UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-23167
OSI ETF Trust
(Exact name of registrant as specified in charter)
60 State Street
Suite 700
Boston, MA 02109
(Address of principal executive offices) (Zip code)
Connor O’Brien
60 State Street
Suite 700
Boston, MA 02109
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: (617) 855-7670
Date of fiscal year end: June 30
Date of reporting period: June 30, 2017
Item 1. Reports To Stockholders.
The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
Annual Report
June 30, 2017
Before investing you should carefully consider a Fund’s investment objectives, risks, charges and expenses. This and other information is available in the Fund’s prospectus, a copy of which may be obtained by visiting the Fund’s website at www.oshares.com. Please read the prospectus carefully before you invest.
There are risks involved with investing, including possible loss of principal. Concentration in a particular industry or sector may subject the Funds to a greater degree to the risks particular to that industry or sector. The Funds’ emphasis on dividend paying stocks involves the risk that such stocks may fall out of favor with investors and underperform the market. Also, a company may reduce or eliminate its dividend after a Fund’s purchase of such a company’s securities. The securities of small and mid-capitalization companies are often more volatile and less liquid than the stocks of larger companies and may be more affected than other types of securities during market downturns. Compared to larger companies, small and mid-capitalization companies may have a shorter history of operations, and may have limited product lines, markets or financial resources. 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 political, diplomatic and economic risks; regulatory risks; and foreign market and trading risks. 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. See the prospectus for specific risks regarding the Funds.
Individual shares of the Fund may be purchased or sold in the secondary market throughout the regular trading day on the NYSE Arca through a brokerage account. However, shares are not individually redeemable directly from the Fund. Each Fund issues and redeems shares on a continuous basis, at net asset value (“NAV”), only in large blocks of shares (“Creation Units”), principally in-kind for securities included in the relevant Index.
Distributor: Foreside Fund Services, LLC
Table of Contents
The O’Shares FTSE Russell Small Cap Quality Dividend ETF and the O’Shares FTSE Russell International Quality Dividend ETF (the “Funds”) are not in any way sponsored, endorsed, sold or promoted by the London Stock Exchange Group companies, which include FTSE International Limited (“FTSE”), Frank Russell Company (“Russell”), MTS Next Limited (“MTS”) and FTSE TMX Global Debt Capital Markets Inc. (“FTSE TMX”) (together “LSEG”). LSEG makes no claim, prediction, warranty or representation whatsoever, expressly or impliedly, either as to (i) the results to be obtained from the use of the FTSE USA Small Cap Qual/Vol/Yield 3% Capped Factor Index and the FTSE Developed ex US Qual/Vol/Yield 5% Capped Factor Index (the “Indexes”) (upon which the Funds are based, respectively), (ii) the figure at which the Indexes are said to stand at any particular time on any particular day or otherwise, or (iii) the suitability of the Indexes for the purpose to which they are being put in connection with the Funds. LSEG has not provided nor will provide any financial or investment advice or recommendation in relation to the Indexes to the adviser or to its clients. The Indexes are calculated by FTSE or its agent. LSEG shall not be (a) liable (whether in negligence or otherwise) to any person for any error in the Indexes or (b) under any obligation to advise any person of any error therein.
All rights in the Indexes vest in FTSE. “FTSE®”, “Russell®”, “MTS®”, “FTSE TMX®” and “FTSE-Russell” and other service marks and trademarks related to the FTSE or Russell indexes are trademarks of the London Stock Exchange Group companies and are used by FTSE, MTS, FTSE TMX and Russell under license.
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Dear Shareholder,
This Annual Report for the O’Shares Investments ETFs covers the period since the inception of each Fund through June 30, 2017. During the following periods, the Funds’ NAV returns were as follows:
O’Shares FTSE Russell Small Cap Quality Dividend ETF (OUSM) | 2.52 | % | (December 30, 2016 – June 30, 2017) | |||||
O’Shares FTSE Russell International Quality Dividend ETF (ONTL) | 6.53 | % | (March 22, 2017 – June 30, 2017) |
Global Equity Market Overview
During the 12 months ended June 30, 2017 (the “Period”), the Russell 2000 Index1 generated returns of 24.57% and the FTSE USA Small Cap Index2, a broad U.S. small cap equity index, returned 19.32%. International equity markets delivered a positive return, with the FTSE Developed ex US Index3 returning 20.96% and the MSCI ACWI ex USA Index4 returning 21.06%.
Performance across global equity markets during the Period was driven by various factors, including varying degrees of global economic growth, tighter monetary policy in the U.S., ongoing monetary stimulus measures in Europe and Japan, as well as other factors, including volatile energy prices and political developments in the U.S. and Europe. U.S. economic activity during the Period was positive, with U.S. GDP growing at an average estimated rate of 1.85%. The U.S. labor market also continued to improve with the unemployment rate declining from 4.87% to 4.37% during the Period, while job creation remained generally strong, albeit with month-to-month volatility. U.S. manufacturing and industrial production were also relatively strong, driven by a stronger U.S. economy and expectations for further improvements in capital spending. While core inflation in the U.S. picked up during the Period, with broad prices, excluding food and energy, rising at an average rate of 1.80%, price increases were somewhat softer in the final months of the Period. In Europe, economic growth also remained relatively positive, as GDP in the European Union (“E.U.”) grew at an average estimated rate of 2.00% during the Period. Employment in Europe showed modest improvement, as the unemployment rate in the European Union declined from 8.70% to 8.50%. While inflation in Europe remained low by historical standards, prices, excluding food and energy, did show some improvement, rising at an average rate of 0.90% during the Period. Growth in the Asia-Pacific region was higher than in the aforementioned regions, as the GDP in the region expanded by an estimated average rate of 4.90% during the Period. Growth in Japan improved, as the economy grew at an estimated average rate of 1.30%. However, core inflation remained low with prices, excluding energy and food, declining 0.01% during the Period. In Australia, growth also remained relatively low and uneven, with the economy growing at an estimated average rate of 0.40% as volatile commodity prices remained a headwind.
During the Period, the U.S. Federal Reserve increased the federal funds target rate on three separate occasions, moving from a range of 0.25% – 0.50% to a range of 1.00% to 1.25%. While the increases represent a move towards a renormalization of monetary policy, rates remain low by historical standards. A combination of generally improving U.S. economic conditions and U.S. political developments resulted in interest rates moving higher during the Period with the yield on U.S. 10 Year government bonds rising from 1.47% at the beginning of the Period to 2.30% on June 30, 2017. In Europe, the economic recovery remained less advanced relative to the U.S. and monetary stimulus remained accommodative, with the European Central Bank maintaining measures to increase liquidity and boost growth. However, improvements in the region’s economic conditions resulted in European
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government bond yields generally moving higher during the Period. Similarly, in the Asia-Pacific region, the Bank of Japan remained highly accommodative with its monetary policy, and government bond yields generally moved higher alongside moderately improving global economic conditions.
Against this global economic backdrop, U.S. corporate profits remained generally solid during the Period, with earnings in the Energy sector also partially rebounding. In Europe, corporate profits, excluding the financial sector, also continued to grow as corporate profits in the region rebounded alongside accommodative monetary policy and improvements in the economy. In the Asia-Pacific region, corporate profits generally grew at higher rates relative to the U.S. and Europe during the Period, given the region’s higher growth profile and exposure to improvements in global economic growth.
U.S. equity markets generated strong returns during the Period, as improvements in economic conditions and expectations for policy changes benefited U.S. equities. Volatility in U.S. equity markets also remained historically low, with some periods of intermittent volatility around the U.S. election process in the fourth quarter of 2016. West Texas Intermediate oil prices were somewhat volatile during the Period, though prices remained somewhat range bound relative to the precipitous price declines in 2014 and 2015. In this environment, cyclical, more economically sensitive equity sectors in the U.S., including Financials, Information Technology and Industrials, outperformed, while more defensive sectors including Telecommunication Services, Consumer Goods and Real Estate, underperformed. The U.S. Energy sector also underperformed. In Europe, generally positive political developments also benefitted equity markets alongside improvements in the economy. Performance distribution was similar with cyclical sectors generally outperforming more defensive sectors. Equity markets in the Asia-Pacific region were also partially driven by improvements in global economic growth as cyclical sectors in the region generally outperformed defensive sectors.
The views expressed in this letter were those as of June 30, 2017, and may not necessarily reflect views on the date this letter is first published or anytime thereafter. These views are intended to help shareholders in understanding the Funds’ present investment methodology and do not constitute investment advice.
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O’Shares FTSE Russell Small Cap Quality Dividend ETF (OUSM) (Unaudited)
The Fund seeks to track the performance (before fees and expenses) of the FTSE USA Small Cap Qual/Vol/Yield 3% Capped Factor Index (the “U.S. Small Cap Target Index”). The U.S. Small Cap Target Index is designed to reflect the performance of publicly-listed small capitalization dividend-paying issuers in the United States exhibiting high quality, low volatility and high dividend yields, as determined by FTSE-Russell (the “Index Provider”).
Since inception from December 30, 2016 through June 30, 2017 (the “Reporting Period”), the Fund’s market return was 2.68% and its NAV return was 2.52%. The U.S. Small Cap Target Index returned 2.73% during the same Reporting Period. The Fund’s market price at June 30, 2017 was $25.45.5
The Fund posted positive performance in four of the six full months during the Reporting Period, with returns ranging from 1.79% to -1.08%. The best performing months for the Fund were February 2017 and April 2017, finishing up 1.79% and 1.41%, respectively. The worst performing months for the Fund were March 2017 and May 2017, finishing down -0.52% and -1.08%, respectively.
Seven of the eleven sectors in OUSM delivered positive returns during the Reporting Period. In general, cyclical sectors including Industrials, Materials and Financials were among the strongest performing U.S. small cap sectors as the U.S. economy continued to improve and more defensive sectors generally lagged. However, the Utilities sector, which is typically considered a non-cyclical, generated strong returns during the Reporting Period as U.S. small cap Utilities generally outperformed the broader market. Conversely, more defensive sectors including Consumer Staples and Telecommunication services generally underperformed the market and delivered negative returns during the Reporting Period. The Energy sector also delivered negative returns as Energy companies were affected by historically low energy prices.
Frequency of Distributions of Premium and Discounts — Information concerning the number of days that the Funds trade at a premium or discount can be found on the Funds’ website, www.oshares.com.
The Fund had an annualized daily volatility6 of 9.06% for the Reporting Period.
Fund Sector | As of June 30, 2017 Based on Net Assets | |||||||
Fund Sector Weights | Constituent Companies | |||||||
Consumer Discretionary | 15.95 | % | 44 | |||||
Consumer Staples | 2.25 | % | 7 | |||||
Energy | 0.67 | % | 4 | |||||
Financials | 11.80 | % | 87 | |||||
Health Care | 3.43 | % | 3 | |||||
Industrials | 15.58 | % | 35 | |||||
Information Technology | 10.91 | % | 17 | |||||
Materials | 8.13 | % | 17 | |||||
Real Estate | 19.33 | % | 83 | |||||
Telecommunication Services | 0.79 | % | 3 | |||||
Utilities | 10.68 | % | 26 | |||||
Other* | 0.48 | % | 2 | |||||
Totals | 100.00% | 328 |
* | Includes cash and any non-equity securities and net other assets (liabilities) |
Portfolio Characteristics | As of June 30, 2017 | |||
Book Yield (B/P)7 | 37.38 | % | ||
Earnings Yield (E/P)8 | 4.38 | % | ||
Return on Equity (ROE)9 | 11.71 | % | ||
Debt to Equity (D/E)10 | 100.40 | % | ||
Dividend Yield (D/P)11 | 3.97 | % | ||
Forward Earnings Yield (E/P)12 | 4.48 | % | ||
30-day SEC Yield (subsidized)13 | 3.44 | % | ||
30-day SEC Yield (unsubsidized)13 | 3.44 | % | ||
Beta (104 week)14 | 0.95 | |||
Average Market Cap (millions) | $ | 4,325 | ||
Median Market Cap (millions) | $ | 2,392 |
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Growth of a $10,000 Investment Since Inception at Net Asset Value*
O’Shares FTSE Russell Small Cap Quality Dividend ETF (OUSM)
* | The line graph represents historical performance of a hypothetical investment of $10,000 from December 30, 2016 (Date of Inception) to June 30, 2017 assuming the reinvestment of distributions. |
Average Annual Total Return Since Inception through June 30, 2017
1 Year | Since Inception | |||||||
OUSM NAV Return | NA | 2.52 | % | |||||
OUSM Market Price Return | NA | 2.68 | % | |||||
FTSE USA Small Cap Qual/Vol/Yield 3% Capped Factor Index | NA | 2.73 | % |
Performance measured by NAV differs from the U.S. Small Cap Target Index primarily due to fund fees and expenses.
The U.S. Small Cap Target Index performance for the Reporting Period was positive, and between the broader market benchmarks, as represented by the Russell 2000 Index and the S&P Small Cap 600 Index.
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Returns less than one year are not annualized. As stated in the current prospectus, the Fund’s investment adviser, O’Shares Investment Advisers, LLC (“Adviser”) bears all of the ordinary operating expenses of the Fund, except for (i) the management fee, (ii) payments under the Funds’ Rule 12b-1 plan, (iii) brokerage expenses (including any costs incidental to transactions in portfolio securities or instruments), (iv) acquired fund fees and expenses, (v) taxes, (vi) interest (including borrowing costs and dividend expenses on securities sold short and overdraft charges), (vii) litigation expenses (including litigation to which the Trust or the Fund may be a party and indemnification of the trustees and officers with respect thereto) and (viii) other extraordinary or non-routine expenses. As stated in the current prospectus, the current gross expense ratio is 0.48%. Please refer to the Financial Highlights herein for the most recent expense ratio information. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month-end performance please visit www.oshares.com. Index returns reflect the reinvestment of dividends but do not reflect any management fees, transaction costs, or other expenses that would be incurred by the Fund or brokerage commissions on transactions in Fund shares. Such fees and expenses reduce Fund returns. One cannot invest directly in an index.
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O’Shares FTSE Russell International Quality Dividend ETF (ONTL) (Unaudited)
The Fund seeks to track the performance (before fees and expenses) of the FTSE Developed ex US Qual/Vol/Yield 5% Capped Factor Index (the “International Target Index”).The International Target Index is designed to reflect the performance of publicly-listed large capitalization and mid-capitalization dividend-paying international issuers exhibiting high quality, low volatility and high dividend yields, as determined by FTSE-Russell (the “Index Provider”). The quality and low volatility factors are designed to reduce exposure to high dividend equities that have experienced large price declines, as may occur with some dividend investing strategies.
Since inception from March 22, 2017 through June 30, 2017 (the “Reporting Period”), the Fund’s market return was 7.66% and its NAV return was 6.53% The International Target Index returned 6.67% during the same Reporting Period. The Fund’s market price at June 30, 2017 was $26.73.5
The Fund posted positive performance in two of the three full months during the Reporting Period, with returns ranging from 4.60% to -0.78%. The best performing month for the Fund was May 2017, finishing up 4.60%. The worst performing month for the Fund was June 2017, finishing down -0.78%.
On a U.S. dollar-denominated basis, holdings in eleven of the eleven sectors in ONTL delivered positive returns for the Reporting Period. The strongest performing sector was Information Technology. Utilities and Real Estate, generally considered non-cyclical sectors, also performed well. Industrials, a cyclical sector, also performed well alongside improvements in global economic conditions. Conversely, more defensive sectors such as Telecommunications and Health Care generally underperformed the broader market. The Energy sector also underperformed during the Reporting Period as Energy companies remained pressured by historically low energy prices.
The strongest performing regions were generally in Europe, with countries including Denmark, Austria and Portugal outperformed as economic conditions in the region improved. Conversely, countries including Singapore, Australia and the Netherlands underperformed.
Frequency of Distributions of Premium and Discounts — Information concerning the number of days that the Funds trade at a premium or discount can be found on the Funds’ website, www.oshares.com.
The Fund had an annualized daily volatility6 of 9.74% for the Reporting Period.
Fund Sector | As of June 30, 2017 Based on Net Assets | |||||||
Fund Sector Weights | Constituent Companies | |||||||
Consumer Discretionary | 8.04 | % | 53 | |||||
Consumer Staples | 19.27 | % | 29 | |||||
Energy | 2.59 | % | 12 | |||||
Financials | 8.07 | % | 38 | |||||
Health Care | 17.78 | % | 24 | |||||
Industrials | 12.62 | % | 82 | |||||
Information Technology | 2.42 | % | 9 | |||||
Materials | 6.82 | % | 34 | |||||
Real Estate | 7.66 | % | 38 | |||||
Telecommunication Services | 6.73 | % | 24 | |||||
Utilities | 6.85 | % | 33 | |||||
Exchange Traded Funds | 0.64 | % | 1 | |||||
Other* | 0.51 | % | 17 | |||||
Totals | 100.00% | 394 |
* | Includes cash and any non-equity securities and net other assets (liabilities) |
Fund Country Exposure | As of June 30, 2017 Based on Net Assets | |||
Country | Fund Exposure | |||
Australia | 8.91 | % | ||
Austria | 0.05 | % | ||
Belgium | 1.68 | % | ||
Canada | 9.72 | % | ||
China | 0.04 | % | ||
Denmark | 2.15 | % | ||
Finland | 1.63 | % | ||
France | 8.42 | % | ||
Germany | 6.29 | % | ||
Hong Kong | 3.15 | % | ||
Ireland | 0.18 | % | ||
Israel | 0.66 | % | ||
Italy | 1.05 | % | ||
Japan | 12.44 | % | ||
Luxembourg | 0.27 | % | ||
Netherlands | 1.03 | % | ||
New Zealand | 0.59 | % | ||
Norway | 0.69 | % | ||
Portugal | 0.16 | % | ||
Singapore | 1.52 | % | ||
South Africa | 0.12 | % | ||
Spain | 2.38 | % | ||
Sweden | 4.13 | % | ||
Switzerland | 14.76 | % | ||
United Kingdom | 16.78 | % | ||
United States | 0.74 | % | ||
Other* | 0.46 | % | ||
Totals | 100.00% |
* | Includes cash and any non-equity securities and net other assets (liabilities) |
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Fund Currency Exposure | As of June 30, 2017 Based on Net Assets | |||
Currency | FundExposure | |||
Swiss Franc | 14.61 | % | ||
Australian Dollar | 9.36 | % | ||
Canadian Dollar | 9.77 | % | ||
Danish Krone | 2.16 | % | ||
Euro | 24.68 | % | ||
British Pound | 15.37 | % | ||
Hong Kong Dollar | 3.00 | % | ||
Israeli Shekel | 0.66 | % | ||
Japanese Yen | 12.40 | % | ||
South Korean Won | 0.00 | % | ||
Norwegian Krone | 0.69 | % | ||
New Zealand Dollar | 0.59 | % | ||
Swedish Krona | 4.13 | % | ||
Singapore Dollar | 1.49 | % | ||
US Dollar | 1.09 | % | ||
Totals | 100.00% |
Portfolio Characteristics | As of June 30, 2017 | |||
Book Yield (B/P)7 | 43.29 | % | ||
Earnings Yield (E/P)8 | 5.02 | % | ||
Return on Equity (ROE)9 | 11.61 | % | ||
Debt to Equity (D/E)10 | 24.55 | % | ||
Dividend Yield (D/P)11 | 1.75 | % | ||
Forward Earnings Yield (E/P)12 | 2.49 | % | ||
30-day SEC Yield (subsidized)13 | 2.60 | % | ||
30-day SEC Yield (unsubsidized)13 | 2.60 | % | ||
Beta (104 week)14 | 0.91 | |||
Average Market Cap (millions) | $ | 65,637 | ||
Median Market Cap (millions) | $ | 10,615 |
Growth of a $10,000 Investment Since Inception at Net Asset Value*
O’Shares FTSE Russell International Quality Dividend ETF — (ONTL)
* | The line graph represents historical performance of a hypothetical investment of $10,000 from March 22, 2017 (Date of Inception) to June 30, 2017 assuming the reinvestment of distributions. |
Average Annual Total Return Since Inception through June 30, 2017
1 Year | Since Inception | |||||||
ONTL NAV Return | NA | 6.53 | % | |||||
ONTL Market Price Return | NA | 7.66 | % | |||||
FTSE Developed ex US Qual/Vol/Yield 5% Capped Factor Index | NA | 6.67 | % |
Performance measured by NAV differs from the International Target Index primarily due to fund fees and expenses.
The International Target Index performance for the Reporting Period was positive, and in line with the broader market, as represented by the MSCI All Country World Index ex USA.
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Returns less than one year are not annualized. As stated in the current prospectus, the Fund’s investment adviser, O’Shares Investment Advisers, LLC (“Adviser”) bears all of the ordinary operating expenses of the Fund, except for (i) the management fee, (ii) payments under the Funds’ Rule 12b-1 plan, (iii) brokerage expenses (including any costs incidental to transactions in portfolio securities or instruments), (iv) acquired fund fees and expenses, (v) taxes, (vi) interest (including borrowing costs and dividend expenses on securities sold short and overdraft charges), (vii) litigation expenses (including litigation to which the Trust or the Fund may be a party and indemnification of the trustees and officers with respect thereto) and (viii) other extraordinary or non-routine expenses. As stated in the current prospectus, the current gross expense ratio is 0.48%. Please refer to the Financial Highlights herein for the most recent expense ratio information. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month-end performance please visit www.oshares.com. Index returns reflect the reinvestment of dividends but do not reflect any management fees, transaction costs, or other expenses that would be incurred by the Fund or brokerage commissions on transactions in Fund shares. Such fees and expenses reduce Fund returns. One cannot invest directly in an index.
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Footnotes to Shareholder Letter and Management Discussion of Fund Performance:
1. | Russell 2000 Index — The Russell 2000 Stock Index consists of 2000 of the smallest companies in the Russell 3000 index, actively traded on the NYSE and NASDAQ. |
2. | FTSE USA Small Cap Index — The FTSE USA Small Cap Index is a market-capitalization weighted index representing the performance of US small cap stocks. The index is derived from the FTSE Global Equity Index Series (GEIS), which covers 98% of the world’s investable market capitalization. |
3. | FTSE Developed ex US Index — The FTSE Developed ex US Index comprises stocks providing coverage of developed international markets excluding the U.S. The index is derived from the FTSE Global Equity Index Series (GEIS), which covers 98% of the world’s investable market capitalization. |
4. | MSCI All Country World Index ex USA — The MSCI All Country World Index Ex USA index is comprised of large and mid-cap stocks from developed markets excluding the U.S. The index covers 85% of the global equity investment universe outside the U.S. |
5. | A Fund’s per share net asset value (“NAV”) is the value of one share of the Fund. NAV is calculated by taking the Fund’s total assets (including the market value of securities owned), subtracting liabilities, and dividing by the number of shares outstanding. The NAV Return is based on the NAV of the Fund, and the Market Price Return is based on the market price per share of the Fund. The price used to calculate market return (“Market Price”) is determined by using the midpoint between the highest bid and the lowest offer at 4:00 p.m. Eastern time on the primary stock exchange on which the shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. NAV is used as a proxy for purposes of calculating Market Price Return on inception date. Market Price and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. |
6. | Volatility is a statistical measure of the dispersion of returns for a given security or market index. |
7. | Book Yield (Price/Book Ratio) is equivalent to a firm’s stock price divided by total assets minus intangible assets and liabilities. |
8. | Earnings Yield (which is the inverse of the P/E ratio) shows the percentage of each dollar invested in the stock that was earned by the company. |
9. | Return on Equity (ROE) is a measure of profitability that calculates how many dollars of profit a company generates with each dollar of shareholders’ equity. The formula for ROE is: ROE = Net Income/Shareholders’ Equity. |
10. | Debt to Equity Ratio (D/E) is a debt ratio used to measure a company’s financial leverage, calculated by dividing a company’s total liabilities by its stockholders’ equity. The D/E ratio indicates how much debt a company is using to finance its assets relative to the amount of value represented in shareholders’ equity. |
11. | Dividend Yield is a dividend expressed as a percentage of the current share price. |
12. | Forward Earnings Yield is the quotient of earnings per share divided by the share price. It is the reciprocal of the P/E ratio. |
13. | The 30-day SEC yield is calculated with a standardized formula mandated by the SEC. The formula is based on maximum offering price per share and includes the effect of any fee waivers. Without waivers, yields would be reduced. The 30-day unsubsidized SEC yield does not reflect waivers in effect. A fund’s actual distribution rate will differ from the SEC yield and any income distributions from the fund may be higher or lower than the SEC yield. |
14. | Beta is a measure of the volatility, or systematic risk, of a security or a portfolio in comparison to the market as a whole. |
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OSI ETF Trust
O’Shares FTSE Russell Small Cap Quality Dividend ETF
Schedule of Investments
June 30, 2017
Number of Shares | Value | ||||||||
Common Stocks – 99.6% | |||||||||
Aerospace & Defense – 0.2% | |||||||||
National Presto Industries, Inc. | 819 | $ | 90,500 | ||||||
Airlines – 0.1% | |||||||||
Allegiant Travel Co. | 364 | 49,358 | |||||||
Auto Components – 0.1% | |||||||||
Superior Industries International, Inc. | 2,164 | 44,470 | |||||||
Automobiles – 0.6% | |||||||||
Thor Industries, Inc. | 2,168 | 226,599 | |||||||
Banks – 3.1% | |||||||||
Bank of Hawaii Corp. | 655 | 54,345 | |||||||
BankUnited, Inc. | 1,410 | 47,531 | |||||||
BOK Financial Corp. | 319 | 26,837 | |||||||
Boston Private Financial Holdings, Inc. | 1,052 | 16,148 | |||||||
Brookline Bancorp, Inc. | 1,052 | 15,359 | |||||||
City Holding Co. | 270 | 17,785 | |||||||
Columbia Banking System, Inc. | 1,195 | 47,621 | |||||||
Community Bank System, Inc. | 635 | 35,414 | |||||||
Community Trust Bancorp, Inc. | 240 | 10,500 | |||||||
Cullen/Frost Bankers, Inc. | 819 | 76,912 | |||||||
CVB Financial Corp. | 1,557 | 34,924 | |||||||
First Commonwealth Financial Corp. | 962 | 12,198 | |||||||
First Financial Bancorp | 1,110 | 30,747 | |||||||
First Financial Corp. | 120 | 5,676 | |||||||
Flushing Financial Corp. | 390 | 10,994 | |||||||
FNB Corp. | 3,555 | 50,339 | |||||||
Fulton Financial Corp. | 2,529 | 48,051 | |||||||
Glacier Bancorp, Inc. | 1,074 | 39,319 | |||||||
NBT Bancorp, Inc. | 806 | 29,782 | |||||||
Old National Bancorp | 2,398 | 41,366 | |||||||
PacWest Bancorp | 2,228 | 104,048 | |||||||
Park National Corp. | 244 | 25,308 | |||||||
Republic Bancorp, Inc., Class A | 120 | 4,284 | |||||||
S&T Bancorp, Inc. | 390 | 13,985 | |||||||
Sandy Spring Bancorp, Inc. | 330 | 13,418 | |||||||
Stock Yards Bancorp, Inc. | 240 | 9,336 | |||||||
Tompkins Financial Corp. | 232 | 18,263 | |||||||
Trustmark Corp. | 1,140 | 36,662 | |||||||
Umpqua Holdings Corp. | 3,551 | 65,196 | |||||||
United Bankshares, Inc. | 1,298 | 50,882 | |||||||
Valley National Bancorp | 4,246 | 50,145 | |||||||
Washington Trust Bancorp, Inc. | 240 | 12,372 | |||||||
Webster Financial Corp. | 1,173 | 61,254 | |||||||
WesBanco, Inc. | 745 | 29,457 | |||||||
Westamerica Bancorp | 469 | 26,283 | |||||||
1,172,741 | |||||||||
Building Products – 0.2% | |||||||||
Simpson Manufacturing Co., Inc. | 2,043 | 89,300 |
Number of Shares | Value | ||||||||
Capital Markets – 3.8% | |||||||||
Artisan Partners Asset Management, Inc., Class A | 1,812 | $ | 55,628 | ||||||
BGC Partners, Inc., Class A | 5,359 | 67,738 | |||||||
CBOE Holdings, Inc. | 1,783 | 162,966 | |||||||
Cohen & Steers, Inc. | 817 | 33,121 | |||||||
Eaton Vance Corp. | 3,789 | 179,296 | |||||||
Evercore Partners, Inc., Class A | 626 | 44,133 | |||||||
FactSet Research Systems, Inc. | 1,740 | 289,153 | |||||||
Federated Investors, Inc., Class B | 3,309 | 93,479 | |||||||
Greenhill & Co., Inc. | 902 | 18,130 | |||||||
Lazard Ltd., Class A | 3,999 | 185,274 | |||||||
LPL Financial Holdings, Inc. | 1,655 | 70,271 | |||||||
Morningstar, Inc. | 790 | 61,889 | |||||||
MSCI, Inc. | 1,317 | 135,638 | |||||||
OM Asset Management plc | 662 | 9,837 | |||||||
Waddell & Reed Financial, Inc., Class A | 3,309 | 62,474 | |||||||
1,469,027 | |||||||||
Chemicals – 3.2% | |||||||||
Cabot Corp. | 4,400 | 235,092 | |||||||
Innophos Holdings, Inc. | 2,158 | 94,607 | |||||||
Koppers Holdings, Inc.* | 658 | 23,786 | |||||||
NewMarket Corp. | 448 | 206,295 | |||||||
RPM International, Inc. | 8,504 | 463,893 | |||||||
Sensient Technologies Corp. | 2,109 | 169,838 | |||||||
Tredegar Corp. | 932 | 14,213 | |||||||
1,207,724 | |||||||||
Commercial Services & Supplies – 6.1% | |||||||||
ABM Industries, Inc. | 3,553 | 147,520 | |||||||
Brady Corp., Class A | 3,461 | 117,328 | |||||||
Covanta Holding Corp. | 5,298 | 69,933 | |||||||
Deluxe Corp. | 2,203 | 152,492 | |||||||
Essendant, Inc. | 2,018 | 29,927 | |||||||
Healthcare Services Group, Inc. | 17,818 | 834,417 | |||||||
Herman Miller, Inc. | 3,422 | 104,029 | |||||||
HNI Corp. | 2,322 | 92,578 | |||||||
KAR Auction Services, Inc. | 8,246 | 346,085 | |||||||
Knoll, Inc. | 1,993 | 39,960 | |||||||
McGrath RentCorp | 1,251 | 43,322 | |||||||
Rollins, Inc. | 7,205 | 293,315 | |||||||
Steelcase, Inc., Class A | 4,995 | 69,930 | |||||||
2,340,836 | |||||||||
Communications Equipment – 1.8% | |||||||||
ADTRAN, Inc. | 4,517 | 93,276 | |||||||
Brocade Communications Systems, Inc. | 48,403 | 610,362 | |||||||
703,638 | |||||||||
Construction & Engineering – 0.2% | |||||||||
KBR, Inc. | 5,562 | 84,654 |
See accompanying notes to the financial statements.
1
OSI ETF Trust
O’Shares FTSE Russell Small Cap Quality Dividend ETF
Schedule of Investments
June 30, 2017
Number of Shares | Value | ||||||||
Consumer Finance – 0.3% | |||||||||
SLM Corp.* | 11,305 | $ | 130,008 | ||||||
Containers & Packaging – 2.8% | |||||||||
Myers Industries, Inc. | 1,474 | 26,458 | |||||||
Packaging Corp. of America | 5,554 | 618,660 | |||||||
Sonoco Products Co. | 7,928 | 407,658 | |||||||
1,052,776 | |||||||||
Diversified Consumer Services – 0.2% | |||||||||
Capella Education Co. | 728 | 62,317 | |||||||
Diversified Telecommunication Services – 0.8% | |||||||||
ATN International, Inc. | 685 | 46,881 | |||||||
Cogent Communications Holdings, Inc. | 4,112 | 164,891 | |||||||
Consolidated Communications Holdings, Inc. | 4,238 | 90,990 | |||||||
302,762 | |||||||||
Electric Utilities – 5.1% | |||||||||
ALLETE, Inc. | 2,338 | 167,588 | |||||||
El Paso Electric Co. | 1,354 | 70,002 | |||||||
Great Plains Energy, Inc. | 6,616 | 193,716 | |||||||
Hawaiian Electric Industries, Inc. | 4,172 | 135,089 | |||||||
IDACORP, Inc. | 2,011 | 171,639 | |||||||
MGE Energy, Inc. | 1,411 | 90,798 | |||||||
OGE Energy Corp. | 15,460 | 537,853 | |||||||
Otter Tail Corp. | 1,691 | 66,964 | |||||||
PNM Resources, Inc. | 2,862 | 109,472 | |||||||
Portland General Electric Co. | 3,156 | 144,198 | |||||||
Westar Energy, Inc. | 5,168 | 274,007 | |||||||
1,961,326 | |||||||||
Electrical Equipment – 1.0% | |||||||||
Hubbell, Inc. | 3,466 | 392,247 | |||||||
Electronic Equipment, Instruments & Components – 2.1% | |||||||||
AVX Corp. | 5,504 | 89,935 | |||||||
FLIR Systems, Inc. | 7,162 | 248,235 | |||||||
MTS Systems Corp. | 1,263 | 65,424 | |||||||
National Instruments Corp. | 9,981 | 401,436 | |||||||
805,030 | |||||||||
Energy Equipment & Services – 0.5% | |||||||||
Frank’s International NV | 1,774 | 14,707 | |||||||
Oceaneering International, Inc. | 7,648 | 174,680 | |||||||
189,387 | |||||||||
Equity Real Estate Investment Trusts (REITs) – 19.2% | |||||||||
Acadia Realty Trust | 1,680 | 46,704 | |||||||
Alexander’s, Inc. | 81 | 34,138 | |||||||
Alexandria Real Estate Equities, Inc. | 1,495 | 180,103 | |||||||
American Assets Trust, Inc. | 727 | 28,637 | |||||||
American Campus Communities, Inc. | 2,858 | 135,183 |
Number of Shares | Value | |||||||
Apartment Investment & Management Co., Class A | 2,503 | $ | 107,554 | |||||
Apple Hospitality REIT, Inc. | 5,717 | 106,965 | ||||||
Ashford Hospitality Trust, Inc. | 2,136 | 12,987 | ||||||
Brixmor Property Group, Inc. | 6,954 | 124,338 | ||||||
Camden Property Trust | 2,859 | 244,473 | ||||||
Care Capital Properties, Inc. | 2,614 | 69,794 | ||||||
CBL & Associates Properties, Inc. | 3,188 | 26,875 | ||||||
Cedar Realty Trust, Inc. | 1,234 | 5,985 | ||||||
Chesapeake Lodging Trust | 2,169 | 53,075 | ||||||
Colony NorthStar, Inc., Class A | 9,113 | 128,402 | ||||||
Columbia Property Trust, Inc. | 2,565 | 57,405 | ||||||
CoreCivic, Inc. | 5,529 | 152,490 | ||||||
CoreSite Realty Corp. | 714 | 73,920 | ||||||
Corporate Office Properties Trust | 3,303 | 115,704 | ||||||
Cousins Properties, Inc. | 9,050 | 79,550 | ||||||
CubeSmart | 4,004 | 96,256 | ||||||
DCT Industrial Trust, Inc. | 1,771 | 94,642 | ||||||
DiamondRock Hospitality Co. | 5,108 | 55,933 | ||||||
Douglas Emmett, Inc. | 1,874 | 71,606 | ||||||
DuPont Fabros Technology, Inc. | 1,167 | 71,374 | ||||||
EastGroup Properties, Inc. | 877 | 73,493 | ||||||
Education Realty Trust, Inc. | 1,297 | 50,259 | ||||||
EPR Properties | 2,680 | 192,612 | ||||||
Equity Commonwealth* | 2,342 | 74,007 | ||||||
Equity LifeStyle Properties, Inc. | 1,895 | 163,614 | ||||||
First Industrial Realty Trust, Inc. | 2,377 | 68,030 | ||||||
Franklin Street Properties Corp. | 3,034 | 33,617 | ||||||
Gaming and Leisure Properties, Inc. | 9,204 | 346,715 | ||||||
GEO Group, Inc. (The) | 4,605 | 136,170 | ||||||
Getty Realty Corp. | 1,084 | 27,208 | ||||||
Healthcare Realty Trust, Inc. | 2,730 | 93,230 | ||||||
Healthcare Trust of America, Inc., Class A | 2,534 | 78,833 | ||||||
Hersha Hospitality Trust | 812 | 15,030 | ||||||
Highwoods Properties, Inc. | 2,323 | 117,799 | ||||||
Investors Real Estate Trust | 2,166 | 13,451 | ||||||
Kilroy Realty Corp. | 1,918 | 144,138 | ||||||
Kite Realty Group Trust | 1,493 | 28,263 | ||||||
Lamar Advertising Co., Class A | 3,606 | 265,293 | ||||||
LaSalle Hotel Properties | 3,153 | 93,959 | ||||||
Lexington Realty Trust | 7,188 | 71,233 | ||||||
Life Storage, Inc. | 1,985 | 147,089 | ||||||
LTC Properties, Inc. | 1,806 | 92,810 | ||||||
Medical Properties Trust, Inc. | 7,214 | 92,844 | ||||||
Monogram Residential Trust, Inc. | 4,004 | 38,879 | ||||||
National Health Investors, Inc. | 1,754 | 138,917 | ||||||
National Retail Properties, Inc. | 4,723 | 184,669 | ||||||
Omega Healthcare Investors, Inc. | 6,233 | 205,814 | ||||||
Parkway, Inc. | 1,052 | 24,080 | ||||||
Pebblebrook Hotel Trust | 2,085 | 67,220 |
See accompanying notes to the financial statements.
2
OSI ETF Trust
O’Shares FTSE Russell Small Cap Quality Dividend ETF
Schedule of Investments
June 30, 2017
Number of Shares | Value | ||||||||
Physicians Realty Trust | 2,766 | $ | 55,707 | ||||||
Piedmont Office Realty Trust, Inc., Class A | 4,969 | 104,747 | |||||||
Potlatch Corp. | 1,149 | 52,509 | |||||||
PS Business Parks, Inc. | 714 | 94,526 | |||||||
QTS Realty Trust, Inc., Class A | 772 | 40,399 | |||||||
Ramco-Gershenson Properties Trust | 2,617 | 33,759 | |||||||
Rayonier, Inc. | 2,555 | 73,507 | |||||||
Retail Opportunity Investments Corp. | 2,221 | 42,621 | |||||||
Retail Properties of America, Inc., Class A | 6,685 | 81,624 | |||||||
RLJ Lodging Trust | 5,232 | 103,960 | |||||||
Ryman Hospitality Properties, Inc. | 1,593 | 101,968 | |||||||
Sabra Health Care REIT, Inc. | 1,844 | 44,440 | |||||||
Saul Centers, Inc. | 330 | 19,133 | |||||||
Select Income REIT | 2,108 | 50,655 | |||||||
Senior Housing Properties Trust | 6,801 | 139,012 | |||||||
Spirit Realty Capital, Inc. | 8,212 | 60,851 | |||||||
STORE Capital Corp. | 3,854 | 86,522 | |||||||
Sun Communities, Inc. | 2,076 | 182,044 | |||||||
Sunstone Hotel Investors, Inc. | 3,614 | 58,258 | |||||||
Tanger Factory Outlet Centers, Inc. | 4,030 | 104,699 | |||||||
Taubman Centers, Inc. | 1,773 | 105,582 | |||||||
Universal Health Realty Income Trust | 543 | 43,190 | |||||||
Urban Edge Properties | 1,898 | 45,040 | |||||||
Urstadt Biddle Properties, Inc., Class A | 1,541 | 30,512 | |||||||
Washington Prime Group, Inc. | 4,331 | 36,250 | |||||||
Washington REIT | 2,490 | 79,431 | |||||||
WP Carey, Inc. | 2,438 | 160,932 | |||||||
Xenia Hotels & Resorts, Inc. | 3,099 | 60,028 | |||||||
7,345,275 | |||||||||
Food & Staples Retailing – 0.2% | |||||||||
Weis Markets, Inc. | 1,328 | 64,700 | |||||||
Food Products – 1.1% | |||||||||
Cal-Maine Foods, Inc.* | 3,197 | 126,601 | |||||||
J&J Snack Foods Corp. | 760 | 100,373 | |||||||
Lancaster Colony Corp. | 1,562 | 191,533 | |||||||
418,507 | |||||||||
Gas Utilities – 3.2% | |||||||||
Atmos Energy Corp. | 3,177 | 263,532 | |||||||
National Fuel Gas Co. | 2,716 | 151,661 | |||||||
Northwest Natural Gas Co. | 1,179 | 70,563 | |||||||
ONE Gas, Inc. | 1,776 | 123,983 | |||||||
South Jersey Industries, Inc. | 3,196 | 109,207 | |||||||
Southwest Gas Holdings, Inc. | 2,320 | 169,499 | |||||||
Spire, Inc. | 1,950 | 136,013 | |||||||
WGL Holdings, Inc. | 2,402 | 200,399 | |||||||
1,224,857 |
Number of Shares | Value | ||||||||
Health Care Equipment & Supplies – 0.4% | |||||||||
Meridian Bioscience, Inc. | 10,771 | $ | 169,643 | ||||||
Health Care Providers & Services – 1.3% | |||||||||
Owens & Minor, Inc. | 14,845 | 477,861 | |||||||
Hotels, Restaurants & Leisure – 7.8% | |||||||||
Bob Evans Farms, Inc. | 2,255 | 161,977 | |||||||
Brinker International, Inc. | 4,836 | 184,252 | |||||||
Cheesecake Factory, Inc. (The) | 3,614 | 181,784 | |||||||
Choice Hotels International, Inc. | 1,391 | 89,372 | |||||||
Cracker Barrel Old Country Store, Inc. | 2,570 | 429,833 | |||||||
DineEquity, Inc. | 867 | 38,191 | |||||||
Dunkin’ Brands Group, Inc. | 4,779 | 263,418 | |||||||
Extended Stay America, Inc. | 3,485 | 67,470 | |||||||
ILG, Inc. | 5,772 | 158,672 | |||||||
Six Flags Entertainment Corp. | 10,880 | 648,557 | |||||||
Speedway Motorsports, Inc. | 722 | 13,191 | |||||||
Texas Roadhouse, Inc. | 3,693 | 188,158 | |||||||
Vail Resorts, Inc. | 1,686 | 341,971 | |||||||
Wendy’s Co. (The) | 13,184 | 204,484 | |||||||
2,971,330 | |||||||||
Household Durables – 1.3% | |||||||||
Ethan Allen Interiors, Inc. | 1,456 | 47,029 | |||||||
La-Z-Boy, Inc. | 2,148 | 69,810 | |||||||
Tupperware Brands Corp. | 5,572 | 391,321 | |||||||
508,160 | |||||||||
Household Products – 0.2% | |||||||||
WD-40 Co. | 581 | 64,113 | |||||||
Insurance – 2.2% | |||||||||
American Financial Group, Inc. | 1,231 | 122,325 | |||||||
American National Insurance Co. | 177 | 20,619 | |||||||
AmTrust Financial Services, Inc. | 1,144 | 17,320 | |||||||
Aspen Insurance Holdings Ltd. | 1,084 | 54,037 | |||||||
Assured Guaranty Ltd. | 1,714 | 71,542 | |||||||
FBL Financial Group, Inc., Class A | 150 | 9,225 | |||||||
First American Financial Corp. | 2,347 | 104,888 | |||||||
Hanover Insurance Group, Inc. (The) | 812 | 71,968 | |||||||
Horace Mann Educators Corp. | 698 | 26,384 | |||||||
Infinity Property & Casualty Corp. | 180 | 16,920 | |||||||
Kemper Corp. | 422 | 16,289 | |||||||
Maiden Holdings Ltd. | 1,204 | 13,364 | |||||||
Mercury General Corp. | 669 | 36,126 | |||||||
ProAssurance Corp. | 1,022 | 62,138 | |||||||
RLI Corp. | 1,445 | 78,926 | |||||||
United Fire Group, Inc. | 240 | 10,574 | |||||||
Validus Holdings Ltd. | 1,842 | 95,729 | |||||||
828,374 | |||||||||
Internet & Direct Marketing Retail – 0.4% | |||||||||
HSN, Inc. | 4,304 | 137,298 |
See accompanying notes to the financial statements.
3
OSI ETF Trust
O’Shares FTSE Russell Small Cap Quality Dividend ETF
Schedule of Investments
June 30, 2017
Number of Shares | Value | ||||||||
Internet Software & Services – 0.5% | |||||||||
NIC, Inc. | 9,196 | $ | 174,264 | ||||||
IT Services – 4.3% | |||||||||
CSG Systems International, Inc. | 2,971 | 120,563 | |||||||
EVERTEC, Inc. | 3,692 | 63,871 | |||||||
Forrester Research, Inc. | 1,776 | 69,530 | |||||||
Jack Henry & Associates, Inc. | 3,400 | 353,158 | |||||||
Leidos Holdings, Inc. | 17,646 | 912,122 | |||||||
ManTech International Corp., Class A | 1,478 | 61,160 | |||||||
TeleTech Holdings, Inc. | 1,066 | 43,493 | |||||||
1,623,897 | |||||||||
Leisure Products – 0.2% | |||||||||
Sturm Ruger & Co., Inc. | 911 | 56,619 | |||||||
Life Sciences Tools & Services – 1.7% | |||||||||
Bio-Techne Corp. | 5,658 | 664,815 | |||||||
Machinery – 4.9% | |||||||||
Allison Transmission Holdings, Inc. | 6,826 | 256,043 | |||||||
Briggs & Stratton Corp. | 2,159 | 52,032 | |||||||
Donaldson Co., Inc. | 7,635 | 347,698 | |||||||
Graco, Inc. | 4,009 | 438,103 | |||||||
Hillenbrand, Inc. | 2,987 | 107,831 | |||||||
Hyster-Yale Materials Handling, Inc. | 390 | 27,397 | |||||||
Lincoln Electric Holdings, Inc. | 4,140 | 381,253 | |||||||
SPX Corp.* | 1,981 | 49,842 | |||||||
Tennant Co. | 722 | 53,284 | |||||||
Timken Co. (The) | 3,764 | 174,085 | |||||||
1,887,568 | |||||||||
Marine – 0.0%(a) | |||||||||
Seaspan Corp. | 1,956 | 13,966 | |||||||
Media – 2.2% | |||||||||
Cinemark Holdings, Inc. | 6,762 | 262,704 | |||||||
Gannett Co., Inc. | 6,355 | 55,416 | |||||||
John Wiley & Sons, Inc., Class A | 2,348 | 123,857 | |||||||
Meredith Corp. | 2,468 | 146,722 | |||||||
National CineMedia, Inc. | 2,248 | 16,680 | |||||||
New Media Investment Group, Inc. | 3,343 | 45,064 | |||||||
Regal Entertainment Group, Class A | 6,314 | 129,184 | |||||||
Time, Inc. | 4,846 | 69,540 | |||||||
849,167 | |||||||||
Metals & Mining – 1.7% | |||||||||
Compass Minerals International, Inc. | 1,646 | 107,484 | |||||||
Haynes International, Inc. | 866 | 31,444 | |||||||
Kaiser Aluminum Corp. | 1,887 | 167,037 | |||||||
Reliance Steel & Aluminum Co. | 4,476 | 325,898 | |||||||
Schnitzer Steel Industries, Inc., Class A | 1,022 | 25,754 | |||||||
657,617 |
Number of Shares | Value | ||||||||
Mortgage Real Estate Investment Trusts (REITs) – 2.0% | |||||||||
Anworth Mortgage Asset Corp. | 1,896 | $ | 11,395 | ||||||
ARMOUR Residential REIT, Inc. | 542 | 13,550 | |||||||
Blackstone Mortgage Trust, Inc., Class A | 1,802 | 56,943 | |||||||
Capstead Mortgage Corp. | 2,106 | 21,966 | |||||||
Chimera Investment Corp. | 4,845 | 90,262 | |||||||
CYS Investments, Inc. | 2,496 | 20,991 | |||||||
Invesco Mortgage Capital, Inc. | 2,497 | 41,725 | |||||||
MFA Financial, Inc. | 12,271 | 102,954 | |||||||
New Residential Investment Corp. | 7,198 | 112,001 | |||||||
PennyMac Mortgage Investment Trust | 1,684 | 30,800 | |||||||
Redwood Trust, Inc. | 1,616 | 27,537 | |||||||
Starwood Property Trust, Inc. | 5,077 | 113,674 | |||||||
Two Harbors Investment Corp. | 12,426 | 123,142 | |||||||
766,940 | |||||||||
Multiline Retail – 0.0%(a) | |||||||||
Fred’s, Inc., Class A | 1,324 | 12,221 | |||||||
Multi-Utilities – 1.5% | |||||||||
Avista Corp. | 2,980 | 126,531 | |||||||
Black Hills Corp. | 1,563 | 105,456 | |||||||
NorthWestern Corp. | 1,991 | 121,491 | |||||||
Vectren Corp. | 3,799 | 222,013 | |||||||
575,491 | |||||||||
Oil, Gas & Consumable Fuels – 0.2% | |||||||||
Nordic American Tankers Ltd. | 4,610 | 29,228 | |||||||
Ship Finance International Ltd. | 2,747 | 37,359 | |||||||
66,587 | |||||||||
Paper & Forest Products – 0.5% | |||||||||
Domtar Corp. | 4,066 | 156,216 | |||||||
PH Glatfelter Co. | 1,860 | 36,344 | |||||||
192,560 | |||||||||
Professional Services – 0.5% | |||||||||
Exponent, Inc. | 1,360 | 79,288 | |||||||
Insperity, Inc. | 818 | 58,078 | |||||||
Resources Connection, Inc. | 2,711 | 37,141 | |||||||
174,507 | |||||||||
Real Estate Management & Development – 0.1% | |||||||||
HFF, Inc., Class A | 1,351 | 46,974 | |||||||
Semiconductors & Semiconductor Equipment – 2.3% | |||||||||
Brooks Automation, Inc. | 13,648 | 296,025 | |||||||
MKS Instruments, Inc. | 4,746 | 319,406 | |||||||
Xperi Corp. | 8,406 | 250,499 | |||||||
865,930 | |||||||||
Specialty Retail – 3.1% | |||||||||
American Eagle Outfitters, Inc. | 13,225 | 159,361 | |||||||
Buckle, Inc. (The) | 3,519 | 62,638 |
See accompanying notes to the financial statements.
4
OSI ETF Trust
O’Shares FTSE Russell Small Cap Quality Dividend ETF
Schedule of Investments
June 30, 2017
Number of Shares | Value | ||||||||
Cato Corp. (The), Class A | 2,144 | $ | 37,713 | ||||||
Chico’s FAS, Inc. | 10,358 | 97,572 | |||||||
DSW, Inc., Class A | 6,865 | 121,511 | |||||||
Finish Line, Inc. (The), Class A | 1,744 | 24,712 | |||||||
GameStop Corp., Class A | 8,366 | 180,789 | |||||||
GNC Holdings, Inc., Class A | 3,338 | 28,139 | |||||||
Guess?, Inc. | 5,543 | 70,840 | |||||||
Pier 1 Imports, Inc. | 5,885 | 30,543 | |||||||
Rent-A-Center, Inc. | 2,376 | 27,847 | |||||||
Williams-Sonoma, Inc. | 6,927 | 335,960 | |||||||
1,177,625 | |||||||||
Textiles, Apparel & Luxury Goods – 0.1% | |||||||||
Oxford Industries, Inc. | 866 | 54,116 | |||||||
Thrifts & Mortgage Finance – 0.4% | |||||||||
Capitol Federal Financial, Inc. | 3,183 | 45,231 | |||||||
Dime Community Bancshares, Inc. | 452 | 8,859 | |||||||
Northwest Bancshares, Inc. | 2,189 | 34,170 | |||||||
Oritani Financial Corp. | 1,142 | 19,471 | |||||||
Provident Financial Services, Inc. | 1,022 | 25,938 | |||||||
TrustCo Bank Corp. | 1,444 | 11,191 | |||||||
144,860 | |||||||||
Tobacco – 0.8% | |||||||||
Universal Corp. | 1,208 | 78,157 | |||||||
Vector Group Ltd. | 11,012 | 234,776 | |||||||
312,933 |
Number of Shares | Value | ||||||||
Trading Companies & Distributors – 2.2% | |||||||||
Applied Industrial Technologies, Inc. | 2,043 | $ | 120,639 | ||||||
MSC Industrial Direct Co., Inc., Class A | 3,853 | 331,204 | |||||||
Watsco, Inc. | 2,490 | 383,958 | |||||||
835,801 | |||||||||
Water Utilities – 0.9% | |||||||||
American States Water Co. | 1,376 | 65,236 | |||||||
Aqua America, Inc. | 5,915 | 196,970 | |||||||
California Water Service Group | 1,653 | 60,830 | |||||||
323,036 | |||||||||
Total Common Stocks (Cost $38,012,142) | 38,062,312 | ||||||||
Total Investments — 99.6% (Cost $38,012,142) | 38,062,312 | ||||||||
Other Assets Less Liabilities — 0.4% | 161,114 | ||||||||
Net assets — 100.0% | $ | 38,223,426 |
* | Non-income producing security. |
(a) | Represents less than 0.05% of net assets. |
As of June 30, 2017, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 1,340,339 | ||
Aggregate gross unrealized depreciation | (1,307,807 | ) | ||
Net unrealized appreciation | $ | 32,532 | ||
Federal income tax cost of investments | $ | 38,029,780 |
See accompanying notes to the financial statements.
5
OSI ETF Trust
O'Shares FTSE Russell International Quality Dividend ETF
Schedule of Investments
June 30, 2017
Number of Shares | Value | ||||||||
Common Stocks – 98.9% | |||||||||
Aerospace & Defense – 0.6% | |||||||||
Cobham plc | 2,691 | $ | 4,530 | ||||||
Elbit Systems Ltd. | 18 | 2,220 | |||||||
Meggitt plc | 819 | 5,073 | |||||||
Safran SA | 378 | 34,594 | |||||||
Singapore Technologies Engineering Ltd. | 2,700 | 7,216 | |||||||
Thales SA | 126 | 13,543 | |||||||
67,176 | |||||||||
Air Freight & Logistics – 0.8% | |||||||||
bpost SA | 405 | 9,763 | |||||||
Deutsche Post AG (Registered) | 1,953 | 73,106 | |||||||
Royal Mail plc | 1,584 | 8,666 | |||||||
Singapore Post Ltd. | 3,600 | 3,478 | |||||||
95,013 | |||||||||
Airlines – 0.4% | |||||||||
Air New Zealand Ltd. | 1,458 | 3,480 | |||||||
Cathay Pacific Airways Ltd. | 9,000 | 13,973 | |||||||
Deutsche Lufthansa AG (Registered) | 261 | 5,932 | |||||||
easyJet plc | 414 | 7,308 | |||||||
Singapore Airlines Ltd. | 1,800 | 13,230 | |||||||
43,923 | |||||||||
Auto Components – 1.8% | |||||||||
Bridgestone Corp. | 1,800 | 77,537 | |||||||
Cie Generale des Etablissements Michelin | 351 | 46,599 | |||||||
Denso Corp. | 1,500 | 63,305 | |||||||
Magna International, Inc. | 504 | 23,312 | |||||||
Nokian Renkaat OYJ | 162 | 6,696 | |||||||
217,449 | |||||||||
Banks – 4.2% | |||||||||
Bank of Montreal | 846 | 62,028 | |||||||
Bank of Nova Scotia (The) | 1,697 | 101,935 | |||||||
Canadian Imperial Bank of Commerce | 540 | 43,821 | |||||||
National Bank of Canada | 450 | 18,895 | |||||||
Royal Bank of Canada | 2,145 | 155,520 | |||||||
Toronto-Dominion Bank (The) | 2,433 | 122,427 | |||||||
504,626 | |||||||||
Beverages – 2.4% | |||||||||
Anheuser-Busch InBev SA/NV | 1,341 | 147,916 | |||||||
Diageo plc | 2,961 | 87,251 | |||||||
Kirin Holdings Co. Ltd. | 2,700 | 55,004 | |||||||
290,171 | |||||||||
Biotechnology – 0.6% | |||||||||
CSL Ltd. | 666 | 70,513 | |||||||
Building Products – 0.1% | |||||||||
Geberit AG (Registered) | 36 | 16,811 |
Number of Shares | Value | ||||||||
Capital Markets – 1.4% | |||||||||
3i Group plc | 2,349 | $ | 27,537 | ||||||
Amundi SA(a) | 45 | 3,251 | |||||||
Ashmore Group plc | 783 | 3,592 | |||||||
ASX Ltd. | 441 | 18,135 | |||||||
CI Financial Corp. | 1,152 | 24,518 | |||||||
IGM Financial, Inc. | 387 | 11,985 | |||||||
IOOF Holdings Ltd. | 720 | 5,412 | |||||||
Magellan Financial Group Ltd. | 144 | 3,186 | |||||||
Partners Group Holding AG | 27 | 16,761 | |||||||
Perpetual Ltd. | 162 | 6,943 | |||||||
Platinum Asset Management Ltd. | 990 | 3,516 | |||||||
Singapore Exchange Ltd. | 2,700 | 14,394 | |||||||
Thomson Reuters Corp. | 702 | 32,467 | |||||||
171,697 | |||||||||
Chemicals – 4.7% | |||||||||
Agrium, Inc. | 234 | 21,177 | |||||||
Air Liquide SA | 486 | 59,976 | |||||||
Akzo Nobel NV | 315 | 27,337 | |||||||
BASF SE | 1,863 | 172,304 | |||||||
Croda International plc | 153 | 7,721 | |||||||
DuluxGroup Ltd. | 729 | 3,881 | |||||||
EMS-Chemie Holding AG (Registered) | 9 | 6,644 | |||||||
Evonik Industries AG | 441 | 14,076 | |||||||
FUCHS PETROLUB SE | 54 | 2,547 | |||||||
FUCHS PETROLUB SE (Preference) | 81 | 4,404 | |||||||
Givaudan SA (Registered) | 27 | 54,076 | |||||||
Incitec Pivot Ltd. | 2,151 | 5,626 | |||||||
Israel Chemicals Ltd. | 387 | 1,826 | |||||||
Johnson Matthey plc | 333 | 12,419 | |||||||
JSR Corp. | 600 | 10,344 | |||||||
Kuraray Co. Ltd. | 2,700 | 48,973 | |||||||
Linde AG | 207 | 39,144 | |||||||
Orica Ltd. | 675 | 10,707 | |||||||
Potash Corp. of Saskatchewan, Inc. | 1,611 | 26,236 | |||||||
Umicore SA | 153 | 10,627 | |||||||
Yara International ASA | 477 | 17,858 | |||||||
557,903 | |||||||||
Commercial Services & Supplies – 1.2% | |||||||||
Aggreko plc | 270 | 3,228 | |||||||
Babcock International Group plc | 261 | 2,985 | |||||||
Brambles Ltd. | 2,772 | 20,689 | |||||||
Edenred | 369 | 9,608 | |||||||
G4S plc | 1,836 | 7,784 | |||||||
ISS A/S | 252 | 9,885 | |||||||
Secom Co. Ltd. | 900 | 68,285 | |||||||
Securitas AB, Class B | 567 | 9,546 | |||||||
Societe BIC SA | 54 | 6,399 | |||||||
138,409 | |||||||||
Communications Equipment – 0.4% | |||||||||
Telefonaktiebolaget LM Ericsson, Class B | 7,038 | 50,274 |
See accompanying notes to the financial statements.
6
OSI ETF Trust
O'Shares FTSE Russell International Quality Dividend ETF
Schedule of Investments
June 30, 2017
Number of Shares | Value | ||||||||
Construction & Engineering – 0.9% | |||||||||
Boskalis Westminster | 189 | $ | 6,130 | ||||||
Bouygues SA | 243 | 10,232 | |||||||
CIMIC Group Ltd. | 99 | 2,949 | |||||||
Ferrovial SA | 630 | 13,965 | |||||||
Skanska AB, Class B | 1,224 | 29,009 | |||||||
Vinci SA | 513 | 43,725 | |||||||
106,010 | |||||||||
Construction Materials – 0.3% | |||||||||
Adelaide Brighton Ltd. | 1,008 | 4,353 | |||||||
Boral Ltd. | 1,593 | 8,492 | |||||||
CSR Ltd. | 1,197 | 3,884 | |||||||
Fletcher Building Ltd. | 1,953 | 11,426 | |||||||
James Hardie Industries plc, CHDI | 783 | 12,312 | |||||||
40,467 | |||||||||
Consumer Finance – 0.1% | |||||||||
Provident Financial plc | 423 | 13,368 | |||||||
Containers & Packaging – 0.4% | |||||||||
Amcor Ltd. | 3,033 | 37,712 | |||||||
Orora Ltd. | 1,791 | 3,929 | |||||||
41,641 | |||||||||
Distributors – 0.0%(b) | |||||||||
Inchcape plc | 504 | 4,940 | |||||||
Diversified Financial Services – 0.6% | |||||||||
Groupe Bruxelles Lambert SA | 144 | 13,844 | |||||||
Industrivarden AB, Class A | 225 | 5,722 | |||||||
Industrivarden AB, Class C | 171 | 4,095 | |||||||
Investment AB Latour, Class B | 180 | 2,254 | |||||||
Investor AB, Class B | 927 | 44,621 | |||||||
70,536 | |||||||||
Diversified Telecommunication Services – 4.6% | |||||||||
BCE, Inc. | 648 | 29,139 | |||||||
Bezeq The Israeli Telecommunication Corp. Ltd. | 5,013 | 8,325 | |||||||
Deutsche Telekom AG (Registered) | 3,456 | 61,964 | |||||||
Elisa OYJ | 459 | 17,763 | |||||||
Inmarsat plc | 657 | 6,567 | |||||||
Nippon Telegraph & Telephone Corp. | 900 | 42,533 | |||||||
Orange SA | 1,989 | 31,510 | |||||||
Proximus SADP | 333 | 11,633 | |||||||
Singapore Telecommunications Ltd. | 17,100 | 48,313 | |||||||
Spark New Zealand Ltd. | 6,534 | 18,084 | |||||||
Swisscom AG (Registered) | 45 | 21,742 | |||||||
TDC A/S | 630 | 3,659 | |||||||
Telefonica Deutschland Holding AG | 2,394 | 11,941 | |||||||
Telefonica SA | 6,111 | 62,994 | |||||||
Telenor ASA | 2,232 | 36,904 | |||||||
Telia Co. AB | 6,462 | 29,718 | |||||||
Telstra Corp. Ltd. | 10,791 | 35,592 |
Number of Shares | Value | ||||||||
TELUS Corp. | 432 | $ | 14,892 | ||||||
Vivendi SA | 2,511 | 55,818 | |||||||
549,091 | |||||||||
Electric Utilities – 3.2% | |||||||||
AusNet Services | 2,880 | 3,833 | |||||||
CLP Holdings Ltd. | 4,500 | 47,614 | |||||||
Contact Energy Ltd. | 1,782 | 6,798 | |||||||
EDP – Energias de Portugal SA | 2,655 | 8,670 | |||||||
Electricite de France SA | 288 | 3,115 | |||||||
Endesa SA | 981 | 22,568 | |||||||
Enel SpA | 9,108 | 48,762 | |||||||
Fortis, Inc. | 612 | 21,479 | |||||||
Fortum OYJ | 1,125 | 17,617 | |||||||
Iberdrola SA | 7,551 | 59,709 | |||||||
Mercury NZ Ltd. | 1,368 | 3,325 | |||||||
Power Assets Holdings Ltd. | 9,000 | 79,492 | |||||||
Red Electrica Corp. SA | 1,053 | 21,972 | |||||||
SSE plc | 1,467 | 27,688 | |||||||
Terna Rete Elettrica Nazionale SpA | 2,133 | 11,497 | |||||||
384,139 | |||||||||
Electrical Equipment – 1.1% | |||||||||
ABB Ltd. (Registered) | 2,880 | 71,214 | |||||||
Legrand SA | 315 | 22,006 | |||||||
Schneider Electric SE* | 558 | 42,812 | |||||||
136,032 | |||||||||
Electronic Equipment, Instruments & Components – 0.5% | |||||||||
Kyocera Corp. | 900 | 52,113 | |||||||
Venture Corp. Ltd. | 1,000 | 8,752 | |||||||
60,865 | |||||||||
Energy Equipment & Services – 0.1% | |||||||||
Tenaris SA | 612 | 9,528 | |||||||
Equity Real Estate Investment Trusts (REITs) – 5.0% | |||||||||
Ascendas REIT | 4,500 | 8,530 | |||||||
British Land Co. plc (The) | 3,735 | 29,376 | |||||||
CapitaLand Commercial Trust | 6,300 | 7,596 | |||||||
CapitaLand Mall Trust | 9,000 | 12,910 | |||||||
Derwent London plc | 135 | 4,654 | |||||||
Dexus | 4,212 | 30,628 | |||||||
Gecina SA | 108 | 16,919 | |||||||
Goodman Group | 5,976 | 36,075 | |||||||
GPT Group (The) | 7,713 | 28,339 | |||||||
Hammerson plc | 2,466 | 18,402 | |||||||
Intu Properties plc | 2,016 | 7,047 | |||||||
Kiwi Property Group Ltd. | 3,573 | 3,689 | |||||||
Land Securities Group plc | 2,196 | 28,896 | |||||||
Link REIT | 9,000 | 68,482 | |||||||
Mirvac Group | 15,993 | 26,130 | |||||||
RioCan REIT | 1,026 | 19,016 | |||||||
Scentre Group | 19,998 | 62,125 |
See accompanying notes to the financial statements.
7
OSI ETF Trust
O'Shares FTSE Russell International Quality Dividend ETF
Schedule of Investments
June 30, 2017
Number of Shares | Value | ||||||||
Segro plc | 2,664 | $ | 16,928 | ||||||
Shopping Centres Australasia Property Group | 3,321 | 5,579 | |||||||
Stockland | 6,777 | 22,768 | |||||||
Suntec REIT | 6,300 | 8,556 | |||||||
Unibail-Rodamco SE | 288 | 72,479 | |||||||
Vicinity Centres | 9,810 | 19,339 | |||||||
Westfield Corp. | 6,750 | 41,576 | |||||||
596,039 | |||||||||
Food & Staples Retailing – 2.5% | |||||||||
Booker Group plc | 2,745 | 6,639 | |||||||
Casino Guichard Perrachon SA | 81 | 4,791 | |||||||
Colruyt SA | 108 | 5,682 | |||||||
Distribuidora Internacional de Alimentacion SA | 1,107 | 6,882 | |||||||
ICA Gruppen AB | 198 | 7,362 | |||||||
Jeronimo Martins SGPS SA | 513 | 10,000 | |||||||
Kesko OYJ, Class B | 135 | 6,858 | |||||||
Koninklijke Ahold Delhaize NV | 2,556 | 48,801 | |||||||
Lawson, Inc. | 300 | 20,986 | |||||||
Wesfarmers Ltd. | 3,145 | 96,784 | |||||||
Woolworths Ltd. | 4,135 | 81,007 | |||||||
295,792 | |||||||||
Food Products – 5.4% | |||||||||
Nestle SA (Registered) | 6,993 | 609,373 | |||||||
Nisshin Seifun Group, Inc. | 900 | 14,778 | |||||||
Orkla ASA | 1,197 | 12,125 | |||||||
Tate & Lyle plc | 594 | 5,108 | |||||||
641,384 | |||||||||
Gas Utilities – 1.2% | |||||||||
APA Group | 2,538 | 17,852 | |||||||
Gas Natural SDG SA | 594 | 13,882 | |||||||
Hong Kong & China Gas Co. Ltd. | 9,800 | 18,429 | |||||||
Italgas SpA | 1,071 | 5,401 | |||||||
Osaka Gas Co. Ltd. | 9,000 | 36,806 | |||||||
Tokyo Gas Co. Ltd. | 9,000 | 46,802 | |||||||
139,172 | |||||||||
Health Care Equipment & Supplies – 1.3% | |||||||||
Ansell Ltd. | 270 | 4,915 | |||||||
Cochlear Ltd. | 54 | 6,439 | |||||||
Coloplast A/S, Class B | 243 | 20,279 | |||||||
Fisher & Paykel Healthcare Corp. Ltd. | 1,161 | 9,733 | |||||||
Hoya Corp. | 1,800 | 93,444 | |||||||
Smith & Nephew plc | 1,008 | 17,349 | |||||||
Sonova Holding AG (Registered) | 45 | 7,316 | |||||||
159,475 | |||||||||
Health Care Providers & Services – 0.1% | |||||||||
Ryman Healthcare Ltd. | 459 | 2,786 | |||||||
Sonic Healthcare Ltd. | 702 | 13,042 | |||||||
15,828 |
Number of Shares | Value | ||||||||
Hotels, Restaurants & Leisure – 1.1% | |||||||||
Accor SA | 171 | $ | 8,005 | ||||||
Carnival plc | 180 | 11,878 | |||||||
Compass Group plc | 2,354 | 49,532 | |||||||
Crown Resorts Ltd. | 729 | 6,867 | |||||||
Flight Centre Travel Group Ltd. | 144 | 4,230 | |||||||
Paddy Power Betfair plc | 81 | 8,606 | |||||||
SKYCITY Entertainment Group Ltd. | 1,341 | 4,006 | |||||||
Sodexo SA | 90 | 11,620 | |||||||
Tabcorp Holdings Ltd. | 2,232 | 7,482 | |||||||
Tatts Group Ltd. | 2,844 | 9,119 | |||||||
Whitbread plc | 171 | 8,811 | |||||||
William Hill plc | 1,440 | 4,755 | |||||||
134,911 | |||||||||
Household Durables – 0.1% | |||||||||
Electrolux AB, Series B | 342 | 11,195 | |||||||
Household Products – 1.2% | |||||||||
Essity AB, Class B* | 684 | 18,692 | |||||||
Henkel AG & Co. KGaA | 117 | 14,132 | |||||||
Reckitt Benckiser Group plc | 1,071 | 108,289 | |||||||
Svenska Cellulosa AB SCA, Class B | 684 | 5,170 | |||||||
146,283 | |||||||||
Independent Power and Renewable Electricity Producers – 0.1% | |||||||||
Meridian Energy Ltd. | 1,764 | 3,759 | |||||||
Uniper SE | 234 | 4,386 | |||||||
8,145 | |||||||||
Industrial Conglomerates – 1.6% | |||||||||
Hopewell Holdings Ltd. | 4,500 | 17,149 | |||||||
Keppel Corp. Ltd. | 1,800 | 8,223 | |||||||
Koninklijke Philips NV | 900 | 31,919 | |||||||
Siemens AG (Registered) | 945 | 129,716 | |||||||
187,007 | |||||||||
Insurance – 1.7% | |||||||||
Admiral Group plc | 432 | 11,240 | |||||||
Direct Line Insurance Group plc | 3,510 | 16,204 | |||||||
Euler Hermes Group | 27 | 3,203 | |||||||
Gjensidige Forsikring ASA | 207 | 3,521 | |||||||
Great-West Lifeco, Inc. | 423 | 11,449 | |||||||
Insurance Australia Group Ltd. | 2,736 | 14,229 | |||||||
Intact Financial Corp. | 243 | 18,329 | |||||||
Medibank Pvt Ltd. | 8,127 | 17,455 | |||||||
Power Corp. of Canada | 432 | 9,839 | |||||||
Power Financial Corp. | 306 | 7,839 | |||||||
Sampo OYJ, Class A | 1,143 | 58,495 | |||||||
Sun Life Financial, Inc. | 720 | 25,702 | |||||||
Tryg A/S | 108 | 2,359 | |||||||
199,864 |
See accompanying notes to the financial statements.
8
OSI ETF Trust
O'Shares FTSE Russell International Quality Dividend ETF
Schedule of Investments
June 30, 2017
Number of Shares | Value | ||||||||
Internet Software & Services – 0.1% | |||||||||
United Internet AG (Registered) | 108 | $ | 5,930 | ||||||
IT Services – 0.6% | |||||||||
Amadeus IT Group SA | 504 | 30,093 | |||||||
Computershare Ltd. | 918 | 9,957 | |||||||
Itochu Techno-Solutions Corp. | 900 | 31,479 | |||||||
71,529 | |||||||||
Machinery – 2.3% | |||||||||
Alfa Laval AB | 684 | 13,981 | |||||||
ANDRITZ AG | 90 | 5,414 | |||||||
Atlas Copco AB, Class A | 1,188 | 45,494 | |||||||
Atlas Copco AB, Class B | 819 | 28,266 | |||||||
FANUC Corp. | 200 | 38,546 | |||||||
IMI plc | 333 | 5,169 | |||||||
Kone OYJ, Class B | 918 | 46,635 | |||||||
MAN SE | 27 | 2,891 | |||||||
Sandvik AB | 1,161 | 18,238 | |||||||
Schindler Holding AG | 27 | 5,721 | |||||||
Schindler Holding AG (Registered) | 9 | 1,868 | |||||||
SKF AB, Class B | 648 | 13,114 | |||||||
Trelleborg AB, Class B | 288 | 6,566 | |||||||
Volvo AB, Class B | 1,719 | 29,266 | |||||||
Yangzijiang Shipbuilding Holdings Ltd. | 5,400 | 4,667 | |||||||
Zardoya Otis SA | 549 | 5,673 | |||||||
271,509 | |||||||||
Marine – 0.2% | |||||||||
AP Moller – Maersk A/S, Class A | 5 | 9,534 | |||||||
Kuehne + Nagel International AG (Registered) | 117 | 19,548 | |||||||
29,082 | |||||||||
Media – 1.6% | |||||||||
Axel Springer SE | 36 | 2,160 | |||||||
Daily Mail & General Trust plc, Class A | 261 | 2,261 | |||||||
Eutelsat Communications SA | 198 | 5,050 | |||||||
Informa plc | 873 | 7,586 | |||||||
ITV plc | 6,822 | 16,075 | |||||||
JCDecaux SA | 90 | 2,948 | |||||||
Mediaset Espana Comunicacion SA | 261 | 3,243 | |||||||
Pearson plc | 981 | 8,812 | |||||||
ProSiebenSat.1 Media SE | 234 | 9,779 | |||||||
Publicis Groupe SA | 288 | 21,453 | |||||||
RTL Group SA | 108 | 8,143 | |||||||
SES SA, FDR | 612 | 14,327 | |||||||
Shaw Communications, Inc., Class B | 918 | 19,997 | |||||||
Singapore Press Holdings Ltd. | 3,600 | 8,445 | |||||||
SKY Network Television Ltd. | 1,377 | 3,478 | |||||||
Sky plc | 2,061 | 26,611 | |||||||
WPP plc | 1,350 | 28,303 | |||||||
188,671 |
Number of Shares | Value | ||||||||
Metals & Mining – 1.1% | |||||||||
BHP Billiton Ltd. | 4,995 | $ | 89,195 | ||||||
Norsk Hydro ASA | 2,124 | 11,735 | |||||||
Rio Tinto Ltd. | 666 | 32,322 | |||||||
133,252 | |||||||||
Multiline Retail – 0.4% | |||||||||
Canadian Tire Corp. Ltd., Class A | 63 | 7,158 | |||||||
Harvey Norman Holdings Ltd. | 1,323 | 3,877 | |||||||
Marks & Spencer Group plc | 2,763 | 11,962 | |||||||
Next plc | 396 | 19,835 | |||||||
42,832 | |||||||||
Multi-Utilities – 2.2% | |||||||||
AGL Energy Ltd. | 1,944 | 38,024 | |||||||
Canadian Utilities Ltd., Class A | 369 | 11,840 | |||||||
Centrica plc | 18,900 | 49,150 | |||||||
E.ON SE | 2,799 | 26,331 | |||||||
Engie SA | 2,709 | 40,831 | |||||||
National Grid plc | 6,583 | 81,388 | |||||||
Suez | 486 | 8,988 | |||||||
256,552 | |||||||||
Oil, Gas & Consumable Fuels – 2.5% | |||||||||
ARC Resources Ltd. | 405 | 5,289 | |||||||
Caltex Australia Ltd. | 594 | 14,402 | |||||||
Enagas SA | 585 | 16,380 | |||||||
Enbridge, Inc. | 945 | 37,591 | |||||||
Husky Energy, Inc.* | 369 | 4,182 | |||||||
Inter Pipeline Ltd. | 639 | 12,498 | |||||||
Pembina Pipeline Corp. | 495 | 16,370 | |||||||
Snam SpA | 5,571 | 24,247 | |||||||
Suncor Energy, Inc. | 2,016 | 58,818 | |||||||
TransCanada Corp. | 1,560 | 74,258 | |||||||
Woodside Petroleum Ltd. | 1,494 | 34,230 | |||||||
298,265 | |||||||||
Paper & Forest Products – 0.3% | |||||||||
Mondi plc | 549 | 14,362 | |||||||
UPM-Kymmene OYJ | 576 | 16,398 | |||||||
30,760 | |||||||||
Personal Products – 3.8% | |||||||||
Kao Corp. | 1,800 | 106,885 | |||||||
L'Oreal SA | 360 | 74,893 | |||||||
Unilever NV, CVA | 2,934 | 161,697 | |||||||
Unilever plc | 1,971 | 106,377 | |||||||
449,852 | |||||||||
Pharmaceuticals – 15.7% | |||||||||
Astellas Pharma, Inc. | 6,000 | 73,398 | |||||||
AstraZeneca plc | 2,007 | 133,869 | |||||||
Bayer AG (Registered) | 873 | 112,713 | |||||||
Daiichi Sankyo Co. Ltd. | 1,600 | 37,693 | |||||||
GlaxoSmithKline plc | 7,956 | 169,020 | |||||||
Novartis AG (Registered) | 3,879 | 323,233 |
See accompanying notes to the financial statements.
9
OSI ETF Trust
O'Shares FTSE Russell International Quality Dividend ETF
Schedule of Investments
June 30, 2017
Number of Shares | Value | ||||||||
Novo Nordisk A/S, Class B | 4,923 | $ | 210,550 | ||||||
Orion OYJ, Class B | 369 | 23,526 | |||||||
Recordati SpA | 198 | 8,021 | |||||||
Roche Holding AG – BR | 72 | 18,570 | |||||||
Roche Holding AG – Genusschein | 1,737 | 442,934 | |||||||
Sanofi | 2,511 | 239,882 | |||||||
Teva Pharmaceutical Industries Ltd. | 1,971 | 65,179 | |||||||
Vifor Pharma AG | 90 | 9,934 | |||||||
1,868,522 | |||||||||
Professional Services – 1.3% | |||||||||
Adecco Group AG (Registered) | 243 | 18,498 | |||||||
Bureau Veritas SA | 405 | 8,950 | |||||||
Capita plc | 891 | 8,003 | |||||||
DKSH Holding AG | 36 | 2,927 | |||||||
Experian plc | 1,134 | 23,200 | |||||||
Randstad Holding NV | 153 | 8,921 | |||||||
RELX NV | 1,467 | 30,117 | |||||||
RELX plc | 1,476 | 31,826 | |||||||
SEEK Ltd. | 342 | 4,436 | |||||||
SGS SA (Registered) | 9 | 21,822 | |||||||
158,700 | |||||||||
Real Estate Management & Development – 2.6% | |||||||||
Alony Hetz Properties & Investments Ltd. | 126 | 1,274 | |||||||
Daito Trust Construction Co. Ltd. | 900 | 140,134 | |||||||
Deutsche Wohnen AG | 369 | 14,095 | |||||||
Fastighets AB Balder (Preference) | 54 | 2,233 | |||||||
Global Logistic Properties Ltd. | 3,600 | 7,478 | |||||||
Henderson Land Development Co. Ltd. | 9,800 | 54,671 | |||||||
Hongkong Land Holdings Ltd. | 1,800 | 13,248 | |||||||
LendLease Group | 927 | 11,839 | |||||||
New World Development Co. Ltd. | 9,000 | 11,425 | |||||||
PSP Swiss Property AG (Registered) | 27 | 2,526 | |||||||
Sun Hung Kai Properties Ltd. | 1,000 | 14,693 | |||||||
Swire Properties Ltd. | 3,600 | 11,875 | |||||||
Swiss Prime Site AG (Registered)* | 72 | 6,549 | |||||||
Vonovia SE | 567 | 22,482 | |||||||
314,522 | |||||||||
Road & Rail – 0.9% | |||||||||
Aurizon Holdings Ltd. | 4,896 | 20,129 | |||||||
Canadian National Railway Co. | 947 | 76,726 | |||||||
ComfortDelGro Corp. Ltd. | 7,200 | 12,027 | |||||||
108,882 | |||||||||
Software – 0.1% | |||||||||
Sage Group plc (The) | 828 | 7,400 | |||||||
Specialty Retail – 0.9% | |||||||||
Dixons Carphone plc | 1,134 | 4,178 | |||||||
Fielmann AG | 72 | 5,546 | |||||||
Hennes & Mauritz AB, Class B | 3,348 | 83,317 | |||||||
Kingfisher plc | 4,464 | 17,436 | |||||||
110,477 |
Number of Shares | Value | ||||||||
Technology Hardware, Storage & Peripherals – 0.8% | |||||||||
Canon, Inc. | 2,700 | $ | 91,698 | ||||||
Textiles, Apparel & Luxury Goods – 1.8% | |||||||||
Burberry Group plc | 504 | 10,874 | |||||||
Christian Dior SE | 72 | 20,559 | |||||||
Cie Financiere Richemont SA (Registered) | 495 | 40,834 | |||||||
HUGO BOSS AG | 171 | 11,956 | |||||||
Luxottica Group SpA | 207 | 11,958 | |||||||
LVMH Moet Hennessy Louis Vuitton SE | 297 | 73,948 | |||||||
Swatch Group AG (The) | 45 | 16,639 | |||||||
Swatch Group AG (The) (Registered) | 63 | 4,608 | |||||||
Yue Yuen Industrial Holdings Ltd. | 4,500 | 18,677 | |||||||
210,053 | |||||||||
Tobacco – 4.0% | |||||||||
British American Tobacco plc | 3,631 | 246,861 | |||||||
Imperial Brands plc | 1,089 | 48,781 | |||||||
Japan Tobacco, Inc. | 4,500 | 158,077 | |||||||
Swedish Match AB | 549 | 19,312 | |||||||
473,031 | |||||||||
Trading Companies & Distributors – 0.4% | |||||||||
Howden Joinery Group plc | �� | 783 | 4,141 | ||||||
Sumitomo Corp. | 1,800 | 23,421 | |||||||
Travis Perkins plc | 270 | 5,103 | |||||||
Wolseley plc | 279 | 17,080 | |||||||
49,745 | |||||||||
Transportation Infrastructure – 0.8% | |||||||||
Abertis Infraestructuras SA | 1,386 | 25,641 | |||||||
Aeroports de Paris | 27 | 4,351 | |||||||
Atlantia SpA | 540 | 15,176 | |||||||
Fraport AG Frankfurt Airport Services Worldwide | 18 | 1,587 | |||||||
Hutchison Port Holdings Trust | 10,800 | 4,644 | |||||||
Macquarie Atlas Roads Group | 963 | 4,144 | |||||||
SATS Ltd. | 1,800 | 6,680 | |||||||
Sydney Airport | 1,764 | 9,593 | |||||||
Transurban Group | 2,151 | 19,552 | |||||||
91,368 | |||||||||
Water Utilities – 0.2% | |||||||||
Pennon Group plc | 531 | 5,694 | |||||||
Severn Trent plc | 306 | 8,673 | |||||||
United Utilities Group plc | 1,080 | 12,170 | |||||||
26,537 | |||||||||
Wireless Telecommunication Services – 2.6% | |||||||||
M1 Ltd. | 900 | 1,425 | |||||||
NTT DOCOMO, Inc. | 6,300 | 148,697 | |||||||
Rogers Communications, Inc., Class B | 639 | 30,137 | |||||||
StarHub Ltd. | 1,800 | 3,556 | |||||||
Tele2 AB, Class B | 1,341 | 14,023 | |||||||
Vodafone Group plc | 38,241 | 108,163 | |||||||
306,001 |
See accompanying notes to the financial statements.
10
OSI ETF Trust
O'Shares FTSE Russell International Quality Dividend ETF
Schedule of Investments
June 30, 2017
Number of Shares | Value | ||||||||
Total Common Stocks (Cost $11,367,033) | $ | 11,770,847 | |||||||
Exchange Traded Fund – 0.6% | |||||||||
iShares MSCI South Korea Capped Fund (Cost $70,472) | 1,125 | 76,286 | |||||||
Total Investments — 99.5% (Cost $11,437,505) | 11,847,133 | ||||||||
Other Assets Less Liabilities — 0.5% | 55,765 | ||||||||
Net assets — 100.0% | $ | 11,902,898 |
* | Non-income producing security. |
(a) | Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of all such securities at 6/30/2017 amounts to $3,251, which represents approximately 0.03% of net assets of the Fund. |
(b) | Represents less than 0.05% of net assets. |
Abbreviations | ||
CHDI | Clearing House Electronic Subregister System (CHESS) Depository Interest | |
CVA | Dutch Certification | |
FDR | Fiduciary Depositary Receipt | |
OYJ | Public Limited Company | |
Preference | A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference. | |
SCA | Limited partnership with share capital |
As of June 30, 2017, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 511,488 | ||
Aggregate gross unrealized depreciation | (122,623 | ) | ||
Net unrealized appreciation | $ | 388,865 | ||
Federal income tax cost of investments | $ | 11,458,268 |
O'Shares FTSE Russell International Quality Dividend ETF Fund invested, as a percentage of net assets, in the following countries as of June 30, 2017:
Australia | 8.9 | % | ||
Austria | 0.0 | %(a) | ||
Belgium | 1.7 | % | ||
Canada | 9.7 | % | ||
China | 0.0 | %(a) | ||
Denmark | 2.2 | % | ||
Finland | 1.6 | % | ||
France | 8.4 | % | ||
Germany | 6.3 | % | ||
Hong Kong | 3.1 | % | ||
Ireland | 0.2 | % | ||
Israel | 0.7 | % | ||
Italy | 1.1 | % | ||
Japan | 12.4 | % | ||
Luxembourg | 0.3 | % | ||
Netherlands | 1.0 | % | ||
New Zealand | 0.6 | % | ||
Norway | 0.7 | % | ||
Portugal | 0.2 | % | ||
Singapore | 1.5 | % | ||
South Africa | 0.1 | % | ||
Spain | 2.4 | % | ||
Sweden | 4.1 | % | ||
Switzerland | 14.8 | % | ||
United Kingdom | 16.8 | % | ||
United States | 0.7 | % | ||
Other(1) | 0.5 | % | ||
100.0 | % |
(a) | Represents less than 0.05% of net assets |
(1) | Includes any non-equity securities and net other assets (liabilities). |
See accompanying notes to the financial statements.
11
OSI ETF Trust
Statements of Assets and Liabilities
June 30, 2017
O’Shares FTSE Russell Small Cap Quality Dividend ETF | O’Shares FTSE Russell International Quality Dividend ETF | |||||||
ASSETS | ||||||||
Investments in securities, at value(1) | $ | 38,062,312 | $ | 11,847,133 | ||||
Cash | 82,275 | 34,292 | ||||||
Foreign cash(2) | — | 2,163 | ||||||
Segregated cash balances with Authorized Participant for deposit securities | — | 6,946 | ||||||
Receivables: | ||||||||
Securities sold | — | 6,408 | ||||||
Dividends | 94,305 | 32,368 | ||||||
Reclaims | — | 6,497 | ||||||
Total Assets | 38,238,892 | 11,935,807 | ||||||
LIABILITIES | ||||||||
Collateral upon return of deposit securities | — | 6,946 | ||||||
Due to Broker | 666 | — | ||||||
Payables: | ||||||||
Securities purchased | — | 19,085 | ||||||
Investment management fees | 14,800 | 4,378 | ||||||
Other liabilities | — | 2,500 | ||||||
Total Liabilities | 15,466 | 32,909 | ||||||
Net Assets | $ | 38,223,426 | $ | 11,902,898 | ||||
NET ASSETS CONSIST OF: | ||||||||
Paid-in capital | $ | 38,077,279 | $ | 11,458,553 | ||||
Undistributed net investment income | 101,533 | 35,788 | ||||||
Accumulated undistributed net realized gain (loss) | (5,556 | ) | (1,246 | ) | ||||
Net unrealized appreciation on: | ||||||||
Investments | 50,170 | 409,628 | ||||||
Translation of assets and liabilities denominated in foreign currencies | — | 175 | ||||||
Net Assets | $ | 38,223,426 | $ | 11,902,898 | ||||
The Funds have an unlimited number of shares authorized with no par value. Net asset value is calculated by dividing the net assets by the number of outstanding shares. | ||||||||
Shares Outstanding | 1,504,000 | 450,001 | ||||||
Net Asset Value | $ | 25.41 | $ | 26.45 | ||||
(1) Investments in securities, at cost | $ | 38,012,142 | $ | 11,437,505 | ||||
(2) Cost of foreign cash | $ | — | $ | 2,287 |
See accompanying notes to the financial statements.
12
OSI ETF Trust
Statements of Operations
O’Shares FTSE Russell Small Cap Quality Dividend ETF | O’Shares FTSE Russell International Quality Dividend ETF | |||||||
For the period 12/30/16* – 06/30/17 | For the period 03/22/17* – 06/30/17 | |||||||
INVESTMENT INCOME | ||||||||
Dividend income | $ | 395,881 | $ | 138,248 | ||||
Special dividends | 14,663 | — | ||||||
Foreign withholding tax on dividends | (29 | ) | (18,039 | ) | ||||
Total Investment Income | 410,515 | 120,209 | ||||||
EXPENSES | ||||||||
Investment management fees (Note 4) | 56,856 | 11,247 | ||||||
Total Expenses | 56,856 | 11,247 | ||||||
Net Investment Income | 353,659 | 108,962 | ||||||
NET REALIZED GAIN (LOSS) ON: | ||||||||
Investments in securities | (5,556 | ) | (1,246 | ) | ||||
In-kind redemptions of investments | 62,008 | — | ||||||
Foreign currency transactions | — | (269 | ) | |||||
Net Realized Gain (Loss) | 56,452 | (1,515 | ) | |||||
NET CHANGE IN UNREALIZED APPRECIATION ON: | ||||||||
Investments in securities | 50,170 | 409,628 | ||||||
Translation of assets and liabilities denominated in foreign currencies | — | 175 | ||||||
Net Change in Unrealized Appreciation | 50,170 | 409,803 | ||||||
Net Realized and Unrealized Gain (Loss) | 106,622 | 408,288 | ||||||
Net Increase in Net Assets Resulting from Operations | $ | 460,281 | $ | 517,250 |
* | Commencement of investment operations. |
See accompanying notes to the financial statements.
13
OSI ETF Trust
Statements of Changes in Net Assets
O’Shares FTSE Russell Small Cap Quality Dividend ETF | O’Shares FTSE Russell International Quality Dividend ETF | |||||||
For the period 12/30/16* – 06/30/17 | For the period 03/22/17* – 06/30/17 | |||||||
OPERATIONS | ||||||||
Net investment income | $ | 353,659 | $ | 108,962 | ||||
Net realized gain (loss) | 56,452 | (1,515 | ) | |||||
Net change in unrealized appreciation | 50,170 | 409,803 | ||||||
Net Increase in Net Assets Resulting from Operations | 460,281 | 517,250 | ||||||
DISTRIBUTIONS | ||||||||
Net investment income | (252,126 | ) | (72,905 | ) | ||||
Total Distributions | (252,126) | (72,905) | ||||||
CAPITAL TRANSACTIONS | ||||||||
Proceeds from shares issued | 39,192,103 | 11,458,553 | ||||||
Cost of shares redeemed | (1,276,832 | ) | — | |||||
Net Increase from Capital Transactions | 37,915,271 | 11,458,553 | ||||||
Total Increase in Net Assets | 38,123,426 | 11,902,898 | ||||||
NET ASSETS | ||||||||
Beginning of period | $ | 100,000 | $ | — | ||||
End of Period | $ | 38,223,426 | $ | 11,902,898 | ||||
Undistributed net investment income included in end of period net assets | $ | 101,533 | $ | 35,788 | ||||
SHARE TRANSACTIONS | ||||||||
Beginning of period | 4,000 | — | ||||||
Shares issued | — | 1 | ||||||
Shares issued in-kind | 1,550,000 | 450,000 | ||||||
Shares redeemed in-kind | (50,000 | ) | — | |||||
Shares Outstanding, End of Period | 1,504,000 | 450,001 |
* | Commencement of investment operations. |
See accompanying notes to the financial statements.
14
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15
OSI ETF TRUST
Financial Highlights for a share outstanding throughout the period
PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||||||||||||||
Investment Operations | Distributions | |||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income(1) | Net realized and unrealized gain (loss) | Total investment operations | Net investment income | Net realized gains | Tax return of capital | Total distributions | Net asset value, end of period | ||||||||||||||||||||||||||||
O’Shares FTSE Russell Small Cap Quality Dividend ETF | ||||||||||||||||||||||||||||||||||||
For the period 12/30/16* – 06/30/17 | $ | 25.00 | $ | 0.38 | $ | 0.25 | $ | 0.63 | $ | (0.22 | ) | $ | — | $ | — | $ | (0.22 | ) | $ | 25.41 | ||||||||||||||||
O’Shares FTSE Russell International Quality Dividend ETF | ||||||||||||||||||||||||||||||||||||
For the period 03/22/17* – 06/30/17 | 25.00 | 0.34 | 1.29 | 1.63 | (0.18 | ) | — | — | (0.18 | ) | 26.45 |
* | Commencement of investment operations. |
(1) | Net investment income (loss) per share is based on average shares outstanding. |
(2) | Annualized for periods less than one year. |
(3) | Not annualized for periods less than one year. |
(4) | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at net asset value. |
(5) | Market value total return is calculated assuming an initial investment made at market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at market value. The market value is determined by the mid point of the bid/ask spread at 4:00 p.m. from the NYSE Arca, Inc. Exchange. Market value returns may vary from net asset value returns. |
(6) | In-kind transactions are not included in portfolio turnover calculations. |
See accompanying notes to the financial statements.
16
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||
Ratios to Average Net Assets of(2) | Total Return(3) | |||||||||||||||||||||||||||||||
Expenses | Net investment income | Net investment income excluding special dividends | Net investment income per share excluding special dividends | Net asset value(4) | Market value(5) | Portfolio turnover rate(3)(6) | Ending net assets (thousands) | |||||||||||||||||||||||||
O’Shares FTSE Russell Small Cap Quality Dividend ETF | ||||||||||||||||||||||||||||||||
For the period 12/30/16* – 06/30/17 | 0.48 | % | 2.99 | % | 2.86 | % | $ | 0.36 | 2.52 | % | 2.68 | % | 7 | % | $ | 38,223 | ||||||||||||||||
O’Shares FTSE Russell International Quality Dividend ETF | ||||||||||||||||||||||||||||||||
For the period 03/22/17* – 06/30/17 | 0.48 | 4.65 | 4.65 | $ | 0.34 | 6.53 | 7.66 | 2 | 11,903 |
See accompanying notes to the financial statements.
17
OSI ETF Trust
Notes to Financial Statements
June 30, 2017
1. Organization
OSI ETF Trust (the “Trust”) was organized as a Delaware statutory trust on April 12, 2016 and is authorized to issue multiple series or portfolios. The Trust is an open-end management investment company, registered under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust currently consists of two operational exchange-traded funds (each a “Fund” and collectively, the “Funds”). The O’Shares FTSE Russell Small Cap Quality Dividend ETF and O’Shares FTSE Russell International Quality Dividend ETF are diversified series of the Trust, pursuant to the 1940 Act.
The O’Shares FTSE Russell Small Cap Quality Dividend ETF commenced operations on December 30, 2016. The O’Shares FTSE Russell International Quality Dividend ETF commenced operations on March 22, 2017.
Each Fund seeks to track the performance (before fees and expenses) of a specified benchmark index (each, a “Target Index”). There can be no assurance that the Funds’ investment objectives will be achieved.
2. Significant Accounting Policies
The Trust, which is an investment company, follows accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, “Financial Services — Investment Companies.”
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
Investment Company Modernization
In October 2016, the Securities and Exchange Commission (“SEC”) issued Final Rule Release No. 33-10231, Investment Company Reporting Modernization (the “Release”). The Release calls for the adoption of new rules and forms as well as amendments to current rules and forms to modernize the reporting and disclosure of information by registered investment companies. The SEC is adopting amendments to Regulation S-X, which will require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The Regulation S-X amendments have a compliance date of August 1, 2017, and will be first reflected in the Funds’ filing of Form N-Q for the period ending September 30, 2017. The effective date for the Form N-PORT and Form N-CEN is June 1, 2018. Management is in the process of reviewing the impact to the financial statements. The adoption will have no effect on the Funds’ net assets or results of operations.
Investment Valuation
The NAV of each Fund’s shares is calculated each business day as of the close of regular trading on the New York Stock Exchange (“NYSE”), generally 4:00 p.m., Eastern Time. NAV per share is computed by dividing the net assets by the number of each Fund’s shares outstanding.
When calculating the NAV of each Fund’s shares, securities held by the Funds are valued at market quotations when reliable market quotations are readily available. Exchange traded securities and instruments (including equity securities, depositary receipts and ETFs) are generally valued at the last reported sale price on the principal exchange on which such securities are traded (at the NASDAQ Official Closing Price for NASDAQ listed securities), as of the close of regular trading on the NYSE on the day the securities are being valued or, if there are no sales, at the mean of the most recent bid and asked prices. Over-the-counter securities not traded on an exchange are valued at the last traded price. In the absence of a recorded transaction sale price; or if the last sale price is unavailable, securities are valued at the mean between last bid and ask, as quoted. If an Ask price is unavailable, last bid price is used. Such valuations would typically be categorized as Level 1 in the fair value hierachy described below.
18
OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2017
When reliable market quotations are not readily available, securities are priced at their fair value in accordance with the Trust’s valuation guidelines, which were approved by the Board of Trustees (the “Trustees”). The Funds may use fair value pricing in a variety of circumstances, including but not limited to, situations when the value of a Fund’s security has been materially affected by events occurring after the close of the market on which such security is principally traded (such as a corporate action or other news that may materially affect the price of such security) or trading in such security has been suspended or halted. Such valuations would typically be categorized as Level 2 or Level 3 in the fair value hierarchy described below. Fair value pricing involves subjective judgments and it is possible that a fair value determination for a security is materially different than the value that could be realized upon the sale of such security. In addition, fair value pricing could result in a difference between the prices used to calculate a Fund’s net asset value and the prices used by the Fund’s Target Index. This may adversely affect the Fund’s ability to track its Target Index. Securities of non-exchange traded investment companies are valued at their net asset value.
The Funds disclose the fair market value of their investments in a hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of the Funds (observable inputs) and (2) the Funds’ own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the hierarchy are as follows:
• | Level 1 — Quoted prices in active markets for identical assets. |
• | Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
• | Level 3 — Significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the valuations as of June 30, 2017 for each Fund based upon the three levels defined above:
LEVEL 1 – Quoted Prices | LEVEL 2 – Other Significant Observable Inputs | LEVEL 3 – Other Significant Unobservable Inputs | |||||||||||||||||||
Common Stocks | Exchange Traded Fund | Totals | |||||||||||||||||||
O’Shares FTSE Russell Small Cap Quality Dividend ETF | |||||||||||||||||||||
Assets: | $ | 38,062,312 | $ | — | $ | — | $ | — | $ | 38,062,312 | |||||||||||
Totals: | $ | 38,062,312 | $ | — | $ | — | $ | — | $ | 38,062,312 | |||||||||||
O’Shares FTSE Russell International Quality Dividend ETF | |||||||||||||||||||||
Assets: | $ | 11,770,847 | $ | 76,286 | $ | — | $ | — | $ | 11,847,133 | |||||||||||
Totals: | $ | 11,770,847 | $ | 76,286 | $ | — | $ | — | $ | 11,847,133 |
For the period ended June 30, 2017, there were no Level 2 or Level 3 investments held in the Funds. Please refer to the Schedule of Investments to view equity securities segregated by industry type.
The Funds disclose transfer between levels based on valuations at the end of the reporting period. There were no transfers between Levels 1, 2, and 3 for the period ended June 30, 2017.
19
OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2017
Real Estate Investment Trusts (“REITs”)
Each Fund may invest in REITs. Equity REITs invest primarily in real property while mortgage REITs make construction, development and long-term mortgage loans. Their value may be affected by changes in the value of the underlying property of the REIT, the creditworthiness of the issuer, property taxes, interest rates, and tax and regulatory requirements, such as those relating to the environment.
REITs are dependent upon management skill, are not diversified and are subject to heavy cash flow dependency, default by borrowers, self-liquidation and the possibility of failing to qualify for tax free income status under the Internal Revenue Code of 1986 and failing to be exempt from registration as a registered investment company under the 1940 Act.
Distributions from REIT investments may be comprised of return of capital, capital gains and income. The actual character of amounts received during the year is not known until after the REIT’s fiscal year end. The Funds record the character of distributions received from REITs during the year based on estimates available. The characterization of distributions received by the Funds may be subsequently revised based on information received from the REITs after their tax reporting periods have concluded.
Foreign Currency Translation
The books and records of the Funds are maintained in U.S. dollars. The Funds’ assets and liabilities in foreign currencies are translated into U.S. dollars at the prevailing exchange rate at the valuation date. Transactions denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the date of the transaction. The Funds’ income earned and expense incurred in foreign denominated currencies are translated into U.S. dollars at the prevailing exchange rate on the date of such activity.
The Funds do not isolate that portion of the results of operations arising from changes in the foreign exchange rates on investments from the fluctuations that result from changes in the market prices of investments held or sold during the period. Accordingly, such foreign currency gains (losses) are included in the reported net realized gain (loss) on investments in securities and net change in unrealized appreciation (depreciation) on investment securities on the Statements of Operations.
Net realized gains (losses) on foreign currency transactions reported on the Statements of Operations arise from sales of foreign currency, realized currency gains or losses, including foreign exchange contracts, between the trade and settlement dates on securities transactions and the difference in the amounts of dividends and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net changes in unrealized appreciation (depreciation) on translation of assets and liabilities denominated in foreign currencies reported on the Statements of Operations arise from changes (due to the changes in the exchange rate) in the value of foreign currency and assets and liabilities (other than investments) denominated in foreign currencies, which are held at period end.
Organizational and Offering Expenses
O’Shares Investment Advisers, LLC (the “Adviser”) has agreed to pay the organizational and initial offering costs on behalf of the Funds. The organizational and initial offering costs include preparation and filing incorporation documents, bylaws, declarations of trust, registration statements, board materials, state and federal registration of shares and audit fees. As a result, organizational and offering expenses are not reflected in the Funds’ financial statements.
Taxes and Distributions
Each of the Funds intends to qualify or continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and distribute substantially all of its net investment income and net capital gains to shareholders. Accordingly, no provision for Federal income taxes is required in the financial statements.
20
OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2017
As of June 30, 2017 (the Funds’ tax year end), management of the Funds has reviewed the open tax years and major jurisdictions and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next 12 months. On an ongoing basis, management will monitor the tax positions taken to determine if adjustment to conclusions are necessary based on factors including but not limited to further implementation on guidance expected from FASB and ongoing analysis of tax law, regulation, and interpretations thereof.
Each Fund expects to declare and distribute all of its net investment income, if any, to shareholders as dividends monthly. Net capital gains are distributed at least annually. Dividends may be declared and paid more frequently to improve a Fund’s tracking of its Target Index or to comply with the distribution requirements of the Internal Revenue Code.
The tax character of distributions paid may differ from the character of distributions shown on the Statements of Changes in Net Assets due to short-term capital gains being treated as ordinary income for tax purposes.
The tax character of the distributions paid for the tax period ended June 30, 2017 was as follows:
Fund | Distributions Paid from Ordinary Income | Distributions Paid from Net Long Term Capital Gains | Tax Return of Capital | Total Distributions | ||||||||||||
O’Shares FTSE Russell Small Cap Quality Dividend ETF | $ | 252,126 | $ | — | $ | — | $ | 252,126 | ||||||||
O’Shares FTSE Russell International Quality Dividend ETF | 72,905 | — | — | 72,905 |
At June 30, 2017, the components of accumulated earnings (deficit) on a tax basis were as follows:
Fund | Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ (Depreciation)* | ||||||||||||
O’Shares FTSE Russell Small Cap Quality Dividend ETF | $ | 101,533 | $ | 12,082 | $ | — | $ | 32,532 | ||||||||
O’Shares FTSE Russell International Quality Dividend ETF | 56,551 | — | (1,246 | ) | 389,040 |
* | The differences between the book and tax basis unrealized appreciation (depreciation) is attributable to tax deferral of losses on wash sales. |
Permanent differences, primarily due to gain (loss) on in-kind redemptions, resulted in the following reclassifications, as of June 30, 2017 among the Funds’ components of net assets:
Fund | Undistributed Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) | Paid in Capital | |||||||||
O’Shares FTSE Russell Small Cap Quality Dividend ETF | $ | — | $ | (62,008 | ) | $ | 62,008 | |||||
O’Shares FTSE Russell International Quality Dividend ETF | (269 | ) | 269 | — |
Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), the Funds are permitted to carry forward capital losses for an unlimited period. Post-enactment capital loss carry forwards will retain their character as either short-term or long-term capital losses. For the tax period ended June 30, 2017, the following Fund had available capital loss carryforwards to offset future net capital gains to the extent provided by regulations:
Fund | Capital Loss Carryforwards | |||
O'Shares FTSE Russell International Quality Dividend ETF | $ | 1,246 |
Under current tax rules, Regulated Investment Companies can elect to treat certain late-year ordinary losses incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year. As of June 30, 2017, none of the Funds have any late-year ordinary loss or post-October capital loss deferrals.
21
OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2017
3. Investment Transactions and Related Income
Throughout the reporting period, investment transactions are accounted for no later than one business day following the trade date. For financial reporting purposes, investment transactions are accounted for on trade date on the last business day of the reporting period. Interest income is recognized on an accrual basis and includes, where applicable, the amortization of premiums and accretion of discounts. Dividend income received or paid from the Fund, net of any applicable foreign withholding taxes, is recorded on the ex-dividend date, except for dividends of foreign securities where the dividend may not be known until after the ex-date. For those cases, dividend income, net of withholding taxes, is recorded when the Fund becomes aware of the dividends. Non-cash dividends, if any, are recorded at the fair market value of the asset received. Large, non-recurring dividends recognized by the Funds are presented separately on the Statement of Operations as “Special Dividends” and the impact of these dividends is presented in the Financial Highlights. Gains or losses realized on sales of securities are determined using the specific identification method by comparing the identified cost of the security lot sold with the net sales proceeds.
4. Investment Management Fees
The Adviser serves as investment adviser to the Funds pursuant to an Investment Advisory Agreement with the Trust (the “Advisory Agreement”). Pursuant to the Advisory Agreement, the Adviser has the overall responsibility for the Funds’ investment program. The Adviser, on behalf of each Fund, has entered into a Sub-Advisory Agreement with Vident Investment Advisory, LLC (the “Sub-Adviser”). The Sub-Adviser is responsible for trading portfolio securities and other investment instruments on behalf of the Funds, including selecting broker-dealers to execute purchase and sale transactions, as instructed by the Adviser or in connection with any rebalancing or reconstitution of a Target Index, subject to the overall supervision and oversight of the Adviser and the Trustees. The Adviser oversees the Sub-Adviser for compliance with the Funds’ investment objective, policies, strategies and restrictions. The Board of Trustees supervises and oversees the Adviser and the Sub-Adviser, establishes policies that they must follow in their management activities, and oversees the hiring and termination of sub-advisers recommended by the Adviser.
Under the Advisory Agreement, the Funds pay the Adviser a unitary management fee for its services payable on a monthly basis at the annual rate listed in the table below, based on the average daily net assets of each Fund.
Fund | Management Fee | |||
O’Shares FTSE Russell Small Cap Quality Dividend ETF | 0.48 | % | ||
O’Shares FTSE Russell International Quality Dividend ETF | 0.48 | % |
Pursuant to the Sub-Advisory Agreement, the Adviser compensates the Sub-Adviser out of the management fee it receives from the Funds.
Under the Advisory Agreement, the Adviser bears all of the ordinary operating expenses of the Funds, except for (i) the management fee, (ii) payments under the Funds’ Rule 12b-1 plan, (iii) brokerage expenses (including any costs incidental to transactions in portfolio securities or instruments), (iv) acquired fund fees and expenses, (v) taxes, (vi) interest (including borrowing costs and dividend expenses on securities sold short and overdraft charges), (vii) litigation expenses (including litigation to which the Trust or a Fund may be a party and indemnification of the Trustees and officers with respect thereto) and (viii) other extraordinary or non-routine expenses.
5. Administration, Fund Accounting and Transfer Agency Fees
JPMorgan Chase Bank, N.A. (“Administrator”) acts as administrator, fund accounting agent and transfer agent to the Funds pursuant to an administration agreement. The Administrator provides the Funds with all required general administrative services, including, without limitation, office space, equipment, and personnel; clerical and general back office services; bookkeeping, internal accounting, and secretarial services; the determination of
22
OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2017
NAVs; and the preparation and filing of all reports, registration statements, proxy statements, and all other materials required to be filed or furnished by the Funds under federal and state securities laws.
6. Custodian Fees
JPMorgan Chase Bank, N.A. (“Custodian”) acts as custodian to the Funds. The Custodian holds cash, securities and other assets of the Funds as required by the 1940 Act. As compensation for the services, the Custodian is entitled to fees and reasonable out-of-pocket expenses.
7. Distribution, Service Plan and Fund Officers
Foreside Fund Services, LLC (the “Distributor”) serves as the Funds’ Distributor. The Trust has adopted a distribution and service plan (“Plan”) pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Plan, each Fund is authorized to pay an amount up to 0.25% of its average daily net assets each year to finance any activity primarily intended to result in the sale of Creation Units of the Funds or the provision of investor services, including but not limited to: (i) marketing and promotional services, including advertising; (ii) facilitating communications with beneficial owners of shares of the Funds; (iii) wholesaling services; and (iv) such other services and obligations as may be set forth in the Distribution Agreement with the Distributor.
No distribution or service fees are currently paid by any Funds and there are no current plans to impose these fees. In the event Rule 12b-1 fees were charged, over time they would increase the cost of an investment in a Fund and may cost you more than paying other types of sales charges.
Foreside Fund Officer Services, LLC (“FFOS”), an affiliate of the Distributor, provides a Chief Compliance Officer, Principal Financial Officer and Treasurer, and certain additional compliance support functions to the Funds. FFOS does not have a role in determining the investment policies of the Trust or Funds, or which securities are to be purchased or sold by the Trust or a Fund.
8. Issuance and Redemption of Fund Shares
The Funds are exchange-traded funds or ETFs. Individual Fund shares may only be purchased and sold on a national securities exchange through a broker-dealer and investors may pay a commission to such broker-dealers in connection with their purchase or sale. The price of Fund shares is based on market price, and because ETF shares trade at market prices rather than NAV, shares may trade at a price greater than NAV (a premium) or less than NAV (a discount). The Funds will only issue or redeem shares aggregated into blocks of 50,000 shares or multiples thereof (“Creation Units”) to Authorized Participants who have entered into agreements with the Funds’ Distributor. An Authorized Participant is either (1) a “Participating Party,” (i.e., a broker-dealer or other participant in the clearing process of the Continuous Net Settlement System of the NSCC) (“Clearing Process”), or (2) a participant of DTC (“DTC Participant”), and, in each case, must have executed an agreement (“Participation Agreement”) with the distributor with respect to creations and redemptions of Creation Units. The Funds will issue or redeem Creation Units in return for a basket of assets that the Funds specify each day.
Shares are listed on the NYSE Arca, Inc.TM and are publicly traded. If you buy or sell Fund shares on the secondary market, you will pay or receive the market price, which may be higher or lower than NAV. Your transaction will be priced at NAV if you purchase or redeem Fund shares in Creation Units.
Authorized Participants may pay transaction fees to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units. Authorized Participants purchasing and redeeming Creation Units may pay a purchase transaction fee and a redemption transaction fee directly to JPMorgan Chase Bank, N.A., the Funds’ administrator, to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, including Creation Units for cash.
23
OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2017
9. Investment Transactions
For the period ended June 30, 2017, the cost of securities purchased and proceeds from sales of securities, excluding in-kind transactions, were as follows:
Fund | Purchases | Sales | ||||||
O’Shares FTSE Russell Small Cap Quality Dividend ETF | $ | 1,557,535 | $ | 1,410,182 | ||||
O’Shares FTSE Russell International Quality Dividend ETF | 156,231 | 107,816 |
10. In-Kind Transactions
During the period presented in this report, certain Funds of the Trust delivered securities of the Funds in exchange for the redemption of shares (redemption-in-kind). Cash and securities were transferred for redemptions at fair value. For financial reporting purposes, the Funds recorded net realized gains and losses in connection with each transaction.
For the period ended June 30, 2017 the value of the securities transferred for redemptions, and the net realized gains recorded in connection with the transactions were as follows:
Fund | Value | Net Realized Gain | ||||||
O’Shares FTSE Russell Small Cap Quality Dividend ETF | $ | 1,273,874 | $ | 62,008 |
During the period presented in this report, the Funds received securities in exchange for subscription of shares (subscription-in-kind). For the period ended June 30, 2017, the value of the securities received for subscriptions were as follows:
Fund | Value | |||
O’Shares FTSE Russell Small Cap Quality Dividend ETF | $ | 39,116,584 | ||
O’Shares FTSE Russell International Quality Dividend ETF | 11,390,852 |
11. Principal Risks
Each Fund is subject to the principal risks noted below, which may adversely affect a Fund’s NAV, trading price, yield, total return and ability to meet its investment objective. A more complete description of the principal risks to which each Fund is subject is included in the Funds’ prospectus.
Authorized Participants Concentration Risk. Each Fund has a limited number of financial institutions that may act as Authorized Participants. To the extent they cannot or are otherwise unwilling to engage in creation and redemption transactions with the Funds and no other Authorized Participant steps in, shares of the Funds may trade like closed-end fund shares at a significant discount to NAV and may face trading halts and/or delisting from the Exchange. This risk may be more pronounced in volatile markets, potentially where there are significant redemptions in ETFs generally.
Cash and Cash Equivalents Risk. Holding cash or cash equivalents, even strategically, may lead to missed investment opportunities. This is particularly true when the market for other investments in which each Fund may invest is rapidly rising.
Concentration Risk. To the extent that a Fund’s Target Index is concentrated in a particular industry or group of industries, the Fund is also expected to be concentrated in that industry or group of industries which may subject the Fund to a greater loss as a result of adverse economic, business or other developments affecting that industry or group of industries.
Depositary Receipts Risk. The risks of investments in depositary receipts are substantially similar to Foreign Investment Risks. 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.
24
OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2017
Dividend-Paying Stocks Risk. A Fund’s emphasis on dividend-paying stocks involves the risk that such stocks may fall out of favor with investors and underperform the market. Also, a company may reduce or eliminate its dividend after a Fund’s purchase of such a company’s securities.
Equity Investing Risk. An investment in a Fund 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.
ETFs and Other Investment Companies Risk. The risks of investing in securities of ETFs and other investment companies typically reflect the risks of the types of instruments in which the underlying ETF or other investment company invests. In addition, with such investments, a Fund indirectly bears its proportionate share of the fees and expenses of the underlying entity. As a result, a Fund’s operating expenses may be higher and performance may be lower.
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. Current political uncertainty surrounding the European Union (“EU”) and its membership, including the 2016 referendum in which the United Kingdom voted to exit the EU, may increase market volatility. In addition, a 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 such Fund’s returns.
Geographic Concentration Risk. Because a Fund’s investments may be concentrated in a particular geographic region or country, the value of such Fund shares may be affected by events that adversely affect that region or country and may fluctuate more than that of a less concentrated funds.
Index-Related Risk. Each Fund is managed with an investment strategy that attempts to track the performance of the Target Index. As a result, the Funds expect to hold constituent securities of the Target Index regardless of their current or projected performance. Maintaining investments in securities regardless of market conditions or the performance of individual securities could cause a Fund’s return to be lower than if the Funds employed an active strategy.
There is no assurance that the Index Provider will compile each Target Index accurately, or that each Target Index will be determined, composed or calculated accurately. While the Index Provider provides descriptions of what each Target Index is designed to achieve, the Index Provider does not guarantee the quality, accuracy or completeness of data in respect of its indices, and does not guarantee that each Target Index will be in line with its described index methodology. Any gains, losses or costs to a Fund that are caused by Index Provider errors will therefore be borne by the Fund and its shareholders. Each Target Index is new and has a limited performance history. The foregoing risks may be greater for a new index.
International Closed Market Trading Risk. If a Fund’s underlying securities trade on markets that may be closed when the Exchange is open, there are likely to be deviations between current pricing of an underlying security and stale pricing resulting in the Fund trading at a discount or premium to NAV that may be greater than those incurred by other ETFs.
Large Capitalization Securities Risk. The securities of large market capitalization companies may underperform other segments of the market because such companies may be less responsive to competitive challenges and opportunities and may be unable to attain high growth rates during periods of economic expansion.
25
OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2017
Liquidity Risk. Liquidity risk exists when investments are difficult to purchase or sell. This can reduce a Fund’s returns because the Fund or an entity in which it invests may be unable to transact at advantageous times or prices.
Market Events Risk. The market values of a Fund’s investments, and therefore the value of such Fund’s shares, will go up and down, sometimes rapidly or unpredictably. Market risk may affect a single issuer, industry or section of the economy, or it may affect the market as a whole. Turbulence in the financial markets and reduced liquidity may negatively affect issuers, which could have an adverse effect on a Fund. In addition, there is a risk that policy changes by the U.S. Government, Federal Reserve and/or other government actors, such as increasing interest rates, could cause increased volatility in financial markets and disruption in the creation/redemption process of a Fund, which could have a negative impact on the Fund.
Mid-Capitalization Securities Risk. The securities of mid-capitalization companies are often more volatile and less liquid than the securities of larger companies and may be more affected than other types of securities during market downturns. Compared to larger companies, mid-capitalization companies may have a shorter history of operations, and may have limited product lines, markets or financial resources.
Multifactor Risk. Each Target Index, and thus each Fund, seeks to achieve specific factor exposures. There can be no assurance that targeting exposure to such factors will enhance a Fund’s performance over time, and targeting exposure to certain factors may detract from performance in some market environments. There is no guarantee the Index Provider’s methodology will be successful in creating an index that achieves the specific factor exposures.
Premium-Discount Risk. Fund shares may trade above or below their NAV on the Exchange. The market prices of Fund shares will generally fluctuate in accordance with changes in NAV as well as the relative supply of, and demand for, Fund shares. Therefore, you may pay more than NAV when you buy shares of a Fund on the Exchange, and you may receive less than NAV when you sell those shares on the Exchange. This risk is separate and distinct from the risk that the NAV of Fund shares may decrease.
Quality Stocks Risk. Quality investing entails investing in securities of companies with high returns on equity, stable earnings per share growth, and low financial leverage. This style of investing is subject to the risk that the past performance of these companies does not continue or that the returns on “quality” equity securities are less than returns on other styles of investing or the overall stock market. In addition, there may be periods when quality investing is out of favor and during which the investment performance of a fund using a quality strategy may suffer.
REIT Risk. A REIT is a company that owns or finances income-producing real estate. Each Fund, through its investments in REITs, is subject to the risks of investing in the real estate market, including decreases in property revenues, increases in interest rates, increases in property taxes and operating expenses, legal and regulatory changes, a lack of credit or capital, defaults by borrowers or tenants, environmental problems and natural disasters.
REITs are subject to additional risks, including those related to adverse governmental actions, declines in property value and the real estate market, and the potential failure to qualify for tax-free pass through of income and exemption from registration as an investment company. REITs are dependent upon specialized management skills and may invest in relatively few properties, a small geographic area or a small number of property types. As a result, investments in REITs may be volatile. To the extent a Fund invests in REITs concentrated in specific geographic areas or property types, the Fund may be subject to a greater loss as a result of adverse developments affecting such area or property types. REITs are pooled investment vehicles with their own fees and expenses and a Fund will indirectly bear a proportionate share of those fees and expenses.
Sampling Risk. To the extent a Fund uses a representative sampling approach; it will hold a smaller number of securities than are in the Target Index. As a result, an adverse development respecting a security held by the Fund could result in a greater decline in NAV than would be the case if the Fund held all of the securities in the
26
OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2017
Target Index. Conversely, a positive development relating to a security in the Target Index that is not held by the Fund could cause the Fund to underperform the Target Index. To the extent the assets in the Fund are smaller, these risks will be greater.
Secondary Market Trading Risk. Investors buying or selling Fund 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 Fund shares. Although a Fund’s 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 Fund shares on the Exchange may be halted.
Sector Risk. To the extent a Target Index, and thereby a Fund, emphasizes, from time to time, investments in a particular sector, the Funds are subject to a greater degree to the risks particular to that sector. Market conditions, interest rates, and economic, regulatory, or financial developments could significantly affect all the securities in a single sector. If the Funds invest in a few sectors, it may have increased exposure to the price movements of those sectors.
Small Capitalization Securities Risk. The securities of small capitalization companies are often more volatile and less liquid than the stocks of larger companies and may be more affected than other types of securities during market downturns. Compared to larger companies, small capitalization companies may have a shorter history of operations, and may have limited product lines, markets or financial resources.
Tracking Error Risk. Tracking error is the divergence of a Fund’s performance from that of its Target Index. Tracking error may occur due to, among other things, fees and expenses paid by a Fund, including the cost of buying and selling securities, that are not reflected in its Target Index. If a Fund is small, it may experience greater tracking error. If a Fund is not fully invested, holding cash balances may prevent it from tracking its Target Index. In addition, a Fund’s NAV may deviate from its Target Index if such Fund fair values a portfolio security at a price other than the price used by its Target Index for that security. To the extent a Fund uses a representative sampling strategy to track its Target Index, such a strategy may produce greater tracking error than if the Fund employed a full replication strategy.
Volatility Risk. There is a risk that the present and future volatility of a security, relative to the market index, will not be the same as it historically has been and thus that a Fund’s Target Index will not be exposed to the less volatile securities in the index universe. Volatile stocks are subject to sharp swings in value.
12. Guarantees and Indemnifications
In the normal course of business, the Funds enter into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. Additionally, under the Funds’ organizational documents, the officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. The Funds’ maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Funds. The Adviser is of the view that the risk of loss to the Funds in connection with the Funds’ indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Funds.
13. Subsequent Events
Management has evaluated subsequent events and transactions for potential recognition or disclosure through the date the financial statements were issued and has determined that there are no material events that would require disclosure in the Funds’ financial statements.
27
OSI ETF Trust
Report of Independent Registered Public Accounting Firm
June 30, 2017
To the Board of Trustees of OSI ETF Trust
and the Shareholders of O’Shares FTSE Russell Small Cap Quality Dividend ETF
and O’Shares FTSE Russell International Quality Dividend ETF
We have audited the accompanying statements of assets and liabilities of O’Shares FTSE Russell Small Cap Quality Dividend ETF and O’Shares FTSE Russell International Quality Dividend ETF, each a series of shares of beneficial interest in OSI ETF Trust (the “Funds”), including the schedules of investments, as of June 30, 2017, and the related statements of operations and changes in net assets and the financial highlights for the periods then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2017 by correspondence with the custodian and brokers. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of O’Shares FTSE Russell Small Cap Quality Dividend ETF and O’Shares FTSE Russell International Quality Dividend ETF as of June 30, 2017, and the results of their operations, the changes in their net assets and their financial highlights for periods then ended, in conformity with accounting principles generally accepted in the United States of America.
BBD, LLP
Philadelphia, Pennsylvania
August 25, 2017
28
OSI ETF Trust
Expense Examples (Unaudited)
June 30, 2017
As a shareholder, you incur two types of costs: (1) transaction costs for purchasing and selling shares and (2) ongoing costs, including management fees, other operational and investment related expenses. The expense examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds.
Actual Expenses
The actual expense examples are based on an investment of $1,000 invested at the beginning of a six month period and held through the period ended June 30, 2017.
The first line in the following tables provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The hypothetical expense examples are based on an investment of $1,000 invested at the beginning of a six month period and held through the period ended June 30, 2017.
The second line in the following tables provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ 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 the Funds 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 transaction costs, such as brokerage charges. Therefore, the second line for each Fund in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
Beginning Account Value 01/01/17 | Ending Account Value 06/30/17 | Expenses Paid During the Period* | Annualized Expense Ratio During Period | ||||||||||||||
O’Shares FTSE Russell Small Cap Quality Dividend ETF | |||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,026.80 | $ | 2.41 | 0.48 | % | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.41 | $ | 2.41 | 0.48 | % | |||||||||
O’Shares FTSE Russell International Quality Dividend ETF(a) | |||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,065.30 | $ | 1.37 | 0.48 | % | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.41 | $ | 2.41 | 0.48 | % |
* | Expenses are equal to the average account value over the period multiplied by the Fund’s annualized expense ratio, multiplied by 181 days in the most recent fiscal half-year divided by 365 days in the fiscal year (to reflect the one half year period). |
(a) | The Fund commenced operations on March 22, 2017. Actual Expenses Paid During the Period are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 101 divided by 365 (to reflect the actual days in the period). Hypothetical Expenses Paid During the Period are equal to the Fund’s annualized net expense ratio, multiplied by the average account value over the period, multiplied by 181 divided by 365 (to reflect the one-half year period). |
29
OSI ETF Trust
Board Approval of Investment Advisory Agreement and Investment Sub-Advisory Agreements (Unaudited)
June 30, 2017
At the December 12, 2016 meeting (the “December Meeting”) of the Board of Trustees (the “Board”) of OSI ETF Trust (the “Trust”), the Board, including those Trustees (the “Independent Trustees”) who are not “interested persons” (as that term is defined in the Investment Company Act of 1940 (the “1940 Act”)) of the Trust, approved the investment advisory agreement (the “Investment Advisory Agreement”) between O’Shares Investment Advisers, LLC (“the Adviser”) and the Trust with respect to the O’Shares FTSE Russell International Quality Dividend ETF (the “Fund”), for a period of two years beginning December 12, 2016. Under the Investment Advisory Agreement, the Adviser is obligated to pay all of the ordinary operating expenses of the Fund, except for certain excluded items (the “Unified Fee”). In addition, the Board, including the Independent Trustees, approved the investment sub-advisory agreement (the “Sub-Advisory Agreement” and, together with the Investment Advisory Agreement, the “Advisory Agreements”) between the Adviser and Vident Investment Advisory, LLC (the “Sub-Adviser”) with respect to the Fund, for a period of two years beginning December 12, 2016. At the March 17, 2017 meeting of the Board (the “March Meeting” and, together with the December Meeting, the “Meetings”), the Board, including the Independent Trustees, approved a reduction in the Fund’s advisory fee from 0.58% to 0.48%.
In considering approval of the Advisory Agreements, the Independent Trustees met in executive session with independent counsel, who provided assistance and advice. The Board, including the Independent Trustees, evaluated the terms of the Advisory Agreements, reviewed the information provided by the Adviser and Sub-Adviser in connection with the consideration of approving the Advisory Agreements, and reviewed the duties and responsibilities of the Trustees in evaluating and approving the Advisory Agreements.
In considering the approval of the Advisory Agreements, the Board, including the Independent Trustees, reviewed the materials provided for the Meetings by the Adviser and Sub-Adviser, including: (i) a copy of the form of Investment Advisory Agreement; (ii) a copy of the form of Sub-Advisory Agreement; (iii) information describing the nature, extent and quality of the services that the Adviser and Sub-Adviser expect to provide to the Fund, and the fees that the Adviser and Sub-Adviser propose to charge for such services; (iv) information concerning the financial condition, businesses, operations and compliance programs of the Adviser and Sub-Adviser; (v) a copy of the current Form ADV for each of the Adviser and Sub-Adviser; and (vi) a memorandum on the responsibilities of trustees in considering investment advisory arrangements under the 1940 Act.
In addition, the Board considered data compiled by the Adviser from an unaffiliated third party database comparing the proposed advisory fee and projected expense ratio of the Fund with the advisory fees and net expense ratios (i.e., after fee waivers and reimbursements) of other U.S.-listed ETFs having similar investment objectives and strategies (the “Peer Group”). The Board discussed the criteria used by the Adviser for selecting the Peer Group. The Board, including the Independent Trustees, concluded that the data was useful and reliable for the purpose of reviewing the Advisory Agreements.
During their review of this information, the Board, including the Independent Trustees, focused on and analyzed the factors that they deemed relevant, including: (i) the nature, extent and quality of the services to be provided to the Fund by the Adviser and Sub-Adviser; (ii) the personnel and operations of the Adviser and Sub-Adviser; (iii) the proposed advisory fees and projected expense ratio of the Fund and the cost of the services to be provided; (iv) the expected profitability to the Adviser and Sub-Adviser under the Investment Advisory Agreement and Sub-Advisory Agreement, respectively; (v) any ancillary benefits to be realized by the Adviser and Sub-Adviser due to their relationship with the Fund and the Trust (i.e., “fall-out” benefits); and (vi) possible conflicts of interest.
In particular, the Board considered and reviewed the following with respect to the Fund:
(a) The nature, extent and quality of services to be provided to the Fund by the Adviser and Sub-Adviser; Personnel and operations of the Adviser and Sub-Adviser; Possible conflicts of interest. The Board reviewed the services that the Adviser and Sub-Adviser are expected to provide to the Fund. In connection with the advisory services to be provided to the Fund, the Board noted the Adviser’s responsibilities as the Fund’s investment
30
OSI ETF Trust
Board Approval of Investment Advisory Agreement and Investment Sub-Advisory Agreements (Unaudited)
June 30, 2017
adviser, including: overall supervisory responsibility for the general management and investment of the Fund’s securities portfolio; ultimate responsibility, subject to oversight by the Board, for oversight of the Sub-Adviser as sub-adviser to the Fund; responsibility for daily monitoring of tracking error and quarterly reporting to the Board; and implementation of Board directives as they relate to the Fund. The Board considered the selection and due diligence process employed by the Adviser in proposing the Sub-Adviser as the sub-advisor to the Fund, including the due diligence undertaken with respect to the Sub-Adviser’s compliance capabilities, and the plans and efforts to integrate the Sub-Adviser’s operations, policies, procedures and compliance functions with those of the Adviser.
The Board also noted the responsibilities that the Sub-Adviser has as the Fund’s sub-adviser, including: implementation of the investment management program of the Fund; management of the day-to-day investment and reinvestment of the assets of the Fund; determining daily baskets of deposit securities and cash components; executing portfolio security trades for purchases and redemptions of Fund shares conducted on a cash-in-lieu basis, as well as during index rebalances and reconstitutions; and oversight of general portfolio compliance with relevant law.
While the Adviser was newly formed, the Board noted the experience of the Adviser and its personnel in providing investment advisory services to the O’Shares FTSE Russell Small Cap Quality Dividend ETF (the “Small Cap ETF”), which commenced investment operations on December 30, 2016, and the experience of the Adviser’s personnel and affiliates in serving as the sponsor to other U.S.-listed ETFs and managing pooled investment vehicles outside of the U.S. In addition, the Board considered the financial strength and resources of the Adviser’s and Sub-Adviser’s parent organizations. The Board also noted the experience of the Sub-Adviser and its personnel in providing investment advisory and sub-advisory services to other U.S.-listed ETFs, including the Small Cap ETF.
The Board noted the Adviser’s and Sub-Adviser’s procedures to manage potential conflicts of interest. Based on their consideration and review of the foregoing information, the Board concluded that the Fund was likely to benefit from the nature, extent and quality of these services, as well as the Adviser’s and Sub-Adviser’s ability to render such services based on their experience, personnel, operations and resources.
(b) Comparison of services to be provided and fees to be charged by the Adviser and Sub-Adviser and other investment advisers to similar clients, and the cost of the services to be provided. The Board compared both the services to be rendered and the fee to be paid pursuant to the Investment Advisory Agreement for the Fund to the contractual advisory fees of other registered investment advisers providing services to similar ETFs in the Peer Group. In particular, the Board compared the Fund’s proposed advisory fee and projected expense ratio to the advisory fees and net expense ratios of the other ETFs in the Peer Group.
The Board considered that the sub-advisory fees to be paid by the Adviser to the Sub-Adviser pursuant to the Sub-Advisory Agreement were the product of arms-length negotiations between the Adviser and Sub-Adviser, and that the sub-advisory fees would be paid entirely by the Adviser from the Unified Fee. The Board also received and considered information about the fee rates charged to other ETFs sponsored by the Adviser’s parent organization and other accounts and clients (including other ETFs) that are managed by the Sub-Adviser, including information about the differences in services provided to non-fund clients.
The Board considered the appropriateness of the proposed advisory fee and the projected expense ratio of the Fund compared to the advisory fees and net expense ratios of the ETFs in the Peer Group. The Board noted that the proposed advisory fee of the Fund was above the median and average, but below the maximum, advisory fee of the other ETFs in the Peer Group. The Board also noted that the projected expense ratio of the Fund was above the median and average, but below the maximum, net expense ratio of the other ETFs in the Peer Group.
31
OSI ETF Trust
Board Approval of Investment Advisory Agreement and Investment Sub-Advisory Agreements (Unaudited)
June 30, 2017
The Board received information regarding the costs, including operational costs to be borne by the Adviser under the Unified Fee, and expected profitability of the Adviser and Sub-Adviser in connection with serving as adviser and sub-adviser, respectively, to the Fund. The Board noted the Adviser’s assumption of the contractual obligation to limit the Fund’s ordinary operating expenses through the Unified Fee, which cannot be changed without shareholder approval.
After (i) comparing the Fund’s proposed advisory fee and projected expense ratio with those of the other ETFs in the Peer Group, (ii) considering the information about fee rates charged to other ETFs sponsored by the Adviser’s parent organization and other accounts and clients (including other ETFs) managed by the Sub-Adviser, (iii) the nature, extent and quality of services to be provided by the Adviser and Sub-Adviser and the expected costs to be incurred by the Adviser and Sub-Adviser in rendering those services, and (iv) the Adviser absorbing the Fund’s ordinary operating expenses under the Unified Fee, the Board concluded that the fees to be paid to the Adviser and Sub-Adviser with respect to the Fund were fair and reasonable.
(c) The Adviser’s and Sub-Adviser’s expected profitability and the extent to which economies of scale would be realized as the Fund grows and whether fee levels would reflect such economies of scale; “Fall-out” benefits. The Board discussed with the representatives from the Adviser and Sub-Adviser the advisers’ expected profitability with respect to the Fund. The Board acknowledged the Adviser’s contractual obligation to limit the Fund’s expenses through the Unified Fee, and the effect of such obligation on the Adviser’s expected profitability based on information presented to the Board. The Board also noted that the Adviser had borne all of the organizational expenses of the Trust, which were considerable. The Board also considered the expected profitability of the Sub-Adviser in relation to the fee paid under the Sub-Advisory Agreement.
The Board noted that, because the Fund had not yet commenced operations, it was not yet possible to assess the potential for economies of scale, though the Board would address economies of scale for the Fund when assets under management reached appropriate levels. The Board considered fall-out benefits to be received by the Adviser and Sub-Adviser from their relationship with the Fund and the Trust. The Board noted that none of the other services providers to the Fund or the Trust were affiliates of the Adviser or Sub-Adviser. The Board also noted the Adviser’s and Sub-Adviser’s potential positive reputational benefits from the success of the Fund.
(d) Investment performance of the Adviser and Sub-Adviser. The Board noted that, because the Fund had not commenced operations, it was not possible to assess the Adviser’s and Sub-Adviser’s investment performance with respect to the Fund. The Board discussed with the representatives from the Adviser and Sub- Adviser the performance of the Small Cap ETF since its launch and the other ETFs advised and sub-advised by the Sub-Adviser, including tracking difference (i.e., the difference of the returns between an ETF and the underlying index it seeks to track).
Conclusion. No single factor was determinative to the decision of the Board. Based on the foregoing and such other matters as were deemed relevant, the Board, including the Independent Trustees, concluded that the proposed advisory fees and projected expense ratio were reasonable in relation to the services to be provided by the Adviser and Sub-Adviser to the Fund, as well as the costs to be incurred and benefits to be gained by the Adviser and Sub-Adviser in providing such services. The Board also found the advisory fees to be reasonable in comparison to the fees charged by advisers to other comparable ETFs of similar size. As a result, the Board, including the Independent Trustees, determined that the approval of the Advisory Agreements on behalf of the Fund would be in the best interest of the Fund and its shareholders.
32
OSI ETF Trust
Additional Information (Unaudited)
Proxy Voting Information
A description of OSI ETF Trust’s proxy voting policies and procedures is attached to the Funds’ Statement of Additional Information, which is available without charge by visiting the Trust’s website at www.oshares.com or the Securities and Exchange Commission’s (“SEC”) SEC’s website at www.sec.gov or by calling collect 1-617-855-7670.
In addition, a description of how each Fund voted proxies relating to its portfolio securities during the most recent 12-month period ended June 30 will be available without charge upon request by calling collect 1-617-855-7670 or on the SEC’s website at www.sec.gov.
Quarterly Portfolio Holdings Information
OSI ETF Trust will file its complete schedule of portfolio holdings with the SEC for the first and third quarters on Form N-Q. The Form N-Q will be available on the SEC’s website at www.sec.gov. It may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information about the Public Reference Room may be obtained by calling 1-800-SEC-0330. In addition, the Funds’ full portfolio holdings are updated daily and available on the O’Shares Investment Funds’ website at www.oshares.com.
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.
Federal Tax Information
Under the Jobs and Growth Tax Relief Reconciliation Act of 2003 (the “Act”), the percentages of ordinary dividends paid during the tax period ended June 30, 2017 are designated as “qualified dividend income” (QDI), as defined in the Act, subject to reduced tax rates in 2017. The Funds also qualify for the dividends received deduction (DRD) for corporate shareholders. Complete information will be reported in conjunction with your 2017 Form 1099-DIV.
As of June 30, 2017, the Funds federal tax information were as follows:
Funds | QDI | DRD | ||||||
O’Shares FTSE Russell Small Cap Quality Dividend ETF | 100 | % | 100 | % | ||||
O’Shares FTSE Russell International Quality Dividend ETF | 100 | % | 100 | % |
For the tax period ended June 30, 2017, foreign taxes which are expected to be passed through to shareholders for foreign tax credits and gross income derived from sources within foreign countries were as follows:
Funds | Foreign Taxes Paid | Foreign Source Income | ||||||
O’Shares FTSE Russell International Quality Dividend ETF | $ | 17,965 | $ | 138,220 |
33
OSI ETF Trust
Trustees and Officers of the Trust (Unaudited)
Trustees
Name, Address*, Year of Birth | Position(s) Held with Trust | Term of Office** and Length of time Served | Principal Occupation(s) During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee | |||||
Independent Trustees | ||||||||||
Richard M. Goldman Year of Birth: 1961 | Trustee | Since 2016 | Managing Member, Becket Capital, LLC (advisory services firm) (2012 to present); Chief Operating Officer, Guggenheim Investments (2011 to 2012); Chief Executive Officer, Rydex Investments (2007 to 2012). | 5 | None | |||||
Charles A. Baker Year of Birth: 1953 | Trustee | Since 2016 | Chief Executive Officer of Investment Innovations LLC (investment consulting) since 2013; Managing Director of NYSE Euronext from 2003 to 2012. | 5 | None | |||||
Jeffrey D. Haroldson Year of Birth: 1956 | Trustee | Since 2016 | Chief Operating Officer and Chief Legal Officer, Bridgeton Holdings LLC (real estate investment and development) (2013 to present); Senior Managing Director, Lexden Capital, LLC (real estate and green energy financing) (2014 to present); President, Ridgewood Capital Advisors LLC (consulting and business advisory services) (2012 to present). | 5 | None | |||||
Interested Trustee*** | ||||||||||
Connor O’Brien Year of Birth: 1961 | Trustee | Since 2016 | Chief Executive Officer, O’Shares Investment Advisers, LLC (since March 2016); Chief Executive Officer and President, O’Shares Investments, Inc. (since 2015); President, BeanStox Inc. (since 2017); President and Chief Investment Officer, Stanton Asset Management Inc. (since 2002); President, Chief Executive Officer and Director, O’Leary Funds Management LP (since 2008). | 5 | None |
* | Each Independent Trustee may be contacted by writing to the Independent Trustees of OSI ETF Trust, 60 State Street, Suite 700, Boston, MA 02109. |
** | Each Trustee serves until his or her successor is duly elected or appointed and qualified. |
*** | Mr. O’Brien is considered to be an interested person of the Trust because of his relationship with the Adviser. |
The Funds' Statement of Additional Information includes additional information about the Trustees and is available free of charge, upon request, by calling (617) 855-7670 (collect).
34
OSI ETF Trust
Trustees and Officers of the Trust (Unaudited)
Officers
Name, Address, Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Kevin Beadles 60 State Street, Suite 700 Boston, MA 02109 Year of Birth: 1966 | President and Secretary | Since 2016 | Director, Strategic Development, O’Shares Investment Advisers LLC (since April 2017); Director of Capital Markets and Strategic Development, O’Shares Investments, Inc. (April 2015 to March 2017); Chief Strategy Officer, Managing Director of Capital Markets and Portfolio Risk Management and Head of Global Product Development, Wedbush Securities, Inc. and Lime Brokerage, LLC (a wholly owned subsidiary of Wedbush Securities, Inc.) (July 2004 to December 2013). | |||
Joshua G. Hunter 10 High Street, Suite 302 Boston, MA 02110 Year of Birth: 1981 | Principal Financial Officer and Treasurer | Since 2016 | Principal Financial Officer, Foreside Fund Officer Services, LLC (July 2015 to present); Vice President/Assistant Vice President, Treasury Services, JPMorgan Chase & Co. (July 2008 to July 2015).** | |||
Kenneth A. Kalina c/o Foreside 3 Canal Plaza, Suite 100 Portland, ME 04101 Year of Birth: 1961 | Chief Compliance Officer | Since 2017 | Fund Chief Compliance Officer, Foreside Fund Officer Services, LLC (June 2017 to present); Chief Compliance Officer, Henderson Global Funds (December 2005 to June 2017); Chief Compliance Officer, Henderson Global Investors (North America) Inc. (December 2005 to December 2015).** |
* | Each officer serves until his or her successor is duly elected or appointed and qualified. |
** | Mr. Hunter and Mr. Kalina serve as officers to other unaffiliated mutual funds or closed-end funds for which the Distributor (or its affiliates) acts as distributor (or provider of other services). |
35
OSI ETF Trust
60 State Street, Suite 700
Boston, MA 02109
www.oshares.com
Distributor:
Foreside Fund Services, LLC
3 Canal Plaza, Suite 100
Portland, ME 04101
Item 2. Code Of Ethics.
As of the end of the period, June 30, 2017, the Registrant has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions.
Item 3. Audit Committee Financial Expert.
The Board of Trustees has determined that Charles A. Baker is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Charles A. Baker is independent for purposes of Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
Aggregate fees for professional services rendered for OSI ETF Trust by BBD, LLP (“BBD”) for the fiscal period ended June 30, 2017 was:
2017 | |
Audit Fees (a) | $28,500 |
Audit Related Fees (b) | 0 |
Tax Fees (c) | $6,000 |
All Other Fees (d) | 0 |
Total: | $34,500 |
(a) | Audit Fees: These fees relate to professional services rendered by BBD for the audits of the Registrant’s annual financial statements or services normally provided by the independent registered public accounting firm in connection with statutory and regulatory filing or engagements. These services include the audits of the financial statements of the Registrant and issuance of consents. |
(b) | Audit Related Fees: These fees relate to assurance and related services by BBD related to audit services in connection with the June 30, 2017 annual financial statement. |
(c) | Tax Fees: These fees relate to professional services rendered by BBD for tax compliance, tax advice and tax planning. |
(d) | All Other Fees: These fees relate to products and services provided by BBD other than those reported under “Audit Fees,” “Audit-Related Fees,” and “Tax Fees” above. |
(e)(1) | Per Rule 2-01(c)(7)(A) and the charter of the Registrant’s Audit Committee, the Audit Committee approves and recommends the principal accountant for the Registrant, pre-approves (i) the principal accountant’s provision of all audit and permissible non-audit services to the Registrant (including the fees and other compensation to be paid to the principal accountant), and (ii) the principal accountant’s provision of any permissible non-audit services to the Registrant’s investment adviser (the “Adviser”), sub-adviser or any entity controlling, controlled by, or under common control with any investment adviser or sub-adviser, if the engagement relates directly to the operations of the financial reporting of the Trust. |
(e)(2) | 0% of services described in each of Items 4(b) through (d) were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. |
(f) | If greater than 50%, disclose the percentage of hours expended on the principal accountant’s engagement to audit the Registrant’s financial statements for the most recent fiscal year that were attributable to work performed by persons other than the principal accountant’s full-time, permanent employees: Not Applicable. |
(g) | Disclose the aggregate non-audit fees billed by the Registrant’s accountant for services rendered to the Registrant, and rendered to the Registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant for the fiscal period ended June 30, 2017: $6,000. |
(h) | The Registrant's Audit Committee has considered that the provision of non-audit services that were rendered to the Registrant's investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence. |
Item 5. Audit Committee of Listed Registrants.
(a) | The Registrant is an issuer as defined in Section 10A-3 of the Securities Exchange Act of 1934 and has a separately-designated standing Audit Committee in accordance with Section 3(a)(58)(A) of such Act. All of the Board’s independent Trustees, Charles A. Baker, Richard M. Goldman and Jeffrey D. Haroldson, are members of the Audit Committee. |
(b) | Not Applicable. |
Item 6. Investments
(a) | Schedule I – Investments in Securities of Unaffiliated Issuers. |
Not applicable. The complete schedule of investments is included in Item 1 of this Form N-CSR.
(b) | Securities Divested of in accordance with Section 13(c) of the Investment Company Act of 1940. |
Not Applicable.
Item 7. Disclosure Of Proxy Voting Policies And Procedures For Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 9. Purchase Of Equity Securities By Closed-End Management Investment Company And Affiliated Purchasers.
Not applicable to the Registrant.
Item 10. Submission Of Matters To A Vote Of Security Holders.
The Registrant did not have in place procedures by which shareholders may recommend nominees to the Registrant’s board of trustees.
Item 11. Controls And Procedures.
(a) | The Registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the Registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
(b) | There were no changes in the Registrant’s internal control over financial reporting that occurred during the Registrant’s second fiscal half year 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. Exhibits.
(a)(1) | The code of ethics that is the subject of the disclosure required by Item 2 is attached hereto. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act – Not Applicable. |
(b) | Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
OSI ETF Trust
By: | /s/ Kevin Beadles | |
Kevin Beadles | ||
President | ||
September 6, 2017 |
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: | /s/ Kevin Beadles | |
Kevin Beadles | ||
President | ||
September 6, 2017 | ||
By: | /s/Joshua Hunter | |
Joshua Hunter | ||
Principal Financial Officer and Treasurer | ||
September 6, 2017 |