UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22911
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: April 30, 2020
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.
The Registrant is filing this amendment to the Form N-CSR for the semi-annual period ended April 30, 2020, originally filed with the U.S. Securities and Exchange Commission on July 1, 2020 by the Registrant (811-22911) (Accession Number 0001104659-20-079565), to restate financial statements for the semi-annual period ended April 30, 2020 to reflect the transfer of the assets and liabilities of the Reality Shares DIVCON Dividend Guard ETF (the “Acquired Fund”) in exchange for shares of the Reality Shares DIVCON Dividend Defender ETF (the “Surviving Fund”) and the pro rata distribution of shares of the Surviving Fund by the Acquiring Fund to its shareholders in complete liquidation of the Acquired Fund (together, the “Reorganization”).
The effects of this restatement on the Funds’ financial statements for the semi-annual period ended April 30, 2020 are reflected in the Surviving Fund’s Statement of Operations, Statement of Changes in Net Assets, and Financial Highlights, and described in Note 11 to the financial statements.
For the convenience of the reader, we are refiling our entire report on Form N-CSR for the semi-annual period ended April 30, 2020 by means of this amended Form N-CSR. However, except for the information affected by the restatement as specified above, we have not updated the information contained herein for events or transactions occurring subsequent to the date of the original filing and as a result, such information continues to speak as of the date of the original filing.
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 NASDAQ NexGen Economy ETF (BLCN)
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| Schedules of Investments | | | | |
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April 30, 2020
Fund | | | Beginning Account Value | | | Ending Account Value April 30, 2020 | | | Annualized Expense Ratio for the Period | | | Expenses Paid During Period Per $1,000* | | ||||||||||||
Reality Shares DIVS ETF | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | $ | 1,000.00 | | | | | $ | 789.80 | | | | | | 0.85% | | | | | $ | 3.78 | | |
Hypothetical(1) | | | | $ | 1,000.00 | | | | | $ | 1,020.64 | | | | | | 0.85% | | | | | $ | 4.27 | | |
Reality Shares DIVCON Leaders Dividend ETF | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | $ | 1,000.00 | | | | | $ | 1,031.50 | | | | | | 0.43% | | | | | $ | 2.17 | | |
Hypothetical(1) | | | | $ | 1,000.00 | | | | | $ | 1,022.73 | | | | | | 0.43% | | | | | $ | 2.16 | | |
Reality Shares DIVCON Dividend Defender ETF | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | $ | 1,000.00 | | | | | $ | 1,068.30 | | | | | | 1.58% | | | | | $ | 8.13 | | |
Hypothetical(1) | | | | $ | 1,000.00 | | | | | $ | 1,017.01 | | | | | | 1.58% | | | | | $ | 7.92 | | |
Reality Shares NASDAQ NexGen Economy ETF | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | $ | 1,000.00 | | | | | $ | 1,019.70 | | | | | | 0.68% | | | | | $ | 3.41 | | |
Hypothetical(1) | | | | $ | 1,000.00 | | | | | $ | 1,021.48 | | | | | | 0.68% | | | | | $ | 3.42 | | |
| | | Principal/ Shares | | | Value | | ||||||
Treasury Bills – 104.5%(a) | | | | | | | | | | | | | |
U.S. Treasury Bill, 05/07/2020 | | | | $ | 300,000 | | | | | $ | 299,998 | | |
U.S. Treasury Bill, 07/30/2020(b) | | | | | 8,579,000 | | | | | | 8,577,177 | | |
U.S. Treasury Bill, 08/13/2020(b) | | | | | 6,660,000 | | | | | | 6,658,172 | | |
U.S. Treasury Bill, 09/03/2020(b) | | | | | 5,830,000 | | | | | | 5,827,874 | | |
U.S. Treasury Bill, 09/24/2020(b) | | | | | 1,400,000 | | | | | | 1,399,404 | | |
U.S. Treasury Bill, 07/09/2020(b) | | | | | 7,571,000 | | | | | | 7,569,839 | | |
U.S. Treasury Bill, 07/02/2020 | | | | | 170,000 | | | | | | 169,977 | | |
(Cost $30,420,246) | | | | | | | | | | | 30,502,441 | | |
Money Markets – 14.3% | | | | | | | | | | | | | |
Blackrock Federal FD 30 Instl, 0.21%(b)(c) | | | | | 1,534,553 | | | | | | 1,534,553 | | |
Goldman Sachs Financial Square Money Market Fund, Institutional Shares, 0.73%(c) | | | | | 97,135 | | | | | | 97,135 | | |
JP Morgan U.S. Government Money Market Institutional Shares, 0.19%(b)(c) | | | | | 4 | | | | | | 4 | | |
Morgan Stanley Institutional Liquidity Funds – Government Portfolio, Institutional Class, 0.15%(b)(c) | | | | | 2,550,696 | | | | | | 2,550,696 | | |
(Cost $4,182,388) | | | | | | | | | | | 4,182,388 | | |
Total Investments – 118.8% | | | | | | | | | | | | | |
(Cost $34,602,634) | | | | | | | | | | | 34,684,829 | | |
Liabilities in Excess of Other Assets – (18.8)% | | | | | | | | | | | (5,488,030) | | |
Net Assets – 100.0% | | | | | | | | | | $ | 29,196,799 | | |
Underlying Index | | | Counterparties* | | | Units | | | Expiration Date | | | Notional Amount Long (Short)** | | | Value/Unrealized Appreciation (Depreciation) | | ||||||||||||
S&P 500 | | | Bank of America | | | | | 10,000 | | | | | | 12/31/2020 | | | | | $ | (586,883) | | | | | $ | (85,783) | | |
S&P 500 | | | BNP Paribas | | | | | 104,600 | | | | | | 12/31/2020 | | | | | | (5,873,235) | | | | | | (631,729) | | |
S&P 500 | | | JP Morgan | | | | | 12,000 | | | | | | 12/31/2020 | | | | | | (699,460) | | | | | | (98,140) | | |
S&P 500 | | | Morgan Stanley | | | | | 50,000 | | | | | | 12/31/2020 | | | | | | (2,808,188) | | | | | | (302,688) | | |
S&P 500 | | | Societe Generale | | | | | 79,000 | | | | | | 12/31/2020 | | | | | | (4,325,785) | | | | | | (367,095) | | |
S&P 500 | | | Bank of America | | | | | 20,000 | | | | | | 12/31/2021 | | | | | | (1,178,411) | | | | | | (280,810) | | |
S&P 500 | | | BNP Paribas | | | | | 141,000 | | | | | | 12/31/2021 | | | | | | (7,916,140) | | | | | | (1,588,060) | | |
S&P 500 | | | Morgan Stanley | | | | | 73,700 | | | | | | 12/31/2021 | | | | | | (4,509,809) | | | | | | (1,202,153) | | |
S&P 500 | | | Societe Generale | | | | | 18,750 | | | | | | 12/31/2021 | | | | | | (1,086,269) | | | | | | (244,769) | | |
S&P 500 | | | Bank of America | | | | | 30,000 | | | | | | 12/31/2022 | | | | | | (1,802,070) | | | | | | (337,170) | | |
S&P 500 | | | Morgan Stanley | | | | | 85,000 | | | | | | 12/31/2022 | | | | | | (5,416,439) | | | | | | (1,265,889) | | |
S&P 500 | | | Societe Generale | | | | | 12,000 | | | | | | 12/31/2022 | | | | | | (719,830) | | | | | | (133,870) | | |
S&P 500 | | | Bank of America | | | | | 55,000 | | | | | | 12/31/2023 | | | | | | (3,291,775) | | | | | | (440,575) | | |
S&P 500 | | | BNP Paribas | | | | | 91,000 | | | | | | 12/31/2023 | | | | | | (5,728,077) | | | | | | (1,010,637) | | |
Total Unrealized Appreciation/(Depreciation): | | | | | | | | | | | | | | | | | | | | | | | | | $ | (7,989,368) | | |
Valuation Inputs | | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Treasury Bills | | | | $ | — | | | | | $ | 30,502,441 | | | | | $ | — | | | | | $ | 30,502,441 | | |
Money Markets | | | | | 4,182,388 | | | | | | — | | | | | | — | | | | | | 4,182,388 | | |
Other Financial Instruments*** | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total Assets | | | | $ | 4,182,388 | | | | | $ | 30,502,441 | | | | | $ | — | | | | | $ | 34,684,829 | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments*** | | | | $ | — | | | | | $ | (7,989,368) | | | | | $ | — | | | | | $ | (7,989,368) | | |
Total Liabilities | | | | $ | — | | | | | $ | (7,989,368) | | | | | $ | — | | | | | $ | (7,989,368) | | |
Industry | | | % of Net Assets | | |||
Treasury Bills | | | | | 104.5 | | |
Money Markets | | | | | 14.3 | | |
Total Investments | | | | | 118.8 | | |
Liabilities in Excess of Other Assets | | | | | (18.8) | | |
Net Assets | | | | | 100.0% | | |
| | | Shares | | | Value | | ||||||
Common Stocks – 99.7% | | ||||||||||||
Aerospace & Defense – 3.2% | | ||||||||||||
HEICO Corp., Class A | | | | | 5,752 | | | | | $ | 416,042 | | |
L3Harris Technologies, Inc. | | | | | 2,818 | | | | | | 545,847 | | |
| | | | | | | | | | | 961,889 | | |
Air Freight & Logistics – 1.8% | | ||||||||||||
Expeditors International of Washington, Inc. | | | | | 7,374 | | | | | | 528,015 | | |
Beverages – 1.8% | | ||||||||||||
Brown-Forman Corp., Class B | | | | | 8,462 | | | | | | 526,336 | | |
Building Products – 2.9% | | ||||||||||||
Lennox International, Inc. | | | | | 2,064 | | | | | | 385,308 | | |
Masco Corp. | | | | | 11,655 | | | | | | 478,321 | | |
| | | | | | | | | | | 863,629 | | |
Capital Markets – 13.9% | | ||||||||||||
Cboe Global Markets, Inc. | | | | | 4,446 | | | | | | 441,843 | | |
FactSet Research Systems, Inc. | | | | | 2,181 | | | | | | 599,775 | | |
MarketAxess Holdings, Inc. | | | | | 1,532 | | | | | | 697,075 | | |
Moody’s Corp. | | | | | 2,385 | | | | | | 581,702 | | |
MSCI, Inc. | | | | | 2,108 | | | | | | 689,316 | | |
S&P Global, Inc. | | | | | 2,082 | | | | | | 609,776 | | |
T Rowe Price Group, Inc. | | | | | 4,344 | | | | | | 502,297 | | |
| | | | | | | | | | | 4,121,784 | | |
Commercial Services & Supplies – 3.8% | | ||||||||||||
Cintas Corp. | | | | | 2,238 | | | | | | 496,455 | | |
Rollins, Inc. | | | | | 15,532 | | | | | | 621,280 | | |
| | | | | | | | | | | 1,117,735 | | |
Consumer Finance – 1.4% | | ||||||||||||
American Express Co. | | | | | 4,514 | | | | | | 411,902 | | |
Electronic Equipment Instruments & Components – 3.0% | | ||||||||||||
Amphenol Corp., Class A | | | | | 5,194 | | | | | | 458,423 | | |
CDW Corp. | | | | | 3,969 | | | | | | 439,765 | | |
| | | | | | | | | | | 898,188 | | |
Entertainment – 2.1% | | | | | | | | | | | | | |
Activision Blizzard, Inc. | | | | | 9,935 | | | | | | 633,158 | | |
Food & Staples Retailing – 1.9% | | ||||||||||||
Costco Wholesale Corp. | | | | | 1,853 | | | | | | 561,459 | | |
Food Products – 1.6% | | ||||||||||||
Hershey Co. (The) | | | | | 3,648 | | | | | | 483,105 | | |
Health Care Equipment & Supplies – 6.3% | | ||||||||||||
Baxter International, Inc. | | | | | 6,695 | | | | | | 594,382 | | |
ResMed, Inc. | | | | | 3,575 | | | | | | 555,269 | | |
West Pharmaceutical Services, Inc. | | | | | 3,818 | | | | | | 722,595 | | |
| | | | | | | | | | | 1,872,246 | | |
Health Care Providers & Services – 3.9% | | ||||||||||||
Humana, Inc. | | | | | 1,618 | | | | | | 617,785 | | |
UnitedHealth Group, Inc. | | | | | 1,907 | | | | | | 557,740 | | |
| | | | | | | | | | | 1,175,525 | | |
Hotels, Restaurants & Leisure – 2.3% | | ||||||||||||
Domino’s Pizza, Inc. | | | | | 1,871 | | | | | | 677,171 | | |
| | | Shares | | | Value | | ||||||
Household Durables – 1.6% | | ||||||||||||
DR Horton, Inc. | | | | | 10,121 | | | | | $ | 477,914 | | |
Industrial Conglomerates – 1.6% | | ||||||||||||
Honeywell International, Inc. | | | | | 3,268 | | | | | | 463,729 | | |
IT Services – 7.3% | | ||||||||||||
Amdocs Ltd. | | | | | 7,888 | | | | | | 508,303 | | |
Booz Allen Hamilton Holding Corp. | | | | | 7,752 | | | | | | 569,307 | | |
Mastercard, Inc., Class A | | | | | 1,968 | | | | | | 541,141 | | |
Visa, Inc., Class A | | | | | 3,103 | | | | | | 554,568 | | |
| | | | | | | | | | | 2,173,319 | | |
Life Sciences Tools & Services – 1.7% | | ||||||||||||
Agilent Technologies, Inc. | | | | | 6,471 | | | | | | 496,067 | | |
Machinery – 8.5% | | ||||||||||||
Cummins, Inc. | | | | | 3,018 | | | | | | 493,443 | | |
IDEX Corp. | | | | | 3,298 | | | | | | 506,672 | | |
Illinois Tool Works, Inc. | | | | | 3,078 | | | | | | 500,175 | | |
Nordson Corp. | | | | | 3,173 | | | | | | 510,567 | | |
Xylem, Inc. | | | | | 7,228 | | | | | | 519,693 | | |
| | | | | | | | | | | 2,530,550 | | |
Personal Products – 1.7% | | ||||||||||||
Estee Lauder Cos., Inc. (The), Class A | | | | | 2,824 | | | | | | 498,154 | | |
Pharmaceuticals – 7.9% | | ||||||||||||
Eli Lilly & Co. | | | | | 4,516 | | | | | | 698,354 | | |
Johnson & Johnson | | | | | 3,805 | | | | | | 570,902 | | |
Merck & Co., Inc. | | | | | 5,987 | | | | | | 475,009 | | |
Zoetis, Inc. | | | | | 4,626 | | | | | | 598,188 | | |
| | | | | | | | | | | 2,342,453 | | |
Semiconductors & Semiconductor Equipment – 5.4% | | ||||||||||||
KLA Corp. | | | | | 3,279 | | | | | | 538,051 | | |
Skyworks Solutions, Inc. | | | | | 5,310 | | | | | | 551,603 | | |
Texas Instruments, Inc. | | | | | 4,584 | | | | | | 532,065 | | |
| | | | | | | | | | | 1,621,719 | | |
Software – 4.2% | | ||||||||||||
Intuit, Inc. | | | | | 2,199 | | | | | | 593,312 | | |
Microsoft Corp. | | | | | 3,642 | | | | | | 652,683 | | |
| | | | | | | | | | | 1,245,995 | | |
Specialty Retail – 4.9% | | ||||||||||||
Home Depot, Inc. (The) | | | | | 2,522 | | | | | | 554,411 | | |
Ross Stores, Inc. | | | | | 4,943 | | | | | | 451,593 | | |
TJX Cos., Inc. (The) | | | | | 8,925 | | | | | | 437,771 | | |
| | | | | | | | | | | 1,443,775 | | |
Textiles, Apparel & Luxury Goods – 1.6% | | ||||||||||||
NIKE, Inc., Class B | | | | | 5,613 | | | | | | 489,341 | | |
Trading Companies & Distributors – 3.4% | | ||||||||||||
Fastenal Co. | | | | | 15,090 | | | | | | 546,560 | | |
W.W. Grainger, Inc. | | | | | 1,739 | | | | | | 479,233 | | |
| | | | | | | | | | | 1,025,793 | | |
Total Common Stocks | | ||||||||||||
(Cost $26,646,693) | | | | | | | | | | | 29,640,951 | | |
| | | Shares | | | Value | | ||||||
Money Markets – 0.3% | | ||||||||||||
Goldman Sachs Financial Square Money Market Fund, Institutional Shares, 0.73%(a) | | | | | | | | | | | | | |
(Cost $84,722) | | | | | 84,722 | | | | | | 84,722 | | |
| | | Shares | | | Value | | |||
Total Investments – 100.0% | | |||||||||
(Cost $26,731,415) | | | | | | | | 29,725,673 | | |
Other Assets in Excess of Liabilities – 0.0%(b) | | | | | | | | 5,192 | | |
Net Assets – 100.0% | | | | | | | $ | 29,730,865 | | |
Valuation Inputs | | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | 29,640,951 | | | | | $ | — | | | | | $ | — | | | | | $ | 29,640,951 | | |
Money Markets | | | | | 84,722 | | | | | | — | | | | | | — | | | | | | 84,722 | | |
Total Assets | | | | $ | 29,725,673 | | | | | $ | — | | | | | $ | — | | | | | $ | 29,725,673 | | |
Industry | | | % of Net Assets | | |||
Aerospace & Defense | | | | | 3.2% | | |
Air Freight & Logistics | | | | | 1.8 | | |
Beverages | | | | | 1.8 | | |
Building Products | | | | | 2.9 | | |
Capital Markets | | | | | 13.9 | | |
Commercial Services & Supplies | | | | | 3.8 | | |
Consumer Finance | | | | | 1.4 | | |
Electronic Equipment Instruments & Components | | | | | 3.0 | | |
Entertainment | | | | | 2.1 | | |
Food & Staples Retailing | | | | | 1.9 | | |
Food Products | | | | | 1.6 | | |
Health Care Equipment & Supplies | | | | | 6.3 | | |
Health Care Providers & Services | | | | | 3.9 | | |
Hotels, Restaurants & Leisure | | | | | 2.3 | | |
Household Durables | | | | | 1.6 | | |
Industrial Conglomerates | | | | | 1.6 | | |
IT Services | | | | | 7.3 | | |
Life Sciences Tools & Services | | | | | 1.7 | | |
Machinery | | | | | 8.5 | | |
Personal Products | | | | | 1.7 | | |
Pharmaceuticals | | | | | 7.9 | | |
Semiconductors & Semiconductor Equipment | | | | | 5.4 | | |
Software | | | | | 4.2 | | |
Specialty Retail | | | | | 4.9 | | |
Textiles, Apparel & Luxury Goods | | | | | 1.6 | | |
Trading Companies & Distributors | | | | | 3.4 | | |
Money Markets | | | | | 0.3 | | |
Total Investments | | | | | 100.0 | | |
Other Assets in Excess of Liabilities | | | | | 0.0(a) | | |
Net Assets | | | | | 100.0% | | |
| | | Shares | | | Value | | ||||||
Common Stocks(a) – 70.6% | | ||||||||||||
Aerospace & Defense – 2.3% | | ||||||||||||
HEICO Corp., Class A | | | | | 3,379 | | | | | $ | 244,403 | | |
L3Harris Technologies, Inc. | | | | | 1,655 | | | | | | 320,574 | | |
| | | | | | | | | | | 564,977 | | |
Air Freight & Logistics – 1.3% | | ||||||||||||
Expeditors International of Washington, Inc. | | | | | 4,332 | | | | | | 310,193 | | |
Beverages – 1.2% | | ||||||||||||
Brown-Forman Corp., Class B | | | | | 4,972 | | | | | | 309,258 | | |
Building Products – 2.1% | | ||||||||||||
Lennox International, Inc. | | | | | 1,212 | | | | | | 226,256 | | |
Masco Corp. | | | | | 6,846 | | | | | | 280,960 | | |
| | | | | | | | | | | 507,216 | | |
Capital Markets – 9.8% | | ||||||||||||
Cboe Global Markets, Inc. | | | | | 2,612 | | | | | | 259,580 | | |
FactSet Research Systems, Inc. | | | | | 1,281 | | | | | | 352,275 | | |
MarketAxess Holdings, Inc. | | | | | 899 | | | | | | 409,054 | | |
Moody’s Corp. | | | | | 1,401 | | | | | | 341,704 | | |
MSCI, Inc. | | | | | 1,238 | | | | | | 404,826 | | |
S&P Global, Inc. | | | | | 1,223 | | | | | | 358,192 | | |
T Rowe Price Group, Inc. | | | | | 2,552 | | | | | | 295,088 | | |
| | | | | | | | | | | 2,420,719 | | |
Commercial Services & Supplies – 2.7% | | ||||||||||||
Cintas Corp. | | | | | 1,314 | | | | | | 291,485 | | |
Rollins, Inc. | | | | | 9,126 | | | | | | 365,040 | | |
| | | | | | | | | | | 656,525 | | |
Consumer Finance – 1.0% | | ||||||||||||
American Express Co. | | | | | 2,651 | | | | | | 241,904 | | |
Electronic Equipment Instruments & Components – 2.1% | | ||||||||||||
Amphenol Corp., Class A | | | | | 3,051 | | | | | | 269,281 | | |
CDW Corp. | | | | | 2,331 | | | | | | 258,275 | | |
| | | | | | | | | | | 527,556 | | |
Entertainment – 1.5% | | ||||||||||||
Activision Blizzard, Inc. | | | | | 5,837 | | | | | | 371,992 | | |
Food & Staples Retailing – 1.3% | | ||||||||||||
Costco Wholesale Corp. | | | | | 1,089 | | | | | | 329,967 | | |
Food Products – 1.1% | | ||||||||||||
Hershey Co. (The) | | | | | 2,143 | | | | | | 283,798 | | |
Health Care Equipment & Supplies – 4.5% | | ||||||||||||
Baxter International, Inc. | | | | | 3,933 | | | | | | 349,172 | | |
ResMed, Inc. | | | | | 2,099 | | | | | | 326,017 | | |
West Pharmaceutical Services, Inc. | | | | | 2,243 | | | | | | 424,510 | | |
| | | | | | | | | | | 1,099,699 | | |
Health Care Providers & Services – 2.8% | | ||||||||||||
Humana, Inc. | | | | | 950 | | | | | | 362,729 | | |
UnitedHealth Group, Inc. | | | | | 1,120 | | | | | | 327,566 | | |
| | | | | | | | | | | 690,295 | | |
Hotels, Restaurants & Leisure – 1.6% | | ||||||||||||
Domino’s Pizza, Inc. | | | | | 1,099 | | | | | | 397,761 | | |
Household Durables – 1.1% | | ||||||||||||
DR Horton, Inc. | | | | | 5,946 | | | | | | 280,770 | | |
| | | Shares | | | Value | | ||||||
Industrial Conglomerates – 1.1% | | ||||||||||||
Honeywell International, Inc. | | | | | 1,919 | | | | | $ | 272,306 | | |
IT Services – 5.2% | | ||||||||||||
Amdocs Ltd. | | | | | 4,634 | | | | | | 298,615 | | |
Booz Allen Hamilton Holding Corp. | | | | | 4,554 | | | | | | 334,446 | | |
Mastercard, Inc., Class A | | | | | 1,156 | | | | | | 317,865 | | |
Visa, Inc., Class A | | | | | 1,822 | | | | | | 325,628 | | |
| | | | | | | | | | | 1,276,554 | | |
Life Sciences Tools & Services – 1.2% | | ||||||||||||
Agilent Technologies, Inc. | | | | | 3,802 | | | | | | 291,461 | | |
Machinery – 6.0% | | ||||||||||||
Cummins, Inc. | | | | | 1,772 | | | | | | 289,722 | | |
IDEX Corp. | | | | | 1,937 | | | | | | 297,581 | | |
Illinois Tool Works, Inc. | | | | | 1,807 | | | | | | 293,638 | | |
Nordson Corp. | | | | | 1,864 | | | | | | 299,936 | | |
Xylem, Inc. | | | | | 4,246 | | | | | | 305,287 | | |
| | | | | | | | | | | 1,486,164 | | |
Personal Products – 1.2% | | ||||||||||||
Estee Lauder Cos., Inc. (The), Class A | | | | | 1,658 | | | | | | 292,471 | | |
Pharmaceuticals – 5.6% | | ||||||||||||
Eli Lilly & Co. | | | | | 2,652 | | | | | | 410,105 | | |
Johnson & Johnson | | | | | 2,235 | | | | | | 335,339 | | |
Merck & Co., Inc. | | | | | 3,517 | | | | | | 279,039 | | |
Zoetis, Inc. | | | | | 2,718 | | | | | | 351,465 | | |
| | | | | | | | | | | 1,375,948 | | |
Semiconductors & Semiconductor Equipment – 3.9% | | ||||||||||||
KLA Corp. | | | | | 1,926 | | | | | | 316,037 | | |
Skyworks Solutions, Inc. | | | | | 3,119 | | | | | | 324,002 | | |
Texas Instruments, Inc. | | | | | 2,693 | | | | | | 312,577 | | |
| | | | | | | | | | | 952,616 | | |
Software – 3.0% | | ||||||||||||
Intuit, Inc. | | | | | 1,291 | | | | | | 348,325 | | |
Microsoft Corp. | | | | | 2,139 | | | | | | 383,330 | | |
| | | | | | | | | | | 731,655 | | |
Specialty Retail – 3.4% | | ||||||||||||
Home Depot, Inc. (The) | | | | | 1,481 | | | | | | 325,568 | | |
Ross Stores, Inc. | | | | | 2,904 | | | | | | 265,310 | | |
TJX Cos., Inc. (The) | | | | | 5,243 | | | | | | 257,169 | | |
| | | | | | | | | | | 848,047 | | |
Textiles, Apparel & Luxury Goods – 1.2% | | ||||||||||||
NIKE, Inc., Class B | | | | | 3,297 | | | | | | 287,432 | | |
Trading Companies & Distributors – 2.4% | | ||||||||||||
Fastenal Co. | | | | | 8,865 | | | | | | 321,091 | | |
W.W. Grainger, Inc. | | | | | 1,021 | | | | | | 281,367 | | |
| | | | | | | | | | | 602,458 | | |
Total Common Stocks | | ||||||||||||
(Cost $16,046,165) | | | | | | | | | | | 17,409,742 | | |
Treasury Bills – 28.7%(b) | | ||||||||||||
U.S. Treasury Bill, 09/03/2020 | | | | | 830,000 | | | | | | 829,697 | | |
U.S. Treasury Bill, 10/01/2020 | | | | | 5,600,000 | | | | | | 5,597,679 | | |
U.S. Treasury Bill, 10/15/2020 | | | | | 650,000 | | | | | | 649,691 | | |
(Cost $7,076,606) | | | | | | | | | | | 7,077,067 | | |
| | | Shares | | | Value | | ||||||
Money Markets – 0.7% | | ||||||||||||
Goldman Sachs Financial Square Money Market Fund, Institutional Shares, 0.73%(c) | | | | | | | | | | | | | |
(Cost $171,507) | | | | | 171,507 | | | | | $ | 171,507 | | |
Total Investments Before Securities Sold Short | | ||||||||||||
(Cost $23,294,278) | | | | | | | | | | | 24,658,316 | | |
Securities Sold Short | | ||||||||||||
Common Stocks – (18.6)% | | ||||||||||||
Aerospace & Defense – (0.6)% | | ||||||||||||
Howmet Aerospace, Inc. | | | | | (11,923) | | | | | | (155,834) | | |
Automobiles – (0.7)% | | ||||||||||||
Ford Motor Co. | | | | | (35,238) | | | | | | (179,361) | | |
Diversified Telecommunication – (1.2)% | | ||||||||||||
CenturyLink, Inc. | | | | | (27,626) | | | | | | (293,388) | | |
Electric Utilities – (1.2)% | | ||||||||||||
Avangrid, Inc. | | | | | (7,113) | | | | | | (305,859) | | |
Energy Equipment & Services – (0.7)% | | ||||||||||||
Halliburton Co. | | | | | (15,981) | | | | | | (167,800) | | |
Food Products – (3.5)% | | ||||||||||||
Conagra Brands, Inc. | | | | | (11,830) | | | | | | (395,595) | | |
Kraft Heinz Co. (The) | | | | | (15,578) | | | | | | (472,481) | | |
| | | | | | | | | | | (868,076) | | |
Hotels, Restaurants & Leisure – (1.2)% | | ||||||||||||
Wynn Resorts Ltd. | | | | | (3,343) | | | | | | (285,927) | | |
Insurance – (2.5)% | | ||||||||||||
Loews Corp. | | | | | (6,337) | | | | | | (219,640) | | |
Progressive Corp. (The) | | | | | (5,162) | | | | | | (399,023) | | |
| | | | | | | | | | | (618,663) | | |
| | | Shares | | | Value | | ||||||
Metals & Mining – (2.1)% | | ||||||||||||
Arconic Corp.* | | | | | (2,882) | | | | | $ | (25,131) | | |
Freeport-McMoRan, Inc. | | | | | (55,478) | | | | | | (489,871) | | |
| | | | | | | | | | | (515,002) | | |
Oil, Gas & Consumable Fuels – (2.4)% | | ||||||||||||
Noble Energy, Inc. | | | | | (18,610) | | | | | | (182,564) | | |
Williams Cos., Inc. (The) | | | | | (20,648) | | | | | | (399,952) | | |
| | | | | | | | | | | (582,516) | | |
Software – (1.2)% | | ||||||||||||
NortonLifeLock, Inc. | | | | | (13,428) | | | | | | (285,613) | | |
Technology Hardware, Storage & Peripherals – (1.3)% | | ||||||||||||
Western Digital Corp. | | | | | (7,145) | | | | | | (329,242) | | |
Total Securities Sold Short | | ||||||||||||
[Proceeds $(4,738,371)] | | | | | | | | | | | (4,587,281) | | |
Total Investments – 81.4% | | ||||||||||||
(Cost $18,555,907) | | | | | | | | | | | 20,071,035 | | |
Other Assets in Excess of Liabilities – 18.6% | | | | | | | | | | | 4,587,192 | | |
Net Assets – 100.0% | | | | | | | | | | $ | 24,658,227 | | |
Valuation Inputs | | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | 17,409,742 | | | | | $ | — | | | | | $ | — | | | | | $ | 17,409,742 | | |
Treasury Bills | | | | | — | | | | | | 7,077,067 | | | | | | — | | | | | | 7,077,067 | | |
Money Markets | | | | | 171,507 | | | | | | — | | | | | | — | | | | | | 171,507 | | |
Total Assets | | | | $ | 17,581,249 | | | | | $ | 7,077,067 | | | | | $ | — | | | | | $ | 24,658,316 | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | (4,587,281) | | | | | $ | — | | | | | $ | — | | | | | $ | (4,587,281) | | |
Total Liabilities | | | | $ | (4,587,281) | | | | | $ | — | | | | | $ | — | | | | | $ | (4,587,281) | | |
Industry | | | % of Net Assets | | |||
Aerospace & Defense | | | | | 1.7% | | |
Air Freight & Logistics | | | | | 1.3 | | |
Automobiles | | | | | (0.7) | | |
Beverages | | | | | 1.2 | | |
Building Products | | | | | 2.1 | | |
Capital Markets | | | | | 9.8 | | |
Commercial Services & Supplies | | | | | 2.7 | | |
Consumer Finance | | | | | 1.0 | | |
Diversified Telecommunication | | | | | (1.2) | | |
Electric Utilities | | | | | (1.2) | | |
Electronic Equipment Instruments & Components | | | | | 2.1 | | |
Energy Equipment & Services | | | | | (0.7) | | |
Entertainment | | | | | 1.5 | | |
Food & Staples Retailing | | | | | 1.3 | | |
Food Products | | | | | (2.4) | | |
Health Care Equipment & Supplies | | | | | 4.5 | | |
Health Care Providers & Services | | | | | 2.8 | | |
Hotels, Restaurants & Leisure | | | | | 0.4 | | |
Household Durables | | | | | 1.1 | | |
Industrial Conglomerates | | | | | 1.1 | | |
Insurance | | | | | (2.5) | | |
IT Services | | | | | 5.2 | | |
Life Sciences Tools & Services | | | | | 1.2 | | |
Machinery | | | | | 6.0 | | |
Metals & Mining | | | | | (2.1) | | |
Oil, Gas & Consumable Fuels | | | | | (2.4) | | |
Personal Products | | | | | 1.2 | | |
Pharmaceuticals | | | | | 5.6 | | |
Semiconductors & Semiconductor Equipment | | | | | 3.9 | | |
Software | | | | | 1.8 | | |
Specialty Retail | | | | | 3.4 | | |
Technology Hardware, Storage & Peripherals | | | | | (1.3) | | |
Textiles, Apparel & Luxury Goods | | | | | 1.2 | | |
Trading Companies & Distributors | | | | | 2.4 | | |
Treasury Bill | | | | | 28.7 | | |
Money Markets | | | | | 0.7 | | |
Total Investments | | | | | 81.4 | | |
Other Assets in Excess of Liabilities | | | | | 18.6 | | |
Net Assets | | | | | 100.0% | | |
| | | Shares | | | Value | | ||||||
Common Stocks – 99.5% | | ||||||||||||
Automobiles – 1.7% | | ||||||||||||
Daimler AG | | | | | 28,261 | | | | | $ | 976,143 | | |
Banks – 9.7% | | ||||||||||||
Banco Santander SA | | | | | 246,331 | | | | | | 534,538 | | |
Bank of America Corp. | | | | | 27,427 | | | | | | 659,619 | | |
Barclays PLC | | | | | 163,883 | | | | | | 866,941 | | |
BOC Hong Kong Holdings Ltd. | | | | | 190,105 | | | | | | 584,855 | | |
Citigroup, Inc. | | | | | 15,464 | | | | | | 750,932 | | |
ING Groep NV | | | | | 107,037 | | | | | | 588,704 | | |
JPMorgan Chase & Co. | | | | | 8,930 | | | | | | 855,137 | | |
Mizuho Financial Group, Inc. | | | | | 493,069 | | | | | | 580,054 | | |
| | | | | | | | | | | 5,420,780 | | |
Capital Markets – 11.6% | | ||||||||||||
ASX Ltd. | | | | | 13,926 | | | | | | 743,520 | | |
CME Group, Inc. | | | | | 3,222 | | | | | | 574,193 | | |
Deutsche Boerse AG | | | | | 5,526 | | | | | | 857,960 | | |
Goldman Sachs Group, Inc. (The) | | | | | 4,042 | | | | | | 741,384 | | |
Intercontinental Exchange, Inc. | | | | | 7,527 | | | | | | 673,290 | | |
Nasdaq, Inc. | | | | | 8,896 | | | | | | 975,624 | | |
SBI Holdings, Inc. | | | | | 66,337 | | | | | | 1,259,929 | | |
TMX Group Ltd. | | | | | 8,131 | | | | | | 705,941 | | |
| | | | | | | | | | | 6,531,841 | | |
Communications Equipment – 1.6% | | ||||||||||||
Cisco Systems, Inc. | | | | | 21,493 | | | | | | 910,873 | | |
Consumer Finance – 1.4% | | ||||||||||||
American Express Co. | | | | | 8,472 | | | | | | 773,070 | | |
Diversified Financial Services – 1.5% | | ||||||||||||
Plus500 Ltd. | | | | | 54,463 | | | | | | 859,055 | | |
Diversified Telecommunication – 1.0% | | ||||||||||||
| | | | ||||||||||
Swisscom AG | | | | | 1,101 | | | | | | 572,431 | | |
Electronic Equipment, Instruments & Components – 1.5% | | ||||||||||||
Hitachi Ltd. | | | | | 28,507 | | | | | | 863,994 | | |
Entertainment – 1.2% | | ||||||||||||
NetEase, Inc. | | | | | 1,930 | | | | | | 665,773 | | |
Food & Staples Retailing – 1.1% | | ||||||||||||
Walmart, Inc. | | | | | 4,906 | | | | | | 596,324 | | |
Industrial Conglomerates – 1.3% | | ||||||||||||
Siemens AG | | | | | 8,200 | | | | | | 760,550 | | |
Insurance – 3.8% | | ||||||||||||
Aon PLC | | | | | 3,608 | | | | | | 622,993 | | |
Ping An Insurance Group Co. of China Ltd., Class H | | | | | 72,938 | | | | | | 749,858 | | |
ZhongAn Online P&C Insurance Co. Ltd., Class H*,(a) | | | | | 217,247 | | | | | | 751,026 | | |
| | | | | | | | | | | 2,123,877 | | |
Interactive Media & Services – 7.5% | | ||||||||||||
Alphabet, Inc., Class A* | | | | | 554 | | | | | | 746,072 | | |
Baidu, Inc.* | | | | | 8,631 | | | | | | 871,127 | | |
Facebook, Inc., Class A* | | | | | 4,849 | | | | | | 992,639 | | |
| | | Shares | | | Value | | ||||||
LINE Corp.* | | | | | 16,434 | | | | | $ | 812,661 | | |
Tencent Holdings Ltd. | | | | | 14,487 | | | | | | 779,258 | | |
| | | | | | | | | | | 4,201,757 | | |
Internet & Direct Marketing Retail – 8.7% | | ||||||||||||
Alibaba Group Holding Ltd.* | | | | | 4,060 | | | | | | 822,840 | | |
Amazon.com, Inc.* | | | | | 309 | | | | | | 764,466 | | |
JD.com, Inc.* | | | | | 20,056 | | | | | | 864,414 | | |
Overstock.com, Inc.* | | | | | 130,431 | | | | | | 1,646,039 | | |
Rakuten, Inc. | | | | | 88,946 | | | | | | 761,907 | | |
| | | | | | | | | | | 4,859,666 | | |
IT Services – 21.7% | | ||||||||||||
Accenture PLC, Class A | | | | | 5,365 | | | | | | 993,544 | | |
Atos SE | | | | | 10,379 | | | | | | 739,610 | | |
Broadridge Financial Solutions, Inc. | | | | | 7,458 | | | | | | 865,128 | | |
Digital Garage, Inc. | | | | | 29,610 | | | | | | 1,079,899 | | |
Fujitsu Ltd. | | | | | 9,349 | | | | | | 921,043 | | |
GMO internet, Inc. | | | | | 50,548 | | | | | | 1,115,096 | | |
Infosys Ltd. | | | | | 81,974 | | | | | | 756,620 | | |
International Business Machines Corp. | | | | | 8,845 | | | | | | 1,110,578 | | |
Mastercard, Inc., Class A | | | | | 3,203 | | | | | | 880,729 | | |
NTT Data Corp. | | | | | 84,975 | | | | | | 878,079 | | |
PayPal Holdings, Inc.* | | | | | 7,130 | | | | | | 876,990 | | |
Square, Inc., Class A* | | | | | 19,057 | | | | | | 1,241,373 | | |
Visa, Inc., Class A | | | | | 3,943 | | | | | | 704,693 | | |
| | | | | | | | | | | 12,163,382 | | |
Professional Services – 1.4% | | ||||||||||||
Thomson Reuters Corp. | | | | | 10,814 | | | | | | 762,495 | | |
Semiconductors & Semiconductor Equipment – 10.2% | | ||||||||||||
Advanced Micro Devices, Inc.* | | | | | 15,364 | | | | | | 804,920 | | |
Intel Corp. | | | | | 16,696 | | | | | | 1,001,426 | | |
Micron Technology, Inc.* | | | | | 16,300 | | | | | | 780,607 | | |
NVIDIA Corp. | | | | | 3,147 | | | | | | 919,805 | | |
Taiwan Semiconductor Manufacturing Co. Ltd. | | | | | 14,539 | | | | | | 772,457 | | |
Texas Instruments, Inc. | | | | | 5,829 | | | | | | 676,572 | | |
Xilinx, Inc. | | | | | 8,465 | | | | | | 739,841 | | |
| | | | | | | | | | | 5,695,628 | | |
Software – 7.9% | | ||||||||||||
DocuSign, Inc.* | | | | | 8,123 | | | | | | 850,884 | | |
Microsoft Corp. | | | | | 5,786 | | | | | | 1,036,909 | | |
Oneconnect Financial Technology Co. Ltd.* | | | | | 64,590 | | | | | | 649,130 | | |
Oracle Corp. | | | | | 16,117 | | | | | | 853,717 | | |
SAP SE | | | | | 8,739 | | | | | | 1,035,921 | | |
| | | | | | | | | | | 4,426,561 | | |
Technology Hardware, Storage & Peripherals – 4.7% | | ||||||||||||
Canaan, Inc.* | | | | | 76,283 | | | | | | 395,146 | | |
Hewlett Packard Enterprise Co. | | | | | 75,013 | | | | | | 754,631 | | |
Samsung Electronics Co. Ltd. | | | | | 754 | | | | | | 786,422 | | |
Xiaomi Corp., Class B*,(a) | | | | | 515,379 | | | | | | 678,099 | | |
| | | | | | | | | | | 2,614,298 | | |
Total Common Stocks | | ||||||||||||
(Cost $60,998,258) | | | | | | | | | | | 55,778,498 | | |
| | | Shares | | | Value | | ||||||
Preferred Stocks – 0.0% | | ||||||||||||
Internet & Direct Marketing Retail – 0.0% | | ||||||||||||
Overstock.com, Inc.(b) | | | | | 13,467 | | | | | $ | 0 | | |
(Cost $97,140) | | | | | | | | | | | | | |
Money Markets – 0.1% | | ||||||||||||
Goldman Sachs Financial Square Money Market Fund, Institutional Shares, 0.73%(c) | | | | | | | | | | | | | |
(Cost $65,687) | | | | | 65,687 | | | | | | 65,687 | | |
Total Investments – 99.6% | | ||||||||||||
(Cost $61,161,085) | | | | | | | | | | | 55,844,185 | | |
| | | Shares | | | Value | | |||
Other Assets in Excess of Liabilities – 0.4% | | | | | | | | 226,128 | | |
Net Assets – 100.0% | | | | | | | $ | 56,070,313 | | |
Valuation Inputs | | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | 55,778,498 | | | | | $ | — | | | | | $ | — | | | | | $ | 55,778,498 | | |
Preferred Stocks* | | | | | — | | | | | | — | | | | | | 0 | | | | | | 0 | | |
Money Markets | | | | | 65,687 | | | | | | — | | | | | | — | | | | | | 65,687 | | |
Total Assets | | | | $ | 55,844,185 | | | | | $ | — | | | | | $ | 0 | | | | | $ | 55,844,185 | | |
Industry | | | % of Net Assets | | |||
Automobiles | | | | | 1.7% | | |
Banks | | | | | 9.7 | | |
Capital Markets | | | | | 11.6 | | |
Communications Equipment | | | | | 1.6 | | |
Consumer Finance | | | | | 1.4 | | |
Diversified Financial Services | | | | | 1.5 | | |
Diversified Telecommunication | | | | | 1.0 | | |
Electronic Equipment, Instruments & Components | | | | | 1.5 | | |
Entertainment | | | | | 1.2 | | |
Food & Staples Retailing | | | | | 1.1 | | |
Industrial Conglomerates | | | | | 1.3 | | |
Insurance | | | | | 3.8 | | |
Interactive Media & Services | | | | | 7.5 | | |
Internet & Direct Marketing Retail | | | | | 8.7 | | |
IT Services | | | | | 21.7 | | |
Professional Services | | | | | 1.4 | | |
Semiconductors & Semiconductor Equipment | | | | | 10.2 | | |
Software | | | | | 7.9 | | |
Technology Hardware, Storage & Peripherals | | | | | 4.7 | | |
Money Markets | | | | | 0.1 | | |
Total Investments | | | | | 99.6 | | |
Other Assets in Excess of Liabilities | | | | | 0.4 | | |
Net Assets | | | | | 100.0% | | |
Country / Region | | | % of Net Assets | | |||
United States | | | | | 48.9% | | |
Japan | | | | | 14.8 | | |
China | | | | | 13.9 | | |
Germany | | | | | 6.5 | | |
Canada | | | | | 2.6 | | |
United Kingdom | | | | | 1.5 | | |
Israel | | | | | 1.5 | | |
South Korea | | | | | 1.4 | | |
Taiwan | | | | | 1.4 | | |
India | | | | | 1.4 | | |
Australia | | | | | 1.3 | | |
France | | | | | 1.3 | | |
Netherlands | | | | | 1.1 | | |
Switzerland | | | | | 1.0 | | |
Spain | | | | | 1.0 | | |
Total Investments | | | | | 99.6 | | |
Other Assets in Excess of Liabilities | | | | | 0.4 | | |
Net Assets | | | | | 100.0% | | |
| | | Reality Shares DIVS ETF | | | Reality Shares DIVCON Leaders Dividend ETF | | | Reality Shares DIVCON Dividend Defender ETF | | | Reality Shares NASDAQ NexGen Economy ETF | | ||||||||||||
Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments, at value | | | | $ | 34,684,829(1) | | | | | $ | 29,725,673 | | | | | $ | 24,658,316 | | | | | $ | 55,844,185 | | |
Cash | | | | | — | | | | | | — | | | | | | — | | | | | | 5,195 | | |
Cash held at broker for securities sold short | | | | | — | | | | | | — | | | | | | 4,741,827 | | | | | | — | | |
Due from broker | | | | | 2,520,000 | | | | | | — | | | | | | — | | | | | | — | | |
Receivables | | | | | | | | | | | | | | | | | | | | | | | | | |
Dividend receivable | | | | | 873 | | | | | | 15,079 | | | | | | 5,911 | | | | | | 125,003 | | |
Reclaims receivable | | | | | — | | | | | | — | | | | | | — | | | | | | 126,164 | | |
Total Assets | | | | | 37,205,702 | | | | | | 29,740,752 | | | | | | 29,406,054 | | | | | | 56,100,547 | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Due to custodian | | | | | — | | | | | | — | | | | | | — | | | | | | 310 | | |
Securities sold short, at value | | | | | — | | | | | | — | | | | | | 4,587,281 | | | | | | — | | |
Payables | | | | | | | | | | | | | | | | | | | | | | | | | |
Securities purchased payable | | | | | — | | | | | | — | | | | | | 143,798 | | | | | | — | | |
Advisory fees (Note 4) | | | | | 19,535 | | | | | | 9,887 | | | | | | 16,748 | | | | | | 29,924 | | |
Unrealized depreciation on swaps (Note 7) | | | | | 7,989,368 | | | | | | — | | | | | | — | | | | | | — | | |
Total Liabilities | | | | | 8,008,903 | | | | | | 9,887 | | | | | | 4,747,827 | | | | | | 30,234 | | |
Net Assets | | | | $ | 29,196,799 | | | | | $ | 29,730,865 | | | | | $ | 24,658,227 | | | | | $ | 56,070,313 | | |
Net Assets Consist of: | | | | | | | | | | | | | | | | | | | | | | | | | |
Paid-in capital | | | | $ | 40,120,156 | | | | | $ | 26,271,635 | | | | | $ | 23,902,628 | | | | | $ | 65,007,403 | | |
Total distributable earnings (loss) | | | | | (10,923,357) | | | | | | 3,459,230 | | | | | | 755,599 | | | | | | (8,937,090) | | |
Net Assets | | | | $ | 29,196,799 | | | | | $ | 29,730,865 | | | | | $ | 24,658,227 | | | | | $ | 56,070,313 | | |
Shares outstanding (unlimited number of shares of beneficial interest authorized, no par value) | | | | | 1,439,348 | | | | | | 800,000 | | | | | | 755,060 | | | | | | 2,300,001 | | |
Net asset value (offering price and redemption price) per share | | | | $ | 20.28 | | | | | $ | 37.16 | | | | | $ | 32.66 | | | | | $ | 24.38 | | |
Investments, at cost | | | | $ | 34,602,634 | | | | | $ | 26,731,415 | | | | | $ | 23,294,278 | | | | | $ | 61,161,085 | | |
Due to Custodian, at cost | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 309 | | |
Securities sold short, proceeds | | | | $ | — | | | | | $ | — | | | | | $ | 4,738,371 | | | | | $ | — | | |
| | | Reality Shares DIVS ETF | | | Reality Shares DIVCON Leaders Dividend ETF | | | Reality Shares DIVCON Dividend Defender ETF | | | Reality Shares NASDAQ NexGen Economy ETF | | ||||||||||||
Investment Income: | | | | | | | | | | | | | | | | | | | | | | | | | |
Dividend income | | | | $ | 5,379 | | | | | $ | 230,500 | | | | | $ | 53,240 | | | | | $ | 492,378 | | |
Interest income | | | | | 450,917 | | | | | | 271 | | | | | | 9,874 | | | | | | 4,417 | | |
Rebate income | | | | | — | | | | | | — | | | | | | 4,410 | | | | | | — | | |
Foreign withholding tax | | | | | — | | | | | | — | | | | | | — | | | | | | (36,664) | | |
Total Income | | | | | 456,296 | | | | | | 230,771 | | | | | | 67,524 | | | | | | 460,131 | | |
Expenses: | | | | | | | | | | | | | | | | | | | | | | | | | |
Advisory fees (Note 4) | | | | | 230,919 | | | | | | 66,835 | | | | | | 44,088 | | | | | | 208,452 | | |
Dividends on securities sold short | | | | | — | | | | | | — | | | | | | 83,331 | | | | | | — | | |
Total Expenses | | | | | 230,919 | | | | | | 66,835 | | | | | | 127,419 | | | | | | 208,452 | | |
Net Investment income (loss) | | | | | 225,377 | | | | | | 163,936 | | | | | | (59,895) | | | | | | 251,679 | | |
Realized and Unrealized Gain (Loss): | | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized gain (loss) on: | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | 9,529 | | | | | | 123,706 | | | | | | (576,394) | | | | | | (787,394) | | |
Securities sold short | | | | | — | | | | | | — | | | | | | (12,924) | | | | | | — | | |
Swaps | | | | | (3,150,607) | | | | | | — | | | | | | — | | | | | | — | | |
In-kind redemptions | | | | | — | | | | | | 2,522,947 | | | | | | 357,089 | | | | | | 1,566,236 | | |
Foreign currency transactions | | | | | — | | | | | | — | | | | | | — | | | | | | (3,475) | | |
Net realized gain (loss) | | | | | (3,141,078) | | | | | | 2,646,653 | | | | | | (232,229) | | | | | | 775,367 | | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | 24,626 | | | | | | (1,863,499) | | | | | | 691,132 | | | | | | 511,903 | | |
Securities sold short | | | | | — | | | | | | — | | | | | | 81,273 | | | | | | — | | |
Swaps | | | | | (10,117,513) | | | | | | — | | | | | | — | | | | | | — | | |
Foreign currency translations | | | | | — | | | | | | — | | | | | | — | | | | | | 247 | | |
Net change in unrealized appreciation (depreciation) | | | | | (10,092,887) | | | | | | (1,863,499) | | | | | | 772,405 | | | | | | 512,150 | | |
Net realized and unrealized gain (loss) | | | | | (13,233,965) | | | | | | 783,154 | | | | | | 540,176 | | | | | | 1,287,517 | | |
Increase (Decrease) in net assets resulting from operations | | | | $ | (13,008,588) | | | | | $ | 947,090 | | | | | $ | 480,281 | | | | | $ | 1,539,196 | | |
| | | Reality Shares DIVS ETF | | | Reality Shares DIVCON Leaders Dividend ETF | | ||||||||||||||||||
| | | Six Months Ended April 30, 2020 (Unaudited) | | | Year Ended October 31, 2019 | | | Six Months Ended April 30, 2020 (Unaudited) | | | Year Ended October 31, 2019 | | ||||||||||||
Increase (Decrease) in Net Assets Resulting from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | $ | 225,377 | | | | | $ | 941,257 | | | | | $ | 163,936 | | | | | $ | 567,755 | | |
Net realized gain (loss) | | | | | (3,141,078) | | | | | | 1,416,754 | | | | | | 2,646,653 | | | | | | (362,127) | | |
Net change in unrealized appreciation (depreciation) | | | | | (10,092,887) | | | | | | (1,343,921) | | | | | | (1,863,499) | | | | | | 5,307,926 | | |
Net increase (decrease) in net assets resulting from operations | | | | | (13,008,588) | | | | | | 1,014,090 | | | | | | 947,090 | | | | | | 5,513,554 | | |
Distributions to Shareholders: | | | | | (2,304,684) | | | | | | (1,089,637) | | | | | | (200,968) | | | | | | (568,034) | | |
Shareholder Transactions: | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | | | 1,344,818 | | | | | | 3,217,859 | | | | | | 18,007,609 | | | | | | — | | |
Cost of shares redeemed | | | | | (22,175,862) | | | | | | (11,841,877) | | | | | | (20,757,786) | | | | | | (18,467,609) | | |
Net decrease in net assets resulting from shareholder transactions | | | | | (20,831,044) | | | | | | (8,624,018) | | | | | | (2,750,177) | | | | | | (18,467,609) | | |
Decrease in net assets | | | | | (36,144,316) | | | | | | (8,699,565) | | | | | | (2,004,055) | | | | | | (13,522,089) | | |
Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | | 65,341,115 | | | | | | 74,040,680 | | | | | | 31,734,920 | | | | | | 45,257,009 | | |
End of period | | | | $ | 29,196,799 | | | | | $ | 65,341,115 | | | | | $ | 29,730,865 | | | | | $ | 31,734,920 | | |
Changes in Shares Outstanding: | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | | | 2,454,348 | | | | | | 2,779,348 | | | | | | 875,000 | | | | | | 1,425,000 | | |
Shares sold | | | | | 50,000 | | | | | | 125,000 | | | | | | 475,000 | | | | | | — | | |
Shares redeemed | | | | | (1,065,000) | | | | | | (450,000) | | | | | | (550,000) | | | | | | (550,000) | | |
Shares outstanding, end of period | | | | | 1,439,348 | | | | | | 2,454,348 | | | | | | 800,000 | | | | | | 875,000 | | |
| | | Reality Shares DIVCON Dividend Defender ETF | | | Reality Shares NASDAQ NexGen Economy ETF | | ||||||||||||||||||
| | | Six Months Ended April 30, 2020 (Unaudited) | | | Year Ended October 31, 2019 | | | Six Months Ended April 30, 2020 (Unaudited) | | | Year Ended October 31, 2019 | | ||||||||||||
Increase (Decrease) in Net Assets Resulting from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | (59,895) | | | | | $ | 46,841 | | | | | $ | 251,679 | | | | | $ | 1,107,947 | | |
Net realized gain (loss) | | | | | (232,229) | | | | | | (97,360) | | | | | | 775,367 | | | | | | (1,716,112) | | |
Net change in unrealized appreciation (depreciation) | | | | | 772,405 | | | | | | 663,427 | | | | | | 512,150 | | | | | | 10,330,346 | | |
Net increase in net assets resulting from operations | | | | | 480,281 | | | | | | 612,908 | | | | | | 1,539,196 | | | | | | 9,722,181 | | |
Distributions to Shareholders: | | | | | (14,654) | | | | | | (46,093) | | | | | | (293,234) | | | | | | (1,149,910) | | |
Shareholder Transactions: | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | | | 11,881,640 | | | | | | 741,249 | | | | | | — | | | | | | — | | |
Proceeds from shares issued in connection with merger | | | | | 10,108,401* | | | | | | — | | | | | | — | | | | | | — | | |
Cost of shares redeemed | | | | | (3,923,796) | | | | | | (690,616) | | | | | | (12,452,706) | | | | | | (27,642,715) | | |
Net increase (decrease) in net assets resulting from shareholder transactions | | | | | 18,066,245 | | | | | | 50,633 | | | | | | (12,452,706) | | | | | | (27,642,715) | | |
Increase (Decrease) in net assets | | | | | 18,531,872 | | | | | | 617,448 | | | | | | (11,206,744) | | | | | | (19,070,444) | | |
Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | | 6,126,355 | | | | | | 5,508,907 | | | | | | 67,277,057 | | | | | | 86,347,501 | | |
End of period | | | | $ | 24,658,227 | | | | | $ | 6,126,355 | | | | | $ | 56,070,313 | | | | | $ | 67,277,057 | | |
Changes in Shares Outstanding: | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | | | 200,000 | | | | | | 200,000 | | | | | | 2,800,001 | | | | | | 4,075,001 | | |
Shares sold | | | | | 350,000 | | | | | | 25,000 | | | | | | — | | | | | | — | | |
Shares issued in connection with merger | | | | | 330,060* | | | | | | — | | | | | | — | | | | | | — | | |
Shares redeemed | | | | | (125,000) | | | | | | (25,000) | | | | | | (500,000) | | | | | | (1,275,000) | | |
Shares outstanding, end of period | | | | | 755,060 | | | | | | 200,000 | | | | | | 2,300,001 | | | | | | 2,800,001 | | |
| | | Six Months Ended April 30, 2020 (Unaudited) | | | 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 | | | | $ | 26.62 | | | | | $ | 26.64 | | | | | $ | 26.05 | | | | | $ | 24.17 | | | | | $ | 23.96 | | | | | $ | 23.00 | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)(2) | | | | | 0.10 | | | | | | 0.36 | | | | | | 0.20 | | | | | | (0.02) | | | | | | (0.12) | | | | | | (0.17) | | |
Net realized and unrealized gain (loss) | | | | | (5.47) | | | | | | 0.02 | | | | | | 0.61 | | | | | | 1.90 | | | | | | 0.79 | | | | | | 1.13 | | |
Total from investment operations | | | | | (5.37) | | | | | | 0.38 | | | | | | 0.81 | | | | | | 1.88 | | | | | | 0.67 | | | | | | 0.96 | | |
Distributions to Shareholders from: | | | | | | | | ||||||||||||||||||||||||||||||
Net investment income | | | | | (0.37) | | | | | | (0.24) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Realized gains | | | | | (0.60) | | | | | | (0.16) | | | | | | (0.22) | | | | | | — | | | | | | (0.46) | | | | | | — | | |
Total distributions | | | | | (0.97) | | | | | | (0.40) | | | | | | (0.22) | | | | | | — | | | | | | (0.46) | | | | | | — | | |
Net asset value, end of year | | | | $ | 20.28 | | | | | $ | 26.62 | | | | | $ | 26.64 | | | | | $ | 26.05 | | | | | $ | 24.17 | | | | | $ | 23.96 | | |
Total Return at Net Asset Value | | | | | (21.02)%(3) | | | | | | 1.53% | | | | | | 3.12% | | | | | | 7.77% | | | | | | 2.88% | | | | | | 4.17%(3) | | |
Net assets, end of year (000’s) | | | | $ | 29,197 | | | | | $ | 65,341 | | | | | $ | 74,041 | | | | | $ | 53,516 | | | | | $ | 32,132 | | | | | $ | 30,053 | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses | | | | | 0.85%(4) | | | | | | 0.85% | | | | | | 0.85% | | | | | | 0.85% | | | | | | 0.85% | | | | | | 0.85%(4) | | |
Net investment income (loss) | | | | | 0.83%(4) | | | | | | 1.36% | | | | | | 0.75% | | | | | | (0.09)% | | | | | | (0.51)% | | | | | | (0.82)%(4) | | |
Portfolio turnover rate(5) | | | | | 0.00%(3)(6) | | | | | | 0.00%(6) | | | | | | 0.00%(6) | | | | | | 0.00%(6) | | | | | | 0.00%(6) | | | | | | 1,475.00%(3) | | |
| | | Six Months Ended April 30, 2020 (Unaudited) | | | 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 | | | | $ | 36.27 | | | | | $ | 31.76 | | | | | $ | 29.98 | | | | | $ | 24.36 | | | | | $ | 24.06 | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.20 | | | | | | 0.50 | | | | | | 0.39 | | | | | | 0.33 | | | | | | 0.24 | | |
Net realized and unrealized gain | | | | | 0.93 | | | | | | 4.51 | | | | | | 1.77 | | | | | | 5.57 | | | | | | 0.33 | | |
Total from investment operations | | | | | 1.13 | | | | | | 5.01 | | | | | | 2.16 | | | | | | 5.90 | | | | | | 0.57 | | |
Distributions to Shareholders from: | | | | | | | |||||||||||||||||||||||||
Net investment income | | | | | (0.24) | | | | | | (0.50) | | | | | | (0.36) | | | | | | (0.28) | | | | | | (0.27) | | |
Realized gains | | | | | — | | | | | | (0.00)(3) | | | | | | (0.02) | | | | | | — | | | | | | — | | |
Total distributions | | | | | (0.24) | | | | | | (0.50) | | | | | | (0.38) | | | | | | (0.28) | | | | | | (0.27) | | |
Net asset value, end of year/period | | | | $ | 37.16 | | | | | $ | 36.27 | | | | | $ | 31.76 | | | | | $ | 29.98 | | | | | $ | 24.36 | | |
Total Return at Net Asset Value | | | | | 3.15%(4) | | | | | | 15.95% | | | | | | 7.19% | | | | | | 24.29% | | | | | | 2.38%(4) | | |
Net assets, end of year/period (000’s) | | | | $ | 29,731 | | | | | $ | 31,735 | | | | | $ | 45,257 | | | | | $ | 29,229 | | | | | $ | 4,264 | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses | | | | | 0.43%(5) | | | | | | 0.43% | | | | | | 0.43% | | | | | | 0.43% | | | | | | 0.43%(5) | | |
Net investment income | | | | | 1.05%(5) | | | | | | 1.50% | | | | | | 1.18% | | | | | | 1.18% | | | | | | 1.19%(5) | | |
Portfolio turnover rate(6) | | | | | 1.90%(4) | | | | | | 65.52%(7) | | | | | | 0.26% | | | | | | 3.35% | | | | | | 3.38%(4) | | |
| | | Six Months Ended April 30, 2020 (Unaudited) | | | 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 | | | | $ | 30.63 | | | | | $ | 27.54 | | | | | $ | 26.08 | | | | | $ | 22.44 | | | | | $ | 23.55 | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)(2) | | | | | (0.18) | | | | | | 0.26 | | | | | | 0.12 | | | | | | 0.03 | | | | | | (0.04) | | |
Net realized and unrealized gain (loss) | | | | | 2.28 | | | | | | 3.09 | | | | | | 1.41 | | | | | | 3.61 | | | | | | (1.07) | | |
Total from investment operations | | | | | 2.10 | | | | | | 3.35 | | | | | | 1.53 | | | | | | 3.64 | | | | | | (1.11) | | |
Distributions to Shareholders from: | | | | | | | |||||||||||||||||||||||||
Net investment income | | | | | (0.07) | | | | | | (0.26) | | | | | | (0.07) | | | | | | — | | | | | | — | | |
Net asset value, end of year/period | | | | $ | 32.66 | | | | | $ | 30.63 | | | | | $ | 27.54 | | | | | $ | 26.08 | | | | | $ | 22.44 | | |
Total Return at Net Asset Value | | | | | 6.83%(3) | | | | | | 12.22% | | | | | | 5.89% | | | | | | 16.23% | | | | | | (4.72)%(3) | | |
Net assets, end of year/period (000’s) | | | | $ | 24,658 | | | | | $ | 6,126 | | | | | $ | 5,509 | | | | | $ | 3,912 | | | | | $ | 2,805 | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses | | | | | 1.17%(4)(5) | | | | | | 1.44%(6) | | | | | | 1.21%(7) | | | | | | 1.38%(8) | | | | | | 1.54%(4)(9) | | |
Net investment income (loss) | | | | | (0.55)%(4) | | | | | | 0.89% | | | | | | 0.42% | | | | | | 0.11% | | | | | | (0.19)%(4) | | |
Portfolio turnover rate(10) | | | | | 78.46%(3)(11) | | | | | | 57.30%(12) | | | | | | 36.94% | | | | | | 69.11% | | | | | | 4.18%(3) | | |
| | | Six Months Ended April 30, 2020 (Unaudited) | | | 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 | | | | $ | 24.03 | | | | | $ | 21.19 | | | | | $ | 24.00 | | |
Investment operations: | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.10 | | | | | | 0.34 | | | | | | 0.21 | | |
Net realized and unrealized gain (loss) | | | | | 0.37 | | | | | | 2.86 | | | | | | (2.86) | | |
Total from investment operations | | | | | 0.47 | | | | | | 3.20 | | | | | | (2.65) | | |
Distributions to Shareholders from: | | | | | |||||||||||||||
Net investment income | | | | | (0.12) | | | | | | (0.36) | | | | | | (0.16) | | |
Net asset value, end of year/period | | | | $ | 24.38 | | | | | $ | 24.03 | | | | | $ | 21.19 | | |
Total Return at Net Asset Value | | | | | 1.97%(3) | | | | | | 15.24% | | | | | | (11.09)%(3) | | |
Net assets, end of year/period (000’s) | | | | $ | 56,070 | | | | | $ | 67,277 | | | | | $ | 86,348 | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | |
Ratio to average net assets of: | | | | | | | | | | | | | | | | | | | |
Expenses | | | | | 0.68%(4) | | | | | | 0.68% | | | | | | 0.68%(4) | | |
Net investment income | | | | | 0.82%(4) | | | | | | 1.51% | | | | | | 1.14%(4) | | |
Portfolio turnover rate(5) | | | | | 9.99%(3) | | | | | | 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 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 NASDAQ NexGen Economy ETF | | | 0.68% | |
Fund | | | Purchases | | | Sales | | ||||||
Reality Shares DIVS ETF | | | | $ | — | | | | | $ | — | | |
Reality Shares DIVCON Leaders Dividend ETF | | | | | 17,798,443 | | | | | | 585,817 | | |
Reality Shares DIVCON Dividend Defender ETF | | | | | 13,692,292 | | | | | | 3,710,729 | | |
Reality Shares NASDAQ NexGen Economy ETF | | | | | 6,675,358 | | | | | | 6,060,630 | | |
Fund | | | Purchases | | | Sales | | ||||||
Reality Shares DIVS ETF | | | | $ | — | | | | | $ | — | | |
Reality Shares DIVCON Leaders Dividend ETF | | | | | — | | | | | | 20,047,053 | | |
Reality Shares DIVCON Dividend Defender ETF | | | | | 4,944,004 | | | | | | 2,673,654 | | |
Reality Shares NASDAQ NexGen Economy ETF | | | | | — | | | | | | 12,350,377 | | |
| | | Equity Contracts | | | Total | | ||||||
Asset Derivatives: | | | | | | | | | | | | | |
Reality Shares DIVS ETF | | | | | | | | | | | | | |
Unrealized Appreciation on Swaps | | | | $ | — | | | | | $ | — | | |
Liability Derivatives: | | | | | | | | | | | | | |
Reality Shares DIVS ETF | | | | | | | | | | | | | |
Unrealized Depreciation on Swaps | | | | | (7,989,368) | | | | | | (7,989,368) | | |
Total | | | | $ | (7,989,368) | | | | | $ | (7,989,368) | | |
| | | Equity Contracts | | | Total | | ||||||
Reality Shares DIVS ETF | | | | | | | | | | | | | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | |
Swaps | | | | $ | (3,150,607) | | | | | $ | (3,150,607) | | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | |
Swaps | | | | | (10,117,513) | | | | | | (10,117,513) | | |
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 | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Unrealized Appreciation | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
on Swaps | | | JP Morgan | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Unrealized Appreciation | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
on Swaps | | | Morgan Stanley | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Unrealized Appreciation | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
on Swaps | | | Bank of America | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Unrealized Appreciation | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
on Swaps | | | Societe Generale | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total | | | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
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 | | | | $ | 3,230,426 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 3,230,426 | | |
Unrealized Depreciation | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
on Swaps | | | JP Morgan | | | | | 98,140 | | | | | | — | | | | | | — | | | | | | — | | | | | | 98,140 | | |
Unrealized Depreciation | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
on Swaps | | | Morgan Stanley | | | | | 2,770,730 | | | | | | — | | | | | | — | | | | | | — | | | | | | 2,770,730 | | |
Unrealized Depreciation | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
on Swaps | | | Bank of America | | | | | 1,144,338 | | | | | | — | | | | | | — | | | | | | — | | | | | | 1,144,338 | | |
Unrealized Depreciation | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
on Swaps | | | Societe Generale | | | | | 745,734 | | | | | | — | | | | | | — | | | | | | — | | | | | | 745,734 | | |
Total | | | | | | | $ | 7,989,368 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 7,989,368 | | |
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 NASDAQ NexGen Economy ETF | | | | | 73,010,386 | | | | | | 5,683,726 | | | | | | (11,591,620) | | | | | | (5,907,894) | | | | | | (2,291) | | |
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 NASDAQ NexGen Economy ETF | | | | | 3,319,636 | | | | | | 1,084,193 | | | | | | 4,403,829 | | |
Acquired Fund | | | Total Investment Value | | | Total Investment Cost | | ||||||
Reality Shares DIVCON Dividend Guard ETF | | | | $ | 10,085,145 | | | | | $ | 10,976,809 | | |
| | | Acquired Fund | | | Surviving Fund | | ||||||||||||
| | | Reality Shares DIVCON Dividend Guard ETF | | | Reality Shares DIVCON Dividend Defender ETF | | ||||||||||||
| | | Shares | | | Shares | | | Value | | |||||||||
| | | | | 450,000 | | | | | | 330,060 | | | | | $ | 10,108,401 | | |
| | | Acquired Fund | | | Surviving Fund | | ||||||||||||
| | | Reality Shares DIVCON Dividend Guard ETF | | | Reality Shares DIVCON Dividend Defender ETF | | ||||||||||||
| | | Net Assets | | | Unrealized Appreciation (Depreciation) on Investments | | | Net Assets | | |||||||||
| | | | $ | 10,108,401 | | | | | $ | (891,664) | | | | | $ | 12,250,379 | | |
Surviving Fund | | | Net Investment Income | | | Net realized and unrealized gain (loss) on Investments | | | Net increase in net assets resulting from operations | | |||||||||
Reality Shares DIVCON Dividend Defender ETF | | | | $ | (17,592) | | | | | $ | 436,837 | | | | | $ | 419,245 | | |
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 1100
Denver, CO 80203
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
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 shareholders may recommend nominees to the Registrant’s Board of Trustees, 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 President (principal executive officer) and Treasurer (principal financial officer) 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) | The Registrant’s President (principal executive officer) and Treasurer (principal financial officer) are aware of no change 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 period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) Not applicable.
(a)(3) Not applicable.
(a)(4) Not applicable.
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 | ||
(principal executive officer) |
Date: | January 28, 2021 |
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 | ||
(principal executive officer) |
Date: | January 28, 2021 |
By (Signature and Title) | /s/ Kasey Price | |
Kasey Price, Treasurer | ||
(principal financial officer) |
Date: | January 28, 2021 |