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 811-22135
Innovator ETFs Trust
(Exact name of registrant as specified in charter)
109 North Hale Street
Wheaton, IL 60187
(Address of principal executive offices) (Zip code)
Chapman and Cutler LLP
111 West Monroe Street
Chicago, IL 60603
(Name and address of agent for service)
800-208-5212
Registrant's telephone number, including area code
Date of fiscal year end: October 31, 2020
Date of reporting period: October 31, 2020
Item 1. Reports to Stockholders.
TABLE OF CONTENTS
Letter to Shareholders | 3 |
Fund Performance | 7 |
Expense Example | 41 |
Schedules of Investments and Options Written | 43 |
Statements of Assets and Liabilities | 77 |
Statements of Operations | 89 |
Statements of Changes in Net Assets | 101 |
Financial Highlights | 113 |
Notes to Financial Statements | 125 |
Report of Independent Registered Accounting Firm | 146 |
Trustees and Officers | 149 |
Board Considerations Regarding Approval of Investment Management Agreement | 151 |
Additional Information | 157 |
Letter to Shareholders (Unaudited)
Dear Valued Shareholders,
The following shareholder letter covers the year or period ended October 31, 2020.
First, and most importantly, we want to thank those first responders and health care workers who have responded so tremendously to one of the greatest health crisis of our lifetimes. Our thoughts and prayers are with the communities and individuals most deeply affected by the COVID-19 Crisis.
Innovator Capital Management was established on an unwavering commitment to building products that seek to deliver confidence to investors, even in the face of uncertainty. The COVID-19 Crisis has served as a true test of Innovator’s products in the marketplace, and I’m happy to report that even through these most unprecedented times, Innovator ETFs have performed as expected. In fact, through the recent market correction, our Defined Outcome line of ETFs were some of the best performing products in the marketplace.
Innovator’s people, processes and investment products have been essential to stabilizing and growing the US economy, and the financial health and well-being of Innovator ETF investors. We appreciate the trust and support you have put in our firm, and thank you for the opportunity to serve you for many years to come.
Innovator’s Russell 2000, MSCI EAFE, MSCI Emerging Markets, and Nasdaq-100 Defined Outcome ETFs all provide defined exposures to key benchmark equity indexes that we believe add diversification to a client’s investment portfolio. Our July series of the MSCI EAFE and MSCI EM Power Buffer ETFs and October series of the Russell 2000 and Nasdaq-100 Power Buffer ETFs completed their first outcome periods and rebalanced. As we had anticipated, the ETFs performed exactly as we had expected, allowing investors to participate in market growth, but with significantly less volatility and lower drawdowns.
Our expansion of the Defined Outcome Family, to include the Innovator 20+ Treasury Bond 9 Buffer ETF and the Innovator 20+ Treasury Bond 5 Floor ETF, allows clients to tap a less correlated asset class, long term treasuries, and add this to their portfolios, while buffering or capping the maximum loss experienced by investors. We launched our “TLTs” in July and remain confident that they will be an important component of our lineup for years to come.
Letter to Shareholders (Unaudited) (Continued)
In October, we grew the Defined Outcome Family further to include “Stackers.” We believe this to be a game-changer in the defined outcome space because it allows us to provide investors the upside exposure to SPY, QQQ, and IWM (in the triple stacker only), but only the downside exposure of SPY. In our view, clients get the best of the US equity markets, without needing to take on additional risk to the downside.
We believe, more than ever, that our one-year entire Defined Outcome Family has a clear role in clients’ portfolios and we look forward to seeing them grow.
Again, our thoughts and prayers go out to the communities and individuals who have been affected by the current global health and economic crisis. Thank you again for the trust and support you have put in us, and we wish you a happy and healthy holiday season.
Sincerely,
Bruce Bond
Chief Executive Officer
The views in this report were those of the Fund’s CEO as of October 31, 2020 and may not reflect his views on the date that this report is first published or anytime thereafter. These views are intended to assist shareholders in understanding their investments and do not constitute investment advice.
The funds seek to generate returns that match the returns of its benchmark Index, up to the Cap on potential upside returns, while limiting downside losses, over the course of a 1-year period. There is no guarantee the fund will achieve its investment objective. The Funds have characteristics unlike many other traditional investment products and may not be suitable for all investors. For more information regarding whether an investment in the Fund is right for you, please see “Investor Suitability” in the prospectus.
Letter to Shareholders (Unaudited) (Continued)
Investing involves risks. Loss of principal is possible. The Funds face numerous market trading risks, including active markets risk, authorized participation concentration risk, buffered loss risk, cap change risk, capped upside return risk, correlation risk, liquidity risk, management risk, market maker risk, market risk, non-diversification risk, operation risk, options risk, trading issues risk, upside participation risk and valuation risk. For a detail list of fund risks see the prospectus.
Foreign and Emerging Markets Risk Non-U.S. securities and Emerging Markets are subject to higher volatility than securities of domestic issuers due to possible adverse political, social or economic developments, restrictions on foreign investment or exchange of securities, lack of liquidity, currency exchange rates, excessive taxation, government seizure of assets, different legal or accounting standards, and less government supervision and regulation of securities exchanges in foreign countries.
Technology Sector Risk Companies in the technology sector are often smaller and can be characterized by relatively higher volatility in price performance when compared to other economic sectors. They can face intense competition which may have an adverse effect on profit margins.
Small Cap Risk Small cap companies may be more volatile and susceptible to adverse developments than their mid and large cap counterpart. In addition, the small cap companies may be less liquid than larger companies.
FLEX Options Risk The Funds will utilize FLEX Options issued and guaranteed for settlement by the Options Clearing Corporation OCC. In the unlikely event that the OCC becomes insolvent or is otherwise unable to meet its settlement obligations, the Funds could suffer significant losses. Additionally, FLEX Options may be less liquid than standard options. In a less liquid market for the FLEX Options, the Funds may have difficulty closing out certain FLEX Options positions at desired times and prices.
These Funds are designed to provide point-to-point exposure to the price return of the respective MSCI EAFE, MSCI Emerging Markets, Russell 2000 and Nasdaq–100 index (or in the case of the treasury ETFs and the Stacker ETFs, the price return of the underlying referenced ETFs, respectively) via a basket of Flex Options. As a result, the ETFs are not expected to move directly in line with the respective index or underlying referenced ETF during the interim period.
Letter to Shareholders (Unaudited) (Continued)
Fund shareholders are subject to an upside return cap (the “Cap”) that represents the maximum percentage return an investor can achieve from an investment in the Funds’ for an outcome period (the “Outcome Period”), before fees and expenses. If an Outcome Period has begun and the Fund has increased in value to a level near to its Cap, an investor purchasing at that price has little or no ability to achieve gains but remains vulnerable to downside risks. Additionally, the Cap may rise or fall from one Outcome Period to the next. The Cap, and the Fund’s position relative to it, should be considered before investing in the Fund. The Funds’ website, www.innovatoretfs.com, provides important Fund information as well information relating to the potential outcomes of an investment in a Fund on a daily basis.
Certain of the Funds seek to provide a buffer or floor level against Index losses during the Outcome Period; however, the Funds only seek to provide that respective level of buffer or floor level for those shareholders that hold shares for the entire Outcome Period. Depending upon market conditions at the time of purchase, a shareholder that purchases shares after the Outcome Period has begun may also lose their entire investment. For instance, if the Outcome Period has begun and the Fund has decreased in value beyond any pre-determined buffer or floor, an investor purchasing shares at that price may not benefit from the buffer or floor, as applicable. Similarly, if the Outcome Period has begun and the Fund has increased in value, an investor purchasing shares at that price may not benefit from the buffer or floor until the Fund’s value has decreased to its value at the commencement of the Outcome Period.
This material must be preceded by or accompanied with a prospectus. The Funds' investment objectives, risks, charges and expenses should be considered carefully before investing. The prospectus contains this and other important information, and it may be obtained at innovatoretfs.com. Read it carefully before investing.
Innovator ETFs are distributed by Foreside Fund Services, LLC.
INNOVATOR MSCI EAFE POWER BUFFER ETF - JANUARY
Fund Performance |
October 31, 2020 (Unaudited) |
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The following chart compares the value of a hypothetical $10,000 investment in the Innovator MSCI EAFE Power Buffer ETF - January from its inception (December 31, 2019) to October 31, 2020 as compared with the MSCI EAFE Index - Price Return and Total Return. |
Total Returns as of | ||||
Since Inception (a) | ||||
Innovator MSCI EAFE Power Buffer ETF - January | ||||
NAV Return | -2.52 | % | ||
Market Return | -3.26 | % | ||
MSCI EAFE Index - Price Return | -12.61 | % | ||
MSCI EAFE Index - Total Return | -10.80 | % |
(a) Inception date is December 31, 2019. |
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Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.85%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com. |
INNOVATOR MSCI EAFE POWER BUFFER ETF - JANUARY
Fund Performance |
October 31, 2020 (Unaudited) (Continued) |
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The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and MSCI EAFE Index - Total Return include the reinvestment of all dividends, if any. Returns shown for the MSCI EAFE Index - Price Return do not include the reinvestment of dividends, if any. |
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The MSCI EAFE Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, excluding the United States and Canada. |
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The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange-traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses. |
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You cannot invest directly in an index. |
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Premium/Discount Information: |
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Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/IJAN. |
INNOVATOR MSCI EAFE POWER BUFFER ETF - JULY
Fund Performance
October 31, 2020 (Unaudited)
The following chart compares the value of a hypothetical $10,000 investment in the Innovator MSCI EAFE Power Buffer ETF - July from its inception (June 28, 2019) to October 31, 2020 as compared with the MSCI EAFE Index – Price Return and Total Return.
Average Annual Total Returns as of October 31, 2020 | ||||||||
One Year | Since Inception (a) | |||||||
Innovator MSCI EAFE Power Buffer ETF - July | ||||||||
NAV Return | -2.04 | % | -0.28 | % | ||||
Market Return | -2.82 | % | -0.68 | % | ||||
MSCI EAFE Index - Price Return | -8.97 | % | -5.56 | % | ||||
MSCI EAFE Index - Total Return | -6.86 | % | -3.41 | % |
(a) Inception date is June 28, 2019.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.85%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
Fund Performance
October 31, 2020 (Unaudited) (Continued)
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and MSCI EAFE Index – Total Return include the reinvestment of all dividends, if any. Returns shown for the MSCI EAFE Index – Price Return do not include the reinvestment of dividends, if any.
The MSCI EAFE Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, excluding the United States and Canada.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange-traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/IJUL.
INNOVATOR MSCI EMERGING MARKETS POWER BUFFER ETF - JANUARY
Fund Performance |
October 31, 2020 (Unaudited) |
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The following chart compares the value of a hypothetical $10,000 investment in the Innovator MSCI Emerging Markets Power Buffer ETF - January from its inception (December 31, 2019) to October 31, 2020 as compared with the MSCI Emerging Markets Index - Price Return and Total Return. |
Total Returns as of October 31, 2020 | ||||
Since Inception (a) | ||||
Innovator MSCI Emerging Markets Power Buffer ETF - January | ||||
NAV Return | 1.71 | % | ||
Market Return | 1.53 | % | ||
MSCI Emerging Markets Index - Price Return | -1.00 | % | ||
MSCI Emerging Markets Index - Total Return | 0.87 | % |
(a) Inception date is December 31, 2019. |
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Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.89%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com. |
Fund Performance |
October 31, 2020 (Unaudited) (Continued) |
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The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and MSCI Emerging Markets Index - Total Return include the reinvestment of all dividends, if any. Returns shown for the MSCI Emerging Markets Index - Price Return do not include the reinvestment of dividends, if any. |
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The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. |
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The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange-traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses. |
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You cannot invest directly in an index. |
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Premium/Discount Information: |
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Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/EJAN. |
Fund Performance
October 31, 2020 (Unaudited)
The following chart compares the value of a hypothetical $10,000 investment in the Innovator MSCI Emerging Markets Power Buffer ETF - July from its inception (June 28, 2019) to October 31, 2020 as compared with the MSCI Emerging Markets Index – Price Return and Total Return.
Average Annual Total Returns as of October 31, 2020 | ||||||||
One Year | Since | |||||||
Innovator MSCI Emerging Markets Power Buffer ETF - July | ||||||||
NAV Return | 2.04 | % | 1.43 | % | ||||
Market Return | 1.35 | % | 1.06 | % | ||||
MSCI Emerging Markets Index - Price Return | 5.90 | % | 3.41 | % | ||||
MSCI Emerging Markets Index - Total Return | 8.25 | % | 5.92 | % |
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.89%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
Fund Performance
October 31, 2020 (Unaudited) (Continued)
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and MSCI Emerging Markets Index – Total Return include the reinvestment of all dividends, if any. Returns shown for the MSCI Emerging Markets Index – Price Return do not include the reinvestment of dividends, if any.
The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange-traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/EJUL.
INNOVATOR NASDAQ-100 POWER BUFFER ETF – JANUARY
Fund Performance |
October 31, 2020 (Unaudited) |
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The following chart compares the value of a hypothetical $10,000 investment in the Innovator Nasdaq-100 Power Buffer ETF - January from its inception (December 31, 2019) to October 31, 2020 as compared with the NASDAQ-100 Index - Price Return and Total Return. |
Total Returns as of October 31, 2020 | ||||
Since Inception (a) | ||||
Innovator Nasdaq-100 Power Buffer ETF - January | ||||
NAV Return | 7.16 | % | ||
Market Return | 6.96 | % | ||
NASDAQ-100 Index - Price Return | 26.56 | % | ||
NASDAQ-100 Index - Total Return | 27.49 | % |
(a) Inception date is December 31, 2019. |
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Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com. |
Fund Performance |
October 31, 2020 (Unaudited) (Continued) |
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The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and NASDAQ-100 Index - Total Return include the reinvestment of all dividends, if any. Returns shown for the NASDAQ-100 Index - Price Return do not include the reinvestment of dividends, if any. |
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The NASDAQ-100 Index includes 100 of the largest domestic and international non-financial companies listed on the Nasdaq Stock Market based on market capitalization. The NASDAQ-100 Price Index reflects companies across major industry groups including computer hardware and software, telecommunications, retail/wholesale trade and biotechnologies. It does not contain securities of financial companies including investment companies. |
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The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange-traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses. |
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You cannot invest directly in an index. |
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Premium/Discount Information: |
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Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/NJAN. |
Fund Performance | ||
October 31, 2020 (Unaudited) |
|
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The following chart compares the value of a hypothetical $10,000 investment in the Innovator Nasdaq-100 Power Buffer ETF - April from its inception (March 31, 2020) to October 31, 2020 as compared with the NASDAQ-100 Index - Price Return and Total Return.
Total Returns as of October 31, 2020 | ||||
Since Inception (a) | ||||
Innovator Nasdaq-100 Power Buffer ETF - April | ||||
NAV Return | 11.69 | % | ||
Market Return | 11.53 | % | ||
NASDAQ-100 Index - Price Return | 41.46 | % | ||
NASDAQ-100 Index - Total Return | 42.12 | % |
(a) Inception date is March 31, 2020. |
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Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com. |
Fund Performance |
October 31, 2020 (Unaudited) (Continued) |
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The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and NASDAQ-100 Index - Total Return include the reinvestment of all dividends, if any. Returns shown for the NASDAQ-100 Index - Price Return do not include the reinvestment of dividends, if any. |
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The NASDAQ-100 Index includes 100 of the largest domestic and international non-financial companies listed on the Nasdaq Stock Market based on market capitalization. The NASDAQ-100 Price Index reflects companies across major industry groups including computer hardware and software, telecommunications, retail/wholesale trade and biotechnologies. It does not contain securities of financial companies including investment companies. |
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The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange-traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses. |
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You cannot invest directly in an index. |
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Premium/Discount Information: |
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Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/NAPR. |
Fund Performance |
October 31, 2020 (Unaudited) |
The following chart compares the value of a hypothetical $10,000 investment in the Innovator Nasdaq-100 Power Buffer ETF - July from its inception (June 30, 2020) to October 31, 2020 as compared with the NASDAQ-100 Index - Price Return and Total Return.
Total Returns as of October 31, 2020 | ||||
Since Inception (a) | ||||
Innovator Nasdaq-100 Power Buffer ETF - July | ||||
NAV Return | 3.91 | % | ||
Market Return | 3.45 | % | ||
NASDAQ-100 Index - Price Return | 8.82 | % | ||
NASDAQ-100 Index - Total Return | 9.06 | % |
(a) Inception date is June 30, 2020.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
Fund Performance |
October 31, 2020 (Unaudited) (Continued) |
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and NASDAQ-100 Index - Total Return include the reinvestment of all dividends, if any. Returns shown for the NASDAQ-100 Index - Price Return do not include the reinvestment of dividends, if any.
The NASDAQ-100 Index includes 100 of the largest domestic and international non-financial companies listed on the Nasdaq Stock Market based on market capitalization. The NASDAQ-100 Price Index reflects companies across major industry groups including computer hardware and software, telecommunications, retail/wholesale trade and biotechnologies. It does not contain securities of financial companies including investment companies.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange-traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/NJUL.
Fund Performance |
October 31, 2020 (Unaudited) |
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The following chart compares the value of a hypothetical $10,000 investment in the Innovator Nasdaq-100 Power Buffer ETF - October from its inception (September 30, 2019) to October 31, 2020 as compared with the NASDAQ-100 Index - Price Return and Total Return. |
Average Annual Total Returns as of October 31, 2020 | ||||||||
One Year | Since | |||||||
Innovator Nasdaq-100 Power Buffer ETF – October | ||||||||
NAV Return | 6.92 | % | 8.53 | % | ||||
Market Return | 6.16 | % | 7.98 | % | ||||
NASDAQ-100 Index - Price Return | 36.73 | % | 38.72 | % | ||||
NASDAQ-100 Index - Total Return | 38.02 | % | 39.99 | % |
(a) Inception date is September 30, 2019. |
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Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com. |
Fund Performance |
October 31, 2020 (Unaudited) (Continued) |
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The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and NASDAQ-100 Index - Total Return include the reinvestment of all dividends, if any. Returns shown for the NASDAQ-100 Index - Price Return do not include the reinvestment of dividends, if any. |
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The NASDAQ-100 Index includes 100 of the largest domestic and international non-financial companies listed on the Nasdaq Stock Market based on market capitalization. The NASDAQ-100 Price Index reflects companies across major industry groups including computer hardware and software, telecommunications, retail/wholesale trade and biotechnologies. It does not contain securities of financial companies including investment companies. |
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The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange-traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses. |
|
You cannot invest directly in an index. |
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Premium/Discount Information: |
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Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/NOCT. |
INNOVATOR RUSSELL 2000 POWER BUFFER ETF – JANUARY
Fund Performance |
October 31, 2020 (Unaudited) |
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The following chart compares the value of a hypothetical $10,000 investment in the Innovator Russell 2000 Power Buffer ETF - January from its inception (December 31, 2019) to October 31, 2020 as compared with the Russell 2000 Index - Price Return and Total Return. |
Total Returns as of October 31, 2020 | ||||
Since Inception (a) | ||||
Innovator Russell 2000 Power Buffer ETF - January | ||||
NAV Return | -1.95 | % | ||
Market Return | -2.21 | % | ||
Russell 2000 Index - Price Return | -7.79 | % | ||
Russell 2000 Index - Total Return | -6.77 | % |
(a) Inception date is December 31, 2019. |
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Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com. |
Fund Performance |
October 31, 2020 (Unaudited) (Continued) |
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The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and Russell 2000 Index - Total Return include the reinvestment of all dividends, if any. Returns shown for the Russell 2000 Index - Price Return do not include the reinvestment of dividends, if any. |
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The Russell 2000 Index is a float-adjusted capitalization-weighted index of equity securities issued by the approximately 2,000 smallest issuers in the Russell 3000 Index. The Russell 2000 Price Index measures the performance of the small-capitalization sector of the U.S. equity market, as defined by FTSE Russell. The Russell 2000 Price Index is a subset of the Russell 3000 Index, which measures the performance of the broad U.S. equity market, as defined by FTSE Russell. |
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The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange-traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses. |
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You cannot invest directly in an index. |
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Premium/Discount Information: |
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Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/KJAN. |
Fund Performance | ||
October 31, 2020 (Unaudited) |
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The following chart compares the value of a hypothetical $10,000 investment in the Innovator Russell 2000 Power Buffer ETF - April from its inception (March 31, 2020) to October 31, 2020 as compared with the Russell 2000 Index - Price Return and Total Return.
Total Returns as of October 31, 2020 | ||||
Since Inception (a) | ||||
Innovator Russell 2000 Power Buffer ETF - April | ||||
NAV Return | 12.79 | % | ||
Market Return | 12.80 | % | ||
Russell 2000 Index - Price Return | 33.42 | % | ||
Russell 2000 Index - Total Return | 34.36 | % |
(a) Inception date is March 31, 2020.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
Fund Performance |
October 31, 2020 (Unaudited) (Continued) |
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The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and Russell 2000 Index - Total Return include the reinvestment of all dividends, if any. Returns shown for the Russell 2000 Index - Price Return do not include the reinvestment of dividends, if any. |
|
The Russell 2000 Index is a float-adjusted capitalization-weighted index of equity securities issued by the approximately 2,000 smallest issuers in the Russell 3000 Index. The Russell 2000 Price Index measures the performance of the small-capitalization sector of the U.S. equity market, as defined by FTSE Russell. The Russell 2000 Price Index is a subset of the Russell 3000 Index, which measures the performance of the broad U.S. equity market, as defined by FTSE Russell. |
|
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange-traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses. |
|
You cannot invest directly in an index. |
|
Premium/Discount Information: |
|
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/KAPR. |
Fund Performance | |
October 31, 2020 (Unaudited) |
|
The following chart compares the value of a hypothetical $10,000 investment in the Innovator Russell 2000 Power Buffer ETF - July from its inception (June 30, 2020) to October 31, 2020 as compared with the Russell 2000 Index - Price Return and Total Return.
Total Returns as of October 31, 2020 | ||||
Since Inception (a) | ||||
Innovator Russell 2000 Power Buffer ETF - July | ||||
NAV Return | 3.66 | % | ||
Market Return | 3.80 | % | ||
Russell 2000 Index - Price Return | 6.74 | % | ||
Russell 2000 Index - Total Return | 7.13 | % |
(a) Inception date is June 30, 2020.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
Fund Performance | |
October 31, 2020 (Unaudited) (Continued) |
|
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and Russell 2000 Index - Total Return include the reinvestment of all dividends, if any. Returns shown for the Russell 2000 Index - Price Return do not include the reinvestment of dividends, if any.
The Russell 2000 Index is a float-adjusted capitalization-weighted index of equity securities issued by the approximately 2,000 smallest issuers in the Russell 3000 Index. The Russell 2000 Price Index measures the performance of the small-capitalization sector of the U.S. equity market, as defined by FTSE Russell. The Russell 2000 Price Index is a subset of the Russell 3000 Index, which measures the performance of the broad U.S. equity market, as defined by FTSE Russell.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange-traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/KJUL.
Fund Performance |
October 31, 2020 (Unaudited) |
|
The following chart compares the value of a hypothetical $10,000 investment in the Innovator Russell 2000 Power Buffer ETF - October from its inception (September 30, 2019) to October 31, 2020 as compared with the Russell 2000 Index - Price Return and Total Return. |
Average Annual Total Returns as of October 31, 2020 | ||||||||
One Year | Since Inception (a) | |||||||
Innovator Russell 2000 Power Buffer ETF - October | ||||||||
NAV Return | -1.73 | % | -0.38 | % | ||||
Market Return | -1.91 | % | -0.20 | % | ||||
Russell 2000 Index - Price Return | -1.53 | % | 0.91 | % | ||||
Russell 2000 Index - Total Return | -0.14 | % | 2.30 | % |
(a) Inception date is September 30, 2019. |
|
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com. |
Fund Performance |
October 31, 2020 (Unaudited) (Continued) |
|
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and Russell 2000 Index - Total Return include the reinvestment of all dividends, if any. Returns shown for the Russell 2000 Index - Price Return do not include the reinvestment of dividends, if any. |
|
The Russell 2000 Index is a float-adjusted capitalization-weighted index of equity securities issued by the approximately 2,000 smallest issuers in the Russell 3000 Index. The Russell 2000 Price Index measures the performance of the small-capitalization sector of the U.S. equity market, as defined by FTSE Russell. The Russell 2000 Price Index is a subset of the Russell 3000 Index, which measures the performance of the broad U.S. equity market, as defined by FTSE Russell. |
|
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange-traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses. |
|
You cannot invest directly in an index. |
|
Premium/Discount Information: |
|
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/KOCT. |
INNOVATOR 20+ YEAR TREASURY BOND 5 FLOOR ETF – JULY
Fund Performance | |
October 31, 2020 (Unaudited) |
|
The following chart compares the value of a hypothetical $10,000 investment in the Innovator 20+ Year Treasury Bond 5 Floor ETF - July from its inception (August 17, 2020) to October 31, 2020 as compared with the ICE U.S. Treasury 20+ Year Index - Total Return.
Total Returns as of October 31, 2020 | ||||
Since Inception (a) | ||||
Innovator 20+ Year Treasury Bond 5 Floor ETF - July | ||||
NAV Return | -1.79 | % | ||
Market Return | -1.69 | % | ||
ICE U.S. Treasury 20+ Year Index - Total Return | -3.13 | % |
(a) Inception date is August 17, 2020.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
Fund Performance | |
October 31, 2020 (Unaudited) (Continued) |
|
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and ICE U.S. Treasury 20+ Year Index - Total Return include the reinvestment of all dividends, if any.
The ICE U.S. Treasury 20+ Year Bond Index is market value weighted and is designed to include U.S. dollar denominated, fixed rate U.S. Treasury market securities with minimum term to maturity greater than or equal to twenty years.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange-traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/TFJL.
INNOVATOR 20+ YEAR TREASURY BOND 9 BUFFER ETF – JULY
Fund Performance |
October 31, 2020 (Unaudited) |
The following chart compares the value of a hypothetical $10,000 investment in the Innovator 20+ Year Treasury Bond 9 Buffer ETF - July from its inception (August 17, 2020) to October 31, 2020 as compared with the ICE U.S. Treasury 20+ Year Index - Total Return.
Total Returns as of October 31, 2020 | ||||
Since Inception (a) | ||||
Innovator 20+ Year Treasury Bond 9 Buffer ETF - July | ||||
NAV Return | -2.19 | % | ||
Market Return | -2.04 | % | ||
ICE U.S. Treasury 20+ Year Index - Total Return | -3.13 | % |
(a) Inception date is August 17, 2020.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
Fund Performance |
October 31, 2020 (Unaudited) (Continued) |
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and ICE U.S. Treasury 20+ Year Index - Total Return include the reinvestment of all dividends, if any.
The ICE U.S. Treasury 20+ Year Bond Index is market value weighted and is designed to include U.S. dollar denominated, fixed rate U.S. Treasury market securities with minimum term to maturity greater than or equal to twenty years.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange-traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/TBJL.
INNOVATOR DOUBLE STACKER ETF – OCTOBER
Fund Performance | |
October 31, 2020 (Unaudited) |
|
Total Returns as of October 31, 2020 | ||||
Since Inception (a) | ||||
Innovator Double Stacker ETF - October | ||||
NAV Return | -2.46 | % | ||
Market Return | -2.54 | % | ||
S&P 500® Index - Price Return | -2.77 | % | ||
S&P 500® Index - Total Return | -2.66 | % | ||
NASDAQ-100 Index - Total Return | -3.16 | % |
(a) Inception date is September 30, 2020.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
Fund Performance | |
October 31, 2020 (Unaudited) (Continued) |
|
The performance table does not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund, S&P 500® Index - Total Return and NASDAQ-100 Index - Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index - Price Return do not include the reinvestment of dividends, if any.
The S&P 500® Index is an unmanaged, capitalization-weighted index generally representative of the U.S. market for large capitalization stocks.
The NASDAQ-100 Index includes 100 of the largest domestic and international non-financial companies listed on the Nasdaq Stock Market based on market capitalization. The NASDAQ-100 Price Index reflects companies across major industry groups including computer hardware and software, telecommunications, retail/wholesale trade and biotechnologies. It does not contain securities of financial companies including investment companies.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange-traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/DSOC.
Fund Performance | |
October 31, 2020 (Unaudited) |
|
Total Returns as of October 31, 2020 | ||||
Since Inception (a) | ||||
Innovator Triple Stacker ETF - October | ||||
NAV Return | -1.80 | % | ||
Market Return | -1.85 | % | ||
S&P 500® Index - Price Return | -2.77 | % | ||
S&P 500® Index - Total Return | -2.66 | % | ||
NASDAQ-100 Index - Total Return | -3.16 | % | ||
Russell 2000 Index - Total Return | 2.09 | % |
(a) Inception date is September 30, 2020.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
Fund Performance | |
October 31, 2020 (Unaudited) (Continued) |
|
The performance table does not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund, S&P 500® Index - Total Return, NASDAQ-100 Index - Total Return and Russell 2000 Index - Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index - Price Return do not include the reinvestment of dividends, if any.
The S&P 500® Index is an unmanaged, capitalization-weighted index generally representative of the U.S. market for large capitalization stocks.
The NASDAQ-100 Index includes 100 of the largest domestic and international non-financial companies listed on the Nasdaq Stock Market based on market capitalization. The NASDAQ-100 Price Index reflects companies across major industry groups including computer hardware and software, telecommunications, retail/wholesale trade and biotechnologies. It does not contain securities of financial companies including investment companies.
The Russell 2000 Index is a float-adjusted capitalization-weighted index of equity securities issued by the approximately 2,000 smallest issuers in the Russell 3000 Index. The Russell 2000 Price Index measures the performance of the small-capitalization sector of the U.S. equity market, as defined by FTSE Russell. The Russell 2000 Price Index is a subset of the Russell 3000 Index, which measures the performance of the broad U.S. equity market, as defined by FTSE Russell.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange-traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/TSOC.
INNOVATOR DOUBLE STACKER 9 ETF – OCTOBER
Fund Performance |
October 31, 2020 (Unaudited) |
Total Returns as of October 31, 2020 | ||||
Since Inception (a) | ||||
Innovator Double Stacker 9 Buffer ETF - October | ||||
NAV Return | -1.95 | % | ||
Market Return | -1.74 | % | ||
S&P 500® Index - Price Return | -2.77 | % | ||
S&P 500® Index - Total Return | -2.66 | % | ||
NASDAQ-100 Index - Total Return | -3.16 | % |
(a) Inception date is September 30, 2020.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
Fund Performance |
October 31, 2020 (Unaudited) (Continued) |
The performance table does not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund, S&P 500® Index - Total Return and NASDAQ-100 Index - Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index - Price Return do not include the reinvestment of dividends, if any.
The S&P 500® Index is an unmanaged, capitalization-weighted index generally representative of the U.S. market for large capitalization stocks.
The NASDAQ-100 Index includes 100 of the largest domestic and international non-financial companies listed on the Nasdaq Stock Market based on market capitalization. The NASDAQ-100 Price Index reflects companies across major industry groups including computer hardware and software, telecommunications, retail/wholesale trade and biotechnologies. It does not contain securities of financial companies including investment companies.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange-traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/DBOC.
INNOVATOR ETFs TRUST
Expense Example
For the Period Ended October 31, 2020 (Unaudited)
As a shareholder of the Funds, you incur two types of costs: (1) ongoing costs, including management fees, and other Fund expenses; and (2) transaction costs, including brokerage commissions on the purchase and sale of Fund shares. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds.
The Example is based on an investment of $1,000 invested at the beginning of the respective period and held for the entire respective period to October 31, 2020 for each Fund.
Actual Expenses
The following table provides information about actual account values and actual expenses. You may use the information in this table, together with the amount you invested, to estimate the expenses you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 equals 8.6), then multiply the result by the number in the applicable line under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during the period.
Expenses Paid | Annualized Expense | ||||||||||||||||
Beginning | Ending | During | Ratio | ||||||||||||||
Account Value | Account Value | the Period | for the Period | ||||||||||||||
Innovator MSCI EAFE Power Buffer ETF - January (NAV) | $ | 1,000.00 | $ | 1,066.40 | $ | 4.42 | (a) | 0.85 | % | ||||||||
Innovator MSCI EAFE Power Buffer ETF - July (NAV) | 1,000.00 | 1,036.40 | 4.35 | (a) | 0.85 | % | |||||||||||
Innovator MSCI Emerging Markets Power Buffer ETF - January (NAV) | 1,000.00 | 1,117.90 | 4.74 | (a) | 0.89 | % | |||||||||||
Innovator MSCI Emerging Markets Power Buffer ETF - July (NAV) | 1,000.00 | 1,072.20 | 4.64 | (a) | 0.89 | % | |||||||||||
Innovator Nasdaq-100 Power Buffer ETF - January (NAV) | 1,000.00 | 1,068.40 | 4.11 | (a) | 0.79 | % | |||||||||||
Innovator Nasdaq-100 Power Buffer ETF - April (NAV) | 1,000.00 | 1,061.70 | 4.09 | (a) | 0.79 | % | |||||||||||
Innovator Nasdaq-100 Power Buffer ETF - July (NAV) | 1,000.00 | 1,039.10 | 2.71 | (b) | 0.79 | % | |||||||||||
Innovator Nasdaq-100 Power Buffer ETF - October (NAV) | 1,000.00 | 1,032.90 | 4.04 | (a) | 0.79 | % | |||||||||||
Innovator Russell 2000 Power Buffer ETF - January (NAV) | 1,000.00 | 1,108.70 | 4.19 | (a) | 0.79 | % | |||||||||||
Innovator Russell 2000 Power Buffer ETF - April (NAV) | 1,000.00 | 1,069.00 | 4.11 | (a) | 0.79 | % | |||||||||||
Innovator Russell 2000 Power Buffer ETF - July (NAV) | 1,000.00 | 1,036.60 | 2.70 | (b) | 0.79 | % | |||||||||||
Innovator Russell 2000 Power Buffer ETF - October (NAV) | 1,000.00 | 1,064.70 | 4.10 | (a) | 0.79 | % | |||||||||||
Innovator 20+ Year Treasury Bond 5 Floor ETF - July (NAV) | 1,000.00 | 982.10 | 1.60 | (c) | 0.79 | % | |||||||||||
Innovator 20+ Year Treasury Bond 9 Buffer ETF - July (NAV) | 1,000.00 | 978.10 | 1.60 | (c) | 0.79 | % | |||||||||||
Innovator Double Stacker ETF - October (NAV) | 1,000.00 | 975.40 | 0.66 | (d) | 0.79 | % | |||||||||||
Innovator Triple Stacker ETF - October (NAV) | 1,000.00 | 982.00 | 0.66 | (d) | 0.79 | % | |||||||||||
Innovator Double Stacker 9 Buffer ETF - October (NAV) | 1,000.00 | 980.50 | 0.66 | (d) | 0.79 | % |
(a) | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the six month period). |
(b) | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 123/366 (to reflect the period since the Fund's inception). |
(c) | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 75/366 (to reflect the period since the Fund's inception). |
(d) | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 31/366 (to reflect the period since the Fund's inception). |
Expense Example
For the Period Ended October 31, 2020 (Unaudited) (Continued)
Hypothetical Example for Comparison Purposes
The following table provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which are not the Funds’ actual returns. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions on the purchase and sale of Fund shares with respect to the Funds. Therefore, the table below is useful in comparing the ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs could have been higher.
Expenses Paid | Annualized Expense | ||||||||||||||||
Beginning | Ending | During | Ratio | ||||||||||||||
Account Value | Account Value | the Period (a) | for the Period | ||||||||||||||
Innovator MSCI EAFE Power Buffer ETF - January (NAV) | $ | 1,000.00 | $ | 1,020.86 | $ | 4.32 | 0.85 | % | |||||||||
Innovator MSCI EAFE Power Buffer ETF - July (NAV) | 1,000.00 | 1,020.86 | 4.32 | 0.85 | % | ||||||||||||
Innovator MSCI Emerging Markets Power Buffer ETF - January (NAV) | 1,000.00 | 1,020.66 | 4.52 | 0.89 | % | ||||||||||||
Innovator MSCI Emerging Markets Power Buffer ETF - July (NAV) | 1,000.00 | 1,020.66 | 4.52 | 0.89 | % | ||||||||||||
Innovator Nasdaq-100 Power Buffer ETF - January (NAV) | 1,000.00 | 1,021.17 | 4.01 | 0.79 | % | ||||||||||||
Innovator Nasdaq-100 Power Buffer ETF - April (NAV) | 1,000.00 | 1,021.17 | 4.01 | 0.79 | % | ||||||||||||
Innovator Nasdaq-100 Power Buffer ETF - July (NAV) | 1,000.00 | 1,021.17 | 4.01 | (b) | 0.79 | % | |||||||||||
Innovator Nasdaq-100 Power Buffer ETF - October (NAV) | 1,000.00 | 1,021.17 | 4.01 | 0.79 | % | ||||||||||||
Innovator Russell 2000 Power Buffer ETF - January (NAV) | 1,000.00 | 1,021.17 | 4.01 | 0.79 | % | ||||||||||||
Innovator Russell 2000 Power Buffer ETF - April (NAV) | 1,000.00 | 1,021.17 | 4.01 | 0.79 | % | ||||||||||||
Innovator Russell 2000 Power Buffer ETF - July (NAV) | 1,000.00 | 1,021.17 | 4.01 | (b) | 0.79 | % | |||||||||||
Innovator Russell 2000 Power Buffer ETF - October (NAV) | 1,000.00 | 1,021.17 | 4.01 | 0.79 | % | ||||||||||||
Innovator 20+ Year Treasury Bond 5 Floor ETF - July (NAV) | 1,000.00 | 1,021.17 | 4.01 | (b) | 0.79 | % | |||||||||||
Innovator 20+ Year Treasury Bond 9 Buffer ETF - July (NAV) | 1,000.00 | 1,021.17 | 4.01 | (b) | 0.79 | % | |||||||||||
Innovator Double Stacker ETF - October (NAV) | 1,000.00 | 1,021.17 | 4.01 | (b) | 0.79 | % | |||||||||||
Innovator Triple Stacker ETF - October (NAV) | 1,000.00 | 1,021.17 | 4.01 | (b) | 0.79 | % | |||||||||||
Innovator Double Stacker 9 Buffer ETF - October (NAV) | 1,000.00 | 1,021.17 | 4.01 | (b) | 0.79 | % |
(a) | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the six month period). |
(b) | For comparative purposes only as the Fund was not in operation for the full six month period. |
INNOVATOR MSCI EAFE POWER BUFFER ETF – JANUARY
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 103.19% (a)(b) | ||||||||||||
CALL OPTIONS - 56.93% | ||||||||||||
MXEA MSCI EAFE Index, Expires 12/31/2020, Strike Price $1,221.60 | 528 | $ | 93,988,224 | $ | 29,837,081 | |||||||
29,837,081 | ||||||||||||
PUT OPTIONS - 46.26% | ||||||||||||
MXEA MSCI EAFE Index, Expires 12/31/2020, Strike Price $2,443.20 | 264 | 46,994,112 | 17,567,774 | |||||||||
MXEA MSCI EAFE Index, Expires 12/31/2020, Strike Price $2,036.00 | 264 | 46,994,112 | 6,678,323 | |||||||||
24,246,097 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $59,536,108) | 54,083,178 |
SHORT TERM INVESTMENTS - 0.00% (c) | Principal Amount | |||||||
Money Market Deposit Account - 0.00% (c) | ||||||||
U.S. Bank Money Market Deposit Account, 0.03% (d) | $ | 2,000 | 2,000 | |||||
TOTAL SHORT TERM INVESTMENTS (Cost $2,000) | 2,000 | |||||||
Total Investments (Cost $59,538,108) - 103.19% | 54,085,178 | |||||||
Liabilities in Excess of Other Assets - (3.19)% | (1,670,481 | ) | ||||||
TOTAL NET ASSETS - 100.00% | $ | 52,414,697 |
Asset Type | % of Net Assets | |||
Purchased Options | 103.19 | % | ||
Short Term Investments | 0.00 | (b) | ||
Total Investments | 103.19 | |||
Liabilities in Excess of Other Assets | (3.19 | ) | ||
Net Assets | 100.00 | % |
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | Less than 0.005%. |
(d) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments
October 31, 2020 (Continued)
Schedule of Options Written (a) |
October 31, 2020 |
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
MXEA MSCI EAFE Index | 12/31/2020 | $ | 2,443.20 | 264 | $ | (46,994,112 | ) | $ | (525 | ) | |||||||
MXEA MSCI EAFE Index | 12/31/2020 | 2,241.23 | 264 | (46,994,112 | ) | (3,326 | ) | ||||||||||
(3,851 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
MXEA MSCI EAFE Index | 12/31/2020 | 1,730.60 | 264 | (46,994,112 | ) | (1,228,236 | ) | ||||||||||
MXEA MSCI EAFE Index | 12/31/2020 | 1,221.60 | 528 | (93,988,224 | ) | (127,498 | ) | ||||||||||
(1,355,734 | ) | ||||||||||||||||
Total Options Written (Premiums Received $861,674) | $ | (1,359,585 | ) |
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments |
October 31, 2020 |
|
| Contracts |
|
| Notional Amount |
|
| Value |
| |||
PURCHASED OPTIONS - 106.76% (a)(b) |
|
|
|
|
|
|
|
|
|
|
|
|
CALL OPTIONS - 77.53% |
|
|
|
|
|
|
|
|
|
|
|
|
MXEA MSCI EAFE Index, Expires 6/30/2021, Strike Price $1,071.33 |
|
| 778 |
|
| $ | 138,490,224 |
|
| $ | 54,183,046 |
|
|
|
|
|
|
|
|
|
|
|
| 54,183,046 |
|
PUT OPTIONS - 29.23% |
|
|
|
|
|
|
|
|
|
|
|
|
MXEA MSCI EAFE Index, Expires 6/30/2021, Strike Price $2,142.66 |
|
| 389 |
|
|
| 69,245,112 |
|
|
| 15,265,333 |
|
MXEA MSCI EAFE Index, Expires 6/30/2021, Strike Price $1,785.55 |
|
| 389 |
|
|
| 69,245,112 |
|
|
| 5,161,634 |
|
|
|
|
|
|
|
|
|
|
|
| 20,426,967 |
|
TOTAL PURCHASED OPTIONS (Cost $76,868,267) |
|
|
|
|
|
|
|
|
|
| 74,610,013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHORT TERM INVESTMENTS - 0.00% (c) |
| Principal Amount |
|
|
|
|
| |
Money Market Deposit Account - 0.00% (c) |
|
|
|
|
|
|
|
|
U.S. Bank Money Market Deposit Account, 0.03% (d) |
| $ | 1,831 |
|
|
| 1,831 |
|
TOTAL SHORT TERM INVESTMENTS (Cost $1,831) |
|
|
|
|
|
| 1,831 |
|
|
|
|
|
|
|
|
|
|
Total Investments (Cost $76,870,098) - 106.76% |
|
|
|
|
|
| 74,611,844 |
|
Liabilities in Excess of Other Assets - (6.76)% |
|
|
|
|
|
| (4,728,629 | ) |
TOTAL NET ASSETS - 100.00% |
|
|
|
|
| $ | 69,883,215 |
|
Asset Type | % of Net Assets | |||
Purchased Options | 106.76 | % | ||
Short Term Investments | 0.00 | (b) | ||
Total Investments | 106.76 | |||
Liabilities in Excess of Other Assets | (6.76 | ) | ||
Net Assets | 100.00 | % |
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(b) | Less than 0.005%. |
(c) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments | ||||||
October 31, 2020 (Continued) |
Schedule of Options Written (a) |
|
|
October 31, 2020 |
|
|
Description | Expiration |
| Strike Price |
|
| Contracts |
|
| Notional Amount |
|
| Value |
| ||||
Call Options |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MXEA MSCI EAFE Index | 6/30/2021 |
| $ | 2,142.66 |
|
|
| 389 |
|
| $ | (69,245,112 | ) |
| $ | (237,018 | ) |
MXEA MSCI EAFE Index | 6/30/2021 |
|
| 1,942.14 |
|
|
| 389 |
|
|
| (69,245,112 | ) |
|
| (1,472,801 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (1,709,819 | ) |
Put Options |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MXEA MSCI EAFE Index | 6/30/2021 |
|
| 1,517.72 |
|
|
| 389 |
|
|
| (69,245,112 | ) |
|
| (2,064,580 | ) |
MXEA MSCI EAFE Index | 6/30/2021 |
|
| 1,071.33 |
|
|
| 778 |
|
|
| (138,490,224 | ) |
|
| (917,917 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (2,982,497 | ) |
Total Options Written (Premiums Received $7,122,509) |
|
|
|
|
|
|
|
|
|
|
|
|
| $ | (4,692,316 | ) |
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR MSCI EMERGING MARKETS POWER BUFFER ETF – January
Schedule of Investments |
October 31, 2020 |
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 101.95% (a)(b) | ||||||||||||
CALL OPTIONS - 76.59% | ||||||||||||
MXEF MSCI Emerging Markets Index, Expires 12/31/2020, Strike Price $669.84 | 492 | $ | 54,290,232 | $ | 21,397,863 | |||||||
21,397,863 | ||||||||||||
PUT OPTIONS - 25.36% | ||||||||||||
MXEF MSCI Emerging Markets Index, Expires 12/31/2020, Strike Price $1,339.68 | 246 | 27,145,116 | 5,863,091 | |||||||||
MXEF MSCI Emerging Markets Index, Expires 12/31/2020, Strike Price $1,116.40 | 246 | 27,145,116 | 1,223,225 | |||||||||
7,086,316 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $32,145,499) | 28,484,179 |
SHORT TERM INVESTMENTS - 0.01% | Principal Amount | |||||||
Money Market Deposit Account - 0.01% | ||||||||
U.S. Bank Money Market Deposit Account, 0.03% (c) | $ | 2,729 | 2,729 | |||||
TOTAL SHORT TERM INVESTMENTS (Cost $2,729) | 2,729 | |||||||
Total Investments (Cost $32,148,228) - 101.96% | 28,486,908 | |||||||
Liabilities in Excess of Other Assets - (1.96)% | (547,255 | ) | ||||||
TOTAL NET ASSETS - 100.00% | $ | 27,939,653 |
Asset Type | % of Net Assets | |||
Purchased Options | 101.95 | % | ||
Short Term Investments | 0.01 | |||
Total Investments | 101.96 | |||
Liabilities in Excess of Other Assets | (1.96 | ) | ||
Net Assets | 100.00 | % |
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments |
October 31, 2020 (Continued) |
Schedule of Options Written (a) |
October 31, 2020 |
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
MXEF MSCI Emerging Markets Index | 12/31/2020 | $ | 1,339.68 | 246 | $ | (27,145,116 | ) | $ | (11,626 | ) | |||||||
MXEF MSCI Emerging Markets Index | 12/31/2020 | 1,259.08 | 246 | (27,145,116 | ) | (43,722 | ) | ||||||||||
(55,348 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
MXEF MSCI Emerging Markets Index | 12/31/2020 | 948.94 | 246 | (27,145,116 | ) | (233,190 | ) | ||||||||||
MXEF MSCI Emerging Markets Index | 12/31/2020 | 669.84 | 492 | (54,290,232 | ) | (69,231 | ) | ||||||||||
(302,421 | ) | ||||||||||||||||
Total Options Written (Premiums Received $382,665) | $ | (357,769 | ) |
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR MSCI EMERGING MARKETS POWER BUFFER ETF – JULY
Schedule of Investments |
October 31, 2020 |
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 117.16% (a)(b) | ||||||||||||
CALL OPTIONS - 98.61% | ||||||||||||
MXEF MSCI Emerging Markets Index, Expires 6/30/2021, Strike Price $595.95 | 688 | $ | 75,918,048 | $ | 34,709,613 | |||||||
34,709,613 | ||||||||||||
PUT OPTIONS - 18.55% | ||||||||||||
MXEF MSCI Emerging Markets Index, Expires 6/30/2021, Strike Price $1,191.90 | 344 | 37,959,024 | 4,773,359 | |||||||||
MXEF MSCI Emerging Markets Index, Expires 6/30/2021, Strike Price $993.25 | 344 | 37,959,024 | 1,754,690 | |||||||||
6,528,049 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $40,048,091) | 41,237,662 |
SHORT TERM INVESTMENTS - 0.00% (c) | Principal Amount | |||||||
Money Market Deposit Account - 0.00% (c) | ||||||||
U.S. Bank Money Market Deposit Account, 0.03% (d) | $ | 1,053 | 1,053 | |||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,053) | 1,053 | |||||||
Total Investments (Cost $40,049,144) - 117.16% | 41,238,715 | |||||||
Liabilities in Excess of Other Assets - (17.16)% | (6,041,621 | ) | ||||||
TOTAL NET ASSETS - 100.00% | $ | 35,197,094 |
Asset Type | % of Net Assets | |||
Purchased Options | 117.16 | % | ||
Short Term Investments | 0.00 | (b) | ||
Total Investments | 117.16 | |||
Liabilities in Excess of Other Assets | (17.16 | ) | ||
Net Assets | 100.00 | % |
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | Less than 0.005%. |
(d) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments | ||||||
October 31, 2020 (Continued) |
Schedule of Options Written (a) |
|
|
October 31, 2020 |
|
|
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
MXEF MSCI Emerging Markets Index | 6/30/2021 | $ | 1,191.90 | 344 | $ | (37,959,024 | ) | $ | (1,483,181 | ) | |||||||
MXEF MSCI Emerging Markets Index | 6/30/2021 | 1,078.37 | 344 | (37,959,024 | ) | (3,346,454 | ) | ||||||||||
(4,829,635 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
MXEF MSCI Emerging Markets Index | 6/30/2021 | 844.26 | 344 | (37,959,024 | ) | (787,524 | ) | ||||||||||
MXEF MSCI Emerging Markets Index | 6/30/2021 | 595.95 | 688 | (75,918,048 | ) | (366,807 | ) | ||||||||||
(1,154,331 | ) | ||||||||||||||||
Total Options Written (Premiums Received $5,461,119) | $ | (5,983,966 | ) |
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR NASDAQ-100 POWER BUFFER ETF – JANUARY
Schedule of Investments |
October 31, 2020 |
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 130.22% (a)(b) | ||||||||||||
CALL OPTIONS - 124.56% | ||||||||||||
NDX Nasdaq-100 Index, Expires 12/31/2020, Strike Price $5,239.84 | 84 | $ | 92,844,780 | $ | 48,970,201 | |||||||
48,970,201 | ||||||||||||
PUT OPTIONS - 5.66% | ||||||||||||
NDX Nasdaq-100 Index, Expires 12/31/2020, Strike Price $10,479.68 | 42 | 46,422,390 | 1,797,434 | |||||||||
NDX Nasdaq-100 Index, Expires 12/31/2020, Strike Price $8,733.07 | 42 | 46,422,390 | 427,880 | |||||||||
2,225,314 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $69,457,177) | 51,195,515 |
SHORT TERM INVESTMENTS - 0.00% (c) | Principal Amount | |||||||
Money Market Deposit Account - 0.00% (c) | ||||||||
U.S. Bank Money Market Deposit Account, 0.03% (d) | $ | 1,122 | 1,122 | |||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,122) | 1,122 | |||||||
Total Investments (Cost $69,458,299) - 130.22% | 51,196,637 | |||||||
Liabilities in Excess of Other Assets - (30.22)% | (11,881,530 | ) | ||||||
TOTAL NET ASSETS - 100.00% | $ | 39,315,107 |
Asset Type | % of Net Assets | |||
Purchased Options | 130.22 | % | ||
Short Term Investments | 0.00 | (b) | ||
Total Investments | 130.22 | |||
Liabilities in Excess of Other Assets | (30.22 | ) | ||
Net Assets | 100.00 | % |
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | Less than 0.005%. |
(d) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments | ||||||
October 31, 2020 (Continued) |
Schedule of Options Written (a) |
|
|
October 31, 2020 |
|
|
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
NDX Nasdaq-100 Index | 12/31/2020 | $ | 10,479.68 | 42 | $ | (46,422,390 | ) | $ | (4,277,541 | ) | |||||||
NDX Nasdaq-100 Index | 12/31/2020 | 9,555.73 | 42 | (46,422,390 | ) | (7,228,797 | ) | ||||||||||
(11,506,338 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
NDX Nasdaq-100 Index | 12/31/2020 | 7,423.11 | 42 | (46,422,390 | ) | (142,762 | ) | ||||||||||
NDX Nasdaq-100 Index | 12/31/2020 | 5,239.84 | 84 | (92,844,780 | ) | (53,764 | ) | ||||||||||
(196,526 | ) | ||||||||||||||||
Total Options Written (Premiums Received $2,244,970) | $ | (11,702,864 | ) |
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR NASDAQ-100 POWER BUFFER ETF – APRIL
Schedule of Investments |
October 31, 2020 |
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 152.30% (a)(b) | ||||||||||||
CALL OPTIONS - 146.16% | ||||||||||||
NDX Nasdaq-100 Index, Expires 03/31/2021, Strike Price $4,688.10 | 36 | $ | 39,790,620 | $ | 22,972,454 | |||||||
22,972,454 | ||||||||||||
PUT OPTIONS - 6.14% | ||||||||||||
NDX Nasdaq-100 Index, Expires 03/31/2021, Strike Price $9,376.20 | 18 | 19,895,310 | 700,795 | |||||||||
NDX Nasdaq-100 Index, Expires 03/31/2021, Strike Price $7,813.50 | 18 | 19,895,310 | 264,883 | |||||||||
965,678 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $23,249,834) | 23,938,132 |
SHORT TERM INVESTMENTS - 0.01% | Principal Amount | |||||||
Money Market Deposit Account - 0.01% | ||||||||
U.S. Bank Money Market Deposit Account, 0.03% (c) | $ | 984 | 984 | |||||
TOTAL SHORT TERM INVESTMENTS (Cost $984) | 984 | |||||||
Total Investments (Cost $23,250,817) - 152.31% | 23,939,116 | |||||||
Liabilities in Excess of Other Assets - (52.31)% | (8,221,958 | ) | ||||||
TOTAL NET ASSETS - 100.00% | $ | 15,717,158 |
Asset Type | % of Net Assets | |||
Purchased Options | 152.30 | % | ||
Short Term Investments | 0.01 | |||
Total Investments | 152.31 | |||
Liabilities in Excess of Other Assets | (52.31 | ) | ||
Net Assets | 100.00 | % |
Percentages are stated as a percent of net assets. |
|
|
|
|
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments |
October 31, 2020 (Continued) |
Schedule of Options Written (a) |
|
|
October 31, 2020 |
|
|
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
NDX Nasdaq-100 Index | 3/31/2021 | $ | 9,376.20 | 18 | $ | (19,895,310 | ) | $ | (3,728,433 | ) | |||||||
NDX Nasdaq-100 Index | 3/31/2021 | 8,990.21 | 18 | (19,895,310 | ) | (4,280,703 | ) | ||||||||||
(8,009,136 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
NDX Nasdaq-100 Index | 3/31/2021 | 6,641.48 | 18 | (19,895,310 | ) | (117,461 | ) | ||||||||||
NDX Nasdaq-100 Index | 3/31/2021 | 4,688.10 | 36 | (39,790,620 | ) | (52,914 | ) | ||||||||||
(170,375 | ) | ||||||||||||||||
Total Options Written (Premiums Received $1,579,820) | $ | (8,179,511 | ) |
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments |
October 31, 2020 |
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 118.99% (a)(b) | ||||||||||||
CALL OPTIONS - 95.16% | ||||||||||||
NDX Nasdaq-100 Index, Expires 6/30/2021, Strike Price $6,094.11 | 108 | $ | 119,371,860 | $ | 54,249,789 | |||||||
54,249,789 | ||||||||||||
PUT OPTIONS - 23.83% | ||||||||||||
NDX Nasdaq-100 Index, Expires 6/30/2021, Strike Price $12,188.22 | 54 | 59,685,930 | 9,373,261 | |||||||||
NDX Nasdaq-100 Index, Expires 6/30/2021, Strike Price $10,156.85 | 54 | 59,685,930 | 4,211,864 | |||||||||
13,585,125 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $78,984,008) | 67,834,914 | |||||||||||
Total Investments (Cost $78,984,008) - 118.99% | 67,834,914 | |||||||||||
Liabilities in Excess of Other Assets - (18.99)% | (10,823,810 | ) | ||||||||||
TOTAL NET ASSETS - 100.00% | $ | 57,011,104 |
Asset Type | % of Net Assets | |||
Purchased Options | 118.99 | % | ||
Total Investments | 118.99 | |||
Liabilities in Excess of Other Assets | (18.99 | ) | ||
Net Assets | 100.00 | % |
Percentages are stated as a percent of net assets. |
|
(a) Exchange-Traded. |
(b) Purchased option contracts are held in connection with corresponding option contracts written short. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments |
October 31, 2020 (Continued) |
Schedule of Options Written (a) |
|
|
October 31, 2020 |
|
|
Description | Expiration |
| Strike Price |
|
| Contracts |
|
| Notional Amount |
|
| Value |
| ||||
Call Options |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NDX Nasdaq-100 Index | 6/30/2021 |
| $ | 12,188.22 |
|
|
| 54 |
|
| $ | (59,685,930 | ) |
| $ | (3,234,745 | ) |
NDX Nasdaq-100 Index | 6/30/2021 |
|
| 11,604.20 |
|
|
| 54 |
|
|
| (59,685,930 | ) |
|
| (4,572,115 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (7,806,860 | ) |
Put Options |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NDX Nasdaq-100 Index | 6/30/2021 |
|
| 8,633.32 |
|
|
| 54 |
|
|
| (59,685,930 | ) |
|
| (2,040,101 | ) |
NDX Nasdaq-100 Index | 6/30/2021 |
|
| 6,094.11 |
|
|
| 108 |
|
|
| (119,371,860 | ) |
|
| (897,175 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (2,937,276 | ) |
Total Options Written (Premiums Received $8,399,189) |
|
|
|
|
|
|
|
|
|
|
|
|
| $ | (10,744,136 | ) |
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR NASDAQ-100 POWER BUFFER ETF – OCTOBER
Schedule of Investments |
October 31, 2020 |
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 116.75% (a)(b) | ||||||||||||
CALL OPTIONS - 77.51% | ||||||||||||
NDX Nasdaq-100 Index, Expires 9/30/2021, Strike Price $6,850.84 | 72 | $ | 79,581,240 | $ | 31,442,000 | |||||||
31,442,000 | ||||||||||||
PUT OPTIONS - 39.24% | ||||||||||||
NDX Nasdaq-100 Index, Expires 9/30/2021, Strike Price $13,701.67 | 36 | 39,790,620 | 10,676,827 | |||||||||
NDX Nasdaq-100 Index, Expires 9/30/2021, Strike Price $11,418.06 | 36 | 39,790,620 | 5,242,834 | |||||||||
15,919,661 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $48,634,137) | 47,361,661 |
SHORT TERM INVESTMENTS - 0.00% (c) | Principal Amount | |||||||
Money Market Deposit Account - 0.00% (c) | ||||||||
U.S. Bank Money Market Deposit Account, 0.03% (d) | $ | 1,038 | 1,038 | |||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,038) | 1,038 | |||||||
Total Investments (Cost $48,635,175) - 116.75% | 47,362,699 | |||||||
Liabilities in Excess of Other Assets - (16.75)% | (6,796,969 | ) | ||||||
TOTAL NET ASSETS - 100.00% | $ | 40,565,730 |
Asset Type | % of Net Assets | |||
Purchased Options | 116.75 | % | ||
Short Term Investments | 0.00 | (b) | ||
Total Investments | 116.75 | |||
Liabilities in Excess of Other Assets | (16.75 | ) | ||
Net Assets | 100.00 | % |
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | Less than 0.005%. |
(d) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments | ||||||
October 31, 2020 (Continued) |
Schedule of Options Written (a) |
|
|
October 31, 2020 |
|
|
Description | Expiration |
| Strike Price |
|
| Contracts |
|
| Notional Amount |
|
| Value |
| ||||
Call Options |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NDX Nasdaq-100 Index | 9/30/2021 |
| $ | 13,701.67 |
|
|
| 36 |
|
| $ | (39,790,620 | ) |
| $ | (1,085,143 | ) |
NDX Nasdaq-100 Index | 9/30/2021 |
|
| 13,238.10 |
|
|
| 36 |
|
|
| (39,790,620 | ) |
|
| (1,455,436 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (2,540,579 | ) |
Put Options |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NDX Nasdaq-100 Index | 9/30/2021 |
|
| 9,705.35 |
|
|
| 36 |
|
|
| (39,790,620 | ) |
|
| (2,750,890 | ) |
NDX Nasdaq-100 Index | 9/30/2021 |
|
| 6,850.84 |
|
|
| 72 |
|
|
| (79,581,240 | ) |
|
| (1,365,719 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (4,116,609 | ) |
Total Options Written (Premiums Received $7,309,471) |
|
|
|
|
|
|
|
|
|
|
|
|
| $ | (6,657,188 | ) |
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR RUSSELL 2000 POWER BUFFER ETF – JANUARY
Schedule of Investments |
October 31, 2020 |
|
| Contracts |
|
| Notional Amount |
|
| Value |
| |||
PURCHASED OPTIONS - 104.24% (a)(b) |
|
|
|
|
|
|
|
|
|
|
|
|
CALL OPTIONS - 66.17% |
|
|
|
|
|
|
|
|
|
|
|
|
RUT Russell 2000 Index, Expires 12/31/2020, Strike Price $1,001.00 |
|
| 2,024 |
|
| $ | 311,388,150 |
|
| $ | 109,574,420 |
|
|
|
|
|
|
|
|
|
|
|
| 109,574,420 |
|
PUT OPTIONS - 38.07% |
|
|
|
|
|
|
|
|
|
|
|
|
RUT Russell 2000 Index, Expires 12/31/2020, Strike Price $2,002.01 |
|
| 1,012 |
|
|
| 155,694,075 |
|
|
| 46,877,564 |
|
RUT Russell 2000 Index, Expires 12/31/2020, Strike Price $1,668.34 |
|
| 1,012 |
|
|
| 155,694,075 |
|
|
| 16,162,761 |
|
|
|
|
|
|
|
|
|
|
|
| 63,040,325 |
|
TOTAL PURCHASED OPTIONS (Cost $197,727,307) |
|
|
|
|
|
|
|
|
|
| 172,614,745 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHORT TERM INVESTMENTS - 0.00% (c) |
| Principal Amount |
|
|
|
|
| |
Money Market Deposit Account - 0.00% (c) |
|
|
|
|
|
|
|
|
U.S. Bank Money Market Deposit Account, 0.03% (d) |
| $ | 1,169 |
|
|
| 1,169 |
|
TOTAL SHORT TERM INVESTMENTS (Cost $1,169) |
|
|
|
|
|
| 1,169 |
|
|
|
|
|
|
|
|
|
|
Total Investments (Cost $197,728,476) - 104.24% |
|
|
|
|
|
| 172,615,914 |
|
Liabilities in Excess of Other Assets - (4.24)% |
|
|
|
|
| �� | (7,027,759 | ) |
TOTAL NET ASSETS - 100.00% |
|
|
|
|
| $ | 165,588,155 |
|
Asset Type | % of Net Assets | |||
Purchased Options | 104.24 | % | ||
Short Term Investments | 0.00 | (b) | ||
Total Investments | 104.24 | |||
Liabilities in Excess of Other Assets | (4.24 | ) | ||
Net Assets | 100.00 | % |
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | Less than 0.005%. |
(d) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR RUSSELL 2000 POWER BUFFER ETF – JANUARY
Schedule of Investments | ||||||
October 31, 2020 (Continued) |
Schedule of Options Written (a) |
|
|
October 31, 2020 |
|
|
Description | Expiration |
| Strike Price |
|
| Contracts |
|
| Notional Amount |
|
| Value |
| ||||
Call Options |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RUT Russell 2000 Index | 12/31/2020 |
| $ | 2,002.01 |
|
|
| 1,012 |
|
| $ | (155,694,075 | ) |
| $ | (49,885 | ) |
RUT Russell 2000 Index | 12/31/2020 |
|
| 1,818.16 |
|
|
| 1,012 |
|
|
| (155,694,075 | ) |
|
| (461,871 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (511,756 | ) |
Put Options |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RUT Russell 2000 Index | 12/31/2020 |
|
| 1,418.09 |
|
|
| 1,012 |
|
|
| (155,694,075 | ) |
|
| (4,909,323 | ) |
RUT Russell 2000 Index | 12/31/2020 |
|
| 1,001.00 |
|
|
| 2,024 |
|
|
| (311,388,150 | ) |
|
| (834,901 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (5,744,224 | ) |
Total Options Written (Premiums Received $4,810,764) |
|
|
|
|
|
|
|
|
|
|
|
|
| $ | (6,255,980 | ) |
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments |
October 31, 2020 |
|
| Contracts |
|
| Notional Amount |
|
| Value |
| |||
PURCHASED OPTIONS - 137.79% (a)(b) |
|
|
|
|
|
|
|
|
|
|
|
|
CALL OPTIONS - 130.03% |
|
|
|
|
|
|
|
|
|
|
|
|
RUT Russell 2000 Index, Expires 03/31/2021, Strike Price $691.23 |
|
| 510 |
|
| $ | 78,462,429 |
|
| $ | 43,102,415 |
|
|
|
|
|
|
|
|
|
|
|
| 43,102,415 |
|
PUT OPTIONS - 7.76% |
|
|
|
|
|
|
|
|
|
|
|
|
RUT Russell 2000 Index, Expires 03/31/2021, Strike Price $1,382.46 |
|
| 255 |
|
|
| 39,231,215 |
|
|
| 1,838,715 |
|
RUT Russell 2000 Index, Expires 03/31/2021, Strike Price $1,152.05 |
|
| 255 |
|
|
| 39,231,215 |
|
|
| 731,981 |
|
|
|
|
|
|
|
|
|
|
|
| 2,570,696 |
|
TOTAL PURCHASED OPTIONS (Cost $54,254,648) |
|
|
|
|
|
|
|
|
|
| 45,673,111 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHORT TERM INVESTMENTS - 0.00% (c) |
| Principal Amount |
|
|
|
|
| |
Money Market Deposit Account - 0.00% (c) |
|
|
|
|
|
|
|
|
U.S. Bank Money Market Deposit Account, 0.03% (d) |
| $ | 855 |
|
|
| 855 |
|
TOTAL SHORT TERM INVESTMENTS (Cost $855) |
|
|
|
|
|
| 855 |
|
|
|
|
|
|
|
|
|
|
Total Investments (Cost $54,255,504) - 137.79% |
|
|
|
|
|
| 45,673,966 |
|
Liabilities in Excess of Other Assets - (37.79)% |
|
|
|
|
|
| (12,527,012 | ) |
TOTAL NET ASSETS - 100.00% |
|
|
|
|
| $ | 33,146,954 |
|
Asset Type | % of Net Assets | |||
Purchased Options | 137.79 | % | ||
Short Term Investments | 0.00 | (b) | ||
Total Investments | 137.79 | |||
Liabilities in Excess of Other Assets | (37.79 | ) | ||
Net Assets | 100.00 | % |
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | Less than 0.005%. |
(d) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments | ||||||
October 31, 2020 (Continued) |
Schedule of Options Written (a) |
|
|
October 31, 2020 |
|
|
Description | Expiration |
| Strike Price |
|
| Contracts |
|
| Notional Amount |
|
| Value |
| ||||
Call Options |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RUT Russell 2000 Index | 3/31/2021 |
| $ | 1,382.46 |
|
|
| 255 |
|
| $ | (39,231,215 | ) |
| $ | (5,737,348 | ) |
RUT Russell 2000 Index | 3/31/2021 |
|
| 1,358.84 |
|
|
| 255 |
|
|
| (39,231,215 | ) |
|
| (6,184,471 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (11,921,819 | ) |
Put Options |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RUT Russell 2000 Index | 3/31/2021 |
|
| 979.24 |
|
|
| 255 |
|
|
| (39,231,215 | ) |
|
| (331,570 | ) |
RUT Russell 2000 Index | 3/31/2021 |
|
| 691.23 |
|
|
| 510 |
|
|
| (78,462,429 | ) |
|
| (140,129 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (471,699 | ) |
Total Options Written (Premiums Received $6,511,257) |
|
|
|
|
|
|
|
|
|
|
|
|
| $ | (12,393,518 | ) |
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments |
October 31, 2020 |
|
| Contracts |
|
| Notional Amount |
|
| Value |
| |||
PURCHASED OPTIONS - 114.64% (a)(b) |
|
|
|
|
|
|
|
|
|
|
|
|
CALL OPTIONS - 90.48% |
|
|
|
|
|
|
|
|
|
|
|
|
RUT Russell 2000 Index, Expires 06/30/2021, Strike Price $864.82 |
|
| 312 |
|
| $ | 48,000,545 |
|
| $ | 21,096,733 |
|
|
|
|
|
|
|
|
|
|
|
| 21,096,733 |
|
PUT OPTIONS - 24.16% |
|
|
|
|
|
|
|
|
|
|
|
|
RUT Russell 2000 Index, Expires 06/30/2021, Strike Price $1,729.63 |
|
| 156 |
|
|
| 24,000,272 |
|
|
| 3,962,190 |
|
RUT Russell 2000 Index, Expires 06/30/2021, Strike Price $1,441.36 |
|
| 156 |
|
|
| 24,000,272 |
|
|
| 1,669,860 |
|
|
|
|
|
|
|
|
|
|
|
| 5,632,050 |
|
TOTAL PURCHASED OPTIONS (Cost $30,928,699) |
|
|
|
|
|
|
|
|
|
| 26,728,783 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments (Cost $30,928,699) - 114.64% |
|
|
|
|
|
|
|
|
|
| 26,728,783 |
|
Liabilities in Excess of Other Assets - (14.64)% |
|
|
|
|
|
|
|
|
|
| (3,413,231 | ) |
TOTAL NET ASSETS - 100.00% |
|
|
|
|
|
|
|
|
| $ | 23,315,552 |
|
Asset Type | % of Net Assets | |||
Purchased Options | 114.64 | % | ||
Total Investments | 114.64 | |||
Liabilities in Excess of Other Assets | (14.64 | ) | ||
Net Assets | 100.00 | % |
Percentages are stated as a percent of net assets. |
|
(a) Exchange-Traded. |
(b) Purchased option contracts are held in connection with corresponding option contracts written short. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments |
October 31, 2020 (Continued) |
Schedule of Options Written (a) |
|
|
October 31, 2020 |
|
|
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
RUT Russell 2000 Index | 6/30/2021 | $ | 1,729.63 | 156 | $ | (24,000,272 | ) | $ | (916,082 | ) | |||||||
RUT Russell 2000 Index | 6/30/2021 | 1,673.56 | 156 | (24,000,272 | ) | (1,204,649 | ) | ||||||||||
(2,120,731 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
RUT Russell 2000 Index | 6/30/2021 | 1,225.16 | 156 | (24,000,272 | ) | (825,937 | ) | ||||||||||
RUT Russell 2000 Index | 6/30/2021 | 864.82 | 312 | (48,000,545 | ) | (410,799 | ) | ||||||||||
(1,236,736 | ) | ||||||||||||||||
Total Options Written (Premiums Received $2,395,388) | $ | (3,357,467 | ) |
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR RUSSELL 2000 POWER BUFFER ETF – OCTOBER
Schedule of Investments |
October 31, 2020 |
|
| Contracts |
|
| Notional Amount |
|
| Value |
| |||
PURCHASED OPTIONS - 116.64% (a)(b) |
|
|
|
|
|
|
|
|
|
|
|
|
CALL OPTIONS - 85.01% |
|
|
|
|
|
|
|
|
|
|
|
|
RUT Russell 2000 Index, Expires 9/30/2021, Strike Price $904.61 |
|
| 636 |
|
| $ | 97,847,264 |
|
| $ | 40,948,372 |
|
|
|
|
|
|
|
|
|
|
|
| 40,948,372 |
|
PUT OPTIONS - 31.63% |
|
|
|
|
|
|
|
|
|
|
|
|
RUT Russell 2000 Index, Expires 9/30/2021, Strike Price $1809.23 |
|
| 318 |
|
|
| 48,923,632 |
|
|
| 10,304,943 |
|
RUT Russell 2000 Index, Expires 9/30/2021, Strike Price $1507.69 |
|
| 318 |
|
|
| 48,923,632 |
|
|
| 4,933,147 |
|
|
|
|
|
|
|
|
|
|
|
| 15,238,090 |
|
TOTAL PURCHASED OPTIONS (Cost $55,396,604) |
|
|
|
|
|
|
|
|
|
| 56,186,462 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHORT TERM INVESTMENTS - 0.01% |
| Principal Amount |
|
|
|
|
| |
Money Market Deposit Account - 0.01% |
|
|
|
|
|
|
|
|
U.S. Bank Money Market Deposit Account, 0.03% (c) |
| $ | 4,209 |
|
|
| 4,209 |
|
TOTAL SHORT TERM INVESTMENTS (Cost $4,209) |
|
|
|
|
|
| 4,209 |
|
|
|
|
|
|
|
|
|
|
Total Investments (Cost $55,400,813) - 116.65% |
|
|
|
|
|
| 56,190,671 |
|
Liabilities in Excess of Other Assets - (16.65)% |
|
|
|
|
|
| (8,021,024 | ) |
TOTAL NET ASSETS - 100.00% |
|
|
|
|
| $ | 48,169,647 |
|
Asset Type | % of Net Assets | |||
Purchased Options | 116.64 | % | ||
Short Term Investments | 0.01 | |||
Total Investments | 116.65 | |||
Liabilities in Excess of Other Assets | (16.65 | ) | ||
Net Assets | 100.00 | % |
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments |
October 31, 2020 (Continued) |
Schedule of Options Written (a) |
|
|
October 31, 2020 |
|
|
Description | Expiration |
| Strike Price |
|
| Contracts |
|
| Notional Amount |
|
| Value |
| ||||
Call Options |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RUT Russell 2000 Index | 9/30/2021 |
| $ | 1,809.23 |
|
|
| 318 |
|
| $ | (48,923,632 | ) |
| $ | (1,504,462 | ) |
RUT Russell 2000 Index | 9/30/2021 |
|
| 1,706.71 |
|
|
| 318 |
|
|
| (48,923,632 | ) |
|
| (2,481,286 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (3,985,748 | ) |
Put Options |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RUT Russell 2000 Index | 9/30/2021 |
|
| 1,281.54 |
|
|
| 318 |
|
|
| (48,923,632 | ) |
|
| (2,589,047 | ) |
RUT Russell 2000 Index | 9/30/2021 |
|
| 904.61 |
|
|
| 636 |
|
|
| (97,847,264 | ) |
|
| (1,421,050 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (4,010,097 | ) |
Total Options Written (Premiums Received $7,123,192) |
|
|
|
|
|
|
|
|
|
|
|
|
| $ | (7,995,845 | ) |
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR 20+ YEAR TREASURY BOND 5 FLOOR ETF – JULY
Schedule of Investments |
October 31, 2020 |
|
| Contracts |
|
| Notional Amount |
|
| Value |
| |||
PURCHASED OPTIONS - 101.62% (a)(b) |
|
|
|
|
|
|
|
|
|
|
|
|
CALL OPTIONS - 96.31% |
|
|
|
|
|
|
|
|
|
|
|
|
TLT iShares 20+ Year Treasury Bond ETF, Expires 6/30/2021, Strike Price $1.32 |
|
| 190 |
|
| $ | 2,993,830 |
|
| $ | 2,940,370 |
|
|
|
|
|
|
|
|
|
|
|
| 2,940,370 |
|
PUT OPTIONS - 5.31% |
|
|
|
|
|
|
|
|
|
|
|
|
TLT iShares 20+ Year Treasury Bond ETF, Expires 6/30/2021, Strike Price $155.41 |
|
| 190 |
|
|
| 2,993,830 |
|
|
| 162,104 |
|
|
|
|
|
|
|
|
|
|
|
| 162,104 |
|
TOTAL PURCHASED OPTIONS (Cost $3,187,415) |
|
|
|
|
|
|
|
|
|
| 3,102,474 |
|
SHORT TERM INVESTMENTS - 0.73% |
| Principal Amount |
|
|
|
|
| |
Money Market Deposit Account - 0.73% |
|
|
|
|
|
|
|
|
U.S. Bank Money Market Deposit Account, 0.03% (c) |
| $ | 22,382 |
|
|
| 22,382 |
|
TOTAL SHORT TERM INVESTMENTS (Cost $22,382) |
|
|
|
|
|
| 22,382 |
|
|
|
|
|
|
|
|
|
|
Total Investments (Cost $3,209,797) - 102.35% |
|
|
|
|
|
| 3,124,856 |
|
Liabilities in Excess of Other Assets - (2.35)% |
|
|
|
|
|
| (71,682 | ) |
TOTAL NET ASSETS - 100.00% |
|
|
|
|
| $ | 3,053,174 |
|
Asset Type | % of Net Assets | |||
Purchased Options | 101.62 | % | ||
Short Term Investments | 0.73 | |||
Total Investments | 102.35 | |||
Liabilities in Excess of Other Assets | (2.35 | ) | ||
Net Assets | 100.00 | % |
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments |
October 31, 2020 (Continued) |
Schedule of Options Written (a) |
|
|
October 31, 2020 |
|
|
Description | Expiration |
| Strike Price |
|
| Contracts |
|
| Notional Amount |
|
| Value |
| ||||
Call Options |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TLT iShares 20+ Year Treasury Bond ETF | 6/30/2021 |
| $ | 174.63 |
|
|
| 190 |
|
| $ | (2,993,830 | ) |
| $ | (69,572 | ) |
Total Options Written (Premiums Received $92,484) |
|
|
|
|
|
|
|
|
|
|
|
|
| $ | (69,572 | ) |
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR 20+ YEAR TREASURY BOND 9 BUFFER ETF – JULY
Schedule of Investments |
October 31, 2020 |
|
| Contracts |
|
| Notional Amount |
|
| Value |
| |||
PURCHASED OPTIONS - 104.98% (a)(b) |
|
|
|
|
|
|
|
|
|
|
|
|
CALL OPTIONS - 96.71% |
|
|
|
|
|
|
|
|
|
|
|
|
TLT iShares 20+ Year Treasury Bond ETF, Expires 6/30/2021, Strike Price $1.31 |
|
| 342 |
|
| $ | 5,388,894 |
|
| $ | 5,293,004 |
|
|
|
|
|
|
|
|
|
|
|
| 5,293,004 |
|
PUT OPTIONS - 8.27% |
|
|
|
|
|
|
|
|
|
|
|
|
TLT iShares 20+ Year Treasury Bond ETF, Expires 6/30/2021, Strike Price $163.59 |
|
| 342 |
|
|
| 5,388,894 |
|
|
| 452,627 |
|
|
|
|
|
|
|
|
|
|
|
| 452,627 |
|
TOTAL PURCHASED OPTIONS (Cost $5,865,799) |
|
|
|
|
|
|
|
|
|
| 5,745,631 |
|
SHORT TERM INVESTMENTS - 0.71% | Principal Amount | |||||||
Money Market Deposit Account - 0.71% | ||||||||
U.S. Bank Money Market Deposit Account, 0.03% (c) | $ | 38,766 | 38,766 | |||||
TOTAL SHORT TERM INVESTMENTS (Cost $38,766) | 38,766 | |||||||
Total Investments (Cost $5,904,565) - 105.69% | 5,784,397 | |||||||
Liabilities in Excess of Other Assets - (5.69)% | (311,379 | ) | ||||||
TOTAL NET ASSETS - 100.00% | $ | 5,473,018 |
Asset Type | % of Net Assets | |||
Purchased Options | 104.98 | % | ||
Short Term Investments | 0.71 | |||
Total Investments | 105.69 | |||
Liabilities in Excess of Other Assets | (5.69 | ) | ||
Net Assets | 100.00 | % |
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments |
October 31, 2020 (Continued) |
Schedule of Options Written (a) |
|
|
October 31, 2020 |
|
|
Description | Expiration |
| Strike Price |
|
| Contracts |
|
| Notional Amount |
|
| Value |
| ||||
Call Options |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TLT iShares 20+ Year Treasury Bond ETF | 6/30/2021 |
| $ | 178.72 |
|
|
| 342 |
|
| $ | (5,388,894 | ) |
| $ | (112,654 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (112,654 | ) |
Put Options |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TLT iShares 20+ Year Treasury Bond ETF | 6/30/2021 |
|
| 148.87 |
|
|
| 342 |
|
|
| (5,388,894 | ) |
|
| (194,874 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (194,874 | ) |
Total Options Written (Premiums Received $317,828) |
|
|
|
|
|
|
|
|
|
|
|
|
| $ | (307,528 | ) |
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR DOUBLE STACKER ETF – OCTOBER
Schedule of Investments |
October 31, 2020 |
|
| Contracts |
|
| Notional Amount |
|
| Value |
| |||
PURCHASED OPTIONS - 106.41% (a)(b) |
|
|
|
|
|
|
|
|
|
|
|
|
CALL OPTIONS - 106.41% |
|
|
|
|
|
|
|
|
|
|
|
|
QQQ Invesco QQQ Trust Series 1, Expires 9/30/2021, Strike Price $278.12 |
|
| 435 |
|
| $ | 11,718,030 |
|
| $ | 1,110,948 |
|
SPY SPDR S&P 500® Trust ETF, Expires 9/30/2021, Strike Price $2.70 |
|
| 361 |
|
|
| 11,788,094 |
|
|
| 11,446,229 |
|
TOTAL PURCHASED OPTIONS (Cost $12,969,675) |
|
|
|
|
|
|
|
|
|
| 12,557,177 |
|
SHORT TERM INVESTMENTS - 0.82% | Principal Amount | |||||||
Money Market Deposit Account - 0.82% | ||||||||
U.S. Bank Money Market Deposit Account, 0.03% (c) | $ | 96,827 | 96,827 | |||||
TOTAL SHORT TERM INVESTMENTS (Cost $96,827) | 96,827 | |||||||
Total Investments (Cost $13,066,502) - 107.23% | 12,654,004 | |||||||
Liabilities in Excess of Other Assets - (7.23)% | (852,933 | ) | ||||||
TOTAL NET ASSETS - 100.00% | $ | 11,801,071 |
Asset Type | % of Net Assets | |||
Purchased Options | 106.41 | % | ||
Short Term Investments | 0.82 | |||
Total Investments | 107.23 | |||
Liabilities in Excess of Other Assets | (7.23 | ) | ||
Net Assets | 100.00 | % |
Percentages are stated as a percent of net assets. |
|
|
|
|
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR DOUBLE STACKER ETF – OCTOBER
Schedule of Investments |
October 31, 2020 (Continued) |
Schedule of Options Written (a) |
|
|
October 31, 2020 |
|
|
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
QQQ Invesco QQQ Trust Series 1 | 9/30/2021 | $ | 310.39 | 435 | $ | (11,718,030 | ) | $ | (548,868 | ) | |||||||
SPY SPDR S&P 500® Trust ETF | 9/30/2021 | 373.77 | 361 | (11,788,094 | ) | (300,886 | ) | ||||||||||
Total Options Written (Premiums Received $1,059,259) | $ | (849,754 | ) |
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments |
October 31, 2020 |
|
| Contracts |
|
| Notional Amount |
|
| Value |
| |||
PURCHASED OPTIONS - 117.11% (a)(b) |
|
|
|
|
|
|
|
|
|
|
|
|
CALL OPTIONS - 117.11% |
|
|
|
|
|
|
|
|
|
|
|
|
IWM iShares Russell 2000 ETF, Expires 9/30/2021, Strike Price $149.79 |
|
| 465 |
|
| $ | 7,118,685 |
|
| $ | 817,950 |
|
QQQ Invesco QQQ Trust Series 1, Expires 9/30/2021, Strike Price $278.11 |
|
| 250 |
|
|
| 6,734,500 |
|
|
| 638,656 |
|
SPY SPDR S&P 500® Trust ETF, Expires 9/30/2021, Strike Price $2.69 |
|
| 208 |
|
|
| 6,792,032 |
|
|
| 6,595,263 |
|
TOTAL PURCHASED OPTIONS (Cost $8,623,919) |
|
|
|
|
|
|
|
|
|
| 8,051,869 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHORT TERM INVESTMENTS - 1.27% |
| Principal Amount |
|
|
|
|
| |
Money Market Deposit Account - 1.27% |
|
|
|
|
|
|
|
|
U.S. Bank Money Market Deposit Account, 0.03% (c) |
| $ | 87,001 |
|
|
| 87,001 |
|
TOTAL SHORT TERM INVESTMENTS (Cost $87,001) |
|
|
|
|
|
| 87,001 |
|
|
|
|
|
|
|
|
|
|
Total Investments (Cost $8,710,920) - 118.38% |
|
|
|
|
|
| 8,138,870 |
|
Liabilities in Excess of Other Assets - (18.38)% |
|
|
|
|
|
| (1,263,484 | ) |
TOTAL NET ASSETS - 100.00% |
|
|
|
|
| $ | 6,875,386 |
|
Asset Type | % of Net Assets | |||
Purchased Options | 117.11 | % | ||
Short Term Investments | 1.27 | |||
Total Investments | 118.38 | |||
Liabilities in Excess of Other Assets | (18.38 | ) | ||
Net Assets | 100.00 | % |
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments |
October 31, 2020 (Continued) |
Schedule of Options Written (a) |
|
|
October 31, 2020 |
|
|
Description | Expiration |
| Strike Price |
|
| Contracts |
|
| Notional Amount |
|
| Value |
| ||||
Call Options |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
IWM iShares Russell 2000 ETF | 9/30/2021 |
| $ | 160.49 |
|
|
| 465 |
|
| $ | (7,118,685 | ) |
| $ | (555,915 | ) |
QQQ Invesco QQQ Trust Series 1 | 9/30/2021 |
|
| 297.96 |
|
|
| 250 |
|
|
| (6,734,500 | ) |
|
| (424,072 | ) |
SPY SPDR S&P 500® Trust ETF | 9/30/2021 |
|
| 358.80 |
|
|
| 208 |
|
|
| (6,792,032 | ) |
|
| (279,756 | ) |
Total Options Written (Premiums Received $1,615,252) |
|
|
|
|
|
|
|
|
|
|
|
|
| $ | (1,259,743 | ) |
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR DOUBLE STACKER 9 BUFFER ETF – OCTOBER
Schedule of Investments |
October 31, 2020 |
|
| Contracts |
|
| Notional Amount |
|
| Value |
| |||
PURCHASED OPTIONS - 116.99% (a)(b) |
|
|
|
|
|
|
|
|
|
|
|
|
CALL OPTIONS - 105.91% |
|
|
|
|
|
|
|
|
|
|
|
|
QQQ Invesco QQQ Trust Series 1, Expires 9/30/2021, Strike Price $278.10 |
|
| 1,144 |
|
| $ | 30,817,072 |
|
| $ | 2,923,316 |
|
SPY SPDR S&P 500® Trust ETF, Expires 9/30/2021, Strike Price $2.68 |
|
| 950 |
|
|
| 31,021,300 |
|
|
| 30,123,538 |
|
|
|
|
|
|
|
|
|
|
|
| 33,046,854 |
|
PUT OPTIONS - 11.08% |
|
|
|
|
|
|
|
|
|
|
|
|
SPY SPDR S&P 500® Trust ETF, Expires 9/30/2021, Strike Price $334.89 |
|
| 950 |
|
|
| 31,021,300 |
|
|
| 3,457,195 |
|
|
|
|
|
|
|
|
|
|
|
| 3,457,195 |
|
TOTAL PURCHASED OPTIONS (Cost $37,840,842) |
|
|
|
|
|
|
|
|
|
| 36,504,049 |
|
SHORT TERM INVESTMENTS - 0.76% |
| Principal Amount |
|
|
|
|
| |
Money Market Deposit Account - 0.76% |
|
|
|
|
|
|
|
|
U.S. Bank Money Market Deposit Account, 0.03% (c) |
| $ | 237,420 |
|
|
| 237,420 |
|
TOTAL SHORT TERM INVESTMENTS (Cost $237,420) |
|
|
|
|
|
| 237,420 |
|
|
|
|
|
|
|
|
|
|
Total Investments (Cost $38,078,262) - 117.75% |
|
|
|
|
|
| 36,741,469 |
|
Liabilities in Excess of Other Assets - (17.75)% |
|
|
|
|
|
| (5,537,220 | ) |
TOTAL NET ASSETS - 100.00% |
|
|
|
|
| $ | 31,204,249 |
|
Asset Type | % of Net Assets | |||
Purchased Options | 116.99 | % | ||
Short Term Investments | 0.76 | |||
Total Investments | 117.75 | |||
Liabilities in Excess of Other Assets | (17.75 | ) | ||
Net Assets | 100.00 | % |
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments |
October 31, 2020 (Continued) |
Schedule of Options Written (a) |
|
|
October 31, 2020 |
|
|
Description | Expiration |
| Strike Price |
|
| Contracts |
|
| Notional Amount |
|
| Value |
| ||||
Call Options |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
QQQ Invesco QQQ Trust Series 1 | 9/30/2021 |
| $ | 298.71 |
|
|
| 1144 |
|
| $ | (30,817,072 | ) |
| $ | (1,946,579 | ) |
SPY SPDR S&P 500® Trust ETF | 9/30/2021 |
|
| 359.71 |
|
|
| 950 |
|
|
| (31,021,300 | ) |
|
| (1,242,802 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (3,189,381 | ) |
Put Options |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SPY SPDR S&P 500® Trust ETF | 9/30/2021 |
|
| 304.75 |
|
|
| 950 |
|
|
| (31,021,300 | ) |
|
| (2,345,452 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (2,345,452 | ) |
Total Options Written (Premiums Received $6,218,342) |
|
|
|
|
|
|
|
|
|
|
|
|
| $ | (5,534,833 | ) |
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
Statements of Assets and Liabilities
October 31, 2020
Assets: | ||||
Investments, at value (a) | ||||
Deposit at broker for options | ||||
Total Assets | ||||
Liabilities: | ||||
Payable to Adviser | ||||
Broker interest payable | ||||
Due to broker for options | ||||
Options written, at value (b) | ||||
Total Liabilities | ||||
Net Assets | ||||
Net Assets Consist of: | ||||
Capital stock | �� | |||
Total distributable earnings/(accumulated deficit) | ||||
Net Assets | ||||
Net Asset Value: | ||||
Net assets | ||||
Shares of beneficial interest outstanding (unlimted shares without par value authorized) | ||||
Net asset value price per share |
(a) | Cost of investments |
(b) | Premiums received |
The accompanying notes are an integral part of these financial statements.
Statements of Assets and Liabilities
October 31, 2020
Innovator MSCI EAFE Power Buffer ETF - January | Innovator MSCI EAFE Power Buffer ETF - July | |||||||
$ | 54,085,178 | $ | 74,611,844 | |||||
- | 14,906 | |||||||
54,085,178 | 74,626,750 | |||||||
38,085 | 51,195 | |||||||
177 | 24 | |||||||
272,634 | - | |||||||
1,359,585 | 4,692,316 | |||||||
1,670,481 | 4,743,535 | |||||||
$ | 52,414,697 | $ | 69,883,215 | |||||
$ | 53,179,864 | $ | 73,320,717 | |||||
(765,167 | ) | (3,437,502 | ) | |||||
$ | 52,414,697 | $ | 69,883,215 | |||||
$ | 52,414,697 | $ | 69,883,215 | |||||
2,200,000 | 3,075,000 | |||||||
$ | 23.82 | $ | 22.73 | |||||
$ | 59,538,108 | $ | 76,870,098 | |||||
861,674 | 7,122,509 |
The accompanying notes are an integral part of these financial statements.
Statements of Assets and Liabilities
October 31, 2020
Assets: | ||||
Investments, at value (a) | ||||
Total Assets | ||||
Liabilities: | ||||
Payable to Adviser | ||||
Broker interest payable | ||||
Due to broker for options | ||||
Options written, at value (b) | ||||
Total Liabilities | ||||
Net Assets | ||||
Net Assets Consist of: | ||||
Capital stock | ||||
Total distributable earnings/(accumulated deficit) | ||||
Net Assets | ||||
Net Asset Value: | ||||
Net assets | ||||
Shares of beneficial interest outstanding (unlimted shares without par value authorized) | ||||
Net asset value price per share |
(a) | Cost of investments |
(b) | Premiums received |
The accompanying notes are an integral part of these financial statements.
Innovator MSCI Emerging Markets Power Buffer ETF - January | Innovator MSCI Emerging Markets Power Buffer ETF - July | |||||||
$ | 28,486,908 | $ | 41,238,715 | |||||
28,486,908 | 41,238,715 | |||||||
22,265 | 26,607 | |||||||
109 | 15 | |||||||
167,112 | 31,033 | |||||||
357,769 | 5,983,966 | |||||||
547,255 | 6,041,621 | |||||||
$ | 27,939,653 | $ | 35,197,094 | |||||
$ | 28,506,255 | $ | 38,698,174 | |||||
(566,602 | ) | (3,501,080 | ) | |||||
$ | 27,939,653 | $ | 35,197,094 | |||||
$ | 27,939,653 | $ | 35,197,094 | |||||
1,025,000 | 1,375,000 | |||||||
$ | 27.26 | $ | 25.60 | |||||
$ | 32,148,228 | $ | 40,049,144 | |||||
382,665 | 5,461,119 |
The accompanying notes are an integral part of these financial statements.
Statements of Assets and Liabilities
October 31, 2020
Assets: | ||||
Investments, at value (a) | ||||
Total Assets | ||||
Liabilities: | ||||
Payable to Adviser | ||||
Broker interest payable | ||||
Due to broker for options | ||||
Options written, at value (b) | ||||
Total Liabilities | ||||
Net Assets | ||||
Net Assets Consist of: | ||||
Capital stock | ||||
Total distributable earnings/(accumulated deficit) | ||||
Net Assets | ||||
Net Asset Value: | ||||
Net assets | ||||
Shares of beneficial interest outstanding (unlimted shares without par value authorized) | ||||
Net asset value price per share |
(a) | Cost of investments |
(b) | Premiums received |
The accompanying notes are an integral part of these financial statements.
Innovator Nasdaq- 100 Power Buffer ETF - January | Innovator Nasdaq- 100 Power Buffer ETF - April | Innovator Nasdaq- 100 Power Buffer ETF - July | Innovator Nasdaq- 100 Power Buffer ETF - October | |||||||||||
$ | 51,196,637 | $ | 23,939,116 | $ | 67,834,914 | $ | 47,362,699 | |||||||
51,196,637 | 23,939,116 | 67,834,914 | 47,362,699 | |||||||||||
28,077 | 10,560 | 42,299 | 21,130 | |||||||||||
107 | - | 17 | 217 | |||||||||||
150,482 | 31,887 | 37,358 | 118,434 | |||||||||||
11,702,864 | 8,179,511 | 10,744,136 | 6,657,188 | |||||||||||
11,881,530 | 8,221,958 | 10,823,810 | 6,796,969 | |||||||||||
$ | 39,315,107 | $ | 15,717,158 | $ | 57,011,104 | $ | 40,565,730 | |||||||
$ | 39,315,107 | $ | 15,717,158 | $ | 57,011,104 | $ | 40,565,730 | |||||||
- | - | - | - | |||||||||||
$ | 39,315,107 | $ | 15,717,158 | $ | 57,011,104 | $ | 40,565,730 | |||||||
$ | 39,315,107 | $ | 15,717,158 | $ | 57,011,104 | $ | 40,565,730 | |||||||
1,050,000 | 450,000 | 1,350,000 | 1,210,000 | |||||||||||
$ | 37.44 | $ | 34.93 | $ | 42.23 | $ | 33.53 | |||||||
$ | 69,458,299 | $ | 23,250,817 | $ | 78,984,008 | $ | 48,635,175 | |||||||
2,244,970 | 1,579,820 | 8,399,189 | 7,309,471 |
The accompanying notes are an integral part of these financial statements.
Statements of Assets and Liabilities
October 31, 2020
Assets: | ||||
Investments, at value (a) | ||||
Deposit at broker for options | ||||
Total Assets | ||||
Liabilities: | ||||
Payable to Adviser | ||||
Broker interest payable | ||||
Due to broker for options | ||||
Options written, at value (b) | ||||
Total Liabilities | ||||
Net Assets | ||||
Net Assets Consist of: | ||||
Capital stock | ||||
Total distributable earnings/(accumulated deficit) | ||||
Net Assets | ||||
Net Asset Value: | ||||
Net assets | ||||
Shares of beneficial interest outstanding (unlimted shares without par value authorized) | ||||
Net asset value price per share |
(a) | Cost of investments |
(b) | Premiums received |
The accompanying notes are an integral part of these financial statements.
Innovator Russell 2000 Power Buffer ETF - January | Innovator Russell 2000 Power Buffer ETF - April | Innovator Russell 2000 Power Buffer ETF - July | Innovator Russell 2000 Power Buffer ETF - October | |||||||||||
$ | 172,615,914 | $ | 45,673,966 | $ | 26,728,783 | $ | 56,190,671 | |||||||
- | - | - | 6,832 | |||||||||||
172,615,914 | 45,673,966 | 26,728,783 | 56,197,503 | |||||||||||
114,410 | 24,978 | 17,442 | 31,996 | |||||||||||
- | - | 20 | 15 | |||||||||||
657,369 | 108,516 | 38,302 | - | |||||||||||
6,255,980 | 12,393,518 | 3,357,467 | 7,995,845 | |||||||||||
7,027,759 | 12,527,012 | 3,413,231 | 8,027,856 | |||||||||||
$ | 165,588,155 | $ | 33,146,954 | $ | 23,315,552 | $ | 48,169,647 | |||||||
$ | 166,837,280 | $ | 33,146,954 | $ | 23,315,552 | $ | 48,675,250 | |||||||
(1,249,125 | ) | - | - | (505,603 | ) | |||||||||
$ | 165,588,155 | $ | 33,146,954 | $ | 23,315,552 | $ | 48,169,647 | |||||||
$ | 165,588,155 | $ | 33,146,954 | $ | 23,315,552 | $ | 48,169,647 | |||||||
6,325,000 | 1,275,000 | 975,000 | 2,000,000 | |||||||||||
$ | 26.18 | $ | 26.00 | $ | 23.91 | $ | 24.08 | |||||||
$ | 197,728,476 | $ | 54,255,504 | $ | 30,928,699 | $ | 55,400,813 | |||||||
4,810,764 | 6,511,257 | 2,395,388 | 7,123,192 |
The accompanying notes are an integral part of these financial statements.
Statements of Assets and Liabilities
October 31, 2020
Assets: | ||||
Investments, at value (a) | ||||
Interest receivable | ||||
Total Assets | ||||
Liabilities: | ||||
Payable to Adviser | ||||
Due to broker for options | ||||
Options written, at value (b) | ||||
Total Liabilities | ||||
Net Assets | ||||
Net Assets Consist of: | ||||
Capital stock | ||||
Total distributable earnings/(accumulated deficit) | ||||
Net Assets | ||||
Net Asset Value: | ||||
Net assets | ||||
Shares of beneficial interest outstanding (unlimted shares without par value authorized) | ||||
Net asset value price per share |
(a) | Cost of investments |
(b) | Premiums received |
The accompanying notes are an integral part of these financial statements.
Innovator 20+ Year Treasury Bond 5 Floor ETF | Innovator 20+ Year Treasury Bond 9 Buffer ETF - July | |||||||
| ||||||||
$ | 3,124,856 | $ | 5,784,397 | |||||
1 | 1 | |||||||
3,124,857 | 5,784,398 | |||||||
2,071 | 3,811 | |||||||
40 | 41 | |||||||
69,572 | 307,528 | |||||||
71,683 | 311,380 | |||||||
$ | 3,053,174 | $ | 5,473,018 | |||||
$ | 3,136,304 | $ | 5,620,616 | |||||
(83,130 | ) | (147,598 | ) | |||||
$ | 3,053,174 | $ | 5,473,018 | |||||
$ | 3,053,174 | $ | 5,473,018 | |||||
125,000 | 225,000 | |||||||
$ | 24.43 | $ | 24.32 | |||||
$ | 3,209,797 | $ | 5,904,565 | |||||
92,484 | 317,828 |
The accompanying notes are an integral part of these financial statements.
Statements of Assets and Liabilities
October 31, 2020
Assets: | ||||
Investments, at value (a) | ||||
ETF variable fee receivable | ||||
Interest receivable | ||||
Total Assets | ||||
Liabilities: | ||||
Payable to Adviser | ||||
Due to broker for options | ||||
Options written, at value (b) | ||||
Total Liabilities | ||||
Net Assets | ||||
Net Assets Consist of: | ||||
Capital stock | ||||
Total distributable earnings/(accumulated deficit) | ||||
Net Assets | ||||
Net Asset Value: | ||||
Net assets | ||||
Shares of beneficial interest outstanding (unlimited shares without par value authorized) | ||||
Net asset value price per share |
(a) | Cost of investments |
(b) | Premiums received |
The accompanying notes are an integral part of these financial statements.
Innovator Double Stacker | Innovator Triple Stacker | Innovator Double Stacker 9 Buffer ETF - October | ||||||||||
| $ | 12,654,004 | $ | 8,138,870 | $ | 36,741,469 | ||||||
- | - | 6,320 | ||||||||||
1 | 1 | 3 | ||||||||||
12,654,005 | 8,138,871 | 36,747,792 | ||||||||||
3,133 | 3,742 | 8,710 | ||||||||||
47 | - | - | ||||||||||
849,754 | 1,259,743 | 5,534,833 | ||||||||||
852,934 | 1,263,485 | 5,543,543 | ||||||||||
$ | 11,801,071 | $ | 6,875,386 | $ | 31,204,249 | |||||||
$ | 12,007,243 | $ | 7,095,668 | $ | 31,866,241 | |||||||
(206,172 | ) | (220,282 | ) | (661,992 | ) | |||||||
$ | 11,801,071 | $ | 6,875,386 | $ | 31,204,249 | |||||||
$ | 11,801,071 | $ | 6,875,386 | $ | 31,204,249 | |||||||
475,000 | 275,000 | 1,250,000 | ||||||||||
$ | 24.84 | $ | 25.00 | $ | 24.96 | |||||||
$ | 13,066,502 | $ | 8,710,920 | $ | 38,078,262 | |||||||
1,059,259 | 1,615,252 | 6,218,342 |
The accompanying notes are an integral part of these financial statements.
Statements of Operations
For the Year or Period Ended October 31, 2020
Investment Income: | ||||
Interest | ||||
Total Investment Income | ||||
Expenses: | ||||
Investment advisory fee | ||||
Broker interest | ||||
Total Expenses | ||||
Net Investment Income/(Loss) | ||||
Realized & Unrealized Gain/(Loss): | ||||
Net realized gain/(loss) on: | ||||
Investments | ||||
Options written | ||||
Net change in unrealized appreciation/(depreciation) on: | ||||
Investments | ||||
Options written | ||||
Net Realized and Unrealized Gain/(Loss) on Investments and Options Written | ||||
Net Increase/(Decrease) in Net Assets Resulting From Operations |
(a) Since Commencement of Operations on December 31, 2019. |
|
The accompanying notes are an integral part of these financial statements.
Innovator MSCI EAFE Power Buffer ETF - January | (a) | Innovator MSCI EAFE Power Buffer ETF - | ||||||
| ||||||||
$ | 11 | $ | 73 | |||||
11 | 73 | |||||||
218,530 | 578,632 | |||||||
536 | 3,908 | |||||||
219,066 | 582,540 | |||||||
(219,055 | ) | (582,467 | ) | |||||
4,626,549 | (5,879,478 | ) | ||||||
778,180 | (1,518,850 | ) | ||||||
(5,452,930 | ) | 1,818,002 | ||||||
(497,911 | ) | 2,625,344 | ||||||
(546,112 | ) | (2,954,982 | ) | |||||
$ | (765,167 | ) | $ | (3,537,449 | ) |
The accompanying notes are an integral part of these financial statements.
Statements of Operations
For the Year or Period Ended October 31, 2020
Investment Income: | ||||
Interest | ||||
Total Investment Income | ||||
Expenses: | ||||
Investment advisory fee | ||||
Broker interest | ||||
Total Expenses | ||||
Net Investment Income/(Loss) | ||||
Realized & Unrealized Gain/(Loss): | ||||
Net realized gain/(loss) on: | ||||
Investments | ||||
Options written | ||||
Net change in unrealized appreciation/(depreciation) on: | ||||
Investments | ||||
Options written | ||||
Net Realized and Unrealized Gain/(Loss) on Investments and Options Written | ||||
Net Increase/(Decrease) in Net Assets Resulting From Operations |
(a) Since Commencement of Operations on December 31, 2019. |
|
Innovator MSCI Emerging Markets Power Buffer ETF - January | (a) | Innovator MSCI Emerging Markets Power Buffer ETF - July | ||||||
| ||||||||
$ | 11 | $ | 53 | |||||
11 | 53 | |||||||
158,335 | 366,511 | |||||||
395 | 2,710 | |||||||
158,730 | 369,221 | |||||||
(158,719 | ) | (369,168 | ) | |||||
3,128,508 | (3,614,153 | ) | ||||||
100,033 | (3,382,853 | ) | ||||||
(3,661,320 | ) | 4,143,733 | ||||||
24,896 | (360,254 | ) | ||||||
(407,883 | ) | (3,213,527 | ) | |||||
$ | (566,602 | ) | $ | (3,582,695 | ) |
The accompanying notes are an integral part of these financial statements.
Statements of Operations
For the Year or Period Ended October 31, 2020
Investment Income: | ||||
Interest | ||||
Total Investment Income | ||||
Expenses: | ||||
Investment advisory fee | ||||
Broker interest | ||||
Total Expenses | ||||
Net Investment Income/(Loss) | ||||
Realized & Unrealized Gain/(Loss): | ||||
Net realized gain/(loss) on: | ||||
Investments | ||||
Options written | ||||
Net change in unrealized appreciation/(depreciation) on: | ||||
Investments | ||||
Options written | ||||
Net Realized and Unrealized Gain/(Loss) on Investments and Options Written | ||||
Net Increase/(Decrease) in Net Assets Resulting From Operations |
(a) Since Commencement of Operations on December 31, 2019. |
(b) Since Commencement of Operations on March 31, 2020. |
(c) Since Commencement of Operations on June 30, 2020. |
The accompanying notes are an integral part of these financial statements.
Innovator Nasdaq-100 Power Buffer ETF - January | (a) | Innovator Nasdaq-100 Power Buffer ETF - April | (b) | Innovator Nasdaq-100 Power Buffer ETF - July | (c) | Innovator Nasdaq-100 Power Buffer ETF - October | ||||||||
$ | 7 | $ | - | $ | - | $ | 34 | |||||||
7 | - | - | 34 | |||||||||||
224,215 | 101,520 | 114,694 | 278,471 | |||||||||||
404 | 82 | 141 | 5,362 | |||||||||||
224,619 | 101,602 | 114,835 | 283,833 | |||||||||||
(224,612 | ) | (101,602 | ) | (114,835 | ) | (283,799 | ) | |||||||
29,829,697 | 11,593,497 | 11,324,670 | 22,370,074 | |||||||||||
387,067 | (3,442,096 | ) | 2,898,789 | (19,037,686 | ) | |||||||||
(18,261,662 | ) | 688,299 | (11,149,094 | ) | 304,266 | |||||||||
(9,457,894 | ) | (6,599,691 | ) | (2,344,947 | ) | 1,129,452 | ||||||||
2,497,208 | 2,240,009 | 729,418 | 4,766,106 | |||||||||||
$ | 2,272,596 | $ | 2,138,407 | $ | 614,583 | $ | 4,482,307 |
The accompanying notes are an integral part of these financial statements.
Statements of Operations
For the Year or Period Ended October 31, 2020
Investment Income: | ||||
Interest | ||||
Total Investment Income | ||||
Expenses: | ||||
Investment advisory fee | ||||
Broker interest | ||||
Total Expenses | ||||
Net Investment Income/(Loss) | ||||
Realized & Unrealized Gain/(Loss): | ||||
Net realized gain/(loss) on: | ||||
Investments | ||||
Options written | ||||
Net change in unrealized appreciation/(depreciation) on: | ||||
Investments | ||||
Options written | ||||
Net Realized and Unrealized Gain/(Loss) on Investments and Options Written | ||||
Net Increase/(Decrease) in Net Assets Resulting From Operations |
(a) Since Commencement of Operations on December 31, 2019. |
(b) Since Commencement of Operations on March 31, 2020. |
(c) Since Commencement of Operations on June 30, 2020. |
The accompanying notes are an integral part of these financial statements.
Innovator Russell 2000 Power Buffer | (a) | Innovator Russell 2000 Power Buffer ETF - April | (b) | Innovator Russell 2000 Power Buffer ETF - July | (c) | Innovator Russell 2000 Power Buffer ETF - October | ||||||||
$ | 73 | $ | - | $ | - | $ | 64 | |||||||
73 | - | - | 64 | |||||||||||
374,038 | 124,301 | 50,892 | 289,054 | |||||||||||
996 | 398 | 30 | 1,198 | |||||||||||
375,034 | 124,699 | 50,922 | 290,252 | |||||||||||
(374,961 | ) | (124,699 | ) | (50,922 | ) | (290,188 | ) | |||||||
21,815,369 | 16,946,402 | 4,924,966 | (5,787,239 | ) | ||||||||||
3,868,245 | 122,589 | 935,473 | 3,284,753 | |||||||||||
(25,112,562 | ) | (8,581,538 | ) | (4,199,916 | ) | 2,751,380 | ||||||||
(1,445,216 | ) | (5,882,261 | ) | (962,079 | ) | (504,879 | ) | |||||||
(874,164 | ) | 2,605,192 | 698,444 | (255,985 | ) | |||||||||
$ | (1,249,125 | ) | $ | 2,480,493 | $ | 647,522 | $ | (546,173 | ) |
The accompanying notes are an integral part of these financial statements.
Statements of Operations
For the Period Ended October 31, 2020
Investment Income: | ||||
Interest | ||||
Total Investment Income | ||||
Expenses: | ||||
Investment advisory fee | ||||
Broker interest | ||||
Total Expenses | ||||
Net Investment Income/(Loss) | ||||
Realized & Unrealized Gain/(Loss): | ||||
Net realized gain/(loss) on: | ||||
Investments | ||||
Redemptions sold in-kind on investments | ||||
Redemptions sold in-kind on options written | ||||
Options written | ||||
Net change in unrealized appreciation/(depreciation) on: | ||||
Investments | ||||
Options written | ||||
Net Realized and Unrealized Gain/(Loss) on Investments and Options Written | ||||
Net Increase/(Decrease) in Net Assets Resulting From Operations |
(a) Since Commencement of Operations on August 17, 2020.
The accompanying notes are an integral part of these financial statements.
Innovator 20+ Year Treasury Bond 5 Floor ETF - July | (a) | Innovator 20+ Year Treasury Bond 9 Buffer ETF - July | (a) | |||||||
| $ | 1 | $ | 3 | ||||||
1 | 3 | |||||||||
4,634 | 9,100 | |||||||||
88 | 53 | |||||||||
4,722 | 9,153 | |||||||||
(4,721 | ) | (9,150 | ) | |||||||
(5,815 | ) | (26,198 | ) | |||||||
4,793 | - | |||||||||
4,882 | - | |||||||||
(10,565 | ) | (2,382 | ) | |||||||
(84,941 | ) | (120,168 | ) | |||||||
22,912 | 10,300 | |||||||||
(68,734 | ) | (138,448 | ) | |||||||
$ | (73,455 | ) | $ | (147,598 | ) |
The accompanying notes are an integral part of these financial statements.
Statements of Operations
For the Period Ended October 31, 2020
Investment Income: | ||||
Interest | ||||
Total Investment Income | ||||
Expenses: | ||||
Investment advisory fee | ||||
Broker interest | ||||
Total Expenses | ||||
Net Investment Income/(Loss) | ||||
Realized & Unrealized Gain/(Loss): | ||||
Net realized gain/(loss) on: | ||||
Investments | ||||
Options written | ||||
Net change in unrealized appreciation/(depreciation) on: | ||||
Investments | ||||
Options written | ||||
Net Realized and Unrealized Gain/(Loss) on Investments and Options Written | ||||
Net Increase/(Decrease) in Net Assets Resulting From Operations |
(a) Since Commencement of Operations on September 30, 2020.
The accompanying notes are an integral part of these financial statements.
Innovator Double | (a) | Innovator | (a) | Innovator Double Stacker 9 Buffer ETF - October | (a) | ||||||||||
$ | 1 | $ | 1 | $ | 3 | ||||||||||
1 | 1 | 3 | |||||||||||||
3,133 | 3,742 | 8,711 | |||||||||||||
47 | - | - | |||||||||||||
3,180 | 3,742 | 8,711 | |||||||||||||
(3,179 | ) | (3,741 | ) | (8,708 | ) | ||||||||||
- | - | - | |||||||||||||
- | - | - | |||||||||||||
(412,498 | ) | (572,050 | ) | (1,336,793 | ) | ||||||||||
209,505 | 355,509 | 683,509 | |||||||||||||
(202,993 | ) | (216,541 | ) | (653,284 | ) | ||||||||||
$ | (206,172 | ) | $ | (220,282 | ) | $ | (661,992 | ) |
The accompanying notes are an integral part of these financial statements.
Statements of Changes in Net Assets
Operations: |
Net investment income/(loss) |
Net realized gain/(loss) |
Net change in unrealized appreciation/(depreciation) |
Net Increase/(Decrease) in Net Assets Resulting from Operations |
|
Distributions to Shareholders: |
Net distributions to shareholders |
|
Capital Share Transactions: |
Proceeds from shares sold |
Cost of shares redeemed |
Transaction fees (see Note 5) |
Net Increase/(Decrease) in Net Assets from Capital Share Transactions |
Total Increase/(Decrease) in Net Assets |
|
Net Assets: |
Beginning of period |
End of period |
|
Change in Shares Outstanding: |
Shares sold |
Shares redeemed |
Net Increase/(Decrease) |
(a) Since Commencement of Operations on December 31, 2019. |
(b) Since Commencement of Operations on June 28, 2019. |
The accompanying notes are an integral part of these financial statements.
Innovator MSCI EAFE Power Buffer ETF - January | Innovator MSCI EAFE Power Buffer ETF - July | |||||||||||||
Period Ended | Year Ended | Period Ended | ||||||||||||
October 31, 2020 | (a) | April 30, 2020 | October 31, 2019 | (b) | ||||||||||
| ||||||||||||||
$ | (219,055 | ) | $ | (582,467 | ) | $ | (89,408 | ) | ||||||
5,404,729 | (7,398,328 | ) | 5,555,738 | |||||||||||
(5,950,841 | ) | 4,443,346 | (4,271,407 | ) | ||||||||||
(765,167 | ) | (3,537,449 | ) | 1,194,923 | ||||||||||
- | (657,216 | ) | - | |||||||||||
109,498,545 | 51,153,450 | 126,474,890 | ||||||||||||
(56,347,723 | ) | (40,972,137 | ) | (63,850,565 | ) | |||||||||
29,042 | 46,063 | 31,256 | ||||||||||||
53,179,864 | 10,227,376 | 62,655,581 | ||||||||||||
$ | 52,414,697 | $ | 6,032,711 | $ | 63,850,504 | |||||||||
$ | - | $ | 63,850,504 | $ | - | |||||||||
$ | 52,414,697 | $ | 69,883,215 | $ | 63,850,504 | |||||||||
4,575,000 | 2,250,000 | 5,450,000 | ||||||||||||
(2,375,000 | ) | (1,900,000 | ) | (2,725,000 | ) | |||||||||
2,200,000 | 350,000 | 2,725,000 |
The accompanying notes are an integral part of these financial statements.
Statements of Changes in Net Assets
Operations: |
Net investment income/(loss) |
Net realized gain/(loss) |
Net change in unrealized appreciation/(depreciation) |
Net Increase/(Decrease) in Net Assets Resulting from Operations |
|
Distributions to Shareholders: |
Net distributions to shareholders |
|
Capital Share Transactions: |
Proceeds from shares sold |
Cost of shares redeemed |
Transaction fees (see Note 5) |
Net Increase/(Decrease) in Net Assets from Capital Share Transactions |
Total Increase/(Decrease) in Net Assets |
|
Net Assets: |
Beginning of period |
End of period |
|
Change in Shares Outstanding: |
Shares sold |
Shares redeemed |
Net Increase/(Decrease) |
(a) Since Commencement of Operations on December 31, 2019. |
(b) Since Commencement of Operations on June 28, 2019. |
The accompanying notes are an integral part of these financial statements.
Innovator MSCI Emerging Markets Power Buffer ETF - January | Innovator MSCI Emerging Markets Power Buffer ETF - July | |||||||||||||
Period Ended | Year Ended | Period Ended | ||||||||||||
October 31, 2020 | (a) | October 31, 2020 | October 31, 2019 | (b) | ||||||||||
| ||||||||||||||
$ | (158,719 | ) | $ | (369,168 | ) | $ | (75,318 | ) | ||||||
3,228,541 | (6,997,006 | ) | 3,741,508 | |||||||||||
(3,636,424 | ) | 3,783,479 | (3,116,755 | ) | ||||||||||
(566,602 | ) | (3,582,695 | ) | 549,435 | ||||||||||
- | (302,202 | ) | - | |||||||||||
71,613,185 | 46,070,645 | 86,546,500 | ||||||||||||
(43,134,695 | ) | (50,595,670 | ) | (43,558,665 | ) | |||||||||
27,765 | 48,333 | 21,413 | ||||||||||||
28,506,255 | (4,476,692 | ) | 43,009,248 | |||||||||||
$ | 27,939,653 | $ | (8,361,589 | ) | $ | 43,558,683 | ||||||||
$ | - | $ | 43,558,683 | $ | - | |||||||||
$ | 27,939,653 | $ | 35,197,094 | $ | 43,558,683 | |||||||||
2,650,000 | 1,850,000 | 3,450,000 | ||||||||||||
(1,625,000 | ) | (2,200,000 | ) | (1,725,000 | ) | |||||||||
1,025,000 | (350,000 | ) | 1,725,000 |
The accompanying notes are an integral part of these financial statements.
Statements of Changes in Net Assets
Operations: |
Net investment income/(loss) |
Net realized gain/(loss) |
Net change in unrealized appreciation/(depreciation) |
Net Increase/(Decrease) in Net Assets Resulting from Operations |
|
Distributions to Shareholders: |
Net distributions to shareholders |
|
Capital Share Transactions: |
Proceeds from shares sold |
Cost of shares redeemed |
Transaction fees (see Note 5) |
Net Increase/(Decrease) in Net Assets from Capital Share Transactions |
Total Increase/(Decrease) in Net Assets |
|
Net Assets: |
Beginning of period |
End of period |
|
Change in Shares Outstanding: |
Shares sold |
Shares redeemed |
Net Increase/(Decrease) |
(a) Since Commencement of Operations on December 31, 2019. |
(b) Since Commencement of Operations on March 31, 2020. |
(c) Since Commencement of Operations on June 30, 2020. |
(d) Since Commencement of Operations on September 30, 2019. |
The accompanying notes are an integral part of these financial statements.
Innovator Nasdaq-100 Power Buffer ETF - January | Innovator Nasdaq-100 Power Buffer ETF - April | Innovator Nasdaq-100 Power Buffer ETF - July | Innovator Nasdaq-100 Power Buffer ETF - October | |||||||||||||||||||
Period Ended | Period Ended | Period Ended | Year Ended | Period Ended | ||||||||||||||||||
October 31, 2020 | (a) | October 31, 2020 | (b) | October 31, 2020 | (c) | October 31, 2020 | October 31, 2019 | (d) | ||||||||||||||
$ | (224,612 | ) | $ | (101,602 | ) | $ | (114,835 | ) | $ | (283,799 | ) | $ | (14,836 | ) | ||||||||
30,216,764 | 8,151,401 | 14,223,459 | 3,332,388 | 2,635,147 | ||||||||||||||||||
(27,719,556 | ) | (5,911,392 | ) | (13,494,041 | ) | 1,433,718 | (2,053,911 | ) | ||||||||||||||
2,272,596 | 2,138,407 | 614,583 | 4,482,307 | 566,400 | ||||||||||||||||||
- | - | - | (311,517 | ) | ||||||||||||||||||
107,051,378 | 38,555,993 | 121,986,685 | 86,024,859 | 51,720,228 | ||||||||||||||||||
(70,054,208 | ) | (25,007,460 | ) | (65,624,705 | ) | (75,832,672 | ) | (26,148,953 | ) | |||||||||||||
45,341 | 30,218 | 34,541 | 53,850 | 11,228 | ||||||||||||||||||
37,042,511 | 13,578,751 | 56,396,521 | 10,246,037 | 25,582,503 | ||||||||||||||||||
$ | 39,315,107 | $ | 15,717,158 | $ | 57,011,104 | $ | 14,416,827 | $ | 26,148,903 | |||||||||||||
$ | - | $ | - | $ | - | $ | 26,148,903 | $ | - | |||||||||||||
$ | 39,315,107 | $ | 15,717,158 | $ | 57,011,104 | $ | 40,565,730 | $ | 26,148,903 | |||||||||||||
2,975,000 | 1,175,000 | 2,875,000 | 2,660,000 | 1,650,000 | ||||||||||||||||||
(1,925,000 | ) | (725,000 | ) | (1,525,000 | ) | (2,275,000 | ) | (825,000 | ) | |||||||||||||
1,050,000 | 450,000 | 1,350,000 | 385,000 | 825,000 |
The accompanying notes are an integral part of these financial statements.
Statements of Changes in Net Assets
Operations: |
Net investment income/(loss) |
Net realized gain/(loss) |
Net change in unrealized appreciation/(depreciation) |
Net Increase/(Decrease) in Net Assets Resulting from Operations |
|
Distributions to Shareholders: |
Net distributions to shareholders |
|
Capital Share Transactions: |
Proceeds from shares sold |
Cost of shares redeemed |
Transaction fees (see Note 5) |
Net Increase/(Decrease) in Net Assets from Capital Share Transactions |
Total Increase/(Decrease) in Net Assets |
|
Net Assets: |
Beginning of period |
End of period |
|
Change in Shares Outstanding: |
Shares sold |
Shares redeemed |
Net Increase/(Decrease) |
(a) Since Commencement of Operations on December 31, 2019. |
(b) Since Commencement of Operations on March 31, 2020. |
© Since Commencement of Operations on June 30, 2020. |
© Since Commencement of Operations on September 30, 2019. |
The accompanying notes are an integral part of these financial statements.
Innovator Russell 2000 Power Buffer ETF – January | Innovator Russell 2000 Power Buffer ETF – April | Innovator Russell 2000 Power Buffer ETF – July | Innovator Russell 2000 Power Buffer ETF – October | |||||||||||||||||||
Period Ended | Period Ended | Period Ended | Year Ended | Period Ended | ||||||||||||||||||
October 31, 2020 | (a) | October 31, 2020 | (b) | October 31, 2020 | © | October 31, 2020 | October 31, 2019 | (d) | ||||||||||||||
$ | (374,961 | ) | $ | (124,699 | ) | $ | (50,922 | ) | $ | (290,188 | ) | $ | (13,669 | ) | ||||||||
25,683,614 | 17,068,991 | 5,860,439 | (2,502,486 | ) | 2,772,757 | |||||||||||||||||
(26,557,778 | ) | (14,463,799 | ) | (5,161,995 | ) | 2,246,501 | (2,329,296 | ) | ||||||||||||||
(1,249,125 | ) | 2,480,493 | 647,522 | (546,173 | ) | 429,792 | ||||||||||||||||
- | - | - | (240,888 | ) | - | |||||||||||||||||
357,573,883 | 75,646,125 | 46,775,700 | 87,022,548 | 52,681,035 | ||||||||||||||||||
(190,841,618 | ) | (45,004,065 | ) | (24,117,892 | ) | (65,270,113 | ) | (25,943,715 | ) | |||||||||||||
105,015 | 24,401 | 10,222 | 25,054 | 12,107 | ||||||||||||||||||
166,837,280 | 30,666,461 | 22,668,030 | 21,777,489 | 26,749,427 | ||||||||||||||||||
$ | 165,588,155 | $ | 33,146,954 | $ | 23,315,552 | $ | 20,990,428 | $ | 27,179,219 | |||||||||||||
$ | - | $ | - | $ | - | $ | 27,179,219 | $ | - | |||||||||||||
$ | 165,588,155 | $ | 33,146,954 | $ | 23,315,552 | $ | 48,169,647 | $ | 27,179,219 | |||||||||||||
13,625,000 | 3,000,000 | 1,950,000 | 3,625,000 | 2,150,000 | ||||||||||||||||||
(7,300,000 | ) | (1,725,000 | ) | (975,000 | ) | (2,725,000 | ) | (1,050,000 | ) | |||||||||||||
6,325,000 | 1,275,000 | 975,000 | 900,000 | 1,100,000 |
The accompanying notes are an integral part of these financial statements.
Statements of Changes in Net Assets
Operations: |
Net investment income/(loss) |
Net realized gain/(loss) |
Net change in unrealized appreciation/(depreciation) |
Net Increase/(Decrease) in Net Assets Resulting from Operations |
|
Capital Share Transactions: |
Proceeds from shares sold |
Cost of shares redeemed |
Transaction fees (see Note 5) |
Net Increase/(Decrease) in Net Assets from Capital Share Transactions |
Total Increase/(Decrease) in Net Assets |
|
Net Assets: |
Beginning of period |
End of period |
|
Change in Shares Outstanding: |
Shares sold |
Shares redeemed |
Net Increase/(Decrease) |
(a) Since Commencement of Operations on August 17, 2020.
The accompanying notes are an integral part of these financial statements.
Innovator 20+ Year Treasury Bond 5 Floor ETF - July | Innovator 20+ Year Treasury Bond 9 Buffer ETF - July | |||||||||
Period Ended | Period Ended | |||||||||
October 31, 2020 | (a) | October 31, 2020 | (a) | |||||||
| $ | (4,721 | ) | $ | (9,150 | ) | ||||
(6,705 | ) | (28,580 | ) | |||||||
(62,029 | ) | (109,868 | ) | |||||||
(73,455 | ) | (147,598 | ) | |||||||
5,592,057 | 6,853,705 | |||||||||
(2,467,600 | ) | (1,235,890 | ) | |||||||
2,172 | 2,801 | |||||||||
3,126,629 | 5,620,616 | |||||||||
$ | 3,053,174 | $ | 5,473,018 | |||||||
$ | - | $ | - | |||||||
$ | 3,053,174 | $ | 5,473,018 | |||||||
225,000 | 275,000 | |||||||||
(100,000 | ) | (50,000 | ) | |||||||
125,000 | 225,000 |
The accompanying notes are an integral part of these financial statements.
Statements of Changes in Net Assets
Operations: |
Net investment income/(loss) |
Net realized gain/(loss) |
Net change in unrealized appreciation/(depreciation) |
Net Increase/(Decrease) in Net Assets Resulting from Operations |
|
Capital Share Transactions: |
Proceeds from shares sold |
Cost of shares redeemed |
Transaction fees (see Note 5) |
Net Increase/(Decrease) in Net Assets from Capital Share Transactions |
Total Increase/(Decrease) in Net Assets |
|
Net Assets: |
Beginning of period |
End of period |
|
Change in Shares Outstanding: |
Shares sold |
Shares redeemed |
Net Increase/(Decrease) |
(a) Since Commencement of Operations on September 30, 2020.
The accompanying notes are an integral part of these financial statements.
Innovator Double Stacker ETF - October | Innovator Triple Stacker | Innovator Double Stacker 9 Buffer | |||||||||||||
Period Ended | Period Ended | Period Ended | |||||||||||||
October 31, 2020 | (a) | October 31, 2020 | (a) | October 31, 2020 | (a) | ||||||||||
| |||||||||||||||
$ | (3,179 | ) | $ | (3,741 | ) | $ | (8,708 | ) | |||||||
- | - | - | |||||||||||||
(202,993 | ) | (216,541 | ) | (653,284 | ) | ||||||||||
(206,172 | ) | (220,282 | ) | (661,992 | ) | ||||||||||
12,002,515 | 7,093,395 | 31,851,588 | |||||||||||||
- | - | - | |||||||||||||
4,728 | 2,273 | 14,653 | |||||||||||||
12,007,243 | 7,095,668 | 31,866,241 | |||||||||||||
$ | 11,801,071 | $ | 6,875,386 | $ | 31,204,249 | ||||||||||
$ | - | $ | - | $ | - | ||||||||||
$ | 11,801,071 | $ | 6,875,386 | $ | 31,204,249 | ||||||||||
475,000 | 275,000 | 1,250,000 | |||||||||||||
- | - | - | |||||||||||||
475,000 | 275,000 | 1,250,000 |
The accompanying notes are an integral part of these financial statements.
Financial Highlights
Per Share Operating Performance (For a share outstanding throughout each period) | ||||||||||||||||||||||||
Investment Operations: | Capital Share Transactions: | Less Distributions: | ||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net investment income/ | Net realized and unrealized gain/(loss) | Total From Investment Operations | Transaction fees (see | Distributions from realized gains | |||||||||||||||||||
Innovator MSCI EAFE Power Buffer ETF - January | ||||||||||||||||||||||||
For the period 12/31/2019(d) - 10/31/2020 | $ | 24.44 | (0.17 | ) | (0.47 | ) | (0.64 | ) | 0.02 | - | ||||||||||||||
Innovator MSCI EAFE Power Buffer ETF - July | ||||||||||||||||||||||||
For the year ended 10/31/2020 | $ | 23.43 | (0.19 | ) | (0.30 | ) | (0.49 | ) | 0.02 | (0.23 | ) | |||||||||||||
For the period 6/28/2019(d) - 10/31/2019 | $ | 23.04 | (0.06 | ) | 0.43 | 0.37 | 0.02 | - |
(a) Annualized for periods less than one year. |
(b) Not annualized for periods less than one year. |
(c) Net investment income/(loss) per share has been calculated based on average shares outstanding during the period. |
(d) Commencement of operations. |
(e) Includes broker interest expense of 0.01%. |
The accompanying notes are an integral part of these financial statements.
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Ratio to Average Net Assets of: (a) | |||||||||||||||||||||||||
Change in Net Asset Value for the Period | Net Asset Value, End of Period | Total return (b) | Net assets, end of period (000) | Expenses | Net investment income/(loss) | Portfolio turnover rate (b) | |||||||||||||||||||
(0.62 | ) | $ | 23.82 | (2.52 | )% | $ | 52,415 | 0.85 | % | (0.85 | )% | 0 | % | ||||||||||||
(0.70 | ) | $ | 22.73 | (2.04 | )% | $ | 69,883 | 0.86 | %(e) | (0.86 | )% | 0 | % | ||||||||||||
0.39 | $ | 23.43 | 1.70 | % | $ | 63,851 | 0.85 | % | (0.85 | )% | 99 | % |
The accompanying notes are an integral part of these financial statements.
Financial Highlights
Per Share Operating Performance (For a share outstanding throughout each period) | |||||||||||||||||||||||||
Investment Operations: | Capital Share Transactions: | Less Distributions: | |||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net investment income/ | Net realized and unrealized gain/(loss) | Total From Investment Operations | Transaction fees (see Note 5) | Distributions from realized gains | ||||||||||||||||||||
Innovator MSCI Emerging Markets Power Buffer ETF - January | |||||||||||||||||||||||||
For the period 12/31/2019(d) - 10/31/2020 | $ | 26.80 | (0.19 | ) | 0.62 | (e) | 0.43 | 0.03 | - | ||||||||||||||||
Innovator MSCI Emerging Markets Power Buffer ETF - July | |||||||||||||||||||||||||
For the year ended 10/31/2020 | $ | 25.25 | (0.22 | ) | 0.71 | (e) | 0.49 | 0.03 | (0.17 | ) | |||||||||||||||
For the period 6/28/2019(d) - 10/31/2019 | $ | 25.28 | (0.07 | ) | 0.02 | (e) | (0.05 | ) | 0.02 | - |
(a) | Annualized for periods less than one year. |
(b) | Not annualized for periods less than one year. |
(c) | Net investment income/(loss) per share has been calculated based on average shares outstanding during the period. |
(d) | Commencement of operations. |
(e) | Net realized and unrealized gain/(loss) per share includes balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gain/(loss) in the Statement of Operations due to share transactions for the period. |
(f) | Includes broker interest expense of 0.01%. |
The accompanying notes are an integral part of these financial statements.
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Ratio to Average Net Assets of: (a) | |||||||||||||||||||||||||
Change in Net Asset Value for the Period | Net Asset Value, End of Period | Total return (b) | Net assets, end of period (000) | Expenses | Net investment income/(loss) | Portfolio turnover rate (b) | |||||||||||||||||||
0.46 | $ | 27.26 | 1.71 | % | $ | 27,940 | 0.89 | % | (0.89 | )% | 0 | % | |||||||||||||
0.35 | $ | 25.60 | 2.04 | % | $ | 35,197 | 0.90 | %(f) | (0.90 | )% | 0 | % | |||||||||||||
(0.03 | ) | $ | 25.25 | (0.11 | )% | $ | 43,559 | 0.89 | % | (0.89 | )% | 31 | % |
The accompanying notes are an integral part of these financial statements.
Financial Highlights
Per Share Operating Performance (For a share outstanding throughout each period) | ||||||||||||||||||||||||
Investment Operations: | Capital Share Transactions: | Less Distributions: | ||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net investment income/ | Net realized and unrealized gain/(loss) | Total From Investment Operations | Transaction fees (see | Distributions from net realized gains | |||||||||||||||||||
Innovator Nasdaq-100 Power Buffer ETF - January | ||||||||||||||||||||||||
For the period 12/31/2019(d) - 10/31/2020 | $ | 34.94 | (0.24 | ) | 2.69 | 2.45 | 0.05 | - | ||||||||||||||||
Innovator Nasdaq-100 Power Buffer ETF - April | ||||||||||||||||||||||||
For the period 3/31/2020(d) - 10/31/2020 | $ | 31.27 | (0.16 | ) | 3.77 | 3.61 | 0.05 | - | ||||||||||||||||
Innovator Nasdaq-100 Power Buffer ETF - July | ||||||||||||||||||||||||
For the period 6/30/2020(d) - 10/31/2020 | $ | 40.64 | (0.11 | ) | 1.67 | 1.56 | 0.03 | - | ||||||||||||||||
Innovator Nasdaq-100 Power Buffer ETF - October | ||||||||||||||||||||||||
For the year ended 10/31/2020 | $ | 31.70 | (0.26 | ) | 2.39 | 2.13 | 0.05 | (0.35 | ) | |||||||||||||||
For the period 9/30/2019(d) - 10/31/2019 | $ | 31.01 | (0.02 | ) | 0.70 | 0.68 | 0.01 | - |
(a) Annualized for periods less than one year. |
(b) Not annualized for periods less than one year. |
(c) Net investment income/(loss) per share has been calculated based on average shares outstanding during the period. |
(d) Commencement of operations. |
(e) Includes broker interest expense of 0.02%. |
The accompanying notes are an integral part of these financial statements.
Ratios/Supplemental Data: | ||||||||||||||||||||||||||
Ratio to Average Net Assets of: (a) | ||||||||||||||||||||||||||
Change in Net Asset Value for the Period | Net Asset Value, End of Period | Total return (b) | Net assets, end of period (000) | Expenses | Net investment income/(loss) | Portfolio turnover rate (b) | ||||||||||||||||||||
2.50 | $ | 37.44 | 7.16 | % | $ | 39,315 | 0.79 | % | (0.79 | )% | 0 | % | ||||||||||||||
3.66 | $ | 34.93 | 11.69 | % | $ | 15,717 | 0.79 | % | (0.79 | )% | 0 | % | ||||||||||||||
1.59 | $ | 42.23 | 3.91 | % | $ | 57,011 | 0.79 | % | (0.79 | )% | 0 | % | ||||||||||||||
1.83 | $ | 33.53 | 6.92 | % | $ | 40,566 | 0.81 | % | (e) | (0.81 | )% | 0 | % | |||||||||||||
0.69 | $ | 31.70 | 2.21 | % | $ | 26,149 | 0.79 | % | (0.79 | )% | 0 | % |
The accompanying notes are an integral part of these financial statements.
Financial Highlights
Per Share Operating Performance (For a share outstanding throughout each period) | ||||||||||||||||||||||||
Investment Operations: | Capital Share Transactions: | Less Distributions: | ||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net investment income/ | Net realized and unrealized gain/(loss) | Total From Investment Operations | Transaction fees (see Note 5) | Distributions from realized gains | |||||||||||||||||||
Innovator Russell 2000 Power Buffer ETF - January | ||||||||||||||||||||||||
For the period 12/31/2019(d) - 10/31/2020 | $ | 26.70 | (0.17 | ) | (0.40 | ) | (0.57 | ) | 0.05 | - | ||||||||||||||
Innovator Russell 2000 Power Buffer ETF - April | ||||||||||||||||||||||||
For the period 3/31/2020(d) - 10/31/2020 | $ | 23.05 | (0.12 | ) | 3.05 | 2.93 | 0.02 | - | ||||||||||||||||
Innovator Russell 2000 Power Buffer ETF - July | ||||||||||||||||||||||||
For the period 6/30/2020(d) - 10/31/2020 | $ | 23.07 | (0.06 | ) | 0.89 | 0.83 | 0.01 | - | ||||||||||||||||
Innovator Russell 2000 Power Buffer ETF - October | ||||||||||||||||||||||||
For the year ended 10/31/2020 | $ | 24.71 | (0.19 | ) | (0.26 | ) | (0.45 | ) | 0.02 | (0.20 | ) | |||||||||||||
For the period 9/30/2019(d) - 10/31/2019 | $ | 24.38 | (0.01 | ) | 0.33 | 0.32 | 0.01 | - |
(a) Annualized for periods less than one year. |
(b) Not annualized for periods less than one year. |
(c) Net investment income/(loss) per share has been calculated based on average shares outstanding during the period. |
(d) Commencement of operations. |
The accompanying notes are an integral part of these financial statements.
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Ratio to Average Net Assets of: (a) | |||||||||||||||||||||||||
Change in Net Asset Value for the Period | Net Asset Value, End of Period | Total return (b) | Net assets, end of period (000) | Expenses | Net investment income/(loss) | Portfolio turnover rate (b) | |||||||||||||||||||
(0.52 | ) | $ | 26.18 | (1.95 | )% | $ | 165,588 | 0.79 | % | (0.79 | )% | 0 | % | ||||||||||||
2.95 | $ | 26.00 | 12.79 | % | $ | 33,147 | 0.79 | % | (0.79 | )% | 0 | % | |||||||||||||
0.84 | $ | 23.91 | 3.66 | % | $ | 23,316 | 0.79 | % | (0.79 | )% | 0 | % | |||||||||||||
(0.63 | ) | $ | 24.08 | (1.73 | )% | $ | 48,170 | 0.79 | % | (0.79 | )% | 0 | % | ||||||||||||
0.33 | $ | 24.71 | 1.35 | % | $ | 27,179 | 0.79 | % | (0.74 | )% | 0 | % |
The accompanying notes are an integral part of these financial statements.
Financial Highlights
Per Share Operating Performance (For a share outstanding throughout each period) | ||||||||||||||||||||
Investment Operations: | Capital Share Transactions: | |||||||||||||||||||
Net Asset Value, Beginning of Period | Net investment income/(loss) (c) | Net realized and unrealized gain/(loss) | Total From Investment Operations | Transaction fees (see Note 5) | ||||||||||||||||
Innovator 20+ Year Treasury Bond 5 Floor ETF - July | ||||||||||||||||||||
For the period 8/17/2019(d) - 10/31/2020 | $ | 24.87 | (0.04 | ) | (0.42 | ) | (0.46 | ) | 0.02 | |||||||||||
Innovator 20+ Year Treasury Bond 9 Buffer ETF - July | ||||||||||||||||||||
For the period 8/17/2020(d) - 10/31/2020 | $ | 24.87 | (0.04 | ) | (0.52 | ) | (0.56 | ) | 0.01 |
(a) Annualized for periods less than one year. |
(b) Not annualized for periods less than one year. |
(c) Net investment income/(loss) per share has been calculated based on average shares outstanding during the period. |
(d) Commencement of operations. |
(e) Includes broker interest expense of 0.01%. |
The accompanying notes are an integral part of these financial statements.
Ratios/Supplemental Data: | ||||||||||||||||||||||||||
Ratio to Average Net Assets of: (a) | ||||||||||||||||||||||||||
Change in Net Asset Value for the Period | Net Asset Value, End of Period | Total return (b) | Net assets, end of period (000) | Expenses | Net investment income/(loss) | Portfolio turnover rate (b) | ||||||||||||||||||||
(0.44 | ) | $ | 24.43 | (1.79 | )% | $ | 3,053 | 0.80 | % | (e) | (0.80 | )% | 0 | % | ||||||||||||
(0.55 | ) | $ | 24.32 | (2.19 | )% | $ | 5,473 | 0.79 | % | (0.79 | )% | 0 | % |
The accompanying notes are an integral part of these financial statements.
Financial Highlights
Per Share Operating Performance (For a share outstanding throughout each period) | ||||||||||||||||||||
Investment Operations: | Capital Share Transactions: | |||||||||||||||||||
Net Asset Value, Beginning of Period | Net investment income/(loss) (c) | Net realized and unrealized gain/(loss) | Total From Investment Operations | Transaction fees (see Note 5) | ||||||||||||||||
Innovator Double Stacker ETF - October | ||||||||||||||||||||
For the period 9/30/2020(d) - 10/31/2020 | $ | 25.47 | (0.02 | ) | (0.64 | ) | (0.66 | ) | 0.03 | |||||||||||
Innovator Triple Stacker ETF - October | ||||||||||||||||||||
For the period 9/30/2020(d) - 10/31/2020 | $ | 25.46 | (0.02 | ) | (0.45 | ) | (0.47 | ) | 0.01 | |||||||||||
Innovator Double Stacker 9 Buffer ETF - October | ||||||||||||||||||||
For the period 9/30/2020(d) - 10/31/2020 | $ | 25.46 | (0.02 | ) | (0.51 | ) | (0.53 | ) | 0.03 |
(a) Annualized for periods less than one year. |
(b) Not annualized for periods less than one year. |
(c) Net investment income/(loss) per share has been calculated based on average shares outstanding during the period. |
(d) Commencement of operations. |
(e) Includes broker interest expense of 0.01%. |
The accompanying notes are an integral part of these financial statements.
Ratios/Supplemental Data: | ||||||||||||||||||||||||||
Ratio to Average Net Assets of: (a) | ||||||||||||||||||||||||||
Change in Net Asset Value for the Period | Net Asset Value, End of Period | Total return (b) | Net assets, end of period (000) | Expenses | Net investment income/(loss) | Portfolio turnover rate (b) | ||||||||||||||||||||
(0.63 | ) | $ | 24.84 | (2.46 | )% | $ | 11,801 | 0.80 | % | (e) | (0.80 | )% | 0 | % | ||||||||||||
(0.46 | ) | $ | 25.00 | (1.80 | )% | $ | 6,875 | 0.79 | % | (0.79 | )% | 0 | % | |||||||||||||
(0.50 | ) | $ | 24.96 | (1.95 | )% | $ | 31,204 | 0.79 | % | (0.79 | )% | 0 | % |
The accompanying notes are an integral part of these financial statements.
Notes to Financial Statements
1. | ORGANIZATION |
Innovator ETFs Trust (the “Trust”) was organized under Delaware law as a Delaware statutory trust on October 17, 2007, and is registered with the Securities and Exchange Commission (“SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”) as an open-end management investment company. The Trust currently consists of multiple operational series, of which seventeen are covered in this report, collectively the (“Funds”):
Name |
| Ticker |
| Commencement of Operations |
Innovator MSCI EAFE Power Buffer ETF - January |
| IJAN |
| December 31, 2019 |
Innovator MSCI EAFE Power Buffer ETF - July |
| IJUL |
| June 28, 2019 |
Innovator MSCI Emerging Markets Power Buffer ETF – January |
| EJAN |
| December 31, 2019 |
Innovator MSCI Emerging Markets Power Buffer ETF – July |
| EJUL |
| June 28, 2019 |
Innovator Nasdaq-100 Power Buffer ETF – January |
| NJAN |
| December 31, 2019 |
Innovator Nasdaq-100 Power Buffer ETF – April |
| NAPR |
| March 31, 2020 |
Innovator Nasdaq-100 Power Buffer ETF – July |
| NJUL |
| June 30, 2020 |
Innovator Nasdaq-100 Power Buffer ETF – October |
| NOCT |
| September 30, 2019 |
Innovator Russell 2000 Power Buffer ETF – January |
| KJAN |
| December 31, 2019 |
Innovator Russell 2000 Power Buffer ETF – April |
| KAPR |
| March 31, 2020 |
Innovator Russell 2000 Power Buffer ETF – July |
| KJUL |
| June 30, 2020 |
Innovator Russell 2000 Power Buffer ETF – October |
| KOCT |
| September 30, 2019 |
Innovator 20+ Year Treasury Bond 5 Floor ETF – July |
| TFJL |
| August 17, 2020 |
Innovator 20+ Year Treasury Bond 9 Buffer ETF – July |
| TBJL |
| August 17, 2020 |
Innovator Double Stacker ETF – October |
| DSOC |
| September 30, 2020 |
Innovator Triple Stacker ETF – October |
| TSOC |
| September 30, 2020 |
Innovator Double Stacker 9 Buffer ETF – October |
| DBOC |
| September 30, 2020 |
Notes to Financial Statements (Continued)
The operational series of the Trust covered outside of this report consist of:
Name |
| Ticker |
| Commencement of Operations |
Innovator IBD® 50 ETF |
| FFTY |
| April 8, 2015 |
Innovator IBD® ETF Leaders ETF |
| LDRS |
| December 20, 2017 |
Innovator IBD® Breakout Opportunities ETF |
| BOUT |
| September 12, 2018 |
Innovator Loup Frontier Tech ETF |
| LOUP |
| July 24, 2018 |
Innovator S&P 500® Buffer ETF – January |
| BJAN |
| December 31, 2018 |
Innovator S&P 500® Buffer ETF – February |
| BFEB |
| January 31, 2020 |
Innovator S&P 500® Buffer ETF – March |
| BMAR |
| February 28, 2020 |
Innovator S&P 500® Buffer ETF – April |
| BAPR |
| March 29, 2019 |
Innovator S&P 500® Buffer ETF – May |
| BMAY |
| April 30, 2020 |
Innovator S&P 500® Buffer ETF – June |
| BJUN |
| May 31, 2019 |
Innovator S&P 500® Buffer ETF – July |
| BJUL |
| August 28, 2018 |
Innovator S&P 500® Buffer ETF – August |
| BAUG |
| July 31, 2019 |
Innovator S&P 500® Buffer ETF – September |
| BSEP |
| August 30, 2019 |
Innovator S&P 500® Buffer ETF – October |
| BOCT |
| September 28, 2018 |
Innovator S&P 500® Buffer ETF – November |
| BNOV |
| October 31, 2019 |
Innovator S&P 500® Buffer ETF – December |
| BDEC |
| November 29, 2019 |
Innovator S&P 500® Power Buffer ETF – January |
| PJAN |
| December 31, 2018 |
Innovator S&P 500® Power Buffer ETF – February |
| PFEB |
| January 31, 2020 |
Innovator S&P 500® Power Buffer ETF – March |
| PMAR |
| February 28, 2020 |
Innovator S&P 500® Power Buffer ETF – April |
| PAPR |
| March 29, 2019 |
Innovator S&P 500® Power Buffer ETF – May |
| PMAY |
| April 30, 2020 |
Innovator S&P 500® Power Buffer ETF – June |
| PJUN |
| May 31, 2019 |
Innovator S&P 500® Power Buffer ETF – July |
| PJUL |
| August 7, 2018 |
Innovator S&P 500® Power Buffer ETF – August |
| PAUG |
| July 31, 2019 |
Innovator S&P 500® Power Buffer ETF – September |
| PSEP |
| August 30, 2019 |
Innovator S&P 500® Power Buffer ETF – October |
| POCT |
| September 28, 2018 |
Innovator S&P 500® Power Buffer ETF – November |
| PNOV |
| October 31, 2019 |
Innovator S&P 500® Power Buffer ETF – December |
| PDEC |
| November 29, 2019 |
Innovator S&P 500® Ultra Buffer ETF – January |
| UJAN |
| December 31, 2018 |
Innovator S&P 500® Ultra Buffer ETF – February |
| UFEB |
| January 31, 2020 |
Innovator S&P 500® Ultra Buffer ETF – March |
| UMAR |
| February 28, 2020 |
Innovator S&P 500® Ultra Buffer ETF – April |
| UAPR |
| March 29, 2019 |
Innovator S&P 500® Ultra Buffer ETF – May |
| UMAY |
| April 30, 2020 |
Innovator S&P 500® Ultra Buffer ETF – June |
| UJUN |
| May 31, 2019 |
Innovator S&P 500® Ultra Buffer ETF – July |
| UJUL |
| August 7, 2018 |
Innovator S&P 500® Ultra Buffer ETF – August |
| UAUG |
| July 31, 2019 |
Innovator S&P 500® Ultra Buffer ETF – September |
| USEP |
| August 30, 2019 |
Innovator S&P 500® Ultra Buffer ETF – October |
| UOCT |
| September 28, 2018 |
Innovator S&P 500® Ultra Buffer ETF – November |
| UNOV |
| October 31, 2019 |
Innovator S&P 500® Ultra Buffer ETF – December |
| UDEC |
| November 29, 2019 |
Notes to Financial Statements (Continued)
The Funds are exchange traded funds that offer one class of shares, do not charge a sales load, do not have a redemption fee and currently do not charge a 12b-1 fee to their shareholders. IJAN, IJUL, EJAN and EJUL list and principally trade their shares on NYSE Arca (“NYSE”). NJAN, NAPR, NJUL, NOCT, KJAN, KAPR, KJUL, KOCT, TFJL, TBJL, DSOC, TSOC, and DOBC list and principally trade their shares on Cboe BZX Exchange, Inc. (“Cboe BZX”). These Funds individually seek to track, before fees and expenses the MSCI EAFE Price Index, MSCI Emerging Markets Price Index, Nasdaq-100 Price Index, Russell 2000 Price Index, ICE U.S. Treasury 20+ Year Index, Invesco QQQ Trust, iShares Russell 2000 ETF and SPDR S&P 500® ETF Trust respectively, up to a respective upside cap while providing a respective buffer for a given annual period.
Each Fund employs a specific “defined outcome strategy.” Defined outcome strategies generally seek to produce pre-determined investment outcomes based upon the performance of an index or one or more underlying securities. The Funds’ pre-determined outcomes (“Outcomes”) are based upon the price performance of a benchmark index or one or more underlying exchange-traded fund (the “Benchmark”) over a period of approximately one year or another predetermined period (“Outcome Period”). The Funds’ investment strategy provides shareholders with participation in any gains experienced by the applicable Benchmark over the course of the Outcome Period, subject to a cap on upside returns (a “Cap”), and, if applicable, a predetermined buffer (a “Buffer”) against Benchmark losses for the Outcome Period. These defined outcomes are managed by purchasing and selling call and put FLexible EXchange Options (“FLEX Options”) to create layers within a Fund’s portfolio. Each Fund’s FLEX Option has the same reference asset and expiration date, with uniquely selected strike prices for the Fund’s Outcome Period. Due to the customizable nature of FLEX Options that allows for specific strike prices to be selected for the same reference asset and expiration date, when each of the FLEX Options expire on the last day of the Outcome Period, the Funds are expected to achieve a Benchmark investment return with the applicable Buffer and Cap investment parameters.
The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies”.
Notes to Financial Statements (Continued)
2. | SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of significant accounting policies consistently followed by the Trust in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”).
Valuation:
The net asset values (“NAV”) of the Funds are determined as of the close of regular trading on the NYSE (normally 4:00 p.m. ET). If the NYSE closes early on a valuation day, the Funds shall determine NAV as of that time.
Portfolio securities generally shall be valued utilizing prices provided by independent pricing services. The Trust’s Pricing Committee (“Pricing Committee”) is responsible for establishing valuation of portfolio securities and other instruments held by the Funds in accordance with the Trust’s valuation procedures.
Common stocks, preferred stocks and other equity securities listed on any national or foreign exchange (excluding the NASDAQ National Market (“NASDAQ”) and the London Stock Exchange Alternative Investment Market (“AIM”)) are generally valued at the last sale price on the exchange on which they are principally traded or, for NASDAQ and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the exchange representing the principal market for such securities. Securities traded in the over-the-counter market are valued at the mean of the bid and the asked price, if available, and otherwise at their closing bid price. Redeemable securities issued by open-end investment companies shall be valued at the investment company’s applicable net asset value, with the exception of exchange-traded open-end investment companies which are priced as equity securities. Fixed income securities, swaps, currency-, credit- and commodity-linked notes, and other similar instruments will be valued using a pricing service. Fixed income securities having a remaining maturity of 60 days or less when purchased will be valued at cost adjusted for amortization of premiums and accretion of discounts, provided the Pricing Committee has determined that the use of amortized cost is an appropriate reflection of fair value given market and issuer specific conditions existing at the time of the determination. Deposit accounts are valued at acquisition cost. Foreign securities and other assets denominated in foreign currencies are translated into U.S. dollars at the exchange rate of such currencies against the U.S. dollar as provided by the pricing service. All assets denominated in foreign currencies will be converted into U.S. dollars at the exchange rates in effect at the time of valuation. Restricted securities (with the exception of Rule 144A Securities for which market quotations are available) will normally be valued at fair value as determined by the Pricing Committee.
Notes to Financial Statements (Continued)
Exchange-traded option contracts (other than FLexible EXchange Option or “FLEX Option” contracts) will be valued at the closing price in the market where such contracts are principally traded. If no closing price is available, they will be fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price. OTC options are fair valued at the mean of the most recent bid and asked price, if available, and otherwise at their closing bid price. FLEX Options will be valued at a model-based price provided by the exchange on which the option is traded at the official close of that exchange’s trading date. If the exchange on which the option is traded is unable to provide a model price, FLEX Options prices will be provided by backup provider Super Derivatives. Otherwise, the value of a FLEX Option will be determined by the Pricing Committee in accordance with the Trust’s valuation procedures.
If no quotation can be obtained from a pricing service, then the Pricing Committee will then attempt to obtain one or more broker quotes for the security. If no quotation is available from either a pricing service or one or more brokers or if the Pricing Committee has reason to question the reliability or accuracy of a quotation supplied or the use of amortized cost, the value of any portfolio security held by the Funds for which reliable market quotations are not readily available will be determined by the Pricing Committee in a manner that most appropriately reflects fair market value of the security on the valuation date. The use of a fair valuation method may be appropriate if, for example: (i) market quotations do not accurately reflect fair value of an investment; (ii) an investment’s value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (for example, a foreign exchange or market); (iii) a trading halt closes an exchange or market early; or (iv) other events result in an exchange or market delaying its normal close.
Notes to Financial Statements (Continued)
Fair Valuation Measurement:
FASB established a framework for measuring fair value in accordance with U.S. GAAP. Under ASC, Fair Value Measurement (“ASC 820”), various inputs are used in determining the value of the Funds’ investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The three Levels of inputs of the fair value hierarchy are defined as follows:
• | Level 1 – | Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access. | |
• | Level 2 – | Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data. | |
• | Level 3 – | Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available. |
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgement. Accordingly, the degree of judgement exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Notes to Financial Statements (Continued)
The following table summarizes valuation of the Funds’ investments under the fair value hierarchy levels as of October 31, 2020:
IJAN | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 54,083,178 | $ | - | $ | 54,083,178 | ||||||||
Short Term Investments | 2,000 | - | - | 2,000 | ||||||||||||
Total Assets | $ | 2,000 | $ | 54,083,178 | $ | - | $ | 54,085,178 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 1,359,585 | $ | - | $ | 1,359,585 | ||||||||
Total Liabilities | $ | - | $ | 1,359,585 | $ | - | $ | 1,359,585 |
IJUL | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 74,610,013 | $ | - | $ | 74,610,013 | ||||||||
Short Term Investments | 1,831 | - | - | 1,831 | ||||||||||||
Total Assets | $ | 1,831 | $ | 74,610,013 | $ | - | $ | 74,611,844 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 4,692,316 | $ | - | $ | 4,692,316 | ||||||||
Total Liabilities | $ | - | $ | 4,692,316 | $ | - | $ | 4,692,316 |
EJAN | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 28,484,179 | $ | - | $ | 28,484,179 | ||||||||
Short Term Investments | 2,729 | - | - | 2,729 | ||||||||||||
Total Assets | $ | 2,729 | $ | 28,484,179 | $ | - | $ | 28,486,908 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 357,769 | $ | - | $ | 357,769 | ||||||||
Total Liabilities | $ | - | $ | 357,769 | $ | - | $ | 357,769 |
EJUL | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 41,237,662 | $ | - | $ | 41,237,662 | ||||||||
Short Term Investments | 1,053 | - | - | 1,053 | ||||||||||||
Total Assets | $ | 1,053 | $ | 41,237,662 | $ | - | $ | 41,238,715 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 5,983,966 | $ | - | $ | 5,983,966 | ||||||||
Total Liabilities | $ | - | $ | 5,983,966 | $ | - | $ | 5,983,966 |
Notes to Financial Statements (Continued)
NJAN | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 51,195,515 | $ | - | $ | 51,195,515 | ||||||||
Short Term Investments | 1,122 | - | - | 1,122 | ||||||||||||
Total Assets | $ | 1,122 | $ | 51,195,515 | $ | - | $ | 51,196,637 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 11,702,864 | $ | - | $ | 11,702,864 | ||||||||
Total Liabilities | $ | - | $ | 11,702,864 | $ | - | $ | 11,702,864 |
NAPR | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 23,938,132 | $ | - | $ | 23,938,132 | ||||||||
Short Term Investments | 984 | - | - | 984 | ||||||||||||
Total Assets | $ | 984 | $ | 23,938,132 | $ | - | $ | 23,939,116 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 8,179,511 | $ | - | $ | 8,179,511 | ||||||||
Total Liabilities | $ | - | $ | 8,179,511 | $ | - | $ | 8,179,511 |
NJUL | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 67,834,914 | $ | - | $ | 67,834,914 | ||||||||
Total Assets | $ | - | $ | 67,834,914 | $ | - | $ | 67,834,914 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 10,744,136 | $ | - | $ | 10,744,136 | ||||||||
Total Liabilities | $ | - | $ | 10,744,136 | $ | - | $ | 10,744,136 |
NOCT | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 47,361,661 | $ | - | $ | 47,361,661 | ||||||||
Short Term Investments | 1,038 | - | - | 1,038 | ||||||||||||
Total Assets | $ | 1,038 | $ | 47,361,661 | $ | - | $ | 47,362,699 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 6,657,188 | $ | - | $ | 6,657,188 | ||||||||
Total Liabilities | $ | - | $ | 6,657,188 | $ | - | $ | 6,657,188 |
Notes to Financial Statements (Continued)
KJAN | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 172,614,745 | $ | - | $ | 172,614,745 | ||||||||
Short Term Investments | 1,169 | - | - | 1,169 | ||||||||||||
Total Assets | $ | 1,169 | $ | 172,614,745 | $ | - | $ | 172,615,914 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 6,255,980 | $ | - | $ | 6,255,980 | ||||||||
Total Liabilities | $ | - | $ | 6,255,980 | $ | - | $ | 6,255,980 |
KAPR | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 45,673,111 | $ | - | $ | 45,673,111 | ||||||||
Short Term Investments | 855 | - | - | 855 | ||||||||||||
Total Assets | $ | 855 | $ | 45,673,111 | $ | - | $ | 45,673,966 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 12,393,518 | $ | - | $ | 12,393,518 | ||||||||
Total Liabilities | $ | - | $ | 12,393,518 | $ | - | $ | 12,393,518 |
KJUL | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 26,728,783 | $ | - | $ | 26,728,783 | ||||||||
Total Assets | $ | - | $ | 26,728,783 | $ | - | $ | 26,728,783 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 3,357,467 | $ | - | $ | 3,357,467 | ||||||||
Total Liabilities | $ | - | $ | 3,357,467 | $ | - | $ | 3,357,467 |
KOCT | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 56,186,462 | $ | - | $ | 56,186,462 | ||||||||
Short Term Investments | 4,209 | - | - | 4,209 | ||||||||||||
Total Assets | $ | 4,209 | $ | 56,186,462 | $ | - | $ | 56,190,671 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 7,995,845 | $ | - | $ | 7,995,845 | ||||||||
Total Liabilities | $ | - | $ | 7,995,845 | $ | - | $ | 7,995,845 |
Notes to Financial Statements (Continued)
TFJL | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 3,102,474 | $ | - | $ | 3,102,474 | ||||||||
Short Term Investments | 22,382 | - | - | 22,382 | ||||||||||||
Total Assets | $ | 22,382 | $ | 3,102,474 | $ | - | $ | 3,124,856 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 69,572 | $ | - | $ | 69,572 | ||||||||
Total Liabilities | $ | - | $ | 69,572 | $ | - | $ | 69,572 |
TBJL | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 5,745,631 | $ | - | $ | 5,745,631 | ||||||||
Short Term Investments | 38,766 | - | - | 38,766 | ||||||||||||
Total Assets | $ | 38,766 | $ | 5,745,631 | $ | - | $ | 5,784,397 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 307,528 | $ | - | $ | 307,528 | ||||||||
Total Liabilities | $ | - | $ | 307,528 | $ | - | $ | 307,528 |
DSOC | �� | |||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 12,557,177 | $ | - | $ | 12,557,177 | ||||||||
Short Term Investments | 96,827 | - | - | 96,827 | ||||||||||||
Total Assets | $ | 96,827 | $ | 12,557,177 | $ | - | $ | 12,654,004 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 849,754 | $ | - | $ | 849,754 | ||||||||
Total Liabilities | $ | - | $ | 849,754 | $ | - | $ | 849,754 |
TSOC | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 8,051,869 | $ | - | $ | 8,051,869 | ||||||||
Short Term Investments | 87,001 | - | - | 87,001 | ||||||||||||
Total Assets | $ | 87,001 | $ | 8,051,869 | $ | - | $ | 8,138,870 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 1,259,743 | $ | - | $ | 1,259,743 | ||||||||
Total Liabilities | $ | - | $ | 1,259,743 | $ | - | $ | 1,259,743 |
Notes to Financial Statements (Continued)
DBOC | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 36,504,049 | $ | - | $ | 36,504,049 | ||||||||
Short Term Investments | 237,420 | - | - | 237,420 | ||||||||||||
Total Assets | $ | 237,420 | $ | 36,504,049 | $ | - | $ | 36,741,469 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 5,534,833 | $ | - | $ | 5,534,833 | ||||||||
Total Liabilities | $ | - | $ | 5,534,833 | $ | - | $ | 5,534,833 |
There were no Level 3 investments for the Funds during the year or period ended October 31, 2020.
Option Contracts:
In general, an option contract is an agreement between a buyer and seller that gives the purchaser of the option the right to buy or sell a particular asset at a specified future date at an agreed upon price (commonly known as the “strike price”).
The Funds invest primarily in FLEX Option contracts. FLEX Options are customized option contracts that trade on an exchange but provide investors with the ability to customize key contract terms like strike price, style and expiration date while achieving price discovery in competitive, transparent auctions markets and avoiding the counterparty exposure of over-the-counter options positions. Like traditional exchange-traded options, FLEX Options are guaranteed for settlement by the OCC, a market clearinghouse that guarantees performance by counterparties to certain derivatives contracts. The FLEX Options in which the Funds will invest are all European style options (options that are exercisable only on the expiration date). The FLEX Options are listed on the Chicago Board Options Exchange.
The Funds will purchase and sell call and put FLEX Options. In general, put options give the holder (i.e., the buyer) the right to sell an asset (or deliver the cash value of the index, in case of an index put option) and the seller (i.e., the writer) of the put has the obligation to buy the asset (or receive cash value of the index, in case of an index put option) at a certain defined price. Call options give the holder (i.e., the buyer) the right to buy an asset (or receive cash value of the index, in case of an index call option) and the seller (i.e., the writer) the obligation to sell the asset (or deliver cash value of the index, in case of an index call option) at a certain defined price.
Notes to Financial Statements (Continued)
When the Funds purchase an option, an amount equal to the premium paid by the Funds are recorded as an investment and is subsequently adjusted to the current value of the option purchased. If an option expires on the stipulated expiration date or if the Funds enter into a closing sale transaction, a gain or loss is realized. If a call option is exercised, the cost of the security acquired is increased by the premium paid for the call. If a put option is exercised, a gain or loss is realized from the sale of the underlying security, and the proceeds from such sale are decreased by the premium originally paid. Purchased options are non-income producing securities.
When the Funds write an option, an amount equal to the premium received by the Funds are recorded as a liability and is subsequently adjusted to the current value of the option written. Premiums received from writing options that expire unexercised are treated by the Funds on the expiration date as realized gain from written options. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium is less than the amount paid for the closing purchase transaction, as a realized loss. If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether the Funds have realized a gain or loss. If a put option is exercised, the premium reduces the cost basis of the securities purchased by the Funds. The Funds, as writers of an option, bear the market risk of an unfavorable change in the price of the security underlying the written option.
All of the FLEX Option contracts held by the Funds are fully funded and cash settled, therefore balance sheet offsetting under ASC 210 does not apply.
The Funds bear the risk that the OCC will be unable or unwilling to perform its obligations under the FLEX Options contracts. In the unlikely event that the OCC becomes insolvent or is otherwise unable to meet its settlement obligations, the Funds could suffer significant losses. Additionally, FLEX Options may be less liquid than certain other securities such as standardized options. In less liquid market for the FLEX Options, the Funds may have difficulty closing out certain FLEX Options positions at desired times and prices. The Funds may experience substantial downside from specific FLEX Option positions and certain FLEX Option positions may expire worthless. The value of the underlying FLEX Options will be affected by, among others, changes in the value of the exchange, changes in interest rates, changes in the actual and implied volatility of the Index and the remaining time to until the FLEX Options expire. The value of the FLEX Options does not increase or decrease at the same rate as the level of the Index (although they generally move in the same direction). However, as a FLEX Option approaches its expiration date, its value typically increasingly moves with the value of the Index.
Notes to Financial Statements (Continued)
The value of derivative instruments on the Statements of Assets and Liabilities for the Funds as of October 31, 2020 are as follows:
Equity Risk - Call and Put Options not Accounted for as Hedging Instruments | ||||||||
Asset Derivatives | Liability Derivatives | |||||||
Investments, at value | Options written, at value | |||||||
IJAN | $ | 54,083,178 | $ | 1,359,585 | ||||
IJUL | 74,610,013 | 4,692,316 | ||||||
EJAN | 28,484,179 | 357,769 | ||||||
EJUL | 41,237,662 | 5,983,966 | ||||||
NJAN | 51,195,515 | 11,702,864 | ||||||
NAPR | 23,938,132 | 8,179,511 | ||||||
NJUL | 67,834,914 | 10,744,136 | ||||||
NOCT | 47,361,661 | 6,657,188 | ||||||
KJAN | 172,614,745 | 6,255,980 | ||||||
KAPR | 45,673,111 | 12,393,518 | ||||||
KJUL | 26,728,783 | 3,357,467 | ||||||
KOCT | 56,186,462 | 7,995,845 | ||||||
TFJL | 3,102,474 | 69,572 | ||||||
TBJL | 5,745,631 | 307,528 | ||||||
DSOC | 12,557,177 | 849,754 | ||||||
TSOC | 8,051,869 | 1,259,743 | ||||||
DBOC | 36,504,049 | 5,534,833 |
The effect of derivative instruments on the Statements of Operations for the year or period ended October 31, 2020:
Equity Risk - Call and Put Options not Accounted for as Hedging Instruments | ||||||||||||||||
Amount of Realized Gain/(Loss) on Derivatives Recognized in Income | Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | |||||||||||||||
Investments (a) | Options written (b) | Investments | Options written | |||||||||||||
IJAN | $ | 4,626,549 | $ | 778,180 | $ | (5,452,930 | ) | $ | (497,911 | ) | ||||||
IJUL | (5,879,478 | ) | (1,518,850 | ) | 1,818,002 | 2,625,344 | ||||||||||
EJAN | 3,128,508 | 100,033 | (3,661,320 | ) | 24,896 | |||||||||||
EJUL | (3,614,153 | ) | (3,382,853 | ) | 4,143,733 | (360,254 | ) | |||||||||
NJAN | 29,829,697 | 387,067 | (18,261,662 | ) | (9,457,894 | ) | ||||||||||
NAPR | 11,593,497 | (3,442,096 | ) | 688,299 | (6,599,691 | ) | ||||||||||
NJUL | 11,324,670 | 2,898,789 | (11,149,094 | ) | (2,344,947 | ) | ||||||||||
NOCT | 22,370,074 | (19,037,686 | ) | 304,266 | 1,129,452 | |||||||||||
KJAN | 21,815,369 | 3,868,245 | (25,112,562 | ) | (1,445,216 | ) | ||||||||||
KAPR | 16,946,402 | 122,589 | (8,581,538 | ) | (5,882,261 | ) | ||||||||||
KJUL | 4,924,966 | 935,473 | (4,199,916 | ) | (962,079 | ) | ||||||||||
KOCT | (5,787,239 | ) | 3,284,753 | 2,751,380 | (504,879 | ) | ||||||||||
TFJL | (1,022 | ) | (5,683 | ) | (84,941 | ) | 22,912 | |||||||||
TBJL | (26,198 | ) | (2,382 | ) | (120,168 | ) | 10,300 | |||||||||
DSOC | - | - | (412,498 | ) | 209,505 | |||||||||||
TSOC | - | - | (572,050 | ) | 355,509 | |||||||||||
DBOC | - | - | (1,336,793 | ) | 683,509 |
(a) | TFJL includes $4,793 realized gain on redemptions sold in-kind on investments. |
(b) | TFJL includes $4,882 realized gain on redemptions sold in-kind on options written. |
Notes to Financial Statements (Continued)
The average volume of derivative activity during the year or period ended October 31, 2020, is as follows:
Purchased Options | Options Written | |||||||
Average Monthly Market Value | Average Monthly Market Value | |||||||
IJAN | $ | 32,653,755 | $ | (1,881,051 | ) | |||
IJUL | 71,717,630 | (3,779,612 | ) | |||||
EJAN | 22,500,266 | (1,656,241 | ) | |||||
EJUL | 43,817,740 | (3,532,405 | ) | |||||
NJAN | 41,600,493 | (8,552,404 | ) | |||||
NAPR | 29,067,422 | (9,277,152 | ) | |||||
NJUL | 49,459,816 | (8,907,902 | ) | |||||
NOCT | 44,856,528 | (8,775,529 | ) | |||||
KJAN | 65,093,046 | (4,955,996 | ) | |||||
KAPR | 34,627,218 | (8,926,227 | ) | |||||
KJUL | 19,969,608 | (2,581,954 | ) | |||||
KOCT | 40,245,548 | (3,309,135 | ) | |||||
TFJL | 3,146,321 | (93,562 | ) | |||||
TBJL | 6,450,044 | (352,491 | ) | |||||
DSOC | 7,662,619 | (545,867 | ) | |||||
TSOC | 5,536,104 | (877,216 | ) | |||||
DBOC | 19,762,130 | (3,014,720 | ) |
Use of Estimates:
In preparing financial statements in conformity with U.S. GAAP, management is required 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 increases and decreases in net assets from operations during the reporting period. Actual results could differ from these estimates.
Guarantees and Indemnifications:
In the normal course of business, the Trust may enter into a contract with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims against the Trust that have not yet occurred. Based on experience, the Trust expects the risk of loss to be remote.
Tax Information:
The Funds are treated as separate entities for federal income tax purposes. The Funds intend to qualify as regulated investment companies (“RICs”) under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”). To qualify and remain eligible for the special tax treatment accorded to RICs, the Funds must meet certain annual income and quarterly asset diversification requirements and must distribute annually at least 90% of the sum of (i) its investment company taxable income (which includes dividends, interest and net short-term capital gains) and (ii) certain net tax-exempt income, if any. If so qualified, the Funds will not be subject to federal income tax to the extent the Funds distribute substantially all of their net investment income and capital gains to shareholders.
Notes to Financial Statements (Continued)
Management evaluates the Funds’ tax positions to determine if the tax positions taken meet the minimum recognition threshold in connection with accounting for uncertainties in income tax positions taken or expected to be taken for the purposes of measuring and recognizing tax liabilities in the financial statements. Tax benefits associated with an uncertain tax position can be recognized only when the position is “more likely than not” to be sustained assuming examination by taxing authorities. Interest and penalties related to income taxes would be recorded as tax expense in the Statements of Operations. During the year or period ended October 31, 2020, the Funds did not incur any interest or penalties. The Funds’ federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. As of October 31, 2020, the Funds did not have a liability for any unrecognized tax benefits. As of October 31, 2020, the Funds have no examinations in progress and management is not aware of any tax positions for which it is reasonably possible that the amounts of unrecognized tax benefits will significantly change in the next twelve months. The Funds are subject to examination by U.S. Federal tax authorities for all tax years since inception.
U.S. GAAP requires that certain components of net assets be reclassified between distributable earnings/(accumulated deficit) and additional paid-in capital. These reclassifications have no effect on net assets or net asset value per share. For the year or period ended October 31, 2020, the Funds made the following permanent book-to-tax reclassifications due to different treatment of redemptions for tax purposes:
Distributable Earnings/ (Accumulated Deficit) | Paid-In Capital | |||||||
IJAN | $ | - | $ | - | ||||
IJUL | 99,955 | (99,955 | ) | |||||
EJAN | - | - | ||||||
EJUL | 81,627 | (81,627 | ) | |||||
NJAN | (2,272,596 | ) | 2,272,596 | |||||
NAPR | (2,138,407 | ) | 2,138,407 | |||||
NJUL | (614,583 | ) | 614,583 | |||||
NOCT | (4,482,310 | ) | 4,482,310 | |||||
KJAN | - | - | ||||||
KAPR | (2,480,493 | ) | 2,480,493 | |||||
KJUL | (647,522 | ) | 647,522 | |||||
KOCT | 40,575 | (40,575 | ) | |||||
TFJL | (9,675 | ) | 9,675 | |||||
TBJL | - | - | ||||||
DSOC | - | - | ||||||
TSOC | - | - | ||||||
DBOC | - | - |
Notes to Financial Statements (Continued)
Distributions to Shareholders:
Distributions to shareholders are recorded on the ex-dividend date. The Funds intend to pay out dividends from their net investment income, if any, as annually. Distributions of net realized capital gains, if any, will be declared and paid at least annually by the Funds. The Funds may periodically make reclassifications among certain of its capital accounts as a result of the recognition and characterization of certain income and capital gain distributions determined annually in accordance with federal tax regulations which may differ from U.S. GAAP. Distributions that exceed earnings and profits for tax purposes are reported as return of capital.
Investment Transactions and Investment Income:
Investment transactions are recorded on the trade date. The Trust determines the gain or loss realized from investment transactions on the basis of identified cost. Dividend income, if any, is recognized on the ex-dividend date. Interest income, including accretion of discounts and amortization of premiums is recognized on an accrual basis using the effective yield method.
3. | INVESTMENT ADVISOR AND OTHER AFFILIATES |
Innovator Capital Management, LLC (the “Adviser”) acts as investment adviser to the Funds pursuant to an investment advisory agreement between the Trust and the Adviser with respect to the Funds (“Advisory Agreement”) and, pursuant to the Advisory Agreement, is responsible for the day-to-day management of the Funds.
Pursuant to the Advisory Agreement, IJAN and IJUL each pay monthly the Adviser a unitary fee calculated daily based on the average daily net assets of the Fund at the annual rate of 0.85%, EJAN and EJUL each pay monthly the Adviser a unitary fee calculated daily based on the average daily net assets of the Fund at the annual rate of 0.89%, and NJAN, NAPR, NJUL, NOCT, KJAN, KAPR, KJUL, KOCT, TFJL, TBJL, DSOC, TSOC, and DBOC each, respectively, pay monthly the Adviser a unitary fee calculated daily based on the average daily net assets of each Fund at the annual rate of 0.79%. During the term of the Advisory Agreement, the Adviser pays all expenses of the Funds, including the cost of transfer agency, custody, fund administration, legal, audit, and other services and license fees, except for the fees paid under the Advisory Agreement, interest, taxes, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees payable pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses.
Milliman Financial Risk Management LLC (the “Sub-Adviser”) acts as sub-adviser to the Funds pursuant to a sub-advisory agreement between the Adviser and the Sub-Adviser with respect to the Funds (“Sub-Advisory Agreement”) and, pursuant to the Sub-Advisory Agreement, is responsible for execution of the Sub-Adviser’s strategy for each of the Funds. The Sub-Adviser is responsible for the day-to-day management of the Funds’ portfolios. Pursuant to the Sub-Advisory Agreement between the Adviser and the Sub-Adviser, the Adviser pays the Sub-Adviser a fee, based on the Funds’ average daily net assets, for the services and facilities it provides payable on a monthly basis.
Notes to Financial Statements (Continued)
Certain trustees and officers of the Trust are affiliated with the Adviser. Trustee compensation is paid for by the Adviser.
4. | INVESTMENT TRANSACTIONS |
For the year or period ended October 31, 2020, the cost of purchases and proceeds from sales of investment securities, other than short-term investments were as follows:
Purchases | Sales | |||||||||||||||
U.S. Government | Other | U.S. Government | Other | |||||||||||||
IJAN | $ | - | $ | - | $ | - | $ | - | ||||||||
IJUL | - | - | - | 842,425 | ||||||||||||
EJAN | - | - | - | - | ||||||||||||
EJUL | - | - | - | 2,420,467 | ||||||||||||
NJAN | - | - | - | - | ||||||||||||
NAPR | - | - | - | - | ||||||||||||
NJUL | - | - | - | - | ||||||||||||
NOCT | - | - | - | - | ||||||||||||
KJAN | - | - | - | - | ||||||||||||
KAPR | - | - | - | - | ||||||||||||
KJUL | - | - | - | - | ||||||||||||
KOCT | - | - | - | - | ||||||||||||
TFJL | - | - | - | - | ||||||||||||
TBJL | - | - | - | - | ||||||||||||
DSOC | - | - | - | - | ||||||||||||
TSOC | - | - | - | - | ||||||||||||
DBOC | - | - | - | - |
For the period ended October 31, 2020, TFJL had in-kind transactions associated with redemptions of $644,765. None of the other Funds had in-kind transactions associated with creations or redemptions during the year or period ended October 31, 2020.
5. CREATION AND REDEMPTION TRANSACTIONS
There were an unlimited number of shares of beneficial interest (without par value) authorized by the Trust. Individual shares of the Funds may only be purchased and sold at market prices on the Exchange through a broker-dealer. Such transactions may be subject to customary commission rates imposed by the broker-dealer, and market prices for the Funds’ shares may be at, above or below its NAV depending on the premium or discount at which the Funds’ shares trade.
Notes to Financial Statements (Continued)
The Funds issue and redeem shares on a continuous basis at NAV only in blocks of 25,000 shares except NOCT, which issues and redeems in blocks of 35,000 shares, called “Creation Units.” Creation Units are issued and redeemed principally for cash. Once created, shares generally trade in the secondary market at market prices that change throughout the day in amounts less than a Creation Unit. Except when aggregated in Creation Units, shares are not redeemable securities of the Funds. Shares of the Funds may only be purchased or redeemed by certain financial institutions (“Authorized Participants”). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with the Distributor. A transaction fee is applicable to each transaction regardless of the number of units purchased or sold in the transaction. All the Funds, excluding TFJL and TBJL, assess investors a transaction fee of $250 plus 0.05% of the value of the transaction on creations and redemptions (e.g. variable fees) of the respective Fund. TFJL and TBJL assess investors a transaction fee of $500 of the value of the transaction on creations and redemptions. Each Fund, subject to approval by the Board of Trustees, may adjust transaction fees from time to time based upon actual experience. Variable fees received by the Funds, if any, are disclosed as Transaction Fees on the Statements of Changes in Net Assets. Most retail investors do not qualify as Authorized Participants nor have the resources to buy and sell whole Creation Units. Therefore, they are unable to purchase or redeem the shares directly from the Funds. Rather, most retail investors may purchase shares in the secondary market with the assistance of a broker and are subject to customary brokerage commissions or fees.
6. | FEDERAL INCOME TAX INFORMATION |
At October 31, 2020, the cost of investments including options written and net unrealized appreciation/(depreciation) for federal income tax purposes were as follows:
Cost of Portfolio | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation / (Depreciation) | |||||||||||||
IJAN | $ | 52,725,593 | $ | - | $ | - | $ | - | ||||||||
IJUL | 69,919,528 | - | - | - | ||||||||||||
EJAN | 28,129,139 | - | - | - | ||||||||||||
EJUL | 35,254,749 | - | - | - | ||||||||||||
NJAN | 39,493,773 | - | - | - | ||||||||||||
NAPR | 15,759,605 | - | - | - | ||||||||||||
NJUL | 57,090,778 | - | - | - | ||||||||||||
NOCT | 40,705,511 | - | - | - | ||||||||||||
KJAN | 166,359,934 | - | - | - | ||||||||||||
KAPR | 33,280,448 | - | - | - | ||||||||||||
KJUL | 23,371,316 | - | - | - | ||||||||||||
KOCT | 48,194,826 | - | - | - | ||||||||||||
TFJL | 3,117,313 | 49,616 | (111,645 | ) | (62,029 | ) | ||||||||||
TBJL | 5,586,737 | 152,780 | (262,648 | ) | (109,868 | ) | ||||||||||
DSOC | 12,007,243 | 209,505 | (412,498 | ) | (202,993 | ) | ||||||||||
TSOC | 7,095,668 | 448,495 | (665,036 | ) | (216,541 | ) | ||||||||||
DBOC | 31,859,920 | 1,220,520 | (1,873,804 | ) | (653,284 | ) |
Notes to Financial Statements (Continued)
The differences between book basis and tax basis cost on investments and net unrealized appreciation/(depreciation) are primarily attributable to the tax treatment of derivatives.
At October 31, 2020, the components of distributable earnings/(accumulated deficit) on a tax basis were as follows:
Accumulated Capital and Other Losses | Undistributed Capital Gains | Undistributed Net Ordinary Income | Unrealized Appreciation / (Depreciation) on Investments | Total Distributable Earnings /(Accumulated Deficit) | ||||||||||||||||
IJAN | $ | (765,167 | ) | $ | - | $ | - | $ | - | $ | (765,167 | ) | ||||||||
IJUL | (3,437,502 | ) | - | - | - | (3,437,502 | ) | |||||||||||||
EJAN | (566,602 | ) | - | - | - | (566,602 | ) | |||||||||||||
EJUL | (3,501,080 | ) | - | - | - | (3,501,080 | ) | |||||||||||||
NJAN | - | - | - | - | - | |||||||||||||||
NAPR | - | - | - | - | - | |||||||||||||||
NJUL | - | - | - | - | - | |||||||||||||||
NOCT | - | - | - | - | - | |||||||||||||||
KJAN | (1,249,125 | ) | - | - | - | (1,249,125 | ) | |||||||||||||
KAPR | - | - | - | - | - | |||||||||||||||
KJUL | - | - | - | - | - | |||||||||||||||
KOCT | (505,603 | ) | - | - | - | (505,603 | ) | |||||||||||||
TFJL | (21,101 | ) | - | - | (62,029 | ) | (83,130 | ) | ||||||||||||
TBJL | (37,730 | ) | - | - | (109,868 | ) | (147,598 | ) | ||||||||||||
DSOC | (3,179 | ) | - | - | (202,993 | ) | (206,172 | ) | ||||||||||||
TSOC | (3,741 | ) | - | - | (216,541 | ) | (220,282 | ) | ||||||||||||
DBOC | (8,708 | ) | - | - | (653,284 | ) | (661,992 | ) |
Certain qualified late year ordinary losses incurred after December 31, and within the current taxable year, are deemed to arise on the first business day of the next taxable year. During the fiscal period ended October 31, 2020, the Funds elected to defer qualified late year ordinary losses as follows:
Late Year Ordinary Losses | ||||
IJAN | $ | 219,055 | ||
IJUL | 482,520 | |||
EJAN | 158,719 | |||
EJUL | 287,553 | |||
NJAN | - | |||
NAPR | - | |||
NJUL | - | |||
NOCT | - | |||
KJAN | 374,961 | |||
KAPR | - | |||
KJUL | - | |||
KOCT | 249,618 | |||
TFJL | 4,721 | |||
TBJL | 9,150 | |||
DSOC | 3,179 | |||
TSOC | 3,741 | |||
DBOC | 8,708 |
Notes to Financial Statements (Continued)
At October 31, 2020, for federal income tax purposes, the Funds has capital loss carryforwards available to offset future capital gains as follows:
Indefinite Short-Term | Indefinite Long-Term | |||||||
IJAN | $ | 218,445 | $ | 327,667 | ||||
IJUL | 1,181,993 | 1,772,989 | ||||||
EJAN | 163,153 | 244,730 | ||||||
EJUL | 1,285,412 | 1,928,115 | ||||||
NJAN | - | - | ||||||
NAPR | - | - | ||||||
NJUL | - | - | ||||||
NOCT | - | - | ||||||
KJAN | 349,665 | 524,499 | ||||||
KAPR | - | - | ||||||
KJUL | - | - | ||||||
KOCT | 102,394 | 153,591 | ||||||
TFJL | 13,124 | - | ||||||
TBJL | 8,083 | - | ||||||
DSOC | - | - | ||||||
TSOC | - | - | ||||||
DBOC | - | - |
The tax character of the distributions paid by the Funds during the fiscal period ended October 31, 2020 were as follows:
Distributions paid from: | ||||||||||||
Net Ordinary Income | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
IJAN | $ | - | $ | - | $ | - | ||||||
IJUL | 424,324 | 232,892 | 657,216 | |||||||||
EJAN | - | - | - | |||||||||
EJUL | 174,583 | 127,619 | 302,202 | |||||||||
NJAN | - | - | - | |||||||||
NAPR | - | - | - | |||||||||
NJUL | - | - | - | |||||||||
NOCT | 217,656 | 93,861 | 311,517 | |||||||||
KJAN | - | - | - | |||||||||
KAPR | - | - | - | |||||||||
KJUL | - | - | - | |||||||||
KOCT | 163,716 | 77,172 | 240,888 | |||||||||
TFJL | - | - | - | |||||||||
TBJL | - | - | - | |||||||||
DSOC | - | - | - | |||||||||
TSOC | - | - | - | |||||||||
DBOC | - | - | - |
The Funds did not pay any distributions during the fiscal period ended October 31, 2019.
Notes to Financial Statements (Continued)
7. | OWNERSHIP BY AFFILIATES |
The beneficial ownership, either directly or indirectly, of 25% or more of the voting securities of the Fund creates presumption of control of the Fund, under section 2(a)(9) of the Investment Company Act of 1940. As of October 31, 2020, an affiliate of the Funds owned shares in the secondary market of more than 25% of TSOC.
8. | COVID-19 |
The recent global outbreak of COVID-19 has disrupted economic markets and the prolonged economic impact is uncertain. The operational and financial performance of the issuers of securities in which the Funds invest depend on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn impact the value of the Funds’ investments.
9. | SUBSEQUENT EVENT |
Management has evaluated the impact of all subsequent events of the Funds through the date of the financial statements were issued, and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Trustees of Innovator ETFs Trust
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments and options written, of Innovator MSCI EAFE Power Buffer ETF – January, Innovator MSCI EAFE Power Buffer ETF – July, Innovator MSCI Emerging Markets Power Buffer ETF – January, Innovator MSCI Emerging Markets Power Buffer ETF – July, Innovator Nasdaq-100 Power Buffer ETF – January, Innovator Nasdaq-100 Power Buffer ETF – April, Innovator Nasdaq-100 Power Buffer ETF – July, Innovator Nasdaq-100 Power Buffer ETF – October, Innovator Russell 2000 Power Buffer ETF – January, Innovator Russell 2000 Power Buffer ETF – April, Innovator Russell 2000 Power Buffer ETF – July, Innovator Russell 2000 Power Buffer ETF – October, Innovator 20+ Year Treasury Bond 5 Floor ETF – July, Innovator 20+ Year Treasury Bond 9 Buffer ETF – July, Innovator Double Stacker ETF – October, Innovator Triple Stacker ETF – October and Innovator Double Stacker 9 Buffer ETF – October (the “Funds”), each a series of Innovator ETFs Trust, as of October 31, 2020, the related statements of operations, the statements of changes in net assets, and the financial highlights for each of the periods indicated below, including 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 each of the Funds as of October 31, 2020, the results of their operations, the changes in their net assets, and the financial highlights for each of the periods indicated below in conformity with accounting principles generally accepted in the United States of America.
Fund Name | Statements of Operations | Statements of Changes in Net Assets | Financial Highlights |
Innovator MSCI EAFE Power Buffer ETF – July and Innovator MSCI Emerging Markets Power Buffer ETF – July | For the year ended October 31, 2020 | For the year ended October 31, 2020 and for the period from June 28, 2019 (commencement of operations) through October, 31, 2019 | |
Innovator Nasdaq-100 Power Buffer ETF – October and Innovator Russell 2000 Power Buffer ETF – October | For the year ended October 31, 2020 | For the year ended October 31, 2020 and for the period from September 30, 2019 (commencement of operations) through October, 31, 2019
| |
Innovator Nasdaq-100 Power Buffer ETF – January, Innovator Russell 2000 Power Buffer ETF – January, Innovator MSCI EAFE Power Buffer ETF – January and Innovator MSCI Emerging Markets Power Buffer ETF – January | For the period from December 31, 2019 (commencement of operations) through October 31, 2020 | ||
Innovator Nasdaq-100 Power Buffer ETF – April and Innovator Russell 2000 Power Buffer ETF – April | For the period from March 31, 2020 (commencement of operations) through October 31, 2020 | ||
Innovator Nasdaq-100 Power Buffer ETF – July and Innovator Russell 2000 Power Buffer ETF – July | For the period from June 30, 2020 (commencement of operations) through October 31, 2020 | ||
Innovator 20+ Year Treasury Bond 5 Floor ETF – July and Innovator 20+ Year Treasury Bond 9 Buffer ETF – July | For the period from August 17, 2020 (commencement of operations) through October 31, 2020 | ||
Innovator Double Stacker ETF – October, Innovator Triple Stacker ETF – October and Innovator Double Stacker 9 Buffer ETF – October | For the period from September 30, 2020 (commencement of operations) through October 31, 2020 |
Basis for Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ 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 Funds 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 October 31, 2020, by correspondence with the custodian and brokers. 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 auditor of one or more of Innovator Capital Management, LLC’s investment companies since 2017.
COHEN & COMPANY, LTD.
Cleveland, Ohio
December 28, 2020
Trustees and Officers (Unaudited)
Name, Address and Year of Birth | Position with the Trust | Length of Time Served* | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex(a) Overseen by Trustee or Officer | Other Directorships Held by Trustee or Officer in the Past Five Years |
Independent Trustees | |||||
Mark Berg 109 N. Hale Street, Wheaton, IL 60187 Year of Birth: 1971 | Trustee | Since 2017 | Founding Principal and Chief Executive Officer (2019-present), Founding Principal and President (2001-2019), Timothy Financial Counsel, Inc. | 59 | None |
Joe Stowell 109 N. Hale Street, Wheaton, IL 60187 Year of Birth: 1968 | Trustee | Since 2017 | Chief Operating Officer, Woodmen Valley Chapel (2015-present); Executive Vice President and Chief Operating Officer, English Language Institute/China (2007-2015). | 59 | Board of Advisors, Westmont College |
Brian J. Wildman 109 N. Hale Street, Wheaton, IL 60187 Year of Birth: 1963 | Trustee | Since 2017 | President, Timothy Financial Counsel, Inc. (2019-present); Executive Vice President, Consumer Banking (2016-2019), Chief Risk Officer (2013-2016), MB Financial Bank. | 59 | Missionary Furlough Homes, Inc. (since 2008); MB Financial Bank (2003-2019). |
Trustees and Officers (Unaudited) (Continued)
Interested Trustee & Officer | |||||
H. Bruce Bond (b) 109 N. Hale Street, Wheaton, IL 60187 Year of Birth: 1963 | Interested Trustee, President and Principal Executive Officer | Since 2017 | Chief Executive Officer, Innovator Capital Management, LLC (2017-present). | 59 | None |
Officers | |||||
John W. Southard 109 N. Hale Street, Wheaton, IL 60187 Year of Birth: 1969 | Vice President, Treasurer and Principal Financial Accounting Officer | Since 2017 | Chief Investment Officer, Innovator Capital Management, LLC (2017-present); Director and Co-Founder, T2 Capital Management, LLC (2010-present). | 59 | Independent Trustee, ETF Managers Group, LLC (2012-2018) |
Kevin Gustafson 109 N. Hale Street Wheaton, IL 60187 Year of Birth: 1965 | Chief Compliance Officer and Anti-Money Laundering Officer | Since 2020 | Chief Compliance Officer, Innovator Capital Management LLC (2019 - present); General Counsel, Innovator Capital Management LLC (2019 - present); Chief Compliance Officer, General Counsel and Chief Risk Officer, Americas, Eastspring Investments, Inc. (2012 - 2019). | 59 | None |
* | The Funds’ Trustees serve for an indefinite term until their resignation, death or removal. The Funds’ officers are elected annually by the Board and serve at the Board’s pleasure. |
(a) | The Fund Complex includes the Funds, each series of Innovator ETFs Trust and Innovator ETFs Trust II. |
(b) | H. Bruce Bond is deemed to be an interested person of the Trust (as defined in the 1940 Act) because of his affiliation with the Adviser. |
The Statement of Additional Information includes additional information about the Trustees and is available upon request, without charge, by calling 1-877-386-3890.
Board Considerations Regarding Approval of Investment Management
Agreement (Unaudited)
BOARD CONSIDERATIONS REGARDING APPROVAL OF INVESTMENT
MANAGEMENT AGREEMENT AND INVESTMENT SUB-ADVISORY AGREEMENT
FOR THE FOLLOWING INNOVATOR FUNDS:
INNOVATOR NASDAQ-100 POWER BUFFER ETF – JULY
INNOVATOR RUSSELL 2000 POWER BUFFER ETF – JULY
At a quarterly in-person Board meeting held on June 27, 2019, the Trust’s Board considered approval of the Advisory Agreement with Innovator Capital Management, LLC (the “Adviser”), on behalf of the Innovator Nasdaq-100 Power Buffer ETF – July and Innovator Russell 2000 Power Buffer ETF – July (the “Funds”), and the Sub-Advisory Agreement among the Trust, on behalf of the Funds, the Adviser and Milliman Financial Risk Management LLC (the “Sub-Adviser”), for an initial two-year term. The Board determined that the agreements were in the best interests of the Funds in light of the extent and quality of the services expected to be provided and such other matters as the Board considered to be relevant in the exercise of its reasonable business judgment.
To reach this determination, the Board considered its duties under the Investment Company Act of 1940, as amended (the “1940 Act”), as well as under the general principles of state law in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisers with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. To assist the Board in its evaluation of the agreements, the Independent Trustees received a separate report from each of the Adviser and the Sub-Adviser in advance of the Meeting responding to a request for information provided on behalf of the Independent Trustees that, among other things, outlined the services to be provided by the Adviser and the Sub-Adviser to the Funds (including the relevant personnel responsible for these services and their experience); the proposed unitary fee rate payable by each Fund as compared to fees charged to peer groups of the Funds and as compared to fees charged to other clients of the Adviser and the Sub-Adviser, including other ETFs managed by the Adviser and the Sub- Adviser; the estimated expenses of the Funds as compared to expense ratios of the funds in the respective Fund’s peer group; the nature of the expenses to be incurred in providing services to the Funds and the potential for economies of scale, if any; financial data on the Adviser and the Sub-Adviser; any fall-out benefits accruing to the Adviser or the Sub-Adviser; and information on the Adviser’s and the Sub-Adviser’s compliance programs. The Independent Trustees also met separately with their Independent Counsel to discuss the information provided by the Adviser and the Sub-Adviser. The Board applied its business judgment to determine whether the arrangements between the Trust and the Adviser and among the Trust, the Adviser and the Sub-Adviser are reasonable business arrangements from each Fund’s perspective as well as from the perspective of each Fund’s shareholders.
Board Considerations Regarding Approval of Investment Management
Agreement (Unaudited) (Continued)
In evaluating whether to approve the agreements, the Board applied its business judgment and considered the nature, extent and quality of the services to be provided by the Adviser and Milliman pursuant to the agreements. With respect to the investment management agreement, the Board considered that the Adviser will be responsible for the overall management and administration of the Funds and reviewed all of the services to be provided by the Adviser to the Funds, including oversight of Milliman, as well as the background and experience of the persons responsible for such services. The Board noted that the Adviser will oversee Milliman’s day-to-day management of each of the Fund’s investments, including portfolio risk monitoring and performance review. In reviewing the services to be provided, the Board noted the compliance program that had been developed by the Adviser included an adequate program for monitoring the Adviser’s, Milliman’s and each Fund’s compliance with the 1940 Act, as well as each Fund’s compliance with its investment objective and policies. With respect to the sub-advisory agreement, the Board reviewed the materials provided by Milliman and noted the background and experience of Milliman’s portfolio management team and Milliman’s investment style. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services to be provided to the Funds by the Adviser and Milliman under the agreements were expected to be satisfactory.
Since the Funds had yet to commence investment operations, the Board could not consider the historical investment performance of the Funds.
The Board considered the proposed unitary fee rate payable by each Fund under the investment management agreement for the services to be provided. The Board noted that, under the unitary fee arrangement, each Fund would pay the Adviser a unitary fee equal to an annual rate of 0.79% of its average daily net assets. The Board considered that, from the unitary fee for each of the Funds, the Adviser would pay Milliman an annual sub-advisory fee equal to 0.12% on the Fund assets under management.
The Board noted that the Adviser would be responsible for the Funds’ expenses, including the cost of transfer agency, custody, fund administration, legal, audit and other services and license fees (if any), but excluding the fee payment under the investment management agreement, interest, taxes, brokerage commissions and other expenses connected with the execution of portfolio transactions, and extraordinary expenses. The Board received and reviewed information for the Funds showing the advisory fee rates and expense ratios of the funds comprising of each Fund’s peer group, as well as advisory fee rates charged by the Adviser and Milliman to other funds (including ETFs) and non-fund clients, as applicable. In light of the information considered and the nature, extent and quality of the services expected to be provided to the Funds under the agreements, the Board determined that the proposed unitary fee for each of the Funds, including the fee rate to be paid by the Adviser to Milliman from the unitary fee, was fair.
The Board noted that the proposed unitary fee for each of the Funds were structured to pass the benefits of any economies of scale on to shareholders as the respective Fund’s assets grow. The Board noted that any reduction in fixed costs associated with the management of the respective Fund would benefit the Adviser and Milliman, but that the unitary fee structure provides a level of certainty in expenses for each of the Funds. The Board noted that the Adviser is continuing to invest in personnel and infrastructure for the Innovator fund complex.
Board Considerations Regarding Approval of Investment Management
Agreement (Unaudited) (Continued)
Because the Funds have not yet commenced operations and the actual asset base of the Funds have not yet been determined, the Board noted that there was no historical profitability information with respect to the Funds to be reviewed. The Board noted that it would review profitability information in connection with subsequent renewals of the agreements. The Board also noted that, as a startup, the Adviser will likely have little to no profitability in the first few years of the Funds’ operation.
The Board considered potential “fall-out” or ancillary benefits anticipated to be received by the Adviser and Milliman. The Board concluded that the character and amount of potential fall-out benefits to the Adviser and Milliman were consistent with the types of benefits generally derived by investment managers and sub-advisers to funds.
Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the agreements are fair and that the approval of the agreements is in the best interests of the Funds. No single factor was determinative in the Board’s analysis.
Board Considerations Regarding Approval of Investment Management
Agreement (Unaudited)
BOARD CONSIDERATIONS REGARDING APPROVAL OF INVESTMENT
MANAGEMENT AGREEMENT AND INVESTMENT SUB-ADVISORY AGREEMENT FOR
THE FOLLOWING INNOVATOR FUNDS:
INNOVATOR 20+ YEAR TREASURY BOND 5 FLOOR ETF - JULY
INNOVATOR 20+ YEAR TREASURY BOND 9 BUFFER ETF - JULY
INNOVATOR DOUBLE STACKER ETF - OCTOBER
INNOVATOR TRIPLE STACKER ETF - OCTOBER
INNOVATOR DOUBLE STACKER 9 BUFFER ETF - OCTOBER
At a quarterly in-person Board meeting held on June 11, 2020, the Trust’s Board considered approval of the Advisory Agreement with Innovator Capital Management, LLC (the “Adviser”), on behalf of the Innovator 20+ Year Treasury Bond 5 Floor ETF - July, Innovator 20+ Year Treasury Bond 9 Buffer ETF - July, Innovator Double Stacker ETF - October, Innovator Triple Stacker ETF - October, and Innovator Double Stacker 9 Buffer ETF - October (the “Funds”), and the Sub-Advisory Agreement among the Trust, on behalf of the Funds, the Adviser and Milliman Financial Risk Management LLC (the “Sub-Adviser”), for an initial two-year term. The Board determined that the agreements were in the best interests of the Funds in light of the extent and quality of the services expected to be provided and such other matters as the Board considered to be relevant in the exercise of its reasonable business judgment.
To reach this determination, the Board considered its duties under the Investment Company Act of 1940, as amended (the “1940 Act”), as well as under the general principles of state law in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisers with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. To assist the Board in its evaluation of the agreements, the Independent Trustees received a separate report from each of the Adviser and the Sub-Adviser in advance of the Meeting responding to a request for information provided on behalf of the Independent Trustees that, among other things, outlined the services to be provided by the Adviser and the Sub-Adviser to the Funds (including the relevant personnel responsible for these services and their experience); the proposed unitary fee rate payable by each Fund as compared to fees charged to peer groups of the Funds and as compared to fees charged to other clients of the Adviser and the Sub-Adviser, including other ETFs managed by the Adviser and the Sub-Adviser; the estimated expenses of the Funds as compared to expense ratios of the funds in the respective Fund’s peer group; the nature of the expenses to be incurred in providing services to the Funds and the potential for economies of scale, if any; financial data on the Adviser and the Sub-Adviser; any fall-out benefits accruing to the Adviser or the Sub-Adviser; and information on the Adviser’s and the Sub-Adviser’s compliance programs. The Independent Trustees also met separately with their Independent Counsel to discuss the information provided by the Adviser and the Sub-Adviser. The Board applied its business judgment to determine whether the arrangements between the Trust and the Adviser and among the Trust, the Adviser and the Sub-Adviser are reasonable business arrangements from each Fund’s perspective as well as from the perspective of each Fund’s shareholders.
Board Considerations Regarding Approval of Investment Management
Agreement (Unaudited) (Continued)
In evaluating whether to approve the agreements, the Board applied its business judgment and considered the nature, extent and quality of the services to be provided by the Adviser and Milliman pursuant to the agreements. With respect to the investment management agreement, the Board considered that the Adviser will be responsible for the overall management and administration of the Funds and reviewed all of the services to be provided by the Adviser to the Funds, including oversight of Milliman, as well as the background and experience of the persons responsible for such services. The Board noted that the Adviser will oversee Milliman’s day-to-day management of each of the Fund’s investments, including portfolio risk monitoring and performance review. In reviewing the services to be provided, the Board noted the compliance program that had been developed by the Adviser included an adequate program for monitoring the Adviser’s, Milliman’s and each Fund’s compliance with the 1940 Act, as well as each Fund’s compliance with its investment objective and policies. With respect to the sub-advisory agreement, the Board reviewed the materials provided by Milliman and noted the background and experience of Milliman’s portfolio management team and Milliman’s investment style. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services to be provided to the Funds by the Adviser and Milliman under the agreements were expected to be satisfactory.
Since the Funds had yet to commence investment operations, the Board could not consider the historical investment performance of the Funds.
The Board considered the proposed unitary fee rate payable by each Fund under the investment management agreement for the services to be provided. The Board noted that, under the unitary fee arrangement, each Fund would pay the Adviser a unitary fee equal to an annual rate of 0.79% of its average daily net assets. The Board considered that, from the unitary fee for each of the Funds, the Adviser would pay Milliman an annual sub-advisory fee equal to 0.12% on the Fund assets under management.
The Board noted that the Adviser would be responsible for the Funds’ expenses, including the cost of transfer agency, custody, fund administration, legal, audit and other services and license fees (if any), but excluding the fee payment under the investment management agreement, interest, taxes, brokerage commissions and other expenses connected with the execution of portfolio transactions, and extraordinary expenses. The Board received and reviewed information for the Funds showing the advisory fee rates and expense ratios of the funds comprising of each Fund’s peer group, as well as advisory fee rates charged by the Adviser and Milliman to other funds (including ETFs) and non-fund clients, as applicable. In light of the information considered and the nature, extent and quality of the services expected to be provided to the Funds under the agreements, the Board determined that the proposed unitary fee for each of the Funds, including the fee rate to be paid by the Adviser to Milliman from the unitary fee, was fair.
Board Considerations Regarding Approval of Investment Management
Agreement (Unaudited) (Continued)
The Board noted that the proposed unitary fee for each of the Funds were structured to pass the benefits of any economies of scale on to shareholders as the respective Fund’s assets grow. The Board noted that any reduction in fixed costs associated with the management of the respective Fund would benefit the Adviser and Milliman, but that the unitary fee structure provides a level of certainty in expenses for each of the Funds. The Board noted that the Adviser is continuing to invest in personnel and infrastructure for the Innovator fund complex.
Because the Funds have not yet commenced operations and the actual asset base of the Funds have not yet been determined, the Board noted that there was no historical profitability information with respect to the Funds to be reviewed. The Board noted that it would review profitability information in connection with subsequent renewals of the agreements.
The Board considered potential “fall-out” or ancillary benefits anticipated to be received by the Adviser and Milliman. The Board concluded that the character and amount of potential fall-out benefits to the Adviser and Milliman were consistent with the types of benefits generally derived by investment managers and sub-advisers to funds.
Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the agreements are fair and that the approval of the agreements is in the best interests of the Funds. No single factor was determinative in the Board’s analysis.
Additional Information (Unaudited)
1. | INFORMATION ABOUT PROSPECTUS |
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus. Investors should consider the investment objective and policies, risk considerations, charges and ongoing expenses of an investment carefully before investing. The prospectus contains this and other information relevant to an investment in the respective Fund. Please read the Prospectus carefully before investing. A copy of the Prospectus may be obtained without charge by writing to the Trust’s Distributor, or by calling toll free at 1-800-208-5212 or visiting www.innovatoretfs.com.
2. | PROXY VOTING POLICIES AND PROCEDURE |
The Trust’s Proxy Voting Policies and Procedures are available without charge, upon request, by calling 1-877-386-3890 and on the SEC’s website at www.sec.gov. Information relating to how each Fund voted proxies relating to portfolio securities held during each year ended June 30 is also available on the SEC’S website at www.sec.gov.
3. | INFORMATION ABOUT PORTFOLIO SECURITIES |
Each Funds’ complete schedule of portfolio holdings for the first and third quarters is filed with the SEC on Form N-Q or Part F of Form N-PORT (beginning with filings after March 31, 2020). The Trust’s Form N-Q or Part F of Form N-PORT is available without charge, upon request, by calling 1-877-386-3890, or on the SEC’s website at www.sec.gov. The Trust’s Form N-Q or Part F of Form N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
4. | HOUSEHOLD DELIVERY OF SHAREHOLDER DOCUMENTS |
In order to reduce expenses, the Trust delivers one copy of an annual/semi-annual report, prospectus and/or proxy statement on behalf of two or more shareholders at a shared address (householding). If you do not wish to participate in householding, please indicate this preference on your new account application (if you are opening a new account) or call 1-877-FUND890 (877-386-3890) to change the status of your existing account. You may change your status at any time.
5. | ELECTRONIC DELIVERY OF SHAREHOLDER DOCUMENTS |
You may choose to receive a Fund’s prospectus and annual and semi-annual reports electronically. To sign up for electronic delivery, visit www.icsdelivery.com and select the first letter of your brokerage firm’s name. Then, select your brokerage institution from the list that follows, fill out the appropriate information and provide an e-mail address where you would like your information sent. If your brokerage firm is not listed, electronic delivery may not be available. Please contact your brokerage firm or financial adviser.
Additional Information (Unaudited) (Continued)
6. | TAX NOTICE |
For the fiscal year ended October 31, 2020, certain dividends paid by the Funds may be subject to a maximum tax rate of 23.8%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003.
For the taxable year ended October 31, 2020, the percentage of ordinary income dividends paid by the Funds that qualify for the dividends received deduction available to corporations was 0.00%.
For the taxable year ended October 31, 2020, the Funds paid the following ordinary income distributions that were designated as short-term capital gain distributions under Internal Revenue Section 871(k)2(c):
% of Ordinary Income Distributions designated as Short-Term Capital Gain Distributions | ||||
IJAN | 0.00 | % | ||
IJUL | 100.00 | % | ||
EJAN | 0.00 | % | ||
EJUL | 100.00 | % | ||
NJAN | 0.00 | % | ||
NAPR | 0.00 | % | ||
NJUL | 0.00 | % | ||
NOCT | 100.00 | % | ||
KJAN | 0.00 | % | ||
KAPR | 0.00 | % | ||
KJUL | 0.00 | % | ||
KOCT | 100.00 | % | ||
TFJL | 0.00 | % | ||
TBJL | 0.00 | % | ||
DSOC | 0.00 | % | ||
TSOC | 0.00 | % | ||
DBOC | 0.00 | % |
7. Liquidity Risk Management Program
Consistent with Rule 22e-4 under the Investment Company Act of 1940, as amended, Innovator ETF Trust and Innovator ETF Trust II (each a “Trust” and, collectively, the “Trusts”), on behalf of each of its series (each a “Fund” and, collectively, the “Funds”), has established a liquidity risk management program to govern the Funds’ approach to managing liquidity risk (the “Program”). The Program is overseen by the Trusts’ Valuation Committee as the Program Administrator, a committee comprised of representatives of the Trusts’ investment adviser, Innovator Capital Management LLC and representatives of Milliman Financial Risk Management LLC, the sub-adviser for certain of the Funds (the “Committee”). The Trusts’ Board of Trustees (the “Board”) has approved the designation of the Committee to administer the Program.
Additional Information (Unaudited) (Continued)
The Program’s principal objectives include supporting the Funds’ compliance with limits on investments in illiquid assets and mitigating the risk that a Fund will be unable to meet its redemption obligations in a timely manner. The Program also includes a number of elements that support the management and assessment of liquidity risk, including an annual assessment of factors that influence each Fund’s liquidity and the periodic classification and re-classification of certain Funds’ investments into groupings that reflect the Committee’s assessment of their relative liquidity under current market conditions.
At a meeting of the Board held on September 17, 2020, the Trustees received a written report from the Committee regarding the design and operational effectiveness of the Program since its implementation in September 2019. The Committee determined, and reported to the Board, that the Program is reasonably designed to assess and manage the Funds’ liquidity risk and has operated adequately and effectively to manage the Funds’ liquidity risk since implementation. The Committee reported that during the period covered by the report, there were no liquidity events that impacted the Funds or their ability to timely meet redemptions without dilution to existing shareholders. The Committee also noted no Fund has filed a Form N-LIQUID with the SEC.
The Committee noted that certain of the Funds continue to qualify as “in-kind” ETFs under Rule 22e-4 and, as such, are exempt from the requirement to set a highly liquid investment minimum. The Committee noted that the remaining funds are invested in highly liquid securities and, accordingly, continue to be exempt from the requirement to determine a “highly liquid investment minimum” as defined in the Rule. Because of that continued qualification for the exemption, the Funds have not adopted any “highly liquid investment” minimum amounts. The Committee further noted that no material changes have been made to the Program since its implementation.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Funds’ prospectus for more information regarding each Fund’s exposure to liquidity risk and other principal risks to which an investment in a Fund may be subject.
INVESTMENT ADVISOR
Innovator Capital Management, LLC
109 North Hale Street
Wheaton, IL 60187
INVESTMENT SUB-ADVISOR
Milliman Financial Risk Management LLC
71 S. Wacker Drive, 31st Floor
Chicago, IL 60606
ADMINISTRATOR, FUND ACCOUNTANT & TRANSFER AGENT
U.S. Bancorp Fund Services, LLC
615 East Michigan Street
Milwaukee, WI 53202
DISTRIBUTOR
Foreside Fund Services, LLC
Three Canal Plaza
Portland, ME 04101
CUSTODIAN
U.S. Bank, N.A.
1555 North RiverCenter Drive, Suite 302
Milwaukee, WI 53212
LEGAL COUNSEL
Chapman and Cutler LLP
111 West Monroe Street
Chicago, IL 60603
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Cohen & Company, Ltd.
1350 Euclid Ave., Suite 800
Cleveland, OH 44115
TABLE OF CONTENTS
Letter to Shareholders | 3 |
Fund Performance | 6 |
Expense Example | 14 |
Schedules of Investments | 16 |
Statements of Assets and Liabilities | 29 |
Statements of Operations | 30 |
Statements of Changes in Net Assets | 31 |
Financial Highlights | 33 |
Notes to Financial Statements | 35 |
Report of Independent Registered Accounting Firm | 50 |
Trustees and Officers | 53 |
Board Considerations Regarding Approval of Investment Management Agreement | 55 |
Additional Information | 58 |
Letter to Shareholders (Unaudited)
Dear Valued Shareholders,
The following shareholder letter covers the year ended October 31, 2020.
First, and most importantly, we want to thank those first responders and health care workers who have responded so tremendously to one of the greatest health crisis of our lifetimes. Our thoughts and prayers are with the communities and individuals most deeply affected by the COVID-19 Crisis.
Innovator Capital Management was established on an unwavering commitment to building products that seek to deliver confidence to investors, even in the face of uncertainty. The COVID-19 Crisis has served as a true test of Innovator’s products in the marketplace, and I’m happy to report that even through these most unprecedented times, Innovator ETFs have performed as expected. In fact, through the recent market correction, our Defined Outcome line of ETFs were some of the best performing products in the marketplace.
Innovator’s people, processes and investment products have been essential to stabilizing and growing the US economy, and the financial health and well-being of Innovator ETF investors. We appreciate the trust and support you have put in our firm, and thank you for the opportunity to serve you for many years to come.
Innovator Investor’s Business Daily (IBD) ETFs & Innovator Loup Frontier Tech ETF (LOUP)
Thank you for your interest in our suite of Innovator Investor’s Business Daily (IBD) ETFs and the Innovator Loup Frontier Tech ETF (LOUP). We are grateful for our successful partnership with IBD, Loup Ventures and Gene Munster.
During the year ended October 31, 2020, the IBD ETFs have performed well compared to the S&P 500 index. The ETFs were helped by securities that were beneficiaries of the pandemic including Zoom and Adobe. The IBD 50 in particular, places emphasis on fundamental characteristics such as earnings growth, which can lead at times, to having no exposure to high-flying winners. We have been pleased with the team’s adherence to the ETFs’ investment philosophy and believe this suite of products have a role as a “growthier” growth option in client portfolios.
Letter to Shareholders (Unaudited) (Continued)
The Innovator Loup Frontier Tech ETF has been consistent in its positioning as an ETF focused on investing in companies that influence the future of technology. During the year ended October 31, 2020, LOUP has significantly outperformed the Dow Jones Global Index. Technology stocks overall have had an impressive run. The pandemic has showcased the need for companies to be cognizant of their automation strategies, and less reliant on human labor. Consequently, the team is seeing some incremental strength and opportunities in robotics and industrial cobot installations. Given its unique positioning and focus on non-mega cap names, LOUP remains a solid complement and diversifier to broader, large cap technology focused funds in client portfolios.
Again, our thoughts and prayers go out to the communities and individuals who have been affected by the current global health and economic crisis. Thank you again for the trust and support you have put in us, and we wish you a happy and healthy Holiday season.
Sincerely,
Bruce Bond
Chief Executive Officer
The views in this report were those of the Fund’s CEO as of October 31, 2020 and may not reflect his views on the date that this report is first published or anytime thereafter. These views are intended to assist shareholders in understanding their investments and do not constitute investment advice.
Investing involves risks. Principal loss is possible. An ETF that concentrates its investments in the securities of a particular industry, market, sector, or geographic area may be more volatile than a fund that invests in a broader range of industries. Additionally, the Fund may invest in securities that have additional risks. Foreign companies can be more volatile, less liquid, and subject to the risk of currency fluctuations. This risk is greater for emerging markets. Small- and mid-cap companies can have limited liquidity and greater volatility than large-cap companies.
Letter to Shareholders (Unaudited) (Continued)
Information Technology Companies Risk. Information technology companies face intense competition, both domestically and internationally, which may have an adverse effect on profit margins. Like other technology companies, information technology companies may have limited product lines, markets, financial resources or personnel. The products of information technology companies may face obsolescence due to rapid technological developments, frequent new product introduction, unpredictable changes in growth rates and competition for the services of qualified personnel. Companies in the information technology sector are heavily dependent on patent and intellectual property rights. The loss or impairment of these rights may adversely affect the profitability of these companies.
This material must be accompanied by a prospectus. Read carefully before investing.
Innovator ETFs are distributed by Foreside Fund Services, LLC.
INNOVATOR IBD® 50 ETF
Fund Performance
October 31, 2020 (Unaudited)
The following chart compares the value of a hypothetical $10,000 investment in the Innovator IBD® 50 ETF from its inception (April 8, 2015) to October 31, 2020 as compared with the S&P 500® Index.
Average Annual Total Returns As of October 31, 2020 | ||||||||||||||||
1 Year | 3 Years | 5 Years | Since Inception (a) | |||||||||||||
Innovator IBD® 50 ETF | ||||||||||||||||
NAV Return | 8.42 | % | 2.62 | % | 9.39 | % | 6.79 | % | ||||||||
Market Return | 8.38 | % | 2.56 | % | 9.36 | % | 6.78 | % | ||||||||
S&P 500® Index | 9.71 | % | 10.42 | % | 11.71 | % | 10.66 | % | ||||||||
IBD® 50 Index (b) | 8.64 | % | 3.36 | % | N/A | 2.22 | %(c) |
(a) | Inception date is April 8, 2015. |
(b) | The Fund began tracking the IBD® 50 Index on November 20, 2017. |
(c) | Since Inception return is from the date the Fund began tracking the IBD® 50 Index, November 20, 2017. |
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the gross and net expense ratios of the Fund were 0.78% and 0.80%, respectively. For the most recent month–end performance, please visit the Fund’s website at innovatoretfs.com.
INNOVATOR IBD® 50 ETF
Fund Performance
October 31, 2020 (Unaudited) (Continued)
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Total return calculations reflect the effect of the Advisor’s expense limitation agreement for the Fund. Returns shown for the Fund, S&P 500® Index and IBD® 50 Index include the reinvestment of all dividends, if any.
The S&P 500® Index is an unmanaged, capitalization–weighted index generally representative of the U.S. market for large capitalization stocks.
The IBD® 50 Index is a weekly, rule–based, computer–generated stock index compiled and published by Investor’s Business Daily® that seeks to identify the current top 50 growth stocks.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange–traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/FFTY.
INNOVATOR IBD® ETF LEADERS ETF
Fund Performance
October 31, 2020 (Unaudited)
The following chart compares the value of a hypothetical $10,000 investment in the Innovator IBD® ETF Leaders ETF from its inception (December 20, 2017) to October 31, 2020 as compared with the S&P 500® Index and IBD® ETF Leaders Index.
Average Annual Total Returns As of October 31, 2020 | ||||||||
1 Year | Since Inception (a) | |||||||
Innovator IBD® ETF Leaders ETF | ||||||||
NAV Return | 11.38 | % | -0.15 | % | ||||
Market Return | 11.33 | % | -0.28 | % | ||||
S&P 500® Index | 9.71 | % | 9.29 | % | ||||
IBD® ETF Leaders Index | 12.36 | % | 0.56 | % |
(a) | Inception date is December 20, 2017. |
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.95%. This expense ratio includes acquired fund fees and expenses of 0.34%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
INNOVATOR IBD® ETF LEADERS ETF
Fund Performance
October 31, 2020 (Unaudited) (Continued)
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund, S&P 500® Index and IBD® ETF Leaders Index include the reinvestment of all dividends, if any.
The S&P 500® Index is an unmanaged, capitalization–weighted index generally representative of the U.S. market for large capitalization stocks.
The IBD® ETF Leaders Index is a rule–based index compiled and published by Investor’s Business Daily® that seeks to outperform the broader equity and fixed income markets.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange–traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/LDRS.
Fund Performance
October 31, 2020 (Unaudited)
The following chart compares the value of a hypothetical $10,000 investment in the Innovator IBD® Breakout Opportunities ETF from its inception (September 12, 2018) to October 31, 2020 as compared with the S&P 500® Index and IBD® Breakout Stocks Index.
Average Annual Total Returns As of October 31, 2020 | ||||||||
1 Year | Since Inception (a) | |||||||
Innovator IBD® Breakout Opportunities ETF | ||||||||
NAV Return | 21.04 | % | -2.69 | % | ||||
Market Return | 20.96 | % | -2.76 | % | ||||
S&P 500® Index | 9.71 | % | 8.05 | % | ||||
IBD® Breakout Stocks Index | 22.77 | % | -1.51 | % |
(a) | Inception date is September 12, 2018. |
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.84%. This expense ratio includes acquired fund fees and expenses of 0.04%. For the most recent month–end performance, please visit the Fund’s website at innovatoretfs.com.
INNOVATOR IBD® BREAKOUT OPPORTUNITIES ETF
Fund Performance
October 31, 2020 (Unaudited) (Continued)
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund, S&P 500® Index and IBD® Breakout Stocks Index include the reinvestment of all dividends, if any.
The S&P 500® Index is an unmanaged, capitalization–weighted index generally representative of the U.S. market for large capitalization stocks.
The IBD® Breakout Stocks Index is a rule–based index compiled and published by Investor’s Business Daily® that seeks to provide opportunistic investment exposure to those stocks with the potential to “break out” or experience a period of sustained price growth beyond the stock’s recent “resistance level,” with consideration for various market conditions.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange–traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/BOUT.
INNOVATOR LOUP FRONTIER TECH ETF
Fund Performance
October 31, 2020 (Unaudited)
The following chart compares the value of a hypothetical $10,000 investment in the Innovator Loup Frontier Tech ETF from its inception (July 24, 2018) to October 31, 2020 as compared with the Dow Jones Global Index and Loup Frontier Tech Index.
Average Annual Total Returns As of October 31, 2020 | ||||||||
1 Year | Since Inception (a) | |||||||
Innovator Loup Frontier Tech ETF | ||||||||
NAV Return | 57.59 | % | 19.33 | % | ||||
Market Return | 58.16 | % | 19.43 | % | ||||
Dow Jones Global Index | 4.59 | % | 4.37 | % | ||||
Loup Frontier Tech Index | 59.11 | % | 20.07 | % |
(a) | Inception date is July 24, 2018. |
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.70%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
INNOVATOR LOUP FRONTIER TECH ETF
Fund Performance
October 31, 2020 (Unaudited) (Continued)
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund, Dow Jones Global Index and Loup Frontier Tech Index include the reinvestment of all dividends, if any.
The Dow Jones Global Index is an unmanaged, capitalization–weighted index generally representative of the global market.
The Loup Frontier Tech Index is a rules–based stock index that seeks to identify and track those companies identified as being on the frontier of the development of new technologies that have the potential to have an outsized influence on the future.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange–traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/LOUP.
Expense Example
For the Period Ended October 31, 2020 (Unaudited)
As a shareholder of the Funds, you incur two types of costs: (1) ongoing costs, including management fees, and other Fund expenses; and (2) transaction costs, including brokerage commissions on the purchase and sale of Fund shares. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from May 1, 2020 to October 31, 2020 for each Fund.
Actual Expenses
The first line under each Fund in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 equals 8.6), then multiply the result by the number in the applicable line under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second line under each Fund in the following table provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which are not the Funds’ actual returns. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions on the purchase and sale of Fund shares. Therefore, the second line under the Fund in the table is useful in comparing the ongoing Fund costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs could have been higher.
Expense Example
For the Period Ended October 31, 2020 (Unaudited) (Continued)
Beginning Account | Ending Account | Expenses Paid During the | Annualized Expense Ratio for the | |||||||||||||
Value | Value | Period (a) | Period | |||||||||||||
Innovator IBD 50® ETF (NAV) | 0.80 | % | ||||||||||||||
Actual | $ | 1,000.00 | $ | 1,197.40 | $ | 4.42 | ||||||||||
Hypothetical | 1,000.00 | 1,021.11 | 4.06 | |||||||||||||
Innovator IBD® ETF Leaders ETF (NAV) | 0.60 | % | ||||||||||||||
Actual | 1,000.00 | 1,345.70 | 3.54 | |||||||||||||
Hypothetical | 1,000.00 | 1,022.12 | 3.05 | |||||||||||||
Innovator IBD® Breakout Opportunities ETF (NAV) | 0.80 | % | ||||||||||||||
Actual | 1,000.00 | 1,154.10 | 4.33 | |||||||||||||
Hypothetical | 1,000.00 | 1,021.11 | 4.06 | |||||||||||||
Innovator Loup Frontier Tech ETF (NAV) | 0.70 | % | ||||||||||||||
Actual | 1,000.00 | 1,421.20 | 4.26 | |||||||||||||
Hypothetical | 1,000.00 | 1,021.62 | 3.56 |
(a) | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the six month period). |
Schedule of Investments
October 31, 2020
Shares | Value | |||||||
COMMON STOCKS - 99.46% | ||||||||
Apparel - 3.45% | ||||||||
Crocs, Inc. (a) | 119,886 | $ | 6,273,634 | |||||
Beverages - 2.97% | ||||||||
National Beverage Corp. (a)(b) | 68,851 | 5,390,345 | ||||||
Biotechnology - 3.00% | ||||||||
Alexion Pharmaceuticals, Inc. (a) | 8,042 | 925,956 | ||||||
Emergent BioSolutions, Inc. (a) | 40,479 | 3,641,895 | ||||||
Regeneron Pharmaceuticals, Inc. (a) | 1,628 | 884,916 | ||||||
5,452,767 | ||||||||
Commercial Services - 5.89% | ||||||||
Chegg, Inc. (a) | 72,756 | 5,343,201 | ||||||
PayPal Holdings, Inc. (a) | 28,817 | 5,363,708 | ||||||
10,706,909 | ||||||||
Computers - 4.47% | ||||||||
Fortinet, Inc. (a) | 15,529 | 1,713,936 | ||||||
Logitech International SA (b) | 75,549 | 6,395,223 | ||||||
8,109,159 | ||||||||
Distribution/Wholesale - 3.43% | ||||||||
Pool Corp. | 17,818 | 6,233,271 | ||||||
Diversified Financial Services - 6.98% | ||||||||
Futu Holdings Ltd. - ADR (a)(b) | 59,207 | 1,760,224 | ||||||
Nasdaq, Inc. | 7,587 | 917,951 | ||||||
PennyMac Financial Services, Inc. | 125,421 | 6,373,896 | ||||||
Virtu Financial, Inc. - Class A | 84,350 | 1,803,403 | ||||||
XP, Inc. - Class A (a) | 45,466 | 1,822,277 | ||||||
12,677,751 | ||||||||
Electronic Components & Equipment - 3.45% | ||||||||
Generac Holdings, Inc. (a) | 29,779 | 6,258,057 | ||||||
Electronics - 2.12% | ||||||||
PerkinElmer, Inc. | 29,699 | 3,847,505 |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments
October 31, 2020 (Continued)
|
|
| Shares |
|
| Value |
| ||
Healthcare-Products - 9.38% |
|
|
|
|
|
|
|
| |
Danaher Corp. |
|
| 15,918 |
|
| $ | 3,653,818 |
| |
Meridian Bioscience, Inc. (a) |
|
| 93,485 |
|
|
| 1,603,268 |
| |
Thermo Fisher Scientific, Inc. |
|
| 11,625 |
|
|
| 5,500,020 |
| |
West Pharmaceutical Services, Inc. |
|
| 23,071 |
|
|
| 6,276,926 |
| |
|
|
|
|
|
|
|
| 17,034,032 |
|
Home Builders - 1.97% |
|
|
|
|
|
|
|
| |
DR Horton, Inc. |
|
| 53,637 |
|
|
| 3,583,488 |
| |
|
|
|
|
|
|
|
|
|
|
Internet - 4.97% |
|
|
|
|
|
|
|
| |
Alibaba Group Holding Ltd. - ADR (a) |
|
| 17,996 |
|
|
| 5,483,201 |
| |
Amazon.com, Inc. (a) |
|
| 1,168 |
|
|
| 3,546,223 |
| |
|
|
|
|
|
|
|
| 9,029,424 |
|
Mining - 0.53% |
|
|
|
|
|
|
|
| |
Franco-Nevada Corp. |
|
| 6,977 |
|
|
| 952,709 |
| |
|
|
|
|
|
|
|
|
|
|
Packaging & Containers - 0.51% |
|
|
|
|
|
|
|
| |
Berry Global Group, Inc. (a) |
|
| 19,944 |
|
|
| 929,989 |
| |
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals - 0.49% |
|
|
|
|
|
|
|
| |
Horizon Therapeutics PLC (a) |
|
| 11,954 |
|
|
| 895,713 |
| |
|
|
|
|
|
|
|
|
|
|
Retail - 6.50% |
|
|
|
|
|
|
|
| |
Dollar General Corp. (b) |
|
| 26,262 |
|
|
| 5,481,142 |
| |
Lowe's Cos, Inc. |
|
| 40,054 |
|
|
| 6,332,538 |
| |
|
|
|
|
|
|
|
| 11,813,680 |
|
Semiconductors - 18.46% |
|
|
|
|
|
|
|
| |
Advanced Micro Devices, Inc. (a) |
|
| 84,626 |
|
|
| 6,371,492 |
| |
Entegris, Inc. |
|
| 74,168 |
|
|
| 5,545,541 |
| |
Inphi Corp. (a) |
|
| 16,646 |
|
|
| 2,326,445 |
| |
Lam Research Corp. |
|
| 5,450 |
|
|
| 1,864,336 |
| |
Marvell Technology Group Ltd. |
|
| 93,462 |
|
|
| 3,505,760 |
| |
NVIDIA Corp. |
|
| 12,800 |
|
|
| 6,417,409 |
| |
Taiwan Semiconductor Manufacturing Co. Ltd. – ADR |
|
| 44,061 |
|
|
| 3,695,396 |
| |
Teradyne, Inc. |
|
| 43,191 |
|
|
| 3,794,329 |
| |
|
|
|
|
|
|
|
| 33,520,708 |
|
The accompanying notes are an integral part of these financial statements.
Schedule of Investments
October 31, 2020 (Continued)
Shares | Value | |||||||
Software - 19.89% | ||||||||
Activision Blizzard, Inc. | 23,380 | $ | 1,770,567 | |||||
Adobe, Inc. (a) | 12,127 | 5,421,982 | ||||||
Atlassian Corp. PLC - Class A (a) | 4,422 | 847,344 | ||||||
Cadence Design Systems, Inc. (a) | 51,485 | 5,630,914 | ||||||
Digital Turbine, Inc. (a) | 61,514 | 1,762,991 | ||||||
Dynatrace, Inc. (a) | 153,471 | 5,419,061 | ||||||
Intuit, Inc. | 2,899 | 912,257 | ||||||
ServiceNow, Inc. (a) | 1,908 | 949,364 | ||||||
Synopsys, Inc. (a) | 16,961 | 3,627,279 | ||||||
Veeva Systems, Inc. - Class A (a) | 22,506 | 6,077,746 | ||||||
Workday, Inc. - Class A (a) | 17,618 | 3,701,894 | ||||||
36,121,399 | ||||||||
Telecommunications - 1.00% | ||||||||
AudioCodes Ltd. | 62,408 | 1,809,208 | ||||||
TOTAL COMMON STOCKS (Cost $169,000,156) | 180,639,748 | |||||||
REAL ESTATE INVESTMENT TRUSTS - 0.49% | ||||||||
Wharehouse/Industrial - 0.49% | ||||||||
Innovative Industrial Properties, Inc. (b) | 7,602 | 886,621 | ||||||
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $926,476) | 886,621 |
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 9.26% | Units | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 0.17% (c) | 16,823,705 | 16,823,705 | |||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost $16,823,705) | 16,823,705 |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments
October 31, 2020 (Continued)
Principal Amount | Value | |||||||
SHORT TERM INVESTMENTS - 0.59% | ||||||||
Money Market Deposit Account - 0.59% | ||||||||
U.S. Bank Money Market Deposit Account, 0.03% (d) | $ | 1,078,852 | $ | 1,078,852 | ||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,078,852) | 1,078,852 | |||||||
Total Investments (Cost $187,829,189) - 109.80% | 199,428,926 | |||||||
Liabilities in Excess of Other Assets - (9.80)% | (17,804,787 | ) | ||||||
TOTAL NET ASSETS - 100.00% | $ | 181,624,139 |
Asset Type | % of Net Assets | |||
Common Stocks | 99.46 | % | ||
Real Estate Investment Trusts | 0.49 | |||
Investments Purchased with Proceeds From Securities Lending | 9.26 | |||
Short Term Investments | 0.59 | |||
Total Investments | 109.80 | |||
Liabilities in Excess of Other Assets | (9.80 | ) | ||
Net Assets | 100.00 | % |
Percentages are stated as a percent of net assets. |
|
ADR - American Depositary Receipt |
(a) | Non-income producing security. |
(b) | All or a portion of this security is on loan as of October 31, 2020. The total value of securities on loan is $13,623,871, or 7.50% of net assets. See Note 6. |
(c) | Represents annualized seven-day yield as of the end of the reporting period. |
(d) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments
October 31, 2020
Shares | Value | |||||||
EXCHANGE TRADED FUNDS - 99.67% | ||||||||
Amplify Online Retail ETF | 1,302 | $ | 115,539 | |||||
ARK Autonomous Technology & Robotics ETF (a) | 1,022 | 59,010 | ||||||
ARK Fintech Innovation ETF | 1,449 | 59,250 | ||||||
ARK Genomic Revolution ETF (b) | 11,074 | 728,004 | ||||||
ARK Innovation ETF | 637 | 57,833 | ||||||
ARK Next Generation Internet ETF (a) | 539 | 59,727 | ||||||
Consumer Discretionary Select Sector SPDR Fund | 784 | 112,088 | ||||||
Fidelity MSCI Consumer Discretionary Index ETF (b) | 1,869 | 112,738 | ||||||
First Trust Exchange Traded Fund IV - SSI Strategic Convertible Securities ETF (b) | 8,666 | 350,322 | ||||||
First Trust Global Wind Energy ETF | 19,551 | 353,482 | ||||||
First Trust International Equity ETF (b) | 12,285 | 689,803 | ||||||
First Trust NASDAQ Clean Edge Green Energy Index Fund | 1,302 | 61,689 | ||||||
First Trust Nasdaq Transportation ETF (b) | 29,603 | 693,894 | ||||||
Global X Cloud Computing ETF | 2,408 | 56,468 | ||||||
Global X FinTech ETF (a) | 1,526 | 55,455 | ||||||
Global X Lithium & Battery Tech ETF (b) | 17,521 | 755,680 | ||||||
Global X MSCI China Consumer Discretionary ETF | 12,775 | 376,990 | ||||||
Global X Robotics & Artificial Intelligence ETF | 25,109 | 695,769 | ||||||
Global X Video Games & Esports ETF | 2,163 | 57,320 | ||||||
Invesco China Technology ETF (b) | 5,075 | 377,682 | ||||||
Invesco DWA Momentum ETF | 4,585 | 345,801 | ||||||
Invesco WilderHill Clean Energy ETF | 931 | 58,951 | ||||||
iShares Edge MSCI USA Momentum Factor ETF | 959 | 135,440 | ||||||
iShares Expanded Tech-Software Sector ETF (b) | 189 | 57,577 | ||||||
iShares Global Clean Energy ETF | 18,403 | 359,962 | ||||||
iShares Russell 1000 Growth ETF | 651 | 136,437 | ||||||
iShares U.S. Home Construction ETF (b) | 2,016 | 104,872 | ||||||
O'Shares Global Internet Giants ETF (a)(b) | 1,323 | 59,522 | ||||||
Proshares Online Retail ETF (b) | 1,834 | 116,569 | ||||||
Renaissance IPO ETF (b) | 6,657 | 337,377 | ||||||
Schwab U.S. Large-Cap Growth ETF | 1,232 | 137,861 | ||||||
SPDR Bloomberg Barclays Convertible Securities ETF | 5,054 | 348,271 | ||||||
SPDR S&P Homebuilders ETF | 2,121 | 110,250 | ||||||
VanEck Vectors Video Gaming and eSports ETF | 959 | 57,329 |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments
October 31, 2020 (Continued)
Shares | Value | |||||||
Vanguard Growth ETF | 623 | $ | 137,540 | |||||
Vanguard Russell 1000 Growth ETF | 637 | 137,745 | ||||||
TOTAL EXCHANGE TRADED FUNDS (Cost $8,442,257) | 8,470,247 |
Units | ||||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 27.24% | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 0.17% (c) | 2,315,427 | 2,315,427 | ||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost $2,315,427) | 2,315,427 |
SHORT TERM INVESTMENTS - 0.31% | Principal Amount | ||||||||
Money Market Deposit Account - 0.31% |
| ||||||||
U.S. Bank Money Market Deposit Account, 0.03% (d) | $ | 26,096 | 26,096 | ||||||
TOTAL SHORT TERM INVESTMENTS (Cost $26,096) | 26,096 | ||||||||
Total Investments (Cost $10,783,780) - 127.22% | 10,811,770 | ||||||||
Liabilities in Excess of Other Assets - (27.22)% | (2,313,446 | ) | |||||||
TOTAL NET ASSETS - 100.00% | $ | 8,498,324 |
Asset Type | % of Net Assets | |||
Exchange Traded Funds | 99.67 | % | ||
Investments Purchased with Proceeds From Securities Lending | 27.24 | |||
Short Term Investments | 0.31 | |||
Total Investments | 127.22 | |||
Liabilities in Excess of Other Assets | (27.22 | ) | ||
Net Assets | 100.00 | % |
Percentages are stated as a percent of net assets. |
(a) | Non-income producing security. |
(b) | All or a portion of this security is on loan as of October 31, 2020. The total value of securities on loan is $2,205,985, or 25.96% of net assets. See Note 6. |
(c) | Represents annualized seven-day yield as of the end of the reporting period. |
(d) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments
October 31, 2020
Shares | Value | |||||||
COMMON STOCKS - 99.88% | ||||||||
Auto Manufacturers - 0.36% | ||||||||
Tesla, Inc. (a) | 55 | $ | 21,342 | |||||
Beverages - 2.40% | ||||||||
National Beverage Corp. (a)(b) | 1,805 | 141,313 | ||||||
Building Materials - 2.34% | ||||||||
Gibraltar Industries, Inc. (a) | 1,565 | 89,909 | ||||||
Simpson Manufacturing Co, Inc. | 540 | 47,909 | ||||||
137,818 | ||||||||
Commercial Services - 7.81% | ||||||||
Chegg, Inc. (a) | 280 | 20,563 | ||||||
LiveRamp Holdings, Inc. (a) | 2,440 | 161,260 | ||||||
Paylocity Holding Corp. (a) | 550 | 102,036 | ||||||
PayPal Holdings, Inc. (a) | 115 | 21,405 | ||||||
Ritchie Bros Auctioneers, Inc. | 2,545 | 154,302 | ||||||
459,566 | ||||||||
Computers - 4.87% | ||||||||
Fortinet, Inc. (a) | 405 | 44,700 | ||||||
TTEC Holdings, Inc. | 1,760 | 96,413 | ||||||
Zscaler, Inc. (a) | 1,070 | 145,253 | ||||||
286,366 | ||||||||
Distribution/Wholesale - 2.50% | ||||||||
HD Supply Holdings, Inc. (a) | 3,695 | 147,283 | ||||||
Diversified Financial Services - 7.51% | ||||||||
Focus Financial Partners, Inc. - Class A (a) | 3,930 | 143,484 | ||||||
Tradeweb Markets, Inc. - Class A | 2,600 | 141,648 | ||||||
T Rowe Price Group, Inc. | 1,235 | 156,425 | ||||||
441,557 | ||||||||
Electronics - 4.23% | ||||||||
Advanced Energy Industries, Inc. (a) | 1,445 | 97,494 | ||||||
II-VI, Inc. (a) | 3,330 | 151,415 | ||||||
248,909 | ||||||||
Engineering & Construction - 0.78% | ||||||||
Sterling Construction Co, Inc. (a) | 3,110 | 45,717 |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments
October 31, 2020 (Continued)
Shares | Value | |||||||
Food - 3.52% | ||||||||
Beyond Meat, Inc. (a)(b) | 1,070 | $ | 152,400 | |||||
Grocery Outlet Holding Corp. (a) | 1,235 | 54,365 | ||||||
206,765 | ||||||||
Forest Products & Paper - 2.92% | ||||||||
Clearwater Paper Corp. (a) | 4,625 | 171,819 | ||||||
Healthcare-Products - 3.01% | ||||||||
STAAR Surgical Co. (a) | 2,445 | 177,263 | ||||||
Healthcare-Services - 3.96% | ||||||||
LHC Group, Inc. (a) | 845 | 182,985 | ||||||
Quest Diagnostics, Inc. | 410 | 50,077 | ||||||
233,062 | ||||||||
Home Furnishings - 2.91% | ||||||||
Whirlpool Corp. (b) | 925 | 171,088 | ||||||
Insurance - 1.58% | ||||||||
Kinsale Capital Group, Inc. | 495 | 92,798 | ||||||
Internet - 13.24% | ||||||||
Alibaba Group Holding Ltd. - ADR (a) | 75 | 22,852 | ||||||
Amazon.com, Inc. (a) | 10 | 30,362 | ||||||
eBay, Inc. | 450 | 21,434 | ||||||
Etsy, Inc. (a) | 175 | 21,278 | ||||||
Facebook, Inc. - Class A (a) | 185 | 48,675 | ||||||
Farfetch Ltd. - Class A (a) | 6,120 | 172,156 | ||||||
Match Group, Inc. (a) | 870 | 101,599 | ||||||
MercadoLibre, Inc. (a)(b) | 140 | 169,967 | ||||||
Pinduoduo, Inc. - ADR (a)(b) | 2,115 | 190,307 | ||||||
778,630 | ||||||||
Retail - 2.88% | ||||||||
Best Buy Co., Inc. (b) | 885 | 98,722 | ||||||
Dollar General Corp. (b) | 110 | 22,958 | ||||||
Williams-Sonoma, Inc. (b) | 525 | 47,885 | ||||||
169,565 |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments
October 31, 2020 (Continued)
|
|
| Shares |
|
| Value |
| ||
Semiconductors - 8.89% |
|
|
|
|
|
|
|
| |
Advanced Micro Devices, Inc. (a) |
|
| 295 |
|
| $ | 22,211 |
| |
Entegris, Inc. |
|
| 1,335 |
|
|
| 99,818 |
| |
FormFactor, Inc. (a) |
|
| 6,195 |
|
|
| 175,627 |
| |
Lam Research Corp. |
|
| 300 |
|
|
| 102,624 |
| |
NVIDIA Corp. |
|
| 45 |
|
|
| 22,561 |
| |
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR (b) |
|
| 595 |
|
|
| 49,903 |
| |
Teradyne, Inc. |
|
| 570 |
|
|
| 50,075 |
| |
|
|
|
|
|
|
|
| 522,819 |
|
Software - 21.77% |
|
|
|
|
|
|
|
| |
Activision Blizzard, Inc. |
|
| 1,940 |
|
|
| 146,916 |
| |
Adobe, Inc. (a) |
|
| 50 |
|
|
| 22,355 |
| |
Autodesk, Inc. (a) |
|
| 720 |
|
|
| 169,588 |
| |
Cloudflare, Inc. - Class A (a) |
|
| 2,820 |
|
|
| 146,555 |
| |
Datadog, Inc. - Class A (a)(b) |
|
| 510 |
|
|
| 46,283 |
| |
Dynatrace, Inc. (a) |
|
| 560 |
|
|
| 19,774 |
| |
Intuit, Inc. |
|
| 310 |
|
|
| 97,551 |
| |
LivePerson, Inc. (a)(b) |
|
| 3,135 |
|
|
| 167,597 |
| |
Microsoft Corp. |
|
| 725 |
|
|
| 146,791 |
| |
Paycom Software, Inc. (a) |
|
| 270 |
|
|
| 98,304 |
| |
PTC, Inc. (a) |
|
| 1,175 |
|
|
| 98,559 |
| |
ServiceNow, Inc. (a) |
|
| 100 |
|
|
| 49,757 |
| |
Veeva Systems, Inc. - Class A (a) |
|
| 80 |
|
|
| 21,604 |
| |
Workday, Inc. - Class A (a) |
|
| 235 |
|
|
| 49,378 |
| |
|
|
|
|
|
|
|
| 1,281,012 |
|
Telecommunications - 2.40% |
|
|
|
|
|
|
|
| |
Calix, Inc. (a) |
|
| 6,035 |
|
|
| 141,279 |
| |
TOTAL COMMON STOCKS (Cost $6,059,592) |
|
|
|
|
|
| 5,875,971 |
|
|
|
| Units |
|
|
|
|
| |
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 12.23% |
|
|
|
|
|
|
|
| |
Mount Vernon Liquid Assets Portfolio, LLC, 0.17% (c) |
|
| 719,408 |
|
|
| 719,408 |
| |
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost $719,408) |
|
|
|
|
|
| 719,408 |
|
The accompanying notes are an integral part of these financial statements.
Schedule of Investments
October 31, 2020 (Continued)
Principal Amount | Value | |||||||
SHORT TERM INVESTMENTS - 0.18% | ||||||||
Money Market Deposit Account - 0.18% | ||||||||
U.S. Bank Money Market Deposit Account, 0.03% (d) | $ | 10,823 | $ | 10,823 | ||||
TOTAL SHORT TERM INVESTMENTS (Cost $10,823) | 10,823 | |||||||
Total Investments (Cost $6,789,823) - 112.29% | 6,606,202 | |||||||
Liabilities in Excess of Other Assets - (12.29)% | (723,098 | ) | ||||||
TOTAL NET ASSETS - 100.00% | $ | 5,883,104 |
Asset Type | % of Net Assets | |||
Common Stocks | 99.88 | % | ||
Investments Purchased with Proceeds From Securities Lending | 12.23 | |||
Short Term Investments | 0.18 | |||
Total Investments | 112.29 | |||
Liabilities in Excess of Other Assets | (12.29 | ) | ||
Net Assets | 100.00 | % |
Percentages are stated as a percent of net assets. |
|
|
| ||
ADR American Depositary Receipt | ||
(a)Non-income producing security. | ||
(b)All or a portion of this security is on loan as of October 31, 2020. The total value of securities on loan is $673,961, or 11.46% of net assets. See Note 6. | ||
(c)Represents annualized seven-day yield as of the end of the reporting period. | ||
(d)The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments
October 31, 2020
|
| Shares |
|
| Value |
| ||
COMMON STOCKS - 99.90% |
|
|
|
|
|
|
|
|
Aerospace/Defense - 2.90% |
|
|
|
|
|
|
|
|
AeroVironment, Inc. (a) |
|
| 6,390 |
|
| $ | 487,940 |
|
|
|
|
|
|
|
|
|
|
Auto Manufacturers - 2.79% |
|
|
|
|
|
|
|
|
General Motors Co. |
|
| 13,554 |
|
|
| 468,020 |
|
|
|
|
|
|
|
|
|
|
Auto Parts & Equipment - 14.16% |
|
|
|
|
|
|
|
|
Aptiv PLC |
|
| 5,193 |
|
|
| 501,073 |
|
Denso Corp. |
|
| 10,800 |
|
|
| 499,073 |
|
Veoneer, Inc. (a)(b) |
|
| 31,824 |
|
|
| 489,135 |
|
Visteon Corp. (a) |
|
| 9,936 |
|
|
| 890,762 |
|
|
|
|
|
|
|
| 2,380,043 |
|
Computers - 2.97% |
|
|
|
|
|
|
|
|
Lumentum Holdings, Inc. (a) |
|
| 6,039 |
|
|
| 499,365 |
|
|
|
|
|
|
|
|
|
|
Electrical Components & Equipment - 2.58% |
|
|
|
|
|
|
|
|
LG Innotek Co., Ltd. |
|
| 3,240 |
|
|
| 434,018 |
|
|
|
|
|
|
|
|
|
|
Electronics - 11.61% |
|
|
|
|
|
|
|
|
Coherent, Inc. (a) |
|
| 4,095 |
|
|
| 512,448 |
|
FARO Technologies, Inc. (a) |
|
| 7,821 |
|
|
| 471,137 |
|
II-VI, Inc. (a)(b) |
|
| 11,763 |
|
|
| 534,863 |
|
Trimble, Inc. (a) |
|
| 8,982 |
|
|
| 432,304 |
|
|
|
|
|
|
|
| 1,950,752 |
|
Healthcare-Products - 2.50% |
|
|
|
|
|
|
|
|
Intuitive Surgical, Inc. (a) |
|
| 630 |
|
|
| 420,260 |
|
|
|
|
|
|
|
|
|
|
Internet - 17.01% |
|
|
|
|
|
|
|
|
Baidu, Inc. - ADR (a) |
|
| 6,138 |
|
|
| 816,661 |
|
Pinterest, Inc. - Class A (a) |
|
| 21,618 |
|
|
| 1,274,381 |
|
Snap, Inc. - Class A (a) |
|
| 19,458 |
|
|
| 766,451 |
|
|
|
|
|
|
|
| 2,857,493 |
|
Machinery-Diversified - 10.56% |
|
|
|
|
|
|
|
|
Cognex Corp. |
|
| 7,272 |
|
|
| 479,225 |
|
Harmonic Drive Systems, Inc. |
|
| 8,100 |
|
|
| 532,289 |
|
Yaskawa Electric Corp. |
|
| 19,800 |
|
|
| 763,102 |
|
|
|
|
|
|
|
| 1,774,616 |
|
The accompanying notes are an integral part of these financial statements.
Schedule of Investments
October 31, 2020 (Continued)
|
| Shares |
|
| Value |
| ||
Miscellaneous Manufacturing - 7.82% |
|
|
|
|
|
|
|
|
Axon Enterprise, Inc. (a)(b) |
|
| 9,045 |
|
| $ | 894,550 |
|
Fabrinet (a) |
|
| 6,993 |
|
|
| 419,720 |
|
|
|
|
|
|
|
| 1,314,270 |
|
Office/Business Equipment - 2.33% |
|
|
|
|
|
|
|
|
Datalogic SpA |
|
| 34,038 |
|
|
| 392,062 |
|
|
|
|
|
|
|
|
|
|
Semiconductors - 14.62% |
|
|
|
|
|
|
|
|
Advanced Micro Devices, Inc. (a) |
|
| 5,616 |
|
|
| 422,829 |
|
Ambarella, Inc. (a) |
|
| 9,360 |
|
|
| 511,711 |
|
AMS AG (a) |
|
| 25,686 |
|
|
| 550,444 |
|
Himax Technologies, Inc. - ADR (a) |
|
| 130,023 |
|
|
| 458,981 |
|
Teradyne, Inc. |
|
| 5,841 |
|
|
| 513,132 |
|
|
|
|
|
|
|
| 2,457,097 |
|
Software - 5.29% |
|
|
|
|
|
|
|
|
BlackBerry Ltd. (a) |
|
| 89,397 |
|
|
| 401,257 |
|
Nuance Communications, Inc. (a) |
|
| 15,273 |
|
|
| 487,361 |
|
|
|
|
|
|
|
| 888,618 |
|
Transportation - 2.76% |
|
|
|
|
|
|
|
|
XPO Logistics, Inc. (a)(b) |
|
| 5,157 |
|
|
| 464,130 |
|
TOTAL COMMON STOCKS (Cost $13,473,484) |
|
|
|
|
|
| 16,788,684 |
|
|
| Units |
|
|
|
|
| |
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 13.30% |
|
|
|
|
|
|
|
|
Mount Vernon Liquid Assets Portfolio, LLC, 0.17% (c) |
|
| 2,235,729 |
|
|
| 2,235,729 |
|
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost $2,235,729) |
|
|
|
|
|
| 2,235,729 |
|
|
| Principal Amount |
|
|
|
|
| |
SHORT TERM INVESTMENTS - 0.09% |
|
|
|
|
|
| ||
Money Market Deposit Account - 0.09% |
|
|
|
|
|
|
|
|
U.S. Bank Money Market Deposit Account, 0.03% (d) |
| $ | 14,653 |
|
|
| 14,653 |
|
TOTAL SHORT TERM INVESTMENTS (Cost $14,653) |
|
|
|
|
|
| 14,653 |
|
|
|
|
|
|
|
|
|
|
Total Investments (Cost $15,723,866) - 113.29% |
|
|
|
|
|
| 19,039,066 |
|
Liabilities in Excess of Other Assets - (13.29)% |
|
|
|
|
|
| (2,233,823 | ) |
TOTAL NET ASSETS - 100.00% |
|
|
|
|
| $ | 16,805,243 |
|
Schedule of Investments
October 31, 2020 (Continued)
Country | % of Net Assets | |||
Austria | 3.28 | % | ||
Canada | 2.39 | |||
China | 4.86 | |||
Ireland | 2.98 | |||
Italy | 2.33 | |||
Japan | 10.68 | |||
South Korea | 2.58 | |||
Sweden | 2.91 | |||
Taiwan | 2.73 | |||
Thailand | 2.50 | |||
United States | 62.66 | |||
Total Country | 99.90 | |||
Investments Purchased with Proceeds From Securities Lending | 13.30 | |||
Short Term Investments | 0.09 | |||
Total Investments | 113.29 | |||
Liabilities in Excess of Other Assets | (13.29 | ) | ||
Net Assets | 100.00 | % |
Percentages are stated as a percent of net assets. |
ADR American Depositary Receipt
(a) | Non-income producing security. |
(b) | All or a portion of this security is on loan as of October 31, 2020. The total value of securities on loan is $2,141,918, or 12.75% of net assets. See Note 6. |
(c) | Represents annualized seven-day yield as of the end of the reporting period. |
(d) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
Statements of Assets and Liabilities
October 31, 2020
Innovator IBD® 50 ETF | Innovator IBD® ETF Leaders ETF | Innovator IBD® Breakout Opportunities ETF | Innovator Loup Frontier Tech ETF | |||||||||||||
Assets: | ||||||||||||||||
Investments, at value (a)(b) | $ | 199,428,926 | $ | 10,811,770 | $ | 6,606,202 | $ | 19,039,066 | ||||||||
Dividend and interest receivables | 49,942 | 348 | 478 | 12,601 | ||||||||||||
Receivable for investments sold | 35,365,111 | – | – | – | ||||||||||||
Securities lending income receivable | 3,842 | 6,095 | 48 | 213 | ||||||||||||
Prepaid expenses | 1,541 | – | – | – | ||||||||||||
Total Assets | 234,849,362 | 10,818,213 | 6,606,728 | 19,051,880 | ||||||||||||
Liabilities: | ||||||||||||||||
Payable for collateral upon return of securities loaned | 16,823,705 | 2,315,427 | 719,408 | 2,235,729 | ||||||||||||
Payable to Adviser | 120,003 | 4,462 | 4,216 | 9,892 | ||||||||||||
Payable for investments purchased | 36,228,927 | – | – | – | ||||||||||||
Payable to Trustees | 3,685 | – | – | – | ||||||||||||
Payable to Custodian | 1,405 | – | – | – | ||||||||||||
Accrued expenses and other liabilities | 47,498 | – | – | 1,016 | ||||||||||||
Total Liabilities | 53,225,223 | 2,319,889 | 723,624 | 2,246,637 | ||||||||||||
Net Assets | $ | 181,624,139 | $ | 8,498,324 | $ | 5,883,104 | $ | 16,805,243 | ||||||||
Net Assets Consist of: | ||||||||||||||||
Capital stock | $ | 372,477,615 | $ | 20,606,701 | $ | 9,590,092 | $ | 15,848,519 | ||||||||
Total distributable earnings/(accumulated deficit) | (190,853,476 | ) | (12,108,377 | ) | (3,706,988 | ) | 956,724 | |||||||||
Net Assets | $ | 181,624,139 | $ | 8,498,324 | $ | 5,883,104 | $ | 16,805,243 | ||||||||
Net Asset Value: | ||||||||||||||||
Net assets | $ | 181,624,139 | $ | 8,498,324 | $ | 5,883,104 | $ | 16,805,243 | ||||||||
Shares of beneficial interest outstanding (unlimted shares without par authorized) | 5,050,000 | 350,000 | 250,000 | 450,001 | ||||||||||||
Net asset value price per share | $ | 35.97 | $ | 24.28 | $ | 23.53 | $ | 37.34 | ||||||||
(a) Cost of investments | $ | 187,829,189 | $ | 10,783,780 | $ | 6,789,823 | $ | 15,723,866 | ||||||||
(b) Including securities on loan at a value of | 13,623,871 | 2,205,985 | 673,961 | 2,141,918 |
The accompanying notes are an integral part of these financial statements.
Statements of Operations
For the Year Ended October 31, 2020
Innovator IBD® 50 ETF | Innovator IBD® ETF Leaders ETF | Innovator IBD® Breakout Opportunities ETF | Innovator Loup Frontier Tech ETF | |||||||||||||
Investment Income: | ||||||||||||||||
Dividends | $ | 1,215,159 | $ | 157,268 | $ | 34,252 | $ | 47,464 | ||||||||
Less: Foreign witholding taxes and issuance fees | (29,918 | ) | – | (1,679 | ) | (6,862 | ) | |||||||||
Interest | 8,825 | 232 | 88 | 108 | ||||||||||||
Securities lending income, net | 972,372 | 38,800 | 8,141 | 6,307 | ||||||||||||
Total Investment Income | 2,166,438 | 196,300 | 40,802 | 47,017 | ||||||||||||
Expenses: | ||||||||||||||||
Investment advisory fee | 1,656,872 | 62,375 | 48,176 | 85,864 | ||||||||||||
Professional fees | 41,062 | – | – | – | ||||||||||||
Administration fees | 55,450 | – | – | – | ||||||||||||
Fund accounting fees | 2,912 | – | – | – | ||||||||||||
Trustees fees and expenses | 19,901 | – | – | – | ||||||||||||
Printing and mailing expenses | 30,866 | – | – | – | ||||||||||||
Custody fees | 10,999 | – | – | – | ||||||||||||
Insurance expense | 9,058 | – | – | – | ||||||||||||
Tax expense | – | 1,760 | – | – | ||||||||||||
Other expenses | 313,000 | – | – | – | ||||||||||||
Total Expenses Before Expense Limitation | 2,140,120 | 64,135 | 48,176 | 85,864 | ||||||||||||
Net advisory recoupment/(waivers) | (246,552 | ) | – | – | – | |||||||||||
Net Expenses | 1,893,568 | 64,135 | 48,176 | 85,864 | ||||||||||||
Net Investment Income/(Loss) | 272,870 | 132,165 | (7,374 | ) | (38,847 | ) | ||||||||||
Realized & Unrealized Gain/(Loss): | ||||||||||||||||
Net realized gain/(loss) on: | ||||||||||||||||
Investments and foreign currency transactions | (39,677,099 | ) | (452,176 | ) | 424,866 | (548,777 | ) | |||||||||
Redemptions sold in-kind on investments | 68,291,737 | 1,329,269 | 1,073,695 | 2,972,869 | ||||||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments and translation of foreign currency | (11,998,873 | ) | (338,429 | ) | (347,210 | ) | 3,589,219 | |||||||||
Net Realized and Unrealized Gain/(Loss) | 16,615,765 | 538,664 | 1,151,351 | 6,013,311 | ||||||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | 16,888,635 | $ | 670,829 | $ | 1,143,977 | $ | 5,974,464 |
The accompanying notes are an integral part of these financial statements.
Statements of Changes in Net Assets
Innovator IBD® 50 ETF | ||||||||
Year Ended | Year Ended | |||||||
October 31, 2020 | October 31, 2019 | |||||||
Operations: | ||||||||
Net investment income/(loss) | $ | 272,870 | $ | (844,239 | ) | |||
Net realized gain/(loss) | 28,614,638 | (7,686,691 | ) | |||||
Net change in unrealized appreciation/(depreciation) | (11,998,873 | ) | 27,301,608 | |||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | 16,888,635 | 18,770,678 | ||||||
Distributions to Shareholders: | ||||||||
Net distributions to shareholders | – | – | ||||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold | 282,705,360 | 467,926,580 | ||||||
Cost of shares redeemed | (444,718,170 | ) | (600,400,200 | ) | ||||
Transaction fees (see Note 5) | – | 61 | ||||||
Net Increase/(Decrease) in Net Assets from Capital Share Transactions | (162,012,810 | ) | (132,473,559 | ) | ||||
Total Increase/(Decrease) in Net Assets | $ | (145,124,175 | ) | $ | (113,702,881 | ) | ||
Net Assets: | ||||||||
Beginning of period | $ | 326,748,314 | $ | 440,451,195 | ||||
End of period | $ | 181,624,139 | $ | 326,748,314 | ||||
Change in Shares Outstanding: | ||||||||
Shares sold | 8,050,000 | 14,350,000 | ||||||
Shares redeemed | (12,850,000 | ) | (18,600,000 | ) | ||||
Net Increase/(Decrease) | (4,800,000 | ) | (4,250,000 | ) |
The accompanying notes are an integral part of these financial statements.
Innovator IBD® ETF Leaders ETF | Innovator IBD® Breakout Opportunities ETF | Innovator Loup Frontier Tech ETF | |||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
October 31, 2020 | October 31, 2019 | October 31, 2020 | October 31, 2019 | October 31, 2020 | October 31, 2019 | ||||||||||||||||||
$ | 132,165 | $ | 321,460 | $ | (7,374 | ) | $ | 2,524 | $ | (38,847 | ) | $ | (9,213 | ) | |||||||||
877,093 | (4,633,561 | ) | 1,498,561 | (422,571 | ) | 2,424,092 | (1,108,438 | ) | |||||||||||||||
(338,429 | ) | 3,855,127 | (347,210 | ) | 222,838 | 3,589,219 | 1,497,290 | ||||||||||||||||
670,829 | (456,974 | ) | 1,143,977 | (197,209 | ) | 5,974,464 | 379,639 | ||||||||||||||||
(148,611 | ) | (250,719 | ) | – | (21,386 | ) | – | – | |||||||||||||||
9,779,665 | 16,379,315 | 9,997,395 | 18,753,765 | 6,456,430 | 1,201,775 | ||||||||||||||||||
(16,178,065 | ) | (33,964,300 | ) | (13,035,075 | ) | (18,863,150 | ) | (6,290,925 | ) | (3,441,415 | ) | ||||||||||||
– | – | – | 14 | 1,530 | – | ||||||||||||||||||
(6,398,400 | ) | (17,584,985 | ) | (3,037,680 | ) | (109,371 | ) | 167,035 | (2,239,640 | ) | |||||||||||||
$ | (5,876,182 | ) | $ | (18,292,678 | ) | $ | (1,893,703 | ) | $ | (327,966 | ) | $ | 6,141,499 | $ | (1,860,001 | ) | |||||||
$ | 14,374,506 | $ | 32,667,184 | $ | 7,776,807 | $ | 8,104,773 | $ | 10,663,744 | $ | 12,523,745 | ||||||||||||
$ | 8,498,324 | $ | 14,374,506 | $ | 5,883,104 | $ | 7,776,807 | $ | 16,805,243 | $ | 10,663,744 | ||||||||||||
450,000 | 750,000 | 450,000 | 950,000 | 200,000 | 50,000 | ||||||||||||||||||
(750,002 | ) | (1,550,000 | ) | (600,000 | ) | (950,000 | ) | (200,000 | ) | (150,000 | ) | ||||||||||||
(300,002 | ) | (800,000 | ) | (150,000 | ) | – | – | (100,000 | ) |
The accompanying notes are an integral part of these financial statements.
Financial Highlights |
Per Share Operating Performance (For a share outstanding throughout each period) | |||||||||||||||||||||||||||
Investment Operations: | Capital Share Transactions: | Distributions Paid to Shareholders: | |||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net investment income/(loss) (j) | Net realized and unrealized gain/(loss) | Total From Investment Operations | Transaction fees (see Note 5) | Paid from net investment income | ||||||||||||||||||||||
Innovator IBD® 50 ETF | |||||||||||||||||||||||||||
For the year ended 10/31/2020 | $ | 33.17 | 0.04 | 2.76 | 2.80 | – | – | ||||||||||||||||||||
For the year ended 10/31/2019 | $ | 31.24 | (0.07 | ) | 2.00 | 1.93 | – | (f) | – | ||||||||||||||||||
For the year ended 10/31/2018 | $ | 33.34 | (0.12 | ) | (1.92 | ) | (2.04 | ) | – | (f) | (0.06 | ) | |||||||||||||||
For the period ended 10/31/2017 (e) | $ | 23.95 | 0.03 | 9.36 | 9.39 | – | – | ||||||||||||||||||||
For the year ended 11/30/2016 | $ | 23.54 | (0.06 | ) | 0.47 | 0.41 | – | – | |||||||||||||||||||
For the period 4/8/2015 (d) - 11/30/2015 | $ | 25.00 | (0.04 | ) | (1.42 | ) | (1.46 | ) | – | – | |||||||||||||||||
Innovator IBD® ETF Leaders ETF | |||||||||||||||||||||||||||
For the year ended 10/31/2020 | $ | 22.11 | 0.28 | 2.19 | 2.47 | – | (0.30 | ) | |||||||||||||||||||
For the year ended 10/31/2019 | $ | 22.53 | 0.34 | (0.52 | ) | (k) | (0.18 | ) | – | (0.24 | ) | ||||||||||||||||
For the period 12/20/2017 (d) - 10/31/2018 | $ | 25.07 | 0.02 | (2.51 | ) | (2.49 | ) | – | (0.05 | ) | |||||||||||||||||
Innovator IBD® Breakout Opportunities ETF | |||||||||||||||||||||||||||
For the year ended 10/31/2020 | $ | 19.44 | (0.03 | ) | 4.12 | 4.09 | – | – | |||||||||||||||||||
For the year ended 10/31/2019 | $ | 20.26 | – | (f) | (0.78 | ) | (0.78 | ) | – | (f) | (0.04 | ) | |||||||||||||||
For the period 9/12/2018 (d) - 10/31/2018 | $ | 25.00 | (0.01 | ) | (4.73 | ) | (4.74 | ) | – | – | |||||||||||||||||
Innovator Loup Frontier Tech ETF | |||||||||||||||||||||||||||
For the year ended 10/31/2020 | $ | 23.70 | (0.09 | ) | 13.73 | 13.64 | – | (f) | – | ||||||||||||||||||
For the year ended 10/31/2019 | $ | 22.77 | (0.02 | ) | 0.95 | 0.93 | – | – | |||||||||||||||||||
For the period 7/24/2018 (d) - 10/31/2018 | $ | 25.00 | (0.01 | ) | (2.22 | ) | (2.23 | ) | – | (f) | – |
(a) | Annualized for periods less than one year. |
(b) | Not annualized for periods less than one year. |
(c) | Does not include the impact of the expenses of the underlying funds in which the Fund invests. |
(d) | Commencement of operations. |
(e) | The period ended October 31, 2017 consists of eleven months due to the Fund's fiscal year end change. |
(f) | Amount represents less than $0.01 per share. |
(g) | Excludes in-kind transactions associated with creations and redemptions of the Funds. |
(h) | Recognition of net investment income by the Funds are affected by the timing of the declaration of dividends by the underlying investment companies in which the Funds invest. This ratio does not include net investment income of the underlying investment companies in which the Funds invest. |
(i) | The ratio of net expenses to average net assets includes tax expense of 0.01%. |
(j) | Net investment income/(loss) per share has been calculated based on average shares outstanding during the period. |
(k) | Net realized and unralized gain/(loss) per share includes balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gain/(loss) in the Statement of Operations due to share transactions for the period. |
(l) | The ratio of net expenses to average net assets includes tax expense of 0.02%. |
The accompanying notes are an integral part of these financial statements.
Ratios/Supplemental Data: | |||||||||||||||||||||||||||||||||
Ratio to Average Net Assets of: (a) | |||||||||||||||||||||||||||||||||
Change in Net Asset Value for the Period | Net Asset Value, End of Period | Total return (b) | Net assets, end of period (000) | Expenses, before waivers/ | Expenses, net of waivers/ | Net investment income/(loss) (h) | Portfolio turnover | ||||||||||||||||||||||||||
2.80 | $ | 35.97 | 8.42 | % | $ | 181,624 | 0.90 | % | 0.80 | % | 0.12 | % | 974 | % | |||||||||||||||||||
1.93 | $ | 33.17 | 6.20 | % | $ | 326,748 | 0.78 | % | 0.80 | % | (0.21 | )% | 786 | % | |||||||||||||||||||
(2.10 | ) | $ | 31.24 | (6.15 | )% | $ | 440,451 | 0.84 | % | 0.80 | % | (0.43 | )% | 719 | % | ||||||||||||||||||
9.39 | $ | 33.34 | 39.17 | % | $ | 181,710 | 1.03 | % | 0.80 | % | (0.24 | )% | 501 | % | |||||||||||||||||||
0.41 | $ | 23.95 | 1.78 | % | $ | 35,931 | 1.13 | % | 0.80 | % | (0.14 | )% | 1,041 | % | |||||||||||||||||||
(1.46 | ) | $ | 23.54 | (5.84 | )% | $ | 70,612 | 1.13 | % | 0.80 | % | (0.34 | )% | 546 | % | ||||||||||||||||||
2.17 | $ | 24.28 | 11.38 | % | $ | 8,498 | 0.62 | % | (l) | 0.62 | % | (l) | 1.27 | % | 1,222 | % | |||||||||||||||||
(0.42 | ) | $ | 22.11 | (0.73 | )% | $ | 14,375 | 0.61 | % | (i) | 0.61 | % | (i) | 1.54 | % | 1,079 | % | ||||||||||||||||
(2.54 | ) | $ | 22.53 | (9.95 | )% | $ | 32,667 | 0.60 | % | 0.60 | % | (0.03 | )% | 619 | % | ||||||||||||||||||
4.09 | $ | 23.53 | 21.04 | % | $ | 5,883 | 0.80 | % | 0.80 | % | (0.12 | )% | 1,637 | % | |||||||||||||||||||
(0.82 | ) | $ | 19.44 | (3.84 | )% | $ | 7,777 | 0.80 | % | 0.80 | % | 0.02 | % | 1,777 | % | ||||||||||||||||||
(4.74 | ) | $ | 20.26 | (18.95 | )% | $ | 8,105 | 0.80 | % | 0.80 | % | (0.38 | )% | 289 | % | ||||||||||||||||||
13.64 | $ | 37.34 | 57.59 | % | $ | 16,805 | 0.70 | % | 0.70 | % | (0.32 | )% | 97 | % | |||||||||||||||||||
0.93 | $ | 23.70 | 4.07 | % | $ | 10,664 | 0.70 | % | 0.70 | % | (0.07 | )% | 107 | % | |||||||||||||||||||
(2.23 | ) | $ | 22.77 | (8.92 | )% | $ | 12,524 | 0.70 | % | 0.70 | % | (0.23 | )% | 53 | % |
The accompanying notes are an integral part of these financial statements.
Notes to Financial Statements
1. | ORGANIZATION |
Innovator ETFs Trust (the “Trust”) was organized under Delaware law as a Delaware statutory trust on October 17, 2007, and is registered with the Securities and Exchange Commission (“SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”) as an open–end management investment company. The Trust currently consists of multiple operational series, of which four are covered in this report, collectively the (“Funds”):
Name |
| Ticker |
| Commencement of Operations |
Innovator IBD® 50 ETF |
| FFTY |
| April 8, 2015 |
Innovator IBD® ETF Leaders ETF |
| LDRS |
| December 20, 2017 |
Innovator IBD® Breakout Opportunities ETF |
| BOUT |
| September 12, 2018 |
Innovator Loup Frontier Tech ETF |
| LOUP |
| July 24, 2018 |
The operational series of the Trust covered outside of this report consist of:
Name |
| Ticker |
| Commencement of Operations |
Innovator S&P 500® Buffer ETF – January |
| BJAN |
| December 31, 2018 |
Innovator S&P 500® Buffer ETF – February |
| BFEB |
| January 31, 2020 |
Innovator S&P 500® Buffer ETF – March |
| BMAR |
| February 28, 2020 |
Innovator S&P 500® Buffer ETF – April |
| BAPR |
| March 29, 2019 |
Innovator S&P 500® Buffer ETF – May |
| BMAY |
| April 30, 2020 |
Innovator S&P 500® Buffer ETF – June |
| BJUN |
| May 31, 2019 |
Innovator S&P 500® Buffer ETF – July |
| BJUL |
| August 28, 2018 |
Innovator S&P 500® Buffer ETF – August |
| BAUG |
| July 31, 2019 |
Innovator S&P 500® Buffer ETF – September |
| BSEP |
| August 30, 2019 |
Innovator S&P 500® Buffer ETF – October |
| BOCT |
| September 28, 2018 |
Innovator S&P 500® Buffer ETF – November |
| BNOV |
| October 31, 2019 |
Innovator S&P 500® Buffer ETF – December |
| BDEC |
| November 29, 2019 |
Innovator S&P 500® Power Buffer ETF – January |
| PJAN |
| December 31, 2018 |
Innovator S&P 500® Power Buffer ETF – February |
| PFEB |
| January 31, 2020 |
Innovator S&P 500® Power Buffer ETF – March |
| PMAR |
| February 28, 2020 |
Innovator S&P 500® Power Buffer ETF – April |
| PAPR |
| March 29, 2019 |
Innovator S&P 500® Power Buffer ETF – May |
| PMAY |
| April 30, 2020 |
Innovator S&P 500® Power Buffer ETF – June |
| PJUN |
| May 31, 2019 |
Innovator S&P 500® Power Buffer ETF – July |
| PJUL |
| August 7, 2018 |
Innovator S&P 500® Power Buffer ETF – August |
| PAUG |
| July 31, 2019 |
Innovator S&P 500® Power Buffer ETF – September |
| PSEP |
| August 30, 2019 |
Innovator S&P 500® Power Buffer ETF – October |
| POCT |
| September 28, 2018 |
Innovator S&P 500® Power Buffer ETF – November |
| PNOV |
| October 31, 2019 |
Innovator S&P 500® Power Buffer ETF – December |
| PDEC |
| November 29, 2019 |
Innovator S&P 500® Ultra Buffer ETF – January |
| UJAN |
| December 31, 2018 |
Innovator S&P 500® Ultra Buffer ETF – February |
| UFEB |
| January 31, 2020 |
Innovator S&P 500® Ultra Buffer ETF – March |
| UMAR |
| February 28, 2020 |
Innovator S&P 500® Ultra Buffer ETF – April |
| UAPR |
| March 29, 2019 |
Innovator S&P 500® Ultra Buffer ETF – May |
| UMAY |
| April 30, 2020 |
Notes to Financial Statements (Continued)
Name |
| Ticker |
| Commencement of Operations |
Innovator S&P 500® Ultra Buffer ETF – June |
| UJUN |
| May 31, 2019 |
Innovator S&P 500® Ultra Buffer ETF – July |
| UJUL |
| August 7, 2018 |
Innovator S&P 500® Ultra Buffer ETF – August |
| UAUG |
| July 31, 2019 |
Innovator S&P 500® Ultra Buffer ETF – September |
| USEP |
| August 30, 2019 |
Innovator S&P 500® Ultra Buffer ETF – October |
| UOCT |
| September 28, 2018 |
Innovator S&P 500® Ultra Buffer ETF – November |
| UNOV |
| October 31, 2019 |
Innovator S&P 500® Ultra Buffer ETF – December |
| UDEC |
| November 29, 2019 |
Innovator MSCI EAFE Power Buffer ETF - January |
| IJAN |
| December 31, 2019 |
Innovator MSCI EAFE Power Buffer ETF - July |
| IJUL |
| June 28, 2019 |
Innovator MSCI Emerging Markets Power Buffer ETF - January |
| EJAN |
| December 31, 2019 |
Innovator MSCI Emerging Markets Power Buffer ETF - July |
| EJUL |
| June 28, 2019 |
Innovator Nasdaq-100 Power Buffer ETF - January |
| NJAN |
| December 31, 2019 |
Innovator Nasdaq-100 Power Buffer ETF - April |
| NAPR |
| March 31, 2020 |
Innovator Nasdaq-100 Power Buffer ETF - July |
| NJUL |
| June 30, 2020 |
Innovator Nasdaq-100 Power Buffer ETF - October |
| NOCT |
| September 30, 2019 |
Innovator Russell 2000 Power Buffer ETF - January |
| KJAN |
| December 31, 2019 |
Innovator Russell 2000 Power Buffer ETF - April |
| KAPR |
| March 31, 2020 |
Innovator Russell 2000 Power Buffer ETF - July |
| KJUL |
| June 30, 2020 |
Innovator Russell 2000 Power Buffer ETF - October |
| KOCT |
| September 30, 2019 |
Innovator 20+ Year Treasury Bond 5 Floor ETF - July |
| TFJL |
| August 17, 2020 |
Innovator 20+ Year Treasury Bond 9 Buffer ETF - July |
| TBJL |
| August 17, 2020 |
Innovator Double Stacker ETF - October |
| DSOC |
| September 30, 2020 |
Innovator Triple Stacker ETF - October |
| TSOC |
| September 30, 2020 |
Innovator Double Stacker 9 Buffer ETF - October |
| DBOC |
| September 30, 2020 |
Notes to Financial Statements (Continued)
The Funds are exchange traded funds that offer one class of shares, do not charge a sales load, do not have a redemption fee and currently do not charge a 12b–1 fee to their shareholders. The Funds list and principally trade their shares on NYSE Arca, Inc. (“NYSE” or the “Exchange”). FFTY seeks to track, before fees and expenses, the performance of the IBD® 50 Index. LDRS seeks to track, before fees and expenses, the performance of the IBD® ETF Leaders Index. LDRS seeks to achieve its investment objective by investing primarily in underlying funds (Fund of Fund structure) that themselves seek investment results corresponding to their own respective underlying indexes. In addition to its own fees and expenses, LDRS will pay indirectly a proportional share of the fees and expenses of the underlying funds in which it invests, including advisory and administration fees (Acquired Fund Fees and Expenses). BOUT seeks to track, before fees and expenses, the performance of the IBD® Breakout Stocks Index. LOUP seeks to track, before fees and expenses, the performance of the LOUP Frontier Tech Index.
The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies”.
2. | SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of significant accounting policies consistently followed by the Trust in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”).
Valuation:
The net asset values (“NAV”) of the Funds are determined as of the close of regular trading on the NYSE (normally 4:00 p.m. ET). If the NYSE closes early on a valuation day, the Funds shall determine NAV as of that time.
Portfolio securities generally shall be valued utilizing prices provided by independent pricing services. The Trust’s Pricing Committee (“Pricing Committee”) is responsible for establishing valuation of portfolio securities and other instruments held by the Funds in accordance with the Trust’s valuation procedures.
Notes to Financial Statements (Continued)
Common stocks, preferred stocks, exchange traded funds and other equity securities listed on any national or foreign exchange (excluding the NASDAQ National Market (“NASDAQ”) and the London Stock Exchange Alternative Investment Market (“AIM”)) are generally valued at the last sale price on the exchange on which they are principally traded or, for NASDAQ and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the exchange representing the principal market for such securities. Securities traded in the over–the–counter market are valued at the mean of the bid and the asked price, if available, and otherwise at their closing bid price. Redeemable securities issued by open–end investment companies shall be valued at the investment company’s applicable net asset value, with the exception of exchange–traded open–end investment companies which are priced as equity securities. Units of Mount Vernon Liquid Assets Portfolio, LLC are not traded on an exchange and are valued at the investment company’s net asset value per share as provided by the underlying fund’s administrator. Fixed income securities, swaps, currency–, credit– and commodity–linked notes, and other similar instruments will be valued using a pricing service. Fixed income securities having a remaining maturity of 60 days or less when purchased will be valued at cost adjusted for amortization of premiums and accretion of discounts, provided the Pricing Committee has determined that the use of amortized cost is an appropriate reflection of fair value given market and issuer specific conditions existing at the time of the determination. Deposit accounts are valued at acquisition cost. Foreign securities and other assets denominated in foreign currencies are translated into U.S. dollars at the exchange rate of such currencies against the U.S. dollar as provided by the pricing service. All assets denominated in foreign currencies will be converted into U.S. dollars at the exchange rates in effect at the time of valuation. Restricted securities (with the exception of Rule 144A Securities for which market quotations are available) will normally be valued at fair value as determined by the Pricing Committee.
If no quotation can be obtained from a pricing service, then the Pricing Committee will then attempt to obtain one or more broker quotes for the security. If no quotation is available from either a pricing service or one or more brokers or if the Pricing Committee has reason to question the reliability or accuracy of a quotation supplied or the use of amortized cost, the value of any portfolio security held by the Funds for which reliable market quotations are not readily available will be determined by the Pricing Committee in a manner that most appropriately reflects fair market value of the security on the valuation date. The use of a fair valuation method may be appropriate if, for example: (i) market quotations do not accurately reflect fair value of an investment; (ii) an investment’s value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (for example, a foreign exchange or market); (iii) a trading halt closes an exchange or market early; or (iv) other events result in an exchange or market delaying its normal close.
Notes to Financial Statements (Continued)
Fair Valuation Measurement:
FASB established a framework for measuring fair value in accordance with U.S. GAAP. Under ASC, Fair Value Measurement (“ASC 820”), various inputs are used in determining the value of the Funds’ investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The three Levels of inputs of the fair value hierarchy are defined as follows:
| • | Level 1 – | Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access. |
| • | Level 2 – | Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data. |
| • | Level 3 – | Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available. |
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgement. Accordingly, the degree of judgement exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Notes to Financial Statements (Continued)
The following table summarizes valuation of the Funds’ investments under the fair value hierarchy as of October 31, 2020:
FFTY |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Level 1 |
|
| Level 2 |
|
| Level 3 |
|
| Total |
| ||||
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
| $ | 180,639,748 |
|
| $ | – |
|
| $ | – |
|
| $ | 180,639,748 |
|
Real Estate Investment Trusts |
|
| 886,621 |
|
|
| – |
|
|
| – |
|
|
| 886,621 |
|
Investments Purchased with Proceeds From Securities Lending |
|
| – |
|
|
| 16,823,705 |
|
|
| – |
|
|
| 16,823,705 |
|
Short Term Investments |
|
| 1,078,852 |
|
|
| – |
|
|
| – |
|
|
| 1,078,852 |
|
Total Assets |
| $ | 182,605,221 |
|
| $ | 16,823,705 |
|
| $ | – |
|
| $ | 199,428,926 |
|
LDRS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Level 1 |
|
| Level 2 |
|
| Level 3 |
|
| Total |
| ||||
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Exchange Traded Funds |
| $ | 8,470,247 |
|
| $ | – |
|
| $ | – |
|
| $ | 8,470,247 |
|
Investments Purchased with Proceeds From Securities Lending |
|
| – |
|
|
| 2,315,427 |
|
|
| – |
|
|
| 2,315,427 |
|
Short Term Investments |
|
| 26,096 |
|
|
| – |
|
|
| – |
|
|
| 26,096 |
|
Total Assets |
| $ | 8,496,343 |
|
| $ | 2,315,427 |
|
| $ | – |
|
| $ | 10,811,770 |
|
BOUT |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Level 1 |
|
| Level 2 |
|
| Level 3 |
|
| Total |
| ||||
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
| $ | 5,875,971 |
|
| $ | – |
|
| $ | – |
|
| $ | 5,875,971 |
|
Investments Purchased with Proceeds From Securities Lending |
|
| – |
|
|
| 719,408 |
|
|
| – |
|
|
| 719,408 |
|
Short Term Investments |
|
| 10,823 |
|
|
| – |
|
|
| – |
|
|
| 10,823 |
|
Total Assets |
| $ | 5,886,794 |
|
| $ | 719,408 |
|
| $ | – |
|
| $ | 6,606,202 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LOUP |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Level 1 |
|
| Level 2 |
|
| Level 3 |
|
| Total |
| ||||
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
| $ | 16,788,684 |
|
| $ | – |
|
| $ | – |
|
| $ | 16,788,684 |
|
Investments Purchased with Proceeds From Securities Lending |
|
| – |
|
|
| 2,235,729 |
|
|
| – |
|
|
| 2,235,729 |
|
Short Term Investments |
|
| 14,653 |
|
|
| – |
|
|
| – |
|
|
| 14,653 |
|
Total Assets |
| $ | 16,803,337 |
|
| $ | 2,235,729 |
|
| $ | – |
|
| $ | 19,039,066 |
|
See the Schedules of Investments for the investments detailed by industry classification.
There were no Level 3 investments for the Funds during the year ended October 31, 2020.
Notes to Financial Statements (Continued)
Use of Estimates:
In preparing financial statements in conformity with U.S. GAAP, management is required 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 increases and decreases in net assets from operations during the reporting period. Actual results could differ from these estimates.
Guarantees and Indemnifications:
In the normal course of business, the Trust may enter into a contract with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims against the Trust that have not yet occurred. Based on experience, the Trust expects the risk of loss to be remote.
Tax Information:
The Funds are treated as separate entities for federal income tax purposes. The Funds intend to qualify as regulated investment companies (“RICs”) under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”). To qualify and remain eligible for the special tax treatment accorded to RICs, the Funds must meet certain annual income and quarterly asset diversification requirements and must distribute annually at least 90% of the sum of (i) its investment company taxable income (which includes dividends, interest and net short–term capital gains) and (ii) certain net tax–exempt income, if any. If so qualified, the Funds will not be subject to federal income tax to the extent the Funds distribute substantially all of their net investment income and capital gains to shareholders.
Management evaluates the Funds’ tax positions to determine if the tax positions taken meet the minimum recognition threshold in connection with accounting for uncertainties in income tax positions taken or expected to be taken for the purposes of measuring and recognizing tax liabilities in the financial statements. Tax benefits associated with an uncertain tax position can be recognized only when the position is “more likely than not” to be sustained assuming examination by taxing authorities. Interest and penalties related to income taxes would be recorded as tax expense in the Statements of Operations. During the year ended October 31, 2020, the Funds did not incur any interest or penalties. The Funds’ federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. As of October 31, 2020, the Funds did not have a liability for any unrecognized tax benefits. As of October 31, 2020, the Funds have no examinations in progress and management is not aware of any tax positions for which it is reasonably possible that the amounts of unrecognized tax benefits will significantly change in the next twelve months. The Funds are subject to examination by U.S. Federal tax authorities for all tax years since the fiscal year ended November 30, 2016, as applicable.
Notes to Financial Statements (Continued)
U.S. GAAP requires that certain components of net assets be reclassified between distributable earnings/(accumulated deficit) and additional paid–in capital.
These reclassifications have no effect on net assets or net asset value per share. For the year ended October 31, 2020, the Funds made the following permanent book–to–tax reclassifications primarily related to net operating loss forfeiture and redemptions in kind:
Distributable Earnings/ | Paid-In | |||||||
(Accumulated Deficit) | Capital | |||||||
FFTY | $ | (57,770,837 | ) | $ | 57,770,837 | |||
LDRS | (1,308,956 | ) | 1,308,956 | |||||
BOUT | (965,030 | ) | 965,030 | |||||
LOUP | (2,930,089 | ) | 2,930,089 |
Distributions to Shareholders:
Distributions to shareholders are recorded on the ex–dividend date. FFTY, BOUT and LOUP intend to pay out dividends from their net investment income, if any, annually. LDRS intends to pay out dividends from its net investment income, if any, quarterly. Distributions of net realized capital gains, if any, will be declared and paid at least annually by the Funds. The Funds may periodically make reclassifications among certain of its capital accounts as a result of the recognition and characterization of certain income and capital gain distributions determined annually in accordance with federal tax regulations which may differ from U.S. GAAP. Distributions that exceed earnings and profits for tax purposes are reported as a return of capital.
Investment Transactions and Investment Income:
Investment transactions are recorded on the trade date. The Trust determines the gain or loss realized from investment transactions on the basis of identified cost. Dividend income, if any, is recognized on the ex–dividend date or, in the case of foreign securities, as soon as the Funds are informed of the ex–dividend dates. Interest income, including accretion of discounts and amortization of premiums is recognized on an accrual basis using the effective yield method.
Distributions received from investments in master limited partnerships (“MLPs”), closed–end funds, real estate investment trusts (“REITs”) and royalty trusts are comprised of ordinary income, capital gains and return of capital. For financial statement purposes, estimates are used to characterize these distributions received as return of capital, capital gains or ordinary income. Such estimates are based on historical information available from each MLP, closed–end fund, REIT or royalty trust and other industry sources. These estimates may subsequently be revised and reflected on the Form 1099 received by shareholders based on information received for the security after its tax reporting periods are concluded, as the actual character of these distributions is not known until after the fiscal year end. The distributions received from MLPs, REITs, closed–end funds, and royalty trust securities that have been classified as income and capital gains are included in dividend income and net realized gain/(loss) on investments, respectively, on the Statements of Operations. The distributions received that are classified as return of capital reduce the cost of investments on the Statements of Assets and Liabilities.
Notes to Financial Statements (Continued)
Purchases and sales of investments and dividend and interest income are translated into U.S. dollars using the spot market rates of exchange prevailing on the respective dates of such translations. The gain or loss resulting from changes in foreign exchange rates is included with net realized and unrealized gain or loss from investments, as appropriate. Foreign securities and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin. Foreign securities are recorded in the financial statements after translation to U.S. dollars based on the applicable exchange rate at the end of the period. The Funds report certain foreign currency–related transactions as components of realized gains or losses for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes.
3. | INVESTMENT ADVISOR AND OTHER AFFILIATES |
Innovator Capital Management, LLC (the “Adviser”) acts as investment adviser to the Funds pursuant to investment advisory agreements between the Trust and the Adviser with respect to the Funds (“Advisory Agreements”) and, pursuant to the Advisory Agreements, is responsible for the day–to–day management of the Funds.
Pursuant to an investment advisory agreement between the Trust and the Adviser with respect to FFTY, FFTY pays monthly the Adviser a management fee calculated daily based on the average daily net assets of the Fund at the annual rate of 0.70%.
Pursuant to an investment advisory agreement between the Trust and the Adviser with respect to LDRS, BOUT and LOUP, LDRS pays monthly the Adviser a unitary fee calculated daily based on the average daily net assets of the Fund at the annual rate of 0.60%, BOUT pays monthly the Adviser a unitary fee calculated daily based on the average daily net assets of the Fund at the annual rate of 0.80% and LOUP pays monthly the Adviser a unitary fee calculated daily based on the average daily net assets of the Fund at the annual rate of 0.70%. During the term of the Advisory Agreement, the Adviser pays all expenses of LDRS, BOUT and LOUP, including the cost of transfer agency, custody, fund administration, legal, audit, and other services and license fees, except for the fees paid under the Advisory Agreement, interest, taxes, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees payable pursuant to a Rule 12b–1 plan, if any, and extraordinary expenses.
Notes to Financial Statements (Continued)
Penserra Capital Management LLC (the “Sub–Adviser”) acts as sub–adviser to the Funds pursuant to a sub–advisory agreement between the Adviser and the Sub–Adviser with respect to the Funds (“Sub–Advisory Agreement”) and, pursuant to the Sub–Advisory Agreement, is responsible for execution of the Sub–Adviser’s strategy for each of the Funds. The Sub–Adviser is responsible for the day–to–day management of the Fund’s portfolio. Pursuant to the Sub–Advisory Agreement between the Adviser and the Sub–Adviser, the Adviser pays the Sub–Adviser a fee, based on the Funds’ average daily net assets, for the services and facilities it provides payable on a monthly basis.
Certain trustees and officers of the Trust are affiliated with the Adviser. Excluding FFTY, Trustee compensation is paid for by the Adviser.
The Trust entered into an Expense Limitation Agreement on behalf of FFTY with the Adviser. Under the terms of the Expense Limitation Agreement with FFTY, the Adviser contractually agreed to waive their advisory fees and/or assume as their own expense, certain expenses otherwise payable by the Fund to the extent necessary to ensure that total annual fund operating expenses (excluding any Rule 12b–1 fees, taxes, interest, brokerage fees, acquired fund fees and expenses, expenses incurred in connection with any merger, reorganization or proxy solicitation, litigation, and other extraordinary expenses) do not exceed 0.80% of average daily net assets of FFTY until August 31, 2021. Pursuant to the terms of the Expense Limitation Agreement, Innovator is entitled to recoup any fees that it waived and/or Fund expenses that it paid for a period of three years following such fee waivers and/or expense payments. The Fund may only make such repayment to the Adviser if, after the recoupment payment has been taken into account, it does not cause the Fund’s expense ratio to exceed either the expense cap in place at the time the expenses were waived or the Fund’s current expense cap. For the year ended October 31, 2020, the Adviser waived $268,534 of their advisory fees for FFTY and recouped $21,415 of their previously waived fees. The table below indicates the amount of fees that the Adviser may recoup:
|
| Recovery Expiring in*: |
| |||||||||||||
|
| FYE 10/31/2021 |
|
| FYE 10/31/2022 |
|
| FYE 10/31/2023 |
|
| Total |
| ||||
FFTY |
| $ | 86,075 |
|
| $ | 29,673 |
|
| $ | 268,534 |
|
| $ | 384,282 |
|
* Recoupment expires on a rolling monthly basis three years following the respective fee waivers. |
|
Notes to Financial Statements (Continued)
4. | INVESTMENT TRANSACTIONS |
For the year ended October 31, 2020, the cost of purchases and proceeds from sales of investment securities, other than in–kind purchases and sales and short–term investments were as follows:
Purchases | Sales | |||||||||||||||
U.S. Governement | Other | U.S. Governement | Other | |||||||||||||
FFTY | $ | – | $ | 2,475,657,641 | $ | – | $ | 2,277,626,388 | ||||||||
LDRS | – | 125,671,130 | – | 125,906,320 | ||||||||||||
BOUT | – | 98,266,223 | – | 98,516,429 | ||||||||||||
LOUP | – | 12,304,713 | – | 12,062,554 |
For the year ended October 31, 2020, in–kind transactions associated with creations and redemptions were as follows:
In-Kind | In-Kind | |||||||
Creations | Redemptions | |||||||
FFTY | $ | 90,191,610 | $ | 439,178,932 | ||||
LDRS | 9,752,968 | 15,938,746 | ||||||
BOUT | 9,960,159 | 12,714,883 | ||||||
LOUP | 6,087,717 | 6,215,648 |
Net capital gains or losses resulting from in–kind redemptions are excluded for the Funds’ taxable gains and are not distributed to shareholders.
5. CREATION AND REDEMPTION TRANSACTIONS
There were an unlimited number of shares of beneficial interest (without par value) authorized by the Trust. Individual shares of the Funds may only be purchased and sold at market prices on the Exchange through a broker–dealer. Such transactions may be subject to customary commission rates imposed by the broker–dealer, and market prices for the Funds’ shares may be at, above or below its NAV depending on the premium or discount at which the Funds’ shares trade.
The Funds issue and redeem shares on a continuous basis at NAV only in blocks of 50,000 shares, called “Creation Units.” Creation Units are issued and redeemed principally in–kind for securities included in a specified universe. Once created, shares generally trade in the secondary market at market prices that change throughout the day in amounts less than a Creation Unit. Except when aggregated in Creation Units, shares are not redeemable securities of the Funds. Shares of the Funds may only be purchased or redeemed by certain financial institutions (“Authorized Participants”). An Authorized Participant is either (i) a broker–dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with the Distributor. A fixed transaction fee is applicable to each transaction regardless of the number of units purchased or sold in the transaction. FFTY, LDRS and BOUT each charge a $250 transaction fee on creations and redemptions of the respective Fund. LOUP charges a $500 transaction fee on creations and redemptions of the Fund. An additional charge may be imposed with respect to custom order transactions effected outside of the clearing process through a DTC Participant or to the extent that cash is used in lieu of securities to purchase Creation Units through a custom order. Each Fund, subject to approval by the Board of Trustees, may adjust transaction fees from time to time based upon actual experience. Additional charges received by the Funds, if any, are disclosed as Transaction Fees on the Statements of Changes in Net Assets. Most retail investors do not qualify as Authorized Participants nor have the resources to buy and sell whole Creation Units. Therefore, they are unable to purchase or redeem the shares directly from the Funds. Rather, most retail investors may purchase shares in the secondary market with the assistance of a broker and are subject to customary brokerage commissions or fees.
Notes to Financial Statements (Continued)
6. | SECURITIES LENDING |
The Funds may lend up to 331/3% of the value of the securities in their respective portfolios to brokers, dealers and financial institutions (but not individuals) under terms of participation in a securities lending program administered by the securities lending agent. The Trust has entered into a Securities Lending Agreement (“SLA”) with U.S. Bank, N.A., the Funds’ custodian (the “Agent”). Under the terms of the SLA, the Funds may lend securities to certain broker–dealers and banks in exchange for collateral in the amount of at least 102% of the value of U.S. securities loaned or at least 105% of the value of non–U.S. securities loaned, marked to market daily. The collateral can be received in the form of cash collateral and/or non–cash collateral. Non–cash collateral can include U.S. Government Securities and letters of credit. The cash collateral is invested in the Mount Vernon Liquid Assets Portfolio, LLC (“Mount Vernon”), as noted in the Funds’ Schedules of Investments. Mount Vernon seeks to maximize current income to the extent consistent with the preservation of capital and liquidity; and to maintain a stable NAV of $1.00. Mount Vernon has an overnight and continuous maturity. The market value of the loaned securities is determined daily at the close of business of the Funds and any additional required collateral is delivered to the Funds on the next business day. The Funds continue to benefit from interest or dividends on the securities loaned and may also earn a return from the collateral. The Funds pay various fees in connection with the investment of cash collateral. The Funds pay the Agent fees based on the investment income received from securities lending activities. Although risk is mitigated by the collateral, the Funds could experience a delay in recovering their securities and possible loss of income or value if the borrower fails to return them. In the event of a borrower’s material default, the Agent shall take all actions the Agent deems appropriate to liquidate the collateral, purchase replacement securities at the Agents’ expense, or pay the Funds an amount equal to the market value of the loaned securities, subject to certain limitations.
Notes to Financial Statements (Continued)
As of October 31, 2020, the values of the securities on loan, cash collateral received, and fees and interest were as follows:
|
| Value of Securities on Loan |
|
| Cash Collateral Received |
|
| Fees and Interest Earned |
| |||
FFTY |
| $ | 13,623,871 |
|
| $ | 16,823,705 |
|
| $ | 972,372 |
|
LDRS |
|
| 2,205,985 |
|
|
| 2,315,427 |
|
|
| 38,800 |
|
BOUT |
|
| 673,961 |
|
|
| 719,408 |
|
|
| 8,141 |
|
LOUP |
|
| 2,141,918 |
|
|
| 2,235,729 |
|
|
| 6,307 |
|
Due to the absence of a master netting agreement related to the Funds’ participation in securities lending, no additional offsetting disclosures have been made on behalf of the Funds for the total borrowings listed above.
7. | FEDERAL INCOME TAX INFORMATION |
At October 31, 2020, the cost of investments and net unrealized appreciation/
(depreciation) for federal income tax purposes were as follows:
FFTY | LDRS | BOUT | LOUP | ||||||||||||||
Cost of Portfolio | $ | 193,978,806 | $ | 10,861,621 | $ | 6,814,296 | $ | 15,893,985 | |||||||||
Gross Unrealized Appreciation | $ | 15,204,302 | $ | 141,572 | $ | 122,949 | $ | 3,824,112 | |||||||||
Gross Unrealized Depreciation | (9,754,182 | ) | (191,423 | ) | (331,043 | ) | (679,031 | ) | |||||||||
Net Unrealized Appreciation/(Depreciation) | $ | 5,450,120 | $ | (49,851 | ) | $ | (208,094 | ) | $ | 3,145,081 | (a) |
(a) Includes foreign currency unrealized.
The differences between book basis and tax basis cost on investments and net unrealized appreciation/(depreciation) are primarily attributable to wash sale loss deferrals.
As of October 31, 2020, the components of distributable earnings/(accumulated deficit) on a tax basis were as follows:
FFTY | LDRS | BOUT | LOUP | |||||||||||||
Accumulated Capital and Other Losses | $ | (196,303,596 | ) | $ | (12,066,865 | ) | $ | (3,498,894 | $ | (2,188,357 | ) | |||||
Other Gains/(Losses) | – | – | – | – | ||||||||||||
Undistributed Net Ordinary Income | – | 8,339 | – | – | ||||||||||||
Unrealized Appreciation/(Depreciation) on Investments | 5,450,120 | (49,851 | ) | (208,094 | ) | 3,145,081 | ||||||||||
Total Distributable Earnings/(Accumulated Deficit) | $ | (190,853,476 | ) | $ | (12,108,377 | ) | $ | (3,706,988 | ) | $ | 956,724 |
Certain qualified late year ordinary losses incurred after December 31, and within the current taxable year, are deemed to arise on the first business day of the next taxable year.
Notes to Financial Statements (Continued)
At October 31, 2020, the Funds deferred the following qualified late year ordinary losses:
|
| FFTY |
|
| LDRS |
|
| BOUT |
|
| LOUP |
| ||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Late Year Ordinary Losses |
| $ | – |
|
| $ | – |
|
| $ | 10,141 |
|
| $ | 16,570 |
|
At October 31, 2020, for federal income tax purposes, the Funds had capital loss carryforwards available to offset future capital gains for an unlimited period as indicated below:
|
| FFTY |
|
| LDRS |
|
| BOUT |
|
| LOUP |
| ||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Indefinite Short-Term |
| $ | 196,275,603 |
|
| $ | 12,066,865 |
|
| $ | 3,488,753 |
|
| $ | 2,113,725 |
|
Indefinite Long-Term |
|
| – |
|
|
| – |
|
|
| – |
|
|
| 42,933 |
|
To the extent that these loss carryforwards are utilized, capital gains so offset will not be distributed to shareholders. During the current tax year ended October 31, 2020, BOUT utilized $366,977 of capital loss carryforwards available.
The tax character of the distributions paid by the Funds during the fiscal years ended October 31, 2020 and October 31, 2019 were as follows:
|
| FFTY |
|
| LDRS |
|
| BOUT |
|
| LOUP |
| ||||||||||||||||||||
|
| 2020 |
|
| 2019 |
|
| 2020 |
|
| 2019 |
|
| 2020 |
|
| 2019 |
|
| 2020 |
|
| 2019 |
| ||||||||
Distributions paid from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Ordinary Income |
| $ | – |
|
| $ | – |
|
| $ | 148,611 |
|
| $ | 250,719 |
|
| $ | – |
|
| $ | 21,386 |
|
| $ | – |
|
| $ | – |
|
Net Long-Term Capital Gains |
|
| – |
|
|
| – |
|
|
| – |
|
|
| – |
|
|
| – |
|
|
| – |
|
|
| – |
|
|
| – |
|
Return of Capital |
|
| – |
|
|
| – |
|
|
| – |
|
|
| – |
|
|
| – |
|
|
| – |
|
|
| – |
|
|
| – |
|
Total Distributions Paid |
| $ | – |
|
| $ | – |
|
| $ | 148,611 |
|
| $ | 250,719 |
|
| $ | – |
|
| $ | 21,386 |
|
| $ | – |
|
| $ | – |
|
Notes to Financial Statements (Continued)
8. COVID-19
The recent global outbreak of COVID-19 has disrupted economic markets and the prolonged economic impact is uncertain. The operational and financial performance of the issuers of securities in which the Funds invest depend on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn impact the value of the Funds’ investments.
9. SUBSEQUENT EVENT
Management has evaluated the impact of all subsequent events of the Funds through the date of the financial statements were issued, and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders of Innovator IBD® 50 ETF, Innovator IBD® ETF Leaders ETF, Innovator IBD® Breakout Opportunities ETF and Innovator Loup Frontier Tech ETF and Board of Trustees of Innovator ETFs Trust
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Innovator IBD® 50 ETF, Innovator IBD® ETF Leaders ETF, Innovator IBD® Breakout Opportunities ETF and Innovator Loup Frontier Tech ETF (the “Funds”), each a series of Innovator ETFs Trust, as of October 31, 2020, the related statements of operations, the statements of changes in net assets, and the financial highlights for each of the periods indicated below, including 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 each of the Funds as of October 31, 2020, the results of their operations, the changes in their net assets, and the financial highlights for each of the periods indicated below in conformity with accounting principles generally accepted in the United States of America.
Fund Name | Statements of Operations | Statements of Changes in Net Assets | Financial Highlights |
Innovator IBD® 50 ETF | For the year ended October 31, 2020 | For the years ended October 31, 2020 and 2019 | For the years ended October 31, 2020, 2019, 2018 and for the period from December 1, 2016 through October 31, 2017 |
Innovator IBD® ETF Leaders ETF | For the year ended October 31, 2020 | For the years ended October 31, 2020 and 2019 | For the years ended October 31, 2020 and 2019 and for the period from December 20, 2017 (commencement of operations) through October 31, 2018 |
Innovator IBD® Breakout Opportunities ETF | For the year ended October 31, 2020 | For the years ended October 31, 2020 and 2019 | For the years ended October 31, 2020 and 2019 and for the period from September 12, 2018 (commencement of operations) through October 31, 2018 |
Innovator Loup Frontier Tech ETF | For the year ended October 31, 2020 | For the years ended October 31, 2020 and 2019 | For the years ended October 31, 2020 and 2019 and for the period from July 24, 2018 (commencement of operations) through October 31, 2018 |
The financial highlights of Innovator IBD® 50 ETF for the periods ended November 30, 2016, and prior, were audited by other auditors whose report dated January 27, 2017, expressed an unqualified opinion on those financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ 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 Funds 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 October 31, 2020, by correspondence with the custodian and brokers. 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 auditor of one or more of Innovator Capital Management, LLC’s investment companies since 2017.
COHEN & COMPANY, LTD.
Cleveland, Ohio
December 28, 2020
Trustees and Officers (Unaudited)
Name, Address and Year of Birth | Position with the Trust | Length of Time Served* | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex(a) Overseen by Trustee or Officer | Other Directorships Held by Trustee or Officer in the Past Five Years |
Independent Trustees | |||||
Mark Berg 109 N. Hale Street Wheaton, IL 60187 Year of Birth: 1971 | Trustee | Since 2017 | Founding Principal and Chief Executive Officer (2019–present), Founding Principal and President (2001–2019), Timothy Financial Counsel, Inc. | 59 | None |
Joe Stowell 109 N. Hale Street Wheaton, IL 60187 Year of Birth: 1968 | Trustee | Since 2017 | Chief Operating Officer, Woodmen Valley Chapel (2015–present); Executive Vice President and Chief Operating Officer, English Language Institute/China (2007–2015). | 59 | Board of Advisors, Westmont College |
Brian J. Wildman 109 N. Hale Street Wheaton, IL 60187 Year of Birth: 1963 | Trustee | Since 2017 | President, Timothy Financial Counsel, Inc. (2019–present); Executive Vice President, Consumer Banking (2016–2019), Chief Risk Officer (2013–2016), MB Financial Bank. | 59 | Missionary Furlough Homes, Inc. (since 2008); MB Financial Bank (2003– 2019). |
Trustees and Officers (Unaudited) (Continued)
Interested Trustee & Officer | |||||
H. Bruce Bond (b) 109 N. Hale Street Wheaton, IL 60187 Year of Birth: 1963 | Interested Trustee, President and Principal Executive Officer | Since 2017 | Chief Executive Officer, Innovator Capital Management, LLC (2017–present). | 59 | None |
Officers | |||||
John W. Southard 109 N. Hale Street Wheaton, IL 60187 Year of Birth: 1969 | Vice President, Treasurer and Principal Financial Accounting Officer | Since 2017 | Chief Investment Officer, Innovator Capital Management, LLC (2017–present); Director and Co–Founder, T2 Capital Management, LLC (2010–present). | 59 | Independent Trustee, ETF Managers Group, LLC (2012–2018) |
Kevin Gustafson 109 N. Hale Street Wheaton, IL 60187 Year of Birth: 1965 | Chief Compliance Officer and Anti–Money Laundering Officer | Since 2020 | Chief Compliance Officer, Innovator Capital Management LLC (2019 - present); General Counsel, Innovator Capital Management LLC (2019 - present); Chief Compliance Officer, General Counsel and Chief Risk Officer, Americas, Eastspring Investments, Inc. (2012 - 2019). | 59 | None |
* | The Funds’ Trustees serve for an indefinite term until their resignation, death or removal. The Funds’ officers are elected annually by the Board and serve at the Board’s pleasure. |
(a) | The Fund Complex includes the Funds, each series of Innovator ETFs Trust and Innovator ETFs Trust II. |
(b) | H. Bruce Bond is deemed to be an interested person of the Trust (as defined in the 1940 Act) because of his affiliation with the Adviser. |
The Statement of Additional Information includes additional information about the Trustees and is available upon request, without charge, by calling 1–877–386–3890.
Board Considerations Regarding Approval of Investment
Management Agreement (Unaudited)
BOARD CONSIDERATIONS REGARDING APPROVAL OF INVESTMENT MANAGEMENT AGREEMENT AND INVESTMENT SUB-ADVISORY AGREEMENT FOR THE INNOVATOR IBD® 50 ETF, INNOVATOR IBD® ETF LEADERS ETF, INNOVATOR IBD® BREAKOUT OPPORTUNITIES ETF AND INNOVATOR LOUP FRONTIER TECH ETF
At a quarterly in-person Board meeting held on June 11, 2020, the Trust’s Board considered approval of the Advisory Agreement with Innovator Capital Management, LLC (the “Adviser”), on behalf of the Innovator IBD® 50 ETF, Innovator IBD® ETF Leaders ETF, Innovator IBD® Breakout Opportunities ETF and Innovator Loup Frontier Tech ETF (the “Funds”), and the Sub-Advisory Agreement among the Trust, on behalf of the Funds, the Adviser and Penserra Capital Management LLC (the “Sub-Adviser”), for an additional year term. The Board determined that the agreements were in the best interests of the Funds in light of the extent and quality of the services provided and such other matters as the Board considered to be relevant in the exercise of its reasonable business judgment.
To reach this determination, the Board considered its duties under the Investment Company Act of 1940, as amended (the “1940 Act”), as well as under the general principles of state law in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisers with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. To assist the Board in its evaluation of the agreements, the Independent Trustees received a separate report from each of the Adviser and the Sub-Adviser in advance of the meeting responding to a request for information provided on behalf of the Independent Trustees that, among other things, outlined the services provided by the Adviser and the Sub-Adviser to the Funds (including the relevant personnel responsible for these services and their experience); the unitary fee rate or management fee rate payable by each Fund as compared to fees charged to peer groups of the Funds and as compared to fees charged to other clients of the Adviser and the Sub-Adviser, including other ETFs managed by the Adviser and the Sub-Adviser; the expenses of the Funds as compared to expense ratios of the funds in the respective Fund’s peer group; the nature of the expenses incurred in providing services to the Funds and the potential for economies of scale, if any; financial data on the Adviser and the Sub-Adviser; any fall-out benefits accruing to the Adviser or the Sub-Adviser; and information on the Adviser’s and the Sub-Adviser’s compliance programs. The Independent Trustees also met separately with their Independent Counsel to discuss the information provided by the Adviser and the Sub-Adviser. The Board applied its business judgment to determine whether the arrangements between the Trust and the Adviser and among the Trust, the Adviser and the Sub-Adviser are reasonable business arrangements from each Fund’s perspective as well as from the perspective of each Fund’s shareholders.
Board Considerations Regarding Approval of Investment
Management Agreement (Unaudited) (Continued)
In evaluating whether to approve the agreements, the Board applied its business judgment and considered the nature, extent and quality of the services provided by the Adviser and Penserra pursuant to the agreements. With respect to the investment management agreement, the Board considered that the Adviser is responsible for the overall management and administration of the Funds and reviewed all of the services provided by the Adviser to the Funds, including oversight of Penserra, as well as the background and experience of the persons responsible for such services. The Board noted that the Adviser oversees Penserra’s day-to-day management of each of the Fund’s investments, including portfolio risk monitoring and performance review. In reviewing the services provided, the Board noted the compliance program that had been developed by the Adviser included an adequate program for monitoring the Adviser’s, Penserra’s and each Fund’s compliance with the 1940 Act, as well as each Fund’s compliance with its investment objective and policies. With respect to the sub-advisory agreement, the Board reviewed the materials provided by Penserra and noted the background and experience of Penserra’s portfolio management team and Penserra’s investment style. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided to the Funds by the Adviser and Penserra under the agreements were satisfactory.
The Board considered the historical investment performance of each of the Funds for the respective one-year periods ended March 31, 2020 including NAV, market and respective index returns.
The Board considered the unitary fee rate or management fee rate, as applicable, paid by each Fund under the investment management agreement for the services provided.
The Board noted that except for the Innovator IBD 50® ETF, the Adviser is responsible for the Fund’s expenses, including the cost of transfer agency, custody, fund administration, legal, audit and other services and license fees (if any), but excluding the fee payment under the investment management agreement, interest, taxes, brokerage commissions and other expenses connected with the execution of portfolio transactions, and extraordinary expenses. The Board received and reviewed information for the Funds showing the advisory fee rates and expense ratios of the funds comprising of each Fund’s peer group, as well as advisory fee rates charged by the Adviser and Penserra to other funds (including ETFs) and non-fund clients, as applicable.
Board Considerations Regarding Approval of Investment
Management Agreement (Unaudited) (Continued)
In light of the information considered and the nature, extent and quality of the services provided to the Funds under the agreements, the Board determined that the unitary fee or management fee for each of the Funds, including the fee rate to be paid by the Adviser to Penserra from the unitary fee or management fee, was fair.
The Board noted that the respective unitary fee or management fee for each of the Funds were structured to pass the benefits of any economies of scale on to shareholders as the respective Fund’s assets grow. The Board noted that any reduction in fixed costs associated with the management of the respective Fund would benefit the Adviser and Penserra, but that the unitary fee and management fee structure provides a level of certainty in expenses for each of the Funds. The Board noted that the Adviser is continuing to invest in personnel and infrastructure for the Innovator fund complex.
The Board reviewed profitability information in connection with the Funds.
The Board considered potential “fall-out” or ancillary benefits anticipated to be received by the Adviser and Penserra. The Board concluded that the character and amount of potential fall-out benefits to the Adviser and Penserra were consistent with the types of benefits generally derived by investment managers and sub-advisers to funds.
Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the agreements are fair and that the approval of the agreements is in the best interests of the Funds. No single factor was determinative in the Board’s analysis.
Additional Information (Unaudited)
1. INFORMATION ABOUT PROSPECTUS
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus. Investors should consider the investment objective and policies, risk considerations, charges and ongoing expenses of an investment carefully before investing. The prospectus contains this and other information relevant to an investment in the respective Fund. Please read the Prospectus carefully before investing. A copy of the Prospectus may be obtained without charge by writing to the Trust’s Distributor, or by calling toll free at 1–800–208–5212 or visiting www.innovatoretfs.com.
2. PROXY VOTING POLICIES AND PROCEDURE
The Trust’s Proxy Voting Policies and Procedures are available without charge, upon request, by calling 1–877–386–3890 and on the SEC’s website at www.sec.gov. Information relating to how each Fund voted proxies relating to portfolio securities held during each year ended June 30 is also available on the SEC’S website at www.sec.gov.
3. INFORMATION ABOUT PORTFOLIO SECURITIES
Each Funds’ complete schedule of portfolio holdings for the first and third quarters is filed with the SEC on Form N–Q or Part F of Form N–PORT (beginning with filings after March 31, 2020). The Trust’s Form N–Q or Part F of Form
N–PORT is available without charge, upon request, by calling 1–877–386–3890, or on the SEC’s website at www.sec.gov. The Trust’s Form N–Q or Part F of Form N–PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1–800–SEC–0330.
4. �� HOUSEHOLD DELIVERY OF SHAREHOLDER DOCUMENTS
In order to reduce expenses, the Trust delivers one copy of an annual/semi–annual report, prospectus and/or proxy statement on behalf of two or more shareholders at a shared address (householding). If you do not wish to participate in householding, please indicate this preference on your new account application (if you are opening a new account) or call 1–877–FUND890 (877–386–3890) to change the status of your existing account. You may change your status at any time.
Additional Information (Unaudited) (Continued)
5. ELECTRONIC DELIVERY OF SHAREHOLDER DOCUMENTS
You may choose to receive a Fund’s prospectus and annual and semi–annual reports electronically. To sign up for electronic delivery, visit www.icsdelivery.com and select the first letter of your brokerage firm’s name. Then, select your brokerage institution from the list that follows, fill out the appropriate information and provide an e–mail address where you would like your information sent. If your brokerage firm is not listed, electronic delivery may not be available. Please contact your brokerage firm or financial adviser.
6. TAX NOTICE
For the fiscal year ended October 31, 2020, certain dividends paid by the Funds may be subject to a maximum tax rate of 23.8%, as provided for the Jobs and Growth Tax Relief Reconciliation Act of 2003.
The following table lists the percentages of dividend income distributed for the year ended October 31, 2020, that were designated as qualified dividend income under the Jobs and Growth Tax Relief Reconciliation Act of 2003 and qualify for the corporate dividends received deduction, respectively:
% of Dividend Income Distributed | ||||||||
Fund | Qualified Dividend Income | Corporate Dividends Received Deduction | ||||||
FFTY | 0.00 | % | 0.00 | % | ||||
LDRS | 50.85 | 31.41 | ||||||
BOUT | 0.00 | 0.00 | ||||||
LOUP | 0.00 | 0.00 |
For the taxable year ended October 31, 2020, the Funds didn’t pay any ordinary income distributions that were designated as short–term capital gain distributions under Internal Revenue Section 871(k)2(c).
7. Liquidity Risk Management Program
Consistent with Rule 22e-4 under the Investment Company Act of 1940, as amended, Innovator ETF Trust and Innovator ETF Trust II (each a “Trust” and, collectively, the “Trusts”), on behalf of each of its series (each a “Fund” and, collectively, the “Funds”), has established a liquidity risk management program to govern the Funds’ approach to managing liquidity risk (the “Program”). The Program is overseen by the Trusts’ Valuation Committee as the Program Administrator, a committee comprised of representatives of the Trusts’ investment adviser, Innovator Capital Management LLC and representatives of Milliman Financial Risk Management LLC, the sub-adviser for certain of the Funds (the “Committee”). The Trusts’ Board of Trustees (the “Board”) has approved the designation of the Committee to administer the Program.
The Program’s principal objectives include supporting the Funds’ compliance with limits on investments in illiquid assets and mitigating the risk that a Fund will be unable to meet its redemption obligations in a timely manner. The Program also includes a number of elements that support the management and assessment of liquidity risk, including an annual assessment of factors that influence each Fund’s liquidity and the periodic classification and re-classification of certain Funds’ investments into groupings that reflect the Committee’s assessment of their relative liquidity under current market conditions.
At a meeting of the Board held on September 17, 2020, the Trustees received a written report from the Committee regarding the design and operational effectiveness of the Program since its implementation in September 2019. The Committee determined, and reported to the Board, that the Program is reasonably designed to assess and manage the Funds’ liquidity risk and has operated adequately and effectively to manage the Funds’ liquidity risk since implementation. The Committee reported that during the period covered by the report, there were no liquidity events that impacted the Funds or their ability to timely meet redemptions without dilution to existing shareholders. The Committee also noted no Fund has filed a Form N-LIQUID with the SEC.
The Committee noted that certain of the Funds continue to qualify as “in-kind” ETFs under Rule 22e-4 and, as such, are exempt from the requirement to set a highly liquid investment minimum. The Committee noted that the remaining funds are invested in highly liquid securities and, accordingly, continue to be exempt from the requirement to determine a “highly liquid investment minimum” as defined in the Rule. Because of that continued qualification for the exemption, the Funds have not adopted any “highly liquid investment” minimum amounts. The Committee further noted that no material changes have been made to the Program since its implementation.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Funds’ prospectus for more information regarding each Fund’s exposure to liquidity risk and other principal risks to which an investment in a Fund may be subject.
INVESTMENT ADVISOR
Innovator Capital Management, LLC
109 North Hale Street
Wheaton, IL 60187
INVESTMENT SUB–ADVISOR
Penserra Capital Management LLC
140 Broadway, 26th Floor
New York, NY 10005
ADMINISTRATOR, FUND ACCOUNTANT & TRANSFER AGENT
U.S. Bancorp Fund Services, LLC
615 East Michigan Street
Milwaukee, WI 53202
DISTRIBUTOR
Foreside Fund Services, LLC
Three Canal Plaza
Portland, ME 04101
CUSTODIAN
U.S. Bank, N.A.
1555 North RiverCenter Drive, Suite 302
Milwaukee, WI 53212
LEGAL COUNSEL
Chapman and Cutler LLP
111 West Monroe Street
Chicago, IL 60603
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Cohen & Company, Ltd.
1350 Euclid Ave., Suite 800
Cleveland, OH 44115
TABLE OF CONTENTS
Letter to Shareholders | 3 |
Fund Performance | 6 |
Expense Example | 78 |
Schedules of Investments and Options Written | 81 |
Statements of Assets and Liabilities | 153 |
Statements of Operations | 171 |
Statements of Changes in Net Assets | 189 |
Financial Highlights | 207 |
Notes to Financial Statements | 225 |
Report of Independent Registered Public Accounting Firm | 255 |
Trustees and Officers | 260 |
Board Considerations Regarding Approval of Investment Management Agreement | 262 |
Additional Information | 265 |
Letter to Shareholders (Unaudited)
Dear Valued Shareholders,
The following shareholder letter covers the year or period ended October 31, 2020.
First, and most importantly, we want to thank those first responders and health care workers who have responded so tremendously to one of the greatest health crisis of our lifetimes. Our thoughts and prayers are with the communities and individuals most deeply affected by the COVID-19 Crisis.
Innovator Capital Management was established on an unwavering commitment to building products that seek to deliver confidence to investors, even in the face of uncertainty. The COVID-19 Crisis has served as a true test of Innovator’s products in the marketplace, and I’m happy to report that even through these most unprecedented times, Innovator ETFs have performed as expected. In fact, through the recent market correction, our Defined Outcome line of ETFs were some of the best performing products in the marketplace.
Innovator’s people, processes and investment products have been essential to stabilizing and growing the US economy, and the financial health and well-being of Innovator ETF investors. We appreciate the trust and support you have put in our firm, and thank you for the opportunity to serve you for many years to come.
In May 2020 we completed the monthly series of S&P 500 Defined Outcome ETFs. In the midst of the economic crisis that occurred in February and March of this year, our S&P 500 Defined Outcome ETFs performed exactly as we expected, providing built-in buffers to investors over the outcome period, even when markets became extremely volatile. It is exactly at these times when the market faces unexpected turbulence and volatility that the “Know your outcome before you invest” mantra really comes to light. Client portfolios benefited from an investment that allowed them to participate on the subsequent upside, but with significantly less volatility and lower drawdowns.
We believe, more than ever, that our one-year Defined Outcome ETFs have a clear role in clients’ portfolios and help them maintain focus on long-term financial goals.
Letter to Shareholders (Unaudited) (Continued)
Again, our thoughts and prayers go out to the communities and individuals who have been affected by the current global health and economic crisis. Thank you for the trust and support you have put in us and wish you a happy and healthy Holiday season.
Sincerely,
Bruce Bond
Chief Executive Officer
The views in this report were those of the Fund’s CEO as of October 31, 2020 and may not reflect his views on the date that this report is first published or anytime thereafter. These views are intended to assist shareholders in understanding their investments and do not constitute investment advice.
The funds seek to generate returns that match the returns of its benchmark Index, up to the Cap on potential upside returns, while limiting downside losses, over the course of a 1-year period. There is no guarantee the fund will achieve its investment objective. The Funds have characteristics unlike many other traditional investment products and may not be suitable for all investors. For more information regarding whether an investment in the Fund is right for you, please see “Investor Suitability” in the prospectus.
Investing involves risks. Loss of principal is possible. The Funds face numerous market trading risks, including active markets risk, authorized participation concentration risk, buffered loss risk, cap change risk, capped upside return risk, correlation risk, liquidity risk, management risk, market maker risk, market risk, non-diversification risk, operation risk, options risk, trading issues risk, upside participation risk and valuation risk. For a detail list of fund risks see the prospectus.
Letter to Shareholders (Unaudited) (Continued)
FLEX Options Risk The Funds will utilize FLEX Options issued and guaranteed for settlement by the Options Clearing Corporation OCC. In the unlikely event that the OCC becomes insolvent or is otherwise unable to meet its settlement obligations, the Funds could suffer significant losses. Additionally, FLEX Options may be less liquid than standard options. In a less liquid market for the FLEX Options, the Funds may have difficulty closing out certain FLEX Options positions at desired times and prices.
These Funds are designed to provide point-to-point exposure to the price return of the S&P 500 via a basket of Flex Options. As a result, the ETFs are not expected to move directly in line with the S&P 500 during the interim period.
Fund shareholders are subject to an upside return cap (the “Cap”) that represents the maximum percentage return an investor can achieve from an investment in the Funds’ for an outcome period (the “Outcome Period”) before fees and expenses. If an Outcome Period has begun and the Fund has increased in value to a level near to its Cap, an investor purchasing at that price has little or no ability to achieve gains but remains vulnerable to downside risks. Additionally, the Cap may rise or fall from one Outcome Period to the next. The Cap, and the Fund’s position relative to it, should be considered before investing in the Fund. The Funds’ website, www.innovatoretfs.com, provides important Fund information as well information relating to the potential outcomes of an investment in a Fund on a daily basis.
Certain of the Funds seek to provide a buffer or floor level against Index losses during the Outcome Period; however, the Funds only seek to provide that respective level of buffer or floor level for those shareholders that hold shares for the entire Outcome Period. Depending upon market conditions at the time of purchase, a shareholder that purchases shares after the Outcome Period has begun may also lose their entire investment. For instance, if the Outcome Period has begun and the Fund has decreased in value beyond any pre-determined buffer or floor, an investor purchasing shares at that price may not benefit from the buffer or floor, as applicable. Similarly, if the Outcome Period has begun and the Fund has increased in value, an investor purchasing shares at that price may not benefit from the buffer or floor until the Fund’s value has decreased to its value at the commencement of the Outcome Period.
This material must be preceded by or accompanied with a prospectus. The Funds' investment objectives, risks, charges and expenses should be considered carefully before investing. The prospectus contains this and other important information, and it may be obtained at innovatoretfs.com. Read it carefully before investing.
Innovator ETFs are distributed by Foreside Fund Services, LLC.
INNOVATOR S&P 500® BUFFER ETF – JANUARY
Fund Performance
October 31, 2020 (Unaudited)
The following chart compares the value of a hypothetical $10,000 investment in the Innovator S&P 500® Buffer ETF – January from its inception (December 31, 2018) to October 31, 2020 as compared with the S&P 500® Index – Price Return and Total Return.
Average Annual Total Returns as of October 31, 2020 | ||||||||
One Year | Since Inception (a) | |||||||
Innovator S&P 500® Buffer ETF - January | ||||||||
NAV Return | 4.99 | % | 12.59 | % | ||||
Market Return | 5.26 | % | 12.73 | % | ||||
S&P 500® Index - Price Return | 7.65 | % | 15.60 | % | ||||
S&P 500® Index - Total Return | 9.71 | % | 17.85 | % |
(a) Inception date is December 31, 2018.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.80%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
INNOVATOR S&P 500® BUFFER ETF – JANUARY
Fund Performance
October 31, 2020 (Unaudited) (Continued)
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and S&P 500® Index – Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index – Price Return do not include the reinvestment of dividends, if any.
The S&P 500® Index is an unmanaged, capitalization–weighted index generally representative of the U.S. market for large capitalization stocks.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange–traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/BJAN.
INNOVATOR S&P 500® BUFFER ETF – FEBRUARY
Fund Performance
October 31, 2020 (Unaudited)
The following chart compares the value of a hypothetical $10,000 investment in the Innovator S&P 500® Buffer ETF – February from its inception (January 31, 2020) to October 31, 2020 as compared with the S&P 500® Index - Price Return and Total Return.
Total Returns as of October 31, 2020 | ||||
Since Inception (a) | ||||
Innovator S&P 500® Buffer ETF - February | ||||
NAV Return | 2.32 | % | ||
Market Return | 1.63 | % | ||
S&P 500® Index - Price Return | 1.38 | % | ||
S&P 500® Index - Total Return | 2.81 | % |
(a) Inception date is January 31, 2020.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
INNOVATOR S&P 500® BUFFER ETF – FEBRUARY
Fund Performance
October 31, 2020 (Unaudited) (Continued)
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and S&P 500® Index - Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index - Price Return do not include the reinvestment of dividends, if any.
The S&P 500® Index is an unmanaged, capitalization-weighted index generally representative of the U.S. market for large capitalization stocks.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange-traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/BFEB.
INNOVATOR S&P 500® BUFFER ETF – MARCH
Fund Performance
October 31, 2020 (Unaudited)
The following chart compares the value of a hypothetical $10,000 investment in the Innovator S&P 500® Buffer ETF – March from its inception (February 28, 2020) to October 31, 2020 as compared with the S&P 500® Index - Price Return and Total Return.
Total Returns as of October 31, 2020 | ||||
Since Inception (a) | ||||
Innovator S&P 500® Buffer ETF - March | ||||
NAV Return | 7.36 | % | ||
Market Return | 6.77 | % | ||
S&P 500® Index - Price Return | 10.69 | % | ||
S&P 500® Index - Total Return | 12.03 | % |
(a) Inception date is February 28, 2020.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
INNOVATOR S&P 500® BUFFER ETF – MARCH
Fund Performance
October 31, 2020 (Unaudited) (Continued)
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and S&P 500® Index - Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index - Price Return do not include the reinvestment of dividends, if any.
The S&P 500® Index is an unmanaged, capitalization-weighted index generally representative of the U.S. market for large capitalization stocks.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange-traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/BMAR.
INNOVATOR S&P 500® BUFFER ETF – APRIL
Fund Performance
October 31, 2020 (Unaudited)
The following chart compares the value of a hypothetical $10,000 investment in the Innovator S&P 500® Buffer ETF – April from its inception (March 29, 2019) to October 31, 2020 as compared with the S&P 500® Index – Price Return and Total Return.
Average Annual Total Returns as of October 31, 2020 | ||||||||
One Year | Since Inception (a) | |||||||
Innovator S&P 500® Buffer ETF - April | ||||||||
NAV Return | 6.65 | % | 8.51 | % | ||||
Market Return | 6.44 | % | 8.29 | % | ||||
S&P 500® Index - Price Return | 7.65 | % | 9.40 | % | ||||
S&P 500® Index - Total Return | 9.71 | % | 11.49 | % |
(a) Inception date is March 29, 2019.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
INNOVATOR S&P 500® BUFFER ETF – APRIL
Fund Performance |
October 31, 2020 (Unaudited) (Continued) |
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and S&P 500® Index – Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index – Price Return do not include the reinvestment of dividends, if any.
The S&P 500® Index is an unmanaged, capitalization–weighted index generally representative of the U.S. market for large capitalization stocks.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange–traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/BAPR.
INNOVATOR S&P 500® BUFFER ETF – MAY
Fund Performance
October 31, 2020 (Unaudited)
The following chart compares the value of a hypothetical $10,000 investment in the Innovator S&P 500® Buffer ETF – May from its inception (April 30, 2020) to October 31, 2020 as compared with the S&P 500® Index - Price Return and Total Return.
Total Returns as of October 31, 2020 | ||||
Since Inception (a) | ||||
Innovator S&P 500® Buffer ETF - May | ||||
NAV Return | 8.94 | % | ||
Market Return | 8.26 | % | ||
S&P 500® Index - Price Return | 12.28 | % | ||
S&P 500® Index - Total Return | 13.29 | % |
(a) Inception date is April 30, 2020.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
INNOVATOR S&P 500® BUFFER ETF – MAY
Fund Performance |
October 31, 2020 (Unaudited)(Continued) |
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and S&P 500® Index - Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index - Price Return do not include the reinvestment of dividends, if any.
The S&P 500® Index is an unmanaged, capitalization-weighted index generally representative of the U.S. market for large capitalization stocks.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange-traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/BMAY.
INNOVATOR S&P 500® BUFFER ETF – JUNE
Fund Performance |
October 31, 2020 (Unaudited) |
The following chart compares the value of a hypothetical $10,000 investment in the Innovator S&P 500® Buffer ETF – June from its inception (May 31, 2019) to October 31, 2020 as compared with the S&P 500® Index – Price Return and Total Return.
Average Annual Total Returns as of October 31, 2020 | ||||||||
One Year | Since Inception (a) | |||||||
Innovator S&P 500® Buffer ETF - June | ||||||||
NAV Return | 6.81 | % | 10.66 | % | ||||
Market Return | 6.11 | % | 10.14 | % | ||||
S&P 500® Index - Price Return | 7.65 | % | 12.92 | % | ||||
S&P 500® Index - Total Return | 9.71 | % | 15.06 | % |
(a) Inception date is May 31, 2019.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.80%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
INNOVATOR S&P 500® BUFFER ETF – JUNE
Fund Performance |
October 31, 2020 (Unaudited) (Continued) |
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and S&P 500® Index – Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index – Price Return do not include the reinvestment of dividends, if any.
The S&P 500® Index is an unmanaged, capitalization–weighted index generally representative of the U.S. market for large capitalization stocks.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange–traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/BJUN.
INNOVATOR S&P 500® BUFFER ETF – JULY
Fund Performance
October 31, 2020 (Unaudited)
The following chart compares the value of a hypothetical $10,000 investment in the Innovator S&P 500® Buffer ETF – July from its inception (August 28, 2018) to October 31, 2020 as compared with the S&P 500® Index – Price Return and Total Return.
Average Annual Total Returns as of October 31, 2020 | ||||||||
One Year | Since Inception (a) | |||||||
Innovator S&P 500® Buffer ETF - July | ||||||||
NAV Return | 4.75 | % | 4.06 | % | ||||
Market Return | 4.88 | % | 4.08 | % | ||||
S&P 500® Index - Price Return | 7.65 | % | 5.72 | % | ||||
S&P 500® Index - Total Return | 9.71 | % | 7.79 | % |
(a) Inception date is August 28, 2018.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.81%. For the most recent month–end performance, please visit the Fund’s website at innovatoretfs.com
INNOVATOR S&P 500® BUFFER ETF – JULY
Fund Performance
October 31, 2020 (Unaudited) (Continued)
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and S&P 500® Index – Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index – Price Return do not include the reinvestment of dividends, if any.
The S&P 500® Index is an unmanaged, capitalization–weighted index generally representative of the U.S. market for large capitalization stocks.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange–traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/BJUL.
INNOVATOR S&P 500® BUFFER ETF – AUGUST
Fund Performance |
October 31, 2020 (Unaudited) |
The following chart compares the value of a hypothetical $10,000 investment in the Innovator S&P 500® Buffer ETF – August from its inception (July 31, 2019) to October 31, 2020 as compared with the S&P 500® Index – Price Return and Total Return.
Average Annual Total Returns as of October 31, 2020 | ||||||||
One Year | Since Inception (a) | |||||||
Innovator S&P 500® Buffer ETF - August | ||||||||
NAV Return | 7.68 | % | 7.73 | % | ||||
Market Return | 6.91 | % | 6.96 | % | ||||
S&P 500® Index - Price Return | 7.65 | % | 7.69 | % | ||||
S&P 500® Index - Total Return | 9.71 | % | 9.77 | % |
(a) Inception date is July 31, 2019.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
INNOVATOR S&P 500® BUFFER ETF – AUGUST
Fund Performance |
October 31, 2020 (Unaudited) (Continued) |
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and S&P 500® Index – Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index – Price Return do not include the reinvestment of dividends, if any.
The S&P 500® Index is an unmanaged, capitalization–weighted index generally representative of the U.S. market for large capitalization stocks.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange–traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/BAUG.
INNOVATOR S&P 500® BUFFER ETF – SEPTEMBER
Fund Performance |
October 31, 2020 (Unaudited) |
The following chart compares the value of a hypothetical $10,000 investment in the Innovator S&P 500® Buffer ETF – September from its inception (August 30, 2019) to October 31, 2020 as compared with the S&P 500® Index – Price Return and Total Return.
Average Annual Total Returns as of October 31, 2020 | ||||||||
One Year | Since Inception (a) | |||||||
Innovator S&P 500® Buffer ETF - September | ||||||||
NAV Return | 5.81 | % | 7.56 | % | ||||
Market Return | 5.62 | % | 7.30 | % | ||||
S&P 500® Index - Price Return | 7.65 | % | 9.95 | % | ||||
S&P 500® Index - Total Return | 9.71 | % | 12.01 | % |
(a) Inception date is August 30, 2019.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
INNOVATOR S&P 500® BUFFER ETF – SEPTEMBER
Fund Performance |
October 31, 2020 (Unaudited) (Continued) |
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and S&P 500® Index – Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index – Price Return do not include the reinvestment of dividends, if any.
The S&P 500® Index is an unmanaged, capitalization–weighted index generally representative of the U.S. market for large capitalization stocks.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange–traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/BSEP.
INNOVATOR S&P 500® BUFFER ETF – OCTOBER
Fund Performance
October 31, 2020 (Unaudited)
The following chart compares the value of a hypothetical $10,000 investment in the Innovator S&P 500® Buffer ETF – October from its inception (September 28, 2018) to October 31, 2020 as compared with the S&P 500® Index – Price Return and Total Return.
Average Annual Total Returns as of October 31, 2020 | ||||||||
One Year | Since Inception (a) | |||||||
Innovator S&P 500® Buffer ETF - October | ||||||||
NAV Return | 8.51 | % | 5.37 | % | ||||
Market Return | 8.14 | % | 5.33 | % | ||||
S&P 500® Index - Price Return | 7.65 | % | 5.67 | % | ||||
S&P 500® Index - Total Return | 9.71 | % | 7.74 | % |
(a) Inception date is September 28, 2018.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.80%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
INNOVATOR S&P 500® BUFFER ETF – OCTOBER
Fund Performance
October 31, 2020 (Unaudited) (Continued)
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and S&P 500® Index – Total Return include the reinvestment of all dividends, if any. Return shown for the S&P 500® Index – Price Return do not include the reinvestment of dividends, if any.
The S&P 500® Index is an unmanaged, capitalization–weighted index generally representative of the U.S. market for large capitalization stocks.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange–traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/BOCT.
INNOVATOR S&P 500® BUFFER ETF – NOVEMBER
Fund Performance
October 31, 2020 (Unaudited)
The following chart compares the value of a hypothetical $10,000 investment in the Innovator S&P 500® Buffer ETF – November from its inception (October 31, 2019) to October 31, 2020 as compared with the S&P 500® Index - Price Return and Total Return.
Average Annual Total Returns as of October 31, 2020 | ||||||||
One Year | Since Inception (a) | |||||||
Innovator S&P 500® Buffer ETF - November | ||||||||
NAV Return | 7.00 | % | 7.00 | % | ||||
Market Return | 7.25 | % | 7.25 | % | ||||
S&P 500® Index - Price Return | 7.65 | % | 7.65 | % | ||||
S&P 500® Index - Total Return | 9.71 | % | 9.71 | % |
(a) Inception date is October 31, 2019.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
INNOVATOR S&P 500® BUFFER ETF – NOVEMBER
Fund Performance
October 31, 2020 (Unaudited) (Continued)
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and S&P 500® Index - Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index - Price Return do not include the reinvestment of dividends, if any. |
|
The S&P 500® Index is an unmanaged, capitalization-weighted index generally representative of the U.S. market for large capitalization stocks. |
|
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange-traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses. |
|
You cannot invest directly in an index. |
|
Premium/Discount Information: |
|
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/BNOV. |
INNOVATOR S&P 500® BUFFER ETF – DECEMBER
Fund Performance
October 31, 2020 (Unaudited)
The following chart compares the value of a hypothetical $10,000 investment in the Innovator S&P 500® Buffer ETF – December from its inception (November 29, 2019) to October 31, 2020 as compared with the S&P 500® Index - Price Return and Total Return.
Total Returns as of October 31, 2020 | ||||
Since Inception (a) | ||||
Innovator S&P 500® Buffer ETF - December | ||||
NAV Return | 5.04 | % | ||
Market Return | 4.41 | % | ||
S&P 500® Index - Price Return | 4.11 | % | ||
S&P 500® Index - Total Return | 5.87 | % |
(a) Inception date is November 29, 2019.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
INNOVATOR S&P 500® BUFFER ETF – DECEMBER
Fund Performance
October 31, 2020 (Unaudited) (Continued)
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and S&P 500® Index - Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index - Price Return do not include the reinvestment of dividends, if any. |
|
The S&P 500® Index is an unmanaged, capitalization-weighted index generally representative of the U.S. market for large capitalization stocks. |
|
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange-traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses. |
|
You cannot invest directly in an index. |
|
Premium/Discount Information: |
|
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/BDEC. |
INNOVATOR S&P 500® POWER BUFFER ETF – JANUARY
Fund Performance
October 31, 2020 (Unaudited)
The following chart compares the value of a hypothetical $10,000 investment in the Innovator S&P 500® Power Buffer ETF – January from its inception (December 31, 2018) to October 31, 2020 as compared with the S&P 500® Index – Price Return and Total Return.
Average Annual Total Returns as of October 31, 2020 | ||||||||
One Year | Since Inception (a) | |||||||
Innovator S&P 500® Power Buffer ETF - January | ||||||||
NAV Return | 3.38 | % | 8.40 | % | ||||
Market Return | 3.04 | % | 8.14 | % | ||||
S&P 500® Index - Price Return | 7.65 | % | 15.60 | % | ||||
S&P 500® Index - Total Return | 9.71 | % | 17.85 | % |
(a) Inception date is December 31, 2018.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
INNOVATOR S&P 500® POWER BUFFER ETF – JANUARY
Fund Performance
October 31, 2020 (Unaudited) (Continued)
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and S&P 500® Index – Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index – Price Return do not include the reinvestment of dividends, if any.
The S&P 500® Index is an unmanaged, capitalization–weighted index generally representative of the U.S. market for large capitalization stocks.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange–traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/PJAN.
INNOVATOR S&P 500® POWER BUFFER ETF – FEBRUARY
Fund Performance |
October 31, 2020 (Unaudited) |
The following chart compares the value of a hypothetical $10,000 investment in the Innovator S&P 500® Power Buffer ETF – February from its inception (January 31, 2020) to October 31, 2020 as compared with the S&P 500® Index - Price Return and Total Return.
Total Returns as of October 31, 2020 | ||||
Since Inception (a) | ||||
Innovator S&P 500® Power Buffer ETF - February | ||||
NAV Return | 2.06 | % | ||
Market Return | 1.54 | % | ||
S&P 500® Index - Price Return | 1.38 | % | ||
S&P 500® Index - Total Return | 2.81 | % |
(a) Inception date is January 31, 2020.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
INNOVATOR S&P 500® POWER BUFFER ETF – FEBRUARY
Fund Performance |
October 31, 2020 (Unaudited) (Continued) |
|
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and S&P 500® Index - Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index - Price Return do not include the reinvestment of dividends, if any. |
|
The S&P 500® Index is an unmanaged, capitalization-weighted index generally representative of the U.S. market for large capitalization stocks. |
|
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange-traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses. |
|
You cannot invest directly in an index. |
|
Premium/Discount Information: |
|
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/PFEB. |
INNOVATOR S&P 500® POWER BUFFER ETF – MARCH
Fund Performance
October 31, 2020 (Unaudited)
The following chart compares the value of a hypothetical $10,000 investment in the Innovator S&P 500® Power Buffer ETF – March from its inception (February 28, 2020) to October 31, 2020 as compared with the S&P 500® Index - Price Return and Total Return.
Total Returns as of October 31, 2020 | ||||
Since Inception (a) | ||||
Innovator S&P 500® Power Buffer ETF - March | ||||
NAV Return | 5.30 | % | ||
Market Return | 4.98 | % | ||
S&P 500® Index - Price Return | 10.69 | % | ||
S&P 500® Index - Total Return | 12.03 | % |
(a) Inception date is February 28, 2020.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
Fund Performance |
October 31, 2020 (Unaudited) (Continued) |
|
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and S&P 500® Index - Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index - Price Return do not include the reinvestment of dividends, if any. |
|
The S&P 500® Index is an unmanaged, capitalization-weighted index generally representative of the U.S. market for large capitalization stocks. |
|
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange-traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses. |
|
You cannot invest directly in an index. |
|
Premium/Discount Information: |
|
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/PMAR. |
Fund Performance |
October 31, 2020 (Unaudited) |
The following chart compares the value of a hypothetical $10,000 investment in the Innovator S&P 500® Power Buffer ETF – April from its inception (March 29, 2019) to October 31, 2020 as compared with the S&P 500® Index – Price Return and Total Return.
Average Annual Total Returns as of October 31, 2020 | ||||||||
One Year | Since Inception (a) | |||||||
Innovator S&P 500® Power Buffer ETF - April | ||||||||
NAV Return | 4.00 | % | 5.96 | % | ||||
Market Return | 3.72 | % | 5.71 | % | ||||
S&P 500® Index - Price Return | 7.65 | % | 9.40 | % | ||||
S&P 500® Index - Total Return | 9.71 | % | 11.49 | % |
(a) Inception date is March 29, 2019.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
Fund Performance |
October 31, 2020 (Unaudited) (Continued) |
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and S&P 500® Index – Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index – Price Return do not include the reinvestment of dividends, if any.
The S&P 500® Index is an unmanaged, capitalization–weighted index generally representative of the U.S. market for large capitalization stocks.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange–traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/PAPR.
Fund Performance | |||||
October 31, 2020 (Unaudited) | |||||
| |||||
The following chart compares the value of a hypothetical $10,000 investment in the Innovator S&P 500® Power Buffer ETF – May from its inception (April 30, 2020) to October 31, 2020 as compared with the S&P 500® Index - Price Return and Total Return. |
Total Returns as of October 31, 2020 | ||||
Since Inception (a) | ||||
Innovator S&P 500® Power Buffer ETF - May | ||||
NAV Return | 6.69 | % | ||
Market Return | 5.97 | % | ||
S&P 500® Index - Price Return | 12.28 | % | ||
S&P 500® Index - Total Return | 13.29 | % |
(a) Inception date is April 30, 2020. | |||||
| |||||
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com. | |||||
Fund Performance |
October 31, 2020 (Unaudited) (Continued) |
|
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and S&P 500® Index - Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index - Price Return do not include the reinvestment of dividends, if any. |
|
The S&P 500® Index is an unmanaged, capitalization-weighted index generally representative of the U.S. market for large capitalization stocks. |
|
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange-traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses. |
|
You cannot invest directly in an index. |
|
Premium/Discount Information: |
|
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/PMAY. |
Fund Performance |
October 31, 2020 (Unaudited) |
The following chart compares the value of a hypothetical $10,000 investment in the Innovator S&P 500® Power Buffer ETF – June from its inception (May 31, 2019) to October 31, 2020 as compared with the S&P 500® Index – Price Return and Total Return.
Average Annual Total Returns as of October 31, 2020 | ||||||||
One Year | Since Inception (a) | |||||||
Innovator S&P 500® Power Buffer ETF - June | ||||||||
NAV Return | 8.00 | % | 9.69 | % | ||||
Market Return | 7.57 | % | 9.34 | % | ||||
S&P 500® Index - Price Return | 7.65 | % | 12.92 | % | ||||
S&P 500® Index - Total Return | 9.71 | % | 15.06 | % |
(a) Inception date is May 31, 2019.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
Fund Performance |
October 31, 2020 (Unaudited) (Continued) |
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and S&P 500® Index – Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index – Price Return do not include the reinvestment of dividends, if any.
The S&P 500® Index is an unmanaged, capitalization–weighted index generally representative of the U.S. market for large capitalization stocks.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange–traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/PJUN.
Fund Performance
October 31, 2020 (Unaudited)
The following chart compares the value of a hypothetical $10,000 investment in the Innovator S&P 500® Power Buffer ETF – July from its inception (August 7, 2018) to October 31, 2020 as compared with the S&P 500® Index – Price Return and Total Return.
Average Annual Total Returns as of October 31, 2020 | ||||||||
One Year | Since Inception (a) | |||||||
Innovator S&P 500® Power Buffer ETF - July | ||||||||
NAV Return | 4.89 | % | 4.30 | % | ||||
Market Return | 4.60 | % | 4.13 | % | ||||
S&P 500® Index - Price Return | 7.65 | % | 6.21 | % | ||||
S&P 500® Index - Total Return | 9.71 | % | 8.31 | % |
(a) Inception date is August 7, 2018.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
Fund Performance
October 31, 2020 (Unaudited) (Continued)
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and S&P 500® Index – Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index – Price Return do not include the reinvestment of dividends, if any.
The S&P 500® Index is an unmanaged, capitalization–weighted index generally representative of the U.S. market for large capitalization stocks.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange–traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/PJUL.
Fund Performance |
October 31, 2020 (Unaudited) |
The following chart compares the value of a hypothetical $10,000 investment in the Innovator S&P 500® Power Buffer ETF – August from its inception (July 31, 2019) to October 31, 2020 as compared with the S&P 500® Index – Price Return and Total Return.
Average Annual Total Returns as of October 31, 2020 | ||||||||
One Year | Since Inception (a) | |||||||
Innovator S&P 500® Power Buffer ETF - August | ||||||||
NAV Return | 6.95 | % | 6.90 | % | ||||
Market Return | 6.08 | % | 6.43 | % | ||||
S&P 500® Index - Price Return | 7.65 | % | 7.69 | % | ||||
S&P 500® Index - Total Return | 9.71 | % | 9.77 | % |
(a) Inception date is July 31, 2019.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
Fund Performance |
October 31, 2020 (Unaudited) (Continued) |
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and S&P 500® Index – Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index – Price Return do not include the reinvestment of dividends, if any.
The S&P 500® Index is an unmanaged, capitalization–weighted index generally representative of the U.S. market for large capitalization stocks.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange–traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/PAUG.
Fund Performance |
October 31, 2020 (Unaudited) |
The following chart compares the value of a hypothetical $10,000 investment in the Innovator S&P 500® Power Buffer ETF – September from its inception (August 30, 2019) to October 31, 2020 as compared with the S&P 500® Index – Price Return and Total Return.
Average Annual Total Returns as of October 31, 2020 | ||||||||
One Year | Since Inception (a) | |||||||
Innovator S&P 500® Power Buffer ETF - September | ||||||||
NAV Return | 3.40 | % | 4.91 | % | ||||
Market Return | 3.21 | % | 4.78 | % | ||||
S&P 500® Index - Price Return | 7.65 | % | 9.95 | % | ||||
S&P 500® Index - Total Return | 9.71 | % | 12.01 | % |
(a) Inception date is August 30, 2019.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
Fund Performance |
October 31, 2020 (Unaudited) (Continued) |
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and S&P 500® Index – Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index – Price Return do not include the reinvestment of dividends, if any.
The S&P 500® Index is an unmanaged, capitalization–weighted index generally representative of the U.S. market for large capitalization stocks.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange–traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/PSEP.
Fund Performance
October 31, 2020 (Unaudited)
The following chart compares the value of a hypothetical $10,000 investment in the Innovator S&P 500® Power Buffer ETF – October from its inception (September 28, 2018) to October 31, 2020 as compared with the S&P 500® Index – Price Return and Total Return.
Average Annual Total Returns as of October 31, 2020 | ||||||||
One Year | Since Inception (a) | |||||||
Innovator S&P 500® Power Buffer ETF - October | ||||||||
NAV Return | 5.74 | % | 4.04 | % | ||||
Market Return | 6.10 | % | 4.23 | % | ||||
S&P 500® Index - Price Return | 7.65 | % | 5.67 | % | ||||
S&P 500® Index - Total Return | 9.71 | % | 7.74 | % |
(a) Inception date is September 28, 2018.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.80%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
Fund Performance
October 31, 2020 (Unaudited) (Continued)
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and S&P 500® Index – Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index – Price Return do not include the reinvestment of dividends, if any.
The S&P 500® Index is an unmanaged, capitalization–weighted index generally representative of the U.S. market for large capitalization stocks.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange–traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/POCT.
Fund Performance
October 31, 2020 (Unaudited)
The following chart compares the value of a hypothetical $10,000 investment in the Innovator S&P 500® Power Buffer ETF – November from its inception (October 31, 2019) to October 31, 2020 as compared with the S&P 500® Index - Price Return and Total Return.
Average Annual Total Returns as of October 31, 2020 | ||||||||
One Year | Since Inception (a) | |||||||
Innovator S&P 500® Power Buffer ETF - November | ||||||||
NAV Return | 6.94 | % | 6.94 | % | ||||
Market Return | 7.29 | % | 7.29 | % | ||||
S&P 500® Index - Price Return | 7.65 | % | 7.65 | % | ||||
S&P 500® Index - Total Return | 9.71 | % | 9.71 | % |
(a) Inception date is October 31, 2019.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
Fund Performance
October 31, 2020 (Unaudited) (Continued)
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and S&P 500® Index - Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index - Price Return do not include the reinvestment of dividends, if any. |
|
The S&P 500® Index is an unmanaged, capitalization-weighted index generally representative of the U.S. market for large capitalization stocks. |
|
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange-traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses. |
|
You cannot invest directly in an index. |
|
Premium/Discount Information: |
|
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/PNOV. |
Fund Performance
October 31, 2020 (Unaudited)
The following chart compares the value of a hypothetical $10,000 investment in the Innovator S&P 500® Power Buffer ETF – December from its inception (November 29, 2019) to October 31, 2020 as compared with the S&P 500® Index - Price Return and Total Return.
Total Returns as of October 31, 2020 | ||||
Since Inception (a) | ||||
Innovator S&P 500® Power Buffer ETF - December | ||||
NAV Return | 3.85 | % | ||
Market Return | 3.57 | % | ||
S&P 500® Index - Price Return | 4.11 | % | ||
S&P 500® Index - Total Return | 5.87 | % |
(a) Inception date is November 29, 2019.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
Fund Performance
October 31, 2020 (Unaudited) (Continued)
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and S&P 500® Index - Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index - Price Return do not include the reinvestment of dividends, if any. |
|
The S&P 500® Index is an unmanaged, capitalization-weighted index generally representative of the U.S. market for large capitalization stocks. |
|
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange-traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses. |
|
You cannot invest directly in an index. |
|
Premium/Discount Information: |
|
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/PDEC. |
Fund Performance
October 31, 2020 (Unaudited)
The following chart compares the value of a hypothetical $10,000 investment in the Innovator S&P 500® Ultra Buffer ETF – January from its inception (December 31, 2018) to October 31, 2020 as compared with the S&P 500® Index – Price Return and Total Return.
Average Annual Total Returns as of October 31, 2020 | ||||||||
One Year | Since Inception (a) | |||||||
Innovator S&P 500® Ultra Buffer ETF - January | ||||||||
NAV Return | 2.44 | % | 6.94 | % | ||||
Market Return | 2.10 | % | 6.69 | % | ||||
S&P 500® Index - Price Return | 7.65 | % | 15.60 | % | ||||
S&P 500® Index - Total Return | 9.71 | % | 17.85 | % |
(a) Inception date is December 31, 2018.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
Fund Performance
October 31, 2020 (Unaudited) (Continued)
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and S&P 500® Index – Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index – Price Return do not include the reinvestment of dividends, if any.
The S&P 500® Index is an unmanaged, capitalization–weighted index generally representative of the U.S. market for large capitalization stocks.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange–traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/UJAN.
Fund Performance |
October 31, 2020 (Unaudited) |
The following chart compares the value of a hypothetical $10,000 investment in the Innovator S&P 500® Ultra Buffer ETF – February from its inception (January 31, 2020) to October 31, 2020 as compared with the S&P 500® Index - Price Return and Total Return.
Total Returns as of October 31, 2020 | ||||
Since Inception (a) | ||||
Innovator S&P 500® Ultra Buffer ETF - February | ||||
NAV Return | 1.58 | % | ||
Market Return | 1.06 | % | ||
S&P 500® Index - Price Return | 1.38 | % | ||
S&P 500® Index - Total Return | 2.81 | % |
(a) Inception date is January 31, 2020.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
Fund Performance |
October 31, 2020 (Unaudited) (Continued) |
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The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and S&P 500® Index - Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index - Price Return do not include the reinvestment of dividends, if any. |
|
The S&P 500® Index is an unmanaged, capitalization-weighted index generally representative of the U.S. market for large capitalization stocks. |
|
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange-traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses. |
|
You cannot invest directly in an index. |
|
Premium/Discount Information: |
|
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/UFEB. |
Fund Performance |
October 31, 2020 (Unaudited) |
The following chart compares the value of a hypothetical $10,000 investment in the Innovator S&P 500® Ultra Buffer ETF – March from its inception (February 28, 2020) to October 31, 2020 as compared with the S&P 500® Index - Price Return and Total Return.
Total Returns as of October 31, 2020 | ||||
Since Inception (a) | ||||
Innovator S&P 500® Ultra Buffer ETF - March | ||||
NAV Return | 3.53 | % | ||
Market Return | 3.03 | % | ||
S&P 500® Index - Price Return | 10.69 | % | ||
S&P 500® Index - Total Return | 12.03 | % |
(a) Inception date is February 28, 2020.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
Fund Performance |
October 31, 2020 (Unaudited) (Continued) |
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The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and S&P 500® Index - Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index - Price Return do not include the reinvestment of dividends, if any. |
|
The S&P 500® Index is an unmanaged, capitalization-weighted index generally representative of the U.S. market for large capitalization stocks. |
|
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange-traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses. |
|
You cannot invest directly in an index. |
|
Premium/Discount Information: |
|
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/UMAR. |
Fund Performance |
October 31, 2020 (Unaudited) |
The following chart compares the value of a hypothetical $10,000 investment in the Innovator S&P 500® Ultra Buffer ETF – April from its inception (March 29, 2019) to October 31, 2020 as compared with the S&P 500® Index – Price Return and Total Return.
Average Annual Total Returns as of October 31, 2020 | ||||||||
One Year | Since Inception (a) | |||||||
Innovator S&P 500® Ultra Buffer ETF - April | ||||||||
NAV Return | -4.59 | % | 0.16 | % | ||||
Market Return | -4.73 | % | 0.05 | % | ||||
S&P 500® Index - Price Return | 7.65 | % | 9.40 | % | ||||
S&P 500® Index - Total Return | 9.71 | % | 11.49 | % |
(a) Inception date is March 29, 2019.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
Fund Performance |
October 31, 2020 (Unaudited) (Continued) |
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and S&P 500® Index – Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index – Price Return do not include the reinvestment of dividends, if any.
The S&P 500® Index is an unmanaged, capitalization–weighted index generally representative of the U.S. market for large capitalization stocks.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange–traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/UAPR.
Fund Performance | |||||
October 31, 2020 (Unaudited) | |||||
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The following chart compares the value of a hypothetical $10,000 investment in the Innovator S&P 500® Ultra Buffer ETF – May from its inception (April 30, 2020) to October 31, 2020 as compared with the S&P 500® Index - Price Return and Total Return. |
Total Returns as of October 31, 2020 | ||||
Since Inception (a) | ||||
Innovator S&P 500® Ultra Buffer ETF - May | ||||
NAV Return | 4.06 | % | ||
Market Return | 3.40 | % | ||
S&P 500® Index - Price Return | 12.28 | % | ||
S&P 500® Index - Total Return | 13.29 | % |
(a) Inception date is April 30, 2020. | |||||
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Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com. | |||||
Fund Performance | |||||
October 31, 2020 (Unaudited) (Continued) | |||||
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The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and S&P 500® Index - Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index - Price Return do not include the reinvestment of dividends, if any. | |||||
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The S&P 500® Index is an unmanaged, capitalization-weighted index generally representative of the U.S. market for large capitalization stocks. | |||||
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The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange-traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses. | |||||
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You cannot invest directly in an index. | |||||
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Premium/Discount Information: | |||||
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Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/UMAY. |
Fund Performance |
October 31, 2020 (Unaudited) |
The following chart compares the value of a hypothetical $10,000 investment in the Innovator S&P 500® Ultra Buffer ETF – June from its inception (May 31, 2019) to October 31, 2020 as compared with the S&P 500® Index – Price Return and Total Return.
Average Annual Total Returns as of October 31, 2020 | ||||||||
One Year | Since Inception (a) | |||||||
Innovator S&P 500® Ultra Buffer ETF - June | ||||||||
NAV Return | 6.26 | % | 8.16 | % | ||||
Market Return | 5.80 | % | 7.81 | % | ||||
S&P 500® Index - Price Return | 7.65 | % | 12.92 | % | ||||
S&P 500® Index - Total Return | 9.71 | % | 15.06 | % |
(a) Inception date is May 31, 2019.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.80%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
Fund Performance |
October 31, 2020 (Unaudited) (Continued) |
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and S&P 500® Index – Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index – Price Return do not include the reinvestment of dividends, if any.
The S&P 500® Index is an unmanaged, capitalization–weighted index generally representative of the U.S. market for large capitalization stocks.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange–traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/UJUN.
Fund Performance
October 31, 2020 (Unaudited)
The following chart compares the value of a hypothetical $10,000 investment in the Innovator S&P 500® Ultra Buffer ETF – July from its inception (August 7, 2018) to October 31, 2020 as compared with the S&P 500® Index – Price Return and Total Return.
Average Annual Total Returns as of October 31, 2020 | ||||||||
One Year | Since Inception (a) | |||||||
Innovator S&P 500® Ultra Buffer ETF - July | ||||||||
NAV Return | 3.37 | % | 3.53 | % | ||||
Market Return | 3.55 | % | 3.56 | % | ||||
S&P 500® Index - Price Return | 7.65 | % | 6.21 | % | ||||
S&P 500® Index - Total Return | 9.71 | % | 8.31 | % |
(a) Inception date is August 7, 2018.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
Fund Performance
October 31, 2020 (Unaudited) (Continued)
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and S&P 500® Index – Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index – Price Return do not include the reinvestment of dividends, if any.
The S&P 500® Index is an unmanaged, capitalization–weighted index generally representative of the U.S. market for large capitalization stocks.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange–traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/UJUL.
Fund Performance |
October 31, 2020 (Unaudited) |
The following chart compares the value of a hypothetical $10,000 investment in the Innovator S&P 500® Ultra Buffer ETF – August from its inception (July 31, 2019) to October 31, 2020 as compared with the S&P 500® Index – Price Return and Total Return.
Average Annual Total Returns as of October 31, 2020 | ||||||||
One Year | Since Inception (a) | |||||||
Innovator S&P 500® Ultra Buffer ETF - August | ||||||||
NAV Return | 6.46 | % | 6.50 | % | ||||
Market Return | 6.44 | % | 6.44 | % | ||||
S&P 500® Index - Price Return | 7.65 | % | 7.69 | % | ||||
S&P 500® Index - Total Return | 9.71 | % | 9.77 | % |
(a) Inception date is July 31, 2019.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
Fund Performance |
October 31, 2020 (Unaudited) (Continued) |
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and S&P 500® Index – Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index – Price Return do not include the reinvestment of dividends, if any.
The S&P 500® Index is an unmanaged, capitalization–weighted index generally representative of the U.S. market for large capitalization stocks.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange–traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/UAUG.
Fund Performance |
October 31, 2020 (Unaudited) |
The following chart compares the value of a hypothetical $10,000 investment in the Innovator S&P 500® Ultra Buffer ETF – September from its inception (August 30, 2019) to October 31, 2020 as compared with the S&P 500® Index – Price Return and Total Return.
Average Annual Total Returns as of October 31, 2020 | ||||||||
One Year | Since Inception (a) | |||||||
Innovator S&P 500® Ultra Buffer ETF - September | ||||||||
NAV Return | 3.90 | % | 4.87 | % | ||||
Market Return | 3.69 | % | 4.67 | % | ||||
S&P 500® Index - Price Return | 7.65 | % | 9.95 | % | ||||
S&P 500® Index - Total Return | 9.71 | % | 12.01 | % |
(a) Inception date is August 30, 2019.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
Fund Performance |
October 31, 2020 (Unaudited) (Continued) |
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and S&P 500® Index – Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index – Price Return do not include the reinvestment of dividends, if any.
The S&P 500® Index is an unmanaged, capitalization–weighted index generally representative of the U.S. market for large capitalization stocks.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange–traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/USEP.
Fund Performance
October 31, 2020 (Unaudited)
The following chart compares the value of a hypothetical $10,000 investment in the Innovator S&P 500® Ultra Buffer ETF – October from its inception (September 28, 2018) to October 31, 2020 as compared with the S&P 500® Index – Price Return and Total Return.
Average Annual Total Returns as of October 31, 2020 | ||||||||
One Year | Since Inception (a) | |||||||
Innovator S&P 500® Ultra Buffer ETF - October | ||||||||
NAV Return | 5.00 | % | 3.48 | % | ||||
Market Return | 5.17 | % | 3.56 | % | ||||
S&P 500® Index - Price Return | 7.65 | % | 5.67 | % | ||||
S&P 500® Index - Total Return | 9.71 | % | 7.74 | % |
(a) Inception date is September 28, 2018. |
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.80%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
Fund Performance
October 31, 2020 (Unaudited) (Continued)
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and S&P 500® Index – Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index – Price Return do not include the reinvestment of dividends, if any.
The S&P 500® Index is an unmanaged, capitalization–weighted index generally representative of the U.S. market for large capitalization stocks.
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange–traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
Premium/Discount Information:
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/UOCT.
Fund Performance
October 31, 2020 (Unaudited)
The following chart compares the value of a hypothetical $10,000 investment in the Innovator S&P 500® Ultra Buffer ETF – November from its inception (October 31, 2019) to October 31, 2020 as compared with the S&P 500® Index - Price Return and Total Return.
Average Annual Total Returns as of October 31, 2020 | ||||||||
One Year | Since Inception (a) | |||||||
Innovator S&P 500® Ultra Buffer ETF - November | ||||||||
NAV Return | 6.88 | % | 6.88 | % | ||||
Market Return | 7.25 | % | 7.25 | % | ||||
S&P 500® Index - Price Return | 7.65 | % | 7.65 | % | ||||
S&P 500® Index - Total Return | 9.71 | % | 9.71 | % |
(a) Inception date is October 31, 2019.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
Fund Performance |
October 31, 2020 (Unaudited) (Continued) |
|
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and S&P 500® Index - Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index - Price Return do not include the reinvestment of dividends, if any. |
|
The S&P 500® Index is an unmanaged, capitalization-weighted index generally representative of the U.S. market for large capitalization stocks. |
|
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange-traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses. |
|
You cannot invest directly in an index. |
|
Premium/Discount Information: |
|
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/UNOV. |
Fund Performance
October 31, 2020 (Unaudited)
The following chart compares the value of a hypothetical $10,000 investment in the Innovator S&P 500® Ultra Buffer ETF – December from its inception (November 29, 2019) to October 31, 2020 as compared with the S&P 500® Index - Price Return and Total Return.
Total Returns as of October 31, 2020 | ||||
Since Inception (a) | ||||
Innovator S&P 500® Ultra Buffer ETF - December | ||||
NAV Return | 2.84 | % | ||
Market Return | 2.33 | % | ||
S&P 500® Index - Price Return | 4.11 | % | ||
S&P 500® Index - Total Return | 5.87 | % |
(a) Inception date is November 29, 2019.
Performance data quoted represents past performance and does not guarantee future results. The 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 of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the net expense ratio of the Fund was 0.79%. For the most recent performance, please visit the Fund’s website at innovatoretfs.com.
Fund Performance |
October 31, 2020 (Unaudited) (Continued) |
|
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund and S&P 500® Index - Total Return include the reinvestment of all dividends, if any. Returns shown for the S&P 500® Index - Price Return do not include the reinvestment of dividends, if any. |
|
The S&P 500® Index is an unmanaged, capitalization-weighted index generally representative of the U.S. market for large capitalization stocks. |
|
The Fund’s portfolio holdings may differ significantly from the securities held in the relevant index and, unlike an exchange-traded fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses. |
|
You cannot invest directly in an index. |
|
Premium/Discount Information: |
|
Information regarding the differences between the price of the Fund’s shares on the secondary market and the Fund’s net asset value is available at Innovatoretfs.com/UDEC. |
Expense Example
For the Period Ended October 31, 2020 (Unaudited)
As a shareholder of the Funds, you incur two types of costs: (1) ongoing costs, including management fees, and other Fund expenses; and (2) transaction costs, including brokerage commissions on the purchase and sale of Fund shares. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from May 1, 2020 to October 31, 2020 for each Fund.
Actual Expenses
The following table provides information about actual account values and actual expenses. You may use the information in this table, together with the amount you invested, to estimate the expenses you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 equals 8.6), then multiply the result by the number in the applicable line under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during the period.
Expenses | ||||||||||||
Beginning | Ending | Paid | ||||||||||
Account Value | Account Value | During the Period (a) | ||||||||||
Innovator S&P 500® Buffer ETF - January (NAV) | $ | 1,000.00 | $ | 1,097.40 | $ | 4.17 | ||||||
Innovator S&P 500® Buffer ETF - February (NAV) | 1,000.00 | 1,097.90 | 4.17 | |||||||||
Innovator S&P 500® Buffer ETF - March (NAV) | 1,000.00 | 1,083.70 | 4.14 | |||||||||
Innovator S&P 500® Buffer ETF - April (NAV) | 1,000.00 | 1,082.60 | 4.14 | |||||||||
Innovator S&P 500® Buffer ETF - May (NAV) | 1,000.00 | 1,089.40 | 4.15 | |||||||||
Innovator S&P 500® Buffer ETF - June (NAV) | 1,000.00 | 1,091.80 | 4.15 | |||||||||
Innovator S&P 500® Buffer ETF - July (NAV) | 1,000.00 | 1,073.70 | 4.12 | |||||||||
Innovator S&P 500® Buffer ETF - August (NAV) | 1,000.00 | 1,104.90 | 4.18 | |||||||||
Innovator S&P 500® Buffer ETF - September (NAV) | 1,000.00 | 1,085.10 | 4.14 | |||||||||
Innovator S&P 500® Buffer ETF - October (NAV) | 1,000.00 | 1,110.20 | 4.19 | |||||||||
Innovator S&P 500® Buffer ETF - November (NAV) | 1,000.00 | 1,097.30 | 4.16 | |||||||||
Innovator S&P 500® Buffer ETF - December (NAV) | 1,000.00 | 1,105.80 | 4.18 | |||||||||
Innovator S&P 500® Power Buffer ETF - January (NAV) | 1,000.00 | 1,081.30 | 4.13 | |||||||||
Innovator S&P 500® Power Buffer ETF - February (NAV) | 1,000.00 | 1,075.60 | 4.12 | |||||||||
Innovator S&P 500® Power Buffer ETF - March (NAV) | 1,000.00 | 1,062.20 | 4.10 | |||||||||
Innovator S&P 500® Power Buffer ETF - April (NAV) | 1,000.00 | 1,063.80 | 4.10 | |||||||||
Innovator S&P 500® Power Buffer ETF - May (NAV) | 1,000.00 | 1,066.90 | 4.10 | |||||||||
Innovator S&P 500® Power Buffer ETF - June (NAV) | 1,000.00 | 1,082.90 | 4.14 | |||||||||
Innovator S&P 500® Power Buffer ETF - July (NAV) | 1,000.00 | 1,060.90 | 4.09 | |||||||||
Innovator S&P 500® Power Buffer ETF - August (NAV) | 1,000.00 | 1,085.80 | 4.14 | |||||||||
Innovator S&P 500® Power Buffer ETF - September (NAV) | 1,000.00 | 1,050.20 | 4.07 | |||||||||
Innovator S&P 500® Power Buffer ETF - October (NAV) | 1,000.00 | 1,075.80 | 4.12 | |||||||||
Innovator S&P 500® Power Buffer ETF - November (NAV) | 1,000.00 | 1,086.50 | 4.14 |
Expense Example
For the Period Ended October 31, 2020 (Unaudited) (Continued)
Expenses | ||||||||||||
Beginning | Ending | Paid | ||||||||||
Account Value | Account Value | During the Period (a) | ||||||||||
Innovator S&P 500® Power Buffer ETF - December (NAV) | 1,000.00 | 1,077.70 | 4.13 | |||||||||
Innovator S&P 500® Ultra Buffer ETF - January (NAV) | 1,000.00 | 1,054.70 | 4.08 | |||||||||
Innovator S&P 500® Ultra Buffer ETF - February (NAV) | 1,000.00 | 1,049.70 | 4.07 | |||||||||
Innovator S&P 500® Ultra Buffer ETF - March (NAV) | 1,000.00 | 1,037.00 | 4.05 | |||||||||
Innovator S&P 500® Ultra Buffer ETF - April (NAV) | 1,000.00 | 1,047.00 | 4.06 | |||||||||
Innovator S&P 500® Ultra Buffer ETF - May (NAV) | 1,000.00 | 1,040.60 | 4.05 | |||||||||
Innovator S&P 500® Ultra Buffer ETF - June (NAV) | 1,000.00 | 1,065.90 | 4.10 | |||||||||
Innovator S&P 500® Ultra Buffer ETF - July (NAV) | 1,000.00 | 1,050.10 | 4.07 | |||||||||
Innovator S&P 500® Ultra Buffer ETF - August (NAV) | 1,000.00 | 1,078.70 | 4.13 | |||||||||
Innovator S&P 500® Ultra Buffer ETF - September (NAV) | 1,000.00 | 1,047.00 | 4.06 | |||||||||
Innovator S&P 500® Ultra Buffer ETF - October (NAV) | 1,000.00 | 1,058.90 | 4.09 | |||||||||
Innovator S&P 500® Ultra Buffer ETF - November (NAV) | 1,000.00 | 1,076.80 | 4.12 | |||||||||
Innovator S&P 500® Ultra Buffer ETF - December (NAV) | 1,000.00 | 1,052.80 | 4.08 |
(a) | Expenses are equal to the Fund’s annualized expense ratio (0.79%), multiplied by the average account value over the period, multiplied by 184/366 (to reflect the six month period). |
Hypothetical Example for Comparison Purposes
The following table provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which are not the Funds’ actual returns. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Expense Example
For the Period Ended October 31, 2020 (Unaudited) (Continued)
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions on the purchase and sale of Fund shares with respect to the Funds. Therefore, the table below is useful in comparing the ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs could have been higher.
Expenses | ||||||||||||
Beginning | Ending | Paid | ||||||||||
Account Value | Account Value | During the Period (a) | ||||||||||
Innovator S&P 500® Buffer ETF - January (NAV) | $ | 1,000.00 | $ | 1,021.17 | $ | 4.01 | ||||||
Innovator S&P 500® Buffer ETF - February (NAV) | 1,000.00 | 1,021.17 | 4.01 | |||||||||
Innovator S&P 500® Buffer ETF - March (NAV) | 1,000.00 | 1,021.17 | 4.01 | |||||||||
Innovator S&P 500® Buffer ETF - April (NAV) | 1,000.00 | 1,021.17 | 4.01 | |||||||||
Innovator S&P 500® Buffer ETF - May (NAV) | 1,000.00 | 1,021.17 | 4.01 | |||||||||
Innovator S&P 500® Buffer ETF - June (NAV) | 1,000.00 | 1,021.17 | 4.01 | |||||||||
Innovator S&P 500® Buffer ETF - July (NAV) | 1,000.00 | 1,021.17 | 4.01 | |||||||||
Innovator S&P 500® Buffer ETF - August (NAV) | 1,000.00 | 1,021.17 | 4.01 | |||||||||
Innovator S&P 500® Buffer ETF - September (NAV) | 1,000.00 | 1,021.17 | 4.01 | |||||||||
Innovator S&P 500® Buffer ETF - October (NAV) | 1,000.00 | 1,021.17 | 4.01 | |||||||||
Innovator S&P 500® Buffer ETF - November (NAV) | 1,000.00 | 1,021.17 | 4.01 | |||||||||
Innovator S&P 500® Buffer ETF - December (NAV) | 1,000.00 | 1,021.17 | 4.01 | |||||||||
Innovator S&P 500® Power Buffer ETF - January (NAV) | 1,000.00 | 1,021.17 | 4.01 | |||||||||
Innovator S&P 500® Power Buffer ETF - February (NAV) | 1,000.00 | 1,021.17 | 4.01 | |||||||||
Innovator S&P 500® Power Buffer ETF - March (NAV) | 1,000.00 | 1,021.17 | 4.01 | |||||||||
Innovator S&P 500® Power Buffer ETF - April (NAV) | 1,000.00 | 1,021.17 | 4.01 | |||||||||
Innovator S&P 500® Power Buffer ETF - May (NAV) | 1,000.00 | 1,021.17 | 4.01 | |||||||||
Innovator S&P 500® Power Buffer ETF - June (NAV) | 1,000.00 | 1,021.17 | 4.01 | |||||||||
Innovator S&P 500® Power Buffer ETF - July (NAV) | 1,000.00 | 1,021.17 | 4.01 | |||||||||
Innovator S&P 500® Power Buffer ETF - August (NAV) | 1,000.00 | 1,021.17 | 4.01 | |||||||||
Innovator S&P 500® Power Buffer ETF - September (NAV) | 1,000.00 | 1,021.17 | 4.01 | |||||||||
Innovator S&P 500® Power Buffer ETF - October (NAV) | 1,000.00 | 1,021.17 | 4.01 | |||||||||
Innovator S&P 500® Power Buffer ETF - November (NAV) | 1,000.00 | 1,021.17 | 4.01 | |||||||||
Innovator S&P 500® Power Buffer ETF - December (NAV) | 1,000.00 | 1,021.17 | 4.01 | |||||||||
Innovator S&P 500® Ultra Buffer ETF - January (NAV) | 1,000.00 | 1,021.17 | 4.01 | |||||||||
Innovator S&P 500® Ultra Buffer ETF - February (NAV) | 1,000.00 | 1,021.17 | 4.01 | |||||||||
Innovator S&P 500® Ultra Buffer ETF - March (NAV) | 1,000.00 | 1,021.17 | 4.01 | |||||||||
Innovator S&P 500® Ultra Buffer ETF - April (NAV) | 1,000.00 | 1,021.17 | 4.01 | |||||||||
Innovator S&P 500® Ultra Buffer ETF - May (NAV) | 1,000.00 | 1,021.17 | 4.01 | |||||||||
Innovator S&P 500® Ultra Buffer ETF - June (NAV) | 1,000.00 | 1,021.17 | 4.01 | |||||||||
Innovator S&P 500® Ultra Buffer ETF - July (NAV) | 1,000.00 | 1,021.17 | 4.01 | |||||||||
Innovator S&P 500® Ultra Buffer ETF - August (NAV) | 1,000.00 | 1,021.17 | 4.01 | |||||||||
Innovator S&P 500® Ultra Buffer ETF - September (NAV) | 1,000.00 | 1,021.17 | 4.01 | |||||||||
Innovator S&P 500® Ultra Buffer ETF - October (NAV) | 1,000.00 | 1,021.17 | 4.01 | |||||||||
Innovator S&P 500® Ultra Buffer ETF - November (NAV) | 1,000.00 | 1,021.17 | 4.01 | |||||||||
Innovator S&P 500® Ultra Buffer ETF - December (NAV) | 1,000.00 | 1,021.17 | 4.01 |
(a) | Expenses are equal to the Fund’s annualized expense ratio (0.79%), multiplied by the average account value over the period, multiplied by 184/366 (to reflect the six month period). |
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 103.01% (a)(b) | ||||||||||||
CALL OPTIONS - 79.87% | ||||||||||||
SPX S&P 500® Index, Expires 12/31/2020, Strike Price $1,938.18 | 736 | $ | 240,669,056 | $ | 97,743,744 | |||||||
XSP S&P 500® Mini Index, Expires 12/31/2020, Strike Price $193.84 | 204 | 6,670,800 | 2,710,344 | |||||||||
100,454,088 | ||||||||||||
PUT OPTIONS - 23.14% | ||||||||||||
SPX S&P 500® Index, Expires 12/31/2020, Strike Price $3,876.35 | 368 | 120,334,528 | 22,701,184 | |||||||||
SPX S&P 500® Index, Expires 12/31/2020, Strike Price $3,230.27 | 368 | 120,334,528 | 5,610,160 | |||||||||
XSP S&P 500® Mini Index, Expires 12/31/2020, Strike Price $387.67 | 102 | 3,335,400 | 629,850 | |||||||||
XSP S&P 500® Mini Index, Expires 12/31/2020, Strike Price $323.04 | 102 | 3,335,400 | 157,386 | |||||||||
29,098,580 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $138,568,224) | 129,552,668 | |||||||||||
Total Investments (Cost $138,568,224) - 103.01% | 129,552,668 | |||||||||||
Liabilities in Excess of Other Assets - (3.01)% | (3,785,496 | ) | ||||||||||
TOTAL NET ASSETS - 100.00% | $ | 125,767,172 |
Asset Type | % of Net Assets | |||
Purchased Options | 103.01 | % | ||
Total Investments | 103.01 | |||
Liabilities in Excess of Other Assets | (3.01 | ) | ||
Net Assets | 100.00 | % | ||
Percentages are stated as a percent of net assets. | ||||
(a) Exchange-Traded. | ||||
(b) Purchased option contracts are held in connection with corresponding option contracts written short. | ||||
The accompanying notes are an integral part of these financial statements.
Schedule of Options Written (a) | |||||||||||||||||
October 31, 2020 | |||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
SPX S&P 500® Index | 12/31/2020 | $ | 3,876.35 | 368 | $ | (120,334,528 | ) | $ | (103,040 | ) | |||||||
SPX S&P 500® Index | 12/31/2020 | 3,659.88 | 368 | (120,334,528 | ) | (455,216 | ) | ||||||||||
XSP S&P 500® Mini Index | 12/31/2020 | 387.67 | 102 | (3,335,400 | ) | (3,060 | ) | ||||||||||
XSP S&P 500® Mini Index | 12/31/2020 | 365.99 | 102 | (3,335,400 | ) | (13,464 | ) | ||||||||||
(574,780 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
SPX S&P 500® Index | 12/31/2020 | 2,939.54 | 368 | (120,334,528 | ) | (2,661,376 | ) | ||||||||||
SPX S&P 500® Index | 12/31/2020 | 1,938.18 | 736 | (240,669,056 | ) | (445,280 | ) | ||||||||||
XSP S&P 500® Mini Index | 12/31/2020 | 293.95 | 102 | (3,335,400 | ) | (75,276 | ) | ||||||||||
XSP S&P 500® Mini Index | 12/31/2020 | 193.84 | 204 | (6,670,800 | ) | (12,648 | ) | ||||||||||
(3,194,580 | ) | ||||||||||||||||
Total Options Written (Premiums Received $4,810,318) | $ | (3,769,360 | ) | ||||||||||||||
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 105.33% (a)(b) | ||||||||||||
CALL OPTIONS - 81.37% | ||||||||||||
SPX S&P 500® Index, Expires 1/29/2021, Strike Price $1,935.11 | 118 | $ | 38,585,528 | $ | 15,848,993 | |||||||
XSP S&P 500® Mini Index, Expires 1/29/2021, Strike Price $193.53 | 1,062 | 34,727,400 | 14,262,123 | |||||||||
30,111,116 | ||||||||||||
PUT OPTIONS - 23.96% | ||||||||||||
SPX S&P 500® Index, Expires 1/29/2021, Strike Price $3,870.22 | 59 | 19,292,764 | 3,618,525 | |||||||||
SPX S&P 500® Index, Expires 1/29/2021, Strike Price $3,225.16 | 59 | 19,292,764 | 1,047,294 | |||||||||
XSP S&P 500® Mini Index, Expires 1/29/2021, Strike Price $387.06 | 531 | 17,363,700 | 3,258,609 | |||||||||
XSP S&P 500® Mini Index, Expires 1/29/2021, Strike Price $322.53 | 531 | 17,363,700 | 942,832 | |||||||||
8,867,260 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $44,314,290) | 38,978,376 | |||||||||||
Principal | ||||||||||||
SHORT TERM INVESTMENTS - 0.00% (c) | Amount | |||||||||||
Money Market Deposit Account - 0.00% (c) | ||||||||||||
U.S. Bank Money Market Deposit Account, 0.03% (d) | $ | 1,014 | 1,014 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,014) | 1,014 | |||||||||||
Total Investments (Cost $44,315,304) - 105.33% | 38,979,390 | |||||||||||
Liabilities in Excess of Other Assets - (5.33)% | (1,971,825 | ) | ||||||||||
TOTAL NET ASSETS - 100.00% | $ | 37,007,565 |
Asset Type | % of Net Assets | |||
Purchased Options | 105.33 | % | ||
Short Term Investments | 0.00 | (b) | ||
Total Investments | 105.33 | |||
Liabilities in Excess of Other Assets | (5.33 | ) | ||
Net Assets | 100.00 | % |
Percentages are stated as a percent of net assets. |
|
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | Less than 0.005%. |
(d) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
Schedule of Options Written (a) | |||||||||||||||||
October 31, 2020 | |||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
SPX S&P 500® Index | 1/29/2021 | $ | 3,870.22 | 59 | $ | (19,292,764 | ) | $ | (42,997 | ) | |||||||
SPX S&P 500® Index | 1/29/2021 | 3,644.42 | 59 | (19,292,764 | ) | (184,310 | ) | ||||||||||
XSP S&P 500® Mini Index | 1/29/2021 | 387.06 | 531 | (17,363,700 | ) | (38,617 | ) | ||||||||||
XSP S&P 500® Mini Index | 1/29/2021 | 364.44 | 531 | (17,363,700 | ) | (165,901 | ) | ||||||||||
(431,825 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
SPX S&P 500® Index | 1/29/2021 | 2,934.89 | 59 | (19,292,764 | ) | (570,720 | ) | ||||||||||
SPX S&P 500® Index | 1/29/2021 | 1,935.11 | 118 | (38,585,528 | ) | (132,152 | ) | ||||||||||
XSP S&P 500® Mini Index | 1/29/2021 | 293.49 | 531 | (17,363,700 | ) | (513,659 | ) | ||||||||||
XSP S&P 500® Mini Index | 1/29/2021 | 193.53 | 1,062 | (34,727,400 | ) | (118,984 | ) | ||||||||||
(1,335,515 | ) | ||||||||||||||||
Total Options Written (Premiums Received $1,244,757) | $ | (1,767,340 | ) | ||||||||||||||
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 109.50% (a)(b) | ||||||||||||
CALL OPTIONS - 94.58% | ||||||||||||
SPX S&P 500® Index, Expires 2/26/2021, Strike Price $1,772.52 | 136 | $ | 44,471,456 | $ | 20,408,166 | |||||||
XSP S&P 500® Mini Index, Expires 2/26/2021, Strike Price $177.27 | 136 | 4,447,200 | 2,040,575 | |||||||||
22,448,741 | ||||||||||||
PUT OPTIONS - 14.92% | ||||||||||||
SPX S&P 500® Index, Expires 2/26/2021, Strike Price $3,545.04 | 68 | 22,235,728 | 2,399,087 | |||||||||
SPX S&P 500® Index, Expires 2/26/2021, Strike Price $2,954.18 | 68 | 22,235,728 | 820,629 | |||||||||
XSP S&P 500® Mini Index, Expires 2/26/2021, Strike Price $354.54 | 68 | 2,223,600 | 240,066 | |||||||||
XSP S&P 500® Mini Index, Expires 2/26/2021, Strike Price $295.43 | 68 | 2,223,600 | 82,082 | |||||||||
3,541,864 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $32,591,038) | 25,990,605 | |||||||||||
Principal | ||||||||||||
SHORT TERM INVESTMENTS - 0.00% (c) | Amount | |||||||||||
Money Market Deposit Account - 0.00% (c) | ||||||||||||
U.S. Bank Money Market Deposit Account, 0.03% (d) | $ | 996 | 996 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $996) | 996 | |||||||||||
Total Investments (Cost $32,592,034) - 109.50% | 25,991,601 | |||||||||||
Liabilities in Excess of Other Assets - (9.50)% | (2,256,391 | ) | ||||||||||
TOTAL NET ASSETS - 100.00% | $ | 23,735,210 |
Asset Type | % of Net Assets | |||
Purchased Options | 109.50 | % | ||
Short Term Investments | 0.00 | (b) | ||
Total Investments | 109.50 | |||
Liabilities in Excess of Other Assets | (9.50 | ) | ||
Net Assets | 100.00 | % | ||
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | Less than 0.005%. |
(d) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
Schedule of Options Written (a) | |||||||||||||||||
October 31, 2020 | |||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
SPX S&P 500® Index | 2/26/2021 | $ | 3,545.04 | 68 | $ | (22,235,728 | ) | $ | (498,478 | ) | |||||||
SPX S&P 500® Index | 2/26/2021 | 3,430.97 | 68 | (22,235,728 | ) | (829,764 | ) | ||||||||||
XSP S&P 500® Mini Index | 2/26/2021 | 354.54 | 68 | (2,223,600 | ) | (49,759 | ) | ||||||||||
XSP S&P 500® Mini Index | 2/26/2021 | 343.10 | 68 | (2,223,600 | ) | (82,967 | ) | ||||||||||
(1,460,968 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
SPX S&P 500® Index | 2/26/2021 | 2,688.29 | 68 | (22,235,728 | ) | (482,087 | ) | ||||||||||
SPX S&P 500® Index | 2/26/2021 | 1,772.52 | 136 | (44,471,456 | ) | (149,356 | ) | ||||||||||
XSP S&P 500® Mini Index | 2/26/2021 | 268.83 | 68 | (2,223,600 | ) | (48,210 | ) | ||||||||||
XSP S&P 500® Mini Index | 2/26/2021 | 177.27 | 136 | (4,447,200 | ) | (14,941 | ) | ||||||||||
(694,594 | ) | ||||||||||||||||
Total Options Written (Premiums Received $968,326) | $ | (2,155,562 | ) | ||||||||||||||
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® BUFFER ETF – APRIL
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 123.78% (a)(b) | ||||||||||||
CALL OPTIONS - 115.39% | ||||||||||||
SPX S&P 500® Index, Expires 3/31/2021, Strike Price $1,550.70 | 466 | $ | 152,380,136 | $ | 79,977,927 | |||||||
XSP S&P 500® Mini Index, Expires 3/31/2021, Strike Price $155.09 | 20 | 654,000 | 343,214 | |||||||||
80,321,141 | ||||||||||||
PUT OPTIONS - 8.39% | ||||||||||||
SPX S&P 500® Index, Expires 3/31/2021, Strike Price $3,101.40 | 233 | 76,190,068 | 4,176,938 | |||||||||
SPX S&P 500® Index, Expires 3/31/2021, Strike Price $2,584.48 | 233 | 76,190,068 | 1,640,096 | |||||||||
XSP S&P 500® Mini Index, Expires 3/31/2021, Strike Price $310.18 | 10 | 327,000 | 17,939 | |||||||||
XSP S&P 500® Mini Index, Expires 3/31/2021, Strike Price $258.46 | 10 | 327,000 | 7,041 | |||||||||
5,842,014 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $108,092,620) | 86,163,155 | |||||||||||
Principal | ||||||||||||
SHORT TERM INVESTMENTS - 0.00% (c) | Amount | |||||||||||
Money Market Deposit Account – 0.00% (c) | ||||||||||||
U.S. Bank Money Market Deposit Account, 0.03% (d) | $ | 1,312 | 1,312 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,312) | 1,312 | |||||||||||
Total Investments (Cost $108,093,932) – 123.78% | 86,164,467 | |||||||||||
Liabilities in Excess of Other Assets – (23.78)% | (16,555,651 | ) | ||||||||||
TOTAL NET ASSETS – 100.00% | $ | 69,608,816 |
Asset Type | % of Net Assets | |||
Purchased Options | 123.78 | % | ||
Short Term Investments | 0.00 | (b) | ||
Total Investments | 123.78 | |||
Liabilities in Excess of Other Assets | (23.78 | ) | ||
Net Assets | 100.00 | % | ||
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | Less than 0.005%. |
(d) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
Schedule of Options Written (a) | |||||||||||||||||
October 31, 2020 | |||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
SPX S&P 500® Index | 3/31/2021 | $ | 3,153.05 | 233 | $ | (76,190,068 | ) | $ | (7,062,706 | ) | |||||||
SPX S&P 500® Index | 3/31/2021 | 3,101.40 | 233 | (76,190,068 | ) | (7,883,937 | ) | ||||||||||
XSP S&P 500® Mini Index | 3/31/2021 | 315.31 | 10 | (327,000 | ) | (30,309 | ) | ||||||||||
XSP S&P 500® Mini Index | 3/31/2021 | 310.18 | 10 | (327,000 | ) | (33,809 | ) | ||||||||||
(15,010,761 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
SPX S&P 500® Index | 3/31/2021 | 2,351.87 | 233 | (76,190,068 | ) | (1,038,182 | ) | ||||||||||
SPX S&P 500® Index | 3/31/2021 | 1,550.70 | 466 | (152,380,136 | ) | (440,983 | ) | ||||||||||
XSP S&P 500® Mini Index | 3/31/2021 | 235.19 | 10 | (327,000 | ) | (4,456 | ) | ||||||||||
XSP S&P 500® Mini Index | 3/31/2021 | 155.09 | 20 | (654,000 | ) | (1,893 | ) | ||||||||||
(1,485,514 | ) | ||||||||||||||||
Total Options Written (Premiums Received $4,203,136) | $ | (16,496,275 | ) | ||||||||||||||
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 112.12% (a)(b) | ||||||||||||
CALL OPTIONS - 96.20% | ||||||||||||
SPX S&P 500® Index, Expires 4/30/2021, Strike Price $1,746.62 | 92 | $ | 30,083,632 | $ | 14,040,187 | |||||||
XSP S&P 500® Mini Index, Expires 4/30/2021, Strike Price $174.68 | 92 | 3,008,400 | 1,403,856 | |||||||||
15,444,043 | ||||||||||||
PUT OPTIONS - 15.92% | ||||||||||||
SPX S&P 500® Index, Expires 4/30/2021, Strike Price $3,493.24 | 46 | 15,041,816 | 1,665,739 | |||||||||
SPX S&P 500® Index, Expires 4/30/2021, Strike Price $2,911.01 | 46 | 15,041,816 | 657,634 | |||||||||
XSP S&P 500® Mini Index, Expires 4/30/2021, Strike Price $349.36 | 46 | 1,504,200 | 166,555 | |||||||||
XSP S&P 500® Mini Index, Expires 4/30/2021, Strike Price $291.11 | 46 | 1,504,200 | 65,774 | |||||||||
2,555,702 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $23,069,120) | 17,999,745 | |||||||||||
Principal | ||||||||||||
SHORT TERM INVESTMENTS - 0.00% (c) | Amount | |||||||||||
Money Market Deposit Account – 0.00% (c) | ||||||||||||
U.S. Bank Money Market Deposit Account, 0.03% (d) | $ | 1 | 1 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1) | 1 | |||||||||||
Total Investments (Cost $23,069,121) – 112.12% | 17,999,746 | |||||||||||
Liabilities in Excess of Other Assets – (12.12)% | (1,945,115 | ) | ||||||||||
TOTAL NET ASSETS – 100.00% | $ | 16,054,631 |
Asset Type | % of Net Assets | |||
Purchased Options | 112.12 | % | ||
Short Term Investments | 0.00 | (b) | ||
Total Investments | 112.12 | |||
Liabilities in Excess of Other Assets | (12.12 | ) | ||
Net Assets | 100.00 | % | ||
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | Less than 0.005%. |
(d) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
Schedule of Options Written (a) | |||||||||||||||||
October 31, 2020 | |||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
SPX S&P 500® Index | 4/30/2021 | $ | 3,493.24 | 46 | $ | (15,041,816 | ) | $ | (562,615 | ) | |||||||
SPX S&P 500® Index | 4/30/2021 | 3,478.65 | 46 | (15,041,816 | ) | (593,016 | ) | ||||||||||
XSP S&P 500® Mini Index | 4/30/2021 | 349.36 | 46 | (1,504,200 | ) | (56,187 | ) | ||||||||||
XSP S&P 500® Mini Index | 4/30/2021 | 347.86 | 46 | (1,504,200 | ) | (59,312 | ) | ||||||||||
(1,271,130 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
SPX S&P 500® Index | 4/30/2021 | 2,649.01 | 46 | (15,041,816 | ) | (415,445 | ) | ||||||||||
SPX S&P 500® Index | 4/30/2021 | 1,746.62 | 92 | (30,083,632 | ) | (150,729 | ) | ||||||||||
XSP S&P 500® Mini Index | 4/30/2021 | 264.90 | 46 | (1,504,200 | ) | (41,544 | ) | ||||||||||
XSP S&P 500® Mini Index | 4/30/2021 | 174.68 | 92 | (3,008,400 | ) | (15,077 | ) | ||||||||||
(622,795 | ) | ||||||||||||||||
Total Options Written (Premiums Received $764,903) | $ | (1,893,925 | ) | ||||||||||||||
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 111.03% (a)(b) | ||||||||||||
CALL OPTIONS - 90.34% | ||||||||||||
SPX S&P 500® Index, Expires 5/28/2021, Strike Price $1,826.61 | 198 | $ | 64,745,208 | $ | 28,687,939 | |||||||
XSP S&P 500® Mini Index, Expires 5/28/2021, Strike Price $182.68 | 26 | 850,200 | 376,663 | |||||||||
29,064,602 | ||||||||||||
PUT OPTIONS - 20.69% | ||||||||||||
SPX S&P 500® Index, Expires 5/28/2021, Strike Price $3,653.21 | 99 | 32,372,604 | 4,674,442 | |||||||||
SPX S&P 500® Index, Expires 5/28/2021, Strike Price $3,044.32 | 99 | 32,372,604 | 1,893,635 | |||||||||
XSP S&P 500® Mini Index, Expires 5/28/2021, Strike Price $365.36 | 13 | 425,100 | 61,416 | |||||||||
XSP S&P 500® Mini Index, Expires 5/28/2021, Strike Price $304.44 | 13 | 425,100 | 25,210 | |||||||||
6,654,703 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $42,269,333) | 35,719,305 | |||||||||||
Principal | ||||||||||||
SHORT TERM INVESTMENTS - 0.00% (c) | Amount | |||||||||||
Money Market Deposit Account – 0.00% (c) | ||||||||||||
U.S. Bank Money Market Deposit Account, 0.03% (d) | $ | 1,020 | 1,020 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,020) | 1,020 | |||||||||||
Total Investments (Cost $42,270,353) – 111.03% | 35,720,325 | |||||||||||
Liabilities in Excess of Other Assets – (11.03)% | (3,548,434 | ) | ||||||||||
TOTAL NET ASSETS – 100.00% | $ | 32,171,891 |
Asset Type | % of Net Assets | |||
Purchased Options | 111.03 | % | ||
Short Term Investments | 0.00 | (b) | ||
Total Investments | 111.03 | |||
Liabilities in Excess of Other Assets | (11.03 | ) | ||
Net Assets | 100.00 | % | ||
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | Less than 0.005%. |
(d) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
Schedule of Options Written (a) | |||||||||||||||||
October 31, 2020 | |||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
SPX S&P 500® Index | 5/28/2021 | $ | 3,653.21 | 99 | $ | (32,372,604 | ) | $ | (720,784 | ) | |||||||
SPX S&P 500® Index | 5/28/2021 | 3,545.10 | 99 | (32,372,604 | ) | (1,102,349 | ) | ||||||||||
XSP S&P 500® Mini Index | 5/28/2021 | 365.36 | 13 | (425,100 | ) | (9,450 | ) | ||||||||||
XSP S&P 500® Mini Index | 5/28/2021 | 354.51 | 13 | (425,100 | ) | (14,475 | ) | ||||||||||
(1,847,058 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
SPX S&P 500® Index | 5/28/2021 | 2,770.32 | 99 | (32,372,604 | ) | (1,215,147 | ) | ||||||||||
SPX S&P 500® Index | 5/28/2021 | 1,826.61 | 198 | (64,745,208 | ) | (435,946 | ) | ||||||||||
XSP S&P 500® Mini Index | 5/28/2021 | 277.03 | 13 | (425,100 | ) | (16,310 | ) | ||||||||||
XSP S&P 500® Mini Index | 5/28/2021 | 182.68 | 26 | (850,200 | ) | (5,727 | ) | ||||||||||
(1,673,130 | ) | ||||||||||||||||
Total Options Written (Premiums Received $2,162,546) | $ | (3,520,188 | ) | ||||||||||||||
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS – 111.41% (a)(b) | ||||||||||||
CALL OPTIONS – 87.90% | ||||||||||||
SPX S&P 500® Index, Expires 6/30/2021, Strike Price $1,860.16 | 418 | $ | 136,684,328 | $ | 59,102,190 | |||||||
XSP S&P 500® Mini Index, Expires 6/30/2021, Strike Price $186.03 | 32 | 1,046,400 | 452,415 | |||||||||
59,554,605 | ||||||||||||
PUT OPTIONS - 23.51% | ||||||||||||
SPX S&P 500® Index, Expires 6/30/2021, Strike Price $3,720.32 | 209 | 68,342,164 | 11,137,146 | |||||||||
SPX S&P 500® Index, Expires 6/30/2021, Strike Price $3,100.24 | 209 | 68,342,164 | 4,675,212 | |||||||||
XSP S&P 500® Mini Index, Expires 6/30/2021, Strike Price $372.07 | 16 | 523,200 | 85,306 | |||||||||
XSP S&P 500® Mini Index, Expires 6/30/2021, Strike Price $310.03 | 16 | 523,200 | 35,472 | |||||||||
15,933,136 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $74,246,943) | 75,487,741 | |||||||||||
Principal | ||||||||||||
SHORT TERM INVESTMENTS - 0.00% (c) | Amount | |||||||||||
Money Market Deposit Account – 0.00% (c) | ||||||||||||
U.S. Bank Money Market Deposit Account, 0.03% (d) | $ | 53 | 53 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $53) | 53 | |||||||||||
Total Investments (Cost $74,246,996) – 111.41% | 75,487,794 | |||||||||||
Liabilities in Excess of Other Assets – (11.41)% | (7,732,744 | ) | ||||||||||
TOTAL NET ASSETS – 100.00% | $ | 67,755,050 |
Asset Type | % of Net Assets | |||
Purchased Options | 111.41 | % | ||
Short Term Investments | 0.00 | (b) | ||
Total Investments | 111.41 | |||
Liabilities in Excess of Other Assets | (11.41 | ) | ||
Net Assets | 100.00 | % | ||
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | Less than 0.005%. |
(d) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
Schedule of Options Written (a) | |||||||||||||||||
October 31, 2020 | |||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
SPX S&P 500® Index | 6/30/2021 | $ | 3,720.32 | 209 | $ | (68,342,164 | ) | $ | (1,353,368 | ) | |||||||
SPX S&P 500® Index | 6/30/2021 | 3,630.37 | 209 | (68,342,164 | ) | (1,922,310 | ) | ||||||||||
XSP S&P 500® Mini Index | 6/30/2021 | 372.07 | 16 | (523,200 | ) | (10,345 | ) | ||||||||||
XSP S&P 500® Mini Index | 6/30/2021 | 363.04 | 16 | (523,200 | ) | (14,715 | ) | ||||||||||
(3,300,738 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
SPX S&P 500® Index | 6/30/2021 | 2,821.21 | 209 | (68,342,164 | ) | (3,184,665 | ) | ||||||||||
SPX S&P 500® Index | 6/30/2021 | 1,860.16 | 418 | (136,684,328 | ) | (1,192,949 | ) | ||||||||||
XSP S&P 500® Mini Index | 6/30/2021 | 282.12 | 16 | (523,200 | ) | (26,401 | ) | ||||||||||
XSP S&P 500® Mini Index | 6/30/2021 | 186.03 | 32 | (1,046,400 | ) | (9,144 | ) | ||||||||||
(4,413,159 | ) | ||||||||||||||||
Total Options Written (Premiums Received $8,155,854) | $ | (7,713,897 | ) | ||||||||||||||
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 111.00% (a)(b) | ||||||||||||
CALL OPTIONS - 80.12% | ||||||||||||
SPX S&P 500® Index, Expires 7/30/2021, Strike Price $1,962.78 | 286 | $ | 93,520,856 | $ | 37,769,781 | |||||||
XSP S&P 500® Mini Index, Expires 7/30/2021, Strike Price $196.30 | 58 | 1,896,600 | 765,841 | |||||||||
38,535,622 | ||||||||||||
PUT OPTIONS - 30.88% | ||||||||||||
SPX S&P 500® Index, Expires 7/30/2021, Strike Price $3,925.55 | 143 | 46,760,428 | 10,180,337 | |||||||||
SPX S&P 500® Index, Expires 7/30/2021, Strike Price $3,271.27 | 143 | 46,760,428 | 4,375,382 | |||||||||
XSP S&P 500® Mini Index, Expires 7/30/2021, Strike Price $392.59 | 29 | 948,300 | 206,544 | |||||||||
XSP S&P 500® Mini Index, Expires 7/30/2021, Strike Price $327.14 | 29 | 948,300 | 92,858 | |||||||||
14,855,121 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $57,270,783) | 53,390,743 | |||||||||||
Principal | ||||||||||||
SHORT TERM INVESTMENTS - 0.00% (c) | Amount | |||||||||||
Money Market Deposit Account – 0.00% (c) | ||||||||||||
U.S. Bank Money Market Deposit Account, 0.03% (d) | $ | 758 | 758 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $758) | 758 | |||||||||||
Total Investments (Cost $57,271,541) – 111.00% | 53,391,501 | |||||||||||
Liabilities in Excess of Other Assets – (11.00)% | (5,292,351 | ) | ||||||||||
TOTAL NET ASSETS – 100.00% | $ | 48,099,150 |
Asset Type | % of Net Assets | |||
Purchased Options | 111.00 | % | ||
Short Term Investments | 0.00 | (b) | ||
Total Investments | 111.00 | |||
Liabilities in Excess of Other Assets | (11.00 | ) | ||
Net Assets | 100.00 | % | ||
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | Less than 0.005%. |
(d) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
Schedule of Options Written (a) | |||||||||||||||||
October 31, 2020 | |||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
SPX S&P 500® Index | 7/30/2021 | $ | 3,925.55 | 143 | $ | (46,760,428 | ) | $ | (454,435 | ) | |||||||
SPX S&P 500® Index | 7/30/2021 | 3,817.56 | 143 | (46,760,428 | ) | (716,948 | ) | ||||||||||
XSP S&P 500® Mini Index | 7/30/2021 | 392.59 | 29 | (948,300 | ) | (9,200 | ) | ||||||||||
XSP S&P 500® Mini Index | 7/30/2021 | 381.76 | 29 | (948,300 | ) | (14,537 | ) | ||||||||||
(1,195,120 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
SPX S&P 500® Index | 7/30/2021 | 2,976.85 | 143 | (46,760,428 | ) | (2,802,855 | ) | ||||||||||
SPX S&P 500® Index | 7/30/2021 | 1,962.78 | 286 | (93,520,856 | ) | (1,158,628 | ) | ||||||||||
XSP S&P 500® Mini Index | 7/30/2021 | 297.68 | 29 | (948,300 | ) | (56,837 | ) | ||||||||||
XSP S&P 500® Mini Index | 7/30/2021 | 196.30 | 58 | (1,896,600 | ) | (29,381 | ) | ||||||||||
(4,047,701 | ) | ||||||||||||||||
Total Options Written (Premiums Received $4,425,602) | $ | (5,242,821 | ) | ||||||||||||||
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 112.31% (a)(b) | ||||||||||||
CALL OPTIONS - 70.80% | ||||||||||||
SPX S&P 500® Index, Expires 8/31/2021, Strike Price $2,099.98 | 440 | $ | 143,878,240 | $ | 52,388,447 | |||||||
XSP S&P 500® Mini Index, Expires 8/31/2021, Strike Price $210.02 | 232 | 7,586,400 | 2,761,837 | |||||||||
55,150,284 | ||||||||||||
PUT OPTIONS - 41.51% | ||||||||||||
SPX S&P 500® Index, Expires 8/31/2021, Strike Price $4,199.97 | 220 | 71,939,120 | 21,454,412 | |||||||||
SPX S&P 500® Index, Expires 8/31/2021, Strike Price $3,499.95 | 220 | 71,939,120 | 9,254,544 | |||||||||
XSP S&P 500® Mini Index, Expires 8/31/2021, Strike Price $420.03 | 116 | 3,793,200 | 1,131,598 | |||||||||
XSP S&P 500® Mini Index, Expires 8/31/2021, Strike Price $350.00 | 116 | 3,793,200 | 487,997 | |||||||||
32,328,551 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $92,879,395) | 87,478,835 | |||||||||||
Total Investments (Cost $92,879,395) - 112.31% | 87,478,835 | |||||||||||
Liabilities in Excess of Other Assets - (12.31)% | (9,586,999 | ) | ||||||||||
TOTAL NET ASSETS - 100.00% | $ | 77,891,836 |
Asset Type | % of Net Assets | |||
Purchased Options | 112.31 | % | ||
Total Investments | 112.31 | |||
Liabilities in Excess of Other Assets | (12.31 | ) | ||
Net Assets | 100.00 | % | ||
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
The accompanying notes are an integral part of these financial statements.
Schedule of Options Written (a) | |||||||||||||||||
October 31, 2020 | |||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
SPX S&P 500® Index | 8/31/2021 | $ | 4,199.97 | 220 | $ | (71,939,120 | ) | $ | (345,226 | ) | |||||||
SPX S&P 500® Index | 8/31/2021 | 4,126.43 | 220 | (71,939,120 | ) | (431,875 | ) | ||||||||||
XSP S&P 500® Mini Index | 8/31/2021 | 420.03 | 116 | (3,793,200 | ) | (7,259 | ) | ||||||||||
XSP S&P 500® Mini Index | 8/31/2021 | 412.64 | 116 | (3,793,200 | ) | (12,090 | ) | ||||||||||
(796,450 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
SPX S&P 500® Index | 8/31/2021 | 3,184.95 | 220 | (71,939,120 | ) | (6,130,286 | ) | ||||||||||
SPX S&P 500® Index | 8/31/2021 | 2,099.98 | 440 | (143,878,240 | ) | (2,221,694 | ) | ||||||||||
XSP S&P 500® Mini Index | 8/31/2021 | 318.49 | 116 | (3,793,200 | ) | (323,193 | ) | ||||||||||
XSP S&P 500® Mini Index | 8/31/2021 | 210.02 | 232 | (7,586,400 | ) | (117,186 | ) | ||||||||||
(8,792,359 | ) | ||||||||||||||||
Total Options Written (Premiums Received $8,236,553) | $ | (9,588,809 | ) | ||||||||||||||
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 112.75% (a)(b) | ||||||||||||
CALL OPTIONS - 76.76% | ||||||||||||
SPX S&P 500® Index, Expires 9/30/2021, Strike Price $2,017.76 | 442 | $ | 144,532,232 | $ | 55,951,548 | |||||||
XSP S&P 500® Mini Index, Expires 9/30/2021, Strike Price $201.79 | 44 | 1,438,800 | 556,929 | |||||||||
56,508,477 | ||||||||||||
PUT OPTIONS - 35.99% | ||||||||||||
SPX S&P 500® Index, Expires 9/30/2021, Strike Price $4,035.52 | 221 | 72,266,116 | 18,166,810 | |||||||||
SPX S&P 500® Index, Expires 9/30/2021, Strike Price $3,362.91 | 221 | 72,266,116 | 8,064,890 | |||||||||
XSP S&P 500® Mini Index, Expires 9/30/2021, Strike Price $403.59 | 22 | 719,400 | 180,921 | |||||||||
XSP S&P 500® Mini Index, Expires 9/30/2021, Strike Price $336.30 | 22 | 719,400 | 80,292 | |||||||||
26,492,913 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $85,870,635) | 83,001,390 | |||||||||||
Principal | ||||||||||||
SHORT TERM INVESTMENTS - 0.00% (c) | Amount | |||||||||||
Money Market Deposit Account - 0.00% (c) | ||||||||||||
U.S. Bank Money Market Deposit Account, 0.03% (d) | $ | 1,706 | 1,706 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,706) | 1,706 | |||||||||||
Total Investments (Cost $85,872,341) - 112.75% | 83,003,096 | |||||||||||
Liabilities in Excess of Other Assets - (12.75)% | (9,390,166 | ) | ||||||||||
TOTAL NET ASSETS - 100.00% | $ | 73,612,930 |
Asset Type | % of Net Assets | |||
Purchased Options | 112.75 | % | ||
Short Term Investments | 0.00 | (b) | ||
Total Investments | 112.75 | |||
Liabilities in Excess of Other Assets | (12.75 | ) | ||
Net Assets | 100.00 | % | ||
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | Less than 0.005%. |
(d) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
Schedule of Options Written (a) | |||||||||||||||||
October 31, 2020 | |||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
SPX S&P 500® Index | 9/30/2021 | $ | 4,035.52 | 221 | $ | (72,266,116 | ) | $ | (871,809 | ) | |||||||
SPX S&P 500® Index | 9/30/2021 | 3,978.31 | 221 | (72,266,116 | ) | (906,379 | ) | ||||||||||
XSP S&P 500® Mini Index | 9/30/2021 | 403.59 | 22 | (719,400 | ) | (8,679 | ) | ||||||||||
XSP S&P 500® Mini Index | 9/30/2021 | 397.83 | 22 | (719,400 | ) | (9,023 | ) | ||||||||||
(1,795,890 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
SPX S&P 500® Index | 9/30/2021 | 3,060.24 | 221 | (72,266,116 | ) | (5,473,617 | ) | ||||||||||
SPX S&P 500® Index | 9/30/2021 | 2,017.76 | 442 | (144,532,232 | ) | (2,043,427 | ) | ||||||||||
XSP S&P 500® Mini Index | 9/30/2021 | 306.02 | 22 | (719,400 | ) | (54,485 | ) | ||||||||||
XSP S&P 500® Mini Index | 9/30/2021 | 201.79 | 44 | (1,438,800 | ) | (20,347 | ) | ||||||||||
(7,591,876 | ) | ||||||||||||||||
Total Options Written (Premiums Received $8,482,711) | $ | (9,387,766 | ) | ||||||||||||||
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 113.27% (a)(b) | ||||||||||||
CALL OPTIONS - 80.06% | ||||||||||||
SPX S&P 500® Index, Expires 10/29/2021, Strike Price $1,962.12 | 88 | $ | 28,775,648 | $ | 11,529,408 | |||||||
XSP S&P 500® Mini Index, Expires 10/29/2021, Strike Price $196.23 | 38 | 1,242,600 | 497,838 | |||||||||
12,027,246 | ||||||||||||
PUT OPTIONS - 33.21% | ||||||||||||
SPX S&P 500® Index, Expires 10/29/2021, Strike Price $3,924.24 | 44 | 14,387,824 | 3,262,072 | |||||||||
SPX S&P 500® Index, Expires 10/29/2021, Strike Price $3,270.18 | 44 | 14,387,824 | 1,520,156 | |||||||||
XSP S&P 500® Mini Index, Expires 10/29/2021, Strike Price $392.46 | 19 | 621,300 | 140,866 | |||||||||
XSP S&P 500® Mini Index, Expires 10/29/2021, Strike Price $327.03 | 19 | 621,300 | 65,645 | |||||||||
4,988,739 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $17,016,834) | 17,015,985 | |||||||||||
Principal | ||||||||||||
SHORT TERM INVESTMENTS - 0.01% | Amount | |||||||||||
Money Market Deposit Account – 0.01% | ||||||||||||
U.S. Bank Money Market Deposit Account, 0.03% (c) | $ | 1,035 | 1,035 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,035) | 1,035 | |||||||||||
Total Investments (Cost $17,017,869) – 113.28% | 17,017,020 | |||||||||||
Liabilities in Excess of Other Assets – (13.28)% | (1,994,097 | ) | ||||||||||
TOTAL NET ASSETS – 100.00% | $ | 15,022,923 |
Asset Type | % of Net Assets | |||
Purchased Options | 113.27 | % | ||
Short Term Investments | 0.01 | |||
Total Investments | 113.28 | |||
Liabilities in Excess of Other Assets | (13.28 | ) | ||
Net Assets | 100.00 | % | ||
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
Schedule of Options Written (a) | |||||||||||||||||
October 31, 2020 | |||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
SPX S&P 500® Index | 10/29/2021 | $ | 3,924.24 | 44 | $ | (14,387,824 | ) | $ | (225,588 | ) | |||||||
SPX S&P 500® Index | 10/29/2021 | 3,886.92 | 44 | (14,387,824 | ) | (244,244 | ) | ||||||||||
XSP S&P 500® Mini Index | 10/29/2021 | 392.46 | 19 | (621,300 | ) | (9,728 | ) | ||||||||||
XSP S&P 500® Mini Index | 10/29/2021 | 388.69 | 19 | (621,300 | ) | (10,564 | ) | ||||||||||
(490,124 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
SPX S&P 500® Index | 10/29/2021 | 2,975.85 | 44 | (14,387,824 | ) | (1,040,468 | ) | ||||||||||
SPX S&P 500® Index | 10/29/2021 | 1,962.12 | 88 | (28,775,648 | ) | (412,632 | ) | ||||||||||
XSP S&P 500® Mini Index | 10/29/2021 | 297.59 | 19 | (621,300 | ) | (44,935 | ) | ||||||||||
XSP S&P 500® Mini Index | 10/29/2021 | 196.23 | 38 | (1,242,600 | ) | (17,822 | ) | ||||||||||
(1,515,857 | ) | ||||||||||||||||
Total Options Written (Premiums Received $2,004,920) | $ | (2,005,981 | ) | ||||||||||||||
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 101.90% (a)(b) | ||||||||||||
CALL OPTIONS - 84.22% | ||||||||||||
SPX S&P 500® Index, Expires 11/30/2020, Strike Price $1,884.94 | 144 | $ | 47,087,424 | $ | 20,019,424 | |||||||
XSP S&P 500® Mini Index, Expires 11/30/2020, Strike Price $188.51 | 72 | 2,354,400 | 1,000,857 | |||||||||
21,020,281 | ||||||||||||
PUT OPTIONS - 17.68% | ||||||||||||
SPX S&P 500® Index, Expires 11/30/2020, Strike Price $3,769.88 | 72 | 23,543,712 | 3,622,784 | |||||||||
SPX S&P 500® Index, Expires 11/30/2020, Strike Price $3,141.54 | 72 | 23,543,712 | 578,698 | |||||||||
XSP S&P 500® Mini Index, Expires 11/30/2020, Strike Price $377.02 | 36 | 1,177,200 | 181,253 | |||||||||
XSP S&P 500® Mini Index, Expires 11/30/2020, Strike Price $314.16 | 36 | 1,177,200 | 28,941 | |||||||||
4,411,676 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $30,832,365) | 25,431,957 | |||||||||||
Principal | ||||||||||||
SHORT TERM INVESTMENTS - 0.00% (c) | Amount | |||||||||||
Money Market Deposit Account – 0.00% (c) | ||||||||||||
U.S. Bank Money Market Deposit Account, 0.03% (d) | $ | 1,085 | 1,085 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,085) | 1,085 | |||||||||||
Total Investments (Cost $30,833,450) – 101.90% | 25,433,042 | |||||||||||
Liabilities in Excess of Other Assets – (1.90)% | (474,661 | ) | ||||||||||
TOTAL NET ASSETS – 100.00% | $ | 24,958,381 |
Asset Type | % of Net Assets | |||
Purchased Options | 101.90 | % | ||
Short Term Investents | 0.00 | (b) | ||
Total Investments | 101.90 | |||
Liabilities in Excess of Other Assets | (1.90 | ) | ||
Net Assets | 100.00 | % | ||
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | Less than 0.005%. |
(d) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
Schedule of Options Written (a) | |||||||||||||||||
October 31, 2020 | |||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
SPX S&P 500® Index | 11/30/2020 | $ | 3,769.88 | 72 | $ | (23,543,712 | ) | $ | (12,070 | ) | |||||||
SPX S&P 500® Index | 11/30/2020 | 3,560.92 | 72 | (23,543,712 | ) | (85,144 | ) | ||||||||||
XSP S&P 500® Mini Index | 11/30/2020 | 377.02 | 36 | (1,177,200 | ) | (603 | ) | ||||||||||
XSP S&P 500® Mini Index | 11/30/2020 | 356.09 | 36 | (1,177,200 | ) | (4,258 | ) | ||||||||||
(102,075 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
SPX S&P 500® Index | 11/30/2020 | 2,858.79 | 72 | (23,543,712 | ) | (203,539 | ) | ||||||||||
SPX S&P 500® Index | 11/30/2020 | 1,884.94 | 144 | (47,087,424 | ) | (25,050 | ) | ||||||||||
XSP S&P 500® Mini Index | 11/30/2020 | 285.88 | 36 | (1,177,200 | ) | (10,177 | ) | ||||||||||
XSP S&P 500® Mini Index | 11/30/2020 | 188.51 | 72 | (2,354,400 | ) | (1,253 | ) | ||||||||||
(240,019 | ) | ||||||||||||||||
Total Options Written (Premiums Received $304,870) | $ | (342,094 | ) | ||||||||||||||
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 103.29% (a)(b) | ||||||||||||
CALL OPTIONS - 80.31% | ||||||||||||
SPX S&P 500® Index, Expires 12/31/2020, Strike Price $1,938.16 | 1,694 | $ | 553,931,224 | $ | 226,587,959 | |||||||
XSP S&P 500® Mini Index, Expires 12/31/2020, Strike Price $193.82 | 388 | 12,687,600 | 5,189,701 | |||||||||
231,777,660 | ||||||||||||
PUT OPTIONS - 22.98% | ||||||||||||
SPX S&P 500® Index, Expires 12/31/2020, Strike Price $3,876.31 | 847 | 276,965,612 | 51,979,999 | |||||||||
SPX S&P 500® Index, Expires 12/31/2020, Strike Price $3,230.26 | 847 | 276,965,612 | 12,844,106 | |||||||||
XSP S&P 500® Mini Index, Expires 12/31/2020, Strike Price $387.63 | 194 | 6,343,800 | 1,190,550 | |||||||||
XSP S&P 500® Mini Index, Expires 12/31/2020, Strike Price $323.03 | 194 | 6,343,800 | 294,213 | |||||||||
66,308,868 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $334,015,177) | 298,086,528 | |||||||||||
Principal | ||||||||||||
SHORT TERM INVESTMENTS - 0.00% (c) | Amount | |||||||||||
Money Market Deposit Account – 0.00% (c) | ||||||||||||
U.S. Bank Money Market Deposit Account, 0.03% (d) | $ | 5,467 | 5,467 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $5,467) | 5,467 | |||||||||||
Total Investments (Cost $334,020,644) – 103.29% | 298,091,995 | |||||||||||
Liabilities in Excess of Other Assets – (3.29)% | (9,495,348 | ) | ||||||||||
TOTAL NET ASSETS – 100.00% | $ | 288,596,647 |
Asset Type | % of Net Assets | |||
Purchased Options | 103.29 | % | ||
Short Term Investments | 0.00 | |||
Total Investments | 103.29 | |||
Liabilities in Excess of Other Assets | (3.29 | ) | ||
Net Assets | 100.00 | % | ||
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | Less than 0.005%. |
(d) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
Schedule of Options Written (a) | |||||||||||||||||
October 31, 2020 | |||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
SPX S&P 500® Index | 12/31/2020 | $ | 3,876.31 | 847 | $ | (276,965,612 | ) | $ | (266,976 | ) | |||||||
SPX S&P 500® Index | 12/31/2020 | 3,504.83 | 847 | (276,965,612 | ) | (4,235,308 | ) | ||||||||||
XSP S&P 500® Mini Index | 12/31/2020 | 387.63 | 194 | (6,343,800 | ) | (6,115 | ) | ||||||||||
XSP S&P 500® Mini Index | 12/31/2020 | 350.48 | 194 | (6,343,800 | ) | (97,027 | ) | ||||||||||
(4,605,426 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
SPX S&P 500® Index | 12/31/2020 | 2,745.72 | 847 | (276,965,612 | ) | (3,596,562 | ) | ||||||||||
SPX S&P 500® Index | 12/31/2020 | 1,938.16 | 1,694 | (553,931,224 | ) | (1,072,314 | ) | ||||||||||
XSP S&P 500® Mini Index | 12/31/2020 | 274.57 | 194 | (6,343,800 | ) | (82,373 | ) | ||||||||||
XSP S&P 500® Mini Index | 12/31/2020 | 193.82 | 388 | (12,687,600 | ) | (24,563 | ) | ||||||||||
(4,775,812 | ) | ||||||||||||||||
Total Options Written (Premiums Received $9,575,395) | $ | (9,381,238 | ) | ||||||||||||||
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 105.59% (a)(b) | ||||||||||||
CALL OPTIONS - 81.58% | ||||||||||||
SPX S&P 500® Index, Expires 1/29/2021, Strike Price $1,935.09 | 368 | $ | 120,334,528 | $ | 49,428,087 | |||||||
XSP S&P 500® Mini Index, Expires 1/29/2021, Strike Price $193.51 | 3,312 | 108,302,400 | 44,484,954 | |||||||||
93,913,041 | ||||||||||||
PUT OPTIONS - 24.01% | ||||||||||||
SPX S&P 500® Index, Expires 1/29/2021, Strike Price $3,870.18 | 184 | 60,167,264 | 11,284,186 | |||||||||
SPX S&P 500® Index, Expires 1/29/2021, Strike Price $3,225.15 | 184 | 60,167,264 | 3,266,070 | |||||||||
XSP S&P 500® Mini Index, Expires 1/29/2021, Strike Price $387.02 | 1,656 | 54,151,200 | 10,156,086 | |||||||||
XSP S&P 500® Mini Index, Expires 1/29/2021, Strike Price $322.52 | 1,656 | 54,151,200 | 2,939,762 | |||||||||
27,646,104 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $149,265,728) | 121,559,145 | |||||||||||
Principal | ||||||||||||
SHORT TERM INVESTMENTS - 0.00% (c) | Amount | |||||||||||
Money Market Deposit Account – 0.00% (c) | ||||||||||||
U.S. Bank Money Market Deposit Account, 0.03% (d) | $ | 1,057 | 1,057 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,057) | 1,057 | |||||||||||
Total Investments (Cost $149,266,785) – 105.59% | 121,560,202 | |||||||||||
Liabilities in Excess of Other Assets – (5.59)% | (6,439,019 | ) | ||||||||||
TOTAL NET ASSETS – 100.00% | $ | 115,121,183 |
Asset Type | % of Net Assets | |||
Purchased Options | 105.59 | % | ||
Short Term Investments | 0.00 | (b) | ||
Total Investments | 105.59 | |||
Liabilities in Excess of Other Assets | (5.59 | ) | ||
Net Assets | 100.00 | % | ||
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | Less than 0.005%. |
(d) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
Schedule of Options Written (a) | |||||||||||||||||
October 31, 2020 | |||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
SPX S&P 500® Index | 1/29/2021 | $ | 3,870.18 | 184 | $ | (60,167,264 | ) | $ | (134,121 | ) | |||||||
SPX S&P 500® Index | 1/29/2021 | 3,499.61 | 184 | (60,167,264 | ) | (1,373,375 | ) | ||||||||||
XSP S&P 500® Mini Index | 1/29/2021 | 387.02 | 1,656 | (54,151,200 | ) | (120,695 | ) | ||||||||||
XSP S&P 500® Mini Index | 1/29/2021 | 349.96 | 1,656 | (54,151,200 | ) | (1,236,103 | ) | ||||||||||
(2,864,294 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
SPX S&P 500® Index | 1/29/2021 | 2,741.38 | 184 | (60,167,264 | ) | (1,151,911 | ) | ||||||||||
SPX S&P 500® Index | 1/29/2021 | 1,935.09 | 368 | (120,334,528 | ) | (412,117 | ) | ||||||||||
XSP S&P 500® Mini Index | 1/29/2021 | 274.14 | 1,656 | (54,151,200 | ) | (1,036,767 | ) | ||||||||||
XSP S&P 500® Mini Index | 1/29/2021 | 193.51 | 3,312 | (108,302,400 | ) | (370,913 | ) | ||||||||||
(2,971,708 | ) | ||||||||||||||||
Total Options Written (Premiums Received $3,238,792) | $ | (5,836,002 | ) | ||||||||||||||
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® POWER BUFFER ETF – MARCH
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 111.64% (a)(b) | ||||||||||||
CALL OPTIONS - 96.43% | ||||||||||||
SPX S&P 500® Index, Expires 2/26/2021, Strike Price $1,772.50 | 420 | $ | 137,338,320 | $ | 63,026,046 | |||||||
XSP S&P 500® Mini Index, Expires 2/26/2021, Strike Price $177.24 | 420 | 13,734,000 | 6,303,019 | |||||||||
69,329,065 | ||||||||||||
PUT OPTIONS - 15.21% | ||||||||||||
SPX S&P 500® Index, Expires 2/26/2021, Strike Price $3,545.01 | 210 | 68,669,160 | 7,408,543 | |||||||||
SPX S&P 500® Index, Expires 2/26/2021, Strike Price $2,954.17 | 210 | 68,669,160 | 2,534,247 | |||||||||
XSP S&P 500® Mini Index, Expires 2/26/2021, Strike Price $354.49 | 210 | 6,867,000 | 740,706 | |||||||||
XSP S&P 500® Mini Index, Expires 2/26/2021, Strike Price $295.42 | 210 | 6,867,000 | 253,440 | |||||||||
10,936,936 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $102,147,129) | 80,266,001 | |||||||||||
Principal | ||||||||||||
SHORT TERM INVESTMENTS - 0.00% (c) | Amount | |||||||||||
Money Market Deposit Account – 0.00% (c) | ||||||||||||
U.S. Bank Money Market Deposit Account, 0.03% (d) | $ | 1,067 | 1,067 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,067) | 1,067 | |||||||||||
Total Investments (Cost $102,148,196) – 111.64% | 80,267,068 | |||||||||||
Liabilities in Excess of Other Assets – (11.64)% | (8,372,226 | ) | ||||||||||
TOTAL NET ASSETS – 100.00% | $ | 71,894,842 |
Asset Type | % of Net Assets | |||
Purchased Options | 111.64 | % | ||
Short Term Investments | 0.00 | (b) | ||
Total Investments | 111.64 | |||
Liabilities in Excess of Other Assets | (11.64 | ) | ||
Net Assets | 100.00 | % | ||
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | Less than 0.005%. |
(d) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® POWER BUFFER ETF – MARCH
Schedule of Options Written (a) | |||||||||||||||||
October 31, 2020 | |||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
SPX S&P 500® Index | 2/26/2021 | $ | 3,545.01 | 210 | $ | (68,669,160 | ) | $ | (1,539,645 | ) | |||||||
SPX S&P 500® Index | 2/26/2021 | 3,279.42 | 210 | (68,669,160 | ) | (4,313,331 | ) | ||||||||||
XSP S&P 500® Mini Index | 2/26/2021 | 354.49 | 210 | (6,867,000 | ) | (154,048 | ) | ||||||||||
XSP S&P 500® Mini Index | 2/26/2021 | 327.94 | 210 | (6,867,000 | ) | (431,358 | ) | ||||||||||
(6,438,382 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
SPX S&P 500® Index | 2/26/2021 | 2,511.04 | 210 | (68,669,160 | ) | (1,028,412 | ) | ||||||||||
SPX S&P 500® Index | 2/26/2021 | 1,772.50 | 420 | (137,338,320 | ) | (461,229 | ) | ||||||||||
XSP S&P 500® Mini Index | 2/26/2021 | 251.10 | 210 | (6,867,000 | ) | (102,832 | ) | ||||||||||
XSP S&P 500® Mini Index | 2/26/2021 | 177.24 | 420 | (13,734,000 | ) | (46,114 | ) | ||||||||||
(1,638,587 | ) | ||||||||||||||||
Total Options Written (Premiums Received $3,614,410) | $ | (8,076,969 | ) | ||||||||||||||
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® POWER BUFFER ETF – APRIL
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 128.43% (a)(b) | ||||||||||||
CALL OPTIONS - 119.72% | ||||||||||||
SPX S&P 500® Index, Expires 3/31/2021, Strike Price $1,550.68 | 1,304 | $ | 426,402,784 | $ | 223,803,449 | |||||||
XSP S&P 500® Mini Index, Expires 3/31/2021, Strike Price $155.07 | 10 | 327,000 | 171,627 | |||||||||
223,975,076 | ||||||||||||
PUT OPTIONS - 8.71% | ||||||||||||
SPX S&P 500® Index, Expires 3/31/2021, Strike Price $3,101.36 | 652 | 213,201,392 | 11,687,479 | |||||||||
SPX S&P 500® Index, Expires 3/31/2021, Strike Price $2,584.47 | 652 | 213,201,392 | 4,589,363 | |||||||||
XSP S&P 500® Mini Index, Expires 3/31/2021, Strike Price $310.14 | 5 | 163,500 | 8,963 | |||||||||
XSP S&P 500® Mini Index, Expires 3/31/2021, Strike Price $258.45 | 5 | 163,500 | 3,520 | |||||||||
16,289,325 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $304,831,282) | 240,264,401 | |||||||||||
Principal | ||||||||||||
SHORT TERM INVESTMENTS - 0.00% (c) | Amount | |||||||||||
Money Market Deposit Account – 0.00% (c) | ||||||||||||
U.S. Bank Money Market Deposit Account, 0.03% (d) | $ | 867 | 867 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $867) | 867 | |||||||||||
Total Investments (Cost $304,832,149) – 128.43% | 240,265,268 | |||||||||||
Liabilities in Excess of Other Assets – (28.43)% | (53,187,306 | ) | ||||||||||
TOTAL NET ASSETS – 100.00% | $ | 187,077,962 |
Asset Type | % of Net Assets | |||
Purchased Options | 128.43 | % | ||
Short Term Investments | 0.00 | (b) | ||
Total Investments | 128.43 | |||
Liabilities in Excess of Other Assets | (28.43 | ) | ||
Net Assets | 100.00 | % | ||
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | Less than 0.005%. |
(d) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® POWER BUFFER ETF – APRIL
Schedule of Options Written (a) | |||||||||||||||||
October 31, 2020 | |||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
SPX S&P 500® Index | 3/31/2021 | $ | 3,101.36 | 652 | $ | (213,201,392 | ) | $ | (22,063,283 | ) | |||||||
SPX S&P 500® Index | 3/31/2021 | 2,982.48 | 652 | (213,201,392 | ) | (27,643,473 | ) | ||||||||||
XSP S&P 500® Mini Index | 3/31/2021 | 310.14 | 5 | (163,500 | ) | (16,919 | ) | ||||||||||
XSP S&P 500® Mini Index | 3/31/2021 | 298.25 | 5 | (163,500 | ) | (21,198 | ) | ||||||||||
(49,744,873 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
SPX S&P 500® Index | 3/31/2021 | 2,196.80 | 652 | (213,201,392 | ) | (2,137,778 | ) | ||||||||||
SPX S&P 500® Index | 3/31/2021 | 1,550.68 | 1,304 | (426,402,784 | ) | (1,233,946 | ) | ||||||||||
XSP S&P 500® Mini Index | 3/31/2021 | 219.68 | 5 | (163,500 | ) | (1,639 | ) | ||||||||||
XSP S&P 500® Mini Index | 3/31/2021 | 155.07 | 10 | (327,000 | ) | (946 | ) | ||||||||||
(3,374,309 | ) | ||||||||||||||||
Total Options Written (Premiums Received $12,799,051) | $ | (53,119,182 | ) | ||||||||||||||
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® POWER BUFFER ETF – MAY
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 114.48% (a)(b) | ||||||||||||
CALL OPTIONS - 98.23% | ||||||||||||
SPX S&P 500® Index, Expires 4/30/2021, Strike Price $1,746.60 | 384 | $ | 125,566,464 | $ | 58,603,278 | |||||||
XSP S&P 500® Mini Index, Expires 4/30/2021, Strike Price $174.66 | 384 | 12,556,800 | 5,860,328 | |||||||||
64,463,606 | ||||||||||||
PUT OPTIONS - 16.25% | ||||||||||||
SPX S&P 500® Index, Expires 4/30/2021, Strike Price $3,493.20 | 192 | 62,783,232 | 6,952,410 | |||||||||
SPX S&P 500® Index, Expires 4/30/2021, Strike Price $2,911.00 | 192 | 62,783,232 | 2,744,861 | |||||||||
XSP S&P 500® Mini Index, Expires 4/30/2021, Strike Price $349.32 | 192 | 6,278,400 | 695,241 | |||||||||
XSP S&P 500® Mini Index, Expires 4/30/2021, Strike Price $291.10 | 192 | 6,278,400 | 274,486 | |||||||||
10,666,998 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $97,608,663) | 75,130,604 | |||||||||||
Principal | ||||||||||||
SHORT TERM INVESTMENTS - 0.01% | Amount | |||||||||||
Money Market Deposit Account – 0.01% | ||||||||||||
U.S. Bank Money Market Deposit Account, 0.03% (c) | $ | 5,330 | 5,330 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $5,330) | 5,330 | |||||||||||
Total Investments (Cost $97,613,993) – 114.49% | 75,135,934 | |||||||||||
Liabilities in Excess of Other Assets – (14.49)% | (9,509,620 | ) | ||||||||||
TOTAL NET ASSETS – 100.00% | $ | 65,626,314 |
Asset Type | % of Net Assets | |||
Purchased Options | 114.48 | % | ||
Short Term Investments | 0.01 | |||
Total Investments | 114.49 | |||
Liabilities in Excess of Other Assets | (14.49 | ) | ||
Net Assets | 100.00 | % | ||
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® POWER BUFFER ETF – MAY
Schedule of Options Written (a) | |||||||||||||||||
October 31, 2020 | |||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
SPX S&P 500® Index | 4/30/2021 | $ | 3,493.20 | 192 | $ | (62,783,232 | ) | $ | (2,348,650 | ) | |||||||
SPX S&P 500® Index | 4/30/2021 | 3,304.57 | 192 | (62,783,232 | ) | (4,234,690 | ) | ||||||||||
XSP S&P 500® Mini Index | 4/30/2021 | 349.32 | 192 | (6,278,400 | ) | (234,865 | ) | ||||||||||
XSP S&P 500® Mini Index | 4/30/2021 | 330.46 | 192 | (6,278,400 | ) | (423,434 | ) | ||||||||||
(7,241,639 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
SPX S&P 500® Index | 4/30/2021 | 2,474.35 | 192 | (62,783,232 | ) | (1,251,788 | ) | ||||||||||
SPX S&P 500® Index | 4/30/2021 | 1,746.60 | 384 | (125,566,464 | ) | (629,109 | ) | ||||||||||
XSP S&P 500® Mini Index | 4/30/2021 | 247.44 | 192 | (6,278,400 | ) | (125,190 | ) | ||||||||||
XSP S&P 500® Mini Index | 4/30/2021 | 174.66 | 384 | (12,556,800 | ) | (62,911 | ) | ||||||||||
(2,068,998 | ) | ||||||||||||||||
Total Options Written (Premiums Received $3,736,415) | $ | (9,310,637 | ) | ||||||||||||||
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® POWER BUFFER ETF – JUNE
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 112.42% (a)(b) | ||||||||||||
CALL OPTIONS - 91.48% | ||||||||||||
SPX S&P 500® Index, Expires 5/28/2021, Strike Price $1,826.59 | 586 | $ | 191,619,656 | $ | 84,905,823 | |||||||
XSP S&P 500® Mini Index, Expires 5/28/2021, Strike Price $182.66 | 112 | 3,662,400 | 1,622,763 | |||||||||
86,528,586 | ||||||||||||
PUT OPTIONS - 20.94% | ||||||||||||
SPX S&P 500® Index, Expires 5/28/2021, Strike Price $3,653.17 | 293 | 95,809,828 | 13,833,663 | |||||||||
SPX S&P 500® Index, Expires 5/28/2021, Strike Price $3,044.31 | 293 | 95,809,828 | 5,604,309 | |||||||||
XSP S&P 500® Mini Index, Expires 5/28/2021, Strike Price $365.32 | 56 | 1,831,200 | 264,409 | |||||||||
XSP S&P 500® Mini Index, Expires 5/28/2021, Strike Price $304.43 | 56 | 1,831,200 | 108,581 | |||||||||
19,810,962 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $129,798,055) | 106,339,548 | |||||||||||
Principal | ||||||||||||
SHORT TERM INVESTMENTS - 0.00% (c) | Amount | |||||||||||
Money Market Deposit Account – 0.00% (c) | ||||||||||||
U.S. Bank Money Market Deposit Account, 0.03% (d) | $ | 983 | 983 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $983) | 983 | |||||||||||
Total Investments (Cost $129,799,038) – 112.42% | 106,340,531 | |||||||||||
Liabilities in Excess of Other Assets – (12.42)% | (11,752,137 | ) | ||||||||||
TOTAL NET ASSETS – 100.00% | $ | 94,588,394 |
Asset Type | % of Net Assets | |||
Purchased Options | 112.42 | % | ||
Short Term Investments | 0.00 | (b) | ||
Total Investments | 112.42 | |||
Liabilities in Excess of Other Assets | (12.42 | ) | ||
Net Assets | 100.00 | % | ||
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | Less than 0.005%. |
(d) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® POWER BUFFER ETF – JUNE
Schedule of Options Written (a) | |||||||||||||||||
October 31, 2020 | |||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
SPX S&P 500® Index | 5/28/2021 | $ | 3,653.17 | 293 | $ | (95,809,828 | ) | $ | (2,133,589 | ) | |||||||
SPX S&P 500® Index | 5/28/2021 | 3,388.32 | 293 | (95,809,828 | ) | (5,444,332 | ) | ||||||||||
XSP S&P 500® Mini Index | 5/28/2021 | 365.32 | 56 | (1,831,200 | ) | (40,773 | ) | ||||||||||
XSP S&P 500® Mini Index | 5/28/2021 | 338.83 | 56 | (1,831,200 | ) | (104,062 | ) | ||||||||||
(7,722,756 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
SPX S&P 500® Index | 5/28/2021 | 2,587.66 | 293 | (95,809,828 | ) | (2,650,116 | ) | ||||||||||
SPX S&P 500® Index | 5/28/2021 | 1,826.59 | 586 | (191,619,656 | ) | (1,290,161 | ) | ||||||||||
XSP S&P 500® Mini Index | 5/28/2021 | 258.77 | 56 | (1,831,200 | ) | (50,654 | ) | ||||||||||
XSP S&P 500® Mini Index | 5/28/2021 | 182.66 | 112 | (3,662,400 | ) | (24,659 | ) | ||||||||||
(4,015,590 | ) | ||||||||||||||||
Total Options Written (Premiums Received $6,795,703) | $ | (11,738,346 | ) | ||||||||||||||
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® POWER BUFFER ETF – JULY
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 112.32% (a)(b) | ||||||||||||
CALL OPTIONS - 88.66% | ||||||||||||
SPX S&P 500® Index, Expires 6/30/2021, Strike Price $1,860.14 | 694 | $ | 226,935,224 | $ | 98,127,916 | |||||||
XSP S&P 500® Mini Index, Expires 6/30/2021, Strike Price $186.01 | 68 | 2,223,600 | 961,510 | |||||||||
99,089,426 | ||||||||||||
PUT OPTIONS - 23.66% | ||||||||||||
SPX S&P 500® Index, Expires 6/30/2021, Strike Price $3,720.28 | 347 | 113,467,612 | 18,489,821 | |||||||||
SPX S&P 500® Index, Expires 6/30/2021, Strike Price $3,100.23 | 347 | 113,467,612 | 7,692,077 | |||||||||
XSP S&P 500® Mini Index, Expires 6/30/2021, Strike Price $372.03 | 34 | 1,111,800 | 181,173 | |||||||||
XSP S&P 500® Mini Index, Expires 6/30/2021, Strike Price $310.02 | 34 | 1,111,800 | 75,366 | |||||||||
26,438,437 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $123,984,570) | 125,527,863 | |||||||||||
Principal | ||||||||||||
SHORT TERM INVESTMENTS - 0.00% (c) | Amount | |||||||||||
Money Market Deposit Account – 0.00% (c) | ||||||||||||
U.S. Bank Money Market Deposit Account, 0.03% (d) | $ | 1,730 | 1,730 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,730) | 1,730 | |||||||||||
Total Investments (Cost $123,986,300) – 112.32% | 125,529,593 | |||||||||||
Liabilities in Excess of Other Assets – (12.32)% | (13,770,747 | ) | ||||||||||
TOTAL NET ASSETS – 100.00% | $ | 111,758,846 |
Asset Type | % of Net Assets | |||
Purchased Options | 112.32 | % | ||
Short Term Investments | 0.00 | (b) | ||
Total Investments | 112.32 | |||
Liabilities in Excess of Other Assets | (12.32 | ) | ||
Net Assets | 100.00 | % | ||
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | Less than 0.005%. |
(d) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® POWER BUFFER ETF – JULY
Schedule of Options Written (a) | |||||||||||||||||
October 31, 2020 | |||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
SPX S&P 500® Index | 6/30/2021 | $ | 3,720.28 | 347 | $ | (113,467,612 | ) | $ | (2,247,340 | ) | |||||||
SPX S&P 500® Index | 6/30/2021 | 3,458.31 | 347 | (113,467,612 | ) | (5,710,192 | ) | ||||||||||
XSP S&P 500® Mini Index | 6/30/2021 | 372.03 | 34 | (1,111,800 | ) | (22,018 | ) | ||||||||||
XSP S&P 500® Mini Index | 6/30/2021 | 345.83 | 34 | (1,111,800 | ) | (55,952 | ) | ||||||||||
(8,035,502 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
SPX S&P 500® Index | 6/30/2021 | 2,635.20 | 347 | (113,467,612 | ) | (3,706,262 | ) | ||||||||||
SPX S&P 500® Index | 6/30/2021 | 1,860.14 | 694 | (226,935,224 | ) | (1,980,277 | ) | ||||||||||
XSP S&P 500® Mini Index | 6/30/2021 | 263.52 | 34 | (1,111,800 | ) | (36,315 | ) | ||||||||||
XSP S&P 500® Mini Index | 6/30/2021 | 186.01 | 68 | (2,223,600 | ) | (19,396 | ) | ||||||||||
(5,742,250 | ) | ||||||||||||||||
Total Options Written (Premiums Received $13,436,621) | $ | (13,777,752 | ) | ||||||||||||||
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® POWER BUFFER ETF – AUGUST
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 111.13% (a)(b) | ||||||||||||
CALL OPTIONS - 80.21% | ||||||||||||
SPX S&P 500® Index, Expires 7/30/2021, Strike Price $1,962.76 | 654 | $ | 213,855,384 | $ | 86,369,883 | |||||||
XSP S&P 500® Mini Index, Expires 7/30/2021, Strike Price $196.28 | 108 | 3,531,600 | 1,426,251 | |||||||||
87,796,134 | ||||||||||||
PUT OPTIONS - 30.92% | ||||||||||||
SPX S&P 500® Index, Expires 7/30/2021, Strike Price $3,925.51 | 327 | 106,927,692 | 23,278,349 | |||||||||
SPX S&P 500® Index, Expires 7/30/2021, Strike Price $3,271.26 | 327 | 106,927,692 | 10,005,195 | |||||||||
XSP S&P 500® Mini Index, Expires 7/30/2021, Strike Price $392.55 | 54 | 1,765,800 | 384,408 | |||||||||
XSP S&P 500® Mini Index, Expires 7/30/2021, Strike Price $327.13 | 54 | 1,765,800 | 172,951 | |||||||||
33,840,903 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $130,306,632) | 121,637,037 | |||||||||||
Principal | ||||||||||||
SHORT TERM INVESTMENTS - 0.00% (c) | Amount | |||||||||||
Money Market Deposit Account – 0.00% (c) | ||||||||||||
U.S. Bank Money Market Deposit Account, 0.03% (d) | $ | 838 | 838 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $838) | 838 | |||||||||||
Total Investments (Cost $130,307,470) – 111.13% | 121,637,875 | |||||||||||
Liabilities in Excess of Other Assets – (11.13)% | (12,179,895 | ) | ||||||||||
TOTAL NET ASSETS – 100.00% | $ | 109,457,980 |
Asset Type | % of Net Assets | |||
Purchased Options | 111.13 | % | ||
Short Term Investments | 0.00 | |||
Total Investments | 111.13 | |||
Liabilities in Excess of Other Assets | (11.13 | ) | ||
Net Assets | 100.00 | % | ||
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | Less than 0.005%. |
(d) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® POWER BUFFER ETF – AUGUST
Schedule of Options Written (a) | |||||||||||||||||
October 31, 2020 | |||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
SPX S&P 500® Index | 7/30/2021 | $ | 3,925.51 | 327 | $ | (106,927,692 | ) | $ | (1,039,360 | ) | |||||||
SPX S&P 500® Index | 7/30/2021 | 3,626.85 | 327 | (106,927,692 | ) | (3,322,478 | ) | ||||||||||
XSP S&P 500® Mini Index | 7/30/2021 | 392.55 | 54 | (1,765,800 | ) | (17,164 | ) | ||||||||||
XSP S&P 500® Mini Index | 7/30/2021 | 362.68 | 54 | (1,765,800 | ) | (54,878 | ) | ||||||||||
(4,433,880 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
SPX S&P 500® Index | 7/30/2021 | 2,780.57 | 327 | (106,927,692 | ) | (4,894,185 | ) | ||||||||||
SPX S&P 500® Index | 7/30/2021 | 1,962.76 | 654 | (213,855,384 | ) | (2,649,411 | ) | ||||||||||
XSP S&P 500® Mini Index | 7/30/2021 | 278.06 | 54 | (1,765,800 | ) | (82,862 | ) | ||||||||||
XSP S&P 500® Mini Index | 7/30/2021 | 196.28 | 108 | (3,531,600 | ) | (54,727 | ) | ||||||||||
(7,681,185 | ) | ||||||||||||||||
Total Options Written (Premiums Received $10,534,218) | $ | (12,115,065 | ) | ||||||||||||||
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® POWER BUFFER ETF – SEPTEMBER
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 110.77% (a)(b) | ||||||||||||
CALL OPTIONS - 69.84% | ||||||||||||
SPX S&P 500® Index, Expires 8/31/2021, Strike Price $2,099.96 | 1,644 | $ | 537,581,424 | $ | 195,745,269 | |||||||
XSP S&P 500® Mini Index, Expires 8/31/2021, Strike Price $210.00 | 416 | 13,603,200 | 4,953,014 | |||||||||
200,698,283 | ||||||||||||
PUT OPTIONS - 40.93% | ||||||||||||
SPX S&P 500® Index, Expires 8/31/2021, Strike Price $4,199.93 | 822 | 268,790,712 | 80,158,346 | |||||||||
SPX S&P 500® Index, Expires 8/31/2021, Strike Price $3,499.94 | 822 | 268,790,712 | 34,577,917 | |||||||||
XSP S&P 500® Mini Index, Expires 8/31/2021, Strike Price $419.99 | 208 | 6,801,600 | 2,028,278 | |||||||||
XSP S&P 500® Mini Index, Expires 8/31/2021, Strike Price $349.99 | 208 | 6,801,600 | 874,921 | |||||||||
117,639,462 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $328,420,631) | 318,337,745 | |||||||||||
Principal | ||||||||||||
SHORT TERM INVESTMENTS - 0.01% | Amount | |||||||||||
Money Market Deposit Account – 0.01% | ||||||||||||
U.S. Bank Money Market Deposit Account, 0.03% (c) | $ | 39,236 | 39,236 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $39,236) | 39,236 | |||||||||||
Total Investments (Cost $328,459,867) – 110.78% | 318,376,981 | |||||||||||
Liabilities in Excess of Other Assets – (10.78)% | (30,989,046 | ) | ||||||||||
TOTAL NET ASSETS – 100.00% | $ | 287,387,935 |
Asset Type | % of Net Assets | |||
Purchased Options | 110.77 | % | ||
Short Term Investments | 0.01 | |||
Total Investments | 110.78 | |||
Liabilities in Excess of Other Assets | (10.78 | ) | ||
Net Assets | 100.00 | % | ||
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® POWER BUFFER ETF – SEPTEMBER
Schedule of Options Written (a) | |||||||||||||||||
October 31, 2020 | |||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
SPX S&P 500® Index | 8/31/2021 | $ | 4,199.93 | 822 | $ | (268,790,712 | ) | $ | (1,290,068 | ) | |||||||
SPX S&P 500® Index | 8/31/2021 | 3,911.18 | 822 | (268,790,712 | ) | (3,293,507 | ) | ||||||||||
XSP S&P 500® Mini Index | 8/31/2021 | 419.99 | 208 | (6,801,600 | ) | (13,053 | ) | ||||||||||
XSP S&P 500® Mini Index | 8/31/2021 | 391.12 | 208 | (6,801,600 | ) | (83,332 | ) | ||||||||||
(4,679,960 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
SPX S&P 500® Index | 8/31/2021 | 2,974.95 | 822 | (268,790,712 | ) | (17,314,426 | ) | ||||||||||
SPX S&P 500® Index | 8/31/2021 | 2,099.96 | 1,644 | (537,581,424 | ) | (8,300,787 | ) | ||||||||||
XSP S&P 500® Mini Index | 8/31/2021 | 297.49 | 208 | (6,801,600 | ) | (438,095 | ) | ||||||||||
XSP S&P 500® Mini Index | 8/31/2021 | 210.00 | 416 | (13,603,200 | ) | (210,058 | ) | ||||||||||
(26,263,366 | ) | ||||||||||||||||
Total Options Written (Premiums Received $34,540,734) | $ | (30,943,326 | ) | ||||||||||||||
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® POWER BUFFER ETF – OCTOBER
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 111.93% (a)(b) | ||||||||||||
CALL OPTIONS - 76.21% | ||||||||||||
SPX S&P 500® Index, Expires 9/30/2021, Strike Price $2,017.74 | 1,130 | $ | 369,505,480 | $ | 143,045,563 | |||||||
XSP S&P 500® Mini Index, Expires 9/30/2021, Strike Price $201.77 | 136 | 4,447,200 | 1,721,659 | |||||||||
144,767,222 | ||||||||||||
PUT OPTIONS - 35.72% | ||||||||||||
SPX S&P 500® Index, Expires 9/30/2021, Strike Price $4,035.48 | 565 | 184,752,740 | 46,442,534 | |||||||||
SPX S&P 500® Index, Expires 9/30/2021, Strike Price $3,362.90 | 565 | 184,752,740 | 20,618,148 | |||||||||
XSP S&P 500® Mini Index, Expires 9/30/2021, Strike Price $403.55 | 68 | 2,223,600 | 558,966 | |||||||||
XSP S&P 500® Mini Index, Expires 9/30/2021, Strike Price $336.29 | 68 | 2,223,600 | 248,148 | |||||||||
67,867,796 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $216,092,992) | 212,635,018 | |||||||||||
Total Investments (Cost $216,092,992) - 111.93% | 212,635,018 | |||||||||||
Liabilities in Excess of Other Assets - (11.93)% | (22,668,477 | ) | ||||||||||
TOTAL NET ASSETS - 100.00% | $ | 189,966,541 |
Asset Type | % of Net Assets | |||
Purchased Options | 111.93 | % | ||
Total Investments | 111.93 | |||
Liabilities in Excess of Other Assets | (11.93 | ) | ||
Net Assets | 100.00 | % | ||
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® POWER BUFFER ETF – OCTOBER
Schedule of Options Written (a) | |||||||||||||||||
October 31, 2020 | |||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
SPX S&P 500® Index | 9/30/2021 | $ | 4,035.48 | 565 | $ | (184,752,740 | ) | $ | (2,228,835 | ) | |||||||
SPX S&P 500® Index | 9/30/2021 | 3,768.80 | 565 | (184,752,740 | ) | (4,333,004 | ) | ||||||||||
XSP S&P 500® Mini Index | 9/30/2021 | 403.55 | 68 | (2,223,600 | ) | (26,825 | ) | ||||||||||
XSP S&P 500® Mini Index | 9/30/2021 | 376.88 | 68 | (2,223,600 | ) | (52,150 | ) | ||||||||||
(6,640,814 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
SPX S&P 500® Index | 9/30/2021 | 2,858.47 | 565 | (184,752,740 | ) | (10,590,221 | ) | ||||||||||
SPX S&P 500® Index | 9/30/2021 | 2,017.74 | 1,130 | (369,505,480 | ) | (5,223,938 | ) | ||||||||||
XSP S&P 500® Mini Index | 9/30/2021 | 285.85 | 68 | (2,223,600 | ) | (127,463 | ) | ||||||||||
XSP S&P 500® Mini Index | 9/30/2021 | 201.77 | 136 | (4,447,200 | ) | (62,867 | ) | ||||||||||
(16,004,489 | ) | ||||||||||||||||
Total Options Written (Premiums Received $23,552,752) | $ | (22,645,303 | ) | ||||||||||||||
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® POWER BUFFER ETF – NOVEMBER
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 113.05% (a)(b) | ||||||||||||
CALL OPTIONS - 79.76% | ||||||||||||
SPX S&P 500® Index, Expires 10/29/2021, Strike Price $1,962.10 | 230 | $ | 75,209,080 | $ | 30,010,400 | |||||||
XSP S&P 500® Mini Index, Expires 10/29/2021, Strike Price $196.21 | 36 | 1,177,200 | 469,728 | |||||||||
30,480,128 | ||||||||||||
PUT OPTIONS - 33.29% | ||||||||||||
SPX S&P 500® Index, Expires 10/29/2021, Strike Price $3,924.20 | 115 | 37,604,540 | 8,548,180 | |||||||||
SPX S&P 500® Index, Expires 10/29/2021, Strike Price $3,270.17 | 115 | 37,604,540 | 3,979,230 | |||||||||
XSP S&P 500® Mini Index, Expires 10/29/2021, Strike Price $392.42 | 18 | 588,600 | 133,794 | |||||||||
XSP S&P 500® Mini Index, Expires 10/29/2021, Strike Price $327.02 | 18 | 588,600 | 62,280 | |||||||||
12,723,484 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $43,205,613) | 43,203,612 | |||||||||||
Total Investments (Cost $43,205,613) - 113.05% | 43,203,612 | |||||||||||
Liabilities in Excess of Other Assets - (13.05)% | (4,986,397 | ) | ||||||||||
TOTAL NET ASSETS - 100.00% | $ | 38,217,215 |
Asset Type | % of Net Assets | |||
Purchased Options | 113.05 | % | ||
Total Investments | 113.05 | |||
Liabilities in Excess of Other Assets | (13.05 | ) | ||
Net Assets | 100.00 | % | ||
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® POWER BUFFER ETF – NOVEMBER
Schedule of Options Written (a) | |||||||||||||||||
October 31, 2020 | |||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
SPX S&P 500® Index | 10/29/2021 | $ | 3,924.20 | 115 | $ | (37,604,540 | ) | $ | (587,880 | ) | |||||||
SPX S&P 500® Index | 10/29/2021 | 3,684.83 | 115 | (37,604,540 | ) | (1,272,015 | ) | ||||||||||
XSP S&P 500® Mini Index | 10/29/2021 | 392.42 | 18 | (588,600 | ) | (9,198 | ) | ||||||||||
XSP S&P 500® Mini Index | 10/29/2021 | 368.48 | 18 | (588,600 | ) | (19,908 | ) | ||||||||||
(1,889,001 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
SPX S&P 500® Index | 10/29/2021 | 2,779.64 | 115 | (37,604,540 | ) | (2,065,860 | ) | ||||||||||
SPX S&P 500® Index | 10/29/2021 | 1,962.10 | 230 | (75,209,080 | ) | (1,004,870 | ) | ||||||||||
XSP S&P 500® Mini Index | 10/29/2021 | 277.96 | 18 | (588,600 | ) | (32,328 | ) | ||||||||||
XSP S&P 500® Mini Index | 10/29/2021 | 196.21 | 36 | (1,177,200 | ) | (15,732 | ) | ||||||||||
(3,118,790 | ) | ||||||||||||||||
Total Options Written (Premiums Received $5,005,290) | $ | (5,007,791 | ) | ||||||||||||||
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® POWER BUFFER ETF – DECEMBER
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 102.62% (a)(b) | ||||||||||||
CALL OPTIONS - 84.62% | ||||||||||||
SPX S&P 500® Index, Expires 11/30/2020, Strike Price $1,884.92 | 380 | $ | 124,258,480 | $ | 52,475,720 | |||||||
XSP S&P 500® Mini Index, Expires 11/30/2020, Strike Price $188.49 | 190 | 6,213,000 | 2,623,900 | |||||||||
55,099,620 | ||||||||||||
PUT OPTIONS - 18.00% | ||||||||||||
SPX S&P 500® Index, Expires 11/30/2020, Strike Price $3,769.84 | 190 | 62,129,240 | 9,614,950 | |||||||||
SPX S&P 500® Index, Expires 11/30/2020, Strike Price $3,141.53 | 190 | 62,129,240 | 1,543,750 | |||||||||
XSP S&P 500® Mini Index, Expires 11/30/2020, Strike Price $376.98 | 95 | 3,106,500 | 480,700 | |||||||||
XSP S&P 500® Mini Index, Expires 11/30/2020, Strike Price $314.15 | 95 | 3,106,500 | 77,140 | |||||||||
11,716,540 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $82,163,023) | 66,816,160 | |||||||||||
Principal | ||||||||||||
SHORT TERM INVESTMENTS - 0.00% (c) | Amount | |||||||||||
Money Market Deposit Account – 0.00% (c) | ||||||||||||
U.S. Bank Money Market Deposit Account, 0.03% (d) | $ | 1,477 | 1,477 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,477) | 1,477 | |||||||||||
Total Investments (Cost $82,164,500) – 102.62% | 66,817,637 | |||||||||||
Liabilities in Excess of Other Assets – (2.62)% | (1,706,201 | ) | ||||||||||
TOTAL NET ASSETS – 100.00% | $ | 65,111,436 |
Asset Type | % of Net Assets | |||
Purchased Options | 102.62 | % | ||
Short Term Investments | 0.00 | (b) | ||
Total Investments | 102.62 | |||
Liabilities in Excess of Other Assets | (2.62 | ) | ||
Net Assets | 100.00 | % | ||
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | Less than 0.005%. |
(d) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® POWER BUFFER ETF – DECEMBER
Schedule of Options Written (a) | |||||||||||||||||
October 31, 2020 | |||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
SPX S&P 500® Index | 11/30/2020 | $ | 3,769.84 | 190 | $ | (62,129,240 | ) | $ | (25,650 | ) | |||||||
SPX S&P 500® Index | 11/30/2020 | 3,412.80 | 190 | (62,129,240 | ) | (915,800 | ) | ||||||||||
XSP S&P 500® Mini Index | 11/30/2020 | 376.98 | 95 | (3,106,500 | ) | (1,235 | ) | ||||||||||
XSP S&P 500® Mini Index | 11/30/2020 | 341.28 | 95 | (3,106,500 | ) | (45,790 | ) | ||||||||||
(988,475 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
SPX S&P 500® Index | 11/30/2020 | 2,670.30 | 190 | (62,129,240 | ) | (274,170 | ) | ||||||||||
SPX S&P 500® Index | 11/30/2020 | 1,884.92 | 380 | (124,258,480 | ) | (65,740 | ) | ||||||||||
XSP S&P 500® Mini Index | 11/30/2020 | 267.03 | 95 | (3,106,500 | ) | (13,775 | ) | ||||||||||
XSP S&P 500® Mini Index | 11/30/2020 | 188.49 | 190 | (6,213,000 | ) | (3,420 | ) | ||||||||||
(357,105 | ) | ||||||||||||||||
Total Options Written (Premiums Received $1,448,315) | $ | (1,345,580 | ) | ||||||||||||||
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® ULTRA BUFFER ETF – JANUARY
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 102.56% (a)(b) | ||||||||||||
CALL OPTIONS - 80.91% | ||||||||||||
SPX S&P 500® Index, Expires 12/31/2020, Strike Price $1,938.17 | 662 | $ | 216,471,352 | $ | 88,547,890 | |||||||
XSP S&P 500® Mini Index, Expires 12/31/2020, Strike Price $193.83 | 156 | 5,101,200 | 2,086,428 | |||||||||
90,634,318 | ||||||||||||
PUT OPTIONS - 21.65% | ||||||||||||
SPX S&P 500® Index, Expires 12/31/2020, Strike Price $3,876.33 | 331 | 108,235,676 | 20,313,970 | |||||||||
SPX S&P 500® Index, Expires 12/31/2020, Strike Price $3,068.75 | 331 | 108,235,676 | 3,385,222 | |||||||||
XSP S&P 500® Mini Index, Expires 12/31/2020, Strike Price $387.65 | 78 | 2,550,600 | 478,829 | |||||||||
XSP S&P 500® Mini Index, Expires 12/31/2020, Strike Price $306.87 | 78 | 2,550,600 | 79,762 | |||||||||
24,257,783 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $148,892,108) | 114,892,101 | |||||||||||
Principal | ||||||||||||
SHORT TERM INVESTMENTS - 0.00% (c) | Amount | |||||||||||
Money Market Deposit Account – 0.00% (c) | ||||||||||||
U.S. Bank Money Market Deposit Account, 0.03% (d) | $ | 1,982 | 1,982 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,982) | 1,982 | |||||||||||
Total Investments (Cost $148,894,090) – 102.56% | 114,894,083 | |||||||||||
Liabilities in Excess of Other Assets – (2.56)% | (2,870,817 | ) | ||||||||||
TOTAL NET ASSETS – 100.00% | $ | 112,023,266 |
Asset Type | % of Net Assets | |||
Purchased Options | 102.56 | % | ||
Short Term Investments | 0.00 | (b) | ||
Total Investments | 102.56 | |||
Liabilities in Excess of Other Assets | (2.56 | ) | ||
Net Assets | 100.00 | % | ||
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | Less than 0.005%. |
(d) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® ULTRA BUFFER ETF – JANUARY
Schedule of Options Written (a) | |||||||||||||||||
October 31, 2020 | |||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
SPX S&P 500® Index | 12/31/2020 | $ | 3,876.33 | 331 | $ | (108,235,676 | ) | $ | (104,320 | ) | |||||||
SPX S&P 500® Index | 12/31/2020 | 3,478.99 | 331 | (108,235,676 | ) | (1,971,234 | ) | ||||||||||
XSP S&P 500® Mini Index | 12/31/2020 | 387.65 | 78 | (2,550,600 | ) | (2,456 | ) | ||||||||||
XSP S&P 500® Mini Index | 12/31/2020 | 347.90 | 78 | (2,550,600 | ) | (46,449 | ) | ||||||||||
(2,124,459 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
SPX S&P 500® Index | 12/31/2020 | 2,099.67 | 331 | (108,235,676 | ) | (296,040 | ) | ||||||||||
SPX S&P 500® Index | 12/31/2020 | 1,938.17 | 662 | (216,471,352 | ) | (419,060 | ) | ||||||||||
XSP S&P 500® Mini Index | 12/31/2020 | 209.97 | 78 | (2,550,600 | ) | (6,977 | ) | ||||||||||
XSP S&P 500® Mini Index | 12/31/2020 | 193.83 | 156 | (5,101,200 | ) | (9,878 | ) | ||||||||||
(731,955 | ) | ||||||||||||||||
Total Options Written (Premiums Received $1,289,157) | $ | (2,856,414 | ) | ||||||||||||||
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® ULTRA BUFFER ETF – FEBRUARY
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 104.58% (a)(b) | ||||||||||||
CALL OPTIONS - 81.97% | ||||||||||||
SPX S&P 500® Index, Expires 1/29/2021, Strike Price $1,935.10 | 102 | $ | 33,353,592 | $ | 13,700,077 | |||||||
XSP S&P 500® Mini Index, Expires 1/29/2021, Strike Price $193.52 | 918 | 30,018,600 | 12,329,172 | |||||||||
26,029,249 | ||||||||||||
PUT OPTIONS - 22.61% | ||||||||||||
SPX S&P 500® Index, Expires 1/29/2021, Strike Price $3,870.20 | 51 | 16,676,796 | 3,127,780 | |||||||||
SPX S&P 500® Index, Expires 1/29/2021, Strike Price $3,063.89 | 51 | 16,676,796 | 651,267 | |||||||||
XSP S&P 500® Mini Index, Expires 1/29/2021, Strike Price $387.04 | 459 | 15,009,300 | 2,815,883 | |||||||||
XSP S&P 500® Mini Index, Expires 1/29/2021, Strike Price $306.39 | 459 | 15,009,300 | 586,152 | |||||||||
7,181,082 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $45,933,113) | 33,210,331 | |||||||||||
Principal | ||||||||||||
SHORT TERM INVESTMENTS - 0.00% (c) | Amount | |||||||||||
Money Market Deposit Account – 0.00% (c) | ||||||||||||
U.S. Bank Money Market Deposit Account, 0.03% (d) | $ | 1,020 | 1,020 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,020) | 1,020 | |||||||||||
Total Investments (Cost $45,934,133) – 104.58% | 33,211,351 | |||||||||||
Liabilities in Excess of Other Assets – (4.58)% | (1,454,408 | ) | ||||||||||
TOTAL NET ASSETS – 100.00% | $ | 31,756,943 |
Asset Type | % of Net Assets | |||
Purchased Options | 104.58 | % | ||
Short Term Investments | 0.00 | (b) | ||
Total Investments | 104.58 | |||
Liabilities in Excess of Other Assets | (4.58 | ) | ||
Net Assets | 100.00 | % | ||
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | Less than 0.005%. |
(d) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® ULTRA BUFFER ETF – FEBRUARY
Schedule of Options Written (a) | |||||||||||||||||
October 31, 2020 | |||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
SPX S&P 500® Index | 1/29/2021 | $ | 3,870.20 | 51 | $ | (16,676,796 | ) | $ | (37,171 | ) | |||||||
SPX S&P 500® Index | 1/29/2021 | 3,469.94 | 51 | (16,676,796 | ) | (443,396 | ) | ||||||||||
XSP S&P 500® Mini Index | 1/29/2021 | 387.04 | 459 | (15,009,300 | ) | (33,417 | ) | ||||||||||
XSP S&P 500® Mini Index | 1/29/2021 | 346.99 | 459 | (15,009,300 | ) | (399,134 | ) | ||||||||||
(913,118 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
SPX S&P 500® Index | 1/29/2021 | 2,096.35 | 51 | (16,676,796 | ) | (78,972 | ) | ||||||||||
SPX S&P 500® Index | 1/29/2021 | 1,935.10 | 102 | (33,353,592 | ) | (114,230 | ) | ||||||||||
XSP S&P 500® Mini Index | 1/29/2021 | 209.63 | 459 | (15,009,300 | ) | (71,067 | ) | ||||||||||
XSP S&P 500® Mini Index | 1/29/2021 | 193.52 | 918 | (30,018,600 | ) | (102,829 | ) | ||||||||||
(367,098 | ) | ||||||||||||||||
Total Options Written (Premiums Received $481,486) | $ | (1,280,216 | ) | ||||||||||||||
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® ULTRA BUFFER ETF – MARCH
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 112.56% (a)(b) | ||||||||||||
CALL OPTIONS - 98.08% | ||||||||||||
SPX S&P 500® Index, Expires 2/26/2021, Strike Price $1,772.51 | 168 | $ | 54,935,328 | $ | 25,210,253 | |||||||
XSP S&P 500® Mini Index, Expires 2/26/2021, Strike Price $177.26 | 168 | 5,493,600 | 2,520,876 | |||||||||
27,731,129 | ||||||||||||
PUT OPTIONS - 14.48% | ||||||||||||
SPX S&P 500® Index, Expires 2/26/2021, Strike Price $3,545.02 | 84 | 27,467,664 | 2,963,471 | |||||||||
SPX S&P 500® Index, Expires 2/26/2021, Strike Price $2,806.46 | 84 | 27,467,664 | 757,751 | |||||||||
XSP S&P 500® Mini Index, Expires 2/26/2021, Strike Price $354.52 | 84 | 2,746,800 | 296,444 | |||||||||
XSP S&P 500® Mini Index, Expires 2/26/2021, Strike Price $280.65 | 84 | 2,746,800 | 75,781 | |||||||||
4,093,447 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $46,238,082) | 31,824,576 | |||||||||||
Principal | ||||||||||||
SHORT TERM INVESTMENTS - 0.00% (c) | Amount | |||||||||||
Money Market Deposit Account – 0.00% (c) | ||||||||||||
U.S. Bank Money Market Deposit Account, 0.03% (d) | $ | 1,025 | 1,025 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,025) | 1,025 | |||||||||||
Total Investments (Cost $46,239,107) – 112.56% | 31,825,601 | |||||||||||
Liabilities in Excess of Other Assets – (12.56)% | (3,551,019 | ) | ||||||||||
TOTAL NET ASSETS – 100.00% | $ | 28,274,582 |
Asset Type | % of Net Assets | |||
Purchased Options | 112.56 | % | ||
Short Term Investments | 0.00 | (b) | ||
Total Investments | 112.56 | |||
Liabilities in Excess of Other Assets | (12.56 | ) | ||
Net Assets | 100.00 | % | ||
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | Less than 0.005%. |
(d) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® ULTRA BUFFER ETF – MARCH
Schedule of Options Written (a) | |||||||||||||||||
October 31, 2020 | |||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
SPX S&P 500® Index | 2/26/2021 | $ | 3,545.02 | 84 | $ | (27,467,664 | ) | $ | (615,827 | ) | |||||||
SPX S&P 500® Index | 2/26/2021 | 3,189.32 | 84 | (27,467,664 | ) | (2,199,888 | ) | ||||||||||
XSP S&P 500® Mini Index | 2/26/2021 | 354.52 | 84 | (2,746,800 | ) | (61,528 | ) | ||||||||||
XSP S&P 500® Mini Index | 2/26/2021 | 318.93 | 84 | (2,746,800 | ) | (220,000 | ) | ||||||||||
(3,097,243 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
SPX S&P 500® Index | 2/26/2021 | 1,920.21 | 84 | (27,467,664 | ) | (123,806 | ) | ||||||||||
SPX S&P 500® Index | 2/26/2021 | 1,772.51 | 168 | (54,935,328 | ) | (184,495 | ) | ||||||||||
XSP S&P 500® Mini Index | 2/26/2021 | 192.02 | 84 | (2,746,800 | ) | (12,380 | ) | ||||||||||
XSP S&P 500® Mini Index | 2/26/2021 | 177.26 | 168 | (5,493,600 | ) | (18,453 | ) | ||||||||||
(339,134 | ) | ||||||||||||||||
Total Options Written (Premiums Received $639,074) | $ | (3,436,377 | ) | ||||||||||||||
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® ULTRA BUFFER ETF – APRIL
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 132.79% (a)(b) | ||||||||||||
CALL OPTIONS - 124.32% | ||||||||||||
SPX S&P 500® Index, Expires 3/31/2021, Strike Price $1,550.69 | 220 | $ | 71,939,120 | $ | 37,758,035 | |||||||
XSP S&P 500® Mini Index, Expires 3/31/2021, Strike Price $155.08 | 16 | 523,200 | 274,587 | |||||||||
38,032,622 | ||||||||||||
PUT OPTIONS - 8.47% | ||||||||||||
SPX S&P 500® Index, Expires 3/31/2021, Strike Price $3,101.38 | 110 | 35,969,560 | 1,971,880 | |||||||||
SPX S&P 500® Index, Expires 3/31/2021, Strike Price $2,455.25 | 110 | 35,969,560 | 601,655 | |||||||||
XSP S&P 500® Mini Index, Expires 3/31/2021, Strike Price $310.16 | 8 | 261,600 | 14,346 | |||||||||
XSP S&P 500® Mini Index, Expires 3/31/2021, Strike Price $245.52 | 8 | 261,600 | 4,375 | |||||||||
2,592,256 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $43,738,863) | 40,624,878 | |||||||||||
Principal | ||||||||||||
SHORT TERM INVESTMENTS - 0.01% | Amount | |||||||||||
Money Market Deposit Account – 0.01% | ||||||||||||
U.S. Bank Money Market Deposit Account, 0.03% (c) | $ | 3,367 | 3,367 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $3,367) | 3,367 | |||||||||||
Total Investments (Cost $43,742,230) – 132.80% | 40,628,245 | |||||||||||
Liabilities in Excess of Other Assets – (32.80)% | (10,034,707 | ) | ||||||||||
TOTAL NET ASSETS – 100.00% | $ | 30,593,538 |
Asset Type | % of Net Assets | |||
Purchased Options | 132.79 | % | ||
Short Term Investments | 0.01 | |||
Total Investments | 132.80 | |||
Liabilities in Excess of Other Assets | (32.80 | ) | ||
Net Assets | 100.00 | % | ||
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® ULTRA BUFFER ETF – APRIL
Schedule of Options Written (a) | |||||||||||||||||
October 31, 2020 | |||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
SPX S&P 500® Index | 3/31/2021 | $ | 3,101.38 | 110 | $ | (35,969,560 | ) | $ | (3,722,182 | ) | |||||||
SPX S&P 500® Index | 3/31/2021 | 2,837.75 | 110 | (35,969,560 | ) | (5,888,424 | ) | ||||||||||
XSP S&P 500® Mini Index | 3/31/2021 | 310.16 | 8 | (261,600 | ) | (27,058 | ) | ||||||||||
XSP S&P 500® Mini Index | 3/31/2021 | 283.77 | 8 | (261,600 | ) | (42,828 | ) | ||||||||||
(9,680,492 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
SPX S&P 500® Index | 3/31/2021 | 1,679.91 | 110 | (35,969,560 | ) | (132,740 | ) | ||||||||||
SPX S&P 500® Index | 3/31/2021 | 1,550.69 | 220 | (71,939,120 | ) | (208,185 | ) | ||||||||||
XSP S&P 500® Mini Index | 3/31/2021 | 167.99 | 8 | (261,600 | ) | (965 | ) | ||||||||||
XSP S&P 500® Mini Index | 3/31/2021 | 155.08 | 16 | (523,200 | ) | (1,515 | ) | ||||||||||
(343,405 | ) | ||||||||||||||||
Total Options Written (Premiums Received $3,333,554) | $ | (10,023,897 | ) | ||||||||||||||
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® ULTRA BUFFER ETF – MAY
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 116.34% (a)(b) | ||||||||||||
CALL OPTIONS - 100.71% | ||||||||||||
SPX S&P 500® Index, Expires 4/30/2021, Strike Price $1,746.61 | 64 | $ | 20,927,744 | $ | 9,767,150 | |||||||
XSP S&P 500® Mini Index, Expires 4/30/2021, Strike Price $174.67 | 64 | 2,092,800 | 976,658 | |||||||||
10,743,808 | ||||||||||||
PUT OPTIONS - 15.63% | ||||||||||||
SPX S&P 500® Index, Expires 4/30/2021, Strike Price $3,493.22 | 32 | 10,463,872 | 1,158,756 | |||||||||
SPX S&P 500® Index, Expires 4/30/2021, Strike Price $2,765.45 | 32 | 10,463,872 | 357,573 | |||||||||
XSP S&P 500® Mini Index, Expires 4/30/2021, Strike Price $349.34 | 32 | 1,046,400 | 115,883 | |||||||||
XSP S&P 500® Mini Index, Expires 4/30/2021, Strike Price $276.55 | 32 | 1,046,400 | 35,760 | |||||||||
1,667,972 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $15,769,483) | 12,411,780 | |||||||||||
Principal | ||||||||||||
SHORT TERM INVESTMENTS - 0.00% (c) | Amount | |||||||||||
Money Market Deposit Account - 0.00% (c) | ||||||||||||
U.S. Bank Money Market Deposit Account, 0.03% (d) | $ | 3 | 3 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $3) | 3 | |||||||||||
Total Investments (Cost $15,769,486) - 116.34% | 12,411,783 | |||||||||||
Liabilities in Excess of Other Assets - (16.34)% | (1,743,161 | ) | ||||||||||
TOTAL NET ASSETS - 100.00% | $ | 10,668,622 |
Asset Type | % of Net Assets | |||
Purchased Options | 116.34 | % | ||
Short Term Investments | 0.00 | (b) | ||
Total Investments | 116.34 | |||
Liabilities in Excess of Other Assets | (16.34 | ) | ||
Net Assets | 100.00 | % | ||
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | Less than 0.005%. |
(d) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® ULTRA BUFFER ETF – MAY
Schedule of Options Written (a) | |||||||||||||||||
October 31, 2020 | |||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
SPX S&P 500® Index | 4/30/2021 | $ | 3,493.22 | 32 | $ | (10,463,872 | ) | $ | (391,413 | ) | |||||||
SPX S&P 500® Index | 4/30/2021 | 3,160.47 | 32 | (10,463,872 | ) | (993,305 | ) | ||||||||||
XSP S&P 500® Mini Index | 4/30/2021 | 349.34 | 32 | (1,046,400 | ) | (39,116 | ) | ||||||||||
XSP S&P 500® Mini Index | 4/30/2021 | 316.05 | 32 | (1,046,400 | ) | (99,324 | ) | ||||||||||
(1,523,158 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
SPX S&P 500® Index | 4/30/2021 | 1,892.15 | 32 | (10,463,872 | ) | (62,867 | ) | ||||||||||
SPX S&P 500® Index | 4/30/2021 | 1,746.61 | 64 | (20,927,744 | ) | (104,853 | ) | ||||||||||
XSP S&P 500® Mini Index | 4/30/2021 | 189.22 | 32 | (1,046,400 | ) | (6,287 | ) | ||||||||||
XSP S&P 500® Mini Index | 4/30/2021 | 174.67 | 64 | (2,092,800 | ) | (10,487 | ) | ||||||||||
(184,494 | ) | ||||||||||||||||
Total Options Written (Premiums Received $798,605) | $ | (1,707,652 | ) | ||||||||||||||
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® ULTRA BUFFER ETF – JUNE
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 113.01% (a)(b) | ||||||||||||
CALL OPTIONS - 93.02% | ||||||||||||
SPX S&P 500® Index, Expires 5/28/2021, Strike Price $1,826.60 | 94 | $ | 30,737,624 | $ | 13,619,616 | |||||||
XSP S&P 500® Mini Index, Expires 5/28/2021, Strike Price $182.67 | 22 | 719,400 | 318,736 | |||||||||
13,938,352 | ||||||||||||
PUT OPTIONS - 19.99% | ||||||||||||
SPX S&P 500® Index, Expires 5/28/2021, Strike Price $3,653.19 | 47 | 15,368,812 | 2,219,116 | |||||||||
SPX S&P 500® Index, Expires 5/28/2021, Strike Price $2,892.09 | 47 | 15,368,812 | 707,548 | |||||||||
XSP S&P 500® Mini Index, Expires 5/28/2021, Strike Price $365.34 | 11 | 359,700 | 51,952 | |||||||||
XSP S&P 500® Mini Index, Expires 5/28/2021, Strike Price $289.21 | 11 | 359,700 | 16,560 | |||||||||
2,995,176 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $16,395,622) | 16,933,528 | |||||||||||
Principal | ||||||||||||
SHORT TERM INVESTMENTS - 0.01% | Amount | |||||||||||
Money Market Deposit Account – 0.01% | ||||||||||||
U.S. Bank Money Market Deposit Account, 0.03% (c) | $ | 1,870 | 1,870 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,870) | 1,870 | |||||||||||
Total Investments (Cost $16,397,492) – 113.02% | 16,935,398 | |||||||||||
Liabilities in Excess of Other Assets – (13.02)% | (1,951,415 | ) | ||||||||||
TOTAL NET ASSETS – 100.00% | $ | 14,983,983 |
Asset Type | % of Net Assets | |||
Purchased Options | 113.01 | % | ||
Short Term Investments | 0.01 | |||
Total Investments | 113.02 | |||
Liabilities in Excess of Other Assets | (13.02 | ) | ||
Net Assets | 100.00 | % | ||
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® ULTRA BUFFER ETF – JUNE
Schedule of Options Written (a) | |||||||||||||||||
October 31, 2020 | |||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
SPX S&P 500® Index | 5/28/2021 | $ | 3,653.19 | 47 | $ | (15,368,812 | ) | $ | (342,219 | ) | |||||||
SPX S&P 500® Index | 5/28/2021 | 3,265.02 | 47 | (15,368,812 | ) | (1,203,692 | ) | ||||||||||
XSP S&P 500® Mini Index | 5/28/2021 | 365.34 | 11 | (359,700 | ) | (8,002 | ) | ||||||||||
XSP S&P 500® Mini Index | 5/28/2021 | 326.50 | 11 | (359,700 | ) | (28,173 | ) | ||||||||||
(1,582,086 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
SPX S&P 500® Index | 5/28/2021 | 1,978.80 | 47 | (15,368,812 | ) | (135,821 | ) | ||||||||||
SPX S&P 500® Index | 5/28/2021 | 1,826.60 | 94 | (30,737,624 | ) | (206,959 | ) | ||||||||||
XSP S&P 500® Mini Index | 5/28/2021 | 197.88 | 11 | (359,700 | ) | (2,752 | ) | ||||||||||
XSP S&P 500® Mini Index | 5/28/2021 | 182.67 | 22 | (719,400 | ) | (4,845 | ) | ||||||||||
(350,377 | ) | ||||||||||||||||
Total Options Written (Premiums Received $1,506,371) | $ | (1,932,463 | ) | ||||||||||||||
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® ULTRA BUFFER ETF – JULY
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 112.83% (a)(b) | ||||||||||||
CALL OPTIONS - 90.23% | ||||||||||||
SPX S&P 500® Index, Expires 6/30/2021, Strike Price $1,860.15 | 244 | $ | 79,787,024 | $ | 34,500,074 | |||||||
XSP S&P 500® Mini Index, Expires 6/30/2021, Strike Price $186.02 | 86 | 2,812,200 | 1,215,945 | |||||||||
35,716,019 | ||||||||||||
PUT OPTIONS - 22.60% | ||||||||||||
SPX S&P 500® Index, Expires 6/30/2021, Strike Price $3,720.30 | 122 | 39,893,512 | 6,500,927 | |||||||||
SPX S&P 500® Index, Expires 6/30/2021, Strike Price $2,945.22 | 122 | 39,893,512 | 2,140,927 | |||||||||
XSP S&P 500® Mini Index, Expires 6/30/2021, Strike Price $372.05 | 43 | 1,406,100 | 229,195 | |||||||||
XSP S&P 500® Mini Index, Expires 6/30/2021, Strike Price $294.52 | 43 | 1,406,100 | 75,457 | |||||||||
8,946,506 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $43,661,709) | 44,662,525 | |||||||||||
Principal | ||||||||||||
SHORT TERM INVESTMENTS - 0.00% (c) | Amount | |||||||||||
Money Market Deposit Account – 0.00% (c) | ||||||||||||
U.S. Bank Money Market Deposit Account, 0.03% (d) | $ | 729 | 729 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $729) | 729 | |||||||||||
Total Investments (Cost $43,662,438) – 112.83% | 44,663,254 | |||||||||||
Liabilities in Excess of Other Assets – (12.83)% | (5,079,776 | ) | ||||||||||
TOTAL NET ASSETS – 100.00% | $ | 39,583,478 |
Asset Type | % of Net Assets | |||
Purchased Options | 112.83 | % | ||
Short Term Investments | 0.00 | (b) | ||
Total Investments | 112.83 | |||
Liabilities in Excess of Other Assets | (12.83 | ) | ||
Net Assets | 100.00 | % | ||
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | Less than 0.005%. |
(d) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® ULTRA BUFFER ETF – JULY
Schedule of Options Written (a) | |||||||||||||||||
October 31, 2020 | |||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
SPX S&P 500® Index | 6/30/2021 | $ | 3,720.30 | 122 | $ | (39,893,512 | ) | $ | (790,068 | ) | |||||||
SPX S&P 500® Index | 6/30/2021 | 3,318.18 | 122 | (39,893,512 | ) | (2,922,594 | ) | ||||||||||
XSP S&P 500® Mini Index | 6/30/2021 | 372.05 | 43 | (1,406,100 | ) | (27,824 | ) | ||||||||||
XSP S&P 500® Mini Index | 6/30/2021 | 331.82 | 43 | (1,406,100 | ) | (103,005 | ) | ||||||||||
(3,843,491 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
SPX S&P 500® Index | 6/30/2021 | 2,015.15 | 122 | (39,893,512 | ) | (490,380 | ) | ||||||||||
SPX S&P 500® Index | 6/30/2021 | 1,860.15 | 244 | (79,787,024 | ) | (696,299 | ) | ||||||||||
XSP S&P 500® Mini Index | 6/30/2021 | 201.51 | 43 | (1,406,100 | ) | (17,284 | ) | ||||||||||
XSP S&P 500® Mini Index | 6/30/2021 | 186.02 | 86 | (2,812,200 | ) | (24,553 | ) | ||||||||||
(1,228,516 | ) | ||||||||||||||||
Total Options Written (Premiums Received $4,244,391) | $ | (5,072,007 | ) | ||||||||||||||
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® ULTRA BUFFER ETF – AUGUST
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 109.52% (a)(b) | ||||||||||||
CALL OPTIONS - 80.66% | ||||||||||||
SPX S&P 500® Index, Expires 7/30/2021, Strike Price $1,962.77 | 270 | $ | 88,288,920 | $ | 35,657,039 | |||||||
XSP S&P 500® Mini Index, Expires 7/30/2021, Strike Price $196.29 | 90 | 2,943,000 | 1,188,458 | |||||||||
36,845,497 | ||||||||||||
PUT OPTIONS - 28.86% | ||||||||||||
SPX S&P 500® Index, Expires 7/30/2021, Strike Price $3,925.53 | 135 | 44,144,460 | 9,610,568 | |||||||||
SPX S&P 500® Index, Expires 7/30/2021, Strike Price $3,107.70 | 135 | 44,144,460 | 3,145,498 | |||||||||
XSP S&P 500® Mini Index, Expires 7/30/2021, Strike Price $392.57 | 45 | 1,471,500 | 320,420 | |||||||||
XSP S&P 500® Mini Index, Expires 7/30/2021, Strike Price $310.77 | 45 | 1,471,500 | 104,850 | |||||||||
13,181,336 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $51,280,135) | 50,026,833 | |||||||||||
Total Investments (Cost $51,280,135) - 109.52% | 50,026,833 | |||||||||||
Liabilities in Excess of Other Assets - (9.52)% | (4,348,216 | ) | ||||||||||
TOTAL NET ASSETS - 100.00% | $ | 45,678,617 |
Asset Type | % of Net Assets | |||
Purchased Options | 109.52 | % | ||
Total Investments | 109.52 | |||
Liabilities in Excess of Other Assets | (9.52 | ) | ||
Net Assets | 100.00 | % | ||
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® ULTRA BUFFER ETF – AUGUST
Schedule of Options Written (a) | |||||||||||||||||
October 31, 2020 | |||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
SPX S&P 500® Index | 7/30/2021 | $ | 3,925.53 | 135 | $ | (44,144,460 | ) | $ | (429,053 | ) | |||||||
SPX S&P 500® Index | 7/30/2021 | 3,505.16 | 135 | (44,144,460 | ) | (2,057,824 | ) | ||||||||||
XSP S&P 500® Mini Index | 7/30/2021 | 392.57 | 45 | (1,471,500 | ) | (14,290 | ) | ||||||||||
XSP S&P 500® Mini Index | 7/30/2021 | 350.52 | 45 | (1,471,500 | ) | (68,586 | ) | ||||||||||
(2,569,753 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
SPX S&P 500® Index | 7/30/2021 | 2,126.32 | 135 | (44,144,460 | ) | (629,717 | ) | ||||||||||
SPX S&P 500® Index | 7/30/2021 | 1,962.77 | 270 | (88,288,920 | ) | (1,093,801 | ) | ||||||||||
XSP S&P 500® Mini Index | 7/30/2021 | 212.63 | 45 | (1,471,500 | ) | (20,990 | ) | ||||||||||
XSP S&P 500® Mini Index | 7/30/2021 | 196.29 | 90 | (2,943,000 | ) | (45,599 | ) | ||||||||||
(1,790,107 | ) | ||||||||||||||||
Total Options Written (Premiums Received $4,589,356) | $ | (4,359,860 | ) | ||||||||||||||
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® ULTRA BUFFER ETF – SEPTEMBER
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 107.28% (a)(b) | ||||||||||||
CALL OPTIONS - 69.15% | ||||||||||||
SPX S&P 500® Index, Expires 8/31/2021, Strike Price $2,099.97 | 354 | $ | 115,756,584 | $ | 42,149,208 | |||||||
XSP S&P 500® Mini Index, Expires 8/31/2021, Strike Price $210.01 | 248 | 8,109,600 | 2,952,533 | |||||||||
45,101,741 | ||||||||||||
PUT OPTIONS - 38.13% | ||||||||||||
SPX S&P 500® Index, Expires 8/31/2021, Strike Price $4,199.95 | 177 | 57,878,292 | 17,260,712 | |||||||||
SPX S&P 500® Index, Expires 8/31/2021, Strike Price $3,324.94 | 177 | 57,878,292 | 5,980,630 | |||||||||
XSP S&P 500® Mini Index, Expires 8/31/2021, Strike Price $420.01 | 124 | 4,054,800 | 1,209,403 | |||||||||
XSP S&P 500® Mini Index, Expires 8/31/2021, Strike Price $332.49 | 124 | 4,054,800 | 418,961 | |||||||||
24,869,706 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $71,978,876) | 69,971,447 | |||||||||||
Total Investments (Cost $71,978,876) - 107.28% | 69,971,447 | |||||||||||
Liabilities in Excess of Other Assets - (7.28)% | (4,750,472 | ) | ||||||||||
TOTAL NET ASSETS - 100.00% | $ | 65,220,975 |
Asset Type | % of Net Assets | |||
Purchased Options | 107.28 | % | ||
Total Investments | 107.28 | |||
Liabilities in Excess of Other Assets | (7.28 | ) | ||
Net Assets | 100.00 | % | ||
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® ULTRA BUFFER ETF – SEPTEMBER
Schedule of Options Written (a) | |||||||||||||||||
October 31, 2020 | |||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
SPX S&P 500® Index | 8/31/2021 | $ | 4,199.95 | 177 | $ | (57,878,292 | ) | $ | (277,769 | ) | |||||||
SPX S&P 500® Index | 8/31/2021 | 3,784.14 | 177 | (57,878,292 | ) | (1,160,681 | ) | ||||||||||
XSP S&P 500® Mini Index | 8/31/2021 | 420.01 | 124 | (4,054,800 | ) | (7,770 | ) | ||||||||||
XSP S&P 500® Mini Index | 8/31/2021 | 378.41 | 124 | (4,054,800 | ) | (81,326 | ) | ||||||||||
(1,527,546 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
SPX S&P 500® Index | 8/31/2021 | 2,274.96 | 177 | (57,878,292 | ) | (1,213,354 | ) | ||||||||||
SPX S&P 500® Index | 8/31/2021 | 2,099.97 | 354 | (115,756,584 | ) | (1,787,425 | ) | ||||||||||
XSP S&P 500® Mini Index | 8/31/2021 | 227.50 | 124 | (4,054,800 | ) | (85,009 | ) | ||||||||||
XSP S&P 500® Mini Index | 8/31/2021 | 210.01 | 248 | (8,109,600 | ) | (125,247 | ) | ||||||||||
(3,211,035 | ) | ||||||||||||||||
Total Options Written (Premiums Received $6,015,237) | $ | (4,738,581 | ) | ||||||||||||||
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® ULTRA BUFFER ETF – OCTOBER
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 109.52% (a)(b) | ||||||||||||
CALL OPTIONS - 75.97% | ||||||||||||
SPX S&P 500® Index, Expires 9/30/2021, Strike Price $2,017.75 | 624 | $ | 204,045,504 | $ | 78,990,976 | |||||||
XSP S&P 500® Mini Index, Expires 9/30/2021, Strike Price $201.78 | 84 | 2,746,800 | 1,063,303 | |||||||||
80,054,279 | ||||||||||||
PUT OPTIONS - 33.55% | ||||||||||||
SPX S&P 500® Index, Expires 9/30/2021, Strike Price $4,035.50 | 312 | 102,022,752 | 25,646,702 | |||||||||
SPX S&P 500® Index, Expires 9/30/2021, Strike Price $3,194.76 | 312 | 102,022,752 | 9,235,938 | |||||||||
XSP S&P 500® Mini Index, Expires 9/30/2021, Strike Price $403.57 | 42 | 1,373,400 | 345,319 | |||||||||
XSP S&P 500® Mini Index, Expires 9/30/2021, Strike Price $319.48 | 42 | 1,373,400 | 124,331 | |||||||||
35,352,290 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $117,384,042) | 115,406,569 | |||||||||||
Total Investments (Cost $117,384,042) - 109.52% | 115,406,569 | |||||||||||
Liabilities in Excess of Other Assets - (9.52)% | (10,030,760 | ) | ||||||||||
TOTAL NET ASSETS - 100.00% | $ | 105,375,809 |
Asset Type | % of Net Assets | |||
Purchased Options | 109.52 | % | ||
Total Investments | 109.52 | |||
Liabilities in Excess of Other Assets | (9.52 | ) | ||
Net Assets | 100.00 | % | ||
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® ULTRA BUFFER ETF – OCTOBER
Schedule of Options Written (a) | |||||||||||||||||
October 31, 2020 | |||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
SPX S&P 500® Index | 9/30/2021 | $ | 4,035.50 | 312 | $ | (102,022,752 | ) | $ | (1,230,790 | ) | |||||||
SPX S&P 500® Index | 9/30/2021 | 3,635.97 | 312 | (102,022,752 | ) | (3,786,634 | ) | ||||||||||
XSP S&P 500® Mini Index | 9/30/2021 | 403.57 | 42 | (1,373,400 | ) | (16,568 | ) | ||||||||||
XSP S&P 500® Mini Index | 9/30/2021 | 363.60 | 42 | (1,373,400 | ) | (50,969 | ) | ||||||||||
(5,084,961 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
SPX S&P 500® Index | 9/30/2021 | 2,185.89 | 312 | (102,022,752 | ) | (1,981,683 | ) | ||||||||||
SPX S&P 500® Index | 9/30/2021 | 2,017.75 | 624 | (204,045,504 | ) | (2,884,781 | ) | ||||||||||
XSP S&P 500® Mini Index | 9/30/2021 | 218.59 | 42 | (1,373,400 | ) | (26,677 | ) | ||||||||||
XSP S&P 500® Mini Index | 9/30/2021 | 201.78 | 84 | (2,746,800 | ) | (38,837 | ) | ||||||||||
(4,931,978 | ) | ||||||||||||||||
Total Options Written (Premiums Received $11,016,354) | $ | (10,016,939 | ) | ||||||||||||||
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® ULTRA BUFFER ETF – NOVEMBER
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 111.34% (a)(b) | ||||||||||||
CALL OPTIONS - 80.09% | ||||||||||||
SPX S&P 500® Index, Expires 10/29/2021, Strike Price $1,962.11 | 52 | $ | 17,003,792 | $ | 6,812,832 | |||||||
XSP S&P 500® Mini Index, Expires 10/29/2021, Strike Price $196.22 | 22 | 719,400 | 288,222 | |||||||||
7,101,054 | ||||||||||||
PUT OPTIONS - 31.25% | ||||||||||||
SPX S&P 500® Index, Expires 10/29/2021, Strike Price $3,924.22 | 26 | 8,501,896 | 1,927,588 | |||||||||
SPX S&P 500® Index, Expires 10/29/2021, Strike Price $3,106.66 | 26 | 8,501,896 | 731,276 | |||||||||
XSP S&P 500® Mini Index, Expires 10/29/2021, Strike Price $392.44 | 11 | 359,700 | 81,554 | |||||||||
XSP S&P 500® Mini Index, Expires 10/29/2021, Strike Price $310.67 | 11 | 359,700 | 30,943 | |||||||||
2,771,361 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $9,872,915) | 9,872,415 | |||||||||||
Principal | ||||||||||||
SHORT TERM INVESTMENTS - 0.01% | Amount | |||||||||||
Money Market Deposit Account – 0.01% | ||||||||||||
U.S. Bank Money Market Deposit Account, 0.03% (c) | $ | 1,106 | 1,106 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,106) | 1,106 | |||||||||||
Total Investments (Cost $9,874,021) – 111.35% | 9,873,521 | |||||||||||
Liabilities in Excess of Other Assets – (11.35)% | (1,006,722 | ) | ||||||||||
TOTAL NET ASSETS – 100.00% | $ | 8,866,799 |
Asset Type | % of Net Assets | |||
Purchased Options | 111.34 | % | ||
Short Term Investments | 0.01 | |||
Total Investments | 111.35 | |||
Liabilities in Excess of Other Assets | (11.35 | ) | ||
Net Assets | 100.00 | % | ||
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® ULTRA BUFFER ETF – NOVEMBER
Schedule of Options Written (a) | |||||||||||||||||
October 31, 2020 | |||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
SPX S&P 500® Index | 10/29/2021 | $ | 3,924.22 | 26 | $ | (8,501,896 | ) | $ | (133,302 | ) | |||||||
SPX S&P 500® Index | 10/29/2021 | 3,538.32 | 26 | (8,501,896 | ) | (429,130 | ) | ||||||||||
XSP S&P 500® Mini Index | 10/29/2021 | 392.44 | 11 | (359,700 | ) | (5,632 | ) | ||||||||||
XSP S&P 500® Mini Index | 10/29/2021 | 353.83 | 11 | (359,700 | ) | (18,172 | ) | ||||||||||
(586,236 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
SPX S&P 500® Index | 10/29/2021 | 2,125.61 | 26 | (8,501,896 | ) | (163,020 | ) | ||||||||||
SPX S&P 500® Index | 10/29/2021 | 1,962.11 | 52 | (17,003,792 | ) | (243,828 | ) | ||||||||||
XSP S&P 500® Mini Index | 10/29/2021 | 212.56 | 11 | (359,700 | ) | (6,897 | ) | ||||||||||
XSP S&P 500® Mini Index | 10/29/2021 | 196.22 | 22 | (719,400 | ) | (10,318 | ) | ||||||||||
(424,063 | ) | ||||||||||||||||
Total Options Written (Premiums Received $1,009,674) | $ | (1,010,299 | ) | ||||||||||||||
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® ULTRA BUFFER ETF – DECEMBER
Schedule of Investments
October 31, 2020
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 103.01% (a)(b) | ||||||||||||
CALL OPTIONS - 86.03% | ||||||||||||
SPX S&P 500® Index, Expires 11/30/2020, Strike Price $1,884.93 | 140 | $ | 45,779,440 | $ | 19,463,468 | |||||||
XSP S&P 500® Mini Index, Expires 11/30/2020, Strike Price $188.48 | 70 | 2,289,000 | 973,264 | |||||||||
20,436,732 | ||||||||||||
PUT OPTIONS - 16.98% | ||||||||||||
SPX S&P 500® Index, Expires 11/30/2020, Strike Price $3,769.86 | 70 | 22,889,720 | 3,522,013 | |||||||||
SPX S&P 500® Index, Expires 11/30/2020, Strike Price $2,984.45 | 70 | 22,889,720 | 318,160 | |||||||||
XSP S&P 500® Mini Index, Expires 11/30/2020, Strike Price $377.01 | 35 | 1,144,500 | 176,184 | |||||||||
XSP S&P 500® Mini Index, Expires 11/30/2020, Strike Price $298.45 | 35 | 1,144,500 | 15,911 | |||||||||
4,032,268 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $35,123,421) | 24,469,000 | |||||||||||
Principal | ||||||||||||
SHORT TERM INVESTMENTS - 0.00% (c) | Amount | |||||||||||
Money Market Deposit Account – 0.00% (c) | ||||||||||||
U.S. Bank Money Market Deposit Account, 0.03% (d) | $ | 1,013 | 1,013 | |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,013) | 1,013 | |||||||||||
Total Investments (Cost $35,124,434) – 103.01% | 24,470,013 | |||||||||||
Liabilities in Excess of Other Assets – (3.01)% | (714,325 | ) | ||||||||||
TOTAL NET ASSETS – 100.00% | $ | 23,755,688 |
Asset Type | % of Net Assets | |||
Purchased Options | 103.01 | % | ||
Short Term Investments | 0.00 | |||
Total Investments | 103.01 | |||
Liabilities in Excess of Other Assets | (3.01 | ) | ||
Net Assets | 100.00 | % | ||
Percentages are stated as a percent of net assets. |
(a) | Exchange-Traded. |
(b) | Purchased option contracts are held in connection with corresponding option contracts written short. |
(c) | Less than 0.005%. |
(d) | The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and may change daily and by any amount. The rate shown is as of October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR S&P 500® ULTRA BUFFER ETF – DECEMBER
Schedule of Options Written (a) | |||||||||||||||||
October 31, 2020 | |||||||||||||||||
Description | Expiration | Strike Price | Contracts | Notional Amount | Value | ||||||||||||
Call Options | |||||||||||||||||
SPX S&P 500® Index | 11/30/2020 | $ | 3,769.86 | 70 | $ | (22,889,720 | ) | $ | (11,736 | ) | |||||||
SPX S&P 500® Index | 11/30/2020 | 3,372.72 | 70 | (22,889,720 | ) | (492,670 | ) | ||||||||||
XSP S&P 500® Mini Index | 11/30/2020 | 377.01 | 35 | (1,144,500 | ) | (586 | ) | ||||||||||
XSP S&P 500® Mini Index | 11/30/2020 | 337.27 | 35 | (1,144,500 | ) | (24,637 | ) | ||||||||||
(529,629 | ) | ||||||||||||||||
Put Options | |||||||||||||||||
SPX S&P 500® Index | 11/30/2020 | 2,041.99 | 70 | (22,889,720 | ) | (19,846 | ) | ||||||||||
SPX S&P 500® Index | 11/30/2020 | 1,884.93 | 140 | (45,779,440 | ) | (24,354 | ) | ||||||||||
XSP S&P 500® Mini Index | 11/30/2020 | 204.20 | 35 | (1,144,500 | ) | (992 | ) | ||||||||||
XSP S&P 500® Mini Index | 11/30/2020 | 188.48 | 70 | (2,289,000 | ) | (1,218 | ) | ||||||||||
(46,410 | ) | ||||||||||||||||
Total Options Written (Premiums Received $198,013) | $ | (576,039 | ) | ||||||||||||||
(a) Exchange-Traded. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Statements of Assets and Liabilities
October 31, 2020
Innovator S&P 500® Buffer ETF - January | Innovator S&P 500® Buffer ETF - February | Innovator S&P 500® Buffer ETF - March | Innovator S&P 500® Buffer ETF - April | |||||||||||||
Assets: | ||||||||||||||||
Investments, at value (a) | $ | 129,552,668 | $ | 38,979,390 | $ | 25,991,601 | $ | 86,164,467 | ||||||||
ETF variable fee receivable | 3,001 | - | - | - | ||||||||||||
Receivable for investments sold | 15,311,068 | - | - | - | ||||||||||||
Deposit at broker for options | 103,326 | - | - | - | ||||||||||||
Total Assets | 144,970,063 | 38,979,390 | 25,991,601 | 86,164,467 | ||||||||||||
Liabilities: | ||||||||||||||||
Payable for fund shares redeemed | 14,883,900 | - | - | - | ||||||||||||
Payable to Adviser | 101,174 | 25,814 | 18,618 | 52,155 | ||||||||||||
Payable for investments purchased | 446,322 | - | - | - | ||||||||||||
Broker interest payable | 2,135 | 115 | 58 | 14 | ||||||||||||
Due to broker for options | - | 178,556 | 82,153 | 7,207 | ||||||||||||
Options written, at value (b) | 3,769,360 | 1,767,340 | 2,155,562 | 16,496,275 | ||||||||||||
Total Liabilities | 19,202,891 | 1,971,825 | 2,256,391 | 16,555,651 | ||||||||||||
Net Assets | $ | 125,767,172 | $ | 37,007,565 | $ | 23,735,210 | $ | 69,608,816 | ||||||||
Net Assets Consist of: | ||||||||||||||||
Capital stock | $ | 136,193,020 | $ | 37,144,222 | $ | 23,735,210 | $ | 69,608,816 | ||||||||
Total distributable earnings/(accumulated deficit) | (10,425,848 | ) | (136,657 | ) | - | - | ||||||||||
Net Assets | $ | 125,767,172 | $ | 37,007,565 | $ | 23,735,210 | $ | 69,608,816 | ||||||||
Net Asset Value: | ||||||||||||||||
Net assets | $ | 125,767,172 | $ | 37,007,565 | $ | 23,735,210 | $ | 69,608,816 | ||||||||
Shares of beneficial interest outstanding (unlimted shares without par value authorized) | 4,225,000 | 1,475,000 | 850,000 | 2,450,000 | ||||||||||||
Net asset value price per share | $ | 29.77 | $ | 25.09 | $ | 27.92 | $ | 28.41 | ||||||||
(a) Cost of investments | $ | 138,568,224 | $ | 44,315,304 | $ | 32,592,034 | $ | 108,093,932 | ||||||||
(b) Premiums received | 4,810,318 | 1,244,757 | 968,326 | 4,203,136 |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Statements of Assets and Liabilities
October 31, 2020
Innovator S&P 500® Buffer ETF - May | Innovator S&P 500® Buffer ETF - June | Innovator S&P 500® Buffer ETF - July | Innovator S&P 500® Buffer ETF - August | |||||||||||||
Assets: | ||||||||||||||||
Investments, at value (a) | $ | 17,999,746 | $ | 35,720,325 | $ | 75,487,794 | $ | 53,391,501 | ||||||||
Deposit at broker for options | - | - | 25,771 | - | ||||||||||||
Total Assets | 17,999,746 | 35,720,325 | 75,513,565 | 53,391,501 | ||||||||||||
Liabilities: | ||||||||||||||||
Payable to Adviser | 11,286 | 24,006 | 44,606 | 33,814 | ||||||||||||
Broker interest payable | 24 | 7 | 12 | 11 | ||||||||||||
Due to broker for options | 39,880 | 4,233 | - | 15,705 | ||||||||||||
Options written, at value (b) | 1,893,925 | 3,520,188 | 7,713,897 | 5,242,821 | ||||||||||||
Total Liabilities | 1,945,115 | 3,548,434 | 7,758,515 | 5,292,351 | ||||||||||||
Net Assets | $ | 16,054,631 | $ | 32,171,891 | $ | 67,755,050 | $ | 48,099,150 | ||||||||
Net Assets Consist of: | ||||||||||||||||
Capital stock | $ | 16,054,631 | $ | 32,171,891 | $ | 67,755,050 | $ | 48,099,150 | ||||||||
Total distributable earnings/(accumulated deficit) | - | - | - | - | ||||||||||||
Net Assets | $ | 16,054,631 | $ | 32,171,891 | $ | 67,755,050 | $ | 48,099,150 | ||||||||
Net Asset Value: | ||||||||||||||||
Net assets | $ | 16,054,631 | $ | 32,171,891 | $ | 67,755,050 | $ | 48,099,150 | ||||||||
Shares of beneficial interest outstanding (unlimted shares without par value authorized) | 575,000 | 1,100,000 | 2,425,000 | 1,750,000 | ||||||||||||
Net asset value price per share | $ | 27.92 | $ | 29.25 | $ | 27.94 | $ | 27.49 | ||||||||
(a) Cost of investments | $ | 23,069,121 | $ | 42,270,353 | $ | 74,246,996 | $ | 57,271,541 | ||||||||
(b) Premiums received | 764,903 | 2,162,546 | 8,155,854 | 4,425,602 |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Statements of Assets and Liabilities
October 31, 2020
Innovator S&P 500® Buffer ETF - September | Innovator S&P 500® Buffer ETF - | Innovator S&P 500® Buffer ETF - | Innovator S&P 500® Buffer ETF - | |||||||||||||
Assets: | ||||||||||||||||
Investments, at value (a) | $ | 87,478,835 | $ | 83,003,096 | $ | 17,017,020 | $ | 25,433,042 | ||||||||
ETF variable fee receivable | 1,325 | 1,030 | - | - | ||||||||||||
Receivable for investments sold | - | - | 17,111,898 | - | ||||||||||||
Deposit at broker for options | 49,623 | 45,960 | - | - | ||||||||||||
Total Assets | 87,529,783 | 83,050,086 | 34,128,918 | 25,433,042 | ||||||||||||
Liabilities: | ||||||||||||||||
Payable to Adviser | 48,562 | 49,109 | 11,419 | 18,848 | ||||||||||||
Payable for investments purchased | - | - | 17,016,834 | - | ||||||||||||
Broker interest payable | 576 | 281 | 49 | 81 | ||||||||||||
Due to broker for options | - | - | 71,710 | 113,638 | ||||||||||||
Options written, at value (b) | 9,588,809 | 9,387,766 | 2,005,981 | 342,094 | ||||||||||||
Total Liabilities | 9,637,947 | 9,437,156 | 19,105,993 | 474,661 | ||||||||||||
Net Assets | $ | 77,891,836 | $ | 73,612,930 | $ | 15,022,923 | $ | 24,958,381 | ||||||||
Net Assets Consist of: | ||||||||||||||||
Capital stock | $ | 79,284,915 | $ | 73,612,930 | $ | 15,022,923 | $ | 24,958,381 | ||||||||
Total distributable earnings/(accumulated deficit) | (1,393,079 | ) | - | - | - | |||||||||||
Net Assets | $ | 77,891,836 | $ | 73,612,930 | $ | 15,022,923 | $ | 24,958,381 | ||||||||
Net Asset Value: | ||||||||||||||||
Net assets | $ | 77,891,836 | $ | 73,612,930 | $ | 15,022,923 | $ | 24,958,381 | ||||||||
Shares of beneficial interest outstanding (unlimted shares without par value authorized) | 2,950,000 | 2,700,000 | 550,000 | 900,000 | ||||||||||||
Net asset value price per share | $ | 26.40 | $ | 27.26 | $ | 27.31 | $ | 27.73 | ||||||||
(a) Cost of investments | $ | 92,879,395 | $ | 85,872,341 | $ | 17,017,869 | $ | 30,833,450 | ||||||||
(b) Premiums received | 8,236,553 | 8,482,711 | 2,004,920 | 304,870 |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Statements of Assets and Liabilities
October 31, 2020
Innovator S&P 500® Power Buffer ETF - January | Innovator S&P 500® Power Buffer ETF - February | Innovator S&P 500® Power Buffer ETF - March | Innovator S&P 500® Power Buffer ETF - April | |||||||||||||
Assets: | ||||||||||||||||
Investments, at value (a) | $ | 298,091,995 | $ | 121,560,202 | $ | 80,267,068 | $ | 240,265,268 | ||||||||
Deposit at broker for options | 85,767 | - | - | 67,880 | ||||||||||||
Total Assets | 298,177,762 | 121,560,202 | 80,267,068 | 240,333,148 | ||||||||||||
Liabilities: | ||||||||||||||||
Payable to Adviser | 199,796 | 85,981 | 53,897 | 135,960 | ||||||||||||
Broker interest payable | 81 | 342 | 163 | 44 | ||||||||||||
Due to broker for options | - | 516,694 | 241,197 | - | ||||||||||||
Options written, at value (b) | 9,381,238 | 5,836,002 | 8,076,969 | 53,119,182 | ||||||||||||
Total Liabilities | 9,581,115 | 6,439,019 | 8,372,226 | 53,255,186 | ||||||||||||
Net Assets | $ | 288,596,647 | $ | 115,121,183 | $ | 71,894,842 | $ | 187,077,962 | ||||||||
Net Assets Consist of: | ||||||||||||||||
Capital stock | $ | 288,596,647 | $ | 115,121,183 | $ | 71,894,842 | $ | 187,077,962 | ||||||||
Total distributable earnings/(accumulated deficit) | - | - | - | - | ||||||||||||
Net Assets | $ | 288,596,647 | $ | 115,121,183 | $ | 71,894,842 | $ | 187,077,962 | ||||||||
Net Asset Value: | ||||||||||||||||
Net assets | $ | 288,596,647 | $ | 115,121,183 | $ | 71,894,842 | $ | 187,077,962 | ||||||||
Shares of beneficial interest outstanding (unlimted shares without par value authorized) | 9,925,000 | 4,600,000 | 2,625,000 | 7,050,000 | ||||||||||||
Net asset value price per share | $ | 29.08 | $ | 25.03 | $ | 27.39 | $ | 26.54 | ||||||||
(a) Cost of investments | $ | 334,020,644 | $ | 149,266,785 | $ | 102,148,196 | $ | 304,832,149 | ||||||||
(b) Premiums received | 9,575,395 | 3,238,792 | 3,614,410 | 12,799,051 |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Statements of Assets and Liabilities
October 31, 2020
Innovator S&P 500® Power Buffer ETF - May | Innovator S&P 500® Power Buffer ETF - | Innovator S&P 500® Power Buffer ETF - | Innovator S&P 500® Power Buffer ETF - August | |||||||||||||
Assets: | ||||||||||||||||
Investments, at value (a) | $ | 75,135,934 | $ | 106,340,531 | $ | 125,529,593 | $ | 121,637,875 | ||||||||
Deposit at broker for options | - | 53,410 | 84,455 | 11,715 | ||||||||||||
Total Assets | 75,135,934 | 106,393,941 | 125,614,048 | 121,649,590 | ||||||||||||
Liabilities: | ||||||||||||||||
Payable to Adviser | 46,254 | 67,182 | 77,420 | 76,529 | ||||||||||||
Broker interest payable | 95 | 19 | 30 | 16 | ||||||||||||
Due to broker for options | 152,634 | - | - | - | ||||||||||||
Options written, at value (b) | 9,310,637 | 11,738,346 | 13,777,752 | 12,115,065 | ||||||||||||
Total Liabilities | 9,509,620 | 11,805,547 | 13,855,202 | 12,191,610 | ||||||||||||
Net Assets | $ | 65,626,314 | $ | 94,588,394 | $ | 111,758,846 | $ | 109,457,980 | ||||||||
Net Assets Consist of: | ||||||||||||||||
Capital stock | $ | 65,626,314 | $ | 94,588,394 | $ | 111,758,846 | $ | 109,457,980 | ||||||||
Total distributable earnings/(accumulated deficit) | - | - | - | - | ||||||||||||
Net Assets | $ | 65,626,314 | $ | 94,588,394 | $ | 111,758,846 | $ | 109,457,980 | ||||||||
Net Asset Value: | ||||||||||||||||
Net assets | $ | 65,626,314 | $ | 94,588,394 | $ | 111,758,846 | $ | 109,457,980 | ||||||||
Shares of beneficial interest outstanding (unlimted shares without par value authorized) | 2,400,000 | 3,275,000 | 4,075,000 | 4,075,000 | ||||||||||||
Net asset value price per share | $ | 27.34 | $ | 28.88 | $ | 27.43 | $ | 26.86 | ||||||||
(a) Cost of investments | $ | 97,613,993 | $ | 129,799,038 | $ | 123,986,300 | $ | 130,307,470 | ||||||||
(b) Premiums received | 3,736,415 | 6,795,703 | 13,436,621 | 10,534,218 |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Statements of Assets and Liabilities
October 31, 2020
Innovator S&P 500® Power Buffer ETF - September | Innovator S&P 500® Power Buffer ETF - October | Innovator S&P 500® Power Buffer ETF - November | Innovator S&P 500® Power Buffer ETF - December | |||||||||||||
Assets: | ||||||||||||||||
Investments, at value (a) | $ | 318,376,981 | $ | 212,635,018 | $ | 43,203,612 | $ | 66,817,637 | ||||||||
Interest receivable | 1 | - | - | - | ||||||||||||
ETF variable fee receivable | - | 1,634 | 6,862 | - | ||||||||||||
Receivable for investments sold | - | - | 48,952,858 | 703,288 | ||||||||||||
Deposit at broker for options | 120,174 | 93,927 | - | - | ||||||||||||
Total Assets | 318,497,156 | 212,730,579 | 92,163,332 | 67,520,925 | ||||||||||||
Liabilities: | ||||||||||||||||
Payable for fund shares redeemed | - | - | 5,460,290 | 685,385 | ||||||||||||
Payable to Adviser | 165,895 | 117,962 | 42,858 | 50,719 | ||||||||||||
Payable for investments purchased | - | - | 43,205,613 | 14,213 | ||||||||||||
Broker interest payable | - | 773 | 6,017 | 222 | ||||||||||||
Due to broker for options | - | - | 223,548 | 313,370 | ||||||||||||
Options written, at value (b) | 30,943,326 | 22,645,303 | 5,007,791 | 1,345,580 | ||||||||||||
Total Liabilities | 31,109,221 | 22,764,038 | 53,946,117 | 2,409,489 | ||||||||||||
Net Assets | $ | 287,387,935 | $ | 189,966,541 | $ | 38,217,215 | $ | 65,111,436 | ||||||||
Net Assets Consist of: | ||||||||||||||||
Capital stock | $ | 290,305,469 | $ | 189,966,541 | $ | 38,217,215 | $ | 65,111,436 | ||||||||
Total distributable earnings/(accumulated deficit) | (2,917,534 | ) | - | - | - | |||||||||||
Net Assets | $ | 287,387,935 | $ | 189,966,541 | $ | 38,217,215 | $ | 65,111,436 | ||||||||
Net Asset Value: | ||||||||||||||||
Net assets | $ | 287,387,935 | $ | 189,966,541 | $ | 38,217,215 | $ | 65,111,436 | ||||||||
Shares of beneficial interest outstanding (unlimted shares without par value authorized) | 11,050,000 | 7,300,000 | 1,400,000 | 2,375,000 | ||||||||||||
Net asset value price per share | $ | 26.01 | $ | 26.02 | $ | 27.30 | $ | 27.42 | ||||||||
(a) Cost of investments | $ | 328,459,867 | $ | 216,092,992 | $ | 43,205,613 | $ | 82,164,500 | ||||||||
(b) Premiums received | 34,540,734 | 23,552,752 | 5,005,290 | 1,448,315 |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Statements of Assets and Liabilities
October 31, 2020
Innovator S&P 500® Ultra Buffer ETF - January | Innovator S&P 500® Ultra Buffer ETF - February | Innovator S&P 500® Ultra Buffer ETF - March | Innovator S&P 500® Ultra Buffer ETF - | |||||||||||||
Assets: | ||||||||||||||||
Investments, at value (a) | $ | 114,894,083 | $ | 33,211,351 | $ | 31,825,601 | $ | 40,628,245 | ||||||||
Deposit at broker for options | 66,830 | - | - | 11,402 | ||||||||||||
Total Assets | 114,960,913 | 33,211,351 | 31,825,601 | 40,639,647 | ||||||||||||
Liabilities: | ||||||||||||||||
Payable to Adviser | 81,202 | 23,116 | 21,768 | 22,205 | ||||||||||||
Broker interest payable | 31 | 105 | - | 7 | ||||||||||||
Due to broker for options | - | 150,971 | 92,874 | - | ||||||||||||
Options written, at value (b) | 2,856,414 | 1,280,216 | 3,436,377 | 10,023,897 | ||||||||||||
Total Liabilities | 2,937,647 | 1,454,408 | 3,551,019 | 10,046,109 | ||||||||||||
Net Assets | $ | 112,023,266 | $ | 31,756,943 | $ | 28,274,582 | $ | 30,593,538 | ||||||||
Net Assets Consist of: | ||||||||||||||||
Capital stock | $ | 112,023,266 | $ | 31,756,943 | $ | 28,274,582 | $ | 30,593,538 | ||||||||
Total distributable earnings/(accumulated deficit) | - | - | - | - | ||||||||||||
Net Assets | $ | 112,023,266 | $ | 31,756,943 | $ | 28,274,582 | $ | 30,593,538 | ||||||||
Net Asset Value: | ||||||||||||||||
Net assets | $ | 112,023,266 | $ | 31,756,943 | $ | 28,274,582 | $ | 30,593,538 | ||||||||
Shares of beneficial interest outstanding (unlimted shares without par value authorized) | 3,950,000 | 1,275,000 | 1,050,000 | 1,250,000 | ||||||||||||
Net asset value price per share | $ | 28.36 | $ | 24.91 | $ | 26.93 | $ | 24.47 | ||||||||
(a) Cost of investments | $ | 148,894,090 | $ | 45,934,133 | $ | 46,239,107 | $ | 43,742,230 | ||||||||
(b) Premiums received | 1,289,157 | 481,486 | 639,074 | 3,333,554 |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Statements of Assets and Liabilities
October 31, 2020
Innovator S&P 500® Ultra Buffer ETF - | Innovator S&P 500® Ultra Buffer ETF - | Innovator S&P 500® Ultra Buffer ETF - | Innovator S&P 500® Ultra Buffer ETF - August | |||||||||||||
Assets: | ||||||||||||||||
Investments, at value (a) | $ | 12,411,783 | $ | 16,935,398 | $ | 44,663,254 | $ | 50,026,833 | ||||||||
Deposit at broker for options | - | - | 19,716 | 40,530 | ||||||||||||
Total Assets | 12,411,783 | 16,935,398 | 44,682,970 | 50,067,363 | ||||||||||||
Liabilities: | ||||||||||||||||
Payable to Adviser | 7,410 | 10,100 | 27,474 | 28,875 | ||||||||||||
Broker interest payable | - | 4 | 11 | 11 | ||||||||||||
Due to broker for options | 28,099 | 8,848 | - | - | ||||||||||||
Options written, at value (b) | 1,707,652 | 1,932,463 | 5,072,007 | 4,359,860 | ||||||||||||
Total Liabilities | 1,743,161 | 1,951,415 | 5,099,492 | 4,388,746 | ||||||||||||
Net Assets | $ | 10,668,622 | $ | 14,983,983 | $ | 39,583,478 | $ | 45,678,617 | ||||||||
Net Assets Consist of: | ||||||||||||||||
Capital stock | $ | 10,668,622 | $ | 14,983,983 | $ | 39,583,478 | $ | 45,678,617 | ||||||||
Total distributable earnings/(accumulated deficit) | - | - | - | - | ||||||||||||
Net Assets | $ | 10,668,622 | $ | 14,983,983 | $ | 39,583,478 | $ | 45,678,617 | ||||||||
Net Asset Value: | ||||||||||||||||
Net assets | $ | 10,668,622 | $ | 14,983,983 | $ | 39,583,478 | $ | 45,678,617 | ||||||||
Shares of beneficial interest outstanding (unlimted shares without par value authorized) | 400,000 | 550,000 | 1,550,000 | 1,700,000 | ||||||||||||
Net asset value price per share | $ | 26.67 | $ | 27.24 | $ | 25.54 | $ | 26.87 | ||||||||
(a) Cost of investments | $ | 15,769,486 | $ | 16,397,492 | $ | 43,662,438 | $ | 51,280,135 | ||||||||
(b) Premiums received | 798,605 | 1,506,371 | 4,244,391 | 4,589,356 |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Statements of Assets and Liabilities
October 31, 2020
Innovator S&P 500® Ultra Buffer ETF - September | Innovator S&P 500® Ultra Buffer ETF - October | Innovator S&P 500® Ultra Buffer ETF - November | Innovator S&P 500® Ultra Buffer ETF - December | |||||||||||||
Assets: | ||||||||||||||||
Investments, at value (a) | $ | 69,971,447 | $ | 115,406,569 | $ | 9,873,521 | $ | 24,470,013 | ||||||||
ETF variable fee receivable | 970 | 968 | - | - | ||||||||||||
Receivable for investments sold | - | - | 9,936,524 | - | ||||||||||||
Deposit at broker for options | 22,280 | 52,571 | - | - | ||||||||||||
Total Assets | 69,994,697 | 115,460,108 | 19,810,045 | 24,470,013 | ||||||||||||
Liabilities: | ||||||||||||||||
Payable to Adviser | 34,961 | 66,934 | 6,483 | 18,005 | ||||||||||||
Payable for investments purchased | - | - | 9,872,915 | - | ||||||||||||
Broker interest payable | 180 | 426 | 37 | 84 | ||||||||||||
Due to broker for options | - | - | 53,512 | 120,197 | ||||||||||||
Options written, at value (b) | 4,738,581 | 10,016,939 | 1,010,299 | 576,039 | ||||||||||||
Total Liabilities | 4,773,722 | 10,084,299 | 10,943,246 | 714,325 | ||||||||||||
Net Assets | $ | 65,220,975 | $ | 105,375,809 | $ | 8,866,799 | $ | 23,755,688 | ||||||||
Net Assets Consist of: | ||||||||||||||||
Capital stock | $ | 65,220,975 | $ | 105,375,809 | $ | 8,866,799 | $ | 23,755,688 | ||||||||
Total distributable earnings/(accumulated deficit) | - | - | - | - | ||||||||||||
Net Assets | $ | 65,220,975 | $ | 105,375,809 | $ | 8,866,799 | $ | 23,755,688 | ||||||||
Net Asset Value: | ||||||||||||||||
Net assets | $ | 65,220,975 | $ | 105,375,809 | $ | 8,866,799 | $ | 23,755,688 | ||||||||
Shares of beneficial interest outstanding (unlimited shares without par value authorized) | 2,525,000 | 4,100,000 | 325,000 | 875,000 | ||||||||||||
Net asset value price per share | $ | 25.83 | $ | 25.70 | $ | 27.28 | $ | 27.15 | ||||||||
(a) Cost of investments | $ | 71,978,876 | $ | 117,384,042 | $ | 9,874,021 | $ | 35,124,434 | ||||||||
(b) Premiums received | 6,015,237 | 11,016,354 | 1,009,674 | 198,013 |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Statements of Operations
For the Year or Period Ended October 31, 2020
Innovator S&P 500® Buffer ETF - | Innovator S&P 500® Buffer ETF - February | (a) | Innovator S&P 500® Buffer ETF - | (b) | Innovator S&P 500® Buffer ETF - | |||||||||||
Investment Income: | ||||||||||||||||
Interest | $ | 165 | $ | 10 | $ | 20 | $ | 14 | ||||||||
Total Investment Income | 165 | 10 | 20 | 14 | ||||||||||||
Expenses: | ||||||||||||||||
Investment advisory fee | 948,299 | 207,665 | 117,646 | 525,131 | ||||||||||||
Broker interest | 1,023 | 405 | 160 | 1,638 | ||||||||||||
Total Expenses | 949,322 | 208,070 | 117,806 | 526,769 | ||||||||||||
Net Investment Income/(Loss) | (949,157 | ) | (208,060 | ) | (117,786 | ) | (526,755 | ) | ||||||||
Realized & Unrealized Gain/(Loss): | ||||||||||||||||
Net realized gain/(loss) on: | ||||||||||||||||
Investments | 12,306,601 | 6,319,577 | 8,037,719 | 35,862,358 | ||||||||||||
Options written | (14,831,133 | ) | (282,572 | ) | 1,884,343 | 5,232,609 | ||||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | (7,984,829 | ) | (5,335,914 | ) | (6,600,433 | ) | (19,358,509 | ) | ||||||||
Options written | 1,001,137 | (522,583 | ) | (1,187,236 | ) | (12,318,612 | ) | |||||||||
Net Realized and Unrealized Gain/(Loss) on Investments and Options Written | (9,508,224 | ) | 178,508 | 2,134,393 | 9,417,846 | |||||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | (10,457,381 | ) | $ | (29,552 | ) | $ | 2,016,607 | $ | 8,891,091 |
(a) Since Commencement of Operations on January 31, 2020.
(b) Since Commencement of Operations on February 28, 2020.
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Statements of Operations
For the Year or Period Ended October 31, 2020
Innovator S&P 500® Buffer ETF - May | (a) | Innovator S&P 500® Buffer ETF - June | Innovator S&P 500® Buffer ETF - July | Innovator S&P 500® Buffer ETF - August | ||||||||||||
Investment Income: | ||||||||||||||||
Interest | $ | 1 | $ | 2 | $ | 96 | $ | 9 | ||||||||
Total Investment Income | 1 | 2 | 96 | 9 | ||||||||||||
Expenses: | ||||||||||||||||
Investment advisory fee | 62,424 | 207,405 | 593,043 | 323,534 | ||||||||||||
Broker interest | 58 | 626 | 110 | 1,150 | ||||||||||||
Total Expenses | 62,482 | 208,031 | 593,153 | 324,684 | ||||||||||||
Net Investment Income/(Loss) | (62,481 | ) | (208,029 | ) | (593,057 | ) | (324,675 | ) | ||||||||
Realized & Unrealized Gain/(Loss): | ||||||||||||||||
Net realized gain/(loss) on: | ||||||||||||||||
Investments | 6,476,916 | 9,877,950 | (2,174,540 | ) | 4,435,550 | |||||||||||
Options written | 1,244,013 | 3,558,364 | 3,510,821 | 2,295,341 | ||||||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | (5,069,375 | ) | (6,175,093 | ) | 4,874,112 | (1,623,434 | ) | |||||||||
Options written | (1,129,022 | ) | (1,316,006 | ) | 544,132 | (705,994 | ) | |||||||||
Net Realized and Unrealized Gain/(Loss) on Investments and Options Written | 1,522,532 | 5,945,215 | 6,754,525 | 4,401,463 | ||||||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | 1,460,051 | $ | 5,737,186 | $ | 6,161,468 | $ | 4,076,788 |
(a) Since Commencement of Operations on April 30, 2020.
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Statements of Operations
For the Year or Period Ended October 31, 2020
Innovator S&P 500® Buffer ETF - September | Innovator S&P 500® Buffer ETF - | Innovator S&P 500® Buffer ETF - November | Innovator S&P 500® Buffer ETF - | (a) | ||||||||||||
Investment Income: | ||||||||||||||||
Interest | $ | 17 | $ | 255 | $ | 48 | $ | 30 | ||||||||
Total Investment Income | 17 | 255 | 48 | 30 | ||||||||||||
Expenses: | ||||||||||||||||
Investment advisory fee | 127,891 | 850,846 | 205,946 | 178,507 | ||||||||||||
Broker interest | 599 | 219 | 319 | 466 | ||||||||||||
Total Expenses | 128,490 | 851,065 | 206,265 | 178,973 | ||||||||||||
Net Investment Income/(Loss) | (128,473 | ) | (850,810 | ) | (206,217 | ) | (178,943 | ) | ||||||||
Realized & Unrealized Gain/(Loss): | ||||||||||||||||
Net realized gain/(loss) on: | ||||||||||||||||
Investments | 3,474,143 | 4,181,836 | 1,590,027 | 6,734,897 | ||||||||||||
Options written | 1,942,603 | 1,423,529 | 990,070 | (475,706 | ) | |||||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | (5,331,035 | ) | 424,112 | (729 | ) | (5,400,408 | ) | |||||||||
Options written | (1,356,222 | ) | (368,237 | ) | (911 | ) | (37,224 | ) | ||||||||
Net Realized and Unrealized Gain/(Loss) on Investments and Options Written | (1,270,511 | ) | 5,661,240 | 2,578,457 | 821,559 | |||||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | (1,398,984 | ) | $ | 4,810,430 | $ | 2,372,240 | $ | 642,616 |
(a) Since Commencement of Operations on November 29, 2019.
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Statements of Operations
For the Year or Period Ended October 31, 2020
Innovator S&P 500® Power Buffer ETF - January | Innovator S&P 500® Power Buffer ETF - February | (a) | Innovator S&P 500® Power Buffer ETF - March | (b) | Innovator S&P 500® Power Buffer ETF - April | |||||||||||
Investment Income: | ||||||||||||||||
Interest | $ | 139 | $ | 153 | $ | 11 | $ | 314 | ||||||||
Total Investment Income | 139 | 153 | 11 | 314 | ||||||||||||
Expenses: | ||||||||||||||||
Investment advisory fee | 1,587,880 | 531,074 | 337,611 | 1,337,707 | ||||||||||||
Broker interest | 2,187 | 1,161 | 543 | 3,916 | ||||||||||||
Total Expenses | 1,590,067 | 532,235 | 338,154 | 1,341,623 | ||||||||||||
Net Investment Income/(Loss) | (1,589,928 | ) | (532,082 | ) | (338,143 | ) | (1,341,309 | ) | ||||||||
Realized & Unrealized Gain/(Loss): | ||||||||||||||||
Net realized gain/(loss) on: | ||||||||||||||||
Investments | 37,340,708 | 31,904,641 | 26,816,308 | 110,546,417 | ||||||||||||
Options written | (11,644,234 | ) | 4,476,532 | 5,413,705 | 8,986,488 | |||||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | (25,045,851 | ) | (27,706,583 | ) | (21,881,128 | ) | (54,845,877 | ) | ||||||||
Options written | 4,047,797 | (2,597,210 | ) | (4,462,559 | ) | (39,938,066 | ) | |||||||||
Net Realized and Unrealized Gain/(Loss) on Investments and Options Written | 4,698,420 | 6,077,380 | 5,886,326 | 24,748,962 | ||||||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | 3,108,492 | $ | 5,545,298 | $ | 5,548,183 | $ | 23,407,653 |
(a) Since Commencement of Operations on January 31, 2020.
(b) Since Commencement of Operations on February 28, 2020.
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Statements of Operations
For the Year or Period Ended October 31, 2020
Innovator S&P 500® Power Buffer ETF - | (a) | Innovator S&P 500® Power Buffer ETF - | Innovator S&P 500® Power Buffer ETF - | Innovator S&P 500® Power Buffer ETF - August | ||||||||||||
Investment Income: | ||||||||||||||||
Interest | $ | 7 | $ | 24 | $ | 302 | $ | 305 | ||||||||
Total Investment Income | 7 | 24 | 302 | 305 | ||||||||||||
Expenses: | ||||||||||||||||
Investment advisory fee | 290,283 | 475,634 | 881,743 | 690,450 | ||||||||||||
Broker interest | 209 | 1,200 | 217 | 1,452 | ||||||||||||
Total Expenses | 290,492 | 476,834 | 881,960 | 691,902 | ||||||||||||
Net Investment Income/(Loss) | (290,485 | ) | (476,810 | ) | (881,658 | ) | (691,597 | ) | ||||||||
Realized & Unrealized Gain/(Loss): | ||||||||||||||||
Net realized gain/(loss) on: | ||||||||||||||||
Investments | 28,819,723 | 25,956,609 | 533,009 | 4,632,913 | ||||||||||||
Options written | 5,377,386 | 11,512,006 | 12,263,477 | (237,985 | ) | |||||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | (22,478,059 | ) | (21,621,699 | ) | 2,828,030 | (301,090 | ) | |||||||||
Options written | (5,574,222 | ) | (4,470,788 | ) | (178,477 | ) | (741,156 | ) | ||||||||
Net Realized and Unrealized Gain/(Loss) on Investments and Options Written | 6,144,828 | 11,376,128 | 15,446,039 | 3,352,682 | ||||||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | 5,854,343 | $ | 10,899,318 | $ | 14,564,381 | $ | 2,661,085 |
(a) Since Commencement of Operations on April 30, 2020.
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Statements of Operations
For the Year or Period Ended October 31, 2020
Innovator S&P 500® Power Buffer ETF - September | Innovator S&P 500® Power Buffer ETF - October | Innovator S&P 500® Power Buffer ETF - November | Innovator S&P 500® Power Buffer ETF - December | (a) | ||||||||||||
Investment Income: | ||||||||||||||||
Interest | $ | 36 | $ | 746 | $ | 61 | $ | 72 | ||||||||
Total Investment Income | 36 | 746 | 61 | 72 | ||||||||||||
Expenses: | ||||||||||||||||
Investment advisory fee | 483,661 | 1,969,275 | 460,211 | 413,113 | ||||||||||||
Broker interest | 832 | 1,371 | 1,274 | 1,058 | ||||||||||||
Total Expenses | 484,493 | 1,970,646 | 461,485 | 414,171 | ||||||||||||
Net Investment Income/(Loss) | (484,457 | ) | (1,969,900 | ) | (461,424 | ) | (414,099 | ) | ||||||||
Realized & Unrealized Gain/(Loss): | ||||||||||||||||
Net realized gain/(loss) on: | ||||||||||||||||
Investments | 4,906,680 | 25,570,226 | 3,217,465 | 16,082,503 | ||||||||||||
Options written | (1,859,548 | ) | 1,674,597 | 2,239,808 | 1,045,170 | |||||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | (9,200,385 | ) | (11,840,698 | ) | (1,881 | ) | (15,346,863 | ) | ||||||||
Options written | 3,693,409 | (1,052,241 | ) | (2,351 | ) | 102,735 | ||||||||||
Net Realized and Unrealized Gain/(Loss) on Investments and Options Written | (2,459,844 | ) | 14,351,884 | 5,453,041 | 1,883,545 | |||||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | (2,944,301 | ) | $ | 12,381,984 | $ | 4,991,617 | $ | 1,469,446 |
(a) Since Commencement of Operations on November 29, 2019.
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Statements of Operations
For the Year or Period Ended October 31, 2020
Innovator S&P 500® Ultra Buffer ETF - January | Innovator S&P 500® Ultra Buffer ETF - February | (a) | Innovator S&P 500® Ultra Buffer ETF - March | (b) | Innovator S&P 500® Ultra Buffer ETF - April | |||||||||||
Investment Income: | ||||||||||||||||
Interest | $ | 362 | $ | 114 | $ | 2 | $ | 45 | ||||||||
Total Investment Income | 362 | 114 | 2 | 45 | ||||||||||||
Expenses: | ||||||||||||||||
Investment advisory fee | 798,622 | 180,988 | 161,745 | 235,056 | ||||||||||||
Broker interest | 1,022 | 381 | 201 | 837 | ||||||||||||
Total Expenses | 799,644 | 181,369 | 161,946 | 235,893 | ||||||||||||
Net Investment Income/(Loss) | (799,282 | ) | (181,255 | ) | (161,944 | ) | (235,848 | ) | ||||||||
Realized & Unrealized Gain/(Loss): | ||||||||||||||||
Net realized gain/(loss) on: | ||||||||||||||||
Investments | 38,179,825 | 13,297,040 | 17,101,837 | 10,337,215 | ||||||||||||
Options written | (3,605,511 | ) | 2,110,088 | 3,920,861 | (978,113 | ) | ||||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | (28,020,777 | ) | (12,722,782 | ) | (14,413,506 | ) | (1,637,003 | ) | ||||||||
Options written | 835,959 | (798,730 | ) | (2,797,303 | ) | (6,617,078 | ) | |||||||||
Net Realized and Unrealized Gain/(Loss) on Investments and Options Written | 7,389,496 | 1,885,616 | 3,811,889 | 1,105,021 | ||||||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | 6,590,214 | $ | 1,704,361 | $ | 3,649,945 | $ | 869,173 |
(a) Since Commencement of Operations on January 31, 2020.
(b) Since Commencement of Operations on February 28, 2020.
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Statements of Operations
For the Year or Period Ended October 31, 2020
Innovator S&P 500® Ultra Buffer ETF - | (a) | Innovator S&P 500® Ultra Buffer ETF - June | Innovator S&P 500® Ultra Buffer ETF - | Innovator S&P 500® Ultra Buffer ETF - August | ||||||||||||
Investment Income: | ||||||||||||||||
Interest | $ | 1 | $ | 25 | $ | 263 | $ | 60 | ||||||||
Total Investment Income | 1 | 25 | 263 | 60 | ||||||||||||
Expenses: | ||||||||||||||||
Investment advisory fee | 40,720 | 127,816 | 392,856 | 241,959 | ||||||||||||
Broker interest | 42 | 61 | 197 | 897 | ||||||||||||
Total Expenses | 40,762 | 127,877 | 393,053 | 242,856 | ||||||||||||
Net Investment Income/(Loss) | (40,761 | ) | (127,852 | ) | (392,790 | ) | (242,796 | ) | ||||||||
Realized & Unrealized Gain/(Loss): | ||||||||||||||||
Net realized gain/(loss) on: | ||||||||||||||||
Investments | 4,275,023 | 3,739,916 | 4,636,852 | 2,742,661 | ||||||||||||
Options written | 442,927 | 1,297,956 | 5,528,500 | 1,626,138 | ||||||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | (3,357,703 | ) | 245,337 | (896,425 | ) | (322,135 | ) | |||||||||
Options written | (909,047 | ) | (426,034 | ) | (1,015,400 | ) | 316,688 | |||||||||
Net Realized and Unrealized Gain/(Loss) on Investments and Options Written | 451,200 | 4,857,175 | 8,253,527 | 4,363,352 | ||||||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | 410,439 | $ | 4,729,323 | $ | 7,860,737 | $ | 4,120,556 |
(a) Since Commencement of Operations on April 30, 2020.
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Statements of Operations
For the Year or Period Ended October 31, 2020
Innovator S&P 500® Ultra Buffer ETF - September | Innovator S&P 500® Ultra Buffer ETF - October | Innovator S&P 500® Ultra Buffer ETF - November | Innovator S&P 500® Ultra Buffer ETF - December | (a) | ||||||||||||
Investment Income: | ||||||||||||||||
Interest | $ | 12 | $ | 983 | $ | 5 | $ | 9 | ||||||||
Total Investment Income | 12 | 983 | 5 | 9 | ||||||||||||
Expenses: | ||||||||||||||||
Investment advisory fee | 110,165 | 942,087 | 70,046 | 173,686 | ||||||||||||
Broker interest | 336 | 217 | 207 | 431 | ||||||||||||
Total Expenses | 110,501 | 942,304 | 70,253 | 174,117 | ||||||||||||
Net Investment Income/(Loss) | (110,489 | ) | (941,321 | ) | (70,248 | ) | (174,108 | ) | ||||||||
Realized & Unrealized Gain/(Loss): | ||||||||||||||||
Net realized gain/(loss) on: | ||||||||||||||||
Investments | 1,591,063 | 7,558,817 | 334,128 | 11,661,226 | ||||||||||||
Options written | (624,002 | ) | 3,029,729 | 586,632 | 1,856,097 | |||||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | (1,808,942 | ) | (920,638 | ) | (380 | ) | (10,654,421 | ) | ||||||||
Options written | 1,310,547 | 1,398,972 | (475 | ) | (378,026 | ) | ||||||||||
Net Realized and Unrealized Gain/(Loss) on Investments and Options Written | 468,666 | 11,066,880 | 919,905 | 2,484,876 | ||||||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | 358,177 | $ | 10,125,559 | $ | 849,657 | $ | 2,310,768 |
(a) Since Commencement of Operations on November 29, 2019.
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Statements of Changes in Net Assets
Innovator S&P 500® Buffer ETF - January | ||||||||
Year Ended | Period Ended | |||||||
October 31, 2020 | October 31, 2019 | (a) | ||||||
Operations: | ||||||||
Net investment income/(loss) | $ | (949,157 | ) | $ | (169,040 | ) | ||
Net realized gain/(loss) | (2,524,532 | ) | 4,928,917 | |||||
Net change in unrealized appreciation/(depreciation) | (6,983,692 | ) | (990,906 | ) | ||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | (10,457,381 | ) | 3,768,971 | |||||
Distributions to Shareholders: | ||||||||
Distributions to shareholders | (1,017,030 | ) | - | |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold | 260,866,950 | 94,379,830 | ||||||
Cost of shares redeemed | (146,066,843 | ) | (75,922,182 | ) | ||||
Transaction fees (see Note 5) | 174,265 | 40,592 | ||||||
Net Increase/(Decrease) in Net Assets from Capital Share Transactions | 114,974,372 | 18,498,240 | ||||||
Total Increase/(Decrease) in Net Assets | $ | 103,499,961 | $ | 22,267,211 | ||||
Net Assets: | ||||||||
Beginning of period | $ | 22,267,211 | $ | - | ||||
End of period | $ | 125,767,172 | 22,267,211 | |||||
Change in Shares Outstanding: | ||||||||
Shares sold | 8,950,000 | 3,350,000 | ||||||
Shares redeemed | (5,475,000 | ) | (2,600,000 | ) | ||||
Net Increase/(Decrease) | 3,475,000 | 750,000 |
(a) Since Commencement of Operations on December 31, 2018.
(b) Since Commencement of Operations on January 31, 2020.
(c) Since Commencement of Operations on February 28, 2020.
(d) Since Commencement of Operations on March 29, 2019.
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Innovator S&P 500® Buffer ETF - February | Innovator S&P 500® Buffer ETF - March | Innovator S&P 500® Buffer ETF - April | ||||||||||||
Period Ended | Period Ended | Year Ended | Period Ended | |||||||||||
October 31, 2020 | (b) | October 31, 2020 | (c) | October 31, 2020 | October 31, 2019 | (d) | ||||||||
$ | (208,060 | ) | $ | (117,786 | ) | $ | (526,755 | ) | $ | (169,213 | ) | |||
6,037,005 | 9,922,062 | 41,094,967 | 4,673,846 | |||||||||||
(5,858,497 | ) | (7,787,669 | ) | (31,677,121 | ) | (2,545,483 | ) | |||||||
(29,552 | ) | 2,016,607 | 8,891,091 | 1,959,150 | ||||||||||
- | - | - | - | |||||||||||
89,892,165 | 53,155,163 | 170,270,402 | 84,460,788 | |||||||||||
(52,887,208 | ) | (31,451,945 | ) | (150,937,325 | ) | (45,150,175 | ) | |||||||
32,160 | 15,385 | 90,026 | 24,859 | |||||||||||
37,037,117 | 21,718,603 | 19,423,103 | 39,335,472 | |||||||||||
$ | 37,007,565 | $ | 23,735,210 | $ | 28,314,194 | $ | 41,294,622 | |||||||
$ | - | $ | - | $ | 41,294,622 | $ | - | |||||||
$ | 37,007,565 | $ | 23,735,210 | $ | 69,608,816 | $ | 41,294,622 | |||||||
3,600,000 | 1,975,000 | 6,400,000 | 3,250,000 | |||||||||||
(2,125,000 | ) | (1,125,000 | ) | (5,500,000 | ) | (1,700,000 | ) | |||||||
1,475,000 | 850,000 | 900,000 | 1,550,000 |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Statements of Changes in Net Assets
Innovator S&P 500® Buffer ETF - May | Innovator S&P 500® Buffer ETF - June | |||||||||||
Period Ended | Year Ended | Period Ended | ||||||||||
October 31, 2020 | (a) | October 31, 2020 | October 31, 2019 | (b) | ||||||||
Operations: | ||||||||||||
Net investment income/(loss) | $ | (62,481 | ) | $ | (208,029 | ) | $ | (14,086 | ) | |||
Net realized gain/(loss) | 7,720,929 | 13,436,314 | 750,653 | |||||||||
Net change in unrealized appreciation/(depreciation) | (6,198,397 | ) | (7,491,099 | ) | (416,571 | ) | ||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | 1,460,051 | 5,737,186 | 319,996 | |||||||||
Capital Share Transactions: | ||||||||||||
Proceeds from shares sold | 33,202,590 | 146,347,913 | 11,264,325 | |||||||||
Cost of shares redeemed | (18,616,105 | ) | (124,756,895 | ) | (6,796,575 | ) | ||||||
Transaction fees (see Note 5) | 8,095 | 51,707 | 4,234 | |||||||||
Net Increase/(Decrease) in Net Assets from Capital Share Transactions | 14,594,580 | 21,642,725 | 4,471,984 | |||||||||
Total Increase/(Decrease) in Net Assets | $ | 16,054,631 | $ | 27,379,911 | $ | 4,791,980 | ||||||
Net Assets: | ||||||||||||
Beginning of period | $ | - | $ | 4,791,980 | $ | - | ||||||
End of period | $ | 16,054,631 | $ | 32,171,891 | 4,791,980 | |||||||
Change in Shares Outstanding: | ||||||||||||
Shares sold | 1,225,000 | 5,350,000 | 425,000 | |||||||||
Shares redeemed | (650,000 | ) | (4,425,000 | ) | (250,000 | ) | ||||||
Net Increase/(Decrease) | 575,000 | 925,000 | 175,000 |
(a) Since Commencement of Operations on April 30, 2020.
(b) Since Commencement of Operations on May 31, 2019.
(c) Since Commencement of Operations on July 31, 2019.
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Innovator S&P 500® Buffer ETF - July | Innovator S&P 500® Buffer ETF - August | |||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||
October 31, 2020 | October 31, 2019 | October 31, 2020 | October 31, 2019 | (c) | ||||||||||
$ | (593,057 | ) | $ | (313,702 | ) | $ | (324,675 | ) | $ | (77,646 | ) | |||
1,336,281 | 6,781,679 | 6,730,891 | 3,638,806 | |||||||||||
5,418,244 | (3,632,039 | ) | (2,329,428 | ) | (2,367,831 | ) | ||||||||
6,161,468 | 2,835,938 | 4,076,788 | 1,193,329 | |||||||||||
173,292,918 | 213,606,985 | 126,080,661 | 93,155,852 | |||||||||||
(195,436,705 | ) | (136,585,255 | ) | (129,312,403 | ) | (47,151,380 | ) | |||||||
98,143 | 90,155 | 32,695 | 23,608 | |||||||||||
(22,045,644 | ) | 77,111,885 | (3,199,047 | ) | 46,028,080 | |||||||||
$ | (15,884,176 | ) | $ | 79,947,823 | $ | 877,741 | $ | 47,221,409 | ||||||
$ | 83,639,226 | $ | 3,691,403 | $ | 47,221,409 | $ | - | |||||||
$ | 67,755,050 | 83,639,226 | $ | 48,099,150 | $ | 47,221,409 | ||||||||
6,400,000 | 8,200,000 | 4,650,000 | 3,700,000 | |||||||||||
(7,125,000 | ) | (5,200,000 | ) | (4,750,000 | ) | (1,850,000 | ) | |||||||
(725,000 | ) | 3,000,000 | (100,000 | ) | 1,850,000 |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Statements of Changes in Net Assets
Innovator S&P 500® Buffer ETF - | ||||||||
Year Ended | Period Ended | |||||||
October 31, | October 31, | (a) | ||||||
Operations: | ||||||||
Net investment income/(loss) | $ | (128,473 | ) | $ | (6,188 | ) | ||
Net realized gain/(loss) | 5,416,746 | 240,066 | ||||||
Net change in unrealized appreciation/(depreciation) | (6,687,257 | ) | (65,559 | ) | ||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | (1,398,984 | ) | 168,319 | |||||
Distributions to Shareholders: | ||||||||
Distributions to shareholders | (62,944 | ) | - | |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold | 171,162,679 | 11,175,633 | ||||||
Cost of shares redeemed | (96,283,425 | ) | (6,919,955 | ) | ||||
Transaction fees (see Note 5) | 45,871 | 4,642 | ||||||
Net Increase/(Decrease) in Net Assets from Capital Share Transactions | 74,925,125 | 4,260,320 | ||||||
Total Increase/(Decrease) in Net Assets | $ | 73,463,197 | $ | 4,428,639 | ||||
Net Assets: | ||||||||
Beginning of period | $ | 4,428,639 | $ | - | ||||
End of period | $ | 77,891,836 | 4,428,639 | |||||
Change in Shares Outstanding: | ||||||||
Shares sold | 6,350,000 | 450,000 | ||||||
Shares redeemed | (3,575,000 | ) | (275,000 | ) | ||||
Net Increase/(Decrease) | 2,775,000 | 175,000 |
(a) Since Commencement of Operations on August 30, 2019. |
(b) Since Commencement of Operations on October 31, 2019. |
(c) Since Commencement of Operations on November 29, 2019. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Innovator S&P 500® Buffer ETF - October | Innovator S&P 500® Buffer ETF - November | Innovator S&P 500® Buffer ETF - December | ||||||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | Period Ended | ||||||||||||||
October 31, | October 31, | October 31, 2020 | October 31, 2019 | October 31, 2020 | ||||||||||||||
$ | (850,810 | ) | $ | (611,776 | ) | $ | (206,217 | ) | $ | - | $ | (178,943 | ) | |||||
5,605,365 | 8,446,278 | 2,580,097 | - | 6,259,191 | ||||||||||||||
55,875 | (3,724,640 | ) | (1,640 | ) | (270 | ) | (5,437,632 | ) | ||||||||||
4,810,430 | 4,109,862 | 2,372,240 | (270 | ) | 642,616 | |||||||||||||
(364,251 | ) | - | - | - | - | |||||||||||||
163,667,065 | 546,923,618 | 77,947,528 | 2,553,000 | 80,876,160 | ||||||||||||||
(267,675,532 | ) | (399,145,303 | ) | (67,906,798 | ) | - | (56,602,177 | ) | ||||||||||
77,615 | 127,164 | 57,223 | - | 41,782 | ||||||||||||||
(103,930,852 | ) | 147,905,479 | 10,097,953 | 2,553,000 | 24,315,765 | |||||||||||||
$ | (99,484,673 | ) | $ | 152,015,341 | $ | 12,470,193 | $ | 2,552,730 | $ | 24,958,381 | ||||||||
$ | 173,097,603 | $ | 21,082,262 | $ | 2,552,730 | $ | - | $ | - | |||||||||
$ | 73,612,930 | 173,097,603 | $ | 15,022,923 | 2,552,730 | $ | 24,958,381 | |||||||||||
5,900,000 | 21,925,000 | 2,950,000 | 100,000 | 3,000,000 | ||||||||||||||
(10,075,000 | ) | (15,950,000 | ) | (2,500,000 | ) | - | (2,100,000 | ) | ||||||||||
(4,175,000 | ) | 5,975,000 | 450,000 | 100,000 | 900,000 |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Statements of Changes in Net Assets
Innovator S&P 500® Power Buffer ETF - January | ||||||||
Year Ended | Period Ended | |||||||
October 31, 2020 | October 31, 2019 | (a) | ||||||
Operations: | ||||||||
Net investment income/(loss) | $ | (1,589,928 | ) | $ | (493,426 | ) | ||
Net realized gain/(loss) | 25,696,474 | 23,810,678 | ||||||
Net change in unrealized appreciation/(depreciation) | (20,998,054 | ) | (14,736,438 | ) | ||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | 3,108,492 | 8,580,814 | ||||||
Distributions to Shareholders: | ||||||||
Distributions to shareholders | - | - | ||||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold | 563,518,000 | 161,119,108 | ||||||
Cost of shares redeemed | (345,767,693 | ) | (102,258,715 | ) | ||||
Transaction fees (see Note 5) | 231,026 | 65,615 | ||||||
Net Increase/(Decrease) in Net Assets from Capital Share Transactions | 217,981,333 | 58,926,008 | ||||||
Total Increase/(Decrease) in Net Assets | $ | 221,089,825 | $ | 67,506,822 | ||||
Net Assets: | ||||||||
Beginning of period | $ | 67,506,822 | $ | - | ||||
End of period | $ | 288,596,647 | 67,506,822 | |||||
Change in Shares Outstanding: | ||||||||
Shares sold | 19,775,000 | 6,075,000 | ||||||
Shares redeemed | (12,250,000 | ) | (3,675,000 | ) | ||||
Net Increase/(Decrease) | 7,525,000 | 2,400,000 |
(a) Since Commencement of Operations on December 31, 2018. |
(b) Since Commencement of Operations on January 31, 2020. |
(c) Since Commencement of Operations on February 28, 2020. |
(d) Since Commencement of Operations on March 29, 2019. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Innovator S&P 500® Power Buffer ETF - February | Innovator S&P 500® Power Buffer ETF - March | Innovator S&P 500® Power Buffer ETF - April | ||||||||||||
Period Ended | Period Ended | Year Ended | Period Ended | |||||||||||
October 31, 2020 | (b) | October 31, 2020 | (c) | October 31, 2020 | October 31, 2019 | (d) | ||||||||
$ | (532,082 | ) | $ | (338,143 | ) | $ | (1,341,309 | ) | $ | (547,483 | ) | |||
36,381,173 | 32,230,013 | 119,532,905 | 15,715,117 | |||||||||||
(30,303,793 | ) | (26,343,687 | ) | (94,783,943 | ) | (10,103,069 | ) | |||||||
5,545,298 | 5,548,183 | 23,407,653 | 5,064,565 | |||||||||||
- | - | (2,785,525 | ) | - | ||||||||||
262,862,748 | 154,568,125 | 420,783,603 | 268,168,220 | |||||||||||
(153,376,133 | ) | (88,267,368 | ) | (384,100,086 | ) | (143,748,307 | ) | |||||||
89,270 | 45,902 | 211,540 | 76,299 | |||||||||||
109,575,885 | 66,346,659 | 36,895,057 | 124,496,212 | |||||||||||
$ | 115,121,183 | $ | 71,894,842 | $ | 57,517,185 | $ | 129,560,777 | |||||||
$ | - | $ | - | $ | 129,560,777 | $ | - | |||||||
$ | 115,121,183 | $ | 71,894,842 | $ | 187,077,962 | $ | 129,560,777 | |||||||
10,625,000 | 5,850,000 | 16,825,000 | 10,400,000 | |||||||||||
(6,025,000 | ) | (3,225,000 | ) | (14,700,000 | ) | (5,475,000 | ) | |||||||
4,600,000 | 2,625,000 | 2,125,000 | 4,925,000 |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Statements of Changes in Net Assets
Innovator S&P 500® Power Buffer ETF - May | Innovator S&P 500® Power Buffer ETF - June | |||||||||||
Period Ended | Year Ended | Period Ended | ||||||||||
October 31, 2020 | (a) | October 31, 2020 | October 31, 2019 | (b) | ||||||||
Operations: | ||||||||||||
Net investment income/(loss) | $ | (290,485 | ) | $ | (476,810 | ) | $ | (58,608 | ) | |||
Net realized gain/(loss) | 34,197,109 | 37,468,615 | 3,128,851 | |||||||||
Net change in unrealized appreciation/(depreciation) | (28,052,281 | ) | (26,092,487 | ) | (2,308,663 | ) | ||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | 5,854,343 | 10,899,318 | 761,580 | |||||||||
Distributions to Shareholders: | ||||||||||||
Distributions to shareholders | - | - | - | |||||||||
Capital Share Transactions: | ||||||||||||
Proceeds from shares sold | 159,461,805 | 254,200,892 | 39,346,383 | |||||||||
Cost of shares redeemed | (99,749,907 | ) | (190,693,330 | ) | (20,061,135 | ) | ||||||
Transaction fees (see Note 5) | 60,073 | 124,387 | 10,299 | |||||||||
Net Increase/(Decrease) in Net Assets from Capital Share Transactions | 59,771,971 | 63,631,949 | 19,295,547 | |||||||||
Total Increase/(Decrease) in Net Assets | $ | 65,626,314 | $ | 74,531,267 | $ | 20,057,127 | ||||||
Net Assets: | ||||||||||||
Beginning of period | $ | - | $ | 20,057,127 | $ | - | ||||||
End of period | $ | 65,626,314 | $ | 94,588,394 | $ | 20,057,127 | ||||||
Change in Shares Outstanding: | ||||||||||||
Shares sold | 6,025,000 | 9,275,000 | 1,500,000 | |||||||||
Shares redeemed | (3,625,000 | ) | (6,750,000 | ) | (750,000 | ) | ||||||
Net Increase/(Decrease) | 2,400,000 | 2,525,000 | 750,000 |
(a) Since Commencement of Operations on April 30, 2020. |
(b) Since Commencement of Operations on May 31, 2019. |
(c) Since Commencement of Operations on July 31, 2019. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Innovator S&P 500® Power Buffer ETF - | Innovator S&P 500® Power Buffer ETF - | |||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||
October 31, 2020 | October 31, 2019 | October 31, 2020 | October 31, 2019 | (c) | ||||||||||
$ | (881,658 | ) | $ | (372,961 | ) | $ | (691,597 | ) | $ | (178,971 | ) | |||
12,796,486 | 4,489,228 | 4,394,928 | 12,184,323 | |||||||||||
2,649,553 | (1,374,486 | ) | (1,042,246 | ) | (9,208,196 | ) | ||||||||
14,564,381 | 2,741,781 | 2,661,085 | 2,797,156 | |||||||||||
(770,315 | ) | - | (1,538,460 | ) | - | |||||||||
268,303,460 | 296,625,855 | 191,796,255 | 241,067,730 | |||||||||||
(262,759,237 | ) | (210,879,200 | ) | (199,991,498 | ) | (127,486,582 | ) | |||||||
147,627 | 72,393 | 84,545 | 67,749 | |||||||||||
5,691,850 | 85,819,048 | (8,110,698 | ) | 113,648,897 | ||||||||||
$ | 19,485,916 | $ | 88,560,829 | $ | (6,988,073 | ) | $ | 116,446,053 | ||||||
$ | 92,272,930 | $ | 3,712,101 | $ | 116,446,053 | $ | - | |||||||
$ | 111,758,846 | $ | 92,272,930 | $ | 109,457,980 | $ | 116,446,053 | |||||||
10,350,000 | 11,400,000 | 7,075,000 | 9,600,000 | |||||||||||
(9,775,000 | ) | (8,050,000 | ) | (7,575,000 | ) | (5,025,000 | ) | |||||||
575,000 | 3,350,000 | (500,000 | ) | 4,575,000 |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Statements of Changes in Net Assets
Innovator S&P 500® Power Buffer ETF - September | ||||||||
Year Ended | Period Ended | |||||||
October 31, | October 31, | (a) | ||||||
Operations: | ||||||||
Net investment income/(loss) | $ | (484,457 | ) | $ | (21,125 | ) | ||
Net realized gain/(loss) | 3,047,132 | 1,307,166 | ||||||
Net change in unrealized appreciation/(depreciation) | (5,506,976 | ) | (978,502 | ) | ||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | (2,944,301 | ) | 307,539 | |||||
Distributions to Shareholders: | ||||||||
Distributions to shareholders | - | - | ||||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold | 372,869,932 | 39,909,945 | ||||||
Cost of shares redeemed | (102,812,045 | ) | (20,104,960 | ) | ||||
Transaction fees (see Note 5) | 151,932 | 9,893 | ||||||
Net Increase/(Decrease) in Net Assets from Capital Share Transactions | 270,209,819 | 19,814,878 | ||||||
Total Increase/(Decrease) in Net Assets | $ | 267,265,518 | $ | 20,122,417 | ||||
Net Assets: | ||||||||
Beginning of period | $ | 20,122,417 | $ | - | ||||
End of period | $ | 287,387,935 | 20,122,417 | |||||
Change in Shares Outstanding: | ||||||||
Shares sold | 14,125,000 | 1,600,000 | ||||||
Shares redeemed | (3,875,000 | ) | (800,000 | ) | ||||
Net Increase/(Decrease) | 10,250,000 | 800,000 |
(a) Since Commencement of Operations on August 30, 2019. |
(b) Since Commencement of Operations on October 31, 2019. |
(c) Since Commencement of Operations on November 29, 2019. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Innovator S&P 500® Power Buffer | Innovator S&P 500® Power Buffer ETF - November | Innovator S&P 500® Power Buffer ETF - December | ||||||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | Period Ended | ||||||||||||||
October 31, | October 31, | October 31, | October 31, 2019 | (b) | October 31, | (c) | ||||||||||||
$ | (1,969,900 | ) | $ | (1,049,035 | ) | $ | (461,424 | ) | $ | - | $ | (414,099 | ) | |||||
27,244,823 | (2,220,581 | ) | 5,457,273 | - | 17,127,673 | |||||||||||||
(12,892,939 | ) | 10,557,291 | (4,232 | ) | (270 | ) | (15,244,128 | ) | ||||||||||
12,381,984 | 7,287,675 | 4,991,617 | (270 | ) | 1,469,446 | |||||||||||||
(7,068,594 | ) | - | - | - | - | |||||||||||||
349,661,865 | 907,218,593 | 164,605,692 | 2,553,000 | 193,028,607 | ||||||||||||||
(476,573,894 | ) | (614,488,898 | ) | (134,014,113 | ) | - | (129,476,190 | ) | ||||||||||
202,447 | 165,497 | 81,289 | - | 89,573 | ||||||||||||||
(126,709,582 | ) | 292,895,192 | 30,672,868 | 2,553,000 | 63,641,990 | |||||||||||||
$ | (121,396,192 | ) | $ | 300,182,867 | $ | 35,664,485 | $ | 2,552,730 | $ | 65,111,436 | ||||||||
$ | 311,362,733 | $ | 11,179,866 | $ | 2,552,730 | $ | - | $ | - | |||||||||
$ | 189,966,541 | 311,362,733 | $ | 38,217,215 | 2,552,730 | $ | 65,111,436 | |||||||||||
13,675,000 | 36,475,000 | 6,250,000 | 100,000 | 7,150,000 | ||||||||||||||
(18,750,000 | ) | (24,575,000 | ) | (4,950,000 | ) | - | (4,775,000 | ) | ||||||||||
(5,075,000 | ) | 11,900,000 | 1,300,000 | 100,000 | 2,375,000 |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Statements of Changes in Net Assets
Innovator S&P 500® Ultra Buffer ETF - January | ||||||||
Year Ended | Period Ended | |||||||
October 31, 2020 | October 31, 2019 | |||||||
Operations: | ||||||||
Net investment income/(loss) | $ | (799,282 | ) | $ | (223,778 | ) | ||
Net realized gain/(loss) | 34,574,314 | 12,092,618 | ||||||
Net change in unrealized appreciation/(depreciation) | (27,184,818 | ) | (8,382,446 | ) | ||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | 6,590,214 | 3,486,394 | ||||||
Distributions to Shareholders: | ||||||||
Distributions to shareholders | - | - | ||||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold | 311,169,577 | 68,199,363 | ||||||
Cost of shares redeemed | (236,308,585 | ) | (41,255,315 | ) | ||||
Transaction fees (see Note 5) | 117,334 | 24,284 | ||||||
Net Increase/(Decrease) in Net Assets from Capital Share Transactions | 74,978,326 | 26,968,332 | ||||||
Total Increase/(Decrease) in Net Assets | $ | 81,568,540 | $ | 30,454,726 | ||||
Net Assets: | ||||||||
Beginning of period | $ | 30,454,726 | $ | - | ||||
End of period | $ | 112,023,266 | 30,454,726 | |||||
Change in Shares Outstanding: | ||||||||
Shares sold | 11,225,000 | 2,600,000 | ||||||
Shares redeemed | (8,375,000 | ) | (1,500,000 | ) | ||||
Net Increase/(Decrease) | 2,850,000 | 1,100,000 |
(a) Since Commencement of Operations on December 31, 2018. |
(b) Since Commencement of Operations on January 31, 2020. |
(c) Since Commencement of Operations on February 28, 2020. |
(d) Since Commencement of Operations on March 29, 2019. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Innovator S&P 500® Ultra Buffer ETF - February | Innovator S&P 500® Ultra Buffer ETF - March | Innovator S&P 500® Ultra Buffer ETF - April | ||||||||||||
Period Ended | Period Ended | Year Ended | Period Ended | |||||||||||
October 31, 2020 | (b) | October 31, 2020 | (c) | October 31, 2020 | October 31, 2019 | (d) | ||||||||
$ | (181,255 | ) | $ | (161,944 | ) | $ | (235,848 | ) | $ | (80,769 | ) | |||
15,407,128 | 21,022,698 | 9,359,102 | 2,383,549 | |||||||||||
(13,521,512 | ) | (17,210,809 | ) | (8,254,081 | ) | (1,550,247 | ) | |||||||
1,704,361 | 3,649,945 | 869,173 | 752,533 | |||||||||||
- | - | (413,903 | ) | - | ||||||||||
81,829,288 | 74,906,393 | 51,153,258 | 37,899,720 | |||||||||||
(51,808,605 | ) | (50,313,168 | ) | (40,050,755 | ) | (19,655,830 | ) | |||||||
31,899 | 31,412 | 29,588 | 9,754 | |||||||||||
30,052,582 | 24,624,637 | 11,132,091 | 18,253,644 | |||||||||||
$ | 31,756,943 | $ | 28,274,582 | $ | 11,587,361 | $ | 19,006,177 | |||||||
$ | - | $ | - | $ | 19,006,177 | $ | - | |||||||
$ | 31,756,943 | $ | 28,274,582 | $ | 30,593,538 | $ | 19,006,177 | |||||||
3,350,000 | 2,925,000 | 2,175,000 | 1,475,000 | |||||||||||
(2,075,000 | ) | (1,875,000 | ) | (1,650,000 | ) | (750,000 | ) | |||||||
1,275,000 | 1,050,000 | 525,000 | 725,000 |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Statements of Changes in Net Assets
Innovator S&P 500® Ultra Buffer ETF - May | Innovator S&P 500® Ultra Buffer ETF - June | |||||||||||
Period Ended | Year Ended | Period Ended | ||||||||||
October 31, 2020 | (a) | October 31, 2020 | October 31, 2019 | (b) | ||||||||
Operations: | ||||||||||||
Net investment income/(loss) | $ | (40,761 | ) | $ | (127,852 | ) | $ | (6,887 | ) | |||
Net realized gain/(loss) | 4,717,950 | 5,037,872 | (169,920 | ) | ||||||||
Net change in unrealized appreciation/(depreciation) | (4,266,750 | ) | (180,697 | ) | 292,511 | |||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | 410,439 | 4,729,323 | 115,704 | |||||||||
Distributions to Shareholders: | ||||||||||||
Distributions to shareholders | - | (101,526 | ) | - | ||||||||
Capital Share Transactions: | ||||||||||||
Proceeds from shares sold | 21,691,095 | 98,439,880 | 7,837,088 | |||||||||
Cost of shares redeemed | (11,437,418 | ) | (90,798,793 | ) | (5,290,825 | ) | ||||||
Transaction fees (see Note 5) | 4,506 | 50,553 | 2,579 | |||||||||
Net Increase/(Decrease) in Net Assets from Capital Share Transactions | 10,258,183 | 7,691,640 | 2,548,842 | |||||||||
Total Increase/(Decrease) in Net Assets | $ | 10,668,622 | $ | 12,319,437 | $ | 2,664,546 | ||||||
Net Assets: | ||||||||||||
Beginning of period | $ | - | $ | 2,664,546 | $ | - | ||||||
End of period | $ | 10,668,622 | $ | 14,983,983 | $ | 2,664,546 | ||||||
Change in Shares Outstanding: | ||||||||||||
Shares sold | 825,000 | 3,950,000 | 300,000 | |||||||||
Shares redeemed | (425,000 | ) | (3,500,000 | ) | (200,000 | ) | ||||||
Net Increase/(Decrease) | 400,000 | 450,000 | 100,000 |
(a) Since Commencement of Operations on April 30, 2020. |
(b) Since Commencement of Operations on May 31, 2019. |
(c) Since Commencement of Operations on July 31, 2019. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Innovator S&P 500® Ultra Buffer ETF - July | Innovator S&P 500® Ultra Buffer ETF - August | |||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||
October 31, 2020 | October 31, 2019 | October 31, 2020 | October 31, 2019 | (c) | ||||||||||
$ | (392,790 | ) | $ | (284,770 | ) | $ | (242,796 | ) | $ | (25,297 | ) | |||
10,165,352 | 2,238,212 | 4,368,799 | 1,326,325 | |||||||||||
(1,911,825 | ) | 2,169,235 | (5,447 | ) | (1,018,359 | ) | ||||||||
7,860,737 | 4,122,677 | 4,120,556 | 282,669 | |||||||||||
(2,391,801 | ) | - | (155,469 | ) | - | |||||||||
146,736,578 | 175,007,565 | 86,166,977 | 36,612,438 | |||||||||||
(151,512,870 | ) | (144,095,755 | ) | (62,945,893 | ) | (18,452,120 | ) | |||||||
82,039 | 72,599 | 40,391 | 9,068 | |||||||||||
(4,694,253 | ) | 30,984,409 | 23,261,475 | 18,169,386 | ||||||||||
$ | 774,683 | $ | 35,107,086 | $ | 27,226,562 | $ | 18,452,055 | |||||||
$ | 38,808,795 | $ | 3,701,709 | $ | 18,452,055 | $ | - | |||||||
$ | 39,583,478 | $ | 38,808,795 | $ | 45,678,617 | $ | 18,452,055 | |||||||
6,075,000 | 6,900,000 | 3,375,000 | 1,450,000 | |||||||||||
(6,000,000 | ) | (5,575,000 | ) | (2,400,000 | ) | (725,000 | ) | |||||||
75,000 | 1,325,000 | 975,000 | 725,000 |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Statements of Changes in Net Assets
Innovator S&P 500® Ultra Buffer | ||||||||
Year Ended | Period Ended | |||||||
October 31, | October 31, | (a) | ||||||
Operations: | ||||||||
Net investment income/(loss) | $ | (110,489 | ) | $ | (4,788 | ) | ||
Net realized gain/(loss) | 967,061 | 296,523 | ||||||
Net change in unrealized appreciation/(depreciation) | (498,395 | ) | (232,378 | ) | ||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | 358,177 | 59,357 | ||||||
Distributions to Shareholders: | ||||||||
Distributions to shareholders | (32,646 | ) | - | |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold | 86,985,143 | 11,807,500 | ||||||
Cost of shares redeemed | (27,137,580 | ) | (6,866,650 | ) | ||||
Transaction fees (see Note 5) | 43,344 | 4,330 | ||||||
Net Increase/(Decrease) in Net Assets from Capital Share Transactions | 59,890,907 | 4,945,180 | ||||||
Total Increase/(Decrease) in Net Assets | $ | 60,216,438 | $ | 5,004,537 | ||||
Net Assets: | ||||||||
Beginning of period | $ | 5,004,537 | $ | - | ||||
End of period | $ | 65,220,975 | 5,004,537 | |||||
Change in Shares Outstanding: | ||||||||
Shares sold | 3,375,000 | 475,000 | ||||||
Shares redeemed | (1,050,000 | ) | (275,000 | ) | ||||
Net Increase/(Decrease) | 2,325,000 | 200,000 |
(a) Since Commencement of Operations on August 30, 2019. |
(b) Since Commencement of Operations on October 31, 2019. |
(c) Since Commencement of Operations on November 29, 2019. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Innovator S&P 500® Ultra Buffer ETF - October | Innovator S&P 500® Ultra Buffer ETF - November | Innovator S&P 500® Ultra Buffer ETF - December | ||||||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | Period Ended | ||||||||||||||
October 31, | October 31, | October 31, 2020 | October 31, 2019 | (b) | October 31, 2020 | (c) | ||||||||||||
$ | (941,321 | ) | $ | (709,721 | ) | $ | (70,248 | ) | $ | - | $ | (174,108 | ) | |||||
10,588,546 | 8,703,133 | 920,760 | - | 13,517,323 | ||||||||||||||
478,334 | (1,339,985 | ) | (855 | ) | (270 | ) | (11,032,447 | ) | ||||||||||
10,125,559 | 6,653,427 | 849,657 | (270 | ) | 2,310,768 | |||||||||||||
(3,153,933 | ) | - | - | - | - | |||||||||||||
173,222,627 | 510,098,582 | 18,827,620 | 2,553,000 | 64,442,515 | ||||||||||||||
(210,825,800 | ) | (394,520,620 | ) | (13,370,450 | ) | - | (43,025,795 | ) | ||||||||||
95,524 | 87,744 | 7,242 | - | 28,200 | ||||||||||||||
(37,507,649 | ) | 115,665,706 | 5,464,412 | 2,553,000 | 21,444,920 | |||||||||||||
$ | (30,536,023 | ) | $ | 122,319,133 | $ | 6,314,069 | $ | 2,552,730 | $ | 23,755,688 | ||||||||
$ | 135,911,832 | $ | 13,592,699 | $ | 2,552,730 | $ | - | $ | - | |||||||||
$ | 105,375,809 | 135,911,832 | $ | 8,866,799 | 2,552,730 | $ | 23,755,688 | |||||||||||
7,075,000 | 20,675,000 | 725,000 | 100,000 | 2,450,000 | ||||||||||||||
(8,400,000 | ) | (15,825,000 | ) | (500,000 | ) | - | (1,575,000 | ) | ||||||||||
(1,325,000 | ) | 4,850,000 | 225,000 | 100,000 | 875,000 |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Financial Highlights
Per Share Operating Performance (For a share outstanding throughout each period) | ||||||||||||||||||||||||
Investment Operations: | Capital Share Transactions: | Distributions Paid to Shareholders: | ||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net investment income/ | Net realized and unrealized gain/(loss) | Total From Investment Operations | Transaction fees (see | Paid from realized gains | |||||||||||||||||||
Innovator S&P 500® Buffer ETF - January | ||||||||||||||||||||||||
For the year ended 10/31/2020 | $ | 29.69 | (0.23 | ) | 1.63 | (f) | 1.40 | 0.04 | (1.36 | ) | ||||||||||||||
For the period 12/31/2018 (d) - 10/31/2019 | $ | 25.08 | (0.19 | ) | 4.75 | 4.56 | 0.05 | - | ||||||||||||||||
Innovator S&P 500® Buffer ETF - February | ||||||||||||||||||||||||
For the period 1/31/2020(d) - 10/31/2020 | $ | 24.52 | (0.14 | ) | 0.69 | 0.55 | 0.02 | - | ||||||||||||||||
Innovator S&P 500® Buffer ETF - March | ||||||||||||||||||||||||
For the period 2/28/2020(d) - 10/31/2020 | $ | 26.01 | (0.14 | ) | 2.03 | 1.89 | 0.02 | - | ||||||||||||||||
Innovator S&P 500® Buffer ETF - April | ||||||||||||||||||||||||
For the year ended 10/31/2020 | $ | 26.64 | (0.22 | ) | 1.95 | 1.73 | 0.04 | - | ||||||||||||||||
For the period 3/29/2019 (d) - 10/31/2019 | $ | 24.95 | (0.12 | ) | 1.79 | 1.67 | 0.02 | - |
(a) | Annualized for periods less than one year. |
(b) | Not annualized for periods less than one year. |
(c) | Net investment income/(loss) per share has been calculated based on average shares outstanding during the period. |
(d) | Commencement of operations. |
(e) | Includes broker interest expense of 0.01%. |
(f) | Net realized and unrealized gain/(loss) per share includes balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gain/(loss) in the Statement of Operations due to share transactions for the period. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Ratio to Average Net Assets of: (a) | |||||||||||||||||||||||||
Change in Net Asset Value for the Period | Net Asset Value, End of Period | Total return (b) | Net assets, end of period (000) | Expenses | Net investment income/(loss) | Portfolio turnover rate (b) | |||||||||||||||||||
0.08 | $ | 29.77 | 4.99 | % | $ | 125,767 | 0.79 | % | (0.79 | )% | 0 | % | |||||||||||||
4.61 | $ | 29.69 | 18.38 | % | $ | 22,267 | 0.80 | %(e) | (0.80 | )% | 0 | % | |||||||||||||
0.57 | $ | 25.09 | 2.32 | % | $ | 37,008 | 0.79 | % | (0.79 | )% | 0 | % | |||||||||||||
1.91 | $ | 27.92 | 7.36 | % | $ | 23,735 | 0.79 | % | (0.79 | )% | 0 | % | |||||||||||||
1.77 | $ | 28.41 | 6.65 | % | $ | 69,609 | 0.79 | % | (0.79 | )% | 0 | % | |||||||||||||
1.69 | $ | 26.64 | 6.78 | % | $ | 41,295 | 0.79 | % | (0.79 | )% | 121 | % |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Financial Highlights
Per Share Operating Performance (For a share outstanding throughout each period) | ||||||||||||||||||||
Investment Operations: | Capital Share Transactions: | |||||||||||||||||||
Net Asset Value, Beginning of Period | Net investment income/ | Net realized and unrealized gain/(loss) | Total From Investment Operations | Transaction fees (see Note 5) | ||||||||||||||||
Innovator S&P 500® Buffer ETF - May | ||||||||||||||||||||
For the period 4/30/2020 (d) - 10/31/2020 | $ | 25.63 | (0.11 | ) | 2.39 | 2.28 | 0.01 | |||||||||||||
Innovator S&P 500® Buffer ETF - June | ||||||||||||||||||||
For the year ended 10/31/2020 | $ | 27.38 | (0.22 | ) | 2.03 | 1.81 | 0.06 | |||||||||||||
For the period 5/31/2019 (d) - 10/31/2019 | $ | 25.33 | (0.09 | ) | 2.11 | 2.02 | 0.03 | |||||||||||||
Innovator S&P 500® Buffer ETF - July | ||||||||||||||||||||
For the year ended 10/31/2020 | $ | 26.55 | (0.21 | ) | 1.56 | 1.35 | 0.04 | |||||||||||||
For the year ended 10/31/2019 | $ | 24.61 | (0.21 | ) | 2.09 | 1.88 | 0.06 | |||||||||||||
For the period 8/28/2018 (d) - 10/31/2018 | $ | 25.51 | (0.03 | ) | (0.90 | ) | (0.93 | ) | 0.03 | |||||||||||
Innovator S&P 500® Buffer ETF - August | ||||||||||||||||||||
For the year ended 10/31/2020 | $ | 25.53 | (0.21 | ) | 2.15 | 1.94 | 0.02 | |||||||||||||
For the period 7/31/2019 (d) - 10/31/2019 | $ | 25.04 | (0.05 | ) | 0.52 | 0.47 | 0.02 |
(a) | Annualized for periods less than one year. |
(b) | Not annualized for periods less than one year. |
(c) | Net investment income/(loss) per share has been calculated based on average shares outstanding during the period. |
(d) | Commencement of operations. |
(e) | Includes broker interest expense of 0.01%. |
(f) | Includes extraordinary expense of 0.01%. |
(g) | The total return for the period includes the impact of financial statement adjustments. This return differs from the actual performance a shareholder experienced over the period. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Ratio to Average Net Assets of: (a) | |||||||||||||||||||||||||
Change in Net Asset Value for the Period | Net Asset Value, End of Period | Total return (b) | Net assets, end of period (000) | Expenses | Net investment income/(loss) | Portfolio turnover rate (b) | |||||||||||||||||||
2.29 | $ | 27.92 | 8.94 | % | $ | 16,055 | 0.79 | % | (0.79 | )% | 0 | % | |||||||||||||
1.87 | $ | 29.25 | 6.81 | % | $ | 32,172 | 0.79 | % | (0.79 | )% | 0 | % | |||||||||||||
2.05 | $ | 27.38 | 8.10 | % | $ | 4,792 | 0.80 | %(e) | (0.80 | )% | 0 | % | |||||||||||||
1.39 | $ | 27.94 | 5.24 | %(g) | $ | 67,755 | 0.79 | % | (0.79 | )% | 4 | % | |||||||||||||
1.94 | $ | 26.55 | 7.89 | % | $ | 83,639 | 0.81 | %(e)(f) | (0.80 | )% | 106 | % | |||||||||||||
(0.90 | ) | $ | 24.61 | (3.53 | )% | $ | 3,691 | 0.79 | % | (0.78 | )% | 0 | % | ||||||||||||
1.96 | $ | 27.49 | 7.68 | % | $ | 48,099 | 0.79 | % | (0.79 | )% | 0 | % | |||||||||||||
0.49 | $ | 25.53 | 1.94 | % | $ | 47,221 | 0.79 | % | (0.79 | )% | 0 | % |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Financial Highlights
Per Share Operating Performance (For a share outstanding throughout each period) | ||||||||||||||||||||||||
Investment Operations: | Capital Share Transactions: | Distributions Paid to Shareholders: | ||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net investment income/(loss) (c) | Net realized and unrealized gain/(loss) | Total From Investment Operations | Transaction fees (see Note 5) | Paid from realized gains | |||||||||||||||||||
Innovator S&P 500® Buffer ETF - September | ||||||||||||||||||||||||
For the year ended 10/31/2020 | $ | 25.31 | (0.21 | ) | 1.59 | (f) | 1.38 | 0.07 | (0.36 | ) | ||||||||||||||
For the period 8/30/2019 (d) - 10/31/2019 | $ | 24.59 | (0.03 | ) | 0.73 | 0.70 | 0.02 | - | ||||||||||||||||
Innovator S&P 500® Buffer ETF - October | ||||||||||||||||||||||||
For the year ended 10/31/2020 | $ | 25.18 | (0.20 | ) | 2.31 | 2.11 | 0.02 | (0.05 | ) | |||||||||||||||
For the year ended 10/31/2019 | $ | 23.42 | (0.20 | ) | 1.92 | 1.72 | 0.04 | - | ||||||||||||||||
For the period 9/28/2018 (d) - 10/31/2018 | $ | 24.49 | (0.01 | ) | (1.07 | ) | (1.08 | ) | 0.01 | - | ||||||||||||||
Innovator S&P 500® Buffer ETF - November | ||||||||||||||||||||||||
For the year ended 10/31/2020 | $ | 25.53 | (0.20 | ) | 1.92 | 1.72 | 0.06 | - | ||||||||||||||||
For the period 10/31/2019 (d) - 10/31/2019 | $ | 25.53 | - | - | - | - | - | |||||||||||||||||
Innovator S&P 500® Buffer ETF - December | ||||||||||||||||||||||||
For the period 11/29/2019 (d) - 10/31/2020 | $ | 26.40 | (0.19 | ) | 1.47 | 1.28 | 0.05 | - |
(a) | Annualized for periods less than one year. |
(b) | Not annualized for periods less than one year. |
(c) | Net investment income/(loss) per share has been calculated based on average shares outstanding during the period. |
(d) | Commencement of operations. |
(e) | Includes broker interest expense of 0.01%. |
(f) | Net realized and unrealized gain/(loss) per share includes balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gain/(loss) in the Statement of Operations due to share transactions for the period. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Ratio to Average Net Assets of: (a) | |||||||||||||||||||||||||
Change in Net Asset Value for the Period | Net Asset Value, End of Period | Total return (b) | Net assets, end of period (000) | Expenses | Net investment income/(loss) | Portfolio turnover rate (b) | |||||||||||||||||||
1.09 | $ | 26.40 | 5.81 | % | $ | 77,892 | 0.79 | % | (0.79 | )% | 0 | % | |||||||||||||
0.72 | $ | 25.31 | 2.91 | % | $ | 4,429 | 0.79 | % | (0.79 | )% | 186 | % | |||||||||||||
2.08 | $ | 27.26 | 8.51 | % | $ | 73,613 | 0.79 | % | (0.79 | )% | 0 | % | |||||||||||||
1.76 | $ | 25.18 | 7.48 | % | $ | 173,098 | 0.80 | %(e) | (0.80 | )% | 25 | % | |||||||||||||
(1.07 | ) | $ | 23.42 | (4.35 | )% | $ | 21,082 | 0.79 | % | (0.79 | )% | 4 | % | ||||||||||||
1.78 | $ | 27.31 | 7.00 | % | $ | 15,023 | 0.79 | % | (0.79 | )% | 0 | % | |||||||||||||
- | $ | 25.53 | - | $ | 2,553 | - | - | - | |||||||||||||||||
1.33 | $ | 27.73 | 5.04 | % | $ | 24,958 | 0.79 | % | (0.79 | )% | 146 | % |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Financial Highlights
Per Share Operating Performance (For a share outstanding throughout each period) | ||||||||||||||||||||||||
Investment Operations: | Capital Share Transactions: | Distributions Paid to Shareholders: | ||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net investment income/(loss) (c) | Net realized and unrealized gain/(loss) | Total From Investment Operations | Transaction fees (see Note 5) | Paid from realized gains | |||||||||||||||||||
Innovator S&P 500® Power Buffer ETF - January | ||||||||||||||||||||||||
For the year ended 10/31/2020 | $ | 28.13 | (0.22 | ) | 1.14 | 0.92 | 0.03 | - | ||||||||||||||||
For the period 12/31/2018 (d) - 10/31/2019 | $ | 25.08 | (0.18 | ) | 3.20 | 3.02 | 0.03 | - | ||||||||||||||||
Innovator S&P 500® Power Buffer ETF - February | ||||||||||||||||||||||||
For the period 1/31/2020(d) - 10/31/2020 | $ | 24.52 | (0.14 | ) | 0.63 | 0.49 | 0.02 | - | ||||||||||||||||
Innovator S&P 500® Power Buffer ETF - March | ||||||||||||||||||||||||
For the period 2/28/2020(d) - 10/31/2020 | $ | 26.01 | (0.14 | ) | 1.50 | 1.36 | 0.02 | - | ||||||||||||||||
Innovator S&P 500® Power Buffer ETF - April | ||||||||||||||||||||||||
For the year ended 10/31/2020 | $ | 26.31 | (0.20 | ) | 1.20 | 1.00 | 0.03 | (0.80 | ) | |||||||||||||||
For the period 3/29/2019 (d) - 10/31/2019 | $ | 24.95 | (0.12 | ) | 1.46 | 1.34 | 0.02 | - |
(a) Annualized for periods less than one year. |
(b) Not annualized for periods less than one year. |
(c) Net investment income/(loss) per share has been calculated based on average shares outstanding during the period. |
(d) Commencement of operations. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Ratio to Average Net Assets of: (a) | |||||||||||||||||||||||||
Change in Net Asset Value for the Period | Net Asset Value, End of Period | Total return (b) | Net assets, end of period (000) | Expenses | Net investment income/(loss) | Portfolio turnover rate (b) | |||||||||||||||||||
0.95 | $ | 29.08 | 3.38 | % | $ | 288,597 | 0.79 | % | (0.79 | )% | 0 | % | |||||||||||||
3.05 | $ | 28.13 | 12.15 | % | $ | 67,507 | 0.79 | % | (0.79 | )% | 0 | % | |||||||||||||
0.51 | $ | 25.03 | 2.06 | % | $ | 115,121 | 0.79 | % | (0.79 | )% | 0 | % | |||||||||||||
1.38 | $ | 27.39 | 5.30 | % | $ | 71,895 | 0.79 | % | (0.79 | )% | 0 | % | |||||||||||||
0.23 | $ | 26.54 | 4.00 | % | $ | 187,078 | 0.79 | % | (0.79 | )% | 0 | % | |||||||||||||
1.36 | $ | 26.31 | 5.44 | % | $ | 129,561 | 0.79 | % | (0.79 | )% | 126 | % |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Financial Highlights
Per Share Operating Performance (For a share outstanding throughout each period) | ||||||||||||||||||||||||
Investment Operations: | Capital Share Transactions: | Distributions Paid to Shareholders: | ||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net investment income/(loss) (c) | Net realized and unrealized gain/(loss) | Total From Investment Operations | Transaction fees (see Note 5) | Paid from realized gains | |||||||||||||||||||
Innovator S&P 500® Power Buffer ETF - May | ||||||||||||||||||||||||
For the period 4/30/2020 (d) - 10/31/2020 | $ | 25.63 | (0.11 | ) | 1.80 | 1.69 | 0.02 | - | ||||||||||||||||
Innovator S&P 500® Power Buffer ETF - June | ||||||||||||||||||||||||
For the year ended 10/31/2020 | $ | 26.74 | (0.22 | ) | 2.30 | 2.08 | 0.06 | - | ||||||||||||||||
For the period 5/31/2019 (d) - 10/31/2019 | $ | 25.33 | (0.09 | ) | 1.48 | 1.39 | 0.02 | - | ||||||||||||||||
Innovator S&P 500® Power Buffer ETF - July | ||||||||||||||||||||||||
For the year ended 10/31/2020 | $ | 26.36 | (0.21 | ) | 1.46 | 1.25 | 0.04 | (0.22 | ) | |||||||||||||||
For the year ended 10/31/2019 | $ | 24.75 | (0.20 | ) | 1.77 | 1.57 | 0.04 | - | ||||||||||||||||
For the period 8/7/2018 (d) - 10/31/2018 | $ | 25.17 | (0.04 | ) | (0.39 | ) | (0.43 | ) | 0.01 | - | ||||||||||||||
Innovator S&P 500® Power Buffer ETF - August | ||||||||||||||||||||||||
For the year ended 10/31/2020 | $ | 25.45 | (0.21 | ) | 1.93 | 1.72 | 0.03 | (0.34 | ) | |||||||||||||||
For the period 7/31/2019 (d) - 10/31/2019 | $ | 25.04 | (0.05 | ) | 0.44 | 0.39 | 0.02 | - |
(a) Annualized for periods less than one year. |
(b) Not annualized for periods less than one year. |
(c) Net investment income/(loss) per share has been calculated based on average shares outstanding during the period. |
(d) Commencement of operations. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Ratio to Average Net Assets of: (a) | |||||||||||||||||||||||||
Change in Net Asset Value for the Period | Net Asset Value, End of Period | Total return (b) | Net assets, end of period (000) | Expenses | Net investment income/(loss) | Portfolio turnover rate (b) | |||||||||||||||||||
1.71 | $ | 27.34 | 6.69 | % | $ | 65,626 | 0.79 | % | (0.79 | )% | 0 | % | |||||||||||||
2.14 | $ | 28.88 | 8.00 | % | $ | 94,588 | 0.79 | % | (0.79 | )% | 0 | % | |||||||||||||
1.41 | $ | 26.74 | 5.58 | % | $ | 20,057 | 0.79 | % | (0.79 | )% | 0 | % | |||||||||||||
1.07 | $ | 27.43 | 4.89 | % | $ | 111,759 | 0.79 | % | (0.79 | )% | 15 | % | |||||||||||||
1.61 | $ | 26.36 | 6.53 | % | $ | 92,273 | 0.79 | % | (0.79 | )% | 137 | % | |||||||||||||
(0.42 | ) | $ | 24.75 | (1.68 | )% | $ | 3,712 | 0.79 | % | (0.79 | )% | 0 | % | ||||||||||||
1.41 | $ | 26.86 | 6.95 | % | $ | 109,458 | 0.79 | % | (0.79 | )% | 0 | % | |||||||||||||
0.41 | $ | 25.45 | 1.65 | % | $ | 116,446 | 0.79 | % | (0.79 | )% | 0 | % |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Financial Highlights
Per Share Operating Performance (For a share outstanding throughout each period) | ||||||||||||||||||||||||
Investment Operations: | Capital Share Transactions: | Distributions Paid to Shareholders: | ||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net investment income/(loss) (c) | Net realized and unrealized gain/(loss) | Total From Investment Operations | Transaction fees (see Note 5) | Paid from realized gains | |||||||||||||||||||
Innovator S&P 500® Power Buffer ETF - September | ||||||||||||||||||||||||
For the year ended 10/31/2020 | $ | 25.15 | (0.21 | ) | 1.01 | (f) | 0.80 | 0.06 | - | |||||||||||||||
For the period 8/30/2019 (d) - 10/31/2019 | $ | 24.59 | (0.03 | ) | 0.58 | 0.55 | 0.01 | - | ||||||||||||||||
Innovator S&P 500® Power Buffer ETF - October | ||||||||||||||||||||||||
For the year ended 10/31/2020 | $ | 25.16 | (0.20 | ) | 1.60 | 1.40 | 0.02 | (0.56 | ) | |||||||||||||||
For the year ended 10/31/2019 | $ | 23.54 | (0.20 | ) | 1.79 | 1.59 | 0.03 | - | ||||||||||||||||
For the period 9/28/2018 (d) - 10/31/2018 | $ | 24.49 | (0.01 | ) | (0.95 | ) | (0.96 | ) | 0.01 | - | ||||||||||||||
Innovator S&P 500® Power Buffer ETF - November | ||||||||||||||||||||||||
For the year ended 10/31/2020 | $ | 25.53 | (0.21 | ) | 1.94 | 1.73 | 0.04 | - | ||||||||||||||||
For the period 10/31/2019 (d) - 10/31/2019 | $ | 25.53 | - | - | - | - | - | |||||||||||||||||
Innovator S&P 500® Power Buffer ETF - December | ||||||||||||||||||||||||
For the period 11/29/2019 (d) - 10/31/2020 | $ | 26.40 | (0.19 | ) | 1.17 | 0.98 | 0.04 | - |
(a) | Annualized for periods less than one year. |
(b) | Not annualized for periods less than one year. |
(c) | Net investment income/(loss) per share has been calculated based on average shares outstanding during the period. |
(d) | Commencement of operations. |
(e) | Includes broker interest expense of 0.01%. |
(f) | Net realized and unrealized gain/(loss) per share includes balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gain/(loss) in the Statement of Operations due to share transactions for the period. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Ratio to Average Net Assets of: (a) | |||||||||||||||||||||||||
Change in Net Asset Value for the Period | Net Asset Value, End of Period | Total return (b) | Net assets, end of period (000) | Expenses | Net investment income/(loss) | Portfolio turnover rate (b) | |||||||||||||||||||
0.86 | $ | 26.01 | 3.40 | % | $ | 287,388 | 0.79 | % | (0.79 | )% | 3 | % | |||||||||||||
0.56 | $ | 25.15 | 2.29 | % | $ | 20,122 | 0.79 | % | (0.79 | )% | 127 | % | |||||||||||||
0.86 | $ | 26.02 | 5.74 | % | $ | 189,967 | 0.79 | % | (0.79 | )% | 0 | % | |||||||||||||
1.62 | $ | 25.16 | 6.90 | % | $ | 311,363 | 0.80 | % (e) | (0.79 | )% | 3 | % | |||||||||||||
(0.95 | ) | $ | 23.54 | (3.89 | )% | $ | 11,180 | 0.79 | % | (0.79 | )% | 4 | % | ||||||||||||
1.77 | $ | 27.30 | 6.94 | % | $ | 38,217 | 0.79 | % | (0.79 | )% | 0 | % | |||||||||||||
- | $ | 25.53 | - | $ | 2,553 | - | - | - | |||||||||||||||||
1.02 | $ | 27.42 | 3.85 | % | $ | 65,111 | 0.79 | % | (0.79 | )% | 141 | % |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Financial Highlights
Per Share Operating Performance (For a share outstanding throughout each period) | ||||||||||||||||||||||||
Investment Operations: | Capital Share Transactions: | Distributions Paid to Shareholders: | ||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net investment income/(loss) (c) | Net realized and unrealized gain/(loss) | Total From Investment Operations | Transaction fees (see | Paid from realized gains | |||||||||||||||||||
Innovator S&P 500® Ultra Buffer ETF - January | ||||||||||||||||||||||||
For the year ended 10/31/2020 | $ | 27.69 | (0.22 | ) | 0.86 | 0.64 | 0.03 | - | ||||||||||||||||
For the period 12/31/2018 (d) - 10/31/2019 | $ | 25.08 | (0.18 | ) | 2.77 | 2.59 | 0.02 | - | ||||||||||||||||
Innovator S&P 500® Ultra Buffer ETF - February | ||||||||||||||||||||||||
For the period 1/31/2020(d) - 10/31/2020 | $ | 24.52 | (0.14 | ) | 0.50 | 0.36 | 0.03 | - | ||||||||||||||||
Innovator S&P 500® Ultra Buffer ETF - March | ||||||||||||||||||||||||
For the period 2/28/2020(d) - 10/31/2020 | $ | 26.01 | (0.14 | ) | 1.03 | 0.89 | 0.03 | - | ||||||||||||||||
Innovator S&P 500® Ultra Buffer ETF - April | ||||||||||||||||||||||||
For the year ended 10/31/2020 | $ | 26.22 | (0.19 | ) | (1.01 | ) (e) | (1.20 | ) | 0.02 | (0.57 | ) | |||||||||||||
For the period 3/29/2019 (d) - 10/31/2019 | $ | 24.95 | (0.12 | ) | 1.37 | 1.25 | 0.02 | - |
(a) | Annualized for periods less than one year. |
(b) | Not annualized for periods less than one year. |
(c) | Net investment income/(loss) per share has been calculated based on average shares outstanding during the period. |
(d) | Commencement of operations. |
(e) | Net realized and unrealized gain/(loss) per share includes balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gain/(loss) in the Statement of Operations due to share transactions for the period. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Ratio to Average Net Assets of: (a) | |||||||||||||||||||||||||
Change in Net Asset Value for the Period | Net Asset Value, End of Period | Total return (b) | Net assets, end of period (000) | Expenses | Net investment income/(loss) | Portfolio turnover rate (b) | |||||||||||||||||||
0.67 | $ | 28.36 | 2.44 | % | $ | 112,023 | 0.79 | % | (0.79 | )% | 0 | % | |||||||||||||
2.61 | $ | 27.69 | 10.39 | % | $ | 30,455 | 0.79 | % | (0.79 | )% | 0 | % | |||||||||||||
0.39 | $ | 24.91 | 1.58 | % | $ | 31,757 | 0.79 | % | (0.79 | )% | 0 | % | |||||||||||||
0.92 | $ | 26.93 | 3.53 | % | $ | 28,275 | 0.79 | % | (0.79 | )% | 0 | % | |||||||||||||
(1.75 | ) | $ | 24.47 | (4.59 | )% | $ | 30,594 | 0.79 | % | (0.79 | )% | 0 | % | ||||||||||||
1.27 | $ | 26.22 | 5.07 | % | $ | 19,006 | 0.79 | % | (0.79 | )% | 106 | % |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Financial Highlights
Per Share Operating Performance (For a share outstanding throughout each period) | ||||||||||||||||||||||||
Investment Operations: | Capital Share Transactions: | Distributions Paid to Shareholders: | ||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net investment income/(loss) (c) | Net realized and unrealized gain/(loss) | Total From Investment Operations | Transaction fees (see | Paid from realized gains | |||||||||||||||||||
Innovator S&P 500® Ultra Buffer ETF - May | ||||||||||||||||||||||||
For the period 4/30/2020 (d) - 10/31/2020 | $ | 25.63 | (0.11 | ) | 1.14 | 1.03 | 0.01 | - | ||||||||||||||||
Innovator S&P 500® Ultra Buffer ETF - June | ||||||||||||||||||||||||
For the year ended 10/31/2020 | $ | 26.65 | (0.21 | ) | 1.74 | 1.53 | 0.08 | (1.02 | ) | |||||||||||||||
For the period 5/31/2019 (d) - 10/31/2019 | $ | 25.33 | (0.09 | ) | 1.37 | 1.28 | 0.04 | - | ||||||||||||||||
Innovator S&P 500® Ultra Buffer ETF - July | ||||||||||||||||||||||||
For the year ended 10/31/2020 | $ | 26.31 | (0.20 | ) | 1.01 | 0.81 | 0.04 | (1.62 | ) | |||||||||||||||
For the year ended 10/31/2019 | $ | 24.68 | (0.20 | ) | 1.78 | 1.58 | 0.05 | - | ||||||||||||||||
For the period 8/7/2018 (d) - 10/31/2018 | $ | 25.17 | (0.04 | ) | (0.46 | ) | (0.50 | ) | 0.01 | - | ||||||||||||||
Innovator S&P 500® Ultra Buffer ETF - August | ||||||||||||||||||||||||
For the year ended 10/31/2020 | $ | 25.45 | (0.21 | ) | 1.81 | 1.60 | 0.03 | (0.21 | ) | |||||||||||||||
For the period 7/31/2019 (d) - 10/31/2019 | $ | 25.04 | (0.05 | ) | 0.44 | 0.39 | 0.02 | - |
(a) | Annualized for periods less than one year. |
(b) | Not annualized for periods less than one year. |
(c) | Net investment income/(loss) per share has been calculated based on average shares outstanding during the period. |
(d) | Commencement of operations. |
(e) | Includes broker interest expense of 0.01%. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Ratios/Supplemental Data: | ||||||||||||||||||||||||||
Ratio to Average Net Assets of: (a) | ||||||||||||||||||||||||||
Change in Net Asset Value for the Period | Net Asset Value, End of Period | Total return (b) | Net assets, end of period (000) | Expenses | Net investment income/(loss) | Portfolio turnover rate (b) | ||||||||||||||||||||
1.04 | $ | 26.67 | 4.06 | % | $ | 10,669 | 0.79 | % | (0.79 | )% | 0 | % | ||||||||||||||
0.59 | $ | 27.24 | 6.26 | % | $ | 14,984 | 0.79 | % | (0.79 | )% | 0 | % | ||||||||||||||
1.32 | $ | 26.65 | 5.19 | % | $ | 2,665 | 0.80 | % | (e) | (0.80 | )% | 0 | % | |||||||||||||
(0.77 | ) | $ | 25.54 | 3.37 | % | $ | 39,583 | 0.79 | % | (0.79 | )% | 1 | % | |||||||||||||
1.63 | $ | 26.31 | 6.62 | % | $ | 38,809 | 0.79 | % | (0.79 | )% | 27 | % | ||||||||||||||
(0.49 | ) | $ | 24.68 | (1.95 | )% | $ | 3,702 | 0.79 | % | (0.79 | )% | 0 | % | |||||||||||||
1.42 | $ | 26.87 | 6.46 | % | $ | 45,679 | 0.79 | % | (0.79 | )% | 0 | % | ||||||||||||||
0.41 | $ | 25.45 | 1.64 | % | $ | 18,452 | 0.79 | % | (0.79 | )% | 0 | % |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Financial Highlights
Per Share Operating Performance (For a share outstanding throughout each period) | ||||||||||||||||||||||||
Investment Operations: | Capital Share Transactions: | Distributions Paid to Shareholders: | ||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net investment income/(loss) (c) | Net realized and unrealized gain/(loss) | Total From Investment Operations | Transaction fees (see Note 5) | Paid from realized gains | |||||||||||||||||||
Innovator S&P 500® Ultra Buffer ETF - September | ||||||||||||||||||||||||
For the year ended 10/31/2020 | $ | 25.02 | (0.20 | ) | 1.09 | 0.89 | 0.08 | (0.16 | ) | |||||||||||||||
For the period 8/30/2019 (d) - 10/31/2019 | $ | 24.59 | (0.03 | ) | 0.43 | 0.40 | 0.03 | - | ||||||||||||||||
Innovator S&P 500® Ultra Buffer ETF - October | ||||||||||||||||||||||||
For the year ended 10/31/2020 | $ | 25.05 | (0.20 | ) | 1.41 | 1.21 | 0.02 | (0.58 | ) | |||||||||||||||
For the year ended 10/31/2019 | $ | 23.64 | (0.19 | ) | 1.58 | 1.39 | 0.02 | - | ||||||||||||||||
For the period 9/28/2018 (d) - 10/31/2018 | $ | 24.49 | (0.01 | ) | (0.85 | ) | (0.86 | ) | 0.01 | - | ||||||||||||||
Innovator S&P 500® Ultra Buffer ETF - November | ||||||||||||||||||||||||
For the year ended 10/31/2020 | $ | 25.53 | (0.21 | ) | 1.94 | 1.73 | 0.02 | - | ||||||||||||||||
For the period 10/31/2019 (d) - 10/31/2019 | $ | 25.53 | - | - | - | - | - | |||||||||||||||||
Innovator S&P 500® Ultra Buffer ETF - December | ||||||||||||||||||||||||
For the period 11/29/2019 (d) - 10/31/2020 | $ | 26.40 | (0.19 | ) | 0.91 | 0.72 | 0.03 | - |
(a) | Annualized for periods less than one year. |
(b) | Not annualized for periods less than one year. |
(c) | Net investment income/(loss) per share has been calculated based on average shares outstanding during the period. |
(d) | Commencement of operations. |
(e) | Includes broker interest expense of 0.01%. |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Ratios/Supplemental Data: | ||||||||||||||||||||||||||
Ratio to Average Net Assets of: (a) | ||||||||||||||||||||||||||
Change in Net Asset Value for the Period | Net Asset Value, End of Period | Total return (b) | Net assets, end of period (000) | Expenses | Net investment income/(loss) | Portfolio turnover rate (b) | ||||||||||||||||||||
0.81 | $ | 25.83 | 3.90 | % | $ | 65,221 | 0.79 | % | (0.79 | )% | 35 | % | ||||||||||||||
0.43 | $ | 25.02 | 1.76 | % | $ | 5,005 | 0.79 | % | (0.79 | )% | 152 | % | ||||||||||||||
0.65 | $ | 25.70 | 5.00 | % | $ | 105,376 | 0.79 | % | (0.79 | )% | 0 | % | ||||||||||||||
1.41 | $ | 25.05 | 5.98 | % | $ | 135,912 | 0.80 | % | (e) | (0.79 | )% | 4 | % | |||||||||||||
(0.85 | ) | $ | 23.64 | (3.47 | )% | $ | 13,593 | 0.79 | % | (0.79 | )% | 3 | % | |||||||||||||
1.75 | $ | 27.28 | 6.88 | % | $ | 8,867 | 0.79 | % | (0.79 | )% | 0 | % | ||||||||||||||
- | $ | 25.53 | - | $ | 2,553 | - | - | - | ||||||||||||||||||
0.75 | $ | 27.15 | 2.84 | % | $ | 23,756 | 0.79 | % | (0.79 | )% | 160 | % |
The accompanying notes are an integral part of these financial statements.
INNOVATOR ETFs TRUST
Notes to Financial Statements
1. | ORGANIZATION |
Innovator ETFs Trust (the “Trust”) was organized under Delaware law as a Delaware statutory trust on October 17, 2007, and is registered with the Securities and Exchange Commission (“SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”) as an open–end management investment company. The Trust currently consists of multiple operational series, of which thirty–six are covered in this report, collectively the (“Funds”):
Name | Ticker | Commencement of Operations | ||
Innovator S&P 500® Buffer ETF – January | BJAN | December 31, 2018 | ||
Innovator S&P 500® Buffer ETF – February | BFEB | January 31, 2020 | ||
Innovator S&P 500® Buffer ETF – March | BMAR | February 28, 2020 | ||
Innovator S&P 500® Buffer ETF – April | BAPR | March 29, 2019 | ||
Innovator S&P 500® Buffer ETF – May | BMAY | April 30, 2020 | ||
Innovator S&P 500® Buffer ETF – June | BJUN | May 31, 2019 | ||
Innovator S&P 500® Buffer ETF – July | BJUL | August 28, 2018 | ||
Innovator S&P 500® Buffer ETF – August | BAUG | July 31, 2019 | ||
Innovator S&P 500® Buffer ETF – September | BSEP | August 30, 2019 | ||
Innovator S&P 500® Buffer ETF – October | BOCT | September 28, 2018 | ||
Innovator S&P 500® Buffer ETF – November | BNOV | October 31, 2019 | ||
Innovator S&P 500® Buffer ETF – December | BDEC | November 29, 2019 | ||
Innovator S&P 500® Power Buffer ETF – January | PJAN | December 31, 2018 | ||
Innovator S&P 500® Power Buffer ETF – February | PFEB | January 31, 2020 | ||
Innovator S&P 500® Power Buffer ETF – March | PMAR | February 28, 2020 | ||
Innovator S&P 500® Power Buffer ETF – April | PAPR | March 29, 2019 | ||
Innovator S&P 500® Power Buffer ETF – May | PMAY | April 30, 2020 | ||
Innovator S&P 500® Power Buffer ETF – June | PJUN | May 31, 2019 | ||
Innovator S&P 500® Power Buffer ETF – July | PJUL | August 7, 2018 | ||
Innovator S&P 500® Power Buffer ETF – August | PAUG | July 31, 2019 | ||
Innovator S&P 500® Power Buffer ETF – September | PSEP | August 30, 2019 | ||
Innovator S&P 500® Power Buffer ETF – October | POCT | September 28, 2018 | ||
Innovator S&P 500® Power Buffer ETF – November | PNOV | October 31, 2019 | ||
Innovator S&P 500® Power Buffer ETF – December | PDEC | November 29, 2019 | ||
Innovator S&P 500® Ultra Buffer ETF – January | UJAN | December 31, 2018 | ||
Innovator S&P 500® Ultra Buffer ETF – February | UFEB | January 31, 2020 | ||
Innovator S&P 500® Ultra Buffer ETF – March | UMAR | February 28, 2020 | ||
Innovator S&P 500® Ultra Buffer ETF – April | UAPR | March 29, 2019 | ||
Innovator S&P 500® Ultra Buffer ETF – May | UMAY | April 30, 2020 | ||
Innovator S&P 500® Ultra Buffer ETF – June | UJUN | May 31, 2019 | ||
Innovator S&P 500® Ultra Buffer ETF – July | UJUL | August 7, 2018 | ||
Innovator S&P 500® Ultra Buffer ETF – August | UAUG | July 31, 2019 | ||
Innovator S&P 500® Ultra Buffer ETF – September | USEP | August 30, 2019 | ||
Innovator S&P 500® Ultra Buffer ETF – October | UOCT | September 28, 2018 | ||
Innovator S&P 500® Ultra Buffer ETF – November | UNOV | October 31, 2019 | ||
Innovator S&P 500® Ultra Buffer ETF – December | UDEC | November 29, 2019 |
INNOVATOR ETFs TRUST
Notes to Financial Statements (Continued)
The operational series of the Trust covered outside of this report consist of:
Name |
| Ticker |
| Commencement of Operations |
Innovator IBD® 50 ETF |
| FFTY |
| April 8, 2015 |
Innovator IBD® ETF Leaders ETF |
| LDRS |
| December 20, 2017 |
Innovator IBD® Breakout Opportunities ETF |
| BOUT |
| September 12, 2018 |
Innovator Loup Frontier Tech ETF |
| LOUP |
| July 24, 2018 |
Innovator MSCI EAFE Power Buffer ETF - January |
| IJAN |
| December 31, 2019 |
Innovator MSCI EAFE Power Buffer ETF - July |
| IJUL |
| June 28, 2019 |
Innovator MSCI Emerging Markets Power Buffer ETF - January |
| EJAN |
| December 31, 2019 |
Innovator MSCI Emerging Markets Power Buffer ETF - July |
| EJUL |
| June 28, 2019 |
Innovator Nasdaq-100 Power Buffer ETF - January |
| NJAN |
| December 31, 2019 |
Innovator Nasdaq-100 Power Buffer ETF - April |
| NAPR |
| March 31, 2020 |
Innovator Nasdaq-100 Power Buffer ETF - July |
| NJUL |
| June 30, 2020 |
Innovator Nasdaq-100 Power Buffer ETF - October |
| NOCT |
| September 30, 2019 |
Innovator Russell 2000 Power Buffer ETF - January |
| KJAN |
| December 31, 2019 |
Innovator Russell 2000 Power Buffer ETF - April |
| KAPR |
| March 31, 2020 |
Innovator Russell 2000 Power Buffer ETF - July |
| KJUL |
| June 30, 2020 |
Innovator Russell 2000 Power Buffer ETF - October |
| KOCT |
| September 30, 2019 |
Innovator 20+ Year Treasury Bond 5 Floor ETF - July |
| TFJL |
| August 17, 2020 |
Innovator 20+ Year Treasury Bond 9 Buffer ETF - July |
| TBJL |
| August 17, 2020 |
Innovator Double Stacker ETF - October |
| DSOC |
| September 30, 2020 |
Innovator Triple Stacker ETF - October |
| TSOC |
| September 30, 2020 |
Innovator Double Stacker 9 Buffer ETF - October |
| DBOC |
| September 30, 2020 |
The Funds are exchange traded funds that offer one class of shares, do not charge a sales load, do not have a redemption fee and currently do not charge a 12b–1 fee to their shareholders. The Funds list and principally trade their shares on Cboe BZX Exchange, Inc. (“Cboe BZX” or the “Exchange”). The Funds individually seek to track, before fees and expenses the S&P 500® Price Index up to a respective upside cap while providing a respective buffer for a given annual period.
Each Fund employs a specific “defined outcome strategy.” Defined outcome strategies generally seek to produce pre-determined investment outcomes based upon the performance of an index or one or more underlying securities. The Funds’ pre-determined outcomes (“Outcomes”) are based upon the price performance of a benchmark index or one or more underlying exchange-traded fund (the “Benchmark”) over a period of approximately one year or another predetermined period (“Outcome Period”). The Funds’ investment strategy provides shareholders with participation in any gains experienced by the applicable Benchmark over the course of the Outcome Period, subject to a cap on upside returns (a “Cap”), and, if applicable, a predetermined buffer (a “Buffer”) against Benchmark losses for the Outcome Period. These defined outcomes are managed by purchasing and selling call and put FLexible EXchange Options (“FLEX Options”) to create layers within a Fund’s portfolio. Each Fund’s FLEX Option has the same reference asset and expiration date, with uniquely selected strike prices for the Fund’s Outcome Period. Due to the customizable nature of FLEX Options that allows for specific strike prices to be selected for the same reference asset and expiration date, when each of the FLEX Options expire on the last day of the Outcome Period, the Funds are expected to achieve a Benchmark investment return with the applicable Buffer and Cap investment parameters.
INNOVATOR ETFs TRUST
Notes to Financial Statements (Continued)
The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies”.
2. | SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of significant accounting policies consistently followed by the Trust in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”).
Valuation:
The net asset values (“NAV”) of the Funds are determined as of the close of regular trading on the NYSE (normally 4:00 p.m. ET). If the NYSE closes early on a valuation day, the Funds shall determine NAV as of that time.
Portfolio securities generally shall be valued utilizing prices provided by independent pricing services. The Trust’s Pricing Committee (“Pricing Committee”) is responsible for establishing valuation of portfolio securities and other instruments held by the Funds in accordance with the Trust’s valuation procedures.
Common stocks, preferred stocks and other equity securities listed on any national or foreign exchange (excluding the NASDAQ National Market (“NASDAQ”) and the London Stock Exchange Alternative Investment Market (“AIM”)) are generally valued at the last sale price on the exchange on which they are principally traded or, for NASDAQ and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the exchange representing the principal market for such securities. Securities traded in the over–the–counter market are valued at the mean of the bid and the asked price, if available, and otherwise at their closing bid price. Redeemable securities issued by open–end investment companies shall be valued at the investment company’s applicable net asset value, with the exception of exchange–traded open–end investment companies which are priced as equity securities. Fixed income securities, swaps, currency–, credit– and commodity–linked notes, and other similar instruments will be valued using a pricing service. Fixed income securities having a remaining maturity of 60 days or less when purchased will be valued at cost adjusted for amortization of premiums and accretion of discounts, provided the Pricing Committee has determined that the use of amortized cost is an appropriate reflection of fair value given market and issuer specific conditions existing at the time of the determination. Deposit accounts are valued at acquisition cost. Foreign securities and other assets denominated in foreign currencies are translated into U.S. dollars at the exchange rate of such currencies against the U.S. dollar as provided by the pricing service. All assets denominated in foreign currencies will be converted into U.S. dollars at the exchange rates in effect at the time of valuation. Restricted securities (with the exception of Rule 144A Securities for which market quotations are available) will normally be valued at fair value as determined by the Pricing Committee.
Exchange–traded option contracts (other than FLexible EXchange Option or “FLEX Option” contracts) will be valued at the closing price in the market where such contracts are principally traded. If no closing price is available, they will be fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price. OTC options are fair valued at the mean of the most recent bid and asked price, if available, and otherwise at their closing bid price. FLEX Options will be valued at a model–based price provided by the exchange on which the option is traded at the official close of that exchange’s trading date. If the exchange on which the option is traded is unable to provide a model price, FLEX Options prices will be provided by backup provider Super Derivatives. Otherwise, the value of a FLEX Option will be determined by the Pricing Committee in accordance with the Trust’s valuation procedures.
If no quotation can be obtained from a pricing service, then the Pricing Committee will then attempt to obtain one or more broker quotes for the security. If no quotation is available from either a pricing service or one or more brokers or if the Pricing Committee has reason to question the reliability or accuracy of a quotation supplied or the use of amortized cost, the value of any portfolio security held by the Funds for which reliable market quotations are not readily available will be determined by the Pricing Committee in a manner that most appropriately reflects fair market value of the security on the valuation date. The use of a fair valuation method may be appropriate if, for example: (i) market quotations do not accurately reflect fair value of an investment; (ii) an investment’s value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (for example, a foreign exchange or market); (iii) a trading halt closes an exchange or market early; or (iv) other events result in an exchange or market delaying its normal close.
INNOVATOR ETFs TRUST
Notes to Financial Statements (Continued)
Fair Valuation Measurement:
FASB established a framework for measuring fair value in accordance with U.S. GAAP. Under ASC, Fair Value Measurement (“ASC 820”), various inputs are used in determining the value of the Funds’ investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The three Levels of inputs of the fair value hierarchy are defined as follows:
• Level 1 – | Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access. |
• Level 2 – | Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data. |
• Level 3 – | Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available. |
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgement. Accordingly, the degree of judgement exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
INNOVATOR ETFs TRUST
Notes to Financial Statements (Continued)
The following table summarizes valuation of the Funds’ investments under the fair value hierarchy levels as of October 31, 2020:
BJAN | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 129,552,668 | $ | - | $ | 129,552,668 | ||||||||
Total Assets | $ | - | $ | 129,552,668 | $ | - | $ | 129,552,668 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 3,769,360 | $ | - | $ | 3,769,360 | ||||||||
Total Liabilities | $ | - | $ | 3,769,360 | $ | - | $ | 3,769,360 |
BFEB | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 38,978,376 | $ | - | $ | 38,978,376 | ||||||||
Short Term Investments | 1,014 | - | - | 1,014 | ||||||||||||
Total Assets | $ | 1,014 | $ | 38,978,376 | $ | - | $ | 38,979,390 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 1,767,340 | $ | - | $ | 1,767,340 | ||||||||
Total Liabilities | $ | - | $ | 1,767,340 | $ | - | $ | 1,767,340 |
BMAR | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 25,990,605 | $ | - | $ | 25,990,605 | ||||||||
Short Term Investments | 996 | - | - | 996 | ||||||||||||
Total Assets | $ | 996 | $ | 25,990,605 | $ | - | $ | 25,991,601 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 2,155,562 | $ | - | $ | 2,155,562 | ||||||||
Total Liabilities | $ | - | $ | 2,155,562 | $ | - | $ | 2,155,562 |
BAPR | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 86,163,155 | $ | - | $ | 86,163,155 | ||||||||
Short Term Investments | 1,312 | - | - | 1,312 | ||||||||||||
Total Assets | $ | 1,312 | $ | 86,163,155 | $ | - | $ | 86,164,467 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 16,496,275 | $ | - | $ | 16,496,275 | ||||||||
Total Liabilities | $ | - | $ | 16,496,275 | $ | - | $ | 16,496,275 |
INNOVATOR ETFs TRUST
Notes to Financial Statements (Continued)
BMAY | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 17,999,745 | $ | - | $ | 17,999,745 | ||||||||
Short Term Investments | 1 | - | - | 1 | ||||||||||||
Total Assets | $ | 1 | $ | 17,999,745 | $ | - | $ | 17,999,746 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 1,893,925 | $ | - | $ | 1,893,925 | ||||||||
Total Liabilities | $ | - | $ | 1,893,925 | $ | - | $ | 1,893,925 |
BJUN | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 35,719,305 | $ | - | $ | 35,719,305 | ||||||||
Short Term Investments | 1,020 | - | - | 1,020 | ||||||||||||
Total Assets | $ | 1,020 | $ | 35,719,305 | $ | - | $ | 35,720,325 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 3,520,188 | $ | - | $ | 3,520,188 | ||||||||
Total Liabilities | $ | - | $ | 3,520,188 | $ | - | $ | 3,520,188 |
BJUL | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 75,487,741 | $ | - | $ | 75,487,741 | ||||||||
Short Term Investments | 53 | - | - | 53 | ||||||||||||
Total Assets | $ | 53 | $ | 75,487,741 | $ | - | $ | 75,487,794 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 7,713,897 | $ | - | $ | 7,713,897 | ||||||||
Total Liabilities | $ | - | $ | 7,713,897 | $ | - | $ | 7,713,897 |
BAUG | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 53,390,743 | $ | - | $ | 53,390,743 | ||||||||
Short Term Investments | 758 | - | - | 758 | ||||||||||||
Total Assets | $ | 758 | $ | 53,390,743 | $ | - | $ | 53,391,501 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 5,242,821 | $ | - | $ | 5,242,821 | ||||||||
Total Liabilities | $ | - | $ | 5,242,821 | $ | - | $ | 5,242,821 |
INNOVATOR ETFs TRUST
Notes to Financial Statements (Continued)
BSEP | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 87,478,835 | $ | - | $ | 87,478,835 | ||||||||
Total Assets | $ | - | $ | 87,478,835 | $ | - | $ | 87,478,835 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 9,588,809 | $ | - | $ | 9,588,809 | ||||||||
Total Liabilities | $ | - | $ | 9,588,809 | $ | - | $ | 9,588,809 |
BOCT | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 83,001,390 | $ | - | $ | 83,001,390 | ||||||||
Short Term Investments | 1,706 | - | - | 1,706 | ||||||||||||
Total Assets | $ | 1,706 | $ | 83,001,390 | $ | - | $ | 83,003,096 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 9,387,766 | $ | - | $ | 9,387,766 | ||||||||
Total Liabilities | $ | - | $ | 9,387,766 | $ | - | $ | 9,387,766 |
BNOV | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 17,015,985 | $ | - | $ | 17,015,985 | ||||||||
Short Term Investments | 1,035 | - | - | 1,035 | ||||||||||||
Total Assets | $ | 1,035 | $ | 17,015,985 | $ | - | $ | 17,017,020 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 2,005,981 | $ | - | $ | 2,005,981 | ||||||||
Total Liabilities | $ | - | $ | 2,005,981 | $ | - | $ | 2,005,981 |
BDEC | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 25,431,957 | $ | - | $ | 25,431,957 | ||||||||
Short Term Investments | 1,085 | - | - | 1,085 | ||||||||||||
Total Assets | $ | 1,085 | $ | 25,431,957 | $ | - | $ | 25,433,042 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 342,094 | $ | - | $ | 342,094 | ||||||||
Total Liabilities | $ | - | $ | 342,094 | $ | - | $ | 342,094 |
INNOVATOR ETFs TRUST
Notes to Financial Statements (Continued)
PJAN | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 298,086,528 | $ | - | $ | 298,086,528 | ||||||||
Short Term Investments | 5,467 | - | - | 5,467 | ||||||||||||
Total Assets | $ | 5,467 | $ | 298,086,528 | $ | - | $ | 298,091,995 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 9,381,238 | $ | - | $ | 9,381,238 | ||||||||
Total Liabilities | $ | - | $ | 9,381,238 | $ | - | $ | 9,381,238 |
PFEB | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 121,559,145 | $ | - | $ | 121,559,145 | ||||||||
Short Term Investments | 1,057 | - | - | 1,057 | ||||||||||||
Total Assets | $ | 1,057 | $ | 121,559,145 | $ | - | $ | 121,560,202 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 5,836,002 | $ | - | $ | 5,836,002 | ||||||||
Total Liabilities | $ | - | $ | 5,836,002 | $ | - | $ | 5,836,002 |
PMAR | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 80,266,001 | $ | - | $ | 80,266,001 | ||||||||
Short Term Investments | 1,067 | - | - | 1,067 | ||||||||||||
Total Assets | $ | 1,067 | $ | 80,266,001 | $ | - | $ | 80,267,068 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 8,076,969 | $ | - | $ | 8,076,969 | ||||||||
Total Liabilities | $ | - | $ | 8,076,969 | $ | - | $ | 8,076,969 |
PAPR | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 240,264,401 | $ | - | $ | 240,264,401 | ||||||||
Short Term Investments | 867 | - | - | 867 | ||||||||||||
Total Assets | $ | 867 | $ | 240,264,401 | $ | - | $ | 240,265,268 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 53,119,182 | $ | - | $ | 53,119,182 | ||||||||
Total Liabilities | $ | - | $ | 53,119,182 | $ | - | $ | 53,119,182 |
INNOVATOR ETFs TRUST
Notes to Financial Statements (Continued)
PMAY | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 75,130,604 | $ | - | $ | 75,130,604 | ||||||||
Short Term Investments | 5,330 | - | - | 5,330 | ||||||||||||
Total Assets | $ | 5,330 | $ | 75,130,604 | $ | - | $ | 75,135,934 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 9,310,637 | $ | - | $ | 9,310,637 | ||||||||
Total Liabilities | $ | - | $ | 9,310,637 | $ | - | $ | 9,310,637 |
PJUN | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 106,339,548 | $ | - | $ | 106,339,548 | ||||||||
Short Term Investments | 983 | - | - | 983 | ||||||||||||
Total Assets | $ | 983 | $ | 106,339,548 | $ | - | $ | 106,340,531 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 11,738,346 | $ | - | $ | 11,738,346 | ||||||||
Total Liabilities | $ | - | $ | 11,738,346 | $ | - | $ | 11,738,346 |
PJUL | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 125,527,863 | $ | - | $ | 125,527,863 | ||||||||
Short Term Investments | 1,730 | - | - | 1,730 | ||||||||||||
Total Assets | $ | 1,730 | $ | 125,527,863 | $ | - | $ | 125,529,593 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 13,777,752 | $ | - | $ | 13,777,752 | ||||||||
Total Liabilities | $ | - | $ | 13,777,752 | $ | - | $ | 13,777,752 |
PAUG | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 121,637,037 | $ | - | $ | 121,637,037 | ||||||||
Short Term Investments | 838 | - | - | 838 | ||||||||||||
Total Assets | $ | 838 | $ | 121,637,037 | $ | - | $ | 121,637,875 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 12,115,065 | $ | - | $ | 12,115,065 | ||||||||
Total Liabilities | $ | - | $ | 12,115,065 | $ | - | $ | 12,115,065 |
INNOVATOR ETFs TRUST
Notes to Financial Statements (Continued)
PSEP | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 318,337,745 | $ | - | $ | 318,337,745 | ||||||||
Short Term Investments | 39,236 | - | - | 39,236 | ||||||||||||
Total Assets | $ | 39,236 | $ | 318,337,745 | $ | - | $ | 318,376,981 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 30,943,326 | $ | - | $ | 30,943,326 | ||||||||
Total Liabilities | $ | - | $ | 30,943,326 | $ | - | $ | 30,943,326 |
POCT | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 212,635,018 | $ | - | $ | 212,635,018 | ||||||||
Total Assets | $ | - | $ | 212,635,018 | $ | - | $ | 212,635,018 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 22,645,303 | $ | - | $ | 22,645,303 | ||||||||
Total Liabilities | $ | - | $ | 22,645,303 | $ | - | $ | 22,645,303 |
PNOV | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 43,203,612 | $ | - | $ | 43,203,612 | ||||||||
Total Assets | $ | - | $ | 43,203,612 | $ | - | $ | 43,203,612 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 5,007,791 | $ | - | $ | 5,007,791 | ||||||||
Total Liabilities | $ | - | $ | 5,007,791 | $ | - | $ | 5,007,791 |
PDEC | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 66,816,160 | $ | - | $ | 66,816,160 | ||||||||
Short Term Investments | 1,477 | - | - | 1,477 | ||||||||||||
Total Assets | $ | 1,477 | $ | 66,816,160 | $ | - | $ | 66,817,637 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 1,345,580 | $ | - | $ | 1,345,580 | ||||||||
Total Liabilities | $ | - | $ | 1,345,580 | $ | - | $ | 1,345,580 |
INNOVATOR ETFs TRUST
Notes to Financial Statements (Continued)
UJAN | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 114,892,101 | $ | - | $ | 114,892,101 | ||||||||
Short Term Investments | 1,982 | - | - | 1,982 | ||||||||||||
Total Assets | $ | 1,982 | $ | 114,892,101 | $ | - | $ | 114,894,083 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 2,856,414 | $ | - | $ | 2,856,414 | ||||||||
Total Liabilities | $ | - | $ | 2,856,414 | $ | - | $ | 2,856,414 |
UFEB | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 33,210,331 | $ | - | $ | 33,210,331 | ||||||||
Short Term Investments | 1,020 | - | - | 1,020 | ||||||||||||
Total Assets | $ | 1,020 | $ | 33,210,331 | $ | - | $ | 33,211,351 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 1,280,216 | $ | - | $ | 1,280,216 | ||||||||
Total Liabilities | $ | - | $ | 1,280,216 | $ | - | $ | 1,280,216 |
UMAR | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 31,824,576 | $ | - | $ | 31,824,576 | ||||||||
Short Term Investments | 1,025 | - | - | 1,025 | ||||||||||||
Total Assets | $ | 1,025 | $ | 31,824,576 | $ | - | $ | 31,825,601 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 3,436,377 | $ | - | $ | 3,436,377 | ||||||||
Total Liabilities | $ | - | $ | 3,436,377 | $ | - | $ | 3,436,377 |
UAPR | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 40,624,878 | $ | - | $ | 40,624,878 | ||||||||
Short Term Investments | 3,367 | - | - | 3,367 | ||||||||||||
Total Assets | $ | 3,367 | $ | 40,624,878 | $ | - | $ | 40,628,245 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 10,023,897 | $ | - | $ | 10,023,897 | ||||||||
Total Liabilities | $ | - | $ | 10,023,897 | $ | - | $ | 10,023,897 |
INNOVATOR ETFs TRUST
Notes to Financial Statements (Continued)
UMAY | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 12,411,780 | $ | - | $ | 12,411,780 | ||||||||
Short Term Investments | 3 | - | - | 3 | ||||||||||||
Total Assets | $ | 3 | $ | 12,411,780 | $ | - | $ | 12,411,783 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 1,707,652 | $ | - | $ | 1,707,652 | ||||||||
Total Liabilities | $ | - | $ | 1,707,652 | $ | - | $ | 1,707,652 |
UJUN | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 16,933,528 | $ | - | $ | 16,933,528 | ||||||||
Short Term Investments | 1,870 | - | - | 1,870 | ||||||||||||
Total Assets | $ | 1,870 | $ | 16,933,528 | $ | - | $ | 16,935,398 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 1,932,463 | $ | - | $ | 1,932,463 | ||||||||
Total Liabilities | $ | - | $ | 1,932,463 | $ | - | $ | 1,932,463 |
UJUL | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 44,662,525 | $ | - | $ | 44,662,525 | ||||||||
Short Term Investments | 729 | - | - | 729 | ||||||||||||
Total Assets | $ | 729 | $ | 44,662,525 | $ | - | $ | 44,663,254 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 5,072,007 | $ | - | $ | 5,072,007 | ||||||||
Total Liabilities | $ | - | $ | 5,072,007 | $ | - | $ | 5,072,007 |
UAUG | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 50,026,833 | $ | - | $ | 50,026,833 | ||||||||
Total Assets | $ | - | $ | 50,026,833 | $ | - | $ | 50,026,833 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 4,359,860 | $ | - | $ | 4,359,860 | ||||||||
Total Liabilities | $ | - | $ | 4,359,860 | $ | - | $ | 4,359,860 |
INNOVATOR ETFs TRUST
Notes to Financial Statements (Continued)
USEP | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 69,971,447 | $ | - | $ | 69,971,447 | ||||||||
Total Assets | $ | - | $ | 69,971,447 | $ | - | $ | 69,971,447 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 4,738,581 | $ | - | $ | 4,738,581 | ||||||||
Total Liabilities | $ | - | $ | 4,738,581 | $ | - | $ | 4,738,581 |
UOCT | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 115,406,569 | $ | - | $ | 115,406,569 | ||||||||
Total Assets | $ | - | $ | 115,406,569 | $ | - | $ | 115,406,569 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 10,016,939 | $ | - | $ | 10,016,939 | ||||||||
Total Liabilities | $ | - | $ | 10,016,939 | $ | - | $ | 10,016,939 |
UNOV | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 9,872,415 | $ | - | $ | 9,872,415 | ||||||||
Short Term Investments | 1,106 | - | - | 1,106 | ||||||||||||
Total Assets | $ | 1,106 | $ | 9,872,415 | $ | - | $ | 9,873,521 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 1,010,299 | $ | - | $ | 1,010,299 | ||||||||
Total Liabilities | $ | - | $ | 1,010,299 | $ | - | $ | 1,010,299 |
UDEC | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Purchased Options | $ | - | $ | 24,469,000 | $ | - | $ | 24,469,000 | ||||||||
Short Term Investments | 1,013 | - | - | 1,013 | ||||||||||||
Total Assets | $ | 1,013 | $ | 24,469,000 | $ | - | $ | 24,470,013 | ||||||||
Liabilities | ||||||||||||||||
Options Written | $ | - | $ | 576,039 | $ | - | $ | 576,039 | ||||||||
Total Liabilities | $ | - | $ | 576,039 | $ | - | $ | 576,039 |
INNOVATOR ETFs TRUST
Notes to Financial Statements (Continued)
There were no Level 3 investments for the Funds during the year or period ended October 31, 2020.
Option Contracts:
In general, an option contract is an agreement between a buyer and seller that gives the purchaser of the option the right to buy or sell a particular asset at a specified future date at an agreed upon price (commonly known as the “strike price”).
The Funds invest primarily in FLEX Option contracts. FLEX Options are customized option contracts that trade on an exchange but provide investors with the ability to customize key contract terms like strike price, style and expiration date while achieving price discovery in competitive, transparent auctions markets and avoiding the counterparty exposure of over–the–counter options positions. Like traditional exchange–traded options, FLEX Options are guaranteed for settlement by the OCC, a market clearinghouse that guarantees performance by counterparties to certain derivatives contracts. The FLEX Options in which the Funds will invest are all European style options (options that are exercisable only on the expiration date). The FLEX Options are listed on the Chicago Board Options Exchange.
The Funds will purchase and sell call and put FLEX Options. In general, put options give the holder (i.e., the buyer) the right to sell an asset (or deliver the cash value of the index, in case of an index put option) and the seller (i.e., the writer) of the put has the obligation to buy the asset (or receive cash value of the index, in case of an index put option) at a certain defined price. Call options give the holder (i.e., the buyer) the right to buy an asset (or receive cash value of the index, in case of an index call option) and the seller (i.e., the writer) the obligation to sell the asset (or deliver cash value of the index, in case of an index call option) at a certain defined price.
When the Funds purchase an option, an amount equal to the premium paid by the Funds are recorded as an investment and is subsequently adjusted to the current value of the option purchased. If an option expires on the stipulated expiration date or if the Funds enter into a closing sale transaction, a gain or loss is realized. If a call option is exercised, the cost of the security acquired is increased by the premium paid for the call. If a put option is exercised, a gain or loss is realized from the sale of the underlying security, and the proceeds from such sale are decreased by the premium originally paid. Purchased options are non-income producing securities.
INNOVATOR ETFs TRUST
Notes to Financial Statements (Continued)
When the Funds write an option, an amount equal to the premium received by the Funds are recorded as a liability and is subsequently adjusted to the current value of the option written. Premiums received from writing options that expire unexercised are treated by the Funds on the expiration date as realized gain from written options. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium is less than the amount paid for the closing purchase transaction, as a realized loss. If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether the Funds have realized a gain or loss. If a put option is exercised, the premium reduces the cost basis of the securities purchased by the Funds. The Funds, as writers of an option, bear the market risk of an unfavorable change in the price of the security underlying the written option.
All of the FLEX Option contracts held by the Funds are fully funded and cash settled, therefore balance sheet offsetting under ASC 210 does not apply.
The Funds bear the risk that the OCC will be unable or unwilling to perform its obligations under the FLEX Options contracts. In the unlikely event that the OCC becomes insolvent or is otherwise unable to meet its settlement obligations, the Funds could suffer significant losses. Additionally, FLEX Options may be less liquid than certain other securities such as standardized options. In less liquid market for the FLEX Options, the Funds may have difficulty closing out certain FLEX Options positions at desired times and prices. The Funds may experience substantial downside from specific FLEX Option positions and certain FLEX Option positions may expire worthless. The value of the underlying FLEX Options will be affected by, among others, changes in the value of the exchange, changes in interest rates, changes in the actual and implied volatility of the Index and the remaining time to until the FLEX Options expire. The value of the FLEX Options does not increase or decrease at the same rate as the level of the Index (although they generally move in the same direction). However, as a FLEX Option approaches its expiration date, its value typically increasingly moves with the value of the Index.
INNOVATOR ETFs TRUST
Notes to Financial Statements (Continued)
The value of derivative instruments on the Statements of Assets and Liabilities for the Funds as of October 31, 2020, is as follows:
Equity Risk - Call and Put Options not Accounted for as Hedging Instruments | ||||||||
Asset | Liability Derivatives | |||||||
Investments, at value | Options written, at value | |||||||
BJAN | $ | 129,552,668 | $ | 3,769,360 | ||||
BFEB | 38,978,376 | 1,767,340 | ||||||
BMAR | 25,990,605 | 2,155,562 | ||||||
BAPR | 86,163,155 | 16,496,275 | ||||||
BMAY | 17,999,745 | 1,893,925 | ||||||
BJUN | 35,719,305 | 3,520,188 | ||||||
BJUL | 75,487,741 | 7,713,897 | ||||||
BAUG | 53,390,743 | 5,242,821 | ||||||
BSEP | 87,478,835 | 9,588,809 | ||||||
BOCT | 83,001,390 | 9,387,766 | ||||||
BNOV | 17,015,985 | 2,005,981 | ||||||
BDEC | 25,431,957 | 342,094 | ||||||
PJAN | 298,086,528 | 9,381,238 | ||||||
PFEB | 121,559,145 | 5,836,002 | ||||||
PMAR | 80,266,001 | 8,076,969 | ||||||
PAPR | 240,264,401 | 53,119,182 | ||||||
PMAY | 75,130,604 | 9,310,637 | ||||||
PJUN | 106,339,548 | 11,738,346 | ||||||
PJUL | 125,527,863 | 13,777,752 | ||||||
PAUG | 121,637,037 | 12,115,065 | ||||||
PSEP | 318,337,745 | 30,943,326 | ||||||
POCT | 212,635,018 | 22,645,303 | ||||||
PNOV | 43,203,612 | 5,007,791 | ||||||
PDEC | 66,816,160 | 1,345,580 | ||||||
UJAN | 114,892,101 | 2,856,414 | ||||||
UFEB | 33,210,331 | 1,280,216 | ||||||
UMAR | 31,824,576 | 3,436,377 | ||||||
UAPR | 40,624,878 | 10,023,897 | ||||||
UMAY | 12,411,780 | 1,707,652 | ||||||
UJUN | 16,933,528 | 1,932,463 | ||||||
UJUL | 44,662,525 | 5,072,007 | ||||||
UAUG | 50,026,833 | 4,359,860 | ||||||
USEP | 69,971,447 | 4,738,581 | ||||||
UOCT | 115,406,569 | 10,016,939 | ||||||
UNOV | 9,872,415 | 1,010,299 | ||||||
UDEC | 24,469,000 | 576,039 |
INNOVATOR ETFs TRUST
Notes to Financial Statements (Continued)
The effect of derivative instruments on the Statements of Operations for the year or period ended October 31, 2020:
Equity Risk - Call and Put Options not Accounted for as Hedging Instruments | ||||||||||||||||
Amount of Realized Recognized in Income | Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | |||||||||||||||
Investments | Options written | Investments | Options written | |||||||||||||
BJAN | $ | 12,306,601 | $ | (14,831,133 | ) | $ | (7,984,829 | ) | $ | 1,001,137 | ||||||
BFEB | 6,319,577 | (282,572 | ) | (5,335,914 | ) | (522,583 | ) | |||||||||
BMAR | 8,037,719 | 1,884,343 | (6,600,433 | ) | (1,187,236 | ) | ||||||||||
BAPR | 35,862,358 | 5,232,609 | (19,358,509 | ) | (12,318,612 | ) | ||||||||||
BMAY | 6,476,916 | 1,244,013 | (5,069,375 | ) | (1,129,022 | ) | ||||||||||
BJUN | 9,877,950 | 3,558,364 | (6,175,093 | ) | (1,316,006 | ) | ||||||||||
BJUL | (2,174,540 | ) | 3,510,821 | 4,874,112 | 544,132 | |||||||||||
BAUG | 4,435,550 | 2,295,341 | (1,623,434 | ) | (705,994 | ) | ||||||||||
BSEP | 3,474,143 | 1,942,603 | (5,331,035 | ) | (1,356,222 | ) | ||||||||||
BOCT | 4,181,836 | 1,423,529 | 424,112 | (368,237 | ) | |||||||||||
BNOV | 1,590,027 | 990,070 | (729 | ) | (911 | ) | ||||||||||
BDEC | 6,734,897 | (475,706 | ) | (5,400,408 | ) | (37,224 | ) | |||||||||
PJAN | 37,340,708 | (11,644,234 | ) | (25,045,851 | ) | 4,047,797 | ||||||||||
PFEB | 31,904,641 | 4,476,532 | (27,706,583 | ) | (2,597,210 | ) | ||||||||||
PMAR | 26,816,308 | 5,413,705 | (21,881,128 | ) | (4,462,559 | ) | ||||||||||
PAPR | 110,546,417 | 8,986,488 | (54,845,877 | ) | (39,938,066 | ) | ||||||||||
PMAY | 28,819,723 | 5,377,386 | (22,478,059 | ) | (5,574,222 | ) | ||||||||||
PJUN | 25,956,609 | 11,512,006 | (21,621,699 | ) | (4,470,788 | ) | ||||||||||
PJUL | 533,009 | 12,263,477 | 2,828,030 | (178,477 | ) | |||||||||||
PAUG | 4,632,913 | (237,985 | ) | (301,090 | ) | (741,156 | ) | |||||||||
PSEP | 4,906,680 | (1,859,548 | ) | (9,200,385 | ) | 3,693,409 | ||||||||||
POCT | 25,570,226 | 1,674,597 | (11,840,698 | ) | (1,052,241 | ) | ||||||||||
PNOV | 3,217,465 | 2,239,808 | (1,881 | ) | (2,351 | ) | ||||||||||
PDEC | 16,082,503 | 1,045,170 | (15,346,863 | ) | 102,735 | |||||||||||
UJAN | 38,179,825 | (3,605,511 | ) | (28,020,777 | ) | 835,959 | ||||||||||
UFEB | 13,297,040 | 2,110,088 | (12,722,782 | ) | (798,730 | ) | ||||||||||
UMAR | 17,101,837 | 3,920,861 | (14,413,506 | ) | (2,797,303 | ) | ||||||||||
UAPR | 10,337,215 | (978,113 | ) | (1,637,003 | ) | (6,617,078 | ) | |||||||||
UMAY | 4,275,023 | 442,927 | (3,357,703 | ) | (909,047 | ) | ||||||||||
UJUN | 3,739,916 | 1,297,956 | 245,337 | (426,034 | ) | |||||||||||
UJUL | 4,636,852 | 5,528,500 | (896,425 | ) | (1,015,400 | ) | ||||||||||
UAUG | 2,742,661 | 1,626,138 | (322,135 | ) | 316,688 | |||||||||||
USEP | 1,591,063 | (624,002 | ) | (1,808,942 | ) | 1,310,547 | ||||||||||
UOCT | 7,558,817 | 3,029,729 | (920,638 | ) | 1,398,972 | |||||||||||
UNOV | 344,128 | 586,632 | (380 | ) | (475 | ) | ||||||||||
UDEC | 11,661,226 | 1,856,097 | (10,654,421 | ) | (378,026 | ) |
INNOVATOR ETFs TRUST
Notes to Financial Statements (Continued)
The average volume of derivative activity during the year or period ended October 31, 2020, is as follows:
Purchased Options | Options Written | |||||||
Average Monthly Market Value | Average Monthly Market Value | |||||||
BJAN | $ | 133,954,281 | $ | (10,448,524 | ) | |||
BFEB | 36,401,041 | (3,404,588 | ) | |||||
BMAR | 23,334,337 | (2,576,943 | ) | |||||
BAPR | 78,695,458 | (12,587,382 | ) | |||||
BMAY | 16,700,732 | (2,019,996 | ) | |||||
BJUN | 29,347,176 | (2,777,034 | ) | |||||
BJUL | 81,785,331 | (5,687,136 | ) | |||||
BAUG | 43,859,646 | (2,824,010 | ) | |||||
BSEP | 20,664,406 | (1,884,368 | ) | |||||
BOCT | 110,167,102 | (6,740,412 | ) | |||||
BNOV | 28,324,588 | (1,810,288 | ) | |||||
BDEC | 24,625,036 | (1,533,298 | ) | |||||
PJAN | 226,854,753 | (16,272,223 | ) | |||||
PFEB | 94,610,256 | (7,776,107 | ) | |||||
PMAR | 68,093,106 | (8,083,270 | ) | |||||
PAPR | 206,040,988 | (39,256,935 | ) | |||||
PMAY | 74,274,630 | (10,040,918 | ) | |||||
PJUN | 71,301,762 | (7,478,521 | ) | |||||
PJUL | 123,974,729 | (9,679,059 | ) | |||||
PAUG | 92,549,601 | (6,692,345 | ) | |||||
PSEP | 77,152,706 | (6,509,464 | ) | |||||
POCT | 256,337,628 | (17,486,527 | ) | |||||
PNOV | 63,544,317 | (4,212,352 | ) | |||||
PDEC | 57,930,596 | (3,544,812 | ) | |||||
UJAN | 110,920,652 | (5,833,738 | ) | |||||
UFEB | 30,863,867 | (1,855,556 | ) | |||||
UMAR | 32,769,396 | (3,677,112 | ) | |||||
UAPR | 37,369,286 | (7,356,603 | ) | |||||
UMAY | 11,215,143 | (1,648,163 | ) | |||||
UJUN | 16,833,607 | (1,362,957 | ) | |||||
UJUL | 54,914,944 | (3,373,318 | ) | |||||
UAUG | 34,411,857 | (2,105,583 | ) | |||||
USEP | 17,474,542 | (1,062,493 | ) | |||||
UOCT | 124,237,533 | (7,566,007 | ) | |||||
UNOV | 9,733,531 | (559,053 | ) | |||||
UDEC | 24,435,736 | (1,220,187 | ) |
Use of Estimates:
In preparing financial statements in conformity with U.S. GAAP, management is required 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 increases and decreases in net assets from operations during the reporting year or period. Actual results could differ from these estimates.
INNOVATOR ETFs TRUST
Notes to Financial Statements (Continued)
Guarantees and Indemnifications:
In the normal course of business, the Trust may enter into a contract with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims against the Trust that have not yet occurred. Based on experience, the Trust expects the risk of loss to be remote.
Tax Information:
The Funds are treated as separate entities for federal income tax purposes. The Funds intend to qualify as regulated investment companies (“RICs”) under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”). To qualify and remain eligible for the special tax treatment accorded to RICs, the Funds must meet certain annual income and quarterly asset diversification requirements and must distribute annually at least 90% of the sum of (i) its investment company taxable income (which includes dividends, interest and net short-term capital gains) and (ii) certain net tax-exempt income, if any. If so qualified, the Funds will not be subject to federal income tax to the extent the Funds distribute substantially all of their net investment income and capital gains to shareholders.
Management evaluates the Funds’ tax positions to determine if the tax positions taken meet the minimum recognition threshold in connection with accounting for uncertainties in income tax positions taken or expected to be taken for the purposes of measuring and recognizing tax liabilities in the financial statements. Tax benefits associated with an uncertain tax position can be recognized only when the position is “more likely than not” to be sustained assuming examination by taxing authorities. Interest and penalties related to income taxes would be recorded as tax expense in the Statements of Operations. During the year or period ended October 31, 2020, the Funds did not incur any interest or penalties. The Funds’ federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. As of October 31, 2020, the Funds did not have a liability for any unrecognized tax benefits. As of October 31, 2020, the Funds have no examinations in progress and management is not aware of any tax positions for which it is reasonably possible that the amounts of unrecognized tax benefits will significantly change in the next twelve months. The Funds are subject to examination by U.S. Federal tax authorities for all tax years since inception.
INNOVATOR ETFs TRUST
Notes to Financial Statements (Continued)
U.S. GAAP requires that certain components of net assets be reclassified between distributable earnings/(accumulated deficit) and additional paid-in capital.
These reclassifications have no effect on net assets or net asset value per share. For the year or period ended October 31, 2020, the Funds made the following permanent book-to-tax reclassifications due to different treatment of redemptions for tax purposes:
Distributable Earnings/ (Accumulated Deficit) | Paid-In Capital | |||||||
BJAN | $ | 31,534 | $ | (31,534 | ) | |||
BFEB | (107,105 | ) | 107,105 | |||||
BMAR | (2,016,607 | ) | 2,016,607 | |||||
BAPR | (8,891,091 | ) | 8,891,091 | |||||
BMAY | (1,460,051 | ) | 1,460,051 | |||||
BJUN | (5,737,186 | ) | 5,737,186 | |||||
BJUL | (6,161,468 | ) | 6,161,468 | |||||
BAUG | (4,076,788 | ) | 4,076,788 | |||||
BSEP | 5,905 | (5,905 | ) | |||||
BOCT | (4,810,422 | ) | 4,810,422 | |||||
BNOV | (2,371,970 | ) | 2,371,970 | |||||
BDEC | (642,616 | ) | 642,616 | |||||
PJAN | (3,108,492 | ) | 3,108,492 | |||||
PFEB | (5,545,298 | ) | 5,545,298 | |||||
PMAR | (5,548,183 | ) | 5,548,183 | |||||
PAPR | (23,407,639 | ) | 23,407,639 | |||||
PMAY | (5,854,343 | ) | 5,854,343 | |||||
PJUN | (10,899,318 | ) | 10,899,318 | |||||
PJUL | (14,564,391 | ) | 14,564,391 | |||||
PAUG | (2,661,061 | ) | 2,661,061 | |||||
PSEP | 26,767 | (26,767 | ) | |||||
POCT | (12,381,961 | ) | 12,381,961 | |||||
PNOV | (4,991,347 | ) | 4,991,347 | |||||
PDEC | (1,469,446 | ) | 1,469,446 | |||||
UJAN | (6,590,214 | ) | 6,590,214 | |||||
UFEB | (1,704,361 | ) | 1,704,361 | |||||
UMAR | (3,649,945 | ) | 3,649,945 | |||||
UAPR | (869,164 | ) | 869,164 | |||||
UMAY | (410,439 | ) | 410,439 | |||||
UJUN | (4,729,323 | ) | 4,729,323 | |||||
UJUL | (7,860,724 | ) | 7,860,724 | |||||
UAUG | (4,120,554 | ) | 4,120,554 | |||||
USEP | (358,177 | ) | 358,177 | |||||
UOCT | (10,125,530 | ) | 10,125,530 | |||||
UNOV | (849,387 | ) | 849,387 | |||||
UDEC | (2,310,768 | ) | 2,310,768 |
INNOVATOR ETFs TRUST
Notes to Financial Statements (Continued)
Distributions to Shareholders:
Distributions to shareholders are recorded on the ex–dividend date. The Funds intend to pay out dividends from their net investment income, if any, annually. Distributions of net realized capital gains, if any, will be declared and paid at least annually by the Funds. The Funds may periodically make reclassifications among certain of its capital accounts as a result of the recognition and characterization of certain income and capital gain distributions determined annually in accordance with federal tax regulations which may differ from U.S. GAAP. Distributions that exceed earnings and profits for tax purposes are reported as a return of capital.
Investment Transactions and Investment Income:
Investment transactions are recorded on the trade date. The Trust determines the gain or loss realized from investment transactions on the basis of identified cost. Dividend income, if any, is recognized on the ex–dividend date. Interest income, including accretion of discounts and amortization of premiums is recognized on an accrual basis using the effective yield method.
3. | INVESTMENT ADVISOR AND OTHER AFFILIATES |
Innovator Capital Management, LLC (the “Adviser”) acts as investment adviser to the Funds pursuant to an investment advisory agreement between the Trust and the Adviser with respect to the Funds (“Advisory Agreement”) and, pursuant to the Advisory Agreement, is responsible for the day–to–day management of the Funds.
Pursuant to the Advisory Agreement, each respective Fund pays monthly the Adviser a unitary fee calculated daily based on the average daily net assets of the Fund at the annual rate of 0.79%. During the term of the Advisory Agreement, the Adviser pays all expenses of the Funds, including the cost of transfer agency, custody, fund administration, legal, audit, and other services and license fees, except for the fees paid under the Advisory Agreement, interest, taxes, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees payable pursuant to a Rule 12b–1 plan, if any, and extraordinary expenses.
Milliman Financial Risk Management LLC (the “Sub–Adviser”) acts as sub–adviser to the Funds pursuant to a sub–advisory agreement between the Adviser and the Sub–Adviser with respect to the Funds (“Sub–Advisory Agreement”) and, pursuant to the Sub–Advisory Agreement, is responsible for execution of the Sub–Adviser’s strategy for each of the Funds. The Sub–Adviser is responsible for the day–to–day management of the Funds’ portfolios. Pursuant to the Sub–Advisory Agreement between the Adviser and the Sub–Adviser, the Adviser pays the Sub–Adviser a fee, based on the Funds’ average daily net assets, for the services and facilities it provides payable on a monthly basis.
INNOVATOR ETFs TRUST
Notes to Financial Statements (Continued)
Certain trustees and officers of the Trust are affiliated with the Adviser. Trustee compensation is paid for by the Adviser.
4. | INVESTMENT TRANSACTIONS |
For the year or period ended October 31, 2020, the cost of purchases and proceeds from sales of investment securities, other than short–term investments were as follows:
Purchases | Sales | |||||||||||||||
U.S. Government | Other | U.S. Government | Other | |||||||||||||
BJAN | $ | - | $ | - | $ | - | $ | - | ||||||||
BFEB | - | - | - | - | ||||||||||||
BMAR | - | - | - | - | ||||||||||||
BAPR | - | - | - | - | ||||||||||||
BMAY | - | - | - | - | ||||||||||||
BJUN | - | - | - | - | ||||||||||||
BJUL | - | 270,309 | - | 7,465,307 | ||||||||||||
BAUG | - | - | - | - | ||||||||||||
BSEP | - | - | - | - | ||||||||||||
BOCT | - | - | - | - | ||||||||||||
BNOV | - | - | - | - | ||||||||||||
BDEC | - | 2,867,488 | - | 4,021,723 | ||||||||||||
PJAN | - | - | - | - | ||||||||||||
PFEB | - | - | - | - | ||||||||||||
PMAR | - | - | - | - | ||||||||||||
PAPR | - | - | - | - | ||||||||||||
PMAY | - | - | - | - | ||||||||||||
PJUN | - | - | - | - | ||||||||||||
PJUL | - | 281 | - | 26,901 | ||||||||||||
PAUG | - | - | - | - | ||||||||||||
PSEP | - | 144,989 | - | 8,729 | ||||||||||||
POCT | - | - | - | - | ||||||||||||
PNOV | - | - | - | - | ||||||||||||
PDEC | - | 2,808,906 | - | 3,671,169 | ||||||||||||
UJAN | - | - | - | - | ||||||||||||
UFEB | - | - | - | - | ||||||||||||
UMAR | - | - | - | - | ||||||||||||
UAPR | - | - | - | 813,825 | ||||||||||||
UMAY | - | - | - | - | ||||||||||||
UJUN | - | - | - | - | ||||||||||||
UJUL | - | 64,255 | - | 25,441,242 | ||||||||||||
UAUG | - | - | - | - | ||||||||||||
USEP | - | 104,626 | - | 52,112 | ||||||||||||
UOCT | - | - | - | - | ||||||||||||
UNOV | - | - | - | - | ||||||||||||
UDEC | - | 2,908,235 | - | 2,777,559 |
For the year or period ended October 31, 2020, the Funds did not have in–kind transactions associated with creations and redemptions.
INNOVATOR ETFs TRUST
Notes to Financial Statements (Continued)
5. CREATION AND REDEMPTION TRANSACTIONS
There were an unlimited number of shares of beneficial interest (without par value) authorized by the Trust. Individual shares of the Funds may only be purchased and sold at market prices on the Exchange through a broker-dealer. Such transactions may be subject to customary commission rates imposed by the broker-dealer, and market prices for the Funds’ shares may be at, above or below its NAV depending on the premium or discount at which the Funds’ shares trade.
The Funds issue and redeem shares on a continuous basis at NAV only in blocks of 25,000 shares, called “Creation Units.” Creation Units are issued and redeemed principally for cash. Once created, shares generally trade in the secondary market at market prices that change throughout the day in amounts less than a Creation Unit. Except when aggregated in Creation Units, shares are not redeemable securities of the Funds. Shares of the Funds may only be purchased or redeemed by certain financial institutions (“Authorized Participants”). An Authorized Participant is either (i) a broker–dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with the Distributor. A transaction fee is applicable to each transaction regardless of the number of units purchased or sold in the transaction. The Funds assess investors a transaction fee of $250 plus 0.05% of the value of the transaction on creations and redemptions (e.g. variable fees) of the respective Fund. Each Fund, subject to approval by the Board of Trustees, may adjust transaction fees from time to time based upon actual experience. Variable fees received by the Funds, if any, are disclosed on the Statements of Changes in Net Assets. Most retail investors do not qualify as Authorized Participants nor have the resources to buy and sell whole Creation Units. Therefore, they are unable to purchase or redeem the shares directly from the Funds. Rather, most retail investors may purchase shares in the secondary market with the assistance of a broker and are subject to customary brokerage commissions or fees.
INNOVATOR ETFs TRUST
6. | FEDERAL INCOME TAX INFORMATION |
At October 31, 2020, the cost of investments including written options and net unrealized appreciation/(depreciation) for federal income tax purposes were as follows:
Cost of Portfolio | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation / (Depreciation) | |||||||||||||
BJAN | $ | 125,783,308 | $ | - | $ | - | $ | - | ||||||||
BFEB | 37,212,050 | - | - | - | ||||||||||||
BMAR | 23,836,039 | - | - | - | ||||||||||||
BAPR | 69,668,192 | - | - | - | ||||||||||||
BMAY | 16,105,821 | - | - | - | ||||||||||||
BJUN | 32,200,137 | - | - | - | ||||||||||||
BJUL | 67,773,897 | - | - | - | ||||||||||||
BAUG | 48,148,680 | - | - | - | ||||||||||||
BSEP | 77,890,026 | - | - | - | ||||||||||||
BOCT | 73,615,330 | - | - | - | ||||||||||||
BNOV | 15,011,039 | - | - | - | ||||||||||||
BDEC | 25,090,948 | - | - | - | ||||||||||||
PJAN | 288,710,757 | - | - | - | ||||||||||||
PFEB | 115,724,200 | - | - | - | ||||||||||||
PMAR | 72,190,099 | - | - | - | ||||||||||||
PAPR | 187,146,086 | - | - | - | ||||||||||||
PMAY | 65,825,297 | - | - | - | ||||||||||||
PJUN | 94,602,185 | - | - | - | ||||||||||||
PJUL | 111,751,841 | - | - | - | ||||||||||||
PAUG | 109,522,810 | - | - | - | ||||||||||||
PSEP | 287,433,655 | - | - | - | ||||||||||||
POCT | 189,989,715 | - | - | - | ||||||||||||
PNOV | 38,195,821 | - | - | - | ||||||||||||
PDEC | 65,472,057 | - | - | - | ||||||||||||
UJAN | 112,037,669 | - | - | - | ||||||||||||
UFEB | 31,931,135 | - | - | - | ||||||||||||
UMAR | 28,389,224 | - | - | - | ||||||||||||
UAPR | 30,604,348 | - | - | - | ||||||||||||
UMAY | 10,704,131 | - | - | - | ||||||||||||
UJUN | 15,002,935 | - | - | - | ||||||||||||
UJUL | 39,591,247 | - | - | - | ||||||||||||
UAUG | 45,666,973 | - | - | - | ||||||||||||
USEP | 65,232,866 | - | - | - | ||||||||||||
UOCT | 105,389,630 | - | - | - | ||||||||||||
UNOV | 8,863,222 | - | - | - | ||||||||||||
UDEC | 23,893,974 | - | - | - |
The differences between book basis and tax basis cost on investments and net unrealized appreciation/(depreciation) are primarily attributable to the tax treatment of derivatives.
INNOVATOR ETFs TRUST
Notes to Financial Statements (Continued)
As of October 31, 2020, the components of distributable earnings/(accumulated deficit) on a tax basis were as follows:
Accumulated Capital and Other Losses | Undistributed Capital Gains | Unrealized Appreciation / (Depreciation) on Investments | Total Distributable Earnings /(Accumulated Deficit) | |||||||||||||
BJAN | $ | (10,425,848 | ) | $ | - | $ | - | $ | (10,425,848 | ) | ||||||
BFEB | (136,657 | ) | - | - | (136,657 | ) | ||||||||||
BMAR | - | - | - | - | ||||||||||||
BAPR | - | - | - | - | ||||||||||||
BMAY | - | - | - | - | ||||||||||||
BJUN | - | - | - | - | ||||||||||||
BJUL | - | - | - | - | ||||||||||||
BAUG | - | - | - | - | ||||||||||||
BSEP | (1,393,079 | ) | - | - | (1,393,079 | ) | ||||||||||
BOCT | - | - | - | - | ||||||||||||
BNOV | - | - | - | - | ||||||||||||
BDEC | - | - | - | - | ||||||||||||
PJAN | - | - | - | - | ||||||||||||
PFEB | - | - | - | - | ||||||||||||
PMAR | - | - | - | - | ||||||||||||
PAPR | - | - | - | - | ||||||||||||
PMAY | - | - | - | - | ||||||||||||
PJUN | - | - | - | - | ||||||||||||
PJUL | - | - | - | - | ||||||||||||
PAUG | - | - | - | - | ||||||||||||
PSEP | (2,917,534 | ) | - | - | (2,917,534 | ) | ||||||||||
POCT | - | - | - | - | ||||||||||||
PNOV | - | - | - | - | ||||||||||||
PDEC | - | - | - | - | ||||||||||||
UJAN | - | - | - | - | ||||||||||||
UFEB | - | - | - | - | ||||||||||||
UMAR | - | - | - | - | ||||||||||||
UAPR | - | - | - | - | ||||||||||||
UMAY | - | - | - | - | ||||||||||||
UJUN | - | - | - | - | ||||||||||||
UJUL | - | - | - | - | ||||||||||||
UAUG | - | - | - | - | ||||||||||||
USEP | - | - | - | - | ||||||||||||
UOCT | - | - | - | - | ||||||||||||
UNOV | - | - | - | - | ||||||||||||
UDEC | - | - | - | - |
INNOVATOR ETFs TRUST
Notes to Financial Statements (Continued)
Certain qualified late year ordinary losses incurred after December 31, and within the current taxable year, are deemed to arise on the first business day of the next taxable year. During the fiscal year or period ended October 31, 2020, the Funds elected to defer qualified late year ordinary losses as follows:
Late Year Ordinary Losses | ||||
BJAN | $ | 917,624 | ||
BFEB | 136,657 | |||
BMAR | - | |||
BAPR | - | |||
BMAY | - | |||
BJUN | - | |||
BJUL | - | |||
BAUG | - | |||
BSEP | 122,568 | |||
BOCT | - | |||
BNOV | - | |||
BDEC | - | |||
PJAN | - | |||
PFEB | - | |||
PMAR | - | |||
PAPR | - | |||
PMAY | - | |||
PJUN | - | |||
PJUL | - | |||
PAUG | - | |||
PSEP | 457,690 | |||
POCT | - | |||
PNOV | - | |||
PDEC | - | |||
UJAN | - | |||
UFEB | - | |||
UMAR | - | |||
UAPR | - | |||
UMAY | - | |||
UJUN | - | |||
UJUL | - | |||
UAUG | - | |||
USEP | - | |||
UOCT | - | |||
UNOV | - | |||
UDEC | - |
INNOVATOR ETFs TRUST
Notes to Financial Statements (Continued)
At October 31, 2020, for federal income tax purposes, the Funds had capital loss carryforwards available to offset future capital gains as follows:
Indefinite Short-Term | Indefinite Long-Term | |||||||
BJAN | $ | 3,803,290 | $ | 5,704,934 | ||||
BFEB | - | - | ||||||
BMAR | - | - | ||||||
BAPR | - | - | ||||||
BMAY | - | - | ||||||
BJUN | - | - | ||||||
BJUL | - | - | ||||||
BAUG | - | - | ||||||
BSEP | 508,204 | 762,307 | ||||||
BOCT | - | - | ||||||
BNOV | - | - | ||||||
BDEC | - | - | ||||||
PJAN | - | - | ||||||
PFEB | - | - | ||||||
PMAR | - | - | ||||||
PAPR | - | - | ||||||
PMAY | - | - | ||||||
PJUN | - | - | ||||||
PJUL | - | - | ||||||
PAUG | - | - | ||||||
PSEP | 983,937 | 1,475,907 | ||||||
POCT | - | - | ||||||
PNOV | - | - | ||||||
PDEC | - | - | ||||||
UJAN | - | - | ||||||
UFEB | - | - | ||||||
UMAR | - | - | ||||||
UAPR | - | - | ||||||
UMAY | - | - | ||||||
UJUN | - | - | ||||||
UJUL | - | - | ||||||
UAUG | - | - | ||||||
USEP | - | - | ||||||
UOCT | - | - | ||||||
UNOV | - | - | ||||||
UDEC | - | - |
To the extent that these loss carryforwards are utilized, capital gains so offset will not be distributed to shareholders. During the current tax year ended October 31, 2020, BNOV, PNOV, and UNOV each utilized $270 of capital loss carryforwards available.
INNOVATOR ETFs TRUST
Notes to Financial Statements (Continued)
The tax character of the distributions paid by the Funds during the fiscal year or period ended October 31, 2020 were as follows:
Distributions paid from: | ||||||||||||
Net Ordinary Income | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
BJAN | $ | 1,017,030 | $ | - | $ | 1,017,030 | ||||||
BFEB | - | - | - | |||||||||
BMAR | - | - | - | |||||||||
BAPR | - | - | - | |||||||||
BMAY | - | - | - | |||||||||
BJUN | - | - | - | |||||||||
BJUL | - | - | - | |||||||||
BAUG | - | - | - | |||||||||
BSEP | 62,944 | - | 62,944 | |||||||||
BOCT | 364,251 | - | 364,251 | |||||||||
BNOV | - | - | - | |||||||||
BDEC | - | - | - | |||||||||
PJAN | - | - | - | |||||||||
PFEB | - | - | - | |||||||||
PMAR | - | - | - | |||||||||
PAPR | 1,697,336 | 1,088,189 | 2,785,525 | |||||||||
PMAY | - | - | - | |||||||||
PJUN | - | - | - | |||||||||
PJUL | 770,315 | - | 770,315 | |||||||||
PAUG | 1,011,480 | 526,980 | 1,538,460 | |||||||||
PSEP | - | - | - | |||||||||
POCT | 2,195,472 | 4,873,122 | 7,068,594 | |||||||||
PNOV | - | - | - | |||||||||
PDEC | - | - | - | |||||||||
UJAN | - | - | - | |||||||||
UFEB | - | - | - | |||||||||
UMAR | - | - | - | |||||||||
UAPR | 252,554 | 161,349 | 413,903 | |||||||||
UMAY | - | - | - | |||||||||
UJUN | 42,149 | 59,377 | 101,526 | |||||||||
UJUL | 1,438,744 | 953,057 | 2,391,801 | |||||||||
UAUG | 97,889 | 57,580 | 155,469 | |||||||||
USEP | 20,870 | 11,776 | 32,646 | |||||||||
UOCT | 2,185,521 | 968,412 | 3,153,933 | |||||||||
UNOV | - | - | - | |||||||||
UDEC | - | - | - |
The Funds did not pay any distributions during the fiscal year or period ended October 31, 2019.
INNOVATOR ETFs TRUST
Notes to Financial Statements (Continued)
7. COVID-19
The recent global outbreak of COVID-19 has disrupted economic markets and the prolonged economic impact is uncertain. The operational and financial performance of the issuers of securities in which the Funds invest depend on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn impact the value of the Funds’ investments.
8. SUBSEQUENT EVENT
Management has evaluated the impact of all subsequent events of the Funds through the date of the financial statements were issued, and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.
INNOVATOR ETFs TRUST
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Trustees of Innovator ETFs Trust
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments and options written, of Innovator S&P 500® Buffer ETF – January, Innovator S&P 500® Buffer ETF – February, Innovator S&P 500® Buffer ETF – March, Innovator S&P 500® Buffer ETF – April, Innovator S&P 500® Buffer ETF – May, Innovator S&P 500® Buffer ETF – June, Innovator S&P 500® Buffer ETF – July, Innovator S&P 500® Buffer ETF – August, Innovator S&P 500® Buffer ETF – September, Innovator S&P 500® Buffer ETF – October, Innovator S&P 500® Buffer ETF – November, Innovator S&P 500® Buffer ETF – December, Innovator S&P 500® Power Buffer ETF – January, Innovator S&P 500® Power Buffer ETF – February, Innovator S&P 500® Power Buffer ETF – March, Innovator S&P 500® Power Buffer ETF – April, Innovator S&P 500® Power Buffer ETF – May, Innovator S&P 500® Power Buffer ETF – June, Innovator S&P 500® Power Buffer ETF – July, Innovator S&P 500® Power Buffer ETF – August, Innovator S&P 500® Power Buffer ETF – September, Innovator S&P 500® Power Buffer ETF – October, Innovator S&P 500® Power Buffer ETF – November, Innovator S&P 500® Power Buffer ETF – December, Innovator S&P 500® Ultra Buffer ETF – January, Innovator S&P 500® Ultra Buffer ETF – February, Innovator S&P 500® Ultra Buffer ETF – March, Innovator S&P 500® Ultra Buffer ETF – April, Innovator S&P 500® Ultra Buffer ETF – May, Innovator S&P 500® Ultra Buffer ETF – June, Innovator S&P 500® Ultra Buffer ETF – July, Innovator S&P 500® Ultra Buffer ETF – August, Innovator S&P 500® Ultra Buffer ETF – September, Innovator S&P 500® Ultra Buffer ETF – October, Innovator S&P 500® Ultra Buffer ETF – November and Innovator S&P 500® Ultra Buffer ETF – December (the “Funds”), each a series of Innovator ETFs Trust, as of October 31, 2020, the related statements of operations, the statements of changes in net assets, and the financial highlights for each of the periods indicated below, including 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 each of the Funds as of October 31, 2020, the results of their operations, the changes in their net assets, and the financial highlights for each of the periods indicated below in conformity with accounting principles generally accepted in the United States of America.
INNOVATOR ETFs TRUST
Fund Name | Statements of Operations | Statements of Changes in Net Assets | Financial Highlights |
Innovator S&P 500® Power Buffer ETF – July and Innovator S&P 500® Ultra Buffer ETF – July | For the year ended October 31, 2020 | For the years ended October 31, 2020 and 2019 | For the years ended October 31, 2020 and 2019 and for the period from August 7, 2018 (commencement of operations) through October 31, 2018
|
Innovator S&P 500® Buffer ETF – July | For the year ended October 31, 2020 | For the years ended October 31, 2020 and 2019 | For the years ended October 31, 2020 and 2019 and for the period from August 28, 2018 (commencement of operations) through October 31, 2018
|
Innovator S&P 500® Buffer ETF – October, Innovator S&P 500® Power Buffer ETF – October and Innovator S&P 500® Ultra Buffer ETF – October | For the year ended October 31, 2020 | For the years ended October 31, 2020 and 2019 | For the years ended October 31, 2020 and 2019 and for the period from September 28, 2018 (commencement of operations) through October 31, 2018
|
Innovator S&P 500® Buffer ETF – January, Innovator S&P 500® Power Buffer ETF – January and Innovator S&P 500 Ultra Buffer ETF – January
| For the year ended October 31, 2020 | For the year ended October 31, 2020 and for the period from December 31, 2018 (commencement of operations) through October 31, 2019 |
INNOVATOR ETFs TRUST
Fund Name | Statements of Operations | Statements of Changes in Net Assets | Financial Highlights |
Innovator S&P 500® Buffer ETF – April, Innovator S&P 500® Power Buffer ETF – April and Innovator S&P 500® Ultra Buffer ETF – April
| For the year ended October 31, 2020 | For the year ended October 31, 2020 and for the period from March 29, 2019 (commencement of operations) through October 31, 2019 | |
Innovator S&P 500® Buffer ETF – June, Innovator S&P 500® Power Buffer ETF – June and Innovator S&P 500® Ultra Buffer ETF – June
| For the year ended October 31, 2020 | For the year ended October 31, 2020, and for the period from May 31, 2019 (commencement of operations) through October 31, 2019 | |
Innovator S&P 500® Buffer ETF – August, Innovator S&P 500® Power Buffer ETF – August and Innovator S&P 500 Ultra Buffer ETF – August
| For the year ended October 31, 2020 | For the year ended October 31, 2020 and for the period from July 31, 2019 (commencement of operations) through October 31, 2019 | |
Innovator S&P 500® Buffer ETF – September, Innovator S&P 500® Power Buffer ETF – September and Innovator S&P 500® Ultra Buffer ETF – September
| For the year ended October 31, 2020 | For the year ended October 31, 2020 and for the period from August 30, 3019 (commencement of operations) through October 31, 2019 | |
Innovator S&P 500® Buffer ETF – November, Innovator S&P 500® Power Buffer ETF – November and Innovator S&P 500® Ultra Buffer ETF – November
| For the year ended October 31, 2020 | For the year ended October 31, 2020 and for the period from October 31, 2019 (commencement of operations) through October 31, 2019 | |
Innovator S&P 500® Buffer ETF – December, Innovator S&P 500® Power Buffer ETF – December and Innovator S&P 500® Ultra Buffer ETF – December
| For the period from November 29, 2019 (commencement of operations) through October 31, 2020 | ||
Innovator S&P 500® Buffer ETF – February, Innovator S&P 500® Power Buffer ETF – February and Innovator S&P 500 Ultra Buffer ETF – February
| For the period from January 31, 2020 (commencement of operations) through October 31, 2020 |
INNOVATOR ETFs TRUST
Fund Name | Statements of Operations | Statements of Changes in Net Assets | Financial Highlights |
Innovator S&P 500® Buffer ETF – March, Innovator S&P 500® Power Buffer ETF – March and Innovator S&P 500® Ultra Buffer ETF – March
| For the period from February 28, 2020 (commencement of operations) through October 31, 2020 | ||
Innovator S&P 500® Buffer ETF – May, Innovator S&P 500® Power Buffer ETF – May and Innovator S&P 500® Ultra Buffer ETF – May
| For the period from April 30, 2020 (commencement of operations) through October 31, 2020 |
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Basis for Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ 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 Funds 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 October 31, 2020, by correspondence with the custodian and brokers. 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.
INNOVATOR ETFs TRUST
We have served as the auditor of one or more of Innovator Capital Management, LLC’s investment companies since 2017.
COHEN & COMPANY, LTD.
Cleveland, Ohio
December 28, 2020
INNOVATOR ETFs TRUST
Trustees and Officers (Unaudited)
Name, Address and Year of Birth | Position with the Trust | Length of Time Served* | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex(a) Overseen by Trustee or Officer | Other Directorships Held by Trustee or Officer in the Past Five Years |
Independent Trustees | |||||
Mark Berg 109 N. Hale Street, Wheaton, IL 60187 Year of Birth: 1971 | Trustee | Since 2017 | Founding Principal and Chief Executive Officer (2019–present), Founding Principal and President (2001–2019), Timothy Financial Counsel Inc. | 59 | None |
Joe Stowell 109 N. Hale Street, Wheaton, IL 60187 Year of Birth: 1968 | Trustee | Since 2017 | Chief Operating Officer, Woodmen Valley Chapel (2015–present); Executive Vice President and Chief Operating Officer, English Language Institute/China (2007–2015). | 59 | Board of Advisors, Westmont College |
Brian J. Wildman 109 N. Hale Street, Wheaton, IL 60187 Year of Birth: 1963 | Trustee | Since 2017 | President, Timothy Financial Counsel, Inc. (2019–present); Executive Vice President, Consumer Banking (2016–2019), Chief Risk Officer (2013–2016), MB Financial Bank. | 59 | Missionary Furlough Homes, Inc. (since 2008); MB Financial Bank (2003–2019). |
INNOVATOR ETFs TRUST
Trustees and Officers (Unaudited) (Continued)
Interested Trustee & Officer | |||||
H. Bruce Bond (b) 109 N. Hale Street, Wheaton, IL 60187 Year of Birth: 1963 | Interested Trustee, President and Principal Executive Officer | Since 2017 | Chief Executive Officer, Innovator Capital Management, LLC (2017–present). | 59 | None |
Officers | |||||
John W. Southard 109 N. Hale Street, Wheaton, IL 60187 Year of Birth: 1969 | Vice President, Treasurer and Principal Financial Accounting Officer | Since 2017 | Chief Investment Officer, Innovator Capital Management, LLC (2017–present); Director and Co–Founder, T2 Capital Management, LLC (2010–present). | 59 | Independent Trustee, ETF Managers Group, LLC (2012–2018) |
Kevin Gustafson 109 N. Hale Street Wheaton, IL 60187 Year of Birth: 1965 | Chief Compliance Officer and Anti–Money Laundering Officer | Since 2020 | Chief Compliance Officer, Innovator Capital Management LLC (2019 - present); General Counsel, Innovator Capital Management LLC (2019 - present); Chief Compliance Officer, General Counsel and Chief Risk Officer, Americas, Eastspring Investments, Inc. (2012 - 2019). | 59 | None |
* | The Funds’ Trustees serve for an indefinite term until their resignation, death or removal. The Funds’ officers are elected annually by the Board and serve at the Board’s pleasure. |
(a) | The Fund Complex includes the Funds, each series of Innovator ETFs Trust and Innovator ETFs Trust II. |
(b) | H. Bruce Bond is deemed to be an interested person of the Trust (as defined in the 1940 Act) because of his affiliation with the Adviser. |
The Statement of Additional Information includes additional information about the Trustees and is available upon request, without charge, by calling 1–877–386–3890.
INNOVATOR ETFs TRUST
Board Considerations Regarding Approval of Investment Management Agreement (Unaudited)
BOARD CONSIDERATIONS REGARDING APPROVAL OF INVESTMENT MANAGEMENT AGREEMENT AND INVESTMENT SUB–ADVISORY AGREEMENT FOR THE FOLLOWING INNOVATOR FUNDS:
INNOVATOR S&P 500® BUFFER ETF – JANUARY, FEBRUARY, MARCH, APRIL, MAY, JUNE, JULY, AUGUST, SEPTEMBER, OCTOBER, NOVEMBER, DECEMBER INNOVATOR S&P 500® POWER BUFFER ETF – JANUARY, FEBRUARY, MARCH, APRIL, MAY, JUNE, JULY, AUGUST, SEPTEMBER, OCTOBER, NOVEMBER, DECEMBER
INNOVATOR S&P 500® ULTRA BUFFER ETF – JANUARY, FEBRUARY, MARCH, APRIL, MAY, JUNE, JULY, AUGUST, SEPTEMBER, OCTOBER, NOVEMBER, DECEMBER
At a quarterly in–person Board meeting held on June 11, 2020, the Trust’s Board considered approval of the Advisory Agreement with Innovator Capital Management, LLC (the “Adviser”), on behalf of the Innovator S&P 500® Buffer ETF – January, February, March, April, May, June, July, August, September, October, November, December, Innovator S&P 500® Power Buffer ETF – January, February, March, April, May, June, July, August, September, October, November, December and Innovator S&P 500® Ultra Buffer ETF – January, February, March, April, May, June, July, August, September, October, November, December ETFs (the “Funds”), and the Sub–Advisory Agreement among the Trust, on behalf of the Funds, the Adviser and Milliman Financial Risk Management LLC (the “Sub–Adviser”), for an additional year term. The Board determined that the agreements were in the best interests of the Funds in light of the extent and quality of the services provided and such other matters as the Board considered to be relevant in the exercise of its reasonable business judgment.
To reach this determination, the Board considered its duties under the Investment Company Act of 1940, as amended (the “1940 Act”), as well as under the general principles of state law in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisers with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. To assist the Board in its evaluation of the agreements, the Independent Trustees received a separate report from each of the Adviser and the Sub–Adviser in advance of the Meeting responding to a request for information provided on behalf of the Independent Trustees that, among other things, outlined the services provided by the Adviser and the Sub–Adviser to the Funds (including the relevant personnel responsible for these services and their experience); the unitary fee rate payable by each Fund as compared to fees charged to peer groups of the Funds and as compared to fees charged to other clients of the Adviser and the Sub–Adviser, including other ETFs managed by the Adviser and the Sub–Adviser; the expenses of the Funds as compared to expense ratios of the funds in the respective Fund’s peer group; the nature of the expenses incurred in providing services to the Funds and the potential for economies of scale, if any; financial data on the Adviser and the Sub–Adviser; any fall–out benefits accruing to the Adviser or the Sub–Adviser; and information on the Adviser’s and the Sub–Adviser’s compliance programs. The Independent Trustees also met separately with their Independent Counsel to discuss the information provided by the Adviser and the Sub–Adviser. The Board applied its business judgment to determine whether the arrangements between the Trust and the Adviser and among the Trust, the Adviser and the Sub–Adviser are reasonable business arrangements from each Fund’s perspective as well as from the perspective of each Fund’s shareholders.
INNOVATOR ETFs TRUST
Board Considerations Regarding Approval of Investment Management Agreement (Unaudited) (Continued)
In evaluating whether to approve the agreements, the Board applied its business judgment and considered the nature, extent and quality of the services provided by the Adviser and Milliman pursuant to the agreements. With respect to the investment management agreement, the Board considered that the Adviser is responsible for the overall management and administration of the Funds and reviewed all of the services provided by the Adviser to the Funds, including oversight of Milliman, as well as the background and experience of the persons responsible for such services. The Board noted that the Adviser oversees Milliman’s day–to–day management of each of the Fund’s investments, including portfolio risk monitoring and performance review. In reviewing the services provided, the Board noted the compliance program that had been developed by the Adviser included an adequate program for monitoring the Adviser’s, Milliman’s and each Fund’s compliance with the 1940 Act, as well as each Fund’s compliance with its investment objective and policies. With respect to the sub–advisory agreement, the Board reviewed the materials provided by Milliman and noted the background and experience of Milliman’s portfolio management team and Milliman’s investment style. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided to the Funds by the Adviser and Milliman under the agreements were expected to be satisfactory.
The Board considered the historical investment performance of each of the Funds (where applicable) for the respective one-year periods ended March 31, 2020 including NAV, market and respective index returns.
The Board considered the unitary fee rate payable by each Fund under the investment management agreement for the services provided. The Board noted that, under the unitary fee arrangement, each Fund pays the Adviser a unitary fee equal to an annual rate of 0.79% of its average daily net assets. The Board considered that, from the unitary fee for each of the Funds, the Adviser pays Milliman an annual sub–advisory fee equal to 0.12% on the Fund assets under management.
INNOVATOR ETFs TRUST
Board Considerations Regarding Approval of Investment Management Agreement (Unaudited) (Continued)
The Board noted that the Adviser is responsible for the Funds’ expenses, including the cost of transfer agency, custody, fund administration, legal, audit and other services and license fees (if any), but excluding the fee payment under the investment management agreement, interest, taxes, brokerage commissions and other expenses connected with the execution of portfolio transactions, and extraordinary expenses. The Board received and reviewed information for the Funds showing the advisory fee rates and expense ratios of the funds comprising of each Fund’s peer group, as well as advisory fee rates charged by the Adviser and Milliman to other funds (including ETFs) and non–fund clients, as applicable.
In light of the information considered and the nature, extent and quality of the services provided to the Funds under the agreements, the Board determined that the unitary fee for each of the Funds, including the fee rate to be paid by the Adviser to Milliman from the unitary fee, was fair.
The Board noted that the unitary fee for each of the Funds were structured to pass the benefits of any economies of scale on to shareholders as the respective Fund’s assets grow. The Board noted that any reduction in fixed costs associated with the management of the respective Fund would benefit the Adviser and Milliman, but that the unitary fee structure provides a level of certainty in expenses for each of the Funds. The Board noted that the Adviser is continuing to invest in personnel and infrastructure for the Innovator fund complex.
The Board reviewed profitability information in connection with the Funds.
The Board considered potential “fall–out” or ancillary benefits anticipated to be received by the Adviser and Milliman. The Board concluded that the character and amount of potential fall–out benefits to the Adviser and Milliman were consistent with the types of benefits generally derived by investment managers and sub–advisers to funds.
Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the agreements are fair and that the approval of the agreements is in the best interests of the Funds. No single factor was determinative in the Board’s analysis.
INNOVATOR ETFs TRUST
Additional Information (Unaudited)
1. | INFORMATION ABOUT PROSPECTUS |
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus. Investors should consider the investment objective and policies, risk considerations, charges and ongoing expenses of an investment carefully before investing. The prospectus contains this and other information relevant to an investment in the respective Fund. Please read the Prospectus carefully before investing. A copy of the Prospectus may be obtained without charge by writing to the Trust’s Distributor, or by calling toll free at 1–800–208–5212 or visiting www.innovatoretfs.com.
2. | PROXY VOTING POLICIES AND PROCEDURE |
The Trust’s Proxy Voting Policies and Procedures are available without charge, upon request, by calling 1–877–386–3890 and on the SEC’s website at www.sec.gov. Information relating to how each Fund voted proxies relating to portfolio securities held during each year ended June 30 is also available on the SEC’S website at www.sec.gov.
3. | INFORMATION ABOUT PORTFOLIO SECURITIES |
Each Funds’ complete schedule of portfolio holdings for the first and third quarters is filed with the SEC on Form N-Q or Part F of Form N-PORT (beginning with filings after March 31, 2020). The Trust’s Form N-Q or Part F of Form N-PORT is available without charge, upon request, by calling 1-877-386-3890, or on the SEC’s website at www.sec.gov. The Trust’s Form N-Q or Part F of Form N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
4. | HOUSEHOLD DELIVERY OF SHAREHOLDER DOCUMENTS |
In order to reduce expenses, the Trust delivers one copy of an annual/semi–annual report, prospectus and/or proxy statement on behalf of two or more shareholders at a shared address (householding). If you do not wish to participate in householding, please indicate this preference on your new account application (if you are opening a new account) or call 1–877–FUND890 (877–386–3890) to change the status of your existing account. You may change your status at any time.
5. | ELECTRONIC DELIVERY OF SHAREHOLDER DOCUMENTS |
You may choose to receive a Fund’s prospectus and annual and semi–annual reports electronically. To sign up for electronic delivery, visit www.icsdelivery.com and select the first letter of your brokerage firm’s name. Then, select your brokerage institution from the list that follows, fill out the appropriate information and provide an e–mail address where you would like your information sent. If your brokerage firm is not listed, electronic delivery may not be available. Please contact your brokerage firm or financial adviser.
INNOVATOR ETFs TRUST
Additional Information (Unaudited)
6. | TAX NOTICE |
For the fiscal year ended October 31, 2020, certain dividends paid by the Funds may be subject to a maximum tax rate of 23.8%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003.
For the taxable year ended October 31, 2020, the percentage of ordinary income dividends paid by the Funds that qualify for the dividends received deduction available to corporations was 0.00%.
For the taxable year ended October 31, 2020, the Funds paid the following ordinary income distributions that were designated as short-term capital gain distributions under Internal Revenue Section 871(k)2(c):
% of Ordinary Income Distributions designated as | ||||
Short-Term Capital Gain Distributions | ||||
BJAN | 100.00 | % | ||
BFEB | 0.00 | % | ||
BMAR | 0.00 | % | ||
BAPR | 0.00 | % | ||
BMAY | 0.00 | % | ||
BJUN | 0.00 | % | ||
BJUL | 0.00 | % | ||
BAUG | 0.00 | % | ||
BSEP | 100.00 | % | ||
BOCT | 100.00 | % | ||
BNOV | 0.00 | % | ||
BDEC | 0.00 | % | ||
PJAN | 0.00 | % | ||
PFEB | 0.00 | % | ||
PMAR | 0.00 | % | ||
PAPR | 100.00 | % | ||
PMAY | 0.00 | % | ||
PJUN | 0.00 | % | ||
PJUL | 100.00 | % | ||
PAUG | 100.00 | % | ||
PSEP | 0.00 | % | ||
POCT | 100.00 | % | ||
PNOV | 0.00 | % | ||
PDEC | 0.00 | % | ||
UJAN | 0.00 | % | ||
UFEB | 0.00 | % | ||
UMAR | 0.00 | % | ||
UAPR | 100.00 | % | ||
UMAY | 0.00 | % | ||
UJUN | 100.00 | % | ||
UJUL | 100.00 | % | ||
UAUG | 100.00 | % | ||
USEP | 100.00 | % | ||
UOCT | 100.00 | % | ||
UNOV | 0.00 | % | ||
UDEC | 0.00 | % |
INNOVATOR ETFs TRUST
Additional Information (Unaudited)
7. Liquidity Risk Management Program
Consistent with Rule 22e-4 under the Investment Company Act of 1940, as amended, Innovator ETF Trust and Innovator ETF Trust II (each a “Trust” and, collectively, the “Trusts”), on behalf of each of its series (each a “Fund” and, collectively, the “Funds”), has established a liquidity risk management program to govern the Funds’ approach to managing liquidity risk (the “Program”). The Program is overseen by the Trusts’ Valuation Committee as the Program Administrator, a committee comprised of representatives of the Trusts’ investment adviser, Innovator Capital Management LLC and representatives of Milliman Financial Risk Management LLC, the sub-adviser for certain of the Funds (the “Committee”). The Trusts’ Board of Trustees (the “Board”) has approved the designation of the Committee to administer the Program.
The Program’s principal objectives include supporting the Funds’ compliance with limits on investments in illiquid assets and mitigating the risk that a Fund will be unable to meet its redemption obligations in a timely manner. The Program also includes a number of elements that support the management and assessment of liquidity risk, including an annual assessment of factors that influence each Fund’s liquidity and the periodic classification and re-classification of certain Funds’ investments into groupings that reflect the Committee’s assessment of their relative liquidity under current market conditions.
At a meeting of the Board held on September 17, 2020, the Trustees received a written report from the Committee regarding the design and operational effectiveness of the Program since its implementation in September 2019. The Committee determined, and reported to the Board, that the Program is reasonably designed to assess and manage the Funds’ liquidity risk and has operated adequately and effectively to manage the Funds’ liquidity risk since implementation. The Committee reported that during the period covered by the report, there were no liquidity events that impacted the Funds or their ability to timely meet redemptions without dilution to existing shareholders. The Committee also noted no Fund has filed a Form N-LIQUID with the SEC.
The Committee noted that certain of the Funds continue to qualify as “in-kind” ETFs under Rule 22e-4 and, as such, are exempt from the requirement to set a highly liquid investment minimum. The Committee noted that the remaining funds are invested in highly liquid securities and, accordingly, continue to be exempt from the requirement to determine a “highly liquid investment minimum” as defined in the Rule. Because of that continued qualification for the exemption, the Funds have not adopted any “highly liquid investment” minimum amounts. The Committee further noted that no material changes have been made to the Program since its implementation.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Funds’ prospectus for more information regarding each Fund’s exposure to liquidity risk and other principal risks to which an investment in a Fund may be subject.
INVESTMENT ADVISOR
Innovator Capital Management, LLC
109 North Hale Street,
Wheaton, IL 60187
INVESTMENT SUB–ADVISOR
Milliman Financial Risk Management LLC
71 S. Wacker Drive, 31st Floor
Chicago, IL 60606
ADMINISTRATOR, FUND ACCOUNTANT & TRANSFER AGENT
U.S. Bancorp Fund Services, LLC
615 East Michigan Street
Milwaukee, WI 53202
DISTRIBUTOR
Foreside Fund Services, LLC
Three Canal Plaza
Portland, ME 04101
CUSTODIAN
U.S. Bank, N.A.
1555 North RiverCenter Drive, Suite 302
Milwaukee, WI 53212
LEGAL COUNSEL
Chapman and Cutler LLP
111 West Monroe Street
Chicago, IL 60603
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Cohen & Company, Ltd.
1350 Euclid Ave., Suite 800
Cleveland, OH 44115
Item 2. Code of Ethics.
The registrant has adopted a code of ethics that applies to the registrant’s Principal Executive Officer and Principal Financial Officer. The registrant has not made any substantive amendments to its code of ethics during the period covered by this report. The registrant has not granted any waivers from any provisions of the code of ethics during the period covered by this report.
Item 3. Audit Committee Financial Expert.
The registrant’s board of trustees has determined that there is at least one audit committee financial expert serving on its audit committee. Brian Wildman is the “audit committee financial expert” and is considered to be “independent” as each term is defined in Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
The registrant has engaged its principal accountant to perform audit services, audit-related services, tax services and other services during the past two fiscal years. “Audit services” refer to performing an audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years. “Audit-related services” refer to the assurance and related services by the principal accountant that are reasonably related to the performance of the audit. “Tax services” refer to professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. The following table details the aggregate fees billed or expected to be billed for each of the last two fiscal years for audit fees, audit-related fees, tax fees and other fees by the principal accountant.
FYE 10/31/2020 | FYE 10/31/2019 | |||||||
Audit Fees | $ | 370,500 | $ | 197,250 | ||||
Audit-Related Fees | - | - | ||||||
Tax Fees | $ | 199,500 | $ | 109,000 | ||||
All Other Fees | - | - |
The audit committee has adopted pre-approval policies and procedures that require the audit committee to pre-approve all audit and non-audit services of the registrant, including services provided to any entity affiliated with the registrant.
The percentage of fees billed by the principal accountant applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:
FYE 10/31/2020 | FYE 10/31/2019 | |||||||
Audit-Related Fees | 0 | % | 0 | % | ||||
Tax Fees | 0 | % | 0 | % | ||||
All Other Fees | 0 | % | 0 | % |
All of the principal accountant’s hours spent on auditing the registrant’s financial statements were attributed to work performed by full-time permanent employees of the principal accountant.
The following table indicates the non-audit fees billed or expected to be billed by the registrant’s accountant for services to the registrant and to the registrant’s investment adviser (and any other controlling entity, etc.—not sub-adviser) for the last two years. The audit committee of the board of trustees/directors has considered whether the provision of non-audit services that were rendered to the registrant's investment adviser is compatible with maintaining the principal accountant's independence and has concluded that the provision of such non-audit services by the accountant has not compromised the accountant’s independence.
Non-Audit Related Fees | FYE 10/31/2020 | FYE 10/31/2019 | ||||||
Registrant | $ | 199,500 | $ | 109,000 | ||||
Registrant’s Investment Adviser | - | - |
Item 5. Audit Committee of Listed Registrants.
Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934).
The registrant is an issuer as defined in Rule 10A-3 under the Securities Exchange Act of 1934, (the “Act”) and has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Act. The independent members of the committee, consisting of the entire Board, are as follows: Brian Wildman, Joe Stowell and Mark Berg.
Item 6. Investments.
(a) | Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form. |
(b) | Not applicable |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees.
Item 11. Controls and Procedures.
(a) | The Registrant’s Principal Executive Officer and Principal Financial Officer have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider. |
(b) | There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable to open-end investment companies
Item 13. Exhibits.
(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 Item 2 requirements through filing an exhibit. Not Applicable. |
(2) A separate certification for each principal executive officer and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Furnished herewith.
(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies.
(4) Change in the registrant’s independent public accountant. Not Applicable.
(b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith. |
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) | Innovator ETFs Trust |
By (Signature and Title)* | /s/ Bruce Bond | |
Bruce Bond, Principal Executive Officer | ||
Date 12/28/2020 |
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/ Bruce Bond | |
Bruce Bond, Principal Executive Officer | ||
Date 12/28/2020 | ||
By (Signature and Title)* | /s/ John Southard | |
John Southard, Principal Financial Officer | ||
Date 12/28/2020 |
* Print the name and title of each signing officer under his or her signature.