Table of Contents

 

Performance Overview  
RiverFront Dynamic Core Income ETF 1
RiverFront Dynamic US Dividend Advantage ETF 3
RiverFront Dynamic US Flex-Cap ETF 5
RiverFront Strategic Income Fund 7
Disclosure of Fund Expenses 9
Financial Statements  
Schedule of Investments  
RiverFront Dynamic Core Income ETF 10
RiverFront Dynamic US Dividend Advantage ETF 13
RiverFront Dynamic US Flex-Cap ETF 15
RiverFront Strategic Income Fund 17
Statement of Assets and Liabilities 20
Statement of Operations 21
Statements of Changes in Net Assets  
RiverFront Dynamic Core Income ETF 22
RiverFront Dynamic US Dividend Advantage ETF 23
RiverFront Dynamic US Flex-Cap ETF 24
RiverFront Strategic Income Fund 25
Financial Highlights 26
Notes to Financial Statements 30
Additional Information 38
Liquidity Risk Management Program 39

 

alpsfunds.com

     

 

RiverFront Dynamic Core Income ETF

 

Performance Overview May 31, 2022 (Unaudited)

 

Investment Objective

RiverFront Dynamic Core Income ETF (the “Fund” or "RFCI") seeks total return, with an emphasis on income as the source of that total return. The Fund seeks to achieve its investment objective by investing in a global portfolio of fixed income securities of various maturities, ratings and currency denominations.

 

Performance (as of May 31, 2022)

 

  6 Months 1 Year 5 Year Since Inception^
RiverFront Dynamic Core Income ETF – NAV -6.91% -6.25% 1.18% 1.08%
RiverFront Dynamic Core Income ETF – Market Price* -6.83% -6.14% 1.14% 1.09%
Bloomberg U.S. Aggregate Bond Total Return Index -9.15% -8.22% 1.18% 1.07%

 

Total Expense Ratio (per the current prospectus) is 0.51%.

 

Performance data quoted represents past performance. Past performance does not guarantee future results. Total return figures assume reinvestment of dividends and capital gains distributions, if any. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than the original cost. Current performance data may be higher or lower than actual data quoted. For the most current month-end performance data please visit www.alpsfunds.com or call 1.866.759.5679.

 

NAV is an exchange-traded fund’s per-share value. The per-share dollar amount of the fund is derived by dividing the total value of all the securities in its portfolio, less any liabilities, by the number of fund shares outstanding. Market Price is the price at which a share can currently be traded in the market. Information detailing the number of days the Market Price of the Fund was greater than the Fund’s NAV and the number of days it was less than the Fund’s NAV can be obtained at www.alpsfunds.com.

 

^ The Fund commenced operations on June 14, 2016.

 

* Market Price means the official closing price of a share or, if it more accurately reflects the market value of a share at the time as of which the Fund calculates current net asset value per share, the price that is the midpoint of the bid-ask spread as of that time. It does not represent the returns an investor would receive if shares were traded at other times.

 

Bloomberg U.S. Aggregate Bond Total Return Index is a broad-based benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS, and CMBS (agency and non-agency). The index is reported on a total return basis, which assumes reinvestment of any dividends and distributions realized during a given time period. The index is not actively managed and does not reflect any deductions for fees, expenses or taxes. One cannot invest directly in an index. Index performance does not reflect fund performance.

 

The RiverFront Dynamic Core Income ETF is not suitable for all investors. Investments in the Fund are subject to investment risks, including possible loss of the principal amount invested.

 

The Fund’s shares are not individually redeemable. Investors buy and sell shares of the Fund on a secondary market. Only market makers or “authorized participants” may trade directly with the Fund, typically in blocks of 25,000 shares.

 

ALPS Portfolio Solutions Distributor, Inc., a FINRA member, is the Distributor for the RiverFront Dynamic Core Income ETF.

 

1 | May 31, 2022

     

 

RiverFront Dynamic Core Income ETF

 

Performance Overview May 31, 2022 (Unaudited)

 

Top 10 Holdings*^ (as of May 31, 2022)

 

United States Treasury Bond     6.28 %
United States Treasury Note     3.18 %
Iron Mountain, Inc.     2.03 %
Dollar Tree, Inc.     1.97 %
Ball Corp.     1.97 %
Marathon Oil Corp.     1.96 %
Boeing Co.     1.95 %
Sabine Pass Liquefaction LLC     1.95 %
Citigroup, Inc.     1.94 %
HSBC Holdings PLC     1.94 %
Total % of Top 10 Holdings     25.17 %

 

* % of Total Investments.
^ Excludes Money Market Fund

 

Future holdings are subject to change.

Asset Allocation* (as of May 31, 2022)

 

 

 

Growth of $10,000 (as of May 31, 2022)

 

Comparison of Change in Value of $10,000 Investment in the Fund and the Fund’s benchmark

 

 

The chart above compares historical performance of a hypothetical investment of $10,000 in the Fund since inception with the performance of the Fund’s benchmark index. Results include the reinvestment of all dividends and capital gains distributions. Past performance does not guarantee future results. The graph does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

2 | May 31, 2022

     

 

RiverFront Dynamic US Dividend Advantage ETF

 

Performance Overview May 31, 2022 (Unaudited)

 

Investment Objective

RiverFront Dynamic US Dividend Advantage ETF (the “Fund” or "RFDA") seeks to provide capital appreciation and dividend income. Under normal market conditions, the Fund seeks to achieve its investment objective by investing at least 65% of its net assets in a portfolio of equity securities of publicly traded U.S. companies with the potential for dividend income. Equity securities include common stocks and common or preferred shares of real estate investment trusts (“REITs”).

 

Performance (as of May 31, 2022)

 

  6 Months 1 Year 5 Year Since Inception^
RiverFront Dynamic US Dividend Advantage ETF – NAV 6.39% 12.71% 13.03% 13.27%
RiverFront Dynamic US Dividend Advantage ETF – Market Price* 6.27% 12.64% 13.02% 13.26%
S&P 500® Total Return Index -8.85% -0.30% 13.38% 13.98%

 

Total Expense Ratio (per the current prospectus) is 0.52%.

 

Performance data quoted represents past performance. Past performance does not guarantee future results. Total return figures assume reinvestment of dividends and capital gains distributions, if any. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than the original cost. Current performance data may be higher or lower than actual data quoted. For the most current month-end performance data please visit www.alpsfunds.com or call 1.866.759.5679.

 

NAV is an exchange-traded fund’s per-share value. The per-share dollar amount of the fund is derived by dividing the total value of all the securities in its portfolio, less any liabilities, by the number of fund shares outstanding. Market Price is the price at which a share can currently be traded in the market. Information detailing the number of days the Market Price of the Fund was greater than the Fund’s NAV and the number of days it was less than the Fund’s NAV can be obtained at www.alpsfunds.com.

 

^ The Fund commenced operations on June 7, 2016.

 

* Market Price means the official closing price of a share or, if it more accurately reflects the market value of a share at the time as of which the Fund calculates current net asset value per share, the price that is the midpoint of the bid-ask spread as of that time. It does not represent the returns an investor would receive if shares were traded at other times.

 

S&P 500® Total Return Index is the Standard & Poor’s composite index of 500 stocks, a widely recognized, unmanaged index of common stock prices. The index is reported on a total return basis, which assumes reinvestment of any dividends and distributions realized during a given time period. The index is not actively managed and does not reflect any deductions for fees, expenses or taxes. One cannot invest directly in an index. Index performance does not reflect fund performance.

 

The RiverFront Dynamic US Dividend Advantage ETF is not suitable for all investors. Investments in the Fund are subject to investment risks, including possible loss of the principal amount invested.

 

The Fund’s shares are not individually redeemable. Investors buy and sell shares of the Fund on a secondary market. Only market makers or “authorized participants” may trade directly with the Fund, typically in blocks of 25,000 shares.

 

ALPS Portfolio Solutions Distributor, Inc., a FINRA member, is the Distributor for the RiverFront Dynamic US Dividend Advantage ETF.

 

3 | May 31, 2022

     

 

RiverFront Dynamic US Dividend Advantage ETF

 

Performance Overview May 31, 2022 (Unaudited)

 

Top 10 Holdings* (as of May 31, 2022)

 

Exxon Mobil Corp.     5.12 %
AbbVie, Inc.     4.29 %
Bristol-Myers Squibb Co.     3.57 %
Altria Group, Inc.     3.49 %
Merck & Co., Inc.     3.45 %
Coca-Cola Co.     3.40 %
International Business Machines Corp.     3.38 %
Southwest Gas Holdings, Inc.     3.07 %
Microsoft Corp.     2.94 %
Duke Energy Corp.     2.89 %
Total % of Top 10 Holdings     35.60 %

 

* % of Total Investments (excluding investments purchased with collateral from securities loaned)

Asset Allocation* (as of May 31, 2022)

 

 

 

Future holdings are subject to change.

 

Growth of $10,000 (as of May 31, 2022)

Comparison of Change in Value of $10,000 Investment in the Fund and the Fund’s benchmark

 

 

 

The chart above compares historical performance of a hypothetical investment of $10,000 in the Fund since inception with the performance of the Fund’s benchmark index. Results include the reinvestment of all dividends and capital gains distributions. Past performance does not guarantee future results. The graph does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

4 | May 31, 2022

     

 

RiverFront Dynamic US Flex-Cap ETF

 

Performance Overview May 31, 2022 (Unaudited)

 

Investment Objective

RiverFront Dynamic US Flex-Cap ETF (the “Fund” or "RFFC") seeks to provide capital appreciation. Under normal market conditions, the Fund seeks to achieve its investment objective by investing at least 65% of its net assets in a portfolio of equity securities of publicly traded U.S. companies. Equity securities include common stocks and common or preferred shares of real estate investment trusts (“REITs”).

 

Performance (as of May 31, 2022)

 

  6 Months 1 Year 5 Year Since Inception^
RiverFront Dynamic US Flex-Cap ETF – NAV -4.73% 1.30% 9.77% 10.95%
RiverFront Dynamic US Flex-Cap ETF – Market Price* -4.75% 1.26% 9.75% 10.94%
S&P Composite 1500® Total Return Index -8.68% -0.91% 13.04% 13.68%

 

Total Expense Ratio (per the current prospectus) is 0.52%.

 

Performance data quoted represents past performance. Past performance does not guarantee future results. Total return figures assume reinvestment of dividends and capital gains distributions, if any. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than the original cost. Current performance data may be higher or lower than actual data quoted. For the most current month-end performance data please visit www.alpsfunds.com or call 1.866.759.5679.

 

NAV is an exchange-traded fund’s per-share value. The per-share dollar amount of the fund is derived by dividing the total value of all the securities in its portfolio, less any liabilities, by the number of fund shares outstanding. Market Price is the price at which a share can currently be traded in the market. Information detailing the number of days the Market Price of the Fund was greater than the Fund’s NAV and the number of days it was less than the Fund’s NAV can be obtained at www.alpsfunds.com.

 

^ The Fund commenced operations on June 7, 2016.

 

* Market Price means the official closing price of a share or, if it more accurately reflects the market value of a share at the time as of which the Fund calculates current net asset value per share, the price that is the midpoint of the bid-ask spread as of that time. It does not represent the returns an investor would receive if shares were traded at other times.

 

S&P Composite 1500® Total Return Index is the Standard & Poor’s broad-based unmanaged capitalization-weighted index comprising 1,500 stocks of Large-cap, Mid-cap, and Small-cap U.S. companies. The index is reported on a total return basis, which assumes reinvestment of any dividends and distributions realized during a given time period. The index is not actively managed and does not reflect any deductions for fees, expenses or taxes. One cannot invest directly in an index. Index performance does not reflect fund performance.

 

The RiverFront Dynamic US Flex-Cap ETF is not suitable for all investors. Investments in the Fund are subject to investment risks, including possible loss of the principal amount invested.

 

The Fund’s shares are not individually redeemable. Investors buy and sell shares of the Fund on a secondary market. Only market makers or “authorized participants” may trade directly with the Fund, typically in blocks of 25,000 shares.

 

ALPS Portfolio Solutions Distributor, Inc., a FINRA member, is the Distributor for the RiverFront Dynamic US Flex-Cap ETF.

 

5 | May 31, 2022

     

 

RiverFront Dynamic US Flex-Cap ETF

 

Performance Overview May 31, 2022 (Unaudited)

 

Top 10 Holdings* (as of May 31, 2022)

 

Apple, Inc.     5.76 %
Microsoft Corp.     4.77 %
Amazon.com, Inc.     2.95 %
UnitedHealth Group, Inc.     1.85 %
Exxon Mobil Corp.     1.75 %
Berkshire Hathaway, Inc.     1.65 %
Johnson & Johnson     1.63 %
Pfizer, Inc.     1.57 %
Visa, Inc.     1.52 %
Mastercard, Inc.     1.45 %
Total % of Top 10 Holdings     24.90 %

 

* % of Total Investments (excluding investments purchased with collateral from securities loaned)

 

Asset Allocation* (as of May 31, 2022)

 

 

 

Future holdings are subject to change.

 

Growth of $10,000 (as of May 31, 2022)

Comparison of Change in Value of $10,000 Investment in the Fund and the Fund’s benchmark

 

 

 

The chart above compares historical performance of a hypothetical investment of $10,000 in the Fund since inception with the performance of the Fund’s benchmark index. Results include the reinvestment of all dividends and capital gains distributions. Past performance does not guarantee future results. The graph does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

6 | May 31, 2022

     

 

RiverFront Strategic Income Fund

 

Performance Overview May 31, 2022 (Unaudited)

 

Investment Objective

The RiverFront Strategic Income Fund (the “Fund” or "RIGS") seeks total return, with an emphasis on income as the source of that total return. The Fund seeks to achieve its investment objective by investing in a global portfolio of fixed income securities of various maturities, ratings and currency denominations. The Fund utilizes various investment strategies in a broad array of fixed income sectors.

 

Performance (as of May 31, 2022)

 

  6 Months 1 Year 5 Year Since Inception^
RiverFront Strategic Income Fund – NAV -3.74% -3.48% 1.95% 3.16%
RiverFront Strategic Income Fund – Market Price* -3.66% -3.44% 1.90% 3.16%
Bloomberg U.S. Aggregate Bond Total Return Index -9.15% -8.22% 1.18% 1.99%

 

Total Expense Ratio (per the current prospectus) is 0.46%. The Fund’s management fees consist of a fee of 0.11% paid to the Fund’s investment adviser and a fee of 0.35% paid to the Fund’s sub-adviser. Performance data quoted represents past performance. Past performance does not guarantee future results. Total return figures assume reinvestment of dividends and capital gains distributions, if any. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than the original cost. Current performance data may be higher or lower than actual data quoted. For most current month-end performance data please visit www.alpsfunds.com or call 1.866.759.5679.

 

NAV is an exchange-traded fund’s per-share value. The per-share dollar amount of the Fund is derived by dividing the total value of all the securities in its portfolio, less any liabilities, by the number of Fund shares outstanding. Market Price is the price at which a share can currently be traded in the market. Information detailing the number of days the Market Price of the Fund was greater than the Fund’s NAV and the number of days it was less than the Fund’s NAV can be obtained at www.alpsfunds.com.

 

^ The Fund commenced Investment Operations on October 8, 2013.

 

* Market Price means the official closing price of a share or, if it more accurately reflects the market value of a share at the time as of which the Fund calculates current net asset value per share, the price that is the midpoint of the bid-ask spread as of that time. It does not represent the returns an investor would receive if shares were traded at other times.

 

Duration is a measure of the sensitivity of the price (the value of principal) of a fixed-income investment to a change in interest rates. Duration is expressed as a number of years. The duration number is a calculation involving present value, yield, coupon, final maturity and call features. The bigger the duration number, the greater the interest-rate risk or reward for bond prices. Rising interest rates mean falling bond prices, while declining interest rates mean rising bond prices.

 

Bloomberg U.S. Aggregate Bond Total Return Index is a broad-based benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS, and CMBS (agency and non-agency). The index is reported on a total return basis, which assumes reinvestment of any dividends and distributions realized during a given time period. The index is not actively managed and does not reflect any deductions for fees, expenses or taxes. One cannot invest directly in an index. Index performance does not reflect fund performance.

 

The RiverFront Strategic Income Fund is not suitable for all investors. Investments in the Fund are subject to investment risks, including possible loss of the principal amount invested.

 

The Fund's shares are not individually redeemable. Investors buy and sell shares of the fund on a secondary market. Only market makers or "authorized participants" may trade directly with the Fund, typically in blocks of 25,000 shares.

 

ALPS Portfolio Solutions Distributor, Inc., a FINRA member, is the distributor for the RiverFront Strategic Income Fund.

 

7 | May 31, 2022

     

 

RiverFront Strategic Income Fund

 

Performance Overview May 31, 2022 (Unaudited)

 

Top 10 Holdings*^ (as of May 31, 2022)

 

U.S. Treasury Note     3.72 %
T-Mobile USA, Inc.     1.32 %
DR Horton, Inc.     1.24 %
Vistra Operations Co. LLC     1.20 %
PulteGroup, Inc.     1.20 %
Goldman Sachs Group, Inc.     1.19 %
Bank of America Corp.     1.19 %
JPMorgan Chase & Co.     1.18 %
Citigroup, Inc.     1.18 %
WESCO Distribution, Inc.     1.11 %
Total % of Top 10 Holdings     14.53 %

 

* % of Total Investments.
^ Excludes Money Market

 

Fund Future holdings are subject to change.

Asset Allocation* (as of May 31, 2022)

 

 

 

Growth of $10,000 (as of May 31, 2022)

Comparison of Change in Value of $10,000 Investment in the Fund and the Fund’s benchmark

 

 

The chart above compares historical performance of a hypothetical investment of $10,000 in the Fund since inception with the performance of the Fund’s benchmark index. Results include the reinvestment of all dividends and capital gains distributions. Past performance does not guarantee future results. The graph does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

8 | May 31, 2022

     

 

RiverFront ETFs

 

Disclosure of Fund Expenses May 31, 2022 (Unaudited)

 

Shareholder Expense Example: As a shareholder of a Fund, you incur certain ongoing costs, including management fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other funds. It is based on an investment of $1,000 invested at the beginning of the six month period and held through May 31, 2022.

 

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

 

Hypothetical 5% Return: The second line of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

The expenses shown in the table are meant to highlight ongoing Fund costs only and do not reflect any transaction costs, such as brokerage commissions and other fees to financial intermediaries. Therefore, the second line is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these costs were included, your costs would have been higher.

 

    Beginning Account Value 12/1/21     Ending Account Value 5/31/22     Expense Ratio(a)     Expenses Paid During Period 12/1/21 - 5/31/22(b)  
RiverFront Dynamic Core Income ETF                        
Actual   $ 1,000.00     $ 930.90       0.51 %   $ 2.46  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,022.39       0.51 %   $ 2.57  
RiverFront Dynamic US Dividend Advantage ETF                                
Actual   $ 1,000.00     $ 1,063.90       0.52 %   $ 2.68  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,022.34       0.52 %   $ 2.62  
RiverFront Dynamic US Flex-Cap ETF                                
Actual   $ 1,000.00     $ 952.70       0.52 %   $ 2.53  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,022.34       0.52 %   $ 2.62  
RiverFront Strategic Income Fund                                
Actual   $ 1,000.00     $ 962.60       0.46 %   $ 2.25  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,022.64       0.46 %   $ 2.32  

 

(a) Annualized, based on the Fund's most recent fiscal half year expenses.
(b) Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half year (182), divided by 365.

 

9 | May 31, 2022

     

 

RiverFront Dynamic Core Income ETF

 

Schedule of Investments May 31, 2022 (Unaudited)

 

Security Description   Principal Amount     Value  
CORPORATE BONDS (67.69%)            
Communications (8.33%)            
AT&T, Inc.            
2.55%, 12/01/2033   $ 1,449,000     $ 1,234,870  
Charter Communications                
Operating LLC / Charter
Communications
Operating Capital
               
4.91%, 07/23/2025     789,000       806,660  
Comcast Corp.                
4.15%, 10/15/2028     783,000       802,683  
Discovery Communications LLC                
3.95%, 03/20/2028     1,466,000       1,415,624  
Sirius XM Radio, Inc.                
3.13%, 09/01/2026(a)     894,000       845,192  
Verizon Communications, Inc.                
2.36%, 03/15/2032(a)     725,000       622,267  
Walt Disney Co.                
2.00%, 09/01/2029     894,000       789,839  
Total Communications             6,517,135  
                 
Consumer Discretionary (5.09%)                
Alibaba Group Holding, Ltd.                
3.60%, 11/28/2024     173,000       172,942  
3.40%, 12/06/2027     147,000       141,870  
Amazon.com, Inc.                
3.15%, 08/22/2027     299,000       296,255  
CoreCivic, Inc.                
4.63%, 05/01/2023     155,000       155,071  
Ford Motor Co.                
9.63%, 04/22/2030     1,129,000       1,372,225  
General Motors Financial Co., Inc.                
3.70%, 05/09/2023     250,000       251,355  
3.60%, 06/21/2030     778,000       699,372  
Goodyear Tire & Rubber Co.                
4.88%, 03/15/2027     789,000       758,860  
Marriott International, Inc.                
4.00%, 04/15/2028(b)     135,000       131,398  
Total Consumer Discretionary             3,979,348  
                 
Consumer Staples (3.13%)                
Anheuser-Busch InBev                
Worldwide, Inc.                
4.00%, 04/13/2028     908,000       916,955  
Dollar Tree, Inc.                
4.00%, 05/15/2025     1,520,000       1,534,003  
Total Consumer Staples             2,450,958  
                 
Energy (8.45%)                
Chevron Corp.                
2.90%, 03/03/2024     250,000       250,972  
Continental Resources, Inc.                
3.80%, 06/01/2024     147,000       148,072  
Enterprise Products Operating LLC                
3.35%, 03/15/2023     250,000       251,033  
Energy (continued)            
Exxon Mobil Corp.            
3.04%, 03/01/2026   345,000     343,489  
Hess Midstream Operations LP                
4.25%, 02/15/2030(a)     789,000       725,174  
Kinder Morgan Energy Partners LP                
4.25%, 09/01/2024     147,000       148,929  
Marathon Oil Corp.                
4.40%, 07/15/2027     1,516,000       1,525,234  
ONEOK Partners LP                
3.38%, 10/01/2022     250,000       250,211  
Ovintiv Exploration, Inc.                
5.63%, 07/01/2024     147,000       154,743  
Sabine Pass Liquefaction LLC                
5.75%, 05/15/2024     1,466,000       1,515,430  
Schlumberger Investment SA                
3.65%, 12/01/2023     405,000       410,918  
Shell International Finance BV                
2.75%, 04/06/2030     789,000       731,852  
Williams Cos., Inc.                
3.90%, 01/15/2025     156,000       156,386  
Total Energy             6,612,443  
                 
Financials (27.06%)                
Aflac, Inc.                
3.63%, 11/15/2024     173,000       175,468  
Bank of America Corp.                
4.25%, 10/22/2026     1,197,000       1,211,352  
Berkshire Hathaway, Inc.                
3.13%, 03/15/2026     250,000       249,886  
Blackstone Private Credit Fund                
3.25%, 03/15/2027(a)     847,000       749,599  
Chubb INA Holdings, Inc.                
3.35%, 05/03/2026     239,000       238,120  
Citigroup, Inc.                
3M US L + 1.43%,                
09/01/2023(c)     250,000       250,320  
4.45%, 09/29/2027     1,502,000       1,508,815  
6.63%, 06/15/2032     503,000       573,044  
Credit Suisse Group AG                
4.55%, 04/17/2026     222,000       222,069  
CubeSmart LP                
2.25%, 12/15/2028     1,643,000       1,446,109  
Discover Bank                
4.65%, 09/13/2028     135,000       134,450  
FS KKR Capital Corp.                
4.25%, 02/14/2025(a)     1,567,000       1,507,363  
Goldman Sachs Group, Inc.                
3M US L + 0.75%,                
02/23/2023(c)     405,000       404,365  
3M US L + 1.60%,                
11/29/2023(c)     250,000       252,428  
5.95%, 01/15/2027     678,000       726,797  
Host Hotels & Resorts LP                
4.00%, 06/15/2025     1,078,000       1,068,184  

 

See Notes to Financial Statements.

 

10 | May 31, 2022

     

 

RiverFront Dynamic Core Income ETF

 

Schedule of Investments May 31, 2022 (Unaudited)

 

Security Description   Principal Amount     Value  
Financials (continued)            
HSBC Holdings PLC            
4.30%, 03/08/2026   $ 135,000     $ 136,516  
3.90%, 05/25/2026     173,000       171,151  
4.38%, 11/23/2026     1,502,000       1,507,519  
Iron Mountain, Inc.                
4.88%, 09/15/2027(a)     1,602,000       1,580,653  
JPMorgan Chase & Co.                
3M US L + 1.23%,                
10/24/2023(c)     559,000       560,394  
4.25%, 10/01/2027     939,000       944,899  
Lincoln National Corp.                
3.35%, 03/09/2025     173,000       172,059  
M&T Bank Corp.                
3M US L + 0.68%,                
07/26/2023(c)     250,000       250,435  
MetLife, Inc.                
3.60%, 04/10/2024     241,000       244,049  
Mitsubishi UFJ Financial Group,                
Inc.                
3.85%, 03/01/2026     173,000       172,430  
Mizuho Financial Group, Inc.                
3M US L + 1.00%,                
09/11/2024(c)     496,000       498,678  
Morgan Stanley                
3M US L + 1.40%,                
10/24/2023(c)     496,000       497,451  
5.00%, 11/24/2025     291,000       301,587  
3.63%, 01/20/2027     384,000       380,361  
NatWest Markets PLC                
3.48%, 03/22/2025(a)     920,000       913,497  
PNC Financial Services Group, Inc.                
3.15%, 05/19/2027     173,000       168,909  
3.45%, 04/23/2029     778,000       748,899  
Truist Bank                
3.30%, 05/15/2026     173,000       170,285  
Wells Fargo & Co.                
3.00%, 04/22/2026     1,075,000       1,043,536  
Total Financials             21,181,677  
                 
Health Care (5.96%)                
AbbVie, Inc.                
3.20%, 11/21/2029     789,000       743,174  
Bausch Health Cos., Inc.                
6.13%, 02/01/2027(a)     1,615,000       1,476,110  
Cigna Corp.                
3.00%, 07/15/2023     240,000       240,577  
CVS Health Corp.                
4.30%, 03/25/2028     289,000       293,121  
HCA, Inc.                
5.38%, 09/01/2026     789,000       822,556  
Johnson & Johnson                
2.45%, 03/01/2026     250,000       245,705  
Merck & Co., Inc.                
2.80%, 05/18/2023     481,000       483,049  
Pfizer, Inc.                
3.20%, 09/15/2023     184,000       185,791  
Health Care (continued)            
UnitedHealth Group, Inc.            
3.75%, 07/15/2025   173,000     176,293  
Total Health Care             4,666,376  
                 
Industrials (2.86%)                
3M Co.                
3.25%, 02/14/2024     405,000       408,886  
Boeing Co.                
4.88%, 05/01/2025     1,500,000       1,516,685  
CNH Industrial NV                
4.50%, 08/15/2023     173,000       175,518  
Textron, Inc.                
3.65%, 03/15/2027     135,000       133,212  
Total Industrials             2,234,301  
                 
Materials (3.32%)                
Ball Corp.                
4.00%, 11/15/2023     1,527,000       1,532,726  
DuPont de Nemours, Inc.                
4.73%, 11/15/2028     789,000       818,685  
Glencore Funding LLC                
3.00%, 10/27/2022(a)     250,000       249,914  
Total Materials             2,601,325  
                 
Technology (3.00%)                
Apple, Inc.                
3.20%, 05/11/2027     789,000       789,908  
Flex, Ltd.                
5.00%, 02/15/2023     173,000       175,147  
Microsoft Corp.                
3.30%, 02/06/2027     671,000       679,970  
Oracle Corp.                
3.25%, 11/15/2027     754,000       706,231  
Total Technology             2,351,256  
                 
Utilities (0.49%)                
Dominion Energy, Inc.                
4.25%, 06/01/2028     135,000       136,152  
Southern Co.                
2.95%, 07/01/2023     250,000       250,457  
Total Utilities             386,609  
                 
TOTAL CORPORATE BONDS                
(Cost $57,049,024)             52,981,428  
                 
GOVERNMENT BONDS (11.74%)                
United States Treasury Bond                
2.75%, 02/15/2028     4,917,000       4,888,764  
United States Treasury Inflation                
Indexed Bonds                
2.13%, 02/15/2040(d)     273,634       343,030  

 

See Notes to Financial Statements.

 

11 | May 31, 2022

     

 

RiverFront Dynamic Core Income ETF

 

Schedule of Investments May 31, 2022 (Unaudited)

 

Security Description   Principal Amount     Value  
Government Bonds (continued)            
United States Treasury Note            
2.88%, 10/31/2023   $ 1,470,000 $     1,482,203  
3.00%, 10/31/2025     2,454,000       2,472,789  
TOTAL GOVERNMENT BONDS                
(Cost $9,447,357)             9,186,786  

 

    7 Day Yield     Shares     Value  
SHORT TERM INVESTMENTS (19.98%)                  
Money Market Fund                  
State Street Institutional                  
Treasury Plus Money                  
Market Fund     0.75 %     15,637,713       15,637,713  
                         
TOTAL SHORT TERM INVESTMENTS                        
(Cost $15,637,713)                     15,637,713  
                         
TOTAL INVESTMENTS (99.41%)                        
(Cost $82,134,094)                   $ 77,805,927  
OTHER ASSETS IN EXCESS OF LIABILITIES (0.59%)                     463,549  
NET ASSETS - 100.00%                   $ 78,269,476  

 

Investment Abbreviations:

LIBOR - London Interbank Offered Rate

 

Reference Rates:

3M US L - 3 Month LIBOR as of May 31, 2022 was 0.97%

 

(a) Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. At period end, the aggregate market value of those securities was $8,669,769, representing 11.08% of net assets.
(b) Securities were purchased pursuant to Regulation S under the Securities Act of 1933, which exempts securities offered and sold outside of the United States from registration. Such securities cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. As of May 31, 2022, the market value of those securities was $131,398 representing 0.17% of net assets.
(c) Floating or variable rate security. The reference rate is described above. The rate in effect as of May 31, 2022 is based on the reference rate plus the displayed spread as of the security's last reset date.
(d) Principal amount of security is adjusted for inflation.

 

See Notes to Financial Statements.

 

12 | May 31, 2022

     

 

RiverFront Dynamic US Dividend Advantage ETF

 

Schedule of Investments May 31, 2022 (Unaudited)

 

Security Description   Shares     Value  
COMMON STOCKS (99.62%)            
Communication Services (2.92%)            
AT&T, Inc.     46,648     $ 993,136  
Meta Platforms, Inc., Class A(a)     1,460       282,714  
Sirius XM Holdings, Inc.(b)     129,684       829,978  
Verizon Communications, Inc.     23,232       1,191,569  
Total Communication Services             3,297,397  
                 
Consumer Staples (10.69%)                
Altria Group, Inc.     72,755       3,935,318  
Coca-Cola Co.     60,543       3,837,215  
Colgate-Palmolive Co.     18,037       1,421,496  
Mondelez International, Inc., Class A     26,247       1,668,259  
Philip Morris International, Inc.     4,395       466,969  
Vector Group, Ltd.     61,392       755,736  
Total Consumer Staples             12,084,993  
                 
Energy (6.48%)                
Exxon Mobil Corp.     60,118       5,771,328  
Kinder Morgan, Inc.     78,923       1,553,994  
Total Energy             7,325,322  
                 
Financials (22.17%)                
AllianceBernstein Holding LP     33,562       1,427,727  
Annaly Capital Management, Inc.     133,648       883,413  
Artisan Partners Asset Management, Inc., Class A     16,523       634,648  
Bank of America Corp.     32,504       1,209,149  
Central Pacific Financial Corp.     87,401       2,109,860  
Dynex Capital, Inc.(b)     39,365       641,650  
Ellington Financial, Inc.(b)     63,932       990,307  
FNB Corp.     55,275       671,591  
Franklin BSP Realty Trust, Inc.     105,374       1,631,190  
Fulton Financial Corp.     52,417       830,809  
Mercury General Corp.     10,000       489,500  
Navient Corp.     34,532       552,512  
New Residential Investment Corp.     153,593       1,735,601  
OneMain Holdings, Inc.     20,948       922,969  
PennyMac Mortgage Investment Trust     60,232       974,554  
Ready Capital Corp.     68,617       1,007,298  
Starwood Property Trust, Inc.     28,387       678,165  
Truist Financial Corp.     53,904       2,681,185  
Trustmark Corp.     21,309       619,879  
US Bancorp     52,310       2,776,092  
UWM Holdings Corp.(b)     395,428       1,601,483  
Total Financials             25,069,582  
                 
Health Care (13.11%)                
AbbVie, Inc.     32,841       4,839,778  
Bristol-Myers Squibb Co.     53,414       4,030,086  
Merck & Co., Inc.     42,251       3,888,360  
Health Care (continued)            
Pfizer, Inc.     38,930     2,064,847  
Total Health Care             14,823,071  
                 
Industrials (7.63%)                
3M Co.     11,424       1,705,489  
Fastenal Co.     29,423       1,575,896  
MDU Resources Group, Inc.     93,470       2,559,209  
Northrop Grumman Corp.     2,788       1,304,700  
United Parcel Service, Inc., Class B     8,140       1,483,515  
Total Industrials             8,628,809  
                 
Information Technology (21.26%)                
Apple, Inc.     7,851       1,168,543  
Broadcom, Inc.     4,295       2,491,658  
Cisco Systems, Inc.     60,777       2,738,004  
Hewlett Packard Enterprise Co.     191,951       2,994,436  
Intel Corp.     66,909       2,972,098  
International Business Machines Corp.     27,429       3,808,242  
Microsoft Corp.     12,212       3,320,076  
National Instruments Corp.     13,106       462,904  
Paychex, Inc.     3,102       384,121  
Texas Instruments, Inc.     16,679       2,948,180  
Western Union Co.     41,458       752,048  
Total Information Technology             24,040,310  
                 
Materials (1.26%)                
Newmont Mining Corp.     20,988       1,424,036  
                 
Real Estate (6.13%)                
American Assets Trust, Inc.     20,225       689,673  
Brandywine Realty Trust     44,047       491,124  
Douglas Elliman, Inc.     31,558       181,459  
Douglas Emmett, Inc.     12,882       364,174  
Iron Mountain, Inc.     27,747       1,495,563  
LXP Industrial Trust     34,104       394,242  
National Health Investors, Inc.     7,445       440,372  
Omega Healthcare Investors, Inc.     13,449       400,377  
Paramount Group, Inc.     67,425       610,871  
Piedmont Office Realty Trust, Inc., Class A     58,314       859,548  
Sabra Health Care REIT, Inc.     30,606       429,708  
SITE Centers Corp.     36,171       568,608  
Total Real Estate             6,925,719  
                 
Utilities (7.97%)                
Clearway Energy, Inc., Class C     20,310       711,865  
Duke Energy Corp.     28,973       3,260,042  
Entergy Corp.     6,445       775,462  
PPL Corp.     26,442       798,020  

 

See Notes to Financial Statements.

 

13 | May 31, 2022

     

 

RiverFront Dynamic US Dividend Advantage ETF

 

Schedule of Investments May 31, 2022 (Unaudited)

 

Security Description   Shares     Value  
Utilities (continued)            
Southwest Gas Holdings, Inc.     37,183     $ 3,462,853  
Total Utilities             9,008,242  
                 
TOTAL COMMON STOCKS                
(Cost $98,892,724)             112,627,481  

 

    7 Day Yield     Shares     Value  
SHORT TERM INVESTMENTS (1.27%)                  
Money Market Fund (0.13%)                  
State Street Institutional
Treasury Plus
Money Market Fund
                 
(Cost $149,922)     0.75 %     149,922       149,922  
                         
Investments Purchased with Collateral from Securities Loaned (1.14%)                        
State Street Navigator
 Securities Lending
Government Money Market
Portfolio, 0.80%
                       
(Cost $1,291,293)             1,291,293       1,291,293  
TOTAL SHORT TERM INVESTMENTS                        
(Cost $1,441,215)                     1,441,215  
                         
TOTAL INVESTMENTS (100.89%)                        
(Cost $100,333,939)                   $ 114,068,696  
LIABILITIES IN EXCESS OF OTHER ASSETS (-0.89%)                     (1,011,388 )
NET ASSETS - 100.00%                   $ 113,057,308  

 

(a) Non-income producing security.
(b) Security, or a portion of the security position is currently on loan. The total market value of securities on loan is $2,014,357.

 

See Notes to Financial Statements.

 

14 | May 31, 2022

     

 

RiverFront Dynamic US Flex-Cap ETF

 

Schedule of Investments May 31, 2022 (Unaudited)

 

Security Description   Shares     Value  
COMMON STOCKS (99.82%)            
Communication Services (5.95%)            
Alphabet, Inc., Class A(a)     227     $ 516,479  
Alphabet, Inc., Class C(a)     108       246,324  
Comcast Corp., Class A     5,579       247,038  
EverQuote, Inc.(a)     15,168       135,754  
Interpublic Group of Cos., Inc.     6,482       208,915  
Magnite, Inc.(a)     4,746       52,158  
Meta Platforms, Inc., Class A(a)     2,067       400,254  
New York Times Co., Class A     3,251       112,127  
Sirius XM Holdings, Inc.(b)     34,162       218,637  
Total Communication Services             2,137,686  
                 
Consumer Discretionary (6.30%)                
Adtalem Global Education, Inc.(a)     4,238       138,243  
Amazon.com, Inc.(a)     441       1,060,248  
Choice Hotels International, Inc.     804       102,824  
Clarus Corp.     5,011       109,791  
Home Depot, Inc.     1,299       393,272  
NIKE, Inc., Class B     2,272       270,027  
Tapestry, Inc.     5,464       188,508  
Total Consumer Discretionary             2,262,913  
                 
Consumer Staples (6.55%)                
Archer-Daniels-Midland Co.     3,679       334,127  
Coca-Cola Co.     7,684       487,012  
Colgate-Palmolive Co.     3,353       264,250  
Mondelez International, Inc., Class A     5,183       329,431  
Procter & Gamble Co.     2,429       359,200  
SpartanNash Co.     5,415       186,330  
Sprouts Farmers Market, Inc.(a)     6,008       162,757  
Walgreens Boots Alliance, Inc.     5,253       230,239  
Total Consumer Staples             2,353,346  
                 
Energy (7.32%)                
Aemetis, Inc.(a)(b)     22,714       184,211  
Archrock, Inc.     18,398       184,532  
Coterra Energy, Inc.     8,852       303,889  
Exxon Mobil Corp.     6,529       626,784  
Marathon Oil Corp.     14,041       441,309  
New Fortress Energy, Inc.     7,226       336,659  
Transocean, Ltd.(a)     57,474       236,793  
Williams Cos., Inc.     8,469       313,861  
Total Energy             2,628,038  
                 
Financials (10.94%)                
Arbor Realty Trust, Inc.     7,482       122,854  
Bank of America Corp.     8,398       312,406  
Berkshire Hathaway, Inc., Class B(a)     1,877       593,094  
Central Pacific Financial Corp.     4,977       120,145  
Cincinnati Financial Corp.     1,934       247,281  
First Commonwealth Financial Corp.     9,103       127,533  
Financials (continued)            
Hope Bancorp, Inc.     9,681     141,149  
JPMorgan Chase & Co.     3,664       484,491  
Kearny Financial Corp.     10,414       129,238  
KeyCorp     10,221       204,011  
Markel Corp.(a)     204       279,364  
OceanFirst Financial Corp.     7,110       143,409  
Provident Financial Services, Inc.     5,803       133,411  
Regions Financial Corp.     10,043       221,850  
Travelers Cos., Inc.     1,588       284,316  
US Bancorp     4,820       255,797  
Willis Towers Watson PLC     34       7,176  
WSFS Financial Corp.     2,835       121,281  
Total Financials             3,928,806  
                 
Health Care (15.88%)                
Abbott Laboratories     2,980       350,031  
AbbVie, Inc.     3,395       500,321  
Cigna Corp.     903       242,266  
CVS Health Corp.     3,299       319,178  
Exelixis, Inc.(a)     9,576       175,528  
Johnson & Johnson     3,268       586,704  
Merck & Co., Inc.     4,518       415,792  
Multiplan Corp.(a)     48,812       244,060  
NeoGenomics, Inc.(a)     4,393       36,989  
Pacific Biosciences of California, Inc.(a)(b)     6,390       35,976  
Pfizer, Inc.     10,637       564,187  
Quest Diagnostics, Inc.     1,421       200,389  
Regeneron Pharmaceuticals, Inc.(a)     306       203,410  
Signify Health, Inc.(a)     14,534       198,098  
TransMedics Group, Inc.(a)     10,472       305,468  
UnitedHealth Group, Inc.     1,338       664,692  
Vertex Pharmaceuticals, Inc.(a)     937       251,725  
Zoetis, Inc.     1,733       296,222  
Zynex, Inc.(b)     15,854       115,576  
Total Health Care             5,706,612  
                 
Industrials (8.72%)                
ACCO Brands Corp.     17,090       128,859  
Air Transport Services Group, Inc.(a)     5,260       158,957  
Boise Cascade Co.     3,028       234,125  
BWX Technologies, Inc.     2,469       126,413  
CACI International, Inc., Class A(a)     605       169,624  
Casella Waste Systems, Inc.(a)     2,538       181,670  
Cintas Corp.     558       222,268  
CoreCivic, Inc.(a)     12,906       166,100  
CRA International, Inc.     1,388       118,993  
Gorman-Rupp Co.     3,002       89,430  
Heidrick & Struggles International, Inc.     3,828       132,296  
Matson, Inc.     2,674       240,339  
Oshkosh Corp.     1,447       134,441  
Rush Enterprises, Inc., Class A     2,386       121,638  

 

See Notes to Financial Statements.

 

15 | May 31, 2022

     

 

RiverFront Dynamic US Flex-Cap ETF

 

Schedule of Investments May 31, 2022 (Unaudited)

 

Security Description   Shares     Value  
Industrials (continued)            
Snap-on, Inc.     146     $ 32,394  
Standex International Corp.     1,331       123,916  
Trinity Industries, Inc.     5,805       144,312  
United Parcel Service, Inc., Class B     2,106       383,818  
Univar Solutions, Inc.(a)     7,216       221,676  
Total Industrials             3,131,269  
                 
Information Technology (27.25%)                
Adobe, Inc.(a)     60       24,989  
Advanced Micro Devices, Inc.(a)     3,371       343,370  
Amdocs, Ltd.     2,995       260,236  
Apple, Inc.     13,893       2,067,834  
Block, Inc., Class A(a)     1,539       134,678  
Broadcom, Inc.     752       436,258  
Cisco Systems, Inc.     7,006       315,620  
Cloudflare, Inc., Class A(a)     3,086       172,816  
Crowdstrike Holdings, Inc.(a)     1,422       227,506  
Ebix, Inc.     2,824       82,320  
Enphase Energy, Inc.(a)     868       161,613  
Identiv, Inc.(a)     16,936       216,611  
Knowles Corp.(a)     6,266       120,433  
Mastercard, Inc., Class A     1,450       518,911  
Maximus, Inc.     1,901       123,356  
Methode Electronics, Inc.     3,018       135,961  
Microsoft Corp.     6,291       1,710,334  
NCR Corp.(a)     4,759       165,090  
NortonLifeLock, Inc.     11,904       289,743  
NVIDIA Corp.     1,276       238,255  
Progress Software Corp.     2,810       135,751  
QUALCOMM, Inc.     2,020       289,304  
Salesforce.com, Inc.(a)     1,874       300,290  
SolarEdge Technologies, Inc.(a)     1,174       320,255  
Texas Instruments, Inc.     1,838       324,885  
Visa, Inc., Class A     2,576       546,550  
Xperi Corp.     7,574       124,668  
Total Information Technology             9,787,637  
                 
Materials (5.61%)                
American Vanguard Corp.     9,365       231,128  
FMC Corp.     2,077       254,599  
Glatfelter Corp.     8,077       69,624  
Mosaic Co.     4,929       308,802  
Myers Industries, Inc.     6,829       162,530  
Nucor Corp.     2,062       273,132  
O-I, Inc.(a)     17,204       283,006  
Sealed Air Corp.     308       19,151  
SunCoke Energy, Inc.     21,347       172,697  
United States Steel Corp.     9,594       240,522  
Total Materials             2,015,191  
                 
Real Estate (2.96%)                
Duke Realty Corp.     3,753       198,271  
Highwoods Properties, Inc.     3,349       131,582  
Kilroy Realty Corp.     4,164       252,755  
Kimco Realty Corp.     9,734       230,209  
SL Green Realty Corp.(b)     2,065       127,555  
Real Estate (continued)            
Uniti Group, Inc.     10,917     123,799  
Total Real Estate             1,064,171  
                 
Utilities (2.34%)                
Duke Energy Corp.     1,286       144,701  
National Fuel Gas Co.     2,470       181,619  
OGE Energy Corp.     7,682       317,267  
Southwest Gas Holdings, Inc.     2,134       198,739  
Total Utilities             842,326  
                 
TOTAL COMMON STOCKS                
(Cost $32,854,191)             35,857,995  

 

    7 Day Yield     Shares     Value  
SHORT TERM INVESTMENTS (0.75%)                  
Money Market Fund (0.08%)                  
State Street Institutional
Treasury Plus
Money Market Fund
                       
(Cost $28,156)     0.75 %     28,156       28,156  
                         
Investments Purchased with Collateral                        
from Securities Loaned (0.67%)                        
State Street Navigator
 Securities Lending
Government Money Market
Portfolio, 0.80%
                       
(Cost $241,204)             241,204       241,204  
TOTAL SHORT TERM INVESTMENTS                        
(Cost $269,360)                     269,360  
                         
TOTAL INVESTMENTS (100.57%)                        
(Cost $33,123,551)                   $ 36,127,355  
LIABILITIES IN EXCESS OF OTHER ASSETS (-0.57%)                     (203,745 )
NET ASSETS - 100.00%                   $ 35,923,610  

 

(a) Non-income producing security.
(b) Security, or a portion of the security position is currently on loan. The total market value of securities on loan is $451,149.

 

See Notes to Financial Statements.

 

16 | May 31, 2022

     

 

RiverFront Strategic Income Fund

 

Schedule of Investments May 31, 2022 (Unaudited)

 

Security Description   Principal Amount     Value  
CORPORATE BONDS (78.82%)            
Communications (6.16%)            
AMC Networks, Inc.            
5.00%, 04/01/2024   $ 402,000     $ 401,403  
4.75%, 08/01/2025     482,000       475,669  
CCO Holdings LLC / CCO Holdings                
Capital Corp.                
5.50%, 05/01/2026(a)     553,000       554,844  
CSC Holdings LLC                
5.50%, 04/15/2027(a)     1,030,000       1,032,595  
Level 3 Financing, Inc.                
3.75%, 07/15/2029(a)     1,214,000       1,037,591  
Netflix, Inc.                
4.38%, 11/15/2026     955,000       953,969  
Sirius XM Radio, Inc.                
3.13%, 09/01/2026(a)     1,000,000       945,405  
T-Mobile USA, Inc.                
2.63%, 04/15/2026     1,860,000       1,767,581  
WMG Acquisition Corp.                
3.75%, 12/01/2029(a)     955,000       877,077  
Total Communications             8,046,134  
                 
Consumer Discretionary (14.64%)                
Air Canada                
3.88%, 08/15/2026(a)     1,053,000       982,897  
Aramark Services, Inc.                
6.38%, 05/01/2025(a)     1,053,000       1,072,712  
Caesars Entertainment, Inc.                
6.25%, 07/01/2025(a)     1,246,000       1,262,447  
DR Horton, Inc.                
4.38%, 09/15/2022     1,658,000       1,660,822  
Ford Motor Credit Co. LLC                
2.30%, 02/10/2025     1,423,000       1,328,282  
Goodyear Tire & Rubber Co.                
5.00%, 05/31/2026     1,268,000       1,245,810  
Hilton Domestic Operating Co., Inc.                
3.75%, 05/01/2029(a)     1,155,000       1,059,424  
International Game Technology PLC                
6.50%, 02/15/2025(a)     1,091,000       1,118,242  
Las Vegas Sands Corp.                
3.20%, 08/08/2024     927,000       890,070  
Lennar Corp.                
4.75%, 11/29/2027     1,155,000       1,163,528  
MGM Resorts International                
6.00%, 03/15/2023     1,246,000       1,261,612  
Newell Brands, Inc.                
4.10%, 04/01/2023     382,000       382,065  
4.45%, 04/01/2026     955,000       955,191  
Nissan Motor Co., Ltd.                
3.52%, 09/17/2025(a)     1,155,000       1,117,585  
PulteGroup, Inc.                
5.50%, 03/01/2026     1,538,000       1,608,407  
Royal Caribbean Cruises, Ltd.                
10.88%, 06/01/2023(a)     1,291,000       1,344,292  
Consumer Discretionary (continued)            
Six Flags Entertainment Corp.            
4.88%, 07/31/2024(a)   690,000     678,919  
Total Consumer Discretionary             19,132,305  
                 
Consumer Staples (2.33%)                
Anheuser-Busch InBev                
Worldwide, Inc.                
4.75%, 01/23/2029     1,053,000       1,097,120  
JBS Finance Luxembourg Sarl                
2.50%, 01/15/2027(a)     955,000       855,695  
Spectrum Brands, Inc.                
5.75%, 07/15/2025     30,000       30,067  
US Foods, Inc.                
6.25%, 04/15/2025(a)     1,030,000       1,060,869  
Total Consumer Staples             3,043,751  
                 
Energy (4.37%)                
Cheniere Corpus Christi Holdings LLC                
7.00%, 06/30/2024     1,217,000       1,278,365  
DCP Midstream Operating LP                
5.38%, 07/15/2025     1,000,000       1,025,835  
EQM Midstream Partners LP                
4.75%, 07/15/2023     390,000       397,059  
Petroleos Mexicanos                
4.88%, 01/18/2024     1,020,000       1,018,557  
Reliance Industries, Ltd.                
4.13%, 01/28/2025(a)     945,000       953,674  
Schlumberger Holdings Corp.                
3.90%, 05/17/2028(a)     1,053,000       1,030,765  
Total Energy             5,704,255  
                 
Financials (23.49%)                
Air Lease Corp.                
4.25%, 02/01/2024     963,000       967,587  
Ares Capital Corp.                
3.50%, 02/10/2023     1,158,000       1,161,369  
Avolon Holdings Funding, Ltd.                
2.53%, 11/18/2027(a)     1,085,000       938,458  
Bancolombia SA                
5.13%, 09/11/2022     951,000       953,349  
Bank of America Corp.                
4.25%, 10/22/2026     1,577,000       1,595,909  
Blackstone Secured Lending Fund                
3.63%, 01/15/2026     1,142,000       1,090,156  
Capital One Financial Corp.                
4.20%, 10/29/2025     1,053,000       1,060,488  
Citigroup, Inc.                
4.45%, 09/29/2027     1,577,000       1,584,156  
EPR Properties                
4.75%, 12/15/2026     1,000,000       981,220  
FS KKR Capital Corp.                
3.40%, 01/15/2026     1,155,000       1,080,008  

 

See Notes to Financial Statements.

17 | May 31, 2022

     

 

RiverFront Strategic Income Fund

 

Schedule of Investments May 31, 2022 (Unaudited)

 

Security Description   Principal Amount     Value  
Financials (continued)            
GLP Capital LP / GLP Financing II, Inc.            
3.35%, 09/01/2024   $ 927,000     $ 912,797  
Goldman Sachs Group, Inc.                
4.25%, 10/21/2025     1,577,000       1,599,611  
HAT Holdings I LLC / HAT Holdings II LLC                
3.38%, 06/15/2026(a)     1,074,000       993,772  
Icahn Enterprises LP / Icahn                
Enterprises Finance Corp.                
4.75%, 09/15/2024     1,247,000       1,245,254  
Iron Mountain, Inc.                
4.88%, 09/15/2027(a)     1,104,000       1,089,289  
iStar, Inc.                
4.75%, 10/01/2024     1,299,000       1,295,753  
JPMorgan Chase & Co.                
4.25%, 10/01/2027     1,577,000       1,586,907  
MPT Operating Partnership LP /                
MPT Finance Corp.                
5.25%, 08/01/2026     927,000       930,135  
NatWest Markets PLC                
3.48%, 03/22/2025(a)     960,000       953,214  
Newmark Group, Inc.                
6.13%, 11/15/2023     1,227,000       1,240,454  
Omega Healthcare Investors, Inc.                
4.38%, 08/01/2023     312,000       313,278  
5.25%, 01/15/2026     642,000       651,542  
OneMain Finance Corp.                
6.13%, 03/15/2024     1,246,000       1,277,499  
Park Aerospace Holdings, Ltd.                
5.25%, 08/15/2022(a)     26,000       26,056  
Santander Holdings USA, Inc.                
3.50%, 06/07/2024     478,000       475,943  
SBA Communications Corp.                
3.88%, 02/15/2027     1,475,000       1,446,120  
Starwood Property Trust, Inc.                
4.75%, 03/15/2025     955,000       946,439  
Synchrony Financial                
2.85%, 07/25/2022     985,000       985,354  
VICI Properties LP / VICI Note Co., Inc.                
4.25%, 12/01/2026(a)     1,367,000       1,300,072  
Total Financials             30,682,189  
                 
Health Care (1.12%)                
DaVita, Inc.                
4.63%, 06/01/2030(a)     1,104,000       961,420  
HCA, Inc.                
5.38%, 02/01/2025     482,000       498,658  
Total Health Care             1,460,078  
                 
Industrials (5.13%)                
Boeing Co.                
4.88%, 05/01/2025     1,155,000       1,167,847  
MasTec, Inc.                
4.50%, 08/15/2028(a)     1,069,000       1,020,679  
Industrials (continued)            
Sensata Technologies BV            
5.00%, 10/01/2025(a)   955,000     965,477  
Stericycle, Inc.                
5.38%, 07/15/2024(a)     1,001,000       1,003,267  
TransDigm, Inc.                
6.25%, 03/15/2026(a)     1,030,000       1,054,514  
WESCO Distribution, Inc.                
7.13%, 06/15/2025(a)     1,437,000       1,497,095  
Total Industrials             6,708,879  
                 
Materials (13.01%)                
Alcoa Nederland Holding BV                
4.13%, 03/31/2029(a)     1,291,000       1,232,008  
ArcelorMittal SA                
3.60%, 07/16/2024     1,076,000       1,078,138  
Arconic Corp.                
6.00%, 05/15/2025(a)     1,053,000       1,081,957  
Ardagh Packaging Finance PLC /                
Ardagh Holdings USA, Inc.                
5.25%, 04/30/2025(a)     1,264,000       1,257,029  
Ball Corp.                
5.25%, 07/01/2025     798,000       814,977  
4.88%, 03/15/2026     482,000       488,013  
Berry Global, Inc.                
4.88%, 07/15/2026(a)     1,103,000       1,086,091  
Braskem Finance, Ltd.                
6.45%, 02/03/2024     1,269,000       1,332,139  
Freeport-McMoRan, Inc.                
3.88%, 03/15/2023     1,076,000       1,081,653  
5.00%, 09/01/2027     523,000       529,154  
Graphic Packaging International LLC                
4.88%, 11/15/2022     1,418,000       1,424,526  
Mauser Packaging Solutions Holding Co.                
5.50%, 04/15/2024(a)     416,000       412,275  
Methanex Corp.                
5.13%, 10/15/2027     1,030,000       996,546  
NOVA Chemicals Corp.                
4.88%, 06/01/2024(a)     1,246,000       1,228,699  
Novelis Corp.                
3.25%, 11/15/2026(a)     1,000,000       919,915  
Sasol Financing International, Ltd.                
4.50%, 11/14/2022     555,000       556,138  
Sasol Financing USA LLC                
4.38%, 09/18/2026     642,000       589,870  
Standard Industries, Inc.                
3.38%, 01/15/2031(a)     1,053,000       889,674  
Total Materials             16,998,802  
                 
Technology (4.00%)                
CDW LLC / CDW Finance Corp.                
3.57%, 12/01/2031     955,000       847,351  
Flex, Ltd.                
5.00%, 02/15/2023     1,267,000       1,282,722  

 

See Notes to Financial Statements.

 

18 | May 31, 2022

     

 

RiverFront Strategic Income Fund

 

Schedule of Investments May 31, 2022 (Unaudited)

 

Security Description   Principal Amount     Value  
Technology (continued)            
Microchip Technology, Inc.            
4.25%, 09/01/2025   $ 1,069,000     $ 1,064,532  
NortonLifeLock, Inc.                
3.95%, 06/15/2022     137,000       137,000  
5.00%, 04/15/2025(a)     823,000       823,012  
Seagate HDD Cayman                
4.75%, 06/01/2023     1,053,000       1,070,338  
Total Technology             5,224,955  
                 
Utilities (4.57%)                
AmeriGas Partners LP / AmeriGas                
Finance Corp.                
5.88%, 08/20/2026     1,074,000       1,094,857  
Calpine Corp.                
5.25%, 06/01/2026(a)     511,000       504,493  
NextEra Energy Operating                
Partners LP                
4.25%, 07/15/2024(a)     1,433,000       1,439,520  
NRG Energy, Inc.                
3.75%, 06/15/2024(a)     955,000       947,724  
6.63%, 01/15/2027     356,000       366,153  
Vistra Operations Co. LLC                
3.55%, 07/15/2024(a)     1,645,000       1,613,395  
Total Utilities             5,966,142  
                 
TOTAL CORPORATE BONDS                
(Cost $108,474,521)             102,967,490  
                 
GOVERNMENT BONDS (3.82%)                
U.S. Treasury Note                
2.50%, 05/31/2024     5,000,000       4,996,095  
TOTAL GOVERNMENT BONDS                
(Cost $4,994,727)             4,996,095  

 

    7 Day Yield     Shares     Value  
SHORT TERM INVESTMENTS (20.24%)                  
Money Market Fund                        
State Street Institutional
Treasury Plus
Money Market Fund
    0.75 %     26,445,753       26,445,753  
                         
TOTAL SHORT TERM INVESTMENTS                        
(Cost $26,445,753)                     26,445,753  
                         
TOTAL INVESTMENTS (102.88%)                        
(Cost $139,915,001)                   $ 134,409,338  
LIABILITIES IN EXCESS OF OTHER ASSETS (-2.88%)                     (3,766,657 )
NET ASSETS - 100.00%                   $ 130,642,681  

 

(a) Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. At period end, the aggregate market value of those securities was 42,224,140, representing 32.32% of net assets.

 

See Notes to Financial Statements.

 

19 | May 31, 2022

     

 

RiverFront ETFs

 

Statement of Assets and Liabilities May 31, 2022 (Unaudited)

 

    RiverFront Dynamic Core Income ETF     RiverFront Dynamic US Dividend Advantage ETF     RiverFront Dynamic US Flex-Cap ETF     RiverFront Strategic Income Fund  
ASSETS:                        
Investments, at value   $ 77,805,927     $ 114,068,696     $ 36,127,355     $ 134,409,338  
Dividend receivable           328,544       52,419        
Interest receivable     498,066                   1,278,795  
Receivable for investments sold                       342  
Total Assets     78,303,993       114,397,240       36,179,774       135,688,475  
                                 
LIABILITIES:                                
Payable to adviser     34,517       48,639       14,960       50,725  
Payable for investments purchased                       4,995,069  
Payable for collateral upon return of securities loaned           1,291,293       241,204        
Total Liabilities     34,517       1,339,932       256,164       5,045,794  
NET ASSETS   $ 78,269,476     $ 113,057,308     $ 35,923,610     $ 130,642,681  
                                 
NET ASSETS CONSIST OF:                                
Paid-in capital   $ 83,906,094     $ 85,702,090     $ 46,611,445     $ 147,793,256  
Total distributable earnings     (5,636,618 )     27,355,218       (10,687,835 )     (17,150,575 )
NET ASSETS   $ 78,269,476     $ 113,057,308     $ 35,923,610     $ 130,642,681  
                                 
INVESTMENTS, AT COST   $ 82,134,094     $ 100,333,939     $ 33,123,551     $ 139,915,001  
                                 
PRICING OF SHARES                                
Net Assets   $ 78,269,476     $ 113,057,308     $ 35,923,610     $ 130,642,681  
Shares of beneficial interest outstanding (Unlimited number of shares authorized, par value $0.01 per share)     3,400,000       2,400,002       825,002       5,600,000  
Net Asset Value, offering and redemption price per share   $ 23.02     $ 47.11     $ 43.54     $ 23.33  

 

See Notes to Financial Statements.

 

20 | May 31, 2022

     

 

RiverFront ETFs

 

Statement of Operations For the Six Months Ended May 31, 2022 (Unaudited)

 

    RiverFront Dynamic Core Income ETF     RiverFront Dynamic US Dividend Advantage ETF     RiverFront Dynamic US Flex-Cap ETF     RiverFront Strategic Income Fund  
INVESTMENT INCOME:                        
Interest   $ 1,081,653     $     $     $ 1,716,674  
Dividends(a)     13,795       2,275,963       358,459       19,190  
Securities Lending Income           11,600       2,196        
Total Investment Income     1,095,448       2,287,563       360,655       1,735,864  
                                 
EXPENSES:                                
Investment adviser and sub-adviser fees (Note 3)     236,076       301,391       96,155       318,283  
Total Expenses     236,076       301,391       96,155       318,283  
NET INVESTMENT INCOME     859,372       1,986,172       264,500       1,417,581  
                                 
REALIZED AND UNREALIZED GAIN/(LOSS)                                
Net realized gain/(loss) on investments(b)     (1,252,081 )     30,471,196       10,435,228       (1,331,165 )
NET REALIZED GAIN/(LOSS)     (1,252,081 )     30,471,196       10,435,228       (1,331,165 )
Net change in unrealized depreciation on investments     (6,221,915 )     (25,102,978 )     (12,516,068 )     (5,484,301 )
NET CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION)     (6,221,915 )     (25,102,978 )     (12,516,068 )     (5,484,301 )
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS     (7,473,996 )     5,368,218       (2,080,840 )     (6,815,466 )
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS   $ (6,614,624 )   $ 7,354,390     $ (1,816,340 )   $ (5,397,885 )

 

(a) Net of foreign tax withholding in the amounts of $–, $–, $– and $42, respectively.
(b) Includes realized gain or loss as a result of in-kind transactions (See Note 4 in Notes to Financial Statements).

 

See Notes to Financial Statements.

 

21 | May 31, 2022

     

 

RiverFront Dynamic Core Income ETF

 

Statements of Changes in Net Assets

 

    For the Six Months Ended May 31, 2022 (Unaudited)    

For the

Year Ended

November 30,

2021

 
OPERATIONS:            
Net investment income   $ 859,372     $ 1,990,198  
Net realized gain/(loss)     (1,252,081 )     2,564,824  
Net change in unrealized depreciation     (6,221,915 )     (6,289,006 )
Net decrease in net assets resulting from operations     (6,614,624 )     (1,733,984 )
                 
DISTRIBUTIONS TO SHAREHOLDERS:                
From distributable earnings     (2,635,978 )     (1,962,506 )
Total distributions     (2,635,978 )     (1,962,506 )
                 
CAPITAL SHARE TRANSACTIONS:                
Proceeds from sale of shares     595,048       17,914,173  
Shares redeemed     (30,947,841 )     (9,068,318 )
Net increase/(decrease) from share transactions     (30,352,793 )     8,845,855  
                 
Net increase/(decrease) in net assets     (39,603,395 )     5,149,365  
                 
NET ASSETS:                
Beginning of period     117,872,871       112,723,506  
End of period   $ 78,269,476     $ 117,872,871  
                 
OTHER INFORMATION:                
CAPITAL SHARE TRANSACTIONS:                
Beginning shares     4,650,000       4,300,000  
Shares sold     25,000       700,000  
Shares redeemed     (1,275,000 )     (350,000 )
Shares outstanding, end of period     3,400,000       4,650,000  

 

See Notes to Financial Statements.

 

22 | May 31, 2022

     

 

RiverFront Dynamic US Dividend Advantage ETF

 

Statements of Changes in Net Assets

 

    For the Six Months Ended May 31, 2022 (Unaudited)    

For the

Year Ended

November 30, 2021

 
OPERATIONS:            
Net investment income   $ 1,986,172     $ 1,902,769  
Net realized gain     30,471,196       8,733,483  
Net change in unrealized appreciation/(depreciation)     (25,102,978 )     15,974,138  
Net increase in net assets resulting from operations     7,354,390       26,610,390  
                 
DISTRIBUTIONS TO SHAREHOLDERS:                
From distributable earnings     (1,649,659 )     (1,936,954 )
Total distributions     (1,649,659 )     (1,936,954 )
                 
CAPITAL SHARE TRANSACTIONS:                
Proceeds from sale of shares     27,111,743       4,577,634  
Shares redeemed     (52,283,359 )     (30,021,042 )
Net decrease from share transactions     (25,171,616 )     (25,443,408 )
                 
Net decrease in net assets     (19,466,885 )     (769,972 )
                 
NET ASSETS:                
Beginning of period     132,524,193       133,294,165  
End of period   $ 113,057,308     $ 132,524,193  
                 
OTHER INFORMATION:                
CAPITAL SHARE TRANSACTIONS:                
Beginning shares     2,950,002       3,600,002  
Shares sold     600,000       100,000  
Shares redeemed     (1,150,000 )     (750,000 )
Shares outstanding, end of period     2,400,002       2,950,002  

 

See Notes to Financial Statements.

 

23 | May 31, 2022

     

 

RiverFront Dynamic US Flex-Cap ETF


Statements of Changes in Net Assets

 

    For the Six Months Ended May 31, 2022 (Unaudited)    

For the

Year Ended

November 30, 2021

 
OPERATIONS:            
Net investment income   $ 264,500     $ 604,208  
Net realized gain     10,435,228       10,365,533  
Net change in unrealized appreciation/(depreciation)     (12,516,068 )     2,789,216  
Net increase/(decrease) in net assets resulting from operations     (1,816,340 )     13,758,957  
                 
DISTRIBUTIONS TO SHAREHOLDERS:                
From distributable earnings     (224,944 )     (679,274 )
Total distributions     (224,944 )     (679,274 )
                 
CAPITAL SHARE TRANSACTIONS:                
Proceeds from sale of shares     14,523,047        
Shares redeemed     (28,292,821 )     (32,744,774 )
Net decrease from share transactions     (13,769,774 )     (32,744,774 )
                 
Net decrease in net assets     (15,811,058 )     (19,665,091 )
                 
NET ASSETS:                
Beginning of period     51,734,668       71,399,759  
End of period   $ 35,923,610     $ 51,734,668  
                 
OTHER INFORMATION:                
CAPITAL SHARE TRANSACTIONS:                
Beginning shares     1,125,002       1,900,002  
Shares sold     325,000        
Shares redeemed     (625,000 )     (775,000 )
Shares outstanding, end of period     825,002       1,125,002  

 

See Notes to Financial Statements.

 

24 | May 31, 2022

     

 

RiverFront Strategic Income Fund


Statements of Changes in Net Assets

 

    For the Six Months Ended May 31, 2022 (Unaudited)    

For the

Year Ended

November 30, 2021

 
OPERATIONS:            
Net investment income   $ 1,417,581     $ 2,793,818  
Net realized gain/(loss)     (1,331,165 )     491,816  
Net change in unrealized depreciation     (5,484,301 )     (1,547,122 )
Net increase/(decrease) in net assets resulting from operations     (5,397,885 )     1,738,512  
                 
DISTRIBUTIONS TO SHAREHOLDERS:                
From distributable earnings     (1,664,530 )     (3,171,669 )
Total distributions     (1,664,530 )     (3,171,669 )
                 
CAPITAL SHARE TRANSACTIONS:                
Proceeds from sale of shares     1,839,643       43,888,656  
Shares redeemed     (7,027,733 )     (18,545,978 )
Net increase/(decrease) from share transactions     (5,188,090 )     25,342,678  
                 
Net increase/(decrease) in net assets     (12,250,505 )     23,909,521  
                 
NET ASSETS:                
Beginning of period     142,893,186       118,983,665  
End of period   $ 130,642,681     $ 142,893,186  
                 
OTHER INFORMATION:                
CAPITAL SHARE TRANSACTIONS:                
Beginning shares     5,825,000       4,800,000  
Shares sold     75,000       1,775,000  
Shares redeemed     (300,000 )     (750,000 )
Shares outstanding, end of period     5,600,000       5,825,000  

 

See Notes to Financial Statements.

 

25 | May 31, 2022

     

 

RiverFront Dynamic Core Income ETF

 

Financial Highlights For a share outstanding throughout the periods presented

 

    For the Six Months Ended May 31, 2022 (Unaudited)     For the Year Ended November 30, 2021     For the Year Ended November 30, 2020     For the Year Ended November 30, 2019     For the Year Ended November 30, 2018     For the Year Ended November 30, 2017  
NET ASSET VALUE, BEGINNING OF PERIOD   $ 25.35     $ 26.21     $ 25.22     $ 23.52     $ 24.60     $ 24.32  
                                                 
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:                                                
Net investment income(a)     0.22       0.47       0.50       0.68       0.68       0.53  
Net realized and unrealized gain/(loss)     (1.93 )     (0.87 )     0.99       1.70       (1.10 )     0.23  
Total from investment operations     (1.71 )     (0.40 )     1.49       2.38       (0.42 )     0.76  
                                                 
DISTRIBUTIONS:                                                
From net investment income     (0.24 )     (0.46 )     (0.50 )     (0.68 )     (0.66 )     (0.48 )
From net realized gains     (0.38 )                              
Total distributions     (0.62 )     (0.46 )     (0.50 )     (0.68 )     (0.66 )     (0.48 )
                                                 
NET INCREASE/(DECREASE) IN NET ASSET VALUE     (2.33 )     (0.86 )     0.99       1.70       (1.08 )     0.28  
NET ASSET VALUE, END OF PERIOD   $ 23.02     $ 25.35     $ 26.21     $ 25.22     $ 23.52     $ 24.60  
TOTAL RETURN(b)     (6.91 )%     (1.51 )%     5.97 %     10.22 %     (1.74 )%     3.15 %
                                                 
RATIOS/SUPPLEMENTAL DATA:                                                
Net assets, end of period (000s)   $ 78,269     $ 117,873     $ 112,724     $ 134,951     $ 150,527     $ 47,962  
                                                 
Ratio of expenses to average net assets     0.51 %(c)     0.51 %     0.51 %     0.51 %     0.51 %     0.51 %
Ratio of net investment income to average net assets     1.86 %(c)     1.83 %     1.94 %     2.74 %     2.83 %     2.15 %
Portfolio turnover rate(d)     57 %     45 %     11 %     6 %     15 %     18 %

 

(a) Based on average shares outstanding during the period.

(b) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period and the redemption at the net asset value on the last day of the period and assuming all distributions are reinvested at the actual reinvestment prices. Total return calculated for a period of less than one year is not annualized.
(c) Annualized.
(d) Portfolio turnover for periods less than one year are not annualized and does not include securities received or delivered from processing creations or redemptions in-kind.

 

See Notes to Financial Statements.

 

26 | May 31, 2022

     

 

RiverFront Dynamic US Dividend Advantage ETF

 

Financial Highlights For a share outstanding throughout the periods presented

 

    For the Six Months Ended May 31, 2022 (Unaudited)     For the Year Ended November 30, 2021     For the Year Ended November 30, 2020     For the Year Ended November 30, 2019     For the Year Ended November 30, 2018     For the Year Ended November 30, 2017  
NET ASSET VALUE, BEGINNING OF PERIOD   $ 44.92     $ 37.03     $ 33.98     $ 31.19     $ 31.39     $ 26.59  
                                                 
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:                                                
Net investment income(a)     0.80       0.62       0.56       0.65       0.73       0.63  
Net realized and unrealized gain/(loss)     2.06       7.90       3.08       2.81       (0.26 )     4.76  
Total from investment operations     2.86       8.52       3.64       3.46       0.47       5.39  
                                                 
DISTRIBUTIONS:                                                
From net investment income     (0.67 )     (0.63 )     (0.59 )     (0.67 )     (0.67 )     (0.59 )
Total distributions     (0.67 )     (0.63 )     (0.59 )     (0.67 )     (0.67 )     (0.59 )
                                                 
NET INCREASE/(DECREASE) IN NET ASSET VALUE     2.19       7.89       3.05       2.79       (0.20 )     4.80  
NET ASSET VALUE, END OF PERIOD   $ 47.11     $ 44.92     $ 37.03     $ 33.98     $ 31.19     $ 31.39  
TOTAL RETURN(b)     6.39 %     23.13 %     10.92 %     11.29 %     1.45 %     20.49 %
                                                 
RATIOS/SUPPLEMENTAL DATA:                                                
Net assets, end of period (000s)   $ 113,057     $ 132,524     $ 133,294     $ 130,828     $ 151,293     $ 59,644  
                                                 
Ratio of expenses to average net assets     0.52 %(c)     0.52 %     0.52 %     0.52 %     0.52 %     0.52 %
Ratio of net investment income to average net assets     3.43 %(c)     1.47 %     1.68 %     2.05 %     2.27 %     2.19 %
Portfolio turnover rate(d)     111 %     0 %     75 %     64 %     96 %     54 %

 

(a) Based on average shares outstanding during the period.
(b) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period and the redemption at the net asset value on the last day of the period and assuming all distributions are reinvested at the actual reinvestment prices. Total return calculated for a period of less than one year is not annualized.
(c) Annualized.
(d) Portfolio turnover for periods less than one year are not annualized and does not include securities received or delivered from processing creations or redemptions in-kind.

 

See Notes to Financial Statements.

 

27 | May 31, 2022

     

 

RiverFront Dynamic US Flex-Cap ETF

 

Financial Highlights For a share outstanding throughout the periods presented

 

    For the Six Months Ended May 31, 2022 (Unaudited)     For the Year Ended November 30, 2021     For the Year Ended November 30, 2020     For the Year Ended November 30, 2019     For the Year Ended November 30, 2018     For the Year Ended November 30, 2017  
NET ASSET VALUE, BEGINNING OF PERIOD   $ 45.99     $ 37.58     $ 34.70     $ 32.79     $ 32.46     $ 26.84  
                                                 
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:                                                
Net investment income(a)     0.33       0.42       0.45       0.48       0.44       0.31  
Net realized and unrealized gain/(loss)     (2.50 )     8.43       2.87 (b)     1.93       0.27 (b)     5.59  
Total from investment operations     (2.17 )     8.85       3.32       2.41       0.71       5.90  
                                                 
DISTRIBUTIONS:                                                
From net investment income     (0.28 )     (0.44 )     (0.44 )     (0.50 )     (0.38 )     (0.28 )
Total distributions     (0.28 )     (0.44 )     (0.44 )     (0.50 )     (0.38 )     (0.28 )
                                                 
NET INCREASE/(DECREASE) IN NET ASSET VALUE     (2.45 )     8.41       2.88       1.91       0.33       5.62  
NET ASSET VALUE, END OF PERIOD   $ 43.54     $ 45.99     $ 37.58     $ 34.70     $ 32.79     $ 32.46  
TOTAL RETURN(c)     (4.73 )%     23.65 %     9.75 %     7.49 %     2.16 %     22.08 %
                                                 
RATIOS/SUPPLEMENTAL DATA:                                                
Net assets, end of period (000s)   $ 35,924     $ 51,735     $ 71,400     $ 126,662     $ 152,464     $ 40,576  
                                                 
Ratio of expenses to average net assets     0.52 %(d)     0.52 %     0.52 %     0.52 %     0.52 %     0.52 %
Ratio of net investment income to average net assets     1.43 %(d)     0.97 %     1.34 %     1.46 %     1.30 %     1.05 %
Portfolio turnover rate(e)     168 %     5 %     99 %     98 %     152 %     86 %

 

(a) Based on average shares outstanding during the period.
(b) Net realized and unrealized gain on investments per share does not correlate to the aggregate of the net realized and unrealized gain/(loss) in the Statements of Operations for the period(s) presented, primarily due to the timing of the sales and repurchases of the Fund's shares in relation to the fluctuating market values for the Fund's portfolio.
(c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period and the redemption at the net asset value on the last day of the period and assuming all distributions are reinvested at the actual reinvestment prices. Total return calculated for a period of less than one year is not annualized.
(d) Annualized.
(e) Portfolio turnover for periods less than one year are not annualized and does not include securities received or delivered from processing creations or redemptions in-kind.

 

See Notes to Financial Statements.

 

28 | May 31, 2022

     

 

RiverFront Strategic Income Fund

 

Financial Highlights For a share outstanding throughout the periods presented

 

    For the Six Months Ended May 31, 2022 (Unaudited)     For the Year Ended November 30, 2021     For the Year Ended November 30, 2020     For the Year Ended November 30, 2019     For the Year Ended November 30, 2018     For the Year Ended November 30, 2017  
NET ASSET VALUE, BEGINNING OF PERIOD   $ 24.53     $ 24.79     $ 24.69     $ 24.27     $ 25.21     $ 25.02  
                                                 
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:                                                
Net investment income(a)     0.24       0.55       0.81       0.94       1.06       1.11  
Net realized and unrealized gain/(loss)     (1.15 )     (0.18 )     0.13 (b)     0.48       (0.92 )     0.19  
Total from investment operations     (0.91 )     0.37       0.94       1.42       0.14       1.30  
                                                 
DISTRIBUTIONS:                                                
From net investment income     (0.29 )     (0.63 )     (0.84 )     (1.00 )     (1.08 )     (1.11 )
Total distributions     (0.29 )     (0.63 )     (0.84 )     (1.00 )     (1.08 )     (1.11 )
                                                 
NET INCREASE/(DECREASE) IN NET ASSET VALUE     (1.20 )     (0.26 )     0.10       0.42       (0.94 )     0.19  
NET ASSET VALUE, END OF PERIOD   $ 23.33     $ 24.53     $ 24.79     $ 24.69     $ 24.27     $ 25.21  
TOTAL RETURN(c)     (3.74 )%     1.52 %     3.95 %     5.96 %     0.57 %     5.29 %
                                                 
RATIOS/SUPPLEMENTAL DATA:                                                
Net assets, end of period (000s)   $ 130,643     $ 142,893     $ 118,984     $ 167,889     $ 152,880     $ 337,769  
                                                 
Ratio of expenses excluding waiver/reimbursement to average net assets     0.46 %(d)     0.46 %     0.46 %     0.46 %     0.46 %     0.46 %
Ratio of expenses including waiver/reimbursement to average net assets     0.46 %(d)     0.46 %     0.46 %     0.46 %     0.17 %(e)     0.16 %(f)
Ratio of net investment income including expenses waiver/reimbursement to average net assets     2.05 %(d)     2.23 %     3.32 %     3.83 %     4.31 %     4.41 %
Portfolio turnover rate(g)     25 %     50 %     54 %     44 %     35 %     32 %

 

(a) Based on average shares outstanding during the period.
(b) Net realized and unrealized gain on investments per share does not correlate to the aggregate of the net realized and unrealized gain/(loss) in the Statements of Operations for the period(s) presented, primarily due to the timing of the sales and repurchases of the Fund's shares in relation to the fluctuating market values for the Fund's portfolio.
(c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period and the redemption at the net asset value on the last day of the period and assuming all distributions are reinvested at the actual reinvestment prices. Total return calculated for a period of less than one year is not annualized.
(d) Annualized.
(e) Effective November 1, 2018, the Fund’s management fee consists of a fee of 0.11% paid to the Fund’s investment adviser and a fee of 0.35% paid to the Fund’s sub-adviser. The Fund’s sub-adviser ceased its voluntary waiver effective November 1, 2018.
(f) Effective July 1, 2016, the Fund’s management fee consists of a fee of 0.16% paid to the Fund’s investment adviser and a fee of 0.30% paid to the Fund’s sub-adviser. The Fund’s sub-adviser voluntarily waived all of its 0.30% annual sub-advisory fee payable by the Fund until November 1, 2018.
(g) Portfolio turnover for periods less than one year are not annualized and does not include securities received or delivered from processing creations or redemptions in-kind.

 

See Notes to Financial Statements.

 

29 | May 31, 2022

     

 

RiverFront ETFs

 

Notes to Financial Statements May 31, 2022 (Unaudited)

 

1. ORGANIZATION

 

ALPS ETF Trust (the “Trust”), a Delaware statutory trust, is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As of May 31, 2022, the Trust consists of nineteen separate portfolios. Each portfolio represents a separate series of the Trust. This report pertains solely to the RiverFront Dynamic Core Income ETF, the RiverFront Dynamic US Dividend Advantage ETF, the RiverFront Dynamic US Flex-Cap ETF, and the RiverFront Strategic Income Fund (each a “Fund” and collectively, the “Funds”).

 

The investment objective of the RiverFront Dynamic Core Income ETF Fund is to seek total return, with an emphasis on income as the source of that total return. The Fund has elected to qualify as a diversified series of the Trust under the 1940 Act.

 

The investment objective of the RiverFront Dynamic US Dividend Advantage ETF Fund is to seek to provide capital appreciation and dividend income. The Fund has elected to qualify as a diversified series of the Trust under the 1940 Act.

 

The investment objective of the RiverFront Dynamic US Flex-Cap ETF Fund is to seek to provide capital appreciation. The Fund has elected to qualify as a diversified series of the Trust under the 1940 Act.

 

The investment objective of the RiverFront Strategic Income Fund is to seek total return, with an emphasis on income as the source of that total return. The Fund has elected to qualify as a diversified series of the Trust under the 1940 Act.

 

Each Fund’s Shares (“Shares”) are listed on the NYSE Arca, Inc. Each Fund issues and redeems Shares at net asset value (“NAV”) in blocks of 25,000 Shares (prior to October 1, 2021 in blocks of 50,000 Shares), each of which is called a “Creation Unit”. Creation Units are issued and redeemed principally in-kind for securities and/or cash. Except when aggregated in Creation Units, Shares are not redeemable securities of a Fund.

 

Pursuant to the Trust’s organizational documents, its Officers and Trustees are indemnified against certain liability arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust that have not yet occurred.

 

2. SIGNIFICANT ACCOUNTING POLICIES

 

The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The accompanying financial statements were prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”). The preparation of financial statements in conformity with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the period. Actual results could differ from those estimates. Each Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946.

 

A. Portfolio Valuation

Each Fund’s NAV is determined daily, as of the close of regular trading on the New York Stock Exchange (the “NYSE”), normally 4:00 p.m. Eastern Time, on each day the NYSE is open for trading. The NAV is computed by dividing the value of all assets of each Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding.

 

Portfolio securities listed on any exchange other than the NASDAQ Stock Market LLC (“NASDAQ”) are valued at the last sale price on the business day as of which such value is being determined. If there has been no sale on such day, the securities are valued at the mean of the most recent bid and ask prices on such day. Securities traded on the NASDAQ are valued at the NASDAQ Official Closing Price as determined by NASDAQ. Portfolio securities traded on more than one securities exchange are valued at the last sale price on the business day as of which such value is being determined at the close of the exchange representing the principal market for such securities. Portfolio securities traded in the over-the-counter market, but excluding securities traded on the NASDAQ, are valued at the last quoted sale price in such market.

 

Corporate bonds and United States government bonds are typically valued at the mean between the evaluated bid and ask prices formulated by an independent pricing service.

 

Each Fund’s investments are valued at market value or, in the absence of market value with respect to any portfolio securities, at fair value according to procedures adopted by the Trust’s Board of Trustees (the “Board”). When market quotations are not readily available or when events occur that make established valuation methods unreliable, securities of the Funds may be valued in good faith by or under the direction of the Board. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market price is not available from a pre-established primary pricing source or the pricing source is not willing to provide a price; a security with respect to which an event has occurred that is most likely to materially affect the value of the security after the market has closed but before the calculation of a Fund’s NAV or make it difficult or impossible to obtain a reliable market quotation; or a security whose price, as provided by the pricing service, does not reflect the security’s “fair value” due to the security being de-listed from a national exchange or the security’s primary trading market is temporarily closed at a time when, under normal conditions, it would be open. As a general principle, the current “fair value” of a security would be the amount which the owner might reasonably expect to receive from the sale on the applicable exchange or principal market. A variety of factors may be considered in determining the fair value of such securities.

 

30 | May 31, 2022

     

 

RiverFront ETFs

 

Notes to Financial Statements May 31, 2022 (Unaudited)

 

B. Fair Value Measurements

Each Fund discloses the classification of its fair value measurements following a three-tier hierarchy based on the inputs used to measure fair value. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability that are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability that are developed based on the best information available.

 

Valuation techniques used to value the Funds’ investments by major category are as follows:

 

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the mean of the most recent quoted bid and ask prices on such day and are generally categorized as Level 2 in the hierarchy. Investments in open-end mutual funds are valued at their closing NAV each business day and are categorized as Level 1 in the hierarchy.

 

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. For corporate bonds, pricing vendors utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The RiverFront Dynamic Core Income ETF, the RiverFront Dynamic Unconstrained Income ETF, and the RiverFront Strategic Income Fund may invest a significant portion of their assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.

 

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.

 

Various inputs are used in determining the value of each Fund’s investments as of the end of the reporting period. When inputs used fall into different levels of the fair value hierarchy, the level in the hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The designated input levels are not necessarily an indication of the risk or liquidity associated with these investments.

 

These inputs are categorized in the following hierarchy under applicable financial accounting standards:

 

Level 1 – Unadjusted quoted prices in active markets for identical investments, unrestricted assets or liabilities that a Fund has the ability to access   at the measurement date;
Level 2 – Quoted prices which are not active, quoted prices for similar assets or liabilities in active markets or inputs other than quoted prices that   are observable (either directly or indirectly) for substantially the full term of the asset or liability; and
Level 3 – Significant unobservable prices or inputs (including the Fund’s own assumptions in determining the fair value of investments) where there   is little or no market activity for the asset or liability at the measurement date.

 

31 | May 31, 2022

     

 

RiverFront ETFs

 

Notes to Financial Statements May 31, 2022 (Unaudited)

 

The following is a summary of the inputs used to value the Funds’ investments as of May 31, 2022:

 

RiverFront Dynamic Core Income ETF

Investments in Securities at Value   Level 1 - Quoted and Unadjusted Prices     Level 2 - Other Significant Observable Inputs     Level 3 - Significant Unobservable Inputs     Total  
Corporate Bonds*   $     $ 52,981,428     $     $ 52,981,428  
Government Bonds*           9,186,786             9,186,786  
Short Term Investments     15,637,713                   15,637,713  
Total   $ 15,637,713     $ 62,168,214     $     $ 77,805,927  

 

RiverFront Dynamic US Dividend Advantage ETF

Investments in Securities at Value   Level 1 - Quoted and Unadjusted Prices     Level 2 - Other Significant Observable Inputs     Level 3 - Significant Unobservable Inputs     Total  
Common Stocks*   $ 112,627,481     $     $     $ 112,627,481  
Short Term Investments     1,441,215                   1,441,215  
Total   $ 114,068,696     $     $     $ 114,068,696  

 

RiverFront Dynamic US Flex-Cap ETF

Investments in Securities at Value   Level 1 - Quoted and Unadjusted Prices     Level 2 - Other Significant Observable Inputs     Level 3 - Significant Unobservable Inputs     Total  
Common Stocks*   $ 35,857,995     $     $     $ 35,857,995  
Short Term Investments     269,360                   269,360  
Total   $ 36,127,355     $     $     $ 36,127,355  

 

RiverFront Strategic Income Fund

Investments in Securities at Value   Level 1 - Quoted and Unadjusted Prices     Level 2 - Other Significant Observable Inputs     Level 3 - Significant Unobservable Inputs     Total  
Corporate Bonds*   $     $ 102,967,490     $     $ 102,967,490  
Government Bonds*           4,996,095             4,996,095  
Short Term Investments     26,445,753                   26,445,753  
Total   $ 26,445,753     $ 107,963,585     $     $ 134,409,338  

 

* For a detailed sector breakdown, see the accompanying Schedule of Investments.

 

The Funds did not have any securities that used significant unobservable inputs (Level 3) in determining fair value and there were no transfers into or out of Level 3 during the six months ended May 31, 2022.

 

C. Securities Transactions and Investment Income

Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the specific identification in accordance with GAAP. Dividend income and capital gains distributions, if any, are recorded on the ex-dividend date. Interest income, if any, is recorded on the accrual basis, including amortization of premiums and accretion of discounts.

 

D. Dividends and Distributions to Shareholders

Dividends from net investment income for each Fund, if any, are declared and paid monthly or as the Board may determine from time to time. Distributions of net realized capital gains earned by the Funds, if any, are distributed at least annually.

 

E. Federal Tax and Tax Basis Information

The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S. GAAP. Reclassifications are made to the Funds’ capital accounts for permanent tax differences to reflect income and gains available for distribution (or available capital loss carryforwards) under income tax regulations. The amounts and characteristics of tax basis distributions and composition of distributable earnings/(accumulated losses) are finalized at fiscal year-end; accordingly, tax basis balances have not been determined as of May 31, 2022.

 

32 | May 31, 2022

     

 

RiverFront ETFs

 

Notes to Financial Statements May 31, 2022 (Unaudited)

 

The tax character of the distributions paid during the fiscal year ended November 30, 2021 was as follows:

 

    Ordinary Income     Long-Term Capital Gain     Return of Capital  
November 30, 2021                  
RiverFront Dynamic Core Income ETF   $ 1,962,506     $     $  
RiverFront Dynamic US Dividend Advantage ETF     1,936,954              
RiverFront Dynamic US Flex-Cap ETF     679,274              
RiverFront Strategic Income Fund     3,171,669              

 

The character of distributions made during the year may differ from its ultimate characterization for federal income tax purposes.

 

Under current law, capital losses maintain their character as short-term or long-term and are carried forward to the next tax year without expiration. As of November 30, 2021, the following amounts are available as carry forwards to the next tax year:

 

Fund   Short-Term     Long-Term  
RiverFront Dynamic US Dividend Advantage ETF   $ 5,611,019     $ 11,582,063  
RiverFront Dynamic US Flex-Cap ETF     12,308,600       11,857,380  
RiverFront Strategic Income Fund     7,097,858       2,743,833  

 

As of May 31, 2022, the cost of investments for federal income tax purposes and accumulated net unrealized appreciation/(depreciation) on investments were as follows:

 

    RiverFront Dynamic Core Income ETF     RiverFront Dynamic US Dividend Advantage ETF     RiverFront Dynamic US Flex- Cap ETF    

RiverFront

Strategic Income Fund

 
Gross appreciation (excess of value over tax cost)   $ 78,828     $ 17,459,471     $ 5,117,276     $ 32,539  
Gross depreciation (excess of tax cost over value)     (4,426,380 )     (4,066,152 )     (2,227,160 )     (5,538,202 )
Net unrealized appreciation/(depreciation)     (4,347,552 )     13,393,319       2,890,116       (5,505,663 )
Cost of investments for income tax purposes   $ 82,153,479     $ 100,675,377     $ 33,237,239     $ 139,915,001  

 

The differences between book-basis and tax-basis are primarily due to the deferral of losses from wash sales and difference between premium amortization due to Accounting Standards Update 2017-08. In addition, certain tax cost basis adjustments are finalized at fiscal year-end and therefore have not been determined as of May 31, 2022.

 

F. Income Taxes

No provision for income taxes is included in the accompanying financial statements, as each Fund intends to distribute to shareholders all taxable investment income and realized gains and otherwise comply with Subchapter M of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies. Each Fund evaluates tax positions taken (or expected to be taken) in the course of preparing the Funds’ tax returns to determine whether these positions meet a “more-likely-than-not” standard that, based on the technical merits, have a more than fifty percent likelihood of being sustained by a taxing authority upon examination. A tax position that meets the “more-likely-than-not” recognition threshold is measured to determine the amount of benefit to recognize in the financial statements.

 

As of and during the six months ended May 31, 2022, the Funds did not have a liability for any unrecognized tax benefits. Each Fund files U.S. federal, state, and local tax returns as required. Each Fund’s tax returns are subject to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return, but may extend to four years in certain jurisdictions. Tax returns for open years have incorporated no uncertain tax positions that require a provision for income taxes.

 

In addition, certain tax cost basis adjustments are finalized at fiscal year-end and therefore have not been determined as of May 31, 2022.

 

33 | May 31, 2022

     

 

RiverFront ETFs

 

Notes to Financial Statements May 31, 2022 (Unaudited)

 

G. Lending of Portfolio Securities

The RiverFront Dynamic US Dividend Advantage ETF and the RiverFront Dynamic US Flex-Cap ETF have entered into a securities lending agreement with State Street Bank & Trust Co. (“SSB”), the Funds’ lending agent. Each Fund may lend its portfolio securities only to borrowers that are approved by SSB. Each Fund will limit such lending to not more than 33 1/3% of the value of its total assets. Each Fund’s securities held at SSB as custodian shall be available to be lent except those securities the Fund or ALPS Advisors, Inc. specifically identifies in writing as not being available for lending. The borrower pledges and maintains with the Fund collateral consisting of cash (U.S. Dollars only), securities issued or guaranteed by the U.S. government or its agencies or instrumentalities, and cash equivalents (including irrevocable bank letters of credit) issued by a person other than the borrower or an affiliate of the borrower. The initial collateral received by each Fund is required to have a value of no less than 102% of the market value of the loaned securities for U.S equity securities and a value of no less than 105% of the market value for non-U.S. equity securities. The collateral is maintained thereafter, at a market value equal to not less than 102% of the current value of the U.S. equity securities on loan and not less than 105% of the current value of the non-U.S. equity securities on loan. The market value of the loaned securities is determined at the close of each business day and any additional required collateral is delivered to each Fund on the next business day. During the term of the loan, each Fund is entitled to all distributions made on or in respect of the loaned securities. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the customary time period for settlement of securities transactions.

 

Any cash collateral received is reinvested in a money market fund managed by SSB as disclosed in the Fund’s Schedule of Investments and is reflected in the Statements of Assets and Liabilities as a payable for collateral upon return of securities loaned. Non-cash collateral, in the form of securities issued or guaranteed by the U.S. government or its agencies or instrumentalities, is not disclosed in the Fund’s Statements of Assets and Liabilities as it is held by the lending agent on behalf of the Fund, and the Fund does not have the ability to re-hypothecate these securities. Income earned by the Fund from securities lending activity is disclosed in the Statement of Operations.

 

The following is a summary of the Funds' securities lending agreement and related cash and non-cash collateral received as of May 31, 2022:

 

Fund   Market Value of  Securities on Loan     Cash Collateral Received     Non-Cash Collateral Received    

Total Collateral Received

 

 
RiverFront Dynamic US Dividend Advantage ETF   $ 2,014,357     $ 1,291,293     $ 783,883     $ 2,075,176  
RiverFront Dynamic US Flex-Cap ETF     451,149       241,204       234,565       475,769  

 

 

The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Funds benefit from a borrower default indemnity provided by SSB. SSB’s indemnity allows for full replacement of securities lent wherein SSB will purchase the unreturned loaned securities on the open market by applying the proceeds of the collateral, or to the extent such proceeds are insufficient or the collateral is unavailable, SSB will purchase the unreturned loan securities at SSB’s expense. However, the Funds could suffer a loss if the value of the investments purchased with cash collateral falls below the value of the cash collateral received. As of May 31, 2022, Riverfront Dynamic Core Income Fund ETF and the Riverfront Strategic Income Fund did not have any securities on loan.

 

The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged or securities loaned, and the remaining contractual maturity of those transactions as of May 31, 2022:

 

RiverFront Dynamic US Dividend Advantage ETF Remaining contractual maturity of the agreements

 

Securities Lending Transactions   Overnight & Continuous     Up to 30 days     30-90 days     Greater than 90 days     Total  
Common Stocks   $ 1,291,293     $     $     $     $ 1,291,293  
Total Borrowings                                     1,291,293  
Gross amount of recognized liabilities for securities lending (collateral received)                       $ 1,291,293  

 

 

RiverFront Dynamic US Flex-Cap ETF Remaining contractual maturity of the agreements

 

Securities Lending Transactions   Overnight & Continuous     Up to 30 days      30-90 days       Greater than 90 days      Total  
Common Stocks   $ 241,204     $     $     $     $ 241,204  
Total Borrowings                                     241,204  
Gross amount of recognized liabilities for securities lending (collateral received)               $ 241,204  

 

 

34 | May 31, 2022

     

 

RiverFront ETFs

 

Notes to Financial Statements May 31, 2022 (Unaudited)

 

3. INVESTMENT ADVISORY FEE AND OTHER AFFILIATED TRANSACTIONS

 

ALPS Advisors, Inc. (the “Adviser”) serves as the Funds’ investment adviser pursuant to an Investment Advisory Agreement with the Trust on behalf of each Fund (the “Advisory Agreement”). Pursuant to the Advisory Agreement, each Fund pays the Adviser an annual management fee for the services and facilities it provides, payable on a monthly basis as a percentage of the relevant Fund’s average daily net assets as set out below:

 

Fund Advisory Fee
RiverFront Dynamic Core Income ETF 0.51%(a)
RiverFront Dynamic US Dividend Advantage ETF 0.52%(b)
RiverFront Dynamic US Flex-Cap ETF 0.52%(b)
RiverFront Strategic Income Fund 0.11%

 

(a) The unitary advisory fee as a percentage of net assets is subject to the following breakpoints: (i) 0.51% for average net assets up to $600 million, (ii) 0.48% for average net assets equal to or greater than $600 million.
(b) The unitary advisory fee as a percentage of net assets is subject to the following breakpoints: (i) 0.52% for average net assets up to $600 million, (ii) 0.49% for average net assets equal to or greater than $600 million.

 

Out of the unitary management fee, the Adviser pays substantially all expenses of each Fund, including the cost of transfer agency, custody, fund administration, legal, audit, trustees and other services, except for interest expenses, distribution fees or expenses, brokerage expenses, taxes and extraordinary expenses not incurred in the ordinary course of each Fund's business. The Adviser’s unitary management fee is designed to pay substantially all of each Fund's expenses and to compensate the Adviser for providing services for each Fund.

 

RiverFront Investment Group, LLC (the “Sub-Adviser”) serves as each Fund’s sub-adviser pursuant to a sub-advisory agreement with the Trust (the ‘‘Sub-Advisory Agreement’’). Pursuant to the Sub-Advisory Agreement, the Adviser pays the Sub-Adviser a sub-advisory fee out of the Adviser’s advisory fee for the services it provides besides RiverFront Strategic Income Fund, in which the Fund directly pays the Sub-Adviser. The fee is payable on a monthly basis at the annual rate of the relevant Fund’s average daily net assets as set out below:

 

Fund Sub-Advisory Fee
RiverFront Dynamic Core Income ETF 0.35%
RiverFront Dynamic US Dividend Advantage ETF 0.35%
RiverFront Dynamic US Flex-Cap ETF 0.35%
RiverFront Strategic Income Fund 0.35%

 

ALPS Fund Services, Inc., an affiliate of the Adviser, is the administrator of the Funds.

 

Prior to February 16, 2022, each Trustee received (1) a quarterly retainer of $10,000, (2) a per meeting fee of $5,000, (3) $1,500 for any special meeting held outside of a regularly scheduled board meeting, and (4) reimbursement for all reasonable out-of-pocket expenses relating to attendance at meetings. In addition, the Chairman of the Board and Chairman of the Audit Committee each received a quarterly retainer of $2,000, in connection with their respective roles. Effective February 16, 2022, each Trustee receives (1) a quarterly retainer of $20,000, (2) a per meeting fee of $10,000, (3) $2,500 for any special meeting held outside of a regularly scheduled board meeting, and (4) reimbursement for all reasonable out-of-pocket expenses relating to attendance at meetings. In addition, the Chairman of the Board receives a quarterly retainer of $5,000, the Chairman of the Audit Committee receives a quarterly retainer of $3,000, and the Chairman of the Nominating & Governance Committee receives a quarterly retainer of $2,000, each in connection with their respective roles.

 

4. PURCHASES AND SALES OF SECURITIES

 

For the six months ended May 31, 2022, the cost of purchases and proceeds from sales of investment securities, excluding in-kind transactions and short-term investments, were as follows:

 

Fund   Purchases     Sales  
RiverFront Dynamic Core Income ETF   $ 24,164,135     $ 25,148,325  
RiverFront Dynamic US Dividend Advantage ETF     69,421,614       70,595,035  
RiverFront Dynamic US Flex-Cap ETF     34,186,081       34,098,302  
RiverFront Strategic Income Fund     7,615,295       10,461,045  

 

35 | May 31, 2022

     

 

RiverFront ETFs

 

Notes to Financial Statements May 31, 2022 (Unaudited)

 

For the six months ended May 31, 2022, the cost of U.S. Government security purchases and proceeds from U.S. Government security sales were as follows:

 

Fund   Purchases     Sales  
RiverFront Dynamic Core Income ETF   $     $ 12,632,780  
RiverFront Strategic Income Fund     6,824,566       9,054,157  

 

For the six months ended May 31, 2022, the cost of in-kind purchases and proceeds from in-kind sales were as follows:

 

Fund   Purchases     Sales  
RiverFront Dynamic Core Income ETF   $ 553,993     $ 20,807,017  
RiverFront Dynamic US Dividend Advantage ETF     27,084,333       50,577,677  
RiverFront Dynamic US Flex-Cap ETF     14,496,414       28,241,956  
RiverFront Strategic Income Fund     1,800,743       6,925,870  

 

For the six months ended May 31, 2022, the in-kind net realized gains/(losses) were as follows:

 

Fund   Net Realized Gain/(Loss)  
RiverFront Dynamic Core Income ETF   $ (104,187 )
RiverFront Dynamic US Dividend Advantage ETF     17,684,323  
RiverFront Dynamic US Flex-Cap ETF     7,440,304  
RiverFront Strategic Income Fund     (319,583 )

 

Gains on in-kind transactions are not considered taxable for federal income tax purposes and losses on in-kind transactions are also not deductible for tax purposes.

 

5. CAPITAL SHARE TRANSACTIONS

 

Shares are created and redeemed by each Fund only in Creation Unit size aggregations of 25,000 Shares. Only broker-dealers or large institutional investors with creation and redemption agreements called Authorized Participants (“AP”) are permitted to purchase or redeem Creation Units from each Fund. Such transactions are generally permitted on an in-kind basis, with a balancing cash component to equate the transaction to the NAV per unit of each Fund on the transaction date. Cash may be substituted equivalent to the value of certain securities generally when they are not available in sufficient quantity for delivery, not eligible for trading by the AP or as a result of other market circumstances.

 

6. MARKET RISK

 

The Funds are subject to investment and operational risks associated with financial, economic and other global market developments and disruptions, including the recent spread of an infectious respiratory illness caused by a novel strain of coronavirus (known as COVID-19), which can negatively impact the securities markets and cause each Fund to lose value. Securities in the Fund’s portfolio may underperform in comparison to securities in general financial markets, a particular financial market or other asset classes due to a number of factors, including inflation (or expectations for inflation), deflation (or expectations for deflation), interest rates, global demand for particular products or resources, market instability, debt crises and downgrades, embargoes, tariffs, sanctions and other trade barriers, regulatory events, other governmental trade or market control programs and related geopolitical events. In addition, the value of the Fund’s investments may be negatively affected by the occurrence of global events such as war, terrorism, environmental disasters, natural disasters or events, country instability, and infectious disease epidemics or pandemics.

 

The spread of COVID-19 has caused volatility, severe market dislocations and liquidity constraints in many markets, including markets for the securities each Fund holds, and may adversely affect each Fund’s investments and operations. The transmission of COVID-19 and efforts to contain its spread have resulted in travel restrictions and disruptions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, quarantines, event and service cancellations or interruptions, disruptions to business operations and supply chains, and a reduction in consumer and business spending, as well as general concern and uncertainty that has negatively affected the economy. These disruptions have led to instability in the market place and the jobs market. The impact of COVID-19 could adversely affect the economies of many nations or the entire global economy, the financial well-being and performance of individual issuers, borrowers and sectors and the health of the markets generally in potentially significant and unforeseen ways.

 

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RiverFront ETFs

 

Notes to Financial Statements May 31, 2022 (Unaudited)

 

The foregoing could lead to a significant economic downturn or recession, increased market volatility, a greater number of market closures, higher default rates and adverse effects on the values and liquidity of each Fund’s securities or other assets. Such impacts may adversely affect the performance of the Funds.

 

7. SUBSEQUENT EVENTS

 

Effective as of the close of business on March 31, 2022, Deloitte & Touche LLP (“Deloitte”) resigned as the independent registered public accounting firm for the Funds. The report of Deloitte on the Funds’ financial statements as of and for the fiscal years or periods ended November 30, 2021 and November 30, 2020 did not contain an adverse opinion or a disclaimer of opinion, and was not qualified or modified as to uncertainties, audit scope or accounting principles. During the Funds’ fiscal year or period ended November 30, 2021 and November 30, 2020, and through March 31, 2022, there were no disagreements between the Funds and Deloitte on any matter of accounting principles or practices, financial statement disclosure or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of Deloitte, would have caused it to make reference to the subject matter of the disagreements in its report on the financial statements of the Funds for such year or period. During the Funds’ fiscal years or periods ended November 30, 2021 and November 30, 2020, there were no “reportable events” (as defined in Item 304(a)(1)(v) of Regulation S-K under the Securities Exchange Act of 1934, as amended (the “Exchange Act”)).

 

During each Fund’s fiscal year or period ended November 30, 2021 and November 30, 2020, and during the subsequent interim period through March 31, 2022, neither the Funds, nor anyone on their behalf, consulted with Deloitte, on behalf of the Funds, regarding any matter that was either the subject of a “disagreement,” as defined in Item 304(a)(1)(iv) of Regulation S-K under the Securities Exchange Act of 1934, as amended (the “Exchange Act”), and the instructions thereto, or a “reportable event,” as defined in Item 304(a)(1)(v) of Regulation S-K under the Exchange Act.

 

On June 21, 2022, upon the recommendation of the Funds’ Audit Committee, the Board of Trustees of the Funds approved the engagement of BBD, LLP (“BBD”) as the independent registered public accounting firm for each Fund for the fiscal year ending November 30, 2022. The Board and its Audit Committee considered the engagement of BBD in connection with the resignation of the Funds’ former independent registered accounting firm on March 31, 2022.

 

37 | May 31, 2022

     

 

RiverFront ETFs

 

Additional Information May 31, 2022 (Unaudited)

 

PROXY VOTING RECORDS, POLICIES AND PROCEDURES

 

Information regarding how each Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 and a description of the Funds’ proxy voting policies and procedures used in determining how to vote for proxies are available without charge on the SEC’s website at www.sec.gov and upon request, by calling (toll-free) 1-866-759-5679.

 

PORTFOLIO HOLDINGS

 

The Fund files a complete schedule of portfolio holdings with the U.S. Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-PORT within 60 days after the end of the period. Copies of the Fund’s Form N-PORT are available without a charge, upon request, by contacting the Fund at 1-866-759-5679 and on the SEC’s website at https://www.sec.gov.

 

TAX INFORMATION

 

The Funds designate the following as a percentage of taxable ordinary income distributions, or up to the maximum amount allowable, for the calendar year ended December 31, 2021:

 

  Qualified Dividend Income Dividend Received Deduction
RiverFront Dynamic Core Income ETF 0.00% 0.00%
RiverFront Dynamic US Dividend Advantage ETF 100.00% 97.31%
RiverFront Dynamic US Flex-Cap ETF 100.00% 100.00%
RiverFront Strategic Income Fund 0.00% 0.00%

 

In early 2022, if applicable, shareholders of record received this information for the distributions paid to them by the Funds during the calendar year 2021 via Form 1099. The Funds will notify shareholders in early 2023 of amounts paid to them by the Funds, if any, during the calendar year 2022.

 

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RiverFront ETFs

 

Liquidity Risk Management Program May 31, 2022 (Unaudited)

 

In compliance with the Securities and Exchange Commission’s liquidity risk management rule (the “Liquidity Rule”), the ALPS ETF Trust (the “Trust”) has established a liquidity risk management program (the “Program”) to govern the Trust’s approach to managing liquidity risk for each series of the Trust (each a “Fund”). The Program is overseen by the Liquidity Committee (the “Committee”), a committee comprised of representatives of the Trust’s investment adviser, ALPS Advisors, Inc. The Trust’s Board of Trustees (the “Board”) has approved the designation of the Committee to oversee the Program.

 

The Program’s principal objectives include supporting each Fund’s compliance with limits on investments in illiquid assets and assessing and managing the risk that a Fund will be unable to meet its redemption obligations without significant dilution of remaining investors’ interests in the Fund. The Program includes a number of elements that support the management and assessment of liquidity risk, including an annual assessment of factors that influence a Fund’s liquidity and, for Funds that are not “In-Kind ETFs,” the periodic classification and re-classification of such Fund’s investments into groupings that reflect the Committee’s assessment of their liquidity under current market conditions.

 

At a meeting of the Board held on March 7, 2022, the Trustees received a report from the Committee regarding the design and operational effectiveness of the Program for the period January 1, 2021 through December 31, 2021 (the “Period”). The Committee determined, and reported to the Board, that the Program has been operating effectively to assess and manage each Fund’s liquidity risk and has been and continues to be adequately and effectively implemented to monitor and (as applicable) respond to the Funds’ liquidity developments.

 

The Committee reported that during the period covered by the report, there were no liquidity events that impacted the Funds or their ability to timely meet redemptions without dilution to existing shareholders. The report also discussed notable events affecting liquidity over the Period, including extended market holidays and closures in certain countries. Among other things, the Committee’s report noted that no Fund is required to have a highly liquid investment minimum based either on its status as an In-Kind ETF or on its ability to rely on another exemption under the Liquidity Rule. The Committee’s report further noted that no material changes have been made to the Program since its implementation.

 

39 | May 31, 2022