REX Defensive Autocallable Income ETF (DACL) September Commentary
REX Defensive Autocallable Income ETF (DACL) | September 2026 Commentary
Key Highlights
Income
September Distribution
Distribution Rate
30-Day SEC Yield
September Performance (NAV TR)
DACL
S&P 500 TR Index
Since Inception Performance (NAV TR; 8/13 – 9/30/26)
DACL
S&P 500 TR Index
Since Inception Beta to S&P 500 TR Index
Since Inception Upside Capture
of S&P 500 TR Index
Since Inception Downside Capture
of S&P 500 TR Index
Since Inception Annualized Volatility
DACL
S&P 500 TR Index
The 30-Day Yield represents net investment income earned by the Fund over the 30-Day period ended 9/30/2026, expressed as an annual percentage rate based on the Fund’s share price at the end of the 30-Day period. The 30-Day unsubsidized SEC Yield does not reflect any fee waivers/reimbursements/limits in effect.
The Distribution Rate is the annual rate an investor would receive if the most recently declared distribution, which includes option income, remained the same going forward. The Distribution Rate is calculated by multiplying an ETF’s Distribution per Share by twelve (12), and dividing the resulting amount by the ETF’s most recent NAV. The Distribution Rate represents a single distribution from the ETF and does not represent its total return. The distribution may include a combination of ordinary dividends, capital gain, and return of investor capital and has the potential to change during any given tax year. Please refer to the 19a-1 Notice, which can be located on the Fund’s website, regarding the composition of distributions, including return of capital. Final determination of a distribution’s tax character will be made on Form 1099 DIV.
September in review
Commentary
- Equity markets paused in September, with the S&P 500 TR Index returning -0.35%. DACL gained 0.30%, delivering a positive return despite the modest decline while exhibiting a low volatility profile (0.70% annualized since inception, versus 9.66% for the S&P 500 TR).
- Across the 22 negative S&P 500 sessions since inception, DACL’s downside capture was -2.8%, meaning the Fund posted small gains on average on days the market declined, consistent with its ~0.01 beta.
- All 251 live positions sit above their coupon barriers (100% coupon eligible), no positions carry principal at risk, and the weighted average coupon stands at 6.67%.
- DACL paid a 0.55% distribution in September, bringing its annualized distribution rate to 6.63%, with a 30-Day SEC Yield of 3.21%. The portfolio continues to support the Fund’s primary objective of delivering monthly income while providing enhanced downside risk mitigation.
The performance data quoted represents past performance and is no guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. For the most recent Standardized Performance and month-end performance, please call 1-844-802-4004 or go to rexshares.com/dacl.
Portfolio Highlights
| Live Autocallables | 251 |
| Weighted Avg. Coupon | 6.67% |
| Weighted Avg. MTM Discount | 98.31% |
| % Above Coupon Barrier | 100% |
| Autocallables with Principal at Risk | 0 |
Data as of 9/30/26. Source: Bloomberg.
Cumulative return
Since Inception Cumulative Return
Data as of 9/30/26. Source: Bloomberg. Daily total returns. Inception: August 13, 2026. Past performance is not indicative of future results. SPXT refers to the S&P 500 TR Index.
Important Information
The Fund enters into swap agreements with RBC to obtain exposure to the Bloomberg US Large Cap VolMax Defensive Autocallable Total Return Index. RBC is not an advisor, promoter, in any way affiliated with the Fund and has no responsibility for the Fund’s performance, marketing, or trading, or any responsibility regarding the suitability of the Fund as an investment.
Investing in the Fund involves a high degree of risk. As with any investment, there is a risk that you could lose all or a portion of your investment in the Fund.
This information must be preceded or accompanied by a prospectus. Before investing you should carefully consider the Fund’s investment objectives, risks, charges and expenses. This and other information is in the prospectus. Please read the prospectuses carefully before you invest. Investments involve risk. Principal loss is possible. For DACL prospectus, click here.
THE FUND, TRUST, AND ADVISER ARE NOT AFFILIATED WITH THE BLOOMBERG US LARGE CAP VOLMAX DEFENSIVE AUTOCALLABLE TOTAL RETURN INDEX, THE BLOOMBERG US LARGE CAP VOLMAX 30 INDEX, THE BLOOMBERG US LARGE CAP TOTAL RETURN INDEX, OR BLOOMBERG LP.
Autocallable Structure Risk. The Fund’s returns are linked to a structured autocallable index, which may limit upside participation and expose investors to complex payoff patterns that differ from direct investments in the underlying securities.
Barrier Risk. If the underlying reference index breaches specified barrier levels, principal and income protections may be reduced or lost, potentially resulting in significant losses of invested capital.
Coupon/Contingent Income Risk. Coupon payments are contingent on barrier conditions being met and are not guaranteed; in unfavorable market environments, investors may receive little or no income.
Early Redemption Risk. Autocallable features can cause positions to be redeemed early in rising markets, forcing reinvestment at potentially lower yields and limiting participation in continued market gains.
Market Risk. The value of the Fund will fluctuate with overall market conditions and the performance of the underlying reference index, and investors could lose money, including principal.
Volatility Target Index Risk. The volatility-targeted reference index may underperform traditional equity indices because of its leverage caps, volatility adjustment mechanism, and embedded financing or cost overlays.
Liquidity Risk. Certain instruments, including derivatives referencing structured notes or indices, may become difficult or costly to trade, which can impact pricing, portfolio management, and the ability to meet redemptions.
Derivatives Risk. The Fund’s use of derivatives may magnify gains and losses, introduce leverage, and create exposure to valuation, correlation, and operational risks that can adversely affect performance.
Options Contracts Risk. Options can expire worthless, are sensitive to changes in volatility, time decay, and the price of the underlying asset, and may be less liquid than other securities.
New Fund Risk. Because the Fund is newly formed, it has a limited operating history and there can be no assurance that it will be successful in implementing its investment strategy.
Underlying Reference Index and Volatility Targeting Risk. Performance depends on the Bloomberg US Large Cap VolMax 30 Index (or any successor index), which applies volatility targeting, financing charges and other adjustments that may cause it to underperform the underlying equity index.
Equity Market Risk. The value of the Fund may fluctuate in response to stock market moves, and equity markets can decline rapidly and unpredictably.
Debt Securities and U.S. Treasury Risk. Investments in U.S. Treasuries and other debt used as collateral are subject to interest-rate, credit, prepayment and liquidity risk, which can negatively impact the Fund.
Non-Diversification Risk. As a non-diversified fund, the Fund may invest a larger portion of its assets in fewer issuers or strategies, increasing the impact of any single position or market event on performance.
Concentration Risk. To the extent the Fund concentrates its investments in specific sectors, asset classes, or strategies, it is more vulnerable to conditions and events that adversely affect those areas.
Counterparty Risk. The Fund is exposed to the creditworthiness of swap, options, and other transaction counterparties, and could incur losses if a counterparty fails to meet its obligations.
Cyber Security Risk. The Fund and its service providers may be adversely affected by cyber-attacks or other information security events that could result in financial loss, business disruption, or unauthorized access to confidential information.
Beta. Beta measures the Fund’s sensitivity to movements in the S&P 500 TR Index. A beta of 1.0 means the Fund has moved in line with the index, and a beta below 1.0 means the Fund has been less sensitive to the index’s movements. Since inception beta is measured from the Fund’s inception through 9/30/26.
Upside Capture. Upside Capture compares the Fund’s average return on days the S&P 500 TR Index rose to the index’s average return on those days, expressed as a percentage. A value below 100% means the Fund captured less of the index’s gains on those days.
Downside Capture. Downside Capture compares the Fund’s average return on days the S&P 500 TR Index declined to the index’s average return on those days, expressed as a percentage. A value below 100% means the Fund experienced less of the index’s losses on those days, and a negative value means the Fund posted gains on average on those days.
Annualized Volatility. Annualized Volatility is the standard deviation of returns, expressed on an annual basis. It measures how widely returns have varied over the period; higher volatility means larger swings in value.
Funds distributed by: Foreside Fund Services, LLC, not affiliated with Rex Shares, LLC, or its affiliates.
