UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22995
TrimTabs ETF Trust
(Exact name of registrant as specified in charter)
(Exact name of registrant as specified in charter)
1345 Avenue of the Americas
33rd fl
New York, NY 10105
(Address of principal executive offices) (Zip code)
New York, NY 10105
(Address of principal executive offices) (Zip code)
Derin Cohen
1345 Avenue of the Americas
33rd fl
New York, NY 10105
(Name and address of agent for service)
New York, NY 10105
(Name and address of agent for service)
1-212-217-2597
Registrant's telephone number, including area code
Date of fiscal year end: July 31
Date of reporting period: January 31, 2023
Item 1. Reports to Stockholders.
(a)
TrimTabs ETF Trust
FCF US Quality ETF (TTAC)
FCF International Quality ETF (TTAI)
Donoghue Forlines Tactical High Yield ETF (DFHY)
Donoghue Forlines Risk Managed Innovation ETF (DFNV)
Donoghue Forlines Yield Enhanced Real Asset ETF (DFRA)
Semi-Annual Report
January 31, 2023
TrimTabs ETF Trust
TABLE OF CONTENTS | |||
Shareholder Expense Examples | 1 | ||
Portfolio Holdings Allocation | 3 | ||
Schedules of Investments | 5 | ||
Statements of Assets and Liabilities | 26 | ||
Statements of Operations | 28 | ||
Statements of Changes in Net Assets | 30 | ||
Financial Highlights | 35 | ||
Notes to Financial Statements | 40 | ||
Additional Information | 61 | ||
TrimTabs ETF Trust
SHAREHOLDER EXPENSE EXAMPLES
For the Six-Months Ended January 31, 2023 (Unaudited)
As a shareholder of a Fund you incur two types of costs: (1) transaction costs for purchasing and selling shares; and (2) ongoing costs, including management fees and other Fund expenses. The following examples are intended to help you understand your ongoing costs (in dollars and cents) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds.
Each example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period as indicated below.
Actual Expenses
The first line in the table below provides information about actual account values and actual expenses. You may use the information provided in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 ending account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second line in the table below provides information about hypothetical account values and hypothetical expenses based on the respective Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional cost, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the second line in the table below is useful in comparing ongoing Fund costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Expenses | |||
Beginning | Ending | Paid During | |
Account | Account | Period | |
Value | Value | 8/1/22 – | |
8/1/22 | 1/31/23 | 1/31/23(a) | |
FCF US Quality ETF | |||
Actual | $1,000.00 | $1,009.50 | $2.99 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.23 | $3.01 |
1
TrimTabs ETF Trust
SHAREHOLDER EXPENSE EXAMPLES
For the Six-Months Ended January 31, 2023 (Unaudited) (Continued)
Expenses | |||
Beginning | Ending | Paid During | |
Account | Account | Period | |
Value | Value | 8/1/22 – | |
8/1/22 | 1/31/23 | 1/31/23(a) | |
FCF International Quality ETF | |||
Actual | $1,000.00 | $1,010.90 | $2.99 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.23 | $3.01 |
Expenses | |||
Beginning | Ending | Paid During | |
Account | Account | Period | |
Value | Value | 8/1/22 – | |
8/1/22 | 1/31/23 | 1/31/23(b) | |
Donoghue Forlines Tactical | |||
High Yield ETF | |||
Actual | $1,000.00 | $ 971.20 | $3.43 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.73 | $3.52 |
Expenses | |||
Beginning | Ending | Paid During | |
Account | Account | Period | |
Value | Value | 8/1/22 – | |
8/1/22 | 1/31/23 | 1/31/23(b) | |
Donoghue Forlines Risk | |||
Managed Innovation ETF | |||
Actual | $1,000.00 | $ 969.20 | $3.42 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.73 | $3.52 |
Expenses | |||
Beginning | Ending | Paid During | |
Account | Account | Period | |
Value | Value | 8/1/22 – | |
8/1/22 | 1/31/23 | 1/31/23(b) | |
Donoghue Forlines Yield | |||
Enhanced Real Asset ETF | |||
Actual | $1,000.00 | $1,111.60 | $3.67 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.73 | $3.52 |
(a) | Actual Expenses Paid are equal to the Fund’s annualized expense ratio of 0.59%, multiplied by the average account value over the period, multiplied by 184/365 to reflect the period. |
(b) | Actual Expenses Paid are equal to the Fund’s annualized expense ratio of 0.69%, multiplied by the average account value over the period, multiplied by 184/365 to reflect the period. |
2
TrimTabs ETF Trust
PORTFOLIO HOLDINGS ALLOCATION (as a % of net assets)
January 31, 2023 (Unaudited)
FCF US Quality ETF | ||||
Communications | 3.6 | % | ||
Consumer Discretionary | 8.3 | % | ||
Consumer Staples | 7.3 | % | ||
Energy | 7.9 | % | ||
Financials | 5.9 | % | ||
Health Care | 17.9 | % | ||
Industrials | 6.0 | % | ||
Materials | 4.2 | % | ||
Technology | 33.5 | %(a) | ||
Utilities | 1.4 | % | ||
REITs | 2.9 | % | ||
Money Market Fund | 0.8 | % | ||
Investment Purchased with the Cash Proceeds from Securities Lending | 8.2 | %(b) | ||
Liabilities in Excess of Other Assets | (7.9 | )% | ||
Total Net Assets | 100.0 | % | ||
FCF International Quality ETF | ||||
Australia | 8.9 | % | ||
Austria | 0.4 | % | ||
Belgium | 0.7 | % | ||
Brazil | 1.7 | % | ||
Canada | 8.6 | % | ||
China | 12.2 | % | ||
Denmark | 4.5 | % | ||
Finland | 1.0 | % | ||
France | 6.9 | % | ||
Germany | 0.9 | % | ||
Hong Kong | 2.0 | % | ||
India | 0.4 | % | ||
Ireland | 1.6 | % | ||
Israel | 1.0 | % | ||
Italy | 1.4 | % | ||
Japan | 4.7 | % | ||
Netherlands | 4.3 | % | ||
Norway | 3.2 | % | ||
Portugal | 0.7 | % | ||
Republic of Korea | 2.7 | % | ||
Singapore | 0.7 | % | ||
South Africa | 2.8 | % | ||
Spain | 0.6 | % | ||
Sweden | 1.7 | % | ||
Switzerland | 7.4 | % | ||
Taiwan | 6.8 | % | ||
United Kingdom | 8.8 | % | ||
Money Market Fund | 0.7 | % | ||
Investment Purchased with the Cash Proceeds from Securities Lending | 2.5 | %(b) | ||
Other Assets in Excess of Liabilities | 0.2 | % | ||
Total Net Assets | 100.0 | % |
3
TrimTabs ETF Trust
PORTFOLIO HOLDINGS ALLOCATION (as a % of net assets)
January 31, 2023 (Unaudited) (Continued)
Donoghue Forlines Tactical High Yield ETF | ||||
Exchange-Traded Funds | 99.9 | % | ||
Money Market Fund | 0.2 | % | ||
Investment Purchased with the Cash Proceeds from Securities Lending | 33.5 | %(b) | ||
Liabilities in Excess of Other Assets | (33.6 | )% | ||
Total Net Assets | 100.0 | % | ||
Donoghue Forlines Risk Managed Innovation ETF | ||||
Communications | 7.0 | % | ||
Consumer Discretionary | 1.1 | % | ||
Energy | 0.5 | % | ||
Health Care | 12.2 | % | ||
Industrials | 0.9 | % | ||
Technology | 29.6 | %(c) | ||
Exchange-Traded Funds | 48.5 | % | ||
Money Market Fund | 0.2 | % | ||
Investment Purchased with the Cash Proceeds from Securities Lending | 10.5 | %(b) | ||
Liabilities in Excess of Other Assets | (10.5 | )% | ||
Total Net Assets | 100.0 | % | ||
Donoghue Forlines Yield Enhanced Real Asset ETF | ||||
Energy | 32.6 | %(d) | ||
Industrials | 14.9 | % | ||
Materials | 18.5 | % | ||
REITs | 18.2 | % | ||
Master Limited Partnerships | 12.6 | % | ||
Preferred Stocks | 2.6 | % | ||
Money Market Fund | 0.5 | % | ||
Investment Purchased with the Cash Proceeds from Securities Lending | 16.3 | %(b) | ||
Liabilities in Excess of Other Assets | (16.2 | )% | ||
Total Net Assets | 100.0 | % |
(a) | Amount represents investments in a particular sector. No industry within this sector represented more than 25% of the Fund’s total assets at the time of investment. |
(b) | Represents cash received as collateral in return for securities lent as part of the securities lending program. The cash is invested in the Mount Vernon Liquid Assets Portfolio, LLC as noted in the applicable schedules of investments listed in this report. |
(c) | The amount represents investments in a particular sector. Within the sector, the Fund will concentrate its investments (i.e. invest more than 25% of its total assets) in a particular industry or group of industries to approximately the same extent the FCF Risk Managed Quality Innovation Index is concentrated. |
(d) | The amount represents investments in a particular sector. Within the sector, the Fund will concentrate its investments (i.e. invest more than 25% of its total assets) in a particular industry or group of industries to approximately the same extent the FCF Yield Enhanced Real Asset Index is concentrated. |
4
FCF US Quality ETF
SCHEDULE OF INVESTMENTS
January 31, 2023 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS – 96.0% | ||||||||
Communications – 3.6% | ||||||||
Airbnb, Inc. – Class A (a) | 10,268 | $ | 1,140,878 | |||||
Alphabet, Inc. – Class A (a) | 29,822 | 2,947,607 | ||||||
Booking Holdings, Inc. (a) | 479 | 1,165,934 | ||||||
Expedia Group, Inc. (a) | 7,023 | 802,729 | ||||||
Sirius XM Holdings, Inc. (d) | 90,223 | 522,391 | ||||||
6,579,539 | ||||||||
Consumer Discretionary – 8.3% | ||||||||
AutoNation, Inc. (a) | 9,922 | 1,257,316 | ||||||
AutoZone, Inc. (a) | 755 | 1,841,332 | ||||||
Chipotle Mexican Grill, Inc. (a) | 659 | 1,084,964 | ||||||
Etsy, Inc. (a)(d) | 6,115 | 841,302 | ||||||
Genuine Parts Co. | 4,265 | 715,752 | ||||||
Group 1 Automotive, Inc. (d) | 5,904 | 1,262,570 | ||||||
Home Depot, Inc. | 3,624 | 1,174,792 | ||||||
Lowe’s Cos., Inc. | 4,833 | 1,006,472 | ||||||
O’Reilly Automotive, Inc. (a) | 2,365 | 1,873,908 | ||||||
Starbucks Corp. | 18,830 | 2,055,106 | ||||||
Ulta Beauty, Inc. (a) | 3,353 | 1,723,308 | ||||||
Williams-Sonoma, Inc. (d) | 3,171 | 427,895 | ||||||
15,264,717 | ||||||||
Consumer Staples – 7.3% | ||||||||
Altria Group, Inc. | 42,553 | 1,916,587 | ||||||
Clorox Co. (d) | 6,127 | 886,516 | ||||||
Coca-Cola Co. | 36,909 | 2,263,260 | ||||||
Colgate-Palmolive Co. | 20,209 | 1,506,177 | ||||||
Costco Wholesale Corp. | 1,301 | 664,993 | ||||||
Hershey Co. | 5,230 | 1,174,658 | ||||||
Kimberly-Clark Corp. | 6,749 | 877,438 | ||||||
Philip Morris International, Inc. | 21,913 | 2,284,211 | ||||||
Procter & Gamble Co. | 12,809 | 1,823,745 | ||||||
13,397,585 | ||||||||
Energy – 7.9% | ||||||||
APA Corp. | 19,574 | 867,715 | ||||||
Cheniere Energy, Inc. | 7,758 | 1,185,345 | ||||||
ConocoPhillips | 12,261 | 1,494,248 |
The accompanying notes are an integral part of these financial statements.
5
FCF US Quality ETF
SCHEDULE OF INVESTMENTS
January 31, 2023 (Unaudited) (Continued)
Shares | Value | |||||||
COMMON STOCKS – 96.0% (Continued) | ||||||||
Energy – 7.9% (Continued) | ||||||||
Enphase Energy, Inc. (a) | 3,782 | $ | 837,259 | |||||
Exxon Mobil Corp. | 32,948 | 3,822,298 | ||||||
Magnolia Oil & Gas Corp. – Class A (d) | 67,613 | 1,596,343 | ||||||
Occidental Petroleum Corp. | 12,604 | 816,613 | ||||||
Ovintiv, Inc. | 14,083 | 693,306 | ||||||
Targa Resources Corp. | 14,960 | 1,122,299 | ||||||
Texas Pacific Land Corp. | 492 | 981,958 | ||||||
Valero Energy Corp. | 7,661 | 1,072,770 | ||||||
14,490,154 | ||||||||
Financials – 5.9% | ||||||||
American Express Co. | 7,461 | 1,305,152 | ||||||
Aon PLC – Class A | 4,482 | 1,428,324 | ||||||
Erie Indemnity Co. – Class A (d) | 3,291 | 804,156 | ||||||
JPMorgan Chase & Co. | 6,875 | 962,225 | ||||||
LPL Financial Holdings, Inc. | 4,701 | 1,114,701 | ||||||
RLI Corp. (d) | 8,185 | 1,084,103 | ||||||
SEI Investments Co. | 18,070 | 1,128,110 | ||||||
Synchrony Financial | 32,012 | 1,175,801 | ||||||
T Rowe Price Group, Inc. (d) | 7,702 | 897,052 | ||||||
Willis Towers Watson PLC | 3,494 | 888,140 | ||||||
10,787,764 | ||||||||
Health Care – 17.9% | ||||||||
Abbott Laboratories | 13,258 | 1,465,672 | ||||||
AbbVie, Inc. | 17,450 | 2,578,237 | ||||||
Amgen, Inc. | 7,630 | 1,925,812 | ||||||
Bio-Rad Laboratories, Inc. – Class A (a) | 1,390 | 649,769 | ||||||
Bristol-Myers Squibb Co. | 24,880 | 1,807,532 | ||||||
Cardinal Health, Inc. | 10,481 | 809,657 | ||||||
Chemed Corp. | 1,277 | 645,064 | ||||||
CVS Health Corp. | 11,448 | 1,009,943 | ||||||
Elevance Health, Inc. | 2,153 | 1,076,478 | ||||||
Eli Lilly & Co. | 6,910 | 2,378,077 | ||||||
Gilead Sciences, Inc. | 15,453 | 1,297,125 | ||||||
Hologic, Inc. (a) | 12,835 | 1,044,384 | ||||||
Humana, Inc. | 1,474 | 754,246 |
The accompanying notes are an integral part of these financial statements.
6
FCF US Quality ETF
SCHEDULE OF INVESTMENTS
January 31, 2023 (Unaudited) (Continued)
Shares | Value | |||||||
COMMON STOCKS – 96.0% (Continued) | ||||||||
Health Care – 17.9% (Continued) | ||||||||
Johnson & Johnson | 16,842 | $ | 2,752,320 | |||||
McKesson Corp. | 4,146 | 1,570,007 | ||||||
Medpace Holdings, Inc. (a) | 5,563 | 1,229,812 | ||||||
Merck & Co., Inc. | 13,069 | 1,403,741 | ||||||
Mettler-Toledo International, Inc. (a) | 479 | 734,269 | ||||||
Molina Healthcare, Inc. (a) | 4,774 | 1,488,676 | ||||||
Pfizer, Inc. | 46,996 | 2,075,343 | ||||||
Regeneron Pharmaceuticals, Inc. (a) | 1,255 | 951,880 | ||||||
UnitedHealth Group, Inc. | 6,511 | 3,250,226 | ||||||
32,898,270 | ||||||||
Industrials – 6.0% | ||||||||
Cintas Corp. | 2,462 | 1,092,488 | ||||||
General Dynamics Corp. | 4,342 | 1,011,947 | ||||||
Insperity, Inc. (d) | 7,450 | 823,597 | ||||||
Keysight Technologies, Inc. (a) | 5,531 | 991,985 | ||||||
Landstar System, Inc. | 3,498 | 604,559 | ||||||
Lockheed Martin Corp. | 4,474 | 2,072,625 | ||||||
Matson, Inc. | 8,381 | 554,152 | ||||||
Otis Worldwide Corp. | 17,257 | 1,419,043 | ||||||
Rollins, Inc. | 17,229 | 627,136 | ||||||
United Parcel Service, Inc. – Class B | 9,448 | 1,750,053 | ||||||
10,947,585 | ||||||||
Materials – 4.2% | ||||||||
CF Industries Holdings, Inc. | 12,717 | 1,077,130 | ||||||
Dow, Inc. | 11,566 | 686,442 | ||||||
Eagle Materials, Inc. | 8,547 | 1,248,546 | ||||||
Louisiana-Pacific Corp. (d) | 13,026 | 886,940 | ||||||
LyondellBasell Industries NV – Class A | 11,632 | 1,124,698 | ||||||
Olin Corp. | 18,478 | 1,193,494 | ||||||
Sylvamo Corp. | 12,585 | 598,165 | ||||||
Trex Co., Inc. (a)(d) | 17,936 | 945,586 | ||||||
7,761,001 | ||||||||
Technology – 33.5% (c) | ||||||||
Accenture PLC – Class A | 6,844 | 1,909,818 | ||||||
Adobe, Inc. (a) | 4,194 | 1,553,206 |
The accompanying notes are an integral part of these financial statements.
7
FCF US Quality ETF
SCHEDULE OF INVESTMENTS
January 31, 2023 (Unaudited) (Continued)
Shares | Value | |||||||
COMMON STOCKS – 96.0% (Continued) | ||||||||
Technology – 33.5% (c) (Continued) | ||||||||
Apple, Inc. | 74,833 | $ | 10,797,654 | |||||
ASML Holding NV – NY Reg Shares | 2,591 | 1,712,236 | ||||||
Atlassian Corp. – Class A (a) | 6,043 | 976,670 | ||||||
Autodesk, Inc. (a) | 4,988 | 1,073,218 | ||||||
Box, Inc. – Class A (a)(d) | 31,782 | 1,016,706 | ||||||
Broadcom, Inc. | 3,852 | 2,253,459 | ||||||
Cadence Design Systems, Inc. (a) | 8,028 | 1,467,759 | ||||||
Cisco Systems, Inc. | 42,587 | 2,072,709 | ||||||
CommVault Systems, Inc. (a) | 13,807 | 859,210 | ||||||
Crowdstrike Holdings, Inc. – Class A (a) | 2,430 | 257,337 | ||||||
Datadog, Inc. – Class A (a)(d) | 4,443 | 332,381 | ||||||
DocuSign, Inc. (a) | 6,739 | 408,653 | ||||||
Dropbox, Inc. – Class A (a) | 46,630 | 1,083,215 | ||||||
Extreme Networks, Inc. (a) | 32,327 | 582,856 | ||||||
FactSet Research Systems, Inc. | 2,539 | 1,073,845 | ||||||
Fair Isaac Corp. (a) | 2,735 | 1,821,373 | ||||||
Fortinet, Inc. (a) | 30,724 | 1,608,094 | ||||||
Gartner, Inc. (a) | 4,652 | 1,573,027 | ||||||
HP, Inc. (d) | 41,103 | 1,197,741 | ||||||
International Business Machines Corp. (d) | 6,995 | 942,436 | ||||||
Jack Henry & Associates, Inc. | 6,771 | 1,219,389 | ||||||
Manhattan Associates, Inc. (a) | 7,820 | 1,019,415 | ||||||
MarketAxess Holdings, Inc. | 1,520 | 553,052 | ||||||
Mastercard, Inc. – Class A | 5,170 | 1,916,002 | ||||||
MaxLinear, Inc. (a)(d) | 8,558 | 352,590 | ||||||
Microchip Technology, Inc. | 8,808 | 683,677 | ||||||
Microsoft Corp. | 19,640 | 4,866,988 | ||||||
Motorola Solutions, Inc. | 3,072 | 789,535 | ||||||
MSCI, Inc. | 1,854 | 985,512 | ||||||
NVIDIA Corp. | 8,824 | 1,723,945 | ||||||
Palo Alto Networks, Inc. (a)(d) | 9,900 | 1,570,536 | ||||||
Paychex, Inc. | 5,380 | 623,327 | ||||||
Progress Software Corp. (d) | 15,036 | 797,509 | ||||||
Pure Storage, Inc. – Class A (a) | 33,432 | 967,522 | ||||||
Qualys, Inc. (a) | 4,920 | 567,571 | ||||||
Rambus, Inc. (a)(d) | 16,129 | 652,741 | ||||||
ServiceNow, Inc. (a)(d) | 3,359 | 1,528,782 |
The accompanying notes are an integral part of these financial statements.
8
FCF US Quality ETF
SCHEDULE OF INVESTMENTS
January 31, 2023 (Unaudited) (Continued)
Shares | Value | |||||||
COMMON STOCKS – 96.0% (Continued) | ||||||||
Technology – 33.5% (c) (Continued) | ||||||||
Synopsys, Inc. (a) | 3,125 | $ | 1,105,469 | |||||
Teradata Corp. (a) | 18,700 | 652,256 | ||||||
Veeva Systems, Inc. – Class A (a) | 1,822 | 310,742 | ||||||
Visa, Inc. – Class A (d) | 6,442 | 1,483,013 | ||||||
VMware, Inc. – Class A (a) | 4,615 | 565,199 | ||||||
61,508,375 | ||||||||
Utilities – 1.4% | ||||||||
Clearway Energy, Inc. – Class C (d) | 24,996 | 844,615 | ||||||
ONE Gas, Inc. | 20,881 | 1,719,759 | ||||||
2,564,374 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $160,643,436) | 176,199,364 | |||||||
REITs – 2.9% | ||||||||
Real Estate – 2.9% | ||||||||
American Tower Corp. | 5,592 | 1,249,197 | ||||||
Gaming and Leisure Properties, Inc. (d) | 14,310 | 766,443 | ||||||
Iron Mountain, Inc. (d) | 21,667 | 1,182,585 | ||||||
Lamar Advertising Co. – Class A | 9,894 | 1,054,107 | ||||||
Simon Property Group, Inc. | 7,704 | 989,656 | ||||||
TOTAL REITs | ||||||||
(Cost $5,019,637) | 5,241,988 | |||||||
MONEY MARKET FUND – 0.8% | ||||||||
Fidelity Institutional Money Market Fund – | ||||||||
Government Portfolio, Institutional Class, 4.20% (b) | 1,492,038 | 1,492,038 | ||||||
TOTAL MONEY MARKET FUND | ||||||||
(Cost $1,492,038) | 1,492,038 |
9
FCF US Quality ETF
SCHEDULE OF INVESTMENTS
January 31, 2023 (Unaudited) (Continued)
Shares | Value | |||||||
INVESTMENT PURCHASED WITH THE CASH | ||||||||
PROCEEDS FROM SECURITIES LENDING – 8.2% | ||||||||
Investment Company – 8.2% | ||||||||
Mount Vernon Liquid Asset Portfolio, LLC, 4.53% (b) | 14,982,931 | $ | 14,982,931 | |||||
TOTAL INVESTMENT PURCHASED WITH THE | ||||||||
CASH PROCEEDS FROM SECURITIES LENDING | ||||||||
(Cost $14,982,931) | 14,982,931 | |||||||
Total Investments (Cost $182,138,042) – 107.9% | 197,916,321 | |||||||
Liabilities in Excess of Other Assets – (7.9)% | (14,429,224 | ) | ||||||
TOTAL NET ASSETS – 100.0% | $ | 183,487,097 |
Percentages are stated as a percent of net assets.
PLC – Public Limited Company
REIT – Real Estate Investment Trust
(a) | Non-income producing security. |
(b) | Rate disclosed is the seven day annualized yield as of January 31, 2023. |
(c) | Amount represents investments in a particular sector. No industry within this sector represented more than 25% of the Fund’s total assets at the time of investment. |
(d) | All or a portion of this security was out on loan at January 31, 2023. Total loaned securities had a market value of $14,892,064 as of January 31, 2023. |
For Fund compliance purposes, the Fund’s sector classifications refers to any one or more of the sector classifications used by one or more widely recognized market indexes or ratings group indexes, and/or they may be defined by Fund management. This definition does not apply for all purposes of this report, which may combine classifications for reporting ease.
The accompanying notes are an integral part of these financial statements.
10
FCF International Quality ETF
SCHEDULE OF INVESTMENTS
January 31, 2023 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS – 94.7% | ||||||||
Communications – 5.5% | ||||||||
AfreecaTV Co., Ltd. | 1,240 | $ | 79,929 | |||||
Auto Trader Group PLC (b) | 19,753 | 152,690 | ||||||
Kakaku.com, Inc. | 8,918 | 147,303 | ||||||
KDDI Corp. | 6,706 | 209,116 | ||||||
MTN Group, Ltd. | 9,941 | 83,910 | ||||||
MultiChoice Group | 27,415 | 188,754 | ||||||
NetEase, Inc. – ADR | 3,424 | 303,401 | ||||||
Telenor ASA | 18,190 | 190,162 | ||||||
Telstra Corp., Ltd. | 62,169 | 179,039 | ||||||
1,534,304 | ||||||||
Consumer Discretionary – 12.2% | ||||||||
ANTA Sports Products, Ltd. | 14,516 | 219,189 | ||||||
Bunzl PLC | 3,409 | 124,823 | ||||||
BYD Co., Ltd. – Class H | 12,356 | 386,068 | ||||||
Ferrari NV (e) | 368 | 92,482 | ||||||
Geberit AG – Reg Shares | 369 | 208,623 | ||||||
Hennes & Mauritz AB – Class B | 17,865 | 218,871 | ||||||
Hermes International | 171 | 318,729 | ||||||
Howden Joinery Group PLC | 21,644 | 184,225 | ||||||
Industria de Diseno Textil SA | 5,157 | 160,455 | ||||||
JD Sports Fashion PLC | 74,631 | 149,744 | ||||||
La Francaise des Jeux SAEM (b) | 4,059 | 173,199 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 663 | 576,622 | ||||||
Pinduoduo, Inc. – ADR (a) | 3,117 | 305,404 | ||||||
Topsports International Holdings, Ltd. (b) | 70,506 | 66,449 | ||||||
ZOZO, Inc. | 7,126 | 183,399 | ||||||
3,368,282 | ||||||||
�� | ||||||||
Consumer Staples – 9.8% | ||||||||
BGF Retail Co., Ltd. | 1,239 | 187,791 | ||||||
Chongqing Brewery Co., Ltd. – Class A | 13,742 | 244,458 | ||||||
Coles Group, Ltd. | 20,045 | 251,282 | ||||||
Dollarama, Inc. | 5,618 | 335,970 | ||||||
Imperial Brands PLC | 8,457 | 211,756 | ||||||
Jeronimo Martins SGPS SA | 9,604 | 208,192 | ||||||
Kweichow Moutai Co., Ltd. – Class A | 401 | 109,539 |
The accompanying notes are an integral part of these financial statements.
11
FCF International Quality ETF
SCHEDULE OF INVESTMENTS
January 31, 2023 (Unaudited) (Continued)
Shares | Value | |||||||
COMMON STOCKS – 94.7% (Continued) | ||||||||
Consumer Staples – 9.8% (Continued) | ||||||||
Loblaw Cos., Ltd. | 2,519 | $ | 225,670 | |||||
L’Oreal SA | 190 | 78,089 | ||||||
Nongfu Spring Co., Ltd. – Class H (b) | 27,967 | 157,826 | ||||||
President Chain Store Corp. | 30,223 | 271,781 | ||||||
Shanxi Xinghuacun Fen Wine | ||||||||
Factory Co., Ltd. – Class A | 6,205 | 267,734 | ||||||
Unilever PLC | 3,369 | 170,645 | ||||||
2,720,733 | ||||||||
Energy – 7.2% | ||||||||
Aker BP ASA | 7,488 | 227,455 | ||||||
BP PLC – ADR | 7,398 | 268,030 | ||||||
Canadian Natural Resources, Ltd. | 3,383 | 207,651 | ||||||
Equinor ASA – ADR (e) | 10,470 | 318,602 | ||||||
Imperial Oil, Ltd. | 4,305 | 235,286 | ||||||
LONGi Green Energy Technology Co., Ltd. – Class A | 28,600 | 203,803 | ||||||
OMV AG | 2,065 | 102,931 | ||||||
Petroleo Brasileiro SA – ADR | 22,768 | 264,109 | ||||||
TotalEnergies SE – ADR (e) | 2,710 | 168,128 | ||||||
1,995,995 | ||||||||
Financials – 12.1% | ||||||||
Admiral Group PLC | 4,795 | 130,053 | ||||||
China Merchants Bank Co., Ltd. – Class H | 11,453 | 74,273 | ||||||
Commonwealth Bank of Australia | 1,322 | 102,701 | ||||||
Deutsche Boerse AG | 789 | 140,887 | ||||||
East Money Information Co., Ltd. – Class A | 2,199 | 7,319 | ||||||
FinecoBank Banca Fineco SpA | 5,773 | 103,242 | ||||||
Gjensidige Forsikring ASA | 7,960 | 142,667 | ||||||
Hargreaves Lansdown PLC | 11,979 | 131,290 | ||||||
Hong Kong Exchanges & Clearing, Ltd. | 6,593 | 296,305 | ||||||
Japan Exchange Group, Inc. | 3,755 | 57,090 | ||||||
Meritz Fire & Marine Insurance Co., Ltd. (c) | 7,742 | 324,312 | ||||||
Partners Group Holding AG | 318 | 296,638 | ||||||
Ping An Insurance Group Co. of China, Ltd. – Class H | 5,810 | 44,976 | ||||||
Royal Bank of Canada | 4,524 | 463,077 | ||||||
Singapore Exchange, Ltd. | 28,577 | 200,548 |
The accompanying notes are an integral part of these financial statements.
12
FCF International Quality ETF
SCHEDULE OF INVESTMENTS
January 31, 2023 (Unaudited) (Continued)
Shares | Value | |||||||
COMMON STOCKS – 94.7% (Continued) | ||||||||
Financials – 12.1% (Continued) | ||||||||
Toronto-Dominion Bank | 5,727 | $ | 396,248 | |||||
Wisdom Marine Lines Co., Ltd. | 90,667 | 183,297 | ||||||
Zurich Insurance Group AG | 536 | 264,750 | ||||||
3,359,673 | ||||||||
Health Care – 10.6% | ||||||||
Amplifon SpA | 6,593 | 181,124 | ||||||
Astellas Pharma, Inc. | 8,895 | 130,693 | ||||||
GSK PLC – ADR | 5,756 | 202,957 | ||||||
Ipsen SA | 1,385 | 145,149 | ||||||
Medibank Pvt, Ltd. | 74,619 | 154,849 | ||||||
Novo Nordisk A/S – Class B | 7,379 | 1,016,908 | ||||||
Orion Oyj – Class B | 2,348 | 125,563 | ||||||
Roche Holding AG | 1,697 | 528,749 | ||||||
Sonic Healthcare, Ltd. | 9,492 | 211,584 | ||||||
Zhangzhou Pientzehuang | ||||||||
Pharmaceutical Co., Ltd. – Class A | 4,930 | 226,766 | ||||||
2,924,342 | ||||||||
Industrials – 10.7% | ||||||||
AP Moller – Maersk A/S – Class A | 115 | 243,858 | ||||||
Atlas Copco AB – Class A | 21,739 | 256,396 | ||||||
COSCO SHIPPING Holdings Co., Ltd. – Class H | 150,068 | 155,022 | ||||||
Dassault Aviation SA | 1,335 | 227,425 | ||||||
Deutsche Post AG – Reg Shares | 2,544 | 108,913 | ||||||
Evergreen Marine Corp. Taiwan, Ltd. | 21,067 | 106,651 | ||||||
Intertek Group PLC | 3,400 | 182,129 | ||||||
Kone Oyj – Class B | 3,054 | 166,140 | ||||||
Korean Air Lines Co., Ltd. (a) | 8,194 | 161,312 | ||||||
Kuehne + Nagel International AG – Reg Shares | 951 | 226,038 | ||||||
Orient Overseas International, Ltd. | 5,616 | 92,894 | ||||||
Recruit Holdings Co., Ltd. | 5,112 | 162,748 | ||||||
Safran SA | 1,620 | 232,123 | ||||||
Schindler Holding AG | 746 | 158,367 | ||||||
SGS SA – Reg Shares | 102 | 247,897 | ||||||
Wan Hai Lines, Ltd. | 41,400 | 104,655 | ||||||
Yang Ming Marine Transport Corp. | 63,200 | 131,557 | ||||||
2,964,125 |
The accompanying notes are an integral part of these financial statements.
13
FCF International Quality ETF
SCHEDULE OF INVESTMENTS
January 31, 2023 (Unaudited) (Continued)
Shares | Value | |||||||
COMMON STOCKS – 94.7% (Continued) | ||||||||
Materials – 8.0% | ||||||||
Aluminum Corp of China, Ltd. – Class H | 244,704 | $ | 130,136 | |||||
BHP Group, Ltd. | 12,869 | 448,548 | ||||||
Evraz PLC (c) | 49,526 | 49,390 | ||||||
Exxaro Resources, Ltd. | 11,512 | 144,072 | ||||||
Fortescue Metals Group, Ltd. | 14,067 | 220,825 | ||||||
Kumba Iron Ore, Ltd. | 7,258 | 220,889 | ||||||
OCI NV | 5,454 | 185,231 | ||||||
Rio Tinto, Ltd. | 2,022 | 180,744 | ||||||
Shaanxi Coal Industry Co., Ltd. – Class A | 114,717 | 331,913 | ||||||
Sibanye Stillwater, Ltd. | 57,154 | 148,962 | ||||||
Xinyi Glass Holdings, Ltd. | 75,775 | 160,998 | ||||||
2,221,708 | ||||||||
Real Estate – 0.5% | ||||||||
Daito Trust Construction Co., Ltd. | 1,435 | 141,334 | ||||||
Technology – 16.6% | ||||||||
Accenture PLC – Class A | 723 | 201,753 | ||||||
ASML Holding NV | 1,060 | 694,421 | ||||||
Atlassian Corp. – Class A (a)(e) | 1,384 | 223,682 | ||||||
CGI, Inc. (a) | 1,106 | 94,794 | ||||||
Check Point Software Technologies, Ltd. (a) | 2,164 | 275,261 | ||||||
Constellation Software, Inc. | 243 | 429,324 | ||||||
eMemory Technology, Inc. | 3,334 | 179,886 | ||||||
Experian PLC | 6,791 | 247,233 | ||||||
Globalwafers Co., Ltd. | 12,000 | 209,026 | ||||||
Infosys, Ltd. – ADR (e) | 6,117 | 115,000 | ||||||
Lenovo Group, Ltd. | 202,520 | 161,941 | ||||||
Nomura Research Institute, Ltd. | 4,352 | 103,647 | ||||||
Nuvoton Technology Corp. | 18,656 | 80,465 | ||||||
Realtek Semiconductor Corp. | 13,085 | 139,457 | ||||||
RELX PLC | 13,303 | 393,942 | ||||||
Temenos AG – Reg Shares | 1,514 | 107,460 | ||||||
Trend Micro, Inc. | 3,206 | 157,388 | ||||||
Unimicron Technology Corp. | 59,500 | 270,499 | ||||||
Wiwynn Corp. | 8,000 | 199,833 | ||||||
Wolters Kluwer NV | 2,902 | 315,963 | ||||||
4,600,975 |
The accompanying notes are an integral part of these financial statements.
14
FCF International Quality ETF
SCHEDULE OF INVESTMENTS
January 31, 2023 (Unaudited) (Continued)
Shares | Value | |||||||
COMMON STOCKS – 94.7% (Continued) | ||||||||
Utilities – 1.5% | ||||||||
Elia Group SA/NV | 1,395 | $ | 195,334 | |||||
Origin Energy, Ltd. | 43,079 | 227,143 | ||||||
422,477 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $29,201,938) | 26,253,948 | |||||||
REITs – 1.2% | ||||||||
Real Estate – 1.2% | ||||||||
Goodman Group | 18,135 | 255,628 | ||||||
Segro PLC | 8,639 | 88,421 | ||||||
TOTAL REITs | ||||||||
(Cost $409,219) | 344,049 | |||||||
PREFERRED STOCK – 0.7% | ||||||||
Utilities – 0.7% | ||||||||
Cia Energetica de Minas Gerais – ADR (e) | 92,458 | 207,106 | ||||||
TOTAL PREFERRED STOCK | ||||||||
(Cost $179,176) | 207,106 |
The accompanying notes are an integral part of these financial statements.
15
FCF International Quality ETF
SCHEDULE OF INVESTMENTS
January 31, 2023 (Unaudited) (Continued)
Shares | Value | |||||||
MONEY MARKET FUND – 0.7% | ||||||||
Fidelity Institutional Money Market Fund – | ||||||||
Government Portfolio, Institutional Class, 4.20% (d) | 184,568 | $ | 184,568 | |||||
TOTAL MONEY MARKET FUND | ||||||||
(Cost $184,568) | 184,568 | |||||||
INVESTMENT PURCHASED WITH THE CASH | ||||||||
PROCEEDS FROM SECURITIES LENDING – 2.5% | ||||||||
Investment Company – 2.5% | ||||||||
Mount Vernon Liquid Asset Portfolio, LLC, 4.53% (d) | 684,129 | 684,129 | ||||||
TOTAL INVESTMENT PURCHASED WITH THE | ||||||||
CASH PROCEEDS FROM SECURITIES LENDING | ||||||||
(Cost $684,129) | 684,129 | |||||||
Total Investments (Cost $30,659,030) – 99.8% | 27,673,800 | |||||||
Other Assets in Excess of Liabilities – 0.2% | 61,051 | |||||||
TOTAL NET ASSETS – 100.0% | $ | 27,734,851 |
Percentages are stated as a percent of net assets.
ADR – American Depositary Receipt
PLC – Public Limited Company
REIT – Real Estate Investment Trust
(a) | Non-income producing security. |
(b) | Security exempt from registration under Rule 144(a) and Regulation S of the Securities Act of 1933. Such securities are treated as liquid securities according to the Fund’s liquidity guidelines. At January 31, 2023, the value of these securities amounted to $550,164 or 1.98% of net assets. |
(c) | Value determined using significant unobservable inputs. The value of these securities at January 31, 2023 is $373,702 or 1.35% of net assets. |
(d) | Rate disclosed is the seven day annualized yield as of January 31, 2023. |
(e) | All or a portion of this security was out on loan at January 31, 2023. Total loaned securities had a market value of $678,846 as of January 31, 2023. |
For Fund compliance purposes, the Fund’s sector classifications refers to any one or more of the sector classifications used by one or more widely recognized market indexes or ratings group indexes, and/or they may be defined by Fund management. This definition does not apply for all purposes of this report, which may combine classifications for reporting ease.
The accompanying notes are an integral part of these financial statements.
16
Donoghue Forlines Tactical High Yield ETF
SCHEDULE OF INVESTMENTS
January 31, 2023 (Unaudited)
Shares | Value | |||||||
EXCHANGE-TRADED FUNDS – 99.9% | ||||||||
iShares 0-5 Year High Yield Corporate Bond ETF (b) | 100,544 | $ | 4,223,853 | |||||
iShares Broad USD High Yield Corporate Bond ETF | 193,881 | 6,939,001 | ||||||
iShares Fallen Angels USD Bond ETF | 110,505 | 2,823,403 | ||||||
iShares iBoxx High Yield Corporate Bond ETF (b) | 82,933 | 6,330,276 | ||||||
SPDR Bloomberg High Yield Bond ETF (b) | 48,984 | 4,586,372 | ||||||
SPDR Bloomberg Short-Term High Yield Bond ETF | 102,380 | 2,561,547 | ||||||
VanEck Fallen Angel High Yield Bond ETF | 93,057 | 2,612,110 | ||||||
Xtrackers USD High Yield Corporate Bond ETF | 145,907 | 5,102,368 | ||||||
TOTAL EXCHANGE-TRADED FUNDS | ||||||||
(Cost $34,774,520) | 35,178,930 | |||||||
MONEY MARKET FUND – 0.2% | ||||||||
Fidelity Institutional Money Market Fund – | ||||||||
Government Portfolio, Institutional Class, 4.20% (a) | 72,435 | 72,435 | ||||||
TOTAL MONEY MARKET FUND | ||||||||
(Cost $72,435) | 72,435 | |||||||
INVESTMENT PURCHASED WITH THE CASH | ||||||||
PROCEEDS FROM SECURITIES LENDING – 33.5% | ||||||||
Investment Company – 33.5% | ||||||||
Mount Vernon Liquid Asset Portfolio, LLC, 4.53% (a) | 11,816,185 | 11,816,185 | ||||||
TOTAL INVESTMENT PURCHASED WITH THE | ||||||||
CASH PROCEEDS FROM SECURITIES LENDING | ||||||||
(Cost $11,816,185) | 11,816,185 | |||||||
Total Investments (Cost $46,663,140) – 133.6% | 47,067,550 | |||||||
Liabilities in Excess of Other Assets – (33.6%) | (11,834,496 | ) | ||||||
TOTAL NET ASSETS – 100.0% | $ | 35,233,054 |
Percentages are stated as a percent of net assets.
ETF – Exchange-Traded Fund
(a) | Rate disclosed is the seven day annualized yield as of January 31, 2023. |
(b) | All or a portion of this security was out on loan at January 31, 2023. Total loaned securities had a market value of $11,635,440 as of January 31, 2023. |
The accompanying notes are an integral part of these financial statements.
17
Donoghue Forlines Risk Managed Innovation ETF
SCHEDULE OF INVESTMENTS
January 31, 2023 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS – 51.3% | ||||||||
Communications – 7.0% | ||||||||
Airbnb, Inc. – Class A (a) | 3,090 | $ | 343,330 | |||||
Alphabet, Inc. – Class A (a) | 7,984 | 789,139 | ||||||
Expedia Group, Inc. (a) | 2,215 | 253,175 | ||||||
GoDaddy, Inc. – Class A (a) | 2,695 | 221,340 | ||||||
Match Group, Inc. (a) | 4,286 | 231,958 | ||||||
Meta Platforms, Inc. – Class A (a) | 4,412 | 657,256 | ||||||
ROBLOX Corp. – Class A (a) | 7,457 | 277,475 | ||||||
Trade Desk, Inc. – Class A (a)(d) | 5,083 | 257,708 | ||||||
Zillow Group, Inc. – Class C (a)(d) | 5,207 | 230,201 | ||||||
3,261,582 | ||||||||
Consumer Discretionary – 1.1% | ||||||||
eBay, Inc. (d) | 5,873 | 290,713 | ||||||
Etsy, Inc. (a)(d) | 1,796 | 247,094 | ||||||
537,807 | ||||||||
Energy – 0.5% | ||||||||
Enphase Energy, Inc. (a) | 992 | 219,609 | ||||||
Health Care – 12.2% | ||||||||
AbbVie, Inc. | 3,452 | 510,033 | ||||||
Amgen, Inc. | 1,617 | 408,131 | ||||||
Bristol-Myers Squibb Co. | 6,000 | 435,900 | ||||||
Eli Lilly & Co. | 1,574 | 541,692 | ||||||
Exelixis, Inc. (a) | 8,611 | 151,726 | ||||||
Gilead Sciences, Inc. | 4,870 | 408,788 | ||||||
Halozyme Therapeutics, Inc. (a)(d) | 3,115 | 161,264 | ||||||
Hologic, Inc. (a) | 3,174 | 258,268 | ||||||
Ionis Pharmaceuticals, Inc. (a) | 3,790 | 151,107 | ||||||
Jazz Pharmaceuticals PLC (a) | 1,291 | 202,248 | ||||||
Johnson & Johnson | 3,427 | 560,040 | ||||||
Merck & Co., Inc. | 4,855 | 521,476 | ||||||
Neurocrine Biosciences, Inc. (a) | 1,685 | 186,917 | ||||||
QIAGEN NV (a) | 3,983 | 195,167 | ||||||
Regeneron Pharmaceuticals, Inc. (a) | 489 | 370,892 | ||||||
Royalty Pharma PLC – Class A | 5,387 | 211,117 | ||||||
Vertex Pharmaceuticals, Inc. (a) | 1,214 | 392,243 | ||||||
5,667,009 |
The accompanying notes are an integral part of these financial statements.
18
Donoghue Forlines Risk Managed Innovation ETF
SCHEDULE OF INVESTMENTS
January 31, 2023 (Unaudited) (Continued)
Shares | Value | |||||||
COMMON STOCKS – 51.3% (Continued) | ||||||||
Industrials – 0.9% | ||||||||
Lockheed Martin Corp. | 871 | $ | 403,499 | |||||
Technology – 29.6% (c) | ||||||||
Adobe, Inc. (a) | 1,377 | 509,958 | ||||||
Akamai Technologies, Inc. (a) | 2,337 | 207,876 | ||||||
ANSYS, Inc. (a) | 960 | 255,706 | ||||||
Apple, Inc. | 7,046 | 1,016,667 | ||||||
Atlassian Corp. – Class A (a) | 1,914 | 309,341 | ||||||
Autodesk, Inc. (a) | 1,607 | 345,762 | ||||||
Bentley Systems, Inc. – Class B | 5,283 | 206,301 | ||||||
Broadcom, Inc. | 961 | 562,195 | ||||||
Cadence Design Systems, Inc. (a) | 1,919 | 350,851 | ||||||
Cisco Systems, Inc. | 9,881 | 480,908 | ||||||
Crowdstrike Holdings, Inc. – Class A (a) | 2,324 | 246,112 | ||||||
Datadog, Inc. – Class A (a)(d) | 3,470 | 259,591 | ||||||
DocuSign, Inc. (a) | 4,348 | 263,663 | ||||||
Dropbox, Inc. – Class A (a) | 7,485 | 173,877 | ||||||
Dynatrace, Inc. (a) | 5,452 | 209,520 | ||||||
F5, Inc. (a) | 1,272 | 187,823 | ||||||
FactSet Research Systems, Inc. | 517 | 218,660 | ||||||
Fair Isaac Corp. (a) | 368 | 245,070 | ||||||
Fortinet, Inc. (a) | 5,806 | 303,886 | ||||||
HubSpot, Inc. (a) | 766 | 265,810 | ||||||
International Business Machines Corp. (d) | 2,925 | 394,085 | ||||||
Intuit, Inc. | 1,033 | 436,618 | ||||||
Jack Henry & Associates, Inc. | 1,157 | 208,364 | ||||||
Lattice Semiconductor Corp. (a) | 2,837 | 215,016 | ||||||
Manhattan Associates, Inc. (a) | 1,534 | 199,972 | ||||||
Microchip Technology, Inc. | 4,007 | 311,023 | ||||||
Motorola Solutions, Inc. | 1,098 | 282,197 | ||||||
NetApp, Inc. | 3,341 | 221,274 | ||||||
Palantir Technologies, Inc. – Class A (a)(d) | 30,237 | 235,244 | ||||||
Palo Alto Networks, Inc. (a)(d) | 1,999 | 317,121 | ||||||
Paylocity Holding Corp. (a) | 950 | 197,875 | ||||||
PayPal Holdings, Inc. (a) | 4,910 | 400,116 | ||||||
PTC, Inc. (a) | 1,724 | 232,533 | ||||||
Pure Storage, Inc. – Class A (a) | 6,874 | 198,934 |
The accompanying notes are an integral part of these financial statements.
19
Donoghue Forlines Risk Managed Innovation ETF
SCHEDULE OF INVESTMENTS
January 31, 2023 (Unaudited) (Continued)
Shares | Value | |||||||
COMMON STOCKS – 51.3% (Continued) | ||||||||
Technology – 29.6% (c) (Continued) | ||||||||
Qorvo, Inc. (a) | 1,960 | $ | 212,974 | |||||
Qualys, Inc. (a) | 1,016 | 117,206 | ||||||
Salesforce, Inc. (a) | 2,807 | 471,492 | ||||||
ServiceNow, Inc. (a)(d) | 946 | 430,553 | ||||||
Snowflake, Inc. – Class A (a) | 2,116 | 331,027 | ||||||
SPS Commerce, Inc. (a) | 952 | 129,548 | ||||||
Synopsys, Inc. (a) | 999 | 353,396 | ||||||
Ubiquiti, Inc. (d) | 767 | 224,087 | ||||||
Veeva Systems, Inc. – Class A (a) | 1,450 | 247,297 | ||||||
Workday, Inc. – Class A (a) | 1,771 | 321,313 | ||||||
Zoom Video Communications, Inc. – Class A (a)(d) | 3,199 | 239,925 | ||||||
Zscaler, Inc. (a) | 1,881 | 233,545 | ||||||
13,782,312 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $25,045,347) | 23,871,818 | |||||||
EXCHANGE-TRADED FUNDS – 48.5% | ||||||||
iShares 1-3 Year Treasury Bond ETF (d) | 76,811 | 6,283,140 | ||||||
Schwab Short-Term U.S. Treasury ETF | 107,615 | 5,230,089 | ||||||
SPDR Portfolio Short Term Treasury ETF | 119,529 | 3,480,684 | ||||||
Vanguard Short-Term Treasury ETF | 130,206 | 7,584,500 | ||||||
TOTAL EXCHANGE-TRADED FUNDS | ||||||||
(Cost $22,670,022) | 22,578,413 | |||||||
MONEY MARKET FUND – 0.2% | ||||||||
Fidelity Institutional Money Market Fund – | ||||||||
Government Portfolio, Institutional Class, 4.20% (b) | 81,863 | 81,863 | ||||||
TOTAL MONEY MARKET FUND | ||||||||
(Cost $81,863) | 81,863 |
The accompanying notes are an integral part of these financial statements.
20
Donoghue Forlines Risk Managed Innovation ETF
SCHEDULE OF INVESTMENTS
January 31, 2023 (Unaudited) (Continued)
Shares | Value | |||||||
INVESTMENT PURCHASED WITH THE CASH | ||||||||
PROCEEDS FROM SECURITIES LENDING – 10.5% | ||||||||
Investment Company – 10.5% | ||||||||
Mount Vernon Liquid Asset Portfolio, LLC, 4.53% (b) | 4,873,821 | $ | 4,873,821 | |||||
TOTAL INVESTMENT PURCHASED WITH THE | ||||||||
CASH PROCEEDS FROM SECURITIES LENDING | ||||||||
(Cost $4,873,821) | 4,873,821 | |||||||
Total Investments (Cost $52,671,053) – 110.5% | 51,405,915 | |||||||
Liabilities in Excess of Other Assets – (10.5)% | (4,890,570 | ) | ||||||
TOTAL NET ASSETS – 100.0% | $ | 46,515,345 |
Percentages are stated as a percent of net assets.
ETF – Exchange-Traded Fund
PLC – Public Limited Company
(a) | Non-income producing security. |
(b) | Rate disclosed is the seven day annualized yield as of January 31, 2023. |
(c) | The amount represents investments in a particular sector. Within the sector, the Fund will concentrate its investments (i.e. invest more than 25% of its total assets) in a particular industry or group of industries to approximately the same extent of the FCF Risk Managed Quality Innovation Index is concentrated. |
(d) | All or a portion of this security was out on loan at January 31, 2023. Total loaned securities had a market value of $4,808,309 as of January 31, 2023. |
For Fund compliance purposes, the Fund’s sector classifications refers to any one or more of the sector classifications used by one or more widely recognized market indexes or ratings group indexes, and/or they may be defined by Fund management. This definition does not apply for all purposes of this report, which may combine classifications for reporting ease.
The accompanying notes are an integral part of these financial statements.
21
Donoghue Forlines Yield Enhanced Real Asset ETF
SCHEDULE OF INVESTMENTS
January 31, 2023 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS – 66.0% | ||||||||
Energy – 32.6% (c) | ||||||||
Antero Midstream Corp. | 46,440 | $ | 506,196 | |||||
BP PLC – ADR | 32,236 | 1,167,910 | ||||||
Chevron Corp. | 8,088 | 1,407,474 | ||||||
Civitas Resources, Inc. | 6,886 | 458,263 | ||||||
ConocoPhillips | 9,126 | 1,112,185 | ||||||
Coterra Energy, Inc. | 21,789 | 545,379 | ||||||
Diamondback Energy, Inc. | 4,719 | 689,540 | ||||||
DT Midstream, Inc. | 8,202 | 448,321 | ||||||
Ecopetrol SA – ADR (b) | 69,080 | 786,821 | ||||||
Eni SpA – ADR (b) | 28,583 | 883,215 | ||||||
EOG Resources, Inc. | 5,802 | 767,314 | ||||||
Equinor ASA – ADR (b) | 29,279 | 890,960 | ||||||
Equitrans Midstream Corp. | 58,547 | 424,466 | ||||||
Exxon Mobil Corp. | 14,708 | 1,706,275 | ||||||
Kinder Morgan, Inc. (b) | 44,359 | 811,770 | ||||||
Murphy Oil Corp. | 10,390 | 453,108 | ||||||
ONEOK, Inc. (b) | 12,178 | 833,949 | ||||||
Petroleo Brasileiro SA – ADR | 79,233 | 919,103 | ||||||
Plains GP Holdings LP – Class A | 28,343 | 371,010 | ||||||
TotalEnergies SE – ADR | 20,591 | 1,277,466 | ||||||
Williams Cos., Inc. | 25,358 | 817,542 | ||||||
Woodside Energy Group, Ltd. – ADR | 30,467 | 791,533 | ||||||
18,069,800 | ||||||||
Industrials – 14.9% | ||||||||
Allison Transmission Holdings, Inc. | 8,045 | 362,669 | ||||||
AO Smith Corp. (b) | 7,915 | 535,846 | ||||||
Emerson Electric Co. | 6,545 | 590,490 | ||||||
Honeywell International, Inc. | 3,946 | 822,662 | ||||||
Hubbell, Inc. | 2,290 | 524,204 | ||||||
Norfolk Southern Corp. | 3,129 | 769,139 | ||||||
Oshkosh Corp. | 4,093 | 412,493 | ||||||
Parker-Hannifin Corp. (b) | 2,641 | 860,966 | ||||||
Siemens AG – ADR | 15,779 | 1,232,024 | ||||||
Union Pacific Corp. | 4,618 | 942,949 | ||||||
Waste Management, Inc. | 4,898 | 757,868 | ||||||
Watsco, Inc. (b) | 1,514 | 435,078 | ||||||
8,246,388 |
The accompanying notes are an integral part of these financial statements.
22
Donoghue Forlines Yield Enhanced Real Asset ETF
SCHEDULE OF INVESTMENTS
January 31, 2023 (Unaudited) (Continued)
Shares | Value | |||||||
COMMON STOCKS – 66.0% (Continued) | ||||||||
Materials – 18.5% | ||||||||
Avient Corp. | 9,823 | $ | 398,028 | |||||
BHP Group, Ltd. – ADR (b) | 20,721 | 1,453,578 | ||||||
Celanese Corp. | 4,151 | 511,403 | ||||||
Dow, Inc. | 16,916 | 1,003,965 | ||||||
Element Solutions, Inc. | 18,070 | 370,074 | ||||||
Huntsman Corp. | 17,475 | 553,783 | ||||||
LyondellBasell Industries NV – Class A | 9,711 | 938,956 | ||||||
Newmont Corp. | 16,924 | 895,787 | ||||||
Olin Corp. | 9,285 | 599,718 | ||||||
Rio Tinto PLC – ADR (b) | 15,735 | 1,248,572 | ||||||
Sibanye Stillwater, Ltd. – ADR (b) | 55,593 | 598,181 | ||||||
Southern Copper Corp. (b) | 14,756 | 1,109,799 | ||||||
Ternium SA – ADR | 13,798 | 556,749 | ||||||
10,238,593 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $34,554,380) | 36,554,781 | |||||||
REITs – 18.2% | ||||||||
Financials – 0.8% | ||||||||
Starwood Property Trust, Inc. | 23,113 | 482,831 | ||||||
Real Estate – 17.4% | ||||||||
American Tower Corp. | 3,913 | 874,125 | ||||||
AvalonBay Communities, Inc. | 3,216 | 570,647 | ||||||
Boston Properties, Inc. | 6,033 | 449,700 | ||||||
Crown Castle, Inc. | 6,315 | 935,315 | ||||||
EastGroup Properties, Inc. | 2,962 | 498,356 | ||||||
Equity LifeStyle Properties, Inc. | 7,575 | 543,733 | ||||||
Extra Space Storage, Inc. | 3,582 | 565,347 | ||||||
Gaming and Leisure Properties, Inc. (b) | 12,470 | 667,893 | ||||||
Iron Mountain, Inc. | 12,490 | 681,704 | ||||||
Lamar Advertising Co. – Class A | 6,088 | 648,616 | ||||||
LXP Industrial Trust | 32,131 | 371,113 | ||||||
Medical Properties Trust, Inc. (b) | 37,689 | 488,073 | ||||||
Omega Healthcare Investors, Inc. (b) | 16,494 | 485,583 |
The accompanying notes are an integral part of these financial statements.
23
Donoghue Forlines Yield Enhanced Real Asset ETF
SCHEDULE OF INVESTMENTS
January 31, 2023 (Unaudited) (Continued)
Shares | Value | |||||||
REITs – 18.2% (Continued) | ||||||||
Real Estate – 17.4% (Continued) | ||||||||
Public Storage | 2,805 | $ | 853,674 | |||||
Simon Property Group, Inc. | 7,697 | 988,757 | ||||||
9,622,636 | ||||||||
TOTAL REITs | ||||||||
(Cost $9,891,678) | 10,105,467 | |||||||
MASTER LIMITED PARTNERSHIPS – 12.6% | ||||||||
Energy – 11.8% | ||||||||
Cheniere Energy Partners LP | 13,660 | 745,426 | ||||||
DCP Midstream, LP | 14,826 | 623,285 | ||||||
Energy Transfer, LP | 67,892 | 901,606 | ||||||
EnLink Midstream, LLC | 43,458 | 552,786 | ||||||
Enterprise Products Partners, LP | 37,880 | 969,728 | ||||||
Magellan Midstream Partners, LP | 11,500 | 614,100 | ||||||
MPLX, LP | 25,594 | 893,742 | ||||||
Plains All American Pipeline, LP | 49,070 | 611,412 | ||||||
Western Midstream Partners, LP | 23,352 | 630,971 | ||||||
6,543,056 | ||||||||
Materials – 0.8% | ||||||||
Alliance Resource Partners, LP | 18,130 | 415,721 | ||||||
TOTAL MASTER LIMITED PARTNERSHIPS | ||||||||
(Cost $6,183,245) | 6,958,777 | |||||||
PREFERRED STOCKS – 2.6% | ||||||||
Energy – 1.5% | ||||||||
Petroleo Brasileiro SA – ADR | 82,073 | 846,993 | ||||||
Materials – 1.1% | ||||||||
Gerdau SA – ADR | 88,143 | 572,930 | ||||||
TOTAL PREFERRED STOCKS | ||||||||
(Cost $1,360,065) | 1,419,923 | |||||||
MONEY MARKET FUND – 0.5% | ||||||||
Fidelity Institutional Money Market Fund – | ||||||||
Government Portfolio, Institutional Class, 4.20% (a) | 265,730 | 265,730 | ||||||
TOTAL MONEY MARKET FUND | ||||||||
(Cost $265,730) | 265,730 |
The accompanying notes are an integral part of these financial statements.
24
Donoghue Forlines Yield Enhanced Real Asset ETF
SCHEDULE OF INVESTMENTS
January 31, 2023 (Unaudited) (Continued)
Shares | Value | |||||||
INVESTMENT PURCHASED WITH THE CASH | ||||||||
PROCEEDS FROM SECURITIES LENDING – 16.3% | ||||||||
Investment Company – 16.3% | ||||||||
Mount Vernon Liquid Asset Portfolio, LLC, 4.53% (a) | 9,046,749 | $ | 9,046,749 | |||||
TOTAL INVESTMENT PURCHASED WITH THE | ||||||||
CASH PROCEEDS FROM SECURITIES LENDING | ||||||||
(Cost $9,046,749) | 9,046,749 | |||||||
Total Investments (Cost $61,301,847) – 116.2% | 64,351,427 | |||||||
Liabilities in Excess of Other Assets – (16.2)% | (8,970,903 | ) | ||||||
TOTAL NET ASSETS – 100.0% | $ | 55,380,524 |
Percentages are stated as a percent of net assets.
ADR – American Depositary Receipt
PLC – Public Limited Company
REIT – Real Estate Investment Trust
(a) | Rate disclosed is the seven day annualized yield as of January 31, 2023. |
(b) | All or a portion of this security was out on loan at January 31, 2023. Total loaned securities had a market value of $8,971,722 as of January 31, 2023. |
(c) | The amount represents investments in a particular sector. Within the sector, the Fund will concentrate its investments (i.e. invest more than 25% of its total assets) in a particular industry or group of industries to approximately the same extent of the FCF Yield Enhanced Real Asset Index is concentrated. |
For Fund compliance purposes, the Fund’s sector classifications refers to any one or more of the sector classifications used by one or more widely recognized market indexes or ratings group indexes, and/or they may be defined by Fund management. This definition does not apply for all purposes of this report, which may combine classifications for reporting ease.
The accompanying notes are an integral part of these financial statements.
25
TrimTabs ETF Trust
STATEMENTS OF ASSETS & LIABILITIES
January 31, 2023 (Unaudited)
FCF | ||||||||
FCF US | International | |||||||
Quality ETF | Quality ETF | |||||||
ASSETS | ||||||||
Investments in Securities, at Value* (Including securities on | ||||||||
loan valued at $14,892,064 and $678,846, respectively) | $ | 197,916,321 | $ | 27,673,800 | ||||
Cash | 1,209,660 | — | ||||||
Foreign Currency, at Value* | — | 601,532 | ||||||
Receivable for Investment Securities Sold | 2,342,158 | — | ||||||
Interest and Dividends Receivable | 137,583 | 158,975 | ||||||
Securities Lending Income Receivable | 5,127 | 253 | ||||||
Receivable for Fund Shares Sold | 25,518,045 | — | ||||||
Total Assets | 227,128,894 | 28,434,560 | ||||||
LIABILITIES | ||||||||
Payable for Securities Loaned | 14,982,931 | 684,129 | ||||||
Payable for Investment Securities Purchased | 24,977,330 | — | ||||||
Management Fees Payable | 78,651 | 13,586 | ||||||
Due to Custodian | — | 1,994 | ||||||
Payable for Fund Shares Redeemed | 3,602,885 | — | ||||||
Total Liabilities | 43,641,797 | 699,709 | ||||||
NET ASSETS | $ | 183,487,097 | $ | 27,734,851 | ||||
NET ASSETS CONSIST OF: | ||||||||
Paid-in Capital | $ | 167,579,988 | $ | 40,055,268 | ||||
Total Distributable Earnings (Deficit) | 15,907,109 | (12,320,417 | ) | |||||
Net Assets | $ | 183,487,097 | $ | 27,734,851 | ||||
* Identified Cost: | ||||||||
Investments in Securities | $ | 182,138,042 | $ | 30,659,030 | ||||
Foreign Currency | $ | — | $ | 575,839 | ||||
Net Asset Value (unlimited shares authorized): | ||||||||
Net Assets | $ | 183,487,097 | $ | 27,734,851 | ||||
Shares Outstanding (No Par Value) | 3,775,000 | 1,025,000 | ||||||
Net Asset Value per Share | $ | 48.61 | $ | 27.06 |
The accompanying notes are an integral part of these financial statements.
26
TrimTabs ETF Trust
STATEMENTS OF ASSETS & LIABILITIES
January 31, 2023 (Unaudited) (Continued)
Donoghue | Donoghue | Donoghue | ||||||||||
Forlines | Forlines | Forlines | ||||||||||
Tactical High | Risk Managed | Yield Enhanced | ||||||||||
Yield ETF | Innovation ETF | Real Asset ETF | ||||||||||
ASSETS | ||||||||||||
Investments in Securities, at Value* | ||||||||||||
(Including securities on loan valued at $11,635,440, | ||||||||||||
$4,808,309, and $8,971,722, respectively) | $ | 47,067,550 | $ | 51,405,915 | $ | 64,351,427 | ||||||
Interest and Dividends Receivable | 234 | 8,814 | 105,260 | |||||||||
Securities Lending Income Receivable | 1,931 | 1,148 | 2,165 | |||||||||
Total Assets | 47,069,715 | 51,415,877 | 64,458,852 | |||||||||
LIABILITIES | ||||||||||||
Payable for Securities Loaned | 11,816,185 | 4,873,821 | 9,046,749 | |||||||||
Management Fees Payable | 20,476 | 26,711 | 31,579 | |||||||||
Total Liabilities | 11,836,661 | 4,900,532 | 9,078,328 | |||||||||
NET ASSETS | $ | 35,233,054 | $ | 46,515,345 | $ | 55,380,524 | ||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in Capital | $ | 42,708,570 | $ | 58,659,933 | $ | 52,763,408 | ||||||
Total Distributable Earnings (Deficit) | (7,475,516 | ) | (12,144,588 | ) | 2,617,116 | |||||||
Net Assets | $ | 35,233,054 | $ | 46,515,345 | $ | 55,380,524 | ||||||
* Identified Cost: | ||||||||||||
Investments in Securities | $ | 46,663,140 | $ | 52,671,053 | $ | 61,301,847 | ||||||
Net Asset Value (unlimited shares authorized): | ||||||||||||
Net Assets | $ | 35,233,054 | $ | 46,515,345 | $ | 55,380,524 | ||||||
Shares Outstanding (No Par Value) | 1,675,000 | 2,025,000 | 2,025,000 | |||||||||
Net Asset Value per Share | $ | 21.03 | $ | 22.97 | $ | 27.35 |
The accompanying notes are an integral part of these financial statements.
27
TrimTabs ETF Trust
STATEMENTS OF OPERATIONS
Six-Months Ended January 31, 2023 (Unaudited)
FCF | ||||||||
FCF US | International | |||||||
Quality ETF | Quality ETF | |||||||
INVESTMENT INCOME | ||||||||
Income: | ||||||||
Dividends (net of foreign withholding tax and issuance fees | ||||||||
of $754 and $64,462, respectively) | $ | 1,365,764 | $ | 832,079 | ||||
Interest | 20,930 | 2,687 | ||||||
Securities Lending Income | 33,130 | 2,632 | ||||||
Total Investment Income | 1,419,824 | 837,398 | ||||||
Expenses: | ||||||||
Management Fees | 479,611 | 123,311 | ||||||
Total Expenses | 479,611 | 123,311 | ||||||
Net Investment Income | 940,213 | 714,087 | ||||||
REALIZED & UNREALIZED GAIN (LOSS) | ||||||||
ON INVESTMENTS AND FOREIGN CURRENCIES | ||||||||
Net Realized Gain (Loss) on: | ||||||||
Investment Securities | 1,681,939 | (8,136,188 | ) | |||||
Foreign Currencies | — | (20,123 | ) | |||||
Total | 1,681,939 | (8,156,311 | ) | |||||
Net Change in Unrealized Appreciation (Depreciation) of: | ||||||||
Investment Securities | (1,856,210 | ) | 5,957,931 | |||||
Foreign Currencies | — | 34,626 | ||||||
Total | (1,856,210 | ) | 5,992,557 | |||||
Net Realized and Unrealized Loss on | ||||||||
Investments and Foreign Currencies | (174,271 | ) | (2,163,754 | ) | ||||
NET INCREASE (DECREASE) IN NET | ||||||||
ASSETS RESULTING FROM OPERATIONS | $ | 765,942 | $ | (1,449,667 | ) |
The accompanying notes are an integral part of these financial statements.
28
TrimTabs ETF Trust
STATEMENTS OF OPERATIONS
Six-Months Ended January 31, 2023 (Unaudited) (Continued)
Donoghue | Donoghue | Donoghue | ||||||||||
Forlines | Forlines | Forlines Yield | ||||||||||
Tactical High | Risk Managed | Enhanced Real | ||||||||||
Yield ETF | Innovation ETF | Asset ETF | ||||||||||
INVESTMENT INCOME | ||||||||||||
Income: | ||||||||||||
Dividends (net of foreign withholding tax | ||||||||||||
and issuance fees of $0, | ||||||||||||
$0, and $41,124, respectively) | $ | 897,336 | $ | 407,622 | $ | 1,013,359 | ||||||
Interest | 1,922 | 2,372 | 3,009 | |||||||||
Securities Lending Income | 37,683 | 22,328 | 11,761 | |||||||||
Total Investment Income | 936,941 | 432,322 | 1,028,129 | |||||||||
Expenses: | ||||||||||||
Management Fees | 135,536 | 222,592 | 122,117 | |||||||||
Total Expenses | 135,536 | 222,592 | 122,117 | |||||||||
Net Investment Income | 801,405 | 209,730 | 906,012 | |||||||||
REALIZED & UNREALIZED | ||||||||||||
GAIN (LOSS) ON INVESTMENTS | ||||||||||||
Net Realized Loss on: | ||||||||||||
Investment Securities | (1,834,006 | ) | (7,045,842 | ) | (617,938 | ) | ||||||
Total | (1,834,006 | ) | (7,045,842 | ) | (617,938 | ) | ||||||
Net Change in Unrealized | ||||||||||||
Appreciation (Depreciation) of: | ||||||||||||
Investment Securities | (446,613 | ) | 2,892,470 | 4,202,398 | ||||||||
Total | (446,613 | ) | 2,892,470 | 4,202,398 | ||||||||
Net Realized and Unrealized | ||||||||||||
Gain (Loss) on Investments | (2,280,619 | ) | (4,153,372 | ) | 3,584,460 | |||||||
NET INCREASE (DECREASE) IN NET | ||||||||||||
ASSETS RESULTING FROM OPERATIONS | $ | (1,479,214 | ) | $ | (3,943,642 | ) | $ | 4,490,472 |
The accompanying notes are an integral part of these financial statements.
29
FCF US Quality ETF
STATEMENTS OF CHANGES IN NET ASSETS
Six-Months Ended | ||||||||
January 31, 2023 | Year Ended | |||||||
(Unaudited) | July 31, 2022 | |||||||
OPERATIONS | ||||||||
Net Investment Income | $ | 940,213 | $ | 2,233,457 | ||||
Net Realized Gain on Investments | 1,681,939 | 13,536,685 | ||||||
Change in Unrealized Appreciation (Depreciation) | ||||||||
of Investments | (1,856,210 | ) | (20,902,235 | ) | ||||
Net Increase (Decrease) in Net | ||||||||
Assets Resulting from Operations | 765,942 | (5,132,093 | ) | |||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||
Dividends and Distributions | (2,104,907 | ) | (19,681,904 | ) | ||||
Total Distributions to Shareholders | (2,104,907 | ) | (19,681,904 | ) | ||||
CAPITAL SHARE TRANSACTIONS | ||||||||
Proceeds from Shares Sold | 46,203,373 | 59,418,927 | ||||||
Payments for Shares Redeemed | (38,314,953 | ) | (61,616,675 | ) | ||||
Net Increase (Decrease) in Net Assets Derived | ||||||||
from Capital Share Transactions(a) | 7,888,420 | (2,197,748 | ) | |||||
Net Increase (Decrease) in Net Assets | 6,549,455 | (27,011,745 | ) | |||||
NET ASSETS | ||||||||
Beginning of Period | 176,937,642 | 203,949,387 | ||||||
End of Period | $ | 183,487,097 | $ | 176,937,642 |
(a) | Summary of capital share transactions is as follows: |
Shares | Shares | ||||||||
Subscriptions | 950,000 | 1,125,000 | |||||||
Redemptions | (800,000 | ) | (1,200,000 | ) | |||||
Net Increase (Decrease) | 150,000 | (75,000 | ) |
The accompanying notes are an integral part of these financial statements.
30
FCF International Quality ETF
STATEMENTS OF CHANGES IN NET ASSET
Six-Months Ended | ||||||||
January 31, 2023 | Year Ended | |||||||
(Unaudited) | July 31, 2022 | |||||||
OPERATIONS | ||||||||
Net Investment Income | $ | 714,087 | $ | 2,252,022 | ||||
Net Realized Loss on Investments and Foreign Currencies | (8,156,311 | ) | (1,738,791 | ) | ||||
Change in Unrealized Appreciation (Depreciation) | ||||||||
of Investments and Foreign Currencies | 5,992,557 | (14,497,380 | ) | |||||
Net Decrease in Net Assets Resulting from Operations | (1,449,667 | ) | (13,984,149 | ) | ||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||
Dividends and Distributions | (2,427,370 | ) | (1,705,435 | ) | ||||
Total Distributions to Shareholders | (2,427,370 | ) | (1,705,435 | ) | ||||
CAPITAL SHARE TRANSACTIONS | ||||||||
Proceeds from Shares Sold | — | 32,564,450 | ||||||
Payments for Shares Redeemed | (22,545,325 | ) | (21,831,178 | ) | ||||
Net Increase (Decrease) in Net Assets | ||||||||
Derived from Capital Share Transactions(a) | (22,545,325 | ) | 10,733,272 | |||||
Net Decrease in Net Assets | (26,422,362 | ) | (4,956,312 | ) | ||||
NET ASSETS | ||||||||
Beginning of Period | 54,157,213 | 59,113,525 | ||||||
End of Period | $ | 27,734,851 | $ | 54,157,213 |
(a) | Summary of capital share transactions is as follows: |
Shares | Shares | ||||||||
Subscriptions | — | 925,000 | |||||||
Redemptions | (825,000 | ) | (700,000 | ) | |||||
Net Increase (Decrease) | (825,000 | ) | 225,000 |
The accompanying notes are an integral part of these financial statements.
31
Donoghue Forlines Tactical High Yield ETF
STATEMENTS OF CHANGES IN NET ASSETS
Six-Months Ended | ||||||||
January 31, 2023 | Year Ended | |||||||
(Unaudited) | July 31, 2022 | |||||||
OPERATIONS | ||||||||
Net Investment Income | $ | 801,405 | $ | 1,600,764 | ||||
Net Realized Loss on Investments | (1,834,006 | ) | (7,223,902 | ) | ||||
Change in Unrealized Appreciation (Depreciation) | ||||||||
of Investments | (446,613 | ) | 37,334 | |||||
Net Decrease in Net Assets Resulting from Operations | (1,479,214 | ) | (5,585,804 | ) | ||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||
Dividends and Distributions | (828,155 | ) | (1,832,922 | ) | ||||
Total Distributions to Shareholders | (828,155 | ) | (1,832,922 | ) | ||||
CAPITAL SHARE TRANSACTIONS | ||||||||
Proceeds from Shares Sold | 522,055 | 23,731,897 | ||||||
Payments for Shares Redeemed | (10,568,662 | ) | (57,678,098 | ) | ||||
Net Decrease in Net Assets Derived | ||||||||
from Capital Share Transactions(a) | (10,046,607 | ) | (33,946,201 | ) | ||||
Net Decrease in Net Assets | (12,353,976 | ) | (41,364,927 | ) | ||||
NET ASSETS | ||||||||
Beginning of Period | 47,587,030 | 88,951,957 | ||||||
End of Period | $ | 35,233,054 | $ | 47,587,030 |
(a) | Summary of capital share transactions is as follows: |
Shares | Shares | ||||||||
Subscriptions | 25,000 | 1,050,000 | |||||||
Redemptions | (500,000 | ) | (2,425,000 | ) | |||||
Net Decrease | (475,000 | ) | (1,375,000 | ) |
The accompanying notes are an integral part of these financial statements.
32
Donoghue Forlines Risk Managed Innovation ETF
STATEMENTS OF CHANGES IN NET ASSETS
Six-Months Ended | ||||||||
January 31, 2023 | Year Ended | |||||||
(Unaudited) | July 31, 2022 | |||||||
OPERATIONS | ||||||||
Net Investment Income | $ | 209,730 | $ | 402,468 | ||||
Net Realized Loss on Investments | (7,045,842 | ) | (43,488 | ) | ||||
Change in Unrealized Appreciation (Depreciation) | ||||||||
of Investments | 2,892,470 | (15,726,612 | ) | |||||
Net Decrease in Net Assets Resulting from Operations | (3,943,642 | ) | (15,367,632 | ) | ||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||
Dividends and Distributions | (550,240 | ) | (4,065,017 | ) | ||||
Total Distributions to Shareholders | (550,240 | ) | (4,065,017 | ) | ||||
CAPITAL SHARE TRANSACTIONS | ||||||||
Proceeds from Shares Sold | — | 41,013,310 | ||||||
Payments for Shares Redeemed | (41,943,725 | ) | (15,989,915 | ) | ||||
Net Increase (Decrease) in Net Assets Derived | ||||||||
from Capital Share Transactions(a) | (41,943,725 | ) | 25,023,395 | |||||
Net Increase (Decrease) in Net Assets | (46,437,607 | ) | 5,590,746 | |||||
NET ASSETS | ||||||||
Beginning of Period | 92,952,952 | 87,362,206 | ||||||
End of Period | $ | 46,515,345 | $ | 92,952,952 |
(a) | Summary of capital share transactions is as follows: |
Shares | Shares | ||||||||
Subscriptions | — | 1,500,000 | |||||||
Redemptions | (1,850,000 | ) | (575,000 | ) | |||||
Net Increase (Decrease) | (1,850,000 | ) | 925,000 |
The accompanying notes are an integral part of these financial statements.
33
Donoghue Forlines Yield Enhanced Real Asset ETF
STATEMENTS OF CHANGES IN NET ASSETS
Six-Months Ended | ||||||||
January 31, 2023 | Period Ended | |||||||
(Unaudited) | July 31, 2022(a) | |||||||
OPERATIONS | ||||||||
Net Investment Income | $ | 906,012 | $ | 1,569,211 | ||||
Net Realized Gain (Loss) on Investments | (617,938 | ) | 565,780 | |||||
Change in Unrealized Appreciation (Depreciation) | ||||||||
of Investments | 4,202,398 | (1,152,818 | ) | |||||
Net Increase in Net Assets Resulting from Operations | 4,490,472 | 982,173 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||
Dividends and Distributions | (2,716,262 | ) | (1,150,709 | ) | ||||
Total Distributions to Shareholders | (2,716,262 | ) | (1,150,709 | ) | ||||
CAPITAL SHARE TRANSACTIONS | ||||||||
Proceeds from Shares Sold | 27,581,670 | 77,786,935 | ||||||
Payments for Shares Redeemed | (8,832,610 | ) | (42,761,145 | ) | ||||
Net Increase in Net Assets Derived | ||||||||
from Capital Share Transactions(b) | 18,749,060 | 35,025,790 | ||||||
Net Increase in Net Assets | 20,523,270 | 34,857,254 | ||||||
NET ASSETS | ||||||||
Beginning of Period | 34,857,254 | — | ||||||
End of Period | $ | 55,380,524 | $ | 34,857,254 |
(a) | Fund commenced operations on December 13, 2021. |
(b) | Summary of capital share transactions is as follows: |
Shares | Shares | ||||||||
Subscriptions | 1,050,000 | 3,050,000 | |||||||
Redemptions | (350,000 | ) | (1,725,000 | ) | |||||
Net Increase | 700,000 | 1,325,000 |
The accompanying notes are an integral part of these financial statements.
34
FCF US Quality ETF
FINANCIAL HIGHLIGHTS
For a capital share outstanding throughout each period
Six-Months | ||||||||||||||||||||||||
Ended | Year | Year | Year | Year | Year | |||||||||||||||||||
January 31, | Ended | Ended | Ended | Ended | Ended | |||||||||||||||||||
2023 | July 31, | July 31, | July 31, | July 31, | July 31, | |||||||||||||||||||
(Unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 | |||||||||||||||||||
Net Asset Value, | ||||||||||||||||||||||||
Beginning of Period/Year | $ | 48.81 | $ | 55.12 | $ | 39.92 | $ | 37.59 | $ | 36.41 | $ | 29.81 | ||||||||||||
Income from | ||||||||||||||||||||||||
Investment Operations: | ||||||||||||||||||||||||
Net Investment Income(a) | 0.28 | 0.60 | 0.28 | 0.25 | 0.30 | 0.21 | ||||||||||||||||||
Net Realized and Unrealized | ||||||||||||||||||||||||
Gain (Loss) on Investments | 0.16 | (f) | (1.59 | ) | 15.11 | 2.36 | 1.07 | 6.53 | ||||||||||||||||
Total from | ||||||||||||||||||||||||
Investment Operations | 0.44 | (0.99 | ) | 15.39 | 2.61 | 1.37 | 6.74 | |||||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
From Net Investment Income | (0.21 | ) | (0.47 | ) | (0.19 | ) | (0.28 | ) | (0.19 | ) | (0.14 | ) | ||||||||||||
From Net Realized | ||||||||||||||||||||||||
Gain on Investments | (0.43 | ) | (4.85 | ) | — | — | — | — | ||||||||||||||||
Total Distributions | (0.64 | ) | (5.32 | ) | (0.19 | ) | (0.28 | ) | (0.19 | ) | (0.14 | ) | ||||||||||||
Net Asset Value, | ||||||||||||||||||||||||
End of Period/Year | $ | 48.61 | $ | 48.81 | $ | 55.12 | $ | 39.92 | $ | 37.59 | $ | 36.41 | ||||||||||||
Total Return | 0.95 | %(b) | -2.92 | %(e) | 38.64 | % | 6.97 | % | 3.89 | % | 22.62 | % | ||||||||||||
Supplemental Data: | ||||||||||||||||||||||||
Net Assets at End | ||||||||||||||||||||||||
of Period/Year (000’s) | $ | 183,487 | $ | 176,938 | $ | 203,949 | $ | 108,791 | $ | 124,056 | $ | 99,214 | ||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||||
Expenses to Average Net Assets | 0.59 | %(c) | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % | ||||||||||||
Net Investment Income | ||||||||||||||||||||||||
to Average Net Assets | 1.16 | %(c) | 1.15 | % | 0.61 | % | 0.68 | % | 0.84 | % | 0.60 | % | ||||||||||||
Portfolio Turnover Rate(d) | 20 | %(b) | 51 | % | 98 | % | 83 | % | 49 | % | 42 | % |
(a) | Calculated based on average shares outstanding during the period/year. |
(b) | Not annualized. |
(c) | Annualized. |
(d) | Excludes impact of in-kind transactions. |
(e) | During the fiscal year ended July 31, 2022, the Advisor reimbursed the Fund for certain losses. Had the Fund not been reimbursed for these losses the total return would have remained at -2.92%. |
(f) | As required by the SEC standard per share data calculation methodology, this represents a balancing figure derived from the other amounts in the financial highlights tables that captures all other changes affecting net asset value per share. This per share gain amount does not correlate to the aggregate of the net realized and unrealized loss in the Statements of Operations for the period ended January 31, 2023 primarily due to the timing of sales and repurchases of the Fund’s shares in relation to fluctuating market values of the Fund’s portfolio. |
The accompanying notes are an integral part of these financial statements.
35
FCF International Quality ETF
FINANCIAL HIGHLIGHTS
For a capital share outstanding throughout each period
Six-Months | ||||||||||||||||||||||||
Ended | Year | Year | Year | Year | Year | |||||||||||||||||||
January 31, | Ended | Ended | Ended | Ended | Ended | |||||||||||||||||||
2023 | July 31, | July 31, | July 31, | July 31, | July 31, | |||||||||||||||||||
(Unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 | |||||||||||||||||||
Net Asset Value, | ||||||||||||||||||||||||
Beginning of Period/Year | $ | 29.27 | $ | 36.38 | $ | 26.16 | $ | 26.02 | $ | 26.93 | $ | 25.48 | ||||||||||||
Income from | ||||||||||||||||||||||||
Investment Operations: | ||||||||||||||||||||||||
Net Investment Income(a) | 0.47 | 1.12 | 0.44 | 0.25 | 0.37 | 0.34 | ||||||||||||||||||
Net Realized and Unrealized | ||||||||||||||||||||||||
Gain (Loss) on Investments | (0.31 | ) | (7.50 | ) | 9.98 | 0.40 | (1.08 | ) | 1.18 | |||||||||||||||
Total from | ||||||||||||||||||||||||
Investment Operations | 0.16 | (6.38 | ) | 10.42 | 0.65 | (0.71 | ) | 1.52 | ||||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
From Net Investment Income | (2.37 | ) | (0.31 | ) | (0.20 | ) | (0.51 | ) | (0.20 | ) | (0.07 | ) | ||||||||||||
From Net Realized | ||||||||||||||||||||||||
Gain on Investments | — | (0.42 | ) | — | — | — | — | |||||||||||||||||
Total Distributions | (2.37 | ) | (0.73 | ) | (0.20 | ) | (0.51 | ) | (0.20 | ) | (0.07 | ) | ||||||||||||
Net Asset Value, | ||||||||||||||||||||||||
End of Period/Year | $ | 27.06 | $ | 29.27 | $ | 36.38 | $ | 26.16 | $ | 26.02 | $ | 26.93 | ||||||||||||
Total Return | 1.06 | %(b) | -17.93 | % | 39.96 | % | 2.42 | % | -2.47 | % | 5.97 | % | ||||||||||||
Supplemental Data: | ||||||||||||||||||||||||
Net Assets at End | ||||||||||||||||||||||||
of Period/Year (000’s) | $ | 27,735 | $ | 54,157 | $ | 59,114 | $ | 11,116 | $ | 12,361 | $ | 10,098 | ||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||||
Expenses to Average Net Assets | 0.59 | %(c) | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % | ||||||||||||
Net Investment Income | ||||||||||||||||||||||||
to Average Net Assets | 3.42 | %(c) | 3.32 | % | 1.32 | % | 1.00 | % | 1.48 | % | 1.28 | % | ||||||||||||
Portfolio Turnover Rate(d) | 26 | %(b) | 42 | % | 87 | % | 45 | % | 43 | % | 83 | % | ||||||||||||
(a) | Calculated based on average shares outstanding during the period/year. |
(b) | Not annualized. |
(c) | Annualized. |
(d) | Excludes impact of in-kind transactions. |
The accompanying notes are an integral part of these financial statements.
36
Donoghue Forlines Tactical High Yield ETF
FINANCIAL HIGHLIGHTS
For a capital share outstanding throughout each period
Six-Months Ended | ||||||||||||
January 31, 2023 | Year Ended | Period Ended | ||||||||||
(Unaudited) | July 31, 2022 | July 31, 2021(a) | ||||||||||
Net Asset Value, Beginning of Period/Year | $ | 22.13 | $ | 25.23 | $ | 25.00 | ||||||
Income from Investment Operations: | ||||||||||||
Net Investment Income(b) | 0.44 | 0.61 | 0.57 | |||||||||
Net Realized and Unrealized | ||||||||||||
Gain (Loss) on Investments | (1.08 | ) | (3.08 | ) | 0.15 | |||||||
Total from Investment Operations | (0.64 | ) | (2.47 | ) | 0.72 | |||||||
Less Distributions: | ||||||||||||
From Net Investment Income | (0.46 | ) | (0.63 | ) | (0.49 | ) | ||||||
Total Distributions | (0.46 | ) | (0.63 | ) | (0.49 | ) | ||||||
Net Asset Value, End of Period/Year | $ | 21.03 | $ | 22.13 | $ | 25.23 | ||||||
Total Return | -2.88 | %(c) | -9.96 | % | 2.92 | %(c) | ||||||
Supplemental Data: | ||||||||||||
Net Assets at End of Period/Year (000’s) | $ | 35,233 | $ | 47,587 | $ | 88,952 | ||||||
Ratios to Average Net Assets(f): | ||||||||||||
Expenses to Average Net Assets | 0.69 | %(d) | 0.69 | % | 0.69 | %(d) | ||||||
Net Investment Income to Average Net Assets | 4.08 | %(d) | 2.52 | % | 3.54 | %(d) | ||||||
Portfolio Turnover Rate(e) | 320 | %(c) | 1029 | % | 327 | %(c) |
(a) | Commencement of operations on December 7, 2020. |
(b) | Calculated based on average shares outstanding during the period/year. |
(c) | Not annualized. |
(d) | Annualized. |
(e) | Excludes impact of in-kind transactions. |
(f) | Income and expense ratios presented do not reflect the income and expenses of underlying funds. |
The accompanying notes are an integral part of these financial statements.
37
Donoghue Forlines Risk Managed Innovation ETF
FINANCIAL HIGHLIGHTS
For a capital share outstanding throughout each period
Six-Months Ended | ||||||||||||
January 31, 2023 | Year Ended | Period Ended | ||||||||||
(Unaudited) | July 31, 2022 | July 31, 2021(a) | ||||||||||
Net Asset Value, Beginning of Period/Year | $ | 23.99 | $ | 29.61 | $ | 25.00 | ||||||
Income from Investment Operations: | ||||||||||||
Net Investment Income(b) | 0.08 | 0.12 | 0.02 | |||||||||
Net Realized and Unrealized | ||||||||||||
Gain (Loss) on Investments | (0.83 | ) | (4.34 | ) | 4.60 | |||||||
Total from Investment Operations | (0.75 | ) | (4.22 | ) | 4.62 | |||||||
Less Distributions: | ||||||||||||
From Net Investment Income | (0.27 | ) | (0.05 | ) | (0.01 | ) | ||||||
From Net Realized Gain on Investments | — | (1.35 | ) | — | ||||||||
Total Distributions | (0.27 | ) | (1.40 | ) | (0.01 | ) | ||||||
Net Asset Value, End of Period/Year | $ | 22.97 | $ | 23.99 | $ | 29.61 | ||||||
Total Return | -3.08 | %(c) | -15.16 | % | 18.48 | %(c) | ||||||
Supplemental Data: | ||||||||||||
Net Assets at End of Period/Year (000’s) | $ | 46,515 | $ | 92,953 | $ | 87,362 | ||||||
Ratios to Average Net Assets: | ||||||||||||
Expenses to Average Net Assets | 0.69 | %(d) | 0.69 | % | 0.69 | %(d) | ||||||
Net Investment Income to Average Net Assets | 0.65 | %(d) | 0.45 | % | 0.11 | %(d) | ||||||
Portfolio Turnover Rate(e) | 85 | %(c) | 82 | % | 40 | %(c) |
(a) | Commencement of operations on December 7, 2020. |
(b) | Calculated based on average shares outstanding during the period/year. |
(c) | Not annualized. |
(d) | Annualized. |
(e) | Excludes impact of in-kind transactions. |
The accompanying notes are an integral part of these financial statements.
38
Donoghue Forlines Yield Enhanced Real Asset ETF
FINANCIAL HIGHLIGHTS
For a capital share outstanding throughout each period
Six-Months Ended | ||||||||
January 31, 2023 | Period Ended | |||||||
(Unaudited) | July 31, 2022(a) | |||||||
Net Asset Value, Beginning of Period | $ | 26.31 | $ | 25.00 | ||||
Income from Investment Operations: | ||||||||
Net Investment Income(b) | 0.67 | 0.63 | ||||||
Net Realized and Unrealized Gain on Investments | 2.11 | 1.11 | (f) | |||||
Total from Investment Operations | 2.78 | 1.74 | ||||||
Less Distributions: | ||||||||
From Net Investment Income | (0.99 | ) | (0.43 | ) | ||||
From Net Realized Gain on Investments | (0.75 | ) | — | |||||
Total Distributions | (1.74 | ) | (0.43 | ) | ||||
Net Asset Value, End of Period | $ | 27.35 | $ | 26.31 | ||||
Total Return | 11.16 | %(c) | 6.88 | %(c) | ||||
Supplemental Data: | ||||||||
Net Assets at End of Period (000’s) | $ | 55,381 | $ | 34,857 | ||||
Ratios to Average Net Assets: | ||||||||
Expenses to Average Net Assets | 0.69 | %(d) | 0.69 | %(d) | ||||
Net Investment Income to Average Net Assets | 5.12 | %(d) | 3.79 | %(d) | ||||
Portfolio Turnover Rate(e) | 38 | %(c) | 48 | %(c) |
(a) | Commencement of operations on December 13, 2021. |
(b) | Calculated based on average shares outstanding during the period. |
(c) | Not annualized. |
(d) | Annualized. |
(e) | Excludes impact of in-kind transactions. |
(f) | As required by the SEC standard per share data calculation methodology, this represents a balancing figure derived from the other amounts in the financial highlights tables that captures all other changes affecting net asset value per share. This per share gain amount does not correlate to the aggregate of the net realized and unrealized loss in the Statements of Operations for the period ended July 31, 2022, primarily due to the timing of sales and repurchases of the Fund’s shares in relation to fluctuating market values of the Fund’s portfolio. |
The accompanying notes are an integral part of these financial statements.
39
TrimTabs ETF Trust
NOTES TO FINANCIAL STATEMENTS
January 31, 2023 (Unaudited)
1. ORGANIZATION
The FCF US Quality ETF (“TTAC”), FCF International Quality ETF (“TTAI”), Donoghue Forlines Tactical High Yield ETF (“DFHY”), Donoghue Forlines Risk Managed Innovation ETF (“DFNV”) and Donoghue Forlines Yield Enhanced Real Asset ETF (“DFRA”) (each, a “Fund” and collectively, the “Funds”) are each a series of the TrimTabs ETF Trust (the “Trust”). The Trust was organized as a Delaware statutory trust on April 2, 2014. Each Fund is classified as a diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). FCF US Quality ETF commenced operations on September 27, 2016 and that is the date the initial creation units were established. The Fund seeks to generate long-term returns in excess of the total return of the Russell 3000® Index (the “Russell Index”), with less volatility than the Russell Index. FCF International Quality ETF commenced operations on June 27, 2017 and that is the date the initial creation units were established. The Fund seeks to generate long-term total returns. Donoghue Forlines Tactical High Yield ETF commenced operations on December 7, 2020 and that is the date the initial creation units were established. The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the FCF Tactical High Yield Index. DFHY is a “fund of funds”, meaning it will generally invest its assets in other registered investment companies. Donoghue Forlines Risk Managed Innovation ETF commenced operations on December 7, 2020 and that is the date the initial creation units were established. The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the FCF Risk Managed Quality Innovation Index. Donoghue Forlines Yield Enhanced Real Asset ETF commenced operations on December 13, 2021 and that is the date the initial creation units were established. The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the FCF Yield Enhanced Real Asset Index.
Shares of the Funds are listed and traded on the Cboe BZX Exchange, Inc. (“Cboe” or the “Exchange”). Market prices for the shares may be different from their net asset value (“NAV”). Each Fund issues and redeems shares on a continuous basis at NAV only in large blocks of shares, called “Creation Units,” which generally consist of 25,000 shares. Creation Units are issued and redeemed principally in-kind for securities included in a specified universe. Once created, shares generally trade in the secondary market at market prices that change throughout the day in amounts less than a Creation Unit. Except when aggregated in Creation Units, shares are not redeemable securities of a Fund. Shares of a Fund may only be purchased directly from or redeemed directly to a Fund by certain financial institutions (“Authorized Participants”). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a
40
TrimTabs ETF Trust
NOTES TO FINANCIAL STATEMENTS
January 31, 2023 (Unaudited) (Continued)
Participant Agreement with Quasar Distributors, LLC (the “Distributor”). Most retail investors do not qualify as Authorized Participants or have the resources to buy and sell whole Creation Units. Therefore, most retail investors may purchase shares in the secondary market with the assistance of a broker and are subject to customary brokerage commissions or fees.
Each Fund currently offers one class of shares, which have no front-end sales loads, no deferred sales charges, and no redemption fees. A purchase (i.e., creation) transaction fee is imposed for the transfer and other transaction costs associated with the purchase of Creation Units. FCF US Quality ETF charges $500 for the standard fixed creation fee, FCF International Quality ETF charges $2,000 for the standard fixed creation fee, and Donoghue Forlines Tactical High Yield ETF, Donoghue Forlines Risk Managed Innovation ETF and Donoghue Forlines Yield Enhanced Real Asset ETF each charge $300 for the standard fixed creation fee, payable to the Custodian. In addition, a variable fee may be charged on all cash transactions or substitutes for Creation Units of up to a maximum of 2% as a percentage of the total value of the Creation Units subject to the transaction. Variable fees received by each Fund are displayed in the Capital Share Transactions section of the Statement of Changes in Net Assets. There were no variable fees charged in any Fund during the fiscal period. Each Fund may issue an unlimited number of shares of beneficial interest, with no par value. Shares of each Fund have equal rights and privileges with respect to such Fund.
2. SIGNIFICANT ACCOUNTING POLICIES
Each Fund is a registered investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification (“ASC”) Topic 946 Financial Services – Investment Companies.
The following is a summary of significant accounting policies followed by each Fund in the preparation of their financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).
Security Transactions and Investment Income: Investment securities transactions are accounted for on the trade date. Gains and losses realized on sales of securities are computed on the basis of specific identification. Dividend income and income from underlying investment companies is recorded on the ex-dividend date. Withholding taxes on foreign dividends have been provided for in accordance with the Funds’ understanding of the applicable tax rules and regulations. Interest income is recorded on an accrual basis. Discounts and premiums on securities purchased are accreted and amortized over the lives of the respective securities.
Dividend Distributions: Distributions to shareholders are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations, which may differ from GAAP. Each Fund distributes all or substantially all of its net investment income to shareholders in the form of dividends.
41
TrimTabs ETF Trust
NOTES TO FINANCIAL STATEMENTS
January 31, 2023 (Unaudited) (Continued)
Federal Income Taxes: The Funds comply with the requirements of subchapter M of the Internal Revenue Code of 1986, as amended, necessary to qualify as regulated investment companies and distribute substantially all net taxable investment income and net realized gains to shareholders in a manner which results in no tax cost to the Funds. Therefore, no federal income tax provision is required. As of and during the year ended July 31, 2022, the Funds did not have any tax positions that did not meet the “more-likely-than-not” threshold of being sustained by the applicable tax authority. As of and during the year ended July 31, 2022, the Funds did not have liabilities for any unrecognized tax benefits on uncertain tax positions as income tax expense in the Statements of Operations. During the year ended July 31, 2022, the Funds did not incur any interest or penalties. The Funds are subject to examination by U.S. taxing authorities for the prior three fiscal years.
Currency Translation: Assets and liabilities, including investment securities, denominated in currencies other than U.S. dollars are translated into U.S. dollars at the exchange rates supplied by one or more pricing vendors on the valuation date. Purchases and sales of investment securities and income and expenses are translated into U.S. dollars at the exchange rates on the dates of such transactions. The effects of changes in exchange rates on investment securities are included with the net realized gain or loss and net unrealized appreciation or depreciation on investments in the Funds’ Statements of Operations. The realized gain or loss and unrealized appreciation or depreciation resulting from all other transactions denominated in currencies other than U.S. dollars are disclosed separately.
Use of Estimates: The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Share Valuation: The NAV per share of each Fund is calculated by dividing the sum of the value of the securities held by the Fund, plus cash and other assets, minus all liabilities (including estimated accrued expenses) by the total number of shares outstanding for the Fund, rounded to the nearest cent. The offering and redemption price per share for each Fund is equal to the Fund’s net asset value per share.
Guarantees and Indemnifications: The Funds indemnify their officers and trustees for certain liabilities that may arise from the performance of their duties to the Funds. Additionally, in the normal course of business, the Trust enters into contracts with its vendors and others that provide for general indemnifications. The Trust and Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds. However, based on industry experience, the Funds expect that risk of loss to be remote.
42
TrimTabs ETF Trust
NOTES TO FINANCIAL STATEMENTS
January 31, 2023 (Unaudited) (Continued)
Reclassification of Capital Accounts: U.S. GAAP requires that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or NAV per share. For the fiscal year ended July 31, 2022, the following table shows the reclassifications made:
Distributable Earnings | Paid-In | |||||||
(Accumulated Deficit) | Capital | |||||||
FCF US Quality ETF | $ | (13,033,782 | ) | $ | 13,033,782 | |||
FCF International Quality ETF | $ | 490,605 | $ | (490,605 | ) | |||
Donoghue Forlines Tactical High Yield ETF | $ | 1,486,167 | $ | (1,486,167 | ) | |||
Donoghue Forlines Risk Managed Innovation ETF | $ | (1,919,909 | ) | $ | 1,919,909 | |||
Donoghue Forlines Yield Enhanced Real Asset ETF | $ | 1,011,442 | $ | (1,011,442 | ) |
During the fiscal year ended July 31, 2022, the Funds realized the following net capital gains or losses resulting from in-kind redemptions in which shareholders exchanged Fund shares for securities held by the Funds rather than for cash. Because such gains or losses are not taxable or deductible to the Funds, and are not distributed to shareholders, they have been reclassified from distributable earnings to paid-in capital.
Gains (Losses) from | ||||
In-Kind Redemptions | ||||
FCF US Quality ETF | $ | 13,911,304 | ||
FCF International Quality ETF | $ | 272,003 | ||
Donoghue Forlines Tactical High Yield ETF | $ | (522,551 | ) | |
Donoghue Forlines Risk Managed Innovation ETF | $ | 1,958,349 | ||
Donoghue Forlines Yield Enhanced Real Asset ETF | $ | (900,104 | ) |
Underlying Investment in Other Investment Companies: The Donoghue Forlines Tactical High Yield ETF participates in the securities lending program and receives cash collateral in return for securities lent. The collateral is invested in the Mount Vernon Liquid Assets Portfolio, LLC of which the investment objective is to seek to maximize current income to the extent consistent with the preservation of capital and liquidity and to maintain a stable net asset value of $1.00 per unit by investing in dollar-denominated securities with remaining maturities of 397 calendar days or less. As of January 31, 2023, the percentage of the Donoghue Forlines Tactical High Yield ETF’s total net assets invested in the Mount Vernon Liquid Assets Portfolio, LLC was 33.5%.
Subsequent Events: The Trust has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. Based on this evaluation, no adjustments or disclosures were required to the financial statements.
3. SECURITIES VALUATION
Investment Valuation: Each Fund calculates its net asset value (“NAV”) each day the New York Stock Exchange (the “NYSE”) is open for trading as of the close of regular trading on the NYSE, normally 4:00 p.m. Eastern time (the “NAV Calculation Time”).
43
TrimTabs ETF Trust
NOTES TO FINANCIAL STATEMENTS
January 31, 2023 (Unaudited) (Continued)
Equity securities are valued primarily on the basis of market quotations reported on stock exchanges and other securities markets around the world. If an equity security is listed on a national securities exchange, the security is valued at the closing price or, if the closing price is not readily available, the mean of the closing bid and asked prices.
Investments in other open-end investment companies, including money market funds, are valued at the investment company’s net asset value per share, with the exception of exchange-traded open-end investment companies, which are priced as equity securities described above.
Market quotations and indicative bids are obtained from outside pricing services approved and monitored pursuant to a policy approved by the Funds’ Board of Trustees (the “Board”). If a market quotation is not readily available or is deemed not to reflect market value, the Funds will determine the price of the security held by the Funds based on a determination of the security’s fair value pursuant to policies and procedures approved by the Board. In addition, the Funds may use fair valuation to price securities that trade on a foreign exchange when a significant event has occurred after the foreign exchange closes but before the time at which the Funds’ NAV’s are calculated. Such valuations would typically be categorized as Level 2 or Level 3 in the fair value hierarchy described below.
Foreign exchanges typically close before the time at which Fund share prices are calculated and may be closed altogether on some days when shares of the Funds are traded. Significant events affecting a foreign security may include, but are not limited to: corporate actions, earnings announcements, litigation or other events impacting a single issuer; governmental action that affects securities in one sector or country; natural disasters or armed conflicts affecting a country or region; or significant domestic or foreign market fluctuations.
Fair valuations and valuations of investments that are not actively trading involve judgment and may differ materially from valuations that would have been used had greater market activity occurred.
Fair Valuation Measurement:
The FASB established a framework for measuring fair value in accordance with GAAP. Under FASB ASC Topic 820, Fair Value Measurement, various inputs are used in determining the value of each Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The three Levels of inputs of the fair value hierarchy are defined as follows:
Level 1 — | Unadjusted quoted prices in active markets for identical assets or liabilities. |
Level 2 — | Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data. |
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Level 3 — | Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability and would be based on the best information available. |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The following is a summary of the inputs used to value the Fund’s investments as of January 31, 2023:
FCF US Quality ETF | ||||||||||||||||||||
Description^ | Non-Categorized | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Common Stocks | $ | — | $ | 176,199,364 | $ | — | $ | — | $ | 176,199,364 | ||||||||||
REITs | — | 5,241,988 | — | — | 5,241,988 | |||||||||||||||
Money Market Fund | — | 1,492,038 | — | — | 1,492,038 | |||||||||||||||
Investment Purchased | ||||||||||||||||||||
with the Cash | ||||||||||||||||||||
Proceeds from | ||||||||||||||||||||
Securities Lending* | 14,982,931 | — | — | — | 14,982,931 | |||||||||||||||
Total Investments | $ | 14,982,931 | $ | 182,933,390 | $ | — | $ | — | $ | 197,916,321 | ||||||||||
FCF International Quality ETF | ||||||||||||||||||||
Description^ | Non-Categorized | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Common Stocks | $ | — | $ | 25,880,246 | $ | — | $ | 373,702 | $ | 26,253,948 | ||||||||||
REITs | — | 344,049 | — | — | 344,049 | |||||||||||||||
Preferred Stock | — | 207,106 | — | — | 207,106 | |||||||||||||||
Money Market Fund | — | 184,568 | — | — | 184,568 | |||||||||||||||
Investment Purchased | ||||||||||||||||||||
with the Cash | ||||||||||||||||||||
Proceeds from | ||||||||||||||||||||
Securities Lending* | 684,129 | — | — | — | 684,129 | |||||||||||||||
Total Investments | $ | 684,129 | $ | 26,615,969 | $ | — | $ | 373,702 | $ | 27,673,800 |
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Donoghue Forlines Tactical High Yield ETF | ||||||||||||||||||||
Description^ | Non-Categorized | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Exchange-Traded | ||||||||||||||||||||
Funds | $ | — | $ | 35,178,930 | $ | — | $ | — | $ | 35,178,930 | ||||||||||
Money Market Fund | — | 72,435 | — | — | 72,435 | |||||||||||||||
Investment Purchased | ||||||||||||||||||||
with the Cash | ||||||||||||||||||||
Proceeds from | ||||||||||||||||||||
Securities Lending* | 11,816,185 | — | — | — | 11,816,185 | |||||||||||||||
Total Investments | $ | 11,816,185 | $ | 35,251,365 | $ | — | $ | — | $ | 47,067,550 | ||||||||||
Donoghue Forlines Risk Managed Innovation ETF | ||||||||||||||||||||
Description^ | Non-Categorized | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Common Stocks | $ | — | $ | 23,871,818 | $ | — | $ | — | $ | 23,871,818 | ||||||||||
Exchange-Traded | ||||||||||||||||||||
Funds | — | 22,578,413 | — | — | 22,578,413 | |||||||||||||||
Money Market Fund | — | 81,863 | — | — | 81,863 | |||||||||||||||
Investment Purchased | ||||||||||||||||||||
with the Cash | ||||||||||||||||||||
Proceeds from | ||||||||||||||||||||
Securities Lending* | 4,873,821 | — | — | — | 4,873,821 | |||||||||||||||
Total Investments | $ | 4,873,821 | $ | 46,532,094 | $ | — | $ | — | $ | 51,405,915 | ||||||||||
Donoghue Forlines Yield Enhanced Real Asset ETF | ||||||||||||||||||||
Description^ | Non-Categorized | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Common Stocks | $ | — | $ | 36,554,781 | $ | — | $ | — | $ | 36,554,781 | ||||||||||
REITs | — | 10,105,467 | — | — | 10,105,467 | |||||||||||||||
Master Limited | ||||||||||||||||||||
Partnerships | — | 6,958,777 | — | — | 6,958,777 | |||||||||||||||
Preferred Stocks | — | 1,419,923 | — | — | 1,419,923 | |||||||||||||||
Money Market Fund | — | 265,730 | — | — | 265,730 | |||||||||||||||
Investment Purchased | ||||||||||||||||||||
with the Cash | ||||||||||||||||||||
Proceeds from | ||||||||||||||||||||
Securities Lending* | 9,046,749 | — | — | — | 9,046,749 | |||||||||||||||
Total Investments | $ | 9,046,749 | $ | 55,304,678 | $ | — | $ | — | $ | 64,351,427 |
^ | See Schedule of Investments for sector breakouts. |
* | Certain investments that are measured at fair value using the NAV per share (or its equivalent) as a practical expedient have not been characterized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amount presented in the Statements of Assets and Liabilities. See Note 8 for additional information regarding securities lending. |
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FCF International Quality ETF | ||||
Level 3 Reconciliation Disclosure | ||||
Equities | ||||
Balance as of July 31, 2022 | $ | 151,676 | ||
Transfers in | 324,312 | |||
Realized loss | — | |||
Change in unrealized appreciation | (102,286 | ) | ||
Balance as of January 31, 2023 | $ | 373,702 | ||
Change in unrealized appreciation during the period for | ||||
Level 3 investments held at January 31, 2023 | $ | (102,286 | ) |
The Level 3 investments as of January 31, 2023 represented 1.35% of net assets and did not warrant a disclosure of significant unobservable valuation inputs.
4. OTHER RELATED PARTY TRANSACTIONS
FCF Advisors LLC (“the Adviser”) serves as the investment adviser to the Funds. Pursuant to an Investment Advisory Agreement (“Investment Advisory Agreement”) between the Trust, on behalf of the Funds, and the Adviser, the Adviser provides investment advice to the Funds and oversees the day-to-day operations of the Funds, subject to the direction and control of the Board and the officers of the Trust. The Adviser administers the Funds’ business affairs, provides office facilities and equipment and certain clerical, bookkeeping and administrative services. The Adviser bears the costs of all advisory and non-advisory services required to operate the Funds, including payment of Trustee compensation, in exchange for a single unitary management fee. For services provided to the Funds, TTAC and TTAI each pay the Adviser 0.59% and DFHY, DFNV and DFRA each pay the Adviser 0.69% at an annual rate based on each Fund’s average daily net assets. Certain officers and a Trustee of the Trust are affiliated with the Adviser and are not paid any fees by the Funds for serving in such capacities.
The Adviser has overall responsibility for overseeing the investment of the Funds’ assets, managing the Funds’ business affairs and providing certain clerical, bookkeeping and other administrative services for the Trust. Donoghue Forlines LLC (“Donoghue” or “the Sub-Adviser”) acts as the Sub-Adviser to DFHY, DFNV, and DFRA. The Sub-Adviser has responsibility to make day-to-day investment decisions for DFHY, DFNV, and DFRA and selects broker-dealers for executing portfolio transactions, subject to the Sub-Adviser’s best execution obligations and the Trust’s and the Sub-Adviser’s brokerage policies. For the services it provides to DFHY, DFNV, and DFRA, the Sub-Adviser is compensated by the Adviser from the management fees paid by DFHY, DFNV, and DFRA to the Adviser.
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5. SERVICE AND CUSTODY AGREEMENTS
The Funds have entered into Service Agreements with U.S. Bancorp Fund Services, LLC (“Fund Services” or “Administrator”), doing business as U.S. Bank Global Fund Services and a Custody Agreement with U.S. Bank, N.A. (“USB”), an affiliate of Fund Services. Under these agreements, Fund Services and USB provide certain transfer agency, administrative, accounting and custody services and are paid by the Adviser under the unitary fee arrangement noted above.
Quasar Distributors, LLC (“Quasar”) acts as the Funds’ principal underwriter in a continuous public offering of the Funds’ shares. Quasar is a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC (“Foreside”).
The Trust has adopted a distribution and service plan (“Rule 12b-1 Plan”) pursuant to Rule 12b-1 under the 1940 Act. Under the Rule 12b-1 Plan, each Fund is authorized to pay distribution fees in connection with the sale and distribution of its shares and pay service fees in connection with the provision of ongoing services to shareholders. To date, the Rule 12b-1 Plan has not been implemented for the Funds and there is no current intention to implement the Rule 12b-1 Plan.
6. INVESTMENT TRANSACTIONS
For the period ended January 31, 2023, the aggregate purchases and sales of securities by each Fund, excluding short-term securities and in-kind transactions, were as follows:
Purchases | Sales | |||||||
FCF US Quality ETF | $ | 32,370,108 | $ | 33,124,715 | ||||
FCF International Quality ETF | $ | 9,978,985 | $ | 15,022,073 | ||||
Donoghue Forlines Tactical High Yield ETF | $ | 124,522,623 | $ | 124,493,753 | ||||
Donoghue Forlines Risk Managed Innovation ETF | $ | 54,315,410 | $ | 54,521,664 | ||||
Donoghue Forlines Yield Enhanced Real Asset ETF | $ | 13,728,354 | $ | 15,226,269 |
For the period ended January 31, 2023, in-kind transactions associated with creations and redemptions were as follows:
Purchases | Sales | |||||||
FCF US Quality ETF | $ | 45,240,936 | $ | 37,966,831 | ||||
FCF International Quality ETF | $ | — | $ | 19,139,670 | ||||
Donoghue Forlines Tactical High Yield ETF | $ | 521,132 | $ | 10,531,067 | ||||
Donoghue Forlines Risk Managed Innovation ETF | $ | — | $ | 41,846,245 | ||||
Donoghue Forlines Yield Enhanced Real Asset ETF | $ | 27,156,736 | $ | 8,706,724 |
For the period ended January 31, 2023, there were no long-term purchases or sales of U.S. Government Securities for the Funds.
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NOTES TO FINANCIAL STATEMENTS
January 31, 2023 (Unaudited) (Continued)
7. INCOME TAX INFORMATION
The components of tax basis cost of investments and net unrealized appreciation for federal income tax purposes as of July 31, 2022 were as follows:
FCF US | FCF International | |||||||||||
Quality ETF | Quality ETF | |||||||||||
Tax cost of investments | $ | 179,581,284 | $ | 66,519,771 | ||||||||
Gross tax unrealized appreciation | 25,597,930 | 1,868,391 | ||||||||||
Gross tax unrealized depreciation | (9,971,425 | ) | (11,393,895 | ) | ||||||||
Net tax unrealized appreciation (depreciation) | 15,626,505 | (9,525,504 | ) | |||||||||
Undistributed ordinary income | 204,093 | 1,708,083 | ||||||||||
Undistributed long-term capital gains | 1,415,476 | — | ||||||||||
Total accumulated gain | 1,619,569 | 1,708,083 | ||||||||||
Other accumulated gain (loss) | — | (625,959 | ) | |||||||||
Distributable earnings | $ | 17,246,074 | $ | (8,443,380 | ) | |||||||
Donoghue | Donoghue | Donoghue | ||||||||||
Forlines | Forlines | Forlines | ||||||||||
Tactical High | Risk Managed | Yield Enhanced | ||||||||||
Yield ETF | Innovation ETF | Real Asset ETF | ||||||||||
Tax cost of investments | $ | 61,750,227 | $ | 110,908,475 | $ | 44,280,339 | ||||||
Gross tax unrealized appreciation | 982,457 | 7,106,316 | 1,932,211 | |||||||||
Gross tax unrealized depreciation | (1,138,454 | ) | (11,524,256 | ) | (3,038,701 | ) | ||||||
Net tax unrealized | ||||||||||||
appreciation (depreciation) | (155,997 | ) | (4,417,940 | ) | (1,106,490 | ) | ||||||
Undistributed ordinary income | 10,501 | 358,209 | 1,922,637 | |||||||||
Undistributed long-term capital gains | — | — | 26,759 | |||||||||
Total accumulated gain | 10,501 | 358,209 | 1,949,396 | |||||||||
Other accumulated gain (loss) | (5,022,651 | ) | (3,590,975 | ) | — | |||||||
Distributable earnings | $ | (5,168,147 | ) | $ | (7,650,706 | ) | $ | 842,906 |
The difference between book and tax-basis cost is attributable to the realization for tax purposes of unrealized gains on investments in passive foreign investment companies and wash sales. Under tax law, certain capital and foreign currency losses realized after October 31 and within the taxable year are deemed to arise on the first business day of each Fund’s next taxable year.
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At July 31, 2022, the Funds had the following capital loss carryforwards:
Short-Term | Long-Term | Expires | |||||||
FCF US Quality ETF | $ | — | $ | — | Indefinite | ||||
FCF International Quality ETF | $ | 616,829 | $ | — | Indefinite | ||||
Donoghue Forlines Tactical High Yield ETF | $ | 5,006,897 | $ | 15,754 | Indefinite | ||||
Donoghue Forlines Risk Managed Innovation ETF | $ | — | $ | — | Indefinite | ||||
Donoghue Forlines Yield Enhanced Real Asset ETF | $ | — | $ | — | Indefinite |
The tax character of distributions paid by the Funds during the fiscal period ended July 31, 2022 and the fiscal period ended July 31, 2021 was as follows:
Ordinary Income | Capital Gains | |||||||||||||||
July 31, 2022 | July 31, 2021 | July 31, 2022 | July 31, 2021 | |||||||||||||
FCF US Quality ETF | $ | 5,304,037 | $ | 757,531 | $ | 14,377,867 | $ | — | ||||||||
FCF International Quality ETF | $ | 778,251 | $ | 86,243 | $ | 927,184 | $ | — | ||||||||
Donoghue Forlines Tactical | ||||||||||||||||
High Yield ETF | $ | 1,832,922 | $ | 1,599,003 | $ | — | $ | — | ||||||||
Donoghue Forlines Risk | ||||||||||||||||
Managed Innovation ETF | $ | 3,938,297 | $ | 18,013 | $ | 126,720 | $ | — | ||||||||
Donoghue Forlines Yield | ||||||||||||||||
Enhanced Real Asset ETF | $ | 1,150,709 | n/a | $ | — | n/a |
At July 31, 2022, the Donoghue Forlines Risk Managed Innovation Fund deferred, on a tax basis, post-October losses of $3,590,975.
8. SECURITIES LENDING
Following terms of a securities lending agreement with USB, each Fund may lend securities from its portfolio to brokers, dealers and financial institutions in order to increase the return on its portfolio, primarily through the receipt of borrowing fees and earnings on invested collateral. Any such loan must be continuously secured by collateral in cash or cash equivalents maintained on a current basis in an amount at least equal to 105% of the value of the loaned securities that are foreign securities or 102% of the value of any U.S. loaned securities. Loans shall be marked to market daily. If the market value of the collateral at the close of trading on a business day is less than the margin percentage of the market value of the loaned securities at the close of trading that day, reasonable efforts will be made to seek an additional amount of collateral the following business day. During the time securities are on loan, the borrower will pay the Funds any accrued income on those securities, and the Funds may invest the cash collateral and earn income or receive an agreed-upon fee from a borrower that has delivered cash-equivalent collateral. In determining whether or not to lend a security to a particular broker, dealer or financial institution, the Adviser considers all relevant facts and circumstances, including the size, creditworthiness and reputation of the broker, relevant facts dealer or
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NOTES TO FINANCIAL STATEMENTS
January 31, 2023 (Unaudited) (Continued)
financial institution. Securities lending involves the risk of a default or insolvency of the borrower. In either of these cases, a Fund could experience delays in recovering securities or collateral or could lose all or part of the value of the loaned securities. A Fund also could lose money in the event of a decline in the value of the collateral provided for loaned securities. Additionally, the loaned portfolio securities may not be available to the Fund on a timely basis and the Fund may therefore lose the opportunity to sell the securities at a desirable price. Any decline in the value of a security that occurs while the security is out on loan would continue to be borne by the Funds.
Each Fund receives cash as collateral in return for securities lent, if any, as part of the securities lending program. The collateral is invested in the Mount Vernon Liquid Assets Portfolio, LLC of which the investment objective is to seek to maximize current income to the extent consistent with the preservation of capital and liquidity and maintain a stable NAV of $1.00 per unit. As of January 31, 2023, the Funds held the following amounts in the Mount Vernon Liquid Assets Portfolio, LLC:
Amount Held at | ||||
January 31, 2023 | ||||
FCF US Quality ETF | $ | 14,982,931 | ||
FCF International Quality ETF | $ | 684,129 | ||
Donoghue Forlines Tactical High Yield ETF | $ | 11,816,185 | ||
Donoghue Forlines Risk Managed Innovation ETF | $ | 4,873,821 | ||
Donoghue Forlines Yield Enhanced Real Asset ETF | $ | 9,046,749 |
The remaining contractual maturity of all securities lending transactions is overnight and continuous. The Funds are not subject to a master netting agreement with respect to securities lending; therefore no additional disclosures are required. The income earned by the Funds on investments of cash collateral received from borrowers for the securities loaned to them are reflected in the Funds’ Statements of Operations. Securities lending income, as disclosed in the Funds’ Statements of Operations, represents the income earned from the investment of cash collateral, net of fee rebates paid to the borrower and net of fees paid to the Custodian as lending agent.
9. CERTAIN RISKS
Active and Frequent Trading Risk. Active and frequent trading of portfolio securities may result in increased transaction costs to the Fund, including brokerage commissions, dealer mark-ups and other transaction costs on the sale of the securities and on reinvestment in other securities, and may also result in higher taxes if Shares are held in a taxable account.
Asia Risk. Investments in securities of issuers in Asian countries involve risks that are specific to Asia, including certain legal, regulatory, political and economic risks. Certain Asian countries have experienced expropriation and/or nationalization of assets, confiscatory taxation, political instability, armed conflict and social instability as a result of religious, ethnic, socio-economic and/or political unrest. Some economies in this
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January 31, 2023 (Unaudited) (Continued)
region are dependent on a range of commodities, and are strongly affected by international commodity prices and particularly vulnerable to price changes for these products. The market for securities in this region may also be directly influenced by the flow of international capital, and by the economic and market conditions of neighboring countries. Many Asian economies have experienced rapid growth and industrialization, and there is no assurance that this growth rate will be maintained. Some Asian economies are highly dependent on trade and economic conditions in other countries can impact these economies.
Concentration Risk. A fund concentrated in an industry or group of industries is likely to present more risks than a fund that is broadly diversified over several industries or groups of industries. Compared to the broad market, an individual industry or group of related industries may be more strongly affected by changes in the economic climate, broad market shifts, moves in a particular dominant stock or regulatory changes.
Depositary Receipts Risk. The risks of investments in depositary receipts are substantially similar to a direct investment in a foreign security. Returns on investments in foreign securities could be more volatile than, or trail the returns on, investments in U.S. securities. Exposures to foreign securities entail special risks, including due to: differences in information available about foreign issuers; differences in investor protection standards in other jurisdictions; capital controls risks, including the risk of a foreign jurisdiction imposing restrictions on the ability to repatriate or transfer currency or other assets; political, diplomatic and economic risks; regulatory risks; and foreign market and trading risks, including the costs of trading and risks of settlement in foreign jurisdictions. In addition, depositary receipts may not track the price of the underlying foreign securities, and their value may change materially at times when the U.S. markets are not open for trading.
Derivatives Risk. A derivative instrument derives its value from an underlying security, currency, commodity, interest rate, index or other asset (collectively, “underlying asset”). The Fund’s investments in derivatives may pose risks in addition to and greater than those associated with investing directly in the underlying assets, including counterparty, leverage and liquidity risks. Derivatives may also be harder to value, less tax efficient and subject to changing government regulation that could impact the Fund’s ability to use certain derivatives or their cost. Derivatives strategies may not always be successful.
Futures Contracts Risk. Exchange-traded futures contracts are a type of derivative, which call for the future delivery of an asset, or cash settlement, at a certain stated price on a specified future date. Futures contracts involve the risk of imperfect correlation between movements in the price of the instruments and the price of the underlying assets. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid market. Exchanges can limit the number of positions that can be held or controlled by the Fund or the Sub-Adviser, thus limiting the ability to implement the Fund’s strategies. Futures markets are highly volatile, and the use of futures may increase the volatility of the Fund’s NAV. |
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January 31, 2023 (Unaudited) (Continued)
Downside Protection Model Risk. Neither the Adviser nor the Sub-Adviser can offer assurances that the downside protection model employed by DFNV’s Underlying Index methodology will achieve its intended results, or that downside protection will be provided during periods of time when the Equity Portfolio is declining or during any period of time deemed to be a bear market. For example, the Underlying Index methodology would not have triggered a signal to employ the downside protection model during the market volatility experienced in March 2020. While significant dips occurred in the market at that time, the bear market environment was short lived, and markets began recovering relatively quickly. As discussed above, signals are typically only triggered during prolonged bear markets, meaning that the signal is triggered based on the duration of the decline not the amount of the decline. Accordingly, while the signal would not have triggered in March 2020, it would have triggered during the financial crisis of 2007-2008, during which a prolonged bear market occurred. The sell signal was also most recently triggered in September 2022, in connection with the recent bear market environment. Investment in a fund that utilizes a downside protection model that seeks to minimize risk only during certain prolonged bear market environments may not be appropriate for every investor seeking a particular risk profile. Please review the portfolio holdings information on the Fund’s website at www.donoghueforlinesetfs.com/dfnv to determine whether the Fund is in a bullish or defensive posture prior to making an investment in the Fund.
Emerging Markets Risk. Investments in emerging markets are generally subject to greater market volatility, political, social and economic instability, uncertain trading markets and more governmental limitations than investments in more developed markets. Companies in emerging markets may be subject to less stringent regulatory, accounting, auditing, and financial reporting and recordkeeping standards than companies in more developed countries, which could impede the Adviser’s ability to evaluate such companies or impact TTAI’s performance. Securities laws and the enforcement of systems of taxation in many emerging market countries may change quickly and unpredictably, and the ability to bring and enforce actions may be limited or otherwise impaired. In addition, investments in emerging markets may experience lower trading volume, greater price fluctuations, delayed settlement, unexpected market closures and lack of timely information, and may be subject to additional transaction costs.
Equity Investing Risk. An investment in TTAC, TTAI, DFNV or DFRA involves risks similar to those of investing in any fund holding equity securities, such as market fluctuations, changes in interest rates and perceived trends in stock prices. The values of equity securities could decline generally or could underperform other investments. In addition, securities may decline in value due to factors affecting a specific issuer, market or securities markets generally.
ESG Evaluation Risk. The ESG factors utilized in rating TTAC’s or TTAI’s portfolio and individual securities may vary across eligible investments and issuers, and not every ESG factor may be identified or evaluated by the Adviser. TTAC’s and TTAI’s portfolio
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NOTES TO FINANCIAL STATEMENTS
January 31, 2023 (Unaudited) (Continued)
will not be solely based on ESG considerations and, therefore, the issuers in which a Fund invests may not be considered ESG focused issuers. In addition, because individual securities are only excluded from TTAC’s and TTAI’s portfolio based on their ESG rating if the Portfolio ESG Score fails to satisfy the ESG Criteria, the Fund will likely invest in securities that, individually, would not satisfy the ESG Criteria. The evaluation of ESG ratings may affect TTAC’s and TTAI’s exposure to certain issuers or industries and may not work as intended. The Funds may underperform other funds that do not assess an issuer’s ESG rating or that use a different methodology or different factors to determine a security’s or an entire portfolio’s ESG rating. Information used by the Adviser to evaluate the ESG rating of TTAC’s or TTAI’s portfolio or any individual security may not be readily available, complete or accurate, and may vary across providers and issuers, as ESG is not a uniformly defined characteristic. There is no guarantee that screening TTAC’s or TTAI’s portfolio or individual securities based on their ESG ratings will increase the Fund’s performance.
ETF Risk. As an ETF, the Fund is subject to the following risks:
Authorized Participants Concentration Risk. The Fund may have a limited number of financial institutions that may act as Authorized Participants (“APs”). To the extent that those APs exit the business or are unable to process creation and/or redemption orders, shares may trade at a discount to net asset value (or “NAV”) and possibly face delisting. | |
Flash Crash Risk. Sharp price declines in securities owned by the Fund may trigger trading halts, which may result in the Fund’s shares trading in the market at an increasingly large discount to NAV during part (or all) of a trading day. Shareholders could suffer significant losses to the extent that they sell shares at these temporarily low market prices. | |
International Closed Markets Trading Risk. Because certain of the Fund’s investments trade in markets that are closed when the Fund and Exchange are open, there are likely to be deviations between the current prices of such investments and the prices at which such investments are valued by the Fund. As a result, shares may appear to trade at a significant discount or premium to NAV. | |
Large Shareholder Risk. Certain shareholders, including the Adviser, the Sub-Adviser or their respective affiliates, or groups of related shareholders, such as those investing through one or more model portfolios, may own a substantial amount of the Fund’s shares. The disposition of Fund shares by large shareholders resulting in redemptions through or by APs could have a significant negative impact on the Fund. In addition, transactions by large shareholders may account for a large percentage of the trading volume on the Exchange and may, therefore, have a material upward or downward effect on the market price of the Shares. | |
Premium-Discount Risk. Shares may trade above or below their NAV. Accordingly, investors may pay more than NAV when purchasing Shares or receive less than NAV |
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NOTES TO FINANCIAL STATEMENTS
January 31, 2023 (Unaudited) (Continued)
when selling Shares. The market prices of Shares will generally fluctuate in accordance with changes in NAV, changes in the relative supply of, and demand for Shares, and changes in the liquidity, or the perceived liquidity, of the Fund’s holdings. | |
Secondary Market Trading Risk. Investors buying or selling Shares in the secondary market may pay brokerage commissions or other charges, which may be a significant proportional cost for investors seeking to buy or sell relatively small amounts of Shares. Although the Shares are listed on the Exchange, there can be no assurance that an active or liquid trading market for them will develop or be maintained. In addition, trading in Shares on the Exchange may be halted. |
Europe Risk. Decreasing imports or exports, changes in governmental or European Union (the “EU”) regulations on trade, changes in the exchange rate of the euro, the default or threat of default by an EU member country on its sovereign debt, and/or an economic recession in an EU member country may have a significant adverse effect on the securities of EU issuers. The European financial markets have recently experienced volatility and adversity due to concerns about withdrawal of member countries from the EU and economic downturns and rising government debt levels in several European countries. These events have adversely affected the exchange rate of the euro and may continue to significantly affect every country in Europe.
Foreign Investment Risk. Returns on investments in foreign securities could be more volatile than, or trail the returns on, investments in U.S. securities. Exposures to foreign securities entail special risks, including due to: differences in information available about foreign issuers; differences in investor protection standards in other jurisdictions; capital controls risks, including the risk of a foreign jurisdiction imposing restrictions on the ability to repatriate or transfer currency or other assets; political, diplomatic and economic risks; regulatory risks; and foreign market and trading risks, including the costs of trading and risks of settlement in foreign jurisdictions. In addition, the Fund’s investments in securities denominated in other currencies could decline due to changes in local currency relative to the value of the U.S. dollar, which may affect the Fund’s returns.
Geographic Region Risk. To the extent that the Fund invests a significant portion of its assets in a specific geographic region or a particular country, the Fund will generally have more exposure to that region or country’s economic risks. In the event of economic or political turmoil or a deterioration of diplomatic relations in a region or country where a significant portion of the Fund’s assets are invested, the Fund may experience substantial illiquidity or reduction in the value of the Fund’s investments. Adverse conditions in a certain region or country can also adversely affect securities of issuers in other countries whose economies appear to be unrelated.
High Yield (Junk Bond) Securities Risk. High yield securities and unrated securities of similar credit quality are considered to be speculative with respect to the issuer’s continuing ability to make principal and interest payments and are generally subject to
55
TrimTabs ETF Trust
NOTES TO FINANCIAL STATEMENTS
January 31, 2023 (Unaudited) (Continued)
greater levels of credit quality risk than investment grade securities. High yield securities are usually issued by companies, including smaller and medium capitalization companies, without long track records of sales and earnings, or with questionable credit strength. These companies may be particularly affected by interest rate increases, as they may find it more difficult to borrow money to continue or expand operations, or may have difficulty in repaying floating rate loans. These fixed-income securities are considered below “investment-grade.” The retail secondary market for these “junk bonds” may be less liquid than that of higher-rated fixed income securities, and adverse conditions could make it difficult at times to sell these securities or could result in lower prices than higher-rated fixed income securities. These risks can reduce the value of the shares of an Underlying ETF and the income it earns.
Index-Based Strategy Risk. With respect to each of DFHY, DFNV, and DFRA, the Fund is managed as an index-based fund that seeks to track the performance of its Underlying Index. This differs from an actively managed fund, which typically seeks to outperform a benchmark index. As a result, the Fund may hold the component securities of the Underlying Index regardless of the current or projected performance of a specific security or the relevant market as a whole. Maintaining investments in securities regardless of market conditions or the performance of individual securities could cause the Fund’s returns to be lower than if the Fund employed an active strategy. The Fund will seek to track the Underlying Index in all market conditions, including during adverse market conditions when other funds may seek to take temporary defensive measures (such as investing significantly in cash or cash equivalents). Accordingly, unless the Underlying Index allocates significant portions of its assets to cash and/or cash equivalents during times of adverse market or economic conditions, the Fund may be subject to a higher level of market risk during such times than other funds. Additionally, the Fund generally rebalances and reconstitutes its portfolio, and implements downside protection allocations, in accordance with the Underlying Index and, therefore, any changes to the Underlying Index’s rebalance, reconstitution or downside protection trigger schedule will typically result in corresponding changes to the Fund’s rebalance, reconstitution or downside protection trigger schedule.
Index Calculation Risk. Each of DFHY’s, DFNV’s and DFRA’s Underlying Index relies on various sources of information to assess the criteria of issuers included in the Underlying Index and to determine whether a “buy” or “sell” trigger should be issued, including information that may be based on assumptions and estimates. DFHY, DFNV, DFRA, the Index Provider, the Adviser, the Sub-Adviser, the Underlying Index calculation agent and any of their respective affiliates cannot offer assurances that an Underlying Index’s calculation methodology or sources of information will provide an accurate assessment of included issuers or the appropriate trigger at any particular time.
Index Correlation Risk. While the Sub-Adviser seeks to track the performance of the Underlying Index closely (i.e., to achieve a high degree of correlation with the Underlying Index), the Fund’s returns may not match or achieve a high degree of
56
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NOTES TO FINANCIAL STATEMENTS
January 31, 2023 (Unaudited) (Continued)
correlation with the returns of the Underlying Index due to operating expenses, transaction costs, cash flows, regulatory requirements and/or operational inefficiencies.
Investment Risk. An investment in the Funds is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. When you sell your shares, they could be worth less than what you paid for them.
Large Capitalization Company Risk. Investments in large capitalization companies may go in and out of favor based on market and economic conditions and may underperform other market segments. Some large capitalization companies may be unable to respond quickly to new competitive challenges and attain the high growth rate of successful smaller companies, especially during extended periods of economic expansion. As such, returns on investments in stocks of large capitalization companies could trail the returns on investments in stocks of small and mid capitalization companies.
Liquidity Risk. Liquidity risk exists when a particular investment is difficult to purchase or sell. If an Underlying ETF invests in illiquid securities or its portfolio securities otherwise become illiquid, it may reduce the returns of the Underlying ETF because the Underlying ETF may be unable to sell the illiquid securities at an advantageous time or price. In the event that an Underlying ETF voluntarily or involuntarily liquidates its portfolio assets during periods of infrequent trading of its securities, the Underlying ETF may not receive full value for those assets, which will reduce the value of the Underlying ETF’s shares, and in turn, the value of the Fund’s investment in such shares.
Management Risk. Each of TTAC and TTAI is actively managed using proprietary systematic stock selection models (the “Systematic Models”), which are based on the Adviser’s research and analysis. There can be no guarantee that the Fund will achieve its investment objective or that the Systematic Models will produce intended results. The Fund may be adversely affected by imperfections, errors or limitations in the construction or implementation of the Systematic Models and/or the Adviser’s ability to monitor and timely adjust the metrics or update the data or features underlying the Systematic Models. Any of these factors could result in the Fund underperforming comparable investment vehicles.
Market Events Risk. The value of securities in the Fund’s portfolio may decline due to daily fluctuations in the securities markets that are generally beyond the Fund’s control, including the quality of the Fund’s investments, economic conditions, adverse investor sentiment, lower demand for a company’s goods or services, and general market conditions. In a declining market, the prices for all securities (including those in the Fund’s portfolio) may decline, regardless of their long-term prospects. Security values tend to move in cycles, with periods when securities markets generally rise and periods when they generally decline. In addition, local, regional or global events such as war, acts
57
TrimTabs ETF Trust
NOTES TO FINANCIAL STATEMENTS
January 31, 2023 (Unaudited) (Continued)
of terrorism, the spread of infectious illness or other public health issue, recessions, or other events could have a significant impact on the Fund, its investments and the trading of its Shares. For example, an outbreak of an infectious respiratory illness, COVID-19, has caused adverse effects on many companies, sectors, nations, regions and the markets in general. The ongoing effects of COVID-19 are unpredictable and may adversely impact the value and performance of the Fund and its ability to buy and sell investments at appropriate valuations and/or achieve its investment objective.
MLP Risk. An MLP is a publicly traded partnership primarily engaged in the transportation, storage, processing, refining, marketing, exploration, production, and mining of minerals and natural resources. MLP common units, like other equity securities, can be affected by macroeconomic and other factors affecting the stock market in general, expectations of interest rates, investor sentiment towards an issuer or certain market sector, changes in a particular issuer’s financial condition, or unfavorable or unanticipated poor performance of a particular issuer (in the case of MLPs, generally measured in terms of distributable cash flow). Prices of common units of individual MLPs, like the prices of other equity securities, also can be affected by fundamentals unique to the partnership or company, including earnings power and coverage ratios.
MLP Tax Risk. MLPs taxed as partnerships, subject to the application of certain partnership audit rules, generally do not pay U.S. federal income tax at the partnership level. Rather, each partner is allocated a share of the MLP’s income, gains, losses, deductions and expenses. A change in current tax law, or a change in the underlying business mix of a given MLP, could result in an MLP being treated as a corporation for U.S. federal income tax purposes, which would result in such MLP being required to pay U.S. federal income tax on its taxable income. The classification of an MLP as a corporation for U.S. federal income tax purposes would have the effect of reducing the amount of cash available for distribution by the MLP. Thus, if any of the MLPs owned by DFRA were treated as corporations for U.S. federal income tax purposes, it could result in a reduction in the value of your investment in DFRA and lower income.
Real Assets Industry Group Risk. The risks of investing in the Real Assets Industry Group include the risks of focusing investments in the real estate, infrastructure, commodities and natural resources related sectors, and adverse developments in these sectors may significantly affect the value of the Shares. Accordingly, DFRA is more susceptible to adverse developments affecting one or more of these sectors than a fund that invests more broadly, and the Fund may perform poorly during a downturn affecting issuers in those sectors. Companies involved in activities related to the Real Assets Industry Group can be adversely affected by, among other things, government regulation or deregulation, global political and economic developments, energy and commodity prices, the overall supply and demand for oil and gas, changes in tax zoning laws, environmental issues, and low inflation.
58
TrimTabs ETF Trust
NOTES TO FINANCIAL STATEMENTS
January 31, 2023 (Unaudited) (Continued)
REITs Risk. A REIT is a company that pools investor funds to invest primarily in income producing real estate or real estate related loans or interests. DFRA may be subject to certain risks associated with direct investments in REITs. REITs may be affected by changes in their underlying properties and by defaults by borrowers or tenants. Mortgage REITs may be affected by the quality of the credit extended. Furthermore, REITs are dependent on specialized management skills. Some REITs may have limited diversification and may be subject to risks inherent in financing a limited number of properties. REITs depend generally on their ability to generate cash flow to make distributions to shareholders or unitholders and may be subject to defaults by borrowers and to self-liquidations.
Sampling Risk. The use of a representative sampling approach may result in the Fund holding a smaller number of securities than are in the Underlying Index. As a result, an adverse development to an issuer of securities that the Fund holds could result in a greater decline in NAV than would be the case if the Fund held all of the securities in the Underlying Index. To the extent the assets in the Fund are smaller, these risks will be greater. In addition, by sampling the securities in the Underlying Index, the Fund faces the chance that the securities selected for the Fund, in the aggregate, will not provide investment performance matching that of the Underlying Index, thereby increasing tracking error.
Sector Focus Risk. To the extent that the Fund’s investments are focused on a particular sector, the Fund is subject to loss due to adverse occurrences that may affect that industry or group of industries or sector. Focusing on a particular sector could increase the Fund’s volatility over the short term.
Small and Medium Capitalization Company Risk. Investing in the securities of small and medium capitalization companies involves greater risks and the possibility of greater price volatility than customarily is associated with investing in larger, more established companies. Such companies often have narrower markets for their goods and/or services and more limited managerial and financial resources than larger, more established companies, and often have limited product lines, services, markets, financial resources or are dependent on a small management group. In addition, because such securities are not well-known to the investing public, do not have significant institutional ownership and are followed by relatively few security analysts, there will normally be less publicly available information concerning these securities compared to what is available for the securities of larger companies. As a result, the performance of small and medium capitalization companies may be more volatile and they may face greater risk of business failure, which could increase the volatility of the Fund’s portfolio.
Tactical Overlay Risk. Neither the Adviser nor the Sub-Adviser can offer assurances that the tactical overlay process employed by DFHY’s Underlying Index methodology will achieve its intended results. Investment in a fund that utilizes a tactical overlay that
59
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NOTES TO FINANCIAL STATEMENTS
January 31, 2023 (Unaudited) (Continued)
seeks to minimize risk may not be appropriate for every investor seeking a particular risk profile. Please review the portfolio holdings information on the Fund’s website at www.donoghueforlinesetfs.com/dfhy to determine whether the Fund is in a bullish or defensive posture prior to making an investment in the Fund.
Underlying ETFs Risk. In seeking to track its Underlying Index, each of DFHY and DFNV may invest a portion of its assets in Underlying ETFs. In those situations, the Fund’s investment performance is directly related to the performance of the Underlying ETFs. The Fund’s net asset value (or “NAV”) will change with changes in the value of the Underlying ETFs based on their market valuations. An investment in the Fund will entail more costs and expenses than a direct investment in the Underlying ETFs. As the Underlying ETFs, or the Fund’s allocations among the Underlying ETFs, change from time to time, or to the extent that the total annual fund operating expenses of any Underlying ETF changes, the weighted average operating expenses borne by the Fund may increase or decrease.
U.S. Treasury Securities Risk. U.S. Treasury securities may differ from other securities in their interest rates, maturities, times of issuance and other characteristics and may provide relatively lower returns than those of other securities. Similar to other issuers, changes to the financial condition or credit rating of a government may cause the value of U.S. Treasury securities or Underlying ETFs providing exposure to such securities to decline.
60
TrimTabs ETF Trust
ADDITIONAL INFORMATION
January 31, 2023 (Unaudited)
1. FREQUENCY DISTRIBUTION OF PREMIUMS AND DISCOUNTS
Information regarding how often shares of each Fund traded on the Exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund is available on the Funds’ website at www.fcf-funds.com.
2. FEDERAL TAX INFORMATION
QUALIFIED DIVIDEND INCOME/DIVIDENDS RECEIVED DEDUCTION
For the fiscal period ended July 31, 2022, certain dividends paid by the Funds may be subject to a maximum tax rate of 23.8%, as provided by the Tax Cuts and Jobs Act of 2017.
The percentage of dividends declared from ordinary income designated as qualified dividend income was as follows:
FCF US Quality ETF | 71.28 | % | |||
FCF International Quality ETF | 100.00 | % | |||
Donoghue Forlines Tactical High Yield ETF | 0.00 | % | |||
Donoghue Forlines Risk Managed Innovation ETF | 29.12 | % | |||
Donoghue Forlines Yield Enhanced Real Asset ETF | 51.03 | % |
For corporate shareholders, the percent of ordinary income distributions qualifying for the corporate dividends received deduction for the fiscal period ended July 31, 2022, was as follows:
FCF US Quality ETF | 71.19 | % | |||
FCF International Quality ETF | 0.46 | % | |||
Donoghue Forlines Tactical High Yield ETF | 0.00 | % | |||
Donoghue Forlines Risk Managed Innovation ETF | 17.94 | % | |||
Donoghue Forlines Yield Enhanced Real Asset ETF | 19.03 | % |
SHORT-TERM CAPITAL GAIN
The Percentage of taxable ordinary income distributions that are designated as short-term capital gain distributions under Internal Revenue Section 871(k)(2)(C) for each Fund for the fiscal period ended July 31, 2022, were as follows (unaudited):
FCF US Quality ETF | 67.08 | % | |||
FCF International Quality ETF | 0.00 | % | |||
Donoghue Forlines Tactical High Yield ETF | 0.00 | % | |||
Donoghue Forlines Risk Managed Innovation ETF | 99.15 | % | |||
Donoghue Forlines Yield Enhanced Real Asset ETF | 0.00 | % |
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ADDITIONAL INFORMATION
January 31, 2023 (Unaudited) (Continued)
3. DISCLOSURE OF PORTFOLIO HOLDINGS
The Funds file their complete schedule of portfolio holdings for their first and third fiscal quarters with the Securities and Exchange Commission (“SEC”) on Part F of Form N-PORT. The Funds’ Part F of Form N-PORT is available without charge, upon request, by calling toll free at 1-800-617-0004. Furthermore, you may obtain the Part F of Form N-PORT on the SEC’s website at www.sec.gov. Each Fund’s portfolio holdings are posted daily on their website at www.fcf-funds.com.
4. PROXY VOTING POLICIES AND PROCEDURES
A description of the policies and procedures the Funds use to determine how to vote proxies related to portfolio securities is provided in the Statement of Additional Information (“SAI”). The SAI is available without charge upon request by calling toll free at 1-800-617-0004, by accessing the SEC’s website at www.sec.gov or by accessing the Funds’ website at www.fcf-funds.com. Information on how the Funds voted proxies related to portfolio securities during the period ended June 30 is available without charge, upon request, by calling 1-800-617-0004 or by accessing the website of the SEC.
5. CHANGE IN DFNV BROAD-BASED SECURITIES MARKET INDEX
Effective December 30, 2022, the broad-based securities market index for DFNV changed from the Russell 1000® Index to the Russell 1000® Growth Index. DFNV’s broad-based securities market index was changed to the Russell 1000® Growth Index in order to more closely align with the Fund’s principal investment strategy, which has overweight exposure to growth stocks.
6. REVIEW OF LIQUIDITY RISK MANAGEMENT PROGRAM
Pursuant to Rule 22e-4 under the 1940 Act (the “Rule”), each series (each, a “Fund,” and, collectively, the “Funds”) of TrimTabs ETF Trust (the “Trust”) has adopted a liquidity risk management program (the “Program”) to govern the Funds’ approach to managing liquidity risk, which is the risk that a Fund would not be able to meet redemption requests without significant dilution of remaining investors’ interests in the Fund. The Program is overseen by FCF Advisors LLC, investment adviser to the Funds, as the Funds’ Liquidity Risk Management Program Administrator (the “Program Administrator”), and the Program’s principal objectives include assessing, managing and periodically reviewing each Fund’s liquidity risk (no less frequently than annually), based on factors specific to the circumstances of the Funds. In this regard, each Fund qualifies as an “In-Kind ETF” under the Rule because it meets redemptions through in-kind transfers of securities, positions, and assets other than a de minimis amount of cash and publishes its portfolio holdings daily. In-Kind ETFs are exempt from the Rule’s classification and highly liquid investment minimum provisions.
62
TrimTabs ETF Trust
ADDITIONAL INFORMATION
January 31, 2023 (Unaudited) (Continued)
At a meeting of the Board of Trustees of the Trust (the “Board”) held on September 6, 2022, the Board received a report from the Program Administrator (the “Report”) addressing the operation and management of the Program for the period from June 1, 2021 through July 31, 2022 (the “Review Period”), with respect to the following Funds: FCF US Quality ETF, FCF International Quality ETF, Donoghue Forlines Tactical High Yield ETF, Donoghue Forlines Risk Managed Innovation ETF and Donoghue Forlines Yield Enhanced Real Asset ETF. The Report noted that, for the Review Period, the Program Administrator believed that the Program operated effectively in all material respects and that existing procedures, controls and safeguards were appropriately designed to enable the Program Administrator to administer the Program in compliance with the Rule. The Report noted that, during the Review Period, the Funds did not invest in illiquid investments, all of their investments were highly liquid, and all orders were transacted in kind with only a de minimis amount of cash. Further, the Report noted that no material changes were made to the Program as a result of the Program Administrator’s annual review.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to a Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in that Fund may be subject.
7. TRUSTEES AND OFFICERS
As a result of internal staffing changes, and at the recommendation of the Adviser, effective November 23, 2022, the Board elected Jacob Pluchenik President and Principal Executive Officer of the Trust. Bob Shea, the former President and Executive Officer of the Trust, as of November 23, 2022, is no longer deemed or considered to be, or authorized to act as, an officer of the Trust.
Additional information about each Trustee of the Trust is set forth below. The address of each Trustee of the Trust is c/o FCF Advisors LLC 1345 Avenue of the Americas, 33rd Floor, New York, NY, 10105. The Funds’ Statement of Additional Information includes additional information about the Trustees and Officers and is available without charge, upon request, by calling toll-free at 1-800-617-0004.
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TrimTabs ETF Trust
ADDITIONAL INFORMATION
January 31, 2023 (Unaudited) (Continued)
Term of | Number of | ||||
Office | Portfolios | Other | |||
and | Principal | in Fund | Directorships | ||
Position(s) | Length | Occupation | Complex | Held by Trustee | |
Name, Year | Held with | of Time | During Past | Overseen | During Past |
of Birth | the Trust | Served | Five Years | by Trustee | Five Years |
Independent Trustees | |||||
Stephen J. Posner | Trustee | Since | Retired Since | 5 | Director, TrimTabs |
YOB: 1944 | 2014 | 2014. | Investment Research | ||
(2016-2017)** | |||||
David A. Kelly | Trustee | Since | Founder and | 5 | None |
YOB: 1938 | 2015 | President, Three | |||
Lakes Advisors, Inc. | |||||
(1996-present) | |||||
Interested Trustee* | |||||
Jacob Pluchenik | Trustee, | Trustee | Managing Member, | 5 | None |
YOB: 1976 | President | since | GF Investments | ||
and | 2021; | (2005-present); | |||
Principal | President | Member, FCF | |||
Executive | and | Advisors LLC | |||
Officer | Principal | (2016-present) | |||
Executive | |||||
Officer | |||||
since | |||||
November | |||||
2022 |
* | Mr. Pluchenik is an “interested person,” as defined by the Investment Company Act of 1940, as amended, because of his ownership interest in the Adviser. |
** | TrimTabs Investment Research does not control and is not controlled by or under common control with the Adviser. |
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ADDITIONAL INFORMATION
January 31, 2023 (Unaudited) (Continued)
Term of | |||
Position(s) | Office and | ||
Name, Year | Held with | Length of | |
of Birth | the Trust | Time Served | Principal Occupation During Past Five Years |
Officers | |||
Derin Cohen | Chief | Chief | Chief Operating & Compliance Officer, FCF Advisors |
YOB: 1991 | Compliance | Compliance | LLC (2019-present) and Vice President, Marketing and |
Officer and | Officer and | Operations (2017-2019); Lead Generation Associate, | |
Anti-Money | Anti-Money | SinglePlatform (2017-2017); Internal Control Associate, | |
Laundering | Laundering | Maxim Group LLC (2013-2017) | |
Officer | Officer since | ||
2019; Vice | |||
President | |||
(2018-2019) | |||
Vince (Qijun) Chen | Vice | Since 2019 | Director of Research, FCF Advisors LLC (2022-present), |
YOB: 1994 | President, | Portfolio Manager, FCF Advisors LLC (2021-present), | |
Treasurer, | Quantitative Analyst, FCF Advisors LLC | ||
and | (2017-present); Application Developer, NYC Human | ||
Principal | Resources Administration (2017-2017) | ||
Financial | |||
Officer |
65
Investment Adviser
FCF Advisors LLC
1345 Avenue of the Americas, 33rd Floor
New York, NY 10105
Investment Sub-Adviser
Donoghue Forlines LLC
One International Place, Suite 2920
Boston, MA 02110
Distributor
Quasar Distributors, LLC
111 East Kilbourn Avenue, Suite 2200
Milwaukee, WI 53202
Administrator, Fund Accountant & Transfer Agent
U.S. Bank Global Fund Services
615 East Michigan Street
Milwaukee, WI 53202
Custodian
U.S. Bank N.A.
1555 North RiverCenter Drive, Suite 302
Milwaukee, WI 53212
Independent Registered Public Accounting Firm
BBD, LLP
1835 Market Street, 3rd Floor
Philadelphia, PA 19103
Legal Counsel
Stradley Ronon Stevens & Young, LLP
2005 Market Street, Suite 2600
Philadelphia, PA 19103-7018
(b) Not Applicable.
Item 2. Code of Ethics.
Not applicable for semi-annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual reports.
Item 5. Audit Committee of Listed Registrants.
(a) Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934).
(b) Not Applicable.
Item 6. Investments.
(a) Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.
(b) Not Applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 9. Purchases of Equity Securities by Closed‑End Management Investment Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of TrimTabs ETF Trust.
Item 11. Controls and Procedures.
(a) | The Registrant’s President/Principal Executive Officer and Treasurer/Principal Financial Officer have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d‑15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider. |
(b) | There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 13. Exhibits.
(a) | (1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not applicable. |
(3) Any written solicitation to purchase securities under Rule 23c‑1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies.
(4) Change in the registrant’s independent public accountant. There was no change in the registrant’s independent public accountant for the period covered by this report.
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) TrimTabs ETF Trust
By (Signature and Title)* /s/ Jacob Pluchenik
Jacob Pluchenik, President (Principal Executive Officer)
Date 4/4/2023
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/ Jacob Pluchenik
Jacob Pluchenik, President (Principal Executive Officer)
Date 4/4/2023
By (Signature and Title)* /s/ Vince (Qijun) Chen
Vince (Qijun) Chen, Treasurer (Principal Financial Officer)
Date 4/4/2023
* Print the name and title of each signing officer under his or her signature.