ANNUAL REPORT
 
June 30, 2022











WBI BullBear Value 3000 ETF | WBIF
WBI BullBear Yield 3000 ETF | WBIG
WBI BullBear Quality 3000 ETF | WBIL
WBI BullBear Global Income ETF | WBII
WBI Power Factor® High Dividend ETF | WBIY
WBI BullBear Trend Switch US 3000 Total Return ETF | WBIT





As permitted by regulations adopted by the U.S. Securities and Exchange Commission, reports will be made available on www.wbietfs.com  and you will be notified by mail each time a report is posted and provided with a website link to access the report.
 



 
Absolute Shares Trust
 
Table of Contents
 


Management’s Discussion of Fund Performance
 
1
Performance Summaries
 
9
Portfolio Allocations
 
15
Schedules of Investments
 
16
Statements of Assets and Liabilities
 
23
Statements of Operations
 
25
Statements of Changes in Net Assets
 
27
Financial Highlights
 
29
Notes to Financial Statements
 
32
Report of Independent Registered Public Accounting Firm
 
41
Trustees and Officers
 
42
Approval of Advisory Agreements and Board Considerations
 
45
Expense Examples
 
47
Federal Tax Information
 
49
Information About the Portfolio Holdings
 
50
Information About Proxy Voting
 
50
Information About the Funds’ Trustees
 
50
Frequency Distributions of Premiums and Discounts
 
50
















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Absolute Shares Trust
 
Management’s Discussion of Fund Performance
 
June 30, 2022 (Unaudited)
 


Dear Shareholder:

Thank you for reviewing this annual report for the period ended June 30, 2022. Annual reports help convey important information about fund returns, including market factors that affected the Funds’ performance during the reporting period. If you have any questions, we encourage you to contact your financial advisor or WBI directly. You will find additional information, including our daily portfolio holdings, on the WBI ETFs website located at: www.wbietfs.com.
 
In our experience, the conditions that affect investments are consistently subject to the possibility of uncertainty and change. We believe that the appropriate approach to investing in a volatile world is one that is responsive to continually changing conditions and opportunities. We think that the process should be focused on managing risk as well as on pursuing return. It should be disciplined and have a track record that spans both good times and bad. In short, our opinion is that it should be just like the process we have used for our investment management clients for over 30 years, and continue to use to manage the WBI ETFs today. We believe that the consistent application of this disciplined approach will continue to be extremely valuable and attractive to both current and prospective shareholders.
 
Here at WBI, we believe preserving capital to unleash the powerful benefits of compounding is the most important element of a successful investment approach. We build outcome-oriented solutions for our clients. We don’t focus on beating the markets every minute of every day, but instead aim to grow capital consistently over time. Our strategies are designed to manage risk to capital, unleash the benefits of compounding, and grow capital efficiently through both good and bad market cycles.
 
We appreciate your continued faith in our approach and wish you and your families both health and peace as we all navigate through these extraordinary times.
 
Sincerely,
 
Steven Van Solkema, CFA
Don Schreiber, Jr.
Co-Portfolio Manager
Co-Portfolio Manager
President & Chief Investment Officer
Founder & Co-CEO



1


  
Absolute Shares Trust
 
Management’s Discussion of Fund Performance (continued)
 
June 30, 2022 (Unaudited)
 


Market Review
 
After two quarters of rising equity markets in the first half of 2021, the third quarter brought increased volatility and flat to negative returns across virtually all sectors. The S&P 500 Index squeezed out a minimal 0.23% gain during the third quarter with significant losses occurring in the month of September. The tech-heavy NASDAQ followed suit, ending the quarter down -0.38% with a -5.31% decline in September, but demonstrated relatively better performance in August. The Dow Jones Industrial Average ended Q3 down -1.91%.
 
Following the trend seen during the second quarter of 2021, investors continued to rotate out of smaller capitalization companies and into large and mega-cap stocks during the first two months of Q3 2021. Once again, this was particularly noticeable for value and dividend-based stocks. However, a reversal of that trend began to emerge in September as large-cap growth and momentum stocks took a heavier beating while investors began to target undervalued companies with more upside once again.
 
Although mega-cap growth and technology stocks (like Meta Platforms, Amazon, Apple, Netflix and Google) still appeared to have some upside, they were more overvalued and primed for a correction than other market sectors. It appeared that cyclical and value assets would continue to outperform mega-cap growth and technology stocks on a relative basis throughout the ongoing recovery and reopening from the pandemic.
 
Following increased volatility in the third quarter, the last quarter of 2021 brought an unnerving amount of optimism in the markets especially considering sky-high inflation readings, a hawkish Federal Reserve (“Fed”) announcing moves to eliminate easy monetary policy from the past 10+ years, and concerns over the omicron Covid-19 variant surge. Virtually all sectors ended the year strong during the fourth quarter of 2021 and benefitted from a December “Santa Claus rally” once again.
 
However, after briefly touching record highs at the start of the year, markets gave investors a truly wild ride through the first quarter of 2022. Most indices chalked up their first quarterly loss in two years. Any positive sentiment that was carried into the new year got decimated by more sky-high inflation readings, clear indications that monetary policy must tighten faster than expected, and lingering concerns over additional Covid-19 variant surges. As if that wasn’t enough, Russia’s invasion of Ukraine brought a further surge in commodity prices along with huge spikes in market volatility as news and pictures of the horrors of a brutal war sent shockwaves around the globe. Almost every market sector suffered during the first quarter of 2022 as the Fed raised interest rates for the first time since 2018.
 
When the first half of 2022 eventually came to a close, things looked pretty bleak as the S&P 500 Index posted its worst first-half performance since 1970. Most indices were firmly in a bear market by the end of the Funds’ fiscal year. There were a few key, interrelated causes for this horrible second quarter. One was rocketing inflation, which led the Fed and other central banks to hike rates at a faster pace than previously expected. Specifically, in June, the Fed hiked rates by 75 basis points, which was the biggest increase since 1994. This led to the second cause, which was increasing fear that the economy would fall into a recession if it hadn’t already. Furthermore, lingering Covid-19 variant surges and the war in Ukraine helped further destroy any positive sentiment that was left.
 
Virtually every market sector suffered this final quarter of the Funds’ fiscal year. During the quarter itself, the S&P 500 suffered a high-to-low decline of -20% at its worst, but recovered somewhat to end down -20.58% through the first half of 2022. The tech-heavy NASDAQ fell further into its bear market and finished out the quarter down -29.51% for the first half of 2022.
 
Due to tighter monetary policy, inflation and fears about future economic growth, fixed income offered little protection for investors looking for cover. Fixed income traders continued to rapidly adjust to tighter monetary policy which sent yields – which move in the opposite direction of prices – soaring and led to more Treasury yield curve inversions where long-dated rates fall below short-dated rates. The Bloomberg US Aggregate Index, which includes a broad cross-section of U.S. fixed income assets overall, dropped -10.35% year to date. So, for the average investor who had passive exposure to the broad equity and fixed income markets in a “60/40” equity/fixed income portfolio blend, it seemed like losing -15% or more was almost unavoidable.
 
Investment Strategies
 
WBI’s general investment philosophy is based on our belief that protecting capital is essential to providing long-term portfolio growth or a consistent stream of income. We believe it is important to offer a variety of alternatives that investors can choose from as they address changing circumstances. In our view, the ability to adapt and evolve as risks and opportunities appear is the key to pursuing a stable outcome in an uncertain world. The goal of the WBI ETFs (or the “Funds”) is to provide consistent, attractive returns with less volatility and risk to capital than traditional approaches.
 
WBI ETFs include actively managed, passive (“smart-beta”) and trend-switch based portfolio strategies. Actively managed equity strategies include multifactor security selection models paired with our advanced dynamic trailing stop loss process to protect capital. Actively managed income strategies rely on a blend of quantitative models and tactical equity and fixed income allocation decisions.
 

2


  
Absolute Shares Trust
 
Management’s Discussion of Fund Performance (continued)
 
June 30, 2022 (Unaudited)
 


The passively managed smart-beta strategy is designed to provide an investment alternative for clients seeking returns based on multifactor security selection models in a portfolio that is generally fully invested and rebalances quarterly. The trend-switch strategy utilizes quantitative trend models to optimize risk and return for domestic stock and fixed income exposure.
 
With the exception of the passive index fund, the WBI Power Factor® High Dividend ETF, the strategies used in the management of the Funds do not attempt to replicate or track the performance of any index and differ significantly from the methods used to construct and maintain the indices that serve as their respective benchmarks. The three actively managed equity-focused funds (the “Active Equity Funds”) typically use proprietary processes to screen, rank, and purchase securities with particular attributes, and sell securities when certain thresholds are reached, while benchmark indices are unmanaged, and consist of a passive representation of all securities that meet the definition of the index constituents. In addition, each Active Equity Fund uses strategies intended to mitigate volatility and protect capital, and as a result these Funds will often have a significant allocation to cash equivalents. Therefore, while each Active Equity Fund’s performance includes the effect of an investment in cash equivalents from the proceeds of sales when certain thresholds are met, benchmark indices do not include an allocation to cash equivalents.
 
Similarly, the WBI Bull|Bear Global Income ETF (the “Active Income Fund”), as well as the WBI Bull|Bear Trend Switch US 3000 Total Return ETF (the “Trend Switch Fund”) do not attempt to replicate or track the performance of any index and differ significantly from the methods used to construct and maintain the index that serves as their respective benchmarks. The Trend Switch Fund aims to optimize risk and return by utilizing both a quantitative equity model (the “Equity Model”) to evaluate when conditions are deemed favorable for equity market exposure, and a quantitative bond model (the “Bond Model”) which is used to identify the credit quality and duration exposure that will be implemented in the Fund. The WBI Bull|Bear Global Income ETF strategy currently relies upon a combination of the Bond Model’s recommended exposure along with tactical investments in perceived lower risk and higher return opportunities in varying segments of the fixed income or equity markets. Similar to the Active Equity Funds, both the Active Income Fund and the Trend Switch Fund may also maintain significant allocations to cash equivalents for periods of time as strategies are used in an attempt to mitigate volatility and protect capital.
 
A distinguishing characteristic of cash equivalents is that their prices are extremely stable and not subject to the levels of price volatility generally exhibited by other investments. Therefore, in periods during which the prices of the securities represented in benchmark indices are falling, an allocation to cash equivalents may contribute to Fund performance that is superior to that of their benchmarks. In periods during which the prices of the securities represented in benchmark indices are rising, an allocation to cash equivalents in a Fund may cause its performance to trail that of its benchmark.
 
The WBI Power Factor® High Dividend ETF (the “Passive Index Fund”) is intended to track its underlying index, the Solactive Power Factor High Dividend GTR Index, and can reasonably be compared to the index in evaluating its performance.
 
Investment Results: WBI Bull|Bear Value 3000 ETF (WBIF)
 
For the fiscal year ending June 30, 2022, the WBI Bull|Bear Value 3000 ETF (WBIF) returned -5.62% on a Net Asset Value (“NAV”) basis, and -5.88% based on market value, versus the -7.46% return of the Russell 3000 Value Total Return Index, the Fund’s benchmark.
 
Highlights:
 
 
Actively managed equity fund utilizing proprietary multifactor security selection models.
     
 
Seeks to manage risk to capital and provide attractive returns for long-term capital growth.
     
 
Proprietary dynamic trailing stop loss process is used to help identify sale candidates and manage downside risk.
     
 
Cash allocation is used as the primary risk mitigation tool, and the strategy can raise up to 100% cash.
     
 
As of June 30, 2022, the Fund held 17 securities in addition to a position in a money market fund which served as a cash equivalent. Baker Hughes Co, General Dynamics Corp, International Business Machines Corp, Unum Group, and Johnson & Johnson were some of the largest positions in the Fund on this date.
     
 
Examples of securities that made positive contributions to the Fund’s performance during the fiscal period include Devon Energy Corp, AmerisourceBergen Corp, Abbvie Inc., Archer-Daniels-Midland Co, and BioNTech SE.
     
 
Examples of securities that detracted from the Fund’s performance during the fiscal period include Amazon.com Inc., Dow Inc., Cisco Systems Inc., Blackstone Inc., and Kohls Corp.
     
 
Asset allocation and security selection decisions in Energy, Health Care, and Consumer Staples sectors positively affected Fund performance versus its benchmark during the period.

3


  
Absolute Shares Trust
 
Management’s Discussion of Fund Performance (continued)
 
June 30, 2022 (Unaudited)
 


 
Asset allocation and security selection decisions in Consumer Discretionary, Information Technology, and Utilities sectors negatively affected Fund performance versus its benchmark during the period.
     
 
In general, the combination of temporary cash allocations during periods of higher market volatility and a value-based diversified equity portfolio that tactically focused on defensive sectors including energy company exposure in the last three quarters of the fiscal period helped the Fund capture a significant amount of any equity market upside, while attempting to protect investors from excessive downside risk during the bear market selloff.

Investment Results: WBI Bull|Bear Yield 3000 ETF (WBIG)
 
For the fiscal year ending June 30, 2022, the WBI Bull|Bear Yield 3000 ETF (WBIG) returned -0.73% on a Net Asset Value (“NAV”) basis, and -0.86% based on market value, versus the -7.46% return of the Russell 3000 Value Total Return Index, the Fund’s benchmark.
 
Highlights:
 
 
Actively managed equity fund utilizing proprietary multifactor security selection models.
     
 
Seeks to manage risk to capital and provide attractive returns for long-term capital growth.
     
 
Proprietary dynamic trailing stop loss process is used to help identify sale candidates and manage downside risk.
     
 
Cash allocation is used as the primary risk mitigation tool, and the strategy can raise up to 100% cash.
     
 
As of June 30, 2022, the Fund held 20 securities in addition to a position in a money market fund which served as a cash equivalent. General Mills Inc., Baker Hughes Co, General Dynamics Corp, International Business Machines Corp, and Molson Coors Beverage Co were some of the largest positions in the Fund on this date.
     
 
Examples of securities that made positive contributions to the Fund’s performance during the fiscal period include EOG Resources Inc., United States Steel Corp, BioNTech SE, Archer-Daniels-Midland Co, and AmerisourceBergen Corp.
     
 
Examples of securities that detracted from the Fund’s performance during the fiscal period include Walgreens Boots Alliance Inc., Cisco Systems Inc., Southern Copper Corp, Dow Inc., and LyondellBasell Industries.

 
Asset allocation and security selection decisions in Energy, Health Care, and Consumer Staples sectors positively affected Fund performance versus its benchmark during the period.
     
 
Asset allocation and security selection decisions in Financials, Utilities, and Information Technology sectors negatively affected Fund performance versus its benchmark during the period.
     
 
In general, the combination of temporary cash allocations during periods of higher market volatility and a yield-based diversified equity portfolio that tactically focused on defensive sectors including energy company exposure in the last three quarters of the fiscal period helped the Fund capture a significant amount of any equity market upside, while attempting to protect investors from excessive downside risk during the bear market selloff.

Investment Results: WBI Bull|Bear Quality 3000 ETF (WBIL)
 
For the fiscal year ending June 30, 2022, the WBI Bull|Bear Quality 3000 ETF (WBIL) returned -4.58% on a Net Asset Value (“NAV”) basis, and -4.76% based on market value, versus the -13.87% return of the Russell 3000 Total Return Index, the Fund’s benchmark.
 
Highlights:
 
 
Actively managed equity fund utilizing proprietary multifactor security selection models.
     
 
Seeks to manage risk to capital and provide attractive returns for long-term capital growth.
     
 
Proprietary dynamic trailing stop loss process is used to help identify sale candidates and manage downside risk.
     
 
Cash allocation is used as the primary risk mitigation tool, and the strategy can raise up to 100% cash.
     
 
As of June 30, 2022, the Fund held 18 securities in addition to a position in a money market fund which served as a cash equivalent. General Mills Inc., General Dynamics Corp, International Business Machines Corp, Unum Group, and Johnson & Johnson were some of the largest positions in the Fund on this date.
     
 
Examples of securities that made positive contributions to the Fund’s performance during the fiscal period include EOG Resources Inc., Abbvie Inc., Devon Energy Corp, BioNTech SE, and Home Depot Inc.

4


  
Absolute Shares Trust
 
Management’s Discussion of Fund Performance (continued)
 
June 30, 2022 (Unaudited)
 


 
Examples of securities that detracted from the Fund’s performance during the fiscal period include Lennar Corp, Old Republic Intl Corp, Blackrock Inc., Visa Inc., and Louisiana-Pacific Corp.
     
 
Asset allocation and security selection decisions in Energy, Consumer Staples, and Health Care sectors positively affected Fund performance versus its benchmark during the period.
     
 
Asset allocation and security selection decisions in Consumer Discretionary, Materials, and Utilities sectors negatively affected Fund performance versus its benchmark during the period.
     
 
In general, the combination of temporary cash allocations during periods of higher market volatility and a quality-based diversified equity portfolio that tactically focused on defensive sectors including energy company exposure in the last three quarters of the fiscal period helped the Fund capture a significant amount of any equity market upside, while attempting to protect investors from excessive downside risk during the bear market selloff.

Investment Results: WBI Bull|Bear Global Income ETF (WBII)
 
For the fiscal year ending June 30, 2022, the WBI Bull|Bear Global Income ETF (WBII) returned -12.05% on a Net Asset Value (“NAV”) basis, and -11.93% based on market value, versus the -10.29% return of the Bloomberg US Aggregate Bond Total Return Index, the Fund’s benchmark.
 
Highlights:
 
 
Actively managed income fund utilizing quantitative bond models and tactical bond and equity allocation decisions.
     
 
Seeks to manage risk to capital and provide attractive returns for long-term capital growth.
     
 
Proprietary models are used to manage interest rate and credit quality risk in the portfolio.
     
 
Cash allocation can also be used to mitigate risk and the strategy can raise up to 100% cash.
     
 
As of June 30, 2022, the Fund held 7 securities in addition to a position in a money market fund which served as a cash equivalent. The Schwab Short-Term U.S. Treasury ETF, SPDR Portfolio Long Term Treasury ETF, Vanguard Long-Term Treasury ETF, iShares 20+ Year Treasury Bond ETF, and Diamondback Energy Inc. were some of the largest positions in the Fund on this date.
     
 
Examples of securities that made positive contributions to the Fund’s performance during the fiscal period include NRG Energy Inc., Merck & Co. Inc., Vanguard Long-Term Corp Bond ETF, Kraft Heinz Co, and Phillips 66.
     
 
Examples of securities that detracted from the Fund’s performance during the fiscal period include iShares Preferred & Income Securities ETF, SPDR Portfolio Long Term Treasury ETF, Vanguard Long-Term Treasury ETF, Xtrackers USD High Yield Corp Bond ETF, and SPDR Blackstone Senior Loan ETF.
     
 
Asset allocation and security selection decisions in the High Yield Corporate Bond and short duration U.S. Treasury Bill sectors positively affected Fund performance versus its benchmark during the period.
     
 
Asset allocation and security selection decisions in the U.S. Treasury Bond and equities sectors negatively affected Fund performance versus its benchmark during the period.
     
 
In general, quantitative models and tactical decisions used by the portfolio management team led to a significant allocation to High Yield Corporate Bond exposure throughout much of the fiscal period which, combined with more moderate exposure to U.S. Treasuries, Senior Leveraged Loans and equities, allowed the Fund generate income while still attempting to protect investors from excessive downside risk during a volatile bond market decline.

Investment Results: WBI Bull|Bear Trend Switch US 3000 Total Return ETF (WBIT)
 
For the fiscal year ending June 30, 2022, the WBI Bull|Bear Trend Switch US 3000 Total Return ETF (WBIT) returned -9.66% on a Net Asset Value (“NAV”) basis, and -9.53% based on market value, versus the -13.87% of the Russell 3000 Total Return Index, the Fund’s benchmark.
 
Highlights:
 
 
Fund utilizes quantitative trend models to optimize risk and return for domestic stock and fixed income exposure.
     
 
Seeks to manage risk to capital and provide attractive returns for long-term capital growth.

5


  
Absolute Shares Trust
 
Management’s Discussion of Fund Performance (continued)
 
June 30, 2022 (Unaudited)
 


 
Proprietary quantitative equity model is used to evaluate when conditions are deemed favorable for equity market exposure. Proprietary quantitative bond model is used to identify the credit quality and duration exposure that will be implemented when equity market exposure is deemed unfavorable. The combination of these quantitative model signals “switch” the recommended exposure of the entire Fund accordingly.
     
 
As of June 30, 2022, the Fund held 3 securities in addition to a position in a money market fund which served as a cash equivalent. The SPDR Portfolio Long Term Treasury ETF, iShares 20+ Year Treasury Bond ETF, and Vanguard Long-Term Treasury ETF were the largest positions in the Fund on this date.
     
 
Examples of securities that made positive contributions to the Fund’s performance during the fiscal period include SPDR Portfolio Long Term Treasury ETF, Vanguard Long-Term Treasury ETF, iShares 20+ Year Treasury Bond ETF, iShares iBoxx Investment Grade Bond ETF, and SPDR Bloomberg 1-3 Month Treasury Bill ETF.
     
 
Examples of securities that detracted from the Fund’s performance during the fiscal period include iShares Russell 3000 ETF, Vanguard Total Stock Market ETF, Schwab US Broad Market ETF, iShares Broad USD High Yield Corporate Bond ETF, and Xtrackers USD High Yield Corporate Bond ETF.
     
 
Asset allocation and security selection decisions in the High Yield Corporate Bond sector positively affected Fund performance versus its benchmark during the period.
     
 
Asset allocation and security selection decisions in the U.S. Treasury Bond sector negatively affected Fund performance versus its benchmark during the period.
     
 
In general, the quantitative models used by the portfolio management team recommended equity market exposure throughout approximately 60% of the fiscal year period which helped the Fund capture any equity market upside while maintaining that exposure. However, the models recommended several switches out of equities and into high yield corporate bonds and U.S. Treasuries in an attempt to protect investors from excessive downside risk and volatility while still maximizing return potential and income. The lack of equity market exposure during certain periods of the fiscal year positively affected Fund performance versus its benchmark, which is an equity market index that suffered significant losses during the last two quarters of the fiscal year.

Investment Results: WBI Power Factor® High Dividend ETF (WBIY)
 
For the fiscal year ending June 30, 2022, the WBI Power Factor® High Dividend ETF (WBIY) returned -1.40% on a Net Asset Value (“NAV”) basis, and -1.72% based on market value, versus the -7.46% return of the Russell 3000 Value Total Return Index, the Fund’s benchmark, and versus the -0.60% return of the Solactive Power FactorTM High Dividend GTR Index, the Fund’s underlying index.
 
 
Passively managed equity fund intended to track the Solactive Power Factor High Dividend Index.
     
 
The underlying index utilizes a multifactor security selection model that attempts to identify companies with high quality fundamentals that also generate high dividend income.
     
 
The composition of the underlying index is adjusted quarterly and screened monthly for dividend cuts or an overall negative outlook concerning a constituent’s dividend policy.
     
 
Trading activity in the Fund results primarily from changes to the holdings of this underlying index.
     
 
As of June 30, 2022, the Fund held 50 securities in addition to a position in a money market fund which served as a cash equivalent. International Business Machines Corp, Gilead Sciences Inc., Phillips 66, Verizon Communications Inc., and Philip Morris International Inc., were some of the largest positions in the Fund on this date.
     
 
Examples of securities that made positive contributions to the Fund’s performance during the fiscal period include Chevron Corp, Abbvie Inc., Newmont Corp, Southern Co, and Interpublic Group Inc.
     
 
Examples of securities that detracted from the Fund’s performance during the fiscal period include Big 5 Sporting Goods Corp, Foot Locker Inc., Hanesbrands Inc., International Paper Co, and American Eagle Outfitters.
     
 
Asset allocation and security selection in Financials, Communication Services, and Information Technology sectors positively affected Fund performance versus its benchmark during the period.
     
 
Asset allocation and security selection in Consumer Discretionary, Real Estate, and Consumer Staples sectors negatively affected Fund performance versus its benchmark during the period.

6


  
Absolute Shares Trust
 
Management’s Discussion of Fund Performance (continued)
 
June 30, 2022 (Unaudited)
 


 
In general, the underlying index, and therefore the Fund, were exposed to a diversified equity portfolio that contained a significant amount of small and mid-capitalization company exposure throughout the fiscal period. The Fund also maintained a large allocation to value based companies which exhibit quality fundamentals but appear to be undervalued. This helped the Fund capture a significant amount of any potential equity market upside, generate income, and outperform its benchmark during the fiscal period.


Past performance is not a guarantee of future results.
 
Opinions expressed are those of WBI Investments, Inc. (“WBI”), the Funds’ investment sub-adviser, are subject to change, are not guaranteed, and should not be construed as recommendations or investment advice or a solicitation to purchase or sell securities referenced in the Investment Commentary.
 
Exchange traded fund investing involves risk. Principal loss is possible. The Funds invest in emerging market and foreign securities which involve political, economic and currency risks, greater volatility and differences in accounting methods. These risks can be greater in emerging markets. The Funds invest in smaller and medium sized companies, which involve additional risks such as limited liquidity and greater volatility. Investments in debt securities typically decrease in value when interest rates rise. This risk is usually greater for longer-term debt securities. Investments by the Funds in lower-rated and non-rated securities present a greater risk of loss to principal and interest than higher-rated securities. Investments in mortgage-backed securities may involve additional risks, such as credit risk, prepayment risk, possible illiquidity and default, and susceptibility to adverse economic developments. Because the Funds invest in other exchange-traded funds (“ETFs”), they are subject to additional risks that do not apply to conventional funds, including the risks that the market price of an ETF’s shares may trade at a discount to its net asset value ("NAV"), an active secondary trading market may not develop or be maintained, or trading may be halted by the exchange in which they trade, which may impact a Fund’s ability to sell its shares. The Funds may invest in exchange-traded notes (“ETN”), which are subject to the credit risk of the issuer. Additional risks include volatility, lack of liquidity, and sensitivity to currencies, commodities markets, and interest rate changes. The Funds may invest in Real Estate Investment Trusts (“REIT”). Risks commonly associated with the direct ownership of real estate include fluctuations in the value of underlying properties, defaults by borrowers or tenants, changes in interest rates and risks related to general or local economic conditions. The Funds may invest in master limited partnerships (“MLP”), which are subject to certain risks inherent in the structure of MLPs, including complex tax structure risks, the limited ability for election or removal of management, limited voting rights, potential dependence on parent companies or sponsors for revenues to satisfy obligations, and potential conflicts of interest between partners, members and affiliates. The Funds may also use options and future contracts, which have the risk of unlimited losses of the underlying holdings due to unanticipated market movements, and failure to correctly predict the direction of securities prices, interest rates and currency exchange rates. The investment in options is not suitable for all investors. Diversification does not assure a profit or protect against a loss in a declining market.
 
An investment in money market funds is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency. Although money market funds seek to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in these funds.
 
A stop loss order directs a brokerage firm to sell a specified security at the prevailing market price should that security’s price fall to or below a stipulated price. A stop limit order directs a brokerage firm to sell a specified security should that security’s price fall to or below a stipulated price, but only if the transaction can be executed at or above the limit price given as part of the order. The Funds use the Sub Advisor’s proprietary Dynamic Trailing Stop Loss System (“DTS”), which is designed to help control the risk to invested capital when investing in volatile securities and markets. The DTS is not a stop loss order or stop limit order placed with a brokerage firm, but an internal process for monitoring price movements. While the DTS may be used to initiate the process for selling a security, it does not assure that a particular execution price will be received.
 
Fund holdings and sector allocations are subject to change and should not be considered a recommendation to buy or sell any security. References to other funds should not be interpreted as an offer of these securities. For a complete list of each Fund’s holdings, please refer to the Schedule of Investments in this report.
 
Any tax or legal information provided is merely a summary of our understanding and interpretation of some of the current income tax regulations and is not exhaustive. Investors must consult their tax advisor or legal counsel for advice and information concerning their particular situation. Neither the Funds nor any of their representatives may give legal or tax advice.
 
This report must be preceded or accompanied by a prospectus.
 
WBI Exchange Traded Funds are distributed by Foreside Fund Services, LLC.
 

 
7


  
Absolute Shares Trust
 
Management’s Discussion of Fund Performance (continued)
 
June 30, 2022 (Unaudited)
 


Benchmark Definitions
 
Unless otherwise indicated, the source for index price and performance data used in the discussion of market conditions and market commentary is Bloomberg.
 
The Russell 3000 Total Return Index is a float-adjusted market-cap weighted index that includes 3,000 stocks and covers 98% of the U.S. equity investable universe.
 
The Russell 3000 Value Total Return Index uses the value characteristic book-to-price ratio to create a style index based upon the Russell 3000 that contains companies with lower predicted and historical growth rates.
 
The Bloomberg US Aggregate Bond Total Return Index is calculated based on the U.S. dollar denominated, investment grade fixed-rate taxable bond market including treasury, government-related, corporate, MBS, ABS and CMBS debt, and includes the performance effect of income earned by securities in the index. Effective August 24, 2021, the Bloomberg Barclays US Aggregate Bond Total Return Index changed its name to Bloomberg US Aggregate Bond Total Return Index.
 
The Solactive Power FactorTM High Dividend GTR Index is constructed by scoring each ordinary dividend paying, common stock constituent from the 3,000 largest U.S. companies both directly and relative to industry peers using the three Power Factors and ranking those securities in descending order according to their dividend indicated yield. The 50 companies with the largest dividend indicated yield are subsequently chosen as Index components.
 
Other Index Definitions
 
The Dow Jones Industrial Average (DJIA or “The Dow”) is a price-weighted average of 30 of the largest blue-chip issues traded on the New York Stock Exchange.
 
The S&P 500 Index is a float-market-cap-weighted average of 500 large-cap U.S. companies in all major sectors.
 
The NASDAQ Composite Index is a market-value weighted index of all common stocks listed on NASDAQ.
 
The Russell 1000 Index is a float-adjusted market-cap weighted index that includes the largest 1,000 stocks by market-cap of the Russell 3000 Index.
 
The Russell 2000 Index is a float-adjusted market-cap weighted index that includes the smallest 2,000 stocks by market-cap of the Russell 3000 Index.
 
The Russell 1000 Value Index uses the value characteristic book-to-price ratio to create a style index based upon the Russell 1000 that contains companies with lower predicted and historical growth rates.
 
The Russell 2000 Value Index uses the value characteristic book-to-price ratio to create a style index based upon the Russell 2000 that contains companies with lower predicted and historical growth rates.
 
Terms
 
Basis point: a unit of measure to describe the percentage change in the value of financial instruments or the rate change in an index or other benchmark. One basis point is equivalent to 0.01% (1/100th of a percent) or 0.0001 in decimal form.
 

8


  
Absolute Shares Trust
 
WBI BullBear Value 3000 ETF
 
Performance Summary (Unaudited)
 





     
Since
Average Annual Returns
   
Inception
Period Ended June 30, 2022
1 Year
5 Years
(8/25/14)
WBI BullBear Value 3000 ETF—NAV
(5.62)%
3.45%
3.10%
WBI BullBear Value 3000 ETF—Market
(5.88)%
3.34%
3.07%
Russell 3000 Value Total Return
(7.46)%
7.01%
7.12%

This chart illustrates the performance of a hypothetical $10,000 investment made on August 25, 2014, and is not intended to imply any future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The chart assumes reinvestment of capital gains and dividends.
 
The performance data quoted represents past performance and is not a guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. For most recent month-end performance, please visit www.wbietfs.com.
 
Per the Prospectus dated 10/31/2021, the Fund’s annual operating expense (gross) is 1.36%. Per the Prospectus dated 10/31/2021, the Fund’s annual operating expense (net) is 1.25%. The Fund’s Sub-Advisor has contractually agreed to waive the fees and reimburse expenses of the Fund such that total annual operating expenses are limited to 1.25% of average net assets until at least October 31, 2022. (Actual expenses can be referenced in the Financial Highlights section later in this report.)
 

9


  
Absolute Shares Trust
 
WBI BullBear Yield 3000 ETF
 
Performance Summary (Unaudited)
 





     
Since
Average Annual Returns
   
Inception
Period Ended June 30, 2022
1 Year
5 Years
(8/25/14)
WBI BullBear Yield 3000—NAV
(0.73)%
4.14%
1.89%
WBI BullBear Yield 3000—Market
(0.86)%
4.07%
1.87%
Russell 3000 Value Total Return
(7.46)%
7.01%
7.12%

This chart illustrates the performance of a hypothetical $10,000 investment made on August 25, 2014, and is not intended to imply any future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The chart assumes reinvestment of capital gains and dividends.
 
The performance data quoted represents past performance and is not a guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. For most recent month-end performance, please visit www.wbietfs.com.
 
Per the Prospectus dated 10/31/2021, the Fund’s annual operating expense (gross) is 1.27%. Per the Prospectus dated 10/31/2021, the Fund’s annual operating expense (net) is 1.25%. The Fund’s Sub-Advisor has contractually agreed to waive the fees and reimburse expenses of the Fund such that total annual operating expenses are limited to 1.25% of average net assets until at least October 31, 2022. (Actual expenses can be referenced in the Financial Highlights section later in this report.)
 

10


  
Absolute Shares Trust
 
WBI BullBear Quality 3000 ETF
 
Performance Summary (Unaudited)
 





     
Since
Average Annual Returns
   
Inception
Period Ended June 30, 2022
1 Year
5 Years
(8/25/14)
WBI BullBear Quality 3000 ETF—NAV
  (4.58)%
  3.49%
  2.53%
WBI BullBear Quality 3000 ETF—Market
  (4.76)%
  3.41%
  2.51%
Russell 3000 Total Return
(13.87)%
10.60%
10.00%

This chart illustrates the performance of a hypothetical $10,000 investment made on August 25, 2014, and is not intended to imply any future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The chart assumes reinvestment of capital gains and dividends.
 
The performance data quoted represents past performance and is not a guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. For most recent month-end performance, please visit www.wbietfs.com.
 
Per the Prospectus dated 10/31/2021, the Fund’s annual operating expense (gross) is 1.31%. Per the Prospectus dated 10/31/2021, the Fund’s annual operating expense (net) is 1.25%. The Fund’s Sub-Advisor has contractually agreed to waive the fees and reimburse expenses of the Fund such that total annual operating expenses are limited to 1.25% of average net assets until at least October 31, 2022. (Actual expenses can be referenced in the Financial Highlights section later in this report.)
 

11


  
Absolute Shares Trust
 
WBI BullBear Global Income ETF
 
Performance Summary (Unaudited)
 





     
Since
Average Annual Returns
   
Inception
Period Ended June 30, 2022
1 Year
5 Years
(8/25/14)
WBI BullBear Global Income ETF—NAV
(12.05)%
(0.15)%
0.61%
WBI BullBear Global Income ETF—Market
(11.93)%
(0.18)%
0.61%
Bloomberg U.S. Aggregate Bond Index
(10.29)%
0.88%
1.43%

This chart illustrates the performance of a hypothetical $10,000 investment made on August 25, 2014, and is not intended to imply any future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The chart assumes reinvestment of capital gains and dividends.
 
The performance data quoted represents past performance and is not a guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. For most recent month-end performance, please visit www.wbietfs.com.
 
Per the Prospectus dated 10/31/2021, the Fund’s annual operating expense (gross) is 1.45% including Acquired Fund Fees and Expenses. The Fund’s Sub-Advisor has contractually agreed to waive the fees and reimburse expenses of the Fund such that total annual operating expenses are limited to 1.25% of average net assets until at least October 31, 2022. (Actual expenses can be referenced in the Financial Highlights section later in this report.)
 

12


  
Absolute Shares Trust
 
WBI Power Factor® High Dividend ETF
 
Performance Summary (Unaudited)
 





     
Since
Average Annual Returns
   
Inception
Period Ended June 30, 2022
1 Year
5 Years
(12/19/16)
WBI Power Factor® High Dividend ETF—NAV
(1.40)%
6.93%
5.93%
WBI Power Factor® High Dividend ETF—Market
(1.72)%
6.79%
5.90%
Russell 3000 Value Index
(7.46)%
7.01%
6.98%
Solactive Power Factor® High Dividend Index
(0.60)%
8.02%
7.02%

This chart illustrates the performance of a hypothetical $10,000 investment made on December 19, 2016, and is not intended to imply any future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The chart assumes reinvestment of capital gains and dividends.
 
The performance data quoted represents past performance and is not a guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. For most recent month-end performance, please visit www.wbietfs.com.
 
Per the Prospectus dated 10/31/2021, the Fund’s annual operating expense (gross) is 0.98%. Per the Prospectus dated 10/31/2021, the Fund’s annual operating expense (net) is 0.70%. The Fund’s Sub-Advisor has contractually agreed to waive the fees and reimburse expenses of the Fund such that total annual operating expenses are limited to 1.25% of average net assets until at least October 31, 2022. (Actual expenses can be referenced in the Financial Highlights section later in this report.)
 

13


  
Absolute Shares Trust
 
WBI BullBear Trend Switch US 3000 Total Return ETF
 
Performance Summary (Unaudited)
 





     
Since
Average Annual Returns
   
Inception
Period Ended June 30, 2022
 
1 Year
(5/28/19)
WBI BullBear Trend Switch US 3000 Total Return ETF —NAV
 
  (9.66)%
  0.61%
WBI BullBear Trend Switch US 3000 Total Return ETF —Market
 
  (9.53)%
  0.62%
Russell 3000 Total Return
 
(13.87)%
11.26%

This chart illustrates the performance of a hypothetical $10,000 investment made on May 28, 2019, and is not intended to imply any future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The chart assumes reinvestment of capital gains and dividends.
 
The performance data quoted represents past performance and is not a guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. For most recent month-end performance, please visit www.wbietfs.com.
 
Per the Prospectus dated 10/31/2021, the Fund’s annual expense ratio operating expense (gross) is 0.88%. (Actual expenses can be referenced in the Financial Highlights section later in this report.)
 

14


 
Absolute Shares Trust
 
Portfolio Allocations
 

As of June 30, 2022 (Unaudited)

WBI BullBear Value 3000 ETF
 
 
Percentage of
Industry Group
Net Assets
Pharmaceuticals, Biotechnology
 
  & Life Sciences
20.1%
Energy
8.8%
Software & Services
8.5%
Health Care Equipment
 
  & Services
8.3%
Insurance
5.4%
Capital Goods
4.7%
Transportation
4.0%
Telecommunication Services
3.1%
Short-Term Investments
 
  and Other Assets and Liabilities
37.1%
TOTAL
100.0%
   
WBI BullBear Yield 3000 ETF
 
 
Percentage of
Industry Group
Net Assets
Pharmaceuticals, Biotechnology
 
  & Life Sciences
20.0%
Food, Beverage & Tobacco
9.4%
Energy
8.8%
Software & Services
8.4%
Health Care Equipment
 
  & Services
8.2%
Capital Goods
4.8%
Consumer Services
4.1%
Transportation
4.0%
Insurance
3.0%
Media & Entertainment
0.4%
Telecommunication Services
0.1%
Short-Term Investments
 
  and Other Assets and Liabilities
28.8%
TOTAL
100.0%
   
WBI BullBear Quality 3000 ETF
 
 
Percentage of
Industry Group
Net Assets
Pharmaceuticals, Biotechnology
 
  & Life Sciences
20.0%
Health Care Equipment
 
  & Services
8.3%
Software & Services
5.9%
Retailing
5.0%
Capital Goods
4.7%
Food, Beverage & Tobacco
4.7%
Insurance
4.4%
Energy
4.0%
Transportation
4.0%
Media & Entertainment
0.4%
Commercial &
 
  Professional Services
0.1%
Short-Term Investments
 
  and Other Assets and Liabilities
38.5%
TOTAL
100.0%
   
WBI BullBear Global Income ETF
 
 
Percentage of
Industry Group
Net Assets
Exchange Traded Funds
47.8%
Energy
2.7%
Short-Term Investments
 
  and Other Assets and Liabilities
49.5%
TOTAL
100.0%
   
WBI Power Factor® High Dividend ETF
 
 
Percentage of
Industry Group
Net Assets
Energy
12.3%
Telecommunication Services
10.3%
Materials
10.1%
Retailing
10.1%
Software & Services
9.0%
Food, Beverage & Tobacco
6.6%
Banks
6.4%
Consumer Durables & Apparel
6.0%
Insurance
5.9%
Pharmaceuticals, Biotechnology
 
  & Life Sciences
5.6%
Diversified Financials
4.7%
Food & Staples Retailing
4.6%
Capital Goods
2.9%
Media & Entertainment
1.3%
Consumer Services
1.2%
Transportation
1.0%
Utilities
0.8%
Short-Term Investments
 
  and Other Assets and Liabilities
1.2%
TOTAL
100.0%
   
WBI BullBear Trend Switch
 
  US 3000 Total Return ETF
 
 
Percentage of
Industry Group
Net Assets
Exchange Traded Funds
99.1%
Short-Term Investments
 
  and Other Assets and Liabilities
0.9%
TOTAL
100.0%

15


   
Absolute Shares Trust
 
WBI BullBear Value 3000 ETF
 
Schedule of Investments
 
June 30, 2022
 


Shares/
         
Amount
 
Security Description
 
Value
 
COMMON STOCKS — 62.9%
     
       
Capital Goods — 4.7%
     
 
9,059
 
General Dynamics Corp.
 
$
2,004,304
 
         
Energy — 8.8%
       
 
70,348
 
Baker Hughes Co. +
   
2,030,947
 
 
19,950
 
Exxon Mobil Corp.
   
1,708,518
 
           
3,739,465
 
Health Care Equipment & Services — 8.3%
       
 
3,764
 
Humana, Inc.
   
1,761,816
 
 
3,415
 
UnitedHealth Group, Inc.
   
1,754,046
 
           
3,515,862
 
Insurance — 5.4%
       
 
1,128
 
Hanover Insurance Group, Inc.
   
164,970
 
 
1,806
 
Reinsurance Group of America, Inc.
   
211,826
 
 
55,751
 
Unum Group +
   
1,896,649
 
           
2,273,445
 
Pharmaceuticals, Biotechnology & Life Sciences — 20.1%
       
 
11,226
 
AbbVie, Inc. +
   
1,719,374
 
 
22,355
 
Bristol-Myers Squibb Co.
   
1,721,335
 
 
10,139
 
Johnson & Johnson
   
1,799,774
 
 
19,632
 
Merck & Company, Inc.
   
1,789,849
 
 
28,628
 
Pfizer, Inc.
   
1,500,966
 
           
8,531,298
 
Software & Services — 8.5%
       
 
7,830
 
Automatic Data Processing, Inc.
   
1,644,613
 
 
13,886
 
International Business Machines Corp. +
   
1,960,565
 
           
3,605,178
 
Telecommunication Services — 3.1%
       
 
119,085
 
Lumen Technologies, Inc.
   
1,299,217
 
         
Transportation — 4.0%
       
 
58,941
 
CSX Corp.
   
1,712,825
 
TOTAL COMMON STOCKS
       
(Cost $26,237,948)
   
26,681,594
 
               
               
SHORT TERM INVESTMENT — 38.4%
       
 
16,311,146
 
U.S. Bank Money Market
       
     
  Deposit Account, 0.60%
   
16,311,146
 
TOTAL SHORT TERM INVESTMENT
       
(Cost $16,311,146)
   
16,311,146
 
               
INVESTMENTS PURCHASED WITH
       
PROCEEDS FROM SECURITIES LENDING — 8.2%
       
 
3,480,083
 
Mount Vernon Liquid Assets
       
     
  Portfolio, LLC, 1.61% (a)(b)
   
3,480,083
 
TOTAL INVESTMENTS PURCHASED WITH
       
PROCEEDS FROM SECURITIES LENDING
       
(Cost $3,480,083)
   
3,480,083
 
TOTAL INVESTMENTS — 109.5%
       
(Cost $46,029,177)
   
46,472,823
 
Liabilities in Excess of Other Assets — (9.5)%
   
(3,970,118
)
NET ASSETS — 100.0%
 
$
42,502,705
 
_________
+
All or portion of this security is on loan as of June 30, 2022. Total value of securities on loan is $3,360,055.
(a)
The rate quoted is the annualized seven-day yield as of June 30, 2022.
(b)
Privately offered liquidity fund.

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


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

16


   
Absolute Shares Trust
 
WBI BullBear Yield 3000 ETF
 
Schedule of Investments
 
June 30, 2022
 


Shares/
         
Amount
 
Security Description
 
Value
 
COMMON STOCKS — 71.2%
     
       
Capital Goods — 4.8%
     
 
8,170
 
General Dynamics Corp.
 
$
1,807,613
 
 
233
 
Huntington Ingalls Industries, Inc.
   
50,752
 
           
1,858,365
 
Consumer Services — 4.1%
       
 
44,416
 
H&R Block, Inc. +
   
1,568,773
 
         
Energy — 8.8%
       
 
63,362
 
Baker Hughes Co. +
   
1,829,261
 
 
17,992
 
Exxon Mobil Corp.
   
1,540,835
 
           
3,370,096
 
Food, Beverage & Tobacco — 9.4%
       
 
24,685
 
General Mills, Inc.
   
1,862,483
 
 
31,798
 
Molson Coors Brewing Co.
   
1,733,309
 
           
3,595,792
 
Health Care Equipment & Services — 8.2%
       
 
3,378
 
Humana, Inc.
   
1,581,141
 
 
3,075
 
UnitedHealth Group, Inc.
   
1,579,412
 
           
3,160,553
 
Insurance — 3.0%
       
 
4,159
 
Everest Re Group, LTD. — ADR (a)
   
1,165,684
 
         
Media & Entertainment — 0.4%
       
 
819
 
Nexstar Media Group, Inc. — Class A
   
133,399
 
         
Pharmaceuticals, Biotechnology & Life Sciences — 20.0%
       
 
10,096
 
AbbVie, Inc.
   
1,546,303
 
 
20,027
 
Bristol-Myers Squibb Co.
   
1,542,079
 
 
9,104
 
Johnson & Johnson
   
1,616,051
 
 
17,588
 
Merck & Company, Inc.
   
1,603,498
 
 
25,974
 
Pfizer, Inc.
   
1,361,817
 
           
7,669,748
 
Software & Services — 8.4%
       
 
7,051
 
Automatic Data Processing, Inc.
   
1,480,992
 
 
12,464
 
International Business Machines Corp.
   
1,759,792
 
           
3,240,784
 
Telecommunication Services — 0.1%
       
 
3,250
 
Lumen Technologies, Inc.
   
35,457
 
         
Transportation — 4.0%
       
 
52,926
 
CSX Corp.
   
1,538,030
 
TOTAL COMMON STOCKS
       
(Cost $26,632,004)
   
27,336,681
 
               
SHORT TERM INVESTMENT — 29.5%
       
 
11,348,542
 
U.S. Bank Money Market
       
     
  Deposit Account, 0.60%
   
11,348,542
 
TOTAL SHORT TERM INVESTMENT
       
(Cost $11,348,542)
   
11,348,542
 
               
INVESTMENTS PURCHASED WITH
       
PROCEEDS FROM SECURITIES LENDING — 7.4%
       
 
2,836,777
 
Mount Vernon Liquid Assets
       
     
  Portfolio, LLC, 1.61% (b)(c)
   
2,836,777
 
TOTAL INVESTMENTS PURCHASED WITH
       
PROCEEDS FROM SECURITIES LENDING
       
(Cost $2,836,777)
   
2,836,777
 
TOTAL INVESTMENTS — 108.1%
       
(Cost $40,817,323)
   
41,522,000
 
Liabilities in Excess of Other Assets — (8.1)%
   
(3,105,684
)
NET ASSETS — 100.0%
 
$
38,416,316
 
_________
ADR
American Depository Receipt
+
All or portion of this security is on loan as of June 30, 2022. Total value of securities on loan is $2,748,560.
(a)
Foreign issued security. Foreign concentration is as follows: Bermuda: 3.03%.
(b)
The rate quoted is the annualized seven-day yield as of June 30, 2022.
(c)
Privately offered liquidity fund.


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

17


   
Absolute Shares Trust
 
WBI BullBear Quality 3000 ETF
 
Schedule of Investments
 
June 30, 2022
 


Shares/
         
Amount
 
Security Description
 
Value
 
COMMON STOCKS — 61.5%
     
       
Capital Goods — 4.7%
     
 
7,843
 
General Dynamics Corp.
 
$
1,735,264
 
         
Commercial & Professional Services — 0.1%
       
 
952
 
KBR, Inc.
   
46,067
 
         
Energy — 4.0%
       
 
17,205
 
Exxon Mobil Corp.
   
1,473,436
 
         
Food, Beverage & Tobacco — 4.7%
       
 
23,041
 
General Mills, Inc. +
   
1,738,443
 
         
Health Care Equipment & Services — 8.3%
       
 
3,236
 
Humana, Inc.
   
1,514,674
 
 
2,949
 
UnitedHealth Group, Inc.
   
1,514,695
 
           
3,029,369
 
Insurance — 4.4%
       
 
47,367
 
Unum Group +
   
1,611,425
 
         
Media & Entertainment — 0.4%
       
 
834
 
Nexstar Media Group, Inc. — Class A
   
135,842
 
         
Pharmaceuticals, Biotechnology & Life Sciences — 20.0%
       
 
9,682
 
AbbVie, Inc. +
   
1,482,895
 
 
19,219
 
Bristol-Myers Squibb Co.
   
1,479,863
 
 
8,729
 
Johnson & Johnson
   
1,549,485
 
 
16,878
 
Merck & Co., Inc.
   
1,538,767
 
 
24,907
 
Pfizer, Inc.
   
1,305,874
 
           
7,356,884
 
Retailing — 5.0%
       
 
9,053
 
LKQ Corp.
   
444,412
 
 
13,204
 
Penske Automotive Group, Inc.
   
1,382,327
 
           
1,826,739
 
Software & Services — 5.9%
       
 
2,112
 
Automatic Data Processing, Inc.
   
443,604
 
 
12,250
 
International Business Machines Corp. +
   
1,729,578
 
           
2,173,182
 
Transportation — 4.0%
       
 
50,744
 
CSX Corp.
   
1,474,621
 
TOTAL COMMON STOCKS
       
(Cost $22,398,074)
   
22,601,272
 
               
SHORT TERM INVESTMENT — 39.1%
       
 
14,387,081
 
U.S. Bank Money Market
       
     
  Deposit Account, 0.60%
   
14,387,081
 
TOTAL SHORT TERM INVESTMENT
       
(Cost $14,387,081)
   
14,387,081
 
               
INVESTMENTS PURCHASED WITH
       
PROCEEDS FROM SECURITIES LENDING — 13.2%
       
 
4,847,204
 
Mount Vernon Liquid Assets
       
     
  Portfolio, LLC, 1.61% (a)(b)
   
4,847,204
 
TOTAL INVESTMENTS PURCHASED WITH
       
PROCEEDS FROM SECURITIES LENDING
       
(Cost $4,847,204)
   
4,847,204
 
TOTAL INVESTMENTS — 113.8%
       
(Cost $41,632,359)
   
41,835,557
 
Liabilities in Excess of Other Assets — (13.8)%
   
(5,077,689
)
NET ASSETS — 100.0%
 
$
36,757,868
 
_________
+
All or portion of this security is on loan as of June 30, 2022. Total value of securities on loan is $4,722,960.
(a)
The rate quoted is the annualized seven-day yield as of June 30, 2022.
(b)
Privately offered liquidity fund.


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

18


   
Absolute Shares Trust
 
WBI BullBear Global Income ETF
 
Schedule of Investments
 
June 30, 2022
 

 
Shares/
         
Amount
 
Security Description
 
Value
 
COMMON STOCKS — 2.7%
     
       
Energy — 2.7%
     
 
1,535
 
Chevron Corp.
 
$
222,237
 
 
5,518
 
Diamondback Energy, Inc.
   
668,505
 
 
6,433
 
Halliburton Company +
   
201,739
 
           
1,092,481
 
TOTAL COMMON STOCKS
       
(Cost $1,346,128)
   
1,092,481
 
               
EXCHANGE TRADED FUNDS — 47.8%
       
 
18,053
 
iShares 20+ Year Treasury Bond ETF +
   
2,073,748
 
 
185,113
 
Schwab Short-Term U.S. Treasury ETF
   
9,105,710
 
 
125,357
 
SPDR Portfolio
       
     
  Long Term Treasury ETF +
   
4,145,556
 
 
59,090
 
Vanguard Long-Term Treasury ETF
   
4,145,754
 
TOTAL EXCHANGE TRADED FUNDS
       
(Cost $19,200,811)
   
19,470,768
 
               
SHORT TERM INVESTMENT — 49.6%
       
 
20,197,072
 
U.S. Bank Money Market
       
     
  Deposit Account, 0.60%
   
20,197,072
 
TOTAL SHORT TERM INVESTMENT
       
(Cost $20,197,072)
   
20,197,072
 
               
INVESTMENTS PURCHASED WITH
       
PROCEEDS FROM SECURITIES LENDING — 10.7%
       
 
4,340,751
 
Mount Vernon Liquid Assets
       
     
  Portfolio, LLC, 1.61% (a)(b)
   
4,340,751
 
TOTAL INVESTMENTS PURCHASED WITH
       
PROCEEDS FROM SECURITIES LENDING
       
(Cost $4,340,751)
   
4,340,751
 
TOTAL INVESTMENTS — 110.8%
       
(Cost $45,084,762)
   
45,101,072
 
Liabilities in Excess of Other Assets — (10.8)%
   
(4,389,981
)
NET ASSETS — 100.0%
 
$
40,711,091
 
_________
+
All or portion of this security is on loan as of June 30, 2022. Total value of securities on loan is $4,248,378.
(a)
The rate quoted is the annualized seven-day yield as of June 30, 2022.
(b)
Privately offered liquidity fund.


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

19


   
Absolute Shares Trust
 
WBI Power Factor® High Dividend ETF
 
Schedule of Investments
 
June 30, 2022
 


Shares
 
Security Description
 
Value
 
COMMON STOCKS — 98.8%
     
       
Banks — 6.4%
     
 
6,329
 
First Financial Bancorp +
 
$
122,783
 
 
18,862
 
First Interstate BancSystem, Inc.
   
718,831
 
 
57,820
 
FNB Corp.
   
627,925
 
 
22,495
 
Fulton Financial Corp.
   
325,053
 
 
15,766
 
Hope Bancorp, Inc.
   
218,201
 
 
144,867
 
New York Community Bancorp, Inc. +
   
1,322,636
 
 
6,833
 
Provident Financial Services, Inc. +
   
152,102
 
 
31,422
 
Umpqua Holdings Corp.
   
526,947
 
           
4,014,478
 
Capital Goods — 2.9%
       
 
13,799
 
3M Company
   
1,785,729
 
         
Consumer Durables & Apparel — 6.0%
       
 
128,295
 
Hanesbrands, Inc. +
   
1,320,156
 
 
11,447
 
Kontoor Brands, Inc. +
   
381,986
 
 
92,653
 
Newell Brands, Inc. +
   
1,764,113
 
 
1,958
 
Whirlpool Corp. +
   
303,236
 
           
3,769,491
 
Consumer Services — 1.2%
       
 
8,609
 
Cracker Barrel Old Country Store, Inc. +
   
718,765
 
         
Diversified Financials — 4.7%
       
 
11,565
 
Artisan Partners Asset
       
     
  Management, Inc. — Class A +
   
411,367
 
 
63,726
 
Franklin Resources, Inc. +
   
1,485,453
 
 
10,369
 
Moelis & Co.
   
408,020
 
 
45,930
 
Navient Corp.
   
642,561
 
           
2,947,401
 
Energy — 12.3%
       
 
0,436
 
Hess Midstream LP +
   
572,208
 
 
172,754
 
Kinder Morgan, Inc.
   
2,895,357
 
 
41,051
 
Phillips 66
   
3,365,772
 
 
82,744
 
Plains GP Holdings LP — Class A
   
853,918
 
           
7,687,255
 
Food & Staples Retailing — 4.6%
       
 
75,052
 
Walgreens Boots Alliance, Inc.
   
2,844,471
 
         
Food, Beverage & Tobacco — 6.6%
       
 
31,253
 
Philip Morris International, Inc.
   
3,085,921
 
 
26,336
 
The Kraft Heinz Co. +
   
1,004,455
 
           
4,090,376
 
Insurance — 5.9%
       
 
18,947
 
Fidelity National Financial, Inc.
   
700,281
 
 
4,013
 
Mercury General Corp.
   
177,776
 
 
31,637
 
Old Republic International Corp.
   
707,403
 
 
9,500
 
Principal Financial Group, Inc. +
   
634,505
 
 
7,088
 
Prudential  Financial, Inc.
   
678,180
 
 
22,997
 
Unum Group
   
782,358
 
           
3,680,503
 
Materials — 10.1%
       
 
49,962
 
Dow, Inc.
   
2,578,539
 
 
24,803
 
International Paper Co.
   
1,037,509
 
 
30,399
 
LyondellBasell Industries
       
     
  N.V. — Class A — ADR (c)
   
2,658,697
 
           
6,274,745
 
Media & Entertainment — 1.3%
       
 
12,405
 
Omnicom Group, Inc. +
   
789,082
 
         
Pharmaceuticals, Biotechnology & Life Sciences — 5.6%
       
 
56,604
 
Gilead Sciences, Inc.
   
3,498,693
 
         
Retailing — 10.1%
       
 
148,499
 
American Eagle Outfitters, Inc. +
   
1,660,219
 
 
25,706
 
Big 5 Sporting Goods Corp. +
   
288,164
 
 
43,965
 
Camping World
       
     
  Holdings, Inc. — Class A +
   
949,204
 
 
92,518
 
Foot Locker, Inc. +
   
2,336,079
 
 
7,537
 
Franchise Group, Inc. +
   
264,323
 
 
22,678
 
Guess?, Inc. +
   
386,660
 
 
22,618
 
Rent-A-Center, Inc. +
   
439,920
 
           
6,324,569
 
Software & Services — 9.0%
       
 
28,075
 
International Business Machines Corp. +
   
3,963,909
 
 
98,835
 
Western Union Co. +
   
1,627,812
 
           
5,591,721
 
Telecommunication Services — 10.3%
       
 
281,658
 
Lumen Technologies, Inc. +
   
3,072,889
 
 
65,380
 
Verizon Communications, Inc.
   
3,318,035
 
           
6,390,924
 
Transportation — 1.0%
       
 
6,278
 
Eagle Bulk Shipping, Inc. — ADR+ (a)
   
325,703
 
 
17,064
 
Genco Shipping &
       
     
  Trading LTD. — ADR+ (a)
   
329,676
 
           
655,379
 
Utilities — 0.8%
       
 
13,628
 
Clearway Energy, Inc.
   
474,800
 
TOTAL COMMON STOCKS
       
(Cost $68,588,205)
   
61,538,382
 


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

20


   
Absolute Shares Trust
 
WBI Power Factor® High Dividend ETF
 
Schedule of Investments (concluded)
 
June 30, 2022
 


Shares/
         
Amount
 
Security Description
 
Value
 
SHORT TERM INVESTMENT — 1.2%
     
 
760,220
 
U.S. Bank Money Market
     
     
  Deposit Account, 0.60%
 
$
760,220
 
TOTAL SHORT TERM INVESTMENT
       
(Cost $760,220)
   
760,220
 
               
INVESTMENTS PURCHASED WITH
       
PROCEEDS FROM SECURITIES LENDING — 31.3%
       
 
19,534,969
 
Mount Vernon Liquid Assets
       
     
  Portfolio, LLC, 1.61% (b)(c)
   
19,534,969
 
TOTAL INVESTMENTS PURCHASED WITH
       
PROCEEDS FROM SECURITIES LENDING
       
(Cost $19,534,969)
   
19,534,969
 
TOTAL INVESTMENTS — 131.3%
       
(Cost $88,883,394)
   
81,833,571
 
Liabilities in Excess of Other Assets — (31.3)%
   
(19,500,765
)
NET ASSETS — 100.0%
 
$
62,332,806
 
________
ADR
American Depository Receipt
+
All or portion of this security is on loan as of June 30, 2022. Total value of securities on loan is $18,773,081.
(a)
Foreign issued security. Foreign concentration is as follows: Netherlands: 4.27%, Marshall Island: 1.05%.
(b)
The rate quoted is the annualized seven-day yield as of June 30, 2022.
(c)
Privately offered liquidity fund.


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

21


   
Absolute Shares Trust
 
WBI BullBear Trend Switch US 3000 Total Return ETF
 
Schedule of Investments
 
June 30, 2022
 


Shares/
         
Amount
 
Security Description
 
Value
 
EXCHANGE TRADED FUNDS — 99.1%
     
 
58,423
 
iShares 20+ Year
     
     
  Treasury Bond ETF +
 
$
6,711,050
 
 
244,732
 
SPDR Portfolio
       
     
  Long Term Treasury ETF
   
8,093,287
 
 
115,386
 
Vanguard
       
     
  Long-Term Treasury ETF +
   
8,095,482
 
TOTAL EXCHANGE TRADED FUNDS
       
(Cost $22,078,870)
   
22,899,819
 
               
SHORT TERM INVESTMENT — 1.0%
       
 
221,625
 
U.S. Bank Money Market
       
     
  Deposit Account, 0.60%
   
221,625
 
TOTAL SHORT TERM INVESTMENT
       
(Cost $221,625)
   
221,625
 
               
INVESTMENTS PURCHASED WITH
       
PROCEEDS FROM SECURITIES LENDING — 31.7%
       
 
7,334,364
 
Mount Vernon Liquid Assets
       
     
  Portfolio, LLC, 1.61% (a)(b)
   
7,334,364
 
TOTAL INVESTMENTS PURCHASED WITH
       
PROCEEDS FROM SECURITIES LENDING
       
(Cost $7,334,364)
   
7,334,364
 
TOTAL INVESTMENTS — 131.8%
       
(Cost $29,634,859)
   
30,455,808
 
Liabilities in Excess of Other Assets — (31.8)%
   
(7,342,525
)
NET ASSETS — 100.0%
 
$
23,113,283
 
_________
+
All or portion of this security is on loan as of June 30, 2022. Total value of securities on loan is $7,246,886.
(a)
The rate quoted is the annualized seven-day yield as of June 30, 2022.
(b)
Privately offered liquidity fund.


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

22


 
Absolute Shares Trust
 
Statements of Assets and Liabilities
 

June 30, 2022

                     
WBI BullBear
 
   
WBI BullBear
   
WBI BullBear
   
WBI BullBear
   
Global
 
   
Value 3000 ETF
   
Yield 3000 ETF
   
Quality 3000 ETF
   
Income ETF
 
ASSETS
                       
Investments in securities, at value *+ (Note 2)
 
$
46,472,823
   
$
41,522,000
   
$
41,835,557
   
$
45,101,072
 
Receivable for investments sold
   
     
     
137,965
     
 
Dividends and interest receivable
   
41,996
     
40,893
     
47,310
     
5,712
 
Prepaid expenses and other assets
   
9,870
     
9,901
     
9,902
     
10,249
 
Securities lending income receivable
   
142
     
142
     
132
     
2,781
 
Total Assets
   
46,524,831
     
41,572,936
     
42,030,866
     
45,119,814
 
                                 
LIABILITIES
                               
Payables
                               
Collateral received for securities loaned (Note 7)
   
3,480,083
     
2,836,777
     
4,847,204
     
4,340,751
 
Investments purchased
   
469,662
     
251,976
     
359,228
     
 
Audit fees
   
24,527
     
24,527
     
24,526
     
23,614
 
Administration and fund accounting fees
   
22,706
     
22,682
     
22,771
     
22,426
 
Management fees
   
19,106
     
14,697
     
13,382
     
15,815
 
Accrued other expenses
   
2,834
     
2,836
     
2,821
     
2,935
 
Chief Compliance Officer fee
   
1,217
     
1,216
     
1,216
     
1,216
 
Custody fees
   
1,190
     
1,108
     
1,038
     
1,161
 
Legal fees
   
788
     
788
     
799
     
792
 
Directors fees
   
13
     
13
     
13
     
13
 
Total Liabilities
   
4,022,126
     
3,156,620
     
5,272,998
     
4,408,723
 
NET ASSETS
 
$
42,502,705
   
$
38,416,316
   
$
36,757,868
   
$
40,711,091
 
                                 
NET ASSETS CONSIST OF:
                               
Paid-in capital
 
$
59,830,368
   
$
95,815,172
   
$
64,497,065
   
$
56,371,312
 
Total accumulated deficit
   
(17,327,663
)
   
(57,398,856
)
   
(27,739,197
)
   
(15,660,221
)
Net Assets
 
$
42,502,705
   
$
38,416,316
   
$
36,757,868
   
$
40,711,091
 
*Cost
                               
Investments in securities
 
$
46,029,177
   
$
40,817,323
   
$
41,632,359
   
$
45,084,762
 
Net Asset Value (unlimited shares authorized):
                               
Net Assets
 
$
42,502,705
   
$
38,416,316
   
$
36,757,868
   
$
40,711,091
 
Shares Outstanding^
   
1,438,315
     
1,480,183
     
1,277,182
     
1,900,000
 
Net Asset Value, Offering and Redemption Price per Share
 
$
29.55
   
$
25.95
   
$
28.78
   
$
21.43
 
^
No Par Value
+
Including securities on loan of $3,360,055, $2,748,560, $4,722,960, and $4,248,378 respectively.


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

23


 
Absolute Shares Trust
 
Statements of Assets and Liabilities (concluded)
 

June 30, 2022

         
WBI BullBear
 
   
WBI Power
   
Trend Switch
 
   
Factor® High
   
US 3000 Total
 
   
Dividend ETF
   
Return ETF
 
ASSETS
           
Investments in securities, at value *+ (Note 2)
 
$
81,833,571
   
$
30,455,808
 
Dividends and interest receivable
   
82,038
     
157
 
Prepaid expenses and other assets
   
9,075
     
 
Securities lending income receivable
   
8,352
     
2,949
 
Total Assets
   
81,933,036
     
30,458,914
 
                 
LIABILITIES
               
Payables
               
Collateral received for securities loaned (Note 7)
   
19,534,969
     
7,334,364
 
Audit fees
   
23,615
     
 
Administration and fund accounting fees
   
22,899
     
 
Management fees
   
11,411
     
10,397
 
Accrued other expenses
   
3,492
     
 
Custody fees
   
1,822
     
 
Chief Compliance Officer fee
   
1,217
     
 
Legal fees
   
792
     
857
 
Directors fees
   
13
     
13
 
Total Liabilities
   
19,600,230
     
7,345,631
 
NET ASSETS
 
$
62,332,806
   
$
23,113,283
 
                 
NET ASSETS CONSIST OF:
               
Paid-in capital
 
$
73,608,869
   
$
28,286,139
 
Total accumulated deficit
   
(11,276,063
)
   
(5,172,856
)
Net Assets
 
$
62,332,806
   
$
23,113,283
 
*Cost
               
Investments in securities
 
$
88,883,394
   
$
29,634,859
 
Net Asset Value (unlimited shares authorized):
               
Net Assets
 
$
62,332,806
   
$
23,113,283
 
Shares Outstanding^
   
2,400,000
     
1,275,000
 
Net Asset Value, Offering and Redemption Price per Share
 
$
25.97
   
$
18.13
 
^
No Par Value
+
Including securities on loan of $18,773,081, and $7,246,886 respectively.


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

24


 
Absolute Shares Trust
 
Statements of Operations
 

For the Year Ended June 30, 2022

                     
WBI BullBear
 
   
WBI BullBear
   
WBI BullBear
   
WBI BullBear
   
Global
 
   
Value 3000 ETF
   
Yield 3000 ETF
   
Quality 3000 ETF
   
Income ETF
 
INVESTMENT INCOME
                       
Income:
                       
Dividends+
 
$
1,045,029
   
$
1,164,183
   
$
958,242
   
$
1,706,125
 
Interest
   
11,267
     
8,892
     
9,844
     
7,247
 
Securities lending income (Note 7)
   
3,597
     
4,662
     
3,271
     
56,738
 
Total Investment Income
   
1,059,893
     
1,177,737
     
971,357
     
1,770,110
 
                                 
Expenses:
                               
Management fees (Note 3)
   
412,022
     
373,149
     
362,182
     
423,440
 
Administration, fund accounting and custodian fees (Note 6)
   
139,266
     
139,085
     
139,357
     
137,029
 
Professional fees
   
62,229
     
62,229
     
62,229
     
61,404
 
Insurance expenses
   
18,441
     
18,441
     
18,441
     
19,092
 
Director’s fees and expenses
   
18,343
     
18,343
     
18,343
     
18,343
 
Exchange fees
   
8,198
     
8,105
     
8,105
     
8,289
 
Shareholder reporting expenses
   
3,332
     
3,425
     
3,641
     
3,704
 
Miscellaneous expenses
   
6,060
     
6,059
     
6,060
     
6,117
 
Total Expenses
   
667,891
     
628,836
     
618,358
     
677,418
 
Less: Fees (Waived)/Recouped
   
(61,975
)
   
(80,088
)
   
(85,736
)
   
(57,457
)
Net Expenses
   
605,916
     
548,748
     
532,622
     
619,961
 
Net Investment Income
   
453,977
     
628,989
     
438,735
     
1,150,149
 
                                 
REALIZED & UNREALIZED GAIN ON INVESTMENTS
                               
Net realized gain (loss) on:
                               
Investments in securities
   
(1,498,281
)
   
778,032
     
(249,778
)
   
(5,318,980
)
Net change in unrealized depreciation of:
                               
Investments in securities
   
(1,540,311
)
   
(1,588,211
)
   
(1,954,650
)
   
(1,732,647
)
Net realized and unrealized loss on investments
   
(3,038,592
)
   
(810,179
)
   
(2,204,428
)
   
(7,051,627
)
NET DECREASE IN NET ASSETS
                               
  RESULTING FROM OPERATIONS
 
$
(2,584,615
)
 
$
(181,190
)
 
$
(1,765,693
)
 
$
(5,901,478
)
+
Net of withholding taxes of $752, $987, $1,148, and $0 respectively.


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

25


 
Absolute Shares Trust
 
Statements of Operations (concluded)
 

For the Year Ended June 30, 2022

         
WBI BullBear
 
   
WBI Power
   
Trend Switch
 
   
Factor® High
   
US 3000 Total
 
   
Dividend ETF
   
Return ETF
 
INVESTMENT INCOME
           
Dividends+
 
$
3,154,023
   
$
645,780
 
Interest
   
448
     
191
 
Securities lending income (Note 7)
   
38,341
     
18,520
 
Total Investment Income
   
3,192,812
     
664,491
 
                 
Expenses:
               
Management fees (Note 3)
   
361,071
     
182,701
 
Administration, fund accounting and custodian fees (Note 6)
   
141,583
     
 
Professional fees
   
61,404
     
2,500
 
Insurance expenses
   
19,092
     
 
Director’s fees and expenses
   
18,343
     
18,343
 
Exchange fees
   
6,283
     
 
Shareholder reporting expenses
   
5,727
     
 
Miscellaneous expenses
   
6,004
     
 
Total Expenses
   
619,507
     
203,544
 
Less: Fees (Waived)/Recouped
   
(159,961
)
   
 
Net Expenses
   
459,546
     
203,544
 
Net Investment Income
   
2,733,266
     
460,947
 
                 
REALIZED & UNREALIZED GAIN ON INVESTMENTS
               
Net realized gain (loss) on:
               
Investments in securities
   
8,496,837
     
(2,304,066
)
Net change in unrealized depreciation of:
               
Investments in securities
   
(12,032,347
)
   
(564,385
)
Net realized and unrealized loss on investments
   
(3,535,510
)
   
(2,868,451
)
NET DECREASE IN NET ASSETS
               
  RESULTING FROM OPERATIONS
 
$
(802,244
)
 
$
(2,407,504
)
+
Net of withholding taxes of $0 and $0, respectively.


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

26


 
Absolute Shares Trust
 
Statements of Changes in Net Assets
 


   
WBI BullBear Value 3000 ETF
   
WBI BullBear Yield 3000 ETF
 
   
Year Ended
   
Year Ended
   
Year Ended
   
Year Ended
 
   
June 30, 2022
   
June 30, 2021
   
June 30, 2022
   
June 30, 2021
 
INCREASE (DECREASE) IN NET ASSETS:
                       
OPERATIONS
                       
Net investment income
 
$
453,977
   
$
724,224
   
$
628,989
   
$
875,769
 
Net realized gain (loss) on investments
   
(1,498,281
)
   
8,002,798
     
778,032
     
7,963,136
 
Net change in unrealized appreciation (depreciation)
                               
  of investments
   
(1,540,311
)
   
716,494
     
(1,588,211
)
   
596,299
 
Net increase (decrease) in net assets
                               
  resulting from operations
   
(2,584,615
)
   
9,443,516
     
(181,190
)
   
9,435,204
 
DISTRIBUTIONS TO SHAREHOLDERS
                               
Net distributions to shareholders
   
(686,698
)
   
(581,210
)
   
(890,827
)
   
(827,211
)
Total distributions to shareholders
   
(686,698
)
   
(581,210
)
   
(890,827
)
   
(827,211
)
CAPITAL SHARE TRANSACTIONS
                               
Net increase (decrease) in net assets
                               
  from capital share transactions
   
(7,823,085
)
   
1,516,665
     
(7,989,090
)
   
(20,377,660
)
Total increase (decrease) in net assets
 
$
(11,094,398
)
 
$
10,378,971
   
$
(9,061,107
)
 
$
(11,769,667
)
NET ASSETS
                               
Beginning of Year
 
$
53,597,103
   
$
43,218,132
   
$
47,477,423
   
$
59,247,090
 
End of Year
 
$
42,502,705
   
$
53,597,103
   
$
38,416,316
   
$
47,477,423
 
                                 
                                 
   
WBI BullBear Quality 3000 ETF
   
WBI BullBear Global Income ETF
 
   
Year Ended
   
Year Ended
   
Year Ended
   
Year Ended
 
   
June 30, 2022
   
June 30, 2021
   
June 30, 2022
   
June 30, 2021
 
INCREASE (DECREASE) IN NET ASSETS:
                               
OPERATIONS
                               
Net investment income
 
$
438,735
   
$
206,816
   
$
1,150,149
   
$
2,058,564
 
Net realized gain (loss) on investments
   
(249,778
)
   
6,968,780
     
(5,318,980
)
   
2,460,324
 
Net change in unrealized appreciation (depreciation)
                               
  of investments
   
(1,954,650
)
   
823,939
     
(1,732,647
)
   
1,210,676
 
Net increase (decrease) in net assets
                               
  resulting from operations
   
(1,765,693
)
   
7,999,535
     
(5,901,478
)
   
5,729,564
 
DISTRIBUTIONS TO SHAREHOLDERS
                               
Net distributions to shareholders
   
(824,798
)
   
(101,423
)
   
(1,151,329
)
   
(2,031,404
)
Total distributions to shareholders
   
(824,798
)
   
(101,423
)
   
(1,151,329
)
   
(2,031,404
)
CAPITAL SHARE TRANSACTIONS
                               
Net decrease in net assets
                               
  from capital share transactions
   
(6,058,735
)
   
(16,625,190
)
   
(7,069,140
)
   
(17,136,175
)
Total decrease in net assets
 
$
(8,649,226
)
 
$
(8,727,078
)
 
$
(14,121,947
)
 
$
(13,438,014
)
NET ASSETS
                               
Beginning of Year
 
$
45,407,094
   
$
54,134,172
   
$
54,833,038
   
$
68,271,053
 
End of Year
 
$
36,757,868
   
$
45,407,094
   
$
40,711,091
   
$
54,833,038
 


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

27


 
Absolute Shares Trust
 
Statements of Changes in Net Assets (concluded)
 


               
WBI BullBear Trend Switch
 
   
WBI Power Factor® High Dividend ETF
   
US 3000 Total Return ETF
 
   
Year Ended
   
Year Ended
   
Year Ended
   
Period Ended
 
   
June 30, 2022
   
June 30, 2021
   
June 30, 2022
   
June 30, 2021
 
INCREASE (DECREASE) IN NET ASSETS:
                       
OPERATIONS
                       
Net investment income
 
$
2,733,266
   
$
2,324,293
   
$
460,947
   
$
895,331
 
Net realized gain (loss) on investments
   
8,496,837
     
10,512,040
     
(2,304,066
)
   
3,090,476
 
Net change in unrealized appreciation (depreciation)
                               
  of investments
   
(12,032,347
)
   
6,832,069
     
(564,385
)
   
2,765,312
 
Net increase (decrease) in net assets
                               
  resulting from operations
   
(802,244
)
   
19,668,402
     
(2,407,504
)
   
6,751,119
 
DISTRIBUTIONS TO SHAREHOLDERS
                               
Net distributions to shareholders
   
(2,666,669
)
   
(2,233,944
)
   
(461,326
)
   
(869,319
)
Total distributions to shareholders
   
(2,666,669
)
   
(2,233,944
)
   
(461,326
)
   
(869,319
)
CAPITAL SHARE TRANSACTIONS
                               
Net increase (decrease) in net assets
                               
  from capital share transactions
   
1,344,496
     
4,820,810
     
(3,071,403
)
   
(12,108,760
)
Total increase (decrease) in net assets
 
$
(2,124,417
)
 
$
22,255,268
   
$
(5,940,233
)
 
$
(6,226,960
)
NET ASSETS
                               
Beginning of Year
 
$
64,457,223
   
$
42,201,952
   
$
29,053,516
   
$
35,280,476
 
End of Year
 
$
62,332,806
   
$
64,457,223
   
$
23,113,283
   
$
29,053,516
 


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

28


 
Absolute Shares Trust
 
Financial Highlights
 

For capital share outstanding throughout each year

   
WBI BullBear Value 3000 ETF
 
   
Year Ended
   
Year Ended
   
Year Ended
   
Year Ended
   
Year Ended
 
   
June 30,
   
June 30,
   
June 30,
   
June 30,
   
June 30,
 
   
2022
   
2021
   
2020
   
2019
   
2018
 
Net Asset Value, Beginning of Year
 
$
31.75
   
$
25.60
   
$
27.19
   
$
28.19
   
$
26.20
 
Income (Loss) from Investment Operations:
                                       
Net investment income1
   
0.29
     
0.49
     
0.07
     
0.32
     
0.18
 
Net gain (loss) on investments (realized and unrealized)2
   
(2.06
)
   
6.05
     
(1.54
)
   
(0.99
)
   
2.00
 
Total from investment operations
   
(1.77
)
   
6.54
     
(1.47
)
   
(0.67
)
   
2.18
 
Less Distributions:
                                       
Distributions from net investment income
   
(0.43
)
   
(0.39
)
   
(0.12
)
   
(0.33
)
   
(0.19
)
Total Distributions
   
(0.43
)
   
(0.39
)
   
(0.12
)
   
(0.33
)
   
(0.19
)
Net asset value, end of year
 
$
29.55
   
$
31.75
   
$
25.60
   
$
27.19
   
$
28.19
 
Market price, end of year
 
$
29.48
   
$
31.77
   
$
25.61
   
$
27.16
   
$
28.17
 
Net Assets Total Return3
   
-5.62
%
   
25.59
%
   
-5.40
%
   
-2.53
%
   
8.40
%
                                         
Supplemental Data:
                                       
Net assets, end of year (000’s)
 
$
42,503
   
$
53,597
   
$
43,218
   
$
50,297
   
$
64,843
 
Ratios to Average Net Assets:
                                       
Expenses before fees (waived)/recouped
   
1.38
%
   
1.36
%
   
1.25
%
   
1.18
%
   
1.05
%
Expenses after fees (waived)/recouped
   
1.25
%
   
1.25
%
   
1.25
%
   
1.18
%
   
1.05
%
Net investment income to average net assets
   
0.94
%
   
1.71
%
   
0.27
%
   
1.11
%
   
0.64
%
Portfolio turnover rate4
   
845
%
   
800
%
   
894
%
   
567
%
   
527
%
                                         
                                         
   
WBI BullBear Yield 3000 ETF
 
   
Year Ended
   
Year Ended
   
Year Ended
   
Year Ended
   
Year Ended
 
   
June 30,
   
June 30,
   
June 30,
   
June 30,
   
June 30,
 
   
2022
   
2021
   
2020
   
2019
   
2018
 
Net Asset Value, Beginning of Year
 
$
26.67
   
$
22.53
   
$
24.02
   
$
25.87
   
$
22.89
 
Income (Loss) from Investment Operations:
                                       
Net investment income1
   
0.39
     
0.41
     
0.21
     
0.51
     
0.25
 
Net gain (loss) on investments (realized and unrealized)2
   
(0.57
)
   
4.13
     
(1.46
)
   
(1.84
)
   
2.98
 
Total from investment operations
   
(0.18
)
   
4.54
     
(1.25
)
   
(1.33
)
   
3.23
 
Less Distributions:
                                       
Distributions from net investment income
   
(0.54
)
   
(0.40
)
   
(0.21
)
   
(0.52
)
   
(0.25
)
Tax return of capital to shareholders
   
     
     
(0.03
)
   
     
 
Total Distributions
   
(0.54
)
   
(0.40
)
   
(0.24
)
   
(0.52
)
   
(0.25
)
Net asset value, end of year
 
$
25.95
   
$
26.67
   
$
22.53
   
$
24.02
   
$
25.87
 
Market price, end of year
 
$
25.92
   
$
26.68
   
$
22.52
   
$
23.96
   
$
25.83
 
Net Assets Total Return3
   
-0.73
%
   
20.36
%
   
-5.22
%
   
-5.22
%
   
14.14
%
                                         
Supplemental Data:
                                       
Net assets, end of year (000’s)
 
$
38,416
   
$
47,477
   
$
59,247
   
$
74,472
   
$
82,779