AltShares Merger Arbitrage ETF | Portfolio of Investments |
February 28, 2021 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS - 90.12% | ||||||||
Auto Manufacturers - 2.05% | ||||||||
Navistar International Corp.(a)(b) | 2,968 | $ | 130,770 | |||||
Banks - 4.72% | ||||||||
CIT Group, Inc. | 2,619 | 118,771 | ||||||
TCF Financial Corp.(b) | 4,057 | 181,835 | ||||||
300,606 | ||||||||
Biotechnology - 3.71% | ||||||||
Alexion Pharmaceuticals, Inc.(a)(b) | 1,354 | 206,824 | ||||||
Kiadis Pharma N.V.(a)(c) | 4,549 | 29,611 | ||||||
236,435 | ||||||||
Chemicals - 1.96% | ||||||||
Tikkurila Oyj | 3,056 | 124,628 | ||||||
Commercial Services - 5.54% | ||||||||
Cardtronics Plc, Class A(a)(b) | 3,309 | 127,562 | ||||||
HMS Holdings Corp.(a)(b) | 3,647 | 134,155 | ||||||
IHS Markit Ltd.(b) | 1,010 | 91,061 | ||||||
352,778 | ||||||||
Computers & Computer Services - 5.97% | ||||||||
Cubic Corp. | 2,678 | 185,987 | ||||||
Perspecta, Inc.(b) | 6,638 | 193,830 | ||||||
379,817 | ||||||||
Construction Materials - 0.65% | ||||||||
Pinnacle Renewable Energy, Inc. | 4,795 | 41,371 | ||||||
Diversified Financial Services - 8.34% | ||||||||
AFH Financial Group Plc | 3,797 | 24,228 | ||||||
Boston Private Financial Holdings, Inc.(b) | 6,697 | 92,151 | ||||||
Eaton Vance Corp.(b) | 4,406 | 321,946 | ||||||
Genworth MI Canada, Inc.(a) | 2,725 | 92,654 | ||||||
530,979 | ||||||||
Electric - 2.87% | ||||||||
Atlantic Power Corp.(a) | 16,939 | 48,850 | ||||||
PNM Resources, Inc.(b) | 2,795 | 134,188 | ||||||
183,038 | ||||||||
Electronics - 2.77% | ||||||||
FLIR Systems, Inc.(b) | 3,300 | 176,220 | ||||||
Entertainment - 1.53% | ||||||||
Great Canadian Gaming Corp.(a) | 2,923 | 97,387 | ||||||
Healthcare - Products - 8.29% | ||||||||
Cantel Medical Corp.(a)(b) | 1,742 | 129,396 | ||||||
CRH Medical Corp.(a) | 24,221 | 93,260 | ||||||
Oxford Immunotec Global Plc(a)(b) | 4,443 | 97,524 |
AltShares Merger Arbitrage ETF | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS - 90.12% (Continued) | ||||||||
Healthcare - Products - 8.29% (Continued) | ||||||||
Varian Medical Systems, Inc.(a)(b) | 1,184 | $ | 207,520 | |||||
527,700 | ||||||||
Healthcare - Services - 2.11% | ||||||||
Magellan Health, Inc.(a)(b) | 1,439 | 134,288 | ||||||
Insurance - 7.20% | ||||||||
ProSight Global, Inc.(a)(b) | 2,676 | 33,825 | ||||||
Protective Insurance Corp., Class B | 1,460 | 33,448 | ||||||
RSA Insurance Group Plc | 20,265 | 190,687 | ||||||
Willis Towers Watson Plc(b) | 908 | 200,341 | ||||||
458,301 | ||||||||
Internet - 2.52% | ||||||||
Grubhub, Inc.(a) | 2,506 | 160,559 | ||||||
Media - 1.48% | ||||||||
Tele Columbus AG(a)(c) | 13,337 | 52,057 | ||||||
Tribune Publishing Co.(a) | 2,475 | 42,025 | ||||||
94,082 | ||||||||
Oil & Gas - 1.59% | ||||||||
QEP Resources, Inc.(b) | 29,517 | 101,539 | ||||||
Pharmaceuticals - 0.41% | ||||||||
Handicare Group AB(c) | 4,497 | 26,309 | ||||||
Pipelines - 1.49% | ||||||||
TC PipeLines LP(a)(b) | 3,248 | 94,582 | ||||||
Real Estate Investment Trusts - 0.66% | ||||||||
Anworth Mortgage Asset Corp.(b) | 15,190 | 42,076 | ||||||
Retail - 1.51% | ||||||||
Sportsman's Warehouse Holdings, Inc.(a)(b) | 5,664 | 95,948 | ||||||
Semiconductors - 8.95% | ||||||||
Dialog Semiconductor Plc(a) | 2,633 | 204,589 | ||||||
Maxim Integrated Products, Inc.(b) | 1,990 | 185,409 | ||||||
Xilinx, Inc.(b) | 1,381 | 179,944 | ||||||
569,942 | ||||||||
Software - 9.30% | ||||||||
Change Healthcare, Inc.(a)(b) | 7,890 | 180,444 | ||||||
RealPage, Inc.(a)(b) | 2,450 | 212,611 | ||||||
Slack Technologies, Inc., Class A(a)(b) | 4,856 | 198,756 | ||||||
591,811 | ||||||||
Telecommunications - 1.49% | ||||||||
Cincinnati Bell, Inc.(a)(b) | 6,206 | 94,828 | ||||||
Water - 3.01% | ||||||||
Suez SA | 9,193 | 191,334 | ||||||
TOTAL COMMON STOCKS (Cost $5,641,265) | 5,737,328 |
AltShares Merger Arbitrage ETF | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
Yield | Shares | Value | ||||||||||
SHORT-TERM INVESTMENTS - 11.58% | ||||||||||||
Money Market Funds | ||||||||||||
Morgan Stanley Institutional Liquidity Fund Government Portfolio, Institutional Class | 0.026 | %(d) | $ | 368,838 | $ | 368,838 | ||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 0.097 | %(d) | 368,838 | 368,838 | ||||||||
737,676 | ||||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $737,676) | 737,676 | |||||||||||
Total Investments - 101.70% (Cost $6,378,941) | 6,475,004 | |||||||||||
Liabilities in Excess of Other Assets - (1.70)%(e) | (108,478 | ) | ||||||||||
NET ASSETS - 100.00% | $ | 6,366,526 |
Portfolio Footnotes
(a) | Non-income-producing security. |
(b) | Security, or a portion of security, is being held as collateral for short sales or forward foreign currency exchange contracts. At February 28, 2021, the aggregate fair market value of those securities was $2,562,023, representing 40.24% of net assets. |
(c) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of February 28, 2021, these securities had a total value of $107,977 or 1.70% of net assets. |
(d) | Rate shown is the 7-day effective yield as of February 28, 2021. |
(e) | Includes cash held as collateral for short sales and written option contracts. |
AltShares Merger Arbitrage ETF | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
SCHEDULE OF SECURITIES SOLD SHORT | Shares | Value | ||||||
COMMON STOCKS - (3.60%) | ||||||||
Banks - (1.06%) | ||||||||
Morgan Stanley | (875 | ) | $ | (67,261 | ) | |||
Food - (2.54%) | ||||||||
Just Eat Takeaway.com N.V. | (1,681 | ) | (162,014 | ) | ||||
TOTAL COMMON STOCKS (Proceeds $250,017) | (229,275 | ) | ||||||
TOTAL SECURITIES SOLD SHORT (Proceeds $250,017) | $ | (229,275 | ) |
EQUITY SWAP CONTRACTS
Swap Counterparty/ Payment Frequency | Reference Obligation | Rate Paid/Received by the Fund | Termination Date | Upfront Payments Paid | Upfront Payments Received | Market Value | Notional Amount | Unrealized Appreciation | ||||||||||||||||||
Morgan Stanley & Co./ Monthly | Aon Plc | Received 1 Month-Federal Rate Minus 40 bps (-0.330%) | 05/06/2022 | $ | — | $ | — | $ | — | USD | 223,384 | $ | — | |||||||||||||
Morgan Stanley & Co./ Monthly | Analog Devices, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.330%) | 05/06/2022 | — | — | — | USD | 195,398 | — | |||||||||||||||||
Morgan Stanley & Co./ Monthly | Advanced Micro Devices, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.330%) | 05/06/2022 | — | — | — | USD | 201,134 | — | |||||||||||||||||
Morgan Stanley & Co./ Monthly | AstraZeneca Plc | Received 1 Month-Federal Rate Minus 40 bps (-0.330%) | 05/06/2022 | — | — | — | USD | 139,141 | — | |||||||||||||||||
Morgan Stanley & Co./ Monthly | Salesforce.com, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.330%) | 05/06/2022 | — | — | — | USD | 81,621 | — | |||||||||||||||||
Morgan Stanley & Co./ Monthly | Diamondback Energy, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.330%) | 05/06/2022 | — | — | — | USD | 102,257 | — |
AltShares Merger Arbitrage ETF | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
Swap Counterparty/ Payment Frequency | Reference Obligation | Rate Paid/Received by the Fund | Termination Date | Upfront Payments Paid | Upfront Payments Received | Market Value | Notional Amount | Unrealized Appreciation | ||||||||||||||||||
Morgan Stanley & Co./ Monthly | First Citizen BancShares, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.330%) | 05/06/2022 | $ | — | $ | — | $ | — | USD | 119,538 | $ | — | |||||||||||||
Morgan Stanley & Co./ Monthly | Huntington Bancshares, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.330%) | 05/06/2022 | — | — | — | USD | 186,857 | — | |||||||||||||||||
Morgan Stanley & Co./ Monthly | Morgan Stanley | Received 1 Month-Federal Rate Minus 40 bps (-0.330%) | 05/06/2022 | — | — | — | USD | 130,295 | — | |||||||||||||||||
Morgan Stanley & Co./ Monthly | Ready Capital Corp. | Received 1 Month-Federal Rate Minus 40 bps (-0.330%) | 05/06/2022 | — | — | — | USD | 33,640 | — | |||||||||||||||||
Morgan Stanley & Co./ Monthly | SVB Financial Group | Received 1 Month-Federal Rate Minus 40 bps (-0.330%) | 05/06/2022 | — | — | — | USD | 77,320 | — | |||||||||||||||||
Morgan Stanley & Co./ Monthly | SPGI U.S. Equity | Received 1 Month-Federal Rate Minus 40 bps (-0.330%) | 05/06/2022 | — | — | — | USD | 94,526 | — | |||||||||||||||||
Morgan Stanley & Co./ Monthly | STERIS Plc | Received 1 Month-Federal Rate Minus 40 bps (-0.330%) | 05/06/2022 | — | — | — | USD | 102,957 | — | |||||||||||||||||
Morgan Stanley & Co./ Monthly | Teledyne Technologies, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.330%) | 05/06/2022 | — | — | — | USD | 87,927 | — | |||||||||||||||||
Morgan Stanley & Co./ Monthly | TC Energy Corp. | Received 1 Month-Federal Rate Minus 40 bps (-0.330%) | 05/06/2022 | — | — | — | USD | 95,307 | — | |||||||||||||||||
Morgan Stanley & Co./ Monthly | Casline Plc | Paid 1 Month SONIA Plus 90 bps (0.949%) | 07/08/2022 | — | — | — | GBP | 11,346 | — | |||||||||||||||||
Morgan Stanley & Co./ Monthly | William Hill Plc | Paid 1 Month SONIA Plus 90 bps (0.948%) | 07/08/2022 | — | — | — | GBP | 93,785 | — | |||||||||||||||||
$ | — | $ | 1,976,433 | $ | — |
AltShares Merger Arbitrage ETF | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS | ||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||||||
CAD | 196,190 | USD | 153,271 | Morgan Stanley & Co. | 03/15/2021 | $ | 900 | |||||||||
USD | 212,875 | CAD | 268,590 | Morgan Stanley & Co. | 03/15/2021 | 1,811 | ||||||||||
EUR | 14,660 | USD | 17,557 | Morgan Stanley & Co. | 03/15/2021 | 136 | ||||||||||
USD | 986,274 | EUR | 810,460 | Morgan Stanley & Co. | 03/15/2021 | 8,125 | ||||||||||
GBP | 89,500 | USD | 123,549 | Morgan Stanley & Co. | 03/15/2021 | 1,151 | ||||||||||
USD | 24,714 | GBP | 17,500 | Morgan Stanley & Co. | 03/15/2021 | 331 | ||||||||||
USD | 27,047 | SEK | 224,850 | Morgan Stanley & Co. | 03/15/2021 | 414 | ||||||||||
$ | 12,868 |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Depreciation | ||||||||||||
CAD | 27,080 | USD | 21,471 | Morgan Stanley & Co. | 03/15/2021 | $ | (191 | ) | ||||||||
USD | 335,557 | CAD | 429,020 | Morgan Stanley & Co. | 03/15/2021 | (1,578 | ) | |||||||||
EUR | 280,560 | USD | 340,265 | Morgan Stanley & Co. | 03/15/2021 | (1,654 | ) | |||||||||
USD | 360,803 | GBP | 263,300 | Morgan Stanley & Co. | 03/15/2021 | (6,053 | ) | |||||||||
$ | (9,476 | ) |
The following is a summary of investments classified by country exposure:
Country | % of Net Assets(a) | |||
United Kingdom | 14.69 | % | ||
Canada | 5.10 | % | ||
France | 3.01 | % | ||
Finland | 1.96 | % | ||
Germany | 0.82 | % | ||
Netherlands | 0.46 | % | ||
Sweden | 0.41 | % | ||
United States | 75.25 | % | ||
Liabilities in Excess of Other Assets | (1.70 | )% | ||
100.00 | % |
(a) | These percentages represent long positions only and are not net of short positions. |
AltShares Merger Arbitrage ETF | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
Abbreviations: |
AB - Aktiebolag is the Swedish term for a limited company. |
AG - Aktiengesellschaft is a German term that refers to a corporation that is limited by shares, i.e., owned by shareholders. |
bps - Basis Points. 100 Basis Points is equal to 1 percentage point. |
CAD - Canadian dollar |
EUR - Euro |
GBP - British pound |
LP - Limited Partnership |
Ltd. - Limited |
N.V. - Naamloze Vennootschap is the Dutch term for a public limited liability corporation. |
Oyj - Osakeyhtio is the Finnish equivalent of a public limited company. |
Plc - Public Limited Company |
SA - Generally designates corporations in various countries, mostly those employing civil law. This translates literally in all languages mentioned as anonymous company. |
SEK - Swedish krona |
SONIA - Sterling OverNight Index Average |
USD - United States Dollar |
AltShares Merger Arbitrage ETF | Portfolio of Investments |
February 28, 2021 (unaudited) |
Investments in Securities at Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets | ||||||||||||||||
Common Stocks* | $ | 5,737,328 | $ | — | $ | — | $ | 5,737,328 | ||||||||
Short-Term Investments | 737,676 | — | — | 737,676 | ||||||||||||
TOTAL | $ | 6,475,004 | $ | — | $ | — | $ | 6,475,004 | ||||||||
Other Financial Instruments** | ||||||||||||||||
Assets | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 12,868 | $ | — | $ | 12,868 | ||||||||
Equity Swaps | 0 | — | — | 0 | ||||||||||||
Liabilities | ||||||||||||||||
Common Stocks* | (229,275 | ) | — | — | (229,275 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | — | (9,476 | ) | — | (9,476 | ) | ||||||||||
TOTAL | $ | (229,275 | ) | $ | 3,392 | $ | — | $ | (225,883 | ) |
* | Refer to Portfolio of Investments for sector information. |
** | Other financial instruments are instruments such as securities sold short, equity swaps and forward foreign currency exchange contracts. |