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, 2019
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, 2019
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semiannual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website (www.oshares.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (such as your brokerage firm).
Alternatively, you may elect to receive paper copies of all future reports free of charge by contacting your financial intermediary. Your election to receive reports in paper will apply to all funds held in your account(s) that you invest in through your financial intermediary.
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 atwww.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. 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. 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, Inc. 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 U.S. Quality Dividend ETF, O’Shares FTSE Russell Small Cap Quality Dividend ETF and O’Shares FTSE Europe 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 Qual/Vol/Yield Factor 5% Capped Index, FTSE USA Small Cap ex Real Estate 2Qual/Vol/Yield 3% Capped Factor Index and FTSE Developed Europe Qual/Vol/Yield 5% Capped Factor Index (the “Indexes”) (upon which the Funds are based), (ii) the figure at which the Index is said to stand at any particular time on any particular day or otherwise, or (iii) the suitability of the Index for the purpose to which it is 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 the adviser’s 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 Index 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.
The O’Shares Global Internet Giants Index (the “OGIG Index”) is the exclusive property of O’Shares Investment Advisers, LLC, which has contracted with S-Network Global Indexes Inc. (“S-Network”) to maintain and calculate the OGIG Index. S-Network shall have no liability for any errors or omissions in calculating the OGIG Index.
The O’Shares Global Internet Giants ETF is not sponsored, endorsed, sold or promoted by S-Network, its affiliates or their third party licensors and neither S-Network, its affiliates nor their third party licensors make any representation regarding the advisability of investing in the O’Shares Global Internet Giants ETF.
S-Network Global Indexes Inc. (“S-Network” or “SNGISM”) is the property of S-Network and has been licensed by S-Network for use by O’Shares Investment Advisers, LLC in connection with the OGIG Index.
Dear Shareholder,
This Annual Report for the O’Shares Investments ETFs (the “Funds”) covers the period from July 1, 2018 through June 30, 2019 (the “Period”).
Global Equity Market Overview
Global equity markets were generally positive during the Period, returning over 10% for the S&P 500 Index1 and almost 2% for the MSCI ACWI ex USA Index.2
Performance across global equity markets during the Period was driven by several factors, including trade tensions between the U.S. and China and continued quantitative easing in Europe and Japan.
In the U.S., GDP growth was over 2%. The unemployment rate remained under 4% and core inflation decreased moderately.
In Europe, growth slowed moderately, with GDP in the European Union (“E.U.”) over 1%, employment gains were modest, inflation remained low by historical standards and the European Central Bank kept rates unchanged.
Growth in the Asia-Pacific region was stronger, at over 4%, although growth in Japan slowed to below 1% and core inflation remained low. Trade tensions added to China’s slowing growth concerns and weighed on markets.
Monetary policy in the U.S. tightened as the U.S. Federal Reserve increased rates on two occasions, although rates remain low by historical standards. The yield on U.S. 10 Year government bonds decreased, reflecting concerns that economic growth may slow and the increased possibility of a rate cut by the U.S. Federal Reserve.
Monetary policy in Europe remained accommodative, however the European Central Bank ended their quantitative easing program in December 2018. European government bond yields were volatile and ended the Period lower. Similarly, in the Asia-Pacific region, the Bank of Japan maintained its accommodative monetary policy, government bond yields ended the Period lower, and economic growth slowed.
Corporate profits in the U.S. remained generally strong, particularly in the Communication Services, Health Care and Real Estate sectors.
Equity markets in the U.S. generated strong returns, reflecting stable economic conditions and optimism for a resolution to U.S. and China trade tensions. Volatility in U.S. equity markets was elevated during the fourth quarter of 2018 and parts of 2019, due to several factors, including global trade tensions, shifts in monetary policy, and a slowdown in China’s growth. The strongest performing sector was Utilities, as interest rate sensitive stocks benefited from declining Treasury yields, followed by Information Technology, as technology stocks recovered strongly during the first 2 quarters of 2019, after underperforming the S&P 500 during the last quarter of 2018. The Energy sector was the worst performing sector during the Period, as oil prices declined. Equity market performance in Europe was also positive, as the European Central Bank concluded quantitative easing. In the Asia-Pacific region, slightly negative equity market performance was driven by slowing global economic growth.
The views expressed in this letter were those as of June 30, 2019 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.
i
O’Shares FTSE U.S. Quality Dividend ETF (OUSA) (Unaudited)
The Fund seeks to track the performance (before fees and expenses) of the FTSE US Qual/Vol/Yield Factor 5% Capped Index (the “U.S. Target Index”). The U.S. Target Index is designed to reflect the performance of publicly-listed large capitalization and mid-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”). The quality and low volatility factors are designed to reduce exposure to high dividend equities that have experienced large price declines.
On June 28, 2018 an identically named predecessor to the Fund that was a series of FQF Trust (the “OUSA Prior Fund”) was reorganized into the Fund via a tax-free reorganization. The OUSA Prior Fund had the same name, ticker symbol and underlying index as the Fund. The investment objectives of the OUSA Prior Fund and the Fund are identical and the investment strategies of the OUSA Prior Fund and the Fund are substantially the same. The returns presented for the Fund prior to June 28, 2018 reflect the performance of the OUSA Prior Fund. The Fund has adopted the historical performance of the OUSA Prior Fund.
From July 1, 2018 through June 30, 2019 (the “Reporting Period”), the Fund’s market return was 14.16% and its NAV return was 14.31%. The U.S. Target Index returned 14.94% during the same Reporting Period. The Fund’s market price at June 30, 2019 was $34.11.3
The Fund posted positive performance in nine of the twelve months during the Reporting Period, with returns ranging from -8.01% to 5.83%. The best performing months for the Fund were June 2019 and January 2019, finishing up 5.83% and 5.58%, respectively. The worst performing months for the Fund were December 2018 and May 2019, finishing down -8.01% and -4.91%, respectively.
Nine of the ten sectors in the Fund delivered positive returns during the Reporting Period. Utilities and Consumer Services were among the strongest performing U.S. large cap sectors. Utilities, an interest rate sensitive sector, benefited from declining interest rates during the Reporting Period. In addition, the Energy sector, typically considered to be non-cyclical, generated the weakest returns during the Reporting Period as energy prices declined during the second half of 2018 and only partially recovered during the first half of 2019. Consumer Goods and Basic Materials generally underperformed the market during the Reporting Period.
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 volatility4 of 12.2% for the Reporting Period.
Fund Sector | As of June 30, 2019 Based on Net Assets | |||||||
Fund Sector Weights | Constituent Companies | |||||||
Basic Materials | 1.19 | % | 5 | |||||
Consumer Goods | 15.40 | % | 25 | |||||
Consumer Services | 13.32 | % | 17 | |||||
Energy | 8.78 | % | 5 | |||||
Financials | 8.83 | % | 14 | |||||
Health Care | 14.36 | % | 9 | |||||
Industrials | 13.72 | % | 27 | |||||
Technology | 12.79 | % | 8 | |||||
Telecommunications | 4.23 | % | 2 | |||||
Utilities | 7.08 | % | 25 | |||||
Other* | 0.30 | % | ||||||
Totals | 100.00 | % | 137 |
* | Includes cash, any non-equity securities and net other assets (liabilities) |
Portfolio Characteristics | As of June 30, 2019 | |||
Book Yield (B/P)5 | 23.37 | % | ||
Earnings Yield (E/P)6 | 5.48 | % | ||
Return on Equity (ROE)7 | 23.56 | % | ||
Debt to Equity (D/E)8 | 69.08 | % | ||
Dividend Yield (D/P)9 | 3.04 | % | ||
Forward Earnings Yield (E/P)10 | 5.87 | % | ||
30-day SEC Yield (subsidized)11 | 2.57 | % | ||
30-day SEC Yield (unsubsidized)11 | 2.57 | % | ||
Beta (104 week)12 | 0.89 | |||
Average Market Cap (millions) | $ | 159,177 | ||
Median Market Cap (millions) | $ | 31,749 |
ii
Growth of a $10,000 Investment Since Inception at Net Asset Value*
O’Shares FTSE U.S. Quality Dividend ETF — (OUSA)
* | The line graph represents historical performance of a hypothetical investment of $10,000 from July 14, 2015 (OUSA Prior Fund Date of Inception) to June 30, 2019 assuming the reinvestment of distributions. |
Average Annual Total Return Since Inception through June 30, 2019
1 Year | 3 Year | Since Inception | ||||||||||
OUSA NAV Return | 14.31 | % | 9.95 | % | 10.89 | % | ||||||
OUSA Market Price Return | 14.16 | % | 9.97 | % | 10.88 | % | ||||||
U.S. Target Index | 14.94 | % | 10.53 | % | 11.48 | % |
Performance measured by NAV differs from the U.S. Target Index primarily due to fund fees and expenses and taxes.
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. 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 Fund’s 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, taxes, or other expenses that would be incurred by the Fund or brokerage commissions on transactions in Fund shares. Such fees and expenses and taxes, reduce Fund returns. One cannot invest directly in an index.
On June 28, 2018, the OUSA Prior Fund was reorganized into the Fund. The returns presented for the Fund prior to June 28, 2018 reflect the performance of the OUSA Prior Fund.
iii
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 ex Real Estate 2Qual/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”). 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. Effective May 4, 2018, the U.S. Small Cap Target Index was changed to the FTSE USA Small Cap ex Real Estate 2Qual/Vol/Yield 3% Capped Factor Index from the FTSE USA Small Cap Qual/Vol/Yield 3% Capped Factor Index. The Small Cap Target Index performance information reflects the blended performance of FTSE USA Small Cap Qual/Vol/Yield 3% Capped Factor Index through May 3, 2018 and the FTSE USA Small Cap ex Real Estate 2Qual/Vol/Yield 3% Capped Factor Index thereafter.
From July 1, 2018 through June 30, 2019 (the “Reporting Period”), the Fund’s market return was 3.53% and its NAV return was 3.65%. The U.S. Small Cap Target Index returned 4.14% during the same Reporting Period. The Fund’s market price at June 30, 2019 was $27.45.3
The Fund posted positive performance in seven of the twelve months during the Reporting Period, with returns ranging from -10.57% to 8.69%. The best performing months for the Fund were January 2019 and June 2019, finishing up 8.69% and 7.73%, respectively. The worst performing months for the Fund were December 2018 and October 2018, finishing down -10.57% and -9.02% respectively.
Six of the ten sectors in the Fund delivered positive returns during the Reporting Period. Utilities and Information Technology were among the strongest performing U.S. small cap sectors. Technology stocks recovered during the first half of 2019 after declining during the last 6 months of 2018. Interest rate sensitive sectors, including Utilities, benefited from declining treasury yields during the Reporting Period. However, the Energy sector, typically considered to be non-cyclical, generated poor returns during the Reporting Period as energy prices declined during the second half of 2018 and only partially recovered during the first half of 2019.
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 volatility4 of 15.0% for the Reporting Period.
Fund Sector | As of June 30, 2019 Based on Net Assets | |||||||
Fund Sector Weights | Constituent Companies | |||||||
Consumer Discretionary | 14.06 | % | 42 | |||||
Consumer Staples | 3.18 | % | 15 | |||||
Energy | 1.42 | % | 5 | |||||
Financials | 18.38 | % | 27 | |||||
Health Care | 2.04 | % | 3 | |||||
Industrials | 20.48 | % | 44 | |||||
Information Technology | 21.97 | % | 25 | |||||
Materials | 8.53 | % | 24 | |||||
Communication Services | 2.16 | % | 8 | |||||
Utilities | 7.69 | % | 24 | |||||
Other* | 0.09 | % | ||||||
Totals | 100.00 | % | 217 |
* | Includes cash and any non-equity securities and net other assets (liabilities) |
Portfolio Characteristics | As of June 30, 2019 | |||
Book Yield (B/P)5 | 32.16 | % | ||
Earnings Yield (E/P)6 | 5.63 | % | ||
Return on Equity (ROE)7 | 17.61 | % | ||
Debt to Equity (D/E)8 | 71.36 | % | ||
Dividend Yield (D/P)9 | 2.71 | % | ||
Forward Earnings Yield (E/P)10 | 6.07 | % | ||
30-day SEC Yield (subsidized)11 | 2.30 | % | ||
30-day SEC Yield (unsubsidized)11 | 2.30 | % | ||
Beta (104 week)12 | 0.96 | |||
Average Market Cap (millions) | $ | 5,038 | ||
Median Market Cap (millions) | $ | 2,700 |
iv
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, 2019 assuming the reinvestment of distributions. |
** | The U.S. Small Cap Target Index performance information reflects the blended performance of the FTSE USA Small Cap Qual/Vol/Yield 3% Capped Factor Index through May 3, 2018 and the FTSE USA Small Cap ex Real Estate 2Qual/Vol/Yield 3% Capped Factor Index thereafter. |
Average Annual Total Return Since Inception through June 30, 2019
1 Year | Since Inception | |||||||
OUSM NAV Return | 3.65 | % | 6.20 | % | ||||
OUSM Market Price Return | 3.53 | % | 6.20 | % | ||||
U.S. Small Cap Target Index** | 4.14 | % | 6.74 | % |
Performance measured by NAV differs from the U.S. Small Cap Target Index primarily due to fund fees and expenses and taxes.
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. 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 Fund’s 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, taxes, or other expenses that would be incurred by the Fund or brokerage commissions on transactions in Fund shares. Such fees and expenses and taxes, reduce Fund returns. One cannot invest directly in an index.
v
O’Shares Global Internet Giants ETF (OGIG) (Unaudited)
The Fund seeks to track the performance (before fees and expenses) of the O’Shares Global Internet Giants Index (the “Global Internet Giants Target Index”). The Global Internet Giants Target Index is a rules-based index intended to give investors a means of tracking stocks exhibiting quality and growth characteristics in the “internet sector”, as defined by O’Shares Investment Advisers, LLC (the “Index Provider”).
From July 1, 2018 through June 30, 2019 (the “Reporting Period”), the Fund’s market return was 3.69% and its NAV return was 4.07%. The Global Internet Giants Target Index returned 4.65% during the same Reporting Period. The Fund’s market price at June 30, 2019 was $25.01.3
The Fund posted positive performance in seven of the twelve months during the Reporting Period, with returns ranging from -13.60% to 15.34%. The best performing months for the Fund were January 2019 and February 2019, finishing up 15.34% and 7.42%, respectively. The worst performing months for the Fund were October 2018 and December 2018, finishing down -13.60% and -8.23%, respectively.
On a U.S. dollar-denominated basis, Information Technology related sectors in the U.S. generally delivered positive returns during the Reporting Period. Information Technology related sectors in the U.S. outperformed the S&P 500 Index as the U.S. economy continued to show signs of improvement. Conversely, Information Technology related sectors in China lagged as result of growing global trade tensions and concerns over slowing growth.
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 volatility4 of 27.8% for the Reporting Period.
Fund Sector | As of June 30, 2019 Based on Net Assets | |||||||
Fund Sector Weights | Constituent Companies | |||||||
Consumer Discretionary | 27.97 | % | 19 | |||||
Communication Services | 34.88 | % | 20 | |||||
Information Technology | 37.08 | % | 33 | |||||
Other* | 0.07 | % | ||||||
Totals | 100.00 | % | 72 |
* | Includes cash and any non-equity securities and net other assets (liabilities) |
Portfolio Characteristics | As of June 30, 2019 | |||
Book Yield (B/P)5 | 33.80 | % | ||
Earnings Yield (E/P)6 | 0.68 | % | ||
Return on Equity (ROE)7 | 2.02 | % | ||
Debt to Equity (D/E)8 | 38.37 | % | ||
Dividend Yield (D/P)9 | 0.10 | % | ||
Forward Earnings Yield (E/P)10 | 4.53 | % | ||
30-day SEC Yield (subsidized)11 | -0.23 | % | ||
30-day SEC Yield (unsubsidized)11 | -0.23 | % | ||
Beta (104 week)12 | N/A | |||
Average Market Cap (millions) | $ | 247,847 | ||
Median Market Cap (millions) | $ | 14,097 |
vi
Growth of a $10,000 Investment Since Inception at Net Asset Value*
O’Shares Global Internet Giants ETF (OGIG)
* | The line graph represents historical performance of a hypothetical investment of $10,000 from June 5, 2018 (Date of Inception) to June 30, 2019 assuming the reinvestment of distributions. |
Average Annual Total Return Since Inception through June 30, 2019
1 Year | Since Inception | |||||||
OGIG NAV Return | 4.07 | % | 0.15 | % | ||||
OGIG Market Price Return | 3.69 | % | 0.04 | % | ||||
Global Internet Giants Target Index | 4.65 | % | 0.70 | % | ||||
NASDAQ-100 Index13 | 10.16 | % | 8.07 | % |
Performance measured by NAV differs from the O’Shares Global Internet Giants Index primarily due to fund fees and expenses and taxes.
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 Fund’s 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, taxes, or other expenses that would be incurred by the Fund or brokerage commissions on transactions in Fund shares. Such fees and expenses and taxes, reduce Fund returns. One cannot invest directly in an index.
vii
O’Shares FTSE Europe Quality Dividend ETF (OEUR) (Unaudited)
The Fund seeks to track the performance (before fees and expenses) of the FTSE Developed Europe Qual/Vol/Yield 5% Capped Factor Index (the “Europe Target Index”). The Europe Target Index is designed to reflect the performance of publicly-listed large capitalization and mid-capitalization dividend-paying issuers in Europe 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.
On June 28, 2018 an identically named predecessor to the Fund that was a series of FQF Trust (the “OEUR Prior Fund”) was reorganized into the Fund via a tax-free reorganization. The OEUR Prior Fund had the same name, ticker symbol and underlying index as the Fund. The investment objectives of the OEUR Prior Fund and the Fund are identical and the investment strategies of the OEUR Prior Fund and the Fund are substantially the same. The returns presented for the Fund prior to June 28, 2018 reflect the performance of the OEUR Prior Fund. The Fund has adopted the historical performance of the OEUR Prior Fund.
From July 1, 2018 through June 30, 2019 (the “Reporting Period”), the Fund’s market return was 5.25% and its NAV return was 5.16%. The Europe Target Index returned 5.72% during the same Reporting Period. The Fund’s market price at June 30, 2019 was $24.22.3
The Fund posted positive performance in seven of the twelve months during the Reporting Period, with returns ranging from -5.77% to 6.07%. The best performing months for the Fund were June 2019 and January 2019, finishing up 6.07% and 5.87%, respectively. The worst performing months for the Fund were October 2018 and December 2018, finishing -5.77% and -4.53%, respectively.
On a U.S. dollar-denominated basis, eight of the ten sectors in the Fund delivered positive returns during the Reporting Period. Utilities and Health Care were among the stronger performing sectors in Europe. Utilities, an interest rate sensitive sector, benefited from declining interest rates during the Reporting Period. In addition, the Energy sector, typically considered to be non-cyclical, was among the weakest performers during the Reporting Period, as energy prices declined during the second half of 2018 and only partially recovered during the first half of 2019. Telecommunications and Consumer Services generally underperformed the market during the Reporting Period.
Frequency of Distributions of Premium and Discounts — Information concerning the number of days that the Fund trades at a premium or discount can be found on the Fund’s website,www.oshares.com.
The Fund had an annualized daily volatility4 of 11.8% for the Period.
Fund Sector | As of June 30, 2019 Based on Net Assets | |||||||
Fund Sector Weights | Constituent Companies | |||||||
Basic Materials | 6.85 | % | 12 | |||||
Energy | 13.62 | % | 10 | |||||
Consumer Goods | 13.63 | % | 19 | |||||
Consumer Services | 6.89 | % | 26 | |||||
Financials | 11.84 | % | 30 | |||||
Health Care | 20.43 | % | 11 | |||||
Industrials | 11.66 | % | 43 | |||||
Telecommunications | 6.36 | % | 14 | |||||
Utilities | 7.18 | % | 22 | |||||
Other* | 1.54 | % | ||||||
Totals | 100.00 | % | 187 |
* | Includes cash and any non-equity securities and net other assets (liabilities) and delisted securities. |
Portfolio Characteristics | As of June 30, 2019 | |||
Book Yield (B/P)5 | 49.17 | % | ||
Earnings Yield (E/P)6 | 5.80 | % | ||
Return on Equity (ROE)7 | 11.77 | % | ||
Debt to Equity (D/E)8 | 61.61 | % | ||
Dividend Yield (D/P)9 | 4.15 | % | ||
Forward Earnings Yield (E/P)10 | 7.12 | % | ||
30-day SEC Yield (subsidized)11 | 3.89 | % | ||
30-day SEC Yield (unsubsidized)11 | 3.89 | % | ||
Beta (104 week)12 | 0.932 | |||
Average Market Cap (millions) | $ | 71,723 | ||
Median Market Cap (millions) | $ | 9,286 | ||
viii
Growth of a $10,000 Investment Since Inception at Net Asset Value*
O’Shares FTSE Europe Quality Dividend ETF — (OEUR)
* | The line graph represents historical performance of a hypothetical investment of $10,000 from August 19, 2015 (OEUR Prior Fund Date of Inception) to June 30, 2019 assuming the reinvestment of distributions. |
Average Annual Total Return Since Inception through June 30, 2019
1 Year | 3 Year | Since Inception | ||||||||||
OEUR NAV Return | 5.16 | % | 4.90 | % | 2.39 | % | ||||||
OEUR Market Price Return | 5.25 | % | 4.51 | % | 2.33 | % | ||||||
Europe Target Index | 5.72 | % | 5.46 | % | 2.84 | % |
Performance measured by NAV differs from the Europe Target Index primarily due to fund fees and expenses and taxes.
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 Fund’s 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, taxes, or other expenses that would be incurred by the Fund or brokerage commissions on transactions in Fund shares. Such fees and expenses and taxes, reduce Fund returns. One cannot invest directly in an index.
On June 28, 2018, the OEUR Prior Fund was reorganized into the Fund. The returns presented for the Fund prior to June 28, 2018 reflect the performance of the OEUR Prior Fund.
ix
Footnotes to Shareholder Letter and Management Discussion of Fund Performance:
1. | S&P 500 Index — The Standard & Poor’s 500 Stock Index consists of 500 large-cap common stocks actively traded on the NYSE and NASDAQ. |
2. | MSCI ACWI ex USA Index — 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. |
3. | 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. |
4. | Volatility is a statistical measure of the dispersion of returns for a given security or market index. |
5. | Book Yield (Price/Book Ratio) is equivalent to a firm’s stock price divided by total assets minus intangible assets and liabilities. |
6. | 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. |
7. | 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. |
8. | 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. |
9. | Dividend Yield is a dividend expressed as a percentage of the current share price. |
10. | Forward Earnings Yield is the quotient of earnings per share divided by the share price. It is the reciprocal of the P/E ratio. |
11. | 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. |
12. | Beta is a measure of the volatility, or systematic risk, of a security or a portfolio in comparison to the market as a whole. |
13. | NASDAQ-100 Index — The NASDAQ-100 Index is a modified capitalization-weighted index of the 100 largest and most active non-financial domestic and international issues listed on the NASDAQ. |
x
OSI ETF Trust
O'Shares FTSE U.S. Quality Dividend ETF
Schedule of Investments
June 30, 2019
Investments | Number of Shares | Value | |||||||
Common Stocks – 99.7% | |||||||||
Aerospace & Defense – 4.7% | |||||||||
Boeing Co. (The) | 25,364 | $ | 9,232,749 | ||||||
General Dynamics Corp. | 15,423 | 2,804,210 | |||||||
Lockheed Martin Corp. | 16,966 | 6,167,820 | |||||||
Raytheon Co. | 11,931 | 2,074,562 | |||||||
United Technologies Corp. | 23,185 | 3,018,687 | |||||||
23,298,028 | |||||||||
Air Freight & Logistics – 0.1% | |||||||||
Expeditors International of Washington, Inc. | 5,627 | 426,864 | |||||||
Auto Components – 0.1% | |||||||||
Autoliv, Inc. | 2,712 | 191,223 | |||||||
Gentex Corp. | 9,312 | 229,168 | |||||||
420,391 | |||||||||
Beverages – 4.1% | |||||||||
Coca-Cola Co. (The) | 158,036 | 8,047,193 | |||||||
Coca-Cola European Partners plc | 7,829 | 442,338 | |||||||
Molson Coors Brewing Co., Class B | 4,924 | 275,744 | |||||||
PepsiCo, Inc. | 86,898 | 11,394,935 | |||||||
20,160,210 | |||||||||
Biotechnology – 1.8% | |||||||||
AbbVie, Inc. | 54,194 | 3,940,988 | |||||||
Amgen, Inc. | 28,048 | 5,168,685 | |||||||
9,109,673 | |||||||||
Capital Markets – 1.4% | |||||||||
Franklin Resources, Inc. | 42,777 | 1,488,640 | |||||||
MSCI, Inc. | 6,029 | 1,439,665 | |||||||
T. Rowe Price Group, Inc. | 37,712 | 4,137,383 | |||||||
7,065,688 | |||||||||
Chemicals – 1.2% | |||||||||
Air Products & Chemicals, Inc. | 7,491 | 1,695,738 | |||||||
International Flavors & Fragrances, Inc. | 2,699 | 391,598 | |||||||
Linde plc | 11,824 | 2,374,259 | |||||||
LyondellBasell Industries NV, Class A | 16,005 | 1,378,510 | |||||||
5,840,105 | |||||||||
Commercial Services & Supplies – 0.6% | |||||||||
Republic Services, Inc. | 6,959 | 602,928 | |||||||
Waste Management, Inc. | 21,023 | 2,425,423 | |||||||
3,028,351 | |||||||||
Communications Equipment – 4.9% | |||||||||
Cisco Systems, Inc. | 441,585 | 24,167,947 | |||||||
Containers & Packaging – 0.1% | |||||||||
Packaging Corp. of America | 2,910 | 277,381 | |||||||
Diversified Consumer Services – 0.0%(a) | |||||||||
H&R Block, Inc. | 6,350 | 186,055 | |||||||
Diversified Telecommunication Services – 4.2% | |||||||||
AT&T, Inc. | 332,051 | 11,127,029 | |||||||
Verizon Communications, Inc. | 172,734 | 9,868,293 | |||||||
20,995,322 |
Investments | Number of Shares | Value | |||||||
Electric Utilities – 4.5% | |||||||||
Alliant Energy Corp. | 10,476 | $ | 514,162 | ||||||
American Electric Power Co., Inc. | 23,101 | 2,033,119 | |||||||
Avangrid, Inc. | 2,532 | 127,866 | |||||||
Duke Energy Corp. | 35,316 | 3,116,284 | |||||||
Edison International | 17,460 | 1,176,979 | |||||||
Entergy Corp. | 8,808 | 906,607 | |||||||
Evergy, Inc. | 13,677 | 822,671 | |||||||
Eversource Energy | 13,095 | 992,077 | |||||||
Exelon Corp. | 39,867 | 1,911,224 | |||||||
FirstEnergy Corp. | 18,515 | 792,627 | |||||||
NextEra Energy, Inc. | 18,624 | 3,815,313 | |||||||
Pinnacle West Capital Corp. | 5,565 | 523,611 | |||||||
PPL Corp. | 32,592 | 1,010,678 | |||||||
Southern Co. (The) | 56,163 | 3,104,691 | |||||||
Xcel Energy, Inc. | 24,735 | 1,471,485 | |||||||
22,319,394 | |||||||||
Electrical Equipment – 0.9% | |||||||||
Eaton Corp. plc | 16,326 | 1,359,629 | |||||||
Emerson Electric Co. | 31,851 | 2,125,099 | |||||||
Rockwell Automation, Inc. | 5,159 | 845,199 | |||||||
4,329,927 | |||||||||
Electronic Equipment, Instruments & Components – 0.2% | |||||||||
TE Connectivity Ltd. | 12,804 | 1,226,367 | |||||||
Energy Equipment & Services – 0.3% | |||||||||
Schlumberger Ltd. | 43,274 | 1,719,709 | |||||||
Entertainment – 1.4% | |||||||||
Walt Disney Co. (The) | 48,529 | 6,776,590 | |||||||
Equity Real Estate Investment Trusts (REITs) – 5.4% | |||||||||
AvalonBay Communities, Inc. | 13,865 | 2,817,091 | |||||||
Extra Space Storage, Inc. | 14,259 | 1,512,880 | |||||||
Federal Realty Investment Trust | 4,841 | 623,327 | |||||||
Host Hotels & Resorts, Inc. | 55,823 | 1,017,095 | |||||||
Liberty Property Trust | 12,222 | 611,589 | |||||||
Prologis, Inc. | 64,311 | 5,151,311 | |||||||
Public Storage | 33,124 | 7,889,143 | |||||||
Simon Property Group, Inc. | 44,814 | 7,159,485 | |||||||
26,781,921 | |||||||||
Food & Staples Retailing – 2.3% | |||||||||
Sysco Corp. | 20,103 | 1,421,684 | |||||||
Walgreens Boots Alliance, Inc. | 41,955 | 2,293,680 | |||||||
Walmart, Inc. | 70,422 | 7,780,927 | |||||||
11,496,291 | |||||||||
Food Products – 0.8% | |||||||||
Bunge Ltd. | 4,365 | 243,174 | |||||||
Campbell Soup Co. | 11,058 | 443,094 | |||||||
Conagra Brands, Inc. | 14,841 | 393,583 | |||||||
Hershey Co. (The) | 9,603 | 1,287,090 | |||||||
Hormel Foods Corp. | 13,289 | 538,736 | |||||||
Ingredion, Inc. | 2,742 | 226,188 | |||||||
JM Smucker Co. (The) | 4,150 | 478,038 |
See accompanying notes to the financial statements.
1
OSI ETF Trust
O'Shares FTSE U.S. Quality Dividend ETF
Schedule of Investments
June 30, 2019
Investments | Number of Shares | Value | |||||||
Kellogg Co. | 9,894 | $ | 530,022 | ||||||
4,139,925 | |||||||||
Health Care Equipment & Supplies – 0.9% | |||||||||
Medtronic plc | 45,097 | 4,391,997 | |||||||
Health Care Providers & Services – 0.5% | |||||||||
Cardinal Health, Inc. | 10,476 | 493,420 | |||||||
CVS Health Corp. | 40,158 | 2,188,209 | |||||||
2,681,629 | |||||||||
Hotels, Restaurants & Leisure – 4.2% | |||||||||
Carnival Corp. | 20,370 | 948,223 | |||||||
Darden Restaurants, Inc. | 7,820 | 951,928 | |||||||
McDonald’s Corp. | 40,904 | 8,494,125 | |||||||
Starbucks Corp. | 113,243 | 9,493,161 | |||||||
Yum! Brands, Inc. | 10,767 | 1,191,584 | |||||||
21,079,021 | |||||||||
Household Durables – 0.2% | |||||||||
Garmin Ltd. | 6,693 | 534,101 | |||||||
Leggett & Platt, Inc. | 6,703 | 257,194 | |||||||
791,295 | |||||||||
Household Products – 6.4% | |||||||||
Clorox Co. (The) | 6,604 | 1,011,138 | |||||||
Colgate-Palmolive Co. | 63,147 | 4,525,746 | |||||||
Kimberly-Clark Corp. | 24,060 | 3,206,717 | |||||||
Procter & Gamble Co. (The) | 212,139 | 23,261,041 | |||||||
32,004,642 | |||||||||
Industrial Conglomerates – 2.2% | |||||||||
3M Co. | 34,629 | 6,002,591 | |||||||
Honeywell International, Inc. | 26,974 | 4,709,391 | |||||||
10,711,982 | |||||||||
Insurance – 2.0% | |||||||||
Arthur J Gallagher & Co. | 13,386 | 1,172,480 | |||||||
Fidelity National Financial, Inc. | 27,063 | 1,090,639 | |||||||
Marsh & McLennan Cos., Inc. | 77,406 | 7,721,248 | |||||||
9,984,367 | |||||||||
IT Services – 4.4% | |||||||||
Accenture plc, Class A | 30,264 | 5,591,879 | |||||||
Amdocs Ltd. | 10,185 | 632,387 | |||||||
Automatic Data Processing, Inc. | 23,280 | 3,848,882 | |||||||
International Business Machines Corp. | 67,671 | 9,331,831 | |||||||
Paychex, Inc. | 30,264 | 2,490,425 | |||||||
21,895,404 | |||||||||
Leisure Products – 0.1% | |||||||||
Hasbro, Inc. | 5,529 | 584,305 | |||||||
Machinery – 1.5% | |||||||||
Cummins, Inc. | 9,894 | 1,695,238 | |||||||
Illinois Tool Works, Inc. | 16,878 | 2,545,371 | |||||||
Ingersoll-Rand plc | 8,730 | 1,105,829 | |||||||
PACCAR, Inc. | 13,759 | 985,970 | |||||||
Parker-Hannifin Corp. | 4,074 | 692,621 |
Investments | Number of Shares | Value | |||||||
Snap-on, Inc. | 2,113 | $ | 349,997 | ||||||
7,375,026 | |||||||||
Media – 0.3% | |||||||||
Interpublic Group of Cos., Inc. (The) | 18,624 | 420,716 | |||||||
Omnicom Group, Inc. | 11,058 | 906,203 | |||||||
1,326,919 | |||||||||
Metals & Mining – 0.0%(a) | |||||||||
Southern Copper Corp. | 2,133 | 82,867 | |||||||
Multiline Retail – 0.4% | |||||||||
Target Corp. | 21,573 | 1,868,438 | |||||||
Multi-Utilities – 2.5% | |||||||||
Ameren Corp. | 11,678 | 877,135 | |||||||
CenterPoint Energy, Inc. | 21,534 | 616,518 | |||||||
CMS Energy Corp. | 11,594 | 671,408 | |||||||
Consolidated Edison, Inc. | 23,507 | 2,061,094 | |||||||
Dominion Energy, Inc. | 29,682 | 2,295,012 | |||||||
DTE Energy Co. | 9,603 | 1,228,032 | |||||||
MDU Resources Group, Inc. | 6,120 | 157,896 | |||||||
Public Service Enterprise Group, Inc. | 23,824 | 1,401,328 | |||||||
Sempra Energy | 12,513 | 1,719,787 | |||||||
WEC Energy Group, Inc. | 14,841 | 1,237,294 | |||||||
12,265,504 | |||||||||
Oil, Gas & Consumable Fuels – 8.4% | |||||||||
Chevron Corp. | 118,504 | 14,746,638 | |||||||
Exxon Mobil Corp. | 308,164 | 23,614,608 | |||||||
Occidental Petroleum Corp. | 41,919 | 2,107,687 | |||||||
Phillips 66 | 15,132 | 1,415,447 | |||||||
41,884,380 | |||||||||
Pharmaceuticals – 11.5% | |||||||||
Bristol-Myers Squibb Co. | 84,681 | 3,840,284 | |||||||
Eli Lilly & Co. | 41,904 | 4,642,544 | |||||||
Johnson & Johnson | 173,457 | 24,159,091 | |||||||
Merck & Co., Inc. | 139,098 | 11,663,367 | |||||||
Pfizer, Inc. | 300,312 | 13,009,516 | |||||||
57,314,802 | |||||||||
Road & Rail – 0.9% | |||||||||
Union Pacific Corp. | 25,608 | 4,330,569 | |||||||
Semiconductors & Semiconductor Equipment – 5.9% | |||||||||
Intel Corp. | 327,913 | 15,697,195 | |||||||
KLA-Tencor Corp. | 8,148 | 963,094 | |||||||
Maxim Integrated Products, Inc. | 18,652 | 1,115,763 | |||||||
Texas Instruments, Inc. | 87,681 | 10,062,271 | |||||||
Xilinx, Inc. | 12,968 | 1,529,187 | |||||||
29,367,510 | |||||||||
Specialty Retail – 4.3% | |||||||||
Home Depot, Inc. (The) | 75,951 | 15,795,529 | |||||||
Lowe’s Cos., Inc. | 26,353 | 2,659,281 | |||||||
TJX Cos., Inc. (The) | 52,679 | 2,785,666 | |||||||
21,240,476 |
See accompanying notes to the financial statements.
2
OSI ETF Trust
O'Shares FTSE U.S. Quality Dividend ETF
Schedule of Investments
June 30, 2019
Investments | Number of Shares | Value | |||||||
Textiles, Apparel & Luxury Goods – 0.2% | |||||||||
Kontoor Brands, Inc.* | 1,825 | $ | 51,137 | ||||||
VF Corp. | 12,804 | 1,118,429 | |||||||
1,169,566 | |||||||||
Tobacco – 3.5% | |||||||||
Altria Group, Inc. | 142,412 | 6,743,208 | |||||||
Philip Morris International, Inc. | 133,022 | 10,446,218 | |||||||
17,189,426 | |||||||||
Trading Companies & Distributors – 0.2% | |||||||||
Fastenal Co. | 31,428 | 1,024,239 | |||||||
Water Utilities – 0.2% | |||||||||
American Water Works Co., Inc. | 6,402 | 742,632 | |||||||
Total Common Stocks (Cost $469,127,857) | 495,073,135 |
Investments | Value | |||||||
Total Investments — 99.7% (Cost $469,127,857) | $ | 495,073,135 | ||||||
Other Assets Less Liabilities — 0.3% | 1,501,162 | |||||||
Net Assets — 100.0% | $ | 496,574,297 |
* | Non-income producing security. |
(a) | Represents less than 0.05% of net assets. |
As of June 30, 2019, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative contracts, if any) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 46,612,630 | ||
Aggregate gross unrealized depreciation | (20,683,067 | ) | ||
Net unrealized appreciation | $ | 25,929,563 | ||
Federal income tax cost of investments (including derivative contracts, if any) | $ | 469,143,572 |
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, 2019
Investments | Number of Shares | Value | |||||||
Common Stocks – 99.9% | |||||||||
Aerospace & Defense – 0.5% | |||||||||
BWX Technologies, Inc. | 6,981 | $ | 363,710 | ||||||
National Presto Industries, Inc. | 1,725 | 160,925 | |||||||
524,635 | |||||||||
Air Freight & Logistics – 0.2% | |||||||||
Forward Air Corp. | 3,607 | 213,354 | |||||||
Airlines – 0.1% | |||||||||
Copa Holdings SA, Class A | 890 | 86,837 | |||||||
Auto Components – 0.9% | |||||||||
Dana, Inc. | 9,677 | 192,960 | |||||||
Delphi Technologies plc | 5,720 | 114,400 | |||||||
LCI Industries | 6,198 | 557,820 | |||||||
Tenneco, Inc., Class A | 3,701 | 41,044 | |||||||
906,224 | |||||||||
Automobiles – 0.6% | |||||||||
Thor Industries, Inc. | 10,291 | 601,509 | |||||||
Banks – 0.7% | |||||||||
BankUnited, Inc. | 8,054 | 271,742 | |||||||
PacWest Bancorp | 9,363 | 363,565 | |||||||
635,307 | |||||||||
Building Products – 3.3% | |||||||||
AO Smith Corp. | 23,087 | 1,088,783 | |||||||
Lennox International, Inc. | 3,469 | 953,975 | |||||||
Owens Corning | 8,698 | 506,223 | |||||||
Simpson Manufacturing Co., Inc. | 6,393 | 424,879 | |||||||
Universal Forest Products, Inc. | 6,079 | 231,367 | |||||||
3,205,227 | |||||||||
Capital Markets – 13.8% | |||||||||
Artisan Partners Asset Management, Inc., Class A | 25,334 | 697,192 | |||||||
BGC Partners, Inc., Class A | 62,996 | 329,469 | |||||||
BrightSphere Investment Group plc | 36,220 | 413,270 | |||||||
Cohen & Steers, Inc. | 12,680 | 652,259 | |||||||
Eaton Vance Corp. | 50,630 | 2,183,672 | |||||||
Evercore, Inc., Class A | 13,376 | 1,184,712 | |||||||
FactSet Research Systems, Inc. | 2,301 | 659,375 | |||||||
Federated Investors, Inc., Class B | 54,141 | 1,759,582 | |||||||
Lazard Ltd., Class A | 54,167 | 1,862,803 | |||||||
LPL Financial Holdings, Inc. | 8,968 | 731,520 | |||||||
MarketAxess Holdings, Inc. | 4,745 | 1,525,138 | |||||||
Moelis & Co., Class A | 23,470 | 820,277 | |||||||
Morningstar, Inc. | 1,191 | 172,266 | |||||||
Waddell & Reed Financial, Inc., Class A | 29,312 | 488,631 | |||||||
13,480,166 | |||||||||
Chemicals – 4.3% | |||||||||
Cabot Corp. | 10,458 | 498,951 | |||||||
Innospec, Inc. | 2,601 | 237,315 |
Investments | Number of Shares | Value | |||||||
Orion Engineered Carbons SA | 2,521 | $ | 53,975 | ||||||
Quaker Chemical Corp. | 1,274 | 258,469 | |||||||
RPM International, Inc. | 14,509 | 886,645 | |||||||
Scotts Miracle-Gro Co. (The) | 8,673 | 854,291 | |||||||
Sensient Technologies Corp. | 5,322 | 391,061 | |||||||
Stepan Co. | 1,953 | 179,500 | |||||||
Tredegar Corp. | 3,253 | 54,065 | |||||||
Trinseo SA | 3,307 | 140,018 | |||||||
WR Grace & Co. | 8,611 | 655,383 | |||||||
4,209,673 | |||||||||
Commercial Services & Supplies – 2.3% | |||||||||
Brady Corp., Class A | 10,706 | 528,020 | |||||||
Deluxe Corp. | 9,203 | 374,194 | |||||||
Herman Miller, Inc. | 6,867 | 306,955 | |||||||
HNI Corp. | 2,735 | 96,764 | |||||||
Interface, Inc. | 3,497 | 53,609 | |||||||
KAR Auction Services, Inc. | 12,614 | 315,350 | |||||||
Knoll, Inc. | 5,058 | 116,233 | |||||||
McGrath RentCorp | 3,473 | 215,847 | |||||||
Steelcase, Inc., Class A | 15,604 | 266,828 | |||||||
2,273,800 | |||||||||
Communications Equipment – 0.9% | |||||||||
InterDigital, Inc. | 14,288 | 920,147 | |||||||
Construction & Engineering – 0.3% | |||||||||
Granite Construction, Inc. | 4,134 | 199,176 | |||||||
Primoris Services Corp. | 3,285 | 68,755 | |||||||
267,931 | |||||||||
Consumer Finance – 0.5% | |||||||||
FirstCash, Inc. | 4,715 | 471,594 | |||||||
Containers & Packaging – 0.6% | |||||||||
AptarGroup, Inc. | 4,134 | 514,022 | |||||||
Greif, Inc., Class A | 3,090 | 100,579 | |||||||
614,601 | |||||||||
Distributors – 1.1% | |||||||||
IAA, Inc.* | 12,614 | 489,171 | |||||||
Pool Corp. | 3,205 | 612,155 | |||||||
1,101,326 | |||||||||
Diversified Consumer Services – 0.2% | |||||||||
Strategic Education, Inc. | 1,171 | 208,438 | |||||||
Diversified Telecommunication Services – 0.6% | |||||||||
ATN International, Inc. | 1,313 | 75,799 | |||||||
Cogent Communications Holdings, Inc. | 8,124 | 482,241 | |||||||
558,040 | |||||||||
Electric Utilities – 4.1% | |||||||||
ALLETE, Inc. | 3,412 | 283,912 | |||||||
El Paso Electric Co. | 3,459 | 226,219 | |||||||
Hawaiian Electric Industries, Inc. | 6,792 | 295,792 | |||||||
IDACORP, Inc. | 3,430 | 344,475 |
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, 2019
Investments | Number of Shares | Value | |||||||
MGE Energy, Inc. | 2,113 | $ | 154,418 | ||||||
OGE Energy Corp. | 44,505 | 1,894,133 | |||||||
Otter Tail Corp. | 5,039 | 266,110 | |||||||
PNM Resources, Inc. | 4,416 | 224,818 | |||||||
Portland General Electric Co. | 6,502 | 352,213 | |||||||
4,042,090 | |||||||||
Electrical Equipment – 1.1% | |||||||||
Hubbell, Inc. | 8,167 | 1,064,977 | |||||||
Electronic Equipment, Instruments & Components – 3.6% | |||||||||
AVX Corp. | 14,471 | 240,219 | |||||||
Badger Meter, Inc. | 3,409 | 203,483 | |||||||
Benchmark Electronics, Inc. | 5,578 | 140,119 | |||||||
Dolby Laboratories, Inc., Class A | 5,531 | 357,303 | |||||||
FLIR Systems, Inc. | 15,151 | 819,669 | |||||||
MTS Systems Corp. | 1,840 | 107,695 | |||||||
National Instruments Corp. | 30,651 | 1,287,036 | |||||||
Vishay Intertechnology, Inc. | 22,214 | 366,975 | |||||||
3,522,499 | |||||||||
Energy Equipment & Services – 0.2% | |||||||||
Frank’s International NV* | 19,350 | 105,651 | |||||||
RPC, Inc. | 16,240 | 117,091 | |||||||
222,742 | |||||||||
Entertainment – 0.4% | |||||||||
Cinemark Holdings, Inc. | 9,564 | 345,261 | |||||||
Food & Staples Retailing – 0.2% | |||||||||
PriceSmart, Inc. | 1,100 | 56,232 | |||||||
Weis Markets, Inc. | 2,667 | 97,106 | |||||||
153,338 | |||||||||
Food Products – 2.2% | |||||||||
Calavo Growers, Inc. | 958 | 92,677 | |||||||
Flowers Foods, Inc. | 25,791 | 600,157 | |||||||
Fresh Del Monte Produce, Inc. | 3,090 | 83,275 | |||||||
J&J Snack Foods Corp. | 2,133 | 343,306 | |||||||
Lancaster Colony Corp. | 3,559 | 528,867 | |||||||
Sanderson Farms, Inc. | 2,642 | 360,792 | |||||||
Tootsie Roll Industries, Inc. | 2,484 | 91,734 | |||||||
2,100,808 | |||||||||
Gas Utilities – 2.0% | |||||||||
National Fuel Gas Co. | 5,821 | 307,058 | |||||||
New Jersey Resources Corp. | 5,470 | 272,242 | |||||||
Northwest Natural Holding Co. | 2,056 | 142,892 | |||||||
ONE Gas, Inc. | 2,534 | 228,820 | |||||||
South Jersey Industries, Inc. | 4,905 | 165,445 | |||||||
Southwest Gas Holdings, Inc. | 2,095 | 187,754 | |||||||
Spire, Inc. | 2,277 | 191,086 | |||||||
UGI Corp. | 8,944 | 477,699 | |||||||
1,972,996 |
Investments | Number of Shares | Value | |||||||
Health Care Equipment & Supplies – 0.3% | |||||||||
Meridian Bioscience, Inc. | 26,973 | $ | 320,439 | ||||||
Health Care Providers & Services – 1.3% | |||||||||
Patterson Cos., Inc. | 53,585 | 1,227,097 | |||||||
Hotels, Restaurants & Leisure – 5.6% | |||||||||
Bloomin’ Brands, Inc. | 8,947 | 169,188 | |||||||
Brinker International, Inc. | 11,726 | 461,418 | |||||||
Cheesecake Factory, Inc. (The) | 10,580 | 462,558 | |||||||
Choice Hotels International, Inc. | 2,503 | 217,786 | |||||||
Cracker Barrel Old Country Store, Inc. | 7,232 | 1,234,719 | |||||||
Dunkin’ Brands Group, Inc. | 8,219 | 654,726 | |||||||
Extended Stay America, Inc. | 14,715 | 248,536 | |||||||
International Speedway Corp., Class A | 1,953 | 87,670 | |||||||
Jack in the Box, Inc. | 4,373 | 355,919 | |||||||
Papa John’s International, Inc. | 3,495 | 156,296 | |||||||
Six Flags Entertainment Corp. | 15,866 | 788,223 | |||||||
Texas Roadhouse, Inc. | 11,517 | 618,117 | |||||||
5,455,156 | |||||||||
Household Durables – 0.8% | |||||||||
Ethan Allen Interiors, Inc. | 6,573 | 138,427 | |||||||
La-Z-Boy, Inc. | 6,319 | 193,741 | |||||||
MDC Holdings, Inc. | 4,076 | 133,611 | |||||||
Tupperware Brands Corp. | 17,063 | 324,709 | |||||||
790,488 | |||||||||
Household Products – 0.3% | |||||||||
Energizer Holdings, Inc. | 4,835 | 186,824 | |||||||
WD-40 Co. | 872 | 138,683 | |||||||
325,507 | |||||||||
Industrial Conglomerates – 0.1% | |||||||||
Raven Industries, Inc. | 3,236 | 116,108 | |||||||
Insurance – 3.1% | |||||||||
Assured Guaranty Ltd. | 18,544 | 780,332 | |||||||
Employers Holdings, Inc. | 2,383 | 100,729 | |||||||
First American Financial Corp. | 18,110 | 972,507 | |||||||
Mercury General Corp. | 4,054 | 253,375 | |||||||
ProAssurance Corp. | 5,941 | 214,529 | |||||||
RLI Corp. | 5,028 | 430,950 | |||||||
Safety Insurance Group, Inc. | 2,766 | 263,130 | |||||||
3,015,552 | |||||||||
IT Services – 7.2% | |||||||||
Booz Allen Hamilton Holding Corp. | 11,766 | 779,027 | |||||||
Jack Henry & Associates, Inc. | 8,960 | 1,199,923 | |||||||
KBR, Inc. | 11,028 | 275,038 | |||||||
Leidos Holdings, Inc. | 44,583 | 3,559,953 | |||||||
ManTech International Corp., Class A | 4,463 | 293,889 | |||||||
NIC, Inc. | 30,226 | 484,825 | |||||||
Sabre Corp. | 20,345 | 451,659 | |||||||
7,044,314 |
See accompanying notes to the financial statements.
5
OSI ETF Trust
O’Shares FTSE Russell Small Cap Quality Dividend ETF
Schedule of Investments
June 30, 2019
Investments | Number of Shares | Value | |||||||
Leisure Products – 0.5% | |||||||||
Brunswick Corp. | 7,908 | $ | 362,898 | ||||||
Sturm Ruger & Co., Inc. | 2,898 | 157,883 | |||||||
520,781 | |||||||||
Life Sciences Tools & Services – 0.5% | |||||||||
Luminex Corp. | 21,658 | 447,021 | |||||||
Machinery – 8.7% | |||||||||
Allison Transmission Holdings, Inc. | 14,999 | 695,204 | |||||||
Astec Industries, Inc. | 1,530 | 49,817 | |||||||
Briggs & Stratton Corp. | 3,872 | 39,649 | |||||||
Crane Co. | 5,267 | 439,478 | |||||||
Donaldson Co., Inc. | 20,980 | 1,067,043 | |||||||
Graco, Inc. | 29,152 | 1,462,847 | |||||||
Hillenbrand, Inc. | 7,209 | 285,260 | |||||||
IDEX Corp. | 7,497 | 1,290,533 | |||||||
ITT, Inc. | 7,868 | 515,197 | |||||||
Kennametal, Inc. | 8,441 | 312,233 | |||||||
Lincoln Electric Holdings, Inc. | 5,340 | 439,589 | |||||||
Lindsay Corp. | 702 | 57,711 | |||||||
Mueller Industries, Inc. | 9,360 | 273,967 | |||||||
Toro Co. (The) | 23,894 | 1,598,509 | |||||||
8,527,037 | |||||||||
Media – 1.2% | |||||||||
Gannett Co., Inc. | 13,610 | 111,058 | |||||||
John Wiley & Sons, Inc., Class A | 10,629 | 487,446 | |||||||
New Media Investment Group, Inc. | 6,360 | 60,038 | |||||||
Scholastic Corp. | 4,770 | 158,555 | |||||||
TEGNA, Inc. | 25,596 | 387,779 | |||||||
1,204,876 | |||||||||
Metals & Mining – 2.0% | |||||||||
Compass Minerals International, Inc. | 5,874 | 322,776 | |||||||
Kaiser Aluminum Corp. | 3,539 | 345,442 | |||||||
Nexa Resources SA | 7,497 | 71,896 | |||||||
Reliance Steel & Aluminum Co. | 9,633 | 911,475 | |||||||
Schnitzer Steel Industries, Inc., Class A | 4,725 | 123,653 | |||||||
Worthington Industries, Inc. | 4,512 | 181,653 | |||||||
1,956,895 | |||||||||
Multiline Retail – 0.2% | |||||||||
Big Lots, Inc. | 7,274 | 208,109 | |||||||
Multi-Utilities – 0.8% | |||||||||
Avista Corp. | 3,503 | 156,234 | |||||||
Black Hills Corp. | 3,723 | 291,027 | |||||||
NorthWestern Corp. | 4,350 | 313,852 | |||||||
761,113 | |||||||||
Oil, Gas & Consumable Fuels – 1.2% | |||||||||
CVR Energy, Inc. | 3,659 | 182,913 | |||||||
PBF Energy, Inc., Class A | 28,657 | 896,964 |
Investments | Number of Shares | Value | |||||||
Ship Finance International Ltd. | 6,672 | $ | 83,467 | ||||||
1,163,344 | |||||||||
Paper & Forest Products – 1.6% | |||||||||
Boise Cascade Co. | 3,917 | 110,107 | |||||||
Domtar Corp. | 15,458 | 688,345 | |||||||
Louisiana-Pacific Corp. | 21,949 | 575,503 | |||||||
Neenah, Inc. | 1,217 | 82,208 | |||||||
Schweitzer-Mauduit International, Inc. | 2,717 | 90,150 | |||||||
1,546,313 | |||||||||
Personal Products – 0.4% | |||||||||
Inter Parfums, Inc. | 1,242 | 82,581 | |||||||
Medifast, Inc. | 621 | 79,674 | |||||||
Nu Skin Enterprises, Inc., Class A | 4,364 | 215,232 | |||||||
377,487 | |||||||||
Professional Services – 0.7% | |||||||||
Exponent, Inc. | 7,220 | 422,659 | |||||||
Forrester Research, Inc. | 6,179 | 290,598 | |||||||
713,257 | |||||||||
Road & Rail – 0.4% | |||||||||
Ryder System, Inc. | 3,520 | 205,216 | |||||||
Werner Enterprises, Inc. | 4,654 | 144,646 | |||||||
349,862 | |||||||||
Semiconductors & Semiconductor Equipment – 8.5% | |||||||||
Brooks Automation, Inc. | 13,746 | 532,658 | |||||||
Cabot Microelectronics Corp. | 12,892 | 1,419,151 | |||||||
Cypress Semiconductor Corp. | 99,566 | 2,214,348 | |||||||
MKS Instruments, Inc. | 14,407 | 1,122,161 | |||||||
Power Integrations, Inc. | 4,956 | 397,372 | |||||||
Teradyne, Inc. | 49,393 | 2,366,419 | |||||||
Xperi Corp. | 12,544 | 258,281 | |||||||
8,310,390 | |||||||||
Software – 1.7% | |||||||||
j2 Global, Inc. | 11,729 | 1,042,591 | |||||||
Progress Software Corp. | 13,803 | 602,087 | |||||||
1,644,678 | |||||||||
Specialty Retail – 3.4% | |||||||||
Abercrombie & Fitch Co., Class A | 3,512 | 56,332 | |||||||
American Eagle Outfitters, Inc. | 24,348 | 411,481 | |||||||
Bed Bath & Beyond, Inc. | 16,420 | 190,800 | |||||||
Buckle, Inc. (The) | 7,655 | 132,508 | |||||||
Chico’s FAS, Inc. | 19,643 | 66,197 | |||||||
Children’s Place, Inc. (The) | 2,271 | 216,608 | |||||||
Designer Brands, Inc., Class A | 14,111 | 270,508 | |||||||
Dick’s Sporting Goods, Inc. | 14,024 | 485,651 | |||||||
GameStop Corp., Class A | 17,523 | 95,851 | |||||||
Guess?, Inc. | 7,333 | 118,428 | |||||||
Signet Jewelers Ltd. | 7,329 | 131,043 |
See accompanying notes to the financial statements.
6
OSI ETF Trust
O’Shares FTSE Russell Small Cap Quality Dividend ETF
Schedule of Investments
June 30, 2019
Investments | Number of Shares | Value | |||||||
Williams-Sonoma, Inc. | 17,655 | $ | 1,147,575 | ||||||
3,322,982 | |||||||||
Textiles, Apparel & Luxury Goods – 1.1% | |||||||||
Carter’s, Inc. | 5,839 | 569,536 | |||||||
Columbia Sportswear Co. | 2,166 | 216,947 | |||||||
Oxford Industries, Inc. | 1,876 | 142,201 | |||||||
Steven Madden Ltd. | 4,796 | 162,824 | |||||||
1,091,508 | |||||||||
Thrifts & Mortgage Finance – 0.4% | |||||||||
Capitol Federal Financial, Inc. | 8,888 | 122,388 | |||||||
Oritani Financial Corp. | 2,948 | 52,297 | |||||||
Walker & Dunlop, Inc. | 3,109 | 165,430 | |||||||
340,115 | |||||||||
Tobacco – 0.2% | |||||||||
Vector Group Ltd. | 15,346 | 149,624 | |||||||
Trading Companies & Distributors – 2.0% | |||||||||
MSC Industrial Direct Co., Inc., Class A | 7,867 | 584,203 | |||||||
Watsco, Inc. | 8,124 | 1,328,518 | |||||||
1,912,721 | |||||||||
Transportation Infrastructure – 0.3% | |||||||||
Macquarie Infrastructure Corp. | 6,060 | 245,673 | |||||||
Water Utilities – 0.7% | |||||||||
American States Water Co. | 2,312 | 173,955 | |||||||
Aqua America, Inc. | 9,167 | 379,239 | |||||||
California Water Service Group | 2,467 | 124,904 | |||||||
SJW Group | 748 | 45,456 | |||||||
723,554 | |||||||||
Total Common Stocks (Cost $100,012,202) | 97,515,521 |
Investments | Number of Rights | Value | |||||||
Rights – 0.0% | |||||||||
Chemicals – 0.0% | |||||||||
A Schulman, Inc., CVR*‡(a) (Cost $—) | 5,220 | $ | — | ||||||
Total Investments — 99.9% (Cost $100,012,202) | 97,515,521 | ||||||||
Other Assets Less Liabilities — 0.1% | 54,403 | ||||||||
Net Assets — 100.0% | $ | 97,569,924 |
* | Non-income producing security. |
‡ | Value determined using significant unobservable inputs. |
(a) | Security fair valued as of June 30, 2019 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at June 30, 2019 amounted to $0, which represents approximately 0.00% of net assets of the Fund. |
Abbreviations | ||
CVR | Contingent Value Rights |
As of June 30, 2019, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative contracts, if any) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 8,287,742 | ||
Aggregate gross unrealized depreciation | (10,685,017 | ) | ||
Net unrealized depreciation | $ | (2,397,275 | ) | |
Federal income tax cost of investments (including derivative contracts, if any) | $ | 99,912,796 |
See accompanying notes to the financial statements.
7
OSI ETF Trust
O'Shares Global Internet Giants ETF
Schedule of Investments
June 30, 2019
Investments | Number of Shares | Value | |||||||
Common Stocks – 100.0% | |||||||||
Entertainment – 8.1% | |||||||||
Alibaba Pictures Group Ltd.* | 2,760,000 | $ | 593,510 | ||||||
Bilibili, Inc., ADR* | 43,829 | 713,098 | |||||||
NetEase, Inc., ADR | 1,658 | 424,067 | |||||||
Netflix, Inc.* | 3,467 | 1,273,498 | |||||||
Spotify Technology SA* | 3,385 | 494,955 | |||||||
Zynga, Inc., Class A* | 77,423 | 474,603 | |||||||
3,973,731 | |||||||||
Interactive Media & Services – 26.8% | |||||||||
58.com, Inc., ADR* | 4,819 | 299,597 | |||||||
Alphabet, Inc., Class A* | 2,640 | 2,858,592 | |||||||
Autohome, Inc., ADR* | 4,414 | 377,927 | |||||||
Baidu, Inc., ADR* | 3,137 | 368,158 | |||||||
Cargurus, Inc.* | 13,348 | 481,996 | |||||||
Facebook, Inc., Class A* | 14,496 | 2,797,728 | |||||||
IAC/InterActiveCorp* | 1,004 | 218,400 | |||||||
Match Group, Inc. | 3,762 | 253,070 | |||||||
Momo, Inc., ADR | 12,611 | 451,474 | |||||||
Snap, Inc., Class A* | 41,485 | 593,235 | |||||||
Tencent Holdings Ltd. | 67,500 | 3,046,464 | |||||||
Twitter, Inc.* | 7,303 | 254,875 | |||||||
Weibo Corp., ADR* | 10,154 | 442,207 | |||||||
Zillow Group, Inc., Class C* | 13,397 | 621,487 | |||||||
13,065,210 | |||||||||
Internet & Direct Marketing Retail – 28.0% | |||||||||
Alibaba Group Holding Ltd., ADR* | 17,966 | 3,044,339 | |||||||
Amazon.com, Inc.* | 1,540 | 2,916,190 | |||||||
Booking Holdings, Inc.* | 136 | 254,961 | |||||||
Ctrip.com International Ltd., ADR* | 9,900 | 365,409 | |||||||
eBay, Inc. | 2,454 | 96,933 | |||||||
Etsy, Inc.* | 6,772 | 415,598 | |||||||
Expedia Group, Inc. | 1,283 | 170,678 | |||||||
Farfetch Ltd., Class A* | 27,030 | 562,224 | |||||||
GrubHub, Inc.* | 7,168 | 559,032 | |||||||
JD.com, Inc., ADR* | 16,142 | 488,941 | |||||||
Just Eat plc* | 74,371 | 591,575 | |||||||
Meituan Dianping, Class B* | 110,900 | 972,371 | |||||||
MercadoLibre, Inc.* | 1,265 | 773,889 | |||||||
Ocado Group plc* | 14,874 | 220,915 | |||||||
Pinduoduo, Inc., ADR* | 36,913 | 761,515 | |||||||
Rakuten, Inc. | 18,600 | 220,976 | |||||||
Wayfair, Inc., Class A* | 3,587 | 523,702 | |||||||
Zalando SE* | 7,896 | 350,866 | |||||||
ZOZO, Inc. | 20,200 | 378,539 | |||||||
13,668,653 |
Investments | Number of Shares | Value | |||||||
IT Services – 5.8% | |||||||||
GoDaddy, Inc., Class A* | 2,623 | $ | 184,003 | ||||||
MongoDB, Inc.* | 3,877 | 589,653 | |||||||
Okta, Inc.* | 4,887 | 603,593 | |||||||
Shopify, Inc., Class A* | 2,508 | 755,385 | |||||||
Twilio, Inc., Class A* | 5,093 | 694,431 | |||||||
2,827,065 | |||||||||
Software – 31.3% | |||||||||
2U, Inc.* | 14,656 | 551,652 | |||||||
Adobe, Inc.* | 3,134 | 923,433 | |||||||
Anaplan, Inc.* | 11,702 | 590,600 | |||||||
Atlassian Corp. plc, Class A* | 4,931 | 645,172 | |||||||
Coupa Software, Inc.* | 4,106 | 519,861 | |||||||
DocuSign, Inc.* | 9,691 | 481,740 | |||||||
Dropbox, Inc., Class A* | 10,581 | 265,054 | |||||||
Elastic NV* | 8,123 | 606,463 | |||||||
Fortinet, Inc.* | 3,056 | 234,793 | |||||||
HubSpot, Inc.* | 2,488 | 424,254 | |||||||
Intuit, Inc. | 895 | 233,890 | |||||||
Microsoft Corp. | 14,966 | 2,004,845 | |||||||
New Relic, Inc.* | 4,663 | 403,396 | |||||||
Nutanix, Inc., Class A* | 19,083 | 495,013 | |||||||
Palo Alto Networks, Inc.* | 1,698 | 345,985 | |||||||
Proofpoint, Inc.* | 3,193 | 383,958 | |||||||
Red Hat, Inc.* | 1,696 | 318,441 | |||||||
RingCentral, Inc., Class A* | 3,808 | 437,615 | |||||||
salesforce.com, Inc.* | 5,706 | 865,771 | |||||||
ServiceNow, Inc.* | 2,853 | 783,348 | |||||||
Splunk, Inc.* | 4,557 | 573,043 | |||||||
Tableau Software, Inc., Class A* | 2,030 | 337,021 | |||||||
Temenos AG (Registered)* | 1,298 | 232,508 | |||||||
Trade Desk, Inc. (The), Class A* | 2,250 | 512,505 | |||||||
VMware, Inc., Class A | 1,598 | 267,202 | |||||||
Workday, Inc., Class A* | 3,383 | 695,477 | |||||||
Zendesk, Inc.* | 6,362 | 566,409 | |||||||
Zscaler, Inc.* | 7,663 | 587,292 | |||||||
15,286,741 | |||||||||
Total Common Stocks (Cost $48,007,756) | 48,821,400 | ||||||||
Total Investments — 100.0% (Cost $48,007,756) | 48,821,400 | ||||||||
Other Assets Less Liabilities — 0.0%(a) | 13,056 | ||||||||
Net Assets — 100.0% | $ | 48,834,456 |
* | Non-income producing security. |
(a) | Represents less than 0.05% of net assets. |
Abbreviations | ||
ADR | American Depositary Receipt |
See accompanying notes to the financial statements.
8
OSI ETF Trust
O'Shares Global Internet Giants ETF
Schedule of Investments
June 30, 2019
As of June 30, 2019, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative contracts, if any) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 5,173,560 | ||
Aggregate gross unrealized depreciation | (4,368,551 | ) | ||
Net unrealized appreciation | $ | 805,009 | ||
Federal income tax cost of investments (including derivative contracts, if any) | $ | 48,016,391 |
O’Shares Global Internet Giants ETF invested, as a percentage of net assets, in the following countries as of June 30, 2019:
Argentina | 1.6 | % | ||
Canada | 1.6 | % | ||
China | 24.1 | % | ||
Germany | 0.7 | % | ||
Hong Kong | 1.2 | % | ||
Japan | 1.2 | % | ||
Switzerland | 0.5 | % | ||
United Kingdom | 2.8 | % | ||
United States | 66.3 | % | ||
Other(1) | 0.0 | %(a) | ||
100.0 | % |
(1) | Includes cash and any non-equity securities and net other assets (liabilities). |
(a) | Represents less than 0.05% of net assets. |
See accompanying notes to the financial statements.
9
OSI ETF Trust
O'Shares FTSE Europe Quality Dividend ETF
Schedule of Investments
June 30, 2019
Investments | Number of Shares | Value | |||||||
Common Stocks – 98.6% | |||||||||
Aerospace & Defense – 0.6% | |||||||||
BAE Systems plc | 25,358 | $ | 159,881 | ||||||
Air Freight & Logistics – 1.0% | |||||||||
Deutsche Post AG (Registered) | 6,984 | 229,853 | |||||||
Royal Mail plc | 10,416 | 28,090 | |||||||
257,943 | |||||||||
Auto Components – 1.1% | |||||||||
Cie Generale des Etablissements Michelin SCA | 1,563 | 198,553 | |||||||
Continental AG | 525 | 76,659 | |||||||
Nokian Renkaat OYJ | 525 | 16,417 | |||||||
291,629 | |||||||||
Beverages – 1.2% | |||||||||
Anheuser-Busch InBev SA/NV | 3,418 | 302,986 | |||||||
Building Products – 0.8% | |||||||||
Cie de Saint-Gobain | 2,688 | 104,919 | |||||||
Geberit AG (Registered) | 221 | 103,360 | |||||||
208,279 | |||||||||
Capital Markets – 1.6% | |||||||||
3i Group plc | 16,557 | 234,638 | |||||||
Ashmore Group plc | 3,456 | 22,410 | |||||||
Partners Group Holding AG | 205 | 161,267 | |||||||
418,315 | |||||||||
Chemicals – 4.8% | |||||||||
Air Liquide SA | 2,245 | 314,590 | |||||||
BASF SE | 7,715 | 561,591 | |||||||
EMS-Chemie Holding AG (Registered) | 42 | 27,289 | |||||||
FUCHS PETROLUB SE | 168 | 5,998 | |||||||
FUCHS PETROLUB SE (Preference) | 165 | 6,498 | |||||||
Givaudan SA (Registered) | 53 | 149,813 | |||||||
Johnson Matthey plc | 915 | 38,767 | |||||||
Koninklijke DSM NV | 693 | 85,785 | |||||||
Solvay SA | 230 | 23,861 | |||||||
1,214,192 | |||||||||
Commercial Services & Supplies – 0.3% | |||||||||
Babcock International Group plc | 1,456 | 8,491 | |||||||
ISS A/S | 945 | 28,563 | |||||||
Securitas AB, Class B | 935 | 16,416 | |||||||
Societe BIC SA | 315 | 24,052 | |||||||
77,522 | |||||||||
Construction & Engineering – 1.5% | |||||||||
Bouygues SA | 819 | 30,377 | |||||||
Ferrovial SA | 2,835 | 72,674 | |||||||
HOCHTIEF AG | 95 | 11,587 | |||||||
Skanska AB, Class B | 2,149 | 38,842 | |||||||
Vinci SA | 2,143 | 219,787 | |||||||
373,267 | |||||||||
Construction Materials – 0.2% | |||||||||
HeidelbergCement AG | 515 | 41,734 |
Investments | Number of Shares | Value | |||||||
Containers & Packaging – 0.1% | |||||||||
Huhtamaki OYJ | 301 | $ | 12,395 | ||||||
RPC Group plc | 2,310 | 23,302 | |||||||
35,697 | |||||||||
Distributors – 0.1% | |||||||||
Inchcape plc | 2,999 | 23,512 | |||||||
Diversified Financial Services – 1.8% | |||||||||
Corp. Financiera Alba SA | 149 | 7,822 | |||||||
Industrivarden AB, Class A | 3,150 | 71,907 | |||||||
Industrivarden AB, Class C | 2,604 | 57,759 | |||||||
Investor AB, Class A | 1,197 | 57,514 | |||||||
Investor AB, Class B | 4,171 | 200,544 | |||||||
Kinnevik AB, Class B | 1,499 | 39,017 | |||||||
Sofina SA | 115 | 21,949 | |||||||
456,512 | |||||||||
Diversified Telecommunication Services – 4.7% | |||||||||
BT Group plc | 47,145 | 117,879 | |||||||
Deutsche Telekom AG (Registered) | 13,894 | 240,692 | |||||||
Elisa OYJ | 1,134 | 55,414 | |||||||
Koninklijke KPN NV | 13,377 | 41,131 | |||||||
Orange SA | 7,644 | 120,695 | |||||||
Proximus SADP | 1,407 | 41,531 | |||||||
Swisscom AG (Registered) | 231 | 116,116 | |||||||
Telefonica Deutschland Holding AG | 5,775 | 16,158 | |||||||
Telefonica SA | 26,277 | 216,083 | |||||||
Telekom Austria AG* | 525 | 3,970 | |||||||
Telenor ASA | 5,901 | 125,342 | |||||||
Telia Co. AB | 21,714 | 96,515 | |||||||
1,191,526 | |||||||||
Electric Utilities – 3.6% | |||||||||
EDP – Energias de Portugal SA | 13,797 | 52,510 | |||||||
Endesa SA | 3,405 | 87,673 | |||||||
Enel SpA | 56,795 | 397,124 | |||||||
Fortum OYJ | 2,121 | 46,943 | |||||||
Orsted A/S | 483 | 41,830 | |||||||
Red Electrica Corp. SA | 3,465 | 72,270 | |||||||
SSE plc | 9,723 | 138,841 | |||||||
Terna Rete Elettrica Nazionale SpA | 12,747 | 81,291 | |||||||
918,482 | |||||||||
Electrical Equipment – 2.0% | |||||||||
ABB Ltd. (Registered) | 11,264 | 226,320 | |||||||
Schneider Electric SE | 3,092 | 280,849 | |||||||
Signify NV | 431 | 12,761 | |||||||
519,930 | |||||||||
Equity Real Estate Investment Trusts (REITs) – 3.6% | |||||||||
British Land Co. plc (The) | 8,169 | 55,976 | |||||||
Covivio | 389 | 40,777 | |||||||
Gecina SA | 1,308 | 196,025 | |||||||
Hammerson plc | 6,405 | 22,588 | |||||||
Klepierre SA | 2,877 | 96,586 | |||||||
Merlin Properties Socimi SA | 2,646 | 36,762 |
See accompanying notes to the financial statements.
10
OSI ETF Trust
O'Shares FTSE Europe Quality Dividend ETF
Schedule of Investments
June 30, 2019
Investments | Number of Shares | Value | |||||||
Segro plc | 19,320 | $ | 179,546 | ||||||
Unibail-Rodamco-Westfield | 1,885 | 282,820 | |||||||
911,080 | |||||||||
Food & Staples Retailing – 1.1% | |||||||||
Colruyt SA | 336 | 19,514 | |||||||
ICA Gruppen AB | 378 | 16,264 | |||||||
Jeronimo Martins SGPS SA | 1,449 | 23,374 | |||||||
Kesko OYJ, Class B | 367 | 20,446 | |||||||
Koninklijke Ahold Delhaize NV | 8,858 | 199,510 | |||||||
279,108 | |||||||||
Food Products – 5.9% | |||||||||
Associated British Foods plc | 1,286 | 40,312 | |||||||
Mowi ASA | 2,982 | 69,758 | |||||||
Nestle SA (Registered) | 12,349 | 1,279,989 | |||||||
Orkla ASA | 10,878 | 96,557 | |||||||
Tate & Lyle plc | 2,583 | 24,274 | |||||||
1,510,890 | |||||||||
Gas Utilities – 0.4% | |||||||||
Italgas SpA | 2,769 | 18,630 | |||||||
Naturgy Energy Group SA | 1,806 | 49,833 | |||||||
Rubis SCA | 420 | 23,685 | |||||||
92,148 | |||||||||
Health Care Equipment & Supplies – 1.3% | |||||||||
Alcon, Inc.* | 2,729 | 168,722 | |||||||
Coloplast A/S, Class B | 672 | 76,059 | |||||||
Smith & Nephew plc | 4,431 | 96,151 | |||||||
340,932 | |||||||||
Hotels, Restaurants & Leisure – 1.8% | |||||||||
Carnival plc | 1,092 | 48,351 | |||||||
Compass Group plc | 10,901 | 261,797 | |||||||
GVC Holdings plc | 2,226 | 18,466 | |||||||
Sodexo SA | 364 | 42,613 | |||||||
TUI AG | 2,824 | 27,761 | |||||||
Whitbread plc | 790 | 46,541 | |||||||
445,529 | |||||||||
Household Durables – 0.2% | |||||||||
Electrolux AB, Series B | 735 | 18,799 | |||||||
Persimmon plc | 1,588 | 40,360 | |||||||
59,159 | |||||||||
Independent Power and Renewable Electricity Producers – 0.1% | |||||||||
Uniper SE | 1,008 | 30,569 | |||||||
Industrial Conglomerates – 0.2% | |||||||||
Investment AB Latour, Class B | 1,008 | 14,873 | |||||||
Smiths Group plc | 2,237 | 44,556 | |||||||
59,429 | |||||||||
Insurance – 2.2% | |||||||||
Admiral Group plc | 4,053 | 113,894 | |||||||
Direct Line Insurance Group plc | 20,538 | 86,728 | |||||||
Gjensidige Forsikring ASA | 1,323 | 26,659 |
Investments | Number of Shares | Value | |||||||
Sampo OYJ, Class A | 6,077 | $ | 287,200 | ||||||
Tryg A/S | 1,386 | 45,129 | |||||||
559,610 | |||||||||
Machinery – 2.7% | |||||||||
Atlas Copco AB, Class A | 4,809 | 153,835 | |||||||
Atlas Copco AB, Class B | 2,961 | 85,018 | |||||||
GEA Group AG | 814 | 23,175 | |||||||
IMI plc | 1,334 | 17,623 | |||||||
Kone OYJ, Class B | 3,276 | 193,624 | |||||||
OC Oerlikon Corp. AG (Registered) | 767 | 9,377 | |||||||
Sandvik AB | 3,885 | 71,434 | |||||||
Schindler Holding AG | 165 | 36,774 | |||||||
Schindler Holding AG (Registered) | 95 | 20,773 | |||||||
SKF AB, Class B | 1,407 | 25,893 | |||||||
Trelleborg AB, Class B | 798 | 11,340 | |||||||
Wartsila OYJ Abp | 1,428 | 20,742 | |||||||
Zardoya Otis SA | 1,887 | 14,355 | |||||||
683,963 | |||||||||
Marine – 0.3% | |||||||||
Kuehne + Nagel International AG (Registered) | 567 | 84,265 | |||||||
Media – 0.9% | |||||||||
Axel Springer SE | 93 | 6,561 | |||||||
Informa plc | 5,796 | 61,594 | |||||||
ITV plc | 18,407 | 25,301 | |||||||
ProSiebenSat.1 Media SE | 1,218 | 19,162 | |||||||
Publicis Groupe SA | 903 | 47,746 | |||||||
RTL Group SA | 399 | 20,465 | |||||||
WPP plc | 4,746 | 59,811 | |||||||
240,640 | |||||||||
Metals & Mining – 1.7% | |||||||||
Rio Tinto plc | 6,872 | 426,848 | |||||||
Multiline Retail – 0.2% | |||||||||
Marks & Spencer Group plc | 7,938 | 21,286 | |||||||
Next plc | 570 | 40,088 | |||||||
61,374 | |||||||||
Multi-Utilities – 2.6% | |||||||||
A2A SpA | 10,419 | 18,106 | |||||||
Centrica plc | 47,470 | 53,032 | |||||||
Engie SA | 10,481 | 159,223 | |||||||
Innogy SE | 378 | 17,951 | |||||||
National Grid plc | 32,392 | 344,561 | |||||||
Veolia Environnement SA | 2,373 | 57,885 | |||||||
650,758 | |||||||||
Oil, Gas & Consumable Fuels – 13.8% | |||||||||
BP plc | 125,247 | 874,479 | |||||||
Enagas SA | 1,533 | 40,973 | |||||||
Eni SpA | 16,201 | 269,476 | |||||||
Equinor ASA | 3,643 | 71,975 | |||||||
Galp Energia SGPS SA | 1,722 | 26,523 | |||||||
Polski Koncern Naftowy ORLEN SA | 1,533 | 36,989 |
See accompanying notes to the financial statements.
11
OSI ETF Trust
O'Shares FTSE Europe Quality Dividend ETF
Schedule of Investments
June 30, 2019
Investments | Number of Shares | Value | |||||||
Polskie Gornictwo Naftowe i Gazownictwo SA | 6,384 | $ | 9,090 | ||||||
Royal Dutch Shell plc, Class A | 22,114 | 724,017 | |||||||
Royal Dutch Shell plc, Class B | 17,436 | 572,744 | |||||||
Snam SpA | 9,324 | 46,412 | |||||||
TOTAL SA | 14,982 | 840,706 | |||||||
3,513,384 | |||||||||
Paper & Forest Products – 0.4% | |||||||||
Mondi plc | 1,953 | 44,492 | |||||||
UPM-Kymmene OYJ | 2,268 | 60,360 | |||||||
104,852 | |||||||||
Personal Products – 4.3% | |||||||||
L’Oreal SA | 1,316 | 375,415 | |||||||
Unilever NV, CVA | 5,927 | 361,512 | |||||||
Unilever plc | 5,958 | 371,137 | |||||||
1,108,064 | |||||||||
Pharmaceuticals – 19.1% | |||||||||
Bayer AG (Registered) | 3,336 | 231,513 | |||||||
GlaxoSmithKline plc | 41,379 | 830,286 | |||||||
Novartis AG (Registered) | 13,648 | 1,248,617 | |||||||
Novo Nordisk A/S, Class B | 7,971 | 406,820 | |||||||
Orion OYJ, Class B | 372 | 13,654 | |||||||
Roche Holding AG | 4,365 | 1,229,587 | |||||||
Roche Holding AG – BR | 189 | 53,036 | |||||||
Sanofi | 9,886 | 854,608 | |||||||
4,868,121 | |||||||||
Professional Services – 2.5% | |||||||||
Adecco Group AG (Registered) | 819 | 49,275 | |||||||
Bureau Veritas SA | 1,134 | 28,049 | |||||||
DKSH Holding AG | 105 | 6,160 | |||||||
Experian plc | 4,074 | 123,610 | |||||||
Randstad NV | 343 | 18,866 | |||||||
RELX plc | 12,870 | 312,769 | |||||||
SGS SA (Registered) | 38 | 96,929 | |||||||
635,658 | |||||||||
Real Estate Management & Development – 2.6% | |||||||||
Aroundtown SA | 14,616 | 120,607 | |||||||
Deutsche Wohnen SE | 2,668 | 98,047 | |||||||
LEG Immobilien AG | 903 | 102,011 | |||||||
PSP Swiss Property AG (Registered) | 242 | 28,320 | |||||||
Swiss Prime Site AG (Registered)* | 441 | 38,559 | |||||||
Vonovia SE | 5,681 | 271,720 | |||||||
659,264 | |||||||||
Specialty Retail – 1.6% | |||||||||
Fielmann AG | 234 | 17,001 | |||||||
Hennes & Mauritz AB, Class B | 8,075 | 143,916 | |||||||
Industria de Diseno Textil SA | 6,205 | 186,902 | |||||||
Kingfisher plc | 17,094 | 46,753 | |||||||
394,572 |
Investments | Number of Shares | Value | |||||||
Textiles, Apparel & Luxury Goods – 0.1% | |||||||||
HUGO BOSS AG | 241 | $ | 16,055 | ||||||
Puma SE | 320 | 21,373 | |||||||
37,428 | |||||||||
Tobacco – 0.6% | |||||||||
Imperial Brands plc | 4,578 | 107,602 | |||||||
Swedish Match AB | 798 | 33,715 | |||||||
141,317 | |||||||||
Trading Companies & Distributors – 0.1% | |||||||||
Travis Perkins plc | 1,168 | 18,946 | |||||||
Transportation Infrastructure – 0.8% | |||||||||
Abertis Infraestructuras SA*(a) | 5,576 | 41,084 | |||||||
Aena SME SA | 378 | 75,030 | |||||||
Atlantia SpA | 2,919 | 76,157 | |||||||
192,271 | |||||||||
Water Utilities – 0.4% | |||||||||
Pennon Group plc | 1,932 | 18,264 | |||||||
Severn Trent plc | 1,040 | 27,108 | |||||||
United Utilities Group plc | 5,166 | 51,467 | |||||||
96,839 | |||||||||
Wireless Telecommunication Services – 1.7% | |||||||||
Tele2 AB, Class B | 1,533 | 22,388 | |||||||
Vodafone Group plc | 247,835 | 407,901 | |||||||
430,289 | |||||||||
Total Common Stocks (Cost $26,079,169) | 25,128,714 | ||||||||
Total Investments — 98.6% (Cost $26,079,169) | 25,128,714 | ||||||||
Other Assets Less Liabilities — 1.4% | 369,018 | ||||||||
Net Assets — 100.0% | $ | 25,497,732 |
* | Non-income producing security. |
(a) | Security fair valued as of June 30, 2019 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at June 30, 2019 amounted to $41,084, which represents approximately 0.16% of net assets of the Fund. |
Abbreviations | ||
CVA | Dutch Certification | |
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 |
See accompanying notes to the financial statements.
12
OSI ETF Trust
O'Shares FTSE Europe Quality Dividend ETF
Schedule of Investments
June 30, 2019
As of June 30, 2019, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative contracts, if any) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 1,694,661 | ||
Aggregate gross unrealized depreciation | (2,699,650 | ) | ||
Net unrealized depreciation | $ | (1,004,989 | ) | |
Federal income tax cost of investments (including derivative contracts, if any) | $ | 26,133,703 |
O’Shares FTSE Europe Quality Dividend ETF invested, as a percentage of net assets, in the following countries as of June 30, 2019:
Australia | 1.7 | % | ||
Austria | 0.0 | %(a) | ||
Belgium | 1.6 | % | ||
Denmark | 2.4 | % | ||
Finland | 2.9 | % | ||
France | 17.0 | % | ||
Germany | 8.6 | % | ||
Italy | 3.6 | % | ||
Luxembourg | 0.1 | % | ||
Netherlands | 6.5 | % | ||
Norway | 1.5 | % | ||
Poland | 0.2 | % | ||
Portugal | 0.4 | % | ||
Spain | 3.5 | % | ||
Sweden | 4.6 | % | ||
Switzerland | 20.1 | % | ||
United Kingdom | 23.7 | % | ||
United States | 0.2 | % | ||
Other(1) | 1.4 | % | ||
100.0 | % |
(a) | Represents less than 0.05% of net assets. |
(1) | Includes cash and any non-equity securities and net other assets (liabilities). |
See accompanying notes to the financial statements.
13
OSI ETF Trust
Statements of Assets and Liabilities
June 30, 2019
O’Shares FTSE U.S. Quality Dividend ETF | O’Shares FTSE Russell Small Cap Quality Dividend ETF | O’Shares Global Internet Giants ETF | O’Shares FTSE Europe Quality Dividend ETF | |||||||||||||
ASSETS | ||||||||||||||||
Investments in securities, at value(1) | $ | 495,073,135 | $ | 97,515,521 | $ | 48,821,400 | $ | 25,128,714 | ||||||||
Cash | 2,325,818 | 245,655 | 32,068 | 103,521 | ||||||||||||
Segregated cash balances with Authorized Participant for deposit securities | — | — | 1,357,081 | — | ||||||||||||
Receivables: | ||||||||||||||||
Securities sold | 201,247 | — | 14,980 | 140,974 | ||||||||||||
Dividends | 635,564 | 72,589 | — | 68,527 | ||||||||||||
Foreign tax reclaims | — | — | 237 | 244,167 | ||||||||||||
Total Assets | 498,235,764 | 97,833,765 | 50,225,766 | 25,685,903 | ||||||||||||
LIABILITIES | ||||||||||||||||
Cash denominated in foreign currency(2) | — | — | — | 9,333 | ||||||||||||
Due to Authorized Participant | — | — | 14,980 | — | ||||||||||||
Collateral upon return of deposit securities | — | — | 1,357,081 | — | ||||||||||||
Payables: | ||||||||||||||||
Securities purchased | 707,175 | — | — | 532 | ||||||||||||
Income distributions | 763,628 | 227,147 | — | 165,859 | ||||||||||||
Investment management fees | 190,664 | 36,694 | 19,249 | 9,947 | ||||||||||||
Accrued expenses and other liabilities | — | — | — | 2,500 | ||||||||||||
Total Liabilities | 1,661,467 | 263,841 | 1,391,310 | 188,171 | ||||||||||||
Net Assets | $ | 496,574,297 | $ | 97,569,924 | $ | 48,834,456 | $ | 25,497,732 | ||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-in capital | $ | 476,678,204 | $ | 102,821,200 | $ | 51,022,964 | $ | 28,119,796 | ||||||||
Distributable earnings (loss) (Note 2) | 19,896,093 | (5,251,276 | ) | (2,188,508 | ) | (2,622,064 | ) | |||||||||
Net Assets | $ | 496,574,297 | $ | 97,569,924 | $ | 48,834,456 | $ | 25,497,732 | ||||||||
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 | 14,550,000 | 3,554,000 | 1,950,000 | 1,050,000 | ||||||||||||
Net Asset Value | $ | 34.13 | $ | 27.45 | $ | 25.04 | $ | 24.28 | ||||||||
(1) Investments in securities, at cost | $ | 469,127,857 | $ | 100,012,202 | $ | 48,007,756 | $ | 26,079,169 | ||||||||
(2) Cost of foreign cash | $ | — | $ | — | $ | — | $ | (9,324 | ) |
See accompanying notes to the financial statements.
14
OSI ETF Trust
Statements of Operations
For the Year Ended June 30, 2019
O’Shares FTSE U.S. Quality Dividend ETF | O’Shares FTSE Russell Small Cap Quality Dividend ETF | O’Shares Global Internet Giants ETF | O’Shares FTSE Europe Quality Dividend ETF | |||||||||||||
INVESTMENT INCOME | ||||||||||||||||
Dividend income | $ | 14,309,917 | $ | 2,917,248 | $ | 86,297 | $ | 1,217,808 | ||||||||
Special dividends (Note 3) | 226,147 | 158,401 | 15,180 | 26,007 | ||||||||||||
Foreign withholding tax on dividends | (48 | ) | (856 | ) | (678 | ) | (118,981 | ) | ||||||||
Total Investment Income | 14,536,016 | 3,074,793 | 100,799 | 1,124,834 | ||||||||||||
EXPENSES | ||||||||||||||||
Investment management fees (Note 4) | 2,151,173 | 558,716 | 239,979 | 145,481 | ||||||||||||
Total Expenses | 2,151,173 | 558,716 | 239,979 | 145,481 | ||||||||||||
Net Investment Income (Loss) | 12,384,843 | 2,516,077 | (139,180 | ) | 979,353 | |||||||||||
NET REALIZED GAIN (LOSS) FROM: | ||||||||||||||||
Transactions in investment securities | (3,311,101 | ) | 283,545 | (2,827,916 | ) | (975,632 | ) | |||||||||
In-kind redemptions of investments | 20,335,417 | 5,685,194 | 743,760 | 589,186 | ||||||||||||
Foreign currency transactions | — | — | (14,714 | ) | (27,705 | ) | ||||||||||
Net Realized Gain (Loss) | 17,024,316 | 5,968,739 | (2,098,870 | ) | (414,151 | ) | ||||||||||
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM: | ||||||||||||||||
Investments in securities | 15,574,374 | (7,662,265 | ) | 3,516,394 | 432,471 | |||||||||||
Translation of assets and liabilities denominated in foreign currencies | — | — | 12 | 3,357 | ||||||||||||
Net Change in Unrealized Appreciation (Depreciation) | 15,574,374 | (7,662,265 | ) | 3,516,406 | 435,828 | |||||||||||
Net Realized and Unrealized Gain (Loss) | 32,598,690 | (1,693,526 | ) | 1,417,536 | 21,677 | |||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 44,983,533 | $ | 822,551 | $ | 1,278,356 | $ | 1,001,030 |
See accompanying notes to the financial statements.
15
OSI ETF Trust
Statements of Changes in Net Assets
O’Shares FTSE U.S. Quality Dividend ETF | O’Shares FTSE Russell Small Cap Quality Dividend ETF | |||||||||||||||
Year Ended June 30, 2019 | Year Ended June 30, 2018 | Year Ended June 30, 2019 | Year Ended June 30, 2018 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net investment income (loss) | $ | 12,384,843 | $ | 11,465,229 | $ | 2,516,077 | $ | 2,173,837 | ||||||||
Net realized gain (loss) | 17,024,316 | 40,843,342 | 5,968,739 | (1,395,135 | ) | |||||||||||
Net change in unrealized appreciation (depreciation) | 15,574,374 | (18,036,112 | ) | (7,662,265 | ) | 5,115,414 | ||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 44,983,533 | 34,272,459 | 822,551 | 5,894,116 | ||||||||||||
DISTRIBUTIONS (Note 2) | ||||||||||||||||
Distributable earnings | (12,107,636 | ) | (11,976,178 | )(1) | (2,452,943 | ) | (2,253,382 | )(2) | ||||||||
Tax return of capital | — | — | — | (177,554 | ) | |||||||||||
Total Distributions | (12,107,636 | ) | (11,976,178 | ) | (2,452,943 | ) | (2,430,936 | ) | ||||||||
CAPITAL TRANSACTIONS | ||||||||||||||||
Proceeds from shares issued | 289,837,022 | 199,595,955 | 34,332,774 | 110,716,208 | ||||||||||||
Cost of shares redeemed | (237,407,319 | ) | (224,555,597 | ) | (71,934,364 | ) | (15,600,908 | ) | ||||||||
Net Increase (Decrease) from Capital Transactions | 52,429,703 | (24,959,642 | ) | (37,601,590 | ) | 95,115,300 | ||||||||||
Total Increase (Decrease) in Net Assets | 85,305,600 | (2,663,361 | ) | (39,231,982 | ) | 98,578,480 | ||||||||||
NET ASSETS | ||||||||||||||||
Beginning of year | $ | 411,268,697 | $ | 413,932,058 | $ | 136,801,906 | $ | 38,223,426 | ||||||||
End of Year | $ | 496,574,297 | $ | 411,268,697 | $ | 97,569,924 | $ | 136,801,906 | ||||||||
SHARE TRANSACTIONS | ||||||||||||||||
Beginning of year | 13,400,000 | 14,150,001 | 5,054,000 | 1,504,000 | ||||||||||||
Shares issued in-kind | 9,000,000 | 6,400,000 | 1,200,000 | 4,150,000 | ||||||||||||
Shares redeemed | — | (1 | ) | — | — | |||||||||||
Shares redeemed in-kind | (7,850,000 | ) | (7,150,000 | ) | (2,700,000 | ) | (600,000 | ) | ||||||||
Shares Outstanding, End of Year | 14,550,000 | 13,400,000 | 3,554,000 | 5,054,000 |
(1) | Prior year distributions to shareholders were made up of dividends from net investment income. |
(2) | Prior year distributions to shareholders were made up of dividends from net investment income of $2,240,369 and dividend from net realized capital gains of $13,013. |
See accompanying notes to the financial statements.
16
OSI ETF Trust
Statements of Changes in Net Assets
O’Shares Global Internet Giants ETF | O’Shares FTSE Europe Quality Dividend ETF | |||||||||||||||
Year Ended June 30, 2019 | For the period 06/05/18* – 06/30/18 | Year Ended June 30, 2019 | Year Ended June 30, 2018 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net investment income (loss) | $ | (139,180 | ) | $ | (12,633 | ) | $ | 979,353 | $ | 1,572,091 | ||||||
Net realized gain (loss) | (2,098,870 | ) | (20,298 | ) | (414,151 | ) | 3,045,774 | |||||||||
Net change in unrealized appreciation (depreciation) | 3,516,406 | (2,702,750 | ) | 435,828 | (3,628,785 | ) | ||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,278,356 | (2,735,681 | ) | 1,001,030 | 989,080 | |||||||||||
DISTRIBUTIONS (Note 2) | ||||||||||||||||
Distributable earnings | — | — | (1,031,170 | ) | (1,887,737 | )(1) | ||||||||||
Total Distributions | — | — | (1,031,170 | ) | (1,887,737 | ) | ||||||||||
CAPITAL TRANSACTIONS | ||||||||||||||||
Proceeds from shares issued | 8,374,599 | 54,470,286 | 5,975,740 | 12,610,283 | ||||||||||||
Cost of shares redeemed | (12,553,104 | ) | — | (21,146,226 | ) | (33,960,120 | ) | |||||||||
Net Increase (Decrease) from Capital Transactions | (4,178,505 | ) | 54,470,286 | (15,170,486 | ) | (21,349,837 | ) | |||||||||
Total Increase (Decrease) in Net Assets | (2,900,149 | ) | 51,734,605 | (15,200,626 | ) | (22,248,494 | ) | |||||||||
NET ASSETS | ||||||||||||||||
Beginning of year | $ | 51,734,605 | $ | — | $ | 40,698,358 | $ | 62,946,852 | ||||||||
End of Year | $ | 48,834,456 | $ | 51,734,605 | $ | 25,497,732 | $ | 40,698,358 | ||||||||
SHARE TRANSACTIONS | ||||||||||||||||
Beginning of year | 2,150,000 | — | 1,700,000 | 2,550,001 | ||||||||||||
Shares issued in-kind | 350,000 | 2,150,000 | 250,000 | 500,000 | ||||||||||||
Shares redeemed | — | — | — | (1 | ) | |||||||||||
Shares redeemed in-kind | (550,000 | ) | — | (900,000 | ) | (1,350,000 | ) | |||||||||
Shares Outstanding, End of Year | 1,950,000 | 2,150,000 | 1,050,000 | 1,700,000 |
* | Commencement of investment operations. |
(1) | Prior year distributions to shareholders were made up of dividends from net investment income. |
See accompanying notes to the financial statements.
17
OSI ETF Trust
Financial Highlights for a share outstanding throughout the period
PER SHARE OPERATING PERFORMANCE | RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Operations | Distributions | Ratios to Average Net Assets of(2) | Total Return(3)(4) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss)(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 | Expenses | Expenses net of reimburse- ments | Net investment income (loss) before reimburse- ments | Net investment income (loss) net of reimburse- ments | Net investment income (loss) net of reimbursement excluding special dividends(10) | Net investment income (loss) per share excluding special dividends(11) | Net asset value(5) | Market value(6) | Portfolio turnover rate(3)(7) | Ending net assets (thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
O’Shares FTSE U.S. Quality Dividend ETF | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended June 30, 2019 | $ | 30.69 | $ | 0.89 | $ | 3.44 | $ | 4.33 | $ | (0.89 | ) | $ | — | $ | — | $ | (0.89 | ) | $ | 34.13 | 0.48 | % | 0.48 | % | 2.76 | % | 2.76 | % | 2.71 | % | $ | 0.88 | 14.31 | % | 14.16 | % | 15 | % | $ | 496,574 | ||||||||||||||||||||||||||||||||||||
Year ended June 30, 2018 | 29.25 | 0.78 | 1.46 | 2.24 | (0.80 | ) | — | — | (0.80 | ) | 30.69 | 0.48 | (12) | 0.48 | (12) | 2.53 | 2.54 | 2.54 | 0.78 | 7.67 | 7.70 | 18 | 411,269 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended June 30, 2017 | 27.71 | 0.69 | 1.49 | 2.18 | (0.64 | ) | — | — | (0.64 | ) | 29.25 | 0.48 | (12) | 0.48 | (12) | 2.46 | 2.47 | 2.45 | 0.68 | 8.00 | 8.15 | 17 | 413,932 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
For the period 07/14/15* – 06/30/16 | 25.00 | 0.69 | 2.60 | 3.29 | (0.58 | ) | — | — | (0.58 | ) | 27.71 | 0.49 | (12) | 0.48 | (12) | 2.74 | 2.76 | 2.75 | 0.69 | 13.39 | 13.27 | 7 | 213,332 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
O’Shares FTSE Russell Small Cap Quality Dividend ETF | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended June 30, 2019 | 27.07 | 0.58 | 0.38 | (8) | 0.96 | (0.58 | ) | — | — | (0.58 | ) | 27.45 | 0.48 | 0.48 | 2.16 | 2.16 | 2.03 | $ | 0.54 | 3.65 | 3.53 | 52 | 97,570 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended June 30, 2018 | 25.41 | 0.66 | 1.70 | 2.36 | (0.66 | ) | — | (9) | (0.04 | ) | (0.70 | ) | 27.07 | 0.48 | 0.48 | 2.51 | 2.51 | 2.51 | 0.66 | 9.39 | 9.35 | 64 | 136,802 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
For the period 12/30/16** – 06/30/17 | 25.00 | 0.38 | 0.25 | 0.63 | (0.22 | ) | — | — | (0.22 | ) | 25.41 | 0.48 | 0.48 | 2.99 | 2.99 | 2.86 | 0.36 | 2.52 | 2.68 | 7 | 38,223 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
O’Shares Global Internet Giants ETF | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended June 30, 2019 | 24.06 | (0.06 | ) | 1.04 | 0.98 | — | — | — | — | 25.04 | 0.48 | 0.48 | (0.28 | ) | (0.28 | ) | (0.31 | ) | $ | (0.07 | ) | 4.07 | 3.69 | 55 | 48,834 | |||||||||||||||||||||||||||||||||||||||||||||||||||
For the period 06/05/18** – 06/30/18 | 25.00 | (0.01 | ) | (0.93 | ) | (0.94 | ) | — | — | — | — | 24.06 | 0.48 | 0.48 | (0.48 | ) | (0.48 | ) | (0.48 | ) | (0.01 | ) | (3.76 | ) | (3.52 | ) | 8 | 51,735 | ||||||||||||||||||||||||||||||||||||||||||||||||
O’Shares FTSE Europe Quality Dividend ETF | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended June 30, 2019 | 23.94 | 0.76 | 0.44 | 1.20 | (0.86 | ) | — | — | (0.86 | ) | 24.28 | 0.48 | 0.48 | 3.23 | 3.23 | 3.15 | $ | 0.74 | 5.16 | 5.25 | 35 | 25,498 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended June 30, 2018 | 24.69 | 0.69 | (0.55 | ) | 0.14 | (0.89 | ) | — | — | (0.89 | ) | 23.94 | 0.60 | (12) | 0.58 | (12) | 2.75 | 2.77 | 2.76 | 0.69 | 0.53 | (0.41 | ) | 30 | 40,698 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended June 30, 2017 | 23.17 | 0.75 | 1.34 | 2.09 | (0.57 | ) | — | — | (0.57 | ) | 24.69 | 0.61 | (12) | 0.58 | (12) | 3.21 | 3.24 | 3.05 | 0.70 | 9.18 | 8.91 | 30 | 62,947 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
For the period 08/19/15* – 06/30/16 | 25.00 | 1.04 | (2.32 | )(8) | (1.28 | ) | (0.55 | ) | — | — | (0.55 | ) | 23.17 | 0.66 | (12) | 0.58 | (12) | 5.14 | 5.22 | 5.21 | 1.04 | (5.06 | ) | (4.24 | ) | 7 | 25,483 |
* | Commencement of Prior Fund investment operations. |
** | 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) | Had certain expenses not been waived during the periods, if applicable, total returns would have been lower. |
(5) | 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. |
(6) | 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. |
(7) | In-kind transactions are not included in portfolio turnover calculations. |
(8) | The amount shown for a share outstanding throughout the period is not in accordance with the aggregate net realized and unrealized gain (loss) for that period because of the timing of sales and repurchases of the Fund shares in relation to fluctuating market value of the investments in the Fund. |
(9) | Per share amount is less than $0.01. |
(10) | This ratio reflects the exclusion of large, non-recurring dividends (special dividends) recognized by the Funds during each period. If a special dividend was received during a period, this ratio will be lower than the net investment income (loss) of average net assets ratio presented for the same period herein. |
(11) | This ratio reflects the exclusion of large, non-recurring dividends (special dividends) recognized by the Funds during the period. If a special dividend was received during a period, this ratio will be lower than the net investment income (loss) per share ratio presented for the same period herein. |
(12) | Reference Note 4 in the Notes to the Financial Statements. |
See accompanying notes to the financial statements.
18
OSI ETF Trust
Notes to Financial Statements
June 30, 2019
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 four operational exchange-traded funds (each a “Fund” and collectively, the “Funds”). The O’Shares FTSE U.S. Quality Dividend ETF, O’Shares FTSE Russell Small Cap Quality Dividend ETF and O’Shares FTSE Europe Quality Dividend ETF are diversified series of the Trust, pursuant to the 1940 Act. The O’Shares Global Internet Giants ETF is a non-diversified series of the Trust, pursuant to the 1940 Act. O’Shares Investment Advisers, LLC (the “Adviser”) is the investment adviser to each fund.
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.
The O’Shares FTSE Russell International Quality Dividend ETF and O’Shares FTSE Asia Pacific Quality Dividend ETF ceased trading on the NYSE Arca, Inc.TM and were closed for purchase by investors as of the close of regular trading on the New York Stock Exchange (“NYSE”) on December 20, 2018. The final liquidating distribution was paid to shareholders on December 28, 2018.
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 called 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 adopted amendments to Regulation S-X, which require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The Funds have updated disclosures in these financial statements to reflect the amendments, which were effective August 1, 2017. The first filing compliance date for Form N-PORT is no later than April 30, 2020, reflecting data as of March 31, 2020.
On August 17, 2018, the SEC adopted amendments to certain disclosure requirements that have become duplicative, overlapping, or outdated in light of other Commission disclosure requirements, U.S. GAAP, or changes in the information environment. The amendments include, among other items, to require presentation of the total, rather than the components, of distributable earnings on the balance sheet, and to require presentation of the total, rather than the components, of distributions to shareholders, except for tax return of capital distributions and to delete the requirement for disclosure of undistributed net investment income on the statement of changes in net assets. The amendments are intended to simplify and update the disclosure of information to investors. The amendments were effective on November 5, 2018. The adoption had no effect on the Funds’ net assets or results of operations. In connection with implementing the changes noted above, the distributions to shareholders during the fiscal year ended June 30, 2018, which were previously reported as
19
OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2019
distributions from net investment income & net realized gain (where applicable), have been reclassified as distributions from distributable earnings to conform to the current period presentation on the Statements of Changes in Net Assets.
Investment Valuation
The net asset value (“NAV”) of each Fund’s shares is calculated each business day as of the close of regular trading on the 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 and instruments not traded on an exchange are generally 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 or Level 2 in the fair value hierarchy described below.
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 NAV 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 NAV.
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.
20
OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2019
The following is a summary of the valuations as of June 30, 2019 for each Fund based upon the three levels defined above:
Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | |||||||||||||
O’Shares FTSE U.S. Quality Dividend ETF | ||||||||||||||||
Investments | ||||||||||||||||
Common Stocks* | $ | 495,073,135 | $ | — | $ | — | $ | 495,073,135 | ||||||||
Total Investments | $ | 495,073,135 | $ | — | $ | — | $ | 495,073,135 | ||||||||
O’Shares FTSE Russell Small Cap Quality Dividend ETF | ||||||||||||||||
Investments | ||||||||||||||||
Common Stocks* | $ | 97,515,521 | $ | — | $ | — | $ | 97,515,521 | ||||||||
Rights | — | — | — | — | ||||||||||||
Total Investments | $ | 97,515,521 | $ | — | $ | — | $ | 97,515,521 | ||||||||
O’Shares Global Internet Giants ETF | ||||||||||||||||
Investments | ||||||||||||||||
Common Stocks* | $ | 48,821,400 | $ | — | $ | — | $ | 48,821,400 | ||||||||
Total Investments | $ | 48,821,400 | $ | — | $ | — | $ | 48,821,400 | ||||||||
O’Shares FTSE Europe Quality Dividend ETF | ||||||||||||||||
Investments | ||||||||||||||||
Common Stocks | ||||||||||||||||
Transportation Infrastructure | $ | 151,187 | $ | 41,084 | $ | — | $ | 192,271 | ||||||||
Other* | 24,936,443 | — | — | 24,936,443 | ||||||||||||
Total Investments | $ | 25,087,630 | $ | 41,084 | $ | — | $ | 25,128,714 |
* | See Schedules of Investments for segregation by industry type. |
Real Estate Investment Trusts (“REITs”)
Certain Funds 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
21
OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2019
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.
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. As of June 30, 2019 (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. Management is 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.
22
OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2019
The tax character of the distributions paid for the tax year ended June 30, 2019 and June 30, 2018 were as follows:
Year Ended June 30, 2019 | Year Ended June 30, 2018 | |||||||||||||||||||||||||||||||
Fund | Distributions Paid from Ordinary Income | Distributions Paid from Net Long Term Capital gains | Tax Return of Capital | Total Distributions | Distributions Paid from Ordinary Income | Distributions Paid from Net Long Term Capital gains | Tax Return of Capital | Total Distributions | ||||||||||||||||||||||||
O’Shares FTSE U.S. Quality Dividend ETF | $ | 12,107,636 | $ | — | $ | — | $ | 12,107,636 | $ | 11,976,178 | $ | — | $ | — | $ | 11,976,178 | ||||||||||||||||
O’Shares FTSE Russell Small Cap Quality Dividend ETF | 2,452,943 | — | — | 2,452,943 | 2,240,369 | 13,013 | 177,554 | 2,430,936 | ||||||||||||||||||||||||
O’Shares FTSE Europe Quality Dividend ETF | 1,031,170 | — | — | 1,031,170 | 1,887,737 | — | — | 1,887,737 |
At June 30, 2019, 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 U.S. Quality Dividend ETF | $ | 269,547 | $ | — | $ | (6,303,017 | ) | $ | 25,929,563 | |||||||
O’Shares FTSE Russell Small Cap Quality Dividend ETF | — | — | (2,854,001 | ) | (2,397,275 | ) | ||||||||||
O’Shares Global Internet Giants ETF | — | — | (2,993,529 | ) | 805,021 | |||||||||||
O’Shares FTSE Europe Quality Dividend ETF | 122,842 | — | (1,741,427 | ) | (1,003,479 | ) |
* | The differences between the book and tax basis unrealized appreciation (depreciation) is attributable to mark to market of Passive Foreign Investment Companies (“PFICs”), non-taxable special dividends, investment in partnerships and tax deferral of losses on wash sales. Additionally, these amounts may differ from the tax unrealized appreciation (depreciation) disclosed at the end of each Schedule of Investments due to foreign currency translation of non-investment assets/liabilities. |
Permanent differences, primarily due to gain (loss) on in-kind redemptions, distributions from investments in real estate investment trusts, investment in partnerships, net operating losses, non-taxable special dividend foreign currency gains (losses), PFICs, and taxable over-distributions resulted in reclassifications, as of June 30, 2019, among the Funds’ components of net assets.
Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), the Funds are permitted to carry forward capital losses for an unlimited period. Capital loss carry forwards will retain their character as either short-term or long-term capital losses. For the tax year ended June 30, 2019, the following Funds had available capital loss carryforwards to offset future net capital gains to the extent provided by regulations and utilized capital loss carryforwards to offset net capital gains:
Fund | Capital Loss Carryforwards | Utilized Capital Loss Carryforwards | ||||||
O’Shares FTSE U.S. Quality Dividend ETF | $ | 6,195,945 | $ | 1,482,946 | ||||
O’Shares FTSE Russell Small Cap Quality Dividend ETF | 2,854,001 | — | ||||||
O’Shares Global Internet Giants ETF | 1,376,590 | — | ||||||
O’Shares FTSE Europe Quality Dividend ETF | 1,642,909 | — |
23
OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2019
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, 2019, the Funds will elect to treat the following post-October losses at arising on July 1, 2019:
Fund | Ordinary Late Year Loss Deferrals | Post-October Capital Losses | Total | |||||||||
O’Shares FTSE U.S. Quality Dividend ETF | $ | — | $ | 107,072 | $ | 107,072 | ||||||
O’Shares Global Internet Giants ETF | 147,379 | 1,469,560 | 1,616,939 | |||||||||
O’Shares FTSE Europe Quality Dividend ETF | — | 98,518 | 98,518 |
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 Statements 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 acts as the investment adviser to the O’Shares FTSE U.S. Quality Dividend ETF and O’Shares FTSE Europe Quality Dividend ETF pursuant to an investment advisory agreement with the Trust (the “OUSA/OEUR Advisory Agreement”). AGF Investments LLC (formerly known as FFCM, LLC) acts as the sub-adviser to the O’Shares FTSE U.S. Quality Dividend ETF and O’Shares FTSE Europe Quality Dividend ETF pursuant to a sub-advisory agreement with the Adviser (the “OUSA/OEUR Sub-Advisory Agreement”).
The Adviser acts as the investment adviser to the O’Shares FTSE Russell Small Cap Quality Dividend ETF and O’Shares Global Internet Giants ETF pursuant to an investment advisory agreement with the Trust (the “OUSM/OGIG Advisory Agreement” and, together with the OUSA/OEUR Advisory Agreement, the “Advisory Agreements”). Vident Investment Advisory, LLC (together with AGF Investments LLC, each a “Sub-Adviser”) acts as the sub-adviser to the O’Shares FTSE Russell Small Cap Quality Dividend ETF and O’Shares Global Internet Giants ETF pursuant to a sub-advisory agreement with the Adviser (the “OUSM/OGIG Sub-Advisory Agreement” and, together with the OUSA/OEUR Sub-Advisory Agreement, the “Sub-Advisory Agreements”).
Pursuant to the Advisory Agreements, the Adviser has the overall responsibility for the Funds’ investment program.
Each 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 each Sub-Adviser for compliance with the Funds’ investment objective, policies, strategies and restrictions. The Board of Trustees supervises and oversees the Adviser and each 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.
24
OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2019
Under the Advisory Agreements, 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 U.S. Quality Dividend ETF | 0.48 | % | ||
O’Shares FTSE Russell Small Cap Quality Dividend ETF | 0.48 | % | ||
O’Shares Global Internet Giants ETF | 0.48 | % | ||
O’Shares FTSE Europe Quality Dividend ETF | 0.48 | % |
Pursuant to the Sub-Advisory Agreements, the Adviser compensates each Sub-Adviser out of the management fee it receives from the Funds.
Under the Advisory Agreements, 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.
On June 28, 2018, the O’Shares FTSE U.S. Quality Dividend ETF the (“OUSA Prior Fund”), and O’Shares FTSE Europe Quality Dividend ETF the (“OEUR Prior Fund”) series of FQF Trust (each, a “Prior Fund” and collectively, the “Prior Funds”) were reorganized into corresponding newly created, identically named exchange traded funds of the OSI ETF Trust (each, a “New Fund”) via a tax-free reorganization. Each New Fund has the same name, ticker symbol and underlying index as the corresponding Prior Fund, is managed in accordance with the same investment objective, and is subject to substantially the same investment strategies, policies, and risks as the corresponding Prior Fund. Each New Fund is operated in a substantially similar manner as the corresponding Prior Fund, except that each New Fund is advised by O’Shares Investment Advisers, LLC and sub-advised by the Prior Funds’ adviser, FFCM, LLC. The same portfolio managers who managed the Prior Funds continue to manage the New Funds. All of the assets and liabilities of each Prior Fund were transferred to the corresponding New Fund in exchange for shares of beneficial interest of the corresponding New Fund. Each New Fund has adopted the financial performance and operating history of the corresponding Prior Fund. The information for the periods prior to June 28, 2018 is that of the Prior Funds.
Prior to June 28, 2018, when the following Funds become part of the Trust in connection with the tax-free reorganizations, the unitary management fee was 0.48% for the OUSA Prior Fund and was 0.58% for the OEUR Prior Fund.
Prior to June 28, 2018, FFCM, LLC, the former Adviser of the Prior Funds bore all of the costs of the Prior Funds, except for the advisory fee, distribution fees (including any payments under the Funds’ 12b-1 plan), brokerage commissions and other expenses incurred in placing orders for the purchase and sale of securities and other investment instruments, acquired fund fees and expenses, taxes, interest (including borrowing costs and dividend expenses on securities sold short), compensation and expenses of the Independent Trustees (including Independent Trustee counsel fees), litigation expenses and other extraordinary expenses (including litigation to which the Trust or the Funds may be a party and indemnification of the Trustees and officers with respect thereto).
FFCM, LLC had agreed to waive its fees and reimburse expenses for each Prior Fund until at least November 1, 2018 so that the total annual fund operating expenses after fee waiver and expense reimbursement for each Fund (except for distribution fees (including payments under a Rule 12b-1 plan), brokerage commissions and other expenses incurred in placing orders for the purchase and sale of securities and other investment instruments, acquired fund fees and expenses, taxes, interest (including borrowing costs and dividend expenses
25
OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2019
on securities sold short), litigation expenses and other extraordinary expenses (including litigation to which the Trust or a Fund may be a party and indemnification of the Trustees and officers with respect thereto)) were limited to the ratios below:
Fund | Expense limitation | |||
OUSA Prior Fund | 0.48 | % | ||
OEUR Prior Fund | 0.58 | % |
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 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. 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 entered into a Distribution Agreement (“Distribution Agreement”), under which the Distributor, as agent, receives orders from Authorized Participants to create and redeem shares in Creation Unit Aggregations and transmits such orders to the Trust’s custodian and transfer agent. 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 a shareholder 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
26
OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2019
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 a shareholder buys or sells Fund shares on the secondary market, a shareholder will pay or receive the market price, which may be higher or lower than NAV. Authorized participant transaction will be priced at NAV if the authorized participant purchases or redeems Fund shares in 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.
9. Investment Transactions
For the year ended June 30, 2019, the cost of securities purchased and proceeds from sales of securities, excluding in-kind transactions, were as follows:
Fund | Purchases | Sales | ||||||
O’Shares FTSE U.S. Quality Dividend ETF | $ | 69,195,736 | $ | 67,290,481 | ||||
O’Shares FTSE Russell Small Cap Quality Dividend ETF | 60,821,956 | 61,019,673 | ||||||
O’Shares Global Internet Giants ETF | 27,581,884 | 27,677,390 | ||||||
O’Shares FTSE Europe Quality Dividend ETF | 10,684,184 | 10,871,499 |
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 year ended June 30, 2019 the value of the securities transferred for redemptions, and the net realized gains recorded in connection with the transactions were as follows:
Fund | Value | Realized Gain | ||||||
O’Shares FTSE U.S. Quality Dividend ETF | $ | 235,178,657 | $ | 20,335,417 | ||||
O’Shares FTSE Russell Small Cap Quality Dividend ETF | 71,460,915 | 5,685,194 | ||||||
O’Shares Global Internet Giants ETF | 12,540,548 | 743,760 | ||||||
O’Shares FTSE Europe Quality Dividend ETF | 20,866,018 | 589,186 |
During the period presented in this report, the Funds received securities in exchange for subscription of shares (subscription-in-kind). For the year ended June 30, 2019, the value of the securities received for subscriptions were as follows:
Fund | Value | |||
O’Shares FTSE U.S. Quality Dividend ETF | $ | 288,373,081 | ||
O’Shares FTSE Russell Small Cap Quality Dividend ETF | 34,260,216 | |||
O’Shares Global Internet Giants ETF | 8,379,199 | |||
O’Shares FTSE Europe Quality Dividend ETF | 5,894,478 |
27
OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2019
11. Principal Risks
Some principal risks apply to all Funds while others are specific to the investment strategy of certain Funds. Each Fund may be subject to other principal risks in addition to these identified principal risks. This section discusses certain principal risks encountered by the Funds.
Authorized Participants Concentration Risk. Each Fund has a limited number of financial institutions that may purchase and redeem Fund shares directly from the Funds (“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.
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.
Europe Risk. Decreasing imports or exports, changes in governmental or European Union (the “E.U.”) regulations on trade, changes in the exchange rate of the euro, the default or threat of default by an E.U. member country on its sovereign debt, and/or an economic recession in an E.U. member country may have a significant adverse effect on the securities of E.U. issuers. The European financial markets have recently experienced volatility and adversity due to concerns about economic downturns, or rising government debt levels, in several European countries. These events have adversely affected the exchange rate of the euro and may continue to significantly affect every country in Europe. The risk of investing in Europe may be heightened due to the recent referendum in which the United Kingdom voted to withdraw from membership in the E.U. In addition, if one or more countries were to exit the E.U. or abandon the use of the euro as a currency, the value of investments tied to those countries or the euro could decline significantly and unpredictably. Any such event could have a material adverse impact on the value and risk profile of the Funds’ portfolios.
Flash Crash Risk. Sharp price declines in securities owned by a Fund may trigger trading halts, which may result in the Fund’s shares trading in the market at an increasingly large discount to NAV during part (or all) of a trading day.
Foreign Investment Risk. Returns on investments in foreign securities could be more volatile than, or trail the returns on, investments in U.S. securities. Exposures to foreign securities entail special risks, including due to: differences in information available about foreign issuers; differences in investor protection standards in other jurisdictions; capital controls risks, including the risk of a foreign jurisdiction imposing restrictions on the ability to repatriate or transfer currency or other assets; political, diplomatic and economic risks; regulatory risks; and foreign market and trading risks, including the costs of trading and risks of settlement in foreign jurisdictions. In addition, 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.
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.
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OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2019
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. To the extent a Target Index is new it will have a limited performance history. The foregoing risks may be greater for a new index.
Internet Companies Risk. Companies involved with the internet, technology and e-commerce are exposed to risks associated with rapid advances in technology, obsolescence of current products and services, the finite life of patents and the constant threat of global competition and substitutes. In addition to these risks, these companies may be adversely impacted by market and economic cyclicality and changing industry standards.
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. A Fund’s Target Index, and thus the corresponding Fund, seeks to achieve specific factor exposures identified in the Fund’s principal investment strategies. 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 identified above.
Non-Diversification Risk. The O’Shares Global Internet Giants ETF is classified as “non-diversified” under the 1940 Act, which means that the Fund may invest a relatively high percentage of its assets in a limited number of issuers. As a result, the Fund may be more susceptible to a single adverse economic or regulatory occurrence affecting one or more of these issuers, experience increased volatility and be highly invested in certain issuers.
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 areas 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.
29
OSI ETF Trust
Notes to Financial Statements (continued)
June 30, 2019
Sampling Risk. To the extent a Fund uses a representative sampling approach, it will hold a smaller number of securities than are in its Target Index. As a result, an adverse development respecting a security held by a Fund could result in a greater decline in NAV than would be the case if the Fund held all of the securities in its Target Index. Conversely, a positive development relating to a security in a Fund’s Target Index that is not held by the Fund could cause the Fund to underperform the Target Index. To the extent the assets in a Fund are smaller, these risks will be greater.
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.
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.
The Funds’ prospectus contain additional information regarding the principal risks associated with an investment in a Fund.
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. New Accounting Pronouncements
On August 28, 2018, the FASB issued ASU 2018-13, “Disclosure Framework — Changes to the Disclosure Requirements for Fair Value Measurement,” which amends the fair value measurement disclosure requirements of ASC 820. The amendments of ASU 2018-13 include new, eliminated, and modified disclosure requirements of ASC 820. In addition, the amendments clarify that materiality is an appropriate consideration of entities when evaluating disclosure requirements. The ASU is effective for all entities for fiscal years beginning after December 15, 2019, including interim periods therein. Early adoption is permitted for any eliminated or modified disclosures upon issuance of this ASU. The Funds have early adopted ASU 2018-13 for these financial statements.
14. 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.
30
OSI ETF Trust
Report of Independent Registered Public Accounting Firm
June 30, 2019
To the Board of Trustees of OSI ETF Trust
and the Shareholders of O’Shares FTSE U.S. Quality Dividend ETF, O’Shares FTSE Russell Small Cap Quality Dividend ETF, O’Shares Global Internet Giants ETF, and O’Shares FTSE Europe Quality Dividend ETF
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of O’Shares FTSE U.S. Quality Dividend ETF, O’Shares FTSE Russell Small Cap Quality Dividend ETF, O’Shares Global Internet Giants ETF, and O’Shares FTSE Europe 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, 2019, and the related statements of operations for the year then ended and the statements of changes in net assets and the financial highlights as noted in the table below and the related notes (collectively referred to as the“financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Funds as of June 30, 2019, and the results of their operations for the year then ended and the changes in their net assets and their financial highlights as noted in the table below, in conformity with accounting principles generally accepted in the United States of America.
The financial highlights of O’Shares FTSE U.S. Quality Dividend ETF and O’Shares FTSE Europe Quality Dividend ETF for the year ended June 30, 2017 and for the periods from July 14, 2015 and August 19, 2015 (commencements of operations, respectively) to June 30, 2016 were audited by other auditors whose report dated August 24, 2017 expressed an unqualified opinion on those financial highlights.
Statements of Changes in Net Assets and Financial Highlights | ||
O’Shares FTSE U.S. Quality Dividend ETF | For each of the years in the two-year period ended June 30, 2019 | |
O’Shares FTSE Russell Small Cap Quality Dividend ETF | The statements of changes in net assets and the financial highlights for each of the years in the two-year period ended June 30, 2019 and the financial highlights for the period from December 30, 2016 (commencement of operations) to June 30, 2017 | |
O’Shares Global Internet Giants ETF | For the year ended June 30, 2019 and for the period from June 5, 2018 (commencement of operations) to June 30, 2018 | |
O’Shares FTSE Europe Quality Dividend ETF | For each of the years in the two-year period ended June 30, 2019 |
Basis for Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities law and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to
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OSI ETF Trust
Report of Independent Registered Public Accounting Firm
June 30, 2019
obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risk of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2019 by correspondence with the custodian and brokers, or by other appropriate auditing procedures where replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
BBD, LLP
We have served as the auditor of one or more of the Funds in the OSI ETF Trust since 2017.
Philadelphia, Pennsylvania
August 23, 2019
32
OSI ETF Trust
Expense Examples (Unaudited)
June 30, 2019
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, 2019.
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, 2019.
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.
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OSI ETF Trust
Expense Examples (Unaudited)
June 30, 2019
Beginning Account Value 01/01/19 | Ending Account Value 06/30/19 | Expenses Paid During the Period* | Annualized Expense Ratio During Period | ||||||||||||||
O'Shares FTSE U.S. Quality Dividend ETF | |||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,150.30 | $ | 2.56 | 0.48 | % | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.41 | $ | 2.41 | 0.48 | % | |||||||||
O'Shares FTSE Russell Small Cap Quality Dividend ETF | |||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,172.40 | $ | 2.59 | 0.48 | % | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.41 | $ | 2.41 | 0.48 | % | |||||||||
O'Shares Global Internet Giants ETF | |||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,306.20 | $ | 2.74 | 0.48 | % | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.41 | $ | 2.41 | 0.48 | % | |||||||||
O'Shares FTSE Europe Quality Dividend ETF | |||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,140.00 | $ | 2.55 | 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). |
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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 atwww.oshares.comor the Securities and Exchange Commission’s (“SEC”) SEC’s website atwww.sec.govor 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 year ended June 30 will be available without charge upon request by calling collect 1-617-855-7670 or on the SEC’s website atwww.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 of on Form N-Q. The Form N-Q will be available on the SEC’s website atwww.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 atwww.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 year ended June 30, 2019 are designated as “qualified dividend income” (QDI), as defined in the Act, subject to reduced tax rates in 2019. The Funds also qualify for the dividends received deduction (DRD) for corporate shareholders. Complete information will be reported in conjunction with your 2019 Form 1099-DIV.
As of June 30, 2019, the Funds federal tax information were as follows:
Fund | QDI | DRD | ||||||
O’Shares FTSE U.S. Quality Dividend ETF | 100 | % | 100 | % | ||||
O’Shares FTSE Russell Small Cap Quality Dividend ETF | 100 | % | 100 | % | ||||
O’Shares FTSE Europe Quality Dividend ETF | 100 | % | — | % |
For the tax year ended June 30, 2019, 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:
Fund | Foreign Taxes Paid | Foreign Source Income | ||||||
O’Shares FTSE Europe Quality Dividend ETF | 112,047 | 1,243,765 |
35
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). | 8 | Harvest Volatility Edge Trust (2017 to present); Axonic Alternative Income Fund (2018 to present) | |||||
Charles A. Baker**** Year of Birth: 1953 | Trustee | Since 2016 | Chief Executive Officer of Investment Innovations LLC (investment consulting) (2013 to present); Managing Director of NYSE Euronext (2003 to 2012). | 8 | Global X Funds (July 2018 to present) | |||||
Jeffrey D. Haroldson Year of Birth: 1957 | 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). | 8 | None | |||||
Interested Trustee***** | ||||||||||
Connor O’Brien Year of Birth: 1961 | Trustee | Since 2016 | Chief Executive Officer, O’Shares Investment Advisers, LLC (2016 to present); Chief Executive Officer and President, O’Shares Investments, Inc. (2015 to present); President, BeanStox Inc. (2017 to present); President and Chief Investment Officer, Stanton Asset Management Inc. (2002 to present); President, Chief Executive Officer and Director, O’Leary Funds Management LP (2008 to present). | 8 | 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 successor is duly elected or appointed and qualified. |
*** | Chair of the Nominating and Governance Committee. |
**** | Chair of the Audit Committee. |
***** | 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).
36
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 (2017 to present); Director of Capital Markets and Strategic Development, O’Shares Investments, Inc. (2015 to 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.) (2004 to 2013). | |||
Joshua G. Hunter 10 High Street, Suite 302 Boston,MA 02110 Year of Birth: 1981 | Principal Financial Officer and Treasurer | Since 2016 | Fund Principal Financial Officer, Foreside Fund Officer Services, LLC (2015 to present); Vice President/Assistant Vice President, Treasury Services, JPMorgan Chase & Co. (2008 to 2015).** | |||
Kenneth A. Kalina 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 (2017 to present); Chief Compliance Officer, Henderson Global Funds (2005 to 2017); Chief Compliance Officer, Henderson Global Investors (North America) Inc. (2005 to 2015).** |
* | Each officer serves until his 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). |
37
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, 2019, 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. The registrant has not amended the code of ethics as described in Form N-CSR during the period covered by this report. The registrant has not granted any waiver, including an implicit waiver, from a provision of the code of ethics as described in Form N-CSR during the period covered by this report.
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. The registrant has not amended the code of ethics as described in Form N-CSR during the period covered by this report. During the period covered by this report, there have been no waivers granted under the code of ethics.
Item 4. Principal Accountant Fees and Services.
Aggregate fees for professional services rendered for OSI ETF Trust by BBD, LLP (“BBD”) for the fiscal years ended June 30, 2018 and June 30, 2019 were:
2018 | 2019 | |
Audit Fees (a) | $72,600 | 49,500 |
Audit Related Fees (b) | 0 | 0 |
Tax Fees (c) | $18,000 | 12,000 |
All Other Fees (d) | 0 | 0 |
Total: | $90,600 | 61,500 |
(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, 2018 and June 30, 2019 annual financial statements. |
(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 years ended June 30, 2018 and June 30, 2019: $18,000 and $12,000, respectively. |
(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. Purchases 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. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 13. Exhibits.
(a)(1) | Code of Ethics – Please see Item 2. |
(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 sent or given during the period covered by the report by or on behalf of the Registrant to 10 or more persons. |
Not applicable.
(a)(4) | Change in the Registrant’s independent public accountant. |
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, 2019
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, 2019
By:/s/ Joshua Hunter
Joshua Hunter
Principal Financial Officer and Treasurer
September 6, 2019