Semiannual Report

 

February 28, 2022 (Unaudited)

 

Nationwide ETFs

 

Nationwide Risk-Based U.S. Equity ETF | RBUS

 

Nationwide Risk-Based International Equity ETF | RBIN

 

Nationwide Maximum Diversification U.S. Core Equity ETF | MXDU

 

Nationwide Nasdaq-100® Risk-Managed Income ETF | NUSI

 

Nationwide Dow Jones® Risk-Managed Income ETF |NDJI

 

Nationwide Russell 2000® Risk-Managed Income ETF | NTKI

 

Nationwide S&P 500® Risk-Managed Income ETF | NSPI

 

 

 

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Nationwide ETFs

 

 

Table of Contents

 

 

Page

Letter to Investors

1

Portfolio Allocations

4

Schedules of Investments and Schedules of Written Options

6

Statements of Assets and Liabilities

63

Statements of Operations

65

Statements of Changes in Net Assets

67

Financial Highlights

74

Notes to Financial Statements

81

Expense Examples

96

Review of Liquidity Risk Management Program

99

Approval of Advisory Agreements and Board Considerations

100

Federal Tax Information

103

Foreign Tax Credit Pass Through

104

Information About Portfolio Holdings

104

Information About the Funds’ Trustees

104

Information About Proxy Voting

104

Frequency Distribution of Premiums and Discounts

104

 

 

 

Letter to Investors (Unaudited)

 

 

February 28, 2022

 

Dear Investors,

 

During this unprecedented time of challenge and volatility, Nationwide continues to care diligently for our associates, communities, and ultimately you, our investors. We remain steadfastly committed to protecting people, businesses and futures with extraordinary care. Equity markets were notably weak during the semi-annual reporting period ended February 28, 2022. Investors experienced continued COVID-19 concerns, elevated market expectations, stubborn inflation, and geopolitical tension which weighed on returns.

 

The U.S. economic activity decelerated following the impressive post-recession rebound, as the Omicron variant weighed on consumer activity. Economic growth experienced deceleration during the first quarter of 2022 due to the variant and pressure from commodity prices, following previous GDP growth of 2.3% and 7.0% during the third and fourth quarters of 2021, respectively.

 

Markets experienced their first meaningful period of weakness since the initial stages of the pandemic, as elevated valuations and geopolitical uncertainty impacted equity markets, and historic levels of inflation, incremental Federal Reserve (“Fed”) hawkishness, and widening credit spreads hurt bond market returns. The S&P 500® Index (“S&P 500”) experienced substantial volatility through the period, though the index was able to hit a record high on January 3, 2022 supported by investor optimism. A “wall of worry” that quickly developed beginning with the Omicron surge of COVID-19, then a shift in Fed sentiment, and finally the Russian invasion of Ukraine resulted in a sharp reversal of performance. The S&P 500 was up nearly 6% through the first four months of the period but finished with a 3% loss.

 

International markets endured even greater volatility, as economic optimism quickly gave way to geopolitical fear, with the MSCI EAFE® Index finishing the period with a three-month losing streak that saw the reporting period with a loss of nearly 7%. The MSCI Emerging Markets® Index was notably weak on continued stress from China and surging commodity prices, returning nearly -10%.

 

The market decline took a notably ‘risk-off’ tone, with many of the areas that drove the post-recession surge reversing course. Value indexes notably outperformed growth indexes, while large-cap indexes beat small-cap indexes. The Energy sector was the clear winner for the period given the 34% rally in crude prices, followed by the Consumer Staples and Financials sectors, while the Telecommunications, Real Estate, and Industrials sectors lagged.

 

Fixed-income returns were universally weak, with surging interest rates and widening credit spreads driving negative returns. Interest rates jumped through the period, with the 10-year Treasury yield rising from 1.30% to 1.84%. The 2-year yield saw an even sharper rise, from 0.20% to 1.43%, resulting in the yield curve narrowing to the tightest level since the early stages of the pandemic at 0.41%.

 

The following chart provides returns for various market segments for the six-month reporting period ended February 28, 2022:

 

Index

Semi-annual
Total Return
(as of
February 28,
2022)

Bloomberg Emerging Markets USD Aggregate Bond Index

-9.08%

Bloomberg Municipal Bond Index

-3.08%

Bloomberg U.S. 1-3 Year Government/Credit Bond Index

-1.79%

Bloomberg U.S. 10-20 Year Treasury Bond Index

-5.53%

Bloomberg U.S. Aggregate Bond Index

-4.07%

Bloomberg U.S. Corporate High Yield Index

-3.06%

MSCI EAFE® Index

-6.78%

MSCI Emerging Markets® Index

-9.81%

MSCI ACWI ex USA Index

-6.95%

Russell 1000® Growth Index

-7.75%

Russell 1000® Value Index

0.42%

Russell 2000® Index

-9.46%

S&P 500® Index

-2.62%

 

Source: Morningstar

 

Volatility will likely persist given the continued geopolitical uncertainty and historic levels of inflation. It appears that markets have begun to stabilize given the hope for a resolution of the geopolitical uncertainty and the resetting of investor expectations. We hope that equity markets will resume their upward trajectory when tensions settle, given the solid position of the consumer, strong employment market, healthy wage gains, and desire to spend. Corporate earnings also continue to trend higher, providing a healthy fundamental backdrop. Stressful and volatile periods in the market require investors to remain vigilant and informed but avoid the temptation to try to react on emotion as it often leads to suboptimal outcomes.

 

1

 

 

 

Letter to Investors (Unaudited) (Continued)

 

 

February 28, 2022

 

As always, we feel that the best way for you to reach your financial goals is to adhere consistently to a disciplined and patient investment strategy. We urge investors to seek investments based on a sound asset allocation strategy and a long-term perspective. Nationwide encourages you to speak regularly with your financial professional to ensure that your portfolio maintains the right balance for your goals. At Nationwide, we continue to take a steady approach to seek long-term growth. We remain confident in our ability to help investors navigate the markets for years to come. Thank you for investing with us and for your continued support and confidence. We deeply value your trust.

 

Sincerely,

 

 

Michael S. Spangler
President and Chief Executive Officer
Nationwide Fund Advisors

 

Index Definitions

 

Bloomberg Emerging Markets USD Aggregate Bond Index: An unmanaged index that includes fixed and floating-rate US dollar-denominated debt issued from sovereign, quasi sovereign, and corporate emerging markets issuers.

 

Bloomberg U.S. Municipal Bond Index: An unmanaged index that covers the USD-denominated long-term tax exempt bond market. The index has four main sectors: state and local general obligation bonds, revenue bonds, insured bonds and pre-refunded bonds.

 

Bloomberg U.S. Government/Credit 1-3 Year Index: An unmanaged index that measures the performance of non-securitized component of the U.S. Aggregate Index with maturities of 1-3 years, including Treasuries, government-related issues and corporates.

 

Bloomberg U.S. 10-20 Year Treasury Bond Index: An unmanaged index that measures U.S. dollar-denominated, fixed-rate, nominal debt issued by the U.S. Treasury with 10 to 20 years to maturity.

 

Bloomberg U.S. Aggregate Bond Index: An unmanaged, market value-weighted index of U.S. dollar denominated, investment-grade, fixed-rate, taxable debt issues, which includes Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities and commercial mortgage-backed securities (agency and non-agency).

 

Bloomberg U.S. Corporate High Yield Index: An unmanaged index that measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market.

 

Dow Jones Industrial Average Index: A price-weighted index that measures the daily stock market movements of 30 U.S. publicly-traded companies listed on the NASDAQ or the New York Stock Exchange (NYSE). The 30 publicly-owned companies are considered leaders in the United States economy.

 

MSCI EAFE® Index: An unmanaged, free float-adjusted, market capitalization-weighted index that is designed to measure the performance of large-cap and mid-cap stocks in developed markets as determined by MSCI; excludes the United States and Canada.

 

MSCI Emerging Markets® Index: An unmanaged, free float adjusted, market capitalization-weighted index that is designed to measure the performance of large-cap and mid-cap stocks in emerging-country markets as determined by MSCI.

 

MSCI ACWI ex USA: An unmanaged, free float-adjusted, market capitalization-weighted index that is designed to measure the performance of large-cap and mid-cap stocks in global developed and emerging markets as determined by MSCI; excludes the United States.

 

Russell 1000® Growth Index: An unmanaged index that measures the performance of the large-capitalization growth segment of the U.S. equity universe; includes those Russell 1000® Index companies with higher price-to-book ratios and higher forecasted growth values.

 

Russell 1000® Value Index: An unmanaged index that measures the performance of the large-capitalization value segment of the U.S. equity universe; includes those Russell 1000® Index companies with lower price-to-book ratios and lower forecasted growth values.

 

2

 

 

 

Letter to Investors (Unaudited) (Continued)

 

 

February 28, 2022

 

Russell 2000® Index: An unmanaged index that measures the performance of the small-capitalization segment of the U.S. equity universe.

 

S&P 500® Index: An unmanaged, market capitalization-weighted index of 500 stocks of leading large-cap U.S. companies in leading industries; gives a broad look at the U.S. equities market and those companies’ stock price performance.

 

Russell Investment Group is the source and owner of the trademarks, service marks and copy rights related to the Russell Indexes. The Fund is not sponsored, endorsed, or promoted by Russell, and Russell bears no liability with respect to any such funds or securities or any index on which such funds or securities are based. Russell® is a trademark of Russell Investment Group.

 

Bloomberg® and its indexes are service marks of Bloomberg Finance L.P. and its affiliates including Bloomberg Index Services Limited, the administrator of the index, and have been licensed for use for certain purposes by Nationwide. Bloomberg is not affiliated with Nationwide, and Bloomberg does not approve, endorse, review or recommend this product. Bloomberg does not guarantee the timeliness, accurateness, or completeness of any date or information relating to this product.

 

Investing involves risk, including the possible loss of principal. Shares of any ETF are bought and sold at market price (not NAV), may trade at a discount or premium to NAV and are not individually redeemed from the Fund. Brokerage commissions will reduce returns. The Funds’ return may not match or achieve a high degree of correlation with the return of the underlying index.

 

KEY RISKS: The Funds are subject to the risks of investing in equity securities. The Funds may also be subject to the risks of investing in foreign securities (which are volatile, harder to price and less liquid than U.S. securities), including emerging markets (which may include currency fluctuations, political risks, differences in account and limited availability of information). Please refer to the summary prospectus for a more detailed explanation of the Funds’ principal risks. There is no assurance that the investment objectives of any fund will be achieved.

 

Diversification does not assure a profit or protect against a loss in a declining market.

 

©2022 Morningstar, Inc. All Rights Reserved. The information contained herein (1) is proprietary to Morningstar (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

 

Nationwide Fund Advisors (NFA) is the registered investment advisor to Nationwide ETFs, which are distributed by Quasar Distributors LLC. NFA is not affiliated with any distributor, subadviser, or index provider contracted by NFA for the Nationwide ETFs. Nationwide is not an affiliate of third-party sources such as Morningstar, Inc. or MSCI. Representatives of the Nationwide ETF Sales Desk are registered with Nationwide Investment Services Corporation, member FINRA, Columbus, Ohio.

 

Nationwide, the Nationwide N and Eagle and Nationwide is on your side are service marks of Nationwide Mutual Insurance Company © 2022 Nationwide

 

3

 

 

 

Portfolio Allocations

Nationwide ETFs

 

As of February 28, 2022 (Unaudited)

 

Nationwide Risk-Based U.S. Equity ETF

Sector

Percentage
of Net
Assets

Health Care

23.5%

Consumer Staples

13.7

Industrials

10.5

Utilities

9.9

Consumer Discretionary

9.8

Financials

9.1

Information Technology

8.3

Communication Services

8.2

Materials

4.1

Energy

2.5

Short-Term Investments and Other Assets and Liabilities

0.4

Total

100.0%

 

Nationwide Risk-Based International Equity ETF

Sector

Percentage
of Net
Assets

Financials

20.0%

Industrials

17.3

Consumer Staples

15.4

Health Care

14.9

Communication Services

8.2

Utilities

7.7

Materials

5.0

Information Technology

4.8

Consumer Discretionary

3.1

Real Estate

2.0

Energy

1.1

Short-Term Investments and Other Assets and Liabilities

0.5

Total

100.0%

 

Nationwide Maximum Diversification U.S. Core Equity ETF

Sector

Percentage
of Net
Assets

Health Care

23.7%

Consumer Staples

13.7

Consumer Discretionary

12.3

Information Technology

12.3

Communication Services

9.6

Financials

6.8

Industrials

5.6

Real Estate

5.1

Materials

3.6

Energy

3.5

Utilities

3.5

Short-Term Investments and Other Assets and Liabilities

0.3

Total

100.0%

 

Nationwide Nasdaq-100® Risk-Managed Income ETF

Sector/Asset Class

Percentage
of Net
Assets

Information Technology (a)

51.2%

Communication Services

17.7

Consumer Discretionary

16.2

Health Care

5.8

Consumer Staples

5.6

Industrials

3.0

Purchased Options

1.3

Utilities

1.1

Short-Term Investments and Other Assets and Liabilities

(1.9)

Total

100.0%

 

(a)

To the extent that the Fund invests more heavily in particular sectors of the economy, its performance will be especially sensitive to developments that significantly affect those sectors. See Note 9 in the Notes to Financial Statements.

 

4

 

 

 

Portfolio Allocations (Continued)

Nationwide ETFs

 

As of February 28, 2022 (Unaudited)

 

Nationwide Dow Jones® Risk-Managed Income ETF

Sector/Asset Class

Percentage
of Net
Assets

Information Technology

21.6%

Health Care

18.2

Financials

16.4

Industrials

14.1

Consumer Discretionary

13.5

Consumer Staples

7.7

Communication Services

3.9

Energy

2.8

Materials

1.1

Purchased Options

1.0

Short-Term Investments and Other Assets and Liabilities

(0.3)

Total

100.0%

 

Nationwide Russell 2000® Risk-Managed Income ETF

Sector/Asset Class

Percentage
of Net
Assets

Financials

16.4%

Health Care

15.8

Industrials

14.9

Information Technology

12.9

Consumer Discretionary

10.6

Real Estate

7.1

Energy

5.5

Materials

4.0

Consumer Staples

3.4

Communication Services

3.0

Utilities

2.8

Short-Term Investments and Other Assets and Liabilities

2.5

Purchased Options

1.1

Total

100.0%

 

Nationwide S&P 500® Risk-Managed Income ETF

Sector/Asset Class

Percentage
of Net
Assets

Information Technology (a)

27.7%

Health Care

12.8

Consumer Discretionary

11.9

Financials

11.1

Communication Services

9.3

Industrials

7.4

Consumer Staples

6.1

Energy

3.7

Utilities

2.5

Real Estate

2.5

Materials

2.4

Short-Term Investments and Other Assets and Liabilities

1.6

Purchased Options

1.0

Total

100.0%

 

(a)

To the extent that the Fund invests more heavily in particular sectors of the economy, its performance will be especially sensitive to developments that significantly affect those sectors. See Note 9 in the Notes to Financial Statements.

 

5

 

 

 

Schedules of Investments

 

February 28, 2022 (Unaudited)

 

Nationwide Risk-Based U.S. Equity ETF

 

 

Shares

 

Security Description

 

Value

 
     

COMMON STOCKS — 99.6%

       
       

Communication Services — 8.2%

    7,194  

Activision Blizzard, Inc.

  $ 586,311  
    144  

Alphabet, Inc. - Class A (a)

    388,964  
    21,146  

AT&T, Inc.

    500,949  
    756  

Charter Communications, Inc. - Class A (a)(b)

    454,946  
    7,216  

Comcast Corporation - Class A

    337,420  
    25,695  

Discovery, Inc. - Series A (a)(b)

    720,745  
    5,516  

Electronic Arts, Inc.

    717,576  
    12,188  

Fox Corporation - Class A (b)

    509,824  
    2,787  

Liberty Broadband Corporation - Class A (a)(b)

    403,585  
    42,865  

Lumen Technologies, Inc. (b)

    444,081  
    1,101  

Meta Platforms, Inc. - Class A (a)(b)

    232,344  
    951  

Netflix, Inc. (a)(b)

    375,189  
    5,942  

Omnicom Group, Inc. (b)

    498,474  
    22,777  

Paramount Global - Class B (b)

    697,204  
    3,628  

Take-Two Interactive Software, Inc. (a)(b)

    587,736  
    3,572  

T-Mobile US, Inc. (a)

    440,106  
    13,808  

Verizon Communications, Inc.

    741,076  
    2,903  

Walt Disney Company (a)

    430,979  
    15,866  

Warner Music Group Corporation - Class A (b)

    574,667  
              9,642,176  
       

Consumer Discretionary — 9.8%

       
    1,510  

Advance Auto Parts, Inc.

    308,765  
    186  

Amazon.com, Inc. (a)

    571,254  
    193  

AutoZone, Inc. (a)

    359,634  
    28,881  

Chewy, Inc. - Class A (a)(b)

    1,361,451  
    299  

Chipotle Mexican Grill, Inc. (a)

    455,482  
    2,620  

Dollar General Corporation (b)

    519,651  
    2,854  

Dollar Tree, Inc. (a)

    405,496  
    1,561  

Domino’s Pizza, Inc. (b)

    674,680  
    6,176  

eBay, Inc.

    337,148  
    2,008  

Ferrari NV

    432,342  
    2,567  

Genuine Parts Company

    313,585  
    5,556  

Hasbro, Inc. (b)

    539,210  
    1,149  

Home Depot, Inc.

    362,889  
    1,606  

Lowe’s Companies, Inc.

    355,022  
    2,022  

McDonald’s Corporation

    494,925  
    2,721  

NIKE, Inc. - Class B

    371,553  
    71  

NVR, Inc. (a)

    352,049  
    652  

O’Reilly Automotive, Inc. (a)

    423,304  
    804  

Pool Corporation

    368,698  
    3,957  

Starbucks Corporation

    363,213  
    1,887  

Target Corporation

    376,966  
    1,849  

Tractor Supply Company

  376,808  
    16,962  

Yum China Holdings, Inc. (b)

    882,362  
    3,763  

Yum! Brands, Inc.

    461,269  
              11,467,756  
       

Consumer Staples — 13.7%

       
    9,005  

Altria Group, Inc.

    461,866  
    5,711  

Archer-Daniels-Midland Company

    448,028  
    6,458  

Brown-Forman Corporation - Class B

    421,255  
    5,974  

Church & Dwight Company, Inc.

    584,556  
    8,551  

Clorox Company (b)

    1,246,650  
    8,477  

Coca-Cola Company

    527,609  
    7,368  

Colgate-Palmolive Company

    566,968  
    17,234  

Conagra Brands, Inc. (b)

    602,673  
    1,703  

Constellation Brands, Inc. - Class A

    367,201  
    915  

Costco Wholesale Corporation

    475,114  
    8,039  

General Mills, Inc. (b)

    542,070  
    2,849  

Hershey Company

    576,239  
    20,691  

Hormel Foods Corporation

    985,720  
    5,237  

J.M. Smucker Company (b)

    705,686  
    10,779  

Kellogg Company (b)

    689,209  
    13,638  

Keurig Dr Pepper, Inc.

    527,381  
    5,475  

Kimberly-Clark Corporation (b)

    712,571  
    12,435  

Kraft Heinz Company

    487,701  
    12,676  

Kroger Company

    593,237  
    6,107  

McCormick & Company, Inc. (b)

    581,203  
    7,232  

Mondelez International, Inc. - Class A

    473,551  
    4,544  

Monster Beverage Corporation (a)

    383,514  
    2,979  

PepsiCo, Inc.

    487,781  
    5,241  

Philip Morris International, Inc.

    529,708  
    3,576  

Procter & Gamble Company

    557,463  
    6,417  

Tyson Foods, Inc. - Class A

    594,599  
    7,793  

Walgreens Boots Alliance, Inc.

    359,179  
    4,173  

Walmart, Inc.

    564,023  
              16,052,755  
       

Energy — 2.5%

       
    6,269  

Cheniere Energy, Inc.

    833,150  
    3,604  

Chevron Corporation (b)

    518,976  
    26,301  

Coterra Energy, Inc. (b)

    613,602  
    27,028  

Kinder Morgan, Inc. (b)

    470,287  
    17,784  

Williams Companies, Inc. (b)

    556,284  
              2,992,299  
       

Financials — 9.1%

       
    3,339  

Allstate Corporation

    408,560  
    1,653  

Aon plc - Class A

    482,908  

 

The accompanying notes are an integral part of these financial statements.

 

6

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Risk-Based U.S. Equity ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.6% (Continued)

       

Financials — 9.1% (Continued)

    7,671  

Arch Capital Group, Ltd. (a)

  $ 361,381  
    2,654  

Arthur J. Gallagher & Company

    419,836  
    6,927  

Bank of New York Mellon Corporation

    368,170  
    1,427  

Berkshire Hathaway, Inc. - Class B (a)

    458,709  
    50,553  

Blue Owl Capital, Inc. (b)

    631,912  
    5,592  

Brown & Brown, Inc.

    378,075  
    4,248  

Cboe Global Markets, Inc. (b)

    498,248  
    1,820  

Chubb, Ltd.

    370,625  
    2,541  

Cincinnati Financial Corporation

    312,009  
    2,239  

CME Group, Inc. (b)

    529,591  
    1,125  

FactSet Research Systems, Inc.

    456,851  
    5,909  

Hartford Financial Services Group, Inc.

    410,557  
    3,680  

Intercontinental Exchange, Inc.

    471,482  
    3,125  

JPMorgan Chase & Company

    443,125  
    275  

Markel Corporation (a)

    341,800  
    1,044  

MarketAxess Holdings, Inc. (b)

    398,213  
    2,705  

Marsh & McLennan Companies, Inc.

    420,384  
    1,004  

Moody’s Corporation

    323,318  
    2,045  

Nasdaq, Inc. (b)

    350,002  
    4,197  

Progressive Corporation

    444,588  
    1,633  

S&P Global, Inc. (b)

    613,530  
    4,648  

Tradeweb Markets, Inc. - Class A (b)

    392,663  
    2,220  

Travelers Companies, Inc.

    381,463  
              10,668,000  
       

Health Care — 23.5%

       
    4,255  

Abbott Laboratories

    513,238  
    3,801  

AbbVie, Inc.

    561,674  
    2,855  

Agilent Technologies, Inc.

    372,178  
    5,142  

Alnylam Pharmaceuticals, Inc. (a)(b)

    811,666  
    3,243  

AmerisourceBergen Corporation

    462,225  
    1,903  

Amgen, Inc. (b)

    430,991  
    898  

Anthem, Inc.

    405,761  
    7,313  

Baxter International, Inc.

    621,386  
    2,818  

Becton Dickinson and Company (b)

    764,467  
    3,237  

Biogen, Inc. (a)

    683,039  
    5,753  

BioMarin Pharmaceutical, Inc. (a)

    449,424  
    837  

Bio-Rad Laboratories, Inc. - Class A (a)

    523,929  
    8,977  

Boston Scientific Corporation (a)

    396,514  
    9,079  

Bristol-Myers Squibb Company

  623,455  
    8,157  

Cardinal Health, Inc.

    440,560  
    6,963  

Centene Corporation (a)

    575,283  
    7,009  

Cerner Corporation

    653,589  
    1,834  

Cigna Corporation

    436,089  
    1,018  

Cooper Companies, Inc. (b)

    416,382  
    4,552  

CVS Health Corporation

    471,815  
    1,769  

Danaher Corporation

    485,431  
    3,172  

Edwards Lifesciences Corporation (a)

    356,438  
    1,905  

Eli Lilly & Company

    476,155  
    7,972  

Gilead Sciences, Inc.

    481,509  
    1,333  

HCA Healthcare, Inc.

    333,663  
    7,730  

Hologic, Inc. (a)

    550,144  
    1,356  

Humana, Inc. (b)

    588,938  
    1,830  

ICON plc (a)

    435,558  
    5,864  

Incyte Corporation (a)

    400,511  
    1,644  

IQVIA Holdings, Inc. (a)

    378,317  
    3,587  

Johnson & Johnson

    590,313  
    1,865  

Laboratory Corporation of America Holdings (a)

    505,900  
    1,447  

McKesson Corporation

    397,867  
    4,067  

Medtronic plc

    426,994  
    9,812  

Merck & Company, Inc.

    751,403  
    255  

Mettler-Toledo International, Inc. (a)

    359,229  
    4,167  

Moderna, Inc. (a)

    640,051  
    1,220  

Molina Healthcare, Inc. (a)

    374,381  
    2,977  

PerkinElmer, Inc. (b)

    534,699  
    21,211  

Pfizer, Inc.

    995,643  
    4,646  

Quest Diagnostics, Inc. (b)

    609,881  
    697  

Regeneron Pharmaceuticals, Inc. (a)

    430,997  
    1,771  

ResMed, Inc.

    436,994  
    11,319  

Royalty Pharma plc - Class A

    444,384  
    4,573  

Seagen, Inc. (a)

    589,323  
    1,670  

STERIS plc

    400,800  
    1,122  

Teleflex, Inc. (b)

    377,340  
    906  

Thermo Fisher Scientific, Inc.

    492,864  
    983  

UnitedHealth Group, Inc.

    467,780  
    2,909  

Vertex Pharmaceuticals, Inc. (a)

    669,128  
    27,364  

Viatris, Inc.

    301,278  
    1,163  

Waters Corporation (a)(b)

    368,357  
    1,128  

West Pharmaceutical Services, Inc.

    436,626  
    3,257  

Zimmer Biomet Holdings, Inc.

    414,258  
    2,024  

Zoetis, Inc.

    391,948  
              27,508,767  
       

Industrials — 10.5%

       
    2,776  

3M Company

    412,652  

 

The accompanying notes are an integral part of these financial statements.

 

7

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Risk-Based U.S. Equity ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.6% (Continued)

       

Industrials — 10.5% (Continued)

    3,569  

C.H. Robinson Worldwide, Inc. (b)

  $ 345,051  
    4,565  

CoStar Group, Inc. (a)

    278,511  
    10,051  

CSX Corporation

    340,829  
    1,604  

Cummins, Inc.

    327,408  
    1,826  

Dover Corporation (b)

    286,426  
    1,320  

Equifax, Inc.

    288,209  
    2,822  

Expeditors International of Washington, Inc.

    291,682  
    6,017  

Fastenal Company

    309,635  
    5,783  

Fortive Corporation

    374,450  
    2,132  

General Dynamics Corporation

    499,847  
    1,798  

Honeywell International, Inc.

    341,171  
    1,567  

IDEX Corporation

    300,707  
    1,633  

Illinois Tool Works, Inc. (b)

    353,283  
    1,635  

JB Hunt Transport Services, Inc. (b)

    331,791  
    4,344  

Johnson Controls International plc

    282,186  
    2,083  

L3Harris Technologies, Inc.

    525,562  
    1,644  

Lockheed Martin Corporation (b)

    713,167  
    5,495  

Masco Corporation (b)

    307,940  
    1,370  

Norfolk Southern Corporation

    351,432  
    1,472  

Northrop Grumman Corporation (b)

    650,830  
    1,060  

Old Dominion Freight Line, Inc.

    332,872  
    5,380  

Otis Worldwide Corporation

    421,416  
    4,076  

PACCAR, Inc.

    374,218  
    3,132  

Republic Services, Inc.

    376,717  
    1,186  

Rockwell Automation, Inc.

    316,164  
    902  

Roper Technologies, Inc. (b)

    404,294  
    1,721  

Trane Technologies plc

    264,914  
    1,601  

Union Pacific Corporation (b)

    393,766  
    1,992  

United Parcel Service, Inc. - Class B

    419,156  
    1,948  

Verisk Analytics, Inc.

    345,458  
    711  

W.W. Grainger, Inc.

    339,189  
    2,807  

Waste Management, Inc.

    405,331  
              12,306,264  
       

Information Technology — 8.3%

       
    998  

Accenture plc - Class A

    315,388  
    3,859  

Akamai Technologies, Inc. (a)(b)

    417,775  
    2,335  

Apple, Inc.

    385,555  
    1,703  

Automatic Data Processing, Inc.

    348,161  
    2,104  

Broadridge Financial Solutions, Inc. (b)

    307,626  
    6,215  

Cisco Systems, Inc.

    346,610  
    4,423  

Cognizant Technology Solutions Corporation - Class A

  380,953  
    3,397  

Fidelity National Information Services, Inc.

    323,496  
    3,578  

Fiserv, Inc. (a)(b)

    349,463  
    26,761  

Hewlett Packard Enterprise Company (b)

    426,035  
    4,247  

International Business Machines Corporation (b)

    520,300  
    2,111  

Keysight Technologies, Inc. (a)

    332,208  
    1,379  

Microsoft Corporation

    412,031  
    1,541  

Motorola Solutions, Inc.

    339,683  
    25,582  

NortonLifeLock, Inc. (b)

    741,367  
    12,181  

Nuance Communications, Inc. (a)

    676,289  
    4,570  

Oracle Corporation

    347,183  
    3,046  

Paychex, Inc. (b)

    362,657  
    3,905  

Seagate Technology Holdings plc

    402,840  
    4,668  

SS&C Technologies Holdings, Inc.

    349,960  
    899  

Teledyne Technologies, Inc. (a)

    386,013  
    2,237  

VeriSign, Inc. (a)

    478,092  
    1,716  

Visa, Inc. - Class A (b)

    370,862  
    3,617  

VMware, Inc. - Class A

    424,346  
              9,744,893  
       

Materials — 4.1%

       
    1,633  

Air Products and Chemicals, Inc. (b)

    385,877  
    32,774  

Amcor plc

    381,162  
    6,998  

Ball Corporation (b)

    628,000  
    3,388  

Crown Holdings, Inc.

    415,606  
    1,637  

Ecolab, Inc.

    288,538  
    2,806  

International Flavors & Fragrances, Inc.

    373,198  
    9,345  

International Paper Company

    406,788  
    1,161  

Linde plc

    340,452  
    8,576  

Newmont Corporation

    567,731  
    2,187  

PPG Industries, Inc. (b)

    291,855  
    1,362  

Sherwin-Williams Company

    358,383  
    2,055  

Vulcan Materials Company

    372,880  
              4,810,470  
       

Utilities — 9.9%

       
    7,879  

Alliant Energy Corporation (b)

    460,134  
    5,709  

Ameren Corporation (b)

    490,689  
    5,930  

American Electric Power Company, Inc. (b)

    537,555  
    2,909  

American Water Works Company, Inc. (b)

    439,521  
    4,736  

Atmos Energy Corporation (b)

    520,060  

 

The accompanying notes are an integral part of these financial statements.

 

8

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Risk-Based U.S. Equity ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.6% (Continued)

       

Utilities — 9.9% (Continued)

    13,667  

CenterPoint Energy, Inc. (b)

  $ 373,792  
    8,188  

CMS Energy Corporation (b)

    524,114  
    8,451  

Consolidated Edison, Inc.

    724,843  
    2,423  

Constellation Energy Corporation

    111,410  
    5,914  

Dominion Energy, Inc.

    470,340  
    4,087  

DTE Energy Company

    496,938  
    5,545  

Duke Energy Corporation

    556,772  
    8,643  

Edison International

    548,139  
    3,898  

Entergy Corporation

    410,109  
    8,335  

Evergy, Inc.

    520,187  
    5,699  

Eversource Energy

    466,178  
    7,264  

Exelon Corporation

    309,156  
    11,393  

FirstEnergy Corporation

    476,797  
    4,979  

NextEra Energy, Inc.

    389,706  
    18,904  

PPL Corporation

    494,718  
    6,675  

Public Service Enterprise Group, Inc.

    432,740  
    2,862  

Sempra Energy

    412,758  
    7,834  

Southern Company

    507,408  
    5,744  

WEC Energy Group, Inc.

    522,015  
    6,912  

Xcel Energy, Inc.

    465,385  
              11,661,464  
       

TOTAL COMMON STOCKS (Cost $108,681,926)

    116,854,844  
                 
       

SHORT-TERM INVESTMENTS — 0.2%

       

Money Market Funds — 0.2%

       
    229,501  

Invesco Government & Agency Portfolio - Institutional Class, 0.03% (c)

    229,501  
       

TOTAL SHORT-TERM INVESTMENTS (Cost $229,501)

    229,501  
                 

 

 

Units

 

Security Description

 

Value

 
       

INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING — 28.1%

       

Private Funds — 28.1%

    32,901,733  

Mount Vernon Liquid Assets Portfolio, LLC, 0.13% (c)

  $ 32,901,733  
       

TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost $32,901,733)

    32,901,733  
                 
       

Total Investments (Cost $141,813,160) — 127.9%

    149,986,078  
       

Liabilities in Excess of Other Assets — (27.9)%

    (32,729,685 )
       

TOTAL NET ASSETS — 100.0%

  $ 117,256,393  

 

Percentages are stated as a percent of net assets.

(a)

Non-income producing security.

(b)

All or a portion of this security is on loan as of February 28, 2022. The total value of securities on loan is $32,359,283.

(c)

Rate shown is the annualized seven-day yield as of February 28, 2022.

The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.

 

The accompanying notes are an integral part of these financial statements.

 

9

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Risk-Based International Equity ETF

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.5%

       
       

AUSTRALIA — 4.7%

       

Communication Services — 0.4%

       
    173,812  

Telstra Corporation, Ltd.

  $ 499,463  
       

Consumer Discretionary — 0.3%

       
    11,016  

Wesfarmers, Ltd.

    385,221  
       

Consumer Staples — 0.9%

       
    41,635  

Coles Group, Ltd.

    525,094  
    19,433  

Woolworths Group, Ltd.

    500,466  
              1,025,560  
       

Financials — 1.7%

       
    7,815  

ASX, Ltd. (a)

    466,891  
    20,815  

Australia & New Zealand Banking Group, Ltd.

    392,867  
    5,262  

Commonwealth Bank of Australia

    356,866  
    19,418  

National Australia Bank, Ltd.

    407,785  
    29,194  

Westpac Banking Corporation

    483,223  
              2,107,632  
       

Health Care — 0.7%

       
    2,149  

CSL, Ltd.

    405,420  
    15,903  

Sonic Healthcare, Ltd.

    404,479  
              809,899  
       

Industrials — 0.4%

       
    71,164  

Brambles, Ltd.

    511,239  
       

Materials — 0.3%

       
    21,733  

Newcrest Mining, Ltd.

    404,831  
              5,743,845  
       

AUSTRIA — 0.4%

       
       

Utilities — 0.4%

       
    3,796  

Verbund AG

    460,478  
              460,478  
       

BELGIUM — 1.2%

       
       

Financials — 0.3%

       
    1,007  

Sofina SA

    392,706  
       

Health Care — 0.4%

       
    4,584  

UCB SA

    503,035  
       

Real Estate — 0.5%

       
    2,183  

VGP NV

    557,820  
              1,453,561  
       

CHINA — 4.0%

       
       

Communication Services — 0.4%

       
    10,200  

Tencent Holdings, Ltd.

    549,834  
       

Consumer Discretionary — 0.0% (b)

    486  

JD.com, Inc. - Class A (c)

    17,356  
       

Financials — 3.6%

       
    2,913,000  

Agricultural Bank of China, Ltd. - H-Shares

    1,103,508  
    4,316,000  

Bank of China, Ltd. - H-Shares

    1,679,184  
    432,000  

China Life Insurance Company, Ltd. - H-Shares

  716,527  
    107,000  

Ping An Insurance Group Company of China, Ltd. - H-Shares

    827,112  
              4,326,331  
              4,893,521  
       

CURACAO — 0.4%

       
       

Financials — 0.4%

       
    3,517  

HAL Trust

    543,563  
              543,563  
       

DENMARK — 3.2%

       
       

Consumer Staples — 0.4%

       
    4,640  

Royal Unibrew AS

    494,930  
       

Financials — 0.4%

       
    21,744  

Tryg AS

    494,469  
       

Health Care — 1.1%

       
    3,344  

Coloplast AS - Series B

    504,032  
    1,027  

Genmab AS (c)

    345,820  
    4,301  

Novo Nordisk AS - Series B

    442,988  
              1,292,840  
       

Materials — 1.0%

       
    10,217  

Chr Hansen Holding AS

    747,621  
    6,531  

Novozymes AS - Series B

    429,184  
              1,176,805  
       

Utilities — 0.3%

       
    2,965  

Orsted AS

    385,570  
              3,844,614  
       

FINLAND — 1.5%

       
       

Financials — 0.8%

       
    42,368  

Nordea Bank Abp

    474,397  
    9,834  

Sampo Oyj - Series A

    467,891  
              942,288  
       

Industrials — 0.4%

       
    7,559  

Kone Oyj - Series B

    444,721  
       

Information Technology — 0.3%

       
    65,888  

Nokia Oyj

    358,002  
              1,745,011  
       

FRANCE — 7.8%

       
       

Communication Services — 0.7%

       
    71,062  

Orange SA

    863,143  
       

Consumer Discretionary — 0.7%

       
    3,388  

Cie Generale des Etablissements Michelin SCA

    471,872  
    2,374  

EssilorLuxottica SA

    417,892  
              889,764  
       

Consumer Staples — 1.9%

       
    39,860  

Carrefour SA

    801,399  

 

The accompanying notes are an integral part of these financial statements.

 

10

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Risk-Based International Equity ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.5% (Continued)

       

FRANCE — 7.8% (Continued)

       

Consumer Staples — 1.9% (Continued)

    9,109  

Danone SA

  $ 555,660  
    943  

L’Oreal SA

    376,009  
    2,432  

Pernod Ricard SA

    534,444  
              2,267,512  
       

Health Care — 0.9%

       
    6,845  

Sanofi

    718,629  
    974  

Sartorius Stedim Biotech

    375,680  
              1,094,309  
       

Industrials — 2.1%

       
    14,534  

Alstom SA

    373,835  
    15,853  

Bouygues SA

    570,153  
    3,936  

Legrand SA

    374,983  
    1,254  

Teleperformance

    467,481  
    6,426  

Thales SA

    742,702  
              2,529,154  
       

Information Technology — 0.3%

       
    8,120  

Dassault Systemes SE

    396,647  
       

Materials — 0.8%

       
    2,714  

Air Liquide SA

    453,294  
    3,752  

Arkema SA

    501,076  
              954,370  
       

Utilities — 0.4%

       
    27,352  

Engie SA

    438,340  
              9,433,239  
       

GERMANY — 11.5%

       
       

Communication Services — 0.5%

       
    31,912  

Deutsche Telekom AG

    574,574  
       

Consumer Staples — 0.8%

       
    6,617  

Beiersdorf AG

    672,023  
    6,638  

HelloFresh SE (c)

    364,441  
              1,036,464  
       

Financials — 1.8%

       
    2,750  

Allianz SE

    627,955  
    3,714  

Deutsche Boerse AG

    637,000  
    2,479  

Hannover Rueck SE

    458,873  
    1,717  

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen

    476,639  
              2,200,467  
       

Health Care — 2.6%

       
    10,971  

Bayer AG

    634,741  
    2,322  

Carl Zeiss Meditec AG

    367,348  
    10,091  

Fresenius Medical Care AG & Company KGaA

    649,679  
    15,377  

Fresenius SE & Company KGaA

    539,994  
    2,247  

Merck KGaA

  448,108  
    8,223  

Siemens Healthineers AG

    530,891  
              3,170,761  
       

Industrials — 2.1%

       
    5,797  

Brenntag SE

    487,560  
    111,006  

Deutsche Lufthansa AG (c)

    857,067  
    13,649  

GEA Group AG

    598,966  
    7,158  

Knorr-Bremse AG

    635,151  
              2,578,744  
       

Information Technology — 0.7%

       
    4,680  

Nemetschek SE

    417,584  
    3,566  

SAP SE

    405,822  
              823,406  
       

Materials — 0.9%

       
    8,330  

BASF SE

    554,360  
    4,649  

Symrise AG

    556,119  
              1,110,479  
       

Real Estate — 1.1%

       
    4,925  

LEG Immobilien SE

    637,814  
    12,353  

Vonovia SE

    659,059  
              1,296,873  
       

Utilities — 1.0%

       
    44,942  

E.ON SE

    611,705  
    12,695  

RWE AG

    591,609  
              1,203,314  
              13,995,082  
       

HONG KONG — 1.1%

       
       

Industrials — 1.1%

       
    23,400  

Jardine Matheson Holdings, Ltd.

    1,392,300  
              1,392,300  
       

IRELAND — 2.0%

       
       

Consumer Staples — 1.0%

       
    43,408  

Glanbia plc

    610,426  
    5,411  

Kerry Group plc - Series A

    645,447  
              1,255,873  
       

Industrials — 0.7%

       
    9,063  

Experian plc

    356,659  
    5,298  

Kingspan Group plc

    516,762  
              873,421  
       

Materials — 0.3%

       
    6,606  

Smurfit Kappa Group plc

    328,483  
              2,457,777  
       

ITALY — 2.4%

       
       

Financials — 0.8%

       
    24,312  

Assicurazioni Generali SpA

    484,159  
    45,253  

Mediobanca Banca di Credito Finanziario SpA

    474,025  
              958,184  

 

The accompanying notes are an integral part of these financial statements.

 

11

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Risk-Based International Equity ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.5% (Continued)

       

ITALY — 2.4% (Continued)

       
       

Health Care — 0.4%

       
    3,035  

DiaSorin SpA

  $ 455,603  
       

Utilities — 1.2%

       
    55,832  

Enel SpA

    413,828  
    94,081  

Snam SpA

    524,662  
    66,616  

Terna - Rete Elettrica Nazionale

    549,353  
              1,487,843  
              2,901,630  
       

JAPAN — 27.0% (d)

       
       

Communication Services — 3.0%

       
    18,600  

KDDI Corporation

    606,569  
    1,300  

Nintendo Company, Ltd.

    654,882  
    22,900  

Nippon Telegraph & Telephone Corporation

    654,740  
    95,400  

SoftBank Corporation

    1,201,456  
    109,800  

Z Holdings Corporation

    531,578  
              3,649,225  
       

Consumer Discretionary — 1.8%

       
    11,300  

Bridgestone Corporation

    463,577  
    3,600  

Nitori Holdings Company, Ltd.

    539,022  
    3,400  

Oriental Land Company, Ltd.

    623,764  
    2,400  

Shimano, Inc.

    553,870  
              2,180,233  
       

Consumer Staples — 4.1%

       
    20,800  

Aeon Company, Ltd. (a)

    469,095  
    24,000  

Ajinomoto Company, Inc.

    695,776  
    37,400  

Japan Tobacco, Inc.

    688,414  
    16,400  

Kao Corporation

    766,070  
    41,300  

Kirin Holdings Company, Ltd.

    684,000  
    11,300  

Seven & i Holdings Company, Ltd. (a)

    548,542  
    9,000  

Shiseido Company, Ltd.

    513,080  
    16,600  

Unicharm Corporation

    622,635  
              4,987,612  
       

Energy — 1.1%

       
    171,900  

ENEOS Holdings, Inc.

    677,302  
    58,900  

Inpex Corporation

    606,004  
              1,283,306  
       

Financials — 4.7%

       
    21,100  

Dai-ichi Life Holdings, Inc.

    441,144  
    77,900  

Japan Post Holdings Company, Ltd.

    645,317  
    81,500  

Mitsubishi UFJ Financial Group, Inc.

    504,391  
    40,000  

Mizuho Financial Group, Inc.

    529,629  
    13,800  

MS&AD Insurance Group Holdings, Inc.

    467,888  
    157,000  

Nomura Holdings, Inc.

  717,422  
    101,700  

Resona Holdings, Inc.

    457,220  
    10,500  

Sompo Holdings, Inc.

    457,651  
    14,600  

Sumitomo Mitsui Financial Group, Inc.

    522,393  
    13,300  

Sumitomo Mitsui Trust Holdings, Inc.

    474,608  
    8,800  

Tokio Marine Holdings, Inc.

    502,290  
              5,719,953  
       

Health Care — 3.8%

       
    25,400  

Astellas Pharma, Inc.

    423,094  
    15,600  

Chugai Pharmacuetical Company, Ltd.

    514,695  
    19,100  

Daiichi Sankyo Company, Ltd.

    463,259  
    10,700  

Eisai Company, Ltd.

    531,214  
    18,600  

ONO Pharmaceutical Company, Ltd.

    456,461  
    13,300  

Otsuka Holdings Company, Ltd.

    457,633  
    10,700  

Shionogi & Company, Ltd.

    709,865  
    4,300  

Sysmex Corporation

    340,640  
    23,800  

Takeda Pharmaceutical Company, Ltd.

    723,454  
              4,620,315  
       

Industrials — 5.2%

       
    10,900  

AGC, Inc.

    481,710  
    3,900  

Central Japan Railway Company

    524,515  
    9,000  

East Japan Railway Company

    532,146  
    15,900  

ITOCHU Corporation (a)

    516,724  
    10,100  

Makita Corporation

    357,348  
    19,500  

Mitsubishi Corporation

    655,389  
    33,000  

Mitsubishi Electric Corporation

    395,829  
    19,400  

Mitsui & Company, Ltd.

    482,663  
    8,500  

Secom Company, Ltd.

    621,550  
    21,900  

SG Holdings Company, Ltd.

    462,434  
    19,200  

Toshiba Corporation

    762,999  
    11,700  

West Japan Railway Company

    503,047  
              6,296,354  
       

Information Technology — 2.6%

       
    24,700  

Canon, Inc. (a)

    578,710  
    6,400  

FUJIFILM Holdings Corporation

    403,532  
    2,600  

Fujitsu, Ltd.

    373,944  
    900  

Keyence Corporation

    420,248  
    10,600  

NEC Corporation

    456,028  
    13,700  

Nomura Research Institute, Ltd.

    472,824  
    2,800  

Obic Company, Ltd.

    445,131  
              3,150,417  
       

Materials — 0.3%

       
    60,900  

Mitsubishi Chemical Holdings Corporation

    432,209  

 

The accompanying notes are an integral part of these financial statements.

 

12

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Risk-Based International Equity ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.5% (Continued)

       

JAPAN — 27.0% (d) (Continued)

       
       

Real Estate — 0.4%

       
    33,600  

Mitsubishi Estate Company, Ltd.

  $ 512,570  
              32,832,194  
       

LUXEMBOURG — 0.5%

       
       

Health Care — 0.5%

       
    5,519  

Eurofins Scientific SE

    561,254  
              561,254  
       

NETHERLANDS — 3.5%

       
       

Consumer Staples — 1.0%

       
    4,390  

Heineken NV

    445,652  
    22,514  

Koninklijke Ahold Delhaize NV

    694,909  
              1,140,561  
       

Financials — 0.4%

       
    5,861  

Euronext NV

    532,244  
       

Health Care — 0.7%

       
    1,436  

Argenx SE (c)

    413,069  
    12,848  

Koninklijke Philips NV

    437,834  
              850,903  
       

Industrials — 0.7%

       
    2,280  

IMCD NV

    370,563  
    4,978  

Wolters Kluwer NV

    507,802  
              878,365  
       

Materials — 0.7%

       
    4,157  

Akzo Nobel NV

    396,879  
    2,198  

Koninklijke DSM NV

    413,031  
              809,910  
              4,211,983  
       

NORWAY — 1.0%

       
       

Communication Services — 0.3%

       
    28,925  

Telenor ASA

    429,090  
       

Consumer Staples — 0.4%

       
    17,519  

Mowi ASA

    451,042  
       

Financials — 0.3%

       
    16,363  

DNB Bank ASA

    366,759  
              1,246,891  
       

PORTUGAL — 1.0%

       
       

Consumer Staples — 0.4%

       
    23,846  

Jeronimo Martins SGPS SA

    520,278  
       

Utilities — 0.6%

       
    250,505  

REN - Redes Energeticas Nacionais SGPS SA

    727,337  
              1,247,615  
       

SINGAPORE — 2.6%

       
       

Communication Services — 0.6%

       
    407,500  

Singapore Telecommunications, Ltd.

    756,492  
       

Financials — 2.0%

       
    83,200  

Oversea-Chinese Banking Corporation, Ltd.

  715,271  
    121,800  

Singapore Exchange, Ltd.

    838,051  
    39,000  

United Overseas Bank, Ltd.

    859,324  
              2,412,646  
              3,169,138  
       

SPAIN — 3.8%

       
       

Communication Services — 1.0%

       
    10,647  

Cellnex Telecom SA

    486,004  
    142,825  

Telefonica SA

    685,963  
              1,171,967  
       

Health Care — 0.5%

       
    33,131  

Grifols SA

    633,177  
       

Industrials — 0.5%

       
    3,555  

Aena SME SA (c)

    584,175  
       

Utilities — 1.8%

       
    20,868  

Endesa SA

    460,928  
    39,837  

Iberdrola SA

    455,505  
    22,991  

Naturgy Energy Group SA

    620,541  
    33,859  

Red Electrica Corporation SA

    677,896  
              2,214,870  
              4,604,189  
       

SWEDEN — 1.9%

       
       

Financials — 0.9%

       
    13,873  

Investor AB - Series B

    285,303  
    45,788  

Svenska Handelsbanken AB - Series A

    440,502  
    22,750  

Swedbank AB - Series A

    370,047  
              1,095,852  
       

Industrials — 0.7%

       
    12,189  

Assa Abloy AB - Series B

    324,930  
    14,176  

Epiroc AB - Series A

    268,930  
    24,606  

Nibe Industrier AB - Series B

    221,392  
              815,252  
       

Information Technology — 0.3%

       
    41,665  

Telefonaktiebolaget LM Ericsson - Series B

    388,036  
              2,299,140  
       

SWITZERLAND — 4.2%

       
       

Consumer Staples — 0.9%

       
    4  

Chocoladefabriken Lindt & Spruengli AG

    451,251  
    5,430  

Nestle SA

    708,927  
              1,160,178  
       

Financials — 0.4%

       
    1,130  

Zurich Insurance Group AG

    519,274  
       

Health Care — 1.8%

       
    6,048  

Alcon, Inc.

    468,573  

 

The accompanying notes are an integral part of these financial statements.

 

13

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Risk-Based International Equity ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.5% (Continued)

       

SWITZERLAND — 4.2% (Continued)

       

Health Care — 1.8% (Continued)

    606  

Lonza Group AG

  $ 421,020  
    7,308  

Novartis AG

    639,953  
    1,725  

Roche Holding AG

    657,792  
              2,187,338  
       

Industrials — 0.7%

       
    642  

Geberit AG

    420,839  
    1,723  

Schindler Holding AG

    397,204  
              818,043  
       

Materials — 0.4%

       
    104  

Givaudan SA

    436,540  
              5,121,373  
       

UNITED KINGDOM — 13.8%

       
       

Communication Services — 1.3%

       
    41,139  

Auto Trader Group plc

    365,962  
    221,654  

BT Group plc

    553,912  
    346,223  

Vodafone Group plc

    610,594  
              1,530,468  
       

Consumer Discretionary — 0.3%

       
    102,388  

Kingfisher plc

    420,652  
       

Consumer Staples — 3.6%

       
    14,014  

Associated British Foods plc

    361,021  
    13,315  

British American Tobacco plc

    582,676  
    10,924  

Diageo plc

    545,980  
    18,958  

Imperial Brands plc

    416,908  
    18,707  

Ocado Group plc (c)

    344,622  
    9,065  

Reckitt Benckiser Group plc

    768,816  
    164,241  

Tesco plc

    638,519  
    14,066  

Unilever plc

    707,075  
              4,365,617  
       

Financials — 1.5%

       
    11,550  

Admiral Group plc

    461,349  
    75,725  

Aviva plc

    426,531  
    87,952  

HSBC Holdings plc

    607,274  
    3,875  

London Stock Exchange Group plc

    341,799  
              1,836,953  
       

Health Care — 1.5%

       
    6,520  

AstraZeneca plc

    792,495  
    28,740  

GlaxoSmithKline plc

    595,932  
    26,698  

Smith & Nephew plc

    478,938  
              1,867,365  
       

Industrials — 2.7%

       
    77,400  

BAE Systems plc

    747,311  
    12,218  

Bunzl plc

    486,720  
    2,219  

Ferguson plc

    339,862  
    6,071  

Intertek Group plc

  438,565  
    16,307  

RELX plc

    499,078  
    70,047  

Rentokil Initial plc

    477,256  
    1,895  

Spirax-Sarco Engineering plc

    303,714  
              3,292,506  
       

Information Technology — 0.6%

       
    9,045  

Halma plc

    292,600  
    40,416  

Sage Group plc

    381,113  
              673,713  
       

Materials — 0.3%

       
    3,922  

Croda International plc

    393,831  
       

Utilities — 2.0%

       
    48,724  

National Grid plc

    739,261  
    15,311  

Severn Trent plc

    590,828  
    20,549  

SSE plc

    469,955  
    41,221  

United Utilities Group plc

    594,284  
              2,394,328  
              16,775,433  
       

TOTAL COMMON STOCKS (Cost $118,663,614)

    120,933,831  
                 
       

SHORT-TERM INVESTMENTS — 0.1%

       

Money Market Funds — 0.1%

       
    178,083  

Invesco Government & Agency Portfolio - Institutional Class, 0.03% (e)

    178,083  
       

TOTAL SHORT-TERM INVESTMENTS (Cost $178,083)

    178,083  

 

Principal
Amount

   
 

INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING — 1.6%

 
 

Repurchase Agreements — 1.6%

 

$ 443,249

Bank of America Securities, Inc. - 0.05%, dated 02/28/2022, matures 03/01/2022, repurchase price $443,250 (collateralized by various U.S. government mortgage backed securities: Total Value $452,114)

$ 443,249

 

The accompanying notes are an integral part of these financial statements.

 

14

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Risk-Based International Equity ETF (Continued)

 

 

Principal
Amount

 

Security Description

 

Value

 
       

INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING — 1.6% (Continued)

       

Repurchase Agreements — 1.6% (Continued)

  $ 131,395  

Citigroup Global Markets, Inc. - 0.05%, dated 02/28/2022, matures 03/01/2022, repurchase price $131,395 (collateralized by various U.S. government Treasury bills, notes, and bonds: Total Value $134,023)

  $ 131,395  
    443,249  

Daiwa Capital Markets America — 0.05%, dated 02/28/2022, matures 03/01/2022, repurchase price $443,250 (collateralized by various U.S. government Treasury bills, notes, bonds, and mortgage backed securities: Total Value $452,114)

    443,249  
    443,249  

HSBC Securities USA, Inc. - 0.05%, dated 02/28/2022, matures 03/01/2022, repurchase price $443,250 (collateralized by various U.S. government mortgage backed securities: Total Value $452,114)

    443,249  
    443,249  

RBC Dominion Securities, Inc. - 0.05%, dated 02/28/2022, matures 03/01/2022, repurchase price $443,250 (collateralized by various U.S. government Treasury bills, notes, bonds, and mortgage backed securities: Total Value $452,114)

    443,249  
       

TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (f) (Cost $1,904,391)

    1,904,391  
                 
       

Total Investments (Cost $120,746,088) — 101.2%

    123,016,305  
       

Liabilities in Excess of Other Assets — (1.2)%

    (1,407,538 )
       

TOTAL NET ASSETS — 100.0%

  $ 121,608,767  

 

Percentages are stated as a percent of net assets.

(a)

All or a portion of this security is on loan as of February 28, 2022. The total value of securities on loan is $2,329,218.

(b)

Represent less than 0.05% of net assets.

(c)

Non-income producing security.

(d)

To the extent the Fund invests a significant portion of its assets in the securities of companies of a single country or region, it is more likely to be impacted be events or conditions affecting that country or region. See Note 9 in Notes to Financial Statements.

(e)

Rate shown is the annualized seven-day yield as of February 28, 2022.

(f)

Investments purchased with cash proceeds from securities lending collateral. As of February 28, 2022, total cash collateral has a value of $1,904,391. In addition, total non-cash collateral has a value of $546,235.

The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.

 

The accompanying notes are an integral part of these financial statements.

 

15

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Maximum Diversification U.S. Core Equity ETF

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.7%

       
       

Communication Services — 9.6%

    4,112  

Activision Blizzard, Inc.

  $ 335,128  
    26,200  

AMC Entertainment Holdings, Inc. - Class A (a)(b)

    494,132  
    18,756  

AT&T, Inc.

    444,330  
    16  

Cable One, Inc.

    22,926  
    309  

Charter Communications, Inc. - Class A (a)(b)

    185,950  
    11,915  

Comcast Corporation - Class A

    557,145  
    1,363  

Electronic Arts, Inc.

    177,313  
    12,527  

Fox Corporation - Class A (b)

    524,004  
    204  

IAC/InterActiveCorp (a)(b)

    23,411  
    1,024  

Interpublic Group of Companies, Inc. (b)

    37,683  
    368  

Liberty Broadband Corporation - Class C (a)

    53,986  
    869  

Liberty Global plc - Class C (a)

    22,481  
    522  

Liberty Media Corporation-Liberty Formula One - Class C (a)

    31,701  
    432  

Live Nation Entertainment, Inc. (a)(b)

    52,194  
    53,338  

Lumen Technologies, Inc. (b)

    552,582  
    700  

Match Group, Inc. (a)

    78,043  
    4,630  

Meta Platforms, Inc. - Class A (a)(b)

    977,069  
    1,759  

Netflix, Inc. (a)(b)

    693,961  
    554  

Omnicom Group, Inc. (b)

    46,475  
    17,939  

Paramount Global - Class B (b)

    549,113  
    1,468  

Pinterest, Inc. - Class A (a)

    39,269  
    2,898  

Roku, Inc. (a)(b)

    404,358  
    24,643  

Snap, Inc. - Class A (a)(b)

    984,242  
    4,938  

Spotify Technology SA (a)

    771,265  
    1,185  

Take-Two Interactive Software, Inc. (a)(b)

    191,970  
    2,049  

Twitter, Inc. (a)(b)

    72,842  
    13,202  

Verizon Communications, Inc.

    708,551  
    4,628  

Walt Disney Company (a)

    687,073  
    689  

ZoomInfo Technologies, Inc. - Class A (a)(b)

    37,681  
              9,756,878  
       

Consumer Discretionary — 12.3%

       
    163  

Advance Auto Parts, Inc.

    33,330  
    468  

Amazon.com, Inc. (a)

    1,437,351  
    9,431  

Aramark (b)

    348,570  
    63  

AutoZone, Inc. (a)

    117,394  
    6,562  

Bath & Body Works, Inc. (a)(b)

    350,214  
    399  

Best Buy Company, Inc. (b)

    38,559  
    108  

Booking Holdings, Inc. (a)

    234,603  
    629  

BorgWarner, Inc. (b)

  25,795  
    211  

Burlington Stores, Inc. (a)

    47,663  
    426  

CarMax, Inc. (a)(b)

    46,575  
    12,161  

Carnival Corporation (a)(b)

    247,233  
    76  

Carvana Company (a)(b)

    11,436  
    140  

Chipotle Mexican Grill, Inc. (a)

    213,269  
    871  

D.R. Horton, Inc.

    74,384  
    340  

Darden Restaurants, Inc. (b)

    49,375  
    73  

Deckers Outdoor Corporation (a)

    21,071  
    1,273  

Dollar General Corporation (b)

    252,487  
    11,456  

Dollar Tree, Inc. (a)

    1,627,668  
    1,855  

Domino’s Pizza, Inc. (b)

    801,749  
    821  

DraftKings, Inc. - Class A (a)(b)

    19,441  
    3,481  

eBay, Inc.

    190,028  
    332  

Etsy, Inc. (a)(b)

    51,423  
    381  

Expedia Group, Inc. (a)

    74,718  
    2,380  

Farfetch, Ltd. - Class A (a)(b)

    45,339  
    10,312  

Ford Motor Company

    181,079  
    3,361  

GameStop Corporation - Class A (a)(b)

    414,545  
    3,477  

General Motors Company (a)

    162,445  
    366  

Genuine Parts Company

    44,711  
    340  

Hasbro, Inc. (b)

    32,997  
    722  

Hilton Worldwide Holdings, Inc. (a)

    107,477  
    2,275  

Las Vegas Sands Corporation (a)

    97,507  
    156  

Lear Corporation (b)

    24,545  
    703  

Lennar Corporation - Class A (b)

    63,186  
    664  

LKQ Corporation (b)

    31,175  
    454  

Lowe’s Companies, Inc.

    100,361  
    18,686  

Lucid Group, Inc. (a)(b)

    541,520  
    86  

Lululemon Athletica, Inc. (a)

    27,515  
    725  

Marriott International, Inc. - Class A (a)

    123,352  
    1,965  

McDonald’s Corporation

    480,973  
    79  

MercadoLibre, Inc. (a)(b)

    89,005  
    422  

MGM Resorts International

    18,690  
    144  

Mohawk Industries, Inc. (a)

    20,272  
    3,316  

NIKE, Inc. - Class B

    452,799  
    12  

NVR, Inc. (a)

    59,501  
    176  

O’Reilly Automotive, Inc. (a)

    114,266  
    15,128  

Peloton Interactive, Inc. - Class A (a)(b)

    439,620  
    437  

Penn National Gaming, Inc. (a)(b)

    22,440  
    103  

Pool Corporation

    47,233  
    917  

Ross Stores, Inc.

    83,805  

 

The accompanying notes are an integral part of these financial statements.

 

16

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Maximum Diversification U.S. Core Equity ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.7% (Continued)

       

Consumer Discretionary — 12.3% (Continued)

    2,984  

Royal Caribbean Cruises, Ltd. (a)

  $ 240,868  
    422  

Service Corporation International (b)

    25,679  
    722  

Tapestry, Inc. (b)

    29,530  
    1,634  

Target Corporation

    326,424  
    2,930  

TJX Companies, Inc. (b)

    193,673  
    299  

Tractor Supply Company

    60,933  
    140  

Ulta Beauty, Inc. (a)

    52,430  
    926  

V.F. Corporation (b)

    53,727  
    303  

Vail Resorts, Inc.

    78,947  
    197  

Wayfair, Inc. - Class A (a)(b)

    27,751  
    192  

Williams-Sonoma, Inc.

    27,813  
    278  

Wynn Resorts, Ltd. (a)

    24,053  
    21,037  

Yum China Holdings, Inc. (b)

    1,094,344  
    770  

Yum! Brands, Inc.

    94,387  
              12,471,253  
       

Consumer Staples — 13.7%

       
    1,463  

Archer-Daniels-Midland Company

    114,772  
    794  

Brown-Forman Corporation - Class B

    51,793  
    359  

Bunge, Ltd.

    37,533  
    8,990  

Church & Dwight Company, Inc.

    879,672  
    6,271  

Clorox Company (b)

    914,248  
    10,183  

Coca-Cola Company

    633,791  
    2,208  

Colgate-Palmolive Company

    169,906  
    23,990  

Conagra Brands, Inc. (b)

    838,930  
    402  

Constellation Brands, Inc. - Class A

    86,679  
    1,160  

Costco Wholesale Corporation

    602,330  
    421  

Darling Ingredients, Inc. (a)

    30,514  
    566  

Estee Lauder Companies, Inc. - Class A (b)

    167,723  
    24,728  

General Mills, Inc.

    1,667,409  
    380  

Hershey Company

    76,859  
    14,755  

Hormel Foods Corporation

    702,928  
    5,326  

J.M. Smucker Company (b)

    717,679  
    13,130  

Kellogg Company (b)

    839,532  
    3,741  

Keurig Dr Pepper, Inc.

    144,664  
    3,050  

Kimberly-Clark Corporation (b)

    396,958  
    8,227  

Kraft Heinz Company

    322,663  
    34,870  

Kroger Company (b)

    1,631,915  
    650  

McCormick & Company, Inc. (b)

    61,861  
    3,645  

Mondelez International, Inc. - Class A

    238,675  
    986  

Monster Beverage Corporation (a)

    83,218  
    3,630  

PepsiCo, Inc.

  594,376  
    6,330  

Procter & Gamble Company

    986,783  
    1,316  

Sysco Corporation (b)

    114,624  
    6,813  

Tyson Foods, Inc. - Class A

    631,293  
    3,853  

Walgreens Boots Alliance, Inc.

    177,585  
              13,916,913  
       

Energy — 3.5%

       
    2,157  

Baker Hughes Company (b)

    63,373  
    874  

Cheniere Energy, Inc.

    116,155  
    1,703  

Chevron Corporation (b)

    245,232  
    3,463  

ConocoPhillips

    328,500  
    12,035  

Coterra Energy, Inc. (b)

    280,777  
    1,766  

Devon Energy Corporation (b)

    105,165  
    9,251  

Diamondback Energy, Inc.

    1,277,563  
    1,958  

EOG Resources, Inc.

    225,013  
    2,181  

Halliburton Company

    73,129  
    752  

Hess Corporation

    75,997  
    5,218  

Kinder Morgan, Inc. (b)

    90,793  
    3,272  

Marathon Oil Corporation

    73,816  
    2,327  

Occidental Petroleum Corporation

    101,760  
    827  

ONEOK, Inc. (b)

    54,003  
    572  

Pioneer Natural Resources Company (b)

    137,051  
    3,681  

Schlumberger, Ltd.

    144,442  
    589  

Targa Resources Corporation

    38,503  
    654  

Valero Energy Corporation

    54,616  
    3,189  

Williams Companies, Inc. (b)

    99,752  
              3,585,640  
       

Financials — 6.8%

       
    1,588  

Aflac, Inc.

    97,011  
    35  

Alleghany Corporation (a)

    23,167  
    740  

Allstate Corporation

    90,546  
    899  

Ally Financial, Inc.

    44,860  
    984  

American Express Company

    191,428  
    196  

American Financial Group, Inc.

    26,536  
    2,158  

American International Group, Inc.

    132,156  
    32,591  

Annaly Capital Management, Inc. (b)

    226,833  
    554  

Aon plc - Class A

    161,846  
    981  

Arch Capital Group, Ltd. (a)

    46,215  
    540  

Arthur J. Gallagher & Company

    85,423  
    5,226  

Bank of America Corporation

    230,990  
    1,963  

Bank of New York Mellon Corporation

    104,333  
    2,094  

Berkshire Hathaway, Inc. - Class B (a)

    673,116  
    618  

Brown & Brown, Inc.

    41,783  

 

The accompanying notes are an integral part of these financial statements.

 

17

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Maximum Diversification U.S. Core Equity ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.7% (Continued)

       

Financials — 6.8% (Continued)

    319  

Capital One Financial Corporation

  $ 48,893  
    5,390  

Cboe Global Markets, Inc. (b)

    632,194  
    3,972  

Charles Schwab Corporation

    335,475  
    970  

Chubb, Ltd.

    197,531  
    408  

Cincinnati Financial Corporation

    50,098  
    1,115  

Citizens Financial Group, Inc. (b)

    58,448  
    926  

CME Group, Inc. (b)

    219,027  
    341  

Comerica, Inc.

    32,562  
    370  

East West Bancorp, Inc.

    32,397  
    102  

Everest Re Group, Ltd.

    30,418  
    98  

FactSet Research Systems, Inc.

    39,797  
    712  

Fidelity National Financial, Inc.

    33,920  
    953  

First Horizon Corporation (b)

    22,376  
    467  

First Republic Bank/CA

    80,912  
    766  

Franklin Resources, Inc. (b)

    22,773  
    35  

Goldman Sachs Group, Inc.

    11,945  
    3,742  

Huntington Bancshares, Inc. (b)

    58,076  
    1,467  

Intercontinental Exchange, Inc.

    187,952  
    2,546  

JPMorgan Chase & Company

    361,024  
    2,435  

KeyCorporation (b)

    61,045  
    749  

M&T Bank Corporation (b)

    136,490  
    98  

MarketAxess Holdings, Inc. (b)

    37,380  
    1,318  

Marsh & McLennan Companies, Inc.

    204,830  
    522  

Northern Trust Corporation (b)

    59,456  
    872  

PNC Financial Services Group, Inc.

    173,746  
    1,913  

Progressive Corporation

    202,644  
    2,037  

Regions Financial Corporation (b)

    49,275  
    155  

Signature Bank

    53,458  
    903  

State Street Corporation

    77,053  
    645  

Travelers Companies, Inc.

    110,830  
    3,419  

Truist Financial Corporation

    212,730  
    3,498  

U.S. Bancorp

    197,777  
    349  

W.R. Berkley Corporation

    31,515  
    10,468  

Wells Fargo & Company

    558,678  
    264  

Western Alliance Bancorp

    24,747  
    325  

Willis Towers Watson plc

    72,248  
              6,895,963  
       

Health Care — 23.7%

       
    4,348  

10X Genomics, Inc. - Class A (a)(b)

    354,232  
    4,615  

Abbott Laboratories

    556,661  
    4,762  

AbbVie, Inc.

    703,681  
    2,264  

ABIOMED, Inc. (a)

    703,516  
    48  

Align Technology, Inc. (a)(b)

  24,550  
    6,127  

Alnylam Pharmaceuticals, Inc. (a)(b)

    967,147  
    397  

AmerisourceBergen Corporation

    56,584  
    1,478  

Amgen, Inc. (b)

    334,737  
    638  

Anthem, Inc.

    288,280  
    1,395  

Avantor, Inc. (a)(b)

    48,393  
    2,659  

Baxter International, Inc.

    225,935  
    1,991  

Becton Dickinson and Company (b)

    540,118  
    6,742  

Biogen, Inc. (a)

    1,422,628  
    2,796  

BioMarin Pharmaceutical, Inc. (a)

    218,424  
    57  

Bio-Rad Laboratories, Inc. - Class A (a)

    35,680  
    103  

Bio-Techne Corporation

    43,199  
    3,738  

Boston Scientific Corporation (a)

    165,107  
    5,951  

Bristol-Myers Squibb Company

    408,655  
    739  

Cardinal Health, Inc.

    39,913  
    2,149  

Centene Corporation (a)

    177,550  
    773  

Cerner Corporation

    72,082  
    869  

Cigna Corporation

    206,631  
    129  

Cooper Companies, Inc. (b)

    52,764  
    3,460  

CVS Health Corporation

    358,629  
    1,687  

Danaher Corporation

    462,930  
    1,226  

DENTSPLY SIRONA, Inc.

    66,376  
    1,473  

DexCom, Inc. (a)(b)

    609,689  
    1,629  

Edwards Lifesciences Corporation (a)

    183,051  
    5,681  

Elanco Animal Health, Inc. (a)

    161,397  
    4,175  

Eli Lilly & Company

    1,043,541  
    1,955  

Exact Sciences Corporation (a)(b)

    152,607  
    19,322  

Gilead Sciences, Inc.

    1,167,049  
    323  

Guardant Health, Inc. (a)

    21,405  
    631  

HCA Healthcare, Inc.

    157,946  
    359  

Henry Schein, Inc. (a)

    31,010  
    653  

Hologic, Inc. (a)

    46,474  
    2,613  

Horizon Therapeutics plc (a)

    238,227  
    334  

Humana, Inc. (b)

    145,063  
    213  

ICON plc (a)

    50,696  
    221  

IDEXX Laboratories, Inc. (a)

    117,649  
    411  

Illumina, Inc. (a)

    134,233  
    806  

Incyte Corporation (a)

    55,050  
    2,182  

Insulet Corporation (a)(b)

    577,554  
    6,842  

Johnson & Johnson

    1,125,989  
    250  

Laboratory Corporation of America Holdings (a)

    67,815  

 

The accompanying notes are an integral part of these financial statements.

 

18

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Maximum Diversification U.S. Core Equity ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.7% (Continued)

       

Health Care — 23.7% (Continued)

    134  

Masimo Corporation (a)

  $ 21,098  
    402  

McKesson Corporation

    110,534  
    3,534  

Medtronic plc

    371,035  
    8,371  

Merck & Company, Inc.

    641,051  
    61  

Mettler-Toledo International, Inc. (a)

    85,933  
    5,168  

Moderna, Inc. (a)

    793,805  
    152  

Molina Healthcare, Inc. (a)

    46,644  
    3,957  

Novavax, Inc. (a)(b)

    329,895  
    4,588  

Novocure, Ltd. (a)

    375,574  
    336  

Penumbra, Inc. (a)(b)

    74,505  
    330  

PerkinElmer, Inc. (b)

    59,271  
    22,375  

Pfizer, Inc.

    1,050,283  
    697  

Quest Diagnostics, Inc. (b)

    91,495  
    1,380  

Regeneron Pharmaceuticals, Inc. (a)

    853,337  
    193  

Repligen Corporation (a)

    37,963  
    379  

ResMed, Inc.

    93,518  
    862  

Royalty Pharma plc - Class A

    33,842  
    4,559  

Seagen, Inc. (a)

    587,518  
    262  

STERIS plc

    62,880  
    7,352  

Teladoc Health, Inc. (a)(b)

    558,091  
    123  

Teleflex, Inc.

    41,366  
    1,034  

Thermo Fisher Scientific, Inc.

    562,495  
    2,411  

UnitedHealth Group, Inc.

    1,147,324  
    186  

Universal Health Services, Inc. - Class B (b)

    26,771  
    362  

Veeva Systems, Inc. - Class A (a)

    82,916  
    1,287  

Vertex Pharmaceuticals, Inc. (a)

    296,036  
    44,136  

Viatris, Inc.

    485,937  
    159  

Waters Corporation (a)(b)

    50,360  
    194  

West Pharmaceutical Services, Inc.

    75,094  
    549  

Zimmer Biomet Holdings, Inc.

    69,827  
    1,168  

Zoetis, Inc.

    226,183  
              23,963,428  
       

Industrials — 5.6%

       
    1,514  

3M Company

    225,056  
    1,125  

A.O. Smith Corporation (b)

    77,153  
    235  

Allegion plc

    26,912  
    1,822  

American Airlines Group, Inc. (a)(b)

    31,430  
    172  

Axon Enterprise, Inc. (a)(b)

    24,123  
    4,112  

C.H. Robinson Worldwide, Inc. (b)

    397,548  
    136  

Carlisle Companies, Inc.

    32,286  
    2,808  

Carrier Global Corporation (b)

    126,023  
    1,421  

Caterpillar, Inc.

  266,550  
    7,258  

Clarivate plc (a)(b)

    108,725  
    1,028  

CoStar Group, Inc. (a)

    62,718  
    374  

Cummins, Inc.

    76,341  
    737  

Deere & Company

    265,335  
    1,676  

Delta Air Lines, Inc. (a)

    66,906  
    1,553  

Emerson Electric Company

    144,305  
    320  

Equifax, Inc.

    69,869  
    444  

Expeditors International of Washington, Inc.

    45,892  
    1,508  

Fastenal Company

    77,602  
    646  

FedEx Corporation (b)

    143,586  
    163  

Generac Holdings, Inc. (a)(b)

    51,422  
    2,848  

General Electric Company (b)

    272,013  
    188  

Graco, Inc.

    13,553  
    193  

HEICO Corporation - Class A

    23,724  
    1,007  

Howmet Aerospace, Inc.

    36,171  
    200  

IDEX Corporation

    38,380  
    708  

Illinois Tool Works, Inc. (b)

    153,169  
    1,068  

Ingersoll Rand, Inc.

    53,955  
    220  

JB Hunt Transport Services, Inc. (b)

    44,645  
    1,848  

Johnson Controls International plc

    120,046  
    88  

Lennox International, Inc. (b)

    23,490  
    726  

Lyft, Inc. - Class A (a)

    28,270  
    639  

Masco Corporation (b)

    35,810  
    177  

Norfolk Southern Corporation

    45,404  
    271  

Old Dominion Freight Line, Inc.

    85,102  
    1,117  

Otis Worldwide Corporation

    87,495  
    836  

PACCAR, Inc.

    76,753  
    433  

Pentair plc

    25,075  
    3,087  

Plug Power, Inc. (a)(b)

    78,070  
    370  

Quanta Services, Inc.

    40,308  
    177  

Regal Rexnord Corporation (b)

    28,382  
    547  

Republic Services, Inc.

    65,793  
    286  

Robert Half International, Inc.

    34,403  
    305  

Rockwell Automation, Inc.

    81,307  
    278  

Roper Technologies, Inc. (b)

    124,605  
    139  

Snap-on, Inc. (b)

    29,215  
    1,551  

Southwest Airlines Company (a)

    67,933  
    529  

Sunrun, Inc. (a)(b)

    14,431  
    279  

Toro Company (b)

    26,173  
    623  

Trane Technologies plc

    95,898  
    283  

Trex Company, Inc. (a)(b)

    25,991  
    3,924  

Uber Technologies, Inc. (a)

    141,382  
    845  

Union Pacific Corporation (b)

    207,828  
    850  

United Airlines Holdings, Inc. (a)

    37,740  

 

The accompanying notes are an integral part of these financial statements.

 

19

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Maximum Diversification U.S. Core Equity ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.7% (Continued)

       

Industrials — 5.6% (Continued)

    1,916  

United Parcel Service, Inc. - Class B

  $ 403,165  
    421  

Verisk Analytics, Inc.

    74,660  
    113  

W.W. Grainger, Inc.

    53,908  
    1,099  

Waste Management, Inc.

    158,696  
    1,213  

Watsco, Inc.

    331,221  
    465  

Westinghouse Air Brake Technologies Corporation

    43,161  
    472  

Xylem, Inc. (b)

    41,984  
              5,689,091  
       

Information Technology — 12.3%

       
    2,963  

Advanced Micro Devices, Inc. (a)

    365,489  
    420  

Akamai Technologies, Inc. (a)(b)

    45,469  
    333  

Amdocs, Ltd.

    26,207  
    4,403  

Apple, Inc.

    727,024  
    602  

Arista Networks, Inc. (a)

    73,883  
    682  

Aspen Technology, Inc. (a)

    103,944  
    1,846  

Atlassian Corporation plc - Class A (a)

    564,359  
    220  

Avalara, Inc. (a)(b)

    22,860  
    550  

Bentley Systems, Inc. - Class B (b)

    21,115  
    1,359  

Bill.com Holdings, Inc. (a)(b)

    323,279  
    396  

Black Knight, Inc. (a)

    22,251  
    305  

Broadridge Financial Solutions, Inc. (b)

    44,594  
    260  

Check Point Software Technologies, Ltd. (a)

    37,669  
    402  

Ciena Corporation (a)

    27,505  
    2,360  

Cisco Systems, Inc.

    131,618  
    5,997  

Citrix Systems, Inc.

    614,693  
    9,719  

Cloudflare, Inc. - Class A (a)(b)

    1,131,487  
    195  

Coupa Software, Inc. (a)

    23,597  
    1,556  

Crowdstrike Holdings, Inc. - Class A (a)

    303,747  
    1,298  

Datadog, Inc. - Class A (a)(b)

    209,121  
    743  

Dell Technologies, Inc. - Class C

    37,863  
    7,081  

DocuSign, Inc. (a)

    838,602  
    193  

Elastic NV (a)

    16,723  
    323  

Enphase Energy, Inc. (a)

    53,844  
    160  

F5, Inc. (a)(b)

    32,136  
    1,386  

Fidelity National Information Services, Inc. (b)

    131,989  
    1,413  

Five9, Inc. (a)

    155,430  
    209  

FleetCor Technologies, Inc. (a)(b)

    48,948  
    211  

Gartner, Inc. (a)

    59,169  
    435  

GoDaddy, Inc. - Class A (a)(b)

  36,283  
    219  

Guidewire Software, Inc. (a)

    19,305  
    3,432  

Hewlett Packard Enterprise Company (b)

    54,637  
    3,023  

HP, Inc.

    103,870  
    3,900  

Intel Corporation

    186,030  
    2,355  

International Business Machines Corporation (b)

    288,511  
    195  

Jack Henry & Associates, Inc. (b)

    34,476  
    846  

Juniper Networks, Inc. (b)

    28,586  
    1,356  

Marvell Technology, Inc.

    92,655  
    162  

MongoDB, Inc. (a)(b)

    61,882  
    586  

NetApp, Inc.

    45,931  
    28,653  

NortonLifeLock, Inc. (b)

    830,363  
    387  

Okta, Inc. (a)(b)

    70,759  
    4,179  

Oracle Corporation

    317,479  
    253  

Palo Alto Networks, Inc. (a)(b)

    150,345  
    1,998  

QUALCOMM, Inc.

    343,636  
    3,637  

RingCentral, Inc. - Class A (a)(b)

    475,865  
    501  

salesforce.com, Inc. (a)

    105,476  
    543  

Seagate Technology Holdings plc

    56,016  
    237  

Snowflake, Inc. - Class A (a)

    62,961  
    134  

SolarEdge Technologies, Inc. (a)

    42,802  
    219  

Splunk, Inc. (a)

    25,864  
    121  

Teledyne Technologies, Inc. (a)

    51,955  
    2,081  

Twilio, Inc. - Class A (a)

    363,759  
    107  

Tyler Technologies, Inc. (a)(b)

    45,824  
    438  

Unity Software, Inc. (a)(b)

    46,625  
    110  

VeriSign, Inc. (a)

    23,509  
    544  

VMware, Inc. - Class A

    63,822  
    143  

Wix.com, Ltd. (a)

    13,096  
    90  

Workday, Inc. - Class A (a)(b)

    20,615  
    314  

Zendesk, Inc. (a)

    36,634  
    8,641  

Zoom Video Communications, Inc. - Class A (a)(b)

    1,145,796  
    4,194  

Zscaler, Inc. (a)(b)

    1,002,994  
              12,442,976  
       

Materials — 3.6%

       
    579  

Air Products and Chemicals, Inc. (b)

    136,818  
    307  

Albemarle Corporation (b)

    60,138  
    217  

Avery Dennison Corporation

    38,235  
    847  

Ball Corporation (b)

    76,010  
    330  

CF Industries Holdings, Inc.

    26,793  
    1,194  

Cleveland-Cliffs, Inc. (a)(b)

    26,698  
    1,902  

Corteva, Inc.

    98,961  
    1,360  

DuPont de Nemours, Inc.

    105,223  

 

The accompanying notes are an integral part of these financial statements.

 

20

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Maximum Diversification U.S. Core Equity ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.7% (Continued)

       

Materials — 3.6% (Continued)

    182  

Ecolab, Inc.

  $ 32,079  
    273  

FMC Corporation (b)

    32,009  
    669  

International Flavors & Fragrances, Inc.

    88,977  
    1,015  

International Paper Company

    44,183  
    447  

Linde plc

    131,078  
    163  

Martin Marietta Materials, Inc.

    61,842  
    971  

Mosaic Company (b)

    50,910  
    29,063  

Newmont Corporation

    1,923,971  
    747  

Nucor Corporation (b)

    98,320  
    246  

Packaging Corporation of America

    36,209  
    624  

PPG Industries, Inc. (b)

    83,273  
    337  

RPM International, Inc.

    28,500  
    630  

Sherwin-Williams Company

    165,772  
    496  

Steel Dynamics, Inc. (b)

    35,008  
    967  

Vulcan Materials Company

    175,462  
    687  

Westrock Company

    31,101  
              3,587,570  
       

Real Estate — 5.1%

       
    403  

Alexandria Real Estate Equities, Inc.

    76,328  
    1,194  

American Tower Corporation

    270,883  
    366  

AvalonBay Communities, Inc.

    87,324  
    374  

Boston Properties, Inc. (b)

    45,744  
    266  

Camden Property Trust

    43,919  
    847  

CBRE Group, Inc. - Class A (a)

    82,031  
    1,131  

Crown Castle International Corporation

    188,413  
    746  

Digital Realty Trust, Inc.

    100,650  
    236  

Equinix, Inc.

    167,496  
    442  

Equity LifeStyle Properties, Inc.

    32,982  
    956  

Equity Residential

    81,547  
    172  

Essex Property Trust, Inc.

    54,553  
    6,787  

Extra Space Storage, Inc.

    1,276,975  
    1,992  

Federal Realty Investment Trust

    234,219  
    1,414  

Healthpeak Properties, Inc.

    43,919  
    5,915  

Host Hotels & Resorts, Inc. (b)

    108,067  
    755  

Iron Mountain, Inc. (b)

    37,131  
    131  

Jones Lang LaSalle, Inc. (a)

    32,255  
    1,586  

Kimco Realty Corporation (b)

    37,319  
    302  

Mid-America Apartment Communities, Inc.

    61,792  
    2,577  

Public Storage

    914,888  
    1,483  

Realty Income Corporation

    98,011  
    7,088  

Regency Centers Corporation (b)

    467,028  
    283  

SBA Communications Corporation

  85,859  
    1,432  

Simon Property Group, Inc.

    196,986  
    309  

Sun Communities, Inc. (b)

    55,929  
    807  

UDR, Inc.

    44,280  
    1,046  

Ventas, Inc.

    56,484  
    1,142  

Welltower, Inc. (b)

    95,117  
    484  

WP Carey, Inc.

    37,462  
    1,203  

Zillow Group, Inc. - Class C (a)

    69,197  
              5,184,788  
       

Utilities — 3.5%

       
    476  

American Water Works Company, Inc. (b)

    71,918  
    346  

Atmos Energy Corporation

    37,994  
    759  

CMS Energy Corporation (b)

    48,584  
    16,529  

Consolidated Edison, Inc.

    1,417,693  
    2,124  

Dominion Energy, Inc.

    168,922  
    999  

Edison International

    63,357  
    596  

Essential Utilities, Inc.

    28,078  
    896  

Eversource Energy

    73,293  
    5,149  

NextEra Energy, Inc.

    403,012  
    1,027  

NiSource, Inc.

    29,711  
    77,034  

PG&E Corporation (a)

    875,876  
    1,945  

PPL Corporation

    50,901  
    1,328  

Public Service Enterprise Group, Inc.

    86,094  
    829  

Sempra Energy

    119,558  
    547  

UGI Corporation (b)

    21,027  
              3,496,018  
       

TOTAL COMMON STOCKS (Cost $89,320,211)

    100,990,518  
                 
       

SHORT-TERM INVESTMENTS — 0.2%

       

Money Market Funds — 0.2%

       
    211,894  

Invesco Government & Agency Portfolio - Institutional Class, 0.03% (c)

    211,894  
       

TOTAL SHORT-TERM INVESTMENTS (Cost $211,894)

    211,894  

 

The accompanying notes are an integral part of these financial statements.

 

21

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Maximum Diversification U.S. Core Equity ETF (Continued)

 

 

Units

 

Security Description

 

Value

 
       

INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING — 30.7%

       

Private Funds — 30.7%

    31,137,816  

Mount Vernon Liquid Assets Portfolio, LLC, 0.13% (c)

  $ 31,137,816  
       

TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost $31,137,816)

    31,137,816  
                 
       

Total Investments (Cost $120,669,921) — 130.6%

    132,340,228  
       

Liabilities in Excess of Other Assets — (30.6)%

    (31,028,535 )
       

TOTAL NET ASSETS — 100.0%

  $ 101,311,693  

 

Percentages are stated as a percent of net assets.

(a)

Non-income producing security.

(b)

All or a portion of this security is on loan as of February 28, 2022. The total value of securities on loan is $30,795,820.

(c)

Rate shown is the annualized seven-day yield as of February 28, 2022.

The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.

 

 

The accompanying notes are an integral part of these financial statements.

 

22

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Nasdaq-100® Risk-Managed Income ETF

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 100.6% (e)

       
       

Communication Services — 17.7%

    51,069  

Activision Blizzard, Inc.

  $ 4,162,124  
    11,870  

Alphabet, Inc. - Class A (a)

    32,062,532  
    12,544  

Alphabet, Inc. - Class C (a)

    33,841,453  
    15,901  

Baidu, Inc. - ADR (a)

    2,423,948  
    11,723  

Charter Communications, Inc. - Class A (a)

    7,054,667  
    299,293  

Comcast Corporation - Class A

    13,994,941  
    18,548  

Electronic Arts, Inc.

    2,412,909  
    18,559  

Match Group, Inc. (a)

    2,069,143  
    139,852  

Meta Platforms, Inc. - Class A (a)

    29,512,968  
    18,584  

NetEase, Inc. - ADR

    1,771,799  
    29,010  

Netflix, Inc. (a)

    11,445,025  
    262,525  

Sirius XM Holdings, Inc.

    1,617,154  
    81,975  

T-Mobile US, Inc. (a)

    10,100,140  
              152,468,803  
       

Consumer Discretionary — 16.2%

       
    22,534  

Airbnb, Inc. - Class A (a)

    3,413,676  
    20,050  

Amazon.com, Inc. (a)

    61,578,762  
    2,636  

Booking Holdings, Inc. (a)

    5,726,051  
    14,721  

Dollar Tree, Inc. (a)

    2,091,560  
    41,056  

eBay, Inc.

    2,241,247  
    48,669  

JD.com, Inc. - ADR (a)

    3,486,160  
    107,182  

Lucid Group, Inc. (a)

    3,106,134  
    8,139  

Lululemon Athletica, Inc. (a)

    2,603,992  
    21,359  

Marriott International, Inc. - Class A (a)

    3,634,020  
    3,262  

MercadoLibre, Inc. (a)

    3,675,132  
    4,405  

O’Reilly Automotive, Inc. (a)

    2,859,903  
    27,253  

Pinduoduo, Inc. - ADR (a)

    1,413,341  
    23,265  

Ross Stores, Inc.

    2,126,188  
    76,985  

Starbucks Corporation

    7,066,453  
    39,838  

Tesla, Inc. (a)

    34,676,191  
              139,698,810  
       

Consumer Staples — 5.6%

       
    28,947  

Costco Wholesale Corporation

    15,030,730  
    93,008  

Keurig Dr Pepper, Inc.

    3,596,619  
    80,334  

Kraft Heinz Company

    3,150,699  
    91,509  

Mondelez International, Inc. - Class A

    5,992,010  
    34,668  

Monster Beverage Corporation (a)

    2,925,979  
    90,711  

PepsiCo, Inc.

    14,853,020  
    56,759  

Walgreens Boots Alliance, Inc.

    2,616,022  
              48,165,079  
       

Health Care — 5.8%

       
    5,153  

Align Technology, Inc. (a)

    2,635,553  
    36,975  

Amgen, Inc.

  8,374,099  
    38,923  

AstraZeneca plc - ADR

    2,369,632  
    9,597  

Biogen, Inc. (a)

    2,025,063  
    6,307  

DexCom, Inc. (a)

    2,610,530  
    82,283  

Gilead Sciences, Inc.

    4,969,893  
    5,520  

IDEXX Laboratories, Inc. (a)

    2,938,572  
    10,223  

Illumina, Inc. (a)

    3,338,832  
    23,380  

Intuitive Surgical, Inc. (a)

    6,787,916  
    26,589  

Moderna, Inc. (a)

    4,084,070  
    6,880  

Regeneron Pharmaceuticals, Inc. (a)

    4,254,317  
    11,940  

Seagen, Inc. (a)

    1,538,708  
    16,665  

Vertex Pharmaceuticals, Inc. (a)

    3,833,283  
              49,760,468  
       

Industrials — 3.0%

       
    6,744  

Cintas Corporation

    2,531,158  
    15,504  

Copart, Inc. (a)

    1,905,132  
    145,557  

CSX Corporation

    4,935,837  
    37,744  

Fastenal Company

    1,942,306  
    45,154  

Honeywell International, Inc.

    8,567,971  
    7,554  

Old Dominion Freight Line, Inc.

    2,372,183  
    22,770  

PACCAR, Inc.

    2,090,514  
    10,517  

Verisk Analytics, Inc.

    1,865,085  
              26,210,186  
       

Information Technology — 51.2% (b)

    31,163  

Adobe, Inc. (a)

    14,574,312  
    107,181  

Advanced Micro Devices, Inc. (a)

    13,219,699  
    35,224  

Analog Devices, Inc.

    5,646,055  
    5,716  

ANSYS, Inc. (a)

    1,853,070  
    649,585  

Apple, Inc.

    107,259,475  
    59,243  

Applied Materials, Inc.

    7,950,411  
    5,283  

ASML Holding NV - NY

    3,521,172  
    9,150  

Atlassian Corporation plc - Class A (a)

    2,797,338  
    14,403  

Autodesk, Inc. (a)

    3,171,973  
    27,594  

Automatic Data Processing, Inc.

    5,641,317  
    26,946  

Broadcom, Inc.

    15,829,158  
    18,159  

Cadence Design Systems, Inc. (a)

    2,749,817  
    276,824  

Cisco Systems, Inc.

    15,438,474  
    34,435  

Cognizant Technology Solutions Corporation - Class A

    2,965,887  
    13,444  

Crowdstrike Holdings, Inc. - Class A (a)

    2,624,403  
    16,723  

Datadog, Inc. - Class A (a)

    2,694,243  
    12,890  

DocuSign, Inc. (a)

    1,526,563  
    43,280  

Fiserv, Inc. (a)

    4,227,158  

 

The accompanying notes are an integral part of these financial statements.

 

23

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Nasdaq-100® Risk-Managed Income ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 100.6% (e) (Continued)

       

Information Technology — 51.2% (b) (Continued)

    10,590  

Fortinet, Inc. (a)

  $ 3,648,467  
    266,930  

Intel Corporation

    12,732,561  
    18,564  

Intuit, Inc.

    8,806,205  
    9,888  

KLA Corporation

    3,445,968  
    9,180  

Lam Research Corporation

    5,153,193  
    54,041  

Marvell Technology, Inc.

    3,692,622  
    36,403  

Microchip Technology, Inc.

    2,560,223  
    73,402  

Micron Technology, Inc.

    6,522,502  
    297,243  

Microsoft Corporation

    88,813,235  
    139,385  

NVIDIA Corporation

    33,989,032  
    17,426  

NXP Semiconductors NV

    3,313,031  
    9,639  

Okta, Inc. (a)

    1,762,395  
    6,421  

Palo Alto Networks, Inc. (a)

    3,815,679  
    23,656  

Paychex, Inc.

    2,816,483  
    77,105  

PayPal Holdings, Inc. (a)

    8,630,362  
    73,488  

QUALCOMM, Inc.

    12,639,201  
    10,832  

Skyworks Solutions, Inc.

    1,496,657  
    10,540  

Splunk, Inc. (a)

    1,244,774  
    9,995  

Synopsys, Inc. (a)

    3,122,338  
    60,597  

Texas Instruments, Inc.

    10,300,884  
    7,269  

VeriSign, Inc. (a)

    1,553,531  
    12,621  

Workday, Inc. - Class A (a)

    2,890,840  
    15,867  

Zoom Video Communications, Inc. - Class A (a)

    2,103,964  
    9,078  

Zscaler, Inc. (a)

    2,171,004  
              440,915,676  
       

Utilities — 1.1%

       
    33,017  

American Electric Power Company, Inc.

    2,992,991  
    21,401  

Constellation Energy Corporation

    984,018  
    64,193  

Exelon Corporation

    2,732,054  
    35,303  

Xcel Energy, Inc.

    2,376,951  
              9,086,014  
       

TOTAL COMMON STOCKS (Cost $865,006,886)

    866,305,036  

 

 

Contracts

 

Security
Description

 

Notional
Amount

   

Value

 
       

PURCHASED OPTIONS (c) — 1.3%

    608  

Nasdaq 100 Index Put, Expiration: 03/18/2022, Exercise Price: $13,500.00

  $ 865,658,848     $ 11,004,800  
       

TOTAL PURCHASED OPTIONS (Cost $15,618,869)

    11,004,800  
                         
 

Shares

                   
       

SHORT-TERM INVESTMENTS — 0.3%

       

Money Market Funds — 0.3%

    2,906,962  

Invesco Government & Agency Portfolio - Institutional Class, 0.03% (d)

    2,906,962  
       

TOTAL SHORT-TERM INVESTMENTS (Cost $2,906,962)

    2,906,962  
                         
       

Total Investments (Cost $883,532,717) — 102.2%

    880,216,798  
       

Liabilities in Excess of Other Assets — (2.2)%

    (18,848,516 )
       

TOTAL NET ASSETS — 100.0%

  $ 861,368,282  

 

Percentages are stated as a percent of net assets.

ADR

American Depositary Receipt.

NY

New York Registry Shares.

(a)

Non-income producing security.

(b)

To the extent the Fund invests more heavily in particular sectors of the economy, its performance will be especially sensitive to developments that significantly affect those sectors. See Note 9 in Notes to Financial Statements.

(c)

Exchange traded.

(d)

Rate shown is the annualized seven-day yield as of February 28, 2022.

(e)

All Common Stocks in this Schedule of Investments are held as collateral for the Written Option.

The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.

 

The accompanying notes are an integral part of these financial statements.

 

24

 

 

 

Schedules of Written Options

 

February 28, 2022 (Unaudited)

 

Nationwide Nasdaq-100® Risk-Managed Income ETF

 

 

Contracts

 

Security Description

 

Notional
Amount

   

Value

 
       

WRITTEN OPTIONS (a) — (2.2)%

               
    (608 )

Nasdaq 100 Index Call, Expiration: 03/18/2022, Exercise Price: $14,350.00

  $ (865,658,848 )   $ (19,021,280 )
       

TOTAL WRITTEN OPTIONS (Premiums Received $22,826,120)

          $ (19,021,280 )

 

(a)

Exchange traded.

 

 

The accompanying notes are an integral part of these financial statements.

 

25

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Dow Jones® Risk-Managed Income ETF

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 99.3% (d)

       
       

Communication Services — 3.9%

    5,433  

Verizon Communications, Inc.

  $ 291,589  
    5,433  

Walt Disney Company (a)

    806,583  
              1,098,172  
       

Consumer Discretionary — 13.5%

       
    5,433  

Home Depot, Inc.

    1,715,905  
    5,433  

McDonald’s Corporation

    1,329,835  
    5,433  

NIKE, Inc. - Class B

    741,876  
              3,787,616  
       

Consumer Staples — 7.7%

       
    5,433  

Coca-Cola Company

    338,150  
    5,433  

Procter & Gamble Company

    846,950  
    5,433  

Walgreens Boots Alliance, Inc.

    250,407  
    5,433  

Walmart, Inc.

    734,325  
              2,169,832  
       

Energy — 2.8%

       
    5,433  

Chevron Corporation

    782,352  
       

Financials — 16.4%

       
    5,433  

American Express Company

    1,056,936  
    5,433  

Goldman Sachs Group, Inc.

    1,854,229  
    5,433  

JPMorgan Chase & Company

    770,399  
    5,433  

Travelers Companies, Inc.

    933,552  
              4,615,116  
       

Health Care — 18.2%

       
    5,433  

Amgen, Inc.

    1,230,466  
    5,433  

Johnson & Johnson

    894,109  
    5,433  

Merck & Company, Inc.

    416,059  
    5,433  

UnitedHealth Group, Inc.

    2,585,402  
              5,126,036  
       

Industrials — 14.1%

       
    5,433  

3M Company

    807,615  
    5,433  

Boeing Company (a)

    1,115,612  
    5,433  

Caterpillar, Inc.

    1,019,122  
    5,433  

Honeywell International, Inc.

    1,030,913  
              3,973,262  
       

Information Technology — 21.6%

       
    5,433  

Apple, Inc.

    897,097  
    5,433  

Cisco Systems, Inc.

    302,998  
    5,433  

Intel Corporation

    259,154  
    5,433  

International Business Machines Corporation

    665,597  
    5,433  

Microsoft Corporation

    1,623,326  
    5,433  

salesforce.com, Inc. (a)

    1,143,809  
    5,433  

Visa, Inc. - Class A

    1,174,180  
              6,066,161  
       

Materials — 1.1%

       
    5,433  

Dow, Inc.

  320,330  
       

TOTAL COMMON STOCKS (Cost $29,238,173)

    27,938,877  

 

 

Contracts

     

Notional
Amount

         
       

PURCHASED OPTIONS (b) — 1.0%

    824  

Dow Jones Industrial Average Index Put, Expiration: 03/18/2022, Exercise Price: $325.00

  $ 27,927,832       286,340  
       

TOTAL PURCHASED OPTIONS (Cost $314,949)

    286,340  
                         
 

Shares

                   
       

SHORT-TERM INVESTMENTS — 0.3%

       

Money Market Funds — 0.3%

    84,330  

Invesco Government & Agency Portfolio - Institutional Class, 0.03% (c)

    84,330  
       

TOTAL SHORT-TERM INVESTMENTS (Cost $84,330)

    84,330  
                         
       

Total Investments (Cost $29,637,452) — 100.6%

    28,309,547  
       

Liabilities in Excess of Other Assets — (0.6)%

    (160,572 )
       

TOTAL NET ASSETS — 100.0%

  $ 28,148,975  

 

Percentages are stated as a percent of net assets.

(a)

Non-income producing security.

(b)

Exchange traded.

(c)

Rate shown is the annualized seven-day yield as of February 28, 2022.

(d)

All Common Stocks in this Schedule of Investments are held as collateral for the Written Option.

The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.

 

 

The accompanying notes are an integral part of these financial statements.

 

26

 

 

 

Schedules of Written Options

 

February 28, 2022 (Unaudited)

 

Nationwide Dow Jones® Risk-Managed Income ETF

 

 

Contracts

 

Security Description

 

Notional
Amount

   

Value

 
       

WRITTEN OPTIONS (a) — (0.8)%

               
    (824 )

Dow Jones Industrial Average Index Call, Expiration: 03/18/2022, Exercise Price: $347.00

  $ (27,927,832 )   $ (217,948 )
       

TOTAL WRITTEN OPTIONS (Premiums Received $447,864)

          $ (217,948 )

 

(a)

Exchange traded.

 

 

The accompanying notes are an integral part of these financial statements.

 

27

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Russell 2000® Risk-Managed Income ETF

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 96.4% (d)

       
       

Communication Services — 3.0%

    477  

Advantage Solutions, Inc. (a)

  $ 3,754  
    3,034  

AMC Entertainment Holdings, Inc. - Class A (a)

    57,222  
    179  

AMC Networks, Inc. - Class A (a)

    7,420  
    70  

Anterix, Inc. (a)

    3,730  
    67  

ATN International, Inc.

    2,233  
    764  

Audacy, Inc. (a)

    2,368  
    137  

Bandwidth, Inc. - Class A (a)

    4,185  
    126  

Boston Omaha Corporation - Class A (a)

    3,527  
    202  

Cardlytics, Inc. (a)

    11,716  
    575  

Cargurus, Inc. (a)

    27,858  
    410  

Cars.com, Inc. (a)

    6,634  
    36  

Chicken Soup For The Soul Entertainment, Inc. (a)

    349  
    619  

Cinemark Holdings, Inc. (a)

    10,857  
    2,194  

Clear Channel Outdoor Holdings, Inc. (a)

    8,206  
    253  

Cogent Communications Holdings, Inc.

    16,040  
    406  

comScore, Inc. (a)

    1,064  
    459  

Consolidated Communications Holdings, Inc. (a)

    3,268  
    162  

CuriosityStream, Inc. (a)

    593  
    6  

Daily Journal Corporation (a)

    1,940  
    17  

Digital Media Solutions, Inc. - Class A (a)

    58  
    224  

EchoStar Corporation - Class A (a)

    5,452  
    148  

Emerald Holding, Inc. (a)

    530  
    367  

Entravision Communications Corporation - Class A

    2,349  
    94  

Eros STX Global Corporation (a)

    298  
    434  

Eventbrite, Inc. - Class A (a)

    6,558  
    115  

EverQuote, Inc. - Class A (a)

    1,711  
    322  

EW Scripps Company - Class A (a)

    7,168  
    258  

Fluent, Inc. (a)

    366  
    808  

fuboTV, Inc. (a)

    6,908  
    840  

Gannett Company, Inc. (a)

    4,166  
    3,801  

Globalstar, Inc. (a)

    4,485  
    346  

Gogo, Inc. (a)

    4,927  
    515  

Gray Television, Inc.

    12,066  
    95  

Hemisphere Media Group, Inc. (a)

    508  
    121  

IDT Corporation - Class B (a)

  4,363  
    666  

iHeartMedia, Inc. - Class A (a)

    14,286  
    295  

IMAX Corporation (a)

    6,101  
    101  

Integral Ad Science Holding Corporation (a)

    1,890  
    717  

Iridium Communications, Inc. (a)

    28,386  
    266  

John Wiley & Sons, Inc. - Class A

    13,382  
    252  

Liberty Latin America, Ltd. - Class A (a)

    2,533  
    980  

Liberty Latin America, Ltd. - Class C (a)

    9,888  
    60  

Liberty Media Corporation - Liberty Braves - Class A (a)

    1,538  
    219  

Liberty Media Corporation - Liberty Braves - Class C (a)

    5,409  
    406  

Liberty TripAdvisor Holdings, Inc. - Class A (a)

    861  
    322  

Lions Gate Entertainment Corporation - Class A (a)

    4,946  
    672  

Lions Gate Entertainment Corporation - Class B (a)

    9,576  
    350  

LiveOne, Inc. (a)

    299  
    154  

Madison Square Garden Entertainment Corporation (a)

    12,067  
    728  

Magnite, Inc. (a)

    10,614  
    126  

Marcus Corporation (a)

    2,291  
    112  

MediaAlpha, Inc. - Class A (a)

    1,608  
    336  

National CineMedia, Inc.

    998  
    126  

Ooma, Inc. (a)

    2,107  
    42  

Outbrain, Inc. (a)

    548  
    280  

QuinStreet, Inc. (a)

    3,150  
    350  

Radius Global Infrastructure, Inc. - Class A (a)

    4,501  
    154  

Scholastic Corporation

    6,480  
    294  

Shenandoah Telecommunications Company

    6,571  
    266  

Sinclair Broadcast Group, Inc. - Class A

    7,980  
    14  

Society Pass, Inc. (a)

    37  
    336  

Stagwell, Inc. (a)

    2,547  
    154  

TechTarget, Inc. (a)

    12,071  
    1,344  

TEGNA, Inc.

    30,805  
    602  

Telephone and Data Systems, Inc.

    10,444  
    56  

Telesat Corporation

    1,161  
    42  

Thryv Holdings, Inc. (a)

    1,277  

 

The accompanying notes are an integral part of these financial statements.

 

28

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Russell 2000® Risk-Managed Income ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 96.4% (d) (Continued)

       

Communication Services — 3.0% (Continued)

    546  

TrueCar, Inc. (a)

  $ 1,824  
    84  

United States Cellular Corporation

    2,311  
    322  

WideOpenWest, Inc. (a)

    5,471  
    406  

Yelp, Inc. (a)

    13,759  
    252  

Ziff Davis, Inc. (a)

    25,351  
              499,945  
       

Consumer Discretionary — 10.6%

    161  

1-800-Flowers.com, Inc. - Class A (a)

    2,492  
    38  

1stdibs.com, Inc. (a)

    416  
    434  

2U, Inc. (a)

    4,557  
    189  

Aaron’s Company, Inc.

    3,967  
    354  

Abercrombie & Fitch Company - Class A (a)

    13,480  
    472  

Academy Sports & Outdoors, Inc. (a)

    15,279  
    343  

Accel Entertainment, Inc. (a)

    4,490  
    210  

Acushnet Holdings Corporation

    9,198  
    589  

Adient plc (a)

    26,358  
    294  

Adtalem Global Education, Inc. (a)

    6,109  
    58  

aka Brands Holding Corporation (a)

    437  
    711  

American Axle & Manufacturing Holdings, Inc. (a)

    6,584  
    933  

American Eagle Outfitters, Inc.

    19,668  
    85  

American Outdoor Brands, Inc. (a)

    1,329  
    116  

American Public Education, Inc. (a)

    2,315  
    36  

America’s Car-Mart, Inc. (a)

    3,462  
    476  

AMMO, Inc. (a)

    2,242  
    178  

Arcimoto, Inc. (a)

    1,047  
    730  

Arko Corporation

    6,096  
    143  

Asbury Automotive Group, Inc. (a)

    27,757  
    162  

Aterian, Inc. (a)

    484  
    185  

Bally’s Corporation (a)

    6,664  
    273  

Barnes & Noble Education, Inc. (a)

    1,496  
    59  

Bassett Furniture Industries, Inc.

    1,035  
    171  

Beazer Homes USA, Inc. (a)

    2,799  
    619  

Bed Bath & Beyond, Inc. (a)

    10,455  
    130  

Big 5 Sporting Goods Corporation

    2,153  
    193  

Big Lots, Inc.

    6,709  
    4  

Biglari Holdings, Inc. - Class B

    550  
    131  

BJ’s Restaurants, Inc. (a)

  4,201  
    534  

Bloomin’ Brands, Inc.

    13,142  
    87  

Bluegreen Vacations Holding Corporation (a)

    2,466  
    178  

Boot Barn Holdings, Inc. (a)

    15,490  
    270  

Brinker International, Inc. (a)

    11,486  
    189  

Buckle, Inc.

    6,804  
    230  

Caleres, Inc.

    4,775  
    690  

Callaway Golf Company (a)

    17,070  
    256  

Camping World Holdings, Inc. - Class A

    7,862  
    686  

Canoo, Inc. (a)

    3,938  
    406  

CarLotz, Inc. (a)

    820  
    266  

CarParts.com, Inc. (a)

    2,226  
    91  

Carriage Services, Inc.

    4,478  
    196  

Carrols Restaurant Group, Inc.

    517  
    119  

Cato Corporation - Class A

    2,094  
    56  

Cavco Industries, Inc. (a)

    15,267  
    164  

Century Casinos, Inc. (a)

    2,017  
    178  

Century Communities, Inc.

    11,342  
    275  

Cheesecake Factory, Inc. (a)

    11,767  
    714  

Chico’s FAS, Inc. (a)

    3,356  
    84  

Children’s Place, Inc. (a)

    5,289  
    118  

Chuy’s Holdings, Inc. (a)

    3,847  
    49  

Citi Trends, Inc. (a)

    1,828  
    165  

Clarus Corporation

    3,757  
    107  

Conn’s, Inc. (a)

    1,962  
    182  

Container Store Group, Inc. (a)

    1,607  
    101  

Cooper-Standard Holdings, Inc. (a)

    1,285  
    444  

Coursera, Inc. (a)

    9,027  
    142  

Cracker Barrel Old Country Store, Inc.

    19,066  
    352  

Crocs, Inc. (a)

    29,473  
    898  

Dana, Inc.

    16,721  
    238  

Dave & Buster’s Entertainment, Inc. (a)

    10,315  
    168  

Del Taco Restaurants, Inc.

    2,097  
    370  

Denny’s Corporation (a)

    5,853  
    365  

Designer Brands, Inc. - Class A (a)

    4,763  
    34  

Dillard’s, Inc. - Class A

    8,524  
    93  

Dine Brands Global, Inc.

    7,797  
    164  

Dorman Products, Inc.

    15,321  
    511  

Drive Shack, Inc. (a)

    680  
    73  

Duluth Holdings, Inc. - Class B (a)

    1,017  
    112  

El Pollo Loco Holdings, Inc. (a)

    1,486  
    59  

Escalade, Inc.

    782  

 

The accompanying notes are an integral part of these financial statements.

 

29

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Russell 2000® Risk-Managed Income ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 96.4% (d) (Continued)

       

Consumer Discretionary — 10.6% (Continued)

    67  

Esports Technologies, Inc. (a)

  $ 554  
    137  

Ethan Allen Interiors, Inc.

    3,570  
    80  

European Wax Center, Inc. - Class A (a)

    1,990  
    486  

Everi Holdings, Inc. (a)

    11,372  
    122  

F45 Training Holdings, Inc. (a)

    1,876  
    108  

Fiesta Restaurant Group, Inc. (a)

    1,088  
    71  

First Watch Restaurant Group, Inc. (a)

    1,030  
    999  

Fisker, Inc. (a)

    12,187  
    39  

Flexsteel Industries, Inc.

    842  
    289  

Fossil Group, Inc. (a)

    3,907  
    260  

Fox Factory Holding Corporation (a)

    30,684  
    173  

Franchise Group, Inc.

    7,292  
    207  

Full House Resorts, Inc. (a)

    1,822  
    151  

Funko, Inc. - Class A (a)

    2,636  
    239  

GAN, Ltd. (a)

    1,594  
    90  

Genesco, Inc. (a)

    5,774  
    1,778  

Genius Brands International, Inc. (a)

    1,579  
    196  

Gentherm, Inc. (a)

    16,629  
    267  

G-III Apparel Group, Ltd. (a)

    7,407  
    100  

Golden Entertainment, Inc.

    5,693  
    230  

Golden Nugget Online Gaming, Inc. (a)

    1,978  
    1,632  

Goodyear Tire & Rubber Company (a)

    25,280  
    774  

GoPro, Inc. - Class A (a)

    6,656  
    22  

Graham Holdings Company - Class B

    13,225  
    187  

Green Brick Partners, Inc. (a)

    4,337  
    101  

Greenlane Holdings, Inc. - Class A (a)

    55  
    108  

Group 1 Automotive, Inc.

    19,648  
    130  

Groupon, Inc. (a)

    2,824  
    341  

GrowGeneration Corporation (a)

    2,868  
    244  

Guess?, Inc.

    5,344  
    347  

Hall of Fame Resort & Entertainment Company (a)

    368  
    47  

Hamilton Beach Brands Holding Company - Class A

    710  
    104  

Haverty Furniture Cos, Inc.

    2,955  
    148  

Helen of Troy, Ltd. (a)

    30,440  
    92  

Hibbett, Inc.

    4,147  
    507  

Hilton Grand Vacations, Inc. (a)

    26,293  
    73  

Hooker Furnishings Corporation

    1,533  
    732  

Houghton Mifflin Harcourt Company (a)

  15,336  
    31  

Hovnanian Enterprises, Inc. - Class A (a)

    2,980  
    144  

Installed Building Products, Inc.

    13,925  
    569  

International Game Technology plc

    17,423  
    164  

iRobot Corporation (a)

    10,194  
    131  

Jack in the Box, Inc.

    11,301  
    71  

JOANN, Inc.

    808  
    32  

Johnson Outdoors, Inc. - Class A

    2,639  
    491  

KB Home

    18,958  
    81  

Kirkland’s, Inc.

    1,121  
    326  

Kontoor Brands, Inc.

    16,150  
    148  

Krispy Kreme, Inc.

    2,207  
    20  

Kura Sushi USA, Inc. - Class A (a)

    1,054  
    84  

Lands’ End, Inc. (a)

    1,425  
    56  

Landsea Homes Corporation (a)

    366  
    182  

Latham Group, Inc. (a)

    3,183  
    588  

Laureate Education, Inc.

    6,374  
    252  

La-Z-Boy, Inc.

    7,353  
    42  

Lazydays Holdings, Inc. (a)

    766  
    140  

LCI Industries

    17,433  
    42  

Legacy Housing Corporation (a)

    1,070  
    126  

LGI Homes, Inc. (a)

    15,892  
    224  

Life Time Group Holdings, Inc. (a)

    3,483  
    70  

Lifetime Brands, Inc.

    917  
    168  

Lindblad Expeditions Holdings, Inc. (a)

    2,979  
    154  

Liquidity Services, Inc. (a)

    2,653  
    154  

LL Flooring Holdings, Inc. (a)

    2,473  
    882  

Lordstown Motors Corporation - Class A (a)

    2,267  
    56  

Lovesac Company (a)

    2,379  
    28  

Lulu’s Fashion Lounge Holdings, Inc. (a)

    279  
    168  

M/I Homes, Inc. (a)

    8,281  
    1,904  

Macy’s, Inc.

    49,351  
    126  

Malibu Boats, Inc. - Class A (a)

    8,778  
    42  

Marine Products Corporation

    508  
    129  

MarineMax, Inc. (a)

    5,903  
    112  

MasterCraft Boat Holdings, Inc.

    3,208  
    336  

MDC Holdings, Inc.

    14,898  
    224  

Meritage Homes Corporation (a)

    22,082  
    294  

Modine Manufacturing Company (a)

    2,969  

 

The accompanying notes are an integral part of these financial statements.

 

30

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Russell 2000® Risk-Managed Income ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 96.4% (d) (Continued)

       

Consumer Discretionary — 10.6% (Continued)

    70  

Monarch Casino & Resort, Inc. (a)

  $ 5,453  
    182  

Monro, Inc.

    8,496  
    112  

Motorcar Parts of America, Inc. (a)

    1,809  
    84  

Movado Group, Inc.

    3,311  
    140  

Murphy USA, Inc.

    25,304  
    14  

Nathan’s Famous, Inc.

    814  
    506  

National Vision Holdings, Inc. (a)

    18,555  
    168  

Nautilus, Inc. (a)

    818  
    56  

NEOGAMES SA (a)

    1,266  
    224  

Noodles & Company (a)

    1,532  
    280  

ODP Corporation (a)

    12,320  
    112  

ONE Group Hospitality, Inc. (a)

    1,315  
    308  

OneSpaWorld Holdings, Ltd. (a)

    3,185  
    56  

OneWater Marine, Inc. - Class A

    2,845  
    266  

Overstock.com, Inc. (a)

    15,136  
    98  

Oxford Industries, Inc.

    8,662  
    182  

Papa John’s International, Inc.

    19,441  
    616  

Party City Holdco, Inc. (a)

    2,667  
    154  

Patrick Industries, Inc.

    10,986  
    392  

Perdoceo Education Corporation (a)

    4,104  
    112  

PetMed Express, Inc.

    3,018  
    159  

PlayAGS, Inc. (a)

    1,331  
    154  

PLBY Group, Inc. (a)

    2,452  
    462  

Porch Group, Inc. (a)

    3,742  
    126  

Portillo’s, Inc. - Class A (a)

    3,158  
    336  

PowerSchool Holdings, Inc. - Class A (a)

    5,292  
    336  

Purple Innovation, Inc. (a)

    2,023  
    518  

Quotient Technology, Inc. (a)

    3,440  
    42  

RCI Hospitality Holdings, Inc.

    2,727  
    476  

RealReal, Inc. (a)

    4,241  
    84  

Red Robin Gourmet Burgers, Inc. (a)

    1,474  
    336  

Red Rock Resorts, Inc. - Class A

    16,894  
    238  

Regis Corporation (a)

    431  
    98  

Rent the Runway, Inc. - Class A (a)

    595  
    364  

Rent-A-Center, Inc.

    10,341  
    210  

Revolve Group, Inc. (a)

    9,960  
    28  

Rocky Brands, Inc.

    1,079  
    294  

Rush Street Interactive, Inc. (a)

    3,037  
    182  

Ruth’s Hospitality Group, Inc.

    4,515  
    658  

Sally Beauty Holdings, Inc. (a)

    11,370  
    574  

Scientific Games Corporation (a)

  36,116  
    294  

SeaWorld Entertainment, Inc. (a)

    20,401  
    210  

Shake Shack, Inc. - Class A (a)

    15,691  
    392  

Shift Technologies, Inc. (a)

    792  
    98  

Shoe Carnival, Inc.

    2,858  
    126  

Shutterstock, Inc.

    11,407  
    308  

Signet Jewelers, Ltd.

    21,714  
    308  

Skyline Champion Corporation (a)

    20,710  
    140  

Sleep Number Corporation (a)

    9,198  
    252  

Smith & Wesson Brands, Inc.

    4,443  
    70  

Snap One Holdings Corporation (a)

    1,375  
    72  

Solo Brands, Inc. - Class A (a)

    760  
    126  

Sonic Automotive, Inc. - Class A

    6,767  
    686  

Sonos, Inc. (a)

    18,790  
    280  

Sportsman’s Warehouse Holdings, Inc. (a)

    3,195  
    126  

Standard Motor Products, Inc.

    5,507  
    476  

Steven Madden, Ltd.

    20,306  
    574  

Stitch Fix, Inc. - Class A (a)

    7,204  
    182  

StoneMor, Inc. (a)

    473  
    154  

Stoneridge, Inc. (a)

    2,543  
    140  

Strategic Education, Inc.

    8,263  
    252  

Stride, Inc. (a)

    8,462  
    98  

Sturm Ruger & Company, Inc.

    7,096  
    70  

Superior Group of Companies, Inc.

    1,435  
    140  

Target Hospitality Corporation (a)

    441  
    714  

Taylor Morrison Home Corporation (a)

    21,063  
    406  

Tenneco, Inc - Class A (a)

    7,828  
    406  

Texas Roadhouse, Inc.

    38,533  
    126  

Tilly’s, Inc. - Class A

    1,600  
    76  

Torrid Holdings, Inc. (a)

    665  
    142  

Traeger, Inc. (a)

    1,402  
    70  

TravelCenters of America, Inc. (a)

    2,956  
    658  

Tri Pointe Homes, Inc. (a)

    14,719  
    280  

Tupperware Brands Corporation (a)

    5,104  
    70  

Udemy, Inc. (a)

    923  
    70  

Unifi, Inc. (a)

    1,314  
    70  

Universal Electronics, Inc. (a)

    2,326  
    406  

Urban Outfitters, Inc. (a)

    11,169  
    182  

Vera Bradley, Inc. (a)

    1,376  
    336  

Vista Outdoor, Inc. (a)

    12,247  

 

The accompanying notes are an integral part of these financial statements.

 

31

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Russell 2000® Risk-Managed Income ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 96.4% (d) (Continued)

       

Consumer Discretionary — 10.6% (Continued)

    154  

Visteon Corporation (a)

  $ 18,506  
    560  

Vivint Smart Home, Inc. (a)

    4,026  
    84  

VOXX International Corporation (a)

    901  
    336  

Vuzix Corporation (a)

    1,902  
    112  

Weber, Inc. - Class A

    1,279  
    168  

Wingstop, Inc.

    24,419  
    14  

Winmark Corporation

    3,167  
    196  

Winnebago Industries, Inc.

    12,557  
    490  

Wolverine World Wide, Inc.

    11,285  
    728  

Workhorse Group, Inc. (a)

    2,279  
    322  

WW International, Inc. (a)

    3,281  
    196  

XL Fleet Corporation (a)

    382  
    42  

Xometry, Inc. - Class A (a)

    2,054  
    98  

XPEL, Inc. (a)

    7,115  
    42  

Xponential Fitness, Inc. - Class A (a)

    879  
    126  

Zumiez, Inc. (a)

    5,606  
              1,750,745  
       

Consumer Staples — 3.4%

       
    952  

22nd Century Group, Inc. (a)

    2,228  
    189  

Andersons, Inc.

    8,618  
    442  

AppHarvest, Inc. (a)

    1,688  
    399  

B&G Foods, Inc.

    11,810  
    476  

Beauty Health Company (a)

    9,225  
    240  

BellRing Brands, Inc. - Class A (a)

    6,137  
    870  

BJ’s Wholesale Club Holdings, Inc. (a)

    54,696  
    101  

Calavo Growers, Inc.

    4,312  
    253  

Cal-Maine Foods, Inc. (a)

    11,200  
    324  

Celsius Holdings, Inc. (a)

    20,700  
    242  

Central Garden & Pet Company (a)

    10,658  
    58  

Central Garden & Pet Company - Class A (a)

    2,746  
    188  

Chefs’ Warehouse, Inc. (a)

    6,176  
    25  

Coca-Cola Consolidated, Inc.

    12,423  
    196  

Duckhorn Portfolio, Inc. (a)

    3,846  
    325  

Edgewell Personal Care Company

    11,596  
    291  

elf Beauty, Inc. (a)

    7,691  
    415  

Energizer Holdings, Inc.

    13,857  
    211  

Fresh Del Monte Produce, Inc.

    5,461  
    214  

HF Foods Group, Inc. (a)

    1,338  
    487  

Honest Company, Inc. (a)

    2,815  
    784  

Hostess Brands, Inc. (a)

    16,887  
    86  

Ingles Markets, Inc. - Class A

  7,071  
    105  

Inter Parfums, Inc.

    9,752  
    89  

J & J Snack Foods Corporation

    14,571  
    53  

John B Sanfilippo & Son, Inc.

    4,215  
    28  

Laird Superfood, Inc. (a)

    172  
    112  

Lancaster Colony Corporation

    18,840  
    154  

Landec Corporation (a)

    1,774  
    84  

Limoneira Company

    1,226  
    56  

MedAvail Holdings, Inc. (a)

    67  
    70  

Medifast, Inc.

    13,020  
    84  

MGP Ingredients, Inc.

    6,687  
    238  

Mission Produce, Inc. (a)

    3,089  
    144  

National Beverage Corporation

    6,337  
    56  

Natural Grocers by Vitamin Cottage, Inc.

    950  
    56  

Nature’s Sunshine Products, Inc.

    982  
    784  

NewAge, Inc. (a)

    531  
    294  

Nu Skin Enterprises, Inc. - Class A

    13,638  
    28  

Oil-Dri Corporation of America

    865  
    868  

Performance Food Group Company (a)

    48,643  
    140  

PriceSmart, Inc.

    10,181  
    938  

Primo Water Corporation

    13,639  
    42  

Revlon, Inc. - Class A (a)

    407  
    308  

Rite Aid Corporation (a)

    2,821  
    112  

Sanderson Farms, Inc.

    20,002  
    28  

Seneca Foods Corporation - Class A (a)

    1,393  
    504  

Simply Good Foods Company (a)

    19,974  
    140  

Sovos Brands, Inc. (a)

    1,700  
    210  

SpartanNash Company

    5,909  
    686  

Sprouts Farmers Market, Inc. (a)

    19,537  
    266  

Tattooed Chef, Inc. (a)

    3,229  
    42  

Thorne HealthTech, Inc. (a)

    188  
    84  

Tootsie Roll Industries, Inc.

    2,835  
    308  

TreeHouse Foods, Inc. (a)

    12,089  
    84  

Turning Point Brands, Inc.

    2,816  
    294  

United Natural Foods, Inc. (a)

    11,828  
    140  

Universal Corporation

    7,575  
    70  

USANA Health Sciences, Inc. (a)

    6,161  
    336  

Utz Brands, Inc.

    5,124  
    868  

Vector Group, Ltd.

    9,730  
    364  

Veru, Inc. (a)

    2,035  
    42  

Village Super Market, Inc. - Class A

    957  
    57  

Vita Coco Company, Inc. (a)

    661  
    140  

Vital Farms, Inc. (a)

    1,995  

 

The accompanying notes are an integral part of these financial statements.

 

32

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Russell 2000® Risk-Managed Income ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 96.4% (d) (Continued)

       

Consumer Staples — 3.4% (Continued)

    70  

WD-40 Company

  $ 14,831  
    98  

Weis Markets, Inc.

    6,044  
    234  

Whole Earth Brands, Inc. (a)

    2,221  
    42  

Zevia PBC - Class A (a)

    263  
              564,683  
       

Energy — 5.5%

       
    186  

Aemetis, Inc. (a)

    2,385  
    422  

Alto Ingredients, Inc. (a)

    2,460  
    1,668  

Antero Resources Corporation (a)

    38,247  
    89  

Arch Resources, Inc.

    10,624  
    826  

Archrock, Inc.

    6,897  
    417  

Berry Corporation

    4,170  
    238  

Brigham Minerals, Inc. - Class A

    5,422  
    126  

Bristow Group, Inc. (a)

    4,176  
    322  

Cactus, Inc. - Class A

    16,313  
    522  

California Resources Corporation

    21,522  
    287  

Callon Petroleum Company (a)

    16,175  
    1,082  

Centennial Resource Development, Inc. - Class A (a)

    9,500  
    42  

Centrus Energy Corporation - Class A (a)

    1,901  
    1,239  

ChampionX Corporation

    26,528  
    633  

Chesapeake Energy Corporation

    48,899  
    270  

Civitas Resources, Inc.

    13,627  
    943  

Clean Energy Fuels Corporation (a)

    6,856  
    1,316  

CNX Resources Corporation (a)

    21,503  
    561  

Comstock Resources, Inc. (a)

    4,656  
    192  

CONSOL Energy, Inc. (a)

    5,902  
    190  

Crescent Energy, Inc. - Class A

    2,879  
    171  

CVR Energy, Inc.

    2,974  
    395  

Delek US Holdings, Inc. (a)

    6,806  
    312  

Denbury, Inc. (a)

    22,670  
    865  

DHT Holdings, Inc.

    5,441  
    112  

DMC Global, Inc. (a)

    3,293  
    168  

Dorian LPG, Ltd.

    2,315  
    216  

Dril-Quip, Inc. (a)

    6,229  
    158  

Earthstone Energy, Inc. - Class A (a)

    2,054  
    896  

Energy Fuels, Inc. (a)

    7,320  
    2,482  

Equitrans Midstream Corporation

    15,910  
    252  

Expro Group Holdings NV (a)

    4,055  
    238  

Falcon Minerals Corporation

    1,366  
    723  

Frontline, Ltd. (a)

    6,803  
    53  

FTS International, Inc. - Class A (a)

  1,403  
    1,271  

Gevo, Inc. (a)

    4,512  
    579  

Golar LNG, Ltd. (a)

    10,075  
    291  

Green Plains, Inc. (a)

    9,527  
    830  

Helix Energy Solutions Group, Inc. (a)

    3,362  
    610  

Helmerich & Payne, Inc.

    22,100  
    31  

HighPeak Energy, Inc.

    655  
    286  

International Seaways, Inc.

    5,231  
    19  

Kinetik Holdings, Inc.

    1,292  
    2,635  

Kosmos Energy, Ltd. (a)

    12,806  
    56  

Laredo Petroleum, Inc. (a)

    4,287  
    504  

Liberty Oilfield Services, Inc. - Class A (a)

    6,290  
    826  

Magnolia Oil & Gas Corporation - Class A

    18,461  
    616  

Matador Resources Company

    30,554  
    854  

Murphy Oil Corporation

    29,608  
    28  

Nabors Industries, Ltd. (a)

    3,515  
    210  

National Energy Services Reunited Corporation (a)

    1,871  
    532  

Newpark Resources, Inc. (a)

    2,006  
    938  

NexTier Oilfield Solutions, Inc. (a)

    7,466  
    910  

Nordic American Tankers, Ltd.

    2,202  
    294  

Northern Oil and Gas, Inc.

    7,374  
    112  

Oasis Petroleum, Inc.

    14,841  
    588  

Oceaneering International, Inc. (a)

    8,608  
    350  

Oil States International, Inc. (a)

    1,831  
    1,526  

Ovintiv, Inc.

    69,967  
    266  

Par Pacific Holdings, Inc. (a)

    3,618  
    1,008  

Patterson-UTI Energy, Inc.

    14,545  
    616  

PBF Energy, Inc. - Class A (a)

    10,238  
    574  

PDC Energy, Inc.

    37,034  
    505  

Peabody Energy Corporation (a)

    8,757  
    490  

ProPetro Holding Corporation (a)

    6,257  
    1,372  

Range Resources Corporation (a)

    31,487  
    126  

Ranger Oil Corporation - Class A (a)

    4,254  
    266  

Renewable Energy Group, Inc. (a)

    16,359  
    28  

REX American Resources Corporation (a)

    2,645  
    168  

Riley Exploration Permian, Inc.

    5,628  
    378  

RPC, Inc. (a)

    3,315  
    252  

Scorpio Tankers, Inc.

    4,382  

 

The accompanying notes are an integral part of these financial statements.

 

33

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Russell 2000® Risk-Managed Income ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 96.4% (d) (Continued)

       

Energy — 5.5% (Continued)

    336  

Select Energy Services, Inc. - Class A (a)

  $ 2,782  
    728  

SFL Corporation, Ltd.

    7,244  
    658  

SM Energy Company

    23,366  
    168  

Solaris Oilfield Infrastructure, Inc. - Class A

    1,747  
    5,600  

Southwestern Energy Company (a)

    27,944  
    224  

Talos Energy, Inc. (a)

    3,519  
    406  

Teekay Corporation (a)

    1,368  
    126  

Teekay Tankers, Ltd. - Class A (a)

    1,801  
    2,240  

Tellurian, Inc. (a)

    8,534  
    714  

TETRA Technologies, Inc. (a)

    2,285  
    224  

Tidewater, Inc. (a)

    3,317  
    1,400  

Uranium Energy Corporation (a)

    5,586  
    1,036  

Ur-Energy, Inc. (a)

    1,533  
    420  

US Silica Holdings, Inc. (a)

    6,073  
    546  

W&T Offshore, Inc. (a)

    2,654  
    224  

Whiting Petroleum Corporation

    16,542  
    373  

World Fuel Services Corporation

    10,571  
              913,107  
       

Financials — 16.4%

       
    98  

1st Source Corporation

    4,732  
    71  

AFC Gamma, Inc.

    1,402  
    89  

Alerus Financial Corporation

    2,559  
    115  

Allegiance Bancshares, Inc.

    4,928  
    80  

Amalgamated Financial Corporation

    1,374  
    53  

A-Mark Precious Metals, Inc.

    3,800  
    272  

Ambac Financial Group, Inc. (a)

    3,490  
    172  

Amerant Bancorp, Inc.

    5,581  
    493  

American Equity Investment Life Holding Company

    18,581  
    62  

American National Bankshares, Inc.

    2,393  
    45  

American National Group, Inc.

    8,506  
    410  

Ameris Bancorp

    20,295  
    120  

AMERISAFE, Inc.

    5,652  
    44  

Angel Oak Mortgage, Inc.

    715  
    842  

Apollo Commercial Real Estate Finance, Inc.

    10,988  
    863  

Arbor Realty Trust, Inc.

    15,534  
    259  

Ares Commercial Real Estate Corporation

    3,794  
    191  

Argo Group International Holdings, Ltd.

    8,054  
    535  

ARMOUR Residential REIT, Inc.

  4,350  
    86  

Arrow Financial Corporation

    2,954  
    361  

Artisan Partners Asset Management, Inc. - Class A

    13,758  
    115  

AssetMark Financial Holdings, Inc. (a)

    2,701  
    892  

Associated Banc-Corp

    21,756  
    9  

Associated Capital Group, Inc. - Class A

    352  
    120  

Atlantic Capital Bancshares, Inc. (a)

    3,881  
    455  

Atlantic Union Bankshares Corporation

    18,487  
    29  

Atlanticus Holdings Corporation (a)

    1,545  
    352  

Axos Financial, Inc. (a)

    19,268  
    112  

B Riley Financial, Inc.

    6,670  
    327  

Banc of California, Inc.

    6,426  
    103  

BancFirst Corporation

    8,047  
    190  

Banco Latinoamericano de Comercio Exterior SA

    2,936  
    322  

Bancorp, Inc. (a)

    9,435  
    39  

Bank First Corporation

    2,747  
    95  

Bank of Marin Bancorp

    3,355  
    294  

Bank of NT Butterfield & Son, Ltd.

    11,290  
    547  

BankUnited, Inc.

    24,177  
    210  

Banner Corporation

    12,938  
    91  

Bar Harbor Bankshares

    2,616  
    301  

Berkshire Hills Bancorp, Inc.

    9,361  
    1,937  

BGC Partners, Inc. - Class A

    8,871  
    956  

Blackstone Mortgage Trust, Inc. - Class A

    30,382  
    291  

Blucora, Inc. (a)

    5,791  
    176  

Blue Foundry Bancorp (a)

    2,445  
    105  

Blue Ridge Bankshares, Inc.

    1,685  
    126  

Bridgewater Bancshares, Inc. (a)

    2,121  
    333  

Bright Health Group, Inc. (a)

    1,106  
    370  

Brightsphere Investment Group, Inc.

    8,832  
    500  

BrightSpire Capital, Inc.

    4,430  
    788  

Broadmark Realty Capital, Inc.

    6,824  
    473  

Brookline Bancorp, Inc.

    8,107  
    282  

BRP Group, Inc. - Class A (a)

    7,831  
    119  

Business First Bancshares, Inc.

    3,117  
    150  

Byline Bancorp, Inc.

    4,091  
    1,141  

Cadence Bank

    36,078  
    43  

Cambridge Bancorp

    3,790  
    85  

Camden National Corporation

    4,042  
    486  

Cannae Holdings, Inc. (a)

    13,048  

 

The accompanying notes are an integral part of these financial statements.

 

34

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Russell 2000® Risk-Managed Income ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 96.4% (d) (Continued)

       

Financials — 16.4% (Continued)

    48  

Capital Bancorp, Inc.

  $ 1,191  
    78  

Capital City Bank Group, Inc.

    2,189  
    793  

Capitol Federal Financial, Inc.

    8,660  
    123  

Capstar Financial Holdings, Inc.

    2,632  
    160  

Carter Bankshares, Inc. (a)

    2,666  
    451  

Cathay General Bancorp

    21,211  
    113  

CBTX, Inc.

    3,397  
    165  

Central Pacific Financial Corporation

    4,816  
    1,396  

Chimera Investment Corporation

    16,989  
    92  

Citizens & Northern Corporation

    2,279  
    299  

Citizens, Inc. (a)

    1,271  
    91  

City Holding Company

    7,250  
    88  

Civista Bancshares, Inc.

    2,146  
    98  

CNB Financial Corporation

    2,563  
    752  

CNO Financial Group, Inc.

    18,176  
    53  

Coastal Financial Corporation (a)

    2,523  
    154  

Cohen & Steers, Inc.

    12,514  
    472  

Columbia Banking System, Inc.

    17,289  
    233  

Columbia Financial, Inc. (a)

    4,949  
    323  

Community Bank System, Inc.

    23,560  
    93  

Community Trust Bancorp, Inc.

    3,932  
    229  

ConnectOne Bancorp, Inc.

    7,557  
    158  

Cowen, Inc. - Class A

    4,685  
    100  

Crawford & Company - Class A

    771  
    284  

CrossFirst Bankshares, Inc. (a)

    4,467  
    122  

Curo Group Holdings Corporation

    1,631  
    175  

Customers Bancorp, Inc. (a)

    10,771  
    795  

CVB Financial Corporation

    18,746  
    18  

Diamond Hill Investment Group, Inc.

    3,490  
    207  

Dime Community Bancshares, Inc.

    7,036  
    89  

Donegal Group, Inc. - Class A

    1,216  
    174  

Donnelley Financial Solutions, Inc. (a)

    5,585  
    219  

Dynex Capital, Inc.

    3,366  
    197  

Eagle Bancorp, Inc.

    11,804  
    1,050  

Eastern Bankshares, Inc.

    22,953  
    148  

eHealth, Inc. (a)

    2,300  
    323  

Ellington Financial, Inc.

    5,707  
    174  

Employers Holdings, Inc.

    6,762  
    89  

Enact Holdings, Inc.

    1,851  
    174  

Encore Capital Group, Inc. (a)

    11,482  
    217  

Enova International, Inc. (a)

  8,847  
    74  

Enstar Group, Ltd. (a)

    21,092  
    57  

Enterprise Bancorp, Inc.

    2,297  
    213  

Enterprise Financial Services Corporation

    10,531  
    80  

Equity Bancshares, Inc. - Class A

    2,516  
    673  

Essent Group, Ltd.

    29,733  
    303  

EZCORP, Inc. - Class A (a)

    1,815  
    188  

Farmers National Banc Corporation

    3,239  
    200  

FB Financial Corporation

    8,888  
    53  

Federal Agricultural Mortgage Corporation - Class C

    6,556  
    581  

Federated Hermes, Inc.

    18,981  
    23  

Fidelity D&D Bancorp, Inc.

    1,135  
    115  

Finance Of America Companies, Inc. - Class A (a)

    373  
    94  

Financial Institutions, Inc.

    3,002  
    63  

First Bancorp, Inc.

    1,877  
    1,239  

First BanCorp/Puerto Rico

    17,495  
    210  

First Bancorp/Southern Pines, NC

    9,425  
    122  

First Bancshares, Inc.

    4,308  
    95  

First Bank/Hamilton NJ

    1,384  
    312  

First Busey Corporation

    8,564  
    567  

First Commonwealth Financial Corporation

    9,157  
    103  

First Community Bankshares, Inc.

    3,021  
    577  

First Financial Bancorp

    14,183  
    784  

First Financial Bankshares, Inc.

    37,569  
    56  

First Financial Corporation/IN

    2,605  
    246  

First Foundation, Inc.

    6,561  
    56  

First Internet Bancorp

    2,737  
    535  

First Interstate BancSystem, Inc. - Class A

    21,721  
    340  

First Merchants Corporation

    14,872  
    101  

First Mid Bancshares, Inc.

    4,047  
    142  

First of Long Island Corporation

    3,091  
    239  

FirstCash Holdings, Inc.

    17,217  
    74  

Five Star Bancorp

    2,250  
    312  

Flagstar Bancorp, Inc.

    14,221  
    179  

Flushing Financial Corporation

    4,205  
    360  

Focus Financial Partners, Inc. - Class A (a)

    18,014  
    217  

Franklin BSP Realty Trust, Inc.

    2,864  
    43  

FS Bancorp, Inc.

    1,377  
    954  

Fulton Financial Corporation

    17,191  
    32  

GAMCO Investors, Inc. - Class A

    689  
    271  

GCM Grosvenor, Inc. - Class A

    2,707  

 

The accompanying notes are an integral part of these financial statements.

 

35

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Russell 2000® Risk-Managed Income ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 96.4% (d) (Continued)

       

Financials — 16.4% (Continued)

    3,113  

Genworth Financial, Inc. - Class A (a)

  $ 12,639  
    149  

German American Bancorp, Inc.

    5,927  
    672  

Glacier Bancorp, Inc.

    37,229  
    106  

Goosehead Insurance, Inc. - Class A

    9,220  
    325  

Granite Point Mortgage Trust, Inc.

    3,647  
    133  

Great Ajax Corporation

    1,515  
    61  

Great Southern Bancorp, Inc.

    3,747  
    328  

Green Dot Corporation - Class A (a)

    9,397  
    87  

Greenhill & Company, Inc.

    1,538  
    161  

Greenlight Capital Re, Ltd. - Class A (a)

    1,158  
    48  

Guaranty Bancshares, Inc.

    1,679  
    219  

Hamilton Lane, Inc. - Class A

    17,104  
    524  

Hancock Whitney Corporation

    29,176  
    189  

Hanmi Financial Corporation

    4,937  
    466  

Hannon Armstrong Sustainable Infrastructure Capital, Inc.

    22,060  
    289  

HarborOne Bancorp, Inc.

    4,274  
    63  

HBT Financial, Inc.

    1,206  
    35  

HCI Group, Inc.

    2,179  
    246  

Heartland Financial USA, Inc.

    12,207  
    360  

Heritage Commerce Corporation

    4,280  
    214  

Heritage Financial Corporation

    5,611  
    161  

Heritage Insurance Holdings, Inc.

    898  
    381  

Hilltop Holdings, Inc.

    11,781  
    8  

Hingham Institution For Savings

    2,879  
    45  

Home Bancorp, Inc.

    1,764  
    935  

Home BancShares, Inc.

    21,888  
    42  

Home Point Capital, Inc.

    139  
    120  

HomeStreet, Inc.

    6,175  
    89  

HomeTrust Bancshares, Inc.

    2,677  
    711  

Hope Bancorp, Inc.

    12,059  
    258  

Horace Mann Educators Corporation

    10,730  
    262  

Horizon Bancorp, Inc.

    5,261  
    309  

Houlihan Lokey, Inc.

    31,785  
    277  

Independent Bank Corporation

    23,825  
    121  

Independent Bank Corporation/MI

    2,880  
    214  

Independent Bank Group, Inc.

    16,510  
    326  

International Bancshares Corporation

  14,021  
    1,927  

Invesco Mortgage Capital, Inc.

    4,201  
    1,377  

Investors Bancorp, Inc.

    23,051  
    7  

Investors Title Company

    1,341  
    227  

James River Group Holdings, Ltd.

    6,038  
    420  

Kearny Financial Corporation

    5,548  
    131  

Kinsale Capital Group, Inc.

    27,478  
    213  

KKR Real Estate Finance Trust, Inc.

    4,573  
    686  

Ladder Capital Corporation

    7,862  
    294  

Lakeland Bancorp, Inc.

    5,304  
    140  

Lakeland Financial Corporation

    11,229  
    560  

LendingClub Corporation (a)

    10,405  
    70  

LendingTree, Inc. (a)

    8,471  
    182  

Live Oak Bancshares, Inc.

    11,639  
    84  

Luther Burbank Corporation

    1,087  
    154  

Macatawa Bank Corporation

    1,414  
    420  

Maiden Holdings, Ltd. (a)

    1,025  
    280  

MBIA, Inc. (a)

    4,270  
    84  

Mercantile Bank Corporation

    3,097  
    84  

Merchants Bancorp

    2,432  
    191  

Meta Financial Group, Inc.

    10,579  
    112  

Metrocity Bankshares, Inc.

    2,723  
    546  

MetroMile, Inc. (a)

    699  
    56  

Metropolitan Bank Holding Corporation (a)

    5,726  
    2,562  

MFA Financial, Inc.

    10,402  
    84  

Mid Penn Bancorp, Inc.

    2,351  
    126  

Midland States Bancorp, Inc.

    3,699  
    84  

MidWestOne Financial Group, Inc.

    2,536  
    364  

Moelis & Company - Class A

    17,548  
    378  

Mr Cooper Group, Inc. (a)

    19,214  
    56  

MVB Financial Corporation

    2,157  
    168  

National Bank Holdings Corporation - Class A

    7,456  
    14  

National Western Life Group, Inc. - Class A

    2,987  
    938  

Navient Corporation

    16,518  
    252  

NBT Bancorp, Inc.

    9,669  
    98  

Nelnet, Inc. - Class A

    7,894  
    2,240  

New York Mortgage Trust, Inc.

    7,862  
    42  

NI Holdings, Inc. (a)

    753  
    70  

Nicolet Bankshares, Inc. (a)

    6,668  
    490  

NMI Holdings, Inc. - Class A (a)

    11,339  
    266  

Northfield Bancorp, Inc.

    4,176  
    28  

Northrim BanCorp, Inc.

    1,254  

 

The accompanying notes are an integral part of these financial statements.

 

36

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Russell 2000® Risk-Managed Income ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 96.4% (d) (Continued)

       

Financials — 16.4% (Continued)

    756  

Northwest Bancshares, Inc.

  $ 10,644  
    350  

OceanFirst Financial Corporation

    7,833  
    42  

Ocwen Financial Corporation (a)

    1,202  
    294  

OFG Bancorp

    8,285  
    1,787  

Old National Bancorp

    32,662  
    154  

Old Second Bancorp, Inc.

    2,191  
    630  

Open Lending Corporation - Class A (a)

    13,123  
    112  

Oportun Financial Corporation (a)

    1,830  
    56  

Oppenheimer Holdings, Inc. - Class A

    2,419  
    784  

Orchid Island Capital, Inc.

    2,579  
    126  

Origin Bancorp, Inc.

    5,819  
    56  

Orrstown Financial Services, Inc.

    1,368  
    574  

Pacific Premier Bancorp, Inc.

    22,220  
    140  

Palomar Holdings, Inc. (a)

    9,020  
    84  

Park National Corporation

    11,261  
    70  

PCSB Financial Corporation

    1,304  
    98  

Peapack-Gladstone Financial Corporation

    3,697  
    182  

PennyMac Financial Services, Inc.

    10,511  
    574  

PennyMac Mortgage Investment Trust

    8,954  
    154  

Peoples Bancorp, Inc.

    4,817  
    42  

Peoples Financial Services Corporation

    2,007  
    70  

Pioneer Bancorp, Inc. (a)

    739  
    98  

Piper Sandler Companies

    14,505  
    140  

PJT Partners, Inc. - Class A

    8,935  
    252  

PRA Group, Inc.

    11,247  
    70  

Preferred Bank

    5,494  
    210  

Premier Financial Corporation

    6,441  
    146  

Primis Financial Corporation

    2,088  
    308  

ProAssurance Corporation

    7,423  
    392  

PROG Holdings, Inc. (a)

    12,011  
    84  

Provident Bancorp, Inc.

    1,374  
    462  

Provident Financial Services, Inc.

    10,963  
    84  

Pzena Investment Management, Inc. - Class A

    775  
    84  

QCR Holdings, Inc.

    4,692  
    1,078  

Radian Group, Inc.

    25,764  
    84  

RBB Bancorp

    2,026  
    350  

Ready Capital Corporation

    5,198  
    14  

Red River Bancshares, Inc.

  717  
    658  

Redwood Trust, Inc.

    6,837  
    42  

Regional Management Corporation

    2,156  
    336  

Renasant Corporation

    12,267  
    56  

Republic Bancorp, Inc. - Class A

    2,569  
    258  

Republic First Bancorp, Inc. (a)

    1,339  
    238  

RLI Corporation

    24,157  
    224  

S&T Bancorp, Inc.

    6,964  
    84  

Safety Insurance Group, Inc.

    7,009  
    266  

Sandy Spring Bancorp, Inc.

    12,526  
    126  

Sculptor Capital Management, Inc.

    1,614  
    322  

Seacoast Banking Corporation of Florida

    11,801  
    336  

Selective Insurance Group, Inc.

    27,951  
    812  

Selectquote, Inc. (a)

    2,525  
    294  

ServisFirst Bancshares, Inc.

    25,690  
    84  

Sierra Bancorp

    2,255  
    154  

Silvergate Capital Corporation - Class A (a)

    19,724  
    686  

Simmons First National Corporation - Class A

    19,565  
    504  

SiriusPoint, Ltd. (a)

    3,725  
    70  

SmartFinancial, Inc.

    1,826  
    56  

South Plains Financial, Inc.

    1,550  
    42  

Southern First Bancshares, Inc. (a)

    2,397  
    42  

Southern Missouri Bancorp, Inc.

    2,250  
    182  

Southside Bancshares, Inc.

    7,588  
    420  

SouthState Corporation

    37,800  
    70  

Spirit of Texas Bancshares, Inc.

    1,997  
    98  

State Auto Financial Corporation

    5,097  
    224  

StepStone Group, Inc. - Class A

    7,735  
    154  

Stewart Information Services Corporation

    10,454  
    140  

Stock Yards Bancorp, Inc.

    7,486  
    98  

StoneX Group, Inc. (a)

    7,394  
    56  

Summit Financial Group, Inc.

    1,527  
    294  

Texas Capital Bancshares, Inc. (a)

    19,580  
    14  

Third Coast Bancshares, Inc. (a)

    326  
    126  

Tiptree, Inc.

    1,612  
    84  

Tompkins Financial Corporation

    6,644  
    406  

Towne Bank

    12,659  
    350  

TPG RE Finance Trust, Inc.

    4,144  
    98  

Trean Insurance Group, Inc. (a)

    696  
    168  

TriCo Bancshares

    7,291  

 

The accompanying notes are an integral part of these financial statements.

 

37

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Russell 2000® Risk-Managed Income ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 96.4% (d) (Continued)

       

Financials — 16.4% (Continued)

    168  

TriState Capital Holdings, Inc. (a)

  $ 5,578  
    140  

Triumph Bancorp, Inc. (a)

    14,045  
    154  

Trupanion, Inc. (a)

    13,803  
    112  

TrustCo Bank Corporation NY

    3,827  
    378  

Trustmark Corporation

    11,903  
    2,016  

Two Harbors Investment Corporation

    10,201  
    252  

UMB Financial Corporation

    25,669  
    812  

United Bankshares, Inc.

    29,735  
    628  

United Community Banks, Inc.

    24,278  
    126  

United Fire Group, Inc.

    3,479  
    126  

United Insurance Holdings Corporation

    461  
    154  

Universal Insurance Holdings, Inc.

    1,780  
    168  

Univest Financial Corporation

    4,869  
    2,422  

Valley National Bancorp

    33,835  
    140  

Value Line, Inc.

    8,261  
    260  

Velocity Financial, Inc. (a)

    3,325  
    294  

Veritex Holdings, Inc.

    11,945  
    42  

Virtus Investment Partners, Inc.

    10,106  
    168  

Walker & Dunlop, Inc.

    23,243  
    392  

Washington Federal, Inc.

    13,947  
    98  

Washington Trust Bancorp, Inc.

    5,318  
    126  

Waterstone Financial, Inc.

    2,462  
    378  

WesBanco, Inc.

    13,812  
    84  

West BanCorp, Inc.

    2,428  
    154  

Westamerica BanCorp

    9,135  
    784  

WisdomTree Investments, Inc.

    4,414  
    14  

World Acceptance Corporation (a)

    2,751  
    382  

WSFS Financial Corporation

    19,417  
              2,708,328  
       

Health Care — 15.8%

       
    686  

1Life Healthcare, Inc. (a)

    7,416  
    112  

2seventy bio, Inc. (a)

    1,662  
    164  

4D Molecular Therapeutics, Inc. (a)

    2,247  
    56  

89bio, Inc. (a)

    259  
    1,288  

9 Meters Biopharma, Inc. (a)

    703  
    88  

Absci Corporation (a)

    825  
    903  

ACADIA Pharmaceuticals, Inc. (a)

    22,945  
    202  

Accelerate Diagnostics, Inc. (a)

    574  
    305  

Accolade, Inc. (a)

    5,484  
    557  

Accuray, Inc. (a)

    1,933  
    303  

Aclaris Therapeutics, Inc. (a)

  4,515  
    60  

Acumen Pharmaceuticals, Inc. (a)

    352  
    121  

Acutus Medical, Inc. (a)

    197  
    145  

Adagio Therapeutics, Inc. (a)

    970  
    428  

AdaptHealth Corporation (a)

    7,460  
    93  

Addus HomeCare Corporation (a)

    7,909  
    123  

Adicet Bio, Inc. (a)

    1,609  
    500  

Adverum Biotechnologies, Inc. (a)

    670  
    244  

Aeglea BioTherapeutics, Inc. (a)

    676  
    257  

Aerie Pharmaceuticals, Inc. (a)

    2,133  
    58  

Aerovate Therapeutics, Inc. (a)

    567  
    697  

Affimed NV (a)

    3,074  
    1,381  

Agenus, Inc. (a)

    3,729  
    142  

Agiliti, Inc. (a)

    2,557  
    328  

Agios Pharmaceuticals, Inc. (a)

    10,211  
    34  

AirSculpt Technologies, Inc. (a)

    460  
    1,059  

Akebia Therapeutics, Inc. (a)

    2,287  
    157  

Akero Therapeutics, Inc. (a)

    2,784  
    146  

Akouos, Inc. (a)

    780  
    79  

Akoya Biosciences, Inc. (a)

    875  
    1,218  

Alaunos Therapeutics, Inc. (a)

    1,201  
    99  

Albireo Pharma, Inc. (a)

    3,301  
    590  

Aldeyra Therapeutics, Inc. (a)

    2,384  
    354  

Alector, Inc. (a)

    5,607  
    486  

Alignment Healthcare, Inc. (a)

    4,102  
    130  

Aligos Therapeutics, Inc. (a)

    315  
    983  

Alkermes plc (a)

    24,437  
    212  

Allakos, Inc. (a)

    1,185  
    420  

Allogene Therapeutics, Inc. (a)

    3,843  
    179  

Allovir, Inc. (a)

    1,611  
    686  

Allscripts Healthcare Solutions, Inc. (a)

    13,350  
    28  

Alpha Teknova, Inc. (a)

    476  
    421  

Alphatec Holdings, Inc. (a)

    4,639  
    71  

Alpine Immune Sciences, Inc. (a)

    585  
    242  

Altimmune, Inc. (a)

    1,793  
    113  

ALX Oncology Holdings, Inc. (a)

    2,048  
    1,131  

American Well Corporation - Class A (a)

    4,784  
    1,518  

Amicus Therapeutics, Inc. (a)

    12,357  
    275  

AMN Healthcare Services, Inc. (a)

    29,189  
    561  

Amneal Pharmaceuticals, Inc. (a)

    2,541  
    225  

Amphastar Pharmaceuticals, Inc. (a)

    6,235  

 

The accompanying notes are an integral part of these financial statements.

 

38

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Russell 2000® Risk-Managed Income ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 96.4% (d) (Continued)

       

Health Care — 15.8% (Continued)

    1,248  

Ampio Pharmaceuticals, Inc. (a)

  $ 624  
    116  

AnaptysBio, Inc. (a)

    3,546  
    410  

Anavex Life Sciences Corporation (a)

    4,494  
    225  

AngioDynamics, Inc. (a)

    5,294  
    126  

Angion Biomedica Corporation (a)

    234  
    65  

ANI Pharmaceuticals, Inc. (a)

    2,434  
    88  

Anika Therapeutics, Inc. (a)

    2,860  
    198  

Annexon, Inc. (a)

    961  
    971  

Antares Pharma, Inc. (a)

    3,399  
    434  

Apellis Pharmaceuticals, Inc. (a)

    18,458  
    226  

Apollo Medical Holdings, Inc. (a)

    10,875  
    158  

Applied Molecular Transport, Inc. (a)

    1,038  
    103  

Applied Therapeutics, Inc. (a)

    194  
    116  

Apria, Inc. (a)

    4,331  
    189  

Apyx Medical Corporation (a)

    1,913  
    332  

AquaBounty Technologies, Inc. (a)

    528  
    487  

Arbutus Biopharma Corporation (a)

    1,558  
    128  

Arcturus Therapeutics Holdings, Inc. (a)

    3,068  
    266  

Arcus Biosciences, Inc. (a)

    9,895  
    160  

Arcutis Biotherapeutics, Inc. (a)

    2,848  
    603  

Ardelyx, Inc. (a)

    464  
    382  

Arena Pharmaceuticals, Inc. (a)

    36,279  
    619  

Arrowhead Pharmaceuticals, Inc. (a)

    27,236  
    233  

Artivion, Inc. (a)

    4,555  
    274  

Arvinas, Inc. (a)

    17,758  
    1,536  

Asensus Surgical, Inc. (a)

    1,183  
    427  

Aspira Women’s Health, Inc. (a)

    465  
    512  

Atara Biotherapeutics, Inc. (a)

    6,579  
    394  

Atea Pharmaceuticals, Inc. (a)

    2,498  
    533  

Athenex, Inc. (a)

    429  
    1,292  

Athersys, Inc. (a)

    1,159  
    196  

Athira Pharma, Inc. (a)

    1,795  
    749  

Atossa Therapeutics, Inc. (a)

    914  
    162  

Atreca, Inc. - Class A (a)

    292  
    269  

AtriCure, Inc. (a)

    18,682  
    7  

Atrion Corporation

    5,008  
    35  

Aura Biosciences, Inc. (a)

    627  
    364  

Avalo Therapeutics, Inc. (a)

    266  
    286  

Avanos Medical, Inc. (a)

    10,122  
    240  

Aveanna Healthcare Holdings, Inc. (a)

    1,260  
    359  

Avid Bioservices, Inc. (a)

  7,352  
    224  

Avidity Biosciences, Inc. (a)

    3,799  
    140  

Avita Medical, Inc. (a)

    1,288  
    230  

Avrobio, Inc. (a)

    334  
    257  

Axogen, Inc. (a)

    2,400  
    272  

Axonics, Inc. (a)

    15,439  
    162  

Axsome Therapeutics, Inc. (a)

    4,554  
    309  

Beam Therapeutics, Inc. (a)

    24,210  
    275  

Berkeley Lights, Inc. (a)

    2,109  
    136  

Beyondspring, Inc. (a)

    328  
    94  

BioAtla, Inc. (a)

    609  
    1,083  

BioCryst Pharmaceuticals, Inc. (a)

    17,989  
    448  

BioDelivery Sciences International, Inc. (a)

    2,500  
    85  

Biodesix, Inc. (a)

    202  
    323  

Biohaven Pharmaceutical Holding Company, Ltd. (a)

    38,344  
    60  

BioLife Solutions, Inc. (a)

    1,410  
    120  

Biomea Fusion, Inc. (a)

    769  
    1,849  

Bionano Genomics, Inc. (a)

    3,957  
    170  

Bioventus, Inc. - Class A (a)

    2,210  
    106  

Bioxcel Therapeutics, Inc. (a)

    1,941  
    127  

Black Diamond Therapeutics, Inc. (a)

    399  
    384  

Bluebird Bio, Inc. (a)

    2,319  
    345  

Blueprint Medicines Corporation (a)

    20,890  
    135  

Bolt Biotherapeutics, Inc. (a)

    471  
    658  

Bridgebio Pharma, Inc. (a)

    5,132  
    1,107  

Brookdale Senior Living, Inc. (a)

    7,616  
    182  

Brooklyn ImmunoTherapeutics, Inc. (a)

    411  
    760  

Butterfly Network, Inc. (a)

    3,914  
    230  

C4 Therapeutics, Inc. (a)

    5,159  
    274  

Cara Therapeutics, Inc. (a)

    2,841  
    240  

Cardiff Oncology, Inc. (a)

    646  
    239  

Cardiovascular Systems, Inc. (a)

    5,033  
    312  

CareDx, Inc. (a)

    11,975  
    123  

Caribou Biosciences, Inc. (a)

    1,228  
    210  

Cassava Sciences, Inc. (a)

    8,927  
    130  

Castle Biosciences, Inc. (a)

    5,628  
    596  

Catalyst Pharmaceuticals, Inc. (a)

    4,649  
    60  

Celcuity, Inc. (a)

    606  
    281  

Celldex Therapeutics, Inc. (a)

    8,402  
    229  

CEL-SCI Corporation (a)

    1,324  
    74  

Century Therapeutics, Inc. (a)

    1,043  
    234  

Cerevel Therapeutics Holdings, Inc. (a)

    6,194  

 

The accompanying notes are an integral part of these financial statements.

 

39

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Russell 2000® Risk-Managed Income ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 96.4% (d) (Continued)

       

Health Care — 15.8% (Continued)

    1,019  

Cerus Corporation (a)

  $ 5,982  
    326  

ChemoCentryx, Inc. (a)

    9,891  
    434  

Chimerix, Inc. (a)

    2,448  
    232  

Chinook Therapeutics, Inc. (a)

    2,960  
    296  

ChromaDex Corporation (a)

    808  
    675  

Citius Pharmaceuticals, Inc. (a)

    1,040  
    115  

ClearPoint Neuro, Inc. (a)

    1,006  
    144  

Clene, Inc. (a)

    445  
    679  

Clovis Oncology, Inc. (a)

    1,399  
    49  

Codex DNA, Inc. (a)

    500  
    369  

Codexis, Inc. (a)

    7,354  
    107  

Codiak Biosciences, Inc. (a)

    505  
    228  

Cogent Biosciences, Inc. (a)

    1,352  
    379  

Coherus Biosciences, Inc. (a)

    4,468  
    211  

Collegium Pharmaceutical, Inc. (a)

    4,108  
    747  

Community Health Systems, Inc. (a)

    7,851  
    87  

Computer Programs and Systems, Inc. (a)

    2,678  
    174  

CONMED Corporation

    25,431  
    74  

Convey Health Solutions Holdings, Inc. (a)

    428  
    546  

Corcept Therapeutics, Inc. (a)

    12,170  
    232  

CorMedix, Inc. (a)

    1,132  
    115  

Cortexyme, Inc. (a)

    500  
    53  

CorVel Corporation (a)

    8,430  
    630  

Covetrus, Inc. (a)

    11,164  
    268  

Crinetics Pharmaceuticals, Inc. (a)

    5,365  
    213  

Cross Country Healthcare, Inc. (a)

    4,756  
    241  

CryoPort, Inc. (a)

    8,274  
    193  

Cue Biopharma, Inc. (a)

    1,119  
    73  

Cue Health, Inc. (a)

    604  
    150  

Cullinan Oncology, Inc. (a)

    2,151  
    522  

Curis, Inc. (a)

    1,749  
    105  

Cutera, Inc. (a)

    4,028  
    45  

CVRx, Inc. (a)

    395  
    435  

Cymabay Therapeutics, Inc. (a)

    1,383  
    46  

Cyteir Therapeutics, Inc. (a)

    267  
    103  

Cytek Biosciences, Inc. (a)

    1,405  
    455  

Cytokinetics, Inc. (a)

    16,071  
    665  

CytomX Therapeutics, Inc. (a)

    2,547  
    267  

CytoSorbents Corporation (a)

    1,033  
    80  

DarioHealth Corporation (a)

    584  
    70  

Day One Biopharmaceuticals, Inc. (a)

  956  
    232  

Deciphera Pharmaceuticals, Inc. (a)

    1,789  
    579  

Denali Therapeutics, Inc. (a)

    18,852  
    160  

DermTech, Inc. (a)

    2,046  
    155  

Design Therapeutics, Inc. (a)

    2,103  
    86  

DICE Therapeutics, Inc. (a)

    1,590  
    1,353  

Durect Corporation (a)

    897  
    711  

Dynavax Technologies Corporation (a)

    8,717  
    185  

Dyne Therapeutics, Inc. (a)

    1,585  
    70  

Eagle Pharmaceuticals, Inc. (a)

    3,317  
    187  

Eargo, Inc. (a)

    899  
    238  

Edgewise Therapeutics, Inc. (a)

    2,806  
    422  

Editas Medicine, Inc. (a)

    7,225  
    201  

Eiger BioPharmaceuticals, Inc. (a)

    804  
    44  

Eliem Therapeutics, Inc. (a)

    396  
    297  

Emergent BioSolutions, Inc. (a)

    12,290  
    115  

Enanta Pharmaceuticals, Inc. (a)

    8,098  
    1,368  

Endo International plc (a)

    4,254  
    313  

Ensign Group, Inc.

    26,305  
    56  

Entrada Therapeutics, Inc. (a)

    679  
    554  

Epizyme, Inc. (a)

    825  
    145  

Erasca, Inc. (a)

    1,798  
    169  

Esperion Therapeutics, Inc. (a)

    691  
    179  

Evelo Biosciences, Inc. (a)

    559  
    497  

Evolent Health, Inc. - Class A (a)

    13,245  
    189  

Evolus, Inc. (a)

    1,729  
    42  

Exagen, Inc. (a)

    319  
    129  

EyePoint Pharmaceuticals, Inc. (a)

    1,284  
    468  

Fate Therapeutics, Inc. (a)

    16,169  
    527  

FibroGen, Inc. (a)

    7,415  
    43  

Finch Therapeutics Group, Inc. (a)

    360  
    478  

Fluidigm Corporation (a)

    1,759  
    116  

Foghorn Therapeutics, Inc. (a)

    1,115  
    117  

Forian, Inc. (a)

    813  
    207  

Forma Therapeutics Holdings, Inc. (a)

    2,041  
    64  

Forte Biosciences, Inc. (a)

    81  
    439  

Fortress Biotech, Inc. (a)

    707  
    200  

Frequency Therapeutics, Inc. (a)

    568  
    171  

Fulcrum Therapeutics, Inc. (a)

    1,881  
    123  

Fulgent Genetics, Inc. (a)

    7,663  
    238  

G1 Therapeutics, Inc. (a)

    2,525  
    130  

Gemini Therapeutics, Inc. (a)

    177  

 

The accompanying notes are an integral part of these financial statements.

 

40

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Russell 2000® Risk-Managed Income ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 96.4% (d) (Continued)

       

Health Care — 15.8% (Continued)

    254  

Generation Bio Company (a)

  $ 1,300  
    1,913  

Geron Corporation (a)

    2,085  
    274  

Glaukos Corporation (a)

    15,155  
    367  

Global Blood Therapeutics, Inc. (a)

    11,083  
    382  

Gossamer Bio, Inc. (a)

    3,449  
    105  

Graphite Bio, Inc. (a)

    966  
    25  

Greenwich Lifesciences, Inc. (a)

    487  
    282  

Gritstone bio, Inc. (a)

    1,438  
    107  

GT Biopharma, Inc. (a)

    340  
    323  

Haemonetics Corporation (a)

    18,640  
    833  

Halozyme Therapeutics, Inc. (a)

    29,547  
    233  

Hanger, Inc. (a)

    4,222  
    137  

Harmony Biosciences Holdings, Inc. (a)

    5,475  
    106  

Harpoon Therapeutics, Inc. (a)

    435  
    240  

Harvard Bioscience, Inc. (a)

    1,296  
    317  

Health Catalyst, Inc. (a)

    8,597  
    469  

HealthEquity, Inc. (a)

    25,190  
    150  

HealthStream, Inc. (a)

    3,074  
    566  

Heron Therapeutics, Inc. (a)

    4,019  
    59  

Heska Corporation (a)

    8,378  
    262  

Homology Medicines, Inc. (a)

    914  
    122  

Hookipa Pharma, Inc. (a)

    293  
    344  

Humanigen, Inc. (a)

    698  
    1,373  

iBio, Inc. (a)

    439  
    134  

iCAD, Inc. (a)

    647  
    86  

Icosavax, Inc. (a)

    1,498  
    191  

Ideaya Biosciences, Inc. (a)

    2,521  
    50  

IGM Biosciences, Inc. (a)

    834  
    155  

Ikena Oncology, Inc. (a)

    947  
    57  

Imago Biosciences, Inc. (a)

    1,342  
    49  

Immuneering Corporation - Class A (a)

    366  
    112  

Immunic, Inc. (a)

    1,305  
    448  

ImmunityBio, Inc. (a)

    3,064  
    1,190  

ImmunoGen, Inc. (a)

    6,712  
    247  

Immunovant, Inc. (a)

    1,378  
    31  

Impel Neuropharma, Inc. (a)

    224  
    196  

Inari Medical, Inc. (a)

    17,244  
    566  

Infinity Pharmaceuticals, Inc. (a)

    623  
    109  

InfuSystem Holdings, Inc. (a)

    1,252  
    178  

Inhibrx, Inc. (a)

    3,827  
    108  

Innovage Holding Corporation (a)

    532  
    272  

Innoviva, Inc. (a)

    5,225  
    122  

Inogen, Inc. (a)

    4,257  
    70  

Inotiv, Inc. (a)

  1,850  
    1,345  

Inovio Pharmaceuticals, Inc. (a)

    4,358  
    101  

Inozyme Pharma, Inc. (a)

    583  
    709  

Insmed, Inc. (a)

    16,945  
    161  

Inspire Medical Systems, Inc. (a)

    39,293  
    294  

Instil Bio, Inc. (a)

    3,155  
    200  

Integer Holdings Corporation (a)

    16,774  
    364  

Intellia Therapeutics, Inc. (a)

    35,981  
    155  

Intercept Pharmaceuticals, Inc. (a)

    2,210  
    196  

Intersect ENT, Inc. (a)

    5,331  
    356  

Intra-Cellular Therapies, Inc. (a)

    19,750  
    213  

Invacare Corporation (a)

    437  
    1,120  

Invitae Corporation (a)

    12,085  
    38  

iRadimed Corporation

    1,889  
    171  

iRhythm Technologies, Inc. (a)

    22,105  
    886  

Ironwood Pharmaceuticals, Inc. (a)

    9,533  
    37  

IsoPlexis Corporation (a)

    179  
    119  

iTeos Therapeutics, Inc. (a)

    4,299  
    676  

IVERIC bio, Inc. (a)

    10,843  
    87  

Janux Therapeutics, Inc. (a)

    1,503  
    78  

Joint Corporation (a)

    3,198  
    192  

Jounce Therapeutics, Inc. (a)

    1,432  
    305  

Kala Pharmaceuticals, Inc. (a)

    202  
    120  

Kaleido Biosciences, Inc. (a)

    179  
    131  

KalVista Pharmaceuticals, Inc. (a)

    2,103  
    127  

Karuna Therapeutics, Inc. (a)

    13,335  
    403  

Karyopharm Therapeutics, Inc. (a)

    4,163  
    158  

KemPharm, Inc. (a)

    937  
    89  

Keros Therapeutics, Inc. (a)

    4,779  
    213  

Kezar Life Sciences, Inc. (a)

    3,163  
    189  

Kiniksa Pharmaceuticals, Ltd. - Class A (a)

    1,935  
    156  

Kinnate Biopharma, Inc. (a)

    1,214  
    198  

Kodiak Sciences, Inc. (a)

    1,711  
    226  

Kronos Bio, Inc. (a)

    1,702  
    109  

Krystal Biotech, Inc. (a)

    6,927  
    358  

Kura Oncology, Inc. (a)

    5,681  
    193  

Kymera Therapeutics, Inc. (a)

    7,674  
    28  

Landos Biopharma, Inc. (a)

    60  
    378  

Lantheus Holdings, Inc. (a)

    18,076  
    112  

LeMaitre Vascular, Inc.

    5,317  
    392  

Lexicon Pharmaceuticals, Inc. (a)

    811  
    154  

LHC Group, Inc. (a)

    20,970  

 

The accompanying notes are an integral part of these financial statements.

 

41

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Russell 2000® Risk-Managed Income ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 96.4% (d) (Continued)

       

Health Care — 15.8% (Continued)

    252  

LifeStance Health Group, Inc. (a)

  $ 2,376  
    84  

Ligand Pharmaceuticals, Inc. (a)

    8,502  
    770  

Lineage Cell Therapeutics, Inc. (a)

    1,086  
    308  

LivaNova plc (a)

    24,276  
    28  

Lucid Diagnostics, Inc. (a)

    105  
    126  

Lyell Immunopharma, Inc. (a)

    912  
    350  

MacroGenics, Inc. (a)

    3,273  
    70  

Madrigal Pharmaceuticals, Inc. (a)

    6,500  
    168  

Magenta Therapeutics, Inc. (a)

    529  
    1,526  

MannKind Corporation (a)

    3,998  
    196  

Marinus Pharmaceuticals, Inc. (a)

    1,533  
    532  

MaxCyte, Inc. (a)

    3,703  
    448  

MEDNAX, Inc. (a)

    10,515  
    168  

Medpace Holdings, Inc. (a)

    25,699  
    602  

MEI Pharma, Inc. (a)

    1,300  
    140  

MeiraGTx Holdings plc (a)

    2,006  
    266  

Meridian Bioscience, Inc. (a)

    6,730  
    308  

Merit Medical Systems, Inc. (a)

    20,029  
    406  

Mersana Therapeutics, Inc. (a)

    1,782  
    28  

Mesa Laboratories, Inc.

    7,149  
    672  

MiMedx Group, Inc. (a)

    3,394  
    1,862  

Mind Medicine MindMed, Inc. (a)

    2,272  
    11  

MiNK Therapeutics, Inc. (a)

    33  
    14  

Mirum Pharmaceuticals, Inc. (a)

    332  
    70  

ModivCare, Inc. (a)

    8,260  
    224  

Molecular Templates, Inc. (a)

    526  
    72  

Monte Rosa Therapeutics, Inc. (a)

    1,032  
    126  

Morphic Holding, Inc. (a)

    5,022  
    2,380  

Multiplan Corporation (a)

    8,949  
    406  

Mustang Bio, Inc. (a)

    353  
    462  

Myriad Genetics, Inc. (a)

    11,264  
    252  

NanoString Technologies, Inc. (a)

    8,936  
    154  

NantHealth, Inc. (a)

    128  
    70  

National HealthCare Corporation

    4,551  
    84  

National Research Corporation

    3,342  
    196  

Natus Medical, Inc. (a)

    5,453  
    644  

Neogen Corporation (a)

    22,990  
    644  

NeoGenomics, Inc. (a)

    13,788  
    210  

Neoleukin Therapeutics, Inc. (a)

    542  
    140  

Neuronetics, Inc. (a)

    468  
    42  

NeuroPace, Inc. (a)

  328  
    210  

Nevro Corporation (a)

    15,057  
    98  

NexImmune, Inc. (a)

    243  
    336  

NextGen Healthcare, Inc. (a)

    6,562  
    182  

NGM Biopharmaceuticals, Inc. (a)

    2,705  
    70  

Nkarta, Inc. (a)

    634  
    168  

Nurix Therapeutics, Inc. (a)

    2,717  
    56  

Nuvalent, Inc. - Class A (a)

    837  
    308  

NuVasive, Inc. (a)

    16,669  
    994  

Nuvation Bio, Inc. (a)

    5,030  
    1,050  

Ocugen, Inc. (a)

    3,696  
    406  

Ocular Therapeutix, Inc. (a)

    2,265  
    140  

Olema Pharmaceuticals, Inc. (a)

    655  
    42  

Omega Therapeutics, Inc. (a)

    499  
    308  

Omeros Corporation (a)

    2,218  
    252  

Omnicell, Inc. (a)

    32,578  
    336  

Oncocyte Corporation (a)

    491  
    126  

Oncorus, Inc. (a)

    266  
    252  

Oncternal Therapeutics, Inc. (a)

    461  
    42  

Ontrak, Inc. (a)

    113  
    2,352  

OPKO Health, Inc. (a)

    7,362  
    98  

OptimizeRx Corporation (a)

    4,438  
    952  

Option Care Health, Inc. (a)

    24,466  
    168  

Oramed Pharmaceuticals, Inc. (a)

    1,730  
    448  

OraSure Technologies, Inc. (a)

    3,494  
    224  

Organogenesis Holdings, Inc. (a)

    1,667  
    182  

ORIC Pharmaceuticals, Inc. (a)

    1,412  
    728  

Ortho Clinical Diagnostics Holdings plc (a)

    12,878  
    112  

Orthofix Medical, Inc. (a)

    3,806  
    84  

OrthoPediatrics Corporation (a)

    4,708  
    490  

Outlook Therapeutics, Inc. (a)

    799  
    266  

Outset Medical, Inc. (a)

    11,696  
    420  

Owens & Minor, Inc.

    18,543  
    56  

Oyster Point Pharma, Inc. (a)

    558  
    1,120  

Pacific Biosciences of California, Inc. (a)

    13,350  
    252  

Pacira BioSciences, Inc. (a)

    16,806  
    56  

Paragon 28, Inc. (a)

    913  
    266  

Paratek Pharmaceuticals, Inc. (a)

    936  
    210  

Passage Bio, Inc. (a)

    697  
    518  

Patterson Companies, Inc.

    15,488  
    420  

PAVmed, Inc. (a)

    643  
    140  

Pennant Group, Inc. (a)

    2,275  
    196  

Personalis, Inc. (a)

    2,058  

 

The accompanying notes are an integral part of these financial statements.

 

42

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Russell 2000® Risk-Managed Income ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 96.4% (d) (Continued)

       

Health Care — 15.8% (Continued)

    154  

PetIQ, Inc. (a)

  $ 3,055  
    112  

Phathom Pharmaceuticals, Inc. (a)

    2,031  
    126  

Phibro Animal Health Corporation - Class A

    2,684  
    364  

Phreesia, Inc. (a)

    11,208  
    126  

Pliant Therapeutics, Inc. (a)

    1,130  
    154  

PMV Pharmaceuticals, Inc. (a)

    2,439  
    28  

Portage Biotech, Inc. (a)

    223  
    154  

Poseida Therapeutics, Inc. (a)

    562  
    196  

Praxis Precision Medicines, Inc. (a)

    2,568  
    546  

Precigen, Inc. (a)

    1,229  
    325  

Precision BioSciences, Inc. (a)

    1,381  
    56  

Prelude Therapeutics, Inc. (a)

    494  
    308  

Prestige Consumer Healthcare, Inc. (a)

    18,335  
    84  

Privia Health Group, Inc. (a)

    2,162  
    42  

PROCEPT BioRobotics Corporation (a)

    1,049  
    378  

Progyny, Inc. (a)

    14,878  
    154  

Prometheus Biosciences, Inc. (a)

    6,705  
    266  

Protagonist Therapeutics, Inc. (a)

    6,458  
    210  

Prothena Corporation plc (a)

    7,266  
    322  

Provention Bio, Inc. (a)

    2,019  
    420  

PTC Therapeutics, Inc. (a)

    14,750  
    140  

Pulmonx Corporation (a)

    3,676  
    70  

Pulse Biosciences, Inc. (a)

    356  
    182  

Puma Biotechnology, Inc. (a)

    419  
    56  

Pyxis Oncology, Inc. (a)

    340  
    168  

Quanterix Corporation (a)

    5,668  
    476  

Quotient, Ltd. (a)

    666  
    700  

R1 RCM, Inc. (a)

    19,033  
    546  

Radius Health, Inc. (a)

    4,543  
    266  

RadNet, Inc. (a)

    6,562  
    84  

Rain Therapeutics, Inc. (a)

    502  
    42  

Rallybio Corporation (a)

    462  
    42  

Rapid Micro Biosystems, Inc. - Class A (a)

    294  
    112  

RAPT Therapeutics, Inc. (a)

    2,240  
    266  

Reata Pharmaceuticals, Inc. - Class A (a)

    8,709  
    672  

Recursion Pharmaceuticals, Inc. - Class A (a)

    7,358  
    224  

REGENXBIO, Inc. (a)

    5,871  
    392  

Relay Therapeutics, Inc. (a)

    9,451  
    70  

Relmada Therapeutics, Inc. (a)

    1,436  
    42  

Reneo Pharmaceuticals, Inc. (a)

  202  
    168  

Replimune Group, Inc. (a)

    2,695  
    98  

Retractable Technologies, Inc. (a)

    465  
    378  

Revance Therapeutics, Inc. (a)

    5,129  
    350  

REVOLUTION Medicines, Inc. (a)

    6,622  
    238  

Rhythm Pharmaceuticals, Inc. (a)

    1,814  
    1,008  

Rigel Pharmaceuticals, Inc. (a)

    2,530  
    238  

Rocket Pharmaceuticals, Inc. (a)

    4,239  
    252  

Rubius Therapeutics, Inc. (a)

    1,257  
    42  

RxSight, Inc. (a)

    564  
    462  

Sana Biotechnology, Inc. (a)

    2,985  
    714  

Sangamo Therapeutics, Inc. (a)

    4,177  
    168  

Scholar Rock Holding Corporation (a)

    2,923  
    252  

Schrodinger, Inc. (a)

    8,760  
    182  

SeaSpine Holdings Corporation (a)

    2,306  
    546  

Seelos Therapeutics, Inc. (a)

    579  
    210  

Seer, Inc. (a)

    3,217  
    658  

Select Medical Holdings Corporation

    15,233  
    532  

Selecta Biosciences, Inc. (a)

    984  
    126  

Sensei Biotherapeutics, Inc. (a)

    455  
    2,422  

Senseonics Holdings, Inc. (a)

    4,360  
    14  

Sera Prognostics, Inc. - Class A (a)

    75  
    420  

Seres Therapeutics, Inc. (a)

    3,360  
    1,288  

Sesen Bio, Inc. (a)

    817  
    98  

Sharps Compliance Corporation (a)

    604  
    140  

Shattuck Labs, Inc. (a)

    700  
    196  

Shockwave Medical, Inc. (a)

    34,736  
    182  

SI-BONE, Inc. (a)

    4,015  
    322  

Sientra, Inc. (a)

    911  
    266  

SIGA Technologies, Inc. (a)

    1,596  
    56  

Sight Sciences, Inc. (a)

    975  
    84  

Sigilon Therapeutics, Inc. (a)

    122  
    196  

Silk Road Medical, Inc. (a)

    7,277  
    112  

Silverback Therapeutics, Inc. (a)

    482  
    84  

Simulations Plus, Inc.

    3,309  
    70  

Singular Genomics Systems, Inc. (a)

    576  
    364  

SOC Telemed, Inc. (a)

    1,070  
    336  

Solid Biosciences, Inc. (a)

    274  
    1,512  

Sorrento Therapeutics, Inc. (a)

    3,825  
    868  

Spectrum Pharmaceuticals, Inc. (a)

    590  

 

The accompanying notes are an integral part of these financial statements.

 

43

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Russell 2000® Risk-Managed Income ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 96.4% (d) (Continued)

       

Health Care — 15.8% (Continued)

    126  

Spero Therapeutics, Inc. (a)

  $ 1,210  
    140  

SpringWorks Therapeutics, Inc. (a)

    7,923  
    42  

Spruce Biosciences, Inc. (a)

    95  
    126  

SQZ Biotechnologies Company (a)

    664  
    280  

STAAR Surgical Company (a)

    22,210  
    280  

Stereotaxis, Inc. (a)

    1,294  
    112  

Stoke Therapeutics, Inc. (a)

    2,184  
    154  

Summit Therapeutics, Inc. (a)

    422  
    294  

Supernus Pharmaceuticals, Inc. (a)

    9,393  
    182  

Surface Oncology, Inc. (a)

    655  
    182  

Surgery Partners, Inc. (a)

    9,513  
    70  

Surmodics, Inc. (a)

    3,142  
    266  

Sutro Biopharma, Inc. (a)

    2,373  
    252  

Syndax Pharmaceuticals, Inc. (a)

    3,929  
    336  

Syros Pharmaceuticals, Inc. (a)

    433  
    126  

Tabula Rasa HealthCare, Inc. (a)

    718  
    112  

Tactile Systems Technology, Inc. (a)

    2,280  
    112  

Talaris Therapeutics, Inc. (a)

    785  
    98  

Talis Biomedical Corporation (a)

    205  
    42  

Tarsus Pharmaceuticals, Inc. (a)

    740  
    112  

Taysha Gene Therapies, Inc. (a)

    713  
    168  

TCR2 Therapeutics, Inc. (a)

    455  
    84  

Tenaya Therapeutics, Inc. (a)

    979  
    616  

Tenet Healthcare Corporation (a)

    52,971  
    84  

Terns Pharmaceuticals, Inc. (a)

    279  
    756  

TG Therapeutics, Inc. (a)

    7,462  
    1,890  

TherapeuticsMD, Inc. (a)

    452  
    294  

Theravance Biopharma, Inc. (a)

    2,961  
    70  

Theseus Pharmaceuticals, Inc. (a)

    707  
    266  

Tivity Health, Inc. (a)

    7,256  
    2,702  

Tonix Pharmaceuticals Holding Corporation (a)

    500  
    140  

TransMedics Group, Inc. (a)

    2,593  
    350  

Travere Therapeutics, Inc. (a)

    9,541  
    168  

Treace Medical Concepts, Inc. (a)

    3,619  
    868  

Trevena, Inc. (a)

    397  
    238  

Turning Point Therapeutics, Inc. (a)

    7,535  
    266  

Twist Bioscience Corporation (a)

    14,880  
    70  

Tyra Biosciences, Inc. (a)

    830  
    112  

UroGen Pharma, Ltd. (a)

  672  
    70  

US Physical Therapy, Inc.

    6,438  
    14  

Utah Medical Products, Inc.

    1,260  
    322  

Vanda Pharmaceuticals, Inc. (a)

    3,658  
    126  

Vapotherm, Inc. (a)

    1,914  
    224  

Varex Imaging Corporation (a)

    5,295  
    672  

Vaxart, Inc. (a)

    3,414  
    224  

Vaxcyte, Inc. (a)

    5,190  
    966  

VBI Vaccines, Inc. (a)

    1,439  
    56  

Ventyx Biosciences, Inc. (a)

    655  
    70  

Vera Therapeutics, Inc. (a)

    1,625  
    378  

Veracyte, Inc. (a)

    10,508  
    994  

Verastem, Inc. (a)

    1,193  
    266  

Vericel Corporation (a)

    10,962  
    70  

Verrica Pharmaceuticals, Inc. (a)

    587  
    84  

Verve Therapeutics, Inc. (a)

    2,743  
    196  

Viemed Healthcare, Inc. (a)

    753  
    714  

ViewRay, Inc. (a)

    2,970  
    378  

Viking Therapeutics, Inc. (a)

    1,266  
    84  

Vincerx Pharma, Inc. (a)

    426  
    322  

Vir Biotechnology, Inc. (a)

    8,111  
    210  

Viracta Therapeutics, Inc. (a)

    573  
    1,050  

VistaGen Therapeutics, Inc. (a)

    1,470  
    98  

Vor BioPharma, Inc. (a)

    885  
    252  

WaVe Life Sciences, Ltd. (a)

    619  
    176  

Werewolf Therapeutics, Inc. (a)

    1,260  
    84  

XBiotech, Inc.

    828  
    336  

Xencor, Inc. (a)

    10,520  
    42  

Xilio Therapeutics, Inc. (a)

    495  
    28  

XOMA Corporation (a)

    614  
    196  

Y-mAbs Therapeutics, Inc. (a)

    1,786  
    210  

Zentalis Pharmaceuticals, Inc. (a)

    10,477  
    308  

Zogenix, Inc. (a)

    8,088  
    123  

Zynex, Inc.

    774  
              2,616,796  
       

Industrials — 14.9%

       
    257  

AAON, Inc.

    15,050  
    201  

AAR Corporation (a)

    9,033  
    414  

ABM Industries, Inc.

    18,560  
    303  

Acacia Research Corporation (a)

    1,160  
    577  

ACCO Brands Corporation

    4,962  
    102  

Advent Technologies Holdings, Inc. (a)

    264  
    452  

Aerojet Rocketdyne Holdings, Inc.

    17,515  
    141  

AeroVironment, Inc. (a)

    10,018  
    56  

AerSale Corporation (a)

    877  

 

The accompanying notes are an integral part of these financial statements.

 

44

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Russell 2000® Risk-Managed Income ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 96.4% (d) (Continued)

       

Industrials — 14.9% (Continued)

    406  

AgEagle Aerial Systems, Inc. (a)

  $ 475  
    355  

Air Transport Services Group, Inc. (a)

    11,186  
    60  

Alamo Group, Inc.

    8,347  
    179  

Albany International Corporation - Class A

    15,720  
    88  

Allegiant Travel Company (a)

    15,320  
    74  

Allied Motion Technologies, Inc.

    2,577  
    116  

Alta Equipment Group, Inc. (a)

    1,463  
    397  

Altra Industrial Motion Corporation

    16,861  
    187  

Ameresco, Inc. - Class A (a)

    12,015  
    164  

American Superconductor Corporation (a)

    1,392  
    99  

American Woodmark Corporation (a)

    5,304  
    1,208  

API Group Corporation (a)

    26,057  
    141  

Apogee Enterprises, Inc.

    6,355  
    235  

Applied Industrial Technologies, Inc.

    23,759  
    155  

ArcBest Corporation

    14,365  
    300  

Arcosa, Inc.

    15,801  
    90  

Argan, Inc.

    3,500  
    117  

Aris Water Solution, Inc. - Class A

    1,709  
    803  

Array Technologies, Inc. (a)

    9,026  
    311  

ASGN, Inc. (a)

    34,456  
    141  

Astec Industries, Inc.

    7,022  
    154  

Astronics Corporation (a)

    2,265  
    286  

Atkore, Inc. (a)

    29,088  
    172  

Atlas Air Worldwide Holdings, Inc. (a)

    13,478  
    88  

Atlas Technical Consultants, Inc. (a)

    1,010  
    245  

Avis Budget Group, Inc. (a)

    44,943  
    149  

AZZ, Inc.

    7,335  
    343  

Babcock & Wilcox Enterprises, Inc. (a)

    2,404  
    288  

Barnes Group, Inc.

    13,378  
    44  

Barrett Business Services, Inc.

    2,647  
    341  

Beacon Roofing Supply, Inc. (a)

    20,354  
    58  

Beam Global (a)

    842  
    227  

Blink Charging Company (a)

    5,580  
    873  

Bloom Energy Corporation - Class A (a)

    19,381  
    101  

Blue Bird Corporation (a)

    2,152  
    56  

BlueLinx Holdings, Inc. (a)

    5,005  
    235  

Boise Cascade Company

    18,786  
    286  

Brady Corporation - Class A

  13,179  
    266  

BrightView Holdings, Inc. (a)

    3,594  
    299  

Brink’s Company

    20,948  
    120  

Byrna Technologies, Inc. (a)

    1,201  
    38  

Cadre Holdings, Inc.

    837  
    133  

Caesarstone, Ltd.

    1,595  
    309  

Casella Waste Systems, Inc. - Class A (a)

    23,298  
    302  

CBIZ, Inc. (a)

    11,751  
    191  

CECO Environmental Corporation (a)

    1,028  
    229  

Chart Industries, Inc. (a)

    33,067  
    106  

Cimpress plc (a)

    6,677  
    109  

CIRCOR International, Inc. (a)

    2,936  
    169  

Columbus McKinnon Corporation

    7,713  
    216  

Comfort Systems USA, Inc.

    18,572  
    198  

Commercial Vehicle Group, Inc. (a)

    1,582  
    8  

CompX International, Inc.

    177  
    161  

Concrete Pumping Holdings, Inc. (a)

    1,198  
    168  

Construction Partners, Inc. - Class (a)

    4,496  
    707  

CoreCivic, Inc. (a)

    6,441  
    324  

Cornerstone Building Brands, Inc. (a)

    7,154  
    319  

Costamare, Inc.

    4,307  
    73  

Covenant Logistics Group, Inc. (a)

    1,643  
    44  

CRA International, Inc.

    3,909  
    91  

CSW Industrials, Inc.

    10,950  
    281  

Custom Truck One Source, Inc. (a)

    2,209  
    242  

Daseke, Inc. (a)

    3,037  
    255  

Deluxe Corporation

    7,933  
    1,167  

Desktop Metal, Inc. - Class A (a)

    4,855  
    126  

Douglas Dynamics, Inc.

    4,629  
    65  

Ducommun, Inc. (a)

    3,283  
    108  

DXP Enterprises, Inc. (a)

    3,101  
    179  

Dycom Industries, Inc. (a)

    15,584  
    53  

Eagle Bulk Shipping, Inc.

    2,795  
    326  

EMCOR Group, Inc.

    37,665  
    112  

Encore Wire Corporation

    13,039  
    254  

Energy Recovery, Inc. (a)

    4,826  
    408  

Enerpac Tool Group Corporation

    7,038  
    261  

EnerSys

    18,983  
    155  

Ennis, Inc.

    2,911  
    126  

EnPro Industries, Inc.

    13,915  

 

The accompanying notes are an integral part of these financial statements.

 

45

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Russell 2000® Risk-Managed Income ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 96.4% (d) (Continued)

       

Industrials — 14.9% (Continued)

    258  

Eos Energy Enterprises, Inc. (a)

  $ 748  
    158  

ESCO Technologies, Inc.

    10,992  
    36  

EVI Industries, Inc. (a)

    744  
    703  

Evoqua Water Technologies Corporation (a)

    29,990  
    317  

Exponent, Inc.

    30,039  
    373  

Federal Signal Corporation

    13,469  
    329  

First Advantage Corporation (a)

    5,313  
    879  

Fluor Corporation (a)

    19,039  
    67  

Forrester Research, Inc. (a)

    3,479  
    161  

Forward Air Corporation

    16,612  
    75  

Franklin Covey Company (a)

    3,458  
    284  

Franklin Electric Company, Inc.

    24,015  
    196  

Frontier Group Holdings, Inc. (a)

    2,524  
    118  

FTC Solar, Inc. (a)

    556  
    2,230  

FuelCell Energy, Inc. (a)

    13,380  
    212  

GATX Corporation

    22,606  
    193  

Genco Shipping & Trading, Ltd.

    3,721  
    731  

GEO Group, Inc. (a)

    4,357  
    182  

Gibraltar Industries, Inc. (a)

    8,794  
    78  

Global Industrial Company

    2,479  
    258  

GMS, Inc. (a)

    13,997  
    140  

Gorman-Rupp Company

    5,216  
    1,253  

GrafTech International, Ltd.

    12,630  
    275  

Granite Construction, Inc.

    8,324  
    398  

Great Lakes Dredge & Dock Corporation (a)

    5,616  
    189  

Greenbrier Companies, Inc.

    8,397  
    269  

Griffon Corporation

    6,200  
    198  

H&E Equipment Services, Inc.

    8,268  
    472  

Harsco Corporation (a)

    5,622  
    294  

Hawaiian Holdings, Inc. (a)

    5,639  
    466  

Healthcare Services Group, Inc.

    7,372  
    288  

Heartland Express, Inc.

    4,136  
    119  

Heidrick & Struggles International, Inc.

    5,087  
    199  

Helios Technologies, Inc.

    15,604  
    159  

Herc Holdings, Inc.

    25,300  
    94  

Heritage-Crystal Clean, Inc. (a)

    2,636  
    448  

Hillenbrand, Inc.

    21,374  
    31  

HireQuest, Inc.

    582  
    144  

HireRight Holdings Corporation (a)

    1,882  
    269  

HNI Corporation

    10,946  
    201  

Hub Group, Inc. - Class A (a)

    16,965  
    137  

Huron Consulting Group, Inc. (a)

    6,758  
    233  

Hydrofarm Holdings Group, Inc. (a)

  4,718  
    725  

Hyliion Holdings Corporation (a)

    3,132  
    104  

HyreCar, Inc. (a)

    283  
    63  

Hyster-Yale Materials Handling, Inc.

    2,412  
    114  

ICF International, Inc.

    10,103  
    2,773  

Ideanomics, Inc. (a)

    2,912  
    52  

IES Holdings, Inc. (a)

    2,186  
    162  

Infrastructure and Energy Alternatives, Inc. (a)

    1,763  
    280  

INNOVATE Corporation

    932  
    224  

Insperity, Inc.

    20,149  
    114  

Insteel Industries, Inc.

    4,231  
    336  

Interface, Inc.

    4,385  
    555  

JELD-WEN Holding, Inc. (a)

    12,809  
    190  

John Bean Technologies Corporation

    21,540  
    72  

Kadant, Inc.

    14,209  
    170  

Kaman Corporation

    7,380  
    737  

KAR Auction Services, Inc. (a)

    13,605  
    23  

Karat Packaging, Inc. (a)

    374  
    857  

KBR, Inc.

    42,540  
    215  

Kelly Services, Inc. - Class A

    4,562  
    508  

Kennametal, Inc.

    16,109  
    122  

Kforce, Inc.

    9,172  
    224  

Kimball International, Inc. - Class B

    2,076  
    325  

Korn Ferry

    21,535  
    748  

Kratos Defense & Security Solutions, Inc. (a)

    15,648  
    28  

Lawson Products, Inc. (a)

    1,190  
    56  

Lindsay Corporation

    7,348  
    168  

Luxfer Holdings plc

    2,927  
    196  

Manitowoc Company, Inc. (a)

    3,240  
    168  

ManTech International Corporation - Class A

    14,006  
    350  

Marten Transport, Ltd.

    6,038  
    145  

Masonite International Corporation (a)

    13,678  
    154  

Matrix Service Company (a)

    1,069  
    252  

Matson, Inc.

    27,913  
    182  

Matthews International Corporation - Class A

    6,039  
    420  

Maxar Technologies, Inc.

    13,625  
    42  

Mayville Engineering Co, Inc. (a)

    434  
    140  

McGrath RentCorp

    11,379  
    420  

Meritor, Inc. (a)

    14,956  
    196  

Mesa Air Group, Inc. (a)

    853  

 

The accompanying notes are an integral part of these financial statements.

 

46

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Russell 2000® Risk-Managed Income ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 96.4% (d) (Continued)

       

Industrials — 14.9% (Continued)

    56  

Miller Industries, Inc.

  $ 1,735  
    420  

MillerKnoll, Inc.

    16,330  
    112  

Mistras Group, Inc. (a)

    747  
    154  

Montrose Environmental Group, Inc. (a)

    6,793  
    168  

Moog, Inc. - Class A

    13,962  
    476  

MRC Global, Inc. (a)

    4,808  
    322  

Mueller Industries, Inc.

    18,370  
    938  

Mueller Water Products, Inc. - Class A

    11,903  
    98  

MYR Group, Inc. (a)

    8,796  
    28  

National Presto Industries, Inc.

    2,226  
    1,358  

Nikola Corporation (a)

    10,728  
    42  

NL Industries, Inc.

    268  
    252  

NN, Inc. (a)

    653  
    56  

Northwest Pipe Company (a)

    1,596  
    655  

NOW, Inc. (a)

    6,118  
    70  

NV5 Global, Inc. (a)

    7,508  
    14  

Omega Flex, Inc.

    2,034  
    14  

PAM Transportation Services, Inc.

    945  
    112  

Park Aerospace Corporation

    1,553  
    42  

Park-Ohio Holdings Corporation

    667  
    154  

Parsons Corporation (a)

    5,338  
    336  

PGT Innovations, Inc. (a)

    7,227  
    1,036  

Pitney Bowes, Inc.

    5,159  
    42  

Powell Industries, Inc.

    888  
    14  

Preformed Line Products Company

    781  
    308  

Primoris Services Corporation

    8,122  
    154  

Proto Labs, Inc. (a)

    8,659  
    196  

Quanex Building Products Corporation

    4,481  
    238  

Radiant Logistics, Inc. (a)

    1,642  
    168  

RBC Bearings, Inc.

    32,567  
    896  

Resideo Technologies, Inc. (a)

    23,063  
    182  

Resources Connection, Inc.

    3,021  
    168  

REV Group, Inc.

    2,271  
    728  

Romeo Power, Inc. (a)

    1,332  
    238  

Rush Enterprises, Inc. - Class A

    12,362  
    28  

Rush Enterprises, Inc. - Class B

    1,372  
    392  

Safe Bulkers, Inc. (a)

    1,639  
    140  

Saia, Inc. (a)

    40,212  
    196  

Shyft Group, Inc.

    7,920  
    252  

Simpson Manufacturing Company, Inc.

    29,865  
    294  

SkyWest, Inc. (a)

    8,264  
    126  

SP Plus Corporation (a)

  3,761  
    560  

Spirit Airlines, Inc. (a)

    14,045  
    266  

SPX Corporation (a)

    13,486  
    253  

SPX FLOW, Inc.

    21,730  
    70  

Standex International Corporation

    7,415  
    518  

Steelcase, Inc. - Class A

    6,304  
    644  

Stem, Inc. (a)

    6,131  
    98  

Sterling Check Corporation (a)

    2,064  
    154  

Sterling Construction Company, Inc. (a)

    4,548  
    182  

Sun Country Airlines Holdings, Inc. (a)

    4,923  
    154  

Team, Inc. (a)

    145  
    112  

Tennant Company

    8,823  
    392  

Terex Corporation

    16,182  
    336  

Tetra Tech, Inc.

    53,346  
    266  

Textainer Group Holdings, Ltd.

    9,446  
    196  

Thermon Group Holdings, Inc. (a)

    3,356  
    280  

Titan International, Inc. (a)

    3,136  
    112  

Titan Machinery, Inc. (a)

    3,173  
    224  

TPI Composites, Inc. (a)

    3,028  
    28  

Transcat, Inc. (a)

    2,197  
    238  

TriNet Group, Inc. (a)

    20,780  
    448  

Trinity Industries, Inc.

    12,929  
    392  

Triton International, Ltd.

    25,746  
    364  

Triumph Group, Inc. (a)

    9,115  
    210  

TrueBlue, Inc. (a)

    5,712  
    238  

Tutor Perini Corporation (a)

    2,332  
    350  

UFP Industries, Inc.

    30,012  
    84  

UniFirst Corporation

    15,225  
    42  

Universal Logistics Holdings, Inc.

    803  
    700  

Upwork, Inc. (a)

    17,696  
    196  

US Ecology, Inc. (a)

    9,298  
    154  

US Xpress Enterprises, Inc. - Class A (a)

    699  
    56  

Vectrus, Inc. (a)

    2,567  
    84  

Veritiv Corporation (a)

    9,002  
    112  

Viad Corporation (a)

    3,913  
    126  

Vicor Corporation (a)

    9,421  
    756  

View, Inc. (a)

    1,830  
    56  

VSE Corporation

    2,668  
    294  

Wabash National Corporation

    5,010  
    168  

Watts Water Technologies, Inc. - Class A

    24,184  
    784  

Welbilt, Inc. (a)

    18,534  
    364  

Werner Enterprises, Inc.

    15,819  

 

The accompanying notes are an integral part of these financial statements.

 

47

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Russell 2000® Risk-Managed Income ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 96.4% (d) (Continued)

       

Industrials — 14.9% (Continued)

    252  

WESCO International, Inc. (a)

  $ 30,675  
    56  

Willdan Group, Inc. (a)

    1,809  
    14  

Willis Lease Finance Corporation (a)

    489  
    1,246  

WillScot Mobile Mini Holdings Corporation (a)

    44,269  
    266  

Yellow Corporation (a)

    2,397  
    714  

Zurn Water Solutions Corporation

    23,219  
              2,468,496  
       

Information Technology — 12.9%

       
    752  

3D Systems Corporation (a)

    13,400  
    689  

8x8, Inc. (a)

    8,929  
    98  

908 Devices, Inc. (a)

    1,630  
    350  

A10 Networks, Inc.

    4,984  
    705  

ACI Worldwide, Inc. (a)

    23,632  
    289  

ADTRAN, Inc.

    5,951  
    229  

Advanced Energy Industries, Inc.

    19,660  
    665  

Aeva Technologies, Inc. (a)

    2,793  
    121  

Agilysys, Inc. (a)

    5,086  
    294  

Akoustis Technologies, Inc. (a)

    1,852  
    283  

Alarm.com Holdings, Inc. (a)

    18,630  
    163  

Alkami Technology, Inc. (a)

    2,569  
    126  

Alpha & Omega Semiconductor, Ltd. (a)

    6,775  
    282  

Altair Engineering, Inc.- Class A (a)

    18,730  
    201  

Ambarella, Inc. (a)

    28,082  
    189  

American Software, Inc. - Class A

    4,152  
    613  

Amkor Technology, Inc.

    13,897  
    113  

Appfolio, Inc. - Class A (a)

    12,785  
    233  

Appian Corporation (a)

    14,204  
    483  

Arlo Technologies, Inc. (a)

    4,482  
    30  

Arteris, Inc. (a)

    448  
    409  

Asana, Inc. - Class A (a)

    22,409  
    120  

Atomera, Inc. (a)

    1,926  
    509  

Avaya Holdings Corporation (a)

    7,009  
    64  

Aviat Networks, Inc. (a)

    1,811  
    221  

Avid Technology, Inc. (a)

    6,953  
    157  

AvidXchange Holdings, Inc. (a)

    1,512  
    198  

Axcelis Technologies, Inc. (a)

    13,706  
    235  

AXT, Inc. (a)

    1,751  
    179  

Badger Meter, Inc.

    17,794  
    269  

Belden, Inc.

    15,158  
    206  

Benchmark Electronics, Inc.

    5,385  
    148  

Benefitfocus, Inc. (a)

  1,492  
    286  

BigCommerce Holdings, Inc. (a)

    7,407  
    290  

Blackbaud, Inc. (a)

    18,122  
    331  

Blackline, Inc. (a)

    24,928  
    274  

Bottomline Technologies DE, Inc. (a)

    15,519  
    871  

Box, Inc. - Class A (a)

    22,306  
    247  

Brightcove, Inc. (a)

    1,848  
    400  

BTRS Holdings, Inc. - Class A (a)

    2,440  
    213  

CalAmp Corporation (a)

    1,504  
    324  

Calix, Inc. (a)

    17,606  
    62  

Cambium Networks Corporation (a)

    1,724  
    360  

Cantaloupe, Inc. (a)

    2,797  
    190  

Casa Systems, Inc. (a)

    790  
    86  

Cass Information Systems, Inc.

    3,404  
    233  

Cerence, Inc. (a)

    8,414  
    136  

CEVA, Inc. (a)

    5,545  
    175  

ChannelAdvisor Corporation (a)

    3,141  
    214  

Cleanspark, Inc. (a)

    2,268  
    64  

Clearfield, Inc. (a)

    4,103  
    174  

CMC Materials, Inc.

    32,265  
    284  

Cohu, Inc. (a)

    8,855  
    282  

CommVault Systems, Inc. (a)

    17,741  
    156  

Comtech Telecommunications Corporation

    3,210  
    998  

Conduent, Inc. (a)

    4,860  
    95  

Consensus Cloud Solutions, Inc. (a)

    5,288  
    43  

CoreCard Corporation (a)

    1,385  
    170  

Corsair Gaming, Inc. (a)

    3,924  
    59  

Couchbase, Inc. (a)

    1,243  
    28  

CS Disco, Inc. (a)

    1,058  
    192  

CSG Systems International, Inc.

    11,850  
    187  

CTS Corporation

    7,095  
    224  

Daktronics, Inc. (a)

    1,033  
    439  

Diebold Nixdorf, Inc. (a)

    3,819  
    203  

Digi International, Inc. (a)

    4,076  
    73  

Digimarc Corporation (a)

    2,199  
    519  

Digital Turbine, Inc. (a)

    25,161  
    281  

DigitalOcean Holdings, Inc. (a)

    16,669  
    258  

Diodes, Inc. (a)

    23,114  
    164  

Domo, Inc. - Class B (a)

    7,298  
    104  

DZS, Inc. (a)

    1,507  
    1,180  

E2open Parent Holdings, Inc. (a)

    10,596  
    275  

Eastman Kodak Company (a)

    1,312  
    163  

Ebix, Inc.

    4,810  
    129  

eGain Corporation (a)

    1,521  
    215  

EMCORE Corporation (a)

    834  

 

The accompanying notes are an integral part of these financial statements.

 

48

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Russell 2000® Risk-Managed Income ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 96.4% (d) (Continued)

       

Information Technology — 12.9% (Continued)

    133  

Enfusion, Inc. - Class A (a)

  $ 2,206  
    90  

EngageSmart, Inc. (a)

    1,980  
    331  

Envestnet, Inc. (a)

    24,765  
    70  

ePlus, Inc.

    3,283  
    102  

EverCommerce, Inc. (a)

    1,222  
    366  

EVERTEC, Inc.

    14,772  
    285  

Evo Payments, Inc. - Class A (a)

    6,871  
    197  

ExlService Holdings, Inc. (a)

    23,796  
    767  

Extreme Networks, Inc. (a)

    8,813  
    225  

Fabrinet (a)

    22,529  
    109  

FARO Technologies, Inc. (a)

    5,967  
    369  

Flywire Corporation (a)

    9,985  
    466  

FormFactor, Inc. (a)

    18,868  
    116  

GreenBox POS (a)

    394  
    280  

Grid Dynamics Holdings, Inc. (a)

    3,402  
    190  

GTY Technology Holdings, Inc. (a)

    844  
    148  

Hackett Group, Inc.

    3,067  
    548  

Harmonic, Inc. (a)

    5,102  
    129  

I3 Verticals, Inc. - Class A (a)

    3,406  
    34  

IBEX Holdings, Ltd. (a)

    536  
    170  

Ichor Holdings, Ltd. (a)

    5,989  
    131  

Identiv, Inc. (a)

    2,746  
    647  

II-VI, Inc. (a)

    44,940  
    98  

Impinj, Inc. (a)

    6,738  
    1,127  

Infinera Corporation (a)

    10,402  
    529  

Inseego Corporation (a)

    2,492  
    196  

Insight Enterprises, Inc. (a)

    20,384  
    73  

Instructure Holdings, Inc. (a)

    1,636  
    61  

Intapp, Inc. (a)

    1,407  
    186  

InterDigital, Inc.

    11,982  
    199  

International Money Express, Inc. (a)

    3,196  
    242  

Iteris, Inc. (a)

    796  
    282  

Itron, Inc. (a)

    13,443  
    323  

JFrog, Ltd. (a)

    8,001  
    107  

Kaltura, Inc. (a)

    240  
    146  

Kimball Electronics, Inc. (a)

    2,517  
    536  

Knowles Corporation (a)

    11,674  
    481  

Kopin Corporation (a)

    1,270  
    371  

Kulicke & Soffa Industries, Inc.

    19,381  
    90  

KVH Industries, Inc. (a)

    776  
    903  

Lattice Semiconductor Corporation (a)

    56,545  
    644  

Limelight Networks, Inc. (a)

    2,518  
    364  

LivePerson, Inc. (a)

    7,382  
    364  

LiveRamp Holdings, Inc. (a)

    15,710  
    168  

Luna Innovations, Inc. (a)

  1,147  
    266  

MACOM Technology Solutions Holdings, Inc. (a)

    15,987  
    574  

Marathon Digital Holdings, Inc. (a)

    14,551  
    364  

Maximus, Inc.

    28,704  
    392  

MaxLinear, Inc. (a)

    24,049  
    70  

MeridianLink, Inc. (a)

    1,371  
    1,190  

Meta Materials, Inc. (a)

    2,559  
    238  

Methode Electronics, Inc.

    10,862  
    42  

MicroStrategy, Inc. - Class A (a)

    18,606  
    910  

MicroVision, Inc. (a)

    3,649  
    336  

Mimecast, Ltd. (a)

    26,722  
    252  

Mitek Systems, Inc. (a)

    3,745  
    196  

Model N, Inc. (a)

    4,820  
    686  

Momentive Global, Inc. (a)

    10,784  
    490  

MoneyGram International, Inc. (a)

    5,263  
    168  

Napco Security Technologies, Inc. (a)

    3,426  
    294  

NeoPhotonics Corporation (a)

    4,501  
    168  

NETGEAR, Inc. (a)

    4,470  
    392  

NetScout Systems, Inc. (a)

    12,203  
    252  

nLight, Inc. (a)

    4,108  
    196  

Novanta, Inc. (a)

    26,779  
    28  

NVE Corporation

    1,602  
    140  

ON24, Inc. (a)

    2,184  
    210  

OneSpan, Inc. (a)

    2,894  
    280  

Onto Innovation, Inc. (a)

    24,139  
    98  

OSI Systems, Inc. (a)

    7,906  
    938  

Ouster, Inc. (a)

    3,170  
    434  

PagerDuty, Inc. (a)

    14,678  
    140  

PAR Technology Corporation (a)

    5,872  
    476  

Paya Holdings, Inc. (a)

    3,070  
    67  

PC Connection, Inc.

    3,269  
    168  

PDF Solutions, Inc. (a)

    4,596  
    168  

Perficient, Inc. (a)

    17,119  
    266  

Photronics, Inc. (a)

    4,900  
    350  

Ping Identity Holding Corporation (a)

    7,364  
    238  

Plantronics, Inc. (a)

    6,704  
    168  

Plexus Corporation (a)

    13,687  
    350  

Power Integrations, Inc.

    31,500  
    56  

Priority Technology Holdings, Inc. (a)

    295  
    252  

Progress Software Corporation

    11,108  
    224  

PROS Holdings, Inc. (a)

    7,119  
    308  

Q2 Holdings, Inc. (a)

    20,035  

 

The accompanying notes are an integral part of these financial statements.

 

49

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Russell 2000® Risk-Managed Income ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 96.4% (d) (Continued)

       

Information Technology — 12.9% (Continued)

    182  

Qualys, Inc. (a)

  $ 22,806  
    336  

Quantum Corporation (a)

    874  
    322  

Rackspace Technology, Inc. (a)

    3,584  
    602  

Rambus, Inc. (a)

    16,254  
    322  

Rapid7, Inc. (a)

    33,313  
    196  

Rekor Systems, Inc. (a)

    927  
    70  

Remitly Global, Inc. (a)

    767  
    476  

Repay Holdings Corporation (a)

    8,221  
    392  

Ribbon Communications, Inc. (a)

    1,192  
    266  

Rimini Street, Inc. (a)

    1,205  
    560  

Riot Blockchain, Inc. (a)

    9,649  
    112  

Rogers Corporation (a)

    30,576  
    532  

Sailpoint Technologies Holdings, Inc. (a)

    22,009  
    378  

Sanmina Corporation (a)

    15,037  
    182  

Sapiens International Corporation NV

    4,912  
    140  

ScanSource, Inc. (a)

    4,421  
    56  

SecureWorks Corporation - Class A (a)

    861  
    364  

Semtech Corporation (a)

    25,254  
    42  

ShotSpotter, Inc. (a)

    1,079  
    224  

Silicon Laboratories, Inc. (a)

    34,430  
    84  

SiTime Corporation (a)

    16,980  
    42  

SkyWater Technology, Inc. (a)

    485  
    196  

SMART Global Holdings, Inc. (a)

    5,380  
    266  

Smith Micro Software, Inc. (a)

    1,107  
    252  

Sprout Social, Inc. - Class A (a)

    16,408  
    210  

SPS Commerce, Inc. (a)

    27,269  
    98  

StarTek, Inc. (a)

    429  
    42  

Stronghold Digital Mining, Inc. - Class A (a)

    530  
    490  

Sumo Logic, Inc. (a)

    5,900  
    490  

SunPower Corporation (a)

    8,786  
    252  

Super Micro Computer, Inc. (a)

    9,900  
    224  

Synaptics, Inc. (a)

    51,167  
    238  

Telos Corporation (a)

    2,718  
    532  

Tenable Holdings, Inc. (a)

    29,452  
    98  

TTEC Holdings, Inc.

    7,791  
    616  

TTM Technologies, Inc. (a)

    7,743  
    56  

Tucows, Inc.- Class A (a)

    3,762  
    92  

Turtle Beach Corporation (a)

    2,187  
    252  

Ultra Clean Holdings, Inc. (a)

    11,544  
    378  

Unisys Corporation (a)

    8,078  
    168  

Upland Software, Inc. (a)

    3,168  
    602  

Varonis Systems, Inc. (a)

    26,247  
    294  

Veeco Instruments, Inc. (a)

  8,400  
    434  

Velodyne Lidar, Inc. (a)

    1,601  
    364  

Verint Systems, Inc. (a)

    18,284  
    154  

Veritone, Inc. (a)

    2,593  
    896  

Verra Mobility Corporation (a)

    15,053  
    72  

Viant Technology, Inc. - Class A (a)

    593  
    1,414  

Viavi Solutions, Inc. (a)

    23,191  
    378  

VirnetX Holding Corporation (a)

    688  
    784  

Vishay Intertechnology, Inc.

    15,045  
    70  

Vishay Precision Group, Inc. (a)

    2,199  
    1,442  

Vonage Holdings Corporation (a)

    29,301  
    28  

Weave Communications, Inc. (a)

    281  
    238  

Workiva, Inc. (a)

    25,061  
    602  

Xperi Holding Corporation

    10,427  
    658  

Yext, Inc. (a)

    4,882  
    644  

Zuora, Inc. - Class A (a)

    9,776  
              2,143,433  
       

Materials — 4.0%

       
    165  

AdvanSix, Inc.

    6,610  
    766  

Allegheny Technologies, Inc. (a)

    19,717  
    178  

American Vanguard Corporation

    2,682  
    1,053  

Amyris, Inc. (a)

    4,802  
    647  

Arconic Corporation (a)

    19,863  
    127  

Aspen Aerogels, Inc. (a)

    3,759  
    555  

Avient Corporation

    29,077  
    198  

Balchem Corporation

    27,391  
    347  

Cabot Corporation

    25,387  
    300  

Carpenter Technology Corporation

    11,517  
    289  

Century Aluminum Company (a)

    6,826  
    45  

Chase Corporation

    4,132  
    114  

Clearwater Paper Corporation (a)

    3,287  
    1,514  

Coeur Mining, Inc. (a)

    6,510  
    758  

Commercial Metals Company

    29,220  
    212  

Compass Minerals International, Inc.

    12,427  
    746  

Constellium SE (a)

    14,495  
    564  

Danimer Scientific, Inc. (a)

    2,245  
    315  

Ecovyst, Inc.

    3,443  
    504  

Ferro Corporation (a)

    10,952  
    177  

Forterra, Inc. (a)

    4,170  
    162  

FutureFuel Corporation

    1,192  
    270  

Gatos Silver, Inc. (a)

    910  
    302  

GCP Applied Technologies, Inc. (a)

    9,537  

 

The accompanying notes are an integral part of these financial statements.

 

50

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Russell 2000® Risk-Managed Income ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 96.4% (d) (Continued)

       

Materials — 4.0% (Continued)

    270  

Glatfelter Corporation

  $ 3,710  
    162  

Greif, Inc. - Class A

    9,313  
    36  

Greif, Inc. - Class B

    2,049  
    116  

Hawkins, Inc.

    5,250  
    72  

Haynes International, Inc.

    2,632  
    316  

HB Fuller Company

    21,605  
    3,136  

Hecla Mining Company

    18,063  
    238  

Ingevity Corporation (a)

    16,239  
    154  

Innospec, Inc.

    14,707  
    62  

Intrepid Potash, Inc. (a)

    3,527  
    95  

Kaiser Aluminum Corporation

    9,168  
    122  

Koppers Holdings, Inc. (a)

    3,493  
    191  

Kraton Corporation (a)

    8,815  
    137  

Kronos Worldwide, Inc.

    2,018  
    980  

Livent Corporation (a)

    23,079  
    574  

Marrone Bio Innovations, Inc. (a)

    396  
    112  

Materion Corporation

    9,358  
    196  

Minerals Technologies, Inc.

    13,718  
    406  

MP Materials Corporation (a)

    18,522  
    210  

Myers Industries, Inc.

    3,490  
    98  

Neenah, Inc.

    3,817  
    1,414  

Novagold Resources, Inc. (a)

    9,870  
    966  

O-I Glass, Inc. (a)

    12,345  
    42  

Olympic Steel, Inc.

    1,124  
    350  

Orion Engineered Carbons SA

    5,439  
    266  

Pactiv Evergreen, Inc.

    2,559  
    182  

Perpetua Resources Corporation (a)

    655  
    182  

PolyMet Mining Corporation (a)

    495  
    294  

PureCycle Technologies, Inc. (a)

    2,046  
    84  

Quaker Chemical Corporation

    15,591  
    224  

Ranpak Holdings Corporation (a)

    5,421  
    336  

Rayonier Advanced Materials, Inc. (a)

    1,972  
    98  

Ryerson Holding Corporation

    2,560  
    154  

Schnitzer Steel Industries, Inc. - Class A

    7,492  
    182  

Schweitzer-Mauduit International, Inc.

    5,681  
    252  

Sensient Technologies Corporation

    20,697  
    126  

Stepan Company

    13,056  
    700  

Summit Materials, Inc. - Class A (a)

    21,854  
    476  

SunCoke Energy, Inc.

    3,775  
    266  

TimkenSteel Corporation (a)

    4,796  
    154  

Tredegar Corporation

  1,773  
    252  

TriMas Corporation

    8,193  
    224  

Trinseo plc

    11,639  
    658  

Tronox Holdings plc - Class A

    13,357  
    28  

UFP Technologies, Inc. (a)

    1,936  
    56  

United States Lime & Minerals, Inc.

    6,582  
    140  

Valhi, Inc.

    3,566  
    154  

Verso Corporation - Class A

    4,083  
    299  

Warrior Met Coal, Inc.

    9,419  
    196  

Worthington Industries, Inc.

    11,176  
    462  

Zymergen, Inc. (a)

    1,769  
              664,041  
       

Real Estate — 7.1%

       
    513  

Acadia Realty Trust

    10,999  
    417  

Agree Realty Corporation

    26,751  
    434  

Alexander & Baldwin, Inc.

    9,735  
    11  

Alexander’s, Inc.

    2,788  
    303  

American Assets Trust, Inc.

    11,078  
    913  

Apartment Investment and Management Company - Class A (a)

    6,519  
    1,263  

Apple Hospitality REIT, Inc.

    22,342  
    358  

Armada Hoffler Properties, Inc.

    5,255  
    95  

Ashford Hospitality Trust, Inc. (a)

    818  
    327  

Braemar Hotels & Resorts, Inc. (a)

    1,949  
    1,037  

Brandywine Realty Trust

    13,823  
    968  

Broadstone Net Lease, Inc.

    20,967  
    59  

BRT Apartments Corporation

    1,299  
    592  

CareTrust REIT, Inc.

    10,360  
    295  

CatchMark Timber Trust, Inc. - Class A

    2,260  
    86  

Centerspace

    8,083  
    284  

Chatham Lodging Trust (a)

    3,905  
    254  

City Office REIT, Inc.

    4,374  
    73  

Clipper Realty, Inc.

    695  
    147  

Community Healthcare Trust, Inc.

    6,130  
    238  

CorePoint Lodging, Inc. (a)

    3,801  
    672  

Corporate Office Properties Trust

    17,613  
    34  

CTO Realty Growth, Inc.

    2,131  
    832  

Cushman & Wakefield plc (a)

    18,237  
    1,204  

DiamondRock Hospitality Company (a)

    11,498  
    2,934  

DigitalBridge Group, Inc. (a)

    21,272  
    1,409  

Diversified Healthcare Trust

    4,058  
    434  

Douglas Elliman, Inc. (a)

    3,272  

 

The accompanying notes are an integral part of these financial statements.

 

51

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Russell 2000® Risk-Managed Income ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 96.4% (d) (Continued)

       

Real Estate — 7.1% (Continued)

    533  

Easterly Government Properties, Inc.

  $ 11,097  
    245  

EastGroup Properties, Inc.

    46,735  
    879  

Empire State Realty Trust, Inc. - Class A

    8,315  
    715  

Equity Commonwealth

    18,998  
    731  

Essential Properties Realty Trust, Inc.

    18,480  
    381  

eXp World Holdings, Inc.

    10,188  
    174  

Farmland Partners, Inc.

    2,031  
    38  

Fathom Holdings, Inc. (a)

    488  
    105  

Forestar Group, Inc. (a)

    1,923  
    469  

Four Corners Property Trust, Inc.

    12,372  
    598  

Franklin Street Properties Corporation

    3,456  
    42  

FRP Holdings, Inc. (a)

    2,433  
    245  

Getty Realty Corporation

    6,750  
    225  

Gladstone Commercial Corporation

    4,768  
    182  

Gladstone Land Corporation

    5,440  
    360  

Global Medical REIT, Inc.

    5,652  
    636  

Global Net Lease, Inc.

    9,038  
    911  

Healthcare Realty Trust, Inc.

    23,759  
    185  

Hersha Hospitality Trust (a)

    1,708  
    680  

Independence Realty Trust, Inc.

    17,184  
    33  

Indus Realty Trust, Inc.

    2,513  
    392  

Industrial Logistics Properties Trust

    8,769  
    144  

Innovative Industrial Properties, Inc.

    27,138  
    392  

iStar, Inc.

    9,847  
    709  

Kennedy-Wilson Holdings, Inc.

    15,697  
    1,291  

Kite Realty Group Trust

    28,312  
    224  

LTC Properties, Inc.

    7,578  
    1,666  

LXP Industrial Trust

    25,756  
    1,344  

Macerich Company

    20,563  
    140  

Marcus & Millichap, Inc. (a)

    6,962  
    252  

National Health Investors, Inc.

    13,434  
    476  

National Storage Affiliates Trust

    27,737  
    696  

Necessity Retail REIT, Inc.

    4,900  
    238  

NETSTREIT Corporation

    5,269  
    868  

Newmark Group, Inc. - Class A

    15,346  
    126  

NexPoint Residential Trust, Inc.

    10,706  
    280  

Office Properties Income Trust

    7,014  
    84  

One Liberty Properties, Inc.

    2,441  
    854  

Outfront Media, Inc.

    22,802  
    1,092  

Paramount Group, Inc.

    12,219  
    756  

Pebblebrook Hotel Trust

  17,018  
    112  

Phillips Edison & Company, Inc.

    3,620  
    1,348  

Physicians Realty Trust

    21,918  
    728  

Piedmont Office Realty Trust, Inc. - Class A

    12,405  
    182  

Plymouth Industrial REIT, Inc.

    4,747  
    70  

Postal Realty Trust, Inc. - Class A

    1,222  
    378  

PotlatchDeltic Corporation

    20,752  
    281  

Preferred Apartment Communities, Inc.

    7,098  
    112  

PS Business Parks, Inc.

    17,840  
    42  

Rafael Holdings, Inc. - Class B (a)

    132  
    98  

RE/MAX Holdings, Inc. - Class A

    2,905  
    672  

Realogy Holdings Corporation (a)

    12,217  
    602  

Redfin Corporation (a)

    13,021  
    700  

Retail Opportunity Investments Corporation

    12,712  
    98  

Retail Value, Inc.

    304  
    952  

RLJ Lodging Trust

    13,318  
    84  

RMR Group, Inc. - Class A

    2,448  
    504  

RPT Realty

    6,527  
    294  

Ryman Hospitality Properties, Inc. (a)

    25,904  
    1,344  

Sabra Health Care REIT, Inc.

    18,050  
    112  

Safehold, Inc.

    6,872  
    71  

Saul Centers, Inc.

    3,268  
    224  

Seritage Growth Properties (a)

    2,283  
    1,008  

Service Properties Trust

    8,699  
    1,078  

SITE Centers Corporation

    16,763  
    198  

St. Joe Company

    10,698  
    1,064  

STAG Industrial, Inc.

    41,452  
    604  

Summit Hotel Properties, Inc. (a)

    5,974  
    1,274  

Sunstone Hotel Investors, Inc. (a)

    13,479  
    630  

Tanger Factory Outlet Centers, Inc.

    10,508  
    112  

Tejon Ranch Company (a)

    1,902  
    434  

Terreno Realty Corporation

    29,855  
    252  

UMH Properties, Inc.

    5,811  
    1,190  

Uniti Group, Inc.

    15,434  
    70  

Universal Health Realty Income Trust

    3,998  
    686  

Urban Edge Properties

    12,499  
    168  

Urstadt Biddle Properties, Inc. - Class A

    3,163  
    504  

Veris Residential, Inc. (a)

    8,518  

 

The accompanying notes are an integral part of these financial statements.

 

52

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Russell 2000® Risk-Managed Income ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 96.4% (d) (Continued)

       

Real Estate — 7.1% (Continued)

    504  

Washington Real Estate Investment Trust

  $ 11,773  
    266  

Whitestone REIT

    3,133  
    672  

Xenia Hotels & Resorts, Inc. (a)

    12,459  
              1,180,529  
       

Utilities — 2.8%

       
    319  

ALLETE, Inc.

    20,078  
    227  

American States Water Company

    19,104  
    50  

Artesian Resources Corporation - Class A

    2,324  
    439  

Avista Corporation

    19,593  
    392  

Black Hills Corporation

    27,436  
    380  

Brookfield Infrastructure Corporation - Class A

    26,766  
    135  

Cadiz, Inc. (a)

    351  
    319  

California Water Service Group

    18,161  
    105  

Chesapeake Utilities Corporation

    13,960  
    215  

Clearway Energy, Inc. - Class A

    6,577  
    504  

Clearway Energy, Inc. - Class C

    16,834  
    79  

Global Water Resources, Inc.

    1,205  
    210  

MGE Energy, Inc.

    15,124  
    98  

Middlesex Water Company

    9,799  
    574  

New Jersey Resources Corporation

    25,038  
    168  

Northwest Natural Holding Company

    8,738  
    308  

NorthWestern Corporation

    18,628  
    308  

ONE Gas, Inc.

    25,592  
    266  

Ormat Technologies, Inc.

    18,978  
    238  

Otter Tail Corporation

    14,723  
    518  

PNM Resources, Inc.

    23,398  
    532  

Portland General Electric Company

    27,009  
    112  

Pure Cycle Corporation (a)

    1,327  
    154  

SJW Group

    10,044  
    602  

South Jersey Industries, Inc.

    20,426  
    364  

Southwest Gas Holdings, Inc.

    25,822  
    308  

Spire, Inc.

    20,670  
    518  

Sunnova Energy International, Inc. (a)

    10,438  
    84  

Unitil Corporation

    4,241  
    70  

Via Renewables, Inc.

    781  
    70  

York Water Company

    3,141  
              456,306  
       

TOTAL COMMON STOCKS (Cost $17,009,146)

    15,966,409  

 

 

Contracts

 

Security
Description

 

Notional
Amount

   

Value

 
       

PURCHASED OPTIONS (b) — 1.1%

    76  

Russell 2000 Index Put, Expiration: 03/18/2022, Exercise Price: $1,930.00

    15,565,474     $ 183,160  
       

TOTAL PURCHASED OPTIONS (Cost $280,901)

    183,160  
                         
 

Shares

                   
       

SHORT-TERM INVESTMENTS — 5.1%

       

Money Market Funds — 5.1%

    839,984  

Invesco Government & Agency Portfolio - Institutional Class, 0.03% (c)

    839,984  
       

TOTAL SHORT-TERM INVESTMENTS (Cost $839,984)

    839,984  
                         
       

Total Investments (Cost $18,130,031) — 102.6%

    16,989,553  
       

Liabilities in Excess of Other Assets — (2.6)%

    (423,511 )
       

TOTAL NET ASSETS — 100.0%

  $ 16,566,042  

 

Percentages are stated as a percent of net assets.

(a)

Non-income producing security.

(b)

Exchange traded.

(c)

Rate shown is the annualized seven-day yield as of February 28, 2022.

(d)

All Common Stocks in this Schedule of Investments are held as collateral for the Written Option.

The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.

 

 

The accompanying notes are an integral part of these financial statements.

 

53

 

 

 

Schedules of Written Options

 

February 28, 2022 (Unaudited)

 

Nationwide Russell 2000® Risk-Managed Income ETF

 

 

Contracts

 

Security Description

 

Notional
Amount

   

Value

 
       

WRITTEN OPTIONS (a) — (2.6)%

               
    (76 )

Russell 2000 Index Call, Expiration: 03/18/2022, Exercise Price: $2,050.00

  $ (15,565,474 )   $ (427,880 )
       

TOTAL WRITTEN OPTIONS (Premiums Received $423,719)

          $ (427,880 )

 

(a)

Exchange traded.

 

 

The accompanying notes are an integral part of these financial statements.

 

54

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide S&P 500® Risk-Managed Income ETF

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 97.4% (e)

       
       

Communication Services — 9.3%

    480  

Activision Blizzard, Inc.

  $ 39,120  
    180  

Alphabet, Inc. - Class A (a)

    486,206  
    160  

Alphabet, Inc. - Class C (a)

    431,651  
    4,520  

AT&T, Inc.

    107,079  
    80  

Charter Communications, Inc. - Class A (a)

    48,142  
    2,920  

Comcast Corporation - Class A

    136,539  
    100  

Discovery, Inc. - Class A (a)

    2,805  
    180  

Discovery, Inc. - Class C (a)

    5,035  
    140  

DISH Network Corporation - Class A

    4,474  
    160  

Electronic Arts, Inc.

    20,814  
    200  

Fox Corporation - Class A

    8,366  
    80  

Fox Corporation - Class B

    3,061  
    240  

Interpublic Group of Companies, Inc.

    8,832  
    80  

Live Nation Entertainment, Inc. (a)

    9,666  
    560  

Lumen Technologies, Inc.

    5,802  
    180  

Match Group, Inc. (a)

    20,068  
    1,480  

Meta Platforms, Inc. - Class A (a)

    312,324  
    280  

Netflix, Inc. (a)

    110,466  
    240  

News Corporation - Class A

    5,357  
    60  

News Corporation - Class B

    1,346  
    120  

Omnicom Group, Inc.

    10,067  
    380  

Paramount Global - Class B

    11,632  
    60  

Take-Two Interactive Software, Inc. (a)

    9,720  
    360  

T-Mobile US, Inc.

    44,356  
    480  

Twitter, Inc. (a)

    17,064  
    2,600  

Verizon Communications, Inc.

    139,541  
    1,140  

Walt Disney Company (a)

    169,244  
              2,168,777  
       

Consumer Discretionary — 11.9%

       
    20  

Advance Auto Parts, Inc.

    4,090  
    260  

Amazon.com, Inc. (a)

    798,528  
    160  

Aptiv plc (a)

    20,711  
    20  

AutoZone, Inc. (a)

    37,268  
    160  

Bath & Body Works, Inc.

    8,539  
    140  

Best Buy Company, Inc.

    13,530  
    20  

Booking Holdings, Inc. (a)

    43,445  
    140  

BorgWarner, Inc.

    5,741  
    120  

Caesars Entertainment, Inc. (a)

    10,103  
    100  

CarMax, Inc. (a)

    10,933  
    500  

Carnival Corporation (a)

    10,165  
    20  

Chipotle Mexican Grill, Inc. (a)

    30,467  
    200  

D.R. Horton, Inc.

  17,080  
    80  

Darden Restaurants, Inc.

    11,618  
    140  

Dollar General Corporation

    27,768  
    140  

Dollar Tree, Inc. (a)

    19,891  
    20  

Domino’s Pizza, Inc.

    8,644  
    380  

eBay, Inc.

    20,744  
    80  

Etsy, Inc. (a)

    12,391  
    80  

Expedia Group, Inc. (a)

    15,689  
    2,480  

Ford Motor Company

    43,549  
    80  

Garmin, Ltd.

    8,835  
    920  

General Motors Company (a)

    42,982  
    80  

Genuine Parts Company

    9,772  
    80  

Hasbro, Inc.

    7,764  
    160  

Hilton Worldwide Holdings, Inc. (a)

    23,818  
    660  

Home Depot, Inc.

    208,447  
    200  

Las Vegas Sands Corporation (a)

    8,572  
    160  

Lennar Corporation - Class A

    14,381  
    160  

LKQ Corporation

    7,512  
    420  

Lowe’s Companies, Inc.

    92,845  
    160  

Marriott International, Inc. - Class A (a)

    27,222  
    460  

McDonald’s Corporation

    112,593  
    240  

MGM Resorts International

    10,630  
    20  

Mohawk Industries, Inc. (a)

    2,816  
    220  

Newell Brands, Inc.

    5,225  
    800  

NIKE, Inc. - Class B

    109,239  
    220  

Norwegian Cruise Line Holdings, Ltd. (a)

    4,288  
    20  

NVR, Inc. (a)

    99,169  
    40  

O’Reilly Automotive, Inc. (a)

    25,970  
    100  

Penn National Gaming, Inc. (a)

    5,135  
    20  

Pool Corporation

    9,172  
    140  

PulteGroup, Inc.

    6,952  
    40  

PVH Corporation

    3,916  
    20  

Ralph Lauren Corporation

    2,641  
    220  

Ross Stores, Inc.

    20,106  
    140  

Royal Caribbean Cruises, Ltd. (a)

    11,301  
    740  

Starbucks Corporation

    67,925  
    160  

Tapestry, Inc.

    6,544  
    300  

Target Corporation

    59,931  
    520  

Tesla, Inc. (a)

    452,624  
    740  

TJX Companies, Inc.

    48,914  
    60  

Tractor Supply Company

    12,227  
    20  

Ulta Beauty, Inc.

    7,490  
    120  

Under Armour, Inc. - Class A (a)

    2,147  
    120  

Under Armour, Inc. - Class C (a)

    1,876  

 

The accompanying notes are an integral part of these financial statements.

 

55

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide S&P 500® Risk-Managed Income ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 97.4% (e) (Continued)

       

Consumer Discretionary — 11.9% (Continued)

    200  

V.F. Corporation

  $ 11,604  
    20  

Whirlpool Corporation

    4,025  
    60  

Wynn Resorts, Ltd. (a)

    5,191  
    180  

Yum! Brands, Inc.

    22,064  
              2,754,759  
       

Consumer Staples — 6.1%

       
    1,140  

Altria Group, Inc.

    58,471  
    340  

Archer-Daniels-Midland Company

    26,673  
    100  

Brown-Forman Corporation - Class B

    6,523  
    120  

Campbell Soup Company

    5,396  
    140  

Church & Dwight Company, Inc.

    13,699  
    60  

Clorox Company

    8,747  
    2,440  

Coca-Cola Company

    151,867  
    520  

Colgate-Palmolive Company

    40,014  
    280  

Conagra Brands, Inc.

    9,792  
    100  

Constellation Brands, Inc. - Class A

    21,562  
    260  

Costco Wholesale Corporation

    135,004  
    140  

Estee Lauder Companies, Inc. - Class A

    41,486  
    380  

General Mills, Inc.

    25,623  
    80  

Hershey Company

    16,181  
    160  

Hormel Foods Corporation

    7,622  
    60  

J.M. Smucker Company

    8,085  
    160  

Kellogg Company

    10,230  
    200  

Kimberly-Clark Corporation

    26,030  
    440  

Kraft Heinz Company

    17,257  
    400  

Kroger Company

    18,720  
    80  

Lamb Weston Holdings, Inc.

    5,314  
    140  

McCormick & Company, Inc.

    13,324  
    100  

Molson Coors Beverage Company - Class B

    5,218  
    860  

Mondelez International, Inc. - Class A

    56,314  
    220  

Monster Beverage Corporation (a)

    18,568  
    860  

PepsiCo, Inc.

    140,816  
    980  

Philip Morris International, Inc.

    99,048  
    1,500  

Procter & Gamble Company

    233,835  
    320  

Sysco Corporation

    27,872  
    180  

Tyson Foods, Inc. - Class A

    16,679  
    440  

Walgreens Boots Alliance, Inc.

    20,280  
    880  

Walmart, Inc.

    118,941  
              1,405,191  
                 
       

Energy — 3.7%

       
    220  

APA Corporation

  7,839  
    540  

Baker Hughes Company

    15,865  
    1,200  

Chevron Corporation

    172,800  
    840  

ConocoPhillips

    79,682  
    500  

Coterra Energy, Inc.

    11,665  
    400  

Devon Energy Corporation

    23,820  
    100  

Diamondback Energy, Inc.

    13,810  
    360  

EOG Resources, Inc.

    41,371  
    2,640  

Exxon Mobil Corporation

    207,029  
    560  

Halliburton Company

    18,777  
    160  

Hess Corporation

    16,170  
    1,240  

Kinder Morgan, Inc.

    21,576  
    480  

Marathon Oil Corporation

    10,829  
    380  

Marathon Petroleum Corporation

    29,591  
    560  

Occidental Petroleum Corporation

    24,489  
    280  

ONEOK, Inc.

    18,284  
    260  

Phillips 66

    21,902  
    140  

Pioneer Natural Resources Company

    33,544  
    880  

Schlumberger, Ltd.

    34,531  
    240  

Valero Energy Corporation

    20,042  
    780  

Williams Companies, Inc.

    24,398  
              848,014  
       

Financials — 11.1%

       
    360  

Aflac, Inc.

    21,992  
    180  

Allstate Corporation

    22,025  
    380  

American Express Company

    73,925  
    520  

American International Group, Inc.

    31,845  
    60  

Ameriprise Financial, Inc.

    17,987  
    140  

Aon plc - Class A

    40,900  
    120  

Arthur J. Gallagher & Company

    18,983  
    20  

Assurant, Inc.

    3,394  
    4,480  

Bank of America Corporation

    198,016  
    460  

Bank of New York Mellon Corporation

    24,449  
    1,140  

Berkshire Hathaway, Inc. - Class B (a)

    366,453  
    80  

BlackRock, Inc.

    59,511  
    140  

Brown & Brown, Inc.

    9,465  
    260  

Capital One Financial Corporation

    39,850  
    60  

Cboe Global Markets, Inc.

    7,037  
    940  

Charles Schwab Corporation

    79,392  
    260  

Chubb, Ltd.

    52,947  
    80  

Cincinnati Financial Corporation

    9,823  

 

The accompanying notes are an integral part of these financial statements.

 

56

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide S&P 500® Risk-Managed Income ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 97.4% (e) (Continued)

       

Financials — 11.1% (Continued)

    1,240  

Citigroup, Inc.

  $ 73,445  
    260  

Citizens Financial Group, Inc.

    13,629  
    220  

CME Group, Inc.

    52,037  
    80  

Comerica, Inc.

    7,639  
    180  

Discover Financial Services

    22,219  
    20  

Everest Re Group, Ltd.

    5,964  
    20  

FactSet Research Systems, Inc.

    8,122  
    420  

Fifth Third Bancorp

    20,093  
    100  

First Republic Bank/CA

    17,326  
    160  

Franklin Resources, Inc.

    4,757  
    40  

Globe Life, Inc.

    4,038  
    200  

Goldman Sachs Group, Inc.

    68,258  
    200  

Hartford Financial Services Group, Inc.

    13,896  
    900  

Huntington Bancshares, Inc.

    13,968  
    340  

Intercontinental Exchange, Inc.

    43,561  
    200  

Invesco, Ltd.

    4,248  
    1,840  

JPMorgan Chase & Company

    260,912  
    580  

KeyCorporation

    14,541  
    100  

Lincoln National Corporation

    6,742  
    120  

Loews Corporation

    7,361  
    80  

M&T Bank Corporation

    14,578  
    20  

MarketAxess Holdings, Inc.

    7,629  
    320  

Marsh & McLennan Companies, Inc.

    49,731  
    440  

MetLife, Inc.

    29,722  
    100  

Moody’s Corporation

    32,203  
    900  

Morgan Stanley

    81,665  
    40  

MSCI, Inc.

    20,068  
    60  

Nasdaq, Inc.

    10,269  
    120  

Northern Trust Corporation

    13,668  
    260  

People’s United Financial, Inc.

    5,481  
    260  

PNC Financial Services Group, Inc.

    51,805  
    140  

Principal Financial Group, Inc.

    9,890  
    360  

Progressive Corporation

    38,135  
    220  

Prudential Financial, Inc.

    24,565  
    100  

Raymond James Financial, Inc.

    10,965  
    600  

Regions Financial Corporation

    14,514  
    208  

S&P Global, Inc.

    78,188  
    20  

Signature Bank

    6,898  
    220  

State Street Corporation

    18,773  
    20  

SVB Financial Group (a)

    12,120  
    320  

Synchrony Financial

    13,690  
    140  

T Rowe Price Group, Inc.

    20,238  
    140  

Travelers Companies, Inc.

    24,056  
    840  

Truist Financial Corporation

    52,265  
    840  

U.S. Bancorp

  47,494  
    80  

W.R. Berkley Corporation

    7,224  
    2,480  

Wells Fargo & Company

    132,358  
    60  

Willis Towers Watson plc

    13,338  
    80  

Zions Bancorporation

    5,671  
              2,587,951  
       

Health Care — 12.8%

       
    1,100  

Abbott Laboratories

    132,681  
    1,080  

AbbVie, Inc.

    159,591  
    20  

ABIOMED, Inc. (a)

    6,215  
    180  

Agilent Technologies, Inc.

    23,465  
    40  

Align Technology, Inc. (a)

    20,458  
    80  

AmerisourceBergen Corporation

    11,402  
    340  

Amgen, Inc.

    77,003  
    140  

Anthem, Inc.

    63,259  
    300  

Baxter International, Inc.

    25,491  
    180  

Becton Dickinson and Company

    48,830  
    80  

Biogen, Inc. (a)

    16,881  
    40  

Bio-Rad Laboratories, Inc. - Class A (a)

    25,038  
    20  

Bio-Techne Corporation

    8,388  
    900  

Boston Scientific Corporation (a)

    39,753  
    1,380  

Bristol-Myers Squibb Company

    94,765  
    160  

Cardinal Health, Inc.

    8,642  
    100  

Catalent, Inc. (a)

    10,204  
    360  

Centene Corporation (a)

    29,743  
    180  

Cerner Corporation

    16,785  
    20  

Charles River Laboratories International, Inc. (a)

    5,823  
    200  

Cigna Corporation

    47,556  
    20  

Cooper Companies, Inc.

    8,180  
    780  

CVS Health Corporation

    80,847  
    380  

Danaher Corporation

    104,276  
    40  

DaVita, Inc. (a)

    4,511  
    120  

DENTSPLY SIRONA, Inc.

    6,497  
    60  

DexCom, Inc. (a)

    24,835  
    380  

Edwards Lifesciences Corporation (a)

    42,701  
    500  

Eli Lilly & Company

    124,975  
    780  

Gilead Sciences, Inc.

    47,112  
    140  

HCA Healthcare, Inc.

    35,043  
    80  

Henry Schein, Inc. (a)

    6,910  
    160  

Hologic, Inc. (a)

    11,387  
    60  

Humana, Inc.

    26,059  
    40  

IDEXX Laboratories, Inc. (a)

    21,294  
    80  

Illumina, Inc. (a)

    26,128  
    100  

Incyte Corporation (a)

    6,830  

 

The accompanying notes are an integral part of these financial statements.

 

57

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide S&P 500® Risk-Managed Income ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 97.4% (e) (Continued)

       

Health Care — 12.8% (Continued)

    220  

Intuitive Surgical, Inc. (a)

  $ 63,873  
    120  

IQVIA Holdings, Inc. (a)

    27,614  
    1,620  

Johnson & Johnson

    266,604  
    60  

Laboratory Corporation of America Holdings (a)

    16,276  
    80  

McKesson Corporation

    21,997  
    840  

Medtronic plc

    88,192  
    1,580  

Merck & Company, Inc.

    120,996  
    20  

Mettler-Toledo International, Inc. (a)

    28,175  
    220  

Moderna, Inc. (a)

    33,792  
    160  

Organon & Company

    5,973  
    80  

PerkinElmer, Inc.

    14,369  
    3,460  

Pfizer, Inc.

    162,413  
    60  

Quest Diagnostics, Inc.

    7,876  
    60  

Regeneron Pharmaceuticals, Inc. (a)

    37,102  
    80  

ResMed, Inc.

    19,740  
    60  

STERIS plc

    14,400  
    200  

Stryker Corporation

    52,670  
    20  

Teleflex, Inc.

    6,726  
    240  

Thermo Fisher Scientific, Inc.

    130,560  
    580  

UnitedHealth Group, Inc.

    276,005  
    40  

Universal Health Services, Inc. - Class B

    5,757  
    140  

Vertex Pharmaceuticals, Inc. (a)

    32,203  
    740  

Viatris, Inc.

    8,147  
    20  

Waters Corporation (a)

    6,335  
    40  

West Pharmaceutical Services, Inc.

    15,483  
    120  

Zimmer Biomet Holdings, Inc.

    15,263  
    280  

Zoetis, Inc.

    54,222  
              2,982,321  
       

Industrials — 7.4%

       
    360  

3M Company

    53,514  
    80  

A.O. Smith Corporation

    5,486  
    60  

Alaska Air Group, Inc. (a)

    3,368  
    40  

Allegion plc

    4,581  
    400  

American Airlines Group, Inc. (a)

    6,900  
    140  

AMETEK, Inc.

    18,171  
    340  

Boeing Company (a)

    69,816  
    80  

C.H. Robinson Worldwide, Inc.

    7,734  
    540  

Carrier Global Corporation

    24,235  
    320  

Caterpillar, Inc.

    60,026  
    40  

Cintas Corporation

    15,013  
    120  

Copart, Inc. (a)

    14,746  
    1,380  

CSX Corporation

  46,796  
    80  

Cummins, Inc.

    16,330  
    160  

Deere & Company

    57,603  
    400  

Delta Air Lines, Inc. (a)

    15,968  
    80  

Dover Corporation

    12,549  
    240  

Eaton Corporation plc

    37,029  
    360  

Emerson Electric Company

    33,451  
    60  

Equifax, Inc.

    13,100  
    100  

Expeditors International of Washington, Inc.

    10,336  
    340  

Fastenal Company

    17,496  
    140  

FedEx Corporation

    31,118  
    220  

Fortive Corporation

    14,245  
    80  

Fortune Brands Home & Security, Inc.

    6,952  
    40  

Generac Holdings, Inc.

    12,619  
    140  

General Dynamics Corporation

    32,823  
    680  

General Electric Company

    64,947  
    420  

Honeywell International, Inc.

    79,695  
    240  

Howmet Aerospace, Inc.

    8,621  
    20  

Huntington Ingalls Industries, Inc.

    4,088  
    40  

IDEX Corporation

    7,676  
    160  

Illinois Tool Works, Inc.

    34,614  
    240  

Ingersoll Rand, Inc.

    12,125  
    80  

Jacobs Engineering Group, Inc.

    9,840  
    40  

JB Hunt Transport Services, Inc.

    8,117  
    440  

Johnson Controls International plc

    28,583  
    120  

L3Harris Technologies, Inc.

    30,277  
    80  

Leidos Holdings, Inc.

    8,147  
    140  

Lockheed Martin Corporation

    60,732  
    140  

Masco Corporation

    7,846  
    220  

Nielsen Holdings plc

    3,832  
    33  

Nordson Corporation

    7,474  
    140  

Norfolk Southern Corporation

    35,913  
    80  

Northrop Grumman Corporation

    35,371  
    40  

Old Dominion Freight Line, Inc.

    12,561  
    260  

Otis Worldwide Corporation

    20,366  
    200  

PACCAR, Inc.

    18,362  
    80  

Parker-Hannifin Corporation

    23,711  
    100  

Pentair plc

    5,791  
    80  

Quanta Services, Inc.

    8,715  
    940  

Raytheon Technologies Corporation

    96,538  
    120  

Republic Services, Inc.

    14,434  
    60  

Robert Half International, Inc.

    7,217  
    60  

Rockwell Automation, Inc.

    15,995  
    140  

Rollins, Inc.

    4,568  

 

The accompanying notes are an integral part of these financial statements.

 

58

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide S&P 500® Risk-Managed Income ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 97.4% (e) (Continued)

       

Industrials — 7.4% (Continued)

    60  

Roper Technologies, Inc.

  $ 26,893  
    20  

Snap-on, Inc.

    4,204  
    380  

Southwest Airlines Company (a)

    16,644  
    100  

Stanley Black & Decker, Inc.

    16,270  
    120  

Textron, Inc.

    8,776  
    140  

Trane Technologies plc

    21,550  
    20  

TransDigm Group, Inc.

    13,332  
    400  

Union Pacific Corporation

    98,380  
    200  

United Airlines Holdings, Inc. (a)

    8,880  
    440  

United Parcel Service, Inc. - Class B

    92,585  
    40  

United Rentals, Inc. (a)

    12,865  
    100  

Verisk Analytics, Inc.

    17,735  
    20  

W.W. Grainger, Inc.

    9,541  
    240  

Waste Management, Inc.

    34,655  
    100  

Westinghouse Air Brake Technologies Corporation

    9,282  
    100  

Xylem, Inc.

    8,895  
              1,718,648  
       

Information Technology — 27.7% (b)

    380  

Accenture plc - Class A

    120,088  
    300  

Adobe, Inc. (a)

    140,304  
    1,055  

Advanced Micro Devices, Inc. (a)

    130,118  
    100  

Akamai Technologies, Inc. (a)

    10,826  
    360  

Amphenol Corporation - Class A

    27,364  
    340  

Analog Devices, Inc.

    54,499  
    40  

ANSYS, Inc. (a)

    12,968  
    9,760  

Apple, Inc.

    1,611,572  
    580  

Applied Materials, Inc.

    77,836  
    120  

Arista Networks, Inc. (a)

    14,728  
    140  

Autodesk, Inc. (a)

    30,832  
    260  

Automatic Data Processing, Inc.

    53,154  
    240  

Broadcom, Inc.

    140,986  
    60  

Broadridge Financial Solutions, Inc.

    8,773  
    160  

Cadence Design Systems, Inc. (a)

    24,229  
    80  

CDW Corporation

    13,797  
    80  

Ceridian HCM Holding, Inc. (a)

    5,833  
    2,620  

Cisco Systems, Inc.

    146,117  
    60  

Citrix Systems, Inc.

    6,150  
    320  

Cognizant Technology Solutions Corporation - Class A

    27,562  
    480  

Corning, Inc.

    19,392  
    160  

DXC Technology Company (a)

    5,445  
    80  

Enphase Energy, Inc. (a)

  13,336  
    20  

EPAM Systems, Inc. (a)

    4,155  
    20  

F5, Inc. (a)

    4,017  
    380  

Fidelity National Information Services, Inc.

    36,187  
    360  

Fiserv, Inc. (a)

    35,161  
    40  

FleetCor Technologies, Inc. (a)

    9,368  
    80  

Fortinet, Inc. (a)

    27,562  
    40  

Gartner, Inc.

    11,217  
    180  

Global Payments, Inc.

    24,008  
    820  

Hewlett Packard Enterprise Company

    13,054  
    720  

HP, Inc.

    24,739  
    2,600  

Intel Corporation

    124,020  
    560  

International Business Machines Corporation

    68,606  
    160  

Intuit, Inc.

    75,899  
    20  

IPG Photonics Corporation

    2,607  
    40  

Jack Henry & Associates, Inc.

    7,072  
    200  

Juniper Networks, Inc.

    6,758  
    100  

Keysight Technologies, Inc. (a)

    15,737  
    80  

KLA Corporation

    27,880  
    80  

Lam Research Corporation

    44,908  
    540  

Mastercard, Inc. - Class A

    194,843  
    340  

Microchip Technology, Inc.

    23,912  
    700  

Micron Technology, Inc.

    62,202  
    4,720  

Microsoft Corporation

    1,410,288  
    20  

Monolithic Power Systems, Inc.

    9,174  
    100  

Motorola Solutions, Inc.

    22,043  
    140  

NetApp, Inc.

    10,973  
    360  

NortonLifeLock, Inc.

    10,433  
    1,620  

NVIDIA Corporation

    395,037  
    160  

NXP Semiconductors NV

    30,419  
    1,000  

Oracle Corporation

    75,970  
    200  

Paychex, Inc.

    23,812  
    20  

Paycom Software, Inc. (a)

    6,784  
    740  

PayPal Holdings, Inc. (a)

    82,828  
    60  

PTC, Inc. (a)

    6,677  
    60  

Qorvo, Inc. (a)

    8,207  
    700  

QUALCOMM, Inc.

    120,393  
    600  

salesforce.com, Inc. (a)

    126,318  
    120  

Seagate Technology Holdings plc

    12,379  
    120  

ServiceNow, Inc. (a)

    69,590  
    100  

Skyworks Solutions, Inc.

    13,817  
    20  

SolarEdge Technologies, Inc. (a)

    6,388  
    80  

Synopsys, Inc. (a)

    24,991  
    200  

TE Connectivity Ltd.

    28,485  
    20  

Teledyne Technologies, Inc. (a)

    8,588  

 

The accompanying notes are an integral part of these financial statements.

 

59

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide S&P 500® Risk-Managed Income ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 97.4% (e) (Continued)

       

Information Technology — 27.7% (b) (Continued)

    100  

Teradyne, Inc.

  $ 11,792  
    580  

Texas Instruments, Inc.

    98,594  
    160  

Trimble, Inc. (a)

    11,160  
    20  

Tyler Technologies, Inc. (a)

    8,565  
    60  

VeriSign, Inc.

    12,823  
    1,040  

Visa, Inc. - Class A

    224,764  
    200  

Western Digital Corporation (a)

    10,188  
    20  

Zebra Technologies Corporation - Class A (a)

    8,267  
              6,429,568  
       

Materials — 2.4%

       
    140  

Air Products and Chemicals, Inc.

    33,082  
    60  

Albemarle Corporation

    11,753  
    960  

Amcor plc

    11,165  
    40  

Avery Dennison Corporation

    7,048  
    200  

Ball Corporation

    17,949  
    60  

Celanese Corporation

    8,357  
    120  

CF Industries Holdings, Inc.

    9,743  
    440  

Corteva, Inc.

    22,893  
    460  

Dow, Inc.

    27,122  
    320  

DuPont de Nemours, Inc.

    24,758  
    80  

Eastman Chemical Company

    9,478  
    140  

Ecolab, Inc.

    24,676  
    80  

FMC Corporation

    9,380  
    920  

Freeport-McMoRan, Inc.

    43,194  
    160  

International Flavors & Fragrances, Inc.

    21,280  
    240  

International Paper Company

    10,447  
    320  

Linde plc

    93,837  
    160  

LyondellBasell Industries NV - Class A

    15,557  
    20  

Martin Marietta Materials, Inc.

    7,588  
    220  

Mosaic Company

    11,535  
    500  

Newmont Corporation

    33,100  
    160  

Nucor Corporation

    21,059  
    60  

Packaging Corporation of America

    8,831  
    140  

PPG Industries, Inc.

    18,683  
    80  

Sealed Air Corporation

    5,370  
    140  

Sherwin-Williams Company

    36,838  
    80  

Vulcan Materials Company

    14,516  
    160  

Westrock Company

    7,243  
              566,482  
       

Real Estate — 2.5%

       
    80  

Alexandria Real Estate Equities, Inc.

    15,152  
    280  

American Tower Corporation

  63,524  
    80  

AvalonBay Communities, Inc.

    19,087  
    80  

Boston Properties, Inc.

    9,785  
    200  

CBRE Group, Inc. - Class A (a)

    19,370  
    260  

Crown Castle International Corporation

    43,313  
    180  

Digital Realty Trust, Inc.

    24,286  
    240  

Duke Realty Corporation

    12,720  
    40  

Equinix, Inc.

    28,389  
    200  

Equity Residential

    17,060  
    40  

Essex Property Trust, Inc.

    12,687  
    80  

Extra Space Storage, Inc.

    15,052  
    40  

Federal Realty Investment Trust

    4,703  
    340  

Healthpeak Properties, Inc.

    10,560  
    440  

Host Hotels & Resorts, Inc.

    8,039  
    180  

Iron Mountain, Inc.

    8,852  
    380  

Kimco Realty Corporation

    8,941  
    60  

Mid-America Apartment Communities, Inc.

    12,277  
    460  

Prologis, Inc.

    67,092  
    80  

Public Storage

    28,402  
    360  

Realty Income Corporation

    23,792  
    80  

Regency Centers Corporation

    5,271  
    60  

SBA Communications Corporation

    18,203  
    200  

Simon Property Group, Inc.

    27,512  
    180  

UDR, Inc.

    9,877  
    240  

Ventas, Inc.

    12,960  
    100  

Vornado Realty Trust

    4,328  
    260  

Welltower, Inc.

    21,655  
    460  

Weyerhaeuser Company

    17,885  
              570,774  
       

Utilities — 2.5%

       
    420  

AES Corporation

    8,917  
    140  

Alliant Energy Corporation

    8,176  
    160  

Ameren Corporation

    13,752  
    300  

American Electric Power Company, Inc.

    27,195  
    100  

American Water Works Company, Inc.

    15,109  
    80  

Atmos Energy Corporation

    8,785  
    380  

CenterPoint Energy, Inc.

    10,393  
    180  

CMS Energy Corporation

    11,522  
    220  

Consolidated Edison, Inc.

    18,869  
    197  

Constellation Energy Corporation

    9,058  
    500  

Dominion Energy, Inc.

    39,766  
    120  

DTE Energy Company

    14,591  
    480  

Duke Energy Corporation

    48,197  

 

The accompanying notes are an integral part of these financial statements.

 

60

 

 

 

Schedules of Investments (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide S&P 500® Risk-Managed Income ETF (Continued)

 

 

Shares

 

Security Description

 

Value

 
       

COMMON STOCKS — 97.4% (e) (Continued)

       

Utilities — 2.5% (Continued)

    220  

Edison International

  $ 13,952  
    120  

Entergy Corporation

    12,625  
    140  

Evergy, Inc.

    8,737  
    200  

Eversource Energy

    16,360  
    600  

Exelon Corporation

    25,536  
    340  

FirstEnergy Corporation

    14,229  
    1,220  

NextEra Energy, Inc.

    95,488  
    240  

NiSource, Inc.

    6,943  
    140  

NRG Energy, Inc.

    5,298  
    60  

Pinnacle West Capital Corporation

    4,250  
    480  

PPL Corporation

    12,562  
    300  

Public Service Enterprise Group, Inc.

    19,449  
    200  

Sempra Energy

    28,844  
    660  

Southern Company

    42,748  
    180  

WEC Energy Group, Inc.

    16,358  
    320  

Xcel Energy, Inc.

    21,546  
              579,255  
       

TOTAL COMMON STOCKS (Cost $23,930,565)

    22,611,740  
                 

 

Contracts         Notional
Amount
       
      PURCHASED OPTIONS (c) — 1.0%
  51     S&P 500 Index Put, Expiration: 03/18/2022, Exercise Price: $4,165.00   $ 22,307,094       232,815  
        TOTAL PURCHASED OPTIONS (Cost $287,396)             232,815  

 

 

Shares

 

Security
Description

 

 

   

Value

 
       

SHORT-TERM INVESTMENTS — 3.0%

       

Money Market Funds — 3.0%

    697,809  

Invesco Government & Agency Portfolio - Institutional Class, 0.03% (d)

  $ 697,809  
       

TOTAL SHORT-TERM INVESTMENTS (Cost $697,809)

    697,809  
                         
       

Total Investments (Cost $24,915,770) — 101.4%

    23,542,364  
       

Liabilities in Excess of Other Assets — (1.4)%

    (318,640 )
       

TOTAL NET ASSETS — 100.0%

  $ 23,223,724  

 

Percentages are stated as a percent of net assets.

(a)

Non-income producing security.

(b)

To the extent the Fund invests more heavily in particular sectors of the economy, its performance will be especially sensitive to developments that significantly affect those sectors. See Note 9 in Notes to Financial Statements.

(c)

Exchange traded.

(d)

Rate shown is the annualized seven-day yield as of February 28, 2022.

(e)

All Common Stocks in this Schedule of Investments are held as collateral for the Written Option.

The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.

 

 

The accompanying notes are an integral part of these financial statements.

 

61

 

 

 

Schedules of Written Options

 

February 28, 2022 (Unaudited)

 

Nationwide S&P 500® Risk-Managed Income ETF

 

 

Contracts

 

Security Description

 

Notional
Amount

   

Value

 
       

WRITTEN OPTIONS (a) — (1.4)%

               
    (51 )

S&P 500 Index Call, Expiration: 03/18/2022, Exercise Price: $4,430.00

  $ (22,307,094 )   $ (335,835 )
       

TOTAL WRITTEN OPTIONS (Premiums Received $445,955)

          $ (335,835 )

 

(a)

Exchange traded.

 

 

The accompanying notes are an integral part of these financial statements.

 

62

 

 

 

Statements of Assets and Liabilities

 

February 28, 2022 (Unaudited)

 

   

Nationwide
Risk-Based
U.S. Equity
ETF

   

Nationwide
Risk-Based
International
Equity ETF

   

Nationwide
Maximum
Diversification
U.S. Core
Equity ETF

   

Nationwide
Nasdaq-100
®
Risk-Managed
Income ETF

 

ASSETS

                               

Investments in securities, at value * + (Note 2)

  $ 149,986,078     $ 123,016,305     $ 132,340,228     $ 880,216,798  

Dividends and interest receivable

    196,698       185,680       131,801       636,609  

Securities lending income receivable

    1,896       165       4,021        

Reclaims receivable

    828       351,234              

Receivable for securities sold

                       

Receivable for capital shares sold

                       

Total assets

    150,185,500       123,553,384       132,476,050       880,853,407  
                                 

LIABILITIES

                               

Written options, at value (premiums received, $0, $0, $0, $22,826,120)

                      19,021,280  

Collateral received for securities loaned (Note 4)

    32,901,733       1,904,391       31,137,816        

Management fees payable

    27,374       39,729       26,541       463,845  

Payable for securities purchased

                       

Foreign currency due to custodian, at value*

          497              

Total liabilities

    32,929,107       1,944,617       31,164,357       19,485,125  
                                 

NET ASSETS

  $ 117,256,393     $ 121,608,767     $ 101,311,693     $ 861,368,282  
                                 

Net Assets Consist of:

                               

Paid-in capital

  $ 111,849,483     $ 135,438,709     $ 86,440,951     $ 960,959,019  

Total distributable earnings (accumulated deficit)

    5,406,910       (13,829,942 )     14,870,742       (99,590,737 )

Net assets

  $ 117,256,393     $ 121,608,767     $ 101,311,693     $ 861,368,282  
                                 
                                 

Net Asset Value:

                               

Net assets

  $ 117,256,393     $ 121,608,767     $ 101,311,693     $ 861,368,282  

Shares outstanding ^

    3,075,000       4,700,000       2,750,000       35,050,000  

Net asset value, offering and redemption price per share

  $ 38.13     $ 25.87     $ 36.84     $ 24.58  

* Identified cost:

                               

Investments in securities

  $ 141,813,160     $ 120,746,088     $ 120,669,921     $ 883,532,717  

Foreign currency

          (1,007 )            

+ Includes loaned securities with a value of

  $ 32,359,283     $ 2,329,218     $ 30,795,820     $  

 

 

The accompanying notes are an integral part of these financial statements.

 

63

 

 

 

Statements of Assets and Liabilities (Continued)

 

February 28, 2022 (Unaudited)

 

   

Nationwide
Dow Jones
®
Risk-Managed
Income ETF

   

Nationwide
Russell 2000
®
Risk-Managed
Income ETF

   

Nationwide
S&P 500
®
Risk-Managed
Income ETF

 

ASSETS

                       

Investments in securities, at value * + (Note 2)

  $ 28,309,547     $ 16,989,553     $ 23,542,364  

Dividends and interest receivable

    64,735       8,617       28,871  

Securities lending income receivable

                 

Reclaims receivable

          21        

Receivable for securities sold

    8,205       4,405        

Receivable for capital shares sold

    1,172,920              

Total assets

    29,555,407       17,002,596       23,571,235  
                         

LIABILITIES

                       

Written options, at value (premiums received, $447,864, $423,719, $445,955)

    217,948       427,880       335,835  

Collateral received for securities loaned (Note 4)

                 

Management fees payable

    14,165       8,674       11,676  

Payable for securities purchased

    1,174,319              

Foreign currency due to custodian, at value*

                 

Total liabilities

    1,406,432       436,554       347,511  
                         

NET ASSETS

  $ 28,148,975     $ 16,566,042     $ 23,223,724  
                         

Net Assets Consist of:

                       

Paid-in capital

  $ 29,627,485       17,551,575     $ 24,756,905  

Total distributable earnings (accumulated deficit)

    (1,478,510 )     (985,533 )     (1,533,181 )

Net assets

  $ 28,148,975     $ 16,566,042     $ 23,223,724  
                         
                         

Net Asset Value:

                       

Net assets

  $ 28,148,975     $ 16,566,042     $ 23,223,724  

Shares outstanding ^

    1,200,000       700,000       1,000,000  

Net asset value, offering and redemption price per share

  $ 23.46     $ 23.67     $ 23.22  

* Identified cost:

                       

Investments in securities

  $ 29,637,452     $ 18,130,031     $ 24,915,770  

Foreign currency

        $        

+ Includes loaned securities with a value of

  $     $     $  

 

^

No par value, unlimited number of shares authorized.

 

The accompanying notes are an integral part of these financial statements.

 

64

 

 

 

Statements of Operations

 

For the Six-Months/Period Ended February 28, 2022 (Unaudited)

 

   

Nationwide
Risk-Based
U.S. Equity
ETF

   

Nationwide
Risk-Based
International
Equity ETF

   

Nationwide
Maximum
Diversification
U.S. Core
Equity ETF

   

Nationwide
Nasdaq-100
®
Risk-Managed
Income ETF

 

INCOME

                               

Dividends*

  $ 1,087,171     $ 927,739     $ 786,397     $ 2,808,219  

Non-cash dividends

          509,964              

Interest

    35       37       30       482  

Securities lending income, net (Note 4)

    11,181       20,564       16,437        

Total investment income

    1,098,387       1,458,304       802,864       2,808,701  
                                 

EXPENSES

                               

Management fees

    187,362       269,675       188,423       2,694,441  

Total expenses

    187,362       269,675       188,423       2,694,441  

Net investment income (loss)

    911,025       1,188,629       614,441       114,260  
                                 

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS

                               

Net realized gain (loss) on:

                               

Investments

    1,887,319       (1,526,411 )     5,956,918       (8,490,477 )

Written options

                      1,495,113  

Foreign currency transactions

          20,375       2        

Change in unrealized appreciation (depreciation) on:

                               

Investments

    (7,575,916 )     (11,514,644 )     (19,619,185 )     (97,256,262 )

Written options

                      3,804,840  

Foreign currency translation

          (10,759 )            

Net realized and unrealized gain (loss) on investments

    (5,688,597 )     (13,031,439 )     (13,662,265 )     (100,446,786 )

Net increase (decrease) in net assets resulting from operations

  $ (4,777,572 )   $ (11,842,810 )   $ (13,047,824 )   $ (100,332,526 )
                                 

* Net of foreign withholding taxes

  $     $ 173,625     $     $ 3,594  

 

 

The accompanying notes are an integral part of these financial statements.

 

65

 

 

 

Statements of Operations (Continued)

 

For the Six-Months/Period Ended February 28, 2022 (Unaudited)

 

   

Nationwide
Dow Jones
®
Risk-Managed
Income ETF
(1)

   

Nationwide
Russell 2000
®
Risk-Managed
Income ETF
(1)

   

Nationwide
S&P 500
®
Risk-Managed
Income ETF
(1)

 

INCOME

                       

Dividends*

  $ 82,984     $ 32,269     $ 54,232  

Non-cash dividends

                 

Interest

    7       39       32  

Securities lending income, net (Note 4)

                 

Total investment income

    82,991       32,308       54,264  
                         

EXPENSES

                       

Management fees

    29,514       21,809       25,679  

Total expenses

    29,514       21,809       25,679  

Net investment income (loss)

    53,477       10,499       28,585  
                         

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS

                       

Net realized gain (loss) on:

                       

Investments

    (368,296 )     (418,591 )     (305,295 )

Written options

    331,291       847,631       339,099  

Foreign currency transactions

                 

Change in unrealized appreciation (depreciation) on:

                       

Investments

    (1,327,905 )     (1,140,478 )     (1,373,406 )

Written options

    229,916       (4,161 )     110,120  

Foreign currency translation

                 

Net realized and unrealized gain (loss) on investments

    (1,134,994 )     (715,599 )     (1,229,482 )

Net increase (decrease) in net assets resulting from operations

  $ (1,081,517 )   $ (705,100 )   $ (1,200,897 )
                         

* Net of foreign withholding taxes

  $     $     $  

 

(1)

The Fund commenced operations on December 16, 2021. The information presented is for the period from December 16, 2021 to February 28, 2022.

 

The accompanying notes are an integral part of these financial statements.

 

66

 

 

 

Statements of Changes in Net Assets

 

 

Nationwide Risk-Based U.S. Equity ETF

 

   

Six-Months
Ended
February 28,
2022
(Unaudited)

   

Year Ended
August 31, 2021

 

OPERATIONS

               

Net investment income (loss)

  $ 911,025     $ 1,328,834  

Net realized gain (loss) on investments and foreign currency

    1,887,319       28,869,105  

Change in unrealized appreciation (depreciation) on investments and foreign currency

    (7,575,916 )     (3,944,816 )

Net increase (decrease) in net assets resulting from operations

    (4,777,572 )     26,253,123  
                 

DISTRIBUTIONS TO SHAREHOLDERS

               

Net distributions to shareholders

    (1,556,646 )     (1,476,799 )

Total distributions to shareholders

    (1,556,646 )     (1,476,799 )
                 

CAPITAL SHARE TRANSACTIONS

               

Proceeds from shares sold

          78,243,633  

Payments for shares redeemed

    (5,996,160 )     (81,181,680 )

Net increase (decrease) in net assets derived from capital share transactions (a)

    (5,996,160 )     (2,938,047 )

Net increase (decrease) in net assets

  $ (12,330,378 )   $ 21,838,277  
                 

NET ASSETS

               

Beginning of period/year

  $ 129,586,771     $ 107,748,494  

End of period/year

  $ 117,256,393     $ 129,586,771  

 

(a)

A summary of capital share transactions is as follows:

   

Shares

   

Shares

 

Shares sold

          2,075,000  

Shares redeemed

    (150,000 )     (2,175,000 )

Net increase (decrease)

    (150,000 )     (100,000 )

 

 

The accompanying notes are an integral part of these financial statements.

 

67

 

 

 

Statements of Changes in Net Assets (Continued)

 

 

Nationwide Risk-Based International Equity ETF

 

   

Six-Months
Ended
February 28,
2022
(Unaudited)

   

Year Ended
August 31, 2021

 

OPERATIONS

               

Net investment income (loss)

  $ 1,188,629     $ 2,512,391  

Net realized gain (loss) on investments and foreign currency

    (1,506,036 )     13,911,752  

Change in unrealized appreciation (depreciation) on investments and foreign currency

    (11,525,403 )     2,789,074  

Net increase (decrease) in net assets resulting from operations

    (11,842,810 )     19,213,217  
                 

DISTRIBUTIONS TO SHAREHOLDERS

               

Net distributions to shareholders

    (3,480,771 )     (2,149,338 )

Total distributions to shareholders

    (3,480,771 )     (2,149,338 )
                 

CAPITAL SHARE TRANSACTIONS

               

Proceeds from shares sold

    2,121,555       46,707,375  

Payments for shares redeemed

          (41,140,420 )

Transaction fees (Note 8)

    53       1,865  

Net increase (decrease) in net assets derived from capital share transactions (a)

    2,121,608       5,568,820  

Net increase (decrease) in net assets

  $ (13,201,973 )   $ 22,632,699  
                 

NET ASSETS

               

Beginning of period/year

  $ 134,810,740     $ 112,178,041  

End of period/year

  $ 121,608,767     $ 134,810,740  

 

(a)

A summary of capital share transactions is as follows:

   

Shares

   

Shares

 

Shares sold

    75,000       1,625,000  

Shares redeemed

          (1,450,000 )

Net increase (decrease)

    75,000       175,000  

 

 

The accompanying notes are an integral part of these financial statements.

 

68

 

 

 

Statements of Changes in Net Assets (Continued)

 

 

Nationwide Maximum Diversification U.S. Core Equity ETF

 

   

Six-Months
Ended
February 28,
2022
(Unaudited)

   

Year Ended
August 31, 2021

 

OPERATIONS

               

Net investment income (loss)

  $ 614,441     $ 1,152,266  

Net realized gain (loss) on investments and foreign currency

    5,956,920       12,985,252  

Change in unrealized appreciation (depreciation) on investments and foreign currency

    (19,619,185 )     11,683,009  

Net increase (decrease) in net assets resulting from operations

    (13,047,824 )     25,820,527  
                 

DISTRIBUTIONS TO SHAREHOLDERS

               

Net distributions to shareholders

    (1,182,986 )     (1,901,945 )

Total distributions to shareholders

    (1,182,986 )     (1,901,945 )
                 

CAPITAL SHARE TRANSACTIONS

               

Proceeds from shares sold

    8,173,585       16,434,355  

Payments for shares redeemed

    (13,499,563 )     (20,102,342 )

Net increase (decrease) in net assets derived from capital share transactions (a)

    (5,325,978 )     (3,667,987 )

Net increase (decrease) in net assets

  $ (19,556,788 )   $ 20,250,595  
                 

NET ASSETS

               

Beginning of period/year

  $ 120,868,481     $ 100,617,886  

End of period/year

  $ 101,311,693     $ 120,868,481  

 

(a)

A summary of capital share transactions is as follows:

   

Shares

   

Shares

 

Shares sold

    200,000       450,000  

Shares redeemed

    (325,000 )     (550,000 )

Net increase (decrease)

    (125,000 )     (100,000 )

 

 

The accompanying notes are an integral part of these financial statements.

 

69

 

 

 

Statements of Changes in Net Assets (Continued)

 

 

Nationwide Nasdaq-100® Risk-Managed Income ETF

 

   

Six-Months
Ended
February 28,
2022
(Unaudited)

   

Year Ended
August 31, 2021

 

OPERATIONS

               

Net investment income (loss)

  $ 114,260     $ 189,278  

Net realized gain (loss) on investments and written options

    (6,995,364 )     (36,835,528 )

Change in unrealized appreciation (depreciation) on investments and written options

    (93,451,422 )     70,848,932  

Net increase (decrease) in net assets resulting from operations

    (100,332,526 )     34,202,682  
                 

DISTRIBUTIONS TO SHAREHOLDERS

               

Net distributions to shareholders

    (31,667,276 )     (189,278 )

Tax return of capital to shareholders

          (20,717,538 )

Total distributions to shareholders

    (31,667,276 )     (20,906,816 )
                 

CAPITAL SHARE TRANSACTIONS

               

Proceeds from shares sold

    469,749,475       468,649,890  

Payments for shares redeemed

    (58,681,855 )     (27,653,610 )

Net increase (decrease) in net assets derived from capital share transactions (a)

    411,067,620       440,996,280  

Net increase (decrease) in net assets

  $ 279,067,818     $ 454,292,146  
                 

NET ASSETS

               

Beginning of period/year

  $ 582,300,464     $ 128,008,318  

End of period/year

  $ 861,368,282     $ 582,300,464  

 

(a)

A summary of capital share transactions is as follows:

   

Shares

   

Shares

 

Shares sold

    16,900,000       16,850,000  

Shares redeemed

    (2,200,000 )     (1,050,000 )

Net increase (decrease)

    14,700,000       15,800,000  

 

 

The accompanying notes are an integral part of these financial statements.

 

70

 

 

 

Statements of Changes in Net Assets (Continued)

 

 

Nationwide Dow Jones® Risk-Managed Income ETF

 

   

Period Ended
February 28,
2022
(1)
(Unaudited)

 

OPERATIONS

       

Net investment income (loss)

  $ 53,477  

Net realized gain (loss) on investments and written options

    (37,005 )

Change in unrealized appreciation (depreciation) on investments and written options

    (1,097,989 )

Net increase (decrease) in net assets resulting from operations

    (1,081,517 )
         

DISTRIBUTIONS TO SHAREHOLDERS

       

Net distributions to shareholders

    (396,993 )

Total distributions to shareholders

    (396,993 )
         

CAPITAL SHARE TRANSACTIONS

       

Proceeds from shares sold

    29,627,485  

Payments for shares redeemed

     

Net increase (decrease) in net assets derived from capital share transactions (a)

    29,627,485  

Net increase (decrease) in net assets

  $ 28,148,975  
         

NET ASSETS

       

Beginning of period

  $  

End of period

  $ 28,148,975  

 

(a)

A summary of capital share transactions is as follows:

   

Shares

 

Shares sold

    1,200,000  

Shares redeemed

     

Net increase (decrease)

    1,200,000  

 

(1)

Inception date of December 16, 2021. The information shown is for the period from December 16, 2021 to February 28, 2022.

 

The accompanying notes are an integral part of these financial statements.

 

71

 

 

 

Statements of Changes in Net Assets (Continued)

 

 

Nationwide Russell 2000® Risk-Managed Income ETF

 

   

Period Ended
February 28,
2022
(1)
(Unaudited)

 

OPERATIONS

       

Net investment income (loss)

  $ 10,499  

Net realized gain (loss) on investments

    429,040  

Change in unrealized appreciation (depreciation) on investments and written options

    (1,144,639 )

Net increase (decrease) in net assets resulting from operations

    (705,100 )
         

DISTRIBUTIONS TO SHAREHOLDERS

       

Net distributions to shareholders

    (280,433 )

Total distributions to shareholders

    (280,433 )
         

CAPITAL SHARE TRANSACTIONS

       

Proceeds from shares sold

    17,551,575  

Payments for shares redeemed

     

Net increase (decrease) in net assets derived from capital share transactions (a)

    17,551,575  

Net increase (decrease) in net assets

  $ 16,566,042  
         

NET ASSETS

       

Beginning of period

  $  

End of period

  $ 16,566,042  

 

(a)

A summary of capital share transactions is as follows:

   

Shares

 

Shares sold

    700,000  

Shares redeemed

     

Net increase (decrease)

    700,000  

 

(1)

Inception date of December 16, 2021. The information shown is for the period from December 16, 2021 to February 28, 2022.

 

The accompanying notes are an integral part of these financial statements.

 

72

 

 

 

Statements of Changes in Net Assets (Continued)

 

 

Nationwide S&P 500® Risk-Managed Income ETF

 

   

Period Ended
February 28,
2022
(1)
(Unaudited)

 

OPERATIONS

       

Net investment income (loss)

  $ 28,585  

Net realized gain (loss) on investments

    33,804  

Change in unrealized appreciation (depreciation) on investments and written options

    (1,263,286 )

Net increase (decrease) in net assets resulting from operations

    (1,200,897 )
         

DISTRIBUTIONS TO SHAREHOLDERS

       

Net distributions to shareholders

    (332,284 )

Total distributions to shareholders

    (332,284 )
         

CAPITAL SHARE TRANSACTIONS

       

Proceeds from shares sold

    24,756,905  

Payments for shares redeemed

     

Net increase (decrease) in net assets derived from capital share transactions (a)

    24,756,905  

Net increase (decrease) in net assets

  $ 23,223,724  
         

NET ASSETS

       

Beginning of period

  $  

End of period

  $ 23,223,724  

 

(a)

A summary of capital share transactions is as follows:

   

Shares

 

Shares sold

    1,000,000  

Shares redeemed

     

Net increase (decrease)

    1,000,000  

 

(1)

Inception date of December 16, 2021. The information shown is for the period from December 16, 2021 to February 28, 2022.

 

The accompanying notes are an integral part of these financial statements.

 

73

 

 

 

Financial Highlights

 

For a capital share outstanding throughout the period/year

 

Nationwide Risk-Based U.S. Equity ETF

 

   

Period Ended
February 28,
2022
(Unaudited)

   

Year Ended August 31,

   

Period Ended
August 31,
2018
(1)

 
       

2021

   

2020

   

2019

     

Net asset value, beginning of period/year

  $ 40.18     $ 32.41     $ 29.21     $ 27.79     $ 25.00  
                                         

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

                                       

Net investment income (loss) (2)

    0.29       0.42       0.48       0.53       0.51  

Net realized and unrealized gain (loss) on investments and foreign currency (3)

    (1.85 )     7.82       3.28       1.49       2.41  

Total from investment operations

    (1.56 )     8.24       3.76       2.02       2.92  
                                         

DISTRIBUTIONS TO SHAREHOLDERS:

                                       

From net investment income

    (0.49 )     (0.47 )     (0.56 )     (0.60 )     (0.11 )

From realized gains

                            (0.02 )

Total distributions to shareholders

    (0.49 )     (0.47 )     (0.56 )     (0.60 )     (0.13 )
                                         

Net asset value, end of period/year

  $ 38.13     $ 40.18     $ 32.41     $ 29.21     $ 27.79  
                                         

Total return

    -3.95 %(4)     25.66 %     13.00 %     7.70 %     11.70 %(4)
                                         

SUPPLEMENTAL DATA:

                                       

Net assets at end of period/year (000’s)

  $ 117,256     $ 129,587     $ 107,748     $ 114,637     $ 118,101  
                                         

RATIOS TO AVERAGE NET ASSETS:

                                       

Expenses to average net assets

    0.30 %(5)     0.30 %     0.30 %     0.30 %     0.30 %(5)

Net investment income (loss) to average net assets

    1.46 %(5)     1.16 %     1.64 %     1.95 %     2.03 %(5)
                                         

Portfolio turnover rate (6)

    27 %(4)     57 %     73 %     76 %     87 %(4)

 

(1)

Inception date of September 15, 2017.

(2)

Calculated based on average shares outstanding during the period/year.

(3)

Net realized and unrealized gain (loss) per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gain (loss) in the Statement of Operations due to share transactions for the period.

(4)

Not annualized.

(5)

Annualized.

(6)

Excludes the impact of in-kind transactions.

 

 

The accompanying notes are an integral part of these financial statements.

 

74

 

 

 

Financial Highlights (Continued)

 

For a capital share outstanding throughout the period/year

 

Nationwide Risk-Based International Equity ETF

 

   

Period Ended
February 28,
2022
(Unaudited)

   

Year Ended August 31,

   

Period Ended
August 31,
2018
(1)

 
       

2021

   

2020

   

2019

     

Net asset value, beginning of period/year

  $ 29.15     $ 25.21     $ 24.70     $ 25.99     $ 25.00  
                                         

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

                                       

Net investment income (loss) (2)

    0.25       0.57       0.46       0.68       0.59  

Net realized and unrealized gain (loss) on investments and foreign currency (3)

    (2.79 )     3.86       0.73       (1.30 )     0.53  

Total from investment operations

    (2.54 )     4.43       1.19       (0.62 )     1.12  
                                         

DISTRIBUTIONS TO SHAREHOLDERS:

                                       

From net investment income

    (0.74 )     (0.49 )     (0.68 )     (0.67 )     (0.11 )

From realized gains

                            (0.02 )

Total distributions to shareholders

    (0.74 )     (0.49 )     (0.68 )     (0.67 )     (0.13 )
                                         

CAPITAL SHARE TRANSACTIONS

                                       

Transaction fees (Note 8)

    0.00 (4)      0.00 (4)      0.00 (4)            0.00 (4) 
                                         

Net asset value, end of period/year

  $ 25.87     $ 29.15     $ 25.21     $ 24.70     $ 25.99  
                                         

Total return

    -8.81 %(5)     17.70 %     4.77 %     -2.14 %     4.48 %(5)
                                         

SUPPLEMENTAL DATA:

                                       

Net assets at end of period/year (000’s)

  $ 121,609     $ 134,811     $ 112,178     $ 116,709     $ 119,550  
                                         

RATIOS TO AVERAGE NET ASSETS:

                                       

Expenses to average net assets

    0.42 %(6)     0.42 %     0.42 %     0.42 %     0.42 %(6)

Net investment income (loss) to average net assets

    1.85 %(6)     2.09 %     1.89 %     2.74 %     2.36 %(6)
                                         

Portfolio turnover rate (7)

    37 %(5)     66 %     78 %     98 %     145 %(5)

 

(1)

Inception date of September 15, 2017.

(2)

Calculated based on average shares outstanding during the period/year.

(3)

Net realized and unrealized gain (loss) per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gain (loss) in the Statement of Operations due to share transactions for the period.

(4)

Less than $0.005.

(5)

Not annualized.

(6)

Annualized.

(7)

Excludes the impact of in-kind transactions.

 

The accompanying notes are an integral part of these financial statements.

 

75

 

 

 

Financial Highlights (Continued)

 

For a capital share outstanding throughout the period/year

 

Nationwide Maximum Diversification U.S. Core Equity ETF

 

   

Period Ended
February 28,
2022
(Unaudited)

   

Year Ended August 31,

   

Period Ended
August 31,
2018
(1)

 
       

2021

   

2020

   

2019

     

Net asset value, beginning of period/year

  $ 42.04     $ 33.82     $ 29.16     $ 29.69     $ 25.00  
                                         

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

                                       

Net investment income (loss) (2)

    0.22       0.39       0.64       0.49       0.35  

Net realized and unrealized gain (loss) on investments and foreign currency (3)

    (4.98 )     8.49       4.54       (0.60 )     4.46  

Total from investment operations

    (4.76 )     8.88       5.18       (0.11 )     4.81  
                                         

DISTRIBUTIONS TO SHAREHOLDERS:

                                       

From net investment income

    (0.44 )     (0.66 )     (0.52 )     (0.42 )     (0.12 )

From realized gains

                            (0.00 )(4)

Total distributions to shareholders

    (0.44 )     (0.66 )     (0.52 )     (0.42 )     (0.12 )
                                         

CAPITAL SHARE TRANSACTIONS

                                       

Transaction fees (Note 8)

                      0.00 (4)       
                                         

Net asset value, end of period/year

  $ 36.84     $ 42.04     $ 33.82     $ 29.16     $ 29.69  
                                         

Total return

    -11.41 %(5)     26.54 %     17.96 %     -0.11 %     19.27 %(5)
                                         

SUPPLEMENTAL DATA:

                                       

Net assets at end of period/year (000’s)

  $ 101,312     $ 120,868     $ 100,618     $ 105,699     $ 114,298  
                                         

RATIOS TO AVERAGE NET ASSETS:

                                       

Expenses to average net assets

    0.34 %(6)     0.34 %     0.34 %     0.34 %     0.34 %(6)

Net investment income (loss) to average net assets

    1.11 %(6)     1.04 %     2.11 %     1.75 %     1.35 %(6)
                                         

Portfolio turnover rate (7)

    13 %(5)     35 %     40 %     37 %     26 %(5)

 

(1)

Inception date of September 15, 2017.

(2)

Calculated based on average shares outstanding during the period/year.

(3)

Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gains and losses in the Statement of Operations due to share transactions for the period.

(4)

Less than $0.005.

(5)

Not annualized.

(6)

Annualized.

(7)

Excludes the impact of in-kind transactions.

 

The accompanying notes are an integral part of these financial statements.

 

76

 

 

 

Financial Highlights (Continued)

 

For a capital share outstanding throughout the period/year

 

Nationwide Nasdaq-100® Risk-Managed Income ETF    

 

   

Period Ended
February 28,
2022
(Unaudited)

   

Year Ended
August 31,
2021
(1)

   

Period Ended
August 31,
2020
(1)

 

Net asset value, beginning of period/year

  $ 28.61     $ 28.13     $ 25.00  
                         

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

                       

Net investment income (loss) (2)

    0.00 (3)      0.02       0.05  

Net realized and unrealized gain (loss) on investments (4)

    (2.97 )     2.59       4.61  

Total from investment operations

    (2.97 )     2.61       4.66  
                         

DISTRIBUTIONS TO SHAREHOLDERS:

                       

From net investment income

    (1.06 )     (0.02 )     (0.04 )

Tax return of capital to shareholders

          (2.11 )     (1.49 )

Total distributions to shareholders

    (1.06 )     (2.13 )     (1.53 )
                         

Net asset value, end of period/year

  $ 24.58     $ 28.61     $ 28.13  
                         

Total return

    -10.70 %(5)     9.61 %(6)     19.72 %(5)(6)
                         

SUPPLEMENTAL DATA:

                       

Net assets at end of period/year (000’s)

  $ 861,368     $ 582,300     $ 128,008  
                         

RATIOS TO AVERAGE NET ASSETS:

                       

Expenses to average net assets

    0.68 %(7)     0.68 %     0.68 %(7)

Net investment income (loss) to average net assets

    0.03 %(7)     0.07 %     0.25 %(7)
                         

Portfolio turnover rate (8)

    8 %(5)     10 %     11 %(5)

 

(1)

Inception date of December 19, 2019.

(2)

Calculated based on average shares outstanding during the period/year.

(3)

Less than $0.005.

(4)

Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gains and losses in the Statement of Operations due to share transactions for the period.

(5)

Not annualized.

(6)

The return reflects the actual performance for the period and does not include the impact of adjustments made in accordance with generally accepted accounting principles in the United States of America (“U.S. GAAP”). Had the adjustments been included, the total return for the periods ended August 31, 2021 and 2020 would have been 9.96% and 19.33%, respectively.

(7)

Annualized.

(8)

Excludes the impact of in-kind transactions.

 

 

The accompanying notes are an integral part of these financial statements.

 

77

 

 

 

Financial Highlights (Continued)

 

For a capital share outstanding throughout the period

 

Nationwide Dow Jones® Risk-Managed Income ETF

 

   

Period Ended
February 28,
2022
(1)
(Unaudited)

 

Net asset value, beginning of period

  $ 25.00  
         

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

       

Net investment income (loss) (2)

    0.06  

Net realized and unrealized gain (loss) on investments (3)

    (1.18 )

Total from investment operations

    (1.12 )
         

DISTRIBUTIONS TO SHAREHOLDERS:

       

From net investment income

    (0.42 )

Total distributions to shareholders

    (0.42 )
         

Net asset value, end of period

  $ 23.46  
         

Total return

    -4.51 %(4)
         

SUPPLEMENTAL DATA:

       

Net assets at end of period (000’s)

  $ 28,149  
         

RATIOS TO AVERAGE NET ASSETS:

       

Expenses to average net assets

    0.68 %(5)

Net investment income (loss) to average net assets

    1.23 %(5)
         

Portfolio turnover rate (6)

    2 %(4)

 

(1)

Inception date of December 16, 2021.

(2)

Calculated based on average shares outstanding during the period.

(3)

Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gains and losses in the Statement of Operations due to share transactions for the period.

(4)

Not annualized.

(5)

Annualized.

(6)

Excludes the impact of in-kind transactions.

 

 

The accompanying notes are an integral part of these financial statements.

 

78

 

 

 

Financial Highlights (Continued)

 

For a capital share outstanding throughout the period

 

Nationwide Russell 2000® Risk-Managed Income ETF

 

   

Period Ended
February 28,
2022
(1)
(Unaudited)

 

Net asset value, beginning of period

  $ 25.00  
         

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

       

Net investment income (loss) (2)

    0.02  

Net realized and unrealized gain (loss) on investments (3)

    (0.93 )

Total from investment operations

    (0.91 )
         

DISTRIBUTIONS TO SHAREHOLDERS:

       

From net investment income

    (0.42 )

Total distributions to shareholders

    (0.42 )
         

Net asset value, end of period

  $ 23.67  
         

Total return

    -3.67 %(4)
         

SUPPLEMENTAL DATA:

       

Net assets at end of period (000’s)

  $ 16,566  
         

RATIOS TO AVERAGE NET ASSETS:

       

Expenses to average net assets

    0.68 %(5)

Net investment income (loss) to average net assets

    0.33 %(5)
         

Portfolio turnover rate (6)

    1 %(4)

 

(1)

Inception date of December 16, 2021.

(2)

Calculated based on average shares outstanding during the period.

(3)

Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gains and losses in the Statement of Operations due to share transactions for the period.

(4)

Not annualized.

(5)

Annualized.

(6)

Excludes the impact of in-kind transactions.

 

 

The accompanying notes are an integral part of these financial statements.

 

79

 

 

 

Financial Highlights (Continued)

 

For a capital share outstanding throughout the period

 

Nationwide S&P 500® Risk-Managed Income ETF

 

   

Period Ended
February 28,
2022
(1)
(Unaudited)

 

Net asset value, beginning of period

  $ 25.00  
         

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

       

Net investment income (loss) (2)

    0.04  

Net realized and unrealized gain (loss) on investments (3)

    (1.40 )

Total from investment operations

    (1.36 )
         

DISTRIBUTIONS TO SHAREHOLDERS:

       

From net investment income

    (0.42 )

Total distributions to shareholders

    (0.42 )
         

Net asset value, end of period

  $ 23.22  
         

Total return

    -5.47 %(4)
         

SUPPLEMENTAL DATA:

       

Net assets at end of period (000’s)

  $ 23,224  
         

RATIOS TO AVERAGE NET ASSETS:

       

Expenses to average net assets

    0.68 %(5)

Net investment income (loss) to average net assets

    0.76 %(5)
         

Portfolio turnover rate (6)

    0 %(4)

 

(1)

Inception date of December 16, 2021.

(2)

Calculated based on average shares outstanding during the period.

(3)

Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gains and losses in the Statement of Operations due to share transactions for the period.

(4)

Not annualized.

(5)

Annualized.

(6)

Excludes the impact of in-kind transactions.

 

 

The accompanying notes are an integral part of these financial statements.

 

80

 

 

 

Notes to Financial Statements

 

February 28, 2022 (Unaudited)

 

NOTE 1 – ORGANIZATION

 

Nationwide Risk-Based U.S. Equity ETF, Nationwide Risk-Based International Equity ETF and Nationwide Maximum Diversification U.S. Core Equity ETF are each a diversified series and Nationwide Nasdaq-100® Risk-Managed Income ETF, Nationwide Dow Jones® Risk-Managed Income ETF, Nationwide Russell 2000® Risk-Managed Income ETF and Nationwide S&P 500® Risk-Managed Income ETF are each a non-diversified series (individually each a “Fund” or collectively the “Funds”) of ETF Series Solutions (“ESS” or the “Trust”), an open-end management investment company consisting of multiple investment series, organized as a Delaware statutory trust on February 9, 2012. The Trust is registered with the Securities and Exchange Commission (“SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company and the offering of the Funds’ shares is registered under the Securities Act of 1933, as amended (the “Securities Act”). The investment objective of Nationwide Risk-Based U.S. Equity ETF is to track the performance of the Rothschild & Co Risk-Based US IndexSM. The investment objective of Nationwide Risk-Based International Equity ETF is to track the performance of the Rothschild & Co Risk-Based International IndexSM. The investment objective of Nationwide Maximum Diversification U.S. Core Equity ETF is to track the performance of the TOBAM Maximum Diversification® USA Index. The investment objective of Nationwide Nasdaq 100® Risk-Managed Income ETF, Nationwide Dow Jones® Risk-Managed Income ETF, Nationwide Russell 2000® Risk-Managed Income ETF and Nationwide S&P 500® Risk-Managed Income ETF is to seek current income with downside protection. The inception date for Nationwide Risk-Based U.S. Equity ETF, Nationwide Risk-Based International Equity ETF and Nationwide Maximum Diversification U.S. Core Equity ETF (“Index ETFs”) is September 15, 2017. The inception date for Nationwide Nasdaq-100® Risk-Managed Income ETF is December 19, 2019. The inception date for Nationwide Dow Jones® Risk-Managed Income ETF, Nationwide Russell 2000® Risk-Managed Income ETF, and Nationwide S&P 500® Risk-Managed Income ETF is December 16, 2021.

 

The end of the reporting period for the Funds is February 28, 2022, and the period covered by these Notes to Financial Statements is the six-month period from September 1, 2021 through February 28, 2022 for Nationwide Risk-Based U.S. Equity ETF, Nationwide Risk-Based International Equity ETF, Nationwide Maximum Diversification U.S. Core Equity ETF and Nationwide Nasdaq-100® Risk-Managed Income ETF and the period from December 16, 2021 through February 28, 2022 for Nationwide Dow Jones® Risk-Managed Income ETF, Nationwide Russell 2000® Risk-Managed Income ETF and Nationwide S&P 500® Risk-Managed Income ETF (each, respectively, the “current fiscal period”).

 

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

 

The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 Financial Services-Investment Companies.

 

The following is a summary of significant accounting policies consistently followed by the Funds. These policies are in conformity with U.S. GAAP.

 

A.

Security Valuation. All equity securities, including domestic and foreign common stocks, preferred stocks and exchange traded funds that are traded on a national securities exchange, except those listed on the Nasdaq Global Market®, Nasdaq Global Select Market® and the Nasdaq Capital Market® exchanges (collectively, “Nasdaq”) are valued at the last reported sale price on the exchange on which the security is principally traded. Securities traded on Nasdaq will be valued at the Nasdaq Official Closing Price (“NOCP”). If, on a particular day, an exchange-traded or Nasdaq security does not trade, then the mean between the most recent quoted bid and asked prices will be used. All equity securities that are not traded on a listed exchange are valued at the last sale price in the over-the-counter market. If a non-exchange traded security does not trade on a particular day, then the mean between the last quoted closing bid and asked price will be used. Prices denominated in foreign currencies are converted to U.S. dollar equivalents at the current exchange rate, which approximates fair value.

 

Investments in mutual funds, including money market funds, are valued at their net asset value (“NAV”) per share.

 

81

 

 

 

Notes to Financial Statements (Continued)

 

February 28, 2022 (Unaudited)

 

Debt securities, including short-term debt instruments, are valued in accordance with prices provided by a pricing service. Pricing services may use various valuation methodologies such as the mean between the bid and asked prices, matrix pricing and other analytical pricing models as well as market transactions and dealer quotations.

 

Exchange traded options are valued at the composite mean price, which calculates the mean of the highest bid price and lowest asked price across the exchanges where the option is principally traded. On the last trading day prior to expiration, expiring options will be priced at intrinsic value. The Trust’s valuation committee may also use other valuation methods in certain instances.

 

Units of Mount Vernon Liquid Assets Portfolio, LLC are not traded on an exchange and are valued at the investment company’s NAV per share as provided by the underlying fund’s administrator. These shares are generally classified as Level 2 Investments.

 

Securities for which quotations are not readily available are valued at their respective fair values in accordance with pricing procedures adopted by the Funds’ Board of Trustees (the “Board”). When a security is “fair valued,” consideration is given to the facts and circumstances relevant to the particular situation, including a review of various factors set forth in the pricing procedures adopted by the Board. The use of fair value pricing by the Funds may cause the NAV of their shares to differ significantly from the NAV that would be calculated without regard to such considerations.

 

As described above, the Funds utilize various methods to measure the fair value of their investments on a recurring basis. U.S. GAAP establishes a hierarchy that prioritizes inputs to valuations methods. The three levels of inputs are:

 

Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access.

 

Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

 

Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and based on the best information available.

 

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

 

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

 

The following is a summary of the inputs used to value the Funds’ investments as of the end of the current fiscal period:

 

Nationwide Risk-Based U.S. Equity ETF

 

Assets^

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Common Stocks

  $ 116,854,844     $     $     $ 116,854,844  

Short-Term Investments

    229,501                   229,501  

Investments Purchased with Proceeds from Securities Lending

          32,901,733             32,901,733  

Total Investments in Securities, at value

  $ 117,084,345     $ 32,901,733     $     $ 149,986,078  

 

82

 

 

 

Notes to Financial Statements (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Risk-Based International Equity ETF

 

Assets*

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Common Stocks

  $ 120,933,831     $     $     $ 120,933,831  

Short-Term Investments

    178,083                   178,083  

Investments Purchased with Proceeds from Securities Lending

          1,904,391             1,904,391  

Total Investments in Securities, at value

  $ 121,111,914     $ 1,904,391     $     $ 123,016,305  

 

Nationwide Maximum Diversification U.S. Core Equity ETF

 

Assets^

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Common Stocks

  $ 100,990,518     $     $     $ 100,990,518  

Short-Term Investments

    211,894                   211,894  

Investments Purchased with Proceeds from Securities Lending

          31,137,816             31,137,816  

Total Investments in Securities, at value

  $ 101,202,412     $ 31,137,816     $     $ 132,340,228  

 

Nationwide Nasdaq-100® Risk-Managed Income ETF

 

Assets#

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Common Stocks

  $ 866,305,036     $     $     $ 866,305,036  

Purchased Options

          11,004,800             11,004,800  

Short-Term Investments

    2,906,962                   2,906,962  

Total Investments in Securities, at value

  $ 869,211,998     $ 11,004,800     $     $ 880,216,798  

 

Liabilities#

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Written Options

  $     $ 19,021,280     $     $ 19,021,280  

Total Written Options, at value

  $     $ 19,021,280     $     $ 19,021,280  

 

Nationwide Dow Jones® Risk-Managed Income ETF

 

Assets#

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Common Stocks

  $ 27,938,877     $     $     $ 27,938,877  

Purchased Options

          286,340             286,340  

Short-Term Investments

    84,330                   84,330  

Total Investments in Securities, at value

  $ 28,023,207     $ 286,340     $     $ 28,309,547  

 

Liabilities#

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Written Options

  $     $ 217,948     $     $ 217,948  

Total Written Options, at value

  $     $ 217,948     $     $ 217,948  

 

83

 

 

 

Notes to Financial Statements (Continued)

 

February 28, 2022 (Unaudited)

 

Nationwide Russell 2000® Risk-Managed Income ETF

 

Assets#

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Common Stocks

  $ 15,966,409     $     $     $ 15,966,409  

Purchased Options

          183,160             183,160  

Short-Term Investments

    839,984                   839,984  

Total Investments in Securities, at value

  $ 16,806,393     $ 183,160     $     $ 16,989,553  

 

Liabilities#

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Written Options

  $     $ 427,880     $     $ 427,880  

Total Written Options, at value

  $     $ 427,880     $     $ 427,880  

 

Nationwide S&P 500® Risk-Managed Income ETF

 

Assets#

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Common Stocks

  $ 22,611,740     $     $     $ 22,611,740  

Purchased Options

          232,815             232,815  

Short-Term Investments

    697,809                   697,809  

Total Investments in Securities, at value

  $ 23,309,549     $ 232,815     $     $ 23,542,364  

 

Liabilities#

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Written Options

  $     $ 335,835     $     $ 335,835  

Total Written Options, at value

  $     $ 335,835     $     $ 335,835  

 

 

^

See Schedule of Investments for breakout of investments by sector classification.

 

*

See Schedule of Investments for breakout of investments by country and sector classifications.

 

#

See Schedule of Investments and Schedules of Written Options for breakout of investments by sector classification and contract type.

 

During the current fiscal period, the Funds did not recognize any transfers to or from Level 3.

 

B.

Foreign Currency. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Funds do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments and currency gains or losses realized between the trade and settlement dates on securities transactions from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments. The Funds report net realized foreign exchange gains or losses that arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on foreign currency transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.

 

C.

Federal Income Taxes. The Funds’ policy is to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of their net investment income and net capital gains to shareholders. Therefore, no federal income tax provision is required. Each Fund plans to file U.S. Federal and various state and local tax returns.

 

Each Fund recognizes the tax benefits of uncertain tax positions only when the position is more likely than not to be sustained. Management has analyzed each Fund’s uncertain tax positions and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions.

 

84

 

 

 

Notes to Financial Statements (Continued)

 

February 28, 2022 (Unaudited)

 

Management is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next 12 months. Income and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits on uncertain tax positions as income tax expenses in the Statements of Operations. During the current fiscal period, the Funds did not incur any interest or penalties.

 

D.

Security Transactions and Investment Income. Investment securities transactions are accounted for on the trade date. Gains and losses realized on sales of securities are determined on a specific identification basis. Dividend income is recorded on the ex-dividend date. Interest income is recorded on an accrual basis. Withholding taxes on foreign dividends have been provided for in accordance with the Funds’ understanding of the applicable tax rules and regulations.

 

Distributions received from the Funds’ investments in real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain, or a return of capital. The proper characterization of REIT distributions is generally not known until after the end of each calendar year. As such, the Funds must use estimates in reporting the character of their income or return of capital and distributions received during the current calendar year for financial statement purposes. The actual character of distributions to the Funds’ shareholders will be reflected on the Form 1099 received by shareholders after the end of the calendar year. Due to the nature of REIT investments, a portion of the distributions received by the Funds’ shareholders may represent a return of capital.

 

E.

Distributions to Shareholders. Distributions to shareholders from net investment income and net realized gains on securities are declared and paid on an annual basis for Nationwide Risk-Based U.S. Equity ETF, Nationwide Risk-Based International Equity ETF and Nationwide Maximum Diversification U.S. Core Equity ETF. Distributions to shareholders from net investment income or return of capital are declared and paid monthly by Nationwide Nasdaq-100® Risk-Managed Income ETF, Nationwide Dow Jones® Risk-Managed Income ETF, Nationwide Russell 2000® Risk-Managed Income ETF and Nationwide S&P 500® Risk-Managed Income ETF and realized gains on securities are declared and paid by the Funds on an annual basis. Distributions are recorded on the ex-dividend date.

 

F.

Use of Estimates. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, as well as the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

 

G.

Share Valuation. The NAV per share of each Fund is calculated by dividing the sum of the value of the securities held by each Fund, plus cash and other assets, minus all liabilities (including estimated accrued expenses) by the total number of outstanding shares for each Fund, rounded to the nearest cent. The Funds’ shares will not be priced on the days on which the New York Stock Exchange, Inc. (“NYSE”) is closed for trading. The offering and redemption price per share of each Fund is equal to each Fund’s NAV per share.

 

H.

Guarantees and Indemnifications. In the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

 

85

 

 

 

Notes to Financial Statements (Continued)

 

February 28, 2022 (Unaudited)

 

I.

Reclassification of Capital Accounts. U.S. GAAP requires that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or NAV per share and are primarily due to differing book and tax treatments for in-kind transactions. During the fiscal year ended August 31, 2021, the following table shows the reclassifications made:

 

 

 

Distributable
Earnings
(Accumulated
Deficit)

   

Paid-In Capital

 

Nationwide Risk-Based U.S. Equity ETF

  $ (21,477,156 )   $ 21,477,156  

Nationwide Risk-Based International Equity ETF

    (8,539,996 )     8,539,996  

Nationwide Maximum Diversification U.S. Core Equity ETF

    (8,117,220 )     8,117,220  

Nationwide Nasdaq-100® Risk-Managed Income ETF

    (7,715,699 )     7,715,699  

Nationwide Dow Jones® Risk-Managed Income ETF

    N/A       N/A  

Nationwide Russell 2000® Risk-Managed Income ETF

    N/A       N/A  

Nationwide S&P 500® Risk-Managed Income ETF

    N/A       N/A  

 

During the fiscal year ended August 31, 2021, the Funds realized the following net capital gains resulting from in-kind redemptions, in which shareholders exchanged Fund shares for securities held by the Funds rather than for cash. Because such gains are not taxable to the Funds, and are not distributed to shareholders, they have been reclassified from distributable earnings (accumulated deficit) to paid-in capital.

 

Nationwide Risk-Based U.S. Equity ETF

  $ 21,477,156  

Nationwide Risk-Based International Equity ETF

    8,539,996  

Nationwide Maximum Diversification U.S. Core Equity ETF

    8,117,220  

Nationwide Nasdaq-100® Risk-Managed Income ETF

    7,715,699  

Nationwide Dow Jones® Risk-Managed Income ETF

    N/A  

Nationwide Russell 2000® Risk-Managed Income ETF

    N/A  

Nationwide S&P 500® Risk-Managed Income ETF

    N/A  

 

J.

Subsequent Events. In preparing these financial statements, management has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued. There were no events or transactions that occurred during the period subsequent to the end of the current fiscal period that materially impacted the amounts or disclosures in the Funds’ financial statements.

 

K.

Regulatory Updates. In October 2020, the SEC adopted new regulations governing the use of derivatives by registered investment companies (“Rule 18f-4”). Rule 18f-4 will impose limits on the amount of derivatives a Fund can enter into, eliminate the asset segregation framework currently used by funds to comply with Section 18 of the 1940 Act, and require funds whose use of derivatives is greater than a limited specified amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager. Funds will be required to comply with Rule 18f-4 by August 19, 2022. It is not currently clear what impact, if any, Rule 18f-4 will have on the availability, liquidity or performance of derivatives. Management is currently evaluating the potential impact of Rule 18f-4 on the Funds. When fully implemented, Rule 18f-4 may require changes in how the Funds use derivatives, adversely affect the Funds’ performance and increase costs related to the Funds’ use of derivatives.

 

In December 2020, the SEC adopted a new rule providing a framework for fund valuation practices (“Rule 2a-5”). Rule 2a-5 establishes requirements for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 will permit fund boards to designate certain parties to perform fair value determinations, subject to board oversight and certain other conditions. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must fair value a security. In connection with Rule 2a-5, the SEC also adopted related

 

86

 

 

 

Notes to Financial Statements (Continued)

 

February 28, 2022 (Unaudited)

 

recordkeeping requirements and is rescinding previously issued guidance, including with respect to the role of a board in determining fair value and the accounting and auditing of fund investments. The Funds will be required to comply with the rules by September 8, 2022. Management is currently assessing the potential impact of the new rules on the Funds’ financial statements.

 

NOTE 3 – COMMITMENTS AND OTHER RELATED PARTY TRANSACTIONS

 

Nationwide Fund Advisors (“NFA” or the “Adviser”) serves as the investment adviser to the Funds. Pursuant to an Investment Advisory Agreement (“Advisory Agreement”) between the Trust, on behalf of the Funds, and the Adviser, the Adviser provides investment advice to the Funds and oversees the day-to-day operations of the Funds, subject to the direction and control of the Board and the officers of the Trust. Under the Advisory Agreement, the Adviser is responsible for arranging, in consultation with each Fund’s respective sub-adviser: transfer agency, custody, fund administration and accounting, and all other related services necessary for the Funds to operate. Vident Investment Advisory, LLC serves as the sub-adviser for the Nationwide Risk-Based U.S. Equity ETF, Nationwide Risk-Based International Equity ETF and Nationwide Maximum Diversification U.S. Core Equity ETF and Harvest Volatility Management, LLC serves as the sub-adviser for Nationwide Nasdaq-100® Risk-Managed Income ETF, Nationwide Dow Jones® Risk-Managed Income ETF, Nationwide Russell 2000® Risk-Managed Income ETF and Nationwide S&P 500® Risk-Managed Income ETF (each, respectively, the “Sub-Adviser”). Under the Advisory Agreement, the Adviser has agreed to pay all expenses of the Funds, except for: the fee paid to the Adviser pursuant to the Advisory Agreement, interest charges on any borrowings, dividends and other expenses on securities sold short, taxes, brokerage commissions and other expenses incurred in placing orders for the purchase and sale of securities and other investment instruments, acquired fund fees and expenses, accrued deferred tax liability, extraordinary expenses and distribution (12b-1) fees and expenses. For services provided to the Funds, Nationwide Risk-Based U.S. Equity ETF pays the Adviser 0.30%, Nationwide Risk-Based International Equity ETF pays the Adviser 0.42%, Nationwide Maximum Diversification U.S. Core Equity ETF pays the Adviser 0.34%, and Nationwide Nasdaq-100® Risk-Managed Income ETF, Nationwide Dow Jones® Risk-Managed Income ETF, Nationwide Russell 2000® Risk-Managed Income ETF and Nationwide S&P 500® Risk-Managed Income ETF each pay the Adviser 0.68%, at an annual rate based on each Fund’s average daily net assets. The Adviser is paid monthly, and the Adviser is responsible for paying the Sub-Adviser.

 

U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services” or “Administrator”) acts as the Funds’ Administrator and, in that capacity, performs various administrative and accounting services for the Funds. The Administrator prepares various federal and state regulatory filings, reports and returns for the Funds, including regulatory compliance monitoring and financial reporting; prepares reports and materials to be supplied to the Board; and monitors the activities of the Funds’ Custodian, transfer agent and accountant. Fund Services also serves as the transfer agent and fund accountant to the Funds. U.S. Bank N.A. (the “Custodian”), an affiliate of Fund Services, serves as the Funds’ Custodian.

 

The Custodian and Bank of New York Mellon (“BNY” or the “Sub-Custodian”) act as the securities lending agents (the “Securities Lending Agents”) for the Nationwide Risk-Based International Equity ETF. The Custodian acts as the securities lending agent for the Nationwide Risk-Based U.S. Equity ETF and the Nationwide Maximum Diversification U.S. Core Equity ETF. The Risk-Managed Income ETFs are not a party to either securities lending agreement, therefore did not participate.

 

A Trustee and all officers of the Trust are affiliated with the Administrator and Custodian.

 

NOTE 4 – SECURITIES LENDING

 

The Funds may lend up to 33⅓% of the value of the securities in their portfolios to brokers, dealers and financial institutions (but not individuals) under terms of participation in a securities lending program administered by the securities lending agents. The securities lending agreements require that loans are collateralized at all times in an amount equal to at least 102% of the value of any domestic loaned securities at the time of the loan plus accrued interest. The use of loans of foreign securities, which are denominated and payable in U.S. dollars, shall be collateralized in an amount equal to 105% of the value of any loaned securities at the time of the loan plus accrued interest. The Funds receive compensation in the form of fees and earn interest on the non-cash and cash collateral. The amount of fees depends on a number of factors including the type of security and length

 

87

 

 

 

Notes to Financial Statements (Continued)

 

February 28, 2022 (Unaudited)

 

of the loan. The Funds continue to receive interest payments or dividends on the securities loaned during the borrowing period. Gain or loss in the value of securities loaned that may occur during the term of the loan will be for the account of the Funds. The Funds have the right under the terms of the securities lending agreements to recall the securities from the borrower on demand.

 

The securities lending agreements provide that, in the event of a borrower’s material default, the securities lending agent shall take all actions the securities lending agent deems appropriate to liquidate the collateral, purchase replacement securities at the securities lending agent’s expense, or pay the Fund an amount equal to the market value of the loaned securities, subject to certain limitations which are set forth in detail in the securities lending agreements between the Funds and the securities lending agents.

 

As of the end of the current fiscal period, Nationwide Risk-Based International Equity ETF had loaned securities that were collateralized by both non-cash collateral and cash equivalents. Nationwide Risk-Based U.S. Equity ETF and Nationwide Maximum Diversification U.S. Core Equity ETF had loaned securities that were collateralized by cash equivalents. The cash collateral is invested by the Securities Lending Agents in accordance with approved investment guidelines. Those guidelines require the cash collateral to be invested in readily marketable, high quality, short-term obligations; however, such investments are subject to risk of payment delays or default on the part of the issuer or counterparty or otherwise may not generate sufficient interest to support the costs associated with securities lending. The Funds could also experience delays in recovering their securities and possible loss of income or value if the borrower fails to return the borrowed securities, although the Funds are indemnified from this risk by contract with the Securities Lending Agents. Non-cash collateral received by the Nationwide Risk-Based International Equity ETF was in the form of U.S. Treasury Bonds and Notes with remaining maturities greater than 90 days and had a value of $546,235 at the end of the current fiscal period.

 

As of the end of the current fiscal period, the values of the securities on loan and payable for collateral due to the Securities Lending Agents were as follows:

 

Fund

 

Value of
Securities
on Loan

   

Payable for
Collateral Received

 

Nationwide Risk-Based U.S. Equity ETF

  $ 32,359,283     $ 32,901,733 *

Nationwide Risk-Based International Equity ETF

    2,329,218       2,450,626 ^

Nationwide Maximum Diversification U.S. Core Equity ETF

    30,795,820       31,137,816 *

Nationwide Nasdaq-100® Risk-Managed Income ETF

           

Nationwide Dow Jones® Risk-Managed Income ETF

           

Nationwide Russell 2000® Risk-Managed Income ETF

           

Nationwide S&P 500® Risk-Managed Income ETF

           

 

*

The cash collateral received was invested in the Mount Vernon Liquid Assets Portfolio, LLC as shown on the Schedules of Investments, a short-term investment portfolio with an overnight and continuous maturity. The investment objective is to seek to maximize current income to the extent consistent with the preservation of capital and liquidity and maintain a stable NAV of $1.00 per unit.

 

^

The cash collateral received was invested in repurchase agreements collateralized by various U.S. government obligations with an overnight and continuous maturity.

 

The Nationwide Risk-Based International Equity ETF receives cash and non-cash collateral in return for securities loaned as part of the securities lending program. The cash collateral is invested in various repurchase agreements with selected commercial banks and broker-dealers, under which the Fund acquires U.S. government obligations as collateral including Treasury bills, bonds, and notes, as well as mortgage backed securities, subject to an obligation of the counterparty to repurchase and the Fund to resell the securities at an agreed upon time and price. The Fund, through the Sub-Custodian, receives delivery of the underlying securities collateralizing repurchase agreements. The Fund requires the Sub-Custodian to take possession of all securities held as collateral for repurchase agreements. The Fund and the counterparties are permitted to sell, re-pledge, or use the collateral associated with the transaction and it is the Fund’s policy that the fair

 

88

 

 

 

Notes to Financial Statements (Continued)

 

February 28, 2022 (Unaudited)

 

value of the collateral be at least equal to 102% of the repurchase price. The value of the related collateral that the Fund received for repurchase agreements exceeded the value of the repurchase agreements at the end of the current fiscal period. The Schedule of Investments for the Fund includes investments purchased with particular cash collateral holdings as of the end of the reporting period.

 

The interest income earned by the Funds on non-cash collateral and investments of cash collateral received from borrowers for the securities loaned to them (“Securities Lending Income”) is reflected in the Funds’ Statements of Operations. Net fees and interest income earned on collateral investments and recognized by the Funds during the current fiscal period were as follows:

 

Fund

 

Net Fees and
Interest Earned

 

Nationwide Risk-Based U.S. Equity ETF

  $ 11,181  

Nationwide Risk-Based International Equity ETF

    20,564  

Nationwide Maximum Diversification U.S. Core Equity ETF

    16,437  

Nationwide Nasdaq-100® Risk-Managed Income ETF

     

Nationwide Dow Jones® Risk-Managed Income ETF

     

Nationwide Russell 2000® Risk-Managed Income ETF

     

Nationwide S&P 500® Risk-Managed Income ETF

     

 

Due to the absence of a master netting agreement related to the Funds’ participation in securities lending, no offsetting disclosures have been made on behalf of the Funds.

 

NOTE 5 – PURCHASES AND SALES OF SECURITIES

 

During the current fiscal period, purchases and sales of securities by the Funds, excluding short-term securities, options, and in-kind transactions were as follows:

 

Fund

 

Purchases

   

Sales

 

Nationwide Risk-Based U.S. Equity ETF

  $ 33,413,403     $ 34,035,331  

Nationwide Risk-Based International Equity ETF

    46,587,783       48,652,863  

Nationwide Maximum Diversification U.S. Core Equity ETF

    14,143,250       14,729,889  

Nationwide Nasdaq-100® Risk-Managed Income ETF

    63,676,203       101,273,215  

Nationwide Dow Jones® Risk-Managed Income ETF

    534,177       665,297  

Nationwide Russell 2000® Risk-Managed Income ETF

    540,220       212,931  

Nationwide S&P 500® Risk-Managed Income ETF

    159,858       1,840  

 

During the current fiscal period, there were no purchases or sales of U.S. Government securities.

 

During the current fiscal period, the in-kind security transactions associated with creations and redemptions were as follows:

 

Fund

 

In-Kind
Purchases

   

In-Kind
Sales

 

Nationwide Risk-Based U.S. Equity ETF

  $     $ 5,981,065  

Nationwide Risk-Based International Equity ETF

    1,994,527        

Nationwide Maximum Diversification U.S. Core Equity ETF

    8,151,671       13,508,187  

Nationwide Nasdaq-100® Risk-Managed Income ETF

    463,267,120       57,486,655  

Nationwide Dow Jones® Risk-Managed Income ETF

    29,369,860        

Nationwide Russell 2000® Risk-Managed Income ETF

    16,669,641        

Nationwide S&P 500® Risk-Managed Income ETF

    23,773,001        

 

89

 

 

 

Notes to Financial Statements (Continued)

 

February 28, 2022 (Unaudited)

 

NOTE 6 – ADDITIONAL DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS

 

The following disclosures provide information on the Funds’ use of derivatives. The location and value of these instruments on the Statements of Assets and Liabilities and the realized gains and losses and changes in unrealized appreciation and depreciation on the Statements of Operations are included in the following tables.

 

Options Contracts. Nationwide Nasdaq-100® Risk-Managed Income ETF, Nationwide Dow Jones® Risk-Managed Income ETF, Nationwide Russell 2000® Risk-Managed Income ETF, and Nationwide S&P 500® Risk-Managed Income ETF may purchase call and put options. The Funds may also write options. When the Funds purchase a call or put option, an amount equal to the premium paid is included in the Statement of Assets and Liabilities as an investment and is subsequently adjusted to reflect the value of the option. If an option expires on the stipulated expiration date or if the Funds enter into a closing sale transaction, a gain or loss is realized. If the Funds exercise a call option, the cost of the security acquired is increased by the premium paid for the call. If the Funds exercise a put option, a gain or loss is realized from the sale of the underlying security, and the proceeds from such a sale are decreased by the premium originally paid. The risk associated with purchasing options is limited to the loss of the premium paid.

 

A written (sold) call option gives the seller the obligation to sell shares of the underlying asset at a specified price (“strike price”) at a specified date (“expiration date”). The writer (seller) of the call option receives an amount (premium) for writing (selling) the option. In the event the underlying asset appreciates above the strike price as of the expiration date, the writer (seller) of the call option will have to pay the difference between the value of the underlying asset and the strike price (which loss is offset by the premium initially received), and in the event the underlying asset declines in value, the call option may end up worthless and the writer (seller) of the call option retains the premium. When the Funds write an option, an amount equal to the premium received by the Funds is recorded as a liability and is subsequently adjusted to the current fair value of the option written. Premiums received from writing options that expire unexercised are treated by the Funds on the expiration date as realized gains from written options. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or, if the premium is less than the amount paid for the closing purchase transaction, as a realized loss. If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether the Funds have realized a gain or loss. The Funds, as a writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option.

 

The Funds’ use of derivatives is to hedge or mitigate the downside risk associated with owning equity securities.

 

The average monthly volume of derivative activity during the current fiscal period was as follows:

 

   

Average Monthly Value

 

Fund

 

Purchased Options

   

Written Options

 

Nationwide Nasdaq-100® Risk-Managed Income ETF

  $ 6,668,183     $ (19,935,503 )

Nationwide Dow Jones® Risk-Managed Income ETF

    159,035       (244,874 )

Nationwide Russell 200® Risk-Managed Income ETF

    162,007       (433,327 )

Nationwide S&P 500® Risk-Managed Income ETF

    133,275       (215,447 )

 

 

90

 

 

 

Notes to Financial Statements (Continued)

 

February 28, 2022 (Unaudited)

 

The effect of derivative instruments on the Statements of Assets and Liabilities for the current fiscal period is as follows:

 

   

Asset Derivatives

Fund

 

Location

 

Value

 

Nationwide Nasdaq-100® Risk-Managed Income ETF

Equity Contracts - Purchased Options

Investments in securities, at value

  $ 11,004,800  

Nationwide Dow Jones® Risk-Managed Income ETF

Equity Contracts - Purchased Options

Investments in securities, at value

  $ 286,340  

Nationwide Russell 2000® Risk-Managed Income ETF

Equity Contracts - Purchased Options

Investments in securities, at value

  $ 183,160  

Nationwide S&P 500® Risk-Managed Income ETF

Equity Contracts - Purchased Options

Investments in securities, at value

  $ 232,815  

 

   

Liability Derivatives

Fund

 

Location

 

Value

 

Nationwide Nasdaq-100® Risk-Managed Income ETF

Equity Contracts - Written Options

Written Options, at Value

  $ 19,021,280  

Nationwide Dow Jones® Risk-Managed Income ETF

Equity Contracts - Written Options

Written Options, at Value

  $ 217,948  

Nationwide Russell 2000® Risk-Managed Income ETF

Equity Contracts - Written Options

Written Options, at Value

  $ 427,880  

Nationwide S&P 500® Risk-Managed Income ETF

Equity Contracts - Written Options

Written Options, at Value

  $ 335,835  

 

 

91

 

 

 

Notes to Financial Statements (Continued)

 

February 28, 2022 (Unaudited)

 

The effect of derivative instruments on the Statements of Operations for the current fiscal period is as follows:

 

Fund

Derivatives Not Accounted
for as Hedging Instruments

 

Net Realized
Gain (Loss)

   

Change in
Unrealized
Appreciation
(Depreciation)

 

Nationwide Nasdaq-100® Risk-Managed Income ETF

Equity Contracts - Purchased Options

  $ (23,472,598 )*   $ (381,785 )**

Nationwide Nasdaq-100® Risk-Managed Income ETF

Equity Contracts - Written Options

    1,495,113       3,804,840  

Nationwide Dow Jones® Risk-Managed Income ETF

Equity Contracts - Purchased Options

  $ (367,728 )*   $ (28,609 )**

Nationwide Dow Jones® Risk-Managed Income ETF

Equity Contracts - Written Options

    331,291       229,916  

Nationwide Russell 2000® Risk-Managed Income ETF

Equity Contracts - Purchased Options

  $ (431,248 )*   $ (97,741 )**

Nationwide Russell 2000® Risk-Managed Income ETF

Equity Contracts - Written Options

    847,631       (4,161 )

Nationwide S&P 500® Risk-Managed Income ETF

Equity Contracts - Purchased Options

  $ (305,095 )*   $ (54,581 )**

Nationwide S&P 500® Risk-Managed Income ETF

Equity Contracts - Written Options

    339,099       110,120  

 

*

Included in net realized gain (loss) on investments as reported in the Statements of Operations.

**

Included in net change in unrealized appreciation (depreciation) on investments as reported in the Statements of Operations.

 

NOTE 7 – INCOME TAX INFORMATION

 

The amount and character of tax basis distributions and composition of net assets, including distributable earnings (accumulated deficit), are finalized at fiscal year end; accordingly, tax basis balances have not been determined for the current fiscal period.

 

The components of tax basis cost of investments and distributable earnings (accumulated deficit) for federal income tax purposes at August 31, 2021, were as follows:

 

 

 

Nationwide
Risk-Based U.S.
Equity ETF

   

Nationwide
Risk-Based
International
Equity ETF

   

Nationwide
Maximum
Diversification U.S.
Core Equity ETF

   

Nationwide
Nasdaq-100
®
Risk-Managed
Income ETF

 

Tax cost of investments

  $ 133,245,702     $ 126,559,508     $ 119,267,749     $ 488,379,911  

Gross tax unrealized appreciation

  $ 17,774,262     $ 18,053,885     $ 35,745,648     $ 106,168,381  

Gross tax unrealized depreciation

    (2,728,450 )     (5,464,809 )     (5,169,067 )     (12,288,818 )

Net tax unrealized appreciation (depreciation)

    15,045,812       12,589,076       30,576,581       93,879,563  

Undistributed ordinary income

    824,473       2,255,483       748,114        

Undistributed long-term capital gains

                       

Other accumulated gain (loss)

    (4,129,157 )     (13,350,920 )     (2,223,143 )     (61,470,498 )

Distributed earnings (accumulated deficit)

  $ 11,741,128     $ 1,493,639     $ 29,101,552     $ 32,409,065  

 

Nationwide Dow Jones® Risk-Managed Income ETF, Nationwide Russell 2000® Risk-Managed Income ETF and Nationwide S&P 500® Risk-Managed Income ETF each commenced operations on December 16, 2021, and therefore do not appear in the above table.

 

92

 

 

 

Notes to Financial Statements (Continued)

 

February 28, 2022 (Unaudited)

 

The difference between book and tax-basis cost is due primarily to timing differences in recognizing wash sale losses in security transactions, tax treatment of certain derivatives and tax treatment of passive foreign investment companies.

 

A regulated investment company may elect for any taxable year to treat any portion of any qualified late year loss as arising on the first day of the next taxable year. Qualified late year losses are certain capital and ordinary losses which occur during the portion of the Funds’ taxable year subsequent to October 31 and December 31, respectively. For the taxable year ended August 31, 2021, the Funds did not elect to defer any post-October capital losses or late-year ordinary losses.

 

As of August 31, 2021, the Funds had the following capital loss carryforward available for federal income tax purposes, with an indefinite expiration:

 

 

 

Short-Term

   

Long-Term

 

Nationwide Risk-Based U.S. Equity ETF

  $ 2,234,945     $ 1,894,212  

Nationwide Risk-Based International Equity ETF

    5,880,909       7,479,330  

Nationwide Maximum Diversification U.S. Core Equity ETF

          2,223,143  

Nationwide Nasdaq-100® Risk-Managed Income ETF

    23,878,496       37,592,002  

Nationwide Dow Jones® Risk-Managed Income ETF

    N/A       N/A  

Nationwide Russell 2000® Risk-Managed Income ETF

    N/A       N/A  

Nationwide S&P 500® Risk-Managed Income ETF

    N/A       N/A  

 

During the fiscal year ended August 31, 2021, the Funds utilized the following capital loss carryforward that was available as of August 31, 2020:

 

 

 

Short-Term

   

Long-Term

 

Nationwide Risk-Based U.S. Equity ETF

  $ 5,475,158     $ 1,776,109  

Nationwide Risk-Based International Equity ETF

    4,109,797       1,135,199  

Nationwide Maximum Diversification U.S. Core Equity ETF

    3,002,082       2,089,610  

Nationwide Nasdaq-100® Risk-Managed Income ETF

           

Nationwide Dow Jones® Risk-Managed Income ETF

    N/A       N/A  

Nationwide Russell 2000® Risk-Managed Income ETF

    N/A       N/A  

Nationwide S&P 500® Risk-Managed Income ETF

    N/A       N/A  

 

The tax character of distributions declared by the Funds during the year ended August 31, 2021 and year/period ended August 31, 2020 was as follows:

 

   

Year Ended August 31, 2021

 

Fund

 

Ordinary
Income

   

Long Term
Capital Gain

   

Return of
Capital

 

Nationwide Risk-Based U.S. Equity ETF

  $ 1,476,799     $     $  

Nationwide Risk-Based International Equity ETF

    2,149,338              

Nationwide Maximum Diversification U.S. Core Equity ETF

    1,901,945              

Nationwide Nasdaq-100® Risk-Managed Income ETF

    189,278             20,717,538  

Nationwide Dow Jones® Risk-Managed Income ETF

    N/A       N/A       N/A  

Nationwide Russell 2000® Risk-Managed Income ETF

    N/A       N/A       N/A  

Nationwide S&P 500® Risk-Managed Income ETF

    N/A       N/A       N/A  

 

93

 

 

 

Notes to Financial Statements (Continued)

 

February 28, 2022 (Unaudited)

 

   

Year/Period Ended August 31, 2020

 

Fund

 

Ordinary
Income

   

Long Term
Capital Gain

   

Return of
Capital

 

Nationwide Risk-Based U.S. Equity ETF

  $ 2,223,675     $     $  

Nationwide Risk-Based International Equity ETF

    3,226,899              

Nationwide Maximum Diversification U.S. Core Equity ETF

    1,874,283              

Nationwide Nasdaq-100® Risk-Managed Income ETF

    87,560             3,039,555  

Nationwide Dow Jones® Risk-Managed Income ETF

    N/A       N/A       N/A  

Nationwide Russell 2000® Risk-Managed Income ETF

    N/A       N/A       N/A  

Nationwide S&P 500® Risk-Managed Income ETF

    N/A       N/A       N/A  

 

NOTE 8 – SHARE TRANSACTIONS

 

Shares of the Funds are listed and traded on New York Stock Exchange Arca, Inc. (“NYSE Arca”). Market prices for the shares may be different from their NAV. Nationwide Risk-Based U.S. Equity ETF, Nationwide Risk-Based International Equity ETF and Nationwide Maximum Diversification U.S. Core Equity ETF issue and redeem shares on a continuous basis at NAV generally in blocks of 25,000 shares. Nationwide Nasdaq-100® Risk-Managed Income ETF, Nationwide Dow Jones® Risk-Managed Income ETF, Nationwide Russell 2000® Risk-Managed Income ETF, and Nationwide S&P 500® Risk-Managed ETF issue and redeem shares on a continuous basis at NAV generally in blocks of 50,000 shares. The general blocks of shares issued or redeemed are called “Creation Units.” Creation Units are issued and redeemed principally in-kind for securities included in a specified universe. Once created, shares generally trade in the secondary market at market prices that change throughout the day. Except when aggregated in Creation Units, shares are not redeemable securities of a Fund. Creation Units may only be purchased or redeemed by certain financial institutions (“Authorized Participants”). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a Depository Trust Company participant and, in each case, must have executed a Participant Agreement with the Distributor. Most retail investors do not qualify as Authorized Participants nor have the resources to buy and sell whole Creation Units. Therefore, they are unable to purchase or redeem shares directly from the Funds. Rather, most retail investors may purchase shares in the secondary market with the assistance of a broker and are subject to customary brokerage commissions or fees.

 

The Funds each currently offer one class of shares, which has no front-end sales load, no deferred sales charge, and no redemption fee. A fixed transaction fee is imposed for the transfer and other transaction costs associated with the purchase or sale of Creation Units. The standard fixed transaction fee for Nationwide Risk-Based U.S. Equity ETF, Nationwide Maximum Diversification U.S. Core Equity ETF, Nationwide Nasdaq-100® Risk-Managed Income ETF, Nationwide Dow Jones® Risk-Managed Income ETF and Nationwide S&P 500® Risk-Managed Income ETF is $500, payable to the Custodian. The standard fixed transaction fee for Nationwide Russell 2000® Risk-Managed Income ETF is $750, payable to the Custodian The standard fixed transaction fee for Nationwide Risk-Based International Equity ETF is $4,000, payable to the Custodian. The fixed transaction fee may be waived on certain orders if the Funds’ Custodian has determined to waive some or all of the costs associated with the order, or another party, such as the Adviser, has agreed to pay such fee. In addition, a variable fee may be charged on all cash transactions or substitutes for Creation Units of up to a maximum of 2% as a percentage of the value of the Creation Units subject to the transaction. Variable fees are imposed to compensate the Funds for the transaction costs associated with the cash transactions. Variable fees received by each Fund, if any, are displayed in the Capital Shares Transactions section of each Statement of Changes in Net Assets. The Funds may issue an unlimited number of shares of beneficial interest, with no par value. Shares of the Funds have equal rights and privileges.

 

94

 

 

 

Notes to Financial Statements (Continued)

 

February 28, 2022 (Unaudited)

 

NOTE 9 – RISKS

 

COVID-19 Risk. The recent global outbreak of COVID-19 has disrupted economic markets and the prolonged economic impact is uncertain. The operational and financial performance of the issuers of securities in which the Funds invest depends on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn impact the value of the Funds’ investments.

 

Derivatives Risk (Risk-Managed Income ETFs only). The Funds invest in options that derive their performance from the performance of an underlying reference asset. Derivatives, such as the options in which the Funds invest, can be volatile and involve various types and degrees of risks, depending upon the characteristics of a particular derivative. Derivatives may have investment exposures that are greater than their cost would suggest, meaning that a small investment in a derivative could have a substantial impact on the performance of the Funds. The Funds could experience a loss if its derivatives do not perform as anticipated, the derivatives are not correlated with the performance of their reference asset, or if the Funds are unable to purchase or liquidate a position because of an illiquid secondary market. The market for many derivatives is, or suddenly can become, illiquid. Changes in liquidity may result in significant, rapid, and unpredictable changes in the prices for derivatives.

 

Foreign Securities Risk (International Fund only). Investments in non-U.S. securities involve certain risks that may not be present with investments in U.S. securities. For example, investments in non-U.S. securities may be subject to risk of loss due to foreign currency fluctuations or to political or economic instability. Investments in non-U.S. securities also may be subject to withholding or other taxes and may be subject to additional trading, settlement, custodial, and operational risks. These and other factors can make investments in the International Fund more volatile and potentially less liquid than other types of investments.

 

Sector Risk. To the extent the Funds invest more heavily in particular sectors of the economy, their performance will be especially sensitive to developments that significantly affect those sectors.

 

NOTE 10 – BENEFICIAL OWNERSHIP

 

The beneficial ownership, either directly or indirectly, of 25% or more of the voting securities of a fund creates a presumption of control of a fund, under section 2(a)(9) of the Investment Company Act of 1940. As of the end of the current fiscal period, ownership by affiliated funds and the parent company of the Adviser was as follows:

 

Fund

 

Shares Owned

   

Percentage of Total
Shares Outstanding

 

Nationwide Risk-Based U.S. Equity ETF

    3,023,112       98.31 %

Nationwide Risk-Based International Equity ETF

    4,655,582       99.05 %

Nationwide Maximum Diversification U.S. Core Equity ETF

    2,653,389       96.49 %

Nationwide Dow Jones® Risk-Managed Income ETF

    600,000       50.00 %

Nationwide Russell 2000® Risk-Managed Income ETF

    590,000       84.29 %

Nationwide S&P 500® Risk-Managed Income ETF

    600,000       60.00 %

 

95

 

 

 

Expense Examples

 

For the Period Ended February 28, 2022 (Unaudited)

 

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including brokerage commissions on purchases and sales of Fund shares, and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds. The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated in the following Expense Example tables.

 

Actual Expenses

 

The first line of the table provides information about actual account values based on actual returns and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then, multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Period’’ to estimate the expenses you paid on your account during this period.

 

Hypothetical Example for Comparison Purposes

 

The second line of the table provides information about hypothetical account values based on a hypothetical return and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. If these transactional costs were included, your costs would have been higher.

 

Nationwide Risk-Based U.S. Equity ETF

 

 

Beginning
Account Value
September 1, 2021

Ending
Account Value
February 28, 2022

Expenses Paid
During the
Period
(1)

Actual

$1,000.00

$ 960.50

$1.46

Hypothetical (5% annual return before expenses)

$1,000.00

$ 1,023.31

$1.51

 

(1)

The dollar amounts shown as expenses paid during the period are equal to the annualized expense ratio, 0.30%, multiplied by the average account value during the six-month period, multiplied by 181/365, to reflect the one-half year period.

 

Nationwide Risk-Based International Equity ETF

 

 

Beginning
Account Value
September 1, 2021

Ending
Account Value
February 28, 2022

Expenses Paid
During the
Period
(2)

Actual

$1,000.00

$ 911.90

$1.99

Hypothetical (5% annual return before expenses)

$1,000.00

$ 1,022.71

$2.11

 

(2)

The dollar amounts shown as expenses paid during the period are equal to the annualized expense ratio, 0.42%, multiplied by the average account value during the six-month period, multiplied by 181/365, to reflect the one-half year period.

 

96

 

 

 

Expense Examples (Continued)

 

For the Period Ended February 28, 2022 (Unaudited)

 

Nationwide Maximum Diversification U.S. Core Equity ETF

 

 

Beginning
Account Value
September 1, 2021

Ending
Account Value
February 28, 2022

Expenses Paid
During the
Period
(3)

Actual

$1,000.00

$ 885.90

$1.59

Hypothetical (5% annual return before expenses)

$1,000.00

$ 1,023.11

$1.71

 

(3)

The dollar amounts shown as expenses paid during the period are equal to the annualized expense ratio, 0.34%, multiplied by the average account value during the six-month period, multiplied by 181/365, to reflect the one-half year period.

 

Nationwide Nasdaq-100® Risk-Managed Income ETF

 

 

Beginning
Account Value
September 1, 2021

Ending
Account Value
February 28, 2022

Expenses Paid
During the
Period
(4)

Actual

$1,000.00

$ 893.00

$3.19

Hypothetical (5% annual return before expenses)

$1,000.00

$ 1,021.42

$3.41

 

(4)

The dollar amounts shown as expenses paid during the period are equal to the annualized expense ratio, 0.68%, multiplied by the average account value during the six-month period, multiplied by 181/365, to reflect the one-half year period.

 

Nationwide Dow Jones® Risk-Managed Income ETF

 

 

Beginning
Account Value
December 16, 2021
(5)

Ending
Account Value
February 28, 2022

Expenses Paid
During the
Period

Actual

$1,000.00

$ 954.90

$1.35(6)

Hypothetical (5% annual return before expenses)

$1,000.00

$ 1,021,42

$3.41(7)

 

(5)

Fund commencement.

(6)

The dollar amount shown as expenses paid during the period is equal to the annualized expense ratio, 0.68%, multiplied by the average account value during the period, multiplied by 74/365, to reflect the current period.

(7)

The dollar amount shown as expenses paid during the period is equal to the annualized expense ratio, 0.68%, multiplied by the average account value during the six-month period, multiplied by 181/365, to reflect the one-half year period.

 

Nationwide Russell 2000® Risk-Managed Income ETF

 

 

Beginning
Account Value
December 16, 2021
(8)

Ending
Account Value
February 28, 2022

Expenses Paid
During the
Period

Actual

$1,000.00

$ 963.30

$1.35(9)

Hypothetical (5% annual return before expenses)

$1,000.00

$ 1,021,42

$3.41(10)

 

(8)

Fund commencement.

(9)

The dollar amount shown as expenses paid during the period is equal to the annualized expense ratio, 0.68%, multiplied by the average account value during the period, multiplied by 74/365, to reflect the current period.

(10)

The dollar amount shown as expenses paid during the period is equal to the annualized expense ratio, 0.68%, multiplied by the average account value during the six-month period, multiplied by 181/365, to reflect the one-half year period.

 

97

 

 

 

Expense Examples (Continued)

 

For the Period Ended February 28, 2022 (Unaudited)

 

Nationwide S&P 500® Risk-Managed Income ETF

 

 

Beginning
Account Value
December 16, 2021
(11)

Ending
Account Value
February 28, 2022

Expenses Paid
During the
Period

Actual

$1,000.00

$ 945.30

$1.34(12)

Hypothetical (5% annual return before expenses)

$1,000.00

$ 1,021,42

$3.41(13)

 

(11)

Fund commencement.

(12)

The dollar amount shown as expenses paid during the period is equal to the annualized expense ratio, 0.68%, multiplied by the average account value during the period, multiplied by 74/365, to reflect the current period.

(13)

The dollar amount shown as expenses paid during the period is equal to the annualized expense ratio, 0.68%, multiplied by the average account value during the six-month period, multiplied by 181/365, to reflect the one-half year period.

 

98

 

 

 

Review of Liquidity Risk Management Program (Unaudited)

 

 

Pursuant to Rule 22e-4 under the Investment Company Act of 1940, the Trust, on behalf of the series of the Trust covered by this shareholder report (the “Series”), has adopted a liquidity risk management program to govern the Trust’s approach to managing liquidity risk. Rule 22e-4 seeks to promote effective liquidity risk management, thereby reducing the risk that a fund will be unable to meet its redemption obligations and mitigating dilution of the interests of fund shareholders. The Trust’s liquidity risk management program is tailored to reflect the Series’ particular risks, but not to eliminate all adverse impacts of liquidity risk, which would be incompatible with the nature of such Series.

 

The investment adviser to the Series has adopted and implemented its own written liquidity risk management program (the “Program”) tailored specifically to assess and manage the liquidity risk of the Series.

 

At a recent meeting of the Board of Trustees of the Trust, the Trustees received a report pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the period ended December 31, 2021. The report concluded that the Program is reasonably designed to assess and manage the Series’ liquidity risk and has operated adequately and effectively to manage such risk. The report reflected that there were no liquidity events that impacted the Series’ ability to timely meet redemptions without dilution to existing shareholders. The report further noted that no material changes have been made to the Program since its implementation.

 

There can be no assurance that the Program will achieve its objectives in the future. Please refer to the prospectus for more information regarding the Series’ exposure to liquidity risk and other principal risks to which an investment in the Series may be subject.

 

99

 

 

 

Approval of Advisory Agreements and Board Considerations

 

 

Nationwide S&P 500® Risk-Managed Income ETF
Nationwide Dow Jones
® Risk-Managed Income ETF
Nationwide Russell 2000
® Risk-Managed Income ETF

 

APPROVAL OF ADVISORY AGREEMENTS AND BOARD CONSIDERATIONS

 

Pursuant to Section 15(c) of the Investment Company Act of 1940 (the “1940 Act”), at a meeting held on October 13-14, 2021 (the “Meeting”), the Board of Trustees (the “Board”) of ETF Series Solutions (the “Trust”) considered the approval of the Investment Advisory Agreement (the “Advisory Agreement”) between Nationwide Fund Advisors (the “Adviser”) and the Trust, on behalf of Nationwide S&P 500® Risk-Managed Income ETF, Nationwide Dow Jones® Risk-Managed Income ETF, and Nationwide Russell 2000® Risk-Managed Income ETF (each, a “Fund,” and collectively, the “Funds”), and the Investment Sub-Advisory Agreement (the “Sub-Advisory Agreement”) (together, the “Agreements”) among the Adviser, the Trust, on behalf of the Funds, and Harvest Volatility Management, LLC (the “Sub-Adviser”), each for an initial two-year term.

 

Prior to the Meeting, the Board, including the Trustees who are not parties to the Agreements or “interested persons” of any party thereto, as defined in the 1940 Act (the “Independent Trustees”), reviewed written materials from the Adviser and Sub-Adviser (the “Materials”) regarding, among other things: (i) the nature, extent, and quality of the services to be provided by the Adviser and Sub-Adviser; (ii) the cost of the services to be provided and the profits expected to be realized by the Adviser, Sub-Adviser, or their affiliates from services rendered to each applicable Fund; (iii) comparative fee and expense data for each Fund and other investment companies with similar investment objectives; (iv) the extent to which any economies of scale might be realized as each Fund grows and whether the advisory fee for each Fund reflects these economies of scale for the benefit of each Fund; and (v) any other financial benefits to the Adviser, Sub-Adviser, and their affiliates resulting from services rendered to each Fund.

 

The Board also considered that the Adviser and Sub-Adviser, along with other service providers of the Funds, had provided written updates on the firm over the course of the year with respect to their roles as investment adviser and sub-adviser to other series in the Trust, and the Board considered that information alongside the Materials in its evaluation of the Adviser’s and Sub-Adviser’s fees and other aspects of the Agreements. Additionally, representatives from the Adviser and Sub-Adviser provided an oral overview of the Fund’s strategy, the services to be provided to each Fund by each adviser, and additional information about the advisers’ personnel and operations. The Board then discussed the Materials, the advisers’ oral presentation, and any other information that the Board received at the Meeting, and deliberated on the approval of the Agreements in light of this information.

 

Approval of the Advisory Agreement with the Adviser

 

Nature, Extent, and Quality of Services to be Provided. The Trustees considered the scope of services to be provided under the Advisory Agreement, noting that the Adviser will be providing investment management services to the Funds. In considering the nature, extent, and quality of the services to be provided by the Adviser, the Board considered the quality of the Adviser’s compliance infrastructure and past reports from the Trust’s Chief Compliance Officer (“CCO”) regarding her review of the Adviser’s compliance program, as well as the Board’s experience with the Adviser as the investment adviser to another series of the Trust. The Board noted that it had previously received a copy of the Adviser’s registration form, as well as the response of the Adviser to a detailed series of questions that included, among other things, information about the Adviser’s product development and implementation processes, details about each Fund, and the services to be provided by the Adviser.

 

The Board also considered other services to be provided to the Funds, such as monitoring adherence to the Funds’ investment restrictions, sub-adviser oversight, monitoring compliance with various of the Funds’ policies and procedures and with applicable securities regulations, and monitoring the extent to which each Fund achieves its investment objective as an actively-managed fund. The Board also noted the Adviser’s experience overseeing the management of another exchange-traded fund using the same investment process that will be employed for the Funds. The Board further considered the oral information provided by the Adviser with respect to the impact of the COVID-19 pandemic on the Adviser’s operations.

 

Historical Performance. The Board noted that the Funds had not yet commenced operations and concluded that the performance of each Fund, thus, was not a relevant factor in the context of the Board’s deliberations on the Advisory Agreement.

 

100

 

 

 

Approval of Advisory Agreements and Board Considerations (Continued)

 

 

Cost of Services to be Provided and Economies of Scale. The Board then reviewed each Fund’s proposed expense ratio, the full amount of which was anticipated to be the “unified fee” described below, and compared the Fund’s expense ratio to its Category Peer Group and Selected Peer Group (each defined below).

 

Nationwide S&P 500® Risk-Managed Income ETF: The Board noted that the expense ratio for the Fund was higher than the median but within the range of the Fund’s Category Peer Group, which was the universe of Large Blend ETFs as reported by Morningstar. The Board also noted that the Fund’s proposed expense ratio was in line with the expense ratios for the Fund’s Selected Peer Group, which was comprised of Fund competitors identified by the Adviser at the Board’s request.

 

Nationwide Dow Jones® Risk-Managed Income ETF: The Board noted that the expense ratio for the Fund was higher than the median but within the range of the Fund’s Category Peer Group, which was the universe of Large Blend ETFs as reported by Morningstar. The Board also noted that the Fund’s proposed expense ratio was in line with the expense ratios for the Fund’s Selected Peer Group, which was comprised of Fund competitors identified by the Adviser at the Board’s request.

 

Nationwide Russell 2000® Risk-Managed Income ETF: The Board noted that the expense ratio for the Fund was lower than the median of the Fund’s Category Peer Group, which was the universe of Small Blend ETFs as reported by Morningstar. The Board also noted that the Fund’s proposed expense ratio was in line with the expense ratios for the Fund’s Selected Peer Group, which was comprised of Fund competitors identified by the Adviser at the Board’s request.

 

The Board took into consideration that the Adviser would charge a “unified fee,” meaning each Fund would pay no expenses other than the advisory fee and certain other costs such as interest, brokerage, acquired fund fees and expenses, extraordinary expenses and, to the extent it is implemented, fees pursuant to a Distribution and/or Shareholder Servicing (12b-1) Plan. The Board noted that the Adviser would be responsible for compensating the Trust’s other service providers and paying each Fund’s other expenses out of its own fee and resources. The Board also evaluated the compensation and benefits expected to be received by the Adviser from its relationship with the Funds, taking into account an analysis of the Adviser’s anticipated profitability with respect to each Fund and the financial resources the Adviser had committed and proposed to commit to its business. The Board determined such analyses were not a significant factor given that the Funds had not yet commenced operations and consequently, the future size of each Fund and the Adviser’s future profitability were generally unpredictable.

 

The Board expressed the view that the Adviser might realize economies of scale in managing the Funds as assets grow in size. The Board noted that, should the Adviser realize economies of scale in the future, the amount and structure of each of the Fund’s unitary fee might result in a sharing of those economies with Fund shareholders in the initial period of such Fund’s operations. The Board noted its intention to monitor fees as each Fund grows in size and assess whether fee breakpoints may be warranted.

 

Conclusion. No single factor was determinative of the Board’s decision to approve the Advisory Agreement; rather, the Board based its determination on the total mix of information available to it. Based on a consideration of all the factors in their totality, the Board, including a majority of the Independent Trustees, determined that the Advisory Agreement, including the compensation payable under the agreement, was fair and reasonable to each Fund. The Board, including a majority of the Independent Trustees, therefore determined that the approval of the Advisory Agreement was in the best interests of each Fund and its shareholders.

 

Approval of the Sub-Advisory Agreement with the Sub-Adviser

 

Nature, Extent, and Quality of Services to be Provided. The Board considered the scope of services to be provided to each Fund under the Sub-Advisory Agreement, noting that Sub-Adviser will be providing investment management services to the Funds and currently serves as sub-adviser to other series in the Trust. The Board noted the responsibilities that the Sub-Adviser would have as each Fund’s investment sub-adviser, including: responsibility for the general management of the day-to-day investment and reinvestment of the assets of each Fund; determining the daily baskets of deposit securities and cash components; executing portfolio security trades for purchases and redemptions of each Fund’s shares conducted on a cash-in-lieu basis; oversight of general portfolio compliance with applicable securities laws, regulations, and investment restrictions; quarterly reporting to the Board; and implementation of Board directives as they relate to each Fund.

 

101

 

 

 

Approval of Advisory Agreements and Board Considerations (Continued)

 

 

In considering the nature, extent, and quality of the services to be provided by the Sub-Adviser, the Board considered reports of the Trust’s CCO with respect to the Sub-Adviser’s compliance program and the Sub-Adviser’s experience providing investment management services to other ETFs, including other series of the Trust. The Trustees further noted that they had received and reviewed the Materials with regard to the Sub-Adviser and they had reviewed additional detailed information about the Sub-Adviser at previous Board meetings. The Board also considered the Sub-Adviser’s resources and capacity with respect to portfolio management, compliance, and operations given the number of funds for which it would serve as sub-adviser. The Board further considered information provided by the Sub-Adviser with respect to the impact of the COVID-19 pandemic on the Sub-Adviser’s operations.

 

Historical Performance. The Board noted that the Funds had not yet commenced operations. Consequently, the Board determined that performance was not a relevant consideration in the context of the Board’s deliberations on the Sub-Advisory Agreement.

 

Costs of Services to be Provided and Economies of Scale. The Board reviewed the advisory fee to be paid by the Adviser to the Sub-Adviser for its services to each Fund. The Board considered the fees to be paid to the Sub-Adviser would be paid by the Adviser from the fee the Adviser receives from each Fund and noted that the fee reflected an arm’s-length negotiation between the Adviser and the Sub-Adviser. The Board further determined the fee reflected an appropriate allocation of the advisory fee paid to each adviser given the work performed by each firm. The Board also evaluated the compensation and benefits expected to be received by the Sub-Adviser from its relationship with the Funds, taking into account an analysis of the Sub-Adviser’s estimated profitability with respect to each Fund.

 

The Board expressed the view that it currently appeared that the Sub-Adviser might realize economies of scale in managing each Fund as assets grow in size. The Board determined that it would monitor fees as each Fund’s assets grow to determine whether economies of scale were being effectively shared with each Fund and its shareholders.

 

Conclusion. No single factor was determinative of the Board’s decision to approve the Sub-Advisory Agreement; rather, the Board based its determination on the total mix of information available to it. Based on a consideration of all the factors in their totality, the Board, including a majority of the Independent Trustees, determined that the Sub-Advisory Agreement, including the compensation payable under the agreement, was fair and reasonable to each Fund. The Board, including a majority of the Independent Trustees, therefore determined that the approval of the Sub-Advisory Agreement was in the best interests of each Fund and its shareholders.

 

102

 

 

 

Federal Tax Information (Unaudited)

 

For the fiscal year ended August 31, 2021, certain dividends paid by the Funds may be subject to a maximum tax rate of 23.8% as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. The percentage of dividends declared from ordinary income designated as qualified dividend income was as follows:

 

Nationwide Risk-Based U.S. Equity ETF

100.00%

Nationwide Risk-Based International Equity ETF

97.71%

Nationwide Maximum Diversification U.S. Core Equity ETF

98.78%

Nationwide Nasdaq-100® Risk-Managed Income ETF

100.00%

Nationwide Dow Jones® Risk-Managed Income ETF

N/A

Nationwide Russell 2000® Risk-Managed Income ETF

N/A

Nationwide S&P 500® Risk-Managed Income ETF

N/A

 

For corporate shareholders, the percent of ordinary income distributions qualifying for the corporate dividends received deduction for the year ended August 31, 2021 was as follows:

 

Nationwide Risk-Based U.S. Equity ETF

100.00%

Nationwide Risk-Based International Equity ETF

0.00%

Nationwide Maximum Diversification U.S. Core Equity ETF

97.05%

Nationwide Nasdaq-100® Risk-Managed Income ETF

100.00%

Nationwide Dow Jones® Risk-Managed Income ETF

N/A

Nationwide Russell 2000® Risk-Managed Income ETF

N/A

Nationwide S&P 500® Risk-Managed Income ETF

N/A

 

The percentage of taxable ordinary income distributions that are designated as short-term capital gain distributions under Internal Revenue Section 871(k)(2)(C) for each Fund were as follows:

 

Nationwide Risk-Based U.S. Equity ETF

0.00%

Nationwide Risk-Based International Equity ETF

0.00%

Nationwide Maximum Diversification U.S. Core Equity ETF

0.00%

Nationwide Nasdaq-100® Risk-Managed Income ETF

0.00%

Nationwide Dow Jones® Risk-Managed Income ETF

N/A

Nationwide Russell 2000® Risk-Managed Income ETF

N/A

Nationwide S&P 500® Risk-Managed Income ETF

N/A

 

 

103

 

 

 

Foreign Tax Credit Pass Through (Unaudited)

 

Pursuant to Section 853 of the Internal Revenue code, the Funds designate the following amounts as foreign taxes paid for the fiscal year ended August 31, 2021. Foreign taxes paid for purposes of Section 853 may be less than actual foreign taxes paid for financial statement purposes.

 

 

 

Creditable
Foreign Tax
Credit Paid

   

Per Share
Amount

   

Portion of
Ordinary Income
Distribution Derived
from Foreign
Sourced Income

 

Nationwide Risk-Based U.S. Equity ETF

  $     $        

Nationwide Risk-Based International Equity ETF

    273,375       0.0591081       100.00 %

Nationwide Maximum Diversification U.S. Core Equity ETF

                 

Nationwide Nasdaq-100® Risk-Managed Income ETF

                 

Nationwide Dow Jones® Risk-Managed Income ETF

    N/A       N/A       N/A  

Nationwide Russell 2000® Risk-Managed Income ETF

    N/A       N/A       N/A  

Nationwide S&P 500® Risk-Managed Income ETF

    N/A       N/A       N/A  

 

Foreign taxes paid or withheld should be included in taxable income with an offsetting deduction from gross income or as a credit for taxes paid to foreign governments.

 

Above figures may differ from those cited elsewhere in this report due to differences in the calculation of income and gains under U.S. GAAP purposes and Internal Revenue Service purposes.

 

Shareholders are strongly advised to consult their own tax advisers with respect to the tax consequences of their investments in the Funds.

 

Information About Portfolio Holdings (Unaudited)

 

The Funds file their complete schedules of portfolio holdings for their first and third fiscal quarters with the SEC on Part F of Form N-PORT. The Funds’ Part F of Form N-PORT is available without charge, upon request, by calling toll-free at (800) 617-0004 or by accessing the Funds’ website at www.etf.nationwide.com. Furthermore, you may obtain the Part F of Form N-PORT on the SEC’s website at www.sec.gov. Each Fund’s portfolio holdings are posted on their website at www.etf.nationwide.com daily.

 

Information About the Funds’ Trustees (Unaudited)

 

The Statement of Additional Information (“SAI”) includes additional information about the Funds’ Trustees and is available without charge, upon request, by calling (800) 617-0004 or by accessing the SEC’s website at www.sec.gov or by accessing the Funds’ website at www.etf.nationwide.com.

 

Information About Proxy Voting (Unaudited)

 

A description of the policies and procedures the Funds use to determine how to vote proxies relating to portfolio securities is provided in the SAI. The SAI is available without charge, upon request, by calling toll-free at (800) 617-0004, by accessing the SEC’s website at www.sec.gov, or by accessing the Funds’ website at www.etf.nationwide.com.

 

When available, information regarding how the Funds voted proxies relating to portfolio securities during the period ending June 30 is available by calling toll-free at (800) 617-0004 or by accessing the SEC’s website at www.sec.gov.

 

Frequency Distribution of Premiums and Discounts (Unaudited)

 

Information regarding how often shares of the Funds trade on an exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Funds is available, without charge, on the Funds’ website at www.etf.nationwide.com.

 

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Adviser

Nationwide Fund Advisors
One Nationwide Plaza
Columbus, Ohio 43215

 

Sub-Adviser (Index ETFs)

Vident Investment Advisory, LLC
1125 Sanctuary Parkway, Suite 515
Alpharetta, Georgia 30009

 

Sub-Adviser (Risk-Managed Income ETFs)

Harvest Volatility Management, LLC
420 Lexington Avenue, Suite 2620
New York, New York, 10170

 

Index Provider (Risk-Based ETFs)

Rothschild & Co Risk Based Investments LLC
1251 Avenue of the Americas
New York, New York 10020

 

Index Provider (Maximum Diversification ETF)

TOBAM S.A.S.
49/53 Avenue Des Champs-Elysees
Paris, France 75008

 

Distributor

Quasar Distributors, LLC
111 East Kilbourn Avenue, Suite 2200
Milwaukee, Wisconsin 53202

 

Custodian

U.S. Bank National Association
1555 North Rivercenter Drive, Suite 302
Milwaukee, Wisconsin 53212

 

Transfer Agent

U.S. Bancorp Fund Services, LLC
615 East Michigan Street
Milwaukee, Wisconsin 53202

 

Independent Registered Public Accounting Firm

Cohen & Company, Ltd.
342 North Water Street, Suite 830
Milwaukee, Wisconsin 53202

 

Legal Counsel

Morgan, Lewis & Bockius LLP
1111 Pennsylvania Ave, NW
Washington, DC 20004

 

Nationwide Risk-Based U.S. Equity ETF

Symbol – RBUS

CUSIP – 26922A677

 

Nationwide Risk-Based International Equity ETF

Symbol – RBIN

CUSIP – 26922A669

 

Nationwide Maximum Diversification U.S. Core Equity ETF

Symbol – MXDU

CUSIP – 26922A651

 

Nationwide Nasdaq-100® Risk-Managed Income ETF

Symbol – NUSI

CUSIP – 26922A172

 

Nationwide Dow Jones® Risk-Managed Income ETF

Symbol – NDJI

CUSIP – 26922B758

 

Nationwide Russell 2000® Risk-Managed Income ETF

Symbol – NTKI

CUSIP – 26922B741

 

Nationwide S&P 500® Risk-Managed Income ETF

Symbol – NSPI

CUSIP – 26922B766

 

 

SAR-ETF (4/22)