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 811-23789
Touchstone ETF Trust
(Exact name of registrant as specified in charter)
303 Broadway, Suite 1100
Cincinnati, Ohio 45202-4203
(Address of principal executive offices) (Zip code)
E. Blake Moore Jr.
303 Broadway, Suite 1100
Cincinnati, Ohio 45202-4203
(Name and address of agent for service)
Registrant's telephone number, including area code: 800-638-8194
Date of fiscal year end: December 31
Date of reporting period: December 31, 2023
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
(a) | The Report to Shareholders is attached herewith. |
Touchstone ETF Trust |
Touchstone Climate Transition ETF |
Touchstone Dividend Select ETF |
Touchstone Dynamic International ETF |
Touchstone Securitized Income ETF |
Touchstone Strategic Income Opportunities ETF |
Touchstone Ultra Short Income ETF |
Touchstone US Large Cap Focused ETF |
President
Touchstone ETF Trust
Cumulative Total Return** | |
Touchstone Climate Transition ETF | Since Inception* |
NAV | 0.87% |
Market Price | 1.12% |
MSCI World Index | 12.92% |
* | The inception date of the Fund was April 28, 2023. The returns of the index listed above are based on the inception date of the Fund. |
** | Not annualized. |
Average Annual Total Returns | ||
Touchstone Dividend Select ETF | 1 Year | Since Inception* |
NAV | 14.01% | 11.22% |
Market Price | 14.01% | 11.23% |
Russell 1000® Value Index | 11.46% | 8.38% |
* | The inception date of the Fund was August 2, 2022. The returns of the index listed above are based on the inception date of the Fund. |
Average Annual Total Returns | |||
Touchstone Dynamic International ETF | 1 Year | 5 Years | 10 Years |
NAV | 17.21% | 6.73% | 4.41% |
Market Price | 17.12% | 6.71% | 4.40% |
MSCI All Country World Ex-USA Index | 15.62% | 7.08% | 3.83% |
MSCI All Country World Index | 22.20% | 11.72% | 7.93% |
Bloomberg US Universal Index | 6.17% | 1.44% | 2.08% |
* | On December 8, 2023, the Touchstone Dynamic International ETF acquired the assets and liabilities, and assumed the NAV, performance, financial and other historical information of the Touchstone Dynamic Allocation Fund (the “Predecessor Fund”), an open-end mutual fund. The Fund’s performance prior to December 8, 2023 is linked to the Predecessor Fund’s Class Y shares. |
Cumulative Total Return** | |
Touchstone Securitized Income ETF | Since Inception* |
NAV | 5.37% |
Market Price | 5.32% |
Bloomberg U.S. Aggregate Bond Index | 3.04% |
* | The inception date of the Fund was July 17, 2023. The returns of the index listed above are based on the inception date of the Fund. |
** | Not annualized. |
Average Annual Total Returns | ||
Touchstone Strategic Income Opportunities ETF | 1 Year | Since Inception* |
NAV | 8.14% | 5.54% |
Market Price | 8.11% | 5.72% |
Bloomberg U.S. Aggregate Bond Index | 5.53% | 0.95% |
* | The inception date of the Fund was July 21, 2022. The returns of the index listed above are based on the inception date of the Fund. |
Average Annual Total Returns | ||
Touchstone Ultra Short Income ETF | 1 Year | Since Inception* |
NAV | 6.47% | 5.20% |
Market Price | 6.50% | 5.24% |
ICE BofA 3-Month U.S. Treasury Bill Index | 5.01% | 4.44% |
ICE BofA 1-Year U.S. Treasury Note Index | 4.74% | 3.49% |
* | The inception date of the Fund was August 4, 2022. The returns of the index listed above are based on the inception date of the Fund. |
Average Annual Total Returns | ||
Touchstone US Large Cap Focused ETF | 1 Year | Since Inception* |
NAV | 26.17% | 14.96% |
Market Price | 26.22% | 14.96% |
S&P 500® Index | 26.29% | 14.57% |
* | The inception date of the Fund was July 27, 2022. The returns of the index listed above are based on the inception date of the Fund. |
Sector Allocation*(% of Net Assets) | |
Information Technology | 24.6% |
Industrials | 23.8 |
Utilities | 18.1 |
Materials | 14.8 |
Consumer Discretionary | 12.5 |
Financials | 2.1 |
Health Care | 2.0 |
Consumer Staples | 1.9 |
Short-Term Investment Fund | 2.1 |
Other Assets/Liabilities (Net) | (1.9) |
Total | 100.0% |
Sector Allocation*(% of Net Assets) | |
Information Technology | 23.5% |
Financials | 13.7 |
Health Care | 13.2 |
Industrials | 9.7 |
Consumer Discretionary | 7.3 |
Communication Services | 6.2 |
Consumer Staples | 6.0 |
Materials | 4.5 |
Real Estate | 3.8 |
Energy | 3.6 |
Utilities | 3.4 |
Short-Term Investment Fund | 5.1 |
Other Assets/Liabilities (Net) | (0.0) |
Total | 100.0% |
Geographic Allocation(% of Net Assets) | |
Common Stocks | |
Japan | 18.1% |
Canada | 10.3 |
Sweden | 6.0 |
Taiwan | 5.9 |
Denmark | 5.9 |
South Korea | 5.5 |
China | 5.1 |
Switzerland | 4.3 |
United Kingdom | 4.2 |
Netherlands | 3.9 |
Germany | 3.3 |
Norway | 3.3 |
France | 2.9 |
Singapore | 2.9 |
Italy | 2.7 |
Brazil | 2.7 |
Spain | 2.3 |
Indonesia | 2.1 |
Mexico | 2.0 |
Australia | 1.2 |
Malaysia | 0.7 |
New Zealand | 0.6 |
Preferred Stocks | 1.1 |
Short-Term Investment Fund | 3.0 |
Other Assets/Liabilities (Net) | 0.0 |
Total | 100.0% |
Credit Quality*(% of Fixed Income Securities) | |
AAA/Aaa | 10.9% |
AA/Aa | 5.6 |
A/A | 25.1 |
BBB/Baa | 40.1 |
BB/Ba | 1.9 |
B/B | 3.8 |
CCC | 0.6 |
Not Rated | 4.7 |
Cash Equivalents | 7.3 |
Total | 100.0% |
Sector Allocation**(% of Net Assets) | |
Asset-Backed Securities | 53.0% |
Commercial Mortgage-Backed Securities | 22.7 |
Non-Agency Collateralized Mortgage Obligations | 10.3 |
Agency Collateralized Mortgage Obligations | 3.0 |
U.S. Treasury Obligations | 1.9 |
Corporate Bonds | 1.1 |
Short-Term Investment Fund | 5.1 |
Other Assets/Liabilities (Net) | 2.9 |
Total | 100.0% |
Credit Quality*(% of Fixed Income Securities) | |
AAA/Aaa | 32.4% |
AA/Aa | 2.9 |
A/A | 9.6 |
BBB/Baa | 30.1 |
BB/Ba | 15.9 |
B/B | 5.2 |
CCC | 1.1 |
CC | 0.2 |
Not Rated | (0.3) |
Cash Equivalents | 2.9 |
Total | 100.0% |
Sector Allocation**(% of Net Assets) | |
Corporate Bonds | 43.5% |
U.S. Treasury Obligations | 29.7 |
Asset-Backed Securities | 10.1 |
Commercial Mortgage-Backed Securities | 5.3 |
Common Stocks | |
Financials | 0.6 |
Information Technology | 0.6 |
Industrials | 0.6 |
Communication Services | 0.3 |
Consumer Staples | 0.3 |
Energy | 0.3 |
Health Care | 0.3 |
Non-Agency Collateralized Mortgage Obligations | 2.6 |
Sovereign Government Obligations | 2.3 |
Preferred Stocks | |
Financials | 0.0 |
Short-Term Investment Fund | 3.0 |
Other Assets/Liabilities (Net) | 0.5 |
Total | 100.0% |
Credit Quality*(% of Fixed Income Securities) | |
AAA/Aaa | 51.4% |
AA/Aa | 13.7 |
A/A | 12.8 |
BBB/Baa | 14.6 |
BB/Ba | 0.7 |
Cash Equivalents | 6.8 |
Total | 100.0% |
Sector Allocation**(% of Net Assets) | |
Information Technology | 26.1% |
Health Care | 14.7 |
Financials | 14.4 |
Communication Services | 13.4 |
Industrials | 8.2 |
Consumer Discretionary | 8.0 |
Consumer Staples | 3.8 |
Energy | 2.9 |
Materials | 2.4 |
Real Estate | 1.1 |
Short-Term Investment Fund | 5.1 |
Other Assets/Liabilities (Net) | (0.1) |
Total | 100.0% |
Shares | Market Value | |||
Common Stocks — 99.8% | ||||
Information Technology — 24.6% | ||||
450 | ANSYS, Inc.* | $ 163,296 | ||
419 | ASM International NV (Netherlands) | 217,377 | ||
1,244 | Autodesk, Inc.* | 302,889 | ||
2,242 | Bentley Systems, Inc. - Class B | 116,988 | ||
760 | Cadence Design Systems, Inc.* | 207,001 | ||
1,902 | Enphase Energy, Inc.* | 251,330 | ||
3,888 | Infineon Technologies AG (Germany) | 162,243 | ||
19,686 | LONGi Green Energy Technology Co. Ltd. (China) - Class A | 63,564 | ||
538 | NVIDIA Corp. | 266,429 | ||
2,668 | ON Semiconductor Corp.* | 222,858 | ||
1,400 | PTC, Inc.* | 244,944 | ||
977 | SolarEdge Technologies, Inc.* | 91,447 | ||
3,420 | STMicroelectronics NV (Singapore) | 170,823 | ||
2,730 | Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan) ADR | 283,920 | ||
2,765,109 | ||||
Industrials — 23.8% | ||||
7,432 | Array Technologies, Inc.* | 124,858 | ||
8,997 | CSX Corp. | 311,926 | ||
700 | Daikin Industries Ltd. (Japan) | 114,110 | ||
288 | Deere & Co. | 115,163 | ||
3,844 | Hexcel Corp. | 283,495 | ||
416 | LG Energy Solution Ltd. (South Korea)* | 138,085 | ||
3,002 | MasTec, Inc.* | 227,312 | ||
1,378 | Republic Services, Inc. | 227,246 | ||
819 | Schneider Electric SE | 164,353 | ||
8,034 | Shoals Technologies Group, Inc. - Class A* | 124,848 | ||
6,895 | Signify NV 144a | 230,787 | ||
11,200 | Sungrow Power Supply Co. Ltd. (China) - Class A | 138,322 | ||
2,861 | Trex Co., Inc.* | 236,862 | ||
434 | United Rentals, Inc. | 248,864 | ||
2,686,231 | ||||
Utilities — 18.1% | ||||
1,188 | American Water Works Co., Inc. | 156,804 | ||
8,887 | Boralex, Inc. (Canada) - Class A | 225,889 | ||
5,160 | CMS Energy Corp. | 299,641 | ||
22,969 | Enel SpA (Italy) | 170,650 | ||
20,958 | National Grid PLC (United Kingdom) | 282,635 | ||
5,189 | NextEra Energy, Inc. | 315,180 | ||
6,616 | RWE AG (Germany) | 300,767 | ||
12,103 | SSE PLC (United Kingdom) | 286,327 | ||
2,037,893 | ||||
Materials — 14.8% | ||||
909 | Albemarle Corp. | 131,332 | ||
7,581 | Anglo American PLC (South Africa) | 190,421 | ||
2,385 | Corteva, Inc. | 114,289 | ||
2,928 | Crown Holdings, Inc. | 269,640 | ||
9,361 | Graphic Packaging Holding Co. | 230,749 | ||
9,874 | Pan American Silver Corp. (Canada) | 161,242 | ||
3,856 | Sigma Lithium Corp. (Brazil)* | 121,580 | ||
786 | Sika AG (Switzerland) | 255,785 | ||
1,637 | Steel Dynamics, Inc. | 193,330 | ||
1,668,368 |
Shares | Market Value | |||
Consumer Discretionary — 12.5% | ||||
2,609 | Aptiv PLC* | $ 234,080 | ||
6,994 | BYD Co. Ltd. (China) - Class H | 192,036 | ||
12,084 | Compass Group PLC (United Kingdom) | 330,545 | ||
1,536 | Mercedes-Benz Group AG (Germany) | 106,064 | ||
7,468 | On Holding AG (Switzerland) - Class A* | 201,412 | ||
1,196 | Shimano, Inc. (Japan) | 185,210 | ||
633 | Tesla, Inc.* | 157,288 | ||
1,406,635 | ||||
Financials — 2.1% | ||||
415 | MSCI, Inc. | 234,745 | ||
Health Care — 2.0% | ||||
427 | Thermo Fisher Scientific, Inc. | 226,647 | ||
Consumer Staples — 1.9% | ||||
3,311 | Danone SA (France) | 214,485 | ||
Total Common Stocks | $11,240,113 | |||
Short-Term Investment Fund — 2.1% | ||||
242,723 | Dreyfus Government Cash Management, Institutional Shares, 5.25%∞Ω | 242,723 | ||
Total Investment Securities—101.9% (Cost $11,218,444) | $11,482,836 | |||
Liabilities in Excess of Other Assets — (1.9%) | (217,304) | |||
Net Assets — 100.0% | $11,265,532 |
* | Non-income producing security. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of December 31, 2023. |
Portfolio Abbreviations: |
ADR – American Depositary Receipt |
PLC – Public Limited Company |
144a - This is a restricted security that was sold in a transaction qualifying for the exemption under Rule 144a of the Securities Act of 1933. This security may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2023, these securities were valued at $230,787 or 2.0% of net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Trustees. |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $11,240,113 | $— | $— | $11,240,113 |
Short-Term Investment Fund | 242,723 | — | — | 242,723 |
Total | $11,482,836 | $— | $— | $11,482,836 |
Shares | Market Value | |||
Common Stocks — 94.9% | ||||
Information Technology — 23.5% | ||||
4,224 | Apple, Inc. | $ 813,247 | ||
597 | Broadcom, Inc. | 666,401 | ||
12,130 | Cisco Systems, Inc. | 612,808 | ||
11,388 | Intel Corp. | 572,247 | ||
4,224 | International Business Machines Corp. | 690,835 | ||
1,120 | KLA Corp. | 651,056 | ||
3,721 | Microsoft Corp. | 1,399,245 | ||
6,288 | Oracle Corp. | 662,944 | ||
4,782 | QUALCOMM, Inc. | 691,621 | ||
3,212 | Texas Instruments, Inc. | 547,517 | ||
7,307,921 | ||||
Financials — 13.7% | ||||
17,803 | Bank of America Corp. | 599,427 | ||
878 | BlackRock, Inc. | 712,760 | ||
7,842 | Charles Schwab Corp. (The) | 539,530 | ||
1,848 | Goldman Sachs Group, Inc. (The) | 712,903 | ||
13,895 | US Bancorp | 601,376 | ||
2,020 | Visa, Inc. - Class A | 525,907 | ||
11,352 | Wells Fargo & Co. | 558,745 | ||
4,250,648 | ||||
Health Care — 13.2% | ||||
2,302 | Cencora, Inc. | 472,785 | ||
7,951 | CVS Health Corp. | 627,811 | ||
4,437 | Johnson & Johnson | 695,455 | ||
8,342 | Medtronic PLC | 687,214 | ||
4,218 | Merck & Co., Inc. | 459,846 | ||
18,565 | Pfizer, Inc. | 534,486 | ||
1,182 | UnitedHealth Group, Inc. | 622,288 | ||
4,099,885 | ||||
Industrials — 9.7% | ||||
3,746 | 3M Co. | 409,513 | ||
1,969 | Caterpillar, Inc. | 582,174 | ||
990 | Lockheed Martin Corp. | 448,707 | ||
6,248 | RTX Corp. | 525,707 | ||
14,933 | Southwest Airlines Co. | 431,265 | ||
6,251 | Stanley Black & Decker, Inc. | 613,223 | ||
3,010,589 | ||||
Consumer Discretionary — 7.3% | ||||
1,760 | Home Depot, Inc. (The) | 609,928 | ||
1,666 | McDonald's Corp. | 493,986 | ||
5,995 | Starbucks Corp. | 575,580 | ||
4,488 | Yum! Brands, Inc. | 586,402 | ||
2,265,896 | ||||
Communication Services — 6.2% | ||||
29,272 | AT&T, Inc. | 491,184 | ||
13,829 | Comcast Corp. - Class A | 606,402 | ||
11,396 | Fox Corp. - Class A | 338,119 | ||
13,500 | Verizon Communications, Inc. | 508,950 | ||
1,944,655 | ||||
Consumer Staples — 6.0% | ||||
1,689 | Constellation Brands, Inc. - Class A | 408,316 |
Shares | Market Value | |||
Consumer Staples — 6.0% (Continued) | ||||
3,201 | Dollar General Corp. | $ 435,176 | ||
2,772 | PepsiCo, Inc. | 470,796 | ||
5,773 | Philip Morris International, Inc. | 543,124 | ||
1,857,412 | ||||
Materials — 4.5% | ||||
1,409 | Air Products & Chemicals, Inc. | 385,784 | ||
6,883 | DuPont de Nemours, Inc. | 529,509 | ||
5,972 | International Flavors & Fragrances, Inc. | 483,553 | ||
1,398,846 | ||||
Real Estate — 3.8% | ||||
4,345 | Alexandria Real Estate Equities, Inc. REIT | 550,816 | ||
2,891 | American Tower Corp. REIT | 624,109 | ||
1,174,925 | ||||
Energy — 3.6% | ||||
6,211 | Exxon Mobil Corp. | 620,976 | ||
3,749 | Valero Energy Corp. | 487,370 | ||
1,108,346 | ||||
Utilities — 3.4% | ||||
5,533 | Duke Energy Corp. | 536,922 | ||
5,038 | Entergy Corp. | 509,795 | ||
1,046,717 | ||||
Total Common Stocks | $29,465,840 | |||
Short-Term Investment Fund — 5.1% | ||||
1,585,467 | Dreyfus Government Cash Management, Institutional Shares, 5.25%∞Ω | 1,585,467 | ||
Total Investment Securities—100.0% (Cost $28,691,724) | $31,051,307 | |||
Liabilities in Excess of Other Assets — (0.0%) | (11,291) | |||
Net Assets — 100.0% | $31,040,016 |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of December 31, 2023. |
Portfolio Abbreviations: |
PLC – Public Limited Company |
REIT – Real Estate Investment Trust |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $29,465,840 | $— | $— | $29,465,840 |
Short-Term Investment Fund | 1,585,467 | — | — | 1,585,467 |
Total | $31,051,307 | $— | $— | $31,051,307 |
Shares | Market Value | |||
Common Stocks — 95.9% | ||||
Japan — 18.1% | ||||
Consumer Discretionary — 5.7% | ||||
3,900 | Bridgestone Corp. | $ 161,532 | ||
2,600 | Fast Retailing Co. Ltd. | 645,206 | ||
48,000 | Honda Motor Co. Ltd. | 499,064 | ||
15,200 | Isuzu Motors Ltd. | 195,767 | ||
59,800 | Mazda Motor Corp. | 646,137 | ||
61,700 | Nissan Motor Co. Ltd. | 242,511 | ||
35,400 | Subaru Corp. | 649,251 | ||
Consumer Staples — 0.6% | ||||
12,800 | Japan Tobacco, Inc. | 330,894 | ||
Energy — 0.5% | ||||
19,200 | Inpex Corp. | 259,336 | ||
Financials — 2.7% | ||||
59,600 | Mitsubishi UFJ Financial Group, Inc. | 512,095 | ||
55,200 | Mizuho Financial Group, Inc. | 944,468 | ||
Industrials — 1.8% | ||||
26,100 | Mitsubishi Corp. | 417,137 | ||
17,100 | Sumitomo Corp. | 373,047 | ||
3,200 | Toyota Tsusho Corp. | 188,550 | ||
Information Technology — 2.2% | ||||
21,400 | Canon, Inc. | 549,418 | ||
1,400 | Disco Corp. | 347,319 | ||
13,500 | Yokogawa Electric Corp. | 257,458 | ||
Materials — 1.3% | ||||
27,900 | JFE Holdings, Inc. | 432,846 | ||
11,000 | Nippon Steel Corp. | 251,986 | ||
Utilities — 3.3% | ||||
53,600 | Chubu Electric Power Co., Inc. | 692,428 | ||
45,500 | Tokyo Gas Co. Ltd. | 1,044,887 | ||
Total Japan | 9,641,337 | |||
Canada — 10.3% | ||||
Consumer Discretionary — 2.0% | ||||
14,600 | Dollarama, Inc. | 1,052,152 | ||
Consumer Staples — 1.1% | ||||
9,900 | Alimentation Couche-Tard, Inc. | 582,995 | ||
Energy — 1.4% | ||||
11,100 | Canadian Natural Resources Ltd. | 727,211 | ||
Financials — 1.2% | ||||
9,700 | Brookfield Asset Management Ltd. - Class A | 389,596 | ||
300 | Fairfax Financial Holdings Ltd. | 276,784 | ||
Industrials — 2.0% | ||||
10,900 | Air Canada* | 153,746 | ||
28,200 | Element Fleet Management Corp. | 458,844 | ||
3,100 | WSP Global, Inc. | 434,545 | ||
Information Technology — 2.6% | ||||
500 | Constellation Software, Inc. | 1,239,678 | ||
1,900 | Shopify, Inc. - Class A* | 147,922 | ||
Total Canada | 5,463,473 | |||
Sweden — 6.0% | ||||
Consumer Staples — 1.0% | ||||
22,231 | Essity AB | 551,033 | ||
Financials — 1.6% | ||||
60,221 | Skandinaviska Enskilda Banken AB - Class A | 828,736 | ||
Industrials — 3.4% | ||||
11,649 | Assa Abloy AB - Class B | 335,285 |
Shares | Market Value | |||
Sweden — (Continued) | ||||
Industrials — (Continued) | ||||
31,284 | Atlas Copco AB - Class B | $ 463,396 | ||
21,915 | Lifco AB - Class B | 537,117 | ||
7,647 | Saab AB | 460,668 | ||
Total Sweden | 3,176,235 | |||
Taiwan — 5.9% | ||||
Financials — 0.6% | ||||
337,000 | CTBC Financial Holding Co. Ltd. | 311,300 | ||
Information Technology — 5.3% | ||||
60,000 | Asustek Computer, Inc. | 956,974 | ||
344,000 | AUO Corp. | 203,438 | ||
412,000 | Compal Electronics, Inc. | 534,960 | ||
50,000 | Micro-Star International Co. Ltd. | 332,350 | ||
24,000 | Quanta Computer, Inc. | 175,559 | ||
34,000 | Taiwan Semiconductor Manufacturing Co. Ltd. | 656,946 | ||
Total Taiwan | 3,171,527 | |||
Denmark — 5.9% | ||||
Financials — 0.9% | ||||
21,059 | Tryg A/S | 458,123 | ||
Health Care — 3.9% | ||||
1,379 | Genmab A/S* | 440,082 | ||
15,829 | Novo Nordisk A/S - Class B | 1,636,416 | ||
Industrials — 1.1% | ||||
346 | AP Moller - Maersk A/S - Class A | 613,841 | ||
Total Denmark | 3,148,462 | |||
South Korea — 5.5% | ||||
Communication Services — 0.3% | ||||
1,750 | JYP Entertainment Corp. | 137,647 | ||
Consumer Discretionary — 2.9% | ||||
3,899 | Hankook Tire & Technology Co. Ltd. | 137,444 | ||
37,250 | Hanon Systems | 210,849 | ||
2,308 | Hyundai Motor Co. | 364,685 | ||
10,856 | Kia Corp. | 842,923 | ||
Energy — 0.1% | ||||
387 | SK Innovation Co. Ltd.* | 42,159 | ||
Financials — 1.2% | ||||
19,048 | KakaoBank Corp. | 421,514 | ||
25,709 | NH Investment & Securities Co. Ltd. | 206,207 | ||
Industrials — 1.0% | ||||
7,317 | Doosan Bobcat, Inc. | 286,340 | ||
2,680 | Samsung C&T Corp. | 269,477 | ||
Total South Korea | 2,919,245 | |||
China — 5.1% | ||||
Communication Services — 2.6% | ||||
22,200 | Baidu, Inc. - Class A* | 330,079 | ||
21,700 | Tencent Holdings Ltd. | 815,921 | ||
29,635 | Tencent Music Entertainment Group ADR* | 267,011 | ||
Consumer Discretionary — 2.1% | ||||
3,820 | PDD Holdings, Inc. ADR* | 558,904 | ||
91,600 | Tongcheng-Elong Holdings Ltd.* | 169,393 | ||
22,967 | Vipshop Holdings Ltd. ADR* | 407,894 | ||
Industrials — 0.4% | ||||
115,000 | Weichai Power Co. Ltd. Class H | 192,047 | ||
Total China | 2,741,249 |
Shares | Market Value | |||
Common Stocks — 95.9% (Continued) | ||||
Switzerland — 4.3% | ||||
Financials — 1.6% | ||||
7,560 | Swiss Re AG | $ 849,977 | ||
Health Care — 1.5% | ||||
7,610 | Novartis AG | 767,922 | ||
Information Technology — 1.2% | ||||
4,787 | Logitech International SA | 453,970 | ||
2,153 | Temenos AG | 200,235 | ||
Total Switzerland | 2,272,104 | |||
United Kingdom — 4.2% | ||||
Communication Services — 0.5% | ||||
24,596 | Informa PLC | 244,916 | ||
Consumer Discretionary — 1.2% | ||||
22,348 | Compass Group PLC | 611,306 | ||
Consumer Staples — 0.6% | ||||
13,597 | Imperial Brands PLC | 313,092 | ||
Financials — 0.4% | ||||
27,606 | HSBC Holdings PLC | 223,619 | ||
Health Care — 0.5% | ||||
2,064 | AstraZeneca PLC | 278,873 | ||
Industrials — 0.6% | ||||
82,751 | Rolls-Royce Holdings PLC* | 316,119 | ||
Information Technology — 0.4% | ||||
15,211 | Sage Group PLC (The) | 227,332 | ||
Total United Kingdom | 2,215,257 | |||
Netherlands — 3.9% | ||||
Energy — 0.5% | ||||
7,861 | Shell PLC | 257,665 | ||
Information Technology — 3.4% | ||||
2,418 | ASML Holding NV | 1,819,693 | ||
Total Netherlands | 2,077,358 | |||
Germany — 3.3% | ||||
Financials — 0.6% | ||||
1,239 | Allianz SE | 330,937 | ||
Industrials — 1.6% | ||||
39,109 | Deutsche Lufthansa AG* | 347,467 | ||
2,686 | Siemens AG | 503,847 | ||
Information Technology — 1.1% | ||||
3,727 | SAP SE | 573,879 | ||
Total Germany | 1,756,130 | |||
Norway — 3.3% | ||||
Financials — 2.8% | ||||
49,547 | DNB Bank ASA | 1,053,372 | ||
23,603 | Gjensidige Forsikring ASA | 435,591 | ||
Industrials — 0.5% | ||||
5,685 | Kongsberg Gruppen ASA | 260,416 | ||
Total Norway | 1,749,379 | |||
France — 2.9% | ||||
Communication Services — 0.5% | ||||
2,776 | Publicis Groupe SA | 257,423 | ||
Industrials — 1.8% | ||||
3,193 | Airbus SE | 492,711 | ||
6,238 | Cie de Saint-Gobain SA | 459,049 |
Shares | Market Value | |||
France — (Continued) | ||||
Information Technology — 0.6% | ||||
7,347 | Dassault Systemes SE | $ 358,777 | ||
Total France | 1,567,960 | |||
Singapore — 2.9% | ||||
Financials — 2.1% | ||||
115,400 | Oversea-Chinese Banking Corp. Ltd. | 1,136,730 | ||
Industrials — 0.8% | ||||
79,900 | Singapore Airlines Ltd. | 397,154 | ||
Total Singapore | 1,533,884 | |||
Italy — 2.7% | ||||
Financials — 2.7% | ||||
403,144 | Intesa Sanpaolo SpA | 1,176,489 | ||
9,255 | UniCredit SpA | 250,982 | ||
Total Italy | 1,427,471 | |||
Brazil — 2.7% | ||||
Communication Services — 1.7% | ||||
242,200 | TIM SA | 893,990 | ||
Financials — 0.6% | ||||
28,500 | Banco do Brasil SA | 324,979 | ||
Industrials — 0.4% | ||||
24,300 | WEG SA | 184,641 | ||
Materials — 0.0% | ||||
3,800 | Klabin SA | 17,382 | ||
Total Brazil | 1,420,992 | |||
Spain — 2.3% | ||||
Consumer Discretionary — 2.3% | ||||
28,818 | Industria de Diseno Textil SA | 1,254,409 | ||
Indonesia — 2.1% | ||||
Energy — 1.3% | ||||
2,781,100 | Adaro Energy Indonesia Tbk PT | 429,890 | ||
203,100 | United Tractors Tbk PT | 298,444 | ||
Industrials — 0.8% | ||||
1,137,900 | Astra International Tbk PT | 417,557 | ||
Total Indonesia | 1,145,891 | |||
Mexico — 2.0% | ||||
Consumer Staples — 0.7% | ||||
26,900 | Fomento Economico Mexicano SAB de CV | 350,820 | ||
Financials — 0.9% | ||||
49,900 | Grupo Financiero Banorte SAB de CV Class O | 502,791 | ||
Real Estate — 0.4% | ||||
108,300 | Fibra Uno Administracion SA de CV REIT | 194,520 | ||
Total Mexico | 1,048,131 | |||
Australia — 1.2% | ||||
Financials — 0.7% | ||||
35,488 | QBE Insurance Group Ltd. | 358,154 | ||
Materials — 0.5% | ||||
31,655 | Northern Star Resources Ltd. | 294,448 | ||
Total Australia | 652,602 | |||
Malaysia — 0.7% | ||||
Industrials — 0.7% | ||||
220,200 | MISC Bhd | 349,349 |
Shares | Market Value | |||
Common Stocks — 95.9% (Continued) | ||||
New Zealand — 0.6% | ||||
Information Technology — 0.6% | ||||
4,547 | Xero Ltd.* | $ 347,967 | ||
Total Common Stocks | $51,080,412 | |||
Preferred Stocks — 1.1% | ||||
South Korea — 1.0% | ||||
Consumer Discretionary — 1.0% | ||||
3,215 | Hyundai Motor Co. | 285,079 | ||
2,854 | Hyundai Motor Co. | 251,517 | ||
Total South Korea | 536,596 | |||
Brazil — 0.1% | ||||
Energy — 0.1% | ||||
7,500 | Petroleo Brasileiro SA | 57,498 | ||
Total Preferred Stocks | $594,094 | |||
Short-Term Investment Fund — 3.0% | ||||
1,590,588 | Dreyfus Government Cash Management, Institutional Shares, 5.25%∞Ω | 1,590,588 | ||
Total Investment Securities — 100.0% (Cost $51,028,026) | $53,265,094 | |||
Other Assets in Excess of Liabilities — 0.0% | 6,966 | |||
Net Assets — 100.0% | $53,272,060 |
* | Non-income producing security. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of December 31, 2023. |
Portfolio Abbreviations: |
ADR – American Depositary Receipt |
PLC – Public Limited Company |
REIT – Real Estate Investment Trust |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $51,080,412 | $— | $— | $51,080,412 |
Preferred Stocks | 594,094 | — | — | 594,094 |
Short-Term Investment Fund | 1,590,588 | — | — | 1,590,588 |
Total | $53,265,094 | $— | $— | $53,265,094 |
Principal Amount | Market Value | |||
Asset-Backed Securities — 53.0% | ||||
$ 300,000 | AB BSL CLO 2, Ltd. (Cayman Islands), Ser 2021-2A, Class C, 144a, (TSFR3M + 2.362%), 7.755%, 4/15/34(A) | $ 296,509 | ||
300,000 | AB BSL CLO 2, Ltd. (Cayman Islands), Ser 2021-2A, Class D, 144a, ( TSFR3M + 3.612%), 9.005%, 4/15/34(A) | 297,715 | ||
300,000 | AB BSL CLO 3, Ltd. (Cayman Islands), Ser 2021-3A, Class D, 144a, (TSFR3M + 3.462%), 8.877%, 10/20/34(A) | 299,976 | ||
506,970 | AB Issuer LLC, Ser 2021-1, Class A2, 144a, 3.734%, 7/30/51 | 441,350 | ||
81,932 | AmeriCredit Automobile Receivables Trust, Ser 2023-2, Class A1, 5.723%, 9/18/24 | 81,930 | ||
300,000 | Ares LIII CLO Ltd. (Cayman Islands), Ser 2019-53A, Class C, 144a, ( TSFR3M + 2.912%), 8.310%, 4/24/31(A) | 300,008 | ||
400,000 | Babson CLO Ltd. (Cayman Islands), Ser 2016-1A, Class CR, 144a, ( TSFR3M + 2.362%), 7.774%, 7/23/30(A) | 397,829 | ||
408,000 | Ballyrock CLO Ltd. (Cayman Islands), Ser 2019-1A, Class BR, 144a, ( TSFR3M + 2.162%), 7.555%, 7/15/32(A) | 405,331 | ||
600,000 | Benefit Street Partners CLO XIX Ltd (Cayman Islands), Ser 2019-19A, Class C, 144a, ( TSFR3M + 2.862%), 8.255%, 1/15/33(A) | 597,736 | ||
300,000 | CFMT LLC, Ser 2023-HB12, Class M1, 144a, 4.250%, 4/25/33(A)(B) | 273,557 | ||
673,200 | Coinstar Funding LLC, Ser 2017-1A, Class A2, 144a, 5.216%, 4/25/47 | 583,341 | ||
270,000 | Deerpath Capital CLO Ltd., Ser 2023-1A, Class C, 144a, ( TSFR3M + 5.25%), 10.644%, 4/15/35(A) | 270,463 | ||
623,700 | Driven Brands Funding LLC, Ser 2018-1A, Class A2, 144a, 4.739%, 4/20/48 | 609,198 | ||
300,000 | Dryden CLO Ltd. (Cayman Islands), Ser 2018-70A, Class C, 144a, ( TSFR3M + 2.412%), 7.805%, 1/16/32(A) | 296,648 | ||
561,000 | Focus Brands Funding LLC, Ser 2017-1A, Class A2II, 144a, 5.093%, 4/30/47 | 535,867 | ||
500,000 | Focus Brands Funding LLC, Ser 2023-2, Class A2, 144a, 8.241%, 10/30/53 | 528,471 | ||
682,200 | Hardee's Funding LLC, Ser 2018-1A, Class A2II, 144a, 4.959%, 6/20/48 | 653,298 | ||
300,000 | Ivy Hill Middle Market Credit Fund XXI Ltd (Cayman Islands), 21A, Class B, 144a, ( TSFR3M + 3.45%), 8.871%, 7/18/35(A) | 300,308 | ||
327,525 | Jersey Mike's Funding, Ser 2019-1A, Class A2, 144a, 4.433%, 2/15/50 | 310,211 | ||
382,278 | Jimmy Johns Funding LLC, Ser 2017-1A, Class A2II, 144a, 4.846%, 7/30/47 | 363,326 | ||
420,000 | LAD Auto Receivables Trust, Ser 2021-1A, Class D, 144a, 3.990%, 11/15/29 | 400,059 | ||
400,000 | Madison Park Funding XXVI, Ltd. (Cayman Islands), Ser 2017-26A, Class CR, 144a, ( TSFR3M + 2.312%), 7.702%, 7/29/30(A) | 399,702 | ||
375,000 | Madison Park Funding XXVII, Ltd. (Cayman Islands), Ser 2018-27A, Class B, 144a, ( TSFR3M + 2.062%), 7.477%, 4/20/30(A) | 370,478 | ||
390,000 | Madison Park Funding XXXV, Ltd. (Cayman Islands), Ser 2019-35A, Class CR, 144a, ( TSFR3M + 2.162%), 7.577%, 4/20/32(A) | 387,013 | ||
284,625 | NBC Funding LLC, Ser 2021-1, Class A2, 144a, 2.989%, 7/30/51 | 255,664 | ||
540,000 | NBC Funding LLC, Ser 2021-1, Class B, 144a, 4.970%, 7/30/51 | 481,341 |
Principal Amount | Market Value | |||
Asset-Backed Securities — 53.0% (Continued) | ||||
$ 570,375 | Neighborly Issuer LLC, Ser 2021-1A, Class A2, 144a, 3.584%, 4/30/51 | $ 495,164 | ||
500,000 | OHA Credit Partners XII Ltd., Ser 2015-12A, Class DR, 144a, (TSFR3M + 3.162%), 8.574%, 7/23/30(A) | 495,673 | ||
300,000 | Palmer Square CLO, Ltd. (Cayman Islands), Ser 2021-4A, Class D, 144a, (TSFR3M + 3.212%), 8.605%, 10/15/34(A) | 298,271 | ||
330,000 | Park Avenue Institutional Advisers CLO, Ltd. (Cayman Islands), Ser 2019-2A, Class CR, 144a, ( TSFR3M + 3.762%), 9.155%, 10/15/34(A) | 319,886 | ||
345,600 | Servpro Master Issuer LLC, Ser 2019-1A, Class A2, 144a, 3.882%, 10/25/49 | 324,720 | ||
300,224 | Structured Asset Securities Corp, Ser 2003-25XS, Class A5, 4.799%, 8/25/33(A)(B) | 283,395 | ||
550,000 | Towd Point Mortgage Trust, Ser 2019-MH1, Class B1, 144a, 3.750%, 11/25/58(A)(B) | 516,239 | ||
Total Asset-Backed Securities | $12,870,677 | |||
Commercial Mortgage-Backed Securities — 22.7% | ||||
349,653 | AREIT Trust, Ser 2020-CRE4, Class C, 144a, (TSFR1M + 3.222%), 8.581%, 4/15/37(A) | 339,190 | ||
657,000 | BFLD Trust, Ser 2021-FPM, Class C, 144a, ( TSFR1M + 3.614%), 8.976%, 6/15/38(A) | 631,815 | ||
459,120 | BX Trust, Ser 2019-OC11, Class E, 144a, 3.944%, 12/9/41(A)(B) | 389,101 | ||
500,000 | CGDB Commercial Mortgage Trust, Ser 2019-MOB, Class A, 144a, (TSFR1M +1.064%), 6.426%, 11/15/36(A) | 490,795 | ||
527,310 | Citigroup Commercial Mortgage Trust, Ser 2014-GC25, Class D, 144a, 3.548%, 10/10/47 | 418,561 | ||
300,000 | Citigroup Commercial Mortgage Trust, Ser 2016-C2, Class D, 144a, 3.250%, 8/10/49(A)(B) | 235,005 | ||
219,000 | Citigroup Commercial Mortgage Trust, Ser 2017-P8, Class D, 144a, 3.000%, 9/15/50 | 150,166 | ||
360,000 | CSMC Trust, Ser 2017-CALI, Class E, 144a, 3.778%, 11/10/32(A)(B) | 95,586 | ||
500,000 | Great Wolf Trust, Ser 2019-WOLF, Class A, 144a, (TSFR1M +1.148%), 6.710%, 12/15/36(A) | 498,101 | ||
537,120 | GS Mortgage Securities Corp. Trust, Ser 2017-SLP, Class E, 144a, 4.591%, 10/10/32(A)(B) | 488,960 | ||
9,914,415 | GS Mortgage Securities Corp. Trust, Ser 2018-GS9, Class XA, 0.416%, 3/10/51(A)(B)(C) | 143,775 | ||
14,791,402 | GS Mortgage Securities Trust, Ser 2017-GS6, Class XA, 1.010%, 5/10/50(A)(B)(C) | 405,593 | ||
400,000 | HONO Mortgage Trust, Ser 2021-LULU, Class A, 144a, (TSFR1M +1.264%), 6.626%, 10/15/36(A) | 382,818 | ||
300,000 | LSTAR Commercial Mortgage Trust, Ser 2016-4, Class D, 144a, 4.606%, 3/10/49(A)(B) | 226,696 | ||
445,104 | Morgan Stanley Capital I Trust, Ser 2018-BOP, Class E, 144a, ( TSFR1M + 1.997%), 7.359%, 6/15/35(A) | 118,409 | ||
236,820 | Morgan Stanley Capital I Trust, Ser 2019-NUGS, Class E, 144a, ( TSFR1M + 2.358%), 7.720%, 12/15/36(A) | 67,869 | ||
520,200 | RBS Commercial Funding, Inc. Trust, Ser 2013-SMV, Class D, 144a, 3.584%, 3/11/31(A)(B) | 440,044 | ||
Total Commercial Mortgage-Backed Securities | $5,522,484 | |||
Non-Agency Collateralized Mortgage Obligations — 10.3% | ||||
262,217 | Cascade Funding Mortgage Trust, Ser 2019-RM3, Class A, 144a, 2.800%, 6/25/69(A)(B) | 255,551 | ||
500,000 | Connecticut Avenue Securities Trust, Ser 2022-R04, Class 1M2, 144a, (SOFR30A + 3.10%), 8.437%, 3/25/42(A) | 515,862 | ||
350,000 | GS Mortgage Securities Corp. Trust, Ser 2019-SL1, Class B1, 144a, 3.994%, 1/25/59(A)(B) | 314,328 |
Principal Amount | Market Value | |||
Non-Agency Collateralized Mortgage Obligations — 10.3% (Continued) | ||||
$ 287,245 | Mill City Mortgage Loan Trust, Ser 2016-1, Class B3, 144a, 3.975%, 4/25/57(A)(B) | $ 246,974 | ||
490,000 | Mill City Mortgage Loan Trust, Ser 2017-1, Class B2, 144a, 3.994%, 11/25/58(A)(B) | 423,198 | ||
294,480 | Mill City Mortgage Loan Trust, Ser 2017-2, Class B2, 144a, 4.284%, 7/25/59(A)(B) | 252,677 | ||
293,927 | Mill City Mortgage Loan Trust, Ser 2018-2, Class B2, 144a, 3.750%, 5/25/58(A)(B) | 238,273 | ||
295,140 | Towd Point Mortgage Trust, Ser 2015-2, Class 1B3, 144a, 3.676%, 11/25/60(A)(B) | 251,664 | ||
Total Non-Agency Collateralized Mortgage Obligations | $2,498,527 | |||
Agency Collateralized Mortgage Obligations — 3.0% | ||||
9,204,531 | FRESB Mortgage Trust, Ser 2021-SB88, Class X1, 0.708%, 5/25/41(A)(B)(C) | 295,008 | ||
8,194,182 | FRESB Mortgage Trust, Ser 2021-SB90, Class X1, 0.634%, 6/25/41(A)(B)(C) | 196,874 | ||
7,160,614 | Government National Mortgage Association, Ser 2016-70, Class IO, 0.768%, 4/16/58(A)(B)(C) | 249,321 | ||
Total Agency Collateralized Mortgage Obligations | $741,203 | |||
U.S. Treasury Obligations — 1.9% | ||||
475,000 | U.S. Treasury Bond, 3.875%, 2/15/43 | 454,553 | ||
Corporate Bonds — 1.1% | ||||
Financials — 1.1% | ||||
300,000 | First Maryland Capital I, (TSFR3M + 1.262%), 6.655%, 1/15/27(A) | 273,001 |
Shares | ||||
Short-Term Investment Fund — 5.1% | ||||
1,242,864 | Dreyfus Government Cash Management, Institutional Shares, 5.25%∞Ω | 1,242,864 | ||
Total Investment Securities—97.1% (Cost $23,078,626) | $23,603,309 | |||
Other Assets in Excess of Liabilities — 2.9% | 700,062 | |||
Net Assets — 100.0% | $24,303,371 |
(A) | Variable rate security - Rate reflected is the rate in effect as of December 31, 2023. |
(B) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(C) | Interest only security - This type of security represents the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the “interest only” holding. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of December 31, 2023. |
Portfolio Abbreviations: |
CLO – Collateralized Loan Obligation |
FRESB – Freddie Mac Multifamily Securitization Small Balance Loan |
IO – Interest Only |
LLC – Limited Liability Company |
SOFR30A – Secured Overnight Financing Rate 30 Day Average |
TSFR1M – One Month Term Secured Overnight Financing Rate |
TSFR3M – Three Month Term Secured Overnight Financing Rate |
144a - This is a restricted security that was sold in a transaction qualifying for the exemption under Rule 144a of the Securities Act of 1933. This security may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2023, these securities were valued at $19,976,995 or 82.2% of net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Trustees. |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Asset-Backed Securities | $— | $12,870,677 | $— | $12,870,677 |
Commercial Mortgage-Backed Securities | — | 5,522,484 | — | 5,522,484 |
Non-Agency Collateralized Mortgage Obligations | — | 2,498,527 | — | 2,498,527 |
Agency Collateralized Mortgage Obligations | — | 741,203 | — | 741,203 |
U.S. Treasury Obligations | — | 454,553 | — | 454,553 |
Corporate Bonds | — | 273,001 | — | 273,001 |
Short-Term Investment Fund | 1,242,864 | — | — | 1,242,864 |
Total | $1,242,864 | $22,360,445 | $— | $23,603,309 |
Principal Amount | Market Value | |||
Corporate Bonds — 43.5% | ||||
Financials — 9.6% | ||||
$ 826,000 | Bank of Nova Scotia (The) (Canada), 3.625%, 10/27/81 | $ 634,286 | ||
831,000 | Barclays PLC (United Kingdom), 2.894%, 11/24/32 | 682,282 | ||
363,000 | Charles Schwab Corp. (The), Ser H, 4.000%(A) | 286,666 | ||
576,000 | Citigroup, Inc., Ser W, 4.000%(A) | 531,536 | ||
644,000 | Corestates Capital III, 144a, (TSFR3M + 0.832%), 6.211%, 2/15/27(B) | 613,422 | ||
206,000 | Credit Acceptance Corp., 144a, 9.250%, 12/15/28 | 219,678 | ||
561,000 | First Maryland Capital II, (TSFR3M + 1.112%), 6.489%, 2/1/27(B) | 508,847 | ||
230,000 | FirstCash, Inc., 144a, 4.625%, 9/1/28 | 214,710 | ||
269,000 | goeasy Ltd. (Canada), 144a, 9.250%, 12/1/28 | 287,284 | ||
542,000 | Goldman Sachs Group, Inc. (The), 6.561%, 10/24/34 | 597,451 | ||
898,000 | Golub Capital BDC, Inc., 2.050%, 2/15/27 | 789,095 | ||
422,000 | Icahn Enterprises LP / Icahn Enterprises Finance Corp., 5.250%, 5/15/27 | 379,803 | ||
538,000 | Morgan Stanley, 5.297%, 4/20/37 | 524,507 | ||
356,000 | OneMain Finance Corp., 9.000%, 1/15/29 | 376,578 | ||
227,000 | PennyMac Financial Services, Inc., 144a, 7.875%, 12/15/29 | 233,696 | ||
807,000 | PNC Capital Trust, (TSFR3M + 0.832%), 6.209%, 6/1/28(B) | 750,699 | ||
298,000 | PRA Group, Inc., 144a, 7.375%, 9/1/25 | 295,035 | ||
419,000 | Sabra Health Care LP REIT, 3.900%, 10/15/29 | 377,255 | ||
815,000 | Sixth Street Specialty Lending, Inc., 2.500%, 8/1/26 | 745,362 | ||
832,000 | Truist Bank, Ser A, (TSFR3M + 0.932%), 6.311%, 5/15/27(B) | 781,719 | ||
9,829,911 | ||||
Consumer Discretionary — 7.5% | ||||
858,000 | Brunswick Corp., 4.400%, 9/15/32 | 783,365 | ||
385,000 | Carriage Services, Inc., 144a, 4.250%, 5/15/29 | 341,934 | ||
204,000 | Ford Motor Co., 4.750%, 1/15/43 | 169,025 | ||
227,000 | Ford Motor Credit Co. LLC, 4.125%, 8/17/27 | 215,110 | ||
335,000 | Forestar Group, Inc., 144a, 3.850%, 5/15/26 | 318,498 | ||
464,000 | Gap, Inc. (The), 144a, 3.625%, 10/1/29 | 396,686 | ||
310,000 | GEMS MENASA Cayman Ltd. / GEMS Education Delaware LLC (United Arab Emirates), 7.125%, 7/31/26† | 305,085 | ||
998,000 | General Motors Financial Co., Inc., 3.100%, 1/12/32 | 851,146 | ||
525,000 | GENM Capital Labuan Ltd. (Malaysia), 144a, 3.882%, 4/19/31 | 448,604 | ||
632,000 | Mattel, Inc., 5.450%, 11/1/41† | 566,199 | ||
544,000 | Meritage Homes Corp., 144a, 3.875%, 4/15/29 | 499,906 | ||
313,000 | MGM China Holdings Ltd. (Macao), 144a, 5.375%, 5/15/24 | 311,416 | ||
395,000 | Royal Caribbean Cruises Ltd., 144a, 5.375%, 7/15/27 | 391,070 | ||
330,000 | Speedway Motorsports LLC / Speedway Funding II, Inc., 144a, 4.875%, 11/1/27 | 309,782 | ||
722,000 | Toll Brothers Finance Corp., 3.800%, 11/1/29 | 677,210 | ||
727,000 | Warnermedia Holdings, Inc., 5.141%, 3/15/52 | 627,297 | ||
529,000 | Wynn Macau Ltd. (Macao), 144a, 4.875%, 10/1/24 | 521,904 | ||
7,734,237 | ||||
Energy — 5.7% | ||||
472,000 | Aker BP ASA (Norway), 144a, 6.000%, 6/13/33 | 491,173 | ||
367,000 | Baytex Energy Corp. (Canada), 144a, 8.500%, 4/30/30 | 379,714 | ||
189,000 | Cenovus Energy, Inc. (Canada), 5.250%, 6/15/37 | 178,829 | ||
371,000 | Civitas Resources, Inc., 144a, 8.375%, 7/1/28 | 387,329 | ||
344,000 | CQP Holdco LP / BIP-V Chinook Holdco LLC, 144a, 5.500%, 6/15/31 | 325,912 | ||
300,000 | Ecopetrol SA (Colombia), 8.625%, 1/19/29 | 319,675 | ||
45,000 | Genesis Energy LP / Genesis Energy Finance Corp., 8.250%, 1/15/29 | 46,253 |
Principal Amount | Market Value | |||
Energy — 5.7% (Continued) | ||||
$ 382,000 | Hilcorp Energy I LP / Hilcorp Finance Co., 144a, 6.000%, 2/1/31 | $ 368,463 | ||
415,488 | MC Brazil Downstream Trading SARL (Brazil), 144a, 7.250%, 6/30/31 | 325,639 | ||
800,000 | Midwest Connector Capital Co. LLC, 144a, 4.625%, 4/1/29 | 770,998 | ||
596,000 | NGPL PipeCo LLC, 144a, 7.768%, 12/15/37 | 662,887 | ||
371,000 | Parkland Corp. (Canada), 144a, 4.500%, 10/1/29 | 340,010 | ||
770,000 | Petroleos Mexicanos (Mexico), 6.625%, 6/15/35 | 590,707 | ||
403,000 | Plains All American Pipeline LP, (TSFR3M + 4.372%), 9.751%(A)(B) | 389,399 | ||
221,000 | Precision Drilling Corp. (Canada), 144a, 6.875%, 1/15/29† | 213,117 | ||
5,790,105 | ||||
Utilities — 5.4% | ||||
727,000 | CMS Energy Corp., 4.750%, 6/1/50 | 656,431 | ||
598,000 | Edison International, 4.125%, 3/15/28 | 577,849 | ||
452,000 | Edison International, Ser B, 5.000%(A) | 420,859 | ||
450,000 | Eskom Holdings SOC Ltd. (South Africa), 144a, 8.450%, 8/10/28 | 455,850 | ||
513,000 | FirstEnergy Transmission LLC, 144a, 5.450%, 7/15/44 | 497,187 | ||
515,000 | Minejesa Capital BV (Indonesia), 4.625%, 8/10/30 | 488,606 | ||
620,000 | NextEra Energy Capital Holdings, Inc., (TSFR3M + 2.387%), 7.771%, 6/15/67(B) | 554,731 | ||
598,000 | Pacific Gas & Electric Co., 2.500%, 2/1/31 | 494,283 | ||
658,000 | PPL Capital Funding, Inc., Ser A, (TSFR3M + 2.927%), 8.275%, 3/30/67(B) | 613,478 | ||
815,000 | WEC Energy Group, Inc., (TSFR3M + 2.374%), 7.754%, 5/15/67(B)† | 729,020 | ||
5,488,294 | ||||
Industrials — 4.6% | ||||
367,000 | Amsted Industries, Inc., 144a, 4.625%, 5/15/30 | 335,886 | ||
267,000 | Boeing Co. (The), 5.805%, 5/1/50 | 277,603 | ||
381,000 | Canpack SA / Canpack US LLC (Poland), 144a, 3.125%, 11/1/25 | 361,008 | ||
542,000 | Cemex SAB de CV (Mexico), 144a, 5.125%(A) | 514,114 | ||
415,000 | Cimpress PLC (Ireland), 7.000%, 6/15/26 | 405,662 | ||
458,000 | Fortress Transportation & Infrastructure Investors LLC, 144a, 6.500%, 10/1/25 | 456,537 | ||
335,000 | IHS Holding Ltd. (Nigeria), 5.625%, 11/29/26 | 290,693 | ||
406,000 | Imola Merger Corp., 144a, 4.750%, 5/15/29 | 385,871 | ||
363,000 | Stericycle, Inc., 144a, 3.875%, 1/15/29 | 329,375 | ||
362,000 | TK Elevator Holdco GmbH (Germany), 144a, 7.625%, 7/15/28 | 355,589 | ||
322,000 | TransDigm, Inc., 144a, 6.250%, 3/15/26 | 321,424 | ||
753,000 | Weir Group PLC (The) (United Kingdom), 144a, 2.200%, 5/13/26 | 700,314 | ||
4,734,076 | ||||
Consumer Staples — 2.4% | ||||
285,000 | Coruripe Netherlands BV (Brazil), 144a, 10.000%, 2/10/27 | 218,738 | ||
335,000 | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 6.500%, 12/1/52 | 337,338 | ||
646,000 | Philip Morris International, Inc., 5.375%, 2/15/33 | 663,328 | ||
415,000 | QVC, Inc., 4.375%, 9/1/28 | 299,622 | ||
549,000 | Simmons Foods, Inc. / Simmons Prepared Foods, Inc. / Simmons Pet Food, Inc. / Simmons Feed, 144a, 4.625%, 3/1/29 | 475,398 | ||
500,000 | Turning Point Brands, Inc., 144a, 5.625%, 2/15/26 | 466,540 | ||
2,460,964 | ||||
Health Care — 2.1% | ||||
519,000 | CVS Health Corp., 5.050%, 3/25/48 | 487,667 |
Principal Amount | Market Value | |||
Corporate Bonds — 43.5% (Continued) | ||||
Health Care — 2.1% (Continued) | ||||
$ 418,000 | Herbalife Nutrition Ltd. / HLF Financing, Inc., 144a, 7.875%, 9/1/25 | $ 412,780 | ||
361,000 | Medline Borrower LP, 144a, 3.875%, 4/1/29 | 326,345 | ||
368,000 | MEDNAX, Inc., 144a, 5.375%, 2/15/30 | 327,554 | ||
686,000 | Viatris, Inc., 2.700%, 6/22/30 | 580,447 | ||
2,134,793 | ||||
Communication Services — 1.8% | ||||
372,000 | Block Communications, Inc., 144a, 4.875%, 3/1/28 | 325,500 | ||
495,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 144a, 4.250%, 2/1/31 | 432,649 | ||
429,000 | CSC Holdings LLC, 144a, 4.625%, 12/1/30 | 258,450 | ||
374,000 | Gray Escrow II, Inc., 144a, 5.375%, 11/15/31 | 283,320 | ||
289,000 | Paramount Global, 4.200%, 5/19/32† | 258,591 | ||
330,000 | Stagwell Global, 144a, 5.625%, 8/15/29 | 303,555 | ||
1,862,065 | ||||
Real Estate — 1.8% | ||||
332,000 | Kilroy Realty LP REIT, 3.050%, 2/15/30 | 282,473 | ||
421,000 | RHP Hotel Properties LP / RHP Finance Corp. REIT, 144a, 4.500%, 2/15/29 | 391,547 | ||
428,000 | SBA Tower Trust REIT, 144a, 6.599%, 1/15/28 | 440,190 | ||
274,000 | STORE Capital Corp. REIT, 2.700%, 12/1/31 | 207,904 | ||
364,000 | STORE Capital Corp. REIT, 2.750%, 11/18/30 | 286,192 | ||
258,000 | STORE Capital Corp. REIT, 4.625%, 3/15/29 | 238,578 | ||
1,846,884 | ||||
Information Technology — 1.4% | ||||
589,000 | Micron Technology, Inc., 2.703%, 4/15/32 | 495,470 | ||
258,000 | Micron Technology, Inc., 6.750%, 11/1/29 | 279,116 | ||
372,000 | Open Text Corp. (Canada), 144a, 3.875%, 12/1/29 | 333,533 | ||
328,000 | Xerox Holdings Corp., 144a, 5.000%, 8/15/25 | 321,268 | ||
1,429,387 | ||||
Materials — 1.2% | ||||
327,000 | Braskem Idesa SAPI (Mexico), 144a, 6.990%, 2/20/32 | 184,755 | ||
341,000 | Braskem Netherlands Finance BV (Brazil), 144a, 7.250%, 2/13/33 | 287,145 | ||
781,000 | Celanese US Holdings LLC, 6.165%, 7/15/27 | 800,776 | ||
1,272,676 | ||||
Total Corporate Bonds | $44,583,392 | |||
U.S. Treasury Obligations — 29.7% | ||||
6,100,000 | U.S. Treasury Bond, 3.875%, 5/15/43 | 5,836,937 | ||
3,105,000 | U.S. Treasury Bond, 4.000%, 11/15/52 | 3,077,953 | ||
3,100,000 | U.S. Treasury Bond, 4.375%, 8/15/43 | 3,176,047 | ||
2,505,000 | U.S. Treasury Inflation Indexed Note, 1.250%, 4/15/28 | 2,505,367 | ||
3,270,000 | U.S. Treasury Inflation Indexed Note, 1.375%, 7/15/33 | 3,222,179 | ||
4,000,000 | U.S. Treasury Note, 3.000%, 6/30/24 | 3,958,125 | ||
8,680,000 | U.S. Treasury Note, 4.000%, 2/29/28 | 8,715,602 | ||
Total U.S. Treasury Obligations | $30,492,210 | |||
Asset-Backed Securities — 10.1% | ||||
1,000,000 | CFIP CLO Ltd. (Cayman Islands), Ser 2018-1A, Class D, 144a, (TSFR3M + 3.502%), 8.897%, 7/18/31(B) | 946,084 | ||
1,088,438 | Driven Brands Funding LLC, Ser 2020-1A, Class A2, 144a, 3.786%, 7/20/50 | 1,002,932 | ||
1,000,000 | Franklin Park Place CLO I LLC (Cayman Islands), Ser 2022-1A, Class B, 144a, (TSFR3M + 2.000%), 7.394%, 4/14/35(B) | 975,016 | ||
1,000,000 | Golub Capital Partners CLO 25M Ltd. (Cayman Islands), Ser 2015-25A, Class BR, 144a, (TSFR3M + 2.162%), 7.554%, 5/5/30(B) | 994,509 | ||
1,009,088 | Hardee's Funding LLC, Ser 2018-1A, Class A2II, 144a, 4.959%, 6/20/48 | 966,337 |
Principal Amount | Market Value | |||
Asset-Backed Securities — 10.1% (Continued) | ||||
$1,000,000 | NBC Funding LLC, Ser 2021-1, Class B, 144a, 4.970%, 7/30/51 | $ 891,372 | ||
1,170,000 | Neighborly Issuer LLC, Ser 2021-1A, Class A2, 144a, 3.584%, 4/30/51 | 1,015,720 | ||
1,000,000 | OHA Loan Funding Ltd. (Cayman Islands), Ser 2013-1A, Class CR2, 144a, (TSFR3M +2.332%), 7.744%, 7/23/31(B) | 999,938 | ||
685,000 | Prestige Auto Receivables Trust, Ser 2019-1A, Class E, 144a, 3.900%, 5/15/26 | 682,615 | ||
1,075,000 | Tesla Auto Lease Trust, Ser 2021-A, Class E, 144a, 2.640%, 3/20/25 | 1,069,744 | ||
977,500 | Zaxby's Funding LLC, Ser 2021-1A, Class A2, 144a, 3.238%, 7/30/51 | 847,585 | ||
Total Asset-Backed Securities | $10,391,852 | |||
Commercial Mortgage-Backed Securities — 5.3% | ||||
2,000,000 | BBCMS Mortgage Trust, Ser 2022-C17, Class XD, 144a, 3.039%, 9/15/55(B)(C)(D) | 399,590 | ||
800,000 | Benchmark Mortgage Trust, Ser 2020-B18, Class AGND, 144a, 3.744%, 7/15/53 | 730,751 | ||
1,250,000 | BX Commercial Mortgage Trust, Ser 2020-VIV2, Class C, 144a, 3.542%, 3/9/44(B)(D) | 1,069,111 | ||
1,125,000 | Citigroup Commercial Mortgage Trust, Ser 2013-375P, Class C, 144a, 3.518%, 5/10/35(B)(D) | 1,023,856 | ||
1,100,000 | Citigroup Commercial Mortgage Trust, Ser 2014-GC25, Class D, 144a, 3.548%, 10/10/47 | 873,144 | ||
1,250,000 | Citigroup Commercial Mortgage Trust, Ser 2017-P8, Class D, 144a, 3.000%, 9/15/50 | 857,110 | ||
579,597 | WFRBS Commercial Mortgage Trust, Ser 2013-C13, Class D, 144a, 4.008%, 5/15/45(B)(D) | 474,874 | ||
Total Commercial Mortgage-Backed Securities | $5,428,436 |
Shares | ||||
Common Stocks — 3.0% | ||||
Financials — 0.6% | ||||
9,601 | Bank of America Corp. | 323,265 | ||
836 | Goldman Sachs Group, Inc. (The) | 322,504 | ||
645,769 | ||||
Information Technology — 0.6% | ||||
2,111 | International Business Machines Corp. | 345,254 | ||
1,671 | Texas Instruments, Inc. | 284,839 | ||
630,093 | ||||
Industrials — 0.6% | ||||
669 | Lockheed Martin Corp. | 303,218 | ||
3,442 | RTX Corp. | 289,610 | ||
592,828 | ||||
Communication Services — 0.3% | ||||
20,286 | AT&T, Inc. | 340,399 | ||
Consumer Staples — 0.3% | ||||
3,103 | Philip Morris International, Inc. | 291,930 | ||
Energy — 0.3% | ||||
2,831 | Exxon Mobil Corp. | 283,043 | ||
Health Care — 0.3% | ||||
1,797 | Johnson & Johnson | 281,662 | ||
Total Common Stocks | $3,065,724 |
Principal Amount | MarketValue | |||
Non-Agency Collateralized Mortgage Obligations — 2.6% | ||||
$1,000,000 | Freddie Mac STACR REMIC Trust, Ser 2022-DNA3, Class M1B, 144a, (SOFR30A + 2.900%), 8.237%, 4/25/42(B) | $ 1,026,781 | ||
901,391 | Mello Mortgage Capital Acceptance, Ser 2022-INV2, Class A15, 144a, 3.000%, 4/25/52(B)(D) | 747,450 | ||
1,000,000 | Mill City Mortgage Loan Trust, Ser 2017-1, Class B2, 144a, 3.994%, 11/25/58(B)(D) | 863,669 | ||
Total Non-Agency Collateralized Mortgage Obligations | $2,637,900 | |||
Sovereign Government Obligations — 2.3% | ||||
590,000 | Angolan Government International Bond, 144a, 8.000%, 11/26/29 | 523,271 | ||
350,000 | Bahamas Government International Bond, 144a, 6.000%, 11/21/28 | 308,000 | ||
610,000 | Egypt Government International Bond, 144a, 8.500%, 1/31/47 | 378,149 | ||
290,000 | Gabon Government International Bond, 144a, 6.625%, 2/6/31 | 241,574 | ||
580,000 | Ghana Government International Bond, 144a, 8.627%, 6/16/49 | 246,188 | ||
290,000 | Republic of Uzbekistan International Bond, 144a, 3.700%, 11/25/30 | 243,310 | ||
400,000 | Serbia International Bond, 2.125%, 12/1/30 | 320,000 | ||
400,000 | Ukraine Government International Bond, 144a, 7.253%, 3/15/35 | 94,000 | ||
Total Sovereign Government Obligations | $2,354,492 |
Shares | ||||
Preferred Stocks — 0.0% | ||||
Financials — 0.0% | ||||
18,000 | First Republic Bank, Ser K, 13.930%(A) | 1,620 | ||
Short-Term Investment Fund — 3.0% | ||||
3,062,552 | Dreyfus Government Cash Management, Institutional Shares, 5.25%∞Ω** | 3,062,552 | ||
Total Investment Securities—99.5% (Cost $100,352,134) | $102,018,178 | |||
Other Assets in Excess of Liabilities — 0.5% | 503,728 | |||
Net Assets — 100.0% | $102,521,906 |
(A) | Perpetual Bond - A bond or preferred stock with no definite maturity date. |
(B) | Variable rate security - Rate reflected is the rate in effect as of December 31, 2023. |
(C) | Interest only security - This type of security represents the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the “interest only” holding. |
(D) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
** | All or a portion of the security represents collateral for securities loaned. |
† | All or a portion of the security is on loan. The total market value of the securities on loan as of December 31, 2023 was $818,410. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of December 31, 2023. |
Portfolio Abbreviations: |
CLO – Collateralized Loan Obligation |
ICE – Intercontinental Exchange, Inc. |
LLC – Limited Liability Company |
LP – Limited Partnership |
PLC – Public Limited Company |
REIT – Real Estate Investment Trust |
REMIC – Real Estate Mortgage Investment Conduit |
SOC – State-Owned Company |
SOFR30A – Secured Overnight Financing Rate 30 Day Average |
STACR – Structured Agency Credit Risk |
TSFR3M – Three Month Term Secured Overnight Financing Rate |
144a - This is a restricted security that was sold in a transaction qualifying for the exemption under Rule 144a of the Securities Act of 1933. This security may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2023, these securities were valued at $40,663,969 or 39.7% of net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Trustees. |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Assets: | ||||
Corporate Bonds | $— | $44,583,392 | $— | $44,583,392 |
U.S. Treasury Obligations | — | 30,492,210 | — | 30,492,210 |
Asset-Backed Securities | — | 10,391,852 | — | 10,391,852 |
Commercial Mortgage-Backed Securities | — | 5,428,436 | — | 5,428,436 |
Common Stocks | 3,065,724 | — | — | 3,065,724 |
Non-Agency Collateralized Mortgage Obligations | — | 2,637,900 | — | 2,637,900 |
Sovereign Government Obligations | — | 2,354,492 | — | 2,354,492 |
Preferred Stocks | 1,620 | — | — | 1,620 |
Short-Term Investment Fund | 3,062,552 | — | — | 3,062,552 |
Other Financial Instruments | ||||
Futures | ||||
Interest rate contracts | 151,683 | — | — | 151,683 |
Total Assets | $6,281,579 | $95,888,282 | $— | $102,169,861 |
Liabilities: | ||||
Other Financial Instruments | ||||
Swap Agreements | ||||
Credit contracts | $— | $(294,787) | $— | $(294,787) |
Futures | ||||
Interest rate contracts | (42,036) | — | — | (42,036) |
Total Liabilities | $(42,036) | $(294,787) | $— | $(336,823) |
Total | $6,239,543 | $95,593,495 | $— | $101,833,038 |
Description | Expiration Date | Number of Contracts | Notional Value | Unrealized Appreciation/ Depreciation |
Short Futures: | ||||
30-Year U.S. Ultra Treasury Bond | 3/19/2024 | 12 | $1,561,089 | $(42,036) |
Long Futures: | ||||
2-Year U.S. Treasury Note | 3/28/2024 | 72 | 14,674,130 | 151,683 |
$109,647 |
Counterparty | Termination Date | Notional Amount(2) | Pay Fixed Rate | Clearinghouse | Underlying Bond | Value(3) | Premiums Paid/ (Received) | Unrealized Depreciation |
Buy Protection: | ||||||||
Wells Fargo | 12/20/28 | $4,950,000 | 5.000% | ICE | Markit CDX North America High Yield Series 41 5Y Index | $(288,748) | $6,039 | $(294,787) |
(1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying investments comprising the referenced index or (ii) receive a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index. |
(2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(3) | The quoted market prices and resulting values for credit default swap agreements on the underlying bond serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection) when compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Principal Amount | Market Value | |||
Asset-Backed Securities — 44.9% | ||||
$1,000,000 | American Credit Acceptance Receivables Trust, Ser 2020-4, Class D, 144a, 1.770%, 12/14/26 | $ 990,902 | ||
1,000,000 | AmeriCredit Automobile Receivables Trust, Ser 2020-2, Class D, 2.130%, 3/18/26 | 964,799 | ||
500,000 | AmeriCredit Automobile Receivables Trust, Ser 2023-2, Class A2, 6.190%, 4/19/27 | 502,153 | ||
609,338 | AMMC CLO XII Ltd. (Cayman Islands), Ser 2013-12A, Class AR2, 144a, (TSFR3M + 1.212%), 6.581%, 11/10/30(A) | 608,711 | ||
424,782 | AUF Funding LLC, Ser 2022-1A, Class A1LN, 144a, (TSFR3M + 2.500%), 7.916%, 1/20/31(A) | 425,703 | ||
485,171 | Benefit Street Partners CLO XV Ltd. (Cayman Islands), Ser 2018-15A, Class A1, 144a, (TSFR3M +1.412%), 6.807%, 7/18/31(A) | 485,176 | ||
651,602 | CARLYLE US CLO Ltd. (Cayman Islands), Ser 2017-4A, Class A1, 144a, (TSFR3M +1.442%), 6.835%, 1/15/30(A) | 651,640 | ||
521,099 | CCG Receivables Trust, Ser 2021-1, Class A2, 144a, 0.300%, 6/14/27 | 514,901 | ||
1,000,000 | CPS Auto Receivables Trust, Ser 2021-D, Class C, 144a, 1.590%, 12/15/27 | 980,402 | ||
500,000 | Dell Equipment Finance Trust, Ser 2022-1, Class B, 144a, 2.720%, 8/23/27 | 489,995 | ||
945,000 | Driven Brands Funding LLC, Ser 2018-1A, Class A2, 144a, 4.739%, 4/20/48 | 923,028 | ||
500,000 | DT Auto Owner Trust, Ser 2020-2A, Class E, 144a, 7.170%, 6/15/27 | 502,520 | ||
1,265,000 | DT Auto Owner Trust, Ser 2021-4A, Class C, 144a, 1.500%, 9/15/27 | 1,217,117 | ||
288,152 | DT Auto Owner Trust, Ser 2023-2A, Class A, 144a, 5.880%, 4/15/27 | 288,267 | ||
194,992 | Elara HGV Timeshare Issuer LLC, Ser 2021-A, Class A, 144a, 1.360%, 8/27/35 | 179,038 | ||
500,000 | Exeter Automobile Receivables Trust, Ser 2020-2A, Class E, 144a, 7.190%, 9/15/27 | 503,793 | ||
385,754 | Exeter Automobile Receivables Trust, Ser 2021-2A, Class C, 0.980%, 6/15/26 | 380,650 | ||
650,000 | Exeter Automobile Receivables Trust, Ser 2022-4A, Class C, 4.920%, 12/15/28 | 641,908 | ||
304,195 | First Investors Auto Owner Trust, Ser 2020-1A, Class D, 144a, 3.150%, 4/15/26 | 303,016 | ||
667,790 | Flagship Credit Auto Trust, Ser 2023-1, Class A2, 144a, 5.380%, 12/15/26 | 665,982 | ||
62,199 | Foursight Capital Automobile Receivables Trust, Ser 2021-2, Class A3, 144a, 0.810%, 5/15/26 | 62,061 | ||
589,061 | GLS Auto Receivables Issuer Trust, Ser 2020-2A, Class C, 144a, 4.570%, 4/15/26 | 586,038 | ||
750,000 | GLS Auto Receivables Issuer Trust, Ser 2020-3A, Class E, 144a, 4.310%, 7/15/27 | 737,803 | ||
41,753 | GLS Auto Receivables Issuer Trust, Ser 2020-4A, Class C, 144a, 1.140%, 11/17/25 | 41,665 | ||
500,000 | GLS Auto Receivables Issuer Trust, Ser 2021-1A, Class D, 144a, 1.680%, 1/15/27 | 485,712 | ||
785,311 | Golub Capital Partners CLO 34M Ltd. (Cayman Islands), Ser 2017-34A, Class AR, 144a, (TSFR3M + 1.962%), 7.354%, 3/14/31(A) | 784,971 | ||
500,000 | Hertz Vehicle Financing LLC, Ser 2021-1A, Class A, 144a, 1.210%, 12/26/25 | 482,653 | ||
599,772 | Hilton Grand Vacations Trust, Ser 2020-AA, Class A, 144a, 2.740%, 2/25/39 | 568,287 | ||
315,670 | Hilton Grand Vacations Trust, Ser 2020-AA, Class B, 144a, 4.220%, 2/25/39 | 305,452 |
Principal Amount | Market Value | |||
Asset-Backed Securities — 44.9% (Continued) | ||||
$ 350,563 | JFIN CLO 2017 Ltd. (Cayman Islands), Ser 2017-1A, Class A1R, 144a, (TSFR3M + 1.262%), 6.660%, 4/24/29(A) | $ 350,293 | ||
213,737 | LCM XIII LP (Cayman Islands), Ser 13A, Class AR3, 144a, (TSFR3M + 1.132%), 6.528%, 7/19/27(A) | 213,709 | ||
1,200,000 | OneMain Direct Auto Receivables Trust, Ser 2019-1A, Class A, 144a, 3.630%, 9/14/27 | 1,175,064 | ||
1,213,125 | OneMain Direct Auto Receivables Trust, Ser 2021-1A, Class A, 144a, 0.870%, 7/14/28 | 1,164,363 | ||
695,000 | OneMain Direct Auto Receivables Trust, Ser 2022-1A, Class A1, 144a, 4.650%, 3/14/29 | 687,387 | ||
675,021 | Prestige Auto Receivables Trust, Ser 2019-1A, Class D, 144a, 3.010%, 8/15/25 | 672,386 | ||
927,091 | Prestige Auto Receivables Trust, Ser 2020-1A, Class D, 144a, 1.620%, 11/16/26 | 915,562 | ||
468,790 | Romark WM-R Ltd. (Cayman Islands), Ser 2018-1A, Class A1, 144a, (TSFR3M +1.292%), 6.707%, 4/20/31(A) | 467,930 | ||
451,368 | Sierra Timeshare Receivables Funding LLC, Ser 2019-1A, Class D, 144a, 4.750%, 1/20/36 | 444,641 | ||
1,276,326 | Sierra Timeshare Receivables Funding LLC, Ser 2021-1A, Class A, 144a, 0.990%, 11/20/37 | 1,202,712 | ||
1,000,000 | STWD Ltd. (Cayman Islands), Ser 2019-FL1, Class B, 144a, (TSFR1M + 1.714%), 7.076%, 7/15/38(A) | 968,782 | ||
761,602 | TCI-Flatiron CLO Ltd. (Cayman Islands), Ser 2017-1A, Class AR, 144a, (TSFR3M + 1.222%), 6.591%, 11/18/30(A) | 760,871 | ||
126,288 | Towd Point Mortgage Trust, Ser 2017-1, Class A1, 144a, 2.750%, 10/25/56(A)(B) | 125,431 | ||
779,400 | Towd Point Mortgage Trust, Ser 2019-HY1, Class A1, 144a, (TSFR1M + 1.114%), 6.470%, 10/25/48(A) | 785,548 | ||
879,804 | Voya CLO Ltd. (Cayman Islands), Ser 2013-2A, Class A1R, 144a, (TSFR3M + 1.232%), 6.610%, 4/25/31(A) | 879,530 | ||
Total Asset-Backed Securities | $27,088,552 | |||
Corporate Bonds — 25.9% | ||||
Financials — 11.4% | ||||
1,000,000 | BNP Paribas SA (France), 144a, 3.800%, 1/10/24 | 999,560 | ||
750,000 | Corestates Capital II, 144a, (TSFR3M + 0.912%), 6.305%, 1/15/27(A) | 712,692 | ||
1,000,000 | Goldman Sachs Group, Inc. (The), MTN, 0.700%, 6/17/24 | 973,821 | ||
225,000 | Jackson National Life Global Funding, 144a, 2.650%, 6/21/24 | 220,909 | ||
1,000,000 | John Hancock Life Insurance Co., 144a, 7.375%, 2/15/24 | 1,001,237 | ||
500,000 | Metropolitan Life Insurance Co., 144a, 7.875%, 2/15/24 | 500,571 | ||
1,000,000 | Protective Life Global Funding, 144a, 0.473%, 1/12/24 | 998,691 | ||
1,000,000 | SBA Tower Trust REIT, 144a, 2.836%, 1/15/25 | 965,674 | ||
500,000 | Synovus Financial Corp., 5.200%, 8/11/25 | 491,847 | ||
6,865,002 | ||||
Industrials — 4.5% | ||||
500,000 | Graphic Packaging International LLC, 144a, 0.821%, 4/15/24 | 493,257 | ||
250,000 | L3Harris Technologies, Inc., 5.400%, 1/15/27 | 255,321 | ||
1,000,000 | Penske Truck Leasing Co. LP / PTL Finance Corp., 144a, 5.750%, 5/24/26 | 1,008,324 | ||
1,000,000 | Timken Co. (The), 3.875%, 9/1/24 | 985,822 | ||
2,742,724 |
Principal Amount | Market Value | |||
Corporate Bonds — 25.9% (Continued) | ||||
Consumer Staples — 2.8% | ||||
$ 700,000 | Coca-Cola Europacific Partners PLC (United Kingdom), 144a, 0.800%, 5/3/24 | $ 686,722 | ||
1,000,000 | Imperial Brands Finance PLC (United Kingdom), 144a, 3.125%, 7/26/24 | 983,427 | ||
1,670,149 | ||||
Energy — 2.8% | ||||
667,000 | ANR Pipeline Co., 7.375%, 2/15/24 | 667,760 | ||
1,000,000 | Midwest Connector Capital Co. LLC, 144a, 3.900%, 4/1/24 | 994,261 | ||
1,662,021 | ||||
Consumer Discretionary — 1.7% | ||||
500,000 | AutoNation, Inc., 3.500%, 11/15/24 | 489,316 | ||
560,000 | Hyundai Capital America, 144a, 0.800%, 1/8/24 | 559,612 | ||
1,048,928 | ||||
Information Technology — 1.1% | ||||
654,000 | NXP BV / NXP Funding LLC (China), 4.875%, 3/1/24 | 652,734 | ||
Communication Services — 0.8% | ||||
500,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.908%, 7/23/25 | 495,334 | ||
Utilities — 0.8% | ||||
483,000 | Jersey Central Power & Light Co., 144a, 4.700%, 4/1/24 | 481,250 | ||
Total Corporate Bonds | $15,618,142 | |||
Commercial Mortgage-Backed Securities — 16.1% | ||||
1,000,000 | ACRE Commercial Mortgage Ltd., Ser 2021-FL4, Class B, 144a, (TSFR1M + 1.514%), 6.873%, 12/18/37(A) | 993,071 | ||
1,000,000 | BFLD, Ser 2019-DPLO, Class A, 144a, (TSFR1M + 1.204%), 6.566%, 10/15/34(A) | 996,186 | ||
1,000,000 | BHMS, Ser 2018-ATLS, Class A, 144a, (TSFR1M + 1.547%), 6.909%, 7/15/35(A) | 992,265 | ||
115,000 | BPR Trust, Ser 2021-KEN, Class A, 144a, (TSFR1M + 1.364%), 6.726%, 2/15/29(A) | 114,814 | ||
450,561 | BX Commercial Mortgage Trust, Ser 2019-XL, Class A, 144a, (TSFR1M + 1.034%), 6.396%, 10/15/36(A) | 449,416 | ||
1,000,000 | CGDB Commercial Mortgage Trust, Ser 2019-MOB, Class A, 144a, (TSFR1M +1.064%), 6.426%, 11/15/36(A) | 981,590 | ||
1,000,000 | Citigroup Commercial Mortgage Trust, Ser 2019-SMRT, Class C, 144a, 4.682%, 1/10/36 | 998,333 | ||
750,000 | COMM Mortgage Trust, Ser 2014-LC17, Class A5, 3.917%, 10/10/47 | 737,363 | ||
169,578 | Credit Suisse Mortgage Capital Certificates, Ser 2019-ICE4, Class A, 144a, (TSFR1M + 1.027%), 6.389%, 5/15/36(A) | 169,581 | ||
133,667 | Credit Suisse Mortgage Capital Certificates, Ser 2019-ICE4, Class B, 144a, (TSFR1M + 1.277%), 6.639%, 5/15/36(A) | 133,321 | ||
1,076,000 | Great Wolf Trust, Ser 2019-WOLF, Class B, 144a, (TSFR1M + 1.448%), 7.010%, 12/15/36(A) | 1,069,190 | ||
692,653 | GS Mortgage Securities Corp. Trust, Ser 2018-HART, Class A, 144a, (TSFR1M + 1.143%), 6.513%, 10/15/31(A) | 630,655 | ||
1,000,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Ser 2018-WPT, Class BFX, 144a, 4.549%, 7/5/33 | 817,575 | ||
428,245 | ReadyCap Commercial Mortgage Trust, Ser 2018-4, Class A, 144a, 3.390%, 2/27/51 | 413,856 | ||
214,687 | WFRBS Commercial Mortgage Trust, Ser 2014-C20, Class A4, 3.723%, 5/15/47 | 213,550 | ||
Total Commercial Mortgage-Backed Securities | $9,710,766 |
Principal Amount | Market Value | |||
Commercial Paper — 6.6% | ||||
2,000,000 | Ameren Illinois, Co., 5.403%, 1/2/24(C) | $ 1,998,800 | ||
2,000,000 | Peoples Gas Light and Coke Co,, 5.405%, 1/4/24(C) | 1,998,200 | ||
Total Commercial Paper | $3,997,000 | |||
Non-Agency Collateralized Mortgage Obligations — 5.9% | ||||
$ 510,596 | CIM Trust, Ser 2018-R3, Class A1, 144a, 5.000%, 12/25/57(A)(B) | 503,505 | ||
603,210 | GS Mortgage-Backed Securities Trust, Ser 2019-SL1, Class A2, 144a, 2.875%, 1/25/59(A)(B) | 592,817 | ||
646,927 | Metlife Securitization Trust, Ser 2019-1A, Class A1A, 144a, 3.750%, 4/25/58(A)(B) | 627,371 | ||
211,013 | Mill City Mortgage Loan Trust, Ser 2017-3, Class A1, 144a, 2.750%, 1/25/61(A)(B) | 206,654 | ||
259,404 | Mill City Mortgage Loan Trust, Ser 2018-2, Class A1, 144a, 3.500%, 5/25/58(A)(B) | 255,035 | ||
666,871 | Towd Point Mortgage Trust, Ser 2015-2, Class 1M2, 144a, 3.676%, 11/25/60(A)(B) | 657,101 | ||
716,024 | Towd Point Mortgage Trust, Ser 2015-6, Class M1, 144a, 3.750%, 4/25/55(A)(B) | 702,739 | ||
Total Non-Agency Collateralized Mortgage Obligations | $3,545,222 | |||
Total Investment Securities—99.4% (Cost $59,800,865) | $59,959,682 | |||
Other Assets in Excess of Liabilities — 0.6% | 337,181 | |||
Net Assets — 100.0% | $60,296,863 |
(A) | Variable rate security - Rate reflected is the rate in effect as of December 31, 2023. |
(B) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(C) | Rate reflects yield at the time of purchase. |
Portfolio Abbreviations: |
CLO – Collateralized Loan Obligation |
LLC – Limited Liability Company |
LP – Limited Partnership |
MTN – Medium Term Note |
PLC – Public Limited Company |
REIT – Real Estate Investment Trust |
TSFR1M – One Month Term Secured Overnight Financing Rate |
TSFR3M – Three Month Term Secured Overnight Financing Rate |
144a - This is a restricted security that was sold in a transaction qualifying for the exemption under Rule 144a of the Securities Act of 1933. This security may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2023, these securities were valued at $47,510,304 or 78.8% of net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Trustees. |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Asset-Backed Securities | $— | $27,088,552 | $— | $27,088,552 |
Corporate Bonds | — | 15,618,142 | — | 15,618,142 |
Commercial Mortgage-Backed Securities | — | 9,710,766 | — | 9,710,766 |
Commercial Paper | — | 3,997,000 | — | 3,997,000 |
Non-Agency Collateralized Mortgage Obligations | — | 3,545,222 | — | 3,545,222 |
Total | $— | $59,959,682 | $— | $59,959,682 |
Shares | Market Value | |||
Common Stocks — 95.0% | ||||
Information Technology — 26.1% | ||||
12,250 | Apple, Inc. | $ 2,358,492 | ||
2,798 | International Business Machines Corp. | 457,613 | ||
7,947 | Microsoft Corp. | 2,988,390 | ||
6,209 | Oracle Corp. | 654,615 | ||
2,986 | Salesforce, Inc.* | 785,736 | ||
3,215 | Texas Instruments, Inc. | 548,029 | ||
1,748 | Workday, Inc. - Class A* | 482,553 | ||
8,275,428 | ||||
Health Care — 14.7% | ||||
5,489 | BioMarin Pharmaceutical, Inc.* | 529,249 | ||
8,082 | Bristol-Myers Squibb Co. | 414,688 | ||
3,014 | Cencora, Inc. | 619,015 | ||
2,483 | HCA Healthcare, Inc. | 672,099 | ||
5,214 | Johnson & Johnson | 817,242 | ||
7,601 | Medtronic PLC | 626,170 | ||
1,883 | UnitedHealth Group, Inc. | 991,343 | ||
4,669,806 | ||||
Financials — 14.4% | ||||
19,452 | Bank of America Corp. | 654,949 | ||
3,913 | Berkshire Hathaway, Inc. - Class B* | 1,395,611 | ||
4,183 | Charles Schwab Corp. (The) | 287,790 | ||
2,009 | Goldman Sachs Group, Inc. (The) | 775,012 | ||
346 | Markel Group, Inc.* | 491,286 | ||
3,469 | PayPal Holdings, Inc.* | 213,031 | ||
2,912 | Visa, Inc. - Class A | 758,139 | ||
4,575,818 | ||||
Communication Services — 13.4% | ||||
12,149 | Alphabet, Inc. - Class C* | 1,712,159 | ||
10,866 | Comcast Corp. - Class A | 476,474 | ||
4,076 | Meta Platforms, Inc. - Class A* | 1,442,741 | ||
829 | Netflix, Inc.* | 403,623 | ||
2,485 | Walt Disney Co. (The) | 224,371 | ||
4,259,368 | ||||
Industrials — 8.2% | ||||
1,999 | Boeing Co. (The)* | 521,059 | ||
304 | Deere & Co. | 121,560 | ||
947 | FedEx Corp. | 239,563 | ||
1,160 | Hubbell, Inc. | 381,559 | ||
5,744 | RTX Corp. | 483,300 | ||
8,003 | Southwest Airlines Co. | 231,127 | ||
5,989 | SS&C Technologies Holdings, Inc. | 365,988 | ||
2,572 | Stanley Black & Decker, Inc. | 252,313 | ||
2,596,469 | ||||
Consumer Discretionary — 8.0% | ||||
2,375 | Airbnb, Inc. - Class A* | 323,332 | ||
9,849 | Amazon.com, Inc.* | 1,496,457 |
Shares | Market Value | |||
Consumer Discretionary — 8.0% (Continued) | ||||
2,151 | Hilton Worldwide Holdings, Inc. | $ 391,676 | ||
3,322 | Starbucks Corp. | 318,945 | ||
2,530,410 | ||||
Consumer Staples — 3.8% | ||||
11,098 | Monster Beverage Corp.* | 639,356 | ||
6,170 | Philip Morris International, Inc. | 580,474 | ||
1,219,830 | ||||
Energy — 2.9% | ||||
6,214 | Exxon Mobil Corp. | 621,276 | ||
5,648 | Schlumberger NV | 293,922 | ||
915,198 | ||||
Materials — 2.4% | ||||
6,196 | DuPont de Nemours, Inc. | 476,658 | ||
3,539 | International Flavors & Fragrances, Inc. | 286,553 | ||
763,211 | ||||
Real Estate — 1.1% | ||||
1,959 | Jones Lang LaSalle, Inc.* | 369,996 | ||
Total Common Stocks | $30,175,534 | |||
Short-Term Investment Fund — 5.1% | ||||
1,608,427 | Dreyfus Government Cash Management, Institutional Shares, 5.25%∞Ω | 1,608,427 | ||
Total Investment Securities—100.1% (Cost $28,415,746) | $31,783,961 | |||
Liabilities in Excess of Other Assets — (0.1%) | (41,896) | |||
Net Assets — 100.0% | $31,742,065 |
* | Non-income producing security. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of December 31, 2023. |
Portfolio Abbreviations: |
PLC – Public Limited Company |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $30,175,534 | $— | $— | $30,175,534 |
Short-Term Investment Fund | 1,608,427 | — | — | 1,608,427 |
Total | $31,783,961 | $— | $— | $31,783,961 |
Touchstone Climate Transition ETF | Touchstone Dividend Select ETF | Touchstone Dynamic International ETF | Touchstone Securitized Income ETF | Touchstone Strategic Income Opportunities ETF | Touchstone Ultra Short Income ETF | Touchstone US Large Cap Focused ETF | |
Assets | |||||||
Investments, at cost | $11,218,444 | $28,691,724 | $51,028,026 | $23,078,626 | $100,352,134 | $59,800,865 | $28,415,746 |
Investments, at market value * | $11,482,836 | $31,051,307 | $53,265,094 | $23,603,309 | $102,018,178 | $59,959,682 | $31,783,961 |
Cash | — | — | 331 | 530,074 | — | 4,367,485 | — |
Cash deposits held at prime broker (A) | — | — | — | 420 | 634,824 | — | — |
Foreign currency † | — | — | 25 | — | — | — | — |
Dividends and interest receivable | 11,187 | 54,508 | 56,625 | 227,415 | 1,090,076 | 333,597 | 29,105 |
Receivable for investments sold | — | — | — | — | 3,746 | — | — |
Receivable for variation margin on futures contracts | — | — | — | — | 15,375 | — | — |
Receivable for securities lending income | — | — | — | — | 429 | — | — |
Tax reclaim receivable | 3,148 | 788 | 1,826 | — | — | — | — |
Other assets | 7,624 | 16,869 | 19,291 | 16,677 | 30,341 | 21,962 | 12,695 |
Total Assets | 11,504,795 | 31,123,472 | 53,343,192 | 24,377,895 | 103,792,969 | 64,682,726 | 31,825,761 |
Liabilities | |||||||
Payable for return of collateral for securities on loan | — | — | — | — | 848,318 | — | — |
Payable for investments purchased | 170,686 | — | — | — | — | 4,285,860 | — |
Payable to Investment Adviser | 16,443 | 14,401 | 16,540 | 6,986 | 47,432 | 9,228 | 18,891 |
Payable to other affiliates | 2,974 | 5,275 | 5,807 | 4,166 | 13,482 | 8,703 | 5,385 |
Payable to Trustees | 12,937 | 12,850 | 12,850 | 12,948 | 12,850 | 12,850 | 12,850 |
Payable for professional services | 28,800 | 24,400 | 30,165 | 32,648 | 32,545 | 30,958 | 24,400 |
Payable for reports to shareholders | 3,785 | 6,683 | 2,793 | 4,544 | 1,735 | 16,278 | 2,593 |
Payable for transfer agent services | 800 | 16,782 | 415 | 600 | 16,782 | 16,782 | 16,783 |
Payable for variation margin on swap agreements | — | — | — | — | 288,748 | — | — |
Other accrued expenses and liabilities | 2,838 | 3,065 | 2,562 | 12,632 | 9,171 | 5,204 | 2,794 |
Total Liabilities | 239,263 | 83,456 | 71,132 | 74,524 | 1,271,063 | 4,385,863 | 83,696 |
Net Assets | $11,265,532 | $31,040,016 | $53,272,060 | $24,303,371 | $102,521,906 | $60,296,863 | $31,742,065 |
Net assets consist of: | |||||||
Paid-in capital | 11,543,012 | 29,356,449 | 52,779,372 | 23,766,601 | 101,957,654 | 60,126,717 | 28,671,648 |
Distributable earnings (deficit) | (277,480) | 1,683,567 | 492,688 | 536,770 | 564,252 | 170,146 | 3,070,417 |
Net Assets | $11,265,532 | $31,040,016 | $53,272,060 | $24,303,371 | $102,521,906 | $60,296,863 | $31,742,065 |
Pricing of shares outstanding | |||||||
Net assets applicable to shares outstanding | $11,265,532 | $31,040,016 | $53,272,060 | $24,303,371 | $102,521,906 | $60,296,863 | $31,742,065 |
Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) | 450,000 | 1,100,000 | 1,984,855 | 950,000 | 4,075,000 | 2,404,000 | 1,050,000 |
Net asst value, offering price and redemption price per share | $25.03 | $28.22 | $26.84 | $25.58 | $25.16 | $25.08 | $30.23 |
*Includes market value of securities on loan of: | $— | $— | $— | $— | $818,410 | $— | $— |
†Cost of foreign currency: | $— | $— | $23 | $— | $— | $— | $— |
(A) | Represents segregated cash for futures contracts and swap agreements. |
Touchstone Climate Transition ETF(A) | Touchstone Dividend Select ETF | Touchstone Dynamic International ETF(B) | Touchstone Securitized Income ETF(C) | Touchstone Strategic Income Opportunities ETF | Touchstone Ultra Short Income ETF | Touchstone US Large Cap Focused ETF | |
Investment Income | |||||||
Dividends*(D) | $136,197 | $810,232 | $1,089,597 | $64,209 | $237,720 | $10,476 | $420,304 |
Interest | — | — | — | 643,668 | 5,655,733 | 2,940,417 | — |
Income from securities loaned | — | — | — | — | 24,841 | — | — |
Total Investment Income | 136,197 | 810,232 | 1,089,597 | 707,877 | 5,918,294 | 2,950,893 | 420,304 |
Expenses | |||||||
Investment advisory fees | 48,101 | 154,439 | 162,468 | 40,658 | 550,096 | 119,023 | 199,113 |
Administration fees | 10,204 | 38,769 | 84,775 | 14,267 | 138,112 | 72,942 | 39,271 |
Compliance fees and expenses | 2,724 | 1,989 | 3,865 | 2,037 | 1,615 | 1,990 | 1,614 |
Custody fees | 240 | — | 4,306 | 240 | 30,361 | 1,505 | — |
Professional fees | 29,682 | 53,418 | 97,190 | 33,406 | 42,638 | 38,717 | 27,890 |
Transfer Agent fees | 800 | 23,943 | 101,068 | 600 | 26,904 | 24,301 | 23,475 |
Registration fees | — | — | 53,599 | — | — | — | — |
Reports to Shareholders | 6,380 | 11,212 | 19,371 | 5,014 | 3,744 | 25,522 | 5,154 |
Distribution and shareholder servicing expense(E) | — | — | 142,346 | — | — | — | — |
Trustee fees | 19,503 | 25,968 | 25,968 | 12,947 | 25,968 | 25,968 | 25,968 |
Other expenses | 13,248 | 30,945 | 18,354 | 22,219 | 48,450 | 37,251 | 26,938 |
Total Expenses | 130,882 | 340,683 | 713,310 | 131,388 | 867,888 | 347,219 | 349,423 |
Fees waived and/or reimbursed by the Adviser and/or Affiliates(F) | (79,821) | (152,548) | (411,731) | (91,018) | (217,774) | (184,378) | (153,154) |
Net Expenses | 51,061 | 188,135 | 301,579 | 40,370 | 650,114 | 162,841 | 196,269 |
Net Investment Income (Loss) | 85,136 | 622,097 | 788,018 | 667,507 | 5,268,180 | 2,788,052 | 224,035 |
Realized and Unrealized Gains (Losses) on Investments | |||||||
Net realized gains (losses) on investments(G)(H) | (271,382) | 1,275,846 | (753,226) | 8,674 | (724,598) | 63,051 | 2,076,642 |
Net realized losses on futures contracts | — | — | — | — | (200,927) | — | — |
Net realized losses on swap agreements | — | — | — | — | (41,162) | — | — |
Net realized gains (losses) on foreign currency transactions | (8,617) | — | 46,983 | — | — | — | — |
Net change in unrealized appreciation (depreciation) on investments(I) | 264,392 | 1,988,766 | 8,981,992 | 524,683 | 3,756,051 | 493,977 | 4,290,046 |
Net change in unrealized appreciation (depreciation) on futures contracts | — | — | — | — | 109,647 | — | — |
Net change in unrealized appreciation (depreciation) on swap agreements | — | — | — | — | (294,787) | — | — |
Net change in unrealized appreciation (depreciation) on foreign currency transactions | (1,777) | — | 169 | — | — | — | — |
Net Realized and Unrealized Gains (Losses) on Investments | (17,384) | 3,264,612 | 8,275,918 | 533,357 | 2,604,224 | 557,028 | 6,366,688 |
Change in Net Assets Resulting from Operations | $67,752 | $3,886,709 | $9,063,936 | $1,200,864 | $7,872,404 | $3,345,080 | $6,590,723 |
*Net of foreign tax withholding of: | $— | $— | $6,481 | $— | $— | $— | $— |
(A) | Represents the period from commencement of operations (April 28, 2023) through December 31, 2023. |
(B) | Touchstone Dynamic International ETF acquired all of the assets and liabilities of the Touchstone Dynamic Allocation Fund (“Predecessor Fund”) in a reorganization that occurred as of the close of business on December 8, 2023. Performance and financial history of the Predecessor Fund’s Class A, C and Y Shares have been adopted by Touchstone Dynamic International ETF and will be used going forward. As a result, the information prior to December 8, 2023, reflects that of the Predecessor Fund’s Class A, C and Y Shares. The Predecessor Fund ceased operations as of the date of the reorganization. (See Note 10 in the Notes to Financial Statements). |
(C) | Represents the period from commencement of operations (July 17, 2023) through December 31, 2023. |
(D) | Includes affiliated income of $928,424 from the Predecessor Fund to the Dynamic International ETF. |
(E) | Distribution and shareholder servicing expense is from the Predecessor Fund to the Dynamic International ETF. |
(F) | See Note 4 in Notes to Financial Statements. |
(G) | Includes affiliated gain (loss) of $(3,473,203) from the Predecessor Fund to the Dynamic International ETF. |
(H) | Net realized gains on investments includes realized gains of $260,069, $1,886,663 and $2,262,777 for the Climate Transition ETF, Dividend Select ETF and the US Large Cap Focused ETF, respectively, for redemptions-in-kind activity, which will not be recognized by the Funds for tax purposes. |
(I) | Includes affiliated change in unrealized appreciation (depreciation) of $6,744,924 from the Predecessor Fund to the Dynamic International ETF. |
Touchstone Climate Transition ETF | Touchstone Dividend Select ETF | Touchstone Dynamic International ETF | |||
For the Period Ended December 31, 2023(A) | For the Year Ended December 31, 2023 | For the Period Ended December 31, 2022(B) | For the Year Ended December 31, 2023(C) | For the Year Ended December 31, 2022 | |
From Operations | |||||
Net investment income | $85,136 | $622,097 | $184,324 | $788,018 | $1,052,739 |
Net realized gains (losses) on investments, futures contracts, swap agreements and foreign currency transactions | (279,999) | 1,275,846 | 263,630 | (706,243) | (773,387) |
Net change in unrealized appreciation (depreciation) on investments, futures contracts, swap agreements and foreign currency transactions | 262,615 | 1,988,766 | 370,817 | 8,982,161 | (13,953,580) |
Change in Net Assets from Operations | 67,752 | 3,886,709 | 818,771 | 9,063,936 | (13,674,228) |
Distributions to Shareholders: | |||||
Distributed earnings(D) | (85,163) | (623,057) | (183,700) | (839,702) | (3,402,804) |
Total Distributions | (85,163) | (623,057) | (183,700) | (839,702) | (3,402,804) |
Share Transactions(E) | |||||
Proceeds from Shares issued | 13,158,712 | 8,561,210 | 27,851,716 | 956,983 | 2,077,641 |
Reinvestment of distributions | — | — | — | 560,499 | 3,068,316 |
Cost of Shares redeemed | (1,875,769) | (7,355,106) | (1,916,527) | (19,299,241) | (10,201,131) |
Change in Net Assets from Share Transactions | 11,282,943 | 1,206,104 | 25,935,189 | (17,781,759) | (5,055,174) |
Total Increase (Decrease) in Net Assets | 11,265,532 | 4,469,756 | 26,570,260 | (9,557,525) | (22,132,206) |
Net Assets | |||||
Beginning of period | — | 26,570,260 | — | 62,829,585 | 84,961,791 |
End of period | $11,265,532 | $31,040,016 | $26,570,260 | $53,272,060 | $62,829,585 |
Share Transactions(E) | |||||
Shares issued | 525,001 | 325,000 | 1,125,000 | 86,619 | 181,722 |
Shares reinvested | — | — | — | 51,329 | 287,676 |
Shares redeemed | (75,001) | (275,000) | (75,000) | (4,188,644) | (890,413) |
Change in Shares Outstanding | 450,000 | 50,000 | 1,050,000 | (4,050,696) | (421,015) |
(A) | Represents the period from commencement of operations (April 28, 2023) through December 31, 2023. |
(B) | Represents the period from commencement of operations (August 2, 2022) through December 31, 2022. |
(C) | Touchstone Dynamic International ETF acquired all of the assets and liabilities of the Touchstone Dynamic Allocation Fund (“Predecessor Fund”) in a reorganization that occurred as of the close of business on December 8, 2023. Performance and financial history of the Predecessor Fund’s Class A, C and Y Shares have been adopted by Touchstone Dynamic International ETF and will be used going forward. As a result, the information prior to December 8, 2023, reflects that of the Predecessor Fund’s Class A, C and Y Shares. The Predecessor Fund ceased operations as of the date of the reorganizations (See Note 10 in the Notes to Financial Statements). |
(D) | Includes distributed earnings of $587,727, $5,613 and $35,511 for Class A, Class C and Class Y, respectively, from the Predecessor Fund to the Dynamic International ETF for the Year Ended December 31, 2023. The Dynamic International ETF had distributed earnings of $210,851 for the Year Ended December 31, 2023. The Predecessor Fund had distributed earnings of $3,140,993, $86,179 and $175,632 for Class A, Class C and Class Y, respectively, for the Year Ended December 31, 2022. |
(E) | See Note 10 in the Notes to the Financial Statements for the details by Class of the Predecessor Fund to the Dynamic International ETF. |
(F) | Represents the period from commencement of operations (July 17, 2023) through December 31, 2023. |
(G) | Represents the period from commencement of operations (July 21, 2022) through December 31, 2022. |
Touchstone Securitized Income ETF | Touchstone Strategic Income Opportunities ETF | |
For the Period Ended December 31, 2023(F) | For the Year Ended December 31, 2023 | For the Period Ended December 31, 2022(G) |
$667,507 | $5,268,180 | $1,871,714 |
8,674 | (966,687) | (7,826) |
524,683 | 3,570,911 | (2,090,007) |
1,200,864 | 7,872,404 | (226,119) |
(664,094) | (5,174,005) | (1,908,028) |
(664,094) | (5,174,005) | (1,908,028) |
23,766,601 | 623,145 | 101,334,509 |
— | — | — |
— | — | — |
23,766,601 | 623,145 | 101,334,509 |
24,303,371 | 3,321,544 | 99,200,362 |
— | 99,200,362 | — |
$24,303,371 | $102,521,906 | $99,200,362 |
950,000 | 25,000 | 4,050,000 |
— | — | — |
— | — | — |
950,000 | 25,000 | 4,050,000 |
Touchstone Ultra Short Income ETF | Touchstone US Large Cap Focused ETF | |||
For the Year Ended December 31, 2023 | For the Period Ended December 31, 2022(F) | For the Year Ended December 31, 2023 | For the Period Ended December 31, 2022(G) | |
From Operations | ||||
Net investment income | $2,788,052 | $712,928 | $224,035 | $58,992 |
Net realized gains (losses) on investments, futures contracts, swap agreements and foreign currency transactions | 63,051 | 27,875 | 2,076,642 | 139,950 |
Net change in unrealized appreciation (depreciation) on investments, futures contracts, swap agreements and foreign currency transactions | 493,977 | (335,160) | 4,290,046 | (921,831) |
Change in Net Assets from Operations | 3,345,080 | 405,643 | 6,590,723 | (722,889) |
Distributions to Shareholders: | ||||
Distributed earnings | (2,894,829) | (686,340) | (225,572) | (58,353) |
Total Distributions | (2,894,829) | (686,340) | (225,572) | (58,353) |
Share Transactions | ||||
Proceeds from Shares issued | 8,766,441 | 51,360,868 | 12,123,901 | 27,969,085 |
Reinvestment of distributions | — | — | — | — |
Cost of Shares redeemed | — | — | (11,485,761) | (2,449,069) |
Change in Net Assets from Share Transactions | 8,766,441 | 51,360,868 | 638,140 | 25,520,016 |
Total Increase (Decrease) in Net Assets | 9,216,692 | 51,080,171 | 7,003,291 | 24,738,774 |
Net Assets | ||||
Beginning of period | 51,080,171 | — | 24,738,774 | — |
End of period | $60,296,863 | $51,080,171 | $31,742,065 | $24,738,774 |
Share Transactions | ||||
Shares issued | 350,000 | 2,054,000 | 425,000 | 1,125,000 |
Shares reinvested | — | — | — | — |
Shares redeemed | — | — | (400,000) | (100,000) |
Change in Shares Outstanding | 350,000 | 2,054,000 | 25,000 | 1,025,000 |
(F) | Represents the period from commencement of operations (August 4, 2022) through December 31, 2022. |
(G) | Represents the period from commencement of operations (July 27, 2022) through December 31, 2022. |
Touchstone Climate Transition ETF | ||||||||||||||||||||||||||
Period ended | Net asset value at beginning of period | Net investment income | Net realized and unrealized gains (losses) on investments | Total from investment operations | Distributions from net investment income | Total distributions | Net asset value at end of period | Total return based on NAV | Net assets at end of period (000's) | Ratio of net expenses to average net assets | Ratio of gross expenses to average net assets | Ratio of net investment income (loss) to average net assets | Portfolio turnover rate | |||||||||||||
12/31/23(1) | $25.00 | $0.19 | $0.03 | $0.22 | $(0.19) | $(0.19) | $25.03 | 0.87%(2) | $11,266 | 0.69%(3) | 1.77%(3) | 1.15%(3) | 65%(2)(4) |
(1) | Represents the period from commencement of operations (April 28, 2023) through December 31, 2023. |
(2) | Not annualized. |
(3) | Annualized. |
(4) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind and received from processing subscriptions-in-kind. |
Touchstone Dividend Select ETF | ||||||||||||||||||||||||||
Period ended | Net asset value at beginning of period | Net investment income | Net realized and unrealized gains (losses) on investments | Total from investment operations | Distributions from net investment income | Total distributions | Net asset value at end of period | Total return based on NAV | Net assets at end of period (000's) | Ratio of net expenses to average net assets | Ratio of gross expenses to average net assets | Ratio of net investment income (loss) to average net assets | Portfolio turnover rate | |||||||||||||
12/31/22(1) | $25.00 | $0.18 | $0.31 | $0.49 | $(0.18) | $(0.18) | $25.31 | 1.94%(2) | $26,570 | 0.67%(3) | 1.41%(3) | 2.11%(3) | 28%(2)(4) | |||||||||||||
12/31/23 | 25.31 | 0.58 | 2.91 | 3.49 | (0.58) | (0.58) | 28.22 | 14.01 | 31,040 | 0.67 | 1.21 | 2.22 | 16(4) |
(1) | Represents the period from commencement of operations (August 2, 2022) through December 31, 2022. |
(2) | Not annualized. |
(3) | Annualized. |
(4) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind and received from processing subscriptions-in-kind. |
Touchstone Dynamic International ETF | ||||||||||||||||||||||||||||
Period ended | Net asset value at beginning of period | Net investment income | Net realized and unrealized gains (losses) on investments | Total from investment operations | Distributions from net investment income | Distributions from Realized capital gains | Total distributions | Net asset value at end of period | Total return based on NAV | Net assets at end of period (000's) | Ratio of net expenses to average net assets | Ratio of gross expenses to average net assets | Ratio of net investment income (loss) to average net assets | Portfolio turnover rate | ||||||||||||||
12/31/19(2) | $23.72 | $0.69 | $3.62 | $4.31 | $(0.64) | (0.44) | $(1.08) | $26.95 | 18.35% | $4,060 | 0.24% | 0.97% | 2.02% | 38% | ||||||||||||||
12/31/20(2) | 26.95 | 0.37 | 3.13 | 3.50 | (0.46) | (0.44) | (0.90) | 29.55 | 13.23 | 4,735 | 0.24 | 0.88 | 1.51 | 33 | ||||||||||||||
12/31/21(2) | 29.55 | 0.46 | 1.14 | 1.60 | (0.82) | (0.93) | (1.75) | 29.40 | 5.39 | 5,061 | 0.24 | 0.87 | 1.51 | 20 | ||||||||||||||
12/31/22(2) | 29.40 | 0.44 | (5.23) | (4.79) | (0.71) | (0.62) | (1.33) | 23.28 | (16.34) | 2,987 | 0.24 | 0.99 | 1.75 | 60 | ||||||||||||||
12/31/23(1)(2) | 23.28 | 0.31 | 3.65 | 3.96 | (0.40) | — | (0.40) | 26.84 | 17.21 | 53,272 | 0.40 | 1.50 | 2.06 | 125 |
(1) | Effective December 8, 2023, Class Y shares of the Dynamic Allocation Fund were reorganized into shares of the Fund. |
(2) | On November 24, 2023, the Predecessor Fund effected a 0.4524:1 reverse share split. All per share data has been adjusted to reflect the reverse share split. |
Touchstone Securitized Income ETF | ||||||||||||||||||||||||||
Period ended | Net asset value at beginning of period | Net investment income | Net realized and unrealized gains (losses) on investments | Total from investment operations | Distributions from net investment income | Total distributions | Net asset value at end of period | Total return based on NAV | Net assets at end of period (000's) | Ratio of net expenses to average net assets | Ratio of gross expenses to average net assets | Ratio of net investment income (loss) to average net assets | Portfolio turnover rate | |||||||||||||
12/31/23(1) | $25.00 | $0.73 | $0.58 | $1.31 | $(0.73) | $(0.73) | $25.58 | 5.37%(2) | $24,303 | 0.39%(3) | 1.27%(3) | 6.45%(3) | 11%(2) |
(1) | Represents the period from commencement of operations (July 17, 2023) through December 31, 2023. |
(2) | Not annualized. |
(3) | Annualized. |
Touchstone Strategic Income Opportunities ETF | ||||||||||||||||||||||||||
Period ended | Net asset value at beginning of period | Net investment income | Net realized and unrealized gains (losses) on investments | Total from investment operations | Distributions from net investment income | Total distributions | Net asset value at end of period | Total return based on NAV | Net assets at end of period (000's) | Ratio of net expenses to average net assets | Ratio of gross expenses to average net assets | Ratio of net investment income (loss) to average net assets | Portfolio turnover rate | |||||||||||||
12/31/22(1) | $25.00 | $0.48 | $(0.50) | $(0.02) | $(0.49) | $(0.49) | $24.49 | (0.03)%(2) | $99,200 | 0.65%(3) | 0.89%(3) | 4.51%(3) | 47%(2) | |||||||||||||
12/31/23 | 24.49 | 1.30 | 0.64 | 1.94 | (1.27) | (1.27) | 25.16 | 8.14 | 102,522 | 0.65 | 0.87 | 5.27 | 120 |
(1) | Represents the period from commencement of operations (July 21, 2022) through December 31, 2022. |
(2) | Not annualized. |
(3) | Annualized. |
Touchstone Ultra Short Income ETF | ||||||||||||||||||||||||||
Period ended | Net asset value at beginning of period | Net investment income | Net realized and unrealized gains (losses) on investments | Total from investment operations | Distributions from net investment income | Total distributions | Net asset value at end of period | Total return based on NAV | Net assets at end of period (000's) | Ratio of net expenses to average net assets | Ratio of gross expenses to average net assets | Ratio of net investment income (loss) to average net assets | Portfolio turnover rate | |||||||||||||
12/31/22(1) | $25.00 | $0.35 | $(0.14) | $0.21 | $(0.34) | $(0.34) | $24.87 | 0.87%(2) | $51,080 | 0.34%(3) | 0.75%(3) | 3.65%(3) | 16%(2) | |||||||||||||
12/31/23 | 24.87 | 1.31 | 0.26 | 1.57 | (1.36) | (1.36) | 25.08 | 6.47 | 60,297 | 0.31 | 0.66 | 5.28 | 87 |
(1) | Represents the period from commencement of operations (August 4, 2022) through December 31, 2022. |
(2) | Not annualized. |
(3) | Annualized. |
Touchstone US Large Cap Focused ETF | ||||||||||||||||||||||||||
Period ended | Net asset value at beginning of period | Net investment income | Net realized and unrealized gains (losses) on investments | Total from investment operations | Distributions from net investment income | Total distributions | Net asset value at end of period | Total return based on NAV | Net assets at end of period (000's) | Ratio of net expenses to average net assets | Ratio of gross expenses to average net assets | Ratio of net investment income (loss) to average net assets | Portfolio turnover rate | |||||||||||||
12/31/22(1) | $25.00 | $0.06 | $(0.86) | $(0.80) | $(0.06) | $(0.06) | $24.14 | (3.25)%(2) | $24,739 | 0.69%(3) | 1.54%(3) | 0.66%(3) | 3%(2)(4) | |||||||||||||
12/31/23 | 24.14 | 0.21 | 6.09 | 6.30 | (0.21) | (0.21) | 30.23 | 26.17 | 31,742 | 0.69 | 1.23 | 0.79 | 3(4) |
(1) | Represents the period from commencement of operations (July 27, 2022) through December 31, 2022. |
(2) | Not annualized. |
(3) | Annualized. |
(4) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind and received from processing subscriptions-in-kind. |
Touchstone Climate Transition ETF ("Climate Transition ETF”) |
Touchstone Dividend Select ETF ("Dividend Select ETF”) |
Touchstone Dynamic International ETF ("Dynamic International ETF”) |
Touchstone Securitized Income ETF ("Securitized Income ETF”) |
Touchstone Strategic Income Opportunities ETF ("Strategic Income Opportunities ETF”) |
Touchstone Ultra Short Income ETF ("Ultra Short Income ETF”) |
Touchstone US Large Cap Focused ETF ("US Large Cap Focused ETF”) |
(1) | market value of investment securities, assets and liabilities at the current rate of exchange on the valuation date; and |
(2) | purchases and sales of investment securities, income, and expenses at the relevant rates of exchange prevailing on the respective dates of such transactions. |
Fund | Derivatives not accounted for as hedging instruments under ASC 815 | Asset Derivatives | Liability Derivatives |
Strategic Income Opportunities ETF | Swap Agreements - Credit Contracts* | $— | $294,787 |
Futures Contracts - Interest Rate Contracts** | 151,683 | 42,036 |
* | Statements of Assets and Liabilities Location: Payable for variation margin on swap agreements. Variation margin reported in the Portfolio of Investments and other tables in the Notes to the Financial Statements is the cumulative unrealized appreciation (depreciation). |
** | Statements of Assets and Liabilities Location: Receivable for variation margin on futures contracts. Only current day’s variation margin is reported within the payable/receivable on the Statement of Assets and Liabilities. Includes cumulative appreciation/(depreciation) on futures contracts as reported on the Portfolio of Investments and within the components of net assets section of the Statement of Assets and Liabilities. |
Fund | Derivatives not accounted for as hedging instruments under ASC 815 | Realized Gains (Losses) on Derivatives | Change in Unrealized Appreciation (Depreciation) on Derivatives |
Strategic Income Opportunities ETF | Futures - Interest Rate Contracts* | $(200,927) | $109,647 |
Swap Agreements - Credit Contracts** | (41,162) | (294,787) |
* | Statements of Operations Location: Net realized losses on futures contracts and Net change in unrealized appreciation (depreciation) on futures contracts, respectively. |
** | Statements of Operations Location: Net realized losses on swap agreements and Net change in unrealized appreciation (depreciation) on swap agreements, respectively. |
Strategic Income Opportunities ETF | |
Credit Contracts: | |
Credit Default Swaps (buy protection) - Notional value | $3,590,000 |
Interest Rate Contracts: | |
Futures Contracts (long) - Notional Value | 13,822,193 |
Futures Contracts (short) - Notional Value | 1,251,524 |
Fund | Security Type | Market Value of Securities Loaned* | Market Value of Collateral Received** | Net Amount*** |
Strategic Income Opportunities ETF | Corporate Bonds | $818,410 | $848,318 | $29,908 |
* | The remaining contractual maturity is overnight for all securities. |
** | Gross amount of recognized liabilities for securities lending included in the Statements of Assets and Liabilities. |
*** | Net amount represents the net amount payable due to (received from) the borrower in the event of default. |
Climate Transition ETF* | Dividend Select ETF* | Dynamic International ETF | Securitized Income ETF | Strategic Income Opportunities ETF | Ultra Short Income ETF | US Large Cap Focused ETF* | |
Purchases of investment securities | $16,852,114 | $4,400,269 | $75,412,657 | $22,380,217 | $18,499,695 | $41,157,096 | $916,396 |
Proceeds from sales and maturities | $6,225,873 | $4,686,718 | $94,413,622 | $1,485,490 | $29,705,904 | $37,249,281 | $1,225,596 |
* | The Climate Transition ETF, the Dividend Select ETF and US Large Cap Focused ETF had subscriptions-in-kind into the Fund of $2,437,201, $8,148,993 and $11,495,655, respectively, which are excluded from purchases of investment securities. The Climate Transition ETF, the Dividend Select ETF and the US Large Cap Focused ETF had redemptions-in-kind out of the Fund of $1,816,318, $7,230,759 and $10,969,400, respectively, which are excluded from the proceeds from sales and maturities. |
Climate Transition ETF | 0.65% on the first $500 million |
0.60% on assets over $500 million | |
Dividend Select ETF | 0.55% on the first $1 billion |
0.50% on assets over $1 billion | |
Dynamic International ETF* | 0.55% on the first $500 million |
0.50% on assets over $500 million | |
Securitized Income ETF** | 0.34% on the first $500 million |
0.30% on assets over $500 million | |
Strategic Income Opportunities ETF | 0.55% on the first $250 million |
0.50% on the next $250 million | |
0.45% on assets over $500 million | |
Ultra Short Income ETF*** | 0.18% on the first $500 million |
0.16% on assets over $500 million | |
US Large Cap Focused ETF | 0.70% on the first $500 million |
0.65% on the next $300 million | |
0.60% on the next $200 million | |
0.50% on the next $1 billion | |
0.40% on assets over $2 billion |
Fort Washington Investment Advisors, Inc.* | Lombard Odier Asset Management (USA) Corp. |
Dividend Select ETF | Climate Transition ETF |
Securitized Income ETF | Los Angeles Capital Management LLC |
Strategic Income Opportunities ETF | Dynamic International ETF |
Ultra Short Income ETF | |
US Large Cap Focused ETF |
Termination Date | ||
Climate Transition ETF | 0.69% | April 29, 2024 |
Dividend Select ETF | 0.67% | April 29, 2024 |
Dynamic International ETF | 0.65% | October 29, 2024 |
Securitized Income ETF | 0.39% | October 29, 2024 |
Strategic Income Opportunities ETF | 0.65% | April 29, 2024 |
Ultra Short Income ETF* | 0.25% | September 29, 2024 |
US Large Cap Focused ETF | 0.69% | April 29, 2024 |
* | Prior to September 1, 2023, the expense limitation was 0.34%. |
Fund | Investment Advisory Fees Waived | Administration Fees Waived | Other Operating Expenses Reimbursed/ Waived | Total |
Climate Transition ETF | $— | $10,204 | $69,617 | $79,821 |
Dividend Select ETF | — | 38,769 | 113,779 | 152,548 |
Dynamic International ETF | — | 84,775 | 326,956 | 411,731 |
Securitized Income ETF | — | 14,267 | 76,751 | 91,018 |
Strategic Income Opportunities ETF | — | 138,112 | 79,662 | 217,774 |
Ultra Short Income ETF | — | 72,942 | 111,436 | 184,378 |
US Large Cap Focused ETF | 2,844 | 39,271 | 111,039 | 153,154 |
Fund | Expires on or before December 31, 2025 | Expires on or before December 31, 2026 | Total |
Climate Transition ETF | $— | $79,821 | $79,821 |
Dividend Select ETF | 64,225 | 152,548 | 216,773 |
Dynamic International ETF | — | 14,033 | 14,033 |
Securitized Income ETF | — | 91,018 | 91,018 |
Strategic Income Opportunities ETF | 98,127 | 217,774 | 315,901 |
Ultra Short Income ETF | 79,410 | 184,378 | 263,788 |
US Large Cap Focused ETF | 76,391 | 153,154 | 229,545 |
Climate Transition ETF | Dividend Select ETF | Dynamic International ETF | Securitized Income ETF | |||
Period Ended December 31, 2023 | Year Ended December 31, 2023 | Period Ended December 31, 2022 | Year Ended December 31, 2023 | Year Ended December 31, 2022* | Period Ended December 31, 2023 | |
From ordinary income | $85,163 | $623,057 | $183,700 | $839,702 | $1,735,216 | $664,094 |
From long-term capital gains | $— | $— | $— | $— | $1,667,588 | $— |
Total distributions | $85,163 | $623,057 | $183,700 | $839,702 | $3,402,804 | $664,094 |
Strategic Income Opportunities ETF | Ultra Short Income ETF | US Large Cap Focused ETF | ||||
Year Ended December 31, 2023 | Period Ended December 31, 2022 | Year Ended December 31, 2023 | Period Ended December 31, 2022 | Year Ended December 31, 2023 | Period Ended December 31, 2022 | |
From ordinary income | $5,174,005 | $1,908,028 | $2,894,829 | $686,340 | $225,572 | $58,353 |
From long-term capital gains | $— | $— | $— | $— | $— | $— |
Total distributions | $5,174,005 | $1,908,028 | $2,894,829 | $686,340 | $225,572 | $58,353 |
* Amounts reflect the Predecessor Fund as of December 31, 2022. |
Touchstone Climate Transition ETF | Touchstone Dividend Select ETF | Touchstone Dynamic International ETF | Touchstone Securitized Income ETF | |
Tax cost of portfolio investments | $11,244,496 | $28,699,612 | $51,168,252 | $23,078,626 |
Gross unrealized appreciation on investments | 926,832 | 3,162,537 | 2,511,130 | 609,279 |
Gross unrealized depreciation on investments | (688,492) | (810,842) | (414,288) | (84,596) |
Net unrealized appreciation (depreciation) on investments | 238,340 | 2,351,695 | 2,096,842 | 524,683 |
Gross unrealized appreciation on foreign currency transactions | — | — | 169 | 1 |
Gross unrealized depreciation on foreign currency transactions | (1,778) | — | — | — |
Net unrealized appreciation (depreciation) on foreign currency transactions | (1,778) | — | 169 | 1 |
Capital loss carryforwards | (523,523) | (668,128) | (1,739,848) | — |
Undistributed ordinary income | 9,481 | — | 135,525 | 12,086 |
Accumulated earnings (deficit) | $(277,480) | $1,683,567 | $492,688 | $536,770 |
Touchstone Strategic Income Opportunities ETF | Touchstone Ultra Short Income ETF | Touchstone US Large Cap Focused ETF | |
Tax cost of portfolio investments | $100,490,829 | $59,800,865 | $28,415,746 |
Gross unrealized appreciation on investments | 3,100,390 | 430,201 | 3,920,706 |
Gross unrealized depreciation on investments | (1,573,041) | (271,384) | (552,491) |
Net unrealized appreciation (depreciation) on investments | 1,527,349 | 158,817 | 3,368,215 |
Capital loss carryforwards | (259,323) | — | (297,798) |
Qualified late year losses | (228,624) | — | — |
Undistributed ordinary income | — | 11,329 | — |
Other temporary differences | (475,150) | — | — |
Accumulated earnings (deficit) | $564,252 | $170,146 | $3,070,417 |
Fund | No Expiration Short Term | No Expiration Long Term | Total |
Climate Transition ETF | $ 523,523 | $ — | $ 523,523 |
Dividend Select ETF | 412,387 | 255,741 | 668,128 |
Dynamic International ETF | — | 1,739,848 | 1,739,848 |
Strategic Income Opportunities ETF | 34,531 | 224,792 | 259,323 |
US Large Cap Focused ETF | 222,418 | 75,380 | 297,798 |
Fund | Utilized |
Dynamic International ETF | $ 188,682 |
Fund | Realized Capital Losses | Ordinary Losses | Total |
Strategic Income Opportunities ETF | $ — | $ 228,624 | $ 228,624 |
Fund | Paid-In Capital | Distributable Earnings |
Climate Transition ETF | $ 260,069 | $ (260,069) |
Dividend Select ETF | 1,885,964 | (1,885,964) |
Dynamic International ETF | (4,686) | 4,686 |
Ultra Short Income ETF | (592) | 592 |
US Large Cap Focused ETF | 2,261,879 | (2,261,879) |
Before Reorganization | After Reorganization | |
Dynamic Allocation Fund | Dynamic International ETF | |
Shares | 1,984,866(A) | 1,984,866 |
Net Assets | $50,999,838 | $50,999,838 |
Net Asset Value | $25.69(A) | $25.69 |
Unrealized Appreciation (Depreciation) | $2,560,024 | $2,560,024 |
(A) | Reflects a 0.4524:1 reverse stock split which occurred December 1, 2023. |
Touchstone Dynamic International ETF | ||||
For the Year Ended December 31, 2023 | For the Year Ended December 31, 2022 | |||
Shares | Dollars | Shares | Dollars | |
Class A | ||||
Proceeds from Shares issued | 64,734 | $ 710,521 | 124,148 | $1,423,148 |
Reinvestment of distributions | 47,849 | 522,378 | 264,215 | 2,818,941 |
Share conversion in connection with reorganization | (4,173,897) | (47,712,655) | — | — |
Cost of Shares redeemed | (1,563,531) | (16,893,128) | (681,497) | (7,789,260) |
Change from Class A Share Transactions | (5,624,845) | (63,372,884) | (293,134) | (3,547,171) |
Class C | ||||
Proceeds from Shares issued | 5,450 | 57,230 | 11,276 | 127,361 |
Reinvestment of distributions | 518 | 5,417 | 8,298 | 85,275 |
Share conversion in connection with reorganization | (62,561) | (715,144) | — | — |
Cost of Shares redeemed | (70,526) | (714,837) | (50,568) | (558,533) |
Change from Class C Share Transactions | (127,119) | (1,367,334) | (30,994) | (345,897) |
Class Y* | ||||
Proceeds from Shares issued | 16,435 | 189,232 | 46,298 | 527,132 |
Reinvestment of distributions | 2,962 | 32,704 | 15,163 | 164,100 |
Proceeds from Shares issued in connection with reorganization | 4,236,458 | 48,427,799 | — | — |
Cost of Shares redeemed | (2,554,587) | (1,691,276) | (158,348) | (1,853,338) |
Change from Class Y Share Transactions | 1,701,268 | 46,958,459 | (96,887) | (1,162,106) |
Change from Share Transactions | (4,050,696) | (17,781,759) | (421,015) | (5,055,174) |
* Class Y shares converted to Dynamic International ETF shares on December 8, 2023. |
Funds comprising the Touchstone ETF Trust | Statements of Operations | Statements of changes in net assets | Financial Highlights |
Touchstone Climate Transition ETF | For the period from April 28, 2023 (commencement of operations) through December 31, 2023 | ||
Touchstone Dividend Select ETF | For the year ended December 31, 2023 | For the year ended December 31, 2023 and the period from August 2, 2022 (commencement of operations) through December 31, 2022 | |
Touchstone Dynamic International ETF | For the year ended December 31, 2023 | For each of the two years in the period ended December 31, 2023 | For each of the five years in the period ended December 31, 2023 |
Touchstone Securitized Income ETF | For the period from July 17, 2023 (commencement of operations) through December 31, 2023 | ||
Touchstone Strategic Income Opportunities ETF | For the year ended December 31, 2023 | For the year ended December 31, 2023 and the period from July 21, 2022 (commencement of operations) through December 31, 2022 | |
Touchstone Ultra Short Income ETF | For the year ended December 31, 2023 | For the year ended December 31, 2023 and the period from August 4, 2022 (commencement of operations) through December 31, 2022 | |
Touchstone US Large Cap Focused ETF | For the year ended December 31, 2023 | For the year ended December 31, 2023 and the period from July 27, 2022 (commencement of operations) through December 31, 2022 |
Climate Transition ETF | 100.00 % |
Dividend Select ETF | 100.00 % |
Dynamic International ETF | 6.44 % |
Strategic Income Opportunities ETF | 2.62 % |
US Large Cap Focused ETF | 100.00 % |
Climate Transition ETF | 28.57 % |
Dividend Select ETF | 100.00 % |
Strategic Income Opportunities ETF | 2.62 % |
US Large Cap Focused ETF | 100.00 % |
Net Expense Ratio Annualized December 31, 2023 | Beginning Account Value July 1, 2023 | Ending Account Value December 31, 2023 | Expenses Paid During the Six Months Ended December 31, 2023* | ||
Climate Transition ETF | |||||
Actual | 0.69% | $1,000.00 | $947.00 | $3.39 | |
Hypothetical | 0.69% | $1,000.00 | $1,021.73 | $3.52 | |
Dividend Select ETF | |||||
Actual | 0.67% | $1,000.00 | $1,070.10 | $3.50 | |
Hypothetical | 0.67% | $1,000.00 | $1,021.83 | $3.41 | |
Dynamic International ETF | |||||
Actual | 0.49% | $1,000.00 | $1,172.10 | $2.68 | |
Hypothetical | 0.49% | $1,000.00 | $1,022.74 | $2.50 | |
Securitized Income ETF** | |||||
Actual | 0.39% | $1,000.00 | $1,053.70 | $1.83 | |
Hypothetical | 0.39% | $1,000.00 | $1,021.09 | $1.80 | |
Strategic Income Opportunities ETF | |||||
Actual | 0.65% | $1,000.00 | $1,054.40 | $3.37 | |
Hypothetical | 0.65% | $1,000.00 | $1,021.93 | $3.31 | |
Ultra Short Income ETF | |||||
Actual | 0.28% | $1,000.00 | $1,034.70 | $1.44 | |
Hypothetical | 0.28% | $1,000.00 | $1,023.79 | $1.43 | |
US Large Cap Focused ETF | |||||
Actual | 0.69% | $1,000.00 | $1,063.00 | $3.59 | |
Hypothetical | 0.69% | $1,000.00 | $1,021.73 | $3.52 |
* | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect one-half year period). |
** | Represents the period from commencement of operations (July 17, 2023) through December 31, 2023. Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 167/365. |
Interested Trustees1: | |||||
Name Address Year of Birth | Position Held with Trust | Term of Office And Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Funds Overseen in the Touchstone Fund Complex2 | Other Directorships Held During Past 5 Years3 |
Jill T. McGruder Touchstone Advisors, Inc. 303 Broadway Suite 1100 Cincinnati, Ohio 45202 Year of Birth: 1955 | Trustee | Until retirement at age 75 or until she resigns or is removed Trustee since 1999 | President of Touchstone Funds from 1999 to 2020; Director and CEO of IFS Financial Services, Inc. (a holding company) since 1999; and Senior Vice President and Chief Marketing Officer of Western & Southern Financial Group, Inc. (a financial services company) since 2016. | 39 | Director, Integrity Life Insurance Co. and National Integrity Life Insurance Co. since 2005; Director, Touchstone Securities (the Distributor) since 1999; Director, Touchstone Advisors (the Adviser) since 1999; Director, W&S Brokerage Services, Inc. since 1999; Director, W&S Financial Group Distributors, Inc. since 1999; Director, Insurance Profillment Solutions LLC since 2014; Director, Columbus Life Insurance Co. since 2016; Director, The Lafayette Life Insurance Co. since 2016; Director, Gerber Life Insurance Company since 2019; Director, Western & Southern Agency, Inc. since 2018; and Director, LL Global, Inc. (not-for-profit trade organization with operating divisions LIMRA and LOMA) since 2016. |
E. Blake Moore, Jr. Touchstone Advisors, Inc. 303 Broadway Suite 1100 Cincinnati, Ohio 45202 Year of Birth: 1958 | President and Trustee | Until retirement at age 75 or until he resigns or is removed Trustee since 2021 | President, Touchstone Funds since 2021; Chief Executive Officer of Touchstone Advisors, Inc. and Touchstone Securities, Inc. since 2020; President, Foresters Investment Management Company, Inc. from 2018 to 2020; President, North American Asset Management at Foresters Financial from 2018 to 2020; Managing Director, Head of Americas at UBS Asset Management from 2015 to 2017; and Executive Vice President, Head of Distribution at Mackenzie Investments from 2011 to 2014. | 39 | Trustee, College of Wooster since 2008; and Director, UBS Funds from 2015 to 2017. |
Independent Trustees: | |||||
Karen Carnahan c/o Touchstone Advisors, Inc. 303 Broadway Suite 1100 Cincinnati, Ohio 45202 Year of Birth: 1954 | Trustee | Until retirement at age 75 or until she resigns or is removed Trustee since 2019 | Retired; formerly Chief Operating Officer of Shred-it (a business services company) from 2014 to 2015; formerly President & Chief Operating Officer of the document management division of Cintas Corporation (a business services company) from 2008 to 2014. | 39 | Director, Cintas Corporation since 2019; Director, Boys & Girls Club of West Chester/Liberty from 2016 to 2022; and Board of Advisors, Best Upon Request from 2020 to 2021. |
William C. Gale c/o Touchstone Advisors, Inc. 303 Broadway Suite 1100 Cincinnati, Ohio 45202 Year of Birth: 1952 | Trustee | Until retirement at age 75 or until he resigns or is removed Trustee since 2013 | Retired; formerly Senior Vice President and Chief Financial Officer of Cintas Corporation (a business services company) from 1995 to 2015. | 39 | None. |
Independent Trustees (Continued): | |||||
Name Address Year of Birth | Position Held with Trust | Term of Office And Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Funds Overseen in the Touchstone Fund Complex2 | Other Directorships Held During Past 5 Years3 |
Susan M. King c/o Touchstone Advisors, Inc. 303 Broadway Suite 1100 Cincinnati, Ohio 45202 Year of Birth: 1963 | Trustee | Until retirement at age 75 or until she resigns or is removed Trustee since 2021 | Formerly, Partner of ID Fund LLC (2020 to 2021); formerly, Senior Vice President, Head of Product and Marketing Strategy of Foresters Financial (2018 to 2020); formerly, Managing Director, Head of Sales Strategy and Marketing, Americas of UBS Asset Management (2015 to 2017); formerly, Director, Allianz Funds, Allianz Funds Multi-Strategy Trust and AllianzGI Institutional Multi-Series Trust (2014 to 2015); and formerly, Director, Alliance Capital Cash Management Offshore Funds (2003 to 2005). | 39 | Trustee, Claremont McKenna College since 2017; Trustee, Israel Cancer Research Fund since 2019; and Board Member of WHAM! (Women's Health Access Matters) since 2021. |
Kevin A. Robie c/o Touchstone Advisors, Inc. 303 Broadway Suite 1100 Cincinnati, Ohio 45202 Year of Birth: 1956 | Trustee | Until retirement at age 75 or until he resigns or is removed Trustee since 2013 | Retired; formerly Vice President of Portfolio Management at Soin LLC (private multinational holding company and family office) from 2004 to 2020. | 39 | Director, SaverSystems, Inc. since 2015; Director, Buckeye EcoCare, Inc. from 2013 to 2018; Director, Turner Property Services Group, Inc. since 2017; Trustee, Dayton Region New Market Fund, LLC (private fund) since 2010; and Trustee, Entrepreneurs Center, Inc. (business incubator) since 2006. |
Sally J. Staley4 c/o Touchstone Advisors, Inc. 303 Broadway Suite 1100 Cincinnati, Ohio 45202 Year of Birth: 1956 | Trustee | Until retirement at age 75 or until she resigns or is removed Trustee since 2023 | Independent Consultant to Institutional Asset Owners since 2017; formerly Chief Investment Officer and Corporate Officer for Case Western Reserve University from 2006 to 2017; formerly Adviser to Fairport Asset Management LLC/Luma Wealth Advisors from 2011 to 2019. | 39 | Trustee, College of Wooster since 2006 (Chair since 2021); Trustee, Great Lakes Theater Festival since 2005; and Member of Advisory Committee, Certified Investment Fund Director Institute from 2015 to 2020. |
William H. Zimmer III c/o Touchstone Advisors, Inc. 303 Broadway Suite 1100 Cincinnati, Ohio 45202 Year of Birth: 1953 | Trustee | Until retirement at age 75 or until he resigns or is removed Trustee since 2019 | Independent Treasury Consultant since 2014. | 39 | Director, Deaconess Associations, Inc. (healthcare) since 2001; Trustee, Huntington Funds (mutual funds) from 2006 to 2015; and Director, National Association of Corporate Treasurers from 2011 to 2015. |
Principal Officers: | |||
Name Address Year of Birth | Position(s) Held with Trust1 | Term of Office And Length of Time Served | Principal Occupation(s) During Past 5 Years |
E. Blake Moore, Jr. Touchstone Advisors, Inc. 303 Broadway Suite 1100 Cincinnati, Ohio 45202 Year of Birth: 1958 | President and Trustee | Until resignation, removal or disqualification President since January 2021 | See biography above. |
Timothy D. Paulin Touchstone Advisors, Inc. 303 Broadway Suite 1100 Cincinnati, Ohio 45202 Year of Birth: 1963 | Vice President | Until resignation, removal or disqualification Vice President since 2010 | Senior Vice President of Investment Research and Product Management of Touchstone Advisors, Inc. |
Timothy S. Stearns Touchstone Advisors, Inc. 303 Broadway Suite 1100 Cincinnati, Ohio 45202 Year of Birth: 1963 | Chief Compliance Officer | Until resignation, removal or disqualification Chief Compliance Officer since 2013 | Chief Compliance Officer of Touchstone Advisors, Inc. and Touchstone Securities, Inc. |
Terrie A. Wiedenheft Touchstone Advisors, Inc. 303 Broadway Suite 1100 Cincinnati, Ohio 45202 Year of Birth: 1962 | Controller and Treasurer | Until resignation, removal or disqualification Controller and Treasurer since 2006 | Senior Vice President and Chief Administration Officer within the Office of the Chief Marketing Officer of Western & Southern Financial Group (since 2021); and Senior Vice President, Chief Financial Officer, and Chief Operations Officer of IFS Financial Services, Inc. (a holding company). |
Benjamin Mollozzi Western & Southern Financial Group 400 Broadway Cincinnati, Ohio 45202 Year of Birth: 1984 | Secretary | Until resignation, removal or disqualification Secretary since 2023 | Counsel - Securities/Registered Funds of Western & Southern Financial Group (2022 to present); Attorney at U.S. Bank (2021 to 2022); Attorney at Ultimus Fund Solutions, LLC (2016 to 2021). |
303 Broadway
Cincinnati, Ohio 45202-4203
Three Canal Plaza, Suite 100
Portland, Maine 04101
(b) | Not applicable. |
Item 2. Code of Ethics.
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. |
(d) | The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
(e) | Not applicable. |
(f) | A copy of the code of ethics is attached hereto as Exhibit 13(a)(1). |
Item 3. Audit Committee Financial Expert.
The registrant’s Board of Trustees has determined that the registrant has at least one audit committee financial expert serving on its audit committee. Ms. Karen Carnahan is the registrant’s audit committee financial expert and is an independent trustee within the meaning of the Investment Company Act of 1940, as amended (the “1940 Act”).
Item 4. Principal Accountant Fees and Services.
Audit Fees
(a) | Audit fees for Touchstone ETF Trust totaled $149,900 and $84,300 for the fiscal year ended December 31, 2023 and December 31, 2022, respectively, including fees associated with the annual audits and filings of Form N-1A and Form N-CEN. |
Audit-Related Fees
(b) | The aggregate fees billed in the last fiscal year for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item are $33,200 and $10,000 for the fiscal year ended December 31, 2023 and December 31, 2022, respectively. The fees relate to out of scope services and N-1A fees. |
Tax Fees
(c) | The aggregate fees billed in the last fiscal year for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning were $50,000 and $32,000 for the fiscal years ended December 31, 2023 and December 31, 2022, respectively. The fees relate to the preparation of federal income and excise tax returns, and review of capital gains distribution calculations. |
All Other Fees
(d) | The aggregate fees billed in the last fiscal year for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 and $0 for the fiscal years ended December 31, 2023 and December 31, 2022, respectively. |
(e)(1) | Disclose the audit committee's pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. |
The Audit Committee’s pre-approval policies describe the types of audit, audit-related, tax and other services that have the general pre-approval of the Audit Committee. The pre-approval policies provide that annual audit service fees, tax services not specifically granted pre-approval, services exceeding pre-approved cost levels and other services that have not received general pre-approval will be subject to specific pre-approval by the Audit Committee. The pre-approval policies further provide that the Committee may grant general pre-approval to other audit services (statutory audits and services associated with SEC registration statements, periodic reports and other documents filed with the SEC or other documents issued in connection with securities offerings), audit-related services (accounting consultations related to accounting, financial reporting or disclosure matters not classified as “audit services,” assistance with understanding and implementing new accounting and financial reporting guidance from rulemaking authorities, agreed-upon or expanded audit procedures related to accounting and/or billing records required to respond to or comply with financial, accounting or regulatory reporting matters and assistance with internal control reporting requirements under Form N-CSR), tax services that have historically been provided by the auditor that the Committee believes would not impair the independence of the auditor and are consistent with the SEC’s rules on auditor independence and permissible non-audit services classified as “all other services” that are routine and recurring services.
(e)(2) | All of the services described in paragraphs (b) through (d) of Item 4 were approved by the Audit Committee. |
(f) | 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 attributed to work performed by persons other than the principal accountant's full-time, permanent employees was less than fifty percent. |
(g) | The aggregate non-audit fees for Touchstone ETF Trust and certain entities*, totaled approximately $914,362 and $699,959 for the fiscal years ended December 31, 2023 and December 31, 2022, respectively. |
* These include the advisers (excluding non-affiliated sub-advisers) and any entity controlling, controlled by or under common control with the advisers that provides ongoing services to the registrant (Funds).
(h) | The registrant's audit committee of the board of trustees has considered whether the provision of non-audit services that were 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 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. |
(i) | Not applicable. |
(j) | Not applicable. |
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | Code of ethics, and any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(2)(1) | Not applicable. |
(a)(2)(2) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are 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.
(Registrant) Touchstone ETF Trust | ||||
By (Signature and Title)* | /s/ E. Blake Moore, Jr. | |||
E. Blake Moore Jr., President | ||||
(principal executive officer) | ||||
Date | 02/29/2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ E. Blake Moore, Jr. | |||
E. Blake Moore Jr., President | ||||
(principal executive officer) | ||||
Date | 02/29/2024 |
By (Signature and Title)* | /s/ Terrie A. Wiedenheft | |||
Terrie A. Wiedenheft, Controller and Treasurer | ||||
(principal financial officer) | ||||
Date | 02/29/2024 |
* Print the name and title of each signing officer under his or her signature.