TrimTabs ETF Trust
FCF US Quality ETF (TTAC)
FCF International Quality ETF (TTAI)
Donoghue Forlines Tactical High Yield ETF (DFHY)
Donoghue Forlines Risk Managed Innovation ETF (DFNV)
Donoghue Forlines Yield Enhanced Real Asset ETF (DFRA)





Annual Report
July 31, 2022





TrimTabs ETF Trust

TABLE OF CONTENTS
 
Management’s Discussion of Fund Performance for FCF US Quality ETF
   
1
       
Performance Summary for FCF US Quality ETF
   
3
       
Management’s Discussion of Fund Performance for
     
  FCF International Quality ETF
   
4
       
Performance Summary for FCF International Quality ETF
   
6
       
Management’s Discussion of Fund Performance for
     
  Donoghue Forlines Tactical High Yield ETF
   
7
       
Performance Summary for Donoghue Forlines Tactical High Yield ETF
   
9
       
Management’s Discussion of Fund Performance for
     
  Donoghue Forlines Risk Managed Innovation ETF
   
10
       
Performance Summary for Donoghue Forlines Risk Managed Innovation ETF
   
12
       
Management’s Discussion of Fund Performance for
     
  Donoghue Forlines Yield Enhanced Real Asset ETF
   
13
       
Performance Summary for Donoghue Forlines Yield Enhanced Real Asset ETF
   
15
       
Shareholder Expense Examples
   
16
       
Portfolio Holdings Allocation
   
18
       
Schedules of Investments
   
20
       
Statements of Assets and Liabilities
   
42
       
Statements of Operations
   
44
       
Statements of Changes in Net Assets
   
46
       
Financial Highlights
   
51
       
Notes to Financial Statements
   
56
       
Report of Independent Registered Public Accounting Firm
   
77
       
Additional Information
   
79

FCF US Quality ETF

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE
July 31, 2022 (Unaudited)
The FCF US Quality ETF (TTAC) returned -2.92% (NAV) and -2.89% (Market) for the 12 months ended July 31, 2022. Our benchmark, the Russell 3000 Total Return Index (R3000), returned -7.35% over the same period.
 
For the 12-month period, on an absolute basis, the leading contributors of TTAC were Energy and Large Blend stocks, adding 1.57% and 0.71% respectively. On a benchmark relative basis, the best active contributors were Communication Services and Large Blend stocks, adding 2.08% and 1.73% active returns over R3000; The main active detractors were Utilities and Large Value stocks, losing 0.54% and 0.78% respectively.
 
TTAC owns a portfolio of high-quality stocks selected by our proprietary free cash flow algorithm: as of July 31, 2022, the weighted average return on assets for TTAC was 13.56%, compared to 10.65% for R3000; and a cash flow return of 6.53% compared to 1.16%. Historically, high-quality stocks underperformed in the recovery stage but remained resilient throughout the economic cycle. We believe holding a Large and Mid-cap high-quality portfolio selected by the proprietary free cash flow metrics informed by our research as a core position may benefit investors in the long term.
 

 

Must be preceded or accompanied by a current Fund prospectus.
 
The views and opinions expressed in this discussion are those of FCF Advisors LLC. The views and opinions expressed are subject to change at any time, are not guaranteed, and should not be considered investment advice.
 
Past performance is no guarantee of future results.
 
Fund holdings and sector allocations are subject to change and are not recommendations to buy or sell any security. Current and future portfolio holdings are subject to risk. Please refer to the Schedule of Investments contained in this report for a full listing of fund holdings.
 
Investing involves risk, including the possible loss of principal. Individual 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. Investments in the Fund include risks associated with small and mid-cap securities which may have less liquidity and greater volatility than large-cap securities.
 
The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted. Performance current to the most recent month-end can be obtained by calling (toll free 800-617-0004).
 
The Russell 3000® Index measures the performance of the 3,000 largest publicly traded U.S. companies, based on market capitalization. The Index measures the performance of approximately 98% of the total market capitalization of the publicly traded U.S. equity market. The Index return reflects the reinvestment of income dividends and capital gain distributions, if any, but does not reflect fees, brokerage commissions, or other expenses of investing. It is not possible to invest directly in the Index.
 
Free Cash Flow represents the cash that a company is able to generate after accounting for capital expenditures.
1

FCF US Quality ETF

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE
July 31, 2022 (Unaudited) (Continued)
The FCF US Quality ETF is distributed by Quasar Distributors, LLC.
 
The return on equity is a measure of the profitability of a business in relation to the equity.
 
A company’s debt-to-capital ratio or D/C ratio is the ratio of its total debt to its total capital, its debt and equity combined.
2

FCF US Quality ETF

PERFORMANCE SUMMARY
July 31, 2022 (Unaudited)

Growth of a $10,000 Investment


 
One
Five
Since
Average Annual Total Returns (as of July 31, 2022)
Year
Year
Inception(a)
FCF US Quality ETF – NAV
-2.92%
12.90%
14.37%
FCF US Quality ETF – Market
-2.89%
12.84%
14.38%
Russell 3000® Total Return Index
-7.35%
12.18%
13.20%

This chart assumes an initial gross investment of $10,000 made on September 27, 2016 (commencement of the Fund’s operations). Returns shown include the reinvestment of all dividends. Returns shown do not reflect the deductions of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that your shares, when redeemed, may be worth more or less than original cost. Index returns do not reflect the effects of fees or expenses. It is not possible to invest directly in an index. The total operating expense ratio as stated in the fee table to the Fund’s prospectus dated November 29, 2021 is 0.59%. For performance information current to the most recent month-end, please call 1-800-617-0004.
 
(a)
Commencement of operations on September 27, 2016.
3

FCF International Quality ETF

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE
July 31, 2022 (Unaudited)
The FCF International Quality ETF (TTAI) returned -17.93% (NAV) and -17.75% (Market) for the 12 months ended July 31, 2022. Our benchmark, the MSCI All Country World Index ex-USA, returned -15.26% over the same period.
 
For the 12-month period ended July 31, 2022, on an absolute basis, the leading detractors of TTAI were Industrials and Large Blend stocks with -4.09% and -4.48% returns respectively. On a benchmark relative basis, the main active contributors were Information Technology and Large Growth stocks, adding 1.04% and 0.92% respectively; geographically, we outperformed in Emerging Asia, Canada and Latin America, adding 0.98%, 0.74% and 0.57% respectively active returns over the benchmark.
 
TTAI owns a portfolio of high-quality stocks selected by our proprietary free cash flow algorithm: as of July 31, 2022, the weighted average cash flow return for TTAI was 14.97% compared to the benchmark’s 7.08%. Historically, high-quality stocks underperformed in the recovery stage but remained resilient throughout the economic cycle. We believe holding a Large and Mid-cap high-quality portfolio selected by the proprietary free cash flow metrics informed by our research as a core position may benefit investors in the long term.
 

 

Must be preceded or accompanied by a current Fund prospectus.
 
The views and opinions expressed in this discussion are those of FCF Advisors LLC. The views and opinions expressed are subject to change at any time, are not guaranteed, and should not be considered investment advice.
 
Past performance is no guarantee of future results.
 
Fund holdings and sector allocations are subject to change and are not recommendations to buy or sell any security. Current and future portfolio holdings are subject to risk. Please refer to the Schedule of Investments contained in this report for a full listing of fund holdings.
 
Investing involves risk, including the possible loss of principal. Individual 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. Investments in the Fund include risks associated with small-and mid-cap securities which may have less liquidity and greater volatility than large-cap securities. Returns on investments in foreign securities could be more volatile than investments in securities of domestic issuers.
 
The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted. Performance current to the most recent month-end can be obtained by calling (toll free 800-617-0004).
 
The MSCI All Country World Index ex-USA (“MSCI Index”) is a market capitalization weighted index maintained by Morgan Stanley Capital International (MSCI).  It is designed to provide a broad measure of stock performance throughout the world, with the exception of U.S.-based companies. The MSCI Index includes both developed and emerging markets. It is not possible to invest directly in the MSCI Index.
4

FCF International Quality ETF

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE
July 31, 2022 (Unaudited) (Continued)

Free Cash Flow represents the cash that a company is able to generate after accounting for capital expenditures.
 
The FCF International Quality ETF is distributed by Quasar Distributors, LLC.
 
The return on equity is a measure of the profitability of a business in relation to the equity.
 
A company’s debt-to-capital ratio or D/C ratio is the ratio of its total debt to its total capital, its debt and equity combined.
5

FCF International Quality ETF

PERFORMANCE SUMMARY
July 31, 2022 (Unaudited)

Growth of a $10,000 Investment


 
One
Five
Since
Average Annual Total Returns (as of July 31, 2022)
Year
Year
Inception(a)
FCF International Quality ETF – NAV
-17.93%
3.99%
4.30%
FCF International Quality ETF – Market
-17.75%
3.71%
4.34%
S&P Developed Ex-U.S. BMI Index*
-15.54%
2.82%
3.31%
MSCI All Country World Index ex-USA (Net)*
-15.26%
2.45%
3.05%

*
Effective March 28, 2022, the Fund’s broad-based securities market index was changed from the S&P Developed Ex-U.S. BMI Index to the MSCI All Country World Index ex-USA to more closely align the Fund’s principal investment strategy, which includes exposure to emerging markets countries.

This chart assumes an initial gross investment of $10,000 made on June 27, 2017 (commencement of the Fund’s operations). Returns shown include the reinvestment of all dividends. Returns shown do not reflect the deductions of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that your shares, when redeemed, may be worth more or less than original cost. Index returns do not reflect the effects of fees or expenses. It is not possible to invest directly in an index. The total operating expense ratio as stated in the fee table to the Fund’s prospectus dated November 29, 2021 is 0.60%. For performance information current to the most recent month-end, please call 1-800-617-0004.
 
(a)
Commencement of operations on June 27, 2017.
6

Donoghue Forlines Tactical High Yield ETF

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE
July 31, 2022 (Unaudited)
The Donoghue Forlines Tactical High Yield ETF (DFHY or the “Fund”) was down -9.96% (NAV) and -10.01% (Market) for the 1 year ended July 31, 2022. Our benchmark, the Bloomberg U.S. Aggregate Bond Index was down -9.12% for the same time period.
 
DFHY slightly underperformed the broader market index, the Bloomberg U.S. Aggregate Bond Index, for the 1 year ended July 31, 2022. During this time period, bond markets were challenged by sharply higher interest rates and volatility. DFHY is a fund of funds that tactically allocates exposure to high yield bond ETFs or intermediate term treasury bond ETFs on a daily buy-sell signal. DFHY aims to capture the majority of the upside and more importantly avoid the majority of the downside of the high yield asset class during a full credit market cycle. The strategy utilizes proprietary defensive “Tactical” indicators to attempt to mitigate downside volatility and preserve capital by shifting primarily towards intermediate term treasury exposure during market declines. The underlying funds are passively managed and track indexes, therefore DFHY seeks to derive its alpha from being invested in the high yield bond market or intermediate term treasury market at the more opportune time. The Fund could also seek to derive alpha from the broader fixed income benchmark, the Bloomberg U.S. Aggregate Bond Index, by holding high yield bonds (which the benchmark Index does not) and holding less duration than the broader market index, the Bloomberg U.S. Aggregate Bond Index. On an absolute basis, both our high yield bond ETFs and intermediate term treasury ETFs produced negative returns during the period.
 
The Fund’s underlying index experienced 7 risk mitigation signals for the 1 year ended July 31, 2022. The Fund began the time period allocated to a 100% mix of high yield bond ETFs. The first sell signal occurred on August 5, 2021, which saw the Fund allocate to an 80% mix of intermediate term Treasury ETFs and a 20% mix of high yield bond ETFs. A subsequent buy signal triggered on August 26, 2021, which saw the Fund allocate back to a 100% mix of high yield bond ETFs. The Fund performed in line with its benchmark over that time period. Another sell signal occurred on October 1, 2021, which saw the Fund allocate to an 80% mix of intermediate term Treasury ETFs and a 20% mix of high yield bond ETFs. A subsequent buy signal triggered on November 5, 2021, which saw the Fund allocate back to a 100% mix of high yield bond ETFs. The Fund underperformed its benchmark over that time period. Another sell signal occurred on November 18, 2021, which saw the Fund allocate to an 80% mix of intermediate term Treasury ETFs and a 20% mix of high yield bond ETFs. A subsequent buy signal triggered on December 13, 2021, which saw the Fund allocate back to a 100% mix of high yield bond ETFs. The Fund underperformed its benchmark over that time period. Another sell signal occurred on January 10, 2022, which saw the Fund allocate to an 80% mix of intermediate term Treasury ETFs and a 20% mix of high yield bond ETFs. A subsequent buy signal triggered on April 5, 2022, which saw the Fund allocate back to a 100% mix of high yield bond ETFs. The Fund underperformed its benchmark over that time period. A risk mitigation signal triggered on April 8, 2022, which saw the Fund allocate back an 80% mix of intermediate term Treasury ETFs and a 20% mix of high yield bond ETFs. A subsequent buy signal triggered on May 31, 2022, which saw the Fund allocate back to a 100% mix of high yield bond ETFs. The Fund
7

Donoghue Forlines Tactical High Yield ETF

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE
July 31, 2022 (Unaudited) (Continued)
underperformed its benchmark over that time period. A risk mitigation signal triggered on June 10, 2022, which saw the Fund allocate back an 80% mix of intermediate term Treasury ETFs and a 20% mix of high yield bond ETFs. A subsequent buy signal triggered on July 21, 2022, which saw the Fund allocate back to a 100% mix of high yield bond ETFs. While the signals did not provide positive attribution against being fully invested in high yield bond ETFs for the duration of the time period, the portfolio benefited from less exposure to duration than the benchmark index.
 
 
Must be preceded or accompanied by a current Fund prospectus.
 
The views and opinions expressed in this discussion are those of FCF Advisors LLC and Donoghue Forlines LLC. The views and opinions expressed are subject to change at any time, are not guaranteed and should not be considered investment advice.
 
Past performance is no guarantee of future results.
 
Fund holdings and sector allocations are subject to change and are not recommendations to buy or sell any security. Current and future portfolio holdings are subject to risk. Please refer to the Schedule of Investments contained in this report for a full listing of fund holdings.
 
The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted. Performance current to the most recent month-end can be obtained by calling (toll free 800-617-0004).
 
Investing involves risk, including the possible loss of principal. Individual 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. Because the Fund invests in ETFs, an investor will indirectly bear the principal risks of the underlying funds, including illiquidity, and an investment in the Fund will entail more costs and expenses than a direct investment in the Underlying ETFs. Passive funds that seek to track an index may hold the component securities of the underlying index regardless of the current or projected performance of a specific security or the relevant market as a whole, which could cause the fund returns to be lower than if the fund employed an active strategy. The performance of the Fund may diverge from that of its Index. Active and frequent trading of portfolio securities may result in increased transaction costs to the Fund and may also result in higher taxes if Shares are held in a taxable account. Investments in debt securities typically decrease in value when interest rates rise. This risk is usually greater for longer-term debt securities. Investments in high yield securities and unrated securities of similar credit quality are considered to be speculative and are generally subject to a greater risk of loss of principal and interest than investment grade securities. Investment in a fund that utilizes a tactical overlay that seeks to minimize risk may not be appropriate for every investor seeking a particular risk profile.
 
The Donoghue Forlines Tactical High Yield ETF is distributed by Quasar Distributors, LLC
 
FCF Tactical High Yield Index tracks the performance of a rules-based tactical strategy that employs technical signals to determine a bullish or defensive posture: when bullish, the Index is fully invested into selected High Yield Bond exchange-traded funds (“ETFs”); when defensive, the Index directs 80% of its position into selected intermediate-term U.S. Treasury ETFs.
 
The Bloomberg U.S. Aggregate Bond Index, or the Agg, is a broad base, market capitalization-weighted bond market index representing intermediate term investment grade bonds traded in the United States.
 
Alpha is a term used in investing to describe an investment strategy’s ability to beat the market, or its “edge.”
 
Bond duration is a way of measuring how much bond prices are likely to change if and when interest rates move. In more technical terms, bond duration is measurement of interest rate risk.
8

Donoghue Forlines Tactical High Yield ETF

PERFORMANCE SUMMARY
July 31, 2022 (Unaudited)

Growth of a $10,000 Investment


 
One
Since
Average Annual Total Returns (as of July 31, 2022)
Year
Inception(a)
Donoghue Forlines Tactical High Yield ETF – NAV
  -9.96%
-4.52%
Donoghue Forlines Tactical High Yield ETF – Market
-10.01%
-4.52%
FCF Tactical High Yield Index
  -9.99%
-4.76%
Bloomberg U.S. Aggregate Bond Index
  -9.12%
-5.69%

This chart assumes an initial gross investment of $10,000 made on December 7, 2020 (commencement of the Fund’s operations). Returns shown include the reinvestment of all dividends. Returns shown do not reflect the deductions of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that your shares, when redeemed, may be worth more or less than original cost. Index returns do not reflect the effects of fees or expenses. It is not possible to invest directly in an index. The total operating expense ratio as stated in the fee table to the Fund’s prospectus dated November 29, 2021 is 0.88%. For performance information current to the most recent month-end, please call 1-800-617-0004.
 
(a)
Commencement of operations on December 7, 2020.
9

Donoghue Forlines Risk Managed Innovation ETF

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE
July 31, 2022 (Unaudited)
The Donoghue Forlines Risk Managed Innovation ETF (DFNV) was down -15.16% (NAV) and -15.10% (Market) for the 1 year ended July 31, 2022. Our benchmark, the Russell 1000 Total Return Index (R1000), was down -6.87% for the same time period.
 
On an absolute basis, the leading contributors of DFNV were Healthcare stocks with a -9.38% return, and Information Technology stocks with -13.99% return; the largest detractors were Consumer Discretionary stocks with a -35.16% return, and Communication Services stocks with a -26.35% return. On a benchmark relative basis, the best active contributors were Communications stocks, adding 1.16% active return over R1000. The main active detractors were Information Technology stocks, losing -3.60%, and Energy stocks, losing -1.74%.
 
DFNV owns a portfolio of high-quality innovative stocks selected by our proprietary free cash flow algorithm: as of July 31, 2022, the weighted average return on equity for DFNV was 44.99%, compared to 39.68% of R1000 and debt-to-capital of 44.76% compared to 41.81. DFNV remained fully invested during the period ended July 31st, 2022, as the fund’s underlying index did not employ the downside risk mitigation model. Rising interest rates and persistent inflation weighed on growth stocks during the time period. We believe holding a portfolio of high-quality innovative stocks selected by the proprietary free cash flow metrics informed by our research as a core position may benefit investors in the long term.
 

 
Must be preceded or accompanied by a current Fund prospectus.
 
The views and opinions expressed in this discussion are those of FCF Advisors LLC and Donoghue Forlines LLC. The views and opinions expressed are subject to change at any time, are not guaranteed and should not be considered investment advice.
 
Past performance is no guarantee of future results.
 
Fund holdings and sector allocations are subject to change and are not recommendations to buy or sell any security. Current and future portfolio holdings are subject to risk. Please refer to the Schedule of Investments contained in this report for a full listing of fund holdings.
 
The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted. Performance current to the most recent month-end can be obtained by calling (toll free 800-617-0004).
 
Investing involves risk, including the possible loss of principal. Individual 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. Investments in the Fund include risks associated with small-and mid-cap securities which may have less liquidity and greater volatility than large-cap securities. Because the Fund may invest in ETFs, an investor will indirectly bear the principal risks of the underlying funds, including illiquidity, and an investment in
10

Donoghue Forlines Risk Managed Innovation ETF

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE
July 31, 2022 (Unaudited) (Continued)
the Fund will entail more costs and expenses than a direct investment in the Underlying ETFs. Passive funds that seek to track an index may hold the component securities of the underlying index regardless of the current or projected performance of a specific security or the relevant market as a whole, which could cause the fund returns to be lower than if the fund employed an active strategy. The performance of the Fund may diverge from that of its Index. Active and frequent trading of portfolio securities may result in increased transaction costs to the Fund and may also result in higher taxes if Shares are held in a taxable account. Investment in a fund that utilizes a downside protection model that seeks to minimize risk only during certain prolonged bear market environments may not be appropriate for ever investor seeking a particular risk profile.
 
Free Cash Flow represents the cash that a company is able to generate after accounting for capital expenditures.
 
The Donoghue Forlines Risk Managed Innovation ETF is distributed by Quasar Distributors, LLC.
 
FCF Risk Managed Quality Innovation Index tracks the performance of a rules-based strategy that aims to provide risk-managed exposure to U.S. publicly traded companies with strong free cash flow and strong research and development (“R&D”) investment.
 
The Russell 1000 Index is a stock market index that tracks the highest-ranking 1,000 stocks in the Russell 3000 Index, which represent about 90% of the total market capitalization of that index.
 
Return on equity (ROE) is a measure of financial performance calculated by dividing net income by shareholders’ equity.
 
The weighted average return is the sum total of the product (or multiplication) of weights that are associated with different investment options and their respective returns.
 
A company’s debt-to-capital ratio or D/C ratio is the ratio of its total debt to its total capital, its debt and equity combined.
11

Donoghue Forlines Risk Managed Innovation ETF

PERFORMANCE SUMMARY
July 31, 2022 (Unaudited)

Growth of a $10,000 Investment


 
One
Since
Average Annual Total Returns (as of July 31, 2022)
Year
Inception(a)
Donoghue Forlines Risk Managed Innovation ETF – NAV
-15.16%
0.32%
Donoghue Forlines Risk Managed Innovation ETF – Market
-15.10%
0.34%
FCF Risk Managed Quality Innovation Index
-14.93%
0.70%
Russell 1000® Total Return Index
  -6.87%
6.84%

This chart assumes an initial gross investment of $10,000 made on December 7, 2020 (commencement of the Fund’s operations). Returns shown include the reinvestment of all dividends. Returns shown do not reflect the deductions of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that your shares, when redeemed, may be worth more or less than original cost. Index returns do not reflect the effects of fees or expenses. It is not possible to invest directly in an index. The total operating expense ratio as stated in the fee table to the Fund’s prospectus dated November 29, 2021 is 0.69%. For performance information current to the most recent month-end, please call 1-800-617-0004.
 
(a)
Commencement of operations on December 7, 2020.
12

Donoghue Forlines Yield Enhanced Real Asset ETF

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE
July 31, 2022 (Unaudited)
The Donoghue Forlines Yield Enhanced Real Asset ETF (DFRA) began trading on December 14, 2021. Since inception on December 13, 2021 through the period ending July 31, 2022, the Fund was up 6.88% (NAV) and 6.79% (Market). Our benchmark, the S&P Real Assets Equity Index, was down -0.42% over the same period.
 
DFRA outperformed its benchmark since inception to the period ended July 31st, 2022. Real asset equities, as represented by the S&P Real Asset Equity Index, outperformed the broader market, as represented by the S&P 500 Index , during this time period. The largest contributors to performance were Energy stocks and Consumer Staples stocks, respectively up 46.27% and 41.58% during the time period. The largest detractors were Real Estate stocks and Information Technology stocks, respectively down -15.05% and -9.84%.
 
DFRA owns a portfolio of high-quality real asset stocks* selected by our proprietary free cash flow algorithm: as of July 31st, 2022 the weighted average return on equity for DFRA was 24.91% and debt-to-capital of 46.64%. The price-to-sales ratio  was 3.90 and the price-to-earnings ratio  13.26. Historically, real asset stocks have outperformed in periods of high inflation. We believe holding a portfolio of high-quality real asset stocks selected by the proprietary free cash flow metrics informed by our research as a core position may provide diversification and benefit investors in the long term.
 
*
“Real asset” stocks are currently defined as common stock, real estate investment trusts (“REITs”), master limited partnerships (“MLPs”), and American Depositary Receipts (“ADRs”) included in the “Real Assets Industry Group,” as defined by FCF Indexes LLC, the index provider for the FCF Yield Enhanced Real Asset Index.

 
 
The views and opinions expressed in this discussion are those of FCF Advisors LLC and Donoghue Forlines LLC. The views and opinions expressed are subject to change at any time, are not guaranteed and should not be considered investment advice.
 
Fund holdings and sector allocations are subject to change and are not recommendations to buy or sell any security. Current and future portfolio holdings are subject to risk. Please refer to the Schedule of Investments contained in this report for a full listing of fund holdings.
 
The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted. Performance current to the most recent month-end can be obtained by calling (toll free 800-617-0004).
 
Investing involves risk, including the possible loss of principal. Individual 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.
 
Passive funds that seek to track an index may hold the component securities of the underlying index regardless of the current or projected performance of a specific security or the relevant market as a whole, which could cause the fund returns to be lower than if the fund employed an active strategy. The performance of the Fund may diverge from that of its Index known as tracking error. The Fund is new with limited performance history to evaluate.
13

Donoghue Forlines Yield Enhanced Real Asset ETF

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE
July 31, 2022 (Unaudited) (Continued)
The Fund may be subject to certain risks associated with direct investments in REITs such as the quality of credit, changes in their underlying properties and by defaults by borrowers or tenants. MLPs can be affected by macroeconomic factors, expectations of interest rates, investor sentiment or changes in a particular issuer’s financial condition. The Fund is more susceptible to adverse developments affecting one or more of these sectors.
 
Free Cash Flow represents the cash that a company is able to generate after accounting for capital expenditures.
 
The Donoghue Forlines Yield Enhanced Real Asset ETF is distributed by Quasar Distributors, LLC.
 
Return on equity (ROE) is a measure of financial performance calculated by dividing net income by shareholders’ equity. A company’s earnings are its after-tax net income. This is the company’s bottom line or its profits.
 
Market Price: The current price at which shares are bought and sold. Market returns are based upon last trade price.
 
NAV: The dollar value of a single share, based on the value of the underlying assets of the fund minus its liabilities, divided by the number of shares outstanding. Calculated at the end of each business day.
 
The S&P Real Assets Equity Index is a static weighted return of investable and liquid equity indexed components that measures the performance of real return strategies that invest in listed global property, infrastructure, natural resources, and timber and forestry companies.
 
The FCF Yield Enhanced Real Asset Index is designed to track the investment result of a rules-based strategy that aims to provide exposure to global “real assets” equities.
 
The Standard and Poor’s 500, or simply the S&P 500, is a stock market index tracking the stock performance of 500 large companies listed on exchanges in the United States.
 
Price–sales ratio, P/S ratio, or PSR, is a valuation metric for stocks. It is calculated by dividing the company’s market capitalization by the revenue in the most recent year; or, equivalently, divide the per-share stock price by the per-share revenue.
 
The price-earnings ratio, also known as P/E ratio, P/E, or PER, is the ratio of a company’s share price to the company’s earnings per share. The ratio is used for valuing companies and to find out whether they are overvalued or undervalued.
14

Donoghue Forlines Yield Enhanced Real Asset ETF

PERFORMANCE SUMMARY
July 31, 2022 (Unaudited)

Growth of a $10,000 Investment


 
Since
Cumulative Returns (as of July 31, 2022)
Inception(a)
Donoghue Forlines Yield Enhanced Real Asset ETF – NAV
 6.88%
Donoghue Forlines Yield Enhanced Real Asset ETF – Market
 6.79%
FCF Yield Enhanced Real Asset Index
 6.58%
S&P Real Assets Equity Index (Net Total Return)
-0.42%

This chart assumes an initial gross investment of $10,000 made on December 13, 2021 (commencement of the Fund’s operations). Returns shown include the reinvestment of all dividends. Returns shown do not reflect the deductions of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that your shares, when redeemed, may be worth more or less than original cost. Index returns do not reflect the effects of fees or expenses. It is not possible to invest directly in an index. The total operating expense ratio as stated in the fee table to the Fund’s prospectus dated November 29, 2021 is 0.69%. For performance information current to the most recent month-end, please call 1-800-617-0004.
 
(a)
Commencement of operations on December 13, 2021.
15

TrimTabs ETF Trust

SHAREHOLDER EXPENSE EXAMPLES
For the Six-Months Ended July 31, 2022 (Unaudited)
As a shareholder of a Fund you incur two types of costs: (1) transaction costs for purchasing and selling shares; and (2) ongoing costs, including management fees and other Fund expenses. The following examples are intended to help you understand your ongoing costs (in dollars and cents) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds.
 
Each example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period as indicated below.
 
Actual Expenses
 
The first line in the table below provides information about actual account values and actual expenses. You may use the information provided 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 ending 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 Period” to estimate the expenses you paid on your account during the period.
 
Hypothetical Example for Comparison Purposes
 
The second line in the table below provides information about hypothetical account values and hypothetical expenses based on the respective Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 a Fund 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 cost, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the second line in the table below is useful in comparing ongoing Fund costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
 
 
Beginning
Ending
Expenses Paid
 
Account
Account
During Period
 
Value
Value
2/1/22 –
 
2/1/22
7/31/22
7/31/22(a)
FCF US Quality ETF
     
Actual
$1,000.00
$   945.00
$2.85
Hypothetical (5% return before expenses)
$1,000.00
$1,021.87
$2.96

16

TrimTabs ETF Trust

SHAREHOLDER EXPENSE EXAMPLES
For the Six-Months Ended July 31, 2022 (Unaudited) (Continued)
 
Beginning
Ending
Expenses Paid
 
Account
Account
During Period
 
Value
Value
2/1/22 –
 
2/1/22
7/31/22
7/31/22(a)
FCF International Quality ETF
     
Actual
$1,000.00
$   864.30
$2.73
Hypothetical (5% return before expenses)
$1,000.00
$1,021.87
$2.96
       
 
Beginning
Ending
Expenses Paid
 
Account
Account
During Period
 
Value
Value
2/1/22
 
2/1/22
7/31/22
7/31/22(b)
Donoghue Forlines
     
  Tactical High Yield ETF
     
Actual
$1,000.00
$   923.00
$3.29
Hypothetical (5% return before expenses)
$1,000.00
$1,021.37
$3.46
       
 
Beginning
Ending
Expenses Paid
 
Account
Account
During Period
 
Value
Value
2/1/22
 
2/1/22
7/31/22
7/31/22(b)
Donoghue Forlines Risk
     
  Managed Innovation ETF
     
Actual
$1,000.00
$   908.10
$3.26
Hypothetical (5% return before expenses)
$1,000.00
$1,021.37
$3.46
       
 
Beginning
Ending
Expenses Paid
 
Account
Account
During Period
 
Value
Value
2/1/22
 
2/1/22
7/31/22
7/31/22(b)
Donoghue Forlines Yield
     
  Enhanced Real Asset ETF
     
Actual
$1,000.00
$1,018.90
$3.45
Hypothetical (5% return before expenses)
$1,000.00
$1,021.37
$3.46

(a)
Actual Expenses Paid are equal to the Fund’s annualized expense ratio of 0.59%, multiplied by the average account value over the period, multiplied by 181/365 to reflect the period.
(b)
Actual Expenses Paid are equal to the Fund’s annualized expense ratio of 0.69%, multiplied by the average account value over the period, multiplied by 181/365 to reflect the period.

17

TrimTabs ETF Trust

PORTFOLIO HOLDINGS ALLOCATION (as a % of net assets)
July 31, 2022 (Unaudited)
FCF US Quality ETF
     
Communications
   
4.3
%
Consumer Discretionary
   
8.6
%
Consumer Staples
   
8.1
%
Energy
   
7.1
%
Financials
   
9.4
%
Health Care
   
16.0
%
Industrials
   
5.6
%
Materials
   
3.4
%
Technology
   
33.6
%(a)
REITs
   
2.8
%
Money Market Fund
   
0.8
%
Investment Purchased with the Cash Proceeds from Securities Lending
   
10.6
%(b)
Liabilities in Excess of Other Assets
   
(10.3
)%
Total Net Assets
   
100.0
%
         
FCF International Quality ETF
       
Australia
   
9.7
%
Austria
   
0.5
%
Belgium
   
0.7
%
Brazil
   
2.6
%
Canada
   
10.2
%
China
   
8.6
%
Denmark
   
5.2
%
Finland
   
1.5
%
France
   
3.6
%
Germany
   
3.5
%
Hong Kong
   
1.2
%
India
   
0.4
%
Ireland
   
2.3
%
Israel
   
0.8
%
Italy
   
1.3
%
Japan
   
7.4
%
Mexico
   
0.7
%
Netherlands
   
2.9
%
Norway
   
3.4
%
Portugal
   
0.7
%
Republic of Korea
   
0.3
%
Singapore
   
0.7
%
South Africa
   
2.8
%
Spain
   
0.5
%
Sweden
   
3.4
%
Switzerland
   
7.7
%
Taiwan
   
2.7
%
United Kingdom
   
12.9
%
Money Market Fund
   
1.0
%
Investment Purchased with the Cash Proceeds from Securities Lending
   
6.0
%(b)
Liabilities in Excess of Other Assets
   
(5.2
)%
Total Net Assets
   
100.0
%

18

TrimTabs ETF Trust

PORTFOLIO HOLDINGS ALLOCATION (as a % of net assets)
July 31, 2022 (Unaudited) (Continued)
Donoghue Forlines Tactical High Yield ETF
     
Exchange-Traded Funds
   
99.7
%
Money Market Fund
   
0.3
%
Investment Purchased with the Cash Proceeds from Securities Lending
   
29.4
%(b)
Liabilities in Excess of Other Assets
   
(29.4
)%
Total Net Assets
   
100.0
%
         
Donoghue Forlines Risk Managed Innovation ETF
       
Communications
   
9.9
%
Consumer Discretionary
   
1.6
%
Consumer Staples
   
2.7
%
Energy
   
1.4
%
Health Care
   
25.6
%(c)
Industrials
   
3.5
%
Technology
   
55.0
%(c)
Money Market Fund
   
0.3
%
Investment Purchased with the Cash Proceeds from Securities Lending
   
14.6
%(b)
Liabilities in Excess of Other Assets
   
(14.6
)%
Total Net Assets
   
100.0
%
         
Donoghue Forlines Yield Enhanced Real Asset ETF
       
Consumer Staples
   
1.3
%
Energy
   
29.3
%(d)
Industrials
   
19.9
%
Materials
   
13.2
%
Technology
   
1.4
%
Preferred Stock
   
2.3
%
Master Limited Partnerships
   
11.5
%
REITs
   
20.7
%
Money Market Fund
   
0.3
%
Investment Purchased with the Cash Proceeds from Securities Lending
   
24.0
%(b)
Liabilities in Excess of Other Assets
   
(23.9
)%
Total Net Assets
   
100.0
%

(a)
Amount represents investments in a particular sector.  No industry within this sector represented more than 25% of the Fund’s total assets at the time of investment.
(b)
Represents cash received as collateral in return for securities lent as part of the securities lending program.  The cash is invested in the Mount Vernon Liquid Assets Portfolio, LLC as noted in the applicable schedules of investments listed in this report.
(c)
The amount represents investments in a particular sector.  Within the sector, the Fund will concentrate its investments (i.e. invest more than 25% of its total assets) in a particular industry or group of industries to approximately the same extent the FCF Risk Managed Quality Innovation Index is concentrated.
(d)
The amount represents investments in a particular sector.  Within the sector, the Fund will concentrate its investments (i.e. invest more than 25% of its total assets) in a particular industry or group of industries to approximately the same extent the FCF Yield Enhanced Real Asset Index is concentrated.

19

FCF US Quality ETF

SCHEDULE OF INVESTMENTS
July 31, 2022
   
Shares
   
Value
 
             
COMMON STOCKS – 96.1%
           
             
Communications – 4.3%
           
Alphabet, Inc. – Class A (a)
   
28,640
   
$
3,331,405
 
Booking Holdings, Inc. (a)
   
452
     
874,932
 
Expedia Group, Inc. (a)
   
3,529
     
374,250
 
Interpublic Group of Cos., Inc.
   
42,496
     
1,269,356
 
Meta Platforms, Inc. – Class A (a)
   
7,410
     
1,178,931
 
Sirius XM Holdings, Inc. (d)
   
86,641
     
578,762
 
VeriSign, Inc. (a)
   
200
     
37,832
 
             
7,645,468
 
                 
Consumer Discretionary – 8.6%
               
AutoNation, Inc. (a)(d)
   
14,243
     
1,691,214
 
AutoZone, Inc. (a)
   
813
     
1,737,698
 
Chipotle Mexican Grill, Inc. (a)(d)
   
523
     
818,087
 
Dick’s Sporting Goods, Inc. (d)
   
60
     
5,616
 
Etsy, Inc. (a)(d)
   
5,756
     
597,012
 
Genuine Parts Co.
   
5,670
     
866,773
 
Group 1 Automotive, Inc.
   
5,670
     
1,003,136
 
Home Depot, Inc.
   
3,479
     
1,046,970
 
Lowe’s Cos., Inc.
   
4,625
     
885,826
 
Masco Corp. (d)
   
23,206
     
1,285,148
 
O’Reilly Automotive, Inc. (a)
   
2,465
     
1,734,349
 
Starbucks Corp.
   
17,716
     
1,501,963
 
Ulta Beauty, Inc. (a)
   
3,156
     
1,227,400
 
Williams-Sonoma, Inc. (d)
   
6,173
     
891,505
 
Winmark Corp.
   
112
     
24,881
 
             
15,317,578
 
                 
Consumer Staples – 8.1%
               
Altria Group, Inc.
   
23,584
     
1,034,394
 
BellRing Brands, Inc. (a)
   
33,247
     
802,583
 
Clorox Co.
   
5,631
     
798,701
 
Coca-Cola Co.
   
39,748
     
2,550,629
 
Colgate-Palmolive Co.
   
15,397
     
1,212,360
 
Costco Wholesale Corp.
   
3,731
     
2,019,590
 
Estee Lauder Cos., Inc. – Class A
   
3,225
     
880,748
 
Hershey Co. (d)
   
4,814
     
1,097,399
 
Kroger Co.
   
14,746
     
684,804
 

The accompanying notes are an integral part of these financial statements.
20

FCF US Quality ETF

SCHEDULE OF INVESTMENTS
July 31, 2022 (Continued)
   
Shares
   
Value
 
             
COMMON STOCKS – 96.1% (Continued)
           
             
Consumer Staples – 8.1% (Continued)
           
Philip Morris International, Inc.
   
16,941
   
$
1,645,818
 
Procter & Gamble Co.
   
11,777
     
1,635,943
 
Target Corp.
   
17
     
2,778
 
             
14,365,747
 
                 
Energy – 7.1%
               
APA Corp.
   
18,414
     
684,448
 
Chord Energy Corp. (d)
   
34
     
4,360
 
ConocoPhillips
   
11,534
     
1,123,758
 
Devon Energy Corp.
   
10,570
     
664,325
 
Enphase Energy, Inc. (a)
   
3,397
     
965,360
 
Exxon Mobil Corp.
   
27,129
     
2,629,614
 
Magnolia Oil & Gas Corp. – Class A (d)
   
64,931
     
1,566,785
 
Occidental Petroleum Corp.
   
11,859
     
779,729
 
Ovintiv, Inc.
   
30,303
     
1,548,180
 
PDC Energy, Inc. (d)
   
10,186
     
669,118
 
Targa Resources Corp.
   
14,366
     
992,834
 
Texas Pacific Land Corp.
   
474
     
869,245
 
             
12,497,756
 
                 
Financials – 9.4%
               
Allstate Corp.
   
370
     
43,279
 
American Express Co.
   
7,021
     
1,081,375
 
American Financial Group, Inc.
   
10,031
     
1,340,944
 
Bank of America Corp.
   
151
     
5,105
 
Berkshire Hathaway, Inc. – Class B (a)
   
6,634
     
1,994,180
 
Goldman Sachs Group, Inc.
   
3,307
     
1,102,521
 
JPMorgan Chase & Co.
   
22,701
     
2,618,787
 
LPL Financial Holdings, Inc. (d)
   
7,766
     
1,630,239
 
Morgan Stanley
   
10,584
     
892,231
 
SEI Investments Co.
   
16,602
     
919,087
 
Synchrony Financial
   
30,737
     
1,029,075
 
T Rowe Price Group, Inc. (d)
   
7,396
     
913,184
 
U.S. Bancorp
   
21,946
     
1,035,851
 
Visa, Inc. – Class A (d)
   
5,922
     
1,256,116
 
Wells Fargo & Co.
   
928
     
40,711
 
Willis Towers Watson PLC
   
3,210
     
664,277
 
             
16,566,962
 

The accompanying notes are an integral part of these financial statements.
21

FCF US Quality ETF

SCHEDULE OF INVESTMENTS
July 31, 2022 (Continued)
   
Shares
   
Value
 
             
COMMON STOCKS – 96.1% (Continued)
           
             
Health Care – 16.0%
           
Abbott Laboratories
   
12,736
   
$
1,386,186
 
AbbVie, Inc.
   
16,760
     
2,405,228
 
Alector, Inc. (a)
   
40,000
     
408,800
 
Amgen, Inc.
   
9,216
     
2,280,683
 
Bristol-Myers Squibb Co.
   
26,314
     
1,941,447
 
Chemed Corp. (d)
   
1,799
     
865,481
 
Eli Lilly & Co.
   
6,640
     
2,189,142
 
Gilead Sciences, Inc.
   
14,841
     
886,750
 
Hologic, Inc. (a)
   
12,325
     
879,758
 
Johnson & Johnson
   
16,176
     
2,823,035
 
McKesson Corp.
   
5,171
     
1,766,310
 
Medpace Holdings, Inc. (a)
   
5,347
     
906,477
 
Mettler-Toledo International, Inc. (a)
   
844
     
1,139,172
 
Molina Healthcare, Inc. (a)
   
5,173
     
1,695,296
 
Pfizer, Inc.
   
51,282
     
2,590,254
 
Regeneron Pharmaceuticals, Inc. (a)
   
1,207
     
702,100
 
UnitedHealth Group, Inc.
   
5,031
     
2,728,512
 
Waters Corp. (a)
   
2,088
     
760,095
 
             
28,354,726
 
                 
Industrials – 5.6%
               
3M Co. (d)
   
45
     
6,446
 
Allegion PLC (d)
   
48
     
5,074
 
Emerson Electric Co.
   
59
     
5,314
 
General Dynamics Corp.
   
3,150
     
714,011
 
Insperity, Inc.
   
6,846
     
751,280
 
Keysight Technologies, Inc. (a)
   
6,127
     
996,250
 
Lennox International, Inc. (d)
   
280
     
67,068
 
Lockheed Martin Corp.
   
3,475
     
1,437,990
 
Louisiana-Pacific Corp. (d)
   
20,132
     
1,280,999
 
Oshkosh Corp.
   
11,603
     
999,018
 
Otis Worldwide Corp.
   
17,667
     
1,381,029
 
Rollins, Inc. (d)
   
15,821
     
610,216
 
Union Pacific Corp.
   
29
     
6,592
 
United Parcel Service, Inc. – Class B
   
8,680
     
1,691,645
 
             
9,952,932
 

The accompanying notes are an integral part of these financial statements.
22

FCF US Quality ETF

SCHEDULE OF INVESTMENTS
July 31, 2022 (Continued)
   
Shares
   
Value
 
             
COMMON STOCKS – 96.1% (Continued)
           
             
Materials – 3.4%
           
CF Industries Holdings, Inc.
   
11,963
   
$
1,142,347
 
Dow, Inc.
   
11,110
     
591,163
 
Eagle Materials, Inc.
   
8,211
     
1,038,281
 
LyondellBasell Industries NV – Class A
   
11,161
     
994,668
 
Sherwin-Williams Co.
   
6,042
     
1,461,802
 
Trex Co., Inc. (a)
   
11,401
     
735,593
 
Vale SA – ADR (d)
   
1,316
     
17,713
 
             
5,981,567
 
                 
Technology – 33.6% (c)
               
Accenture PLC – Class A
   
7,176
     
2,197,722
 
Adobe, Inc. (a)
   
4,495
     
1,843,489
 
Apple, Inc.
   
65,092
     
10,578,101
 
ASML Holding NV – NY Reg Shares
   
1,894
     
1,087,989
 
Atlassian Corp. PLC – Class A (a)
   
5,684
     
1,189,775
 
Autodesk, Inc. (a)
   
4,010
     
867,443
 
Box, Inc. – Class A (a)
   
24,063
     
684,352
 
Broadcom, Inc.
   
4,389
     
2,350,222
 
Cadence Design Systems, Inc. (a)
   
7,552
     
1,405,276
 
Cisco Systems, Inc.
   
45,095
     
2,045,960
 
CommVault Systems, Inc. (a)
   
13,261
     
743,809
 
Crowdstrike Holdings, Inc. – Class A (a)
   
3,292
     
604,411
 
Dropbox, Inc. – Class A (a)
   
37,661
     
856,411
 
FactSet Research Systems, Inc.
   
2,443
     
1,049,708
 
Fair Isaac Corp. (a)
   
2,627
     
1,213,753
 
Fortinet, Inc. (a)
   
28,901
     
1,723,945
 
Gartner, Inc. (a)
   
4,472
     
1,187,226
 
HP, Inc.
   
39,471
     
1,317,937
 
International Business Machines Corp.
   
9,289
     
1,214,908
 
Jack Henry & Associates, Inc.
   
7,077
     
1,470,388
 
Manhattan Associates, Inc. (a)(d)
   
7,362
     
1,035,612
 
MarketAxess Holdings, Inc.
   
1,460
     
395,339
 
Mastercard, Inc. – Class A
   
4,966
     
1,756,921
 
Microchip Technology, Inc. (d)
   
8,287
     
570,643
 
Microsoft Corp.
   
22,023
     
6,182,737
 
Moody’s Corp.
   
3,563
     
1,105,421
 
Motorola Solutions, Inc.
   
2,952
     
704,318
 

The accompanying notes are an integral part of these financial statements.
23

FCF US Quality ETF

SCHEDULE OF INVESTMENTS
July 31, 2022 (Continued)
   
Shares
   
Value
 
             
COMMON STOCKS – 96.1% (Continued)
           
             
Technology – 33.6% (c) (Continued)
           
MSCI, Inc.
   
1,782
   
$
857,748
 
NetApp, Inc.
   
55
     
3,923
 
NVIDIA Corp.
   
8,476
     
1,539,496
 
Palo Alto Networks, Inc. (a)
   
3,105
     
1,549,705
 
Paychex, Inc.
   
8,035
     
1,030,730
 
Pure Storage, Inc. – Class A (a)
   
31,448
     
891,551
 
QUALCOMM, Inc.
   
585
     
84,860
 
ServiceNow, Inc. (a)
   
3,162
     
1,412,339
 
Synopsys, Inc. (a)
   
2,945
     
1,082,287
 
Veeva Systems, Inc. – Class A (a)
   
3,977
     
889,178
 
VMware, Inc. – Class A
   
5,954
     
691,855
 
Western Union Co.
   
24,142
     
410,897
 
Workday, Inc. – Class A (a)
   
5,666
     
878,797
 
Zebra Technologies Corp. (a)
   
2,011
     
719,315
 
             
59,426,497
 
TOTAL COMMON STOCKS
               
  (Cost $152,918,281)
           
170,109,233
 
                 
                 
REITs – 2.8%
               
                 
Real Estate – 2.8%
               
American Tower Corp.
   
8,174
     
2,213,764
 
Gaming and Leisure Properties, Inc.
   
13,150
     
683,668
 
Iron Mountain, Inc. (d)
   
26,632
     
1,291,386
 
Simon Property Group, Inc.
   
7,389
     
802,741
 
TOTAL REITs
               
  (Cost $4,548,022)
           
4,991,559
 
                 
                 
MONEY MARKET FUND – 0.8%
               
Fidelity Institutional Money Market Fund –
               
  Government Portfolio, Institutional Class, 1.49% (b)
   
1,361,957
     
1,361,957
 
TOTAL MONEY MARKET FUND
               
  (Cost $1,361,957)
           
1,361,957
 

The accompanying notes are an integral part of these financial statements.
24

FCF US Quality ETF

SCHEDULE OF INVESTMENTS
July 31, 2022 (Continued)
   
Shares
   
Value
 
             
INVESTMENT PURCHASED WITH THE CASH
           
  PROCEEDS FROM SECURITIES LENDING – 10.6%
           
             
Investment Company – 10.6%
           
Mount Vernon Liquid Asset Portfolio, LLC, 2.02% (b)
   
18,745,040
   
$
18,745,040
 
TOTAL INVESTMENT PURCHASED WITH THE
               
  CASH PROCEEDS FROM SECURITIES LENDING
               
  (Cost $18,745,040)
           
18,745,040
 
                 
Total Investments (Cost $177,573,300) – 110.3%
           
195,207,789
 
Liabilities in Excess of Other Assets – (10.3)%
           
(18,270,147
)
TOTAL NET ASSETS – 100.0%
         
$
176,937,642
 

Percentages are stated as a percent of net assets.
ADR – American Depositary Receipt
PLC – Public Limited Company
REIT – Real Estate Investment Trust
(a)
Non-income producing security.
(b)
Rate disclosed is the seven day annualized yield as of July 31, 2022.
(c)
Amount represents investments in a particular sector. No industry within this sector represented more than 25% of the Fund’s total assets at the time of investment.
(d)
All or a portion of this security was out on loan at July 31, 2022. Total loaned securities had a market value of $18,626,055 as of July 31, 2022.

For Fund compliance purposes, the Fund’s sector classifications refers to any one or more of the sector classifications used by one or more widely recognized market indexes or ratings group indexes, and/or they may be defined by Fund management. This definition does not apply for all purposes of this report, which may combine classifications for reporting ease.

The accompanying notes are an integral part of these financial statements.
25

FCF International Quality ETF

SCHEDULE OF INVESTMENTS
July 31, 2022
   
Shares
   
Value
 
             
COMMON STOCKS – 96.2%
           
             
Communications – 7.1%
           
America Movil SAB de CV – ADR
   
20,139
   
$
381,231
 
Kakaku.com, Inc.
   
22,206
     
431,464
 
KDDI Corp.
   
11,944
     
384,429
 
MTN Group Ltd.
   
33,434
     
279,804
 
MultiChoice Group
   
48,823
     
349,634
 
NetEase, Inc. – ADR (e)
   
8,405
     
781,497
 
Telenor ASA
   
32,392
     
392,119
 
Telstra Corp. Ltd.
   
110,738
     
300,979
 
Ubisoft Entertainment SA – ADR (a)
   
30,092
     
254,578
 
WPP PLC – ADR
   
4,963
     
267,804
 
             
3,823,539
 
                 
Consumer Discretionary – 11.3%
               
adidas AG
   
1,820
     
312,129
 
Bunzl PLC
   
11,437
     
427,730
 
BYD Co. Ltd. – Class H
   
13,986
     
508,848
 
Domino’s Pizza Enterprises Ltd.
   
4,102
     
207,618
 
Geberit AG
   
614
     
321,820
 
Hennes & Mauritz AB – Class B
   
31,823
     
404,967
 
Howden Joinery Group PLC
   
38,541
     
317,471
 
JD Sports Fashion PLC
   
251,153
     
396,235
 
La Francaise des Jeux SAEM (b)
   
7,209
     
256,772
 
Lululemon Athletica, Inc. (a)
   
812
     
252,134
 
LVMH Moet Hennessy Louis Vuitton SE
   
1,171
     
807,850
 
Mercedes-Benz Group AG
   
5,332
     
311,823
 
Next PLC
   
4,603
     
381,514
 
Pandora A/S
   
3,454
     
254,939
 
Persimmon PLC – ADR
   
60
     
2,768
 
Pinduoduo, Inc. – ADR (a)
   
5,737
     
281,170
 
Topsports International Holdings Ltd. (b)
   
177,970
     
148,272
 
Yadea Group Holdings Ltd. (b)
   
107,766
     
232,009
 
ZOZO, Inc.
   
12,697
     
272,602
 
             
6,098,671
 
                 
Consumer Staples – 10.6%
               
Chongqing Brewery Co. Ltd. – Class A
   
16,166
     
294,900
 
Coles Group Ltd.
   
42,221
     
553,121
 
Diageo PLC
   
9,601
     
453,889
 

The accompanying notes are an integral part of these financial statements.
26

FCF International Quality ETF

SCHEDULE OF INVESTMENTS
July 31, 2022 (Continued)
   
Shares
   
Value
 
             
COMMON STOCKS – 96.2% (Continued)
           
             
Consumer Staples – 10.6% (Continued)
           
Dollarama, Inc.
   
9,454
   
$
572,976
 
Haleon PLC – ADR (a)
   
14,014
     
98,518
 
Imperial Brands PLC
   
14,052
     
307,856
 
Jeronimo Martins SGPS SA
   
16,128
     
372,858
 
Kesko Oyj – Class B
   
15,069
     
371,477
 
Kweichow Moutai Co. Ltd. – Class A
   
1,482
     
417,605
 
Loblaw Cos Ltd.
   
4,199
     
382,240
 
L’Oreal SA
   
1,726
     
649,347
 
Reckitt Benckiser Group PLC
   
3,878
     
313,867
 
Sun Art Retail Group Ltd.
   
439,218
     
129,249
 
Unilever PLC
   
16,947
     
826,248
 
             
5,744,151
 
                 
Energy – 4.8%
               
Aker BP ASA
   
13,304
     
459,605
 
Equinor ASA – ADR (e)
   
18,082
     
694,530
 
Imperial Oil Ltd.
   
7,145
     
342,422
 
OMV AG
   
6,769
     
286,553
 
Orron Energy AB
   
13,988
     
17,206
 
Petroleo Brasileiro SA – ADR
   
47,421
     
677,172
 
Woodside Energy Group Ltd. – ADR (e)
   
1,369
     
31,090
 
Woodside Energy Group Ltd.
   
3,853
     
86,093
 
             
2,594,671
 
                 
Financials – 13.5%
               
Admiral Group PLC
   
8,521
     
199,029
 
Bank of Montreal
   
3,092
     
308,246
 
China Merchants Bank Co. Ltd. – Class H
   
53,020
     
286,379
 
Commonwealth Bank of Australia
   
9,545
     
672,044
 
Deutsche Boerse AG
   
2,513
     
437,912
 
FinecoBank Banca Fineco SpA
   
23,237
     
287,129
 
Gjensidige Forsikring ASA
   
14,168
     
295,231
 
Hargreaves Lansdown PLC
   
21,307
     
220,089
 
Hong Kong Exchanges & Clearing Ltd.
   
11,740
     
536,906
 
Industrial & Commercial Bank of China Ltd. – Class H
   
440,106
     
232,671
 
Japan Exchange Group, Inc.
   
12,606
     
199,323
 
Nihon M&A Center Holdings, Inc.
   
9,956
     
131,776
 

The accompanying notes are an integral part of these financial statements.
27

FCF International Quality ETF

SCHEDULE OF INVESTMENTS
July 31, 2022 (Continued)
   
Shares
   
Value
 
             
COMMON STOCKS – 96.2% (Continued)
           
             
Financials – 13.5% (Continued)
           
Partners Group Holding AG
   
532
   
$
577,356
 
Ping An Insurance Group Co. of China Ltd. – Class H
   
47,154
     
277,521
 
Royal Bank of Canada (e)
   
10,690
     
1,042,382
 
Singapore Exchange Ltd.
   
50,916
     
364,897
 
Toronto-Dominion Bank
   
10,179
     
661,192
 
Zurich Insurance Group AG
   
1,325
     
577,552
 
             
7,307,635
 
                 
Health Care – 9.5%
               
Amplifon SpA
   
11,740
     
386,482
 
Astellas Pharma, Inc.
   
21,824
     
341,639
 
Coloplast A/S – Class B
   
1,653
     
192,770
 
Getinge AB – Class B
   
10,009
     
224,858
 
GSK PLC – ADR
   
11,211
     
472,776
 
Medibank Pvt Ltd.
   
132,964
     
316,796
 
Novo Nordisk A/S – Class B
   
13,301
     
1,559,538
 
Roche Holding AG
   
3,000
     
994,064
 
Sonic Healthcare Ltd.
   
16,882
     
404,230
 
Straumann Holding AG
   
2,019
     
271,081
 
             
5,164,234
 
                 
Industrials – 12.0%
               
AP Moller – Maersk A/S – Class A
   
301
     
802,132
 
Atlas Copco AB – Class A
   
62,370
     
724,342
 
COSCO SHIPPING Holdings Co. Ltd. – Class H
   
267,367
     
399,864
 
Deutsche Post AG
   
8,560
     
340,325
 
Epiroc AB – Class A
   
7,997
     
140,625
 
Evergreen Marine Corp. Taiwan Ltd.
   
79,000
     
251,979
 
GEA Group AG
   
13,223
     
491,523
 
Intertek Group PLC
   
6,036
     
321,665
 
Iveco Group NV (a)
   
7,158
     
43,591
 
Kone Oyj – Class B
   
8,992
     
408,965
 
Kuehne + Nagel International AG
   
1,678
     
449,888
 
Recruit Holdings Co. Ltd.
   
12,876
     
478,251
 
Rentokil Initial PLC
   
44,272
     
291,786
 
Samsung Heavy Industries Co. Ltd. (a)
   
44,225
     
191,321
 
Schindler Holding AG
   
1,321
     
256,747
 

The accompanying notes are an integral part of these financial statements.
28

FCF International Quality ETF

SCHEDULE OF INVESTMENTS
July 31, 2022 (Continued)
   
Shares
   
Value
 
             
COMMON STOCKS – 96.2% (Continued)
           
             
Industrials – 12.0% (Continued)
           
SGS SA
   
164
   
$
398,865
 
Wan Hai Lines Ltd.
   
62,100
     
221,927
 
Yang Ming Marine Transport Corp.
   
94,800
     
283,694
 
             
6,497,490
 
                 
Materials – 9.2%
               
Anglo American PLC – ADR
   
22,096
     
398,391
 
BHP Group Ltd. – ADR (e)
   
3,601
     
198,199
 
BHP Group Ltd.
   
21,324
     
576,296
 
Evraz PLC (c)
   
49,526
     
151,676
 
Exxaro Resources Ltd.
   
20,477
     
248,742
 
Fortescue Metals Group Ltd. – ADR
   
4,340
     
111,929
 
Fortescue Metals Group Ltd.
   
22,025
     
282,232
 
James Hardie Industries PLC
   
14,784
     
363,601
 
Kumba Iron Ore Ltd.
   
12,920
     
382,897
 
MMG Ltd. (a)
   
681,580
     
201,438
 
Rio Tinto Ltd.
   
3,596
     
245,800
 
Shaanxi Coal Industry Co. Ltd. – Class A
   
162,900
     
462,064
 
Sibanye Stillwater Ltd.
   
101,838
     
248,284
 
Vale SA – ADR (e)
   
31,546
     
424,609
 
West Fraser Timber Co. Ltd.
   
7,476
     
699,932
 
             
4,996,090
 
                 
Real Estate – 0.6%
               
Daito Trust Construction Co. Ltd.
   
3,627
     
342,437
 
                 
Technology – 16.5%
               
Accenture PLC – Class A (e)
   
1,491
     
456,634
 
ASML Holding NV
   
1,850
     
1,050,141
 
Atlassian Corp. PLC – Class A (a)
   
2,905
     
608,075
 
AUO Corp.
   
572,000
     
255,042
 
Capcom Co. Ltd.
   
10,030
     
277,545
 
CGI, Inc. (a)
   
6,216
     
532,987
 
Check Point Software Technologies Ltd. (a)
   
3,620
     
451,052
 
Constellation Software, Inc.
   
425
     
722,973
 
Experian PLC
   
12,090
     
421,527
 
Infosys Ltd. – ADR (e)
   
11,323
     
220,685
 

The accompanying notes are an integral part of these financial statements.
29

FCF International Quality ETF

SCHEDULE OF INVESTMENTS
July 31, 2022 (Continued)
   
Shares
   
Value
 
             
COMMON STOCKS – 96.2% (Continued)
           
             
Technology – 16.5% (Continued)
           
Lenovo Group Ltd.
   
360,844
   
$
348,897
 
Nomura Research Institute Ltd.
   
10,951
     
327,257
 
Pegatron Corp.
   
112,592
     
233,901
 
Realtek Semiconductor Corp.
   
19,627
     
224,189
 
RELX PLC
   
27,855
     
822,946
 
Telefonaktiebolaget LM Ericsson – ADR (e)
   
13,601
     
102,551
 
Telefonaktiebolaget LM Ericsson – Class B
   
28,323
     
214,244
 
Temenos AG
   
3,810
     
300,205
 
Trend Micro, Inc.
   
14,471
     
836,681
 
Wolters Kluwer NV
   
4,862
     
526,734
 
             
8,934,266
 
                 
Utilities – 1.1%
               
Elia Group SA/NV
   
2,457
     
372,406
 
Red Electrica Corp. SA
   
12,519
     
246,048
 
             
618,454
 
TOTAL COMMON STOCKS
               
  (Cost $61,066,030)
           
52,121,638
 
                 
                 
PREFERRED STOCK – 0.6%
               
                 
Utilities – 0.6%
               
Cia Energetica de Minas Gerais – ADR
   
155,592
     
345,414
 
TOTAL PREFERRED STOCK
               
  (Cost $301,525)
           
345,414
 
                 
                 
REITs – 1.4%
               
                 
Real Estate – 1.4%
               
Goodman Group
   
32,277
     
466,825
 
Segro PLC
   
21,800
     
290,702
 
TOTAL REITs
               
  (Cost $800,185)
           
757,527
 

The accompanying notes are an integral part of these financial statements.
30

FCF International Quality ETF

SCHEDULE OF INVESTMENTS
July 31, 2022 (Continued)
   
Shares
   
Value
 
             
MONEY MARKET FUND – 1.0%
           
Fidelity Institutional Money Market Fund –
           
  Government Portfolio, Institutional Class, 1.49% (d)
   
541,439
   
$
541,439
 
TOTAL MONEY MARKET FUND
               
  (Cost $541,439)
           
541,439
 
                 
                 
INVESTMENT PURCHASED WITH THE CASH
               
  PROCEEDS FROM SECURITIES LENDING – 6.0%
               
                 
Investment Company – 6.0%
               
Mount Vernon Liquid Asset Portfolio, LLC, 2.02% (d)
   
3,228,249
     
3,228,249
 
TOTAL INVESTMENT PURCHASED WITH THE
               
  CASH PROCEEDS FROM SECURITIES LENDING
               
  (Cost $3,228,249)
           
3,228,249
 
                 
Total Investments (Cost $65,937,428) – 105.2%
           
56,994,267
 
Liabilities in Excess of Other Assets – (5.2)%
           
(2,837,054
)
TOTAL NET ASSETS – 100.0%
         
$
54,157,213
 

Percentages are stated as a percent of net assets.
ADR – American Depositary Receipt
PLC – Public Limited Company
REIT – Real Estate Investment Trust
(a)
Non-income producing security.
(b)
Security exempt from registration under Rule 144(a) and Regulation S of the Securities Act of 1933.  Such securities are treated as liquid securities according to the Fund’s liquidity guidelines.  At July 31, 2022, the value of these securities amounted to $637,053 or 1.18% of net assets.
(c)
Security fair valued using valuation guidelines established by the Board of Trustees.  The value of this security at July 31, 2022 was $151,676.
(d)
Rate disclosed is the seven day annualized yield as of July 31, 2022.
(e)
All or a portion of this security was out on loan at July 31, 2022. Total loaned securities had a market value of $3,162,859 as of July 31, 2022.

For Fund compliance purposes, the Fund’s sector classifications refers to any one or more of the sector classifications used by one or more widely recognized market indexes or ratings group indexes, and/or they may be defined by Fund management. This definition does not apply for all purposes of this report, which may combine classifications for reporting ease.

The accompanying notes are an integral part of these financial statements.
31

Donoghue Forlines Tactical High Yield ETF

SCHEDULE OF INVESTMENTS
July 31, 2022
   
Shares
   
Value
 
EXCHANGE-TRADED FUNDS – 99.7%
           
iShares 0-5 Year High Yield Corporate Bond ETF (b)
   
114,660
   
$
4,846,678
 
iShares Broad USD High Yield Corporate Bond ETF (b)
   
223,569
     
8,211,689
 
iShares Fallen Angels USD Bond ETF
   
163,812
     
4,213,245
 
iShares iBoxx High Yield Corporate Bond ETF (b)
   
106,463
     
8,324,342
 
JPMorgan High Yield Research Enhanced ETF
   
69,237
     
3,207,058
 
SPDR Bloomberg High Yield Bond ETF (b)
   
52,060
     
5,017,543
 
SPDR Bloomberg Short-Term High Yield Bond ETF (b)
   
139,664
     
3,516,739
 
VanEck Fallen Angel High Yield Bond ETF
   
128,416
     
3,640,593
 
Xtrackers USD High Yield Corporate Bond ETF
   
180,624
     
6,462,727
 
TOTAL EXCHANGE-TRADED FUNDS
               
  (Cost $46,589,591)
           
47,440,614
 
                 
MONEY MARKET FUND – 0.3%
               
Fidelity Institutional Money Market Fund –
               
  Government Portfolio, Institutional Class, 1.49% (a)
   
162,381
     
162,381
 
TOTAL MONEY MARKET FUND
               
  (Cost $162,381)
           
162,381
 
                 
INVESTMENT PURCHASED WITH THE CASH
               
  PROCEEDS FROM SECURITIES LENDING – 29.4%
               
                 
Investment Company – 29.4%
               
Mount Vernon Liquid Asset Portfolio, LLC, 2.02% (a)
   
13,991,235
     
13,991,235
 
TOTAL INVESTMENT PURCHASED WITH THE
               
  CASH PROCEEDS FROM SECURITIES LENDING
               
  (Cost $13,991,235)
           
13,991,235
 
                 
Total Investments (Cost $60,743,207) – 129.4%
           
61,594,230
 
Liabilities in Excess of Other Assets – (29.4%)
           
(14,007,200
)
TOTAL NET ASSETS – 100.0%
         
$
47,587,030
 

Percentages are stated as a percent of net assets.
ETF – Exchange-Traded Fund
(a)
Rate disclosed is the seven day annualized yield as of July 31, 2022.
(b)
All or a portion of this security was out on loan at July 31, 2022. Total loaned securities had a market value of $13,704,208 as of July 31, 2022.

The accompanying notes are an integral part of these financial statements.
32

Donoghue Forlines Risk Managed Innovation ETF

SCHEDULE OF INVESTMENTS
July 31, 2022
   
Shares
   
Value
 
             
COMMON STOCKS – 99.7%
           
             
Communications – 9.9%
           
Alphabet, Inc. – Class A (a)
   
17,586
   
$
2,045,604
 
Electronic Arts, Inc.
   
7,341
     
963,359
 
Expedia Group, Inc. (a)
   
5,958
     
631,846
 
GoDaddy, Inc. – Class A (a)
   
10,131
     
751,518
 
Match Group, Inc. (a)
   
8,555
     
627,167
 
Meta Platforms, Inc. – Class A (a)
   
9,085
     
1,445,423
 
Pinterest, Inc. – Class A (a)
   
29,765
     
579,822
 
Playtika Holding Corp. (a)
   
33,973
     
416,849
 
Sirius XM Holdings, Inc. (d)
   
151,241
     
1,010,290
 
Trade Desk, Inc. – Class A (a)(d)
   
14,953
     
672,885
 
             
9,144,763
 
                 
Consumer Discretionary – 1.6%
               
eBay, Inc. (d)
   
15,654
     
761,254
 
Etsy, Inc. (a)(d)
   
7,182
     
744,917
 
             
1,506,171
 
                 
Consumer Staples – 2.7%
               
Clorox Co. (d)
   
5,131
     
727,781
 
Colgate-Palmolive Co.
   
12,382
     
974,959
 
Philip Morris International, Inc.
   
8,590
     
834,518
 
             
2,537,258
 
                 
Energy – 1.4%
               
Enphase Energy, Inc. (a)
   
4,647
     
1,320,584
 
                 
Health Care – 25.6% (c)
               
Abbott Laboratories
   
3,372
     
367,009
 
AbbVie, Inc.
   
12,409
     
1,780,816
 
ABIOMED, Inc. (a)
   
2,547
     
746,296
 
Agilent Technologies, Inc.
   
6,215
     
833,432
 
Amgen, Inc.
   
6,018
     
1,489,274
 
Bio-Techne Corp.
   
1,857
     
715,465
 
Bristol-Myers Squibb Co.
   
21,648
     
1,597,189
 
Edwards Lifesciences Corp. (a)(d)
   
7,909
     
795,171
 
Eli Lilly & Co.
   
5,212
     
1,718,344
 
Exelixis, Inc. (a)(d)
   
21,400
     
447,688
 
Gilead Sciences, Inc.
   
19,521
     
1,166,380
 

The accompanying notes are an integral part of these financial statements.
33

Donoghue Forlines Risk Managed Innovation ETF

SCHEDULE OF INVESTMENTS
July 31, 2022 (Continued)
   
Shares
   
Value
 
COMMON STOCKS – 99.7% (Continued)
           
             
Health Care – 25.6% (c) (Continued)
           
Hologic, Inc. (a)
   
10,398
   
$
742,209
 
Horizon Therapeutics PLC (a)
   
8,656
     
718,188
 
Jazz Pharmaceuticals PLC (a)
   
4,248
     
662,943
 
Johnson & Johnson
   
9,951
     
1,736,649
 
Merck & Co., Inc.
   
15,312
     
1,367,974
 
Mettler-Toledo International, Inc. (a)
   
665
     
897,570
 
Moderna, Inc. (a)(d)
   
4,440
     
728,560
 
Organon & Co.
   
18,740
     
594,433
 
Pfizer, Inc. (d)
   
35,091
     
1,772,446
 
Regeneron Pharmaceuticals, Inc. (a)
   
1,279
     
743,982
 
Royalty Pharma PLC – Class A
   
16,123
     
701,189
 
Tandem Diabetes Care, Inc. (a)
   
5,661
     
374,815
 
Vertex Pharmaceuticals, Inc. (a)
   
3,803
     
1,066,399
 
             
23,764,421
 
                 
Industrials – 3.5%
               
Keysight Technologies, Inc. (a)
   
5,867
     
953,974
 
Lennox International, Inc. (d)
   
1,999
     
478,821
 
Lockheed Martin Corp.
   
2,635
     
1,090,389
 
Trimble, Inc. (a)
   
10,761
     
747,136
 
             
3,270,320
 
                 
Technology – 55.0% (c)
               
Accenture PLC – Class A
   
2,295
     
702,867
 
Adobe, Inc. (a)(d)
   
3,736
     
1,532,208
 
Akamai Technologies, Inc. (a)
   
5,283
     
508,330
 
ANSYS, Inc. (a)
   
2,265
     
631,912
 
Apple, Inc.
   
19,769
     
3,212,660
 
Arista Networks, Inc. (a)(d)
   
8,615
     
1,004,767
 
Atlassian Corp. PLC – Class A (a)
   
4,174
     
873,702
 
Autodesk, Inc. (a)
   
5,001
     
1,081,816
 
Bentley Systems, Inc. – Class B
   
18,246
     
722,542
 
Broadcom, Inc.
   
3,008
     
1,610,724
 
Cadence Design Systems, Inc. (a)
   
6,744
     
1,254,924
 
Cisco Systems, Inc.
   
33,971
     
1,541,264
 
Coupa Software, Inc. (a)
   
5,011
     
327,820
 
Crowdstrike Holdings, Inc. – Class A (a)
   
5,801
     
1,065,064
 
Datadog, Inc. – Class A (a)(d)
   
8,649
     
882,285
 

The accompanying notes are an integral part of these financial statements.
34

Donoghue Forlines Risk Managed Innovation ETF

SCHEDULE OF INVESTMENTS
July 31, 2022 (Continued)
   
Shares
   
Value
 
COMMON STOCKS – 99.7% (Continued)
           
             
Technology – 55.0% (c) (Continued)
           
DocuSign, Inc. (a)(d)
   
8,501
   
$
543,894
 
Dropbox, Inc. – Class A (a)(d)
   
27,728
     
630,535
 
Dynatrace, Inc. (a)
   
16,772
     
631,130
 
F5 Networks, Inc. (a)
   
3,890
     
651,030
 
FactSet Research Systems, Inc.
   
1,909
     
820,259
 
Fair Isaac Corp. (a)
   
1,169
     
540,113
 
Fortinet, Inc. (a)
   
17,900
     
1,067,735
 
GlobalFoundries, Inc. (a)(d)
   
12,875
     
662,805
 
HubSpot, Inc. (a)
   
2,073
     
638,484
 
International Business Machines Corp. (d)
   
10,387
     
1,358,516
 
Intuit, Inc.
   
3,166
     
1,444,234
 
Jack Henry & Associates, Inc.
   
3,926
     
815,705
 
Juniper Networks, Inc.
   
20,410
     
572,092
 
Lattice Semiconductor Corp. (a)
   
11,206
     
689,169
 
Lumentum Holdings, Inc. (a)(d)
   
6,301
     
569,989
 
Manhattan Associates, Inc. (a)(d)
   
5,010
     
704,757
 
Microchip Technology, Inc. (d)
   
13,800
     
950,268
 
Motorola Solutions, Inc.
   
4,622
     
1,102,763
 
MSCI, Inc.
   
1,876
     
902,994
 
NetApp, Inc.
   
10,446
     
745,113
 
NortonLifeLock, Inc.
   
29,412
     
721,476
 
NXP Semiconductors NV
   
5,426
     
997,733
 
ON Semiconductor Corp. (a)(d)
   
13,975
     
933,251
 
Oracle Corp.
   
20,722
     
1,613,001
 
Palantir Technologies, Inc. – Class A (a)
   
80,026
     
828,269
 
Palo Alto Networks, Inc. (a)
   
2,145
     
1,070,570
 
PayPal Holdings, Inc. (a)
   
12,561
     
1,086,903
 
Pure Storage, Inc. – Class A (a)(d)
   
24,863
     
704,866
 
RingCentral, Inc. – Class A (a)
   
5,670
     
280,608
 
ServiceNow, Inc. (a)
   
2,711
     
1,210,895
 
Synaptics, Inc. (a)
   
3,382
     
490,221
 
Synopsys, Inc. (a)(d)
   
3,384
     
1,243,620
 
Tenable Holdings, Inc. (a)
   
7,374
     
285,005
 
Teradyne, Inc.
   
4,992
     
503,643
 
Ubiquiti, Inc. (d)
   
2,508
     
756,488
 
Veeva Systems, Inc. – Class A (a)
   
4,778
     
1,068,265
 
VMware, Inc. – Class A
   
9,819
     
1,140,968
 

The accompanying notes are an integral part of these financial statements.
35

Donoghue Forlines Risk Managed Innovation ETF

SCHEDULE OF INVESTMENTS
July 31, 2022 (Continued)
   
Shares
   
Value
 
COMMON STOCKS – 99.7% (Continued)
           
             
Technology – 55.0% (c) (Continued)
           
Workday, Inc. – Class A (a)
   
5,601
   
$
868,715
 
Zebra Technologies Corp. (a)
   
2,133
     
762,953
 
Zoom Video Communications, Inc. – Class A (a)
   
7,461
     
774,899
 
Zscaler, Inc. (a)
   
5,003
     
775,765
 
             
51,112,584
 
TOTAL COMMON STOCKS
               
  (Cost $96,813,709)
           
92,656,101
 
                 
MONEY MARKET FUND –  0.3%
               
Fidelity Institutional Money Market Fund –
               
  Government Portfolio, Institutional Class, 1.49% (b)
   
283,957
     
283,957
 
TOTAL MONEY MARKET FUND
               
  (Cost $283,957)
           
283,957
 
                 
INVESTMENT PURCHASED WITH THE CASH
               
  PROCEEDS FROM SECURITIES LENDING – 14.6%
               
                 
Investment Company –  14.6%
               
Mount Vernon Liquid Asset Portfolio, LLC, 2.02% (b)
   
13,550,477
     
13,550,477
 
TOTAL INVESTMENT PURCHASED WITH THE
               
  CASH PROCEEDS FROM SECURITIES LENDING
               
  (Cost $13,550,477)
           
13,550,477
 
                 
Total Investments (Cost $110,648,143) – 114.6%
           
106,490,535
 
Liabilities in Excess of Other Assets – (14.6)%
           
(13,537,583
)
TOTAL NET ASSETS – 100.0%
         
$
92,952,952
 

Percentages are stated as a percent of net assets.
PLC – Public Limited Company
(a)
Non-income producing security.
(b)
Rate disclosed is the seven day annualized yield as of July 31, 2022.
(c)
The amount represents investments in a particular sector.  Within the sector, the Fund will concentrate its investments (i.e. invest more than 25% of its total assets) in a particular industry or group of industries to approximately the same extent of the Underlying Index is concentrated.
(d)
All or a portion of this security was out on loan at July 31, 2022.  Total loaned securities had a market value of $13,381,801 as of July 31, 2022.

For Fund compliance purposes, the Fund’s sector classifications refers to any one or more of the sector classifications used by one or more widely recognized market indexes or ratings group indexes, and/or they may be defined by Fund management. This definition does not apply for all purposes of this report, which may combine classifications for reporting ease.

The accompanying notes are an integral part of these financial statements.
36

Donoghue Forlines Yield Enhanced Real Asset ETF

SCHEDULE OF INVESTMENTS
July 31, 2022
   
Shares
   
Value
 
COMMON STOCKS – 65.1%
           
             
Consumer Staples – 1.3%
           
Archer-Daniels-Midland Co.
   
5,557
   
$
459,953
 
                 
Energy – 29.3% (c)
               
Antero Midstream Corp. (b)
   
30,355
     
305,371
 
BP PLC – ADR
   
21,255
     
624,472
 
Chesapeake Energy Corp. (b)
   
3,732
     
351,442
 
Chevron Corp.
   
5,248
     
859,517
 
ConocoPhillips
   
5,920
     
576,786
 
Coterra Energy, Inc.
   
11,647
     
356,282
 
Devon Energy Corp.
   
7,908
     
497,018
 
Ecopetrol SA – ADR
   
26,516
     
284,782
 
Eni SpA – ADR
   
17,229
     
413,841
 
EOG Resources, Inc.
   
3,881
     
431,645
 
Equinor ASA – ADR (b)
   
18,229
     
700,176
 
Equitrans Midstream Corp.
   
39,012
     
306,244
 
Exxon Mobil Corp. (b)
   
10,338
     
1,002,062
 
Kinder Morgan, Inc.
   
27,923
     
502,335
 
ONEOK, Inc. (b)
   
7,621
     
455,279
 
Petroleo Brasileiro SA – ADR
   
41,911
     
598,489
 
Shell PLC – ADR
   
13,093
     
698,904
 
TotalEnergies SE – ADR (b)
   
12,557
     
641,160
 
Williams Cos., Inc.
   
15,174
     
517,282
 
Woodside Energy Group Ltd. – ADR
   
4,289
     
97,403
 
             
10,220,490
 
                 
Industrials – 19.9%
               
3M Co. (b)
   
4,252
     
609,056
 
Allison Transmission Holdings, Inc.
   
6,933
     
290,285
 
AO Smith Corp.
   
5,295
     
335,015
 
Emerson Electric Co.
   
5,720
     
515,200
 
Honeywell International, Inc. (b)
   
3,086
     
593,932
 
Hubbell, Inc.
   
1,644
     
360,069
 
Lennox International, Inc. (b)
   
1,612
     
386,122
 
Lincoln Electric Holdings, Inc.
   
2,210
     
312,582
 
Norfolk Southern Corp.
   
1,941
     
487,521
 
Oshkosh Corp. (b)
   
3,428
     
295,151
 
Parker-Hannifin Corp.
   
1,693
     
489,429
 

The accompanying notes are an integral part of these financial statements.
37

Donoghue Forlines Yield Enhanced Real Asset ETF

SCHEDULE OF INVESTMENTS
July 31, 2022 (Continued)
   
Shares
   
Value
 
             
COMMON STOCKS – 65.1% (Continued)
           
             
Industrials – 19.9% (Continued)
           
Rockwell Automation, Inc. (b)
   
1,828
   
$
466,652
 
Siemens AG – ADR
   
9,788
     
545,583
 
Union Pacific Corp.
   
2,909
     
661,216
 
Waste Management, Inc.
   
3,520
     
579,251
 
             
6,927,064
 
                 
Materials – 13.2%
               
BHP Group Ltd. – ADR (b)
   
11,879
     
653,820
 
Dow, Inc.
   
8,538
     
454,307
 
Eastman Chemical Co. (b)
   
3,394
     
325,587
 
Linde PLC (b)
   
2,016
     
608,832
 
LyondellBasell Industries NV – Class A
   
4,778
     
425,815
 
Newmont Corp.
   
8,183
     
370,526
 
Rio Tinto PLC – ADR (b)
   
9,089
     
554,702
 
Sibanye Stillwater Ltd. – ADR
   
29,207
     
290,318
 
Southern Copper Corp.
   
9,383
     
467,273
 
Vale SA – ADR (b)
   
34,554
     
465,097
 
             
4,616,277
 
                 
Technology – 1.4%
               
Corning, Inc.
   
12,752
     
468,764
 
TOTAL COMMON STOCKS
               
  (Cost $23,691,422)
           
22,692,548
 
                 
                 
PREFERRED STOCKS – 2.3%
               
                 
Energy – 1.7%
               
Petroleo Brasileiro SA – ADR
   
44,324
     
581,974
 
                 
Materials – 0.6%
               
Gerdau SA – ADR
   
44,892
     
211,890
 
TOTAL PREFERRED STOCKS
               
  (Cost $784,498)
           
793,864
 

The accompanying notes are an integral part of these financial statements.
38

Donoghue Forlines Yield Enhanced Real Asset ETF

SCHEDULE OF INVESTMENTS
July 31, 2022 (Continued)
   
Shares
   
Value
 
             
MASTER LIMITED PARTNERSHIPS – 11.5%
           
             
Energy – 11.5%
           
Crestwood Equity Partners, LP
   
10,078
   
$
272,207
 
DCP Midstream LP
   
9,169
     
310,829
 
Energy Transfer, LP
   
44,783
     
506,496
 
EnLink Midstream, LLC
   
29,756
     
291,609
 
Enterprise Products Partners, LP
   
21,718
     
580,522
 
Magellan Midstream Partners, LP
   
7,627
     
392,790
 
MPLX, LP
   
16,501
     
536,448
 
Plains All American Pipeline, LP
   
30,977
     
341,986
 
Shell Midstream Partners, LP
   
22,319
     
358,220
 
Western Midstream Partners, LP
   
14,904
     
399,278
 
TOTAL MASTER LIMITED PARTNERSHIPS
               
  (Cost $3,582,507)
           
3,990,385
 
                 
                 
REITs – 20.7%
               
                 
Financials – 2.1%
               
Annaly Capital Management, Inc. (b)
   
60,578
     
416,777
 
New Residential Investment Corp.
   
29,617
     
323,121
 
             
739,898
 
                 
Real Estate – 18.6%
               
American Tower Corp.
   
2,649
     
717,429
 
AvalonBay Communities, Inc.
   
2,042
     
436,865
 
Crown Castle International Corp.
   
3,172
     
573,054
 
EastGroup Properties, Inc.
   
1,756
     
299,468
 
Equity LifeStyle Properties, Inc.
   
5,158
     
379,216
 
Equity Residential
   
5,542
     
434,437
 
Extra Space Storage, Inc.
   
2,470
     
468,114
 
First Industrial Realty Trust, Inc.
   
5,444
     
282,816
 
Gaming and Leisure Properties, Inc.
   
8,325
     
432,817
 
Iron Mountain, Inc. (b)
   
7,869
     
381,568
 
Lamar Advertising Co. – Class A
   
3,807
     
384,735
 
Medical Properties Trust, Inc.
   
17,637
     
304,062
 
Omega Healthcare Investors, Inc. (b)
   
10,538
     
326,678
 
Public Storage
   
1,702
     
555,550
 
Simon Property Group, Inc.
   
4,737
     
514,628
 
             
6,491,437
 
TOTAL REITs
               
  (Cost $7,802,523)
           
7,231,335
 

The accompanying notes are an integral part of these financial statements.
39

Donoghue Forlines Yield Enhanced Real Asset ETF

SCHEDULE OF INVESTMENTS
July 31, 2022 (Continued)
   
Shares
   
Value
 
MONEY MARKET FUND  – 0.3%
           
Fidelity Institutional Money Market Fund –
           
  Government Portfolio, Institutional Class, 1.49% (a)
   
90,796
   
$
90,796
 
TOTAL MONEY MARKET FUND
               
  (Cost $90,796)
           
90,796
 
                 
INVESTMENT PURCHASED WITH THE CASH
               
  PROCEEDS FROM SECURITIES LENDING – 24.0%
               
                 
Investment Company – 24.0%
               
Mount Vernon Liquid Asset Portfolio, LLC, 2.02% (a)
   
8,374,921
     
8,374,921
 
TOTAL INVESTMENT PURCHASED WITH THE
               
  CASH