LBAY

1. Summary

• LBAY is an actively managed, net-long equity income ETF. It buys U.S. stocks with high "shareholder yield" (dividends plus buybacks plus debt paydowns), shorts stocks it expects to fall, and writes covered calls for extra income. It pays monthly.
• It runs modest leverage: 125.62% long and 35.66% short on October 31, 2026, for 1.61x gross and 89.96% net. Its stated net range is 75% to 110% long.
• It shorts directly. It borrows stock through an unnamed broker, which typically holds the short sale proceeds as collateral. No swaps, futures or bank borrowing are described.
• Most relevant for us: this is another Tidal-platform ETF that shorts directly, with U.S. Bank as custodian and lending agent. Its long book is above 100% with no stated borrowing, but no document says how that extra long exposure is financed or whether the margin account is Reg T or portfolio margin. It is far from 3.0x gross and is not market neutral.

2. Key facts

Other facts: the fact sheet says the fund offers "Daily disclosure of all long and short positions" (LBAY-FS, page 1, "Why Invest in LBAY?"). The SAI confirms each fund's "entire portfolio holdings are publicly disseminated each day" (LBAY-SAI, page 29, "Portfolio Holdings Disclosure Policies and Procedures").

3. Service providers

Legal counsel: Godfrey & Kahn, S.C. (LBAY-SAI, page 29, "Legal Counsel").

4. Strategy

• Objective and benchmark. The fund "seeks capital appreciation and income" (LBAY-PR, page 9, "Investment Objective"). The prospectus compares returns with the S&P 500 Total Return Index and the Wilshire Liquid Alternative Equity Hedge Total Return Index (LBAY-PR, page 14, "Average Annual Total Returns"). The fact sheet uses the S&P 500 Index and the same Wilshire index (LBAY-FS, pages 1 and 2).
• Universe. "U.S.-listed large-, mid-, or small-capitalization companies" (LBAY-PR, page 9, "Principal Investment Strategies"). Longs may also include preferred stocks, other ETFs, closed-end funds, BDCs (business development companies), MLPs (master limited partnerships), REITs, YieldCos, investment-grade corporate bonds and convertible bonds (LBAY-PR, pages 9 and 10). At least 80% of net assets must be in "Alternative Yield Investments", meaning income-producing investments other than traditional bonds (LBAY-PR, page 9).
• How it picks stocks. Both quantitative and fundamental for longs, favoring high shareholder yield and dividend growth (LBAY-PR, page 9). Shorts are "idiosyncratic ideas", such as accounting anomalies, short-term fads or poor governance. The fund may also short sector, size, region or factor ETFs (LBAY-PR, page 10, "Principal Investment Strategies").
• Option overlay. "The Fund may write (sell) covered calls up to 100% of the value of the Fund's individual equity security or an index" when premiums look attractive (LBAY-PR, page 10). The fact sheet says "Leatherback employs an option-writing overlay strategy to generate additional income" (LBAY-FS, page 1, "Fund Description"). The fund may also buy puts (LBAY-PR, page 10).
• Neutrality targets. None. No beta, dollar or sector neutrality target is stated.
• Net exposure. "The Fund will generally have net exposure of 75% - 110% long" (LBAY-PR, page 9). The fact sheet says the same range (LBAY-FS, page 1, "Why Invest in LBAY?").
• Limits on position size. No strategy-level limit is stated. LBAY is a diversified fund, so on 75% of total assets it can't put more than 5% in one issuer or own more than 10% of an issuer's voting shares (LBAY-SAI, page 17, "Investment Restrictions"). It may not hold "more than 25% of its total assets" in one industry (LBAY-SAI, page 16, "Investment Restrictions"). Illiquid investments are capped at 15% of net assets (LBAY-SAI, page 16). The largest holding on October 31, 2026 was Visa at 5.21% (LBAY-FS, page 1, "Top Ten Holdings").
• Conflict on diversification. The SAI says LBAY "is "diversified" within the meaning of the 1940 Act", effective November 16, 2023 (LBAY-SAI, pages 3 and 17). The fact sheet still says "The Fund is classified as "non-diversified"" (LBAY-FS, page 3, "Important Information"). The fact sheet is newer, but the SAI states a dated change, so the fact sheet text looks out of date (my inference).

5. Exposure and leverage

• Measured exposure, October 31, 2026 (LBAY-FS, page 2, "Exposure"):
  • Gross 161.28%, long 125.62%, short -35.66%, net 89.96%.
  • Long plus short is 161.28% and long minus short is 89.96% (my arithmetic). Both match the stated figures.
• By sector (read from the chart; values are not tabulated): the short side sits mostly in Consumer Discretionary and Information Technology, with smaller shorts in Financials, Industrials and Communication Services. The largest long sectors are Financials and Materials (LBAY-FS, page 2, "Long and Short Exposure by Sector").
• Stated targets or limits. Net 75% to 110% long (LBAY-PR, page 9). No gross, long or short target is stated.
• How it gets exposure above 100%. Not stated. The long side was 125.62% on October 31, 2026 (LBAY-FS, page 2), but no document explains how it is funded. The prospectus says "the broker effecting the short sale typically holds the proceeds as part of the collateral securing the Fund's obligation to cover the short position" (LBAY-PR, page 10). The SAI says the funds "do not intend to borrow money" (LBAY-SAI, page 4). So the extra 25.62% of longs is most likely funded by short sale proceeds or a broker debit balance (my inference). The documents don't say whether the fact sheet's long figure includes option exposure.
• Borrowing limits. "Although the Funds do not intend to borrow money," a fund "may borrow up to one-third (1/3) of its total assets." "A Fund will borrow money only for short-term or emergency purposes" (LBAY-SAI, page 4, "Borrowing"). One-third of total assets is the same as 300% asset coverage (my inference). No line of credit is named. The SAI mentions a line of credit only as a possible borrowing cost (LBAY-SAI, page 4).

6. Shorting, financing and collateral

• How it shorts. Direct short sales: "the Fund arranges through a broker to borrow the security it does not own to be delivered to a buyer of such security" (LBAY-PR, page 10, "Principal Investment Strategies"). No other short method is described, so no split is given.
• Who lends the stock and who holds collateral. "A short sale involves the sale of a security that is borrowed from a broker or other institution" (LBAY-SAI, page 12, "Short Sales"). The broker "typically holds the proceeds as part of the collateral" (LBAY-PR, page 10). The broker is not named.
• What is posted. "A Fund will be required to pledge its liquid assets to the broker to secure its performance on short sales" (LBAY-SAI, page 12). The documents don't say whether long stocks are pledged, or whether collateral is cash or Treasuries.
• Short sale proceeds used to buy longs. Not stated. See section 5.
• Segregated or tri-party account. "A Fund must segregate assets determined to be liquid in accordance with procedures established by the Board, or otherwise cover its positions in a permissible manner" (LBAY-SAI, page 12). No tri-party or special custody account is named. This segregation wording predates Rule 18f-4, which the SAI says "eliminates the asset segregation and cover framework" (LBAY-SAI, page 14). So the short-sale text may be out of date (my inference).
• Costs named. Short sales may bring "costs of borrowing and margin account maintenance costs" (LBAY-SAI, page 12). "Dividend expenses on securities sold short will be borne by the shareholders of a Fund" (LBAY-SAI, page 12). The phrase "margin account" is the only mention of margin. The margin type is not stated.
• Options. Covered calls are written against longs (LBAY-PR, page 10; LBAY-FS, page 1). Covered calls add income and cut upside, but they don't create leverage (my inference). Buying puts is permitted (LBAY-PR, page 10). OTC (over-the-counter) options with dealers are permitted (LBAY-SAI, page 15, "Options"). No option counterparty is named.
• Securities lending. Active. U.S. Bank National Association is the lending agent. For the year ended August 31, 2025, gross income was $115,352, rebates paid to borrowers $111,074, and net income $2,822 (LBAY-SAI, page 26, "Securities Lending Activity"). Rebates were about 96% of gross income (my arithmetic). Which stocks were lent, and whether lent stock overlaps with short collateral, is not stated.
• Permitted only. Repurchase agreements, money market instruments and U.S. government securities (LBAY-SAI, pages 11 to 13). Bank borrowing for emergencies (LBAY-SAI, page 4). None is a principal strategy.

7. Derivatives and Rule 18f-4

• Derivatives used. Written covered calls are used (LBAY-FS, page 1, "Fund Description"). Bought puts are permitted (LBAY-PR, page 10). The fact sheet says "The Fund uses short sales and derivatives (options)" (LBAY-FS, page 3, "Important Information"). The SAI's general text lists "options, futures, forwards and swaps" as common derivatives (LBAY-SAI, page 14, "Derivative Instruments"), but it has no separate section on swaps or futures. The commodities policy "shall not prevent the Fund from purchasing or selling options and futures contracts" (LBAY-SAI, page 16, "Investment Restrictions"). That is a carve-out, not a stated use.
• Limited derivatives user or full program. Full program: "The Alternative Yield ETF has implemented a derivatives risk management program that complies with Rule 18f-4" (LBAY-SAI, page 14). So it is not a limited derivatives user (my inference). The derivatives risk manager is not named. The SAI's short sale section does not say whether short sales count as derivatives under Rule 18f-4.
• VaR test and reference portfolio. "Under Rule 18f-4 a fund's derivatives exposure is limited through a value-at-risk test" (LBAY-SAI, page 14). VaR (value at risk) estimates the most a fund could lose over a set period at a set confidence level. Whether LBAY uses the relative or absolute test, and any reference portfolio, is not stated.
• Commodity pool status (CFTC Rule 4.5). Not stated.

8. Costs

Short cost history (ratio of dividend and interest expense on securities sold short to average net assets; LBAY-PR, page 27, "Financial Highlights"):

• Who pays what. The fund pays the 0.95% unitary fee plus Excluded Expenses: "interest charges on any borrowings, dividends and other expenses on securities sold short, taxes, brokerage commissions" and others (LBAY-PR, page 9, footnote 1). The adviser pays the sub-adviser 0.75% (LBAY-SAI, page 24). "The Sub-Adviser has agreed to assume the Adviser's obligation to pay all expenses incurred by the Funds, except for Excluded Expenses." In return, the adviser pays it "the profits, if any, generated by the Funds' unitary management fees" (LBAY-SAI, page 24, "Investment Sub-Adviser").
• Fees paid. Management fees to the adviser: $701,386 (FY2023), $467,351 (FY2024), $328,851 (FY2025) (LBAY-SAI, page 24). Sub-adviser fees: $553,726, $368,961 and $268,490 for the same years (LBAY-SAI, page 24). Administrator: $35,000 a year, paid by the adviser (LBAY-SAI, page 28).
• Expense example. $122 for 1 year, $381 for 3 years, $660 for 5 years and $1,455 for 10 years per $10,000 (LBAY-PR, page 9, "Expense Example").
• Brokerage commissions. $52,107 (FY2023), $31,868 (FY2024), $48,990 (FY2025) (LBAY-SAI, page 31, "Brokerage Transactions").
• Portfolio turnover. 47% (FY2021 period), 73% (FY2022), 44% (FY2023), 35% (FY2024), 67% (FY2025) (LBAY-PR, page 27). Turnover "excludes in-kind transactions" (LBAY-PR, page 27, footnote (g)).
• Gap between expense ratio and management fee. 1.20% minus 0.95% is 0.25% (my arithmetic). That gap is the 0.22% short dividend and interest line plus 0.03% tax expense (my arithmetic). The financial highlights confirm it: "Ratio of operational expenses to average net assets excluding dividends, interest, and borrowing expense on securities sold short" was 0.95% (LBAY-PR, page 27). Because that label names borrowing expense, the 0.22% probably also includes borrow fees (my inference). The fact sheet's 1.27% would give a 0.32% gap (my arithmetic). 1.27% equals the FY2024 ratio (LBAY-PR, page 27); it may be stale or may reflect FY2026, for which no report was attached (my inference).

9. Performance and risk

Returns from the fact sheet, as of October 31, 2026 (LBAY-FS, page 1, "Performance"). Periods under one year are cumulative; 1, 3 and 5 years and since inception (annualized column) are annualized.

Calendar-year returns.

Sources: LBAY-FS, page 2, "% Returns" (row label "LBAY Market"); LBAY-PR, page 14, bar chart "Calendar Year Ended December 31". The prospectus chart does not say whether it is NAV or market price. It shows the same 22.39% for both 2021 and 2022, which may be an error (my inference).

• Prospectus table, periods ended December 31, 2024 (LBAY-PR, page 14, "Average Annual Total Returns"): 1 year -3.46% before taxes; since inception 8.15%. S&P 500 Total Return Index 25.02% and 14.17%. Wilshire Liquid Alternative Equity Hedge Total Return Index 9.32% and 6.87%.
• Best and worst quarters: 16.09% for the quarter ended December 31, 2022; -11.66% for the quarter ended December 31, 2024 (LBAY-PR, page 14).
• Fiscal-year total returns at NAV: 22.46% (FY2021 period), 17.43% (FY2022), -0.70% (FY2023), 10.01% (FY2024), -4.54% (FY2025) (LBAY-PR, page 27).
• Risk statistics (LBAY-FS, page 1, "Key Statistics"; "Market Index: S&P 500 Index"): beta -0.26, correlation -0.19, standard deviation 19.98%, Sharpe ratio 0.91. The fact sheet's header date is October 31, 2026. The period, data frequency and NAV or market basis are not stated. No drawdown or capture figures are given.
• Note. A negative beta is unusual for a fund that is about 90% net long (my inference). A Sharpe ratio of 0.91 with a 19.98% standard deviation implies an excess return of about 18% a year (my arithmetic). That is close to the 1-year return of 20.23%, so the statistics may cover the last year only (my inference).

10. History and structural changes

• Predecessor funds. None stated. The fund started at $20.00 NAV on November 16, 2020 (LBAY-PR, page 27). Mr. Winter previously managed the Otter Creek Long/Short Opportunity Fund "from its inception in 2013 through 2019" (LBAY-PR, page 21, "Portfolio Managers"). No document calls it a predecessor.
• Reorganizations and 351 conversions. None. Section 351 appears only in a rule letting the trust reject creation orders that would give a buyer 80% or more of shares (LBAY-SAI, page 41, "Federal Income Taxes").
• Trust name change. "Prior to June 2, 2025, the Trust was named Tidal ETF Trust" (LBAY-SAI, page 3).
• Diversification change. The fund "commenced operations as a non-diversified fund" and "effective November 16, 2023, is classified as diversified" (LBAY-SAI, page 17).
• Service provider change. "Until July 31, 2025, Global Fund Services also served as the Funds' sub-administrator" (LBAY-SAI, page 28).
• Sister fund. The prospectus and SAI also cover the Leatherback Long/Short Absolute Return ETF (LBAR), "not currently available for purchase" (LBAY-PR, page 1). Not used for this profile.
• Document dates. The prospectus and SAI are dated December 29, 2025. Their cost and turnover data run to the fiscal year ended August 31, 2025. The fiscal year ended August 31, 2026 closed before the fact sheet date of October 31, 2026, but no annual report for it was attached. No supplements were bound into either file.
• Conflicts between documents.
  • Exchange: "NYSE" (LBAY-FS, page 1) versus "NYSE Arca, Inc." (LBAY-PR, page 1; LBAY-SAI, page 3).
  • Expense ratio: 1.27% (LBAY-FS, page 1) versus 1.20% (LBAY-PR, page 9).
  • Diversification: "non-diversified" (LBAY-FS, page 3) versus diversified since November 16, 2023 (LBAY-SAI, page 17).
  • Fund age: the fact sheet says "The Fund is new with a limited operating history" (LBAY-FS, page 3), but its own data start in November 2020 (LBAY-FS, page 1).
  • Calendar returns for 2021 to 2023 differ slightly between the fact sheet (market price) and the prospectus bar chart (basis not stated). See section 9.

11. Principal risks

Summary list: LBAY-PR, pages 10 to 13, "Principal Risks of Investing in the Fund". Longer descriptions for both funds: LBAY-PR, pages 16 to 20, "Principal Risks of Investing in each Fund".

• Associated Risks of Short Selling (page 10; also page 16). Flag: shorting and leverage. "Short sales may involve substantial risk and leverage." Losses "may be unlimited."
• Market Capitalization Risk: large, mid and small cap (page 10; also page 18).
• Sector Risk, including Financial Services Sector Risk (pages 10 and 11; also page 19).
• Equity Market Risk (page 11).
• General Market Risk (page 11).
• Management Risk (page 11).
• Options Risk (page 11; also pages 18 and 19). Flag: derivatives. "Options enable the Fund to purchase exposure that is significantly greater than the premium paid."
• ETF Risk (pages 11 and 12): Authorized Participants, Market Makers, and Liquidity Providers Concentration Risk; Cash Redemption Risk (flag: shorting, since short positions may not be redeemable in kind); Costs of Buying or Selling Shares; Shares May Trade at Prices Other Than NAV; Trading.
• Fixed Income Risk (page 12).
• Convertible Securities Risk (page 12). Flag: counterparties. Synthetic convertibles "are also subject to counterparty risk."
• Preferred Securities Risk (page 12).
• Depositary Receipt Risk (page 12).
• REIT Risk (page 12).
• YieldCo Risk (pages 12 and 13).
• BDC Risk (page 13).
• Closed-End Fund Risk (page 13).
• MLP Risk and MLP Tax Risk (page 13).
• Other Investment Companies Risk (page 13).
• Recent Market Events Risk (page 13).

No principal risk is named for leverage on its own, the prime broker, counterparty default or borrow recalls (a lender demanding its stock back). The fact sheet adds that "The potential loss from a derivative may be greater than the amount invested due to counter-party default" (LBAY-FS, page 3, "Important Information").

12. Relevance to our fund

• How close is its structure and leverage? Not close (my inference). LBAY shares our platform (Tidal), wrapper (40 Act ETF, series of Tidal Trust I), custodian (U.S. Bank) and short method (direct). But it is a net-long income fund at 125.62/35.66, or 1.61x gross and about 90% net. Our fund is 150/150, 3.0x gross and about 0% net. LBAY holds 57 positions; we plan at least 150.
• What does it show about 3.0x gross in a 40 Act ETF? (my inference)
  • Little directly. At 1.61x gross, LBAY stays well under the Reg T cap of about 2.0x in fund_context.md.
  • It does show a Tidal fund running longs above 100% (125.62%) with no stated bank borrowing. The extra longs are most likely funded through the prime broker, by short sale cash or a debit balance. Tidal could confirm how this is set up. The same route at larger size is what our fund needs.
  • It uses no swaps, futures, box spreads or bank borrowing, so it gives no precedent for those routes.
• What does it show about financing, collateral, custody and costs? (my inference)
  • Custody: U.S. Bank holds the fund's assets, while short sale proceeds and pledged liquid assets sit with an unnamed broker. This fits Tidal's statement that shorts are "custodied away" from the main custodian.
  • Securities lending through U.S. Bank: the fund lends stock and earns very little net ($2,822 in FY2025, after $111,074 of rebates). For a 150/150 fund, lending longs that are also needed as short collateral would need care.
  • Costs: LBAY reports short dividends and short interest in one line (0.22% in FY2025, 0.20% to 0.33% over five years). That is visible in the expense ratio, unlike swap funds. But it can't be split into a true financing cost and a dividend pass-through. At 35.66% short, most of that line is probably short dividends rather than financing (my inference).
  • Using the formulas in fund_context.md, LBAY's cost above the base rate would be about $36 × c + $36 × b per $100, plus $26 × d if the extra longs use a broker debit (my arithmetic, using October 31, 2026 exposures). Our 150/150 fund would carry $150 × c + $50 × d + $150 × b.
  • Economics: like other Tidal funds, the sub-adviser pays fund expenses from the unitary fee and keeps the profit. Short costs sit outside the fee.

13. Gaps and open questions

What the documents don't answer, for a 150/150 fund:

• The prime broker's name and the margin type (Reg T or portfolio margin).
• How the 125.62% long side is financed: short sale proceeds, a margin debit, or something else.
• Where the longs bought above 100% are held: at U.S. Bank or at the broker. Whether long stocks are pledged as short collateral.
• How the 0.22% short line splits between dividends, borrow fees and interest.
• FY2026 costs, turnover and exposure. The annual report for the year ended August 31, 2026 was not attached.
• Which Rule 18f-4 VaR test the fund uses, the reference portfolio, and who the derivatives risk manager is.
• Whether the fact sheet's long and short figures include option deltas.
• The basis of the beta (-0.26), correlation and standard deviation: period, frequency, NAV or market price.

Questions to ask:

• To Tidal: Which broker lends LBAY's shorts? Is it a prime brokerage account under Rule 17f-1, or a tri-party control agreement with U.S. Bank?
• To Tidal: How are LBAY's longs above 100% financed and where are they held? Would the same setup scale to 150/150?
• To Tidal: Is LBAY's margin account Reg T or portfolio margin?
• To Tidal or the fund: Does LBAY lend stocks it has pledged as short collateral? How does U.S. Bank's lending program work alongside a prime broker?
• To the fund: What did the 0.22% (FY2025) cover, split by short dividends, borrow fees and margin interest? What were the FY2026 figures?
• To the fund: Which expense ratio is current, 1.20% (prospectus) or 1.27% (fact sheet)? Which exchange is the primary listing, NYSE or NYSE Arca?
• To the fund: Over what period is the -0.26 beta measured, and why is it negative with about 90% net long exposure?
• To the fund: Is the 22.39% shown for both 2021 and 2022 in the prospectus bar chart correct?
• To Tidal: Which VaR test and reference index did the board approve for LBAY under Rule 18f-4?

Search terms tried for fields left "Not stated":

• Prime broker and margin type: prime broker, borrow, margin, Regulation T, Reg T, portfolio margin, counterpart, pledge, segregat, earmark, collateral.
• Leverage cost: short sale, sold short, borrow, line of credit, swap, futures, box spread, reverse repurchase, leverag, asset coverage.
• VaR test: value-at-risk, value at risk, VaR, 18f-4, derivatives risk manager, limited derivatives user.
• Commodity pool: Rule 4.5, commodity pool, futures.
• Morningstar and risk data: Morningstar, beta.
• Predecessor and changes: predecessor, reorganiz, 351, formerly, prior to, supplement.

14. Documents used

Page numbering.

• LBAY-FS: no printed page numbers. PDF pages 1 to 3 are used.
• LBAY-PR: PDF page 1 is the cover and PDF page 2 the contents, both unnumbered. From PDF page 3 on, PDF page = printed page + 2. LBAY's own summary is PDF pages 9 to 15 (printed 7 to 13). PDF pages 3 to 8 are the LBAR summary.
• LBAY-SAI: PDF page 1 is the cover and PDF page 2 the contents, both unnumbered. From PDF page 3 on, PDF page = printed page + 2. The SAI covers both funds; only shared or LBAY passages were used.
• The fact sheet PDF's internal creation date is August 3, 2026, earlier than its printed as-of date. Only the printed date is used.

15. Snapshot sources

• Ticker: LBAY-FS, page 1, "Trading Details" (label "TICKER", value LBAY).
• Fund name: LBAY-FS, page 1, "Fund Description" ("Leatherback Long/Short Alternative Yield ETF (LBAY)"). The page header reads "THE LONG/SHORT ALTERNATIVE YIELD ETF".
• As of date: "As of October 31, 2026" (LBAY-FS, page 1, header).
• Adviser: LBAY-PR, page 14, "Management" ("Tidal Investments LLC, a Tidal Financial Group company, serves as investment adviser to the Fund"). The fact sheet names only Leatherback Asset Management as sponsor (LBAY-FS, page 2, "About the Firm").
• Platform: Tidal is the adviser, and the fund is "a series of Tidal Trust I" (LBAY-SAI, page 1, cover).
• Exchange: "listed on NYSE Arca, Inc." (LBAY-PR, page 1, cover; LBAY-SAI, page 1, cover). Conflict: the fact sheet lists "PRIMARY EXCHANGE" as NYSE (LBAY-FS, page 1, "Trading Details").
• Inception: "INCEPTION" 16-Nov-20 (LBAY-FS, page 1, "Fund Details"); "Inception date of the Fund was November 16, 2020" (LBAY-PR, page 27, footnote (a)).
• Net assets: "FUND AUM" 17,793,100 (LBAY-FS, page 1, "Fund Details"), as of October 31, 2026. Converted to $17.79 million (my arithmetic).
• Strategy type: (my inference) from "net exposure of 75% - 110% long" with long and short stock positions (LBAY-PR, page 9, "Principal Investment Strategies"). It has no neutrality target.
• Long %: "LONG" 125.62% (LBAY-FS, page 2, "Exposure"), October 31, 2026.
• Short %: "SHORT" -35.66% (LBAY-FS, page 2, "Exposure"), October 31, 2026.
• Gross: "GROSS" 161.28% (LBAY-FS, page 2, "Exposure"), shown as a multiple, 1.61x (my arithmetic).
• Above 2.0x: based on gross of 161.28% (LBAY-FS, page 2).
• Net: "NET" 89.96% (LBAY-FS, page 2, "Exposure").
• Short method: "the Fund arranges through a broker to borrow the security it does not own" (LBAY-PR, page 10, "Principal Investment Strategies").
• Prime broker or counterparty: the documents say only "a broker" (LBAY-PR, page 10). No firm is named.
• Custodian: LBAY-SAI, page 28, "Custodian"; LBAY-PR, page 28, back cover.
• Management fee: LBAY-PR, page 9, "Fees and Expenses of the Fund" ("Management Fee", 0.95%). Unitary (LBAY-PR, page 20, "Investment Adviser").
• Total expense ratio: "Total Annual Fund Operating Expenses" of 1.20%, with no waiver line (LBAY-PR, page 9), based on the fiscal year ended August 31, 2025 (LBAY-PR, page 27). Conflict: "EXPENSE RATIO" 1.27% (LBAY-FS, page 1, "Trading Details"), basis not stated.
• Short costs in expense ratio: "Dividends and Interest Expense on Short Positions" is a line in the fee table, at 0.22% (LBAY-PR, page 9).
• 3-month return: 4.97% at NAV, 3 months to October 31, 2026 (LBAY-FS, page 1, "Performance", cumulative).
• 1-year return: 20.23% at NAV, 1 year to October 31, 2026 (LBAY-FS, page 1, "Performance", annualized).
• Beta: "BETA" -0.26 (LBAY-FS, page 1, "Key Statistics"), as of October 31, 2026.
• Beta benchmark: "Market Index: S&P 500 Index" (LBAY-FS, page 1, "Key Statistics").
• Beta period: the fact sheet gives no period for its statistics (LBAY-FS, page 1, "Key Statistics").
• Leverage Method: "the Fund arranges through a broker to borrow the security it does not own" and "the broker effecting the short sale typically holds the proceeds as part of the collateral" (LBAY-PR, page 10). No document says Reg T, Regulation T or portfolio margin. Covered call writing (LBAY-PR, page 10; LBAY-FS, page 1) is an income overlay and is not counted as a leverage method (my inference). Bought puts are permitted only (LBAY-PR, page 10).
• Leverage cost: "Ratio of dividend and interest expense on securities sold short to average net assets" 0.22% for the year ended August 31, 2025 (LBAY-PR, page 27, "Financial Highlights"; also LBAY-PR, page 9, fee table). Dividends are not split from interest.
• Short dividend expense: combined with interest in the same 0.22% line (LBAY-PR, pages 9 and 27).
• Ranking properties (Rank to Score): from the ranking of the 27 LS peers prepared November 11, 2026, using only the project's fund profiles. Each of the seven criteria scores Yes = 1, Partly = 0.5, No or Not stated = 0. Funds sort first by Portfolio margin (YES, LIKELY, POSSIBLE, UNLIKELY, NO), then by Score, then Tidal funds first, then higher gross exposure (my inference).
• Rank: 2 of 27, as of November 11, 2026.
• Long/short: long and short stock positions with net exposure of 75% to 110% long (LBAY-PR, page 9); 34 long and 23 short positions on October 31, 2026 (LBAY-FS, page 1).
• Portfolio margin: POSSIBLE. The fund shorts directly through "a broker" (LBAY-PR, page 10), and no document says Reg T or portfolio margin.
• Cross-collateral: Partly. "A Fund will be required to pledge its liquid assets to the broker to secure its performance on short sales" (LBAY-SAI, page 12). Whether long stocks are pledged is not stated.
• Outside Reg T: Not stated.
• Short costs (includes dividends): Partly. 0.22% for the fiscal year ended August 31, 2025, combining dividends and interest on short positions (LBAY-PR, page 27).
• Over 2.0x: No. 1.61x on October 31, 2026 (LBAY-FS, page 2).
• Tidal: Tidal Investments LLC is the adviser, and the fund is a series of Tidal Trust I (LBAY-SAI, page 1, cover).
• Score: 3 (my arithmetic).

16. Fund Documents

Fact Sheet

Prospectus

SAI