and prior, were audited by another auditor whose report dated July 20, 2022, expressed an unqualified opinion on those financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of May 31, 2024, by correspondence with the custodian and broker. Our
17
| ADLER VALUE FUND REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (Continued) |
audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the Fund’s auditor since 2023.
COHEN & COMPANY, LTD.
Philadelphia, Pennsylvania
July 25, 2024
18
| ADLER VALUE FUND OTHER INFORMATION (Unaudited) |
A description of the policies and procedures that the Fund uses to vote proxies relating to portfolio securities is available without charge upon request by calling 1-800-408-4682, or on the SEC’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is also available without charge upon request by calling 1-800-408-4682, or on the SEC’s website at www.sec.gov.
The Trust files a complete listing of portfolio holdings for the Fund with the SEC as of the end of the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. These filings are available upon request by calling 1-800-408-4682. Furthermore, you may obtain a copy of the filings on the SEC’s website at www.sec.gov and the Fund’s website at www.adlervaluefund.com.
| FEDERAL TAX INFORMATION (Unaudited) |
Qualified Dividend Income – The Fund designates 96.61%, or up to the maximum amount of such dividends allowable pursuant to the Internal Revenue code, as qualified dividend income eligible for the reduced tax rate of 15%.
Dividends Received Deduction – Corporate shareholders are generally entitled to take the dividends received deduction on the portion of a Fund’s dividend distribution that qualifies under tax law. For the Fund’s fiscal period ended May 31, 2024, 97.26% of ordinary income dividends qualifies for the corporate dividends received deduction.
19
| ADLER VALUE FUND DISCLOSURE REGARDING APPROVAL OF INVESTMENT ADVISORY AGREEMENT (Unaudited) |
The Board of Trustees (the “Board”), including the Independent Trustees voting separately, has reviewed and approved the continuance of the Adler Value Fund’s (the “Fund”) Investment Advisory Agreement with Adler Asset Management, LLC (the “Adviser” or “Adler”) for an additional one-year term (the “Advisory Agreement”). The Board approved the continuance of the Advisory Agreement at a meeting held on January 16-17, 2024, at which all of the Trustees were present (the “Meeting”).
Prior to the Meeting, the Adviser provided a response to a letter sent by the counsel to the Independent Trustees, on their behalf, requesting various information relevant to the Independent Trustees’ consideration of the renewal of the Advisory Agreement with respect to the Fund. In approving the continuance of the Advisory Agreement, the Independent Trustees considered all information they deemed reasonably necessary to evaluate the terms of the Agreement. The principal areas of review by the Independent Trustees were (1) the nature, extent and quality of the services provided by the Adviser, (2) the investment performance of the Fund, (3) the costs of the services provided and profits realized by the Adviser from the Adviser’s relationship with the Fund, (4) the financial condition of the Adviser, (5) the fall out benefits derived by the Adviser and its affiliates from its relationships with the Fund and (6) the extent to which economies of scale would be realized as the Fund grows and whether advisory fee levels reflect those economies of scale for the benefit of the Fund’s shareholders. The Independent Trustees’ evaluation of the quality of the Adviser’s services also took into consideration their knowledge gained through presentations and reports from the Adviser over the course of the preceding year. The Independent Trustees’ analysis of these factors is set forth below.
Nature, Extent and Quality of Services
The Board evaluated the level and depth of knowledge of Adler, including his professional experience and qualifications. In evaluating the quality of services provided by Adler, the Board took into account its familiarity with Adler’s management through Board meetings, discussions and reports during the preceding year. The Board also took into account Adler’s compliance policies and procedures based on discussion with Adler and the Chief Compliance Officer. The quality of administrative and other services, including Adler’s role in coordinating the activities of the Fund’s other service providers, was also considered. The Board noted that Adler did not have any affiliated relationships. The Board discussed the nature and extent of the services provided by Adler including, without limitation, Adler’s provision of a continuous investment program for the Fund. The Board considered the qualifications and experience of Mr. Adler, who is responsible for the day-to day management of the Fund’s portfolio. The Board also considered Adler’s succession planning for the Fund. The Board concluded that it was satisfied with the nature, extent and quality of services provided to the Fund by Adler under the Advisory Agreement.
20
| ADLER VALUE FUND DISCLOSURE REGARDING APPROVAL OF INVESTMENT ADVISORY AGREEMENT (Unaudited) (Continued) |
Advisory Fees and Expenses and Comparative Accounts
The Board compared the advisory fee and total expense ratio for the Fund with various comparative data. In particular, the Board compared the Fund’s advisory fee and overall expense ratio to the median advisory fees and expense ratios for its custom peer group provided by Broadridge. The Board noted that the Fund was Adler’s sole client. In reviewing the comparison in fees and expense ratios between the Fund and comparable funds, the Board also considered the differences in types of funds being compared, the styles of investment management, the size of the Fund relative to the comparable funds, and the nature of the investment strategies. The Board also considered Adler’s commitment to limit the Fund’s expenses under the Adler expense limitation agreement (the “ELA”) until at least December 1, 2025. The Board noted that the 1.00% advisory fee for the Fund was higher than the median and average for the other funds in its Broadridge custom peer group. The Board further noted that the overall net expense ratio for the Fund of 1.25% was higher than the median and average expense ratio for the other funds in the Fund’s custom peer group. The Board took into consideration Adler’s assertion that the size of the Fund, its no-load sales offering and unique aspects of its investment strategy differentiated the Fund’s fee relative to its peers.
Fund Performance
The Board also considered, among other data, the Fund’s performance results during certain periods ended October 31, 2023, and noted that the Board reviews on a quarterly basis detailed information about the Fund’s performance results, portfolio composition and investment strategies. The Board noted that the Fund had underperformed the peer group median for the one, three- and five-year periods ended October 31, 2023. The Board noted Adler’s response in the 15(c) request for information and at the Meeting that the Fund should be distinguished from the peer group funds because of its investment approach. The Board also took into account the impact of current market conditions on Fund performance, noting the underperformance of the overall market for value stocks.
Economies of Scale
The Board also considered the effect of the Fund’s growth and size on its performance and expenses. The Board noted that Adler limited fees and/or reimbursed expenses for the Fund in order to reduce the Fund’s operating expenses to targeted levels. The Board considered the effective advisory fee under the Advisory Agreement as a percentage of assets at different asset levels and possible economies of scale that might be realized if the assets of the Fund increased. The Board noted that the advisory fee schedule for the Fund currently did not have breakpoints, and considered Adler’s assertion that adding breakpoints was not appropriate at this time. The Board noted that if the Fund’s assets increase over time, the Fund might realize other economies of scale if assets increase proportionally more than certain other expenses.
21
| ADLER VALUE FUND DISCLOSURE REGARDING APPROVAL OF INVESTMENT ADVISORY AGREEMENT (Unaudited) (Continued) |
Financial Condition of the Adviser and Adviser Profitability
Additionally, the Board took into consideration the financial condition and profitability of Adler and the direct and indirect benefits derived by Adler from the Fund. The information considered by the Board included operating profit margin information for Adler’s business as a whole. The Board considered Adler’s commitment to contractually limit the Fund’s net operating expenses. The Board reviewed the profitability of Adler’s relationship with the Fund both before and after-tax expenses, noting that the Fund and Adler’s business as a whole was not profitable at this time. The Board considered whether Adler has the financial wherewithal to continue to provide services to the Fund, noting its ongoing commitment to provide support and resources to the Fund as needed.
Fall-Out Benefits
The Board also noted that Adler derives benefits to its reputation and other benefits from its association with the Fund. The Board recognized that Adler should be entitled to earn a reasonable level of profits in exchange for the level of services it provides to the Fund and the entrepreneurial risk that it assumes as investment adviser. Based upon its review, the Board concluded that Adler’s level of profitability, if any, from its relationship with the Fund was reasonable and not excessive.
In considering the renewal of the Advisory Agreement, the Board, including the Independent Trustees, did not identify any single factor as controlling, and each Trustee may have attributed different weights to the various factors. The Trustees evaluated all information available to them. The Board concluded the following: (a) Adler demonstrated that it possesses the capability and resources to perform the duties required of it under the Advisory Agreement; (b) Adler maintains an appropriate compliance program; (c) the overall performance of the Fund is satisfactory relative to the performance of funds with similar investment objectives and relevant indices; and (d) the Fund’s advisory fees are reasonable in light of the services received by the Fund from Adler and the other factors considered. Based on their conclusions, the Trustees determined with respect to the Fund that continuation of the Advisory Agreement was in the best interests of the Fund and its shareholders.
22
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EVOLUTIONARY TREE INNOVATORS FUND
I Class Shares (INVNX)
A Class Shares (INVTX)
Financial Statements
May 31, 2024
| EVOLUTIONARY TREE INNOVATORS FUND |
| SCHEDULE OF INVESTMENTS |
| May 31, 2024 |
| COMMON STOCKS — 96.0% | Shares | Value | ||||||
| Communications — 8.3% | ||||||||
| Digital Media — 4.9% | ||||||||
| Meta Platforms, Inc. - Class A | 2,085 | $ | 973,341 | |||||
| Trade Desk, Inc. (The) - Class A (a) | 4,118 | 382,068 | ||||||
| 1,355,409 | ||||||||
| Streaming Video — 3.4% | ||||||||
| Netflix, Inc. (a) | 1,500 | 962,430 | ||||||
| Consumer Discretionary — 22.5% | ||||||||
| Consumer Leisure — 4.1% | ||||||||
| Airbnb, Inc. - Class A (a) | 3,440 | 498,559 | ||||||
| DraftKings, Inc. - Class A (a) | 18,500 | 649,905 | ||||||
| 1,148,464 | ||||||||
| E-Commerce — 16.1% | ||||||||
| Amazon.com, Inc. (a) | 14,890 | 2,627,192 | ||||||
| MercadoLibre, Inc. (a) | 610 | 1,052,604 | ||||||
| Shopify, Inc. - Class A (a) | 13,700 | 810,355 | ||||||
| 4,490,151 | ||||||||
| Restaurants — 2.3% | ||||||||
| Sweetgreen, Inc. - Class A (a) | 20,800 | 639,600 | ||||||
| Financials — 2.9% | ||||||||
| Financial Services — 2.9% | ||||||||
| Visa, Inc. - Class A | 2,983 | 812,748 | ||||||
| Health Care — 19.5% | ||||||||
| Biotechnology — 7.2% | ||||||||
| argenx SE - ADR (a) | 996 | 369,536 | ||||||
| Intellia Therapeutics, Inc. (a) | 11,315 | 241,915 | ||||||
| Krystal Biotech, Inc. (a) | 2,865 | 458,543 | ||||||
| Sarepta Therapeutics, Inc. (a) | 7,109 | 923,175 | ||||||
| 1,993,169 | ||||||||
| Medical Technology — 9.7% | ||||||||
| DexCom, Inc. (a) | 4,059 | 482,087 | ||||||
| Inspire Medical Systems, Inc. (a) | 2,906 | 461,444 | ||||||
| Intuitive Surgical, Inc. (a) | 1,455 | 585,085 | ||||||
| PROCEPT BioRobotics Corporation (a) | 17,826 | 1,183,646 | ||||||
| 2,712,262 | ||||||||
1
| EVOLUTIONARY TREE INNOVATORS FUND |
| SCHEDULE OF INVESTMENTS (Continued) |
| COMMON STOCKS — 96.0% (Continued) | Shares | Value | ||||||
| Health Care — 19.5% (Continued) | ||||||||
| Pharmaceuticals — 2.6% | ||||||||
| Ascendis Pharma A/S - ADR (a) | 5,263 | $ | 711,031 | |||||
| Industrials — 8.3% | ||||||||
| Defense IT & Services — 4.3% | ||||||||
| Axon Enterprise, Inc. (a) | 4,267 | 1,201,886 | ||||||
| Mobility & Delivery Services — 4.0% | ||||||||
| Uber Technologies, Inc. (a) | 17,243 | 1,113,208 | ||||||
| Technology — 34.5% | ||||||||
| Application Software — 16.4% | ||||||||
| HubSpot, Inc. (a) | 2,181 | 1,332,700 | ||||||
| Monday.com Ltd. (a) | 3,140 | 709,357 | ||||||
| ServiceNow, Inc. (a) | 2,717 | 1,784,879 | ||||||
| Workday, Inc. - Class A (a) | 3,455 | 730,560 | ||||||
| 4,557,496 | ||||||||
| Data & Analytics — 1.6% | ||||||||
| Snowflake, Inc. - Class A (a) | 3,321 | 452,253 | ||||||
| Infrastructure Software — 11.6% | ||||||||
| Gitlab, Inc. - Class A (a) | 11,050 | 521,450 | ||||||
| Microsoft Corporation | 6,510 | 2,702,496 | ||||||
| 3,223,946 | ||||||||
| IT Security — 4.9% | ||||||||
| CyberArk Software Ltd. (a) | 2,345 | 537,591 | ||||||
| Palo Alto Networks, Inc. (a) | 1,881 | 554,726 | ||||||
| Zscaler, Inc. (a) | 1,600 | 271,936 | ||||||
| 1,364,253 | ||||||||
| Total Common Stocks (Cost $20,620,506) | $ | 26,738,306 | ||||||
2
| EVOLUTIONARY TREE INNOVATORS FUND |
| SCHEDULE OF INVESTMENTS (Continued) |
| MONEY MARKET FUNDS — 2.5% | Shares | Value | ||||||
| First American Treasury Obligations Fund - Class X, 5.22% (b) (Cost $692,962) | 692,962 | $ | 692,962 | |||||
| Investments at Value — 98.5% (Cost $21,313,468) | $ | 27,431,268 | ||||||
| Other Assets in Excess of Liabilities — 1.5% | 429,536 | |||||||
| Net Assets — 100.0% | $ | 27,860,804 | ||||||
A/S - Aktieselskab
ADR - American Depositary Receipt
SE - Societe Europaea
| (a) | Non-income producing security. |
| (b) | The rate shown is the 7-day effective yield as of May 31, 2024. |
See accompanying notes to financial statements.
3
| EVOLUTIONARY TREE INNOVATORS FUND |
| STATEMENT OF ASSETS AND LIABILITIES |
| May 31, 2024 |
See accompanying notes to financial statements.
4
| EVOLUTIONARY TREE INNOVATORS FUND |
| STATEMENT OF OPERATIONS |
| For the Year Ended May 31, 2024 |
| INVESTMENT INCOME | ||||
| Dividends | $ | 62,965 | ||
| Foreign withholding tax on dividends | (223 | ) | ||
| Total investment income | 62,742 | |||
| EXPENSES | ||||
| Management fees (Note 4) | 208,980 | |||
| Registration and filing fees | 15,753 | |||
| Registration fees - I Class Shares | 14,870 | |||
| Registration fees - A Class Shares | 15,792 | |||
| Fund accounting fees (Note 4) | 41,498 | |||
| Administration fees (Note 4) | 34,650 | |||
| Transfer agent fees - I Class Shares (Note 4) | 17,280 | |||
| Transfer agent fees - A Class Shares (Note 4) | 12,960 | |||
| Legal fees | 27,567 | |||
| Trustees’ fees and expenses (Note 4) | 19,868 | |||
| Audit and tax services fees | 16,515 | |||
| Compliance fees and expenses (Note 4) | 12,159 | |||
| Shareholder reporting expenses | 11,193 | |||
| Distribution fees - A Class Shares (Note 4) | 8,400 | |||
| Custodian and bank service fees | 7,435 | |||
| Postage and supplies | 7,204 | |||
| Networking fees | 6,044 | |||
| Insurance expense | 3,107 | |||
| Other expenses | 14,311 | |||
| Total expenses | 495,586 | |||
| Less fee reductions and expense reimbursements by the Adviser (Note 4) | (233,799 | ) | ||
| Net expenses | 261,787 | |||
| NET INVESTMENT LOSS | (199,045 | ) | ||
| REALIZED AND UNREALIZED GAINS ON INVESTMENTS | ||||
| Net realized gains on investment transactions | 1,202,460 | |||
| Net change in unrealized appreciation (depreciation) on investments | 3,253,314 | |||
| NET REALIZED AND UNREALIZED GAINS ON INVESTMENTS | 4,455,774 | |||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 4,256,729 | ||
See accompanying notes to financial statements.
5
| EVOLUTIONARY TREE INNOVATORS FUND |
| STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended May 31, 2024 |
Year Ended May 31, 2023 |
|||||||
| FROM OPERATIONS | ||||||||
| Net investment loss | $ | (199,045 | ) | $ | (132,015 | ) | ||
| Net realized gains (losses) from investment transactions | 1,202,460 | (2,952,081 | ) | |||||
| Net change in unrealized appreciation (depreciation) on investments | 3,253,314 | 5,374,772 | ||||||
| Net increase in net assets resulting from operations | 4,256,729 | 2,290,676 | ||||||
| CAPITAL SHARE TRANSACTIONS | ||||||||
| I Class Shares | ||||||||
| Proceeds from shares sold | 3,943,038 | 16,088,964 | ||||||
| Payments for shares redeemed | (2,535,088 | ) | (9,805,321 | ) | ||||
| Net increase in I Class Shares net assets from capital share transactions | 1,407,950 | 6,283,643 | ||||||
| A Class Shares | ||||||||
| Proceeds from shares sold | 1,989,757 | 2,798,500 | ||||||
| Payments for shares redeemed | (2,484,178 | ) | (155,231 | ) | ||||
| Net increase (decrease) in A Class Shares net assets from capital share transactions | (494,421 | ) | 2,643,269 | |||||
| TOTAL INCREASE IN NET ASSETS | 5,170,258 | 11,217,588 | ||||||
| NET ASSETS | ||||||||
| Beginning of year | 22,690,546 | 11,472,958 | ||||||
| End of year | $ | 27,860,804 | $ | 22,690,546 | ||||
| CAPITAL SHARES ACTIVITY | ||||||||
| I Class Shares | ||||||||
| Shares sold | 233,005 | 1,201,050 | ||||||
| Shares redeemed | (154,972 | ) | (733,752 | ) | ||||
| Net increase in shares outstanding | 78,033 | 467,298 | ||||||
| Shares outstanding, beginning of year | 1,328,742 | 861,444 | ||||||
| Shares outstanding, end of year | 1,406,775 | 1,328,742 | ||||||
| A Class Shares | ||||||||
| Shares sold | 125,702 | 213,071 | ||||||
| Shares redeemed | (148,388 | ) | (11,600 | ) | ||||
| Net increase (decrease) in shares outstanding | (22,686 | ) | 201,472 | |||||
| Shares outstanding, beginning of year | 201,526 | 55 | ||||||
| Shares outstanding, end of year | 178,840 | 201,526 | ||||||
See accompanying notes to financial statements.
6
| EVOLUTIONARY TREE INNOVATORS FUND |
| I CLASS SHARES |
| FINANCIAL HIGHLIGHTS |
Per Share Data for a Share Outstanding Throughout Each Period
| Year Ended May 31, 2024 |
Year Ended May 31, 2023 |
Year Ended May 31, 2022 |
Period Ended May 31, 2021(a) |
|||||||||||||
| Net asset value at beginning of period | $ | 14.83 | $ | 13.32 | $ | 25.46 | $ | 20.00 | ||||||||
| Income (loss) from investment operations: | ||||||||||||||||
| Net investment loss (b) | (0.12 | ) | (0.09 | ) | (0.24 | ) | (0.18 | ) | ||||||||
| Net realized and unrealized gains (losses) on investments | 2.87 | 1.60 | (11.18 | ) | 5.64 | |||||||||||
| Total from investment operations | 2.75 | 1.51 | (11.42 | ) | 5.46 | |||||||||||
| Less distributions from: | ||||||||||||||||
| Net realized gains | — | — | (0.72 | ) | — | |||||||||||
| Net asset value at end of period | $ | 17.58 | $ | 14.83 | $ | 13.32 | $ | 25.46 | ||||||||
| Total return (c) | 18.54 | % | 11.34 | % | (46.09 | %) | 27.30 | %(d) | ||||||||
| Net assets at end of period (000’s) | $ | 24,735 | $ | 19,711 | $ | 11,472 | $ | 27,923 | ||||||||
| Ratios/supplementary data: | ||||||||||||||||
| Ratio of total expenses to average net assets | 1.77 | % | 2.08 | % | 1.59 | % | 1.65 | %(e) | ||||||||
| Ratio of net expenses to average net assets (f) | 0.97 | % | 0.97 | % | 1.00 | %(g) | 0.97 | %(e) | ||||||||
| Ratio of net investment loss to average net assets (f) | (0.73 | %) | (0.66 | %) | (0.99 | %) | (0.97 | %)(e) | ||||||||
| Portfolio turnover rate | 57 | % | 84 | % | 169 | % | 33 | %(d) | ||||||||
| (a) | Represents the period from the commencement of operations (September 9, 2020) through May 31, 2021. |
| (b) | Per share net investment loss has been determined on the basis of average number of shares outstanding during the period. |
| (c) | Total return is a measure of the change in value of an investment in the Fund over the period covered. The returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions, if any, or the redemption of Fund shares. The total return would be lower if the Adviser had not reduced fees and reimbursed expenses (Note 4). |
| (d) | Not annualized. |
| (e) | Annualized. |
| (f) | Ratio was determined after management fee reductions and expense reimbursements (Note 4). |
| (g) | Includes 0.03% of borrowing costs (Note 5). |
See accompanying notes to financial statements.
7
| EVOLUTIONARY TREE INNOVATORS FUND |
| A CLASS SHARES |
| FINANCIAL HIGHLIGHTS |
Per Share Data for a Share Outstanding Throughout Each Period
| Year Ended May 31, 2024 |
Year Ended May 31, 2023 |
Period Ended May 31, 2022(a) |
||||||||||
| Net asset value at beginning of period | $ | 14.78 | $ | 13.31 | $ | 18.27 | ||||||
| Income (loss) from investment operations: | ||||||||||||
| Net investment loss (b) | (0.16 | ) | (0.12 | ) | (0.05 | ) | ||||||
| Net realized and unrealized gains (losses) on investments | 2.86 | 1.59 | (4.91 | ) | ||||||||
| Total from investment operations | 2.70 | 1.47 | (4.96 | ) | ||||||||
| Net asset value at end of period | $ | 17.48 | $ | 14.78 | $ | 13.31 | ||||||
| Total return (c) | 18.27 | % | 11.04 | % | (27.15 | %)(d) | ||||||
| Net assets at end of period (000’s) | $ | 3,126 | $ | 2,979 | $ | 1 | ||||||
| Ratios/supplementary data: | ||||||||||||
| Ratio of total expenses to average net assets | 2.74 | % | 4.18 | % | 3706.34 | %(e) | ||||||
| Ratio of net expenses to average net assets (f) | 1.22 | % | 1.22 | % | 1.22 | %(e) | ||||||
| Ratio of net investment loss to average net assets (f) | (0.97 | %) | (0.87 | %) | (1.21 | %)(e) | ||||||
| Portfolio turnover rate | 57 | % | 84 | % | 169 | %(g) | ||||||
| (a) | Represents the period from the commencement of operations (February 28, 2022) through May 31, 2022. |
| (b) | Per share net investment loss has been determined on the basis of average number of shares outstanding during the period. |
| (c) | Total return is a measure of the change in value of an investment in the Fund over the period covered. The returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions, if any, or the redemption of Fund shares. The total return would be lower if the Adviser had not reduced fees and reimbursed expenses (Note 4) |
| (d) | Not annualized. |
| (e) | Annualized. |
| (f) | Ratio was determined after management fee reductions and expense reimbursements (Note 4). |
| (g) | Portfolio turnover rate for the period ended May 31, 2022 is calculated at the Fund level. |
See accompanying notes to financial statements.
8
| EVOLUTIONARY TREE INNOVATORS FUND |
| NOTES TO FINANCIAL STATEMENTS |
| May 31, 2024 |
1. Organization
Evolutionary Tree Innovators Fund (the “Fund”) is a non-diversified series of Ultimus Managers Trust (the “Trust”). The Trust is an open-end management investment company established as an Ohio business trust under a Declaration of Trust dated February 28, 2012. Other series of the Trust are not incorporated in this report.
The investment objective of the Fund is to seek to achieve long-term growth of capital.
The Fund currently offers two classes of shares: I Class Shares (sold without any sales loads and distribution and/or service fees and requiring a $50,000 initial investment) and A Class Shares (sold subject to an initial maximum front-end sales load of 5.75% and a distribution (12b-1) fee of up to 0.25% of the average daily net assets attributable to A Class Shares, requiring a $1,000 initial investment and for purchases of $1,000,000 or more, a front end sales load is not charged but a 1% contingent deferred sales charge (“CDSC”) may be charged if redeemed during the first 18 months) (each a “Class”). Each share class represents an ownership interest in the same investment portfolio.
2. Significant Accounting Policies
The Fund follows accounting and reporting guidance under Financial Accounting Standards Board Accounting Standards Codification Topic 946, “Financial Services – Investment Companies.” The following is a summary of the Fund’s significant accounting policies used in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).
Regulatory update – Tailored Shareholder Reports for Mutual Funds and Exchange-Traded Funds (“ETFs”) – Effective January 24, 2023, the Securities and Exchange Commission (the “SEC”) adopted rule and form amendments to require mutual funds and ETFs to transmit concise and visually engaging streamlined annual and semiannual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semiannual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. The Fund has implemented the rule and form amendments, as applicable, and is currently adhering to the requirements.
Securities valuation – The Fund values its portfolio securities at market value as of the close of regular trading on the New York Stock Exchange (the “NYSE”) (normally 4:00 p.m. Eastern time) on each business day the NYSE is open for business. The Fund values its listed securities on the basis of the security’s last sale price on the security’s primary exchange, if available, otherwise at the exchange’s most recently quoted mean price. NASDAQ-listed securities are valued at the NASDAQ Official Closing Price. Investments representing shares of other open-end investment companies, other than exchange-
9
| EVOLUTIONARY TREE INNOVATORS FUND |
| NOTES TO FINANCIAL STATEMENTS (Continued) |
traded funds, if any, but including money market funds, are valued at their net asset value (“NAV”) as reported by such companies. When using a quoted price and when the market for the security is considered active, the security will be classified as Level 1 within the fair value hierarchy (see below). In the event that market quotations are not readily available or are considered unreliable due to market or other events, the Fund values its securities and other assets at fair value as determined by Evolutionary Capital Management, LLC (the “Adviser”), as the Fund’s valuation designee, in accordance with procedures adopted by the Board of Trustees (the “Board”) pursuant to Rule 2a-5 under the Investment Company Act of 1940, as amended (the “1940 Act”). Under these procedures, the securities will be classified as Level 2 or 3 within the fair value hierarchy, depending on the inputs used. Unavailable or unreliable market quotes may be due to the following factors: a substantial bid-ask spread; infrequent sales resulting in stale prices; insufficient trading volume; small trade sizes; a temporary lapse in any reliable pricing source; and actions of the securities or futures markets, such as the suspension or limitation of trading. As a result, the prices of securities used to calculate the Fund’s NAV may differ from quoted or published prices for the same securities.
GAAP establishes a single authoritative definition of fair value, sets out a framework for measuring fair value, and requires additional disclosures about fair value measurements.
Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below:
| ● | Level 1 – quoted prices in active markets for identical securities |
| ● | Level 2 – other significant observable inputs |
| ● | Level 3 – significant unobservable inputs |
The inputs or methods used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. 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.
The following is a summary of the Fund’s investments based on the inputs used to value the investments as of May 31, 2024, by security type:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Common Stocks | $ | 26,738,306 | $ | — | $ | — | $ | 26,738,306 | ||||||||
| Money Market Funds | 692,962 | — | — | 692,962 | ||||||||||||
| Total | $ | 27,431,268 | $ | — | $ | — | $ | 27,431,268 | ||||||||
10
| EVOLUTIONARY TREE INNOVATORS FUND |
| NOTES TO FINANCIAL STATEMENTS (Continued) |
Refer to the Fund’s Schedule of Investments for a listing of the common stocks by sector and industry type. The Fund did not hold any derivative instruments or any assets or liabilities that were measured at fair value on a recurring basis using significant unobservable inputs (Level 3) as of or during the year ended May 31, 2024.
Share valuation – The NAV per share of each class of shares of the Fund is calculated daily by dividing the total value of the assets attributable to that class, less liabilities attributable to that class, by the number of shares outstanding of that class. The offering price and redemption price per share of I Class Shares is equal to the NAV per share. The maximum offering price per share of A Class Shares of the Fund is equal to the NAV per shares plus a sales load equal to 5.75% as a percentage of offering price. A Class Shares purchases of $1,000,000 or more, a front end sales load is not charged, but a CDSC of 1% may be charged if redeemed during the first 18 months of purchase.
Investment income – Dividend income is recorded on the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the security received. Interest income is accrued as earned. Withholding taxes on foreign dividends have been recorded in accordance with the Fund’s understanding of the applicable country’s tax rules and rates.
Investment transactions – Investment transactions are accounted for on the trade date. Realized gains and losses on investments sold are determined on a specific identification basis.
Allocation between classes – Investment income earned, realized capital gains and losses, and unrealized appreciation and depreciation are allocated daily to each class of a Fund based upon its proportionate share of total net assets of that Fund. Class-specific expenses are charged directly to the class incurring the expense. Common expenses which are not attributable to a specific class are allocated daily to each class of shares of a Fund based upon its proportionate share of total net assets of that Fund. Distribution fees, registration and filing fees and transfer agent fees are class specific expenses.
Common expenses – Common expenses of the Trust are allocated among the Fund and the other series of the Trust based on the relative net assets of each series, the number of series in the Trust, or the nature of the services performed and the relative applicability to each series.
Distributions to shareholders – The Fund distributes to shareholders any net investment income dividends and net realized capital gains on an annual basis. The amount of such dividends and distributions are determined in accordance with federal income tax regulations, which may differ from GAAP. Dividends and distributions to shareholders are recorded on the ex-dividend date. There were no distributions paid to shareholders by the Fund during the years ended May 31, 2024 and 2023.
11
| EVOLUTIONARY TREE INNOVATORS FUND |
| NOTES TO FINANCIAL STATEMENTS (Continued) |
Estimates – The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements and the reported amounts of increase (decrease) in net assets from operations during the reporting period. Actual results could differ from those estimates.
Federal income tax – The Fund has qualified and intends to continue to qualify as a regulated investment company under the Internal Revenue Code of 1986, as amended (the “Code”). Qualification generally will relieve the Fund of liability for federal income taxes to the extent 100% of its net investment income and net realized capital gains are distributed in accordance with the Code.
In order to avoid imposition of the excise tax applicable to regulated investment companies, it is also the Fund’s intention to declare as dividends in each calendar year amounts equal to at least 98% of its net investment income (earned during the calendar year) and 98.2% of its net realized capital gains (earned during the twelve months ended October 31) plus undistributed amounts from prior years, if any.
The following information is computed on a tax basis for each item as of May 31, 2024:
| Cost of investments | $ | 22,065,303 | ||
| Gross unrealized appreciation | 6,358,277 | |||
| Gross unrealized depreciation | (992,312 | ) | ||
| Net unrealized appreciation | 5,365,965 | |||
| Accumulated capital and other losses | (13,425,321 | ) | ||
| Accumulated deficit | $ | (8,059,356 | ) | |
The difference between the federal income tax cost of investments and the financial statement cost of investments is due to certain timing differences in the recognition of capital gains or losses under income tax regulations and GAAP. These “book/tax” differences are temporary in nature and are primarily due to the tax deferral of losses on wash sales.
Net qualified late year losses, incurred after December 31, 2023, and within the current taxable year are deemed to arise on the first day of the Fund’s next taxable year. For the year ended May 31, 2024, the Fund deferred $92,847 of qualified late year losses to June 1, 2024.
As of May 31, 2024, the Fund had short-term and long-term capital loss carryforwards (“CLCF”) of $8,150,135 and $5,182,339, respectively, for federal income tax purposes. These CLCFs, which do not expire, may be utilized in the current and future years to offset net realized capital gains, if any.
12
| EVOLUTIONARY TREE INNOVATORS FUND |
| NOTES TO FINANCIAL STATEMENTS (Continued) |
For the year ended May 31, 2024, the Fund reclassified $163,091 of accumulated deficit against paid-in capital on the Statement of Assets and Liabilities due to net operating loss. Such reclassification, the result of permanent differences between the financial statement and income tax reporting requirements, has no effect on the Fund’s net assets or NAV per share.
The Fund recognizes the tax benefits or expenses of uncertain tax positions only when the position is “more likely than not” of being sustained assuming examination by tax authorities. Management has reviewed the Fund’s tax positions for all open tax years (generally, three years) and has concluded that no provision for unrecognized tax benefits or expenses is required in these financial statements. The Fund identifies its major tax jurisdiction as U.S. Federal.
The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statement of Operations. During the year ended May 31, 2024, the Fund did not incur any interest or penalties.
3. Investment Transactions
During the year ended May 31, 2024, the cost of purchases and proceeds from sales of investment securities, other than short-term investments, amounted to $14,365,963 and $14,434,761, respectively.
4. Transactions with Related Parties
INVESTMENT ADVISORY AGREEMENT
The Fund’s investments are managed by the Adviser pursuant to the terms of an Investment Advisory Agreement. The Fund pays the Adviser a management fee, computed and accrued daily and paid monthly, at the annual rate of 0.80% of average daily net assets.
Pursuant to an Expense Limitation Agreement (“ELA”) between the Fund and the Adviser, the Adviser has agreed contractually, until October 31, 2025, to reduce its management fees and reimburse other expenses to the extent necessary to limit total annual fund operating expenses (exclusive of brokerage costs, taxes, interest, borrowing costs such as interest and dividend expenses on securities sold short, costs to organize the Fund, acquired fund fees and expenses, extraordinary expenses such as litigation and merger or reorganization costs and other expenses not incurred in the ordinary course of the Fund’s business) to an amount not to exceed 0.97% of average daily net assets attributable to I Class Shares and 1.22% of average daily net assets attributable to A Class Shares. Accordingly, during the year ended May 31, 2024, the Adviser did not collect any of its management fees in the amount of $208,980 and reimbursed other expenses in the amount of $24,819.
13
| EVOLUTIONARY TREE INNOVATORS FUND |
| NOTES TO FINANCIAL STATEMENTS (Continued) |
Under the terms of the ELA, management fee reductions and/or expense reimbursements by the Adviser are subject to repayment by the Fund for a period of 36 months after such date that fees and expenses were incurred, provided that the repayments do not cause total annual fund operating expenses to exceed: (i) the expense limitation then in effect, if any, and (ii) the expense limitation in effect at the time the expenses to be repaid were incurred. Prior to October 31, 2025, this agreement may not be modified or terminated without the approval of the Fund’s Board of Trustees. This agreement will terminate automatically if the Fund’s investment advisory agreement with the Adviser is terminated. As of May 31, 2024, the Adviser may seek repayment of management fee reductions no later than the dates as stated below:
| May 31, 2025 | $ | 198,946 | ||
| May 31, 2026 | 248,883 | |||
| May 31, 2027 | 233,799 | |||
| Total | $ | 681,628 | ||
OTHER SERVICE PROVIDERS
Ultimus Fund Solutions, LLC (“Ultimus”) provides administration, fund accounting and transfer agency services to the Fund. The Fund pays Ultimus fees in accordance with the agreements for such services. In addition, the Fund pays out-of-pocket expenses including, but not limited to, postage, supplies and certain costs related to the pricing of the Fund’s portfolio securities.
Under the terms of a Distribution Agreement with the Trust, Ultimus Fund Distributors, LLC (the “Distributor”) serves as principal underwriter to the Fund. The Distributor is a wholly-owned subsidiary of Ultimus. The Distributor is compensated by the Adviser (not the Fund) for acting as principal underwriter. As of May 31, 2024, the Distributor did not collect any fees related to CDSC fees on redemptions of A Class Shares.
Under the terms of a Consulting Agreement with the Trust, Northern Lights Compliance Services, LLC (“NLCS”) provides an Anti-Money Laundering Officer and Chief Compliance Officer to the Trust, as well as related compliance services. Under the terms of the agreement, NLCS receives fees from the Funds. NLCS is a wholly-owned subsidiary of Ultimus.
Certain officers of the Trust are also officers of Ultimus and are not paid by the Fund for serving in such capacities.
DISTRIBUTION PLAN
The Fund has adopted a plan of distribution (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act, which permits A Class Shares of the Fund to directly incur or reimburse the Fund’s principal underwriter for certain expenses related to the distribution of its shares. The annual limitation for payment of expenses pursuant to the Plan is 0.25% of the Fund’s
14
| EVOLUTIONARY TREE INNOVATORS FUND |
| NOTES TO FINANCIAL STATEMENTS (Continued) |
average daily net assets allocable to A Class Shares. The Fund has not adopted a plan of distribution with respect to the I Class Shares. During the year ended May 31, 2024, the A Class Shares incurred $8,400 of distribution fees under the Plan.
TRUSTEE COMPENSATION
Each member of the Board (a “Trustee”) who is not an “interested person” (as defined by the 1940 Act, as amended) of the Trust (“Independent Trustee”) receives an annual retainer and meetings fees, plus reimbursement for travel and other meeting-related expenses.
PRINCIPAL HOLDER OF FUND SHARES
As of May 31, 2024, the following shareholder owned of record more than 25% of the outstanding shares of the Fund:
| NAME OF RECORD OWNERS | % Ownership |
| Charles Schwab & Company (for the benefit of its customers) | 91% |
A beneficial owner of 25% or more of the Fund’s outstanding shares may be considered a controlling person. That shareholder’s vote could have a more significant effect on matters presented at a shareholders’ meeting.
5. Borrowing Costs
From time to time, the Fund may have an overdrawn cash balance at the custodian due to redemptions or market movements. When this occurs, the Fund will incur borrowing costs charged by the custodian. During the year ended May 31, 2024, the Fund did not incur any borrowing costs.
6. Contingencies and Commitments
The Fund indemnifies the Trust’s officers and Trustees for certain liabilities that might arise from their performance of their duties to the Fund. Additionally, in the normal course of business the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
7. Non-Diversification Risk
The Fund is a non-diversified fund. As a result, the Fund’s holdings may be more concentrated in a limited number of securities and the value of its shares may be more sensitive than a diversified fund to any single economic, business, political, or regulatory occurrence.
15
| EVOLUTIONARY TREE INNOVATORS FUND |
| NOTES TO FINANCIAL STATEMENTS (Continued) |
8. Sector Risk
If a Fund has significant investments in the securities of issuers within a particular sector, any development affecting that sector will have a greater impact on the value of the net assets of the Fund than would be the case if the Fund did not have significant investments in that sector. In addition, this may increase the risk of loss in the Fund and increase the volatility of the Fund’s NAV per share. Occasionally, market conditions, regulatory changes or other developments may negatively impact a particular sector. As of May 31, 2024, the Fund had 34.5% of the value of its net assets invested in stocks within the Technology sector.
9. Subsequent Events
The Fund is required to recognize in the financial statements the effects of all subsequent events that provide additional evidence about conditions that existed as of the date of the Statement of Assets and Liabilities. For non-recognized subsequent events that must be disclosed to keep the financial statements from being misleading, the Fund is required to disclose the nature of the event as well as an estimate of its financial effect, or a statement that such an estimate cannot be made. Management has evaluated subsequent events through the issuance of these financial statements and has noted no such events.
16
| EVOLUTIONARY TREE INNOVATORS FUND |
| REPORT OF INDEPENDENT REGISTERED |
| PUBLIC ACCOUNTING FIRM |
To the Shareholders of Evolutionary Tree Innovators Fund and
Board of Trustees of Ultimus Managers Trust
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Evolutionary Tree Innovators Fund (the “Fund”), a series of Ultimus Managers Trust, as of May 31, 2024, the related statement of operations for the year then ended, the statements of changes in net assets and the financial highlights for each of the two years in the period then ended, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2024, the results of its operations for the year then ended, and the changes in net assets and the financial highlights for each of the two years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
The Fund’s financial highlights for the year and period ended May 31, 2022, and prior, were audited by another auditor whose report dated July 20, 2022, expressed an unqualified opinion on those financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of May 31, 2024, by correspondence with the custodian. Our audits also included evaluating the accounting principles used and
17
| EVOLUTIONARY TREE INNOVATORS FUND |
| REPORT OF INDEPENDENT REGISTERED |
| PUBLIC ACCOUNTING FIRM (Continued) |
significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the Fund’s auditor since 2023.
COHEN & COMPANY, LTD.
Philadelphia, Pennsylvania
July 25, 2024
18
| EVOLUTIONARY TREE INNOVATORS FUND |
| OTHER INFORMATION (Unaudited) |
A description of the policies and procedures that the Fund uses to vote proxies relating to portfolio securities is available without charge upon request by calling toll-free 1-833-517-1010, or on the SEC’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge upon request by calling toll-free 1-833-517-1010, or on the SEC’s website at www.sec.gov.
The Trust files a complete listing of portfolio holdings for the Fund with the SEC as of the end of the first and third quarters of each fiscal year as an exhibit to Form N-PORT. These filings are available upon request by calling 1-833-517-1010. Furthermore, you may obtain a copy of the filings on the SEC’s website at www.sec.gov and the Fund’s website at www.mutualfund.evolutionarytree.com.
19
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KEMPNER MULTI-CAP DEEP VALUE FUND
Institutional Class (FIKDX)
Investor Class (FAKDX)
Financial Statements
May 31, 2024
| KEMPNER MULTI-CAP DEEP VALUE FUND |
| SCHEDULE OF INVESTMENTS |
| May 31, 2024 |
| COMMON STOCKS — 89.8% | Shares | Value | ||||||
| Communications — 5.8% | ||||||||
| Entertainment Content — 3.7% | ||||||||
| Paramount Global - Class B | 37,010 | $ | 440,789 | |||||
| Walt Disney Company (The) | 28,700 | 2,982,217 | ||||||
| 3,423,006 | ||||||||
| Telecommunications — 2.1% | ||||||||
| AT&T, Inc. | 73,500 | 1,339,170 | ||||||
| Deutsche Telekom AG - ADR | 25,600 | 622,080 | ||||||
| 1,961,250 | ||||||||
| Consumer Discretionary — 6.8% | ||||||||
| Automotive — 4.4% | ||||||||
| Continental AG - ADR | 296,600 | 2,005,016 | ||||||
| General Motors Company | 46,320 | 2,083,937 | ||||||
| 4,088,953 | ||||||||
| E-Commerce Discretionary — 2.4% | ||||||||
| eBay, Inc. | 42,100 | 2,282,662 | ||||||
| Consumer Staples — 2.5% | ||||||||
| Food — 2.5% | ||||||||
| Tyson Foods, Inc. - Class A | 41,200 | 2,358,700 | ||||||
| Energy — 13.1% | ||||||||
| Oil & Gas Producers — 10.7% | ||||||||
| BP plc - ADR | 89,120 | 3,348,238 | ||||||
| Diamondback Energy, Inc. | 4,600 | 916,596 | ||||||
| Exxon Mobil Corporation | 24,221 | 2,840,155 | ||||||
| Shell plc - ADR | 39,454 | 2,871,462 | ||||||
| 9,976,451 | ||||||||
| Oil & Gas Services & Equipment — 2.4% | ||||||||
| Schlumberger Ltd. | 48,355 | 2,219,011 | ||||||
| Financials — 20.9% | ||||||||
| Banking — 12.4% | ||||||||
| Bank of America Corporation | 81,720 | 3,267,983 | ||||||
| Citigroup, Inc. | 54,100 | 3,370,971 | ||||||
| Citizens Financial Group, Inc. | 76,050 | 2,683,804 | ||||||
| Truist Financial Corporation | 58,100 | 2,193,275 | ||||||
| 11,516,033 | ||||||||
| Insurance — 8.5% | ||||||||
| Equitable Holdings, Inc. | 73,750 | 3,059,887 | ||||||
| Everest Group Ltd. | 3,100 | 1,211,883 | ||||||
| Hartford Financial Services Group, Inc. (The) | 11,750 | 1,215,538 | ||||||
1
| KEMPNER MULTI-CAP DEEP VALUE FUND |
| SCHEDULE OF INVESTMENTS (Continued) |
| COMMON STOCKS — 89.8% (Continued) | Shares | Value | ||||||
| Financials — 20.9% (Continued) | ||||||||
| Insurance — 8.5% (Continued) | ||||||||
| Lincoln National Corporation | 74,850 | $ | 2,469,302 | |||||
| 7,956,610 | ||||||||
| Health Care — 10.8% | ||||||||
| Biotech & Pharma — 6.2% | ||||||||
| Bristol - Myers Squibb Company | 50,300 | 2,066,827 | ||||||
| GSK plc - ADR | 35,030 | 1,568,293 | ||||||
| Organon & Company | 35,443 | 755,999 | ||||||
| Pfizer, Inc. | 49,400 | 1,415,804 | ||||||
| 5,806,923 | ||||||||
| Medical Equipment & Devices — 4.6% | ||||||||
| Baxter International, Inc. | 27,100 | 923,839 | ||||||
| CONMED Corporation | 43,500 | 3,325,140 | ||||||
| 4,248,979 | ||||||||
| Industrials — 4.4% | ||||||||
| Aerospace & Defense — 2.9% | ||||||||
| L3Harris Technologies, Inc. | 12,052 | 2,709,651 | ||||||
| Electrical Equipment — 1.5% | ||||||||
| Sensata Technologies Holding plc | 33,220 | 1,372,650 | ||||||
| Materials — 4.7% | ||||||||
| Chemicals — 3.1% | ||||||||
| International Flavors & Fragrances, Inc. | 30,000 | 2,885,400 | ||||||
| Metals & Mining — 1.6% | ||||||||
| BHP Group Ltd. - ADR | 6,900 | 410,757 | ||||||
| Rio Tinto plc - ADR | 15,100 | 1,058,510 | ||||||
| 1,469,267 | ||||||||
| Real Estate — 3.0% | ||||||||
| REITs — 3.0% | ||||||||
| Easterly Government Properties, Inc. | 119,700 | 1,417,248 | ||||||
| Realty Income Corporation | 25,500 | 1,353,030 | ||||||
| 2,770,278 | ||||||||
| Technology — 14.3% | ||||||||
| Semiconductors — 12.1% | ||||||||
| Micron Technology, Inc. | 44,400 | 5,550,000 | ||||||
| Taiwan Semiconductor Manufacturing Company Ltd. - ADR | 21,100 | 3,186,944 | ||||||
| Teradyne, Inc. | 18,000 | 2,536,920 | ||||||
| 11,273,864 | ||||||||
| Technology Hardware — 2.2% | ||||||||
| Cisco Systems, Inc. | 44,520 | 2,070,180 | ||||||
2
| KEMPNER MULTI-CAP DEEP VALUE FUND |
| SCHEDULE OF INVESTMENTS (Continued) |
| COMMON STOCKS — 89.8% (Continued) | Shares | Value | ||||||
| Utilities — 3.5% | ||||||||
| Electric Utilities — 3.5% | ||||||||
| Evergy, Inc. | 29,800 | $ | 1,628,868 | |||||
| Eversource Energy | 27,300 | 1,616,979 | ||||||
| 3,245,847 | ||||||||
| Total Common Stocks (Cost $72,138,664) | $ | 83,635,715 | ||||||
| MONEY MARKET FUNDS — 9.1% | Shares | Value | ||||||
| First American Treasury Obligations Fund - Class X, 5.22% (a) (Cost $8,508,019) | 8,508,019 | $ | 8,508,019 | |||||
| Investments at Value — 98.9% (Cost $80,646,683) | $ | 92,143,734 | ||||||
| Other Assets in Excess of Liabilities — 1.1% | 974,353 | |||||||
| Net Assets — 100.0% | $ | 93,118,087 | ||||||
ADR – American Depositary Receipt
AG – Aktiengesellschaft
plc – Public Limited Company
| (a) | The rate shown is the 7-day effective yield as of May 31, 2024. |
See accompanying notes to financial statements.
3
| KEMPNER MULTI-CAP DEEP VALUE FUND |
| STATEMENT OF ASSETS AND LIABILITIES |
| May 31, 2024 |
See accompanying notes to financial statements.
4
| KEMPNER MULTI-CAP DEEP VALUE FUND |
| STATEMENT OF OPERATIONS |
| For the Year Ended May 31, 2024 |
| INVESTMENT INCOME | ||||
| Dividend income | $ | 2,837,905 | ||
| Foreign withholding taxes on dividends | (40,647 | ) | ||
| Interest income | 33 | |||
| Total investment income | 2,797,291 | |||
| EXPENSES | ||||
| Management fees (Note 4) | 482,352 | |||
| Administration fees (Note 4) | 84,003 | |||
| Fund accounting fees (Note 4) | 49,640 | |||
| Distribution fees - Investor Class (Note 4) | 41,424 | |||
| Transfer agent fees (Note 4) | 27,647 | |||
| Legal fees | 27,567 | |||
| Trustees’ fees and expenses (Note 4) | 19,918 | |||
| Audit and tax services fees | 16,515 | |||
| Registration and filing fees | 14,844 | |||
| Custodian and bank service fees | 12,362 | |||
| Compliance fees and expenses (Note 4) | 12,159 | |||
| Shareholder reporting expenses | 8,516 | |||
| Insurance expense | 3,230 | |||
| Postage and supplies | 3,142 | |||
| Other expenses | 18,343 | |||
| Total expenses | 821,662 | |||
| NET INVESTMENT INCOME | 1,975,629 | |||
| REALIZED AND UNREALIZED GAINS ON INVESTMENTS | ||||
| Net realized gains from investment transactions | 5,116,499 | |||
| Net change in unrealized appreciation (depreciation) on investments | 16,128,109 | |||
| NET REALIZED AND UNREALIZED GAINS ON INVESTMENTS | 21,244,608 | |||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 23,220,237 | ||
See accompanying notes to financial statements.
5
| KEMPNER MULTI-CAP DEEP VALUE FUND |
| STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended May 31, 2024 |
Year Ended May 31, 2023 |
|||||||
| FROM OPERATIONS | ||||||||
| Net investment income | $ | 1,975,629 | $ | 1,514,579 | ||||
| Net realized gains from investment transactions | 5,116,499 | 2,372,124 | ||||||
| Net change in unrealized appreciation (depreciation) on investments | 16,128,109 | (12,193,625 | ) | |||||
| Net increase (decrease) in net assets resulting from operations | 23,220,237 | (8,306,922 | ) | |||||
| FROM DISTRIBUTIONS TO SHAREHOLDERS (Note 2) | ||||||||
| Institutional Class | (3,392,854 | ) | (4,228,940 | ) | ||||
| Investor Class | (812,320 | ) | (1,086,099 | ) | ||||
| Decrease in net assets from distributions to shareholders | (4,205,174 | ) | (5,315,039 | ) | ||||
| CAPITAL SHARE TRANSACTIONS | ||||||||
| Institutional Class | ||||||||
| Proceeds from shares sold | 29,682 | 2,094,494 | ||||||
| Net asset value of shares issued in reinvestment of distributions to shareholders | 2,573,944 | 2,892,857 | ||||||
| Payments for shares redeemed | (1,152,880 | ) | (1,447,832 | ) | ||||
| Net increase in Institutional Class net assets from capital share transactions | 1,450,746 | 3,539,519 | ||||||
| Investor Class | ||||||||
| Proceeds from shares sold | 87,699 | 80,269 | ||||||
| Net asset value of shares issued in reinvestment of distributions to shareholders | 680,680 | 907,885 | ||||||
| Payments for shares redeemed | (1,090,495 | ) | (552,747 | ) | ||||
| Net increase (decrease) in Investor Class net assets from capital share transactions | (322,116 | ) | 435,407 | |||||
| TOTAL INCREASE (DECREASE) IN NET ASSETS | 20,143,693 | (9,647,035 | ) | |||||
| NET ASSETS | ||||||||
| Beginning of year | 72,974,394 | 82,621,429 | ||||||
| End of year | $ | 93,118,087 | $ | 72,974,394 | ||||
See accompanying notes to financial statements.
6
| KEMPNER MULTI-CAP DEEP VALUE FUND |
| STATEMENTS OF CHANGES IN NET ASSETS (Continued) |
| Year Ended May 31, 2024 |
Year Ended May 31, 2023 |
|||||||
| CAPITAL SHARES ACTIVITY | ||||||||
| Institutional Class | ||||||||
| Shares sold | 2,625 | 202,180 | ||||||
| Shares issued in reinvestment of distributions to shareholders | 241,821 | 295,046 | ||||||
| Shares redeemed | (106,627 | ) | (141,113 | ) | ||||
| Net increase in shares outstanding | 137,819 | 356,113 | ||||||
| Shares outstanding at beginning of year | 6,018,392 | 5,662,279 | ||||||
| Shares outstanding at end of year | 6,156,211 | 6,018,392 | ||||||
| Investor Class | ||||||||
| Shares sold | 8,022 | 7,823 | ||||||
| Shares issued in reinvestment of distributions to shareholders | 64,032 | 92,712 | ||||||
| Shares redeemed | (105,124 | ) | (53,119 | ) | ||||
| Net increase (decrease) in shares outstanding | (33,070 | ) | 47,416 | |||||
| Shares outstanding at beginning of year | 1,584,429 | 1,537,013 | ||||||
| Shares outstanding at end of year | 1,551,359 | 1,584,429 | ||||||
See accompanying notes to financial statements.
7
| KEMPNER MULTI-CAP DEEP VALUE FUND |
| INSTITUTIONAL CLASS |
| FINANCIAL HIGHLIGHTS |
Per Share Data for a Share Outstanding Throughout Each Period
| For the Year Ended May 31, 2024 |
For the Year Ended May 31, 2023 |
For the Year Ended May 31, 2022 |
For the Year Ended May 31, 2021 |
Ten Months Ended May 31, 2020 (a) |
For the Year Ended July 31, 2019 |
|||||||||||||||||||
| Net asset value at beginning of period | $ | 9.60 | $ | 11.48 | $ | 12.79 | $ | 8.77 | $ | 10.70 | $ | 11.01 | ||||||||||||
| Income (loss) from investment operations: | ||||||||||||||||||||||||
| Net investment income | 0.26 | (b) | 0.21 | (b) | 0.17 | (b) | 0.15 | (b) | 0.20 | 0.21 | ||||||||||||||
| Net realized and unrealized gains (losses) on investments | 2.78 | (1.35 | ) | (0.49 | ) | 4.53 | (1.62 | ) | (0.19 | ) | ||||||||||||||
| Total from investment operations | 3.04 | (1.14 | ) | (0.32 | ) | 4.68 | (1.42 | ) | 0.02 | |||||||||||||||
| Less distributions from: | ||||||||||||||||||||||||
| Net investment income | (0.25 | ) | (0.21 | ) | (0.15 | ) | (0.16 | ) | (0.17 | ) | (0.23 | ) | ||||||||||||
| Net realized gains | (0.31 | ) | (0.53 | ) | (0.84 | ) | (0.50 | ) | (0.34 | ) | (0.10 | ) | ||||||||||||
| Total distributions | (0.56 | ) | (0.74 | ) | (0.99 | ) | (0.66 | ) | (0.51 | ) | (0.33 | ) | ||||||||||||
| Net asset value at end of period | $ | 12.08 | $ | 9.60 | $ | 11.48 | $ | 12.79 | $ | 8.77 | $ | 10.70 | ||||||||||||
| Total return (c) | 32.55 | % | (9.97 | %) | (2.61 | %) | 55.52 | % | (13.99 | %)(d) | 0.43 | % | ||||||||||||
| Net assets at end of period (000’s) | $ | 74,390 | $ | 57,777 | $ | 64,995 | $ | 69,143 | $ | 48,552 | $ | 60,228 | ||||||||||||
| Ratios/supplementary data: | ||||||||||||||||||||||||
| Ratio of total expenses to average net assets | 0.96 | % | 0.97 | % | 0.94 | % | 0.97 | % | 0.99 | %(e) | 0.95 | % | ||||||||||||
| Ratio of net investment income to average net assets | 2.47 | % | 2.05 | % | 1.39 | % | 1.46 | % | 2.37 | %(e) | 2.13 | % | ||||||||||||
| Portfolio turnover rate | 37 | % | 34 | % | 33 | % | 21 | % | 27 | %(d) | 17 | % | ||||||||||||
| (a) | Fund changed fiscal year to May 31. |
| (b) | Per share net income has been determined on the basis of average number of shares outstanding during the period. |
| (c) | Total return is a measure of the change in value of an investment in the Fund over the periods covered. The returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions, if any, or the redemption of Fund shares. |
| (d) | Not annualized. |
| (e) | Annualized. |
See accompanying notes to financial statements.
8
| KEMPNER MULTI-CAP DEEP VALUE FUND |
| INVESTOR CLASS |
| FINANCIAL HIGHLIGHTS |
Per Share Data for a Share Outstanding Throughout Each Period
| For the Year Ended May 31, 2024 |
For the Year Ended May 31, 2023 |
For the Year Ended May 31, 2022 |
For the Year Ended May 31, 2021 |
Ten Months Ended May 31, 2020 (a) |
For the Year Ended July 31, 2019 |
|||||||||||||||||||
| Net asset value at beginning of period | $ | 9.59 | $ | 11.47 | $ | 12.77 | $ | 8.76 | $ | 10.69 | $ | 11.00 | ||||||||||||
| Income (loss) from investment operations: | ||||||||||||||||||||||||
| Net investment income | 0.24 | (b) | 0.19 | (b) | 0.14 | (b) | 0.13 | (b) | 0.18 | 0.18 | ||||||||||||||
| Net realized and unrealized gains (losses) on investments | 2.77 | (1.35 | ) | (0.48 | ) | 4.51 | (1.62 | ) | (0.19 | ) | ||||||||||||||
| Total from investment operations | 3.01 | (1.16 | ) | (0.34 | ) | 4.64 | (1.44 | ) | (0.01 | ) | ||||||||||||||
| Less distributions from: | ||||||||||||||||||||||||
| Net investment income | (0.22 | ) | (0.19 | ) | (0.12 | ) | (0.13 | ) | (0.15 | ) | (0.20 | ) | ||||||||||||
| Net realized gains | (0.31 | ) | (0.53 | ) | (0.84 | ) | (0.50 | ) | (0.34 | ) | (0.10 | ) | ||||||||||||
| Total distributions | (0.53 | ) | (0.72 | ) | (0.96 | ) | (0.63 | ) | (0.49 | ) | (0.30 | ) | ||||||||||||
| Net asset value at end of period | $ | 12.07 | $ | 9.59 | $ | 11.47 | $ | 12.77 | $ | 8.76 | $ | 10.69 | ||||||||||||
| Total return (c) | 32.27 | % | (10.22 | %) | (2.79 | %) | 55.09 | % | (14.18 | %)(d) | 0.18 | % | ||||||||||||
| Net assets at end of period (000’s) | $ | 18,728 | $ | 15,198 | $ | 17,626 | $ | 19,125 | $ | 12,206 | $ | 14,495 | ||||||||||||
| Ratios/supplementary data: | ||||||||||||||||||||||||
| Ratio of total expenses to average net assets | 1.21 | % | 1.22 | % | 1.19 | % | 1.22 | % | 1.24 | %(e) | 1.20 | % | ||||||||||||
| Ratio of net investment income to average net assets | 2.22 | % | 1.79 | % | 1.14 | % | 1.21 | % | 2.12 | %(e) | 1.88 | % | ||||||||||||
| Portfolio turnover rate | 37 | % | 34 | % | 33 | % | 21 | % | 27 | %(d) | 17 | % | ||||||||||||
| (a) | Fund changed fiscal year to May 31. |
| (b) | Per share net income has been determined on the basis of average number of shares outstanding during the period. |
| (c) | Total return is a measure of the change in value of an investment in the Fund over the periods covered. The returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions, if any, or the redemption of Fund shares. |
| (d) | Not annualized. |
| (e) | Annualized. |
See accompanying notes to financial statements.
9
| KEMPNER MULTI-CAP DEEP VALUE FUND |
| NOTES TO FINANCIAL STATEMENTS |
| May 31, 2024 |
1. Organization
Kempner Multi-Cap Deep Value Fund (the “Fund”) is a diversified series of Ultimus Managers Trust (the “Trust”). The Trust is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). The Fund was reorganized into the Trust on April 28, 2017. Other series of the Trust are not incorporated in this report.
The investment objective of the Fund is to seek to generate a total pre-tax return, including capital growth and dividends, that is greater than the rate of inflation over a three-to-five-year period.
The Fund currently offers two classes of shares: Institutional Class shares (sold without any sales loads and distribution and/or shareholder servicing fees and requiring a $500,000 initial investment) and Investor Class shares (sold without any sales loads, but subject to a distribution and/or shareholder servicing fee of up to 0.25% of the average daily net assets attributable to Investor Class shares and requiring a $500 initial investment). Each share class represents an ownership interest in the same investment portfolio.
2. Significant Accounting Policies
The Fund follows accounting and reporting guidance under Financial Accounting Standards Board Accounting Standards Codification Topic 946, “Financial Services – Investment Companies.” The following is a summary of the Fund’s significant accounting policies used in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).
Regulatory update – Tailored Shareholder Reports for Mutual Funds and Exchange-Traded Funds (“ETFs”) – Effective January 24, 2023, the Securities and Exchange Commission (the “SEC”) adopted rule and form amendments to require mutual funds and ETFs to transmit concise and visually engaging streamlined annual and semiannual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semiannual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. The Fund has implemented the rule and form requirements, as applicable, and is currently adhering to the requirements.
Securities valuation – The Fund values its portfolio securities at market value as of the close of regular trading on the New York Stock Exchange (the “NYSE”) (normally 4:00 p.m. Eastern time) on each business day the NYSE is open for business. The Fund values its listed securities on the basis of the security’s last sale price on the security’s primary exchange, if available, otherwise at the exchange’s most recently quoted mean price. NASDAQ-listed securities are valued at the NASDAQ Official Closing Price. Investments representing shares of money market funds and other open-end investment companies are valued at their net asset value (“NAV”) as reported by such companies. When using a quoted price and when the market for the security is considered active, the security will be classified as Level 1
10
| KEMPNER MULTI-CAP DEEP VALUE FUND |
| NOTES TO FINANCIAL STATEMENTS (Continued) |
within the fair value hierarchy (see below). In the event that market quotations are not readily available or are considered unreliable due to market or other events, the Fund values its securities and other assets at fair value as determined by Kempner Capital Management, Inc. (the “Adviser”), as the valuation designee, in accordance with procedures adopted by the Board of Trustees (the “Board”) pursuant to Rule 2a-5 under the 1940 Act. Under these procedures, the securities will be classified as Level 2 or 3 within the fair value hierarchy, depending on the inputs used. Unavailable or unreliable market quotes may be due to the following factors: a substantial bid-ask spread; infrequent sales resulting in stale prices; insufficient trading volume; small trade sizes; a temporary lapse in any reliable pricing source; and actions of the securities or futures markets, such as the suspension or limitation of trading. As a result, the prices of securities used to calculate the Fund’s NAV may differ from quoted or published prices for the same securities.
GAAP establishes a single authoritative definition of fair value, sets out a framework for measuring fair value, and requires additional disclosures about fair value measurements.
Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below:
| ● | Level 1 – quoted prices in active markets for identical securities |
| ● | Level 2 – other significant observable inputs |
| ● | Level 3 – significant unobservable inputs |
The inputs or methods used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. 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.
The following is a summary of the Fund’s investments based on the inputs used to value the investments as of May 31, 2024 by security type:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Common Stocks | $ | 83,635,715 | $ | — | $ | — | $ | 83,635,715 | ||||||||
| Money Market Funds | 8,508,019 | — | — | 8,508,019 | ||||||||||||
| Total | $ | 92,143,734 | $ | — | $ | — | $ | 92,143,734 | ||||||||
Refer to the Fund’s Schedule of Investments for a listing of securities by sector and industry type. The Fund did not hold any derivative instruments or any assets or liabilities that were measured at fair value on a recurring basis using significant unobservable inputs (Level 3) as of or during the year ended May 31, 2024.
11
| KEMPNER MULTI-CAP DEEP VALUE FUND |
| NOTES TO FINANCIAL STATEMENTS (Continued) |
Share valuation – The NAV per share of each class of the Fund is calculated daily by dividing the total value of the assets attributable to that class, less liabilities attributable to that class, by the number of shares outstanding of that class. The offering price and redemption price per share of each class of the Fund is equal to the NAV per share of such class.
Investment income – Dividend income is recorded on the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the security received. Interest income is accrued as earned. Withholding taxes on foreign dividends have been recorded in accordance with the Fund’s understanding of the applicable country’s rules and tax rates.
Investment transactions – Investment transactions are accounted for on the trade date. Realized gains and losses on investments sold are determined on a specific identification basis.
Allocation between classes – Investment income earned, realized capital gains and losses, and unrealized appreciation and depreciation are allocated daily to each class of the Fund based upon its proportionate share of total net assets of the Fund. Class-specific expenses are charged directly to the class incurring the expense. Common expenses which are not attributable to a specific class are allocated daily to each class of shares of the Fund based upon its proportionate share of total net assets of the Fund. Distribution fees are class specific expenses.
Common expenses – Common expenses of the Trust are allocated among the Fund and the other series of the Trust based on the relative net assets of each series, the number of series in the Trust, or the nature of the services performed and the relative applicability to each series.
Distributions to shareholders – The Fund intends to declare and distribute net investment income dividends on a quarterly basis. In addition, the Fund will declare and distribute net realized capital gains, if any, on an annual basis. The amount of such dividends and distributions are determined in accordance with federal income tax regulations, which may differ from GAAP. Dividends and distributions to shareholders are recorded on the ex-dividend date. The tax character of distributions paid to shareholders by the Fund during the years ended May 31, 2024 and 2023 were as follows:
| Year Ended |
Ordinary Income |
Long-Term Capital Gains |
Total Distributions |
|||||||||
| 5/31/2024 | $ | 3,161,973 | $ | 1,043,201 | $ | 4,205,174 | ||||||
| 5/31/2023 | $ | 1,957,768 | $ | 3,357,271 | $ | 5,315,039 | ||||||
Estimates – The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements and the reported amounts of increase (decrease) in net assets from operations during the reporting period. Actual results could differ from those estimates.
12
| KEMPNER MULTI-CAP DEEP VALUE FUND |
| NOTES TO FINANCIAL STATEMENTS (Continued) |
Federal income tax – The Fund has qualified and intends to continue to qualify as a regulated investment company under the Internal Revenue Code of 1986 (the “Code”). Qualification generally will relieve the Fund of liability for federal income taxes to the extent 100% of its net investment income and net realized capital gains are distributed in accordance with the Code. In order to avoid imposition of the excise tax applicable to regulated investment companies, it is also the Fund’s intention to declare as dividends in each calendar year amounts equal to at least 98% of its net investment income (earned during the calendar year) and 98.2% of its net realized capital gains (earned during the twelve months ended October 31) plus undistributed amounts from prior years.
The following information is computed on a tax basis for each item as of May 31, 2024:
| Tax cost of investments | $ | 80,646,683 | ||
| Gross unrealized appreciation | $ | 16,641,012 | ||
| Gross unrealized depreciation | (5,143,961 | ) | ||
| Net unrealized appreciation | 11,497,051 | |||
| Undistributed ordinary income | 1,752,876 | |||
| Undistributed long-term gains | 3,829,624 | |||
| Distributable earnings | $ | 17,079,551 | ||
The Fund recognizes the tax benefits or expenses of uncertain tax positions only when the position is “more likely than not” of being sustained assuming examination by tax authorities. Management has reviewed the Fund’s tax positions for all open tax years (generally, three years) and has concluded that no provision for unrecognized tax benefits or expenses is required in these financial statements. The Fund identifies its major tax jurisdiction as U.S. Federal.
The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statement of Operations. During the year ended May 31, 2024, the Fund did not incur any interest or penalties.
3. Investment Transactions
During the year ended May 31, 2024, cost of purchases and proceeds from sales of investment securities, other than short-term investments, amounted to $27,438,393 and $27,599,616, respectively.
4. Transactions with Related Parties
INVESTMENT ADVISORY AGREEMENT
The Fund’s investments are managed by the Adviser pursuant to the terms of an Investment Advisory Agreement. The Fund pays the Adviser a management fee, computed and accrued daily and paid monthly, at the annual rate of 0.59% of average daily net assets.
13
| KEMPNER MULTI-CAP DEEP VALUE FUND |
| NOTES TO FINANCIAL STATEMENTS (Continued) |
The Adviser has agreed contractually, until at least December 1, 2024, to reduce its management fees and reimburse other expenses to the extent necessary to limit total annual fund operating expenses (exclusive of brokerage costs; taxes; interest; borrowing costs such as interest and dividend expenses on securities sold short; costs to organize the Fund; acquired fund fees and expenses; extraordinary expenses such as litigation and merger or reorganization costs and other expenses not incurred in the ordinary course of the Fund’s business) to an amount not exceeding 1.05% and 1.30% of average daily net assets for Institutional Class and Investor Class shares, respectively.
Management fee reductions and expense reimbursements by the Adviser are subject to repayment by the Fund for a period of 36 months after such fees and expenses were incurred, provided that the repayments do not cause the Fund’s total annual fund operating expenses to exceed the lesser of: (i) the expense limitation then in effect, if any, and (ii) the expense limitation in effect at the time the expenses to be repaid were incurred. This agreement will terminate automatically if the Investment Advisory Agreement is terminated. During the year ended May 31, 2024, the Adviser did not reduce its management fees or reimburse other expenses of the Fund.
OTHER SERVICE PROVIDERS
Ultimus Fund Solutions, LLC (“Ultimus”) provides administration, fund accounting, and transfer agency services to the Fund. The Fund pays Ultimus fees in accordance with the agreements for such services. In addition, the Fund pays out-of-pocket expenses including, but not limited to, postage, supplies and certain costs related to the pricing of the Fund’s portfolio securities.
Under the terms of a Consulting Agreement with the Trust, Northern Lights Compliance Services, LLC (“NLCS”) provides an Anti-Money Laundering Officer and Chief Compliance Officer to the Trust, as well as related compliance services. Under the terms of the agreement, NLCS receives fees from the Fund. NLCS is a wholly-owned subsidiary of Ultimus.
Under the terms of a Distribution Agreement with the Trust, Ultimus Fund Distributors, LLC (the “Distributor”) serves as principal underwriter to the Fund. The Distributor is a wholly-owned subsidiary of Ultimus. The Distributor is compensated partially by the Adviser and partially by the Investor Class shares of the Fund for acting as principal underwriter.
Certain officers of the Trust are also officers of Ultimus and are not paid by the Fund for serving in such capacities.
DISTRIBUTION PLAN
The Fund has adopted a plan of distribution (the “Plan”), pursuant to Rule 12b-1 under the 1940 Act, which permits Investor Class shares of the Fund to directly incur or reimburse the Fund’s principal underwriter for certain expenses related to the distribution of Investor Class shares. The annual limitation for payment of expenses pursuant to the Plan is 0.25% of the Fund’s average daily net assets allocable to Investor Class shares. The Fund has not adopted a plan of distribution with respect to Institutional Class shares. During the year ended May 31, 2024, Investor Class shares of the Fund incurred $41,424 of distribution fees under the Plan.
14
KEMPNER MULTI-CAP DEEP VALUE FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
TRUSTEE COMPENSATION
Each member of the Board who is not an “interested person” (as defined by the 1940 Act, as amended) of the Trust receives an annual retainer and meeting fees, plus reimbursement for travel and other meeting-related expenses.
PRINCIPAL HOLDERS OF FUND SHARES
As of May 31, 2024, the following shareholders owned of record 25% or more of the outstanding shares of the Fund:
| NAME OF RECORD OWNERS | % Ownership |
| Muir & Company (for the benefit of its customers) | 86% |
A beneficial owner of 25% or more of the Fund’s outstanding shares may be considered a controlling person. That shareholder’s vote could have a more significant effect on matters presented at a shareholders’ meeting.
5. Contingencies and Commitments
The Fund indemnifies the Trust’s officers and Trustees for certain liabilities that might arise from their performance of their duties to the Fund. Additionally, in the normal course of business the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
6. Subsequent Events
The Fund is required to recognize in the financial statements the effects of all subsequent events that provide additional evidence about conditions that existed as of the date of the Statement of Assets and Liabilities. For non-recognized subsequent events that must be disclosed to keep the financial statements from being misleading, the Fund is required to disclose the nature of the event as well as an estimate of its financial effect, or a statement that such an estimate cannot be made. Management has evaluated subsequent events through the issuance of these financial statements and has noted no such events except for the following:
The Fund paid the following distributions to shareholders subsequent to May 31, 2024:
| Per Share | ||||||||
| Record | Ordinary | |||||||
| Date | Ex-Date | Income | ||||||
| Institutional Class | 06/26/2024 | 06/27/2024 | $ | 0.0736 | ||||
| Investor Class | 06/26/2024 | 06/27/2024 | $ | 0.0662 | ||||
15
| KEMPNER MULTI-CAP DEEP VALUE FUND |
| REPORT OF INDEPENDENT REGISTERED |
| PUBLIC ACCOUNTING FIRM |
To the Shareholders of Kempner Multi-Cap Deep Value Fund and
Board of Trustees of Ultimus Managers Trust
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Kempner Multi-Cap Deep Value Fund (the “Fund”), a series of Ultimus Managers Trust, as of May 31, 2024, the related statement of operations for the year then ended, the statements of changes in net assets and the financial highlights for each of the two years in the period then ended, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2024, the results of its operations for the year then ended, and the changes in net assets and the financial highlights for each of the two years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
The Fund’s financial highlights for the years and period ended May 31, 2022, and prior, were audited by another auditor whose report dated July 20, 2022, expressed an unqualified opinion on those financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of May 31, 2024, by correspondence with the custodian. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the Fund’s auditor since 2023.
COHEN & COMPANY, LTD.
Philadelphia, Pennsylvania
July 25, 2024
16
| KEMPNER MULTI-CAP DEEP VALUE FUND |
| OTHER INFORMATION (Unaudited) |
A description of the policies and procedures that the Fund uses to vote proxies relating to portfolio securities is available without charge upon request by calling toll-free 1-800-665-9778, or on the SEC’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge upon request by calling toll-free 1-800-665-9778, or on the SEC’s website at www.sec.gov.
The Trust files a complete listing of portfolio holdings for the Fund with the SEC as of the end of the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. These filings are available upon request by calling 1-800-665-9778. Furthermore, you may obtain a copy of the filings on the SEC’s website at www.sec.gov.
| FEDERAL TAX INFORMATION (Unaudited) |
For the year ended May 31, 2024, the Fund designated $1,043,201 as long-term capital gain distribution.
Qualified Dividend Income – The Fund designates 64.25% of its ordinary income dividends, or up to the maximum amount of such dividends allowable pursuant to the Internal Revenue Code, as qualified dividend income eligible for the reduced tax rate.
Dividends Received Deduction – Corporate shareholders are generally entitled to take the dividends received deduction on the portion of a Fund’s dividend distribution that qualifies under tax law. For the year ended May 31, 2024, 51.37% of ordinary income dividends qualifies for the corporate dividends received deduction.
17
| WAVELENGTH FUND |
| SCHEDULE OF INVESTMENTS |
| May 31, 2024 |
| EXCHANGE-TRADED FUNDS — 90.2% | Shares | Value | ||||||
| Emerging Markets Debt — 18.5% | ||||||||
| iShares J.P. Morgan USD Emerging Markets Bond ETF (a) | 26,900 | $ | 2,395,445 | |||||
| VanEck Emerging Markets High Yield Bond ETF (a) | 246,568 | 4,729,174 | ||||||
| VanEck J.P. Morgan EM Local Currency Bond ETF | 99,541 | 2,413,869 | ||||||
| Vanguard Emerging Markets Government Bond ETF (a) | 51,026 | 3,234,028 | ||||||
| 12,772,516 | ||||||||
| Master Limited Partnerships — 3.5% | ||||||||
| Global X MLP ETF | 50,794 | 2,387,318 | ||||||
| Real Estate Investment Trusts (REITs) — 0.4% | ||||||||
| Vanguard Real Estate ETF | 3,187 | 265,286 | ||||||
| U.S. Fixed Income — 67.8% | ||||||||
| Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (a) | 86,899 | 1,220,931 | ||||||
| Invesco Senior Loan ETF | 478,803 | 10,112,319 | ||||||
| iShares Broad USD High Yield Corporate Bond ETF | 178,015 | 6,467,285 | ||||||
| iShares National Muni Bond ETF (a) | 17,282 | 1,827,399 | ||||||
| iShares Preferred & Income Securities ETF (a) | 34,168 | 1,084,834 | ||||||
| iShares TIPS Bond ETF | 37,411 | 3,991,754 | ||||||
| SPDR Bloomberg Convertible Securities ETF | 18,893 | 1,354,061 | ||||||
| SPDR Bloomberg Short Term High Yield Bond ETF | 300,947 | 7,520,666 | ||||||
| Vanguard Mortgage-Backed Securities ETF | 159,355 | 7,166,194 | ||||||
| Vanguard Short-Term Inflation-Protected Securities ETF | 122,046 | 5,892,381 | ||||||
| 46,637,824 | ||||||||
| Total Exchange-Traded Funds (Cost $62,397,802) | $ | 62,062,944 | ||||||
1
| WAVELENGTH FUND |
| SCHEDULE OF INVESTMENTS (Continued) |
| MONEY MARKET FUNDS — 5.8% | Shares | Value | ||||||
| DWS Government Money Market Series - Institutional Class, 5.26% (b) | 1,002,637 | $ | 1,002,637 | |||||
| Fidelity Institutional Money Market Government Portfolio - Class I, 5.20% (b) | 1,002,637 | 1,002,637 | ||||||
| Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class, 5.17% (b) | 1,002,637 | 1,002,637 | ||||||
| Invesco Treasury Portfolio - Institutional Class, 5.22% (b) | 1,002,637 | 1,002,637 | ||||||
| Total Money Market Funds (Cost $4,010,548) | $ | 4,010,548 | ||||||
| COLLATERAL FOR SECURITIES LOANED — 20.8% | ||||||||
| First American Government Obligations Fund - Class X, 5.17%(b) (Cost $14,307,501) (c) | 14,307,501 | $ | 14,307,501 | |||||
| Investments at Value — 116.8% (Cost $80,715,851) | $ | 80,380,993 | ||||||
| Liabilities in Excess of Other Assets — (16.8%) | (11,568,243 | ) | ||||||
| Net Assets — 100.0% | $ | 68,812,750 |
| (a) | All or a portion of the security is on loan. The total value of the securities on loan as of May 31, 2024 was $14,033,763 (Note 6). |
| (b) | The rate shown is the 7-day effective yield as of May 31, 2024. |
| (c) | This security was purchased with cash collateral held from securities on loan (Note 6). |
See accompanying notes to financial statements.
2
| WAVELENGTH FUND |
| SCHEDULE OF FUTURES CONTRACTS |
| May 31, 2024 |
| FUTURES CONTRACTS | Contracts | Expiration Date |
Notional Value |
Value/Unrealized Appreciation (Depreciation) |
|||||||||||
| Commodity Futures | |||||||||||||||
| E-Mini Gold Future | 18 | 7/29/2024 | $ | 2,111,220 | $ | (17,489 | ) | ||||||||
| Index Futures | |||||||||||||||
| E-Mini Dow CBOT DJIA Future | 3 | 6/21/2024 | 581,865 | 673 | |||||||||||
| E-Mini Nasdaq 100 Future | 7 | 6/21/2024 | 2,602,740 | 39,745 | |||||||||||
| E-Mini S&P 500 Future | 11 | 6/21/2024 | 2,912,525 | 77,525 | |||||||||||
| MSCI Emerging Markets Future | 49 | 6/21/2024 | 2,588,425 | 7,886 | |||||||||||
| Total Index Futures | 8,685,555 | 125,829 | |||||||||||||
| Treasury Futures | |||||||||||||||
| 10-Year U.S. Treasury Note Future | 43 | 9/19/2024 | 4,678,266 | 28,147 | |||||||||||
| 2-Year U.S. Treasury Note Future | 48 | 9/30/2024 | 9,777,750 | 11,255 | |||||||||||
| 5-Year U.S. Treasury Note Future | 86 | 9/30/2024 | 9,098,531 | 36,182 | |||||||||||
| U.S. Treasury Long Bond Future | 30 | 9/19/2024 | 3,481,875 | 37,573 | |||||||||||
| Total Treasury Futures | 27,036,422 | 113,157 | |||||||||||||
| Total Futures Contracts | $ | 37,833,197 | $ | 221,497 | |||||||||||
The average monthly notional value of futures contracts during the year ended May 31, 2024 was $34,116,378.
See accompanying notes to financial statements.
3
| WAVELENGTH FUND |
| STATEMENT OF ASSETS AND LIABILITIES |
| May 31, 2024 |
| ASSETS | ||||
| Investments in securities: | ||||
| At cost | $ | 80,715,851 | ||
| At value* (Note 2) | $ | 80,380,993 | ||
| Margin deposits for futures contracts (Note 2) | 2,938,866 | |||
| Variation margin receivable (Notes 2 and 5) | 84,499 | |||
| Receivable for capital shares sold | 39,536 | |||
| Dividends and interest receivable | 18,942 | |||
| Other assets | 12,629 | |||
| Total assets | 83,475,465 | |||
| LIABILITIES | ||||
| Variation margin payable (Notes 2 and 5) | 55,654 | |||
| Payable for return of collateral received for securities on loan | 14,307,501 | |||
| Payable for capital shares redeemed | 181,378 | |||
| Payable for investment securities purchased | 77,508 | |||
| Payable to Adviser (Note 4) | 29,184 | |||
| Payable to administrator (Note 4) | 3,712 | |||
| Other accrued expenses | 7,778 | |||
| Total liabilities | 14,662,715 | |||
| CONTINGENCIES AND COMMITMENTS (NOTE 8) | — | |||
| NET ASSETS | $ | 68,812,750 | ||
| NET ASSETS CONSIST OF: | ||||
| Paid-in capital | $ | 91,070,956 | ||
| Accumulated deficit | (22,258,206 | ) | ||
| NET ASSETS | $ | 68,812,750 | ||
| Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) |
7,263,640 | |||
| Net asset value, offering price and redemption price per share (Note 2) | $ | 9.47 | ||
| * Includes value of securities on loan (Note 6) | $ | 14,033,763 | ||
See accompanying notes to financial statements.
4
| WAVELENGTH FUND |
| STATEMENT OF OPERATIONS |
| For the Year Ended May 31, 2024 |
See accompanying notes to financial statements.
5
| WAVELENGTH FUND |
| STATEMENTS OF CHANGES IN NET ASSETS |
| Year Ended May 31, 2024 |
Year Ended May 31, 2023 |
|||||||
| FROM OPERATIONS | ||||||||
| Net investment income | $ | 4,039,865 | $ | 5,105,890 | ||||
| Net realized gains (losses) from: | ||||||||
| Investments | (6,793,418 | ) | (6,897,308 | ) | ||||
| Futures contracts (Note 5) | (560,286 | ) | (2,418,561 | ) | ||||
| Long-term capital gain distributions from regulated investment companies | 1,100 | 16,958 | ||||||
| Net change in unrealized appreciation (depreciation) on: | ||||||||
| Investments | 7,619,356 | (141,690 | ) | |||||
| Futures contracts (Note 5) | 254,723 | 243,776 | ||||||
| Net increase (decrease) in net assets resulting from operations | 4,561,340 | (4,090,935 | ) | |||||
| DISTRIBUTIONS TO SHAREHOLDERS (Note 2) | (4,255,450 | ) | (5,119,784 | ) | ||||
| CAPITAL SHARE TRANSACTIONS | ||||||||
| Proceeds from shares sold | 19,129,955 | 36,472,949 | ||||||
| Net asset value of shares issued in reinvestment of distributions to shareholders | 2,738,282 | 3,314,082 | ||||||
| Payments for shares redeemed | (62,948,733 | ) | (80,974,168 | ) | ||||
| Net decrease in net assets from capital share transactions | (41,080,496 | ) | (41,187,137 | ) | ||||
| TOTAL DECREASE IN NET ASSETS | (40,774,606 | ) | (50,397,856 | ) | ||||
| NET ASSETS | ||||||||
| Beginning of year | 109,587,356 | 159,985,212 | ||||||
| End of year | $ | 68,812,750 | $ | 109,587,356 | ||||
| CAPITAL SHARE ACTIVITY | ||||||||
| Shares sold | 2,032,900 | 3,854,543 | ||||||
| Shares issued in reinvestment of distributions to shareholders | 293,521 | 354,175 | ||||||
| Shares redeemed | (6,761,722 | ) | (8,545,591 | ) | ||||
| Net decrease in shares outstanding | (4,435,301 | ) | (4,336,873 | ) | ||||
| Shares outstanding at beginning of year | 11,698,941 | 16,035,814 | ||||||
| Shares outstanding at end of year | 7,263,640 | 11,698,941 | ||||||
See accompanying notes to financial statements.
6
| WAVELENGTH FUND FINANCIAL HIGHLIGHTS |
Per Share Data for a Share Outstanding Throughout Each Year
| Year Ended May 31, 2024 |
Year Ended May 31, 2023 |
Year Ended May 31, 2022 |
Year Ended May 31, 2021 |
Year Ended May 31, 2020 |
||||||||||||||||
| Net asset value at beginning of year | $ | 9.37 | $ | 9.98 | $ | 10.99 | $ | 10.35 | $ | 10.26 | ||||||||||
| Income (loss) from investment operations: | ||||||||||||||||||||
| Net investment income (a) | 0.45 | 0.41 | 0.19 | 0.11 | 0.22 | |||||||||||||||
| Net realized and unrealized gains (losses) on investments and futures contracts | 0.09 | (0.63 | ) | (0.88 | ) | 0.75 | 0.38 | |||||||||||||
| Total from investment operations | 0.54 | (0.22 | ) | (0.69 | ) | 0.86 | 0.60 | |||||||||||||
| Less distributions from: | ||||||||||||||||||||
| Net investment income | (0.44 | ) | (0.39 | ) | (0.16 | ) | (0.10 | ) | (0.23 | ) | ||||||||||
| Net realized gains | — | — | (0.16 | ) | (0.12 | ) | (0.28 | ) | ||||||||||||
| Total distributions | (0.44 | ) | (0.39 | ) | (0.32 | ) | (0.22 | ) | (0.51 | ) | ||||||||||
| Net asset value at end of year | $ | 9.47 | $ | 9.37 | $ | 9.98 | $ | 10.99 | $ | 10.35 | ||||||||||
| Total return (b) | 5.95 | % | (2.12 | %)(c) | (6.53 | %) | 8.39 | % | 5.92 | % | ||||||||||
| Net assets at end of year (000’s) | $ | 68,813 | $ | 109,587 | $ | 159,985 | $ | 155,862 | $ | 81,773 | ||||||||||
| Ratios/supplementary data: | ||||||||||||||||||||
| Ratio of total expenses to average net assets (d) | 1.37 | % | 1.30 | % | 1.22 | % | 1.25 | % | 1.34 | % | ||||||||||
| Ratio of net expenses to average net assets (d)(e) | 0.99 | %(f) | 0.99 | %(g) | 0.99 | % | 0.99 | % | 0.99 | % | ||||||||||
| Ratio of net investment income to average net assets (a)(d)(e) | 4.68 | %(f) | 3.88 | %(g) | 1.72 | % | 1.02 | % | 2.07 | % | ||||||||||
| Portfolio turnover rate | 49 | % | 44 | % | 18 | % | 12 | % | 52 | % | ||||||||||
| (a) | Recognition of net investment income by the Fund is affected by the timing of the declarations of dividends by the underlying investment companies in which the Fund invests. |
| (b) | Total return is a measure of the change in value of an investment in the Fund over the periods covered. The returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions, if any, or the redemption of Fund shares. The total returns would be lower if the Adviser and/or administrator had not reduced management fees and/or reimbursed expenses (Note 4). |
| (c) | During the year ended May 31, 2023, the Adviser voluntarily refunded to the Fund all management fees paid in the amount of $289,118 for changes concerning the corporate ownership structure of the Adviser for the period from May 14, 2021 until August 12, 2021, which otherwise would have reduced the total return by 0.21%. |
| (d) | The ratios of expenses and net investment income to average net assets do not reflect the Fund’s proportionate share of expenses of the underlying investment companies in which the Fund invests. |
| (e) | Ratio was determined after advisory fee reductions and/or expense reimbursements and/or administrator waivers. |
| (f) | Ratio excludes the voluntary waiver from Ultimus in the amount of $75,000, otherwise the net expenses and the net investment income to average net assets would have remained the same since the Adviser would have reduced additional management fees. |
| (g) | Ratio excludes the voluntary refund from the Adviser in the amount of $289,118, otherwise the net expenses and the net investment income to average net assets would have been 0.76% and 4.11%, respectively. |
See accompanying notes to financial statements.
7
| WAVELENGTH FUND May 31, 2024 |
1. Organization
Wavelength Fund (the “Fund”) is a diversified series of Ultimus Managers Trust (the “Trust”), an open-end investment company established as an Ohio business trust under a Declaration of Trust dated February 28, 2012. Other series of the Trust are not incorporated in this report. The Fund is a “fund of funds”, in that the Fund will generally invest in other investment companies.
The investment objective of the Fund is to seek total return.
2. Significant Accounting Policies
The Fund follows accounting and reporting guidance under Financial Accounting Standards Board Accounting Standards Codification Topic 946, “Financial Services – Investment Companies.” The following is a summary of the Fund’s significant accounting policies used in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).
Regulatory update – Tailored Shareholder Reports for Mutual Funds and Exchange-Traded Funds (“ETFs”) – Effective January 24, 2023, the Securities and Exchange Commission (the “SEC”) adopted rule and form amendments to require mutual funds and ETFs to transmit concise and visually engaging streamlined annual and semiannual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semiannual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. The Fund has implemented the rule and form requirements, as applicable, and is currently adhering to the requirements.
Securities and futures valuation – The Fund values its portfolio securities at market value as of the close of regular trading on the New York Stock Exchange (the “NYSE”) (normally 4:00 p.m. Eastern time) on each business day the NYSE is open. Exchange-traded funds (“ETFs”) are valued at the security’s last sale price on the security’s primary exchange, if available, otherwise at the exchange’s most recently quoted mean price. Investments representing shares of money market funds and other open-end investment companies, except for ETFs, are valued at their net asset value (“NAV”) as reported by such companies. NASDAQ-listed securities are valued at the NASDAQ Official Closing Price. The Fund values its exchange-traded futures contracts at their last sale price as of the close of regular trading on the NYSE. Prices for these futures contracts are monitored daily by Wavelength Capital Management, LLC (the “Adviser”), as the Fund’s valuation designee, until the close of regular trading to determine if fair valuation is required.
When using a quoted price and when the market for the security is considered active, a security will be classified as Level 1 within the fair value hierarchy (see below). In the event that market quotations are not readily available or are considered unreliable due to market or other events, the Fund values its securities and other assets at fair value determined by the Adviser, in accordance with procedures adopted by the Trust’s Board of Trustees (the
8
| WAVELENGTH FUND NOTES TO FINANCIAL STATEMENTS (Continued) |
“Board”) pursuant to the Rule 2a-5 under the Investment Company Act of 1940, as amended, (“the 1940 Act”). Under these procedures, the securities will be classified as Level 2 or 3 within the fair value hierarchy, depending on the inputs used. Unavailable or unreliable market quotes may be due to the following factors: a substantial bid-ask spread; infrequent sales resulting in stale prices; insufficient trading volume; small trade sizes; a temporary lapse in any reliable pricing source; and actions of the securities or futures markets, such as the suspension or limitation of trading.
GAAP establishes a single authoritative definition of fair value, sets out a framework for measuring fair value, and requires additional disclosures about fair value measurements.
Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below:
| ● | Level 1 – quoted prices in active markets for identical securities |
| ● | Level 2 – other significant observable inputs |
| ● | Level 3 – significant unobservable inputs |
The inputs or methods used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. 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.
The following is a summary of the Fund’s investments and other financial instruments and the inputs used to value the investments and other financial instruments as of May 31, 2024:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Investments in Securities | ||||||||||||||||
| Exchange-Traded Funds | $ | 62,062,944 | $ | — | $ | — | $ | 62,062,944 | ||||||||
| Money Market Funds | 4,010,548 | — | — | 4,010,548 | ||||||||||||
| Collateral for Securities Loaned | 14,307,501 | — | — | 14,307,501 | ||||||||||||
| Total | $ | 80,380,993 | $ | — | $ | — | $ | 80,380,993 | ||||||||
| Other Financial Instruments | ||||||||||||||||
| Futures Contracts | $ | 221,497 | $ | — | $ | — | $ | 221,497 | ||||||||
| Total | $ | 221,497 | $ | — | $ | — | $ | 221,497 | ||||||||
The Fund did not have any assets or liabilities that were measured at fair value on a recurring basis using significant unobservable inputs (Level 3) as of or during the year ended May 31, 2024. Other Financial Instruments are future contracts which are valued at the unrealized appreciation (depreciation) as of May 31, 2024.
Cash account – The Fund’s cash is held in a bank account with balances which, at times, may exceed United States federally insured limits by the Federal Deposit Insurance Corporation (“FDIC”). Cash held with a broker, if any, is not FDIC insured. The Fund maintains these balances with a high-quality financial institution and may incur charges on cash overdrafts.
9
| WAVELENGTH FUND NOTES TO FINANCIAL STATEMENTS (Continued) |
Share valuation – The NAV per share of the Fund is calculated daily by dividing the total value of the Fund’s assets, less liabilities, by the number of shares outstanding. The offering price and redemption price per share of the Fund is equal to the NAV per share.
Investment income – Dividend income is recorded on the ex-dividend date. Interest income, if any, is accrued as earned. Non-cash dividends included in dividend income, if any, are recorded at the fair value of the security received.
Investment transactions – Investment transactions are accounted for on the trade date. Realized gains and losses on investments sold are determined on a specific identification basis.
Common expenses – Common expenses of the Trust are allocated among the Fund and the other series of the Trust based on the relative net assets of each series, the number of series in the Trust, or the nature of the services performed and the relative applicability to each series.
Distributions to shareholders – The Fund distributes to shareholders any net investment income on a quarterly basis and any net realized capital gains at least annually. The amount of such dividends and distributions are determined in accordance with federal income tax regulations, which may differ from GAAP. Dividends and distributions to shareholders are recorded on the ex-dividend date. The tax character of distributions paid during the years ended May 31, 2024 and 2023 was as follows:
| Year Ended |
Ordinary Income |
Tax-Exempt Distributions |
Long-Term Capital Gains |
Total Distributions |
||||||||||||
| 5/31/2024 | $ | 4,106,382 | $ | 149,068 | $ | — | $ | 4,255,450 | ||||||||
| 5/31/2023 | $ | 4,915,777 | $ | 204,007 | $ | — | $ | 5,119,784 | ||||||||
Futures contracts – The Fund uses futures contracts to gain exposure to or to hedge against changes in the value of equities, real estate, interest rates or commodities. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. When the Fund purchases or sells a futures contract, no price is paid to or received by the Fund. Instead, the Fund is required to deposit in a segregated asset account an amount of cash or qualifying securities currently ranging from 2% to 10% of the contract amount. This is called the “initial margin deposit.” Subsequent payments, known as “variation margin,” are made or received by the Fund each day, depending on the daily fluctuations in the fair value of the underlying asset. The Fund recognizes an unrealized gain or loss equal to the daily variation margin. If market conditions move unexpectedly, the Fund may not achieve the anticipated benefits of the futures contracts and may realize a loss. The margin deposits for futures contracts and the variation receivable/payable are reported on the Statement of Assets and Liabilities.
10
| WAVELENGTH FUND NOTES TO FINANCIAL STATEMENTS (Continued) |
Estimates – The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements and the reported amounts of increase (decrease) in net assets from operations during the reporting period. Actual results could differ from those estimates.
Federal income tax – The Fund has qualified and intends to continue to qualify as a regulated investment company under the Internal Revenue Code of 1986, as amended (the “Code”). Qualification generally will relieve the Fund of liability for federal income taxes to the extent 100% of its net investment income and net realized capital gains are distributed in accordance with the Code.
In order to avoid imposition of the excise tax applicable to regulated investment companies, it is also the Fund’s intention to declare as dividends in each calendar year amounts equal to at least 98% of its net investment income (earned during the calendar year) and 98.2% of its net realized capital gains (earned during the twelve months ended October 31) plus undistributed amounts from prior years.
The following information is computed on a tax basis for each item as of May 31, 2024:
| Tax cost of investments | $ | 84,680,602 | ||
| Gross unrealized appreciation | $ | 462,607 | ||
| Gross unrealized depreciation | (4,762,216 | ) | ||
| Net unrealized depreciation | (4,299,609 | ) | ||
| Undistributed ordinary income | 542,240 | |||
| Accumulated capital and other losses | (18,500,837 | ) | ||
| Total accumulated deficit | $ | (22,258,206 | ) | |
The value of the federal income tax cost of investments may temporarily differ from the financial statement cost. This book/tax difference is due to the recognition of capital gains or losses under income tax regulations and GAAP, primarily the tax deferral of losses on wash sales, the tax treatment of realized and unrealized gains and losses on futures contracts and adjustments to basis on publicly traded partnerships.
As of May 31, 2024, the Fund had short-term capital loss carryforwards and long-term capital loss carryforwards (“CLCF”) of $3,321,378 and $15,179,459, respectively, for federal income tax purposes. These CLCFs, which do not expire, may be utilized in future years to offset net realized capital gains, if any.
The Fund recognizes the tax benefits or expenses of uncertain tax positions only when the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has reviewed the Fund’s tax positions for all open tax years (generally, three years) and has concluded that no provision for unrecognized tax benefits or expenses is required in these financial statements. The Fund identifies its major tax jurisdiction as U.S. Federal.
11
| WAVELENGTH FUND NOTES TO FINANCIAL STATEMENTS (Continued) |
The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statement of Operations. During the year ended May 31, 2024, the Fund did not incur any interest or penalties.
3. Investment Transactions
During the year ended May 31, 2024, cost of purchases and proceeds from sales of investment securities, other than short-term investments, were $37,988,530 and $67,228,594, respectively.
4. Transactions with Related Parties
INVESTMENT ADVISORY AGREEMENT
The Fund’s investments are managed by the Adviser pursuant to the terms of an Advisory Agreement. Under the Advisory Agreement, the Fund pays the Adviser a management fee, computed and accrued daily and paid monthly, at the annual rate of 0.95% of its average daily net assets.
Pursuant to a new Expense Limitation Agreement between the Fund and the Adviser (the “ELA”), the Adviser has agreed, until October 1, 2025, to reduce its management fees and reimburse other expenses to limit total annual operating expenses (exclusive of brokerage costs; taxes; interest; borrowing costs such as interest and dividends expenses on securities sold short; acquired fund fees and expenses; extraordinary expenses such as litigation and merger or reorganization costs and other expenses not incurred in the ordinary course of the Fund’s business) to an amount not exceeding 0.99% of the Fund’s average daily net assets.
Accordingly, under the ELA, the Adviser, reduced its management fees in the amount of $247,607 during the year ended May 31, 2024.
Under the terms of the ELA, management fee reductions and expense reimbursements by the Adviser are subject to recoupment by the Adviser for a period of three years after such fees and expenses were incurred, provided that the recoupments do not cause total annual operating expenses of the Fund to exceed the lesser of (i) the expense limitation then in effect, if any, and (ii) the expense limitation in effect at the time the expenses to be repaid were incurred. As of May 31, 2024, the Adviser may seek recoupment of management fee reductions and expense reimbursements in the amount of $1,044,921 no later than the dates as stated below:
| May 31, 2025 | May 31, 2026 | May 31, 2027 | Total | |||
| $415,183 | $382,131 | $247,607 | $1,044,921 |
OTHER SERVICE PROVIDERS
Ultimus Fund Solutions, LLC (“Ultimus”) provides administration, fund accounting, and transfer agency services to the Fund. The Fund pays Ultimus fees in accordance with the agreements for such services. In addition, the Fund pays out-of-pocket expenses including,
12
| WAVELENGTH FUND NOTES TO FINANCIAL STATEMENTS (Continued) |
but not limited to, postage, supplies and certain costs related to the pricing of the Fund’s portfolio securities. During the year ended May 31, 2024, Ultimus voluntarily waived fees in the amount of $75,000. These voluntary waivers are not subject to recoupment by Ultimus.
Under the terms of a Consulting Agreement with the Trust, Northern Lights Compliance Services, LLC (“NLCS”) provides an Anti-Money Laundering Officer and Chief Compliance Officer to the Trust, as well as related compliance services. Under the terms of the agreement, NLCS receives fees from the Fund. NLCS is a wholly-owned subsidiary of Ultimus.
Under the terms of a Distribution Agreement with the Trust, Ultimus Fund Distributors, LLC (the “Distributor”) serves as the principal underwriter to the Fund. The Distributor is a wholly-owned subsidiary of Ultimus. The Distributor is compensated by the Adviser (not the Fund) for acting as principal underwriter.
Certain officers of the Trust are also officers of Ultimus and are not paid by the Fund for serving in such capacities.
TRUSTEE COMPENSATION
Each member of the Board (a “Trustee”) who is not an “interested person” (as defined by the 1940 Act, as amended) of the Trust (“Independent Trustee”) receives an annual retainer and meeting fees, plus reimbursement for travel and other meeting-related expenses.
PRINCIPAL HOLDERS OF FUND SHARES
As of May 31, 2024, the following shareholders owned of record 25% or more of the outstanding shares of the Fund:
| Name of Record Owners | % Ownership |
| National Financial Services, LLC (for the benefit of its customers) | 37% |
| Charles Schwab & Co., Inc. (for the benefit of its customers) | 35% |
A shareholder owning of record or beneficially 25% or more of the Fund’s outstanding shares may be considered a controlling person. That shareholder’s vote could have a more significant effect on matters presented at a shareholders’ meeting.
5. Derivatives Transactions
The Fund’s positions in derivative instruments as of May 31, 2024 are recorded in the following location on the Statement of Assets and Liabilities:
| Derivative Investment Type | Location | |
| Futures contracts | Variation margin receivable (payable) |
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| WAVELENGTH FUND NOTES TO FINANCIAL STATEMENTS (Continued) |
The following table sets forth the values of variation margin of the Fund as of May 31, 2024:
| Variation Margin | ||||||||||||
| Type of Derivative and Risk | Receivable | (Payable) | Total | |||||||||
| Asset Derivatives | ||||||||||||
| Futures contracts | ||||||||||||
| Commodity | $ | — | $ | (17,489 | ) | $ | (17,489 | ) | ||||
| Index | 33,510 | (38,165 | ) | (4,655 | ) | |||||||
| Treasury | 50,989 | — | 50,989 | |||||||||
| Total | $ | 84,499 | $ | (55,654 | ) | $ | 28,845 | |||||
The Fund’s transactions in derivative instruments during the year ended May 31, 2024 are recorded in the following locations on the Statement of Operations:
| Derivative Investment Type | Location | |
| Futures contracts | Net realized gains (losses) from futures contracts | |
| Net change in unrealized appreciation (depreciation) on futures contracts |
The following is a summary of the Fund’s net realized losses and net change in unrealized appreciation (depreciation) on derivative instruments recognized on the Statement of Operations during the year ended May 31, 2024:
| Type of Derivative and Risk | Net Realized Gains (Losses) |
Net Change in Unrealized Appreciation (Depreciation) |
||||||
| Futures contracts | ||||||||
| Commodity | $ | 180,363 | $ | (3,880 | ) | |||
| Index | 734,009 | 198,351 | ||||||
| Treasury | (1,474,658 | ) | 60,252 | |||||
| Total | $ | (560,286 | ) | $ | 254,723 | |||
In the ordinary course of business, the Fund may enter into transactions subject to enforceable netting agreements or other similar arrangements (“netting agreements”). Generally, the right to offset in netting agreements allows the Fund to offset any exposure to a specific counterparty with any collateral received or delivered to that counterparty based on the terms of the agreements. Generally, the Fund manages its cash collateral securities and securities collateral on a counterparty basis.
14
| WAVELENGTH FUND NOTES TO FINANCIAL STATEMENTS (Continued) |
As of May 31, 2024, the offsetting of financial assets and derivative assets is as follows:
| Description | Gross Amounts of Recognized Assets not Offset on Statement of Assets and Liabilities | Gross Amounts of Recognized Liabilities not Offset on Statement of Assets and Liabilities | Derivatives Available for Offset | Net Amounts Presented on Statement of Assets and Liabilities | Collateral Pledged | Net Amount | ||||||||||||||||||
| Variation margin receivable - futures contracts | $ | 84,499 | $ | — | $ | (55,654 | ) | $ | 28,845 | $ | — | $ | 28,845 | |||||||||||
| Variation margin payable - futures contracts | — | (55,654 | ) | 55,654 | — | — | — | |||||||||||||||||
| Total subject to a master netting or similar arrangement | $ | 84,499 | $ | (55,654 | ) | $ | — | $ | 28,845 | $ | — | $ | 28,845 | |||||||||||
6. Securities Lending
Under the terms of the Securities Lending Agreement (the “SLA”) with U.S. Bank National Association (“U.S. Bank”), U.S. Bank is authorized to loan securities on behalf of the Fund to approved borrowers. The contractual maturity of securities lending transactions is on an overnight and continuous basis. In exchange, the Fund receives cash collateral in the amount of at least 102% of the value of the securities loaned. Any collateral shortfalls due to changes in security market prices are adjusted the next business day. The cash collateral is invested in a short-term investment instrument as noted on the Fund’s Schedule of Investments. Although risk is mitigated by the collateral, the Fund could experience a delay in recovering its securities and possible loss of income or value if the borrower fails to return them. The SLA provides that after predetermined rebates to borrowers, the Fund retains a portion of its net securities lending income and pays U.S. Bank the remaining portion. The Fund manages credit exposure arising from these lending transactions by, in appropriate circumstances, entering into an SLA with U.S. Bank that provides the Fund, in the event of default (such as bankruptcy or borrower’s failure to pay or perform), the right to net rights and obligations under such agreements and liquidate and set off collateral against the net amount owed to the Fund. The Fund’s collateral was invested in a money market fund. As of May 31, 2024, the fair value of securities on loan and the collateral held were $14,033,763 and $14,307,501, respectively.
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| WAVELENGTH FUND NOTES TO FINANCIAL STATEMENTS (Continued) |
7. Certain Investments and Risks
The securities in which the Fund invests, as well as the risks associated with these securities, are described in the Fund’s prospectus. Among these risks are those associated with investments in shares of ETFs. ETFs issue their shares to authorized participants in return for a specific basket of securities. The authorized participants then sell the ETF’s shares on the secondary market. In other words, ETF shares are traded on a securities exchange based on their market value. Investments in ETFs are subject to the risk that the ETF’s shares may trade at a premium (creating the risk that the Fund pays more than NAV for an ETF when making a purchase) or discount (creating the risk that the Fund receives less than NAV when selling an ETF) to the ETF’s NAV. Investments in ETFs are also subject to index-tracking risk because the total return generated by the securities will be reduced by transaction costs and expenses not incurred by the indices. Certain securities comprising the index tracked by an ETF may, from time to time, temporarily be unavailable, which may further impede the ETF’s ability to track its applicable index or match the index’s performance. To the extent that the Fund invests in an ETF, the Fund incurs additional expenses because the Fund bears its pro-rata portion of such ETF’s advisory fees and operational expenses. Finally, ETF shares are also subject to the risks applicable to the underlying basket of securities. As of May 31, 2024, the Fund had 90.2% of the value of its net assets invested in ETFs.
8. Contingencies and Commitments
The Fund indemnifies the Trust’s officers and Trustees for certain liabilities that might arise from their performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
9. Subsequent Events
The Fund is required to recognize in the financial statements the effects of all subsequent events that provide additional evidence about conditions that existed as of the date of the Statement of Assets and Liabilities. For non-recognized subsequent events that must be disclosed to keep the financial statements from being misleading, the Fund is required to disclose the nature of the event as well as an estimate of its financial effect, or a statement that such an estimate cannot be made. Management has evaluated subsequent events through the issuance of these financial statements and has noted no such events except for the following:
On June 28, 2024, the Fund paid an ordinary income dividend of $0.1110 per share to the shareholders of record on June 27, 2024.
16
| WAVELENGTH FUND REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders of Wavelength Fund and
Board of Trustees of Ultimus Managers Trust
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedules of investments and futures contracts, of Wavelength Fund (the “Fund”), a series of Ultimus Managers Trust, as of May 31, 2024, the related statement of operations for the year then ended, the statements of changes in net assets and the financial highlights for each of the two years in the period then ended, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2024, the results of its operations for the year then ended, and the changes in net assets and the financial highlights for each of the two years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
The Fund’s financial highlights for the years ended May 31, 2022, and prior, were audited by another auditor whose report dated July 20, 2022, expressed an unqualified opinion on those financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of May 31, 2024, by correspondence with the custodian and brokers. Our
17
| WAVELENGTH FUND REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (Continued) |
audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the Fund’s auditor since 2023.
COHEN & COMPANY, LTD.
Philadelphia, Pennsylvania
July 25, 2024
18
| WAVELENGTH FUND OTHER INFORMATION (Unaudited) |
A description of the policies and procedures that the Fund uses to vote proxies relating to portfolio securities is available without charge upon request by calling toll-free 1-866-896-9292, or on the SEC’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge upon request by calling toll-free 1-866-896-9292, or on the SEC’s website at www.sec.gov. The Trust files a complete listing of portfolio holdings for the Fund with the SEC as of the end of the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. These filings are available upon request by calling 1-866-896-9292. Furthermore, you may obtain a copy of the filings on the SEC’s website at www.sec.gov and the Fund’s website at www.wavelengthfunds.com/fund-resources.
| FEDERAL TAX INFORMATION (Unaudited) |
For the fiscal year ended May 31, 2024, the Fund designated $4,255,450 as tax-exempt income distributions.
19
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| (b) | Included in (a) |
| Item 8. | Changes in and Disagreements with Accountants for Open-End Management Investment Companies. |
Not applicable
| Item 9. | Proxy Disclosures for Open-End Management Investment Companies. |
Not applicable [filed under item 7]
| Item 10. | Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies. |
Included under Item 7
| Item 11. | Statement Regarding Basis for Approval of Investment Advisory Contract. |
Not applicable [filed under Item 7 if applicable]
| Item 12. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable
| Item 13. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable
| Item 14. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable
| Item 15. | Submission of Matters to a Vote of Security Holders. |
There has been no material changes to the manner in which shareholders may recommend nominees to the Registrant’s Board of Trustees or the Nominations & Governance Committee (the “Committee”). The Registrant does not have formal procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees. While the Registrant does not have formal procedure, the Committee shall to the extent required under applicable law, when identifying potential candidates for the position of Independent Trustee, consider any such candidate recommended by a shareholder.
| Item 16. | Controls and Procedures. |
| (a) | Based on their evaluation of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) as of a date within 90 days of the filing date of this report, the registrant’s principal executive officer and principal financial officer have concluded that such disclosure controls and procedures are reasonably designed and are operating effectively to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to them by others within those entities, particularly during the period in which this report is being prepared, and that the information required in filings on Form N-CSR is recorded, processed, summarized, and reported on a timely basis. |
| (b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
| Item 17. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
Not applicable
| Item 18. | Recovery of Erroneously Awarded Compensation. |
| (a) | Not applicable |
| (b) | Not applicable |
| Item 19. | Exhibits. |
File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated.
| (a)(1) | Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Attached hereto |
| (a)(2) | A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)): Attached hereto |
| (1) | Not applicable |
| (2) | Change in the registrant’s independent public accountant: Not applicable |
| (b) | Certifications required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)): Attached hereto |
| Exhibit 99.CODE ETH | Code of Ethics | |
| Exhibit 99.CERT | Certifications required by Rule 30a-2(a) under the Act | |
| Exhibit 99.906CERT | Certifications required by Rule 30a-2(b) under the Act |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| (Registrant) | Ultimus Managers Trust | |||
| By (Signature and Title)* | /s/ Todd E. Heim | |||
| Todd E. Heim, President and Principal Executive Officer | ||||
| Date | August 6, 2024 | |||
| Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. | ||||
| By (Signature and Title)* | /s/ Todd E. Heim | |||
| Todd E. Heim, President and Principal Executive Officer | ||||
| Date | August 6, 2024 | |||
| By (Signature and Title)* | /s/ Daniel D. Bauer | |||
| Daniel D. Bauer, Treasurer and Principal Financial Officer | ||||
| Date | August 6, 2024 | |||
| * | Print the name and title of each signing officer under his or her signature. |
