(a)
|
|
Page
|
|||
Letter to Shareholders
|
1
|
||
Performance Summary
|
4
|
||
Portfolio Allocation
|
6
|
||
Schedule of Investments
|
7
|
||
Statement of Assets and Liabilities
|
12
|
||
Statement of Operations
|
13
|
||
Statements of Changes in Net Assets
|
14
|
||
Financial Highlights
|
16
|
||
Notes to Financial Statements
|
18
|
||
Report of Independent Registered Public Accounting Firm
|
27
|
||
Trustees and Officers
|
28
|
||
Expense Example
|
32
|
||
Review of Liquidity Risk Management Program
|
33
|
||
Approval of Advisory Agreement & Board Considerations
|
34
|
||
Federal Tax Information
|
37
|
||
Information About the Portfolio Holdings
|
37
|
||
Information About Proxy Voting
|
37
|
||
Frequency Distribution of Premiums and Discounts
|
37
|
1
|
On November 1, 2021, Realty Income Corporation (O US) announced the completion of a previously announced merger with VEREIT, Inc. The combined company now trades under the ticker symbol “O”. PPTY held Realty
Income Corporation as of February 28, 2022.
|
Average Annual Returns
|
One
|
Three
|
Since
|
February 28, 2022
|
Year
|
Years
|
Inception
(1)
|
U.S. Diversified Real Estate ETF – NAV
|
22.23%
|
10.99%
|
13.26%
|
U.S. Diversified Real Estate ETF – Market
|
21.76%
|
10.88%
|
13.23%
|
USREX – U.S. Diversified Real Estate Index
(2)(3)
|
23.14%
|
11.62%
|
13.67%
|
MSCI US REIT Gross Index
(2)(4)
|
23.75%
|
10.03%
|
12.76%
|
(1)
|
Inception date is March 26, 2018.
|
(2)
|
Indexes are unmanaged statistical composites and their returns do not include fees an investor would pay to purchase the securities they represent. Such costs would lower performance. It is not possible to
invest directly in an index.
|
(3)
|
The index is designed to use stable geographic and property type targets to provide diversified exposure to U.S. real estate. The index is designed to provide diversification by property type and location.
|
(4)
|
The MSCI US REIT Gross Index is a free float-adjusted market capitalization weighted index that is comprised of equity Real Estate Investment Trusts (REITs). REITs are companies that in most cases own and
operate income producing real estate assets.
|
Percentage of
|
||||
Sector
|
Net Assets
|
|||
Residential REITs
|
21.7
|
%
|
||
Office REITs
|
18.4
|
%
|
||
Retail REITs
|
16.4
|
%
|
||
Industrial REITs
|
12.5
|
%
|
||
Specialized REITs
|
9.4
|
%
|
||
Health Care REITs
|
6.9
|
%
|
||
Diversified REITs
|
6.4
|
%
|
||
Hotels, Resorts & Cruise Lines
|
5.4
|
%
|
||
Hotel & Resort REITs
|
2.6
|
%
|
||
Health Care Facilities
|
0.3
|
%
|
||
Short-Term Investments
|
0.9
|
%
|
||
Investments Purchased with Proceeds from Securities Lending
|
28.9
|
%
|
||
Liabilities in Excess of Assets
|
(29.8
|
)%
|
||
Total
|
100.0
|
%
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS – 100.0%
|
|||||||
Health Care Facilities – 0.3%
|
|||||||
6,020
|
National HealthCare Corporation
|
$
|
391,420
|
||||
Hotels, Resorts & Cruise Lines – 5.4%
|
|||||||
4,635
|
Choice Hotels International, Inc.
|
669,062
|
|||||
14,774
|
Hilton Worldwide Holdings, Inc. (a)
|
2,199,258
|
|||||
7,879
|
Hyatt Hotels Corporation – Class A (a)
|
765,130
|
|||||
16,559
|
Marriott International, Inc. – Class A (a)
|
2,817,348
|
|||||
12,804
|
Travel + Leisure Company
|
717,664
|
|||||
8,401
|
Wyndham Hotels & Resorts, Inc. (b)
|
725,930
|
|||||
7,894,392
|
|||||||
Diversified REITs – 6.4%
|
|||||||
9,279
|
Alexander & Baldwin, Inc.
|
208,128
|
|||||
45,936
|
American Assets Trust, Inc.
|
1,679,421
|
|||||
79,646
|
Armada Hoffler Properties, Inc.
|
1,169,203
|
|||||
142,129
|
Broadstone Net Lease, Inc. (b)
|
3,078,513
|
|||||
20,987
|
DigitalBridge Group, Inc. (a)(b)
|
152,156
|
|||||
30,939
|
Essential Properties Realty Trust, Inc.
|
782,138
|
|||||
8,143
|
PS Business Parks, Inc. (b)
|
1,297,098
|
|||||
23,296
|
STORE Capital Corporation
|
715,653
|
|||||
6,036
|
Washington Real Estate Investment Trust
|
141,001
|
|||||
3,600
|
WP Carey, Inc.
|
278,640
|
|||||
9,501,951
|
|||||||
Health Care REITs – 6.9%
|
|||||||
22,981
|
CareTrust REIT, Inc.
|
402,168
|
|||||
9,412
|
Community Healthcare Trust, Inc.
|
392,480
|
|||||
26,107
|
Global Medical REIT, Inc.
|
409,880
|
|||||
19,912
|
Healthcare Realty Trust, Inc.
|
519,305
|
|||||
24,699
|
Healthcare Trust of America, Inc. – Class A (b)
|
725,904
|
|||||
39,792
|
Healthpeak Properties, Inc.
|
1,235,940
|
|||||
12,491
|
LTC Properties, Inc.
|
422,571
|
|||||
23,440
|
Medical Properties Trust, Inc. (b)
|
476,770
|
|||||
9,061
|
National Health Investors, Inc. (b)
|
483,042
|
|||||
17,847
|
Omega Healthcare Investors, Inc. (b)
|
502,750
|
|||||
32,993
|
Physicians Realty Trust (b)
|
536,466
|
|||||
30,789
|
Ventas, Inc.
|
1,662,605
|
|||||
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS – 100.0% (Continued)
|
|||||||
Health Care REITs – 6.9% (Continued)
|
|||||||
29,182
|
Welltower, Inc. (b)
|
$
|
2,430,568
|
||||
10,200,449
|
|||||||
Hotel & Resort REITs – 2.6%
|
|||||||
34,207
|
Apple Hospitality REIT, Inc.
|
605,122
|
|||||
9,419
|
CorePoint Lodging, Inc. (a)
|
150,421
|
|||||
50,511
|
DiamondRock Hospitality Company (a)
|
482,380
|
|||||
58,618
|
Host Hotels & Resorts, Inc. (a)(b)
|
1,070,950
|
|||||
6,862
|
Pebblebrook Hotel Trust (b)
|
154,464
|
|||||
5,761
|
Ryman Hospitality Properties, Inc. (a)
|
507,602
|
|||||
15,868
|
Summit Hotel Properties, Inc. (a)(b)
|
156,935
|
|||||
43,226
|
Sunstone Hotel Investors, Inc. (a)(b)
|
457,331
|
|||||
8,561
|
Xenia Hotels & Resorts, Inc. (a)
|
158,721
|
|||||
3,743,926
|
|||||||
Industrial REITs – 12.5%
|
|||||||
22,893
|
Americold Realty Trust (b)
|
611,701
|
|||||
35,243
|
Duke Realty Corporation
|
1,867,879
|
|||||
4,441
|
EastGroup Properties, Inc.
|
847,165
|
|||||
14,083
|
First Industrial Realty Trust, Inc.
|
810,899
|
|||||
7,376
|
Indus Realty Trust, Inc.
|
561,609
|
|||||
4,020
|
Innovative Industrial Properties, Inc.
|
757,609
|
|||||
93,544
|
LXP Industrial Trust (b)
|
1,446,190
|
|||||
6,936
|
Plymouth Industrial REIT, Inc.
|
180,891
|
|||||
39,276
|
Prologis, Inc.
|
5,728,406
|
|||||
3,030
|
Rexford Industrial Realty, Inc.
|
212,494
|
|||||
44,414
|
STAG Industrial, Inc. (b)
|
1,730,369
|
|||||
54,614
|
Terreno Realty Corporation
|
3,756,897
|
|||||
18,512,109
|
|||||||
Office REITs – 18.4%
|
|||||||
18,251
|
Alexandria Real Estate Equities, Inc.
|
3,456,739
|
|||||
23,488
|
Boston Properties, Inc. (b)
|
2,872,817
|
|||||
11,478
|
Brandywine Realty Trust (b)
|
153,002
|
|||||
33,001
|
Corporate Office Properties Trust
|
864,956
|
|||||
46,921
|
Cousins Properties, Inc. (b)
|
1,812,558
|
|||||
30,109
|
Douglas Emmett, Inc. (b)
|
954,455
|
|||||
214,006
|
Easterly Government Properties, Inc. (b)
|
4,455,606
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS – 100.0% (Continued)
|
|||||||
Office REITs – 18.4% (Continued)
|
|||||||
46,782
|
Equity Commonwealth (a)(b)
|
$
|
1,242,998
|
||||
62,917
|
Highwoods Properties, Inc. (b)
|
2,743,181
|
|||||
6,398
|
Hudson Pacific Properties, Inc. (b)
|
168,907
|
|||||
26,902
|
JBG SMITH Properties
|
717,745
|
|||||
57,427
|
Kilroy Realty Corporation (b)
|
4,112,923
|
|||||
45,089
|
Orion Office REIT, Inc. (a)
|
767,866
|
|||||
24,183
|
Piedmont Office Realty Trust, Inc. – Class A
|
412,078
|
|||||
30,912
|
SL Green Realty Corporation (b)
|
2,458,091
|
|||||
27,193,922
|
|||||||
Residential REITs – 21.7%
|
|||||||
14,541
|
American Campus Communities, Inc.
|
782,451
|
|||||
73,011
|
American Homes 4 Rent – Class A
|
2,775,148
|
|||||
47,907
|
Apartment Income REIT Corporation
|
2,472,480
|
|||||
20,388
|
AvalonBay Communities, Inc.
|
4,864,372
|
|||||
9,686
|
Camden Property Trust
|
1,599,255
|
|||||
16,511
|
Centerspace
|
1,551,869
|
|||||
14,635
|
Equity LifeStyle Properties, Inc.
|
1,092,064
|
|||||
48,575
|
Equity Residential
|
4,143,448
|
|||||
8,299
|
Essex Property Trust, Inc.
|
2,632,194
|
|||||
83,413
|
Independence Realty Trust, Inc. (b)
|
2,107,847
|
|||||
26,011
|
Invitation Homes, Inc.
|
983,216
|
|||||
13,180
|
Mid-America Apartment Communities, Inc.
|
2,696,760
|
|||||
8,252
|
Sun Communities, Inc. (b)
|
1,493,612
|
|||||
45,434
|
UDR, Inc.
|
2,492,964
|
|||||
16,807
|
UMH Properties, Inc.
|
387,569
|
|||||
32,075,249
|
|||||||
Retail REITs – 16.4%
|
|||||||
7,402
|
Acadia Realty Trust
|
158,699
|
|||||
14,422
|
Agree Realty Corporation (b)
|
925,171
|
|||||
5,945
|
Brixmor Property Group, Inc.
|
149,338
|
|||||
20,767
|
Federal Realty Investment Trust
|
2,441,784
|
|||||
30,812
|
Getty Realty Corporation (b)
|
848,871
|
|||||
6,274
|
InvenTrust Properties Corporation
|
162,810
|
|||||
75,901
|
Kimco Realty Corporation (b)
|
1,785,951
|
|||||
7,047
|
Kite Realty Group Trust (b)
|
154,541
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS – 100.0% (Continued)
|
|||||||
Retail REITs – 16.4% (Continued)
|
|||||||
27,186
|
National Retail Properties, Inc. (b)
|
$
|
1,158,395
|
||||
6,769
|
NETSTREIT Corporation (b)
|
149,866
|
|||||
32,430
|
Phillips Edison & Company, Inc.
|
1,048,138
|
|||||
61,369
|
Realty Income Corporation (b)
|
4,055,876
|
|||||
28,733
|
Regency Centers Corporation (b)
|
1,893,217
|
|||||
97,254
|
Retail Opportunity Investments Corporation (b)
|
1,766,133
|
|||||
11,753
|
RPT Realty
|
152,201
|
|||||
2,992
|
Saul Centers, Inc. (b)
|
137,722
|
|||||
26,584
|
Simon Property Group, Inc.
|
3,656,895
|
|||||
48,443
|
SITE Centers Corporation
|
753,289
|
|||||
20,897
|
Spirit Realty Capital, Inc. (b)
|
968,994
|
|||||
8,405
|
Tanger Factory Outlet Centers, Inc. (b)
|
140,195
|
|||||
8,121
|
Urban Edge Properties
|
147,965
|
|||||
77,997
|
Urstadt Biddle Properties, Inc. – Class A
|
1,468,684
|
|||||
24,124,735
|
|||||||
Specialized REITs – 9.4%
|
|||||||
7,377
|
CubeSmart
|
355,644
|
|||||
20,793
|
CyrusOne, Inc.
|
1,878,648
|
|||||
28,140
|
Digital Realty Trust, Inc.
|
3,796,649
|
|||||
7,413
|
Equinix, Inc.
|
5,261,228
|
|||||
3,473
|
Extra Space Storage, Inc.
|
653,445
|
|||||
2,782
|
Life Storage, Inc.
|
352,173
|
|||||
5,817
|
National Storage Affiliates Trust
|
338,957
|
|||||
3,484
|
Public Storage
|
1,236,890
|
|||||
13,873,634
|
|||||||
TOTAL COMMON STOCKS
|
|||||||
(Cost $119,592,339)
|
147,511,787
|
||||||
Principal
|
|||||||
Amount
|
|||||||
SHORT-TERM INVESTMENTS – 0.9%
|
|||||||
Money Market Deposit Account – 0.9%
|
|||||||
$
|
1,386,001
|
U.S. Bank Money Market
|
|||||
Deposit Account, 0.003% (c)
|
1,386,001
|
||||||
TOTAL SHORT-TERM INVESTMENTS
|
|||||||
(Cost $1,386,001)
|
1,386,001
|
Units
|
Security Description
|
Value
|
|||||
INVESTMENTS PURCHASED WITH PROCEEDS
|
|||||||
FROM SECURITIES LENDING – 28.9%
|
|||||||
Private Funds – 28.9%
|
|||||||
42,750,576
|
Mount Vernon Liquid Assets
|
||||||
Portfolio, LLC, 0.130% (d)(e)
|
$
|
42,750,576
|
|||||
TOTAL INVESTMENTS PURCHASED WITH
|
|||||||
PROCEEDS FROM SECURITIES LENDING
|
|||||||
(Cost $42,750,576)
|
42,750,576
|
||||||
TOTAL INVESTMENTS – 129.8%
|
|||||||
(Cost $163,728,916)
|
191,648,364
|
||||||
Liabilities in Excess of Other Assets – (29.8)%
|
(43,954,739
|
)
|
|||||
NET ASSETS – 100.0%
|
$
|
147,693,625
|
(a)
|
Non-income producing security.
|
(b)
|
All or portion of this security is out on loan as of February 28, 2022. Total value of securities out on loan is $41,228,375 or 27.9% of net assets.
|
(c)
|
The Money Market Deposit Account (the “MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on conditions and
may change daily and by any amount. The rate shown is as of February 28, 2022.
|
(d)
|
Annualized seven-day yield as of February 28, 2022.
|
(e)
|
Privately offered liquidity fund. See Note 4 in Notes to Financial Statements.
|
ASSETS
|
||||
Investments in securities, at value*+
|
$
|
191,648,364
|
||
Dividends and interest receivable
|
89,445
|
|||
Securities lending income receivable
|
1,952
|
|||
Total assets
|
191,739,761
|
|||
LIABILITIES
|
||||
Collateral received for securities loaned (Note 4)
|
42,750,576
|
|||
Payable for securities purchased
|
1,239,509
|
|||
Management fees payable, net of waiver
|
56,051
|
|||
Total liabilities
|
44,046,136
|
|||
NET ASSETS
|
$
|
147,693,625
|
||
NET ASSETS CONSIST OF:
|
||||
Paid-in capital
|
$
|
124,825,257
|
||
Total distributable earnings (accumulated deficit)
|
22,868,368
|
|||
Net assets
|
$
|
147,693,625
|
||
Net assets value:
|
||||
Net assets
|
$
|
147,693,625
|
||
Shares outstanding^
|
4,100,000
|
|||
Net asset value, offering and redemption price per share
|
$
|
36.02
|
||
* Identified Cost:
|
||||
Investments in securities
|
$
|
163,728,916
|
||
+ Includes loaned securities with a value of
|
$
|
41,228,375
|
^ No par value, unlimited number of shares authorized.
|
INCOME
|
||||
Dividends
|
$
|
2,663,420
|
||
Non-cash dividends
|
142,725
|
|||
Securities lending income, net (Note 4)
|
18,948
|
|||
Interest
|
9
|
|||
Total investment income
|
2,825,102
|
|||
EXPENSES
|
||||
Management fees
|
771,834
|
|||
Total expenses
|
771,834
|
|||
Fees waived by adviser (Note 3)
|
(58,251
|
)
|
||
Net expenses
|
713,583
|
|||
Net investment income (loss)
|
2,111,519
|
|||
REALIZED AND UNREALIZED
|
||||
GAIN (LOSS) ON INVESTMENTS
|
||||
Net realized gain (loss) on investments
|
11,898,530
|
|||
Change in unrealized appreciation (depreciation) on investments
|
13,222,697
|
|||
Net realized and unrealized gain (loss) on investments
|
25,121,227
|
|||
Net increase (decrease) in net assets
|
||||
resulting from operations
|
$
|
27,232,746
|
||
Year Ended
|
Year Ended
|
|||||||
February 28, 2022
|
February 28, 2021
|
|||||||
OPERATIONS
|
||||||||
Net investment income (loss)
|
$
|
2,111,519
|
$
|
1,999,718
|
||||
Net realized gain (loss) on investments
|
11,898,530
|
(6,389,664
|
)
|
|||||
Change in unrealized appreciation
|
||||||||
(depreciation) on investments
|
13,222,697
|
8,414,707
|
||||||
Net increase (decrease) in net assets
|
||||||||
resulting from operations
|
27,232,746
|
4,024,761
|
||||||
DISTRIBUTIONS TO SHAREHOLDERS
|
||||||||
Net distributions to shareholders
|
(2,111,519
|
)
|
(1,999,718
|
)
|
||||
Tax return of capital to shareholders
|
(2,513,350
|
)
|
(1,870,007
|
)
|
||||
Total distributions to shareholders
|
(4,624,869
|
)
|
(3,869,725
|
)
|
||||
CAPITAL SHARE TRANSACTIONS
|
||||||||
Proceeds from shares sold
|
30,767,240
|
21,559,155
|
||||||
Payments for shares redeemed
|
(27,307,150
|
)
|
(19,324,310
|
)
|
||||
Net increase (decrease) in
|
||||||||
net assets derived from
|
||||||||
capital share transactions
(a)
|
3,460,090
|
2,234,845
|
||||||
Net increase (decrease) in net assets
|
$
|
26,067,967
|
$
|
2,389,881
|
||||
NET ASSETS
|
||||||||
Beginning of year
|
$
|
121,625,658
|
$
|
119,235,777
|
||||
End of year
|
$
|
147,693,625
|
$
|
121,625,658
|
(a)
|
A summary of capital share transactions is as follows:
|
Shares
|
Shares
|
||||||||
Shares sold
|
850,000
|
800,000
|
|||||||
Shares redeemed
|
(750,000
|
)
|
(750,000
|
)
|
|||||
Net increase (decrease)
|
100,000
|
50,000
|
(1)
|
Commencement of operations on March 26, 2018.
|
(2)
|
Calculated based on average shares outstanding during the period.
|
(3)
|
Represents less than $0.005 per share.
|
(4)
|
Not annualized.
|
(5)
|
Annualized.
|
(6)
|
Excludes the impact of in-kind transactions.
|
(7)
|
Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gains and losses in the
Statement of Operations due to share transactions for the period.
|
|
|
Year Ended
|
Period Ended
|
|||||||||||
Year Ended February 28,
|
February 29,
|
February 28,
|
||||||||||||
2022
|
2021
|
2020
|
2019
(1)
|
|||||||||||
$
|
30.41
|
$
|
30.19
|
$
|
29.23
|
$
|
25.00
|
|||||||
0.52
|
0.52
|
0.65
|
0.58
|
|||||||||||
6.22
|
0.70
|
1.38
|
4.21
|
|||||||||||
6.74
|
1.22
|
2.03
|
4.79
|
|||||||||||
(0.52
|
)
|
(0.52
|
)
|
(0.67
|
)
|
(0.48
|
)
|
|||||||
—
|
—
|
(0.05
|
)
|
(0.08
|
)
|
|||||||||
(0.61
|
)
|
(0.48
|
)
|
(0.35
|
)
|
—
|
||||||||
(1.13
|
)
|
(1.00
|
)
|
(1.07
|
)
|
(0.56
|
)
|
|||||||
—
|
—
|
—
|
(3)
|
—
|
(3)
|
|||||||||
$
|
36.02
|
$
|
30.41
|
$
|
30.19
|
$
|
29.23
|
|||||||
22.23
|
%
|
4.67
|
%
|
6.86
|
%
|
19.32
|
%
(4)
|
|||||||
$
|
147,694
|
$
|
121,626
|
$
|
119,236
|
$
|
105,215
|
|||||||
0.53
|
%
|
0.53
|
%
|
0.53
|
%
|
0.53
|
%
(5)
|
|||||||
0.49
|
%
|
0.49
|
%
|
0.53
|
%
|
0.53
|
%
(5)
|
|||||||
1.41
|
%
|
1.88
|
%
|
2.05
|
%
|
2.26
|
%
(5)
|
|||||||
1.45
|
%
|
1.92
|
%
|
2.05
|
%
|
2.26
|
%
(5)
|
|||||||
29
|
%
|
42
|
%
|
18
|
%
|
22
|
%
(4)
|
A.
|
Security Valuation.
All equity securities, including domestic and foreign common stocks, preferred stocks and exchange traded funds that are traded on a national
securities exchange, except those listed on the Nasdaq Global Market
®
, Nasdaq Global Select Market
®
, and Nasdaq Capital Market
®
Exchange (collectively “Nasdaq”) are valued at the last reported sale price on the exchange on which
the security is principally traded. Securities traded on Nasdaq will be valued at the Nasdaq Official Closing Price (“NOCP”). If, on a particular day, an exchange-traded or Nasdaq security does not trade, then the mean between the most recent
quoted bid and asked prices will be used. All equity securities that are not traded on a listed exchange are valued at the last sale price in the over-the- counter market. If a non-exchange traded security does not trade on a particular day,
then the mean between the last quoted closing bid and asked price will be used. Prices denominated in foreign currencies are converted to U.S. dollar equivalents at the current exchange rate, which approximates fair value.
|
Investments in mutual funds, including money market funds, are valued at their net asset value (“NAV”) per share.
|
Units of Mount Vernon Liquid Assets Portfolio are not traded on an exchange and are valued at the investment company’s NAV per share as provided by its administrator. These shares are generally classified as
Level 2 instruments.
|
|
Deposit accounts are valued at acquisition cost, which approximates fair value.
|
|
Securities for which quotations are not readily available are valued at their respective fair values in accordance with pricing procedures adopted by the Fund’s Board of Trustees (the “Board”). When a security
is “fair valued,” consideration is given to the facts and circumstances relevant to the particular situation, including a review of various factors set forth in the pricing procedures adopted by the Board. The use of fair value pricing by the
Fund may cause the NAV of its shares to differ significantly from the NAV that would be calculated without regard to such considerations.
|
|
As described above, the Fund utilizes various methods to measure the fair value of its investments on a recurring basis. U.S. GAAP establishes a hierarchy that prioritizes inputs to valuations methods. The
three levels of inputs are:
|
Level 1 –
|
Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.
|
|
Level 2 –
|
Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument
on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
|
|
Level 3 –
|
Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Fund’s own assumptions about the assumptions a market participant would use in
valuing the asset or liability, and would be based on the best information available.
|
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet
established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the
determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
|
|
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value
measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
|
The following is a summary of the inputs used to value the Fund’s investments as of the end of the current fiscal period:
|
Assets^
|
Level 1
|
Level 2
|
Level 3 | Total | |||||||||||||
Common Stocks
|
$
|
147,511,787
|
$
|
—
|
$
|
—
|
$
|
147,511,787
|
|||||||||
Short-Term Investments
|
1,386,001
|
—
|
—
|
1,386,001
|
|||||||||||||
Investments Purchased
|
|||||||||||||||||
with Proceeds from
|
|||||||||||||||||
Securities Lending
|
—
|
42,750,576
|
—
|
42,750,576
|
|||||||||||||
Total Investments
|
|||||||||||||||||
in Securities
|
$
|
148,897,788
|
$
|
42,750,576
|
$
|
—
|
$
|
191,648,364
|
|||||||||
^ See Schedule of Investments for sector breakouts.
|
During the current fiscal period, the Fund did not recognize any transfers into or out of Level 3.
|
|
B.
|
Federal Income Taxes.
The Fund’s policy is to comply with the provisions of Subchapter M of the Internal Revenue Code of
1986, as amended, applicable to regulated investment companies and to distribute substantially all net investment income and net capital gains to shareholders. Therefore, no federal income tax provision is required. The Fund plans to file
U.S. Federal and applicable state and local tax returns.
|
The Fund recognizes the tax benefits of uncertain tax positions only when the position is more likely than not to be sustained. Management has analyzed the Fund’s
uncertain tax positions and conclude that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions. Management is not aware of any tax positions for which it is reasonably possible that the total
amounts of unrecognized tax benefits will change materially in the next 12 months. Income and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. The Fund recognizes
interest and penalties, if any, related to unrecognized tax benefits on uncertain tax positions as income tax expenses in the Statement of Operations. During the current fiscal period, the Fund did not incur any interest or penalties.
|
|
C.
|
Security Transactions and Investment Income.
Investment securities transactions are accounted for on the trade date. Gains
and losses realized from sales of securities are determined on a specific identification basis. Dividend income is recorded on the ex-dividend date. Non-cash dividends included in dividend income or separately disclosed, if any, are recorded
at fair value of the security received. Interest income is recorded on an accrual basis.
|
Distributions received from the Fund’s investments in real estate investment trusts (“REIT”) may be characterized as ordinary income, net capital gain, or a return
of capital. The proper characterization of REIT distributions is generally not known
|
until after the end of each calendar year. As such, the Fund must use estimates in reporting the character of its income and distributions received during the current calendar year for financial statement
purposes. The actual character of distributions to a Fund’s shareholders will be reflected on the Form 1099 received by shareholders after the end of the calendar year. Due to the nature of REIT investments, a portion of the distributions
received by a Fund’s shareholders may represent a return of capital.
|
|
D.
|
Distributions to Shareholders.
Distributions to shareholders from net investment income for the Fund are declared and paid by the Fund on a quarterly basis and
distributions from net realized gains on securities are normally declared and paid on an annual basis. Distributions are recorded on the ex-dividend date.
|
E.
|
Use of Estimates.
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, as well as the reported amounts of revenues and expenses during the period. Actual results could differ from those
estimates.
|
F.
|
Share Valuation.
The NAV per share of the Fund is calculated by dividing the sum of the value of the securities held by the Fund, plus cash and other assets, minus all
liabilities (including estimated accrued expenses) by the total number of shares outstanding of the Fund, rounded to the nearest cent. The Fund’s shares will not be priced on the days on which the New York Stock Exchange, Inc. (“NYSE”) is
closed for trading. The offering and redemption price per share for the Fund is equal to the Fund’s NAV per share.
|
G.
|
Guarantees and Indemnifications.
In the normal course of business, the Fund enters into contracts with service providers that contain general indemnification clauses.
The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be against the Fund that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
|
H.
|
Reclassification of Capital Accounts.
U.S. GAAP requires that certain components of net assets relating to permanent differences be reclassified between financial and
tax reporting. These reclassifications have no effect on net assets or NAV per share. These timing differences are primarily due to differing book and tax treatments for in-kind transactions. During the fiscal year ended February 28, 2022,
the following table shows the reclassifications made:
|
Distributable Earnings
|
|||
(Accumulated Deficit)
|
Paid-In Capital
|
||
$(9,021,146)
|
$9,021,146
|
During the fiscal year ended February 28, 2022, the Fund realized $9,021,146 of net capital gains resulting from in-kind redemptions, in which shareholders exchanged Fund shares for securities held by the Fund
rather than for cash. Because such gains are not taxable to the Fund, and are not distributed to shareholders, they have been reclassified from distributable earnings (accumulated deficit) to paid-in capital.
|
|
I.
|
Subsequent Events.
In preparing these financial statements, management has evaluated events and transactions for potential recognition or disclosure through the date the
financial statements were issued. There were no events or transactions that occurred during the period subsequent to the end of the current fiscal period that materially impacted the amounts or disclosures in the Fund’s financial statements.
|
Purchases
|
Sales
|
||
$41,689,367
|
$42,281,134
|
In-Kind Purchases
|
In-Kind Sales
|
||
$30,717,659
|
$27,314,277
|
Tax cost of investments
|
$
|
164,665,757
|
||
Gross tax unrealized appreciation
|
30,875,800
|
|||
Gross tax unrealized depreciation
|
(3,893,193
|
)
|
||
Net tax unrealized appreciation/(depreciation)
|
26,982,607
|
|||
Undistributed ordinary income
|
—
|
|||
Undistributed long-term capital gain
|
—
|
|||
Other accumulated gain/(loss)
|
(4,114,239
|
)
|
||
Distributable earnings/(accumulated deficit)
|
$
|
22,868,368
|
||
Short-Term
|
Long-Term
|
Expires
|
||
$2,572,615
|
$1,541,624
|
Indefinite
|
Ordinary Income
|
Return of Capital
|
||
$2,111,519
|
$2,513,350
|
Ordinary Income
|
Return of Capital
|
||
$1,999,718
|
$1,870,007
|
Term of
|
Number of
|
Other
|
|||
Position
|
Office
|
Portfolios
|
Directorships
|
||
Held
|
and
|
in Fund
|
Held by
|
||
Name
|
with
|
Length
|
Complex
|
Trustee
|
|
and Year
|
the
|
of Time
|
Principal Occupation(s)
|
Overseen by
|
During Past
|
of Birth
|
Trust
|
Served
|
During Past 5 Years
|
Trustee
|
5 Years
|
Independent Trustees
|
|||||
Leonard M.
|
Lead
|
Indefinite
|
Retired; formerly Chief
|
60
|
Independent
|
Rush, CPA
|
Indepen-
|
term;
|
Financial Officer,
|
Trustee,
|
|
Born: 1946
|
dent
|
since 2012
|
Robert W. Baird & Co.
|
Managed
|
|
Trustee
|
Incorporated (wealth
|
Portfolio Series
|
|||
and Audit
|
management firm)
|
(34 portfolios)
|
|||
Committee
|
(2000–2011).
|
(since 2011).
|
|||
Chairman
|
|||||
David A. Massart
|
Trustee
|
Indefinite
|
Partner and Manager
|
60
|
Independent
|
Born: 1967
|
|
term;
|
Director, Beacon Pointe
|
Trustee,
|
|
since 2012
|
Advisors, LLC (since 2022);
|
|
Managed
|
||
Co-Founder, President,
|
Portfolio Series
|
||||
and Chief Investment
|
(34 portfolios)
|
||||
Strategist, Next Generation
|
(since 2011).
|
||||
Wealth Management, Inc.
|
|||||
(2005–2021).
|
|||||
Janet D. Olsen
|
Trustee
|
Indefinite
|
Retired; formerly Managing
|
60
|
Independent
|
Born: 1956
|
term;
|
Director and General Counsel,
|
|
Trustee,
|
|
since 2018
|
Artisan Partners Limited
|
PPM Funds
|
|||
Partnership (investment adviser)
|
|
(3 portfolios)
|
|||
(2000–2013); Executive Vice
|
|
(since 2018).
|
|||
President and General Counsel,
|
|||||
Artisan Partners Asset
|
|||||
Management Inc. (2012–2013);
|
|||||
Vice President and General
|
|||||
Counsel, Artisan Funds, Inc.
|
|||||
(investment company)
|
|||||
(2001–2012).
|
|||||
Interested Trustee
|
|||||
Michael A. Castino
|
Trustee
|
Indefinite
|
Senior Vice President, U.S.
|
60
|
None
|
Born: 1967
|
and
|
term;
|
Bancorp Fund Services, LLC
|
||
Chairman
|
Trustee
|
(since 2013); Managing Director
|
|||
since 2014;
|
of Index Services, Zacks
|
||||
Chairman
|
Investment Management
|
||||
since 2013
|
(2011–2013).
|
Term of
|
|||
Office
|
|||
and
|
|||
Name
|
Position(s)
|
Length
|
|
and Year
|
Held with
|
of Time
|
Principal Occupation(s)
|
of Birth
|
the Trust
|
Served
|
During Past 5 Years
|
Principal Officers of the Trust
|
|||
Kristina R. Nelson
|
President
|
Indefinite
|
Senior Vice President, U.S. Bancorp Fund Services, LLC
|
Born: 1982
|
term;
|
(since 2020); Vice President, U.S. Bancorp Fund Services,
|
|
since 2019
|
LLC (2014–2020).
|
||
Alyssa M. Bernard
|
Vice
|
Indefinite
|
Vice President, U.S. Bancorp Fund Services, LLC
|
Born: 1988
|
President
|
term;
|
(since 2021); Assistant Vice President, U.S. Bancorp Fund
|
since 2014
|
Services, LLC (2018–2021); Attorney, Waddell & Reed
|
||
Financial, Inc. (2017–2018).
|
|||
Elizabeth B. Scalf
|
Chief
|
Indefinite
|
Senior Vice President, U.S. Bancorp Fund Services, LLC
|
Born: 1985
|
Compliance
|
term;
|
(since 2017); Vice President and Assistant CCO,
|
Officer and
|
since 2021
|
Heartland Advisors, Inc. (2016–2017); Vice President
|
|
Anti-Money
|
and CCO, Heartland Group, Inc. (2016).
|
||
Laundering
|
|||
Officer
|
|||
Kristen M. Weitzel
|
Treasurer
|
Indefinite
|
Vice President, U.S. Bancorp Fund Services, LLC
|
Born: 1977
|
term;
|
(since 2015); Assistant Vice President, U.S. Bancorp Fund
|
|
since 2014
|
Services, LLC (2011–2015); Manager,
|
||
(other roles
|
PricewaterhouseCoopers LLP (accounting firm)
|
||
since 2013)
|
(2005–2011).
|
||
Jessica L. Vorbeck
|
Assistant
|
Indefinite
|
Officer, U.S. Bancorp Fund Services, LLC (since 2018,
|
Born: 1984
|
Treasurer
|
term;
|
2014–2017).
|
since 2020
|
|||
Elizabeth A. Winske
|
Assistant
|
Indefinite
|
Vice President, U.S. Bancorp Fund Services, LLC
|
Born: 1983
|
Treasurer
|
term;
|
(since 2020); Assistant Vice President, U.S. Bancorp Fund
|
since 2017
|
Services, LLC (2016–2020).
|
||
Jason E. Shlensky
|
Assistant
|
Indefinite
|
Assistant Vice President, U.S. Bancorp Fund Services, LLC
|
Born: 1987
|
Treasurer
|
term;
|
(since 2019); Officer, U.S. Bancorp Fund Services, LLC
|
since 2019
|
(2014–2019).
|
||
Isabella K. Zoller
|
Assistant
|
Indefinite
|
Assistant Vice President, U.S. Bancorp Fund Services, LLC
|
Born: 1994
|
Secretary
|
term;
|
(since 2021), Regulatory Administration Attorney, U.S.
|
since 2020
|
Bancorp Fund Services, LLC (since 2019), Regulatory
|
||
Administration Intern, U.S. Bancorp Fund Services, LLC
|
|||
(2018–2019) and Law Student (2016–2019).
|
Term of
|
|||
Office
|
|||
and
|
|||
Name
|
Position(s)
|
Length
|
|
and Year
|
Held with
|
of Time
|
Principal Occupation(s)
|
of Birth
|
the Trust
|
Served
|
During Past 5 Years
|
Cynthia L. Andrae
|
Deputy
|
Indefinite
|
Vice President, U.S. Bancorp Fund Services, LLC
|
Born: 1971
|
Chief
|
term;
|
(since 2019); Compliance Officer, U.S. Bancorp Fund
|
|
Compliance
|
since 2021
|
Services, LLC (2015–2019).
|
|
Officer
|
Beginning
|
Ending
|
||
Account
|
Account
|
||
Value
|
Value
|
Expenses
|
|
September 1,
|
February 28,
|
Paid During
|
|
2021
|
2022
|
the Period
(a)
|
|
Actual
|
$1,000.00
|
$1,004.30
|
$2.44
|
Hypothetical (5% annual return
|
|||
before expenses)
|
$1,000.00
|
$1,022.36
|
$2.46
|
(a)
|
The dollar amounts shown as expenses paid during the period are equal to the annualized net expense ratio, 0.49%, multiplied by the average account value during the period, multiplied by 181/365, to reflect the
one-half year period.
|
(b)
|
Not applicable.
|