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