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 number811-22911
Reality Shares ETF Trust
(Exact name of registrant as specified in charter)
402 West Broadway, Suite 2800
San Diego, CA 92101
(Address of principal executive offices) (Zip code)
Eric R. Ervin
c/o Reality Shares Advisors, LLC
402 West Broadway, Suite 2800
San Diego, CA 92101
(Name and address of agent for service)
Registrant's telephone number, including area code: (619) 487-1445
Date of fiscal year end:October 31
Date of reporting period:October 31, 2019
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
Reality Shares DIVCON Leaders Dividend ETF (LEAD)
Reality Shares DIVCON Dividend Defender ETF (DFND)
Reality Shares DIVCON Dividend Guard ETF (GARD)
Reality Shares NASDAQ NexGen Economy ETF (BLCN)
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| Schedules of Investments | | | | | | | |
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President and CEO Reality Shares, Inc.
Fund Performance History (%) | | | 1 Year | | | Total Return As of October 31, 2019 | | |||
| | | | | | | | | Since Inception (December 18, 2014) | |
Fund | | | | | | | | | | |
NAV Return | | | | | 1.53% | | | | 3.98% | |
Market Price | | | | | 2.13% | | | | 4.06% | |
Index | | | | | | | | | | |
Barclays US Aggregate Bond Index | | | | | 11.51% | | | | 3.19% | |
HRFX Global Hedge Fund Index | | | | | 3.53% | | | | 1.13% | |
S&P 500 Total Return Index | | | | | 14.33% | | | | 11.05% | |
Fund Performance History (%) | | | 1 Year | | | Total Return As of October 31, 2019 | | |||
| | | | | | | | | Since Inception (January 6, 2016) | |
Fund | | | | | | | | | | |
NAV Return | | | | | 15.95% | | | | 12.74% | |
Market Price | | | | | 14.78% | | | | 12.65% | |
Index | | | | | | | | | | |
DIVCON Leaders Dividend Index | | | | | 16.43% | | | | 13.35% | |
S&P 500 Total Return Index | | | | | 14.33% | | | | 13.59% | |
Fund Performance History (%) | | | 1 Year | | | Total Return As of October 31, 2019 | | |||
| | | | | | | | | Since Inception (January 14, 2016) | |
Fund | | | | | | | | | | |
NAV Return | | | | | 12.22% | | | | 7.49% | |
Market Price | | | | | 12.61% | | | | 7.55% | |
Index | | | | | | | | | | |
DIVCON Dividend Defender Index | | | | | 12.32% | | | | 7.97% | |
S&P 500 Total Return Index | | | | | 14.33% | | | | 15.61% | |
HFRX Equity Hedged Index | | | | | 3.18% | | | | 3.09% | |
Fund Performance History (%) | | | 1 Year | | | Total Return As of October 31, 2019 | | |||
| | | | | | | | | Since Inception (January 14, 2016) | |
Fund | | | | | | | | | | |
NAV Return | | | | | 5.76% | | | | 1.89% | |
Market Price | | | | | 5.46% | | | | 1.86% | |
Index | | | | | | | | | | |
DIVCON Dividend Guard Index | | | | | 5.90% | | | | 2.54% | |
S&P 500 Total Return Index | | | | | 14.33% | | | | 15.61% | |
Fund Performance History (%) | | | 1 Year | | | Total Return As of October 31, 2019 | | |||
| | | | | | | | | Since Inception (January 17, 2018) | |
Fund | | | | | | | | | | |
NAV Return | | | | | 15.24% | | | | 1.37% | |
Market Price | | | | | 14.27% | | | | 1.03% | |
Index | | | | | | | | | | |
NASDAQ Blockchain Economy NTR Index | | | | | 15.74% | | | | 1.63% | |
MSCI ACWI Total Return Index | | | | | 12.59% | | | | 2.10% | |
October 31, 2019
Fund | | | Beginning Account Value | | | Ending Account Value October 31, 2019 | | | Annualized Expense Ratio for the Period | | | Expenses Paid During Period Per $1,000 | | ||||||||||||
Reality Shares DIVS ETF | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | $ | 1,000.00 | | | | | $ | 1,000.50 | | | | | | 0.85% | | | | | $ | 4.29 | | |
Hypothetical(1) | | | | $ | 1,000.00 | | | | | $ | 1,020.92 | | | | | | 0.85% | | | | | $ | 4.33 | | |
Reality Shares DIVCON Leaders Dividend ETF | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | $ | 1,000.00 | | | | | $ | 1,034.60 | | | | | | 0.43% | | | | | $ | 2.21 | | |
Hypothetical(1) | | | | $ | 1,000.00 | | | | | $ | 1,023.04 | | | | | | 0.43% | | | | | $ | 2.19 | | |
Reality Shares DIVCON Dividend Defender ETF | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | $ | 1,000.00 | | | | | $ | 1,042.90 | | | | | | 0.92% | | | | | $ | 4.74 | | |
Hypothetical(1) | | | | $ | 1,000.00 | | | | | $ | 1,020.57 | | | | | | 0.92% | | | | | $ | 4.69 | | |
Reality Shares DIVCON Dividend Guard ETF | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | $ | 1,000.00 | | | | | $ | 1,030.90 | | | | | | 0.85% | | | | | $ | 4.35 | | |
Hypothetical(1) | | | | $ | 1,000.00 | | | | | $ | 1,020.92 | | | | | | 0.85% | | | | | $ | 4.33 | | |
Reality Shares NASDAQ NexGen Economy ETF | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | $ | 1,000.00 | | | | | $ | 1,024.70 | | | | | | 0.68% | | | | | $ | 3.47 | | |
Hypothetical(1) | | | | $ | 1,000.00 | | | | | $ | 1,021.78 | | | | | | 0.68% | | | | | $ | 3.47 | | |
| | | Principal/ Shares | | | Value | | ||||||
Treasury Bills — 98.4%(a) | | | | | | | | | | | | | |
U.S. Treasury Bill, 11/07/2019(b) | | | | $ | 4,010,000 | | | | | $ | 4,008,939 | | |
U.S. Treasury Bill, 01/09/2020 | | | | | 10,416,000 | | | | | | 10,385,505 | | |
U.S. Treasury Bill, 02/13/2020 | | | | | 6,260,000 | | | | | | 6,232,644 | | |
U.S. Treasury Bill, 03/05/2020 | | | | | 6,415,000 | | | | | | 6,380,976 | | |
U.S. Treasury Bill, 03/12/2020(b) | | | | | 4,584,000 | | | | | | 4,558,326 | | |
U.S. Treasury Bill, 03/19/2020 | | | | | 7,543,000 | | | | | | 7,499,022 | | |
U.S. Treasury Bill, 03/26/2020 | | | | | 5,778,000 | | | | | | 5,742,206 | | |
U.S. Treasury Bill, 04/09/2020 | | | | | 3,673,000 | | | | | | 3,648,248 | | |
U.S. Treasury Bill, 04/23/2020 | | | | | 708,000 | | | | | | 702,824 | | |
U.S. Treasury Bill, 02/06/2020 | | | | | 5,086,000 | | | | | | 5,065,135 | | |
U.S. Treasury Bill, 01/30/2020 | | | | | 10,079,000 | | | | | | 10,040,700 | | |
(Cost $64,206,956) | | | | | | | | | | | 64,264,525 | | |
Money Markets — 0.2% | | | | | | | | | | | | | |
Blackrock Federal FD 30 Instl, 1.72%(b)(c) | | | | | 103,704 | | | | | | 103,704 | | |
Goldman Sachs Financial Square Money Market Fund, Institutional Shares, 1.96%(c) | | | | | 37,325 | | | | | | 37,325 | | |
(Cost $141,029) | | | | | | | | | | | 141,029 | | |
Total Investments — 98.6% | | | | | | | | | | | | | |
(Cost $64,347,985) | | | | | | | | | | | 64,405,554 | | |
Other Assets in Excess of Liabilities — 1.4% | | | | | | | | | | | 935,561 | | |
Net Assets — 100.0% | | | | | | | | | | $ | 65,341,115 | | |
Underlying Index | | | Counterparties* | | | Units | | | Expiration Date | | | Notional Amount Long (Short)** | | | Value/Unrealized Appreciation (Depreciation) | | ||||||||||||
S&P 500 | | | BNP Paribas | | | | | 144,000 | | | | | | 12/31/2019 | | | | | $ | (7,609,578) | | | | | $ | 751,062 | | |
S&P 500 | | | JP Morgan | | | | | 84,500 | | | | | | 12/31/2019 | | | | | | (4,185,809) | | | | | | 720,261 | | |
S&P 500 | | | Morgan Stanley | | | | | 35,000 | | | | | | 12/31/2019 | | | | | | (1,897,494) | | | | | | 134,606 | | |
S&P 500 | | | Societe Generale | | | | | 24,000 | | | | | | 12/31/2019 | | | | | | (1,267,623) | | | | | | 125,817 | | |
S&P 500 | | | Bank of America | | | | | 10,000 | | | | | | 12/31/2020 | | | | | | (577,725) | | | | | | 10,574 | | |
S&P 500 | | | BNP Paribas | | | | | 129,600 | | | | | | 12/31/2020 | | | | | | (7,220,987) | | | | | | 403,381 | | |
S&P 500 | | | JP Morgan | | | | | 12,000 | | | | | | 12/31/2020 | | | | | | (688,546) | | | | | | 17,414 | | |
S&P 500 | | | Morgan Stanley | | | | | 50,000 | | | | | | 12/31/2020 | | | | | | (2,764,372) | | | | | | 177,128 | | |
S&P 500 | | | Societe Generale | | | | | 79,000 | | | | | | 12/31/2020 | | | | | | (4,258,289) | | | | | | 389,281 | | |
S&P 500 | | | Bank of America | | | | | 20,000 | | | | | | 12/31/2021 | | | | | | (1,147,049) | | | | | | 30,151 | | |
S&P 500 | | | BNP Paribas | | | | | 201,500 | | | | | | 12/31/2021 | | | | | | (11,940,572) | | | | | | (80,282) | | |
S&P 500 | | | Morgan Stanley | | | | | 73,700 | | | | | | 12/31/2021 | | | | | | (4,389,788) | | | | | | (51,806) | | |
S&P 500 | | | Societe Generale | | | | | 18,750 | | | | | | 12/31/2021 | | | | | | (1,057,360) | | | | | | 46,265 | | |
S&P 500 | | | Bank of America | | | | | 30,000 | | | | | | 12/31/2022 | | | | | | (1,736,169) | | | | | | 15,831 | | |
S&P 500 | | | BNP Paribas | | | | | 147,400 | | | | | | 12/31/2022 | | | | | | (8,910,229) | | | | | | (302,069) | | |
S&P 500 | | | Morgan Stanley | | | | | 70,000 | | | | | | 12/31/2022 | | | | | | (4,301,718) | | | | | | (213,717) | | |
S&P 500 | | | Societe Generale | | | | | 12,000 | | | | | | 12/31/2022 | | | | | | (693,506) | | | | | | 7,294 | | |
S&P 500 | | | Bank of America | | | | | 55,000 | | | | | | 12/31/2023 | | | | | | (3,139,461) | | | | | | 73,639 | | |
S&P 500 | | | BNP Paribas | | | | | 81,000 | | | | | | 12/31/2023 | | | | | | (4,858,705) | | | | | | (126,685) | | |
Total Unrealized Appreciation/(Depreciation): | | | | | | | | | | | | | | | | | | | | | | | | | $ | 2,128,145 | | |
Valuation Inputs | | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Treasury Bills | | | | $ | — | | | | | $ | 64,264,525 | | | | | $ | — | | | | | $ | 64,264,525 | | |
Money Markets | | | | | 141,029 | | | | | | — | | | | | | — | | | | | | 141,029 | | |
Other Financial Instruments*** | | | | | — | | | | | | 2,902,704 | | | | | | — | | | | | | 2,902,704 | | |
Total Assets | | | | $ | 141,029 | | | | | $ | 67,167,229 | | | | | $ | — | | | | | $ | 67,308,258 | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | $ | — | | | | | $ | (774,559) | | | | | $ | — | | | | | $ | (774,559) | | |
Total Liabilities | | | | $ | — | | | | | $ | (774,559) | | | | | $ | — | | | | | $ | (774,559) | | |
Industry | | | % of Net Assets | | |||
Treasury Bills | | | | | 98.4% | | |
Money Markets | | | | | 0.2 | | |
Total Investments | | | | | 98.6 | | |
Other Assets in Excess of Liabilities | | | | | 1.4 | | |
Net Assets | | | | | 100.0% | | |
| | | Shares | | | Value | | ||||||
Common Stocks — 99.9% | | ||||||||||||
Aerospace & Defense — 1.5% | | ||||||||||||
Boeing Co. (The) | | | | | 1,412 | | | | | $ | 479,953 | | |
Air Freight & Logistics — 1.5% | | | | | | | | | | | | | |
Expeditors International of Washington, Inc. | | | | | 6,349 | | | | | | 463,096 | | |
Auto Components — 1.3% | | ||||||||||||
Lear Corp. | | | | | 3,452 | | | | | | 406,542 | | |
Banks — 6.0% | | ||||||||||||
Comerica, Inc. | | | | | 5,944 | | | | | | 388,857 | | |
PNC Financial Services Group, Inc. (The) | | | | | 3,432 | | | | | | 503,475 | | |
Regions Financial Corp. | | | | | 30,364 | | | | | | 488,860 | | |
SunTrust Banks, Inc. | | | | | 7,686 | | | | | | 525,261 | | |
| | | | | | | | | | | 1,906,453 | | |
Biotechnology — 1.3% | | ||||||||||||
AbbVie, Inc. | | | | | 5,069 | | | | | | 403,239 | | |
Building Products — 1.6% | | ||||||||||||
Lennox International, Inc. | | | | | 2,090 | | | | | | 516,982 | | |
Capital Markets — 11.9% | | ||||||||||||
Cboe Global Markets, Inc. | | | | | 4,185 | | | | | | 481,903 | | |
FactSet Research Systems, Inc. | | | | | 1,962 | | | | | | 497,406 | | |
MSCI, Inc. | | | | | 3,031 | | | | | | 710,951 | | |
Northern Trust Corp. | | | | | 4,893 | | | | | | 487,734 | | |
S&P Global, Inc. | | | | | 2,701 | | | | | | 696,831 | | |
T Rowe Price Group, Inc. | | | | | 4,766 | | | | | | 551,903 | | |
TD Ameritrade Holding Corp. | | | | | 9,130 | | | | | | 350,410 | | |
| | | | | | | | | | | 3,777,138 | | |
Chemicals — 3.2% | | ||||||||||||
Celanese Corp. | | | | | 4,965 | | | | | | 601,510 | | |
Westlake Chemical Corp. | | | | | 6,455 | | | | | | 407,891 | | |
| | | | | | | | | | | 1,009,401 | | |
Commercial Services & Supplies — 3.7% | | ||||||||||||
Cintas Corp. | | | | | 2,719 | | | | | | 730,513 | | |
Rollins, Inc. | | | | | 11,734 | | | | | | 447,183 | | |
| | | | | | | | | | | 1,177,696 | | |
Electrical Equipment — 1.5% | | ||||||||||||
Rockwell Automation, Inc. | | | | | 2,700 | | | | | | 464,373 | | |
Electronic Equipment Instruments & Components — 2.0% | | ||||||||||||
CDW Corp. | | | | | 5,042 | | | | | | 644,922 | | |
Entertainment — 1.6% | | ||||||||||||
Walt Disney Co. (The) | | | | | 3,920 | | | | | | 509,286 | | |
Food & Staples Retailing — 0.9% | | ||||||||||||
Walgreens Boots Alliance, Inc. | | | | | 5,435 | | | | | | 297,729 | | |
Gas Utilities — 1.1% | | ||||||||||||
UGI Corp. | | | | | 7,373 | | | | | | 351,471 | | |
Health Care Providers & Services — 1.3% | | ||||||||||||
UnitedHealth Group, Inc. | | | | | 1,673 | | | | | | 422,767 | | |
|
| | | Shares | | | Value | | ||||||
Hotels, Restaurants & Leisure — 4.9% | | ||||||||||||
Domino’s Pizza, Inc. | | | | | 1,754 | | | | | $ | 476,421 | | |
Marriott International, Inc., Class A | | | | | 3,992 | | | | | | 505,188 | | |
Starbucks Corp. | | | | | 6,785 | | | | | | 573,740 | | |
| | | | | | | | | | | 1,555,349 | | |
Household Products — 1.4% | | ||||||||||||
Church & Dwight Co., Inc. | | | | | 6,533 | | | | | | 456,918 | | |
Insurance — 1.7% | | ||||||||||||
Globe Life, Inc. | | | | | 5,528 | | | | | | 538,040 | | |
IT Services — 7.3% | | ||||||||||||
Broadridge Financial Solutions, Inc. | | | | | 4,754 | | | | | | 595,296 | | |
Jack Henry & Associates, Inc. | | | | | 3,321 | | | | | | 470,121 | | |
Mastercard, Inc., Class A | | | | | 2,341 | | | | | | 648,012 | | |
Visa, Inc., Class A | | | | | 3,441 | | | | | | 615,457 | | |
| | | | | | | | | | | 2,328,886 | | |
Machinery — 5.0% | | ||||||||||||
IDEX Corp. | | | | | 3,305 | | | | | | 514,027 | | |
Illinois Tool Works, Inc. | | | | | 3,474 | | | | | | 585,647 | | |
Snap-on, Inc. | | | | | 2,879 | | | | | | 468,327 | | |
| | | | | | | | | | | 1,568,001 | | |
Metals & Mining — 2.6% | | ||||||||||||
Nucor Corp. | | | | | 7,547 | | | | | | 406,406 | | |
Steel Dynamics, Inc. | | | | | 14,007 | | | | | | 425,252 | | |
| | | | | | | | | | | 831,658 | | |
Oil, Gas & Consumable Fuels — 3.3% | | ||||||||||||
Marathon Petroleum Corp. | | | | | 7,061 | | | | | | 451,551 | | |
Phillips 66 | | | | | 5,130 | | | | | | 599,287 | | |
| | | | | | | | | | | 1,050,838 | | |
Personal Products — 1.9% | | ||||||||||||
Estee Lauder Cos., Inc. (The), Class A | | | | | 3,195 | | | | | | 595,133 | | |
Pharmaceuticals — 2.1% | | ||||||||||||
Zoetis, Inc. | | | | | 5,087 | | | | | | 650,729 | | |
Road & Rail — 1.6% | | ||||||||||||
Union Pacific Corp. | | | | | 2,999 | | | | | | 496,215 | | |
Semiconductors & Semiconductor Equipment — 10.3% | | ||||||||||||
Analog Devices, Inc. | | | | | 5,006 | | | | | | 533,790 | | |
Broadcom, Inc. | | | | | 2,072 | | | | | | 606,785 | | |
Lam Research Corp. | | | | | 3,313 | | | | | | 897,956 | | |
NVIDIA Corp. | | | | | 3,147 | | | | | | 632,610 | | |
Texas Instruments, Inc. | | | | | 4,976 | | | | | | 587,118 | | |
| | | | | | | | | | | 3,258,259 | | |
Software — 1.8% | | ||||||||||||
Intuit, Inc. | | | | | 2,208 | | | | | | 568,560 | | |
Specialty Retail — 7.3% | | ||||||||||||
Home Depot, Inc. (The) | | | | | 2,524 | | | | | | 592,080 | | |
Ross Stores, Inc. | | | | | 5,977 | | | | | | 655,498 | | |
TJX Cos., Inc. (The) | | | | | 10,373 | | | | | | 598,003 | | |
Tractor Supply Co. | | | | | 4,954 | | | | | | 470,729 | | |
| | | | | | | | | | | 2,316,310 | | |
| | | Shares | | | Value | | ||||||
Technology Hardware, Storage & Peripherals — 3.3% | | ||||||||||||
Apple, Inc. | | | | | 2,656 | | | | | $ | 660,706 | | |
NetApp, Inc. | | | | | 6,987 | | | | | | 390,434 | | |
| | | | | | | | | | | 1,051,140 | | |
Textiles, Apparel & Luxury Goods — 1.7% | | ||||||||||||
NIKE, Inc., Class B | | | | | 5,976 | | | | | | 535,151 | | |
Trading Companies & Distributors — 3.3% | | ||||||||||||
Fastenal Co. | | | | | 15,719 | | | | | | 564,941 | | |
W.W. Grainger, Inc. | | | | | 1,603 | | | | | | 495,070 | | |
| | | | | | | | | | | 1,060,011 | | |
Total Common Stocks (Cost $26,834,496) | | | | | | | | | | | 31,692,246 | | |
|
| | | Shares | | | Value | | ||||||
Treasury Bill — 0.1%(a) | | | | | | | | | | | | | |
U.S. Treasury Bill, 12/26/2019 (Cost $29,922) | | | | | 30,000 | | | | | $ | 29,929 | | |
Money Markets — 0.0%(b) | | | | | | | | | | | | | |
Goldman Sachs Financial Square Money Market Fund, Institutional Shares, 1.96%(c) (Cost $7,862) | | | | | 7,862 | | | | | | 7,862 | | |
Total Investments — 100.0% (Cost $26,872,280) | | | | | | | | | | | 31,730,037 | | |
Other Assets in Excess of Liabilities — 0.0%(b) | | | | | | | | | | | 4,883 | | |
Net Assets — 100.0% | | | | | | | | | | $ | 31,734,920 | | |
Valuation Inputs | | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | 31,692,246 | | | | | $ | — | | | | | $ | — | | | | | $ | 31,692,246 | | |
Treasury Bill | | | | | — | | | | | | 29,929 | | | | | | — | | | | | | 29,929 | | |
Money Markets | | | | | 7,862 | | | | | | — | | | | | | — | | | | | | 7,862 | | |
Total Assets | | | | $ | 31,700,108 | | | | | $ | 29,929 | | | | | $ | — | | | | | $ | 31,730,037 | | |
Industry | | | % of Net Assets | | |||
Aerospace & Defense | | | | | 1.5% | | |
Air Freight & Logistics | | | | | 1.5 | | |
Auto Components | | | | | 1.3 | | |
Banks | | | | | 6.0 | | |
Biotechnology | | | | | 1.3 | | |
Building Products | | | | | 1.6 | | |
Capital Markets | | | | | 11.9 | | |
Chemicals | | | | | 3.2 | | |
Commercial Services & Supplies | | | | | 3.7 | | |
Electrical Equipment | | | | | 1.5 | | |
Electronic Equipment Instruments & Components | | | | | 2.0 | | |
Entertainment | | | | | 1.6 | | |
Food & Staples Retailing | | | | | 0.9 | | |
Gas Utilities | | | | | 1.1 | | |
Health Care Providers & Services | | | | | 1.3 | | |
Hotels, Restaurants & Leisure | | | | | 4.9 | | |
Household Products | | | | | 1.4 | | |
Insurance | | | | | 1.7 | | |
IT Services | | | | | 7.3 | | |
Machinery | | | | | 5.0 | | |
Metals & Mining | | | | | 2.6 | | |
Oil, Gas & Consumable Fuels | | | | | 3.3 | | |
Personal Products | | | | | 1.9 | | |
Pharmaceuticals | | | | | 2.1 | | |
Road & Rail | | | | | 1.6 | | |
Semiconductors & Semiconductor Equipment | | | | | 10.3 | | |
Software | | | | | 1.8 | | |
Specialty Retail | | | | | 7.3 | | |
Technology Hardware, Storage & Peripherals | | | | | 3.3 | | |
Textiles, Apparel & Luxury Goods | | | | | 1.7 | | |
Trading Companies & Distributors | | | | | 3.3 | | |
Treasury Bill | | | | | 0.1 | | |
Money Markets | | | | | 0.0(a) | | |
Total Investments | | | | | 100.0 | | |
Other Assets in Excess of Liabilities | | | | | 0.0(a) | | |
Net Assets | | | | | 100.0% | | |
| | | Shares | | | Value | | ||||||
Common Stocks(a) — 76.5% | | ||||||||||||
Aerospace & Defense — 1.1% | | ||||||||||||
Boeing Co. (The) | | | | | 204 | | | | | $ | 69,342 | | |
Air Freight & Logistics — 1.1% | | ||||||||||||
Expeditors International of Washington, Inc. | | | | | 937 | | | | | | 68,345 | | |
Auto Components — 1.0% | | ||||||||||||
Lear Corp. | | | | | 513 | | | | | | 60,416 | | |
Banks — 4.6% | | ||||||||||||
Comerica, Inc. | | | | | 885 | | | | | | 57,897 | | |
PNC Financial Services Group, Inc. (The) | | | | | 508 | | | | | | 74,523 | | |
Regions Financial Corp. | | | | | 4,518 | | | | | | 72,740 | | |
SunTrust Banks, Inc. | | | | | 1,142 | | | | | | 78,044 | | |
| | | | | | | | | | | 283,204 | | |
Biotechnology — 1.0% | | ||||||||||||
AbbVie, Inc. | | | | | 741 | | | | | | 58,947 | | |
Building Products — 1.3% | | ||||||||||||
Lennox International, Inc. | | | | | 308 | | | | | | 76,187 | | |
Capital Markets — 9.1% | | ||||||||||||
Cboe Global Markets, Inc. | | | | | 621 | | | | | | 71,508 | | |
FactSet Research Systems, Inc. | | | | | 288 | | | | | | 73,014 | | |
MSCI, Inc. | | | | | 447 | | | | | | 104,848 | | |
Northern Trust Corp. | | | | | 723 | | | | | | 72,069 | | |
S&P Global, Inc. | | | | | 402 | | | | | | 103,712 | | |
T Rowe Price Group, Inc. | | | | | 710 | | | | | | 82,218 | | |
TD Ameritrade Holding Corp. | | | | | 1,360 | | | | | | 52,197 | | |
| | | | | | | | | | | 559,566 | | |
Chemicals — 2.4% | | ||||||||||||
Celanese Corp. | | | | | 736 | | | | | | 89,166 | | |
Westlake Chemical Corp. | | | | | 940 | | | | | | 59,399 | | |
| | | | | | | | | | | 148,565 | | |
Commercial Services & Supplies — 2.9% | | ||||||||||||
Cintas Corp. | | | | | 402 | | | | | | 108,005 | | |
Rollins, Inc. | | | | | 1,740 | | | | | | 66,312 | | |
| | | | | | | | | | | 174,317 | | |
Electrical Equipment — 1.1% | | ||||||||||||
Rockwell Automation, Inc. | | | | | 395 | | | | | | 67,936 | | |
Electronic Equipment Instruments & Components — 1.6% | | ||||||||||||
CDW Corp. | | | | | 762 | | | | | | 97,467 | | |
Entertainment — 1.2% | | ||||||||||||
Walt Disney Co. (The) | | | | | 578 | | | | | | 75,094 | | |
Food & Staples Retailing — 0.7% | | ||||||||||||
Walgreens Boots Alliance, Inc. | | | | | 800 | | | | | | 43,824 | | |
Gas Utilities — 0.9% | | ||||||||||||
UGI Corp. | | | | | 1,090 | | | | | | 51,960 | | |
Health Care Providers & Services — 1.0% | | ||||||||||||
UnitedHealth Group, Inc. | | | | | 247 | | | | | | 62,417 | | |
|
| | | Shares | | | Value | | ||||||
Hotels, Restaurants & Leisure — 3.8% | | ||||||||||||
Domino’s Pizza, Inc. | | | | | 257 | | | | | $ | 69,807 | | |
Marriott International, Inc., Class A | | | | | 595 | | | | | | 75,297 | | |
Starbucks Corp. | | | | | 1,009 | | | | | | 85,321 | | |
| | | | | | | | | | | 230,425 | | |
Household Products — 1.1% | | ||||||||||||
Church & Dwight Co., Inc. | | | | | 968 | | | | | | 67,702 | | |
Insurance — 1.3% | | ||||||||||||
Globe Life, Inc. | | | | | 816 | | | | | | 79,421 | | |
IT Services — 5.6% | | ||||||||||||
Broadridge Financial Solutions, Inc. | | | | | 698 | | | | | | 87,404 | | |
Jack Henry & Associates, Inc. | | | | | 491 | | | | | | 69,506 | | |
Mastercard, Inc., Class A | | | | | 348 | | | | | | 96,330 | | |
Visa, Inc., Class A | | | | | 511 | | | | | | 91,397 | | |
| | | | | | | | | | | 344,637 | | |
Machinery — 3.8% | | ||||||||||||
IDEX Corp. | | | | | 489 | | | | | | 76,054 | | |
Illinois Tool Works, Inc. | | | | | 513 | | | | | | 86,482 | | |
Snap-on, Inc. | | | | | 427 | | | | | | 69,460 | | |
| | | | | | | | | | | 231,996 | | |
Metals & Mining — 2.0% | | ||||||||||||
Nucor Corp. | | | | | 1,119 | | | | | | 60,258 | | |
Steel Dynamics, Inc. | | | | | 2,093 | | | | | | 63,544 | | |
| | | | | | | | | | | 123,802 | | |
Oil, Gas & Consumable Fuels — 2.5% | | ||||||||||||
Marathon Petroleum Corp. | | | | | 1,048 | | | | | | 67,019 | | |
Phillips 66 | | | | | 757 | | | | | | 88,433 | | |
| | | | | | | | | | | 155,452 | | |
Personal Products — 1.4% | | ||||||||||||
Estee Lauder Cos., Inc. (The), Class A | | | | | 472 | | | | | | 87,919 | | |
Pharmaceuticals — 1.6% | | ||||||||||||
Zoetis, Inc. | | | | | 757 | | | | | | 96,835 | | |
Road & Rail — 1.2% | | ||||||||||||
Union Pacific Corp. | | | | | 441 | | | | | | 72,968 | | |
Semiconductors & Semiconductor Equipment — 7.8% | | ||||||||||||
Analog Devices, Inc. | | | | | 737 | | | | | | 78,586 | | |
Broadcom, Inc. | | | | | 299 | | | | | | 87,562 | | |
Lam Research Corp. | | | | | 490 | | | | | | 132,810 | | |
NVIDIA Corp. | | | | | 469 | | | | | | 94,278 | | |
Texas Instruments, Inc. | | | | | 737 | | | | | | 86,959 | | |
| | | | | | | | | | | 480,195 | | |
Software — 1.4% | | ||||||||||||
Intuit, Inc. | | | | | 328 | | | | | | 84,460 | | |
Specialty Retail — 5.6% | | ||||||||||||
Home Depot, Inc. (The) | | | | | 374 | | | | | | 87,733 | | |
Ross Stores, Inc. | | | | | 881 | | | | | | 96,619 | | |
TJX Cos., Inc. (The) | | | | | 1,528 | | | | | | 88,089 | | |
Tractor Supply Co. | | | | | 730 | | | | | | 69,365 | | |
| | | | | | | | | | | 341,806 | | |
| | | Shares | | | Value | | ||||||
Technology Hardware, Storage & Peripherals — 2.5% | | ||||||||||||
Apple, Inc. | | | | | 392 | | | | | $ | 97,514 | | |
NetApp, Inc. | | | | | 1,021 | | | | | | 57,053 | | |
| | | | | | | | | | | 154,567 | | |
Textiles, Apparel & Luxury Goods — 1.3% | | ||||||||||||
NIKE, Inc., Class B | | | | | 888 | | | | | | 79,520 | | |
Trading Companies & Distributors — 2.6% | | ||||||||||||
Fastenal Co. | | | | | 2,332 | | | | | | 83,812 | | |
W.W. Grainger, Inc. | | | | | 236 | | | | | | 72,886 | | |
| | | | | | | | | | | 156,698 | | |
Total Common Stocks (Cost $4,013,602) | | | | | | | | | | | 4,685,990 | | |
Treasury Bills — 20.8%(b) | | ||||||||||||
U.S. Treasury Bill, 12/26/2019 | | | | | 740,000 | | | | | | 738,268 | | |
U.S. Treasury Bill, 02/06/2020 | | | | | 173,000 | | | | | | 172,290 | | |
U.S. Treasury Bill, 04/09/2020 | | | | | 363,000 | | | | | | 360,554 | | |
(Cost $1,270,594) | | | | | | | | | | | 1,271,112 | | |
Money Markets — 0.1% | | ||||||||||||
Blackrock Federal FD 30 Instl, 1.72%(a)(c) | | | | | 214 | | | | | | 214 | | |
Goldman Sachs Financial Square Money Market Fund, Institutional Shares, 1.96%(c) | | | | | 8,535 | | | | | | 8,535 | | |
(Cost $8,749) | | | | | | | | | | | 8,749 | | |
Total Investments Before Securities Sold Short (Cost $5,292,945) | | | | | | | | | | | 5,965,851 | | |
Securities Sold Short | | ||||||||||||
Common Stocks — (19.8)% | | ||||||||||||
Aerospace & Defense — (2.0)% | | ||||||||||||
Arconic, Inc. | | | | | (4,454) | | | | | | (122,351) | | |
Airlines — (1.2)% | | ||||||||||||
American Airlines Group, Inc. | | | | | (2,340) | | | | | | (70,340) | | |
Chemicals — (0.8)% | | ||||||||||||
Mosaic Co. (The) | | | | | (2,353) | | | | | | (46,778) | | |
Diversified Telecommunication — (0.9)% | | ||||||||||||
CenturyLink, Inc. | | | | | (4,025) | | | | | | (52,084) | | |
|
| | | Shares | | | Value | | ||||||
Electric Utilities — (2.8)% | | ||||||||||||
Avangrid, Inc. | | | | | (1,348) | | | | | $ | (67,467) | | |
FirstEnergy Corp. | | | | | (2,165) | | | | | | (104,613) | | |
| | | | | | | | | | | (172,080) | | |
Energy Equipment & Services — (1.0)% | | ||||||||||||
National Oilwell Varco, Inc. | | | | | (2,808) | | | | | | (63,517) | | |
Entertainment — (0.9)% | | ||||||||||||
Viacom, Inc., Class B | | | | | (2,404) | | | | | | (51,830) | | |
Independent Power and Renewable Electricity Producers — (1.2)% | | ||||||||||||
NRG Energy, Inc. | | | | | (1,869) | | | | | | (74,984) | | |
Industrial Conglomerates — (1.9)% | | ||||||||||||
General Electric Co. | | | | | (11,542) | | | | | | (115,189) | | |
Metals & Mining — (1.0)% | | ||||||||||||
Freeport-McMoRan, Inc. | | | | | (6,419) | | | | | | (63,035) | | |
Oil, Gas & Consumable Fuels — (4.7)% | | ||||||||||||
Hess Corp. | | | | | (1,663) | | | | | | (109,342) | | |
Marathon Oil Corp. | | | | | (4,848) | | | | | | (55,898) | | |
Noble Energy, Inc. | | | | | (2,953) | | | | | | (56,875) | | |
Williams Cos., Inc. (The) | | | | | (2,987) | | | | | | (66,640) | | |
| | | | | | | | | | | (288,755) | | |
Software — (1.4)% | | ||||||||||||
Symantec Corp. | | | | | (3,865) | | | | | | (88,431) | | |
Total Securities Sold Short [Proceeds $(1,279,191)] | | | | | | | | | | | (1,209,374) | | |
Total Investments — 77.6% (Cost $4,013,754) | | | | | | | | | | | 4,756,477 | | |
Other Assets in Excess of Liabilities — 22.4% | | | | | | | | | | | 1,369,878 | | |
Net Assets — 100.0% | | | | | | | | | | $ | 6,126,355 | | |
Valuation Inputs | | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | 4,685,990 | | | | | $ | — | | | | | $ | — | | | | | $ | 4,685,990 | | |
Treasury Bills | | | | | — | | | | | | 1,271,112 | | | | | | — | | | | | | 1,271,112 | | |
Money Markets | | | | | 8,749 | | | | | | — | | | | | | — | | | | | | 8,749 | | |
Total Assets | | | | $ | 4,694,739 | | | | | $ | 1,271,112 | | | | | $ | — | | | | | $ | 5,965,851 | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | (1,209,374) | | | | | $ | — | | | | | $ | — | | | | | $ | (1,209,374) | | |
Total Liabilities | | | | $ | (1,209,374) | | | | | $ | — | | | | | $ | — | | | | | $ | (1,209,374) | | |
Industry | | | % of Net Assets | | |||
Aerospace & Defense | | | | | (0.9)% | | |
Air Freight & Logistics | | | | | 1.1 | | |
Airlines | | | | | (1.2) | | |
Auto Components | | | | | 1.0 | | |
Banks | | | | | 4.6 | | |
Biotechnology | | | | | 1.0 | | |
Building Products | | | | | 1.3 | | |
Capital Markets | | | | | 9.1 | | |
Chemicals | | | | | 1.6 | | |
Commercial Services & Supplies | | | | | 2.9 | | |
Diversified Telecommunication | | | | | (0.9) | | |
Electric Utilities | | | | | (2.8) | | |
Electrical Equipment | | | | | 1.1 | | |
Electronic Equipment Instruments & Components | | | | | 1.6 | | |
Energy Equipment & Services | | | | | (1.0) | | |
Entertainment | | | | | 0.3 | | |
Food & Staples Retailing | | | | | 0.7 | | |
Gas Utilities | | | | | 0.9 | | |
Health Care Providers & Services | | | | | 1.0 | | |
Hotels, Restaurants & Leisure | | | | | 3.8 | | |
Household Products | | | | | 1.1 | | |
Independent Power and Renewable Electricity Producers | | | | | (1.2) | | |
Industrial Conglomerates | | | | | (1.9) | | |
Insurance | | | | | 1.3 | | |
IT Services | | | | | 5.6 | | |
Machinery | | | | | 3.8 | | |
Metals & Mining | | | | | 1.0 | | |
Oil, Gas & Consumable Fuels | | | | | (2.2) | | |
Personal Products | | | | | 1.4 | | |
Pharmaceuticals | | | | | 1.6 | | |
Road & Rail | | | | | 1.2 | | |
Semiconductors & Semiconductor Equipment | | | | | 7.8 | | |
Software | | | | | 0.0(a) | | |
Specialty Retail | | | | | 5.6 | | |
Technology Hardware, Storage & Peripherals | | | | | 2.5 | | |
Textiles, Apparel & Luxury Goods | | | | | 1.3 | | |
Trading Companies & Distributors | | | | | 2.6 | | |
Treasury Bills | | | | | 20.8 | | |
Money Markets | | | | | 0.1 | | |
Total Investments | | | | | 77.6 | | |
Other Assets in Excess of Liabilities | | | | | 22.4 | | |
Net Assets | | | | | 100.0% | | |
| | | Shares | | | Value | | ||||||
Common Stocks — 99.9% | | ||||||||||||
Aerospace & Defense — 1.4% | | ||||||||||||
Boeing Co. (The) | | | | | 586 | | | | | $ | 199,187 | | |
Air Freight & Logistics — 1.5% | | ||||||||||||
Expeditors International of Washington, Inc. | | | | | 2,790 | | | | | | 203,503 | | |
Auto Components — 1.2% | | ||||||||||||
Lear Corp. | | | | | 1,411 | | | | | | 166,173 | | |
Banks — 6.5% | | ||||||||||||
Comerica, Inc. | | | | | 2,787 | | | | | | 182,326 | | |
PNC Financial Services Group, Inc. (The) | | | | | 1,615 | | | | | | 236,920 | | |
Regions Financial Corp. | | | | | 14,875 | | | | | | 239,488 | | |
SunTrust Banks, Inc. | | | | | 3,445 | | | | | | 235,431 | | |
| | | | | | | | | | | 894,165 | | |
Biotechnology — 1.6% | | ||||||||||||
AbbVie, Inc. | | | | | 2,817 | | | | | | 224,092 | | |
Building Products — 1.5% | | ||||||||||||
Lennox International, Inc. | | | | | 827 | | | | | | 204,567 | | |
Capital Markets — 11.6% | | ||||||||||||
Cboe Global Markets, Inc. | | | | | 2,151 | | | | | | 247,688 | | |
FactSet Research Systems, Inc. | | | | | 834 | | | | | | 211,436 | | |
MSCI, Inc. | | | | | 1,011 | | | | | | 237,140 | | |
Northern Trust Corp. | | | | | 2,346 | | | | | | 233,849 | | |
S&P Global, Inc. | | | | | 1,044 | | | | | | 269,342 | | |
T Rowe Price Group, Inc. | | | | | 2,079 | | | | | | 240,748 | | |
TD Ameritrade Holding Corp. | | | | | 4,203 | | | | | | 161,311 | | |
| | | | | | | | | | | 1,601,514 | | |
Chemicals — 3.2% | | ||||||||||||
Celanese Corp. | | | | | 2,161 | | | | | | 261,805 | | |
Westlake Chemical Corp. | | | | | 2,938 | | | | | | 185,652 | | |
| | | | | | | | | | | 447,457 | | |
Commercial Services & Supplies — 3.6% | | ||||||||||||
Cintas Corp. | | | | | 1,100 | | | | | | 295,537 | | |
Rollins, Inc. | | | | | 5,146 | | | | | | 196,114 | | |
| | | | | | | | | | | 491,651 | | |
Electrical Equipment — 1.4% | | ||||||||||||
Rockwell Automation, Inc. | | | | | 1,149 | | | | | | 197,617 | | |
Electronic Equipment Instruments & Components — 2.0% | | ||||||||||||
CDW Corp. | | | | | 2,190 | | | | | | 280,123 | | |
Entertainment — 1.6% | | ||||||||||||
Walt Disney Co. (The) | | | | | 1,658 | | | | | | 215,407 | | |
Food & Staples Retailing — 1.6% | | ||||||||||||
Walgreens Boots Alliance, Inc. | | | | | 4,053 | | | | | | 222,023 | | |
Gas Utilities — 1.4% | | ||||||||||||
UGI Corp. | | | | | 4,111 | | | | | | 195,971 | | |
|
| | | Shares | | | Value | | ||||||
Health Care Providers & Services — 1.8% | | ||||||||||||
UnitedHealth Group, Inc. | | | | | 981 | | | | | $ | 247,899 | | |
Hotels, Restaurants & Leisure — 5.0% | | ||||||||||||
Domino’s Pizza, Inc. | | | | | 850 | | | | | | 230,877 | | |
Marriott International, Inc., Class A | | | | | 1,626 | | | | | | 205,770 | | |
Starbucks Corp. | | | | | 2,939 | | | | | | 248,522 | | |
| | | | | | | | | | | 685,169 | | |
Household Products — 1.5% | | ||||||||||||
Church & Dwight Co., Inc. | | | | | 2,958 | | | | | | 206,883 | | |
Insurance — 1.8% | | ||||||||||||
Globe Life, Inc. | | | | | 2,531 | | | | | | 246,342 | | |
IT Services — 7.2% | | ||||||||||||
Broadridge Financial Solutions, Inc. | | | | | 2,059 | | | | | | 257,828 | | |
Jack Henry & Associates, Inc. | | | | | 1,535 | | | | | | 217,295 | | |
Mastercard, Inc., Class A | | | | | 940 | | | | | | 260,201 | | |
Visa, Inc., Class A | | | | | 1,467 | | | | | | 262,388 | | |
| | | | | | | | | | | 997,712 | | |
Machinery — 4.9% | | ||||||||||||
IDEX Corp. | | | | | 1,430 | | | | | | 222,408 | | |
Illinois Tool Works, Inc. | | | | | 1,430 | | | | | | 241,070 | | |
Snap-on, Inc. | | | | | 1,284 | | | | | | 208,868 | | |
| | | | | | | | | | | 672,346 | | |
Metals & Mining — 3.0% | | ||||||||||||
Nucor Corp. | | | | | 3,801 | | | | | | 204,684 | | |
Steel Dynamics, Inc. | | | | | 6,972 | | | | | | 211,670 | | |
| | | | | | | | | | | 416,354 | | |
Oil, Gas & Consumable Fuels — 3.7% | | ||||||||||||
Marathon Petroleum Corp. | | | | | 3,534 | | | | | | 225,999 | | |
Phillips 66 | | | | | 2,375 | | | | | | 277,448 | | |
| | | | | | | | | | | 503,447 | | |
Personal Products — 1.7% | | ||||||||||||
Estee Lauder Cos., Inc. (The), Class A | | | | | 1,285 | | | | | | 239,357 | | |
Pharmaceuticals — 2.1% | | ||||||||||||
Zoetis, Inc. | | | | | 2,235 | | | | | | 285,901 | | |
Road & Rail — 1.5% | | ||||||||||||
Union Pacific Corp. | | | | | 1,231 | | | | | | 203,681 | | |
Semiconductors & Semiconductor Equipment — 8.8% | | ||||||||||||
Analog Devices, Inc. | | | | | 1,896 | | | | | | 202,170 | | |
Broadcom, Inc. | | | | | 749 | | | | | | 219,345 | | |
Lam Research Corp. | | | | | 1,163 | | | | | | 315,220 | | |
NVIDIA Corp. | | | | | 1,224 | | | | | | 246,048 | | |
Texas Instruments, Inc. | | | | | 1,997 | | | | | | 235,626 | | |
| | | | | | | | | | | 1,218,409 | | |
Software — 1.6% | | ||||||||||||
Intuit, Inc. | | | | | 848 | | | | | | 218,360 | | |
|
| | | Shares | | | Value | | ||||||
Specialty Retail — 7.0% | | ||||||||||||
Home Depot, Inc. (The) | | | | | 1,061 | | | | | $ | 248,889 | | |
Ross Stores, Inc. | | | | | 2,395 | | | | | | 262,660 | | |
TJX Cos., Inc. (The) | | | | | 4,306 | | | | | | 248,241 | | |
Tractor Supply Co. | | | | | 2,163 | | | | | | 205,528 | | |
| | | | | | | | | | | 965,318 | | |
Technology Hardware, Storage & Peripherals — 3.2% | | ||||||||||||
Apple, Inc. | | | | | 1,092 | | | | | | 271,646 | | |
NetApp, Inc. | | | | | 2,925 | | | | | | 163,449 | | |
| | | | | | | | | | | 435,095 | | |
Textiles, Apparel & Luxury Goods — 1.6% | | ||||||||||||
NIKE, Inc., Class B | | | | | 2,493 | | | | | | 223,248 | | |
Trading Companies & Distributors — 3.4% | | ||||||||||||
Fastenal Co. | | | | | 6,189 | | | | | | 222,433 | | |
W.W. Grainger, Inc. | | | | | 792 | | | | | | 244,601 | | |
| | | | | | | | | | | 467,034 | | |
| | | Shares | | | Value | | ||||||
Total Common Stocks (Cost $12,703,428) | | | | | | | | | | $ | 13,776,005 | | |
Treasury Bill — 0.0%(a)(b) | | ||||||||||||
U.S. Treasury Bill, 12/26/2019 (Cost $4,987) | | | | | 5,000 | | | | | | 4,988 | | |
Money Markets — 0.1% | | ||||||||||||
Goldman Sachs Financial Square Money Market Fund, Institutional Shares, 1.96%(c) (Cost $10,001) | | | | | 10,001 | | | | | | 10,001 | | |
Total Investments — 100.0% (Cost $12,718,416) | | | | | | | | | | | 13,790,994 | | |
Other Assets in Excess of Liabilities — 0.0%(b) | | | | | | | | | | | 2,281 | | |
Net Assets — 100.0% | | | | | | | | | | $ | 13,793,275 | | |
Valuation Inputs | | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | 13,776,005 | | | | | $ | — | | | | | $ | — | | | | | $ | 13,776,005 | | |
Treasury Bill | | | | | — | | | | | | 4,988 | | | | | | — | | | | | | 4,988 | | |
Money Markets | | | | | 10,001 | | | | | | — | | | | | | — | | | | | | 10,001 | | |
Total Assets | | | | $ | 13,786,006 | | | | | $ | 4,988 | | | | | $ | — | | | | | $ | 13,790,994 | | |
Industry | | | % of Net Assets | | |||
Aerospace & Defense | | | | | 1.4% | | |
Air Freight & Logistics | | | | | 1.5 | | |
Auto Components | | | | | 1.2 | | |
Banks | | | | | 6.5 | | |
Biotechnology | | | | | 1.6 | | |
Building Products | | | | | 1.5 | | |
Capital Markets | | | | | 11.6 | | |
Chemicals | | | | | 3.2 | | |
Commercial Services & Supplies | | | | | 3.6 | | |
Electrical Equipment | | | | | 1.4 | | |
Electronic Equipment Instruments & Components | | | | | 2.0 | | |
Entertainment | | | | | 1.6 | | |
Food & Staples Retailing | | | | | 1.6 | | |
Gas Utilities | | | | | 1.4 | | |
Health Care Providers & Services | | | | | 1.8 | | |
Hotels, Restaurants & Leisure | | | | | 5.0 | | |
Household Products | | | | | 1.5 | | |
Insurance | | | | | 1.8 | | |
IT Services | | | | | 7.2 | | |
Machinery | | | | | 4.9 | | |
Metals & Mining | | | | | 3.0 | | |
Oil, Gas & Consumable Fuels | | | | | 3.7 | | |
Personal Products | | | | | 1.7 | | |
Pharmaceuticals | | | | | 2.1 | | |
Road & Rail | | | | | 1.5 | | |
Semiconductors & Semiconductor Equipment | | | | | 8.8 | | |
Software | | | | | 1.6 | | |
Specialty Retail | | | | | 7.0 | | |
Technology Hardware, Storage & Peripherals | | | | | 3.2 | | |
Textiles, Apparel & Luxury Goods | | | | | 1.6 | | |
Trading Companies & Distributors | | | | | 3.4 | | |
Treasury Bill | | | | | 0.0(a) | | |
Money Markets | | | | | 0.1 | | |
Total Investments | | | | | 100.0 | | |
Other Assets in Excess of Liabilities | | | | | 0.0(a) | | |
Net Assets | | | | | 100.0% | | |
| | | Shares | | | Value | | ||||||
Common Stocks — 98.4% | | ||||||||||||
Automobiles — 1.7% | | ||||||||||||
Daimler AG | | | | | 19,797 | | | | | $ | 1,157,555 | | |
Banks — 11.0% | | ||||||||||||
Banco Santander SA | | | | | 201,310 | | | | | | 797,188 | | |
Bank of America Corp. | | | | | 27,397 | | | | | | 856,704 | | |
Barclays PLC | | | | | 132,071 | | | | | | 1,139,773 | | |
BOC Hong Kong Holdings Ltd. | | | | | 232,070 | | | | | | 799,455 | | |
Citigroup, Inc. | | | | | 12,753 | | | | | | 916,431 | | |
ING Groep NV | | | | | 76,083 | | | | | | 862,020 | | |
JPMorgan Chase & Co. | | | | | 9,422 | | | | | | 1,176,996 | | |
Mizuho Financial Group, Inc. | | | | | 523,708 | | | | | | 817,741 | | |
| | | | | | | | | | | 7,366,308 | | |
Capital Markets — 11.0% | | ||||||||||||
ASX Ltd. | | | | | 15,955 | | | | | | 904,878 | | |
CME Group, Inc. | | | | | 4,188 | | | | | | 861,681 | | |
Deutsche Boerse AG | | | | | 5,861 | | | | | | 908,570 | | |
Goldman Sachs Group, Inc. (The) | | | | | 4,345 | | | | | | 927,136 | | |
Intercontinental Exchange, Inc. | | | | | 8,145 | | | | | | 768,236 | | |
Nasdaq, Inc. | | | | | 10,687 | | | | | | 1,066,242 | | |
SBI Holdings, Inc. | | | | | 50,827 | | | | | | 1,114,287 | | |
TMX Group Ltd. | | | | | 9,324 | | | | | | 816,378 | | |
| | | | | | | | | | | 7,367,408 | | |
Communications Equipment — 1.6% | | ||||||||||||
Cisco Systems, Inc. | | | | | 23,199 | | | | | | 1,102,185 | | |
Consumer Finance — 1.4% | | ||||||||||||
American Express Co. | | | | | 8,077 | | | | | | 947,271 | | |
Diversified Financial Services — 1.2% | | ||||||||||||
Plus500 Ltd. | | | | | 77,865 | | | | | | 806,058 | | |
Diversified Telecommunication — 1.3% | | ||||||||||||
Swisscom AG | | | | | 1,688 | | | | | | 862,176 | | |
Electronic Equipment, Instruments & Components — 1.5% | | ||||||||||||
Hitachi Ltd. | | | | | 27,117 | | | | | | 1,020,666 | | |
Entertainment — 1.3% | | ||||||||||||
NetEase, Inc. | | | | | 3,065 | | | | | | 876,161 | | |
Food & Staples Retailing — 1.2% | | ||||||||||||
Walmart, Inc. | | | | | 6,931 | | | | | | 812,729 | | |
Industrial Conglomerates — 2.6% | | ||||||||||||
Fosun International Ltd. | | | | | 618,736 | | | | | | 811,540 | | |
Siemens AG | | | | | 8,197 | | | | | | 945,409 | | |
| | | | | | | | | | | 1,756,949 | | |
Insurance — 3.7% | | ||||||||||||
Ping An Insurance Group Co. of China Ltd., Class H | | | | | 89,062 | | | | | | 1,031,218 | | |
ZhongAn Online P&C Insurance Co. Ltd., Class H*,(a) | | | | | 434,540 | | | | | | 1,452,588 | | |
| | | | | | | | | | | 2,483,806 | | |
| | | Shares | | | Value | | | | ||||||||||
Interactive Media & Services — 7.8% | | | | ||||||||||||||||
Alphabet, Inc., Class A* | | | | | 791 | | | | | $ | 995,711 | | | | | ||||
Baidu, Inc.* | | | | | 11,018 | | | | | | 1,122,183 | | | | | ||||
Facebook, Inc., Class A* | | | | | 5,606 | | | | | | 1,074,390 | | | | | ||||
LINE Corp.* | | | | | 29,890 | | | | | | 1,097,860 | | | | | ||||
Tencent Holdings Ltd. | | | | | 23,597 | | | | | | 965,834 | | | | | ||||
| | | | | | | | | | | 5,255,978 | | | | | ||||
Internet & Direct Marketing Retail — 7.1% | | | | | | | | ||||||||||||
Alibaba Group Holding Ltd.* | | | | | 6,057 | | | | | | 1,070,090 | | | | | ||||
Amazon.com, Inc.* | | | | | 544 | | | | | | 966,503 | | | | | ||||
JD.com, Inc.* | | | | | 36,680 | | | | | | 1,142,582 | | | | | ||||
Overstock.com, Inc.* | | | | | 73,138 | | | | | | 770,143 | | | | | ||||
Rakuten, Inc. | | | | | 87,314 | | | | | | 838,369 | | | | | ||||
| | | | | | | | | | | 4,787,687 | | | | | ||||
IT Services — 20.1% | | | | ||||||||||||||||
Accenture PLC, Class A | | | | | 6,261 | | | | | | 1,160,915 | | | | | ||||
Atos SE | | | | | 11,076 | | | | | | 857,819 | | | | | ||||
Broadridge Financial Solutions, Inc. | | | | | 7,329 | | | | | | 917,737 | | | | | ||||
Digital Garage, Inc. | | | | | 36,134 | | | | | | 1,196,612 | | | | | ||||
Fujitsu Ltd. | | | | | 14,131 | | | | | | 1,257,614 | | | | | ||||
GMO internet, Inc. | | | | | 69,618 | | | | | | 1,183,644 | | | | | ||||
Infosys Ltd. | | | | | 75,316 | | | | | | 722,280 | | | | | ||||
International Business Machines Corp. | | | | | 8,935 | | | | | | 1,194,878 | | | | | ||||
Mastercard, Inc., Class A | | | | | 3,750 | | | | | | 1,038,038 | | | | | ||||
NTT Data Corp. | | | | | 70,872 | | | | | | 938,798 | | | | | ||||
PayPal Holdings, Inc.* | | | | | 9,342 | | | | | | 972,502 | | | | | ||||
Square, Inc., Class A* | | | | | 19,470 | | | | | | 1,196,042 | | | | | ||||
Visa, Inc., Class A | | | | | 4,997 | | | | | | 893,763 | | | | | ||||
| | | | | | | | | | | 13,530,642 | | | | | ||||
Professional Services — 1.3% | | | | ||||||||||||||||
Thomson Reuters Corp. | | | | | 13,470 | | | | | | 905,992 | | | | | ||||
Semiconductors & Semiconductor Equipment — 10.9% | | | | ||||||||||||||||
Advanced Micro Devices, Inc.* | | | | | 35,315 | | | | | | 1,198,238 | | | | | ||||
Intel Corp. | | | | | 22,687 | | | | | | 1,282,496 | | | | | ||||
Micron Technology, Inc.* | | | | | 17,391 | | | | | | 826,942 | | | | | ||||
NVIDIA Corp. | | | | | 6,147 | | | | | | 1,235,670 | | | | | ||||
Taiwan Semiconductor Manufacturing Co. Ltd. | | | | | 22,174 | | | | | | 1,144,844 | | | | | ||||
Texas Instruments, Inc. | | | | | 6,749 | | | | | | 796,314 | | | | | ||||
Xilinx, Inc. | | | | | 9,499 | | | | | | 861,939 | | | | | ||||
| | | | | | | | | | | 7,346,443 | | | | | ||||
Software — 6.9% | | | | ||||||||||||||||
DocuSign, Inc.* | | | | | 13,649 | | | | | | 903,427 | | | | | ||||
Microsoft Corp. | | | | | 8,563 | | | | | | 1,227,677 | | | | | ||||
Oracle Corp. | | | | | 20,675 | | | | | | 1,126,581 | | | | | ||||
SAP SE | | | | | 10,369 | | | | | | 1,374,722 | | | | | ||||
| | | | | | | | | | | 4,632,407 | | | | |
| | | Shares | | | Value | | ||||||
Technology Hardware, Storage & Peripherals — 4.8% | | ||||||||||||
Hewlett Packard Enterprise Co. | | | | | 67,561 | | | | | $ | 1,108,676 | | |
Samsung Electronics Co. Ltd. | | | | | 1,046 | | | | | | 1,117,128 | | |
Xiaomi Corp., Class B*,(a) | | | | | 862,172 | | | | | | 979,028 | | |
| | | | | | | | | | | 3,204,832 | | |
Total Common Stocks (Cost $72,052,206) | | | | | | | | | | | 66,223,253 | | |
Treasury Bill — 1.2%(b) | | | | ||||||||||
U.S. Treasury Bill, 12/26/2019 (Cost $817,930) | | | | | 820,000 | | | | | | 818,080 | | |
|
| | | Shares | | | Value | | ||||||
Money Markets — 0.1% | | ||||||||||||
Goldman Sachs Financial Square Money Market Fund, Institutional Shares, 1.96%(c) (Cost $61,159) | | | | | 61,159 | | | | | $ | 61,159 | | |
Total Investments — 99.7% (Cost $72,931,295) | | | | | | | | | | | 67,102,492 | | |
Other Assets in Excess of Liabilities — 0.3% | | | | | | | | | | | 174,565 | | |
Net Assets — 100.0% | | | | | | | | | | $ | 67,277,057 | | |
Valuation Inputs | | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | 66,223,253 | | | | | $ | — | | | | | $ | — | | | | | $ | 66,223,253 | | |
Treasury Bill | | | | | — | | | | | | 818,080 | | | | | | — | | | | | | 818,080 | | |
Money Markets | | | | | 61,159 | | | | | | — | | | | | | — | | | | | | 61,159 | | |
Total Assets | | | | $ | 66,284,412 | | | | | $ | 818,080 | | | | | $ | — | | | | | $ | 67,102,492 | | |
Industry | | | % of Net Assets | | |||
Automobiles | | | | | 1.7% | | |
Banks | | | | | 11.0 | | |
Capital Markets | | | | | 11.0 | | |
Communications Equipment | | | | | 1.6 | | |
Consumer Finance | | | | | 1.4 | | |
Diversified Financial Services | | | | | 1.2 | | |
Diversified Telecommunication | | | | | 1.3 | | |
Electronic Equipment, Instruments & Components | | | | | 1.5 | | |
Entertainment | | | | | 1.3 | | |
Food & Staples Retailing | | | | | 1.2 | | |
Industrial Conglomerates | | | | | 2.6 | | |
Insurance | | | | | 3.7 | | |
Interactive Media & Services | | | | | 7.8 | | |
Internet & Direct Marketing Retail | | | | | 7.1 | | |
IT Services | | | | | 20.1 | | |
Professional Services | | | | | 1.3 | | |
Semiconductors & Semiconductor Equipment | | | | | 10.9 | | |
Software | | | | | 6.9 | | |
Technology Hardware, Storage & Peripherals | | | | | 4.8 | | |
Treasury Bill | | | | | 1.2 | | |
Money Markets | | | | | 0.1 | | |
Total Investments | | | | | 99.7 | | |
Other Assets in Excess of Liabilities | | | | | 0.3 | | |
Net Assets | | | | | 100.0% | | |
Country / Region | | | % of Net Assets | | |||
United States | | | | | 47.6% | | |
China | | | | | 15.2 | | |
Japan | | | | | 14.1 | | |
Germany | | | | | 6.5 | | |
Canada | | | | | 2.5 | | |
Taiwan | | | | | 1.7 | | |
United Kingdom | | | | | 1.7 | | |
South Korea | | | | | 1.7 | | |
Australia | | | | | 1.3 | | |
Switzerland | | | | | 1.3 | | |
Netherlands | | | | | 1.3 | | |
France | | | | | 1.3 | | |
Israel | | | | | 1.2 | | |
Spain | | | | | 1.2 | | |
India | | | | | 1.1 | | |
Total Investments | | | | | 99.7 | | |
Other Assets in Excess of Liabilities | | | | | 0.3 | | |
Net Assets | | | | | 100.0% | | |
| | | Reality Shares DIVS ETF | | | Reality Shares DIVCON Leaders Dividend ETF | | | Reality Shares DIVCON Dividend Defender ETF | | | Reality Shares DIVCON Dividend Guard ETF | | ||||||||||||
Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments, at value | | | | $ | 64,405,554(1) | | | | | $ | 31,730,037 | | | | | $ | 5,965,851 | | | | | $ | 13,790,994 | | |
Cash | | | | | — | | | | | | — | | | | | | — | | | | | | 6 | | |
Cash held at broker for securities sold short | | | | | — | | | | | | — | | | | | | 1,369,464 | | | | | | — | | |
Receivables | | | | | | | | | | | | | | | | | | | | | | | | | |
Dividend receivable | | | | | 387 | | | | | | 28,701 | | | | | | 4,782 | | | | | | 12,018 | | |
Securities sold receivable | | | | | — | | | | | | 1,802,181 | | | | | | — | | | | | | — | | |
Unrealized appreciation on swaps (Note 7) | | | | | 2,902,704 | | | | | | — | | | | | | — | | | | | | — | | |
Total Assets | | | | | 67,308,645 | | | | | | 33,560,919 | | | | | | 7,340,097 | | | | | | 13,803,018 | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Securities sold short, at value | | | | | — | | | | | | — | | | | | | 1,209,374 | | | | | | — | | |
Payables | | | | | | | | | | | | | | | | | | | | | | | | | |
Capital stock payable | | | | | 665,565 | | | | | | 1,813,424 | | | | | | — | | | | | | — | | |
Interest payable | | | | | 371 | | | | | | — | | | | | | — | | | | | | — | | |
Advisory fees (Note 4) | | | | | 47,035 | | | | | | 12,575 | | | | | | 4,368 | | | | | | 9,743 | | |
Unrealized depreciation on swaps (Note 7) | | | | | 774,559 | | | | | | — | | | | | | — | | | | | | — | | |
Due to broker for swaps | | | | | 480,000 | | | | | | — | | | | | | — | | | | | | — | | |
Total Liabilities | | | | | 1,967,530 | | | | | | 1,825,999 | | | | | | 1,213,742 | | | | | | 9,743 | | |
Net Assets | | | | $ | 65,341,115 | | | | | $ | 31,734,920 | | | | | $ | 6,126,355 | | | | | $ | 13,793,275 | | |
Net Assets Consist of: | | | | | | | | | | | | | | | | | | | | | | | | | |
Paid-in capital | | | | $ | 60,951,200 | | | | | $ | 29,021,812 | | | | | $ | 5,700,334 | | | | | $ | 14,305,605 | | |
Total distributable earnings (loss) | | | | | 4,389,915 | | | | | | 2,713,108 | | | | | | 426,021 | | | | | | (512,330) | | |
Net Assets | | | | $ | 65,341,115 | | | | | $ | 31,734,920 | | | | | $ | 6,126,355 | | | | | $ | 13,793,275 | | |
Shares outstanding (unlimited number of shares of beneficial interest authorized, no par value) | | | | | 2,454,348 | | | | | | 875,000 | | | | | | 200,000 | | | | | | 550,000 | | |
Net asset value (offering price and redemption price) per share | | | | $ | 26.62 | | | | | $ | 36.27 | | | | | $ | 30.63 | | | | | $ | 25.08 | | |
Investments, at cost | | | | $ | 64,347,985 | | | | | $ | 26,872,280 | | | | | $ | 5,292,945 | | | | | $ | 12,718,416 | | |
Securities sold short, proceeds | | | | $ | — | | | | | $ | — | | | | | $ | 1,279,191 | | | | | $ | — | | |
| | | Reality Shares NASDAQ NexGen Economy ETF | | |||
Assets: | | | | | | | |
Investments, at value | | | | $ | 67,102,492 | | |
Receivables | | | | | | | |
Dividend receivable | | | | | 101,920 | | |
Reclaims receivable | | | | | 110,927 | | |
Total Assets | | | | | 67,315,339 | | |
Liabilities: | | | | | | | |
Due to custodian | | | | | 83 | | |
Payables | | | | | | | |
Advisory fees (Note 4) | | | | | 38,199 | | |
Total Liabilities | | | | | 38,282 | | |
Net Assets | | | | $ | 67,277,057 | | |
Net Assets Consist of: | | | | | | | |
Paid-in capital | | | | $ | 77,460,109 | | |
Total distributable earnings (loss) | | | | | (10,183,052) | | |
Net Assets | | | | $ | 67,277,057 | | |
Shares outstanding (unlimited number of shares of beneficial interest authorized, no par value) | | | | | 2,800,001 | | |
Net asset value (offering price and redemption price) per share | | | | $ | 24.03 | | |
Investments, at cost | | | | $ | 72,931,295 | | |
Due to Custodian, at cost | | | | $ | 81 | | |
| | | Reality Shares DIVS ETF | | | Reality Shares DIVCON Leaders Dividend ETF | | | Reality Shares DIVCON Dividend Defender ETF | | | Reality Shares DIVCON Dividend Guard ETF | | ||||||||||||
Investment Income: | | | | | | | | | | | | | | | | | | | | | | | | | |
Dividend income | | | | $ | 3,921 | | | | | $ | 729,135 | | | | | $ | 75,459 | | | | | $ | 200,824 | | |
Interest income | | | | | 1,525,155 | | | | | | 1,770 | | | | | | 26,099 | | | | | | 71,141 | | |
Rebate income | | | | | — | | | | | | — | | | | | | 20,680 | | | | | | 56,667 | | |
Total Income | | | | | 1,529,076 | | | | | | 730,905 | | | | | | 122,238 | | | | | | 328,632 | | |
Expenses: | | | | | | | | | | | | | | | | | | | | | | | | | |
Advisory fees (Note 4) | | | | | 587,819 | | | | | | 163,150 | | | | | | 44,529 | | | | | | 113,793 | | |
Dividends on securities sold short | | | | | — | | | | | | — | | | | | | 30,868 | | | | | | 97,317 | | |
Total Expenses | | | | | 587,819 | | | | | | 163,150 | | | | | | 75,397 | | | | | | 211,110 | | |
Net Investment income | | | | | 941,257 | | | | | | 567,755 | | | | | | 46,841 | | | | | | 117,522 | | |
Realized and Unrealized Gain (Loss): | | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized gain (loss) on: | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | (480) | | | | | | (2,195,172) | | | | | | (182,102) | | | | | | (305,752) | | |
Securities sold short | | | | | — | | | | | | — | | | | | | 65,656 | | | | | | (459,786) | | |
Swaps | | | | | 1,417,234 | | | | | | — | | | | | | — | | | | | | — | | |
In-kind redemptions | | | | | — | | | | | | 1,833,045 | | | | | | 19,086 | | | | | | 75,437 | | |
Net realized gain (loss) | | | | | 1,416,754 | | | | | | (362,127) | | | | | | (97,360) | | | | | | (690,101) | | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | 81,321 | | | | | | 5,307,926 | | | | | | 708,137 | | | | | | 1,347,966 | | |
Securities sold short | | | | | — | | | | | | — | | | | | | (44,710) | | | | | | 22,327 | | |
Swaps | | | | | (1,425,242) | | | | | | — | | | | | | — | | | | | | — | | |
Net change in unrealized appreciation (depreciation) | | | | | (1,343,921) | | | | | | 5,307,926 | | | | | | 663,427 | | | | | | 1,370,293 | | |
Net realized and unrealized gain on investments, swaps and securities sold short | | | | | 72,833 | | | | | | 4,945,799 | | | | | | 566,067 | | | | | | 680,192 | | |
Increase in net assets resulting from operations | | | | $ | 1,014,090 | | | | | $ | 5,513,554 | | | | | $ | 612,908 | | | | | $ | 797,714 | | |
| | | Reality Shares NASDAQ NexGen Economy ETF | | |||
Investment Income: | | | | | | | |
Dividend income | | | | $ | 1,478,703 | | |
Non-cash dividend | | | | | 242,634 | | |
Interest income | | | | | 12,477 | | |
Foreign withholding tax | | | | | (125,796) | | |
Total Income | | | | | 1,608,018 | | |
Expenses: | | | | | | | |
Advisory fees (Note 4) | | | | | 500,071 | | |
Total Expenses | | | | | 500,071 | | |
Net Investment income | | | | | 1,107,947 | | |
Realized and Unrealized Gain (Loss): | | | | | | | |
Net realized gain (loss) on: | | | | | | | |
Investments | | | | | (841,927) | | |
In-kind redemptions | | | | | (870,476) | | |
Foreign currency transactions | | | | | (3,709) | | |
Net realized loss | | | | | (1,716,112) | | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | |
Investments | | | | | 10,330,350 | | |
Foreign currency translations | | | | | (4) | | |
Net change in unrealized appreciation | | | | | 10,330,346 | | |
Net realized and unrealized gain on investments, foreign currency transactions and foreign translations | | | | | 8,614,234 | | |
Increase in net assets resulting from operations | | | | $ | 9,722,181 | | |
| | | Reality Shares DIVS ETF | | | Reality Shares DIVCON Leaders Dividend ETF | | ||||||||||||||||||
| | | Year Ended October 31, 2019 | | | Year Ended October 31, 2018 | | | Year Ended October 31, 2019 | | | Year Ended October 31, 2018 | | ||||||||||||
Increase (Decrease) in Net Assets Resulting from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | $ | 941,257 | | | | | $ | 526,662 | | | | | $ | 567,755 | | | | | $ | 507,667 | | |
Net realized gain (loss) | | | | | 1,416,754 | | | | | | 433,366 | | | | | | (362,127) | | | | | | 3,694,328 | | |
Net change in unrealized appreciation (depreciation) | | | | | (1,343,921) | | | | | | 586,067 | | | | | | 5,307,926 | | | | | | (2,292,492) | | |
Net increase in net assets resulting from operations | | | | | 1,014,090 | | | | | | 1,546,095 | | | | | | 5,513,554 | | | | | | 1,909,503 | | |
Distributions to Shareholders: | | | | | (1,089,637) | | | | | | (486,125) | | | | | | (568,034) | | | | | | (503,239) | | |
Shareholder Transactions: | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | | | 3,217,859 | | | | | | 30,160,125 | | | | | | — | | | | | | 51,752,967 | | |
Cost of shares redeemed | | | | | (11,841,877) | | | | | | (10,695,212) | | | | | | (18,467,609) | | | | | | (37,131,640) | | |
Net increase (decrease) in net assets resulting from shareholder transactions | | | | | (8,624,018) | | | | | | 19,464,913 | | | | | | (18,467,609) | | | | | | 14,621,327 | | |
Increase (Decrease) in net assets | | | | | (8,699,565) | | | | | | 20,524,883 | | | | | | (13,522,089) | | | | | | 16,027,591 | | |
Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of year | | | | | 74,040,680 | | | | | | 53,515,797 | | | | | | 45,257,009 | | | | | | 29,229,418 | | |
End of year | | | | $ | 65,341,115 | | | | | $ | 74,040,680 | | | | | $ | 31,734,920 | | | | | $ | 45,257,009 | | |
Changes in Shares Outstanding: | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of year | | | | | 2,779,348 | | | | | | 2,054,348 | | | | | | 1,425,000 | | | | | | 975,000 | | |
Shares sold | | | | | 125,000 | | | | | | 1,125,000 | | | | | | — | | | | | | 1,625,000 | | |
Shares redeemed | | | | | (450,000) | | | | | | (400,000) | | | | | | (550,000) | | | | | | (1,175,000) | | |
Shares outstanding, end of year | | | | | 2,454,348 | | | | | | 2,779,348 | | | | | | 875,000 | | | | | | 1,425,000 | | |
| | | Reality Shares DIVCON Dividend Defender ETF | | | Reality Shares DIVCON Dividend Guard ETF | | ||||||||||||||||||
| | | Year Ended October 31, 2019 | | | Year Ended October 31, 2018 | | | Year Ended October 31, 2019 | | | Year Ended October 31, 2018 | | ||||||||||||
Increase (Decrease) in Net Assets Resulting from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | $ | 46,841 | | | | | $ | 23,609 | | | | | $ | 117,522 | | | | | $ | 21,256 | | |
Net realized gain (loss) | | | | | (97,360) | | | | | | 420,911 | | | | | | (690,101) | | | | | | (110,047) | | |
Net change in unrealized appreciation (depreciation) | | | | | 663,427 | | | | | | (208,026) | | | | | | 1,370,293 | | | | | | (473,309) | | |
Net increase (decrease) in net assets resulting from operations | | | | | 612,908 | | | | | | 236,494 | | | | | | 797,714 | | | | | | (562,100) | | |
Distributions to Shareholders: | | | | | (46,093) | | | | | | (15,899) | | | | | | (115,430) | | | | | | (16,462) | | |
Shareholder Transactions: | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | | | 741,249 | | | | | | 6,108,302 | | | | | | 2,349,512 | | | | | | 13,910,197 | | |
Cost of shares redeemed | | | | | (690,616) | | | | | | (4,732,035) | | | | | | (600,306) | | | | | | (4,305,396) | | |
Net increase in net assets resulting from shareholder transactions | | | | | 50,633 | | | | | | 1,376,267 | | | | | | 1,749,206 | | | | | | 9,604,801 | | |
Increase in net assets | | | | | 617,448 | | | | | | 1,596,862 | | | | | | 2,431,490 | | | | | | 9,026,239 | | |
Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of year | | | | | 5,508,907 | | | | | | 3,912,045 | | | | | | 11,361,785 | | | | | | 2,335,546 | | |
End of year | | | | $ | 6,126,355 | | | | | $ | 5,508,907 | | | | | $ | 13,793,275 | | | | | $ | 11,361,785 | | |
Changes in Shares Outstanding: | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of year | | | | | 200,000 | | | | | | 150,000 | | | | | | 475,000 | | | | | | 100,000 | | |
Shares sold | | | | | 25,000 | | | | | | 225,000 | | | | | | 100,000 | | | | | | 550,000 | | |
Shares redeemed | | | | | (25,000) | | | | | | (175,000) | | | | | | (25,000) | | | | | | (175,000) | | |
Shares outstanding, end of year | | | | | 200,000 | | | | | | 200,000 | | | | | | 550,000 | | | | | | 475,000 | | |
| | | Reality Shares NASDAQ NexGen Economy ETF | | |||||||||
| | | Year Ended October 31, 2019 | | | For the Period January 17, 2018* to October 31, 2018 | | ||||||
Increase (Decrease) in Net Assets Resulting from Operations: | | | | | | | | | | | | | |
Net investment income | | | | $ | 1,107,947 | | | | | $ | 998,855 | | |
Net realized gain (loss) | | | | | (1,716,112) | | | | | | 1,210,048 | | |
Net change in unrealized appreciation (depreciation) | | | | | 10,330,346 | | | | | | (16,161,440) | | |
Net increase (decrease) in net assets resulting from operations | | | | | 9,722,181 | | | | | | (13,952,537) | | |
Distributions to Shareholders: | | | | | (1,149,910) | | | | | | (802,580) | | |
Shareholder Transactions: | | | | | | | | | | | | | |
Proceeds from shares sold | | | | | — | | | | | | 157,904,493 | | |
Cost of shares redeemed | | | | | (27,642,715) | | | | | | (56,801,875) | | |
Net increase (decrease) in net assets resulting from shareholder transactions | | | | | (27,642,715) | | | | | | 101,102,618 | | |
Increase (Decrease) in net assets | | | | | (19,070,444) | | | | | | 86,347,501 | | |
Net Assets: | | | | | | | | | | | | | |
Beginning of year/period | | | | | 86,347,501 | | | | | | — | | |
End of year/period | | | | $ | 67,277,057 | | | | | $ | 86,347,501 | | |
Changes in Shares Outstanding: | | | | | | | | | | | | | |
Shares outstanding, beginning of year/period | | | | | 4,075,001 | | | | | | — | | |
Shares sold | | | | | — | | | | | | 6,525,001 | | |
Shares redeemed | | | | | (1,275,000) | | | | | | (2,450,000) | | |
Shares outstanding, end of year/period | | | | | 2,800,001 | | | | | | 4,075,001 | | |
| | | Year Ended October 31, 2019 | | | Year Ended October 31, 2018 | | | Year Ended October 31, 2017 | | | Year Ended October 31, 2016 | | | For the Period December 18, 2014(1) to October 31, 2015 | | |||||||||||||||
Per Share Operational Performance: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of year/period | | | | $ | 26.64 | | | | | $ | 26.05 | | | | | $ | 24.17 | | | | | $ | 23.96 | | | | | $ | 23.00 | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)(2) | | | | | 0.36 | | | | | | 0.20 | | | | | | (0.02) | | | | | | (0.12) | | | | | | (0.17) | | |
Net realized and unrealized gain | | | | | 0.02 | | | | | | 0.61 | | | | | | 1.90 | | | | | | 0.79 | | | | | | 1.13 | | |
Total from investment operations | | | | | 0.38 | | | | | | 0.81 | | | | | | 1.88 | | | | | | 0.67 | | | | | | 0.96 | | |
Distributions to Shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.24) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Realized gains | | | | | (0.16) | | | | | | (0.22) | | | | | | — | | | | | | (0.46) | | | | | | — | | |
Total distributions | | | | | (0.40) | | | | | | (0.22) | | | | | | — | | | | | | (0.46) | | | | | | — | | |
Net asset value, end of year/period | | | | $ | 26.62 | | | | | $ | 26.64 | | | | | $ | 26.05 | | | | | $ | 24.17 | | | | | $ | 23.96 | | |
Total Return at Net Asset Value | | | | | 1.53% | | | | | | 3.12% | | | | | | 7.77% | | | | | | 2.88% | | | | | | 4.17%(3) | | |
Net assets, end of year/period (000’s) | | | | $ | 65,341 | | | | | $ | 74,041 | | | | | $ | 53,516 | | | | | $ | 32,132 | | | | | $ | 30,053 | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses | | | | | 0.85% | | | | | | 0.85% | | | | | | 0.85% | | | | | | 0.85% | | | | | | 0.85%(4) | | |
Net investment income (loss) | | | | | 1.36% | | | | | | 0.75% | | | | | | (0.09)% | | | | | | (0.51)% | | | | | | (0.82)%(4) | | |
Portfolio turnover rate(5) | | | | | 0.00%(6) | | | | | | 0.00%(6) | | | | | | 0.00%(6) | | | | | | 0.00%(6) | | | | | | 1,475.00%(3) | | |
| | | Year Ended October 31, 2019 | | | Year Ended October 31, 2018 | | | Year Ended October 31, 2017 | | | For the Period January 6, 2016(1) to October 31, 2016 | | ||||||||||||
Per Share Operational Performance: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of year/period | | | | $ | 31.76 | | | | | $ | 29.98 | | | | | $ | 24.36 | | | | | $ | 24.06 | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.50 | | | | | | 0.39 | | | | | | 0.33 | | | | | | 0.24 | | |
Net realized and unrealized gain | | | | | 4.51 | | | | | | 1.77 | | | | | | 5.57 | | | | | | 0.33 | | |
Total from investment operations | | | | | 5.01 | | | | | | 2.16 | | | | | | 5.90 | | | | | | 0.57 | | |
Distributions to Shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.50) | | | | | | (0.36) | | | | | | (0.28) | | | | | | (0.27) | | |
Realized gains | | | | | (0.00)(3) | | | | | | (0.02) | | | | | | — | | | | | | — | | |
Total distributions | | | | | (0.50) | | | | | | (0.38) | | | | | | (0.28) | | | | | | (0.27) | | |
Net asset value, end of year/period | | | | $ | 36.27 | | | | | $ | 31.76 | | | | | $ | 29.98 | | | | | $ | 24.36 | | |
Total Return at Net Asset Value | | | | | 15.95% | | | | | | 7.19% | | | | | | 24.29% | | | | | | 2.38%(4) | | |
Net assets, end of year/period (000’s) | | | | $ | 31,735 | | | | | $ | 45,257 | | | | | $ | 29,229 | | | | | $ | 4,264 | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses | | | | | 0.43% | | | | | | 0.43% | | | | | | 0.43% | | | | | | 0.43%(5) | | |
Net investment income | | | | | 1.50% | | | | | | 1.18% | | | | | | 1.18% | | | | | | 1.19%(5) | | |
Portfolio turnover rate(6) | | | | | 65.52%(7) | | | | | | 0.26% | | | | | | 3.35% | | | | | | 3.38%(4) | | |
| | | Year Ended October 31, 2019 | | | Year Ended October 31, 2018 | | | Year Ended October 31, 2017 | | | For the Period January 14, 2016(1) to October 31, 2016 | | ||||||||||||
Per Share Operational Performance: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of year/period | | | | $ | 27.54 | | | | | $ | 26.08 | | | | | $ | 22.44 | | | | | $ | 23.55 | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)(2) | | | | | 0.26 | | | | | | 0.12 | | | | | | 0.03 | | | | | | (0.04) | | |
Net realized and unrealized gain (loss) | | | | | 3.09 | | | | | | 1.41 | | | | | | 3.61 | | | | | | (1.07) | | |
Total from investment operations | | | | | 3.35 | | | | | | 1.53 | | | | | | 3.64 | | | | | | (1.11) | | |
Distributions to Shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.26) | | | | | | (0.07) | | | | | | — | | | | | | — | | |
Net asset value, end of year/period | | | | $ | 30.63 | | | | | $ | 27.54 | | | | | $ | 26.08 | | | | | $ | 22.44 | | |
Total Return at Net Asset Value | | | | | 12.22% | | | | | | 5.89% | | | | | | 16.23% | | | | | | (4.72)%(3) | | |
Net assets, end of year/period (000’s) | | | | $ | 6,126 | | | | | $ | 5,509 | | | | | $ | 3,912 | | | | | $ | 2,805 | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses | | | | | 1.44%(4) | | | | | | 1.21%(5) | | | | | | 1.38%(6) | | | | | | 1.54%(7)(8) | | |
Net investment income (loss) | | | | | 0.89% | | | | | | 0.42% | | | | | | 0.11% | | | | | | (0.19)%(7) | | |
Portfolio turnover rate(9) | | | | | 57.30%(10) | | | | | | 36.94% | | | | | | 69.11% | | | | | | 4.18%(3) | | |
| | | Year Ended October 31, 2019 | | | Year Ended October 31, 2018 | | | Year Ended October 31, 2017 | | | For the Period January 14, 2016(1) to October 31, 2016 | | ||||||||||||
Per Share Operational Performance: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of year/period | | | | $ | 23.92 | | | | | $ | 23.36 | | | | | $ | 20.23 | | | | | $ | 23.71 | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.21 | | | | | | 0.09 | | | | | | 0.01 | | | | | | (0.00)(3) | | |
Net realized and unrealized gain (loss) | | | | | 1.16 | | | | | | 0.62(4) | | | | | | 3.12 | | | | | | (3.47) | | |
Total from investment operations | | | | | 1.37 | | | | | | 0.71 | | | | | | 3.13 | | | | | | (3.47) | | |
Distributions to Shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.21) | | | | | | (0.15) | | | | | | — | | | | | | (0.01) | | |
Net asset value, end of year/period | | | | $ | 25.08 | | | | | $ | 23.92 | | | | | $ | 23.36 | | | | | $ | 20.23 | | |
Total Return at Net Asset Value | | | | | 5.76% | | | | | | 3.03% | | | | | | 15.47% | | | | | | (14.66)%(5) | | |
Net assets, end of year/period (000’s) | | | | $ | 13,793 | | | | | $ | 11,362 | | | | | $ | 2,336 | | | | | $ | 2,528 | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses | | | | | 1.58%(6) | | | | | | 1.29%(7) | | | | | | 1.41%(8) | | | | | | 1.43%(9)(10) | | |
Net investment income (loss) | | | | | 0.88% | | | | | | 0.38% | | | | | | 0.06% | | | | | | (0.01)%(9) | | |
Portfolio turnover rate(11) | | | | | 64.70% | | | | | | 309.32% | | | | | | 267.04% | | | | | | 64.92%(5) | | |
| | | Year Ended October 31, 2019 | | | For the Period January 17, 2018(1) to October 31, 2018 | | ||||||
Per Share Operational Performance: | | | | | | | | | | | | | |
Net asset value, beginning of year/period | | | | $ | 21.19 | | | | | $ | 24.00 | | |
Investment operations: | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.34 | | | | | | 0.21 | | |
Net realized and unrealized gain (loss) | | | | | 2.86 | | | | | | (2.86) | | |
Total from investment operations | | | | | 3.20 | | | | | | (2.65) | | |
Distributions to Shareholders from: | | | | | | | | | | | | | |
Net investment income | | | | | (0.36) | | | | | | (0.16) | | |
Net asset value, end of year/period | | | | $ | 24.03 | | | | | $ | 21.19 | | |
Total Return at Net Asset Value | | | | | 15.24% | | | | | | (11.09)%(3) | | |
Net assets, end of year/period (000’s) | | | | $ | 67,277 | | | | | $ | 86,348 | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | |
Ratio to average net assets of: | | | | | | | | | | | | | |
Expenses | | | | | 0.68% | | | | | | 0.68%(4) | | |
Net investment income | | | | | 1.51% | | | | | | 1.14%(4) | | |
Portfolio turnover rate(5) | | | | | 20.72% | | | | | | 31.18%(3) | | |
Fund | | | Commencement of Operations Date | |
Reality Shares DIVS ETF | | | December 18, 2014 | |
Reality Shares DIVCON Leaders Dividend ETF | | | January 6, 2016 | |
Reality Shares DIVCON Dividend Defender ETF | | | January 14, 2016 | |
Reality Shares DIVCON Dividend Guard ETF | | | January 14, 2016 | |
Reality Shares NASDAQ NexGen Economy ETF | | | January 17, 2018 | |
Fund | | | Advisory Fee | |
Reality Shares DIVS ETF | | | 0.85% | |
Reality Shares DIVCON Leaders Dividend ETF | | | 0.43% | |
Reality Shares DIVCON Dividend Defender ETF | | | 0.85% | |
Reality Shares DIVCON Dividend Guard ETF | | | 0.85% | |
Reality Shares NASDAQ NexGen Economy ETF | | | 0.68% | |
Fund | | | Purchases | | | Sales | | ||||||
Reality Shares DIVS ETF | | | | $ | — | | | | | $ | — | | |
Reality Shares DIVCON Leaders Dividend ETF | | | | | 24,913,656 | | | | | | 24,888,388 | | |
Reality Shares DIVCON Dividend Defender ETF | | | | | 2,087,215 | | | | | | 2,058,675 | | |
Reality Shares DIVCON Dividend Guard ETF | | | | | 10,059,763 | | | | | | 3,875,199 | | |
Reality Shares NASDAQ NexGen Economy ETF | | | | | 15,170,842 | | | | | | 15,895,940 | | |
Fund | | | Purchases | | | Sales | | ||||||
Reality Shares DIVS ETF | | | | $ | — | | | | | $ | — | | |
Reality Shares DIVCON Leaders Dividend ETF | | | | | — | | | | | | 18,349,683 | | |
Reality Shares DIVCON Dividend Defender ETF | | | | | 563,668 | | | | | | 513,392 | | |
Reality Shares DIVCON Dividend Guard ETF | | | | | 1,203,984 | | | | | | 582,031 | | |
Reality Shares NASDAQ NexGen Economy ETF | | | | | — | | | | | | 27,384,642 | | |
| | | Equity Contracts | | | Total | | ||||||
Asset Derivatives: | | | | | | | | | | | | | |
Reality Shares DIVS ETF | | | | | | | | | | | | | |
Unrealized Appreciation on Swaps | | | | $ | 2,902,704 | | | | | $ | 2,902,704 | | |
Liability Derivatives: | | | | | | | | | | | | | |
Reality Shares DIVS ETF | | | | | | | | | | | | | |
Unrealized Depreciation on Swaps | | | | | (774,559) | | | | | | (774,559) | | |
Total | | | | $ | 2,128,145 | | | | | $ | 2,128,145 | | |
| | | Equity Contracts | | | Total | | ||||||
Reality Shares DIVS ETF | | | | | | | | | | | | | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | |
Swaps | | | | $ | 1,417,234 | | | | | $ | 1,417,234 | | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | |
Swaps | | | | | (1,425,242) | | | | | | (1,425,242) | | |
Amounts Not Offset in the Statement of Assets and Liabilities | | |||||||||||||||||||||||||||||||||
Description | | | Counterparty | | | Gross Amounts of Assets in the Statement of Assets and Liabilities | | | Financial Instruments Available for Offset | | | Financial Instruments Collateral Pledged | | | Cash Collateral Pledged/ (Received)* | | | Net Amount Due from Counterparty | | |||||||||||||||
Reality Shares DIVS ETF | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized Appreciation | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
on Swaps | | | BNP Paribas | | | | $ | 1,154,443 | | | | | $ | (509,036) | | | | | $ | — | | | | | $ | — | | | | | $ | 645,407 | | |
Unrealized Appreciation | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
on Swaps | | | JP Morgan | | | | | 737,675 | | | | | | — | | | | | | — | | | | | | (480,000) | | | | | | 257,675 | | |
Unrealized Appreciation | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
on Swaps | | | Morgan Stanley | | | | | 311,734 | | | | | | (265,523) | | | | | | — | | | | | | — | | | | | | 46,211 | | |
Unrealized Appreciation | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
on Swaps | | | Bank of America | | | | | 130,195 | | | | | | — | | | | | | — | | | | | | — | | | | | | 130,195 | | |
Unrealized Appreciation | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
on Swaps | | | Societe Generale | | | | | 568,657 | | | | | | — | | | | | | — | | | | | | — | | | | | | 568,657 | | |
Total | | | | | | | $ | 2,902,704 | | | | | $ | (774,559) | | | | | $ | — | | | | | $ | (480,000) | | | | | $ | 1,648,145 | | |
Amounts Not Offset in the Statement of Assets and Liabilities | | |||||||||||||||||||||||||||||||||
Description | | | Counterparty | | | Gross Amounts of Assets in the Statement of Assets and Liabilities | | | Financial Instruments Available for Offset | | | Financial Instruments Collateral Pledged | | | Cash Collateral Pledged/ (Received)* | | | Net Amount Due from Counterparty | | |||||||||||||||
Reality Shares DIVS ETF | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized Depreciation | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
on Swaps | | | BNP Paribas | | | | $ | 509,036 | | | | | $ | (509,036) | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Unrealized Depreciation | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
on Swaps | | | Morgan Stanley | | | | | 265,523 | | | | | | (265,523) | | | | | | — | | | | | | — | | | | | | — | | |
Total | | | | | | | $ | 774,559 | | | | | $ | (774,559) | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Fund | | | Cost | | | Gross Unrealized Appreciation | | | Gross Unrealized Depreciation | | | Net Unrealized Appreciation (Depreciation) | | | Net Unrealized Appreciation (Depreciation) on Swaps, Currency and Securities Sold Short | | |||||||||||||||
Reality Shares DIVS ETF | | | | $ | 64,347,985 | | | | | $ | 57,569 | | | | | $ | — | | | | | $ | 57,569 | | | | | $ | 2,128,146 | | |
Reality Shares DIVCON Leaders Dividend ETF | | | | | 26,872,301 | | | | | | 5,794,299 | | | | | | (936,563) | | | | | | 4,857,736 | | | | | | — | | |
Reality Shares DIVCON Dividend Defender ETF | | | | | 5,292,948 | | | | | | 930,716 | | | | | | (257,813) | | | | | | 672,903 | | | | | | 68,239 | | |
Reality Shares DIVCON Dividend Guard ETF | | | | | 12,748,823 | | | | | | 1,536,084 | | | | | | (493,913) | | | | | | 1,042,171 | | | | | | — | | |
Reality Shares NASDAQ NexGen Economy ETF | | | | | 73,010,386 | | | | | | 5,683,726 | | | | | | (11,591,620) | | | | | | (5,907,894) | | | | | | (2,291) | | |
Fund | | | Undistributed Ordinary Income | | | Undistributed Long-term Capital Gains | | | Accumulated Capital and Other Losses | | | Net Unrealized Appreciation (Depreciation) | | | Total Distributable Earnings (Loss) | | |||||||||||||||
Reality Shares DIVS ETF | | | | $ | 787,519 | | | | | $ | 1,416,681 | | | | | $ | — | | | | | $ | 2,185,715 | | | | | $ | 4,389,915 | | |
Reality Shares DIVCON Leaders Dividend ETF | | | | | 50,544 | | | | | | — | | | | | | (2,195,172) | | | | | | 4,857,736 | | | | | | 2,713,108 | | |
Reality Shares DIVCON Dividend Defender ETF | | | | | 8,458 | | | | | | — | | | | | | (323,579) | | | | | | 741,142 | | | | | | 426,021 | | |
Reality Shares DIVCON Dividend Guard ETF | | | | | 31,312 | | | | | | — | | | | | | (1,585,813) | | | | | | 1,042,171 | | | | | | (512,330) | | |
Reality Shares NASDAQ NexGen Economy ETF | | | | | 130,962 | | | | | | — | | | | | | (4,403,829) | | | | | | (5,910,185) | | | | | | (10,183,052) | | |
Fund | | | Total Distributable Earnings (Loss) | | | Paid-in Capital | | ||||||
Reality Shares DIVS ETF | | | | $ | — | | | | | $ | — | | |
Reality Shares DIVCON Leaders Dividend ETF | | | | | (1,833,045) | | | | | | 1,833,045 | | |
Reality Shares DIVCON Dividend Defender ETF | | | | | (19,086) | | | | | | 19,086 | | |
Reality Shares DIVCON Dividend Guard ETF | | | | | (63,736) | | | | | | 63,736 | | |
Reality Shares NASDAQ NexGen Economy ETF | | | | | 932,551 | | | | | | (932,551) | | |
| | | 2019 | | | 2018 | | ||||||||||||||||||||||||||||||
Fund | | | Ordinary Income | | | Long-Term Capital Gains | | | Return Of Capital | | | Ordinary Income | | | Long-Term Capital Gains | | | Return Of Capital | | ||||||||||||||||||
Reality Shares DIVS ETF | | | | $ | 656,217 | | | | | $ | 433,420 | | | | | $ | — | | | | | $ | — | | | | | $ | 486,125 | | | | | $ | — | | |
Reality Shares DIVCON Leaders Dividend ETF | | | | | 568,034 | | | | | | — | | | | | | — | | | | | | 503,239 | | | | | | — | | | | | | — | | |
Reality Shares DIVCON Dividend Defender ETF | | | | | 46,093 | | | | | | — | | | | | | — | | | | | | 15,899 | | | | | | — | | | | | | — | | |
Reality Shares DIVCON Dividend Guard ETF | | | | | 115,430 | | | | | | — | | | | | | — | | | | | | 16,462 | | | | | | — | | | | | | — | | |
Reality Shares NASDAQ NexGen Economy ETF | | | | | 1,149,910 | | | | | | — | | | | | | — | | | | | | 802,580 | | | | | | — | | | | | | — | | |
Fund | | | Non-Expiring Short Term Losses | | | Non-Expiring Long Term Losses | | | Total | | |||||||||
Reality Shares DIVS ETF | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Reality Shares DIVCON Leaders Dividend ETF | | | | | 483,488 | | | | | | 1,711,684 | | | | | | 2,195,172 | | |
Reality Shares DIVCON Dividend Defender ETF | | | | | 170,706 | | | | | | 152,873 | | | | | | 323,579 | | |
Reality Shares DIVCON Dividend Guard ETF | | | | | 1,555,457 | | | | | | 30,356 | | | | | | 1,585,813 | | |
Reality Shares NASDAQ NexGen Economy ETF | | | | | 3,319,636 | | | | | | 1,084,193 | | | | | | 4,403,829 | | |
Fund | | | Ordinary Income | | | Per share | | | Long-term capital gains | | | Per share | | ||||||||||||
Reality Shares DIVS ETF | | | | $ | 887,996 | | | | | $ | 0.37 | | | | | $ | 1,416,687 | | | | | $ | 0.60 | | |
Reality Shares Divcon Leaders Dividend ETF | | | | | 135,405 | | | | | | 0.16 | | | | | | — | | | | | | — | | |
Reality Shares Divcon Dividend Defender ETF | | | | | 14,654 | | | | | | 0.07 | | | | | | — | | | | | | — | | |
Reality Shares Divcon Dividend Guard ETF | | | | | 59,309 | | | | | | 0.11 | | | | | | — | | | | | | — | | |
Reality Shares Nasdaq NexGen Economy ETF | | | | | 192,700 | | | | | | 0.08 | | | | | | — | | | | | | — | | |
Reality Shares ETF Trust
Cleveland, Ohio
December 27, 2019
Name, Address(1) and Age | | | Position with Trust and Length of Term(2) | | | Principal Occupations in the Past 5 Years | | | Number of Portfolios in Fund Complex(3) Overseen by Trustee | | | Other Directorships Held in the Past 5 Years | |
Michael S. Rosen(4) (Born: 1961) | | | Trustee (since 2014) | | | Co-Founder and CEO of Context Capital Management, LLC (2001 – present) | | | 7 | | | None | |
| Nathaniel R. Singer (Born: 1961) | | | Trustee (since 2014) | | | Swap Financial Group, Municipal Adviser (January 2008 – present) | | | 7 | | | Municipal Securities Rulemaking Board | |
| Robert J. Buscher (Born: 1958) | | | Trustee (since 2018) | | | Chief Financial Officer of Pacific Ridge School (2012 – present) | | | 7 | | | None | |
Name, Address(5) and Age | | | Position with Trust and Length of Term(6) | | | Principal Occupations in Past 5 Years | |
Eric Ervin (Born: 1976) | | | President (since 2014) | | | President, CEO and Co-Founder of Reality Shares, Inc. (October 2011 – present) | |
Ted J. Uhl (Born: 1975) | | | Chief Compliance Officer (since 2014) | | | Deputy Chief Compliance Officer of ALPS (June 2010 – present) | |
Fund | | | QDI | | | DRD | | ||||||
Reality Shares DIVS ETF | | | | | 0.00% | | | | | | 0.00% | | |
Reality Shares Divcon Leaders Dividend ETF | | | | | 100.00% | | | | | | 100.00% | | |
Reality Shares Divcon Dividend Defender ETF | | | | | 100.00% | | | | | | 100.00% | | |
Reality Shares Divcon Dividend Guard ETF | | | | | 78.53% | | | | | | 94.81% | | |
Reality Shares Nasdaq NexGen Economy ETF | | | | | 100.00% | | | | | | 46.45% | | |
Fund | | | Gross Foreign Income | | | Foreign Taxes Paid | | ||||||
Reality Shares DIVS ETF | | | | $ | — | | | | | $ | — | | |
Reality Shares Divcon Leaders Dividend ETF | | | | | — | | | | | | — | | |
Reality Shares Divcon Dividend Defender ETF | | | | | — | | | | | | — | | |
Reality Shares Divcon Dividend Guard ETF | | | | | — | | | | | | — | | |
Reality Shares Nasdaq NexGen Economy ETF | | | | | 1,719,375 | | | | | | 125,464 | | |
402 W Broadway, Suite 2800
San Diego, CA 92101
240 Greenwich Street
New York, NY 10286
1350 Euclid Avenue., Suite 800
Cleveland, OH 44115
1111 Pennsylvania Avenue, NW
Washington, DC 20004
301 Bellevue Parkway
Wilmington, DE 19809
1290 Broadway, Suite 1000
Denver, CO 80203
Item 2. Code of Ethics.
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(c) | There have been several amendments and/or edits during the period covered by this report to provisions of the code of ethics that applies to the registrant’s principal executive officer and principal financial officer. The full code of ethics is attached hereto as Exhibit (a)(1). |
(d) | The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
Item 3. Audit Committee Financial Expert.
As of the end of the period covered by the report, the registrant’s board of Trustees has determined that Robert Buscher is qualified to serve as an audit committee financial expert serving on its audit committee and that he is “independent,” as defined by Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
Audit Fees
(a) | The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the 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 are $82,000 for 2018 and $67,500 for 2019. |
Audit-Related Fees
(b) | The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item are $0 for 2018 and $0 for 2019. |
Tax Fees
(c) | The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax services in regard to the year-end audit, tax compliance, tax advice, and tax planning are $21,500 for 2018 and $23,000 for 2019. |
All Other Fees
(d) | The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 for 2018 and $0 for 2019. |
(e)(1) | Disclose the audit committee's pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. |
REALITY SHARES ETF TRUST
Audit and Non-Audit Services Pre-Approval Policy
A. | Policy |
The Audit Committee will pre-approve any engagement of the independent auditors, including fees and compensation to be paid to the independent auditors, to provide any audit and any non-audit services to the Trust and any non-audit services to the Trust’s investment advisor and to any entity controlling, controlled by or under common control with the investment advisor that provides ongoing services to the Trust, if the engagement relates directly to the operations and financial reporting of the Trust, as provided in Rule 2-01(c)(7)(ii) of Regulation S-X. The Audit Committee Chair shall have the authority to grant pre-approval and may delegate this authority to one or more Audit Committee members who are independent Trustees as defined in Section 10A(i) of the Securities and Exchange Act of 1934, as amended. All such delegated pre-approvals shall be reported to the Audit Committee no later than the next Audit Committee meeting.
Pre-Approval for services provided to the Trust other than audit, review or attest services is not required if: (1) the aggregate amount of all such non-audit services provided to the Trust constitutes not more than 5% of the total amount of revenues paid by the Trust to the independent auditors during the fiscal year in which the non-audit services are provided; (2) such services were not recognized by the Trust at the time of the engagement to be non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and are approved by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals had been delegated by the Audit Committee prior to the completion of the audit.
B. | Prohibited and Conditionally Prohibited Non-Audit Services |
The independent auditors may not provide (except as described below) any of the following services to the Trust and the Trust’s investment advisor.
1. Conditionally Prohibited Non-Audit Services
The following services may be provided if the Trust and the Audit Committee can reasonably conclude that the result of the service would not be subject to audit procedures in connection with the audit of the Trusts financial statements:
- Bookkeeping
- Financial information systems design and implementation
- Appraisal or valuation services, fairness opinions, or contribution-in-kind reports
- Actuarial services
- Internal audit outsourcing services
2. Prohibited Non-Audit Services
- Management functions or human resources
- Broker or dealer, investment adviser or investment banking services
- Legal services and expert services unrelated to the audit
- Any other service that the Public Company Accounting Oversight Board determined by regulation, is prohibited.
(e)(2) | The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows: |
(b) N/A
(c) 100%
(d) N/A
(f) | The percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees was less than fifty percent. |
(g) | The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $21,500 for 2018 and $23,000 for 2019. |
(h) | Not applicable. |
Item 5. Audit Committee of Listed Registrants.
(a) | The registrant has a separately designated audit committee consisting of all the independent directors of the registrant. The members of the audit committee are Robert Buscher and Nathaniel Singer. |
(b) | Not applicable |
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period 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.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the registrant’s last fiscal quarter 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.
Item 13. Exhibits.
(a)(1) | Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
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) Reality Shares ETF Trust
By (Signature and Title)*/s/ Eric R. Ervin
Eric R. Ervin, President and Treasurer
(principal executive officer)
Date:January 9, 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/ Eric R. Ervin
Eric R. Ervin, President and Treasurer
(principal executive officer)
Date: January 9, 2020
By (Signature and Title)*/s/ Eric R. Ervin
Eric R. Ervin, President and Treasurer
(principal financial officer)
Date: January 9, 2020
* Print the name and title of each signing officer under his or her signature.